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Estimation in non-linear state-space models.

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Estimation in non-linear state-space models.

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28 Feb 2013 (Updated )

Robust estimator for non-linear state-space models with state-dependent noise.

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Description

The Robust Non-Linear Estimator (RNLE) is a robust estimator for non-linear state-space models with state-dependent noise. It takes a sequence of input-output pairs and estimates the corresponding sequence of states. The estimates are found by solving an iteratively-reweighted non-linear least-squares problem. The solver is robust to outliers and accepts missing values.

This submission includes an initialization script, a test function and a technical report. The initialization script adds all relevant directories and sub-directories to the MatLab path and compiles two MEx files, both of them necessary for the code to run. The test function creates a short animation (in AVI format) showing how the state sequence is estimated from extremely noisy data. The technical report contains a detailed derivation of the theory behind the code.

If you find this submission useful for your research/work please cite my technical report and/or my MathWorks community profile. Feel free to contact me directly if you have any technical or application-related questions.

INSTRUCTIONS:

After downloading this submission, extract the compressed file inside your MatLab working directory and run the initialization script (init.m). Then, run the test function (TestRNLE.m) for a demonstration.

Required Products MATLAB
MATLAB release MATLAB 7.14 (R2012a)
Other requirements The test function requires the VideoWriter class.
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Comments and Ratings (1)
30 May 2013 Matthew

Nice work!

Updates
22 Mar 2013

Added simulation method and other minor changes.

25 Mar 2013

Major code improvements.

25 Mar 2013

Major code improvements.

28 May 2013

Major code refactoring.

23 Aug 2013

Major code refactoring.

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