Effective Filtering Analysis for Non-Gaussian Dynamic Systems

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Gaussian filtering and smoothing for continuous-discrete dynamic systems

This article is concerned with Bayesian optimal filtering and smoothing of non-linear continuous-discrete state space models, where the state dynamics are modeled with non-linear Itô-type stochastic differential equations, and measurements are obtained at discrete time instants from a non-linear measurement model with Gaussian noise. We first show how the recently developed sigma-point approxim...

متن کامل

Optimal Gaussian Filter for Effective Noise Filtering

In this paper we show that the knowledge of noise statistics contaminating a signal can be effectively used to choose an optimal Gaussian filter to eliminate noise. Very specifically, we show that the additive white Gaussian noise (AWGN) contaminating a signal can be filtered best by using a Gaussian filter of specific characteristics. The design of the Gaussian filter bears relationship with t...

متن کامل

Polynomial Filtering for Linear Discrete Time Non-gaussian Systems

In this work we propose a new filtering approach for linear discrete time non-Gaussian systems that generalizes a previous result concerning quadratic filtering [A. De Santis, A. Germani, and M. Raimondi, IEEE Trans. Automat. Control, 40 (1995) pp. 1274–1278]. A recursive νth-order polynomial estimate of finite memory 1 is achieved by defining a suitable extended state which allows one to solve...

متن کامل

Adaptive filtering for non-Gaussian processes

A new stochastic gradient robust filtering method, based on a non-linear amplitude transformation, is proposed. The method requires no a priori knowledge of the characteristics of the input signals and it is insensitive to the signals distribution and to the stationarity of the signals. A simulation study, applying both synthetic and realworld signals, shows that the proposed method has overall...

متن کامل

Fundamental Filtering Limitations in Linear Non-gaussian Systems

The Kalman filter is known to be the optimal linear filter for linear nonGaussian systems. However, nonlinear filters such as Kalman filter banks and more recent numerical methods such as the particle filter are sometimes superior in performance. Here a procedure to a priori decide how much can be gained using nonlinear filters, without having to resort to Monte Carlo simulations, is outlined. ...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Applied Mathematics & Optimization

سال: 2019

ISSN: 0095-4616,1432-0606

DOI: 10.1007/s00245-018-9552-3