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State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

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Sun X., Duan J., Li X., Wang X.

Banach Center Publications

2015

tom 105

nr 1

239-246

The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have infinite variance. A modified Kalman filter for linear systems with non-Gaussian Lévy noise is devised. It works effectively with reasonable computational cost. Simulation results are presented to illustrate this non-Gaussian filtering method.

Ograniczanie wyników

1 Banach Center Publications

1 Duan J.

1 Li X.

1 Sun X.

1 Wang X.

1 2015

Wyniki wyszukiwania

State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method