WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 15, 2016
An Adaptive Filter Based Innovation Approach for State Estimation in High-Dimensional Systems
Authors: ,
Abstract: In this paper an adaptive filter (AF) based on innovation approach is described and its efficiency is compared with other estimation methods. Such AF is developed in the context of data assimilation problem in high-dimensional dynamical systems. The emphasis is put on the importance of innovation approach which is a basis for construction of the AF as well as the choice of a set of tuning parameters in the filter gain. It will be shown that the innovation representation for the initial dynamical system plays an essential role in providing stability of assimilation algorithms for stable and unstable system dynamics and allows to apply the economical and efficient optimization method known as stochastic simultaneous perturbation (SSP) algorithm. Numerical experiments will be given to illustrate the performance of the AF.
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Keywords: Dynamical system, innovation process, filter stability, minimum mean square prediction error, simultaneous stochastic perturbation
Pages: 197-206
WSEAS Transactions on Systems, ISSN / E-ISSN: 1109-2777 / 2224-2678, Volume 15, 2016, Art. #21