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

• Autorzy: Xu Sun , Jinqiao Duan , Xiaofan Li , Xiangjun Wang
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 93E11: Filtering
• 60G35: Signal detection and filtering

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 105
• Numer: 1
• Strony: 239-246

Daty

wydano

2015

Twórcy

autor

Xu Sun

• School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, Hubei, 430074, China

autor

Jinqiao Duan

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, U.S.A.

autor

Xiaofan Li

• Department of Applied Mathematics, Illinois Institute of Technology, Chicago, IL 60616, U.S.A.

autor

Xiangjun Wang

• School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan, Hubei, 430074, China

Identyfikatory

DOI

10.4064/bc105-0-14