Approximate Gaussian variance inference for state‐space models
Bhargob Deka,
James‐A. Goulet
Abstract:SummaryState‐space models require an accurate knowledge of the process error () and measurement error () covariance matrices for exact state estimation. Even though the matrix can be, in many situations, considered to be known from the measuring instrument specifications, it is still a challenge to infer the matrix online while providing reliable estimates along with a low computational cost. In this article, we propose an analytically tractable online Bayesian inference method for inferring the matrix in s… Show more
“…The next step is to estimate the state using measurements that are synchronized with the state updates. In other words, the state is inferred directly from the measurements, which are corrupted by noise [27]. (The first scenario involves an invertible observation function, but the observation noise is unknown.…”
In this paper, we consider the problem of asynchronous estimation in the presence of packet losses for the randomly sampling nonlinear system. Packet losses occur at the control input and at the measurement side. Firstly, the synchronization of the asynchronous sampling system is realized by weighting the state of the adjacent state update points. Secondly, the projection theorem is used to estimate the system state at the sampling time. Due to modeling errors and unmodeled dynamics, obtaining an accurate dynamic model is challenging. Therefore, observation inference based on interpolation techniques is proposed to solve the asynchronous estimation problem. Furthermore, the algorithm is extended to multi-sensor systems to obtain a distributed fusion estimator. Finally, simulation experiments are conducted to validate the effectiveness of the algorithm.
“…The next step is to estimate the state using measurements that are synchronized with the state updates. In other words, the state is inferred directly from the measurements, which are corrupted by noise [27]. (The first scenario involves an invertible observation function, but the observation noise is unknown.…”
In this paper, we consider the problem of asynchronous estimation in the presence of packet losses for the randomly sampling nonlinear system. Packet losses occur at the control input and at the measurement side. Firstly, the synchronization of the asynchronous sampling system is realized by weighting the state of the adjacent state update points. Secondly, the projection theorem is used to estimate the system state at the sampling time. Due to modeling errors and unmodeled dynamics, obtaining an accurate dynamic model is challenging. Therefore, observation inference based on interpolation techniques is proposed to solve the asynchronous estimation problem. Furthermore, the algorithm is extended to multi-sensor systems to obtain a distributed fusion estimator. Finally, simulation experiments are conducted to validate the effectiveness of the algorithm.
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