Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering

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Journal Title
Journal ISSN
Volume Title
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
Date
2021-09
Major/Subject
Mcode
Degree programme
Language
en
Pages
8
Series
IEEE Transactions on Automatic Control
Abstract
This article is concerned with Gaussian filtering in nonlinear continuous-discrete state-space models. We propose a novel Taylor moment expansion (TME) Gaussian filter, which approximates the moments of the stochastic differential equation with a temporal Taylor expansion. Differently from classical linearization or Ito-Taylor approaches, the Taylor expansion is formed for the moment functions directly and in time variable, not by using a Taylor expansion on the nonlinear functions in the model. We analyze the theoretical properties, including the positive definiteness of the covariance estimate and stability of the TME filter. By numerical experiments, we demonstrate that the proposed TME Gaussian filter significantly outperforms the state-of-the-art methods in terms of estimation accuracy and numerical stability.
Description
Keywords
Continuous-discrete state-space model, Gaussian filtering, Indium tin oxide, Kalman filtering, Mathematical model, Numerical stability, State-space methods, stochastic differential equation, Taylor moment expansion, Taylor series, Thermal stability, Time measurement
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Citation
Zhao , Z , Karvonen , T , Hostettler , R & Särkkä , S 2021 , ' Taylor Moment Expansion for Continuous-Discrete Gaussian Filtering ' , IEEE Transactions on Automatic Control , vol. 66 , no. 9 , pp. 4460-4467 . https://doi.org/10.1109/TAC.2020.3047367