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Title: Contributions to filtering under randomly delayed observations and additive-multiplicative noise
Other Titles: Filtering with random delays and additive-multiplicative noise
Authors: Allahyani, Seham
Advisors: Date, P
Wang, Z
Keywords: Bilinear stochastic models;Randomly delayed observations;Continuous discrete filtering;Minumum variance filter;Uncertain discrete-time systems
Issue Date: 2017
Publisher: Brunel University London
Abstract: This thesis deals with the estimation of unobserved variables or states from a time series of noisy observations. Approximate minimum variance filters for a class of discrete time systems with both additive and multiplicative noise, where the measurement might be delayed randomly by one or more sample times, are investigated. The delayed observations are modelled by up to N sample times by using N Bernoulli random variables with values of 0 or 1. We seek to minimize variance over a class of filters which are linear in the current measurement (although potentially nonlinear in past measurements) and present a closed-form solution. An interpretation of the multiplicative noise in both transition and measurement equations in terms of filtering under additive noise and stochastic perturbations in the parameters of the state space system is also provided. This filtering algorithm extends to the case when the system has continuous time state dynamics and discrete time state measurements. The Euler scheme is used to transform the process into a discrete time state space system in which the state dynamics have a smaller sampling time than the measurement sampling time. The number of sample times by which the observation is delayed is considered to be uncertain and a fraction of the measurement sample time. The same problem is considered for nonlinear state space models of discrete time systems, where the measurement might be delayed randomly by one sample time. The linearisation error is modelled as an additional source of noise which is multiplicative in nature. The algorithms developed are demonstrated throughout with simulated examples.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London
Appears in Collections:Dept of Mathematics Theses
Mathematical Sciences

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