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A semi-analytical particle filter for identification of nonlinear oscillators

Sajeeb, R and Manohar, CS and Roy, D (2010) A semi-analytical particle filter for identification of nonlinear oscillators. In: Probabilistic Engineering Mechanics, 25 (1). pp. 35-48.

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Abstract

Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

Item Type: Journal Article
Additional Information: Copyright for this article belongs to Elsevier Science.
Keywords: Particle filter; Parameter estimation; System identification; Local linearization; Ito-Taylor's expansion
Department/Centre: Division of Mechanical Sciences > Civil Engineering
Date Deposited: 03 Dec 2009 09:55
Last Modified: 19 Sep 2010 05:53
URI: http://eprints.iisc.ernet.in/id/eprint/25047

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