Scaled unscented transform Gaussian sum filter: theory and application

DOI10.1016/J.PHYSD.2010.01.022zbMATH Open1193.93176arXiv1005.2665OpenAlexW1989940317MaRDI QIDQ968520FDOQ968520

B. E. Eshmatov

Publication date: 5 May 2010

Published in: Physica D (Search for Journal in Brave)

Abstract: In this work we consider the state estimation problem in nonlinear/non-Gaussian systems. We introduce a framework, called the scaled unscented transform Gaussian sum filter (SUT-GSF), which combines two ideas: the scaled unscented Kalman filter (SUKF) based on the concept of scaled unscented transform (SUT), and the Gaussian mixture model (GMM). The SUT is used to approximate the mean and covariance of a Gaussian random variable which is transformed by a nonlinear function, while the GMM is adopted to approximate the probability density function (pdf) of a random variable through a set of Gaussian distributions. With these two tools, a framework can be set up to assimilate nonlinear systems in a recursive way. Within this framework, one can treat a nonlinear stochastic system as a mixture model of a set of sub-systems, each of which takes the form of a nonlinear system driven by a known Gaussian random process. Then, for each sub-system, one applies the SUKF to estimate the mean and covariance of the underlying Gaussian random variable transformed by the nonlinear governing equations of the sub-system. Incorporating the estimations of the sub-systems into the GMM gives an explicit (approximate) form of the pdf, which can be regarded as a "complete" solution to the state estimation problem, as all of the statistical information of interest can be obtained from the explicit form of the pdf ... This work is on the construction of the Gaussian sum filter based on the scaled unscented transform.

Full work available at URL: https://arxiv.org/abs/1005.2665

zbMATH Keywords

data assimilationensemble Kalman filterGaussian sum filterscaled unscented Kalman filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Stochastic systems in control theory (general) (93E03)

Cites Work

• Stochastic processes and filtering theory
• Title not available (Why is that?)
• Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
• Nonlinear Bayesian estimation using Gaussian sum approximations
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• Data Assimilation
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• Recursive Bayesian estimation using Gaussian sums
• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Ensemble Kalman filter with the unscented transform
• Recursive fading memory filtering
• Modified explicitly restarted Lanczos algorithm

Cited In (4)

• Iterated gain-based stochastic filters for dynamic system identification
• On a nonlinear Kalman filter with simplified divided difference approximation
• Unscented Kalman filter with advanced adaptation of scaling parameter
• Truncation nonlinear filters for state estimation with nonlinear inequality constraints

Uses Software

• EnKF

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