TR2017-173

Nonlinear Bayesian Estimation: From Kalman Filtering to a Broader Horizon


    •  Fang, H., Tian, N., Wang, Y., Zhou, M., "Nonlinear Bayesian Estimation: From Kalman Filtering to a Broader Horizon", IEEE/CAA Journal of Automatica Sinica, DOI: 10.1109/​JAS.2017.7510808, Vol. 5, No. 2, pp. 401-417, November 2017.
      BibTeX TR2017-173 PDF
      • @article{Fang2017nov,
      • author = {Fang, Huazhen and Tian, Ning and Wang, Yebin and Zhou, Mengchu},
      • title = {Nonlinear Bayesian Estimation: From Kalman Filtering to a Broader Horizon},
      • journal = {IEEE/CAA Journal of Automatica Sinica},
      • year = 2017,
      • volume = 5,
      • number = 2,
      • pages = {401--417},
      • month = nov,
      • doi = {10.1109/JAS.2017.7510808},
      • url = {https://www.merl.com/publications/TR2017-173}
      • }
  • MERL Contact:
  • Research Area:

    Control

Abstract:

This article presents an up-to-date tutorial review of nonlinear Bayesian estimation. State estimation for nonlinear systems has been a challenge encountered in a wide range of engineering fields, attracting decades of research effort. To date, one of the most promising and popular approaches is to view and address the problem from a Bayesian probabilistic perspective, which enables estimation of the unknown state variables by tracking their probabilistic distribution or statistics (e.g., mean and covariance) conditioned on the system's measurement data. This article offers a systematic introduction of the Bayesian state estimation framework and reviews various Kalman filtering (KF) techniques, progressively from the standard KF for linear systems to extended KF, unscented KF and ensemble KF for nonlinear systems. It also overviews other prominent or emerging Bayesian estimation methods including the Gaussian filtering, Gaussian-sum filtering, particle filtering and moving horizon estimation and extends the discussion of state estimation forward to more complicated problems such as simultaneous state and parameter/input estimation.