Sampling free iterative PCE filter for state and parameter estimation of nonlinear dynamical systems

DOI10.1016/J.JCP.2024.113118MaRDI QIDQ6560693zbMATH OpenFDO

Authors W. van Dijk, W. B. J. Hakvoort, Božidar Rosić

Publication date 23 June 2024

Published in Journal of Computational Physics (Search for Journal in Brave)

zbMATH Keywords

Kalman filterBayesian estimationpolynomial chaos expansionsquare root filterGauss Newton

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Probabilistic methods, stochastic differential equations (65Cxx) Stochastic systems and control (93Exx)

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Cites work

• scientific article; zbMATH DE number 2190526 (Why is no real title available?)
• A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements
• A generalized polynomial chaos based ensemble Kalman filter with high accuracy
• A practical polynomial chaos Kalman filter implementation using nonlinear error projection on a reduced polynomial chaos expansion
• A stochastic collocation based Kalman filter for data assimilation
• Accuracy and Stability of Numerical Algorithms
• Adaptive sparse polynomial chaos expansion based on least angle regression
• Approximate Gauss–Newton Methods for Nonlinear Least Squares Problems
• Bayes Linear Statistics
• Bayesian Filtering and Smoothing
• Deterministic Nonperiodic Flow
• Efficient stochastic Galerkin methods for random diffusion equations
• Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes
• Sampling-free linear Bayesian update of polynomial chaos representations
• Sparse polynomial chaos expansions: literature survey and benchmark
• Stochastic processes and filtering theory
• The Iterated Kalman Smoother as a Gauss–Newton Method
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Time-dependent generalized polynomial chaos
• Unbiased ensemble square root filters

Cited in

(1)

• A practical polynomial chaos Kalman filter implementation using nonlinear error projection on a reduced polynomial chaos expansion

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