An Ensemble Kushner-Stratonovich-Poisson Filter for Recursive Estimation in Nonlinear Dynamical Systems

Venugopal, Mamatha and Vasu, Ram Mohan and Roy, Debasish (2016) An Ensemble Kushner-Stratonovich-Poisson Filter for Recursive Estimation in Nonlinear Dynamical Systems. In: IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 61 (3). pp. 823-828.

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Abstract

We propose a Monte Carlo filter for recursive estimation of diffusive processes that modulate the instantaneous rates of Poisson measurements. A key aspect is the additive update, through a gain-like correction term, empirically approximated from the innovation integral in the time-discretized Kushner-Stratonovich equation. The additive filter-update scheme eliminates the problem of particle collapse encountered in many conventional particle filters. Through a few numerical demonstrations, the versatility of the proposed filter is brought forth.

Item Type:	Journal Article
Publication:	IEEE TRANSACTIONS ON AUTOMATIC CONTROL
Publisher:	IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
Additional Information:	Copy right for this article belongs to the IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC, 445 HOES LANE, PISCATAWAY, NJ 08855-4141 USA
Keywords:	Automatic control; Bayes method; filtering; Monte Carlo methods; Poisson processes; recursive estimation
Department/Centre:	Division of Mechanical Sciences > Civil Engineering Division of Physical & Mathematical Sciences > Instrumentation Appiled Physics
Date Deposited:	29 Apr 2016 05:20
Last Modified:	29 Apr 2016 05:20
URI:	http://eprints.iisc.ac.in/id/eprint/53728

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