Nonlinear Filtering: Concepts and

Engineering Applications 1st Edition

Jitendra R. Raol
Visit to download the full and correct content document:
https://textbookfull.com/product/nonlinear-filtering-concepts-and-engineering-applicati
ons-1st-edition-jitendra-r-raol/
More products digital (pdf, epub, mobi) instant
download maybe you interests ...

Control Systems: Classical, Modern, and AI-Based

Approaches 1st Edition Jitendra R. Raol (Author)

https://textbookfull.com/product/control-systems-classical-
modern-and-ai-based-approaches-1st-edition-jitendra-r-raol-
author/

Nonlinear Filtering: Methods and Applications Kumar

Pakki Bharani Chandra

https://textbookfull.com/product/nonlinear-filtering-methods-and-
applications-kumar-pakki-bharani-chandra/

Coulson and Richardson’s Chemical Engineering, Fourth

Edition: Volume 3A: Chemical and Biochemical Reactors
and Reaction Engineering R. Ravi

https://textbookfull.com/product/coulson-and-richardsons-
chemical-engineering-fourth-edition-volume-3a-chemical-and-
biochemical-reactors-and-reaction-engineering-r-ravi/

Nonlinear Regression Modeling for Engineering

Applications Modeling Model Validation and Enabling
Design of Experiments 1st Edition R. Russell Rhinehart

https://textbookfull.com/product/nonlinear-regression-modeling-
for-engineering-applications-modeling-model-validation-and-
enabling-design-of-experiments-1st-edition-r-russell-rhinehart/
Enterprise GIS: Concepts and Applications 1st Edition
John R. Woodard

https://textbookfull.com/product/enterprise-gis-concepts-and-
applications-1st-edition-john-r-woodard/

Nonlinear Approaches in Engineering Applications:

Automotive Applications of Engineering Problems Reza N.
Jazar

https://textbookfull.com/product/nonlinear-approaches-in-
engineering-applications-automotive-applications-of-engineering-
problems-reza-n-jazar/

Thermodynamics Concepts and Applications 2nd Edition

Stephen R. Turns

https://textbookfull.com/product/thermodynamics-concepts-and-
applications-2nd-edition-stephen-r-turns/

Edible Oil Structuring Concepts Methods and

Applications Ashok R Patel

https://textbookfull.com/product/edible-oil-structuring-concepts-
methods-and-applications-ashok-r-patel/

Nonlinear dynamics and chaos: with applications to

physics, biology, chemistry, and engineering Strogatz

https://textbookfull.com/product/nonlinear-dynamics-and-chaos-
with-applications-to-physics-biology-chemistry-and-engineering-
strogatz/
 Nonlinear Filtering
Concepts and Engineering Applications
 Nonlinear Filtering
Concepts and Engineering Applications

Jitendra R. Raol
Girija Gopalratnam
Bhekisipho Twala
MATLAB ® is a trademark of The MathWorks, Inc. and is used with permission. The MathWorks does not warrant the accuracy of the text or exer-
cises in this book. This book’s use or discussion of MATLAB ® software or related products does not constitute endorsement or sponsorship by The
MathWorks of a particular pedagogical approach or particular use of the MATLAB ® software.

CRC Press
Taylor & Francis Group
6000 Broken Sound Parkway NW, Suite 300
Boca Raton, FL 33487-2742

© 2017 by Taylor & Francis Group, LLC

CRC Press is an imprint of Taylor & Francis Group, an Informa business

No claim to original U.S. Government works

Printed on acid-free paper

International Standard Book Number-13: 978-1-4987-4517-8 (Hardback)

This book contains information obtained from authentic and highly regarded sources. Reasonable efforts have been made to publish reliable data and
information, but the author and publisher cannot assume responsibility for the validity of all materials or the consequences of their use. The authors
and publishers have attempted to trace the copyright holders of all material reproduced in this publication and apologize to copyright holders if per-
mission to publish in this form has not been obtained. If any copyright material has not been acknowledged please write and let us know so we may
rectify in any future reprint.

Except as permitted under U.S. Copyright Law, no part of this book may be reprinted, reproduced, transmitted, or utilized in any form by any elec-
tronic, mechanical, or other means, now known or hereafter invented, including photocopying, microfilming, and recording, or in any information
storage or retrieval system, without written permission from the publishers.

For permission to photocopy or use material electronically from this work, please access www.copyright.com (http://www.copyright.com/) or con-
tact the Copyright Clearance Center, Inc. (CCC), 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400. CCC is a not-for-profit organization that
provides licenses and registration for a variety of users. For organizations that have been granted a photocopy license by the CCC, a separate system
of payment has been arranged.

Trademark Notice: Product or corporate names may be trademarks or registered trademarks, and are used only for identification and explanation
without intent to infringe.
Visit the Taylor & Francis Web site at
http://www.taylorandfrancis.com
and the CRC Press Web site at
http://www.crcpress.com
 Arbib Athans Anderson Astrom Ackermann Ahmed Aggoun

Bode Brown Bayes Bellman Bucy Bierman Balakrishnan Bryson Basar Box Boyd

Billings Benes Baras Bendat Brigo Bar-Shalom Breeman Brockett Bagachi

Cramer Clark Chen Collins Chang Challa Chigansky

Doob Davis Datchmendy Daum Deutsch Doyle Durrant-Whyte Dasarathy

Einstein Euler Evans Eykpoff Elliot

Fisher Fokker Fujisaki Franklin Falb Fuller Fourier Frost

Gauss Girsanov Gelb Grimble Geesey Graupe Goodwin

Holf Ho Handel Hassibi Haddad Haykin Hanzon Hedrick Hsia Hall

Ito Isidori Iliff Isherman

Jenkins Jazwinski Joseph Junkins Julier Jategaonkar

Kolmogorov Kushner Kalman Kailath Kallianpur Kunita Krishnan Kumar Kwakernaak

Kalaba Klein Kokotovic Kharegonekar Kucera Krebs Karandikar Kirubarajan

Legendre Lee Lipster Langevin Laub Luenberger Ljung Levy Lyapunov Liebelt Lo Loh Leonedes Lindsey Lewis Limebeer

Mayne Minorsky Meyer Mendel Moore Masani Movellan Maybeck Mitter Meditch

Mehra Maine Melsa Mook Morelli Mahalabnis Mulder Mutambra Manyika

Dedicated to these and many others who have contributed directly or indirectly to

nonlinear filtering and some supporting areas like stochastic processes/calculus …

Nyquist Nahi Nichols Nelson

Ornstein Oldenberger Olsder

Papoulis Planck Pugachev Pontrygin Popov Priestly Pearson Petersen Payne Piersol Powel Potter Plaetschke

Routh Ragazzini Rao

Shannon Stratonovich Striebel Schmidt Sage Sorenson Segall Swerling Shiryaev Scott

Sivan Smoluchowski Spall Stoica Soderstrom Sayed Shaked Simon Speyer Sridhar Saridis

Skorokhod Schaft Stengel Shinners Skogestad Song Schon Sarkka Sinha

Tao Tempo Tanizaki Uhlenbeck

Vidyasagar Viterbi Varaiya Verhaegen Varshney

Wiener Wong Wonham Warwick Widrow Watanabe Willems Wittenmark

Xiong (Jie) Yurkovich

Zadeh Zakai Zames Zhou Zhang

(The ordering of names within a line is random, and the list is not exhaustive.)
Contents

Preface.........................................................................................................................................................................................xv
Acknowledgements............................................................................................................................................................... xvii
Authors......................................................................................................................................................................................xix
Introduction..............................................................................................................................................................................xxi

Section I Mathematical Models, Kalman Filtering and H-Infinity Filters

1. Dynamic System Models and Basic Concepts.............................................................................................................. 3

1.1 Dynamic Systems: The Need for Modelling, Parameter Estimation and Filtering........................................ 3
1.2 Mathematical Modelling of Systems...................................................................................................................... 5
1.2.1 Time and Frequency Domain Aspects..................................................................................................... 5
1.2.2 Differential Equations................................................................................................................................. 6
1.2.3 Difference Equations................................................................................................................................... 6
1.2.4 State Space Models....................................................................................................................................... 7
1.2.4.1 Physical Representation.............................................................................................................. 7
1.2.4.2 Controllable Canonical Form..................................................................................................... 7
1.2.4.3 Observable Canonical Form....................................................................................................... 8
1.2.4.4 Diagonal Form.............................................................................................................................. 8
1.2.4.5 General State Space Models........................................................................................................ 8
1.2.5 Polynomial Models...................................................................................................................................... 9
1.2.6 Time Series Models...................................................................................................................................... 9
1.2.6.1 Autoregressive Model................................................................................................................ 10
1.2.6.2 Least Squares Model.................................................................................................................. 10
1.2.7 Transfer Function Models......................................................................................................................... 11
1.3 Nonlinear Dynamic Systems................................................................................................................................ 11
1.3.1 Nonlinearities in a System........................................................................................................................ 12
1.3.2 Mathematical Models of Nonlinear Systems......................................................................................... 12
1.3.2.1 Nonlinear Differential and Difference Equations................................................................. 12
1.3.2.2 Volterra Series............................................................................................................................. 13
1.3.2.3 Hammerstein Model.................................................................................................................. 13
1.3.2.4 Nonlinear State Space Models.................................................................................................. 14
1.3.2.5 Nonlinear Time Series Models................................................................................................. 14
1.4 Signal and System Norms...................................................................................................................................... 15
1.4.1 Signal Norms.............................................................................................................................................. 15
1.4.2 System Norms............................................................................................................................................ 16
1.4.2.1 H2 Norm....................................................................................................................................... 16
1.4.2.2 H∞ Norm...................................................................................................................................... 17
1.5 Digital Signal Processing, Parameter Estimation and Filtering....................................................................... 18
1.5.1 Signal Processing....................................................................................................................................... 18
1.5.2 Parameter Estimation: Recursive Approach.......................................................................................... 19
1.5.3 Filtering Concepts...................................................................................................................................... 20
1.5.4 Simple Recursive Filtering........................................................................................................................ 21
Appendix 1A: Mean Square Estimation......................................................................................................................... 21
Appendix 1B: Nonlinear Models Based on Artificial Neural Networks and Fuzzy Logic..................................... 24
Appendix 1C: Illustrative Examples............................................................................................................................... 29

2. Filtering and Smoothing................................................................................................................................................. 35

2.1 Wiener Filtering....................................................................................................................................................... 35
2.2 Least Squares Parameter Estimation.................................................................................................................... 38

vii
viii Contents

2.3 Recursive Least Squares Filter.............................................................................................................................. 39

2.4 State Space Models and Kalman Filtering........................................................................................................... 40
2.4.1 Discrete Time Filter................................................................................................................................... 41
2.4.1.1 State and Covariance Matrix Propagation.............................................................................. 41
2.4.1.2 Measurement Update................................................................................................................ 42
2.4.1.3 Kalman Gain............................................................................................................................... 42
2.4.2 Continuous Time Kalman Filter.............................................................................................................. 43
2.4.3 Interpretation of Kalman Filter................................................................................................................ 44
2.4.3.1 Continuous Time Filter.............................................................................................................. 44
2.4.3.2 Discrete Time Filter.................................................................................................................... 44
2.4.4 Filters for Correlated/Coloured Process and Measurement Noises.................................................. 45
2.4.4.1 Kalman Filter for the Correlated Process and Measurement Noises................................. 45
2.4.4.2 Handling of Coloured Process Noise and Coloured Measurement Noise
in Kalman Filters........................................................................................................................ 46
2.4.5 Time-Varying Linear Kalman Filters...................................................................................................... 47
2.4.6 Steady State Filtering................................................................................................................................. 48
2.4.7 Kalman Filter Implementation Aspects.................................................................................................. 48
2.4.8 Parallelization of Kalman Filters............................................................................................................. 49
2.4.8.1 Measurement Update Parallelization...................................................................................... 50
2.4.8.2 Time Propagation Parallelization............................................................................................ 51
2.5 Filter Error Methods............................................................................................................................................... 51
2.5.1 Output Error Method................................................................................................................................ 51
2.5.2 Process Noise Algorithms for Linear Systems...................................................................................... 52
2.5.2.1 Natural Formulation.................................................................................................................. 53
2.5.2.2 Innovations Formulation........................................................................................................... 53
2.5.2.3 Mixed Formulation.................................................................................................................... 53
2.5.3 Process Noise Algorithms for Nonlinear Systems................................................................................ 54
2.5.3.1 Steady-State Filter....................................................................................................................... 54
2.5.3.2 Time-Varying Filter.................................................................................................................... 55
2.6 Information Filtering.............................................................................................................................................. 56
2.6.1 Fisher’s Information Concept................................................................................................................... 57
2.6.2 Linear Information Filter.......................................................................................................................... 57
2.7 Smoothers................................................................................................................................................................. 58
2.7.1 Smoothing as a Combination of Forward and Backward Filtering................................................... 59
2.7.2 Fixed Interval RTS Smoother................................................................................................................... 62
2.7.3 Fixed Point Smoother................................................................................................................................ 63
2.7.4 Fixed Lag Smoother................................................................................................................................... 65
Appendix 2A: Innovations Approach to Linear Least Squares Estimation.............................................................. 66
Appendix 2B: Filtering Algorithms for Delayed State and Missing Measurements – Illustrative Example........ 74
Appendix 2C: Artificial Neural Network Based Filtering........................................................................................... 82
Appendix 2D: Image Centroid Tracking with Fuzzy Logic in Filtering Algorithms – Illustrative Example....... 85
Appendix 2E: Illustrative Examples............................................................................................................................... 93

3. H∞ Filtering...................................................................................................................................................................... 103
3.1 H∞ Norm and Robustness.................................................................................................................................... 103
3.2 H∞ Filtering Problem............................................................................................................................................. 104
3.2.1 H∞ A Posteriori Filter............................................................................................................................... 107
3.2.2 H∞ A Priori Filter...................................................................................................................................... 108
3.3 H∞ Smoother............................................................................................................................................................110
3.4 H∞ Risk-Sensitive Filter..........................................................................................................................................111
3.4.1 A Posteriori-Risk Sensitive Filter............................................................................................................113
3.4.2 A Priori Risk-Sensitive Filter...................................................................................................................113
3.4.3 Risk-Sensitive Smoother..........................................................................................................................113
3.5 Mixed H∞ and Kalman Filtering..........................................................................................................................114
3.6 Global H∞ Filter.......................................................................................................................................................116
Contents ix

Appendix 3A: Krein Space and Some Definitions and Theorems.............................................................................118

Appendix 3B: Illustrative Examples............................................................................................................................. 121

4. Adaptive Filtering.......................................................................................................................................................... 131

4.1 Need of Filter Tuning and Adaptation............................................................................................................... 131
4.2 Approaches to Adaptive Filtering...................................................................................................................... 131
4.2.1 Heuristic Approach................................................................................................................................. 132
4.2.2 Bayesian Approach.................................................................................................................................. 132
4.2.3 Maximum Likelihood–Based Optimal Adaptive Filtering............................................................... 133
4.2.4 Correlation-Based Adaptation............................................................................................................... 136
4.2.5 Concept of Covariance Matching.......................................................................................................... 137
4.2.6 Fuzzy Logic–Based Adaptation............................................................................................................. 138
4.2.6.1 Fuzzy Inference System for R with Known Q..................................................................... 138
4.2.6.2 Fuzzy Inference System for Q with Known R..................................................................... 138
4.3 H∞ Finite Memory Adaptive Filter...................................................................................................................... 139
Appendix 4A: Maneuvering Target – Illustrative Examples..................................................................................... 140
Appendix 4B: Adaptive Kalman Filter – Illustrative Example................................................................................. 148
Exercises for Section I (Chapters 1–4)........................................................................................................................... 150
References for Section I (Chapters 1–4)........................................................................................................................ 152

Section II Factorization and Approximation Filters

5. Factorization Filtering................................................................................................................................................... 157

5.1 Divergence of Kalman Filter; Need of Factorization....................................................................................... 157
5.2 UD Factorization Filter......................................................................................................................................... 157
5.2.1 Time Propagation..................................................................................................................................... 158
5.2.2 Measurement Data Update..................................................................................................................... 158
5.2.3 Filter for Correlated Process Noise and Bias Parameters.................................................................. 159
5.3 Filtering Algorithms Based on Square-Root Arrays........................................................................................ 160
5.3.1 H2 Square-Root Arrays............................................................................................................................ 160
5.3.2 Chandrasekhar Recursions.....................................................................................................................161
5.3.3 H2 Chandrasekhar Recursions................................................................................................................161
5.4 Square-Root Information Filter............................................................................................................................162
5.4.1 Inclusion of A Priori Information in the Least Squares Cost Function............................................162
5.4.2 Measurements Data Update....................................................................................................................162
5.4.3 State Propagation of Square-Root Information Filter......................................................................... 163
5.4.4 Measurements Data Update of Square-Root Information Filter....................................................... 165
5.5 Eigenvalue–Eigenvector Factorization Filtering............................................................................................... 165
5.5.1 V–D Discrete Time Measurement Update........................................................................................... 165
5.5.2 V–D Square-Root Filtering......................................................................................................................167
5.5.2.1 Continuous Time/Discrete Time Square-Root Filtering Algorithm.................................167
5.5.2.2 Discrete Time/Discrete Time Square-Root Filtering Algorithm........................................167
5.6 H-Infinity Square-Root Filters............................................................................................................................. 168
5.6.1 H-Infinity Square-Root Arrays.............................................................................................................. 168
5.6.2 H-Infinity Chandrasekhar Recursions................................................................................................. 169

6. Approximation Filters for Nonlinear Systems......................................................................................................... 175

6.1 Continuous Extended Kalman–Bucy Filter....................................................................................................... 175
6.2 Continuous-Discrete Extended Kalman–Bucy Filter........................................................................................176
6.2.1 Time Propagation Filter...........................................................................................................................176
6.2.2 Measurement Data Update/Filtering....................................................................................................176
6.3 Continuous Discrete Extended Kalman–Bucy Filter for Joint State Parameter Estimation....................... 177
6.3.1 Time Propagation..................................................................................................................................... 178
6.3.2 Measurement Data Update..................................................................................................................... 178
x Contents

6.4 Iterated Extended Kalman Filter......................................................................................................................... 178

6.5 Linearized Kalman Filter..................................................................................................................................... 179
6.6 Continuous Second-Order Minimum Variance Estimator (SOF).................................................................. 180
6.7 Continuous-Discrete Modified Gaussian Second-Order (CDMGSO) Filter................................................. 181
6.7.1 Measurement Update.............................................................................................................................. 181
6.7.2 Time Propagation/Prediction Part........................................................................................................ 182
6.8 Extended Information Filter................................................................................................................................ 182
6.9 Statistically Linearized Filter.............................................................................................................................. 183
6.10 Derivative-Free Kalman Filter............................................................................................................................. 185
6.10.1 Derivative-Free Kalman Filter Initialization....................................................................................... 185
6.10.2 Sigma Points Computation..................................................................................................................... 186
6.10.3 State and Covariance Propagation........................................................................................................ 186
6.10.4 State and Covariance Update................................................................................................................. 186
6.11 Global Approximations Nonlinear Filters......................................................................................................... 186
6.11.1 Orthogonal Series Expansion Approximations.................................................................................. 187
6.11.1.1 Approximation Based on Legendre or Fourier Bases Functions...................................... 188
6.11.1.2 Approximation Based on Chebyshev Polynomials............................................................. 189
6.11.2 Gaussian Sum Approximation............................................................................................................... 193
6.11.3 Point-Mass Approximation.................................................................................................................... 194
6.11.3.1 Measurement Update.............................................................................................................. 196
6.11.3.2 Time Propagation..................................................................................................................... 196
6.11.3.3 Point Estimates......................................................................................................................... 197
6.11.3.4 Algorithmic Aspects................................................................................................................ 197
6.11.4 Spline Approximation............................................................................................................................. 198
6.11.4.1 B-Splines.................................................................................................................................... 198
6.11.4.2 Spline Filtering......................................................................................................................... 199
6.12 Extended H-Infinity Filters.................................................................................................................................. 201
6.12.1 Continuous Time System........................................................................................................................ 201
6.12.2 Discrete Time System.............................................................................................................................. 202
Appendix 6A: Approximate Filters................................................................................................................................211
Appendix 6B: Basic Numerical Approximation Approaches.................................................................................... 219
Appendix 6C: Satellite Orbit Determination as a Nonlinear Filtering Problem – Application
of the Extended Kalman Filter, Extended UD Filter and Extended UD-RTS Smoother............................. 226
Appendix 6D: Application to Planar Tracking Problem – Illustrative Example.................................................... 242

7. Generalized Model Error Estimators for Nonlinear Systems............................................................................... 249

7.1 Philosophy of Model Error.................................................................................................................................. 250
7.2 Pontryagin’s Conditions....................................................................................................................................... 250
7.3 Basic Invariant Embedding Approach............................................................................................................... 252
7.4 Generalized Continuous Time Algorithm........................................................................................................ 253
7.5 Generalized Discrete Time Algorithm.............................................................................................................. 255
7.6 Conventional Invariance Embedding Estimators............................................................................................ 256
7.7 Robust Estimation of Model Error in H-Infinity Setting................................................................................. 256
7.7.1 Performance Norm.................................................................................................................................. 256
7.7.2 Constraint on Cost Function.................................................................................................................. 257
7.7.3 Semi-Robust/Adaptive Invariant Embedding Estimators................................................................. 258
7.8 Model Fitting Procedure to the Discrepancy/Model Error............................................................................ 258
7.9 Features of Model Error Algorithm................................................................................................................... 259
Exercises for Section II (Chapters 5–7).......................................................................................................................... 264
References for Section II (Chapters 5–7)....................................................................................................................... 266
Contents xi

Section III Nonlinear Filtering, Estimation and Implementation Approaches

8. Nonlinear Estimation and Filtering........................................................................................................................... 271

8.1 The General Estimation Framework.................................................................................................................. 271
8.2 Continuous Time Dynamic Model and Filtering............................................................................................. 272
8.2.1 Fokker–Planck Equation......................................................................................................................... 273
8.2.2 Kushner–Stratonovich Equation.............................................................................................................274
8.2.3 Minimum Variance Estimation............................................................................................................. 275
8.2.4 Bayesian Approach to Continuous Time Filtering.............................................................................. 276
8.2.4.1 Bayes Formula........................................................................................................................... 276
8.2.4.2 Nonlinear Filtering for Stochastic Differential Equation–Continuous Time Systems........278
8.2.5 Computation of the Filtered Estimates................................................................................................. 280
8.3 Bayesian Recursive Estimation–Discrete Time Systems................................................................................. 281
8.3.1 Measurement Data Update/Filtering................................................................................................... 281
8.3.2 Prediction-Time Propagation/Evolution.............................................................................................. 282
8.4 Continuous Time State–Discrete Time Measurement Estimator................................................................... 282
8.4.1 Filtering/Measurement Data Update................................................................................................... 282
8.4.2 Prediction-Time Propagation/Evolution.............................................................................................. 282
8.5 Benes Filter............................................................................................................................................................. 282
8.5.1 Equations of the Benes Filter.................................................................................................................. 285
8.5.1.1 Derivation of the Propagation Part of the Benes Filter....................................................... 285
8.5.1.2 Derivation of the Measurement Data Update Part of the Benes Filter............................. 287
8.6 Wonham Filter....................................................................................................................................................... 287
8.6.1 Development of Filtering Distribution Formulas for n = 0................................................................ 288
8.6.2 Development of Filtering Distribution Formulas for n > 0................................................................ 289
8.7 Conditionally Gaussian Filtering....................................................................................................................... 291
8.7.1 Conditionally Gaussian Models............................................................................................................ 291
8.7.2 State Space Dynamic Models................................................................................................................. 292
8.7.2.1 Time Propagation..................................................................................................................... 293
8.7.2.2 Measurement/Data Update.................................................................................................... 293
8.7.3 Conditional Gauss–Hermite Filtering.................................................................................................. 294
8.7.3.1 Time Propagation Part of the Conditional Gauss–Hermite Filter..................................... 294
8.7.3.2 Measurement/Data Update Part of the Conditional Gauss–Hermite Filter.................... 295
8.8 Daum’s Filter.......................................................................................................................................................... 297
8.8.1 Examples of Daum’s New Filter............................................................................................................. 299
8.8.2 Derivations of Daum’s Filter................................................................................................................... 301
8.8.3 Explicit Estimation Formulas................................................................................................................. 302
8.9 Schmidt’s Design of Nonlinear Filters Based on Daum’s Theory.................................................................. 303
8.9.1 Conditions for Solution of Daum’s Equations..................................................................................... 304
8.9.2 Time Propagation/Evolution and Measurement Update Equations................................................ 305
8.10 Cubature Kalman Filter: A Nonlinear Filter for High-Dimensional State Estimation............................... 306
8.10.1 Basic Bayesian Approach........................................................................................................................ 306
8.10.2 Bayesian Approach: Gaussian Assumption......................................................................................... 307
8.10.2.1 Time Evolution/Propagation.................................................................................................. 307
8.10.2.2 Measurement/Data Update.................................................................................................... 308
8.10.3 Numerical Methods for Moment Integrals.......................................................................................... 309
8.10.3.1 Product Rules............................................................................................................................ 309
8.10.3.2 Non-Product Rules................................................................................................................... 309
8.10.3.3 Basic Aspects of Cubature Rule............................................................................................. 309
8.10.4 Cubature Filter......................................................................................................................................... 309
8.10.4.1 Transformation..........................................................................................................................310
8.10.4.2 Spherical Cubature Rule...........................................................................................................310
8.10.4.3 Radial Rule.................................................................................................................................310
8.10.4.4 Spherical-Radial Rule...............................................................................................................311
xii Contents

8.10.5 Cubature Kalman Filter Algorithm........................................................................................................311

8.10.5.1 Time Propagation/Evolution...................................................................................................311
8.10.5.2 Measurement/Data Update.................................................................................................... 312
Appendix 8A: Innovations Approach to Nonlinear Filtering and Smoothing....................................................... 312
Appendix 8B: Extended Benes Filter............................................................................................................................. 320
Appendix 8C: Comparative Aspects of Nonlinear Filters......................................................................................... 323
Appendix 8D: Illustrative Examples............................................................................................................................. 326

9. Nonlinear Filtering Based on Characteristic Functions......................................................................................... 337

9.1 Conditionally Optimal Filtering......................................................................................................................... 337
9.2 Conditionally Optimal Filters for Continuous Systems.................................................................................. 338
9.2.1 pth-Order Filter Structure...................................................................................................................... 339
9.2.2 Conventional Generalized Structure.................................................................................................... 339
9.2.3 Simplification to Linear Filters............................................................................................................... 340
9.3 Conditionally Optimal Filters for Discrete Systems........................................................................................ 341
9.3.1 Models Linear in Noise........................................................................................................................... 341
9.3.2 pth-Order-Discrete Structure................................................................................................................. 342
9.3.3 Conventional Structure........................................................................................................................... 343
9.3.4 Simplification to Discrete Linear Filter................................................................................................. 343
9.3.5 Linear Filter for Second-Order Vector Difference System................................................................. 343
9.4 Filtering for Continuous Systems with Discrete Measurements................................................................... 344
9.4.1 Conditionally Optimal Filter.................................................................................................................. 345
9.4.1.1 Time Propagation Filter........................................................................................................... 345
9.4.1.2 Measurement Update Filter.................................................................................................... 345
9.4.2 A Special Case of the Filter..................................................................................................................... 346
9.4.2.1 Time Propagation Part............................................................................................................. 346
9.4.2.2 Measurement Data Update Part............................................................................................. 346
9.4.3 Continuous Discrete Linear Filter......................................................................................................... 347
9.4.3.1 Time Propagation Filter........................................................................................................... 347
9.4.3.2 Measurement Update Filter.................................................................................................... 347
9.5 Nonlinear Filtering for Correlated Noise Processes........................................................................................ 348
9.5.1 Conditionally Optimal Solutions.......................................................................................................... 348
9.5.1.1 Decomposition of the General Structure.............................................................................. 349
9.5.1.2 Simplification to Linear Filter................................................................................................. 349
9.5.2 Measurement Noise Correlation........................................................................................................... 350
9.5.2.1 Conditionally Optimal Solutions........................................................................................... 350
9.5.2.2 General Solution....................................................................................................................... 350
9.5.2.3 Correlated Measurement Noise............................................................................................. 351
9.5.2.4 Linear Filters............................................................................................................................. 351
9.5.3 Pseudo-Measurement Filter................................................................................................................... 352
9.6 Simulation Results................................................................................................................................................ 353
9.7 Derivations of Conditionally Optimal Gains for CSDM Nonlinear Systems.............................................. 355
9.7.1 Time Propagation Filter.......................................................................................................................... 355
9.7.2 Measurement Data Update..................................................................................................................... 356
9.8 Derivations of Conditionally Optimal Gains for CSDM Nonlinear Systems with Correlated
Measurement Noise.............................................................................................................................................. 356
Appendix 9A: Finite Dimensional Minmax Algorithm for Nonlinear State Estimation....................................... 357

10. Implementation Aspects of Nonlinear Filters.......................................................................................................... 361

10.1 Sequential Monte Carlo Methods: Particle Filters............................................................................................ 361
10.1.1 Sequential Importance Sampling Filter................................................................................................ 362
10.1.2 Bootstrap–Sampling Importance Resampling Filter.......................................................................... 362
10.1.3 Improved Sampling Importance Resampling Filter........................................................................... 363
10.1.4 Auxiliary Particle Filter.......................................................................................................................... 363
10.1.5 Rejection Particle Filter........................................................................................................................... 364
Contents xiii

10.1.6 Rao–Blackwell Particle Filter.................................................................................................................. 365

10.1.7 Kernel Smoothing and Regularization................................................................................................. 366
10.1.8 Data Augmentation................................................................................................................................. 366
10.1.8.1 Data Augmentation as a Bayesian Sampling Method........................................................ 367
10.1.9 Markov Chain Monte Carlo (MCMC) Particle Filter.......................................................................... 368
10.1.10 Mixture Kalman Filters........................................................................................................................... 368
10.1.11 Mixture Particle Filters........................................................................................................................... 368
10.1.12 Other Monte Carlo Filters....................................................................................................................... 369
10.2 Selection of Proposal Probability Density Functions...................................................................................... 369
10.2.1 Prior Distribution..................................................................................................................................... 369
10.2.2 Annealed Prior Distribution.................................................................................................................. 370
10.2.3 Likelihood................................................................................................................................................. 370
10.2.4 Bridging the Density and the Partitioned Sampling.......................................................................... 371
10.2.5 Gradient-Based Transition Density....................................................................................................... 371
10.2.6 Extended Kalman Filter as Proposal Distribution.............................................................................. 372
10.2.7 Unscented Particle Filter......................................................................................................................... 372
10.3 Theoretical and Practical Aspects of the Particle Filters................................................................................. 372
10.3.1 Convergence and Asymptotic Aspects................................................................................................. 372
10.3.1.1 Almost Sure Convergence....................................................................................................... 372
10.3.1.2 Mean Square Convergence..................................................................................................... 372
10.3.2 Bias and Variance..................................................................................................................................... 373
10.3.3 Robustness.................................................................................................................................................374
10.3.4 Adaptive Procedure................................................................................................................................. 375
10.4 Evaluation and Implementation of the Particles Filters.................................................................................. 375
10.5 Selection of Structural Functions and Computation of Gains in Conditionally Optimal Filters............. 376
10.5.1 Methods for Computation of Gains...................................................................................................... 376
10.5.1.1 Alpha-Family Method............................................................................................................. 376
10.5.1.2 Functional Approximation Method...................................................................................... 377
10.5.1.3 Semi-Invariant Method........................................................................................................... 378
10.5.2 Selection of Structural Functions.......................................................................................................... 378
10.5.2.1 Specialized Structures............................................................................................................. 378
10.5.2.2 Nonlinear Function of Residuals Structures........................................................................ 378
10.5.2.3 Stability Method....................................................................................................................... 379
Appendix 10A: Daum’s Particle and Non-Particle Filters......................................................................................... 379
Appendix 10B: Illustrative Examples........................................................................................................................... 384

11. Nonlinear Parameter Estimation................................................................................................................................. 387

11.1 Nonlinear Least Squares...................................................................................................................................... 387
11.2 Gaussian Least Squares Differential Correction Method............................................................................... 388
11.3 Output Error Method–Maximum Likelihood Approach............................................................................... 389
11.3.1 Principle of Maximum Likelihood........................................................................................................ 389
11.3.2 Cramér–Rao Lower Bound..................................................................................................................... 390
11.3.3 The Maximum Likelihood Estimate Is Efficient................................................................................. 392
11.3.4 Maximum Likelihood Estimation for Dynamic System.................................................................... 393
11.3.5 Derivation of the Likelihood Function................................................................................................. 393
11.3.6 Accuracy Aspects..................................................................................................................................... 394
11.3.7 Output Error Method.............................................................................................................................. 395
11.3.8 Features and Numerical Aspects of OEM/MLM............................................................................... 397
11.4 Estimation Before Modelling Approach............................................................................................................ 397
11.4.1 The Two-Step Procedure......................................................................................................................... 398
11.4.1.1 Extended Kalman Filter/Fixed Interval Smoother.............................................................. 398
11.4.1.2 Regression for Parameter Estimation.................................................................................... 398
11.4.1.3 Model Parameter Selection Procedure.................................................................................. 398
Appendix 11A: Aircraft Real Data Analysis – Illustrative Example......................................................................... 406
Appendix 11B: Expectation Maximization Algorithm for Parameter Estimation.................................................. 408
xiv Contents

12. Nonlinear Observers...................................................................................................................................................... 415

12.1 Continuous Time Full-Order Observer Design................................................................................................ 415
12.1.1 System–Observer Configuration............................................................................................................416
12.2 Discrete Time Full-Order Observer................................................................................................................... 417
12.3 Reduced Order Observer..................................................................................................................................... 417
12.4 Nonlinear Observers............................................................................................................................................ 418
12.4.1 Lyapunov Method................................................................................................................................... 419
12.4.2 Method of Extended Linearization....................................................................................................... 420
12.4.3 Method Based on Lie Algebra................................................................................................................ 421
12.4.4 Deterministic Lyapunov-Based Nonlinear Observer......................................................................... 424
12.4.4.1 Thau’s Method.......................................................................................................................... 424
12.4.4.2 Raghavan’s Method.................................................................................................................. 425
Appendix 12A: Illustrative Examples........................................................................................................................... 427
Exercises for Section III and Section IV (Chapters 8–12 and Appendixes A–F)..................................................... 431
References for Section III (Chapters 8–12).................................................................................................................... 433

Section IV Appendixes – Basic Concepts and Supporting Material

Appendix A: System Theoretic Concepts – Controllability, Observability, Identifiability and Estimability....... 437
Appendix B: Probability, Stochastic Processes and Stochastic Calculus................................................................... 441
Appendix C: Bayesian Filtering.......................................................................................................................................... 485
Appendix D: Girsanov Theorem........................................................................................................................................ 491
Appendix E: Concepts from Signal and Stochastic Analyses...................................................................................... 495
Appendix F: Notes on Simulation and Some Algorithms............................................................................................. 509
Appendix G: Additional Examples.................................................................................................................................... 519
Index......................................................................................................................................................................................... 535
Preface
The stochastic filtering theory was established in the
early 1940s with the pioneering work of Norbert Wiener
and A. N. Kolmogorov, and then it culminated in the
early 1960s with the classic and celebrated Kalman fil-
ter and soon after with the Kalman–Bucy filter. The
Kalman filter and its several variants have been based
on the state space modelling approach (of dynamic sys-
tems), and are still dominating the recursive-adaptive
filter theory. Kalman filters have been, in recent times,
applied in communications systems/networks, machine
learning (in training algorithms for artificial neural net-
works), neuroscience, economics, finance, and political
science, besides their usual and conventional applica-
tions to science and engineering technologies, espe-
cially to aerospace dynamic systems. Various extensions
for nonlinear systems have also been proposed starting
from the extended Kalman filter, since the basic Kalman
filter is applicable to only linear estimation problems.
Hence, there are now numerous approximation filters
that are applicable to nonlinear systems. Also, proper
and formal nonlinear filters directly applicable to han-
dling nonlinear filtering problems without any or more
approximations have also been formulated; however,
the practical solutions still need some special assump-
tions and numerical methods. A very interesting alter-
native to stochastic filtering is the H-infinity filtering
approach that is based on the H-infinity norm, and it
does not need any statistical assumptions on noise pro-
cesses; here these processes are considered as general-
ized random processes. This approach is also discussed
in the present book. Another alternative to stochastic
filtering is the approach of invariant embedding; this is
discussed in this book from the point of view of deter-
mination of deterministic discrepancy or estimation of
model error, both meaning essentially the same thing.
Filtering is desirable and is required in many situa-
tions in engineering: electronics systems, power sys-
tems, power grids and aerospace vehicles. Also, filtering
is very essential for estimating orbital states of (artificial)
satellites, in autonomous flight (estimation/control) of
unmanned aircraft systems/micro (or mini) air vehi-
cles (MAVs), and (multisensor multitarget, MSMT) tar-
get tracking in aerospace/aviation situations. Filtering
has also become an integral part of multisensory data
fusion systems and solutions. The approaches to non-
linear filtering are based on the minimum mean square
(MMS) – or the least squares (LS) – error principle, the
latter, which does not need any probabilistic frame-
work, can be regarded as the special case of the former.
Fundamentally, certain approaches are also based on
Bayesian theory, mainly the Bayes formula/rule. The
classical minimum mean square error (MMSE) approach
proceeds via determination of the conditional probabil-
ity density function (pdf) of the system’s states given the
actual measurements of the dynamic system. A nonlin-
ear estimation problem then reduces to the computation
of the time evolution of a pdf and the measurement/data
update of the pdf (resulting from the previous cycle).
The resultant algorithms are applicable to the situations
with nonlinear measurements and transition equations
and non-normal error terms, in addition to being appli-
cable to the normal situations. In the present book we
study two approaches to nonlinear ­filtering based on
(1) the conditional pdf of the states given the measure-
ment; and (2) the joint pdf of the states, their estimates,
and the measurements. The latter is based on the char-
acteristic function (of probability); often these estima-
tors are called the Pugachev’s nonlinear estimators.
The latter estimators are called conditionally optimal
estimators, mainly because the estimator is specified by
certain structural functions, which need to be specified
or determined. We attempt to provide some relations
among these two differing filtering concepts for nonlin-
ear systems, specifically for linear problems.
Where appropriate we use numerical simulation
examples coded in MATLAB® (MATLAB is the trade-
mark of MathWorks Ltd., USA), and the user should
have an access to PC-based MATLAB software and cer-
tain toolboxes: signal processing, control system, system
identification and related ones. There are a few good
books on filtering; however, most are quite dated and
some are not as comprehensive as desired. The treat-
ment in the present volume is comprehensive and cov-
ers three areas of filtering: (1) linear, (2) approximation
filters for nonlinear systems and (3) direct and/or exact
nonlinear filters – again these are based on two differ-
ing concepts. The approach would be, where appropri-
ate, derivations of some important linear/nonlinear
filtering algorithms, and, where feasible, a few numeri-
cal illustrative examples using MATLAB will be given.
The approach is not specifically that of explicit theorem-
proof type, intentionally kept this way so as to reduce a
heavy theoretical look of the treatment. However, sev-
eral important theorems, theoretical and/or analytical
results, short named as TARs, are presented in various
chapters and the appendixes, and the treatment in the
entire book is still formal and proper.
The end users of the soft technology of nonlinear
filtering presented in this book will be systems, aero,
mechanical, civil, electrical, and electronics engineers;
xv
xvi Preface

electronics and communications, and telecommuni- this new and emerging field is being called data ana-
cations educational institutions; several R&D labo- lytics or system analytics.
ratories; aerospace and other industries; robotics;
MATLAB® is a registered trademark of The MathWorks,
transportation and automation industry; environ-
Inc. For product information, please contact:
mental sciences; and engineering and economics sys-
tem studies. It is most likely that in the near future The MathWorks, Inc.
this soft technology of nonlinear filtering, along with 3 Apple Hill Drive
system identification and parameter estimation meth- Natick, MA 01760-2098 USA
ods, would make definite inroads into the emerging Tel: 508-647-7000
and evolving field of systems analytics and data sci- Fax: 508-647-7001
ence, and hence for analyses of business, commercial, E-mail: info@mathworks.com
environmental, and health-related data, collectively Web: www.mathworks.com
Acknowledgements
This book is primarily dedicated to all those who worked
in the very difficult areas of stochastic processes, sto-
chastic calculus and nonlinear estimation-cum-filtering.
I (JRR) am very grateful to Dr. Ranjit C. Desai (emeri-
tus professor, M. S. University of Baroda, Vadodara),
Dr. S. Balakrishna (former head and senior scientist,
FMCD, CSIR-NAL; now in the United States, and NASA
awardee), the late Dr. Naresh Kumar Sinha (emeritus
professor, Department of Electrical and Computer
Engineering, McMaster University, Canada, and my
doctoral thesis supervisor) and Dr. S. Srinathkumar (for-
mer head and senior Scientist, FMCD, CSIR-NAL, and
NASA awardee) for giving me several opportunities to
learn several concepts and methods in the areas of sys-
tem identification, parameter estimation, linear and non-
linear filtering, and target tracking and data fusion, and
applying these to some practical engineering problems.
I am as ever very grateful to my own family (my 91-year-
old-mother, daughter, son, and wife), very close relatives
and friends for their support and endurance for more
than four decades. Special thanks are due to my doc-
toral students: Drs. Girija G., VPS Naidu, Sudesh Kumar
Kashyap, and C. Kamali (senior scientists, FMCD, CSIR-
NAL, Bangalore); and Drs. T. V. Ramamurthy (Reva
University, Bangalore), and Shobha R. Savanur (vice
principal, BLDE college, Bijapur) for giving me opportu-
nities for technical discussions on various topics related
to filtering and data fusion. I am also very grateful to
Dr. P. G. Madhavan (CAO and chief algorist, Syzen
Analytics, United States) and Dr. Ambalal Patel (senior
scientist, Aeronautical Development Agency, Bangalore)
for moral and technical support for several years. I am
very grateful to Jonathan Plant and his unique team
at CRC Press/Taylor & Francis Group. I am especially
very grateful to Nora Konopka, Amber Donley, Kathryn
Everett, Jennifer Ahringer, Arlene Kopeloff, Christina
M. Taranto, Kyra Lindholm, Claudia Kisielewicz, and
Cynthia Klivecka for their tremendous support, quick
responses, alertness, and very helpful nature during
this book project and earlier ones with CRC. Jonathan
Plant has been a unique editor with tremendous zeal
and patience and a lot of respect for his authors, but for
him I would not have been able to write five books for
CRC Press. I am also very grateful to N. Shanthakumar
and Basappa (of the system identification group
FMCD-NAL) for their technical support of my activi-
ties on parameter estimation for several years. I am
also very grateful to Professors N. Shivashankarappa,
Dr. T. Vishwanath, Parimala A., and Swetha A. (Depart­­
ment of Telecommunications Engineering, MS Ramaiah
Institute of Technology, MSRIT), and Professor Reshma
Verma and Lakshmi S. (Department of Electronics and
Communications Engineering, MSRIT, Bangalore) for
several technical discussions and for their help in devel-
oping certain codes.
I (GG) would like to express my deep gratitude to
my husband, S. Gopalratnam, and other members of
my family for having made a lot of adjustments during
the writing of this book, but for their support this work
would not have been possible.
We are also very grateful to Hector Mojena III,
Jonathan Pennell, Todd Perry, and Adel Rosario for their
efficient handling of the book manuscript in its various
stages of editing and publication. We are also grateful
to Mayur J. Raol and his creative team for initial cover
design of the book.
xvii
Authors
Jitendra R. Raol earned BE and
ME degrees in electrical engi-
neering from M. S. University of
Baroda, Vadodara, in 1971 and
1973, respectively, and a PhD (in
electrical and computer engineer-
ing) from McMaster University,
Hamilton, Canada, in 1986, where
he was also a research and
teaching assistant. He taught for two years at the
M. S. University of Baroda before joining the National
Aeronautical Laboratory in 1975. At CSIR-NAL he was
involved in the activities on human pilot modelling
in fixed- and motion-based research flight simulators.
He re-joined NAL in 1986 and retired on July 31, 2007,
as a scientist G (and head of the flight mechanics and
control division at CSIR-NAL). He has visited Syria,
Germany, United Kingdom, Canada, China, United
States, and South Africa on deputation/fellowships to
work on research problems on system identification,
neural networks, parameter estimation, multisensor
data fusion, and robotics, and to present several tech-
nical papers at several international conferences, and
deliver guest lectures at some of these places. He has
given several guest lectures at many Indian colleges and
universities, and Honeywell (HTSL, Bangalore). He had
also become a fellow of the IEE/IET (United Kingdom)
and a senior member of the IEEE (United States). He is
a life-fellow of the Aeronautical Society of India and a
life member of the Systems Society of India. In 1976, he
won the K. F. Antia Memorial Prize of the Institution
of Engineers (India) for his research paper on nonlinear
filtering. He was awarded a certificate of merit by the
Institution of Engineers (India) for his paper on param-
eter estimation of unstable systems. He received a best
poster paper award from the National Conference on
Sensor Technology (New Delhi) for a paper on sensor
data fusion. He has also received a gold medal and a
certificate for a paper related to target tracking (from
the Institute of Electronics and Telecommunications
Engineers, India). He is also one of five recipients of
the CSIR (Council of Scientific and Industrial Research,
India) prestigious technology shield for the year 2003 for
the leadership and contributions to the development of
integrated flight mechanics and control technology for
aerospace vehicles in the country. The shield was associ-
ated with a plaque, a certificate, and cash prize for the
project work. He has published more than 100 research
papers and numerous technical reports. He has guest-
edited two special issues of Sadhana (an engineering
journal published by the Indian Academy of Sciences,
Bangalore) on, first, advances in modelling, system
identification and parameter estimation (jointly with
the late Dr. Naresh Kumar Sinha) and, second, on mul-
tisource, multisensor information fusion. He has also
guest-edited two special issues of the Defense Science
Journal on mobile intelligent autonomous systems
(jointly with Dr. Ajith Gopal, CSIR-SA), and aerospace
avionics and allied technologies (jointly with Professor
A. Ramachandran, MSRIT). He has guided six doctoral
and eight master research scholars and presently he is
guiding nearly eight faculty members, formally and/or
technically (of M. S. Ramaiah Institute of Technology,
Bangalore), for their doctoral theses. He has co-authored
an IEE/IET (London) Control Series book Modeling and
Parameter Estimation of Dynamic Systems (2004) and a
CRC Press (Boca Raton) book Flight Mechanics Modeling
and Analysis (2009). He has also authored the CRC Press
books Multi-Sensor Data Fusion with MATLAB (2010)
and Data Fusion Mathematics: Theory and Practice (2015).
He has edited (with Ajith Gopal) the CRC Press book
Mobile Intelligent Autonomous Systems (2012). He has
served as a member/chairman of numerous advisory,
technical project review, and doctoral examination
committees. He has also conducted sponsored research
and worked on several projects from industry as well
as other R&D organizations for NAL with substantial
budgets. He is a reviewer of a dozen national and
international journals. His main research interests
have been and are data fusion, system identification,
state/parameter estimation, flight mechanics/flight
data analysis, H-infinity filtering, nonlinear filtering,
artificial neural networks, fuzzy logic systems, genetic
algorithms, and soft technologies for robotics. He has
also authored some books as the collection of his 300
(poems and free-) verses on various facets closely
related to science, philosophy, evolution, and life itself,
in the search of true meaning of human life on this
planet. His new area of study and research is data sys-
tems analytics (DaSyA).
xix
xx
Girija Gopalratnam earned her PhD
degree from Bangalore University,
Karnataka, India, in 1996 for her
thesis titled ‘Integrated Modelling
and Parameter Estimation for Flight
Data Analysis’. A gold medalist from
Bangalore University, she holds a
masters degree and BSc (Hons.) in
physics. She worked at the National
Aerospace Laboratories (NAL) since
1976 and retired as chief scientist and head of the Flight
Mechanics and Control Division. She also served as
adviser to management and administration (M&A) for
one year before her retirement on March 31, 2014. She is
the recipient of the NAL outstanding performance awards
for research for theory of parameter estimation for inher-
ently unstable/augmented fly-by-wire aircraft/control sys-
tem in the year 1996. She has led teams that have received
the NAL outstanding performance awards for design,
development, and project execution in the areas of param-
eter estimation and multisensor data fusion. She has
over 75 research publications in peer-reviewed journals
and conferences. She is a co-author of the IEE/IET book
Modeling and Parameter Estimation of Dynamic Systems. She
has delivered a number of invited lectures and presented
papers at national and international conferences within
India and abroad. She was a guest scientist at the DLR
Institute for Flight Mechanics, Braunschweig, Germany,
March to November 1990 and May to October 2004. She
was selected to participate in the Science Technology &
Innovation Policy (STIP) Executive Education Program at
the John F. Kennedy School of Government at Harvard
University (Cambridge, Massachusetts) sponsored by the
Authors
Indo-US Science & Technology Forum (IUSSTF) in 2008.
Her R&D interests include multisensor data fusion and
tracking, modelling and parameter estimation of dynami-
cal systems, fusion for enhanced synthetic vision, Bayesian
networks, and fuzzy logic.
Bhekisipho Twala is a research
scientist with over 20 years’ expe-
rience in putting mathematics to
scientific use in the form of data
comparison, inference, analysis,
and presentation to design, col-
lect, and interpret data experi-
ments surrounding the fields of
transport, medical, artificial intel-
ligence, software engineering,
robotics, and most recently in electrical and electronic
science engineering. He is a professor of artificial
intelligence and statistical sciences, and head of the
Department of Electrical and Electronic Engineering
Science at the Johannesburg University, South Africa.
Previously, he had worked as a principal research sci-
entist, in the unit of Modelling and Digital Sciences
of the Council of Scientific and Industrial Research,
Pretoria. He had also worked as a manager at
Methodology and Standards Division, South Africa.
He was also a research fellow at the Brunel-Software
Engineering Research Group, Brunel University, and
Bournemouth University. He was a mathematical
modeller–­ consultant at London Imperial College,
and a chief technical officer at the Ministry of Public
Works and Transport. He has numerous publications
in workshops, conferences, and journals.
Introduction
Estimation-cum-filtering is desirable and required in
many situations in engineering (e.g. electronics sys-
tems, power systems/power grids) and for aerospace
vehicles. For example, radio communication signals are
corrupted with noise, and a good filtering algorithm can
remove the noise from or drastically reduce the effect
of noise in such electromagnetic signals while retain-
ing the useful information. Also, the uninterruptible
power supply device filters the line voltage in order to
smooth out undesirable fluctuations that might other-
wise shorten the lifespan of electrical devices such as
computers, printers, and TVs. Filtering now has become
very essential for estimating states of satellites and tar-
get tracking, including multisensory data fusion, in
aerospace and aviation applications. We study the fil-
tering problem mainly from the point of view of deter-
mination and estimation of states of a dynamic system
using its state space mathematical models in the filter
structure and noisy measurement data (empirical data)
in optimal, suboptimal, and robust frameworks of the
underlying optimization structure. So, this is a model-
based approach. Much of the filtering and especially
the nonlinear filtering theory is based on theory and
results from stochastic (random) processes and stochas-
tic calculus. Stochastic filtering theory was established
in the early 1940s with the pioneering work by Norbert
Wiener and A. N. Kolmogorov, and it was advanced in
1960 with the publication of the classic Kalman filter
(KF) and Kalman–Bucy filter in 1961. Also, some earlier
works on filtering theory by Bode and Shannon, Zadeh
and Ragazzini, Swerling, and Levinson were equally
important. Subsequently, the linear filtering theory in
H-2 space (Kalman filter, innovations approach) and in
Krein space (H-infinity domain) was further enriched
and strengthened by Thomas Kailath (and his team at
Stanford University). The Kalman filter and its numer-
ous variants, being based on the state space modelling
approach, have dominated the recursive-adaptive fil-
ter theory for decades in signal processing and control
areas. In recent times, Kalman filters have been applied
in communications, machine learning, neuroscience,
economics, finance, political science, and many others,
besides their usual engineering applications. Because the
Kalman filter is basically applicable to linear estimation/​
filtering problems, various extensions to nonlinear sys-
tems have been proposed starting from the extended
Kalman filter. As a result, there are now several approxi-
mation filters that are applicable to nonlinear systems.
Also, nonlinear filters that are directly applicable to
handle nonlinear systems without any (under special
circumstances) or more approximations are available.
State space domain-based estimation and filtering play
an important role in the field of nonlinear multivariable
stochastic control. The idea is, given noisy measure-
ments of the state of a nonlinear dynamic system, the
filtering problem consists in estimating as precisely as
possible the system’s state to obtain good estimates of
the time histories of these states (for example, in target
tracking these states are position, velocity, accelera-
tion, and certain angular states of the moving target).
The approaches to nonlinear filtering are based on the
minimum mean square (MMS) or the least squares
(LS) of errors (in states/measurements) methods. Also,
some approaches are based on Bayesian theory. The LS
method considers state estimation as an output (error)
LS problem and is generally non-recursive; however,
recursive approaches are available, like recursive least
squares (RLS), a special case of the Kalman filter. The
classical MMS error approach proceeds via determi-
nation of the conditional probability density function
(cpdf) for the system’s state given the measurements. A
nonlinear estimation problem then reduces to the com-
putation of the time evolution of a pdf (which, of course,
incorporates the measurement-data update part also).
The algorithms based on pdf are applicable to nonlin-
ear measurements and transition equations and non-
normal error terms, in addition to being applicable to
the normal situations.
Overview
We study in the present book two approaches to nonlin-
ear filtering based on (1) the conditional pdf of the states
given the measurement and (2) the joint pdf of the states,
their estimates and the measurements. The main style
will be derivations of several (and not all) linear and
nonlinear filtering algorithms, and implementations
of some important ones for illustration purposes using
MATLAB® framework, for which, where appropriate, we
use numerical simulation examples coded in MATLAB
(MATLAB is the trademark of MathWorks Ltd., USA).
Some codes written by the authors (and their colleagues)
will be available to the readers of the book at https://
www.crcpress.com/Nonlinear-Filtering-Concepts-and​
-E ng i ne er i ng-Appl ic at io n s/R aol- G opa l rat n a m​
-Twala/p/book/9781498745178. The user should have
an access to PC-based MATLAB software and certain
xxi
xxii
toolboxes: signal processing, control system, system
identification, neural networks and fuzzy logic, and
related ones. Although the codes are written carefully
(by us), perfection is not claimed (there might be feasi-
bility to improvise the codes, make them more optimal,
more correct/more efficient, less sensitive to some tuning
parameters, and make them more robust; all that is left
to the users). These codes will produce the results given
in the illustrative examples of the respective chapters
and appendixes of the book. Readers should use their
own discretion in utilizing these illustrative algorithms,
programs, and software for solving their own practical
problems, and the authors and the publisher of the book
do not take any responsibility in the unsuccessful appli-
cation of the said algorithms/programs/software. There
are some good books on filtering [1–12], however, most
are dated and some are not as comprehensive as desired.
The treatment in the present book is comprehensive
in that it covers three areas of filtering: (1) ­linear and
­factorization-based methods, (2) approximation filters for
nonlinear systems and (3) direct and/or exact nonlinear
filters, with some appropriate, where feasible, numerical
illustrative examples using MATLAB. The end users of
the nonlinear filtering soft technology presented in this
book will be systems, aero, mechanical, civil, electrical,
electronics engineers; electronics and communications
educational institutions; several R&D laboratories; aero-
space and other industries; transportation/automation
industry; environmental sciences/engineering; robotics;
and economics system studies. Also, in the near future
this soft technology will find definite applications to
the emerging and evolving field of systems analytics, or
data science, and thereby in the business/commercial
and environmental signal/data processing arena. Next,
a brief description of the chapters is given.
In Section I, in Chapter 1 we describe mathemati-
cal modelling aspects for linear and nonlinear systems.
Also, signal and systems norms are discussed. The latter
play a very important role in optimization frameworks
for obtaining filtering algorithms, in a stochastic or deter-
ministic domain. Chapter 2 discusses the fundamental
aspects of recursive filtering, and then dwells on the cel-
ebrated Kalman filter and its linear variants. Also, the fil-
ter error method that incorporates the KF in the structure
of the maximum likelihood (ML)/output error method
(OEM) to handle process noise is developed. We also dis-
cuss information filters and smoothers for linear systems.
These information filters are directly applicable to mul-
tisensory data fusion problems wherein target tracking
and fusion aspects are involved. The reason is that the
fusion in the information domain is straight­forward com-
pared to that in the covariance domain, that is, using the
KF as a data fuser. We also present some linear filters to
handle delayed states/measurements, missing measure-
ment data, or both. Such a requirement is encountered in
Introduction
wireless sensor networks (WSN). In Chapter 3 we study
several H-infinity filtering algorithms that are based on
the H-infinity norm. These are alternative approaches
to (linear) filtering problems that are conventionally
based on the stochastic process theory. We also dis-
cuss the mixed estimation that can combine the KF and
H-infinity filter for certain specific problem situations. In
Chapter 4 we discuss some adaptive filtering approaches
that are useful for proper tuning of the basic KF. These
approaches are also applicable to the extended KF and its
many variants. Approaches based on covariance match-
ing, fuzzy logic, neural networks, and H-infinity frame-
works are discussed for adaptive tuning.
In Section II, Chapter 5 discusses some factorization
filtering methods that are useful for retaining efficiency
and accuracy when the (original) filtering algorithms are
implemented on finite word-length computing machines.
These will be useful for embedded systems, on-board
applications of filtering algorithms for control and esti-
mation applications, and for implementation of very
large-scale aerospace estimation problems. In Chapter 6
we study several extensions of the KF to nonlinear sys-
tems. We also study several other approximation filtering
algorithms as well that are used for solving nonlinear fil-
tering problems, which are dealt with formally in Section
III. The extended information filters and the extended
H-infinity filters are also discussed. Chapter 7 discusses
the concept of model error and presents several estima-
tors that are set in the deterministic domain (using least
squares criterion) and are used for direct estimation of
model error or the so-called deterministic discrepancy
in state space nonlinear dynamic systems. The idea is
that if the proper nonlinear model of the system is not
available, then in two steps one can reasonably determine
the accurate mode from the real data by this approach,
which is called the invariant embedding procedure. We
present generalized and semi-robust adaptive estimators
for model errors for discrete and continuous time sys-
tems; these estimators are based on the H-infinity norm
and the solutions of two-point boundary value problems
using the method of invariant embedding.
In Section III, in Chapter 8, we present proper and
formal methods of filtering for nonlinear dynamic
systems. The background on stochastic differential
and difference equations, and stochastic analysis and
stochastic calculus that are needed in developing and
understanding these filtering methods is presented,
mainly in Appendix B, with other supporting theories
and analytical results presented in Appendixes C to
F. This material will also be useful in understanding
the developments of many previous chapters of the
book. In Chapter 8, we basically study several nonlin-
ear filtering approaches based on the conditional prob-
ability density function (pdf) of the states given the
measurements in the (minimum) mean-square setting
Introduction
for continuous and discrete time systems. Chapter 9
discusses the nonlinear estimators and filtering
approaches based on the concept of the characteristic
function (of the underlying joint pdf). We obtain the
conditionally optimal estimators and several special
cases that are similar to some of the existing linear
KFs and some nonlinear filters that are discussed in
Chapter 8. The similarities and contradistinctions
are presented, perhaps for the first time in a book on
nonlinear filtering. These nonlinear estimators/filters
are based on the concept of the joint probability den-
sity function (jpdf) of the states, their estimates, and
measurements. We also study some finite dimensional
and robust filtering algorithms here. In Chapter 10 we
discuss several approximation approaches, includ-
ing particle filtering and Monte Carlo simulations for
implementation of nonlinear (and approximations)
filters presented in preceding chapters. In Chapter 11
we discuss the problem of direct parameter estimation
in nonlinear dynamic systems and present nonlinear
least squares, generalized least squares differential
correction, maximum likelihood-output error, and
estimation-before-modelling methods. In Chapter 12
we discuss several approaches to nonlinear observers,
starting with the linear observer. We understand the
observer in the sense that the Kalman filter is the best
linear optimal observer.
Where appropriate, we present important theories,
algorithms, and some application results to certain
engineering examples in the appendixes of certain
chapters. Finally, in Section IV, the main Appendixes
A to F, we give some special concepts and special
formulations/equations applicable to linear and non-
linear filtering and estimation, with some important
concepts/theorems/analytical results used in some of
the previous chapters, where appropriate; throughout
the book such results are termed as TARs (theorem or
theoretical and analytical results). Certain exercises and
their solutions are mainly from the open literature that
is cited in various Sections I to IV, and at the appendixes
at the end of the chapters. Due to the types, forms, and
variability of these exercises, it has not been feasible to
cite individual references for some of the exercises. The
solution manual will be available from the publisher for
the instructors. Chapters 1 to 4, and Appendixes 1C, 2E,
3A, 3B, 4A, are contributed by the second author. All the
remaining chapters and appendixes are contributed by
the first author. However, since the book is written in a
shared manner (with the authors corresponding only
via Internet, and working on different schedules, and
concurrently), the disposition of the material could
not be made sequential, even though enough care has
been taken to have a uniform treatment; we have tried
to be as cohesive as feasible, but we do not claim any
perfection.
xxiii
Prelude to Nonlinear Filtering
The nonlinear filtering theory is mainly based on theo-
ries of stochastic processes, stochastic calculus, and sto-
chastic differential/difference equations, which in turn
are based on probability theory (and statistics); the lat-
ter is considered as an art (and science/mathematics!) of
calculating probabilities (Appendix B) [13]. The stochas-
tic processes are understood in the (restricted) sense of
random evolutions (and fluctuations, often the word vol-
atility is used) with respect to time. Often measure the-
ory is adopted as the foundation of probability theory.
However, the continuous-time processes pose difficult
measure theory-related issues [13]: If a particle is subject
to a random evolution, to show that its trajectory is con-
tinuous, or bounded, requires that all time instances be
considered. But, the classical measure theory can only
handle a countable infinity of time values. Interestingly,
the probability theory depends on measure theory, and
it also requires more of the measure theory than other
analyses. Kolmogorov’s mathematical model represents
real-world events by the elements of the sigma alge-
bra F of a probability space (Ω,F,P); here, the set Ω can
be imagined as a very big urn/vessel from which we
can pull out a small ball/set ω; then the elements of F
describe the various questions that one can ask about
ω: that a single random draw is ‘revealed’ progressively,
and time t (discrete or continuous) is introduced, in the
form of an increasing family, F of sigma algebras; thus
the sigma algebra F represents ‘what is known of ω up to
time t’. Then we call T, as the moment where for the first
time the random evolution shows a certain property. It
is a random quantity such that, to know if T = t, there is
no need to look at the evolution beyond t. In mathemati-
cal language, the event T = t belongs to F; analogously,
we can say that to know if there was a fire in January
2015, there is no need to wait until the month of April.
Also, to know if the fire occurred in November, we need
to know that a fire occurred in November, and also that no
fire occurred in December. We call these ‘non-anticipatory’
random variables at stopping time s.
The study of probability mostly involves the study of
independence: (a) sums of independent random vari-
ables (IRVs) and (b) corresponding limit (probability)
distributions. The simplest type of random evolution is
Markov-dependency, or Markov-dependency property
(MDP): If all useful information is included in (a com-
plete) knowledge of the current state of the event (and if
this is known), the knowledge of previous states does not
add any more information about the accuracy of the pre-
diction. Most examples of random evolution in nature
have MDP, or become MDP by a suitable interpretation of
the words ‘current state’ and ‘complete knowledge’. The
theory of Markov processes divides into sub-theories,
xxiv
depending on whether (a) time is discrete or continuous,
or (b) the set of possible states is finite or countably infi-
nite (Markov chains), or continuous. The classical notion
of sums of IRVs can be generalized into a branch of
Markov process theory where a group structure replaces
addition called (a) random walks in discrete time and
(b) processes with independent increments (in continu-
ous time), the very famous Brownian motion (often called
the Wiener process). From a probabilistic point of view,
a Markov process is determined by its initial law and its
transition function (probability) P(x, A). This gives, if we
observed the process in state x at time s, the probability
that we find it at a later time t in a set A (if we exclude
the case of chains, the probability of finding it exactly
in a given state x is null in general). The transition func-
tion is an analytical object; when it is stationary (it only
depends on the difference (t – s)), we obtain a function
Ps,t (x, A) to which the analytical theory of semi-groups
applies. The main aspect of these processes is their long-
term evolution; the evolution of animal or human popu-
lations can be described by Markov models with three
types of limiting behaviour: extinction, equilibrium, or
explosion. The study of these equilibria states, where a
stationarity argument is applicable, is related to the sta-
tistical mechanics. Continuous-time Markov processes
and finite state space Markov chains represent a model
of perfectly regular random evolution, which stays in a
state for a certain period of time (with known law), then
jumps into another state drawn at random according to
a known law, and so on and so forth indefinitely. But,
when the number of states becomes infinite, extraordi-
nary phenomena can happen: it could be that the jumps
accumulate in a finite period of time (and then the pro-
cess becomes indescribably complicated), even worse,
it could be that from the start each state is occupied
according to a fractal set. The other important area of
Markov process theory is diffusion theory. In contrast
to Markov chains (which, in simple cases, progress only
by jumps separated by an interval of constant length),
the diffusions are Markov processes (real, or with values
in space of real numbers, or a manifold) whose trajec-
tories are continuous. We know from Kolmogorov that
the transition function is a solution to a parabolic partial
differential equation (PDE), the Fokker–Planck equa-
tion (i.e. forward or backward Kolmogorov equation,
FPKFE). The ideas of increasing families of sigma alge-
bras (stopping times) made it possible to give a precise
meaning to what we call the strong Markov property.
Given a Markov process whose transition function is
known (and stationary), the process considered from a
random time T is again a Markov process with the same
transition function, provided T is a stopping time.
There is some connection between classical potential
theory (Appendix E) and continuous time martingale
theory (Appendix B). The idea is the link between the
Introduction
solution of Dirichlet’s problem (Appendix E) in an open
set, and the behaviour of Brownian motion starting
from a point x of this open set; the first moment (means
first time) when a trajectory ω of Brownian motion
meets the boundary depends on ω; hence, it is a random
variable. Call it T(ω); and let X(ω) be the position of the
trajectory at that (time) moment. Then it is a point on the
boundary, so if f is a boundary function, f(X) is a ran-
dom quantity whose expected value depends on the ini-
tial point x. Call it then F(x); this function on the open set
solves Dirichlet’s problem on the open set with bound-
ary condition f. There is a link between the harmonic
and super-harmonic functions of potential theory, and
martingale theory: if a harmonic (or super-harmonic)
function is decomposed with Brownian motion, then
we obtain a martingale (or super-martingale) with con-
tinuous trajectories. If we emphasize this continuity,
super-harmonic functions are not in general continu-
ous functions, but Brownian trajectories do not see their
irregularities.
A good example of martingales is the capital of a
player during a fair game: on average, this capital stays
constant, however, in detail it can fluctuate consider-
ably; significant, and yet rare gains can compensate
for accumulations of small losses (or conversely). The
notion of super-martingale corresponds to an unfavor-
able game (the ‘super’ expresses the point of view of
the casino). In continuous time, Brownian motion (the
mathematical model describing the motion of a pollen
particle in water seen under a microscope) is a pure fluc-
tuation. On average, the particle does not move: hence,
the two-​dimensional Brownian motion is a martingale;
however, if we add a third-vertical dimension, it loses
the martingale property, because the particle will tend
to go down if it is denser than water (this vertical com-
ponent is a super-martingale), and go up otherwise.
It is also clear that the results obtained for Brownian
motion can be extended to more general Markov pro-
cesses. Interestingly, the main role is played by a pair
of transition semi-groups that are dual with respect to
a measure (in classical potential theory), the Brownian
semi-group is its own dual with respect to Lesbegue
measure (Appendix E). Then, we can build a much
richer potential theory; however, provisionally, duality
remains devoid of probabilistic interpretation. In two
dimensions, Brownian motion is said to be recurrent.
Its trajectories (instead of tending to infinity) come back
(infinitely often) to an arbitrary neighbourhood of any
point of the plane, giving rise to (the special theory of)
logarithmic potential. There exists a class of Markov
processes of the same kind, whose study is related
rather to the ergodic theory; also, there is a link between
probability, harmonic analysis, and group theory (dis-
crete groups and Lie groups). Ergocity signifies that
the properties of a (stochastic) process remain the same
Introduction
whether these are evaluated across a given ensemble of
the process at a certain time or are evaluated for any
one member of the ensemble along the entire time of the
time history of the member, that is, one realization.
In the study of diffusions – the time evolution of ran-
dom processes – the main concern is the structure of
diffusions in several dimensions, and in particular the
possible behaviour (at the boundary of an open set) of
a diffusion whose infinitesimal generator is known in
the interior. For example, choose a problem, then find
all strongly Markov processes with continuous trajecto-
ries on the positive closed half-line, which are Brownian
motions in the open half-line. However, the problem in
several dimensions is much more difficult. The idea is
that the diffusion is formed from an interior process,
describing the first trip to the boundary, then the sub-
sequent excursions starting and ending on the bound-
ary; an infinite number of small excursions happen in a
finite amount of time, and we must manage to describe
them and join them back together. It is natural that mar-
tingales should be applied to Markov processes; con-
versely, methods developed for Markov processes have
an impact on the theory of martingales.
A stochastic process X is thought of a function of two
variables X(t,ω) or X(ω). Here, ω is ‘chance’, a param-
eter drawn randomly from a giant ‘urn/vessel’ Ω,
and the trajectories of the processes are functions of
time t → Xt(ω). However, in general they are irregular
functions, and we cannot define them by the methods
t martingale inequalities. From a concrete point of view,
of analysis, an integral
∫ f (s) dX (ω)
0
s (for reasonable
functions of time), which, in fact, would be the limits
of Riemann sums (Appendix E) on the interval (0,t):
∑ f (s(k))(X(k − 1) − X(k))
k
(here, suffix t is avoided),
where s(k) would be an arbitrary point in the interval
(k, k + 1). However, this is much less feasible if the func-
tion f(s,ω) itself depends on chance. However, Ito had
studied the case where X is a Brownian motion, and f a
process such that at each instant t, f(t,ω) does not depend
on the behaviour of the Brownian motion after the
instant t, and where s(k) is the left endpoint of the inter-
val (k, k + 1). In this case, we can show that the Riemann
sums converge (not for each ω, but as RVs on Ω) to a
quantity that is called the (Ito) stochastic integral with
all the properties desired for an integral. This could
seem artificial, but the discrete analog shows that it is
not so, the sums considered in this case are of the form
n at the same time) was also carried out, and we can
S( k ) = ∑ f (k)(X(k − 1) − X(k)).
k =1
Set X(k + 1) – X(k) =
x(k), and think of S(n) as the capital (positive/gain or
negative/loss) of a gambler passing his time in a casino,
just after the nth game. In this case, f(k) represents the
xxv
stake, whereas x(k) is a normalized quantity represent-
ing the gain of a gambler (who stakes $1 at the kth game);
and that f(k) only depends on the past then signifies that
the gambler is not a psychic. Using the language of finan-
cial mathematics, we see that the normalized quantities
Xt represent prices of stocks, for example, and we know
this is how Brownian motion made its appearance in
mathematics. A question of great practical importance
involving the stochastic integral is the modelling of the
noise that disturbs the (time) evolution of a (mechanical
or any feasible) dynamic system. The only one of these
aspects that has a properly mathematical importance is
the Stratonovich integral (SSI). This SSI possesses the
remarkable property of being the limit of deterministic
integrals when we approach Brownian motion by differ-
entiable curves. Ito’s most important contribution (not
to have defined stochastic integrals, since Wiener had
already prepared the way, but to have developed their
calculus) was the famous Ito formula, which expresses
how this integral differs from the ordinary integral.
He also used them to develop a very complete theory
of stochastic differential equations. It is already known
that Ito’s stochastic integral theory is not essentially tied
to Brownian motion, but could be extended to some
square-integrable martingales. This theory would very
quickly extend to martingales that are not necessarily
square-integrable: on one hand by means of the notion
of a local martingale, which leads to the final notion of
semi-martingale, and on the other hand by means of new
a semi-martingale is a process obtained by superpos-
ing a signal: (a) a process with regular trajectories (of
bounded variation), satisfying the technical condition
of being predictable, and (b) a noise (i.e. a meaningless
process/pure fluctuation, unwanted stuff), modelled
by a local martingale. The decomposition theorem says
that (under minimal integrability conditions of the
absence of very big jumps), the decomposition of the
process into the sum of a signal and a noise is unique.
Knowing the law of probability we can filter out the noise
and recover the signal in a unique manner. This reading
(out)/recovering of the signal depends not only on the
process, but also on the underlying filtration/estimation/
filtering method that represents the knowledge of the
observer. The fundamental properties of Ito’s stochastic
integral (ITSI) can be extended to all semi-martingales,
and most of all develop a unified theory of stochastic
differential equations with regard to semi-martingales.
The study of stability (with respect to all parameters
equally extend to these general equations a big part of
the theory of stochastic flows, and hence, the theory of
stochastic differential equations ends up being in com-
plete parallelism with that of ordinary differential equa-
tions. There is a specific distinction to the probabilistic
xxvi
case: the distinction between uniqueness of trajectories
and uniqueness in law. The possibility of bringing sev-
eral distinct driving semi-martingales (in other words
several different ‘times’) into a stochastic differential
equation (of several dimensions) makes them resemble
equations with total differentials more than ordinary
differential equations, with appropriate geometric con-
siderations (properties of Lie algebras). Ito’s integral
is not a ‘true’ integral, trajectory by trajectory, but it is
one in the sense of vector measures. The class of semi-
martingales is indeed a class of processes large enough
to contain most of the usual processes, and possesses
very good properties of stability. If we replace a law on
the space Ω by an equivalent law without changing the
filtration, the semi-martingales for the two laws are the
same, however, their decompositions into signal plus
noise change. Indeed, statistics seeks to determine the
law of a random phenomenon from observations, and
this law is not known a priori, and a search for proper-
ties of processes that are invariant under changes in the
law is very important.
The set of the topics – martingale inequalities, general
theory, stochastic integral, and enlargement – constitute
what is called stochastic calculus. Yet, it carries more
branches: (a) the use of martingale methods to deal
with problems of narrow convergence of process laws,
(b) the generalization of martingale convergence theo-
rems leading to some form of asymptotic martingales
(or ‘amarts’), in discrete or continuous time, (c) the exten-
sion of known results on martingales to certain multi-
dimensional time processes, and (d) prediction theory,
which shows the tight links uniting the most general
possible theory of processes with Markov processes.
The universality of martingales spreads to a notion of
martingale problems in diffusion theory, then used in
many other areas, like that of point processes. The idea
is to characterize the law of a stochastic process by a
family of processes that we require to be martingales
(eventually local martingales). In the case of diffusions
(more generally Markov processes), these processes are
constructed in a simple manner from the infinitesimal
generator. What is unknown of the martingale problem
is a probability law, for which we must discuss existence
and uniqueness – and for existence, it is quite natural to
use a method of narrow convergence. Further tools are
narrow compactness criteria using ‘local characteristics’
of semi-martingales and problems of constructing all
martingales from a family of martingales by using sto-
chastic integrals.
Now, we give an overview of the state estimation (-cum-
filtering) problem [14]. State estimation is the process of
obtaining as much as possible and accurate information
(basically the time history of the states) regarding the
internal states of a given dynamic system using the sys-
tem’s input/output data, wherein usually some of these
Introduction
or all the data are contaminated with random noise.
Sometimes, the information about certain unknown but
constant (or slowly varying) parameters of this dynamic
system (in fact the model parameters/coefficients)
should also be obtained and hence, the problem of state
and parameter estimation has developed into a distinct
discipline called the estimation theory. In general, many
dynamic real-life systems are described by stochastic
differential and/or difference (liner or nonlinear) equa-
tions. Most of the real-life systems are nonlinear and
distributed parameter systems. Due to the simplicity of
the analysis and design, the linear estimation algorithms
have been greatly developed and widely used. However,
full-scale nonlinear estimators/filters are required to
handle the problems that are highly non­linear and where
the noise processes are non-Gaussian and for joint state
and parameter estimation. Interestingly enough, certain
astronomical studies have provided a great impetus
to the development of the estimation theory. The earli-
est approaches to the characterization of the estimation
problems in connection with the determination of the
relevant parameters that describe the motion of celestial
bodies were due to Babylonian astronomers (300 B.C.),
Roger Cotes in 1722, Euler in 1749, Bernoulli in 1777,
Gauss in 1795, and Legendre in 1806 [15]. Some impor-
tant results of estimation theory, the method of moments
due to Pearson in 1894 and the method maximum of
likelihood due to Fisher in 1911 (to 1925), have provided
a unified framework and stimulus to the development
of the theory of estimation [15]. Much of this work was
concerned with the problem of estimation of parameters
from the measured data. The work related to minimi-
zation of various functions of the errors is attributed
to Galileo Galilei in 1632 [16]. The studies of the least-
squares estimation in stochastic processes were made by
Kolmogorov in 1939 (to 1941), Krein in 1945, and Wiener
in 1942 (to 1949). Carlton and Follin (1956) used a recur-
sive approach that provided a stimulus to the work of
Bucy and laid the basis for the development of recursive
filters [17]. It was soon realized that the linear filtering
algorithms may exhibit the so-called divergence phe-
nomenon due to any of the following reasons [18]: (1) the
a priori statistics necessary for tuning of the Kalman fil-
tering algorithms are chosen incorrectly, (2) un-modelled
parameters, (3) the linear system model is used, even
though there might be a significant effect on nonlinear
parameters on the data used in the estimation/filtering
algorithm, and (4) the filtering algorithm is implemented
on a finite (small) word length digital computer. In order
to compensate for the model inadequacies when non-
linear systems are approximated by linear models and
to obtain the information about unknown a priori sta-
tistics of noise processes, adaptive filtering algorithms
have been developed. Factorization-based techniques/
algorithms that provide accurate and reliable estimates,
Introduction xxvii

in spite of finite-word length implementations of the lin-
ear algorithms, have been developed. Application of the
linear filtering algorithms to the nonlinear estimation
problems has been through the extension and linear-
ization of the nonlinear equations. The resulting algo-
rithms are the linearized and extended Kalman filters.
These and related variants of Kalman filter algorithms
were developed in order to compensate for the linear
model inadequacies. It must be noted here that all these
algorithms and techniques, most suitable to linear and
linearized filtering problems, do not always give satis-
factory performance when applied to the actual nonlin-
ear systems’ data. In many cases the linearization would
be ill-conditioned and hence the extended version of the
basic Kalman filtering algorithms are not useful. Proper
estimation procedures for nonlinear systems have been
developed based on the Kushner (–Stratonovich) equa-
tion, which describes the evolution of the conditional
probability density function (of states, cpdf), given
the measurements for continuous-time state estima-
tion with continuously available measurements. For
the discrete time systems, the description of the con-
ditional probability density is based on Kolmogorov’s
forward equation (KFE), this is also often called the
Fokker–Planck equation. These results do not directly
yield practically implementable algorithms due to the
fact that the conditional pdf for nonlinear systems, in
general, requires an infinite number of parameters for
its representation (unlike, Gaussian pdf that requires
only two parameters, the mean and the covariance of
the stochastic process involved). As a result, the imple-
mentable algorithms were obtained by various approxi-
mations: (1) truncated second-order filter (whereas the
extended KF is the first-order filter), (2) Gaussian second-
order filter, (3) assumed density filter that does not
involve Taylor series approximation, and (4) cumulant
truncation and statistical linearization, and many other
algorithms. Also, the maximum a posteriori (MAP) esti-
mator is obtained by the conditional mode. Alternative
nonlinear estimation results have been developed based
on the principle of invariant embedding (for systems
with no process noise, often called deterministic esti-
mation problems), and stochastic approximations. The
innovations process-based approach has been used
to generate the estimation results for linear as well as
nonlinear systems; these have provided a considerable
insight into general filtering problems. The estimation/
filtering solutions developed for linear problems have

TABLE I.1
Brief History of Stochastic/Nonlinear Filtering Theory
Author(s) Method Solution Main Features/Applicability
Kolmogorov, 1941 Innovations Exact Linear, stationary
Wiener, 1942 Spectral factorization Exact Linear, stationary, infinite
memory
Levinson, 1947 Lattice filter Approximate Linear stationary, finite memory
Bode and Shannon, 1950 Innovations, whitening Exact Linear, stationary
Zadeh and Ragazzini, 1950 Innovations, whitening Exact Linear, non-stationary
Kalman, 1960 Orthogonal projection Exact LQG, non-stationary, discrete
Kalman and Bucy, 1961 Recursive Riccati equation Exact LQG, non-stationary, continuous
Stratonovich, 1960 Conditional Markov process Exact Nonlinear, nonstationary
Kushner, 1967 PDE Exact Nonlinear, non-stationary
Zakai, 1969 PDE Exact Nonlinear, non-stationary
Handschin and Mayne, 1969 Monte Carlo Approximate Nonlinear, non-Gaussian,
non-stationary
Bucy and Senne, 1971 Point-mass, Bayes Approximate Nonlinear, non-Gaussian,
non-stationary
Kailath, 1971 Innovations Exact Linear, non-Gaussian,
non-stationary
Benes, 1981 Potential function Exact solution of Zakai equation Nonlinear, finite-dimensional
Pugachev, early ’80s Characteristic function Exact Nonlinear, conditionally optimal
approach
Daum, 1986 Potential function, log Exact solution of FPKF Nonlinear, finite-dimensional
homotopy, particle flow equation, particle flow filter
Gordon, Salmond and Smith, Bootstrap, sequential Monte Approximate Nonlinear, non-Gaussian,
1993 Carlo non-stationary
Julier and Uhlmann, 1997 Unscented transformation Approximate Nonlinear, (non-)Gaussian,
derivative free
Source: Adapted from Chen, Z., Bayesian filtering: From Kalman filters to particle filters, and beyond, www.dsi.unifi.it/users/chisci/idfric​
/Nonlinear_filtering_Chen.pdf, accessed May 2015.
xxviii
very limited utility for highly nonlinear systems, and
the nonlinear methods so far mentioned require either
approximations of the cpdf and/or the differentiation
of the nonlinear functions of the system equations with
respect to the current state of the nominal/pre-specified
time history of the state. Some further development was
in the area of the so-called unscented KF, or the deriva-
tive free KF, wherefore the linearization of nonlinear
system equations is not required. Instead the attention is
shifted to the probability model, for which the so-called
sigma points are computed, that is, the probability model
is approximated thus. The alternative nonlinear estima-
tors were proposed by Pugachev, these are based on the
joint pdf of the states, their estimates, and the measure-
ments. This approach is also called the characteristic
function approach. Table I.1 depicts a brief developmen-
tal (and partial) history of the stochastic filtering theory,
from liner to nonlinear, Gaussian to non-Gaussian, and
stationary to non-stationary problems [19]. Several of
the linear [20] and nonlinear estimation-cum-filtering
approaches and algorithms indicated in the preceding
paragraphs are discussed in the sections of the present
book.
References
1. Verhaegen, M., and V. Verdult. Filtering and System
Identification – A Least Squares Approach. Cambridge
University Press, New York, May 2007.
2. Tanizaki, H. Nonlinear Filters-Estimation and Applications
(2nd edn.), Springer-Verlag, Berlin, 1996. http://www2​
.econ.osaka-u.ac.jp/~tanizaki/cv/books/nf/nf.pdf.
3. Nelles, O. Nonlinear System Identification. Springer-Verlag,
Berlin, 2001.
4. Ahmed, N. U. Linear and Nonlinear Filtering for Scientists
and Engineers. World Scientific Publishing Company,
Singapore, January 1999.
5. Krishnan, V. Nonlinear Filtering and Smoothing: An
Introduction to Martingales, Stochastic Integrals and
Estimation. Dover Publications, New York, 2005.
Introduction
6. Pitas I., and Venetsanopoulos, A. N. Nonlinear Digital
Filters: Principles and Applications. Kluwer, New York,
1990.
7. Astola, J., and P. Kuosmanen. Fundamentals of Nonlinear
Digital Filtering. CRC Press, Florida, 1997.
8. Gelb, A. (Ed.). Applied Optimal Estimation. The Analytic
Sciences Corporation, TASK, MIT Press, Cambridge,
MA, 1974.
9. Haykin, S. (Ed.). Kalman Filtering and Neural Networks.
John Wiley & Sons, New York, 2001.
10. Candy, J. V. Model-Based Signal Processing, Wiley-IEEE
Press, Hoboken, NJ, 2005.
11. Haykin, S. Adaptive Filtering Theory. Prentice Hall, Upper
Saddle River, NJ, 1986.
12. Simon, D. Optimal State Estimation: Kalman, H Infinity,
and Nonlinear Approaches, Wiley-Blackwell, Hoboken, NJ,
July 2006.
13. Meyer, P.-A. Stochastic Processes from 1950 to the
Present, translated from the French by Jeanine Sedjro,
Rutgers University. Originally published in French
as ‘Les Processus Stochastiques de 1950 à Nos Jours’,
pp. 813–848 of Development of Mathematics 1950–2000,
edited by Jean-Paul Pier, Birkhäuser, 2000. Electronic
Journal for History of Probability and Statistics, 5(1), June
2009. www.jehps.net (accessed April 2015).
14. Raol, J. R. Stochastic state estimation with application
to satellite orbit determination. Ph.D. thesis, McMaster
University, Hamilton, Ontario, Canada, 1986.
15. Sorenson, H. W. Parameter Estimation – Principles and
Problems. Marcel Dekker, New York, 1980.
16. Kailath, T. A view of three decades of linear filtering
theory. IEEE Transactions on Information Theory, 20(2),
146–181, 1974.
17. Bucy, R S., and Joseph, P. D. Filtering for Stochastic
Processes with Applications to Guidance. Interscience, New
York, 1968.
18. Bierman, G. J. Factorization Methods for Discrete Sequential
Estimation. Academic Press, New York, 1977.
19. Chen, Z. Bayesian filtering: From Kalman filters to par-
ticle filters, and beyond. www.dsi.unifi.it/users/chisci​​
/idfric/Nonlinear_filtering_Chen.pdf (accessed May
2015).
20. Raol, J. R., Girija, G., and Singh, J. Modelling and Parameter
Estimation of Dynamic Systems. IEE/IET Control Series
Vol. 65, London, 2004.
Another random document with
no related content on Scribd:
bees in spring-time, like, xii. 121.
beggarly, unmannered corse, xii. 285.
beggars are coming to town, The, etc., viii. 408 n.
beguile the slow and creeping hours of time, xii. 157.
Begun in gladness, whereof has come, etc., vii. 57.
Behold the fate of a reformer, etc., vi. 378.
Behold the lilies of the field, etc., xi. 504; vi. 392.
Behold the twig, to which thou laidest down thy head, is now
become a tree, v. 199.
Behold thy mother, etc., v. 184.
beholds that lady in her bower, etc., viii. 308.
Believe me, the providence of God, etc., vi. 100.
believes him to have been the greatest genius, etc., v. 123.
believes in a fat capon, x. 69.
bellum internecinum, iii. 61; xi. 469.
Below the bottom of the great abyss, etc., v. 315.
Belton so pert, and so pimply, viii. 120; x. 38.
Beneath the hills, along the flowery vales, etc., iv. 272.
Beneath the hills, amid the flowery groves, etc., vii. 233.
Besides these jolly birds, whose corpse impure, v. 80.
best can feel them, xii. 43.
best company in the world, the, viii. 82.
best of kings, i. 305; iii. 41.
best of men (The) that e’er wore earth about him, was a sufferer,
etc., v. 185.
best tennis players, the, vii. 42.
best-found, and latest, as well as earliest choice, viii. 392.
best thing (that the) that could have happened to a man was never
to have been born, etc., i. 1.
bestow his tediousness, xii. 40.
Better be lord of them that riches have, etc., vi. 111.
better none, x. 185.
Beware, therefore, with lordes for to play, etc., iii. 385.
Beyond Hyde Park all is a desart, etc., vi. 187; vii. 67; viii. 36.
bidding, at his, viii. 236.
bid a gay defiance to mischance, must, etc., viii. 160.
Bidding the lovely scenes, etc., ix. 94; xii. 151.
Bigger than a mustard seed, at first no, etc., x. 395.
bis repetita crambe, vii. 126.
bitter bad judges, i. 94; vi. 310, 407.
black and melancholy yew trees, No, ix. 145.
black mutton or white, v. 114; vii. 173.
black upon white, and white upon black, vi. 319.
blasts from hell, viii. 363.
blazons herself, viii. 74.
bleating oratory, the, v. 323.
blesses the Regent, etc., iii. 42.
Blessings be with them, and eternal praise, etc., i. 22.
blights the tender blossom, etc., xii. 140.
blind with rain, ix. 109.
blindness to the future kindly given, Oh! etc., vi. 250.
blinking Sam, xi. 221.
blocking out and staying in, xii. 233.
blossom tear? Ah! why so soon the, xii. 207.
blotted out the map of Europe, xii. 291.
Blow, blow, thou winter’s wind, xii. 122.
blown about by every wind, etc., xii. 441.
blushes with blood of queens and kings, vii. 225.
body of this death, the, xii. 125.
bony prizer, viii. 357; xi. 367.
bonzes and priests, of all religions, the, etc., viii. 104.
book in the world he was the best pleased with, viii. 94.
book, sealed, ix. 29.
Books do not teach the use of books, vi. 73.
Books, dreams are each a world, and books, we know, are a
substantial world, both pure and good, v. 247; vii. 372; viii. 120;
x. 38; xi. 295.
book and brain, within the volume of the, etc., vi. 173.
bordered on the verge of all we hate, viii. 188.
Borealis race, Or like the, iii. 141.
born for the universe, iv. 251.
Born for their use, they live but to oblige them, etc., vii. 80.
born in a garret sixteen storeys high, iv. 258.
born to converse, to live, and act with ease, xi. 381.
Born universal heir to all humanity! vi. 42, 253.
born within the sound of Bow-bell, vii. 70.
bosom of its Father and its God, v. 137.
both end and use, iii. 323.
both living and loving! ii. 310.
Both thought it was the wisest course, etc., viii. 66.
bound them with Styx, xii. 260.
bow their crested pride, iii. 11.
brain would have been like a smokejack, my, vi. 275.
brangle and brave-all, etc., iii. 314.
brave man in distress, a, xi. 533.
brave sublunary things, vi. 193; vii. 265; xii. 153.
brazen throat and iron tongue, with its, etc., xii. 55.
break out like a wild overthrow, vi. 164.
breath that under heaven is blown, By every little, iv. 333; xii. 22.
breath can mar them as a breath has made, A, vii. 52; xi. 197.
Breathed hot, From all the boundless furnace of the sky, etc., v. 88.
breezy call of incense-breathing morn, ix. 51.
Brentford on one throne, So sit two Kings of, ix. 236.
Brentford to Ealing, from, etc., viii. 168, 318.
Brightest, if there be remaining Any service, without feigning, etc.,
v. 255.
brilliant land! Ah! etc., viii. 441.
Bring back the hour of glory in the grass, etc., vi. 257.
Bring but a Scotsman frae his hill, etc., xi. 446.
Britain’s warriors, her Statesmen, etc., iii. 162, 258; xi. 429.
Britain’s warriors, the flower of, etc., xi. 429.
Britannia rival Greece, bid, vi. 270.
broad as it is long, as, xi. 369.
brother, and half the story had its, etc., viii. 399.
brother of the groves, a, viii. 467; xii. 133.
brother, Sir Charles, lived to himself, her, vi. 90.
brothers of the angle, xii. 19.
Brownies and Bogilis full is his Buik, of, x. 311.
Brunswick’s fated line, iii. 117. bubble knocks another on the head,
one, etc., viii. 464.
bud of the briar, the, v. 323.
building up of our feelings through the imagination, vii. 408 n.
Buonaparte, little bookselling, xi. 386
burden and the mystery, the, v. 67; ix. 159.
buried as a man, he had been, etc., xii., 353.
burning and shining light, i. 60.
burnished fly in month of June, a, v. 88.
Busied about some wicked gin, xi. 581.
But a little way off, they saw the mast, etc., v. 323.
But for an utmost end, etc., xi. 265.
But he so teazed me, viii. 255.
But I will come again, my love, An’ it were ten thousand mile, ii.
290.
But if, unblameable in word and thought, etc., v. 94.
But not for me the merry bells, viii. 525.
But of the two, less dangerous is the offence, etc., v. 74.
But still the world, etc., iii. 254.
But ’tis the fall degrades her to a whore, etc., iii. 46; vii. 368; xi.
475.
But the admirers of this great poet have most reason to complain,
etc., i. 177.
But the commandment of knowledge, etc., v. 332.
But there is matter for a second rhyme, etc., xi. 282; xii. 275.
But thou, oh Hope, with eyes so fair, etc., viii. 436.
But where are the other eleven? i. 257.
But where ye doubt the truth not knowing, Believing the best, good
may be growing, etc., v. 280.
butterflies flutter around, And gaudy, xii. 25.
buttress, wall, and tower, Where, ix. 266.
by a long tract of time, by the use of language, etc., vii. 387.
By him lay heavie Sleepe, cosin of Death, etc., v. 196.
By our first strange and fatal interview, etc., xii. 28.
By the first part of this last tale, etc., v. 275.
by the help of his fayre hornes on hight, v. 42.
By the mass I saw him of late call up a great black devil, etc., v.
288.
by words only ... a man becometh, x. 135.

C.
Cætera desunt, vi. 121.
calamity, the rub that makes, etc., xii. 199.
call evil good and good evil, to, xi. 341.
Call not so loud or they will hear us, vii. 377.
call up him who left half-told, And, xii. 27.
Calling each by name, etc., ix. 401.
Calm contemplation and majestic pains, iv. 274; vi. 26; ix. 44.
Calm contemplation and poetic ease, v. 71; xi. 432, 508.
calm, peaceable writers, vi. 254.
came, saw, and were satisfied, we, viii. 455.
Canning had the most elegant mind since Virgil, xi. 336 n.
canny ways and pawky looks, xii. 91.
canonised bones, his, vi. 58.
cant religious, cant political, etc., xii. 338.
capacity, a greater general, etc., x. 178.
caput mortuum, xi. 495.
careful after many things, They are, etc., xii. 197.
Care, mad to see a man so happy, etc., v. 129.
Care mounted behind the horseman, etc., vi. 87.
cares, And ever against eating, etc., xii. 142.
Carnage is its daughter! i. 214; vii. 374; viii. 348.
Carnage is her daughter, iii. 120 n.
Carnage was the daughter of Humanity, i. 391 n.; iii. 166.
Carnation was a colour he never could abide, xi. 457.
Carlo Maratti succeeded better than those, etc., vi. 124.
carries noise, and behind it, it leaves tears, it, viii. 348.
cast both body and soul into hell, xii. 359.
cast some longing, lingering looks behind, viii. 250.
Castalie, the dew of, v. 14; x. 156; xii. 294.
castle walls crumbled into ashes, his, etc., viii. 309.
casuist, that noble and liberal, i. 235; viii. 186.
cat and canary-bird, the, etc., x. 195.
catalogue they go for actors, in the, viii. 465.
Catch a king and kill a king, xi. 551.
Catch ere she falls, The Cynthia of the minute, xi. 402.
catch glimpses that may make them less forlorn! vi. 27; xi. 267; xii.
42.
catch the breezy air, vii. 70.
cathedral’s gloom and choir, The, etc., ix. 207; xi. 535.
Caucasus, the frosty, xii. 149.
cause of evil, re-risen, iii. 117.
cause was hearted, the, xii. 288.
Cease your funning, viii. 194, 255, 323. 470.
censure the age, When they, etc., vii. 377.
Centaur not fabulous, xii. 228.
certain lady of a manor, a, i. 422; xi. 273 n.
certain little gentleman, a, iii. 312.
Certain so wroth are they, iii. 268.
certain tender bloom his fame o’erspreads, A, xii. 207, 262.
Certainly, as her eyelids are more pleasant to behold, etc., v. 324.
C’est un mauvais métier que celui de médire, vii. 205.
Chaldee wise, The, etc., v. 292.
Challenges essoine, from every work he, xii. 46, 225.
chamber, was dispainted all within, His, etc., viii. 128.
chapel-bell, the little, xii. 305.
chargeable, very, x. 172.
Charity begins at home, iii. 289; xi. 319.
Charity covers a multitude of sins, vii. 83; viii. 33.
charm these deaf adders wisely, xi. 415.
Charming Betsy Careless, the, viii. 144.
Charron, Or more wise, viii. 93 n.
chase his fancy’s rolling speed, x. 120.
cheap defence, i. 295.
cheat the gallows face, xi. 551.
cheese-parings, as a saving of, etc., vii. 273.
chemist, statesman, fiddler and buffoon, i. 85; x. 207.
cherish our prejudices, etc., xii. 395.
child and champion of Jacobinism, iii. 99, 227; iv. 6; xi. 422.
child is father to the man, the, vii. 231; xi. 334.
children of yon azure sheen, As are the, xii. 262.
children of the world are wiser, the, etc., xi. 522; xii. 298.
children’s play, Come, let us leave off, etc., iii. 132.
children sporting, We see the, etc., vi. 92; xii. 130.
chips of short-lung’d Seneca, The dry, etc., x. 98.
chop off his head, viii. 201.
choosing songs the Regent named, In, etc., iv. 359.
Christ, inscribed the cross of, etc., xii, 261.
Christ Jesus! what mighty crime, etc., vi. 239.
Christian could die! to see how a, xii. 330.
chrysolite, this one entire and perfect, xii. 105, 235.
Ci giace il gran Titiano di Vecelli, etc., ix. 270.
Circled Una’s angel face, and made a sunshine in the shady place,
v. 46; x. 77.
cities in Romanian lands, Of all the, etc., xii. 323.
city, no mean, ix. 69.
city set on a hill, a, etc., x. 335.
clad in flesh and blood, i. 13, 135.
Clad in the wealthy robes his genius wrought, etc., ii. 108.
Clamour grew dumb, unheard was shepherd’s song, etc., v. 315.
clap on high his coloured winges twain, v. 35; x. 74.
clappeth his wings, and straightway he is gone, viii. 404; ix. 70.
clear it from all controversy, to, etc., iv. 335; vi. 52.
Cleopatra, will be the fatal, xii. 310.
clerk there was of Oxenford also, A, etc., i. 84.
clock that wants both hands, A, etc., viii. 434.
Close to the gate a spacious garden lies, etc., ix. 325.
clothed and fed, with which they are, ix. 93.
cloud by day, neither the, etc., ix. 361.
clouds in which Death hid himself, the, etc., vii. 14.
clouds of detraction, of envy and lies, through, vii. 367.
clouds over the Caspian, like two, xii. 11.
Cockney School in Poetry, xii. 256 n.
coil and pudder, xi. 554; xii. 335, 383.
Cold drops of sweat sit dangling on my hairs, etc., v. 212.
cold icicles, the, from his rough beard Dropped adown upon her
snowy breast! v. 38.
cold rheum, vi. 304.
Colonel took upon him to wear a shirt, x. 382; xii. 142.
colouring of Titian, the grace of Raphael, etc., vi. 74.
come betwixt the wind and their nobility, vii. 378.
come, but no farther, xii. 108.
Come, gentle Spring, etc., v. 86.
come home to the bosoms and businesses of men, i. 200; v. 333;
vii. 293, 337; viii. 91; xi. 548; xii. 377, 400.
Come, kiss me, love, viii. 265.
Come, live with me and be my love, v. 99, 211, 298.
Come, say before all these, etc., viii. 265.
Come then, the colours and the ground prepare, etc., vii. 290; viii.
73, 186; xi. 240.
comes like a satyr, iv. 246.
comes the tug of war, viii. 219.
comforted with their bright radiance, xi. 346.
coming and going he knew not where, i. 90.
Coming events cast their shadow before, vii. 50; x. 221; xii. 113.
Coming, gentlemen, coming, x. 382.
Coming Reviews cast their shadows before, x. 221.
common people always prefer exertion and agility to grace, ix. 173.
companion of my way, Let me have a, etc., vi. 182.
companion of the lonely hour, xii. 53.
companions of the spring, The painted birds, xi. 271.
company, Tell me your, etc., vi. 202; xi. 196; xii. 133.
compelled to give in evidence against himself, i. 129.
complex constable, that, iii. 299.
compost heap, a, vi. 37.
Compound for sins they are inclin’d to, etc., viii. 18.
conceit or the world well lost, all for, xii. 363.
condemned to everlasting fame, x. 375.
confined in too narrow room, iii. 290.
conformed to this world, to be, iii. 275; viii. 146.
Conniving house (as the gentlemen of Trinity), etc., i. 56.
conquering and to conquer, xi. 418.
conscience and tender heart, Where all is, ii. 371; iii. 155; iv. 204,
326; vi. 165; vii. 173, 280; x. 238.
conspicuous scene, etc., xii. 31.
constant chastity, unspotted faith, etc., iii. 208.
constrained by mastery, iii. 166; iv. 220; v. 86; vii. 197; viii. 404; ix.
17; xii. 188.
constrain his genius by mastery, viii. 479.
consummation of the art devoutly to be wished, a, viii. 190; xii. 125.
contagious gentleness, viii. 309.
contemporary bards would be admired when Homer and Virgil
were forgotten, xi. 288.
contempt of the choice of the people, i. 394, 427; iii. 32 and n., 175,
401.
contempt of their worshippers, in, xii. 244.
content man’s natural desire, vi. 324.
Continents have more, of what they contain, etc., iii. 272; vi. 205;
xii. 16.
Contra audentior ito, xi. 514.
conversation, To excel in, etc., vii. 32.
converse with the mighty dead, Hold high, ix. 69.
convertible to the same abandoned purpose, iii. 91.
cooped and cabined in by saucy doubts and fears, viii. 477; xii. 125.
copied the other, Which of you, ix. 33.
Corinthian capitals of polished society, the, iv. 290; xii. 131.
coronet face, the, xii. 226.
Corporate bodies have no soul, vi. 264.
corrupter sort of mere politiques, The, etc., v. 329.
could be content if the species were continued like trees, he, v. 334.
could he lay sacrilegious hands, etc., viii. 269.
counterfeiten chere, To, etc., iii. 268.
courage never to submit, etc., xii. 192.
courtly, the court, viii. 55; ix. 61.
courtiers offended should be, lest the, etc., iii. 45; viii. 457.
Cover her face: my eyes dazzle: she died young, v. 246.
covers a multitude of sins, vii. 83; viii. 33.
coxcombs, the prince of, proud of being at the head, etc., viii. 36,
83.
crack of ploughs and kine, xii. 380.
Craignez Dieu, mon cher Abner, etc., ix. 116.
Created hugest that swim the oceanstream, vii. 13.
Creation’s tenant, he is nature’s heir, xi. 500.
creature of the element, a, etc., xii. 30.
Credat Judæus Apella, xii. 266.
Credo quia impossibile est, vii. 351.
credulous hope, the, etc., xii. 321.
cries all the way from Portsmouth, etc., viii. 322.
crisis is at hand for every man to take part for, the, etc., vi. 154.
crown which Ariadne wore, etc., x. 186.
crown of the head, From the, etc., xii., 247.
cruel sunshine thrown by fortune on a fool, etc., xi. 550.
crust of formality, a, vi. 356.
cry more tuneable, A, etc., xii. 18.
cubit from his stature, a, viii. 263.
Cucullus non facit monachum, vii. 236.
Cuique tribuito suum, v. 368; vii. 191.
Cupid and my Campaspe play’d, etc., v. 201.
Cupid, as he lay among Roses, by a bee was stung, v. 312.
cups that cheer, but not inebriate, The, etc., vi. 184.
cure for a narrow and selfish spirit, a, xii. 429.
curiosa felicitas, v. 149; xi. 606.
curl her hair so crisp and pure, to, etc., viii. 465.
curtain-close such scenes, And, etc., xii. 328.
Cut is the branch that might have grown full strait, etc., v. 206.
cut up so well in the cawl, They do not, etc., iii. 321; vii. 202; viii.
340.
cuts the common link, xii. 402.
Cymocles, oh! I burn, etc., x. 245.

D.
daily food and nourishment of the mind of the artist, the, etc., vi.
125, 126.
daily intercourse of all this unintelligible world, the, etc., viii. 420.
dainty flower or herb that grows on ground, No, etc., iv. 353.
dallies with the innocence of thought, That, etc., xii. 177.
Damn you, can’t you be cool, etc., iii. 226.
damnation round the land, iv. 224.
dancing days, Such were the joys of our, etc., viii. 437; xi. 300.
dandled and swaddled, vi. 270.
Dapple, and there I spoke of him, There I thought of, vi. 61.
dark closet, with a little glimmering of light, a, etc., xi. 174.
darkness dare affront, and with their, xii. 198.
darkness that might be felt, in, iii. 57; vi. 43.
darling in the public eye, iv. 298.
darlings of his precious eye, the, xii. 195.
dashed and brewed, vii. 140; x. 235.
dateless bargain, to all engrossing despotism, a, xi. 414.
daughter and his ducats, his, xii. 142 n.
daughters of memory, the, iv. 348.
day, It was the, etc., viii. 288.
Dazzled with excess of light, viii. 551.
dazzling fence of argument, the, xii. 358.
De apparentibus et non existentibus eadem est ratio, v. 341 n.; vii.
50; xii. 56, 217.
De mortius nil nisi bonum, viii. 323.
de omne scibile et quibusdam aliis, vi. 214; vii. 315.
de omnibus rebus et quibusdam aliis, xi. 467.
d’un pathetique à faire fendre les rochers, vi. 236.
deaf the praised ear, and mute the tuneful tongue, v. 274.
Dear chorister, who from these shadows sends, etc., v. 300.
Death may be called in vain, and cannot come, etc., v. 357.
death there is animation too, Even in, ix. 221.
deathless date, vi. 291.
decked in purple and in pall, etc., viii. 308.
declamations or set speeches, His, are commonly cold, etc., i. 177.
decorum is the principal thing, v. 360.
dedicate its sweet leaves, i. 386.
Deem not devoid of elegance the sage, By Fancy’s genuine feelings
unbeguiled, etc., v. 120.
deep abyss of time, fast anchored in the, vii. 125.
deep, within that lowest, etc., xii. 144.
defections, his right-handed, etc.,
vii. 181.
defend the right, to, x. 167.
degree, in a high or low, etc., xi. 442.
Deh! quando tu sarai tornato al mondo, ix. 251.
Deh vieni alla finestra, viii. 365.
deity they shout around, A present, etc., x. 191; xii. 250.
deliberately or for money, iv. 339; vi. 56.
delicious breath painting sends forth, What a, etc., ix. 19.
delicious thought, of being regarded as a clever fellow, i. 93 n.
delight in love, ’tis when I see, If there’s, etc., viii. 73.
delight in! to fear, not to, xii. 243.
Deliverance for mankind, vi. 152 n.
Delphin edition of Nature, xi. 335.
Demades, the Athenian, condemned a fellow-citizen, etc., viii. 94.
Demanded how we can know any proposition, but here it will be,
etc., xi. 130.
Demogorgon, dreaded name of, the, xii. 259.
demon that he served, the, vii. 285.
demon whispered, L——, have a taste, Some, vi. 94, 403.
demure, grave-looking, spring-nailed, the, etc., vi. 221; vii. 242; xi.
530.
Depreciation of Pope is partly founded upon a false idea, etc., xi.
490.
depth of a forest, in the kingdom of Indostan, In the, etc., xi. 267.
Descended from the Irish kings, etc., i. 54.
deserter of Smorgonne, iii. 54.
Desire to please, etc., viii. 278; xii. 177, 183, 426.
Despise low joys, etc., xii. 31.
Despise low thoughts, low gains, etc., v. 77.
Destroy his fib or sophistry: in vain, etc., iv. 300.
Detur optimo, vii. 187.
Deva’s winding vales, xii. 265.
devil said plainly that Dame Chat had got the needle, the, v. 288.
Devil was sick, The, etc., xii. 126.
Devil upon two sticks, viii. 404.
devilish girl at the bottom, a, viii. 83.
Di rider finira pria della Aurora, iii. 371.
diamond turrets of Shadukiam, the, iv. 357.
Diana and her fawn, etc., xii. 58.
Did first reduce our tongue from Lyly’s writing, etc., v. 201.
Did I not tell thee, Dauphine, etc., viii. 43.
Did not the Duke look up? Methought he saw us, v. 215.
Die of a rose in aromatic pain, vi. 249; vii. 300; viii. 143; ix. 391.
Died at his house in Burbage-street, etc., vi. 86.
differences himself by, v. 334.
digito monstrari, vi. 286.
dim doubts alloy, no, xi. 321.
dip it in the ocean, and it will stand, iv. 197; vi. 160 n.; ix. 133 n.
dipped in dews of Castalie, v. 14; x. 156; xii. 294.
direct and honest, To be, etc., xii. 219.
disappointed still are still deceived, And, ix. 287.
disastrous strokes which his youth suffered, the, viii. 96.
discipline of humanity, a, i. 123; vii. 78, 184; xii. 122.
discoursed in eloquent music, vii. 199.
disdain the ground she walks on, i. 71 n.
disembowel himself of his natural entrails, etc., vi. 267; xi. 322.
disjecta membra poetæ, viii. 423; ix. 309.
distant, enthusiastic, respectful love, viii. 160.
distilled books are, like distill’d waters, etc., xi. 203.
divest him, along with his inheritance, to, etc., viii. 72.
Divide et impera, vii. 147.
divinæ particula auræ, ix. 361; xii. 157.
divine Fanny Bias, iv. 359.
divine, the matchless, what you will, the, vi. 175.
Do not mock me: Though I am tamed, and bred up with my
wrongs, etc., v. 252.
Do unto others as you would, etc., vi. 396.
Do you read or sing? If you sing you sing very ill, vii. 5; viii. 319.
Do you see anything ridiculous in this wig? viii. 21.
Do you think I’ll sleep with a woman that doesn’t know what’s
trumps? viii. 427.
docked and curtailed, xi. 316.
Does he wind into a subject? etc., vii. 275; viii. 103.
does a little bit of fidgets, viii. 469.
dog, he still plays the, viii. 263.
dogs, among the gentlemanlike, etc., iii. 278.
Don John of the Greenfield was coming, vi. 359.
Don Juan was my Moscow, etc., iv. 258 n.
Don’t forget butter, viii. 264.
Don’t you remember Lords—and—who are now great statesmen;
little dirty boys playing at cricket, etc., v. 118; vii. 205.
double night of ages and of her, The, etc., xi. 424.
Doubtless the pleasure is as great, etc., iii. 169; vii. 204; viii. 302.
douce humanité, iii. 36; xi. 525.
doux sommeil, iii. 108.
Down the Bourne and through the Mead, ii. 87.
dragged the struggling monster into day, viii. 164.
dramatic star of the first magnitude, a, viii. 164.
drawn in their breath and puffed it forth again, vii. 59.
dreaming and awake, ’twixt, vi. 71.
dregs of earth, the, xii. 41.
dregs of life, the, vii. 302.
Dress makes the man, the want of it the fellow, etc., vii. 212.
Drip, drip, drip, drip, drip, etc., v. 306.
dross compared to the glory hereafter, etc., xi. 322.
drossy and divisible, more, vii. 173, 453; xi. 174.
drunk full ofter of the tun than of the well, v. 129.
dry discourse, but, xi. 25.
Duke and no Duke, viii. 263.
Dulce ridentem Lalagen, Dulce loquentem, vi. 61.
Dull as the lake that slumbers in the storm, iii. 22; vii. 278.
Dull Beotian genius, viii. 370.
dull cold winter does inhabit here, vii. 176; ix. 62.
dull product of a scoffer’s pen, v. 114.
dulness could no further go, The force of, vi. 46 n.; x. 219, 377.
dumb forgetfulness a prey, for who to, xi. 546.
Dum domus Æneæ Capitoli immobile saxum, etc., vii. 12.
dungeon of the tower, From the, etc., xii. 158.
durance vile, xi. 237.
Durham’s golden stalls, iii. 123.
dust in the balance, But as the, iv. 63.
Dust to dust, etc., xii. 53.
dust we raise! What a, vi. 240.
dwelleth not in temples made with hands, ix. 48.
dwelt Eternity, ix. 218.
dying Ned Careless, viii. 72.
dying shepherd Damætas, I give it to you as the, etc., xi. 289.
E.
Each lolls his tongue out at the other, etc., xi. 527.
Each man takes hence life, but no man death, etc., v. 225.
ear and eye, He is all, etc., xii. 121.
earth, earthy, of the, i. 239; vi. 43; ix. 55, 389.
ease, he takes his, xii. 123.
eat, drink, and are merry, xii. 16.
eat his meal in peace, vi. 94.
Ebro’s temper, the, viii. 103.
eclipsed the gaiety of nations, i. 157; viii. 387, 526.
Eden, and Eblis, and cherub smiles, iv. 354.
Edina’s darling Seat, xii. 253.
Edinburgh, We are positive when we say, etc., viii. 105.
effeminate! thy freedom hath made me, xii. 124.
Eftsoones they heard a most melodious sound, etc., v. 36.
eggs, with five blue, i. 92.
Eke fully with the duke my mind agrees, etc., v. 194.
elbow us aside, who, iv. 99.
elegant Petruchio, an, v. 345.
Elevate and surprise, vi. 216, 290; x. 271, 388.
elegant turn of her head, ix. 147.
eleven obstinate fellows, the other, xii. 326.
Elysian beauty, melancholy grace, vii. 366.
Elysian dreams of lovers, when they loved, Th’, etc., viii. 307.
embowelled, of our natural entrails, and stuffed, are, viii. 417.
embryo fly, the little airy of ricketty children, iv. 246.
Emelie that fayrer was to sene, etc., i. 400.