Iterated gain-based stochastic filters for dynamic system identification

作者：Raveendran Tara; Roy Debasish^*; Vasu Ram Mohan

来源：Journal of the Franklin Institute, 2014, 351(2): 1093-1111.

DOI：10.1016/j.jfranklin.2013.10.003

We propose a novel form of nonlinear stochastic filtering based on an iterative evaluation of a Kalman-like gain matrix computed within a Monte Carlo scheme as suggested by the form of the parent equation of nonlinear filtering (Kushner-Stratonovich equation) and retains the simplicity of implementation of an ensemble Kalman filter (EnKF). The numerical results, presently obtained via EnKF-like simulations with or without a reduced-rank unscented transformation, clearly indicate remarkably superior filter convergence and accuracy vis-a-vis most available filtering schemes and eminent applicability of the methods to higher dimensional dynamic system identification problems of engineering interest.

• 出版日期2014-2