TY  - JOUR
A1  - Taghvaei, Amirhossein
A1  - de Wiljes, Jana
A1  - Mehta, Prashant G.
A1  - Reich, Sebastian
T1  - Kalman filter and its modern extensions for the continuous-time nonlinear filtering problem
JF  - Journal of dynamic systems measurement and control
N2  - This paper is concerned with the filtering problem in continuous time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter, which provides an exact solution for the linear Gaussian problem; (ii) the ensemble Kalman-Bucy filter (EnKBF), which is an approximate filter and represents an extension of the Kalman-Bucy filter to nonlinear problems; and (iii) the feedback particle filter (FPF), which represents an extension of the EnKBF and furthermore provides for a consistent solution in the general nonlinear, non-Gaussian case. The common feature of the three algorithms is the gain times error formula to implement the update step (to account for conditioning due to the observations) in the filter. In contrast to the commonly used sequential Monte Carlo methods, the EnKBF and FPF avoid the resampling of the particles in the importance sampling update step. Moreover, the feedback control structure provides for error correction potentially leading to smaller simulation variance and improved stability properties. The paper also discusses the issue of nonuniqueness of the filter update formula and formulates a novel approximation algorithm based on ideas from optimal transport and coupling of measures. Performance of this and other algorithms is illustrated for a numerical example.
Y1  - 2017
U6  - https://doi.org/10.1115/1.4037780
SN  - 0022-0434
SN  - 1528-9028
VL  - 140
IS  - 3
PB  - ASME
CY  - New York
ER  -