TY - GEN
T1 - A quasi-Gaussian Kalman filter
AU - Chakravorty, Suman
AU - Kumar, Mrinal
AU - Singla, Puneet
PY - 2006
Y1 - 2006
N2 - In this paper, we present a Gaussian approximation to the nonlinear filtering problem, namely the quasi-Gaussian Kalman filter. Starting with the recursive Bayes filter, we invoke the Gaussian approximation to reduce the filtering problem into an optimal Kalman recursion. We use the moment evolution equations for stochastic dynamic equations to evaluate the prediction terms in the Kalman recursions. We propose two methods, one based on stochastic linearization and the other based on a direct evaluation of the innovations terms, to perform the measurement update in the Kalman recursion. We test our filter on a simple two dimensional example, where the nonlinearity of the system dynamics and the measurement equations can be varied, and compare its performance to that of an extended Kalman filter.
AB - In this paper, we present a Gaussian approximation to the nonlinear filtering problem, namely the quasi-Gaussian Kalman filter. Starting with the recursive Bayes filter, we invoke the Gaussian approximation to reduce the filtering problem into an optimal Kalman recursion. We use the moment evolution equations for stochastic dynamic equations to evaluate the prediction terms in the Kalman recursions. We propose two methods, one based on stochastic linearization and the other based on a direct evaluation of the innovations terms, to perform the measurement update in the Kalman recursion. We test our filter on a simple two dimensional example, where the nonlinearity of the system dynamics and the measurement equations can be varied, and compare its performance to that of an extended Kalman filter.
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U2 - 10.1109/acc.2006.1655484
DO - 10.1109/acc.2006.1655484
M3 - Conference contribution
AN - SCOPUS:34047194111
SN - 1424402107
SN - 9781424402106
T3 - Proceedings of the American Control Conference
SP - 970
EP - 975
BT - Proceedings of the 2006 American Control Conference
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 2006 American Control Conference
Y2 - 14 June 2006 through 16 June 2006
ER -