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Implementation of a square‐root filtering approach in marginalized particle filters for mixed linear/nonlinear state‐space models
Author(s) -
Hesar Hamed Danandeh,
Mohebbi Maryam
Publication year - 2019
Publication title -
international journal of adaptive control and signal processing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.73
H-Index - 66
eISSN - 1099-1115
pISSN - 0890-6327
DOI - 10.1002/acs.2966
Subject(s) - extended kalman filter , particle filter , square root , kalman filter , control theory (sociology) , ensemble kalman filter , nonlinear system , state space , mathematics , filter (signal processing) , state space representation , gaussian , invariant extended kalman filter , nonlinear filter , algorithm , computer science , filter design , statistics , physics , artificial intelligence , geometry , control (management) , quantum mechanics , computer vision
Summary Marginalized particle filter (MPF) takes advantage of both Kalman filter and particle filter frameworks to estimate nonlinear state‐space models with reduced number of calculations in comparison to particle filter. However, due to existence of Kalman filter framework inside MPF, some limitations are introduced in implementation of MPF especially in embedded systems with finite numerical accuracies. In this paper, for the first time, we propose a novel square‐root filtering strategy for MPFs to alleviate these restrictions using modified QR factorization. Typical square‐root Kalman filters cannot be employed inside MPF due to the presence of minus operations in some equations of MPF. However, our method can be easily implemented inside the MPF structure. The proposed method can be used in any application that employs MPFs to estimate the mixed linear/nonlinear state‐space models. In order to demonstrate its usefulness, we employed the proposed square‐root filtering method inside a marginalized particle extended Kalman filter (MP‐EKF) structure, which was specifically designed for ECG denoising. The experimental results showed that, in the field of ECG denoising, the square‐root MP‐EKF performs more consistently than MP‐EKF in white Gaussian noises.