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State Estimation—Beyond Gaussian Filtering, Haozhan Meng

University of New Orleans Theses and Dissertations

This dissertation considers the state estimation problems with symmetric Gaussian/asymmetric skew-Gaussian assumption under linear/nonlinear systems. It consists of three parts. The first part proposes a new recursive finite-dimensional exact density filter based on the linear skew-Gaussian system. The second part adopts a skew-symmetric representation (SSR) of distribution for nonlinear skew-Gaussian estimation. The third part gives an optimized Gauss-Hermite quadrature (GHQ) rule for numerical integration with respect to Gaussian integrals and applies it to nonlinear Gaussian filters.

We first develop a linear system model driven by skew-Gaussian processes and present the exact filter for the posterior density with fixed dimensional recursive …