BLUE, BLUP and the Kalman filter: some new results

BLUE, BLUP and the Kalman filter: some new results

In this contribution, we extend ‘Kalman-filter’ theory by introducing a new BLUE–BLUP recursion of the partitioned measurement and dynamic models. Instead of working with known state-vector means, we relax the model and assume these means to be unknown. The recursive BLUP is derived from first principles, in which a prominent role is played by the model’s misclosures. As a consequence of the me...

The Particle Filter and Extended Kalman Filter methods for the structural system identification considering various uncertainties

Structural system identification using recursive methods has been a research direction of increasing interest in recent decades. The two prominent methods, including the Extended Kalman Filter (EKF) and the Particle Filter (PF), also known as the Sequential Monte Carlo (SMC), are advantageous in this field. In this study, the system identification of a shake table test of a 4-story steel struct...

The Application of the Kalman Filter to Some Astrodynamical Problems

Doppler and bearing tracking using fuzzy adaptive unscented Kalman filter

The topic of Doppler and Bearing Tracking (DBT) problem is to achieve a target trajectory using the Doppler and Bearing measurements. The difficulty of DBT problem comes from the nonlinearity terms exposed in the measurement equations. Several techniques were studied to deal with this topic, such as the unscented Kalman filter. Nevertheless, the performance of the filter depends directly on the...

A comparison of assimilation results from the ensemble Kalman Filter and a reduced-rank extended Kalman Filter

The goal of this study is to compare the performances of the ensemble Kalman filter and a reduced-rank extended Kalman filter when applied to different dynamic regimes. Data assimilation experiments are performed using an eddy-resolving quasi-geostrophic model of the winddriven ocean circulation. By changing eddy viscosity, this model exhibits two qualitatively distinct behaviors: strongly chao...