101. Reduced-order Unscented Kalman Filtering with application to parameter identification in large-dimensional systems
- Author
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Philippe Moireau, Dominique Chapelle, Modeling, analysis and control in computational structural dynamics (MACS), Inria Paris-Rocquencourt, and Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)
- Subjects
Control and Optimization ,Discretization ,Dynamical systems theory ,0206 medical engineering ,02 engineering and technology ,020601 biomedical engineering ,030218 nuclear medicine & medical imaging ,03 medical and health sciences ,Computational Mathematics ,Nonlinear system ,Extended Kalman filter ,0302 clinical medicine ,Discrete time and continuous time ,Control and Systems Engineering ,Control theory ,Unscented transform ,State observer ,Equations for a falling body ,Algorithm ,[MATH.MATH-NA]Mathematics [math]/Numerical Analysis [math.NA] ,Mathematics - Abstract
See also erratum DOI:10.1051/cocv/2011001; International audience; We propose a general reduced-order filtering strategy adapted to Unscented Kalman Filtering for any choice of sampling points distribution. This provides tractable filtering algorithms which can be used with large-dimensional systems when the uncertainty space is of reduced size, and these algorithms only invoke the original dynamical and observation operators, namely, they do not require tangent operator computations, which of course is of considerable benefit when nonlinear operators are considered. The algorithms are derived in discrete time as in the classical UKF formalism - well-adapted to time discretized dynamical equations - and then extended into consistent continuous-time versions. This reduced-order filtering approach can be used in particular for the estimation of parameters in large dynamical systems arising from the discretization of partial differential equations, when state estimation can be handled by an adequate Luenberger observer inspired from feedback control. In this case, we give an analysis of the joint state-parameter estimation procedure based on linearized error, and we illustrate the effectiveness of the approach using a test problem inspired from cardiac biomechanics.
- Published
- 2011
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