Linköping studies in science and technology. Licentiate Thesis. No. 1613 Kalman Filters for Nonlinear Systems and Heavy-Tailed Noise Michael Roth LERTEKN REG IK AU L TO RO MATIC CONT LINKÖPING Division of Automatic Control Department of Electrical Engineering Linköping University, SE-581 83 Linköping, Sweden http://www.control.isy.liu.se
[email protected] Linköping 2013 This is a Swedish Licentiate’s Thesis. Swedish postgraduate education leads to a Doctor’s degree and/or a Licentiate’s degree. A Doctor’s Degree comprises 240 ECTS credits (4 years of full-time studies). A Licentiate’s degree comprises 120 ECTS credits, of which at least 60 ECTS credits constitute a Licentiate’s thesis. Linköping studies in science and technology. Licentiate Thesis. No. 1613 Kalman Filters for Nonlinear Systems and Heavy-Tailed Noise Michael Roth
[email protected] www.control.isy.liu.se Department of Electrical Engineering Linköping University SE-581 83 Linköping Sweden ISBN 978-91-7519-535-3 ISSN 0280-7971 LIU-TEK-LIC-2013:47 Copyright © 2013 Michael Roth Printed by LiU-Tryck, Linköping, Sweden 2013 Dedicated to all vegetarians. Abstract This thesis is on filtering in state space models. First, we examine approximate Kalman filters for nonlinear systems, where the optimal Bayesian filtering recur- sions cannot be solved exactly. These algorithms rely on the computation of cer- tain expected values. Second, the problem of filtering in linear systems that are subject to heavy-tailed process and measurement noise is addressed. Expected values of nonlinearly transformed random vectors are an essential in- gredient in any Kalman filter for nonlinear systems, because of the required joint mean vector and joint covariance of the predicted state and measurement.