A Nonlinear Stochastic Filter for Continuous-Time State Estimation

Optimal Receding Horizon Filter for Continuous-Time Nonlinear Stochastic Systems

A receding horizon filtering problem for nonlinear continuous-time stochastic systems is considered. The paper presents the optimal receding horizon filtering equations. Derivation of the equations is based on the Kushner-Stratonovich and Fokker-Planck-Kolmogorov equations for conditional and unconditional density functions. This result could be a theoretical basis for the optimal control in no...

Asynchronous distributed state estimation for continuous-time stochastic processes

The problem of state estimation of a continuous-time stochastic process using an Asynchronous Distributed multi-sensor Estimation (ADE) system is considered. The state of a process of interest is estimated by a group of local estimators constituting the proposed ADE system. Each estimator is based, e.g., on a Kalman filter and performs single sensor filtration and fusion of its local results wi...

Parameter and State Estimation in Nonlinear Stochastic Continuous-Time Dynamic Models With Unknown Disturbance Intensity

Approximate Maximum Likelihood Estimation (AMLE) is an algorithm for estimating the states and parameters of models described by stochastic differential equations (SDEs). In previous work (Varziri et al., Ind. Eng. Chem. Res., 47(2), 380–393, (2008); Varziri et al., Comp. Chem. Eng., in press), AMLE was developed for SDE systems in which process-disturbance intensities and measurement-noise var...

Nonlinear bounded-error state estimation of continuous-time systems

Rotated Unscented Kalman Filter for Two State Nonlinear Systems

In the several past years, Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF) havebecame basic algorithm for state-variables and parameters estimation of discrete nonlinear systems.The UKF has consistently outperformed for estimation. Sometimes least estimation error doesn't yieldwith UKF for the most nonlinear systems. In this paper, we use a new approach for a two variablestate no...