State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

DOI10.4064/BC105-0-14zbMATH Open1320.93082OpenAlexW2963083466MaRDI QIDQ5265544FDOQ5265544

Authors Xu Sun, Xiaofan Li, Jinqiao Duan, Xiangjun Wang

Publication date 28 July 2015

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.2395

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L'evy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian L'evy noise may have infinite variance. A modified Kalman filter for linear systems with non-Gaussian L'evy noise is devised. It works effectively with reasonable computational cost. Simulation results are presented to illustrate this non-Gaussian filtering method.

Recommendations

• Nonlinear Estimation With State-Dependent Gaussian Observation Noise
• A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance
• Steady‐state Kalman filtering with nonstationary noise
• Least-squares state estimation of systems with state-dependent observation noise
• Nonlinear state estimation, indistinguishable states, and the extended Kalman filter
• Nonlinear and non-gaussian state estimation: A quasi-optimal estimator
• Robust Kalman filtering for nonlinear multivariable stochastic systems in the presence of non-Gaussian noise
• Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter
• A Nonlinear Stochastic Filter for Continuous-Time State Estimation

Cited in

(6)

• A modified Kalman filter algorithm for fractional system under Lévy noises
• An interacting multiple model approach for state estimation with non-gaussian noise using a variational Bayesian method
• Effective filtering analysis for non-Gaussian dynamic systems
• The algorithm of adaptive determination of amplification of the PD filter estimating object state on the basis of signal measurable on-line
• Nonlinear Kalman filtering for censored observations
• Data assimilation and parameter estimation for a multiscale stochastic system with \(\alpha \)-stable Lévy noise

This page was built for publication: State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5265544)