The paper deals with a state estimation of nonlinear stochastic dynamic systems subject to a nonlinear inequality constraint. A special focus is paid to particle filters, which provide an estimate of the whole probability density as opposed to the local filters, such as the extended Kalman filter or the unscented Kalman filter, which provide a point estimate only. Within the particle filtering ...

One of the most important problems when designing controller is how to deal with all kinds of uncertainties, which, along with the high nonlinearities of most real systems, makes it difficult to guarantee the desired closed loop performance. Recently, nonlinear Kalman-class filter has been extensively researched and several well-known algorithms, including Extended Kalman Filter (EKF), Unscente...

This paper aims to investigate several new nonlinear/non-Gaussian filters in the context of the sequential data assimilation. The unscentedKalman filter (UKF), the ensemble Kalman filter (EnKF), the sampling importance resampling particle filter (SIR-PF) and the unscented particle filter (UPF) are described in the state-space model framework in the Bayesian filtering background. We first evalua...

The application of smoothing in the integrated navigation system of 4S-Van is considered. 4S-Van is a mobile mapping system, which provides the position information of various objects on the road. For navigation purpose, it has various sensors such as an inertial measurement unit, a GPS receiver and an odometer. It is also equipped with CCD cameras, laser scanners and video cameras, for mapping...

In this paper, the fault detection problem for nonlinear dynamic power systems based an observer is treated. The nonlinear dynamic model based on differential algebraic equations (DAE) is transformed in to ordinary differential equations (ODE). Three nonlinear observers are used and compared for generating the residual signals. Which are: the extended Kalman filter, the extended Kalman estimato...

In this note, we illustrate the effect of nonlinear state propagation in the unscented Kalman filter (UKF). We consider a simple nonlinear system, consisting of a two-axis inertial measurement unit. Our intent is to show that the propagation of a set of sigma points through a nonlinear process model in the UKF can produce a counterintuitive (but correct) updated state estimate. We compare the r...

When using Bai’s method for estimating the coefficients of both the linear and nonlinear parts of a Hammerstein model, there is no guarantee that the resulting linear filter will be stable. To obtain a stable linear filter the well-known minimum phase correction can be used. However, if it used without some compensation in the nonlinear part, one obtains a Hammerstein model with no theoretical ...

Idempotent nonlinear filters may be viewed as extensions of the class of (non-realizable) ideal linear filters, and one of their characteristic features is that they reduce any input sequence {x k } to a root after one pass. This paper explores some new constructions of idempotent nonlinear filters, using ideas from algebraic category theory, which provides a natural basis for considering casca...

The evolution from the second generation of mobile communication technology (GSM) to the third generation (UMTS) requires a change of the modulation format. Due to the fact, that in UMTS the information is also packed into the envelope of the transmission signal, a linear amplification without distortions becomes essential. Power amplifiers operate at saturation with the highest efficiency. The...

Nonlinear estimation of turbulence and vortical structures has many applications in engineering and in geophysical sciences. In [18] and [41], mathematical foundation of nonlinear filtering methods was developed for viscous flow and for reacting and diffusing systems. The current work is in part an effort to contribute towards concrete computational methods to solve the nonlinear filtering equa...