Gaussian/Gaussian-mixture filters for non-linear stochastic systems with delayed states
- Author(s): Xiaoxu Wang 1 ; Yan Liang 1 ; Quan Pan 1 ; He Huang 2
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View affiliations
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Affiliations:
1:
School of Automation, Northwestern Polytechnical University, Xi’an 710072, People's Republic of China;
2: College of Electronic and Control Engineering, Chang’An University, Xi’an 710064, People's Republic of China
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Affiliations:
1:
School of Automation, Northwestern Polytechnical University, Xi’an 710072, People's Republic of China;
- Source:
Volume 8, Issue 11,
17 July 2014,
p.
996 – 1008
DOI: 10.1049/iet-cta.2013.0875 , Print ISSN 1751-8644, Online ISSN 1751-8652
The Gaussian mixture approximation to the probability density function of the state is more appropriate than the single Gaussian approximation. A Gaussian mixture filter (GMF) is proposed for a class of non-linear discrete-time stochastic systems with the multi-state delayed case. First, a novel non-augmented filtering framework of the constituent Gaussian filter (GF) in GMF is derived, which recursively operates by analytical computation and non-linear Gaussian integrals. The implementation of such GF is thus transformed to the computation of such non-linear integrals in the proposed framework, which is solved by applying different numerical technologies for developing various variations of the non-augmented GF, for example, GF-cubature Kalman filter (CKF) based on the cubature rule. Secondly, a non-augmented GMF is discussed by a weight sum of the above proposed GF, where each GF component is independent from the others and can be performed in a parallel manner, and its corresponding weigh is updated by using the measurements according to Bayesian formula. Naturally, a variation or implementation of such GMF based on the cubature rule is the GMF-CKF. Finally, the performance of the new filters is demonstrated by a numerical example and a vehicle suspension estimation problem.
Inspec keywords: discrete time systems; nonlinear control systems; stochastic systems; filtering theory; approximation theory; delay systems; Kalman filters; Gaussian processes
Other keywords: GF-cubature Kalman filter; delayed states; nonlinear Gaussian integrals; nonlinear discrete-time stochastic system; constituent Gaussian filter; Gaussian mixture approximation; probability density function; Gaussian-mixture filters; nonaugmented filtering framework; vehicle suspension estimation problem; Bayesian formula
Subjects: Signal processing theory; Other topics in statistics; Nonlinear control systems; Discrete control systems; Distributed parameter control systems; Interpolation and function approximation (numerical analysis); Time-varying control systems
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