A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification

DOI10.1016/j.physd.2013.12.007zbMath1285.93101arXiv1302.3330WikidataQ60585145 ScholiaQ60585145MaRDI QIDQ2448789

Yanyan Li

Publication date: 5 May 2014

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3330

zbMATH Keywords

error estimates; nonlinear system identification; Euler approximation; inner iterations; Kushner-Stratonovich equation; Monte Carlo filters

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93C10: Nonlinear systems in control theory

93E12: Identification in stochastic control theory

Related Items

Uncertainties in the 2004 Sumatra–Andaman source through nonlinear stochastic inversion of tsunami waves, Modelling architected plate using a non-local derivative-free shear deformable plate theory, Modelling architected beam using a nonlocal derivative-free shear deformable beam theory, A perturbed martingale approach to global optimization, Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems

Cites Work

• Optimization by Simulated Annealing
• Iterated filtering
• Unbiased ensemble square root filters
• Weak forms of the locally transversal linearization (LTL) technique for stochastically driven nonlinear oscillators
• General state space Markov chains and MCMC algorithms
• Unique characterization of conditional distributions in nonlinear filtering
• Higher-order implicit strong numerical schemes for stochastic differential equations
• A powerful numerical technique solving Zakai equation for nonlinear filtering
• A multivariate Kolmogorov-Smirnov test of goodness of fit
• A particle approximation of the solution of the Kushner-Stratonovitch equation
• The Feynman-Stratonovich semigroup and Stratonovich integral expansions in nonlinear filtering
• A survey of numerical methods for nonlinear filtering problems
• Stochastic processes and filtering theory
• A new numeric-analytical principle for nonlinear deterministic and stochastic dynamical systems
• Solving parabolic stochastic partial differential equations via averaging over characteristics
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• An approximation for the nonlinear filtering problem, with error bound^†
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
• Filtering via Simulation: Auxiliary Particle Filters
• Approximations to solutions of the zakai filtering equation
• Approximation of the Kushner Equation for Nonlinear Filtering
• A family of lower‐ and higher‐order transversal linearization techniques in non‐linear stochastic engineering dynamics
• A survey of convergence results on particle filtering methods for practitioners
• Discretization and Simulation of the Zakai Equation
• Higher order weak linearizations of stochastically driven nonlinear oscillators
• Stochastic differential equations. An introduction with applications.