A Girsanov particle filter in nonlinear engineering dynamics

摘要

In this Letter, we propose a novel variant of the particle filter (PF) for state and parameter estimations of nonlinear engineering dynamical systems, modelled through stochastic differential equations (SDEs). The aim is to address a possible loss of accuracy in the estimates due to the discretization errors, which are inevitable during numerical integration of the SDEs. In particular, we adopt an explicit local linearization of the governing nonlinear SDEs and the resulting linearization errors in the estimates are corrected using Girsanov transformation of measures. Indeed, the linearization scheme via transformation of measures provides a weak framework for computing moments and this fits in well with any stochastic filtering strategy wherein estimates are themselves statistical moments. We presently implement the strategy using a bootstrap PF and numerically illustrate its performance for state and parameter estimations of the Duffing oscillator with linear and nonlinear measurement equations. (C) 2008 Elsevier B.V. All rights reserved.