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

DOI10.4064/BC105-0-14zbMATH Open1320.93082arXiv1303.2395OpenAlexW2963083466MaRDI QIDQ5265544FDOQ5265544

Xiangjun Wang, Xu Sun, Xiaofan Li, Jinqiao Duan

Publication date: 28 July 2015

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

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.

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

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Mathematics Subject Classification ID

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

Cited In (5)

• A modified Kalman filter algorithm for fractional system under Lévy noises
• Data assimilation and parameter estimation for a multiscale stochastic system withα-stable Lévy noise
• 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
• An interacting multiple model approach for state estimation with non-gaussian noise using a variational Bayesian method

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