State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

Xu Sun; Jinqiao Duan; Xiaofan Li; Xiangjun Wang

doi:10.4064/bc105-0-14

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State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

Xu Sun Jinqiao Duan Xiaofan Li Xiangjun Wang

Year: 2015 Journal: Banach Center Publications Vol: 105 Pages: 239-246 Publisher: Institute of Mathematics, Polish Academy of Sciences

DOI: 10.4064/bc105-0-14

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Abstract

The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have

Keywords:

Kalman filter Gaussian noise Gaussian Fast Kalman filter Extended Kalman filter Noise (video) Ensemble Kalman filter Invariant extended Kalman filter Gaussian filter Mathematics Control theory (sociology) Computer science Algorithm Physics Statistics Artificial intelligence

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Target Tracking and Data Fusion in Sensor Networks

Physical Sciences → Computer Science → Artificial Intelligence

Fault Detection and Control Systems

Physical Sciences → Engineering → Control and Systems Engineering

Theoretical and Computational Physics

Physical Sciences → Physics and Astronomy → Condensed Matter Physics

State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

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