Nonlinear Gaussian filter with the colored measurement noise

科研成果: 书/报告/会议事项章节会议稿件同行评审

15 引用 (Scopus)

摘要

This paper is concerned with the Gaussian approximation (GA) filtering for a class of nonlinear stochastic systems in the case that the colored measurement noise is modeled as a first-order autoregressive process. First, through the augmentation of the standard measurements, the problem of designing the GA filter with the colored measurement noise is transformed into that of deriving the GA one with the delayed state in the augmented measurement function. Second, through presenting Gaussian approximation about the joint posterior probability density functions (PDF) of the present state, the delayed state and the augmented measurement, the novel GA filter with the delayed state are proposed, which recursively operate by analytical computation and nonlinear Gaussian integrals. The proposed GA filter provides a general and common framework, from which many variations can be developed by utilizing different numerical technologies for computing such nonlinear Gaussian integrals, for example the modified cubature Kalman filter (CKF) in this paper using the spherical-radial cubature rule. The performance of the new method is demonstrated with a simulation example.

源语言英语
主期刊名FUSION 2014 - 17th International Conference on Information Fusion
出版商Institute of Electrical and Electronics Engineers Inc.
ISBN(电子版)9788490123553
出版状态已出版 - 3 10月 2014
活动17th International Conference on Information Fusion, FUSION 2014 - Salamanca, 西班牙
期限: 7 7月 201410 7月 2014

出版系列

姓名FUSION 2014 - 17th International Conference on Information Fusion

会议

会议17th International Conference on Information Fusion, FUSION 2014
国家/地区西班牙
Salamanca
时期7/07/1410/07/14

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