A scaled unscented transformation based directed Gaussian sum filter for nonlinear dynamic system identification

Impoverishment of particles, i.e. the discretely simulated sample paths of the process dynamics, poses a major obstacle in employing the particle filters for large dimensional nonlinear system identification. A known route of alleviating this impoverishment, i.e. of using an exponentially increasing ensemble size vis-a-vis the system dimension, remains computationally infeasible in most cases of practical importance. In this work, we explore the possibility of unscented transformation on Gaussian random variables, as incorporated within a scaled Gaussian sum stochastic filter, as a means of applying the nonlinear stochastic filtering theory to higher dimensional structural system identification problems. As an additional strategy to reconcile the evolving process dynamics with the observation history, the proposed filtering scheme also modifies the process model via the incorporation of gain-weighted innovation terms. The reported numerical work on the identification of structural dynamic models of dimension up to 100 is indicative of the potential of the proposed filter in realizing the stated aim of successfully treating relatively larger dimensional filtering problems. (C) 2013 Elsevier Ltd. All rights reserved.

A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification

A Monte Carlo filter, based on the idea of averaging over characteristics and fashioned after a particle-based time-discretized approximation to the Kushner-Stratonovich (KS) nonlinear filtering equation, is proposed. A key aspect of the new filter is the gain-like additive update, designed to approximate the innovation integral in the KS equation and implemented through an annealing-type iterative procedure, which is aimed at rendering the innovation (observation prediction mismatch) for a given time-step to a zero-mean Brownian increment corresponding to the measurement noise. This may be contrasted with the weight-based multiplicative updates in most particle filters that are known to precipitate the numerical problem of weight collapse within a finite-ensemble setting. A study to estimate the a-priori error bounds in the proposed scheme is undertaken. The numerical evidence, presently gathered from the assessed performance of the proposed and a few other competing filters on a class of nonlinear dynamic system identification and target tracking problems, is suggestive of the remarkably improved convergence and accuracy of the new filter. (C) 2013 Elsevier B.V. All rights reserved.