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Bayesian State and Parameter Estimation of Uncertain Dynamical Systems

Ching, Jianye and Beck, James L. and Porter, Keith A. (2006) Bayesian State and Parameter Estimation of Uncertain Dynamical Systems. Probabilistic Engineering Mechanics, 21 (1). pp. 81-96. ISSN 0266-8920. https://resolver.caltech.edu/CaltechAUTHORS:20120817-163453700

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Abstract

The focus of this paper is Bayesian state and parameter estimation using nonlinear models. A recently developed method, the particle filter, is studied that is based on stochastic simulation. Unlike the well-known extended Kalman filter, the particle filter is applicable to highly nonlinear models with non-Gaussian uncertainties. Recently developed techniques that improve the convergence of the particle filter simulations are introduced and discussed. Comparisons between the particle filter and the extended Kalman filter are made using several numerical examples of nonlinear systems. The results indicate that the particle filter provides consistent state and parameter estimates for highly nonlinear models, while the extended Kalman filter does not.


Item Type:Article
Related URLs:
URLURL TypeDescription
http://www.sciencedirect.com/science/article/pii/S0266892005000597PublisherUNSPECIFIED
http://dx.doi.org/10.1016/j.probengmech.2005.08.003DOIUNSPECIFIED
Additional Information:© 2005 Elsevier Ltd. All rights reserved. Received 4 August 2004; received in revised form 16 May 2005; accepted 6 August 2005. Available online 4 November 2005.
Subject Keywords:Bayesian analysis; State estimation; Parameter estimation; Dynamical systems; Monte Carlo simulation; Importance sampling; Particle filter; Stochastic simulation; Extended Kalman filter
Issue or Number:1
Record Number:CaltechAUTHORS:20120817-163453700
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20120817-163453700
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:33331
Collection:CaltechAUTHORS
Deposited By: Carmen Nemer-Sirois
Deposited On:20 Aug 2012 22:48
Last Modified:03 Oct 2019 04:09

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