Cumulant filters - a recursive estimation method for systems with non-Gaussian process and measurement noise

Author(s):  
J.R. Latimer ◽  
N.M. Namazi
2021 ◽  
pp. 1-13
Author(s):  
Haitao Liu ◽  
Yew-Soon Ong ◽  
Ziwei Yu ◽  
Jianfei Cai ◽  
Xiaobo Shen

Sensors ◽  
2018 ◽  
Vol 18 (11) ◽  
pp. 3809 ◽  
Author(s):  
Yushi Hao ◽  
Aigong Xu ◽  
Xin Sui ◽  
Yulei Wang

Recently, the integration of an inertial navigation system (INS) and the Global Positioning System (GPS) with a two-antenna GPS receiver has been suggested to improve the stability and accuracy in harsh environments. As is well known, the statistics of state process noise and measurement noise are critical factors to avoid numerical problems and obtain stable and accurate estimates. In this paper, a modified extended Kalman filter (EKF) is proposed by properly adapting the statistics of state process and observation noises through the innovation-based adaptive estimation (IAE) method. The impact of innovation perturbation produced by measurement outliers is found to account for positive feedback and numerical issues. Measurement noise covariance is updated based on a remodification algorithm according to measurement reliability specifications. An experimental field test was performed to demonstrate the robustness of the proposed state estimation method against dynamic model errors and measurement outliers.


2018 ◽  
Vol 95 (1) ◽  
pp. 217-237 ◽  
Author(s):  
Matt Bender ◽  
Li Tian ◽  
Xiaozhou Fan ◽  
Andrew Kurdila ◽  
Rolf Müller

2017 ◽  
Vol 75 (12) ◽  
pp. 2952-2963 ◽  
Author(s):  
Oscar Samuelsson ◽  
Anders Björk ◽  
Jesús Zambrano ◽  
Bengt Carlsson

Monitoring and fault detection methods are increasingly important to achieve a robust and resource efficient operation of wastewater treatment plants (WWTPs). The purpose of this paper was to evaluate a promising machine learning method, Gaussian process regression (GPR), for WWTP monitoring applications. We evaluated GPR at two WWTP monitoring problems: estimate missing data in a flow rate signal (simulated data), and detect a drift in an ammonium sensor (real data). We showed that GPR with the standard estimation method, maximum likelihood estimation (GPR-MLE), suffered from local optima during estimation of kernel parameters, and did not give satisfactory results in a simulated case study. However, GPR with a state-of-the-art estimation method based on sequential Monte Carlo estimation (GPR-SMC) gave good predictions and did not suffer from local optima. Comparisons with simple standard methods revealed that GPR-SMC performed better than linear interpolation in estimating missing data in a noisy flow rate signal. We conclude that GPR-SMC is both a general and powerful method for monitoring full-scale WWTPs. However, this paper also shows that it does not always pay off to use more sophisticated methods. New methods should be critically compared against simpler methods, which might be good enough for some scenarios.


Author(s):  
Xiaogang Wang ◽  
Wutao Qin ◽  
Naigang Cui ◽  
Yu Wang

This paper presents a new recursive filter algorithm, the robust high-degree cubature information filter, which can provide reliable state estimation in the presence of non-Gaussian measurement noise. The novel algorithm is developed in the framework of the conventional information filter. The fifth-degree Cubature rule is utilized to improve the estimation accuracy and numerical stability during the time update, while the Huber technique is adopted in the measurements update stage. As the Huber technique is a combined minimum l1 and l2 norm estimation algorithm, the proposed algorithm could exhibit robustness to the non-Gaussian measurement noise, especially the glint noise. In addition, Monte Carlo simulation and the trajectory estimation for ballistic missile experiments demonstrate that the robust high-degree cubature information filter can provide improved state estimation performance over extended information filter and high-degree cubature information filter.


Author(s):  
Z. Cherneva ◽  
C. Guedes Soares

The main goal of the present paper is to study the differences of the descriptors of the wave groups in the nonlinear case in comparison with the same parameters for a Gaussian process. The data analyzed are from a deep water basin of Marintek. They consist of sequence of five identical independent experimental runs of unidirectional waves measured at ten fixed points situated in different distances from the wave maker. Each series contain about 1800 waves. Thus the statistics collected from a given gauge comprise about 9000 waves combined in a number of wave groups. Because the series describe a process significantly different from the Gaussian one, an upper and lower envelopes are introduced as lines which connect the peaks of the crests and the lower points of the troughs respectively. Spline functions are applied to calculate these envelopes. Then, the mean high run and mean group length are estimated for different levels, their ensemble average over five experimental runs is found for every gauge and is compared with the results of the theory of Gaussian process. It is found that the values of the mean time intervals of the groups correlate with coefficient of kurtosis of the process. It is determined also that mean group length is shorter and the mean high run is larger for the nonlinear wave groups in comparison with the Gaussian wave groups. The modification of wave groups in space and time is investigated in the work as well. Wigner time-frequency spectrum with Choi-Williams kernel is applied to describe the process of entire modulation and demodulation of the groups. It is found that before formation of the high wave a wave down-shifting takes place. At this stage the local spectrum is relatively narrow and the group shrinks continuously. Close to the focus the time-frequency spectrum is very wide and the group has a triangle form. Further the high wave breaks and the wave group acquires the form of “three sisters.” The transform of the group continues by its disintegration, the local spectrum stands narrow and an up-shifting is observed.


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