Marginalized adaptive particle filtering for nonlinear models with unknown time-varying noise parameters

ÖZKAN E., Smidl V., Saha S., Lundquist C., Gustafsson F.

AUTOMATICA, vol.49, no.6, pp.1566-1575, 2013 (Peer-Reviewed Journal) identifier identifier

  • Publication Type: Article / Article
  • Volume: 49 Issue: 6
  • Publication Date: 2013
  • Doi Number: 10.1016/j.automatica.2013.02.046
  • Journal Name: AUTOMATICA
  • Journal Indexes: Science Citation Index Expanded, Scopus
  • Page Numbers: pp.1566-1575
  • Keywords: Unknown noise statistics, Adaptive filtering, Marginalized particle filter, Bayesian conjugate prior, ALGORITHM


Knowledge of the noise distribution is typically crucial for the state estimation of general state-space models. However, properties of the noise process are often unknown in the majority of practical applications. The distribution of the noise may also be non-stationary or state dependent and that prevents the use of off-line tuning methods. For linear Gaussian models, Adaptive Kalman filters (AKF) estimate unknown parameters in the noise distributions jointly with the state. For nonlinear models, we provide a Bayesian solution for the estimation of the noise distributions in the exponential family, leading to a marginalized adaptive particle filter (MAPF) where the noise parameters are updated using finite dimensional sufficient statistics for each particle. The time evolution model for the noise parameters is defined implicitly as a Kullback-Leibler norm constraint on the time variability, leading to an exponential forgetting mechanism operating on the sufficient statistics. Many existing methods are based on the standard approach of augmenting the state with the unknown variables and attempting to solve the resulting filtering problem. The MAPF is significantly more computationally efficient than a comparable particle filter that runs on the full augmented state. Further, the MAPF can handle sensor and actuator offsets as unknown means in the noise distributions, avoiding the standard approach of augmenting the state with such offsets. We illustrate the MAPF on first a standard example, and then on a tire radius estimation problem on real data. (c) 2013 Elsevier Ltd. All rights reserved.