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arXiv · 2407.02198

Transport Map Coupling Filter for State-Parameter Estimation

Jan Grashorn·Matteo Broggi·Ludovic Chamoin·Michael Beer
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Abstract

Many dynamical systems are subjected to stochastic influences, such as random excitations, noise, and unmodeled behavior. Tracking the system's state and parameters based on a physical model is a common task for which filtering algorithms, such as Kalman filters and their non-linear extensions, are typically used. However, many of these filters use assumptions on the transition probabilities or the covariance model, which can lead to inaccuracies in non-linear systems. We will show the application of a stochastic coupling filter that can approximate arbitrary transition densities under non-Gaussian noise. The filter is based on transport maps, which couple the approximation densities to a user-chosen reference density, allowing for straightforward sampling and evaluation of probabilities.

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Jan Grashorn, Matteo Broggi, Ludovic Chamoin, Michael Beer. 2024-07-02. Transport Map Coupling Filter for State-Parameter Estimation. https://arxiv.org/abs/2407.02198

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