Name
Abstract | ||
|---|---|---|
Nonlinear stochastic dynamical systems are commonly used to model physical processes. For linear and Gaussian systems, the Kalman filter is optimal in minimum mean squared error sense. However, for nonlinear or non-Gaussian systems, the estimation of states or parameters is a challenging problem. Furthermore, it is often required to process data online. Therefore, apart from being accurate, the feasible estimation algorithm also needs to be fast. In this paper, we review Bayesian filters that possess the aforementioned properties. Each filter is presented in an easy way to implement algorithmic form. We focus on parametric methods, among which we distinguish three types of filters: filters based on analytical approximations (extended Kalman filter, iterated extended Kalman filter), filters based on statistical approximations (unscented Kalman filter, central difference filter, Gauss-Hermite filter), and filters based on the Gaussian sum approximation (Gaussian sum filter). We discuss each of these filters, and compare them with illustrative examples. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.1109/TSMCC.2012.2230254 | IEEE T. Cybernetics |
Keywords | Field | DocType |
Gaussian processes,Kalman filters,approximation theory,iterative methods,statistical analysis,Gauss-Hermite filter,Gaussian sum approximation,Gaussian sum filter,Gaussian systems,algorithmic form,analytical approximations,central difference filter,extended Kalman filter,iterated extended Kalman filter,linear systems,minimum mean squared error sense,nonGaussian systems,nonlinear stochastic dynamical systems,nonlinear systems,parameter estimation,parametric Bayesian filters,parametric methods,state estimation,statistical approximations,unscented Kalman filter,Analysis of variance,Bayesian methods,nonlinear filters,parametric methods | Alpha beta filter,Mathematical optimization,Extended Kalman filter,Filtering problem,Adaptive filter,Invariant extended Kalman filter,Ensemble Kalman filter,Nonlinear filter,Mathematics,Filter design | Journal |
Volume | Issue | ISSN |
43 | 6 | 2168-2275 |
Citations | PageRank | References |
17 | 0.71 | 41 |
Authors | ||
6 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Pawel Stano | 1 | 20 | 1.16 |
| Zsófia Lendek | 2 | 78 | 8.23 |
| Jelmer Braaksma | 3 | 24 | 2.52 |
| Robert Babuska | 4 | 2200 | 164.90 |
| Cees de Keizer | 5 | 21 | 2.06 |
| Arnold J den Dekker | 6 | 165 | 18.69 |