A Nonlinear Filter Based on Fokker-Planck Equation Conference Paper

abstract

• In this paper, a nonlinear filter based on Fokker- Planck equation (FPE) is presented for applications involving long time durations in between measurement updates. A previously developed semianalytical meshless algorithm is used to obtain the transient FPE response of nonlinear systems in near real time. Use of eigenfunctions of the discretized FP operator as basis functions causes equation error in FPE to reduce with time, implying that the algorithm is especially suited to problems with sparse measurements. The measurement update is implemented via weak form of the Bayes rule. An alternative based on function approximation of the posterior density is suggested to speed up this process. Filtering examples for up to 4-state systems are considered and compared with the extended Kalman filter (EKF). 2010 AACC.

name of conference

• Proceedings of the 2010 American Control Conference

authors

• Chakravorty, Suman

published proceedings

• 2010 AMERICAN CONTROL CONFERENCE

author list (cited authors)

• Kumar, M., & Chakravorty, S.

citation count

• 3

complete list of authors

• Kumar, Mrinal||Chakravorty, Suman

publication date

• January 2010

publisher

• Institute of Electrical and Electronics Engineers (IEEE)  Publisher

published in

• Proceedings of the ... American Control Conference. American Control Conference  Journal

Digital Object Identifier (DOI)

• 10.1109/acc.2010.5531029

International Standard Book Number (ISBN) 13

• 9781424474264

start page

• 3136

end page

• 3141

URL

• http%3A%2F%2Fdx.doi.org%2F10.1109%2Facc.2010.5531029