Approximate higher-order filters are more attractive and popular in control and signal processing literature in contrast to the exact filter, since the analytical and numerical solutions of the nonlinear exact filter are not possible. The filtering model of this paper involves stochastic differential equation (SDE) formalism in combination with a nonlinear discrete observation equation. The theory of this paper is developed by adopting a unified systematic approach involving celebrated results of stochastic calculus. The Kolmogorov–Fokker–Planck equation in combination with the Kolmogorov backward equation plays the pivotal role to construct the theory of this paper “between the observations.” The conditional characteristic function is exploited to develop “filtering” at the observation instant. Subsequently, the efficacy of the filtering method of this paper is examined on the basis of its comparison with extended Kalman filtering and true state trajectories. This paper will be of interest to applied mathematicians and research communities in systems and control looking for stochastic filtering methods in theoretical studies as well as their application to real physical systems.
Third-Order Continuous-Discrete Filtering for a Nonlinear Dynamical System
Contributed by the Design Engineering Division of ASME for publication in the JOURNAL OF COMPUTATIONAL AND NONLINEAR DYNAMICS. Manuscript received March 22, 2013; final manuscript received November 18, 2013; published online February 13, 2014. Assoc. Editor: Eric A. Butcher.
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Patel, H. G., and Sharma, S. N. (February 13, 2014). "Third-Order Continuous-Discrete Filtering for a Nonlinear Dynamical System." ASME. J. Comput. Nonlinear Dynam. July 2014; 9(3): 034502. https://doi.org/10.1115/1.4026064
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