Summary
International Symposium on Nonlinear Theory and its Applications
2005
Session Number:3-4-4
Session:
Number:3-4-4-2
On Comparing Nonlinear Filtering Algorithms
Jochen Brocker,
pp.650-653
Publication Date:2005/10/18
Online ISSN:2188-5079
Summary:
In this paper we consider the performance of filtering algorithms, which means algorithms to retrieve the underlying state of a nonlinear system in a causal way. Since for nonlinear systems the optimal filter is computationally prohibitively expensive in general, one faces a trade?off between desired filtering accuracy and computational complexity. In order to ascertain whether a certain more powerful filtering algorithm is worth the computational effort, it is neccessary to carefully evaluate the potential benefits. We show that skill scores are a useful concept for this. We compare the performance of a number of filtering algorithms applied to a simple nonlinear system. We also discuss the perfomance in relation to the required computational resources. In general, higher accuracy requires more cpu-power.