Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.764918
Title: Contributions to filtering under randomly delayed observations and additive-multiplicative noise
Author: Allahyani, Seham
ISNI:       0000 0004 7658 3935
Awarding Body: Brunel University London
Current Institution: Brunel University
Date of Award: 2017
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Abstract:
This thesis deals with the estimation of unobserved variables or states from a time series of noisy observations. Approximate minimum variance filters for a class of discrete time systems with both additive and multiplicative noise, where the measurement might be delayed randomly by one or more sample times, are investigated. The delayed observations are modelled by up to N sample times by using N Bernoulli random variables with values of 0 or 1. We seek to minimize variance over a class of filters which are linear in the current measurement (although potentially nonlinear in past measurements) and present a closed-form solution. An interpretation of the multiplicative noise in both transition and measurement equations in terms of filtering under additive noise and stochastic perturbations in the parameters of the state space system is also provided. This filtering algorithm extends to the case when the system has continuous time state dynamics and discrete time state measurements. The Euler scheme is used to transform the process into a discrete time state space system in which the state dynamics have a smaller sampling time than the measurement sampling time. The number of sample times by which the observation is delayed is considered to be uncertain and a fraction of the measurement sample time. The same problem is considered for nonlinear state space models of discrete time systems, where the measurement might be delayed randomly by one sample time. The linearisation error is modelled as an additional source of noise which is multiplicative in nature. The algorithms developed are demonstrated throughout with simulated examples.
Supervisor: Date, P. ; Wang, Z. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.764918  DOI: Not available
Keywords: Bilinear stochastic models ; Randomly delayed observations ; Continuous discrete filtering ; Minumum variance filter ; Uncertain discrete-time systems
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