TY - JOUR

T1 - Kalman filtering in non-Gaussian environment using efficient score function approximation

AU - Wu, Wen-Rong

AU - Kundu, Amlan

PY - 1989/5/8

Y1 - 1989/5/8

N2 - The authors consider the problem of Kalman filtering in a non-Gaussian environment. It has been shown that a state estimate with a linear prediction corrected by a weighted score function can solve this problem, and the results are nearly optimal. However, the calculation of the score function requires a convolution of two density functions, which is difficult to implement except for simple cases. The authors propose an adaptive normal-expansion-based-distribution approximation for the efficient evaluation of the score function. It is shown that this method is simple and practically feasible. Simulations are also provided to demonstrate the success of the algorithm.

AB - The authors consider the problem of Kalman filtering in a non-Gaussian environment. It has been shown that a state estimate with a linear prediction corrected by a weighted score function can solve this problem, and the results are nearly optimal. However, the calculation of the score function requires a convolution of two density functions, which is difficult to implement except for simple cases. The authors propose an adaptive normal-expansion-based-distribution approximation for the efficient evaluation of the score function. It is shown that this method is simple and practically feasible. Simulations are also provided to demonstrate the success of the algorithm.

UR - http://www.scopus.com/inward/record.url?scp=0024891383&partnerID=8YFLogxK

U2 - 10.1109/ISCAS.1989.100378

DO - 10.1109/ISCAS.1989.100378

M3 - Conference article

AN - SCOPUS:0024891383

SN - 0271-4310

VL - 1

SP - 413

EP - 416

JO - Proceedings - IEEE International Symposium on Circuits and Systems

JF - Proceedings - IEEE International Symposium on Circuits and Systems

T2 - IEEE International Symposium on Circuits and Systems 1989, the 22nd ISCAS. Part 1

Y2 - 8 May 1989 through 11 May 1989

ER -