Nonlinear filtering using Gauss-Hermite quadrature and generalised Edgeworth series

TitleNonlinear filtering using Gauss-Hermite quadrature and generalised Edgeworth series
Publication TypeConference Paper
Year of Publication1999
AuthorsChalla, S., Y. Bar-Shalom, and V. Krishnamurthy
Conference NameAmerican Control Conference, 1999. Proceedings of the 1999
Pagination3397 -3401 vol.5
KeywordsEdgeworth series, filtering theory, Gauss-Hermite quadrature, measurement noise, method of moments, noise, nonlinear filtering, nonlinear filters, nonlinear systems, optimal filters, passive tracking, quasi-moments, series (mathematics), state estimation
Abstract

Continuous-discrete nonlinear filter design using the quasi-moments introduced by Kurnetsov et al. (1960) is developed. It is known that the use of Gauss Hermite quadrature method presents a computationally efficient method for updating posterior densities arising in nonlinear filtering problems. A passive tracking problem in high measurement noise scenario is considered as an example for implementing this filter

URLhttp://dx.doi.org/10.1109/ACC.1999.782395
DOI10.1109/ACC.1999.782395

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