Title :
Nonlinear filtering using Gauss-Hermite quadrature and generalised Edgeworth series
Author :
Challa, Subhash ; Bar-Shalom, Yaakov ; Krishnamurthy, Vikram
Author_Institution :
Dept. of Electr. & Electron. Eng., Melbourne Univ., Parkville, Vic., Australia
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
Keywords :
filtering theory; method of moments; noise; nonlinear filters; nonlinear systems; series (mathematics); state estimation; Edgeworth series; Gauss-Hermite quadrature; measurement noise; nonlinear filtering; nonlinear systems; optimal filters; passive tracking; quasi-moments; state estimation; Design engineering; Filtering; Gaussian processes; Information processing; Integral equations; Nonlinear equations; Nonlinear filters; Sensor systems; Signal processing; Stochastic systems;
Conference_Titel :
American Control Conference, 1999. Proceedings of the 1999
Conference_Location :
San Diego, CA
Print_ISBN :
0-7803-4990-3
DOI :
10.1109/ACC.1999.782395
