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Student-t Process Quadratures for Filtering of Non-Linear Systems with Heavy-Tailed Noise

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F49777513%3A23520%2F17%3A43949729" target="_blank" >RIV/49777513:23520/17:43949729 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.23919/ICIF.2017.8009742" target="_blank" >http://dx.doi.org/10.23919/ICIF.2017.8009742</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.23919/ICIF.2017.8009742" target="_blank" >10.23919/ICIF.2017.8009742</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Student-t Process Quadratures for Filtering of Non-Linear Systems with Heavy-Tailed Noise

  • Original language description

    The aim of this article is to design a moment transformation for Student-t distributed random variables, which is able to account for the error in the numerically computed mean. We employ Student-t process quadrature, an instance of Bayesian quadrature, which allows us to treat the integral itself as a random variable whose variance provides information about the incurred integration error. Advantage of the Student-t process quadrature over the traditional Gaussian process quadrature, is that the integral variance depends also on the function values, allowing for a more robust modelling of the integration error. The moment transform is applied in nonlinear sigma-point filtering and evaluated on two numerical examples, where it is shown to outperform the state-of-the-art moment transforms.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    20205 - Automation and control systems

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2017

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Proceedings of the 20th International Conference on Information Fusion

  • ISBN

    978-0-9964527-0-0

  • ISSN

  • e-ISSN

  • Number of pages

    8

  • Pages from-to

    875-882

  • Publisher name

    IEEE

  • Place of publication

    Xi&apos;an

  • Event location

    Xi&apos;an, China

  • Event date

    Jul 10, 2017

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000410938300124