Nonlinear filtering via generalized Edgeworth series and Gauss-Hermite quadrature

被引：39

作者：

Challa, S ^{[1
]}

Bar-Shalom, Y

Krishnamurthy, V

机构：

[1] Univ Melbourne, CSSIP, Dept Elect & Elect Engn, Parkville, Vic 3052, Australia

[2] Univ Connecticut, Dept Elect & Syst Engn, Informat & Comp Syst Grp, Storrs, CT 06268 USA

来源：

IEEE TRANSACTIONS ON SIGNAL PROCESSING | 2000年 / 48卷 / 06期

关键词：

Fokker-Planch-Kolmogorov equation (FPKE); Gauss-Hermite quadrature (GHQ) methods; generalized Edgeworth series (GES); nonlinear filters;

D O I：

10.1109/78.845944

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

In this correspondence, an approximate nonlinear filter is presented for systems with continuous time dynamics and discrete time measurements. The filter is based on a combination of generalized Edgeworth series (GES) expansion of probability density functions and Gauss-Hermite quadrature (GHQ). Application to a passive tracking problem is also presented.

引用

页码：1816 / 1820

页数：5

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