Abstract: Many systems in the natural world exhibit chaos or non-linear behavior, the complexity of which is so great that they appear to be random. Identification of chaos in experimental data is essential for characterizing the system and for analyzing the predictability of the data under analysis. The Lyapunov exponents provide a quantitative measure of the sensitivity to initial conditions and are the most useful dynamical diagnostic for chaotic systems. However, it is difficult to accurately estimate the Lyapunov exponents of chaotic signals which are corrupted by a random noise. In this work, a method for estimation of Lyapunov exponents from noisy time series using unscented transformation is proposed. The proposed methodology was validated using time series obtained from known chaotic maps. In this paper, the objective of the work, the proposed methodology and validation results are discussed in detail.
Abstract: Extended Kalman Filter (EKF) is probably the most
widely used estimation algorithm for nonlinear systems. However,
not only it has difficulties arising from linearization but also many
times it becomes numerically unstable because of computer round off
errors that occur in the process of its implementation. To overcome
linearization limitations, the unscented transformation (UT) was
developed as a method to propagate mean and covariance
information through nonlinear transformations. Kalman filter that
uses UT for calculation of the first two statistical moments is called
Unscented Kalman Filter (UKF). Square-root form of UKF (SRUKF)
developed by Rudolph van der Merwe and Eric Wan to
achieve numerical stability and guarantee positive semi-definiteness
of the Kalman filter covariances. This paper develops another
implementation of SR-UKF for sequential update measurement
equation, and also derives a new UD covariance factorization filter
for the implementation of UKF. This filter is equivalent to UKF but
is computationally more efficient.