The Ensemble Kalman Filter and its Relations to Other Nonlinear Filters [Elektronisk resurs]
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Roth, Michael (författare)
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23rd European Signal Processing Conference,Nice, France, Aug 31-Sept 4, 2015
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Fritsche, Carsten (författare)
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Hendeby, Gustaf 1978- (författare)
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Gustafsson, Fredrik (författare)
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- Linköpings universitet Institutionen för systemteknik (utgivare)
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Alternativt namn: ISY
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Alternativt namn: Engelska: Linköping University. Department of Electrical Engineering
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Linköpings universitet Tekniska fakulteten (utgivare)
- Institute of Electrical and Electronics Engineers (IEEE) 2015
- Engelska.
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Serie: European Signal Processing Conference 2076-1465
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Ingår i: Proceedings of the 2015 European Signal Processing Conference (EUSIPCO 2015). ; 1236-1240
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Sammanfattning
Ämnesord
Stäng
- The Ensemble Kalman filter (EnKF) is a standard algorithm in oceanography and meteorology, where it has got thousands of citations. It is in these communities appreciated since it scales much better with state dimension n than the standard Kalman filter (KF). In short, the EnKF propagates ensembles with N state realizations instead of mean values and covariance matrices and thereby avoids the computational and storage burden of working on n×n matrices. Perhaps surprising, very little attention has been devoted to the EnKF in the signal processing community. In an attempt to change this, we present the EnKF in a Kalman filtering context. Furthermore, its application to nonlinear problems is compared to sigma point Kalman filters and the particle filter, so as to reveal new insights and improvements for high-dimensional filtering algorithms in general. A simulation example shows the EnKF performance in a space debris tracking application.
Ämnesord
- Engineering and Technology (hsv)
- Electrical Engineering, Electronic Engineering, Information Engineering (hsv)
- Control Engineering (hsv)
- Teknik och teknologier (hsv)
- Elektroteknik och elektronik (hsv)
- Reglerteknik (hsv)
- Engineering and Technology (hsv)
- Electrical Engineering, Electronic Engineering, Information Engineering (hsv)
- Signal Processing (hsv)
- Teknik och teknologier (hsv)
- Elektroteknik och elektronik (hsv)
- Signalbehandling (hsv)
Indexterm och SAB-rubrik
- Kalman filter; ensemble Kalman filter; sigma point Kalman filter; UKF; particle filter
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