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Kalman filter and its modern extensions for the continuous-time nonlinear filtering problem

Taghvaei, A., de Wiljes, J., Mehta, P. and Reich, S. (2018) Kalman filter and its modern extensions for the continuous-time nonlinear filtering problem. Journal of Dynamic Systems, Measurement, and Control, 140 (3). 030904. ISSN 0022-0434

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To link to this item DOI: 10.1115/1.4037780

Abstract/Summary

This paper is concerned with the filtering problem in continuous time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman–Bucy filter, which provides an exact solution for the linear Gaussian problem; (ii) the ensemble Kalman–Bucy filter (EnKBF), which is an approximate filter and represents an extension of the Kalman–Bucy filter to nonlinear problems; and (iii) the feedback particle filter (FPF), which represents an extension of the EnKBF and furthermore provides for a consistent solution in the general nonlinear, non-Gaussian case. The common feature of the three algorithms is the gain times error formula to implement the update step (to account for conditioning due to the observations) in the filter. In contrast to the commonly used sequential Monte Carlo methods, the EnKBF and FPF avoid the resampling of the particles in the importance sampling update step. Moreover, the feedback control structure provides for error correction potentially leading to smaller simulation variance and improved stability properties. The paper also discusses the issue of nonuniqueness of the filter update formula and formulates a novel approximation algorithm based on ideas from optimal transport and coupling of measures. Performance of this and other algorithms is illustrated for a numerical example.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:73461
Publisher:American Society of Civil Engineers

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