BIMSA >
Seminar on Control Theory and Nonlinear Filtering
A Multivariate Non-Gaussian Bayesian Filter Using Power Moments
A Multivariate Non-Gaussian Bayesian Filter Using Power Moments
Organizer
Speaker
Time
Friday, November 17, 2023 9:30 PM - 10:00 PM
Venue
Online
Abstract
I will report a paper on Power Moments method for Multivariate filtering system. Doing this introduces several challenging problems, for example a positive parametrization of the density surrogate, which is not only a problem of filter design, but also one of the multiple dimensional Hamburger moment problem. They propose a parametrization of the density surrogate with the proofs to its existence, Positivstellensatz and uniqueness. Based on it, they analyze the errors of moments of the density estimates by the proposed density surrogate. A discussion on continuous and discrete treatments to the non-Gaussian Bayesian filtering problem is proposed to motivate the research on continuous parametrization of the system state. Simulation results are given to validate our proposed filter. To the best of our knowledge, the proposed filter is the first one implementing the multivariate Bayesian filter with the system state parameterized as a continuous function, which only requires the true states being Lebesgue integrable with first several orders of power moments being finite.