Bayesian Quadrature in Nonlinear Filtering

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F15%3A43925657" target="_blank" >RIV/49777513:23520/15:43925657 - isvavai.cz</a>
Result on the web
<a href="http://www.scitepress.org/portal/PublicationsDetail.aspx?ID=oZ3U7lm9GNY%3d&t=1" target="_blank" >http://www.scitepress.org/portal/PublicationsDetail.aspx?ID=oZ3U7lm9GNY%3d&t=1</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5220/0005534003800387" target="_blank" >10.5220/0005534003800387</a>

Result language
angličtina
Original language name
Bayesian Quadrature in Nonlinear Filtering
Original language description
The paper deals with the state estimation of nonlinear stochastic discrete-time systems by means of quadrature- based filtering algorithms. The algorithms use quadrature to approximate the moments given by integrals. The aim is at evaluation of the integral by Bayesian quadrature. The Bayesian quadrature perceives the integral itself as a random variable, on which inference is to be performed by conditioning on the function evaluations. Advantage of this approach is that in addition to the value of the integral, the variance of the integral is also obtained. In this paper, we improve estimation of covariances in quadrature-based filtering algorithms by taking into account the integral variance. The proposed modifications are applied to the Gauss-Hermite Kalman filter and the unscented Kalman filter algorithms. Finally, the performance of the modified filters is compared with the unmodified versions in numerical simulations. The modified versions of the filters exhibit significantly improved estimate credibility and a comparable root-mean-square error.
Czech name
—
Czech description
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Project
<a href="/en/project/GC13-07058J" target="_blank" >GC13-07058J: Consistent Fusion in Networked Estimation Systems</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 12th International Conference on Informatics in Control, Automation and Robotics (ICINCO)
ISBN
978-989-758-122-9
ISSN
—
e-ISSN
—
Number of pages
8
Pages from-to
380-387
Publisher name
SCITEPRESS
Place of publication
Colmar
Event location
Colmar, Francie
Event date
Jul 21, 2015
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000381618600052

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