A new continuous-discrete particle filter for continuous-discrete nonlinear systems

Yuanqing Xia; Zhihong Deng; Li Li; Xiumei Geng

doi:10.1016/j.ins.2013.04.030

A new continuous-discrete particle filter for continuous-discrete nonlinear systems

Yuanqing Xia, Zhihong Deng^*, Li Li, Xiumei Geng

^*Corresponding author for this work

School of Automation

Beijing Institute of Technology

Research output: Contribution to journal › Article › peer-review

19 Citations (Scopus)

Abstract

The continuous-discrete version of particle filter (CD-PF) for continuous-discrete nonlinear systems is proposed in this paper. Firstly, the continuous-discrete extended Kalman filter (CD-EKF) and the CD-PF are described in detail, then some comparisons of these two methods are carried out. The simulation results show that the performance of the CD-PF is better than that of the CD-EKF. Then higher order stochastic Runge-Kutta schemes are proposed to improve the stability and precision of the filter. Furthermore, the CD-PF is applied to nonlinear systems with nonGaussian noise. Finally, some simulations are provided to illustrate the effectiveness of the proposed filter.

Original language	English
Pages (from-to)	64-75
Number of pages	12
Journal	Information Sciences
Volume	242
DOIs	https://doi.org/10.1016/j.ins.2013.04.030
Publication status	Published - 1 Sept 2013

Keywords

Continuous-discrete filter
Particle filter
Runge-Kutta method

Access to Document

10.1016/j.ins.2013.04.030

Cite this

@article{5b010944cef140128f728b8334dbde1f,

title = "A new continuous-discrete particle filter for continuous-discrete nonlinear systems",

abstract = "The continuous-discrete version of particle filter (CD-PF) for continuous-discrete nonlinear systems is proposed in this paper. Firstly, the continuous-discrete extended Kalman filter (CD-EKF) and the CD-PF are described in detail, then some comparisons of these two methods are carried out. The simulation results show that the performance of the CD-PF is better than that of the CD-EKF. Then higher order stochastic Runge-Kutta schemes are proposed to improve the stability and precision of the filter. Furthermore, the CD-PF is applied to nonlinear systems with nonGaussian noise. Finally, some simulations are provided to illustrate the effectiveness of the proposed filter.",

keywords = "Continuous-discrete filter, Particle filter, Runge-Kutta method",

author = "Yuanqing Xia and Zhihong Deng and Li Li and Xiumei Geng",

year = "2013",

month = sep,

day = "1",

doi = "10.1016/j.ins.2013.04.030",

language = "English",

volume = "242",

pages = "64--75",

journal = "Information Sciences",

issn = "0020-0255",

publisher = "Elsevier Inc.",

}

TY - JOUR

T1 - A new continuous-discrete particle filter for continuous-discrete nonlinear systems

AU - Xia, Yuanqing

AU - Deng, Zhihong

AU - Li, Li

AU - Geng, Xiumei

PY - 2013/9/1

Y1 - 2013/9/1

N2 - The continuous-discrete version of particle filter (CD-PF) for continuous-discrete nonlinear systems is proposed in this paper. Firstly, the continuous-discrete extended Kalman filter (CD-EKF) and the CD-PF are described in detail, then some comparisons of these two methods are carried out. The simulation results show that the performance of the CD-PF is better than that of the CD-EKF. Then higher order stochastic Runge-Kutta schemes are proposed to improve the stability and precision of the filter. Furthermore, the CD-PF is applied to nonlinear systems with nonGaussian noise. Finally, some simulations are provided to illustrate the effectiveness of the proposed filter.

AB - The continuous-discrete version of particle filter (CD-PF) for continuous-discrete nonlinear systems is proposed in this paper. Firstly, the continuous-discrete extended Kalman filter (CD-EKF) and the CD-PF are described in detail, then some comparisons of these two methods are carried out. The simulation results show that the performance of the CD-PF is better than that of the CD-EKF. Then higher order stochastic Runge-Kutta schemes are proposed to improve the stability and precision of the filter. Furthermore, the CD-PF is applied to nonlinear systems with nonGaussian noise. Finally, some simulations are provided to illustrate the effectiveness of the proposed filter.

KW - Continuous-discrete filter

KW - Particle filter

KW - Runge-Kutta method

UR - http://www.scopus.com/inward/record.url?scp=84878114668&partnerID=8YFLogxK

U2 - 10.1016/j.ins.2013.04.030

DO - 10.1016/j.ins.2013.04.030

M3 - Article

AN - SCOPUS:84878114668

SN - 0020-0255

VL - 242

SP - 64

EP - 75

JO - Information Sciences

JF - Information Sciences

ER -

A new continuous-discrete particle filter for continuous-discrete nonlinear systems

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this