Multi-recursive Monte-Carlo method for nonlinear system state estimation

Nonlinear state estimation methods have the essential advantage over linear methods. For state-space model of the general SISO nonlinear system, single-recursive Monte-Carlo (MC) state estimation method was presented, and then multi-recursive MC estimation method was proposed. With a typical and designed mathematical model, simulation shows that the multi-recursive MC method has higher estimation precision at the cost of longer operation time; on the other hand, the state sample size has effect on the estimation precision and the operation time. As practical nonlinear method, the multi-recursive MC method also has applications to state the estimation of nonlinear system.