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Authors: Jindřich Havlík ; Ondřej Straka ; Jindřich Duník and Jiří Ajgl

Affiliation: University of West Bohemia, Czech Republic

ISBN: 978-989-758-198-4

Keyword(s): State Estimation, Bayesian Approach, Stochastic Integration, Measures of Nonlinearity, Measures of Non-Gaussianity.

Related Ontology Subjects/Areas/Topics: Informatics in Control, Automation and Robotics ; Nonlinear Signals and Systems ; Signal Processing, Sensors, Systems Modeling and Control ; System Identification

Abstract: The paper deals with Bayesian state estimation of nonlinear stochastic dynamic systems. The focus is aimed at the stochastic integration filter, which is based on a stochastic integration rule. It is shown that the covariance matrix of the integration error calculated as a byproduct of the rule can be used as a measure of nonlinearity. The measure informs the user about validity of the assumptions of Gaussianity, which is adopted by the stochastic integration filter. It is also demonstrated how to use this information for a prediction of the number of remaining iterations of the rule. The paper also focuses on utilization of the integration error covariance matrix for improving estimates of the mean square error of the estimates, which is produced by the filter.

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Paper citation in several formats:
Havlík, J.; Straka, O.; Duník, J. and Ajgl, J. (2016). On Nonlinearity Measuring Aspects of Stochastic Integration Filter.In Proceedings of the 13th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-758-198-4, pages 353-361. DOI: 10.5220/0005983903530361

@conference{icinco16,
author={Jind\v{r}ich Havlík. and Ond\v{r}ej Straka. and Jind\v{r}ich Duník. and Ji\v{r}í Ajgl.},
title={On Nonlinearity Measuring Aspects of Stochastic Integration Filter},
booktitle={Proceedings of the 13th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2016},
pages={353-361},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005983903530361},
isbn={978-989-758-198-4},
}

TY - CONF

JO - Proceedings of the 13th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - On Nonlinearity Measuring Aspects of Stochastic Integration Filter
SN - 978-989-758-198-4
AU - Havlík, J.
AU - Straka, O.
AU - Duník, J.
AU - Ajgl, J.
PY - 2016
SP - 353
EP - 361
DO - 10.5220/0005983903530361

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