This page shows all publications that appeared in the IASI annual research reports. Authors currently affiliated with the Institute are always listed with the full name.

You can browse through them using either the links of the following line or those associated with author names.

Show all publications of the year  2012, with author Germani A., in the category IASI Research Reports (or show them all):

---

IASI Research Report n. 12-06  (Next)  

Cacace F., Alfredo Germani, Pasquale Palumbo

The Observer Follower Filter

ABSTRACT

This paper investigates the state estimation problem for a class of stochastic nonlinear differential systems. A novel algorithm is proposed, denoted as Observer Follower Filter (OFF), based on a mixed approach that can be summarized in two steps: the first step makes use of a high-gain observer-based estimator for nonlinear systems, applied to the system equations in order to provide the trajectory around which a Carleman approximation of the stochastic differential system is achieved. This second step defines an approximation of the stochastic nonlinear system as a bilinear system (i.e. linear drift and multiplicative noise), for which a suboptimal filtering algorithm is available from the literature. In principle, the first step can be performed by using other high-gain estimators, but in this note we prove that the proposed estimator provides an estimate with a bounded mean square error. Numerical simulations show the effectiveness of the proposed methodology, and the improvements of the OFF algorithm with respect to the standard Extended Kalman-Bucy filter obtained by increasing the order of the Carleman approximation.