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Title: A modified bayesian filter for randomly delayed measurements
Authors: Date, P
Singh, AK
Bhoumik, S
Keywords: Nonlinear filtering;Bayesian framwork of filtering;Random delay in measurements;Cubature quadrature kalman filter
Issue Date: 2015
Publisher: Institute of Electrical and Electronics Engineers
Citation: IEEE Transactions on Automatic Control, (99), (2016)
Abstract: The traditional Bayesian approximation framework for filtering in discrete time systems assumes that the measurement is available at every time instant. But in practice, the measurements could be randomly delayed. In the literature, the problem has been examined and solution is provided by restricting the maximum number of delay to one or two time steps. This paper develops an approach to deal with the filtering problems with an arbitrary number of delays in measurement. Pursuing this objective, traditional Bayesian approximation to nonlinear filtering problem is modified by reformulating the expressions of mean and covariances which appear during the measurement update. We use the cubature quadrature rule to evaluate the multivariate integral expressions for the mean vector and the covariance matrix which appear in the developed filtering algorithm. We compare the new algorithm which accounts for delay with the existing CQKF heuristics on two different examples and demonstrate how accounting for a random delay improves the filtering performance.
ISSN: 0018-9286
Appears in Collections:Dept of Mathematics Research Papers

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