Density Difference Grid Design in a Point-Mass Filter

Jakub Matoušek, Jindřich Duník and Ondřej Straka
Additional contact information
Jakub Matoušek: Department of Cybernetics, University of West Bohemia, Univerzitní 8, 306 14 Pilsen, Czech Republic
Jindřich Duník: Department of Cybernetics, University of West Bohemia, Univerzitní 8, 306 14 Pilsen, Czech Republic
Ondřej Straka: Department of Cybernetics, University of West Bohemia, Univerzitní 8, 306 14 Pilsen, Czech Republic

Energies, 2020, vol. 13, issue 16, 1-17

Abstract: The paper deals with the Bayesian state estimation of nonlinear stochastic dynamic systems. The stress is laid on the point-mass filter, solving the Bayesian recursive relations for the state estimate conditional density computation using the deterministic grid-based numerical integration method. In particular, the grid design is discussed and the novel density difference grid is proposed. The proposed grid design covers such regions of the state-space where the conditional density is significantly spatially varying, by the dense grid. In other regions, a sparse grid is used to keep the computational complexity low. The proposed grid design is thoroughly discussed, analyzed, and illustrated in a numerical study.

Keywords: state estimation; nonlinear filtering; nonlinear system; point-mass method (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/1996-1073/13/16/4080/pdf (application/pdf)
https://www.mdpi.com/1996-1073/13/16/4080/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jeners:v:13:y:2020:i:16:p:4080-:d:395578

Access Statistics for this article

Energies is currently edited by Ms. Agatha Cao

More articles in Energies from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().