Adaptive sparse-grid Gauss-Hermite filter

DOI10.1016/J.CAM.2018.04.006zbMATH Open1439.93022arXiv1803.09272OpenAlexW2963013848WikidataQ129909078 ScholiaQ129909078MaRDI QIDQ1639552FDOQ1639552

Authors: Abhinoy Kumar Singh, R. Radhakrishnan, Shovan Bhaumik, Paresh Date 

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper, a new nonlinear filter based on sparse-grid quadrature method has been proposed. The proposed filter is named as adaptive sparse-grid Gauss-Hermite filter (ASGHF). Ordinary sparse-grid technique treats all the dimensions equally, whereas the ASGHF assigns a fewer number of points along the dimensions with lower nonlinearity. It uses adaptive tensor product to construct multidimensional points until a predefined error tolerance level is reached. The performance of the proposed filter is illustrated with two nonlinear filtering problems. Simulation results demonstrate that the new algorithm achieves a similar accuracy as compared to sparse-grid Gauss-Hermite filter (SGHF) and Gauss-Hermite filter (GHF) with a considerable reduction in computational load. Further, in the conventional GHF and SGHF, any increase in the accuracy level may result in an unacceptably high increase in the computational burden. However, in ASGHF, a little increase in estimation accuracy is possible with a limited increase in computational burden by varying the error tolerance level and the error weighting parameter. This enables the online estimator to operate near full efficiency with a predefined computational budget.

Full work available at URL: https://arxiv.org/abs/1803.09272

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zbMATH Keywords

complexity reductionnonlinear filteringproduct ruleadaptive sparse-gridGauss-Hermite quadrature ruleSmolyak rule

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stability theory for difference equations (39A30) Numerical methods for functional equations (65Q20)

Cites Work

• Numerical integration using sparse grids
• Dimension-adaptive tensor-product quadrature
• Title not available (Why is that?)
• Cubature Kalman Filters
• Sparse-grid quadrature nonlinear filtering
• Multiple Quadrature Kalman Filtering
• Estimation and tracking of complex-valued quasi-periodically varying systems

Cited In (6)

• Title not available (Why is that?)
• Generalized Gauss-Hermite filtering
• Multiple sparse-grid Gauss-Hermite filtering
• Sparse-grid quadrature nonlinear filtering
• Gaussian kernel quadrature Kalman filter
• A Sparse-Interpolated Scheme for Implementing Adaptive Volterra Filters

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