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Particle Filters for Prediction of Chaos
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Embry-Riddle Aeronautical University, USA.
2003 (English)In: Proceedings of the 13th IFAC Symposium on System Identification, 2003Conference paper, Published paper (Refereed)
Abstract [en]

The use of particle filters for the prediction of time series arising from chaotic dynamical systems is explored. The specific dynamical systems considered are variations of the logistical map with an unknown parameter. This parameter is in the chaotic regime for these dynamical systems. The systems considered have both observation and process noise. The prediction algorithms studied are variations of particle filters which include a roughening technique. Cramer-Rao bounds for the prediction algorithm are developed and compared with Monte-Carlo simulations. 

Place, publisher, year, edition, pages
2003.
Keyword [en]
Particle filter, Dynamical systems, Non-linear systems, Estimation, Chaos, Prediction, Cramer-Rao
National Category
Engineering and Technology Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-90298ISBN: 0080437095 (print)OAI: oai:DiVA.org:liu-90298DiVA: diva2:613660
Conference
13th IFAC Symposium on System Identification, Rotterdam, The Netherlands, August, 2003
Available from: 2013-03-30 Created: 2013-03-24 Last updated: 2013-03-30

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Gustafsson, Fredrik

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