A Nonlinear Filter by Pseudo-Formal Linearization for Nonlinear Time-Varying Systems

Abstract

This paper is concerned with a nonlinear filter for a general class of nonlinear time-varying systems, by making use of a pseudo-formal linearization method and Kalman filter approach. The given nonlinear time-varying dynamic and measurement equations are piecewisely linearized by the formal linearization method using Taylor expansion so that Kalman filter can be applied for each linearized time-varying equations. Then the resulting filters are smoothly united into a single nonlinear filter by an automatic choosing function. The efficiency of this filter is shown through numerical examples.