KIT | KIT-Bibliothek | Impressum | Datenschutz

Optimal Dirac Approximation by Exploiting Independencies

Eberhardt, Henning; Klumpp, Vesa; Hanebeck, Uwe D.


The sample-based recursive prediction of discrete-time nonlinear stochastic dynamic systems requires a regular reapproximation of the Dirac mixture densities characterizing the state estimate with an exponentially increasing number of components. For that purpose, a systematic approximation method is proposed that is deterministic and guaranteed to minimize a new type distance measure, the so called modified Cram\'{e}r-von Mises distance. A huge increase in approximation performance is achieved by exploiting structural independencies usually occurring between the random variables used as input to the system. The corresponding prediction step achieves optimal performance when no further assumptions can be made about the system function. In addition, the proposed approach shows a much better convergence compared to the prediction step of the particle filter and by far fewer Dirac components are required for achieving a given approximation quality. As a result, the new approximation method opens the way for the development of new fully deterministic and optimal stochastic state estimators for nonlinear dynamic systems.

Volltext §
DOI: 10.5445/IR/1000035095
DOI: 10.1109/acc.2010.5530503
Zitationen: 6
Cover der Publikation
Zugehörige Institution(en) am KIT Fakultät für Informatik – Institut für Anthropomatik (IFA)
Publikationstyp Proceedingsbeitrag
Publikationsjahr 2010
Sprache Englisch
Identifikator ISBN: 978-1-4244-7427-1
KITopen-ID: 1000035095
Erschienen in Proceedings of the 2010 American Control Conference (ACC 2010), Baltimore, Maryland, USA, June 30-July 02, 2010
Verlag Institute of Electrical and Electronics Engineers (IEEE)
Seiten 1392-1398
Nachgewiesen in Dimensions
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
KITopen Landing Page