A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

DOI10.1088/0266-5611/29/6/065002MaRDI QIDQ2852279zbMATH OpenOpenAlexWikidataFDO

Authors Tara Raveendran, Saikat Sarkar, Debasish Roy, Ram Mohan Vasu

Publication date 8 October 2013

Published in Inverse Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/0266-5611/29/6/065002

zbMATH Keywords

nonlinear dynamical systemsGirsanov corrected particle filterinverse problem of state and parameter estimationsnonlinear stochastic differential equations (SDEs)

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Variable structure systems (93B12) Nonlinear systems in control theory (93C10) Estimation and detection in stochastic control theory (93E10)

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Cited in

(3)

• A sequential importance sampling filter with a new proposal distribution for state and parameter estimation of nonlinear dynamical systems
• Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems
• A Girsanov particle filter in nonlinear engineering dynamics

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