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Fundamental Filtering Limitations in Linear Non-Gaussian Systems
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.ORCID-id: 0000-0002-1971-4295
Linköpings universitet, Institutionen för systemteknik, Reglerteknik. Linköpings universitet, Tekniska högskolan.
2005 (engelsk)Inngår i: Proceedings of the 16th IFAC World Congress, 2005, s. 45-45Konferansepaper, Publicerat paper (Fagfellevurdert)
Abstract [en]

The Kalman filter is known to be the optimal linear filter for linear non-Gaussian 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. The procedure is derived in terms of the posterior Cramér-Rao lower bound. Results are shown for a class of standard distributions and models in practice.

sted, utgiver, år, opplag, sider
2005. s. 45-45
Emneord [en]
Kalman filters, Linear filters, Cramér-Rao lower bound, Nonlinear filters, Optimal filtering
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-30867DOI: 10.3182/20050703-6-CZ-1902.00046Lokal ID: 16527ISBN: 978-3-902661-75-3 (tryckt)OAI: oai:DiVA.org:liu-30867DiVA, id: diva2:251690
Konferanse
16th IFAC World Congress, Prague, Czech Republic, July, 2005
Tilgjengelig fra: 2009-10-09 Laget: 2009-10-09 Sist oppdatert: 2015-09-22

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