Efficient grid-based Bayesian estimation of nonlinear low-dimensional systems with sparse non-Gaussian PDFs

DOI10.1016/J.AUTOMATICA.2012.02.039zbMATH Open1348.93246arXiv1301.4866OpenAlexW2148611496WikidataQ59782952 ScholiaQ59782952MaRDI QIDQ445948FDOQ445948

Authors: Thomas R. Bewley, Atul S. Sharma 

Publication date: 27 August 2012

Published in: Automatica (Search for Journal in Brave)

Abstract: Bayesian estimation strategies represent the most fundamental formulation of the state estimation problem available, and apply readily to nonlinear systems with non-Gaussian uncertainties. The present paper introduces a novel method for implementing grid-based Bayesian estimation which largely sidesteps the severe computational expense that has prevented the widespread use of such methods. The method represents the evolution of the probability density function (PDF) in phase space, $p_x(x^{\prime },t)$, discretized on a fixed Cartesian grid over {it all} of phase space, and consists of two main steps: (i) Between measurement times, $p_x(x^{\prime },t)$ is evolved via numerical discretization of the Kolmogorov forward equation, using a Godunov method with second-order corner transport upwind correction and a total variation diminishing flux limiter; (ii) at measurement times, $p_x(x^{\prime },t)$ is updated via Bayes' theorem. Computational economy is achieved by exploiting the localised nature of $p_x(x^{\prime },t)$. An ordered list of cells with non-negligible probability, as well as their immediate neighbours, is created and updated, and the PDF evolution is tracked {it only} on these active cells. %The grid-based discretization of $p_x(x^{\prime },t)$ in this approach avoids the requirement for resampling associated with particle-based representations of the PDF.

Full work available at URL: https://arxiv.org/abs/1301.4866

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zbMATH Keywords

grid-based Bayesian estimationnonlinear/non-Gaussian observer design

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Stochastic processes and filtering theory
• Finite Volume Methods for Hyperbolic Problems
• On Information and Sufficiency
• LII. An essay towards solving a problem in the doctrine of chances. By the late Rev. Mr. Bayes, F. R. S. communicated by Mr. Price, in a letter to John Canton, A. M. F. R. S
• Recursive Bayesian estimation using piecewise constant approximations
• Rate of Convegence of a Stochastic Particle Method for the Kolmogorov Equation with Variable Coefficients

Cited In (3)

• Optimal Transport for Parameter Identification of Chaotic Dynamics via Invariant Measures
• Advanced point-mass method for nonlinear state estimation
• Sparse Bayesian Nonlinear System Identification Using Variational Inference

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