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

20 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

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10.1016/j.ins.2013.04.030

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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.",

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

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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

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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

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