Title
A quadrature-based method of moments for nonlinear filtering
Abbreviated Journal Title
Automatica
Keywords
Nonlinear filtering; Estimation; Fokker-Planck equation; Stochastic; differential equation; Filtering algorithms; APPROXIMATION; Automation & Control Systems; Engineering, Electrical & Electronic
Abstract
According to the nonlinear filtering theory, optimal estimates of a general continuous-discrete nonlinear filtering problem can be obtained by solving the Fokker-Planck equation coupled with a Bayesian, update rule. This procedure does not rely on linearizations of the dynamical and/or measurement models. However, the lack of fast and efficient methods for solving the Fokker-Planck equation presents challenges in real time nonlinear filtering problems. In this paper, a direct quadrature method of moments is introduced to solve the Fokker-Planck equation efficiently and accurately. This approach involves representation of the state conditional probability density function in terms of a finite collection of Dirac delta functions. The weights and locations (abscissas) in this representation are determined by moment constraints and modified using the Bayes' rule according to measurement updates. As demonstrated by numerical examples, this approach appears to be promising in the field of nonlinear filtering. (C) 2009 Elsevier Ltd. All rights reserved.
Journal Title
Automatica
Volume
45
Issue/Number
5
Publication Date
1-1-2009
Document Type
Article
Language
English
First Page
1291
Last Page
1298
WOS Identifier
ISSN
0005-1098
Recommended Citation
"A quadrature-based method of moments for nonlinear filtering" (2009). Faculty Bibliography 2000s. 2343.
https://stars.library.ucf.edu/facultybib2000/2343