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Design and implementation of Gaussian filter for nonlinear system with randomly delayed measurements and correlated noises

Author

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  • Wang, Xiaoxu
  • Liang, Yan
  • Pan, Quan
  • Zhao, Chunhui
  • Yang, Feng

Abstract

In this paper, we focus on the nonlinear state estimation problem with both one-step randomly delayed measurements and correlated noises. Firstly, a general framework of Gaussian filter is designed under Gaussian assumption on the conditional density. Furthermore, the implementation of Gaussian filter is transformed into the computation of the nonlinear numerical integrals in the proposed framework. Secondly, a new cubature Kalman filtering (CKF) algorithm is developed on the basis of the spherical-radial cubature rule for approximating such nonlinear integrals. Finally, the performance of the modified CKF is verified by a numerical simulation example.

Suggested Citation

  • Wang, Xiaoxu & Liang, Yan & Pan, Quan & Zhao, Chunhui & Yang, Feng, 2014. "Design and implementation of Gaussian filter for nonlinear system with randomly delayed measurements and correlated noises," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 1011-1024.
    • Handle: RePEc:eee:apmaco:v:232:y:2014:i:c:p:1011-1024
    DOI: 10.1016/j.amc.2013.12.168
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    Cited by:

    1. Zhao, Liqiang & Wang, Jianlin & Yu, Tao & Jian, Huan & Liu, Tangjiang, 2015. "Design of adaptive robust square-root cubature Kalman filter with noise statistic estimator," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 352-367.
    2. Li, Tao & Tang, Xiaoling & Qian, Wei & Fei, Shumin, 2019. "Hybrid-delay-dependent approach to synchronization in distributed delay neutral neural networks," Applied Mathematics and Computation, Elsevier, vol. 347(C), pages 449-463.
    3. Duan, Wei-Long & Zeng, Chunhua, 2017. "Signal power amplification of intracellular calcium dynamics with non-Gaussian noises and time delay," Applied Mathematics and Computation, Elsevier, vol. 292(C), pages 400-405.
    4. Yonggang Zhang & Yulong Huang & Ning Li & Lin Zhao, 2016. "Particle filter with one-step randomly delayed measurements and unknown latency probability," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(1), pages 209-221, January.

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