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Bayesian State and Parameter Estimation using Particle Filters

Ching, J. and Beck, J. L. and Porter, K. A. (2005) Bayesian State and Parameter Estimation using Particle Filters. In: Proceedings of the 9th International Conference on Structural Safety and Reliability. Millpress , Rotterdam, Netherlands, pp. 2617-2624. ISBN 978-90-5966-056-4.

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The focus of this paper is to demonstrate the application of a recently developed Bayesian state estimation method to the recorded seismic response of a building. The method, known as the particle filter, is based on stochastic simulation. Unlike the well-known extended Kalman filter, it is applicable to highly nonlinear systems with non-Gaussian uncertainties. Recently developed techniques that improve the convergence of the particle filter simulations are also discussed. The particle filter is applied to strong motion data recorded in the 1994 Northridge earthquake in a 7-story hotel whose structural system consists of non-ductile reinforced-concrete moment frames, two of which were severely damaged during the earthquake. A simplified identification model is proposed: a time-varying nonlinear degradation model that is derived from a nonlinear finite-element model of the building previously developed at Caltech. For this case study, the particle filter provides consistent state and parameter estimates, in contrast to the extended Kalman filter, which provides inconsistent estimates.

Item Type:Book Section
Additional Information:
Subject Keywords:state estimation, system identification, Bayesian analysis, stochastic simulation, particle filter
Record Number:CaltechAUTHORS:20120905-164635238
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:33887
Deposited By: Carmen Nemer-Sirois
Deposited On:12 Nov 2012 21:43
Last Modified:03 Oct 2019 04:14

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