Risk sensitive nonlinear filtering with correlated noises

White Noise Theory of Robust Nonlinear Filtering with Correlated State and Observation Noises

In the existing “direct” white noise theory of nonlinear filtering, the state process is still modelled as a Markov process satisfying an It6 stochastic differential equation, while a “finitely additive” white noise is used to model the observation noise. We remove this asymmetry by modelling the state process as the solution of a (stochastic) differential equation with a “finitely additive” wh...

Unscented Filtering from Delayed Observations with Correlated Noises

Linear transmitter with correlated noises

A linear transmitter with correlated Gaussian white additive and multiplicative noises and a periodic signal coupled either additively or multiplicatively is considered. The correlations have a weak destructive effect in case of the additive signal and a strong constructive effect in case of the multiplicative one. Analytical results for the linear transmitter with the additive signal agree wit...

Receding Horizon Filtering for Mobile Robot Systems with Cross-Correlated Sensor Noises

This paper reports on a receding horizon filtering for mobile robot systems with cross-correlated sensor noises and uncertainties. Also, the effect of uncertain parameters in the state of the tracking error model performance is considered. A distributed fusion receding horizon filter is proposed. The distributed fusion filtering algorithm represents the optimal linear combination of the local f...

Nonlinear filtering in digital phase sensitive demodulation

Abstract. The phase sensitive demodulation has been widely used in many applications, e.g. impedance measurement, communication, sonar and radar systems. In most cases, white noise is assumed for system analysis and improvement. However, impulsive noise is frequently encountered in many applications, which imposes great challenges in these systems. The paper presents a novel nonlinear filter me...