Nonlinear Kalman filtering via ultradiscretization procedure

A new filtering method for a nonlinear system is proposed. The original nonlinear system is reduced to a piecewise linear system through the procedure of ultradiscretization. Then the discrete-time Kalman filter is readily applied to the obtained system by imposing some conditions on system variable...

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Bibliographic Details
Published in:Japan journal of industrial and applied mathematics 2016-02, Vol.33 (1), p.227-238
Main Authors: Satsuma, Junkichi, Isojima, Shin
Format: Article
Language:English
Subjects:
Applications of Mathematics
Computational Mathematics and Numerical Analysis
Mathematics
Mathematics and Statistics
Original Paper
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Summary:A new filtering method for a nonlinear system is proposed. The original nonlinear system is reduced to a piecewise linear system through the procedure of ultradiscretization. Then the discrete-time Kalman filter is readily applied to the obtained system by imposing some conditions on system variables and parameters. Some numerical experiments are given to show the efficiency of the method.
ISSN:0916-7005
1868-937X
DOI:10.1007/s13160-015-0206-4