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Title: A new algorithm for continuous-discrete filtering with randomly delayed measurements
Authors: Date, P
Singh, A
Bhaumik, S
Keywords: Nonlinear filtering;Continuous-discrete Bayesian approximation framework for nonlinear filtering;Delayed measurements;Negative Gaussian log-likelihood;Integration
Issue Date: 2016
Citation: IET Control Theory & Applications, 2016
Abstract: The filtering of nonlinear continuous-discrete systems is widely applicable in real-life and extensive literature is available to deal with such problems. However, all of these approaches are constrained with the assumption that the current measurement is available at every time step, although delay in measurement is natural in real-life applications. To deal with this problem, we re-derive the conventional Bayesian approximation framework for solving the continuous-discrete filtering problems. In practice, the delay is often smaller than one sampling time, which is the main case considered here. During the filtering of such systems, the actual time of correspondence should be known for a measurement received at the kth time instant. In this paper, a simple and intuitively justified cost function is used to decide the time to which the measurement at kth time instant actually corresponds. The performance of the proposed filter is compared with a conventional filter based on numerical integration which ignores random delays for a continuousdiscrete tracking problem. We show that the conventional filter fails to track the target while the modification proposed in this paper successfully deals with random delays. The proposed method may be seen as a valuable addition to the tools available for continuous-discrete filtering in nonlinear systems.
Description: This paper is a postprint of a paper submitted to and accepted for publication in IET Control Theory & Applications and is subject to Institution of Engineering and Technology Copyright. The copy of record is available at IET Digital Library.
Appears in Collections:Dept of Mathematics Research Papers

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