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

^*此作品的通讯作者

自动化学院

Beijing Institute of Technology

科研成果: 期刊稿件 › 文章 › 同行评审

19 引用（Scopus）

摘要

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.

源语言	英语
页（从-至）	64-75
页数	12
期刊	Information Sciences
卷	242
DOI	https://doi.org/10.1016/j.ins.2013.04.030
出版状态	已出版 - 1 9月 2013

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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.",

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

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

year = "2013",

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

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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

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DO - 10.1016/j.ins.2013.04.030

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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

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