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Please use this identifier to cite or link to this item: http://repository.iitr.ac.in/handle/123456789/5430
Title: A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification
Authors: Sarkar S.
Roy Chowdhury, Shubhankar
Venugopal M.
Vasu R.M.
Roy D.
Published in: Physica D: Nonlinear Phenomena
Abstract: A Monte Carlo filter, based on the idea of averaging over characteristics and fashioned after a particle-based time-discretized approximation to the Kushner-Stratonovich (KS) nonlinear filtering equation, is proposed. A key aspect of the new filter is the gain-like additive update, designed to approximate the innovation integral in the KS equation and implemented through an annealing-type iterative procedure, which is aimed at rendering the innovation (observation-prediction mismatch) for a given time-step to a zero-mean Brownian increment corresponding to the measurement noise. This may be contrasted with the weight-based multiplicative updates in most particle filters that are known to precipitate the numerical problem of weight collapse within a finite-ensemble setting. A study to estimate the a-priori error bounds in the proposed scheme is undertaken. The numerical evidence, presently gathered from the assessed performance of the proposed and a few other competing filters on a class of nonlinear dynamic system identification and target tracking problems, is suggestive of the remarkably improved convergence and accuracy of the new filter. ¬© 2013 Elsevier B.V. All rights reserved.
Citation: Physica D: Nonlinear Phenomena(2014), 270(): 46-59
URI: https://doi.org/10.1016/j.physd.2013.12.007
http://repository.iitr.ac.in/handle/123456789/5430
Issue Date: 2014
Publisher: Elsevier B.V.
Keywords: Error estimates
Euler approximation
Inner iterations
Kushner-Stratonovich equation
Monte Carlo filters
Nonlinear system identification
ISSN: 1672789
Author Scopus IDs: 24725381700
56818427600
57188843329
55663544800
7402439420
Author Affiliations: Sarkar, S., Computational Mechanics Lab, Department of Civil Engineering, Indian Institute of Science, Bangalore, India
Chowdhury, S.R., Computational Mechanics Lab, Department of Civil Engineering, Indian Institute of Science, Bangalore, India
Venugo
Corresponding Author: Roy, D.; Computational Mechanics Lab, Department of Civil Engineering, Indian Institute of Science, Bangalore, India; email: royd@civil.iisc.ernet.in
Appears in Collections:Journal Publications [CE]

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