Non-Linear Continuous-Discrete Smoothing by Basis Function Expansions of Brownian Motion

Filip Tronarp, Simo Särkkä

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

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Abstract

This paper is concerned with inferring the state of a Itô stochastic differential equation (SDE) from noisy discrete-time measurements. The problem is approached by considering basis function expansions of Brownian motion, that as a consequence give approximations to the underlying stochastic differential equation in terms of an ordinary differential equation with random coefficients. This allows for representing the latent process at the measurement points as a discrete time system with a non-linear transformation of the previous state and a noise term. The smoothing problem can then be solved by sigma-point or Taylor series approximations of this non-linear function, implementations of which are detailed. Furthermore, a method for interpolating the smoothing solution between measurement instances is developed. The developed methods are compared to the Type III smoother in simulation examples involving (i) hyperbolic tangent drift and (ii) the Lorenz 63 system where the present method is found to be better at reconstructing the smoothing solution at the measurement points, while the interpolation scheme between measurement instances appear to suffer from edge effects, serving as an invitation to future research.

Original languageEnglish
Title of host publicationProceedings of the 21st International Conference on Information Fusion, FUSION 2018
PublisherIEEE
Pages1114-1121
Number of pages8
ISBN (Print)9780996452762
DOIs
Publication statusPublished - 5 Sep 2018
MoE publication typeA4 Article in a conference publication
EventInternational Conference on Information Fusion - Cambridge, United Kingdom
Duration: 10 Jul 201813 Jul 2018
Conference number: 21

Conference

ConferenceInternational Conference on Information Fusion
Abbreviated titleFUSION
CountryUnited Kingdom
CityCambridge
Period10/07/201813/07/2018

Keywords

  • basis expansion
  • Brownian motion
  • Non-linear continuous-discrete smoothing
  • stochastic differential equation

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