This paper investigates the state estimation problem for a stochastic nonlinear differential systems, driven by standard Wiener processes. A novel algorithm is proposed, based on a mixed observer-filter approach, which can be resumed in three steps: the first step makes use of a state observer for nonlinear systems, applied to the system equations disregarding the noises. The observed state constitutes the trajectory around which a Carleman approximation of the stochastic differential system is achieved. This second step allows to define an approximate representation of the system by means of a bilinear system (i.e. linear drift and multiplicative noise), for which a filtering algorithm is available from the literature, third step.

Cacace, F., Germani, A., Palumbo, P. (2011). A new approach to nonlinear filtering via a mixed state observer and polynomial Kalman-Bucy scheme. In 18th IFAC World Congress on Automatic Control (IFAC2011) (pp.4477-4482). IFAC Secretariat [10.3182/20110828-6-IT-1002.02058].

A new approach to nonlinear filtering via a mixed state observer and polynomial Kalman-Bucy scheme

Palumbo, P
2011

Abstract

This paper investigates the state estimation problem for a stochastic nonlinear differential systems, driven by standard Wiener processes. A novel algorithm is proposed, based on a mixed observer-filter approach, which can be resumed in three steps: the first step makes use of a state observer for nonlinear systems, applied to the system equations disregarding the noises. The observed state constitutes the trajectory around which a Carleman approximation of the stochastic differential system is achieved. This second step allows to define an approximate representation of the system by means of a bilinear system (i.e. linear drift and multiplicative noise), for which a filtering algorithm is available from the literature, third step.
paper
Kalman filtering; Nonlinear systems; Observers
English
IFAC World Congress on Automatic Control (IFAC2011)
2011
18th IFAC World Congress on Automatic Control (IFAC2011)
978-390266193-7
2011
44
1
4477
4482
reserved
Cacace, F., Germani, A., Palumbo, P. (2011). A new approach to nonlinear filtering via a mixed state observer and polynomial Kalman-Bucy scheme. In 18th IFAC World Congress on Automatic Control (IFAC2011) (pp.4477-4482). IFAC Secretariat [10.3182/20110828-6-IT-1002.02058].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/246580
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