The Conjugate Unscented Transform - An approach to evaluate multi-dimensional expectation integrals

Nagavenkat Adurthi, Puneet Singla, Tarunraj Singh

Research output: Chapter in Book/Report/Conference proceedingConference contribution

59 Scopus citations

Abstract

This paper presents an extension to the unscented transformation to evaluate expectation integrals in general N-dimensional space by satisfying higher order moment equations. New sets of sigma points are defined to satisfy moment equations up to eighth order. The proposed methodology can be used as an efficient alternative to Gaussian quadrature rule with significantly reduced number of function evaluations but without any loss in accuracy. Numerical simulation results illustrates the effectiveness of the proposed methodology in computing high dimension expectation integrals with significantly reduced number of function evaluations.

Original languageEnglish (US)
Title of host publication2012 American Control Conference, ACC 2012
Pages5556-5561
Number of pages6
StatePublished - Nov 26 2012
Event2012 American Control Conference, ACC 2012 - Montreal, QC, Canada
Duration: Jun 27 2012Jun 29 2012

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619

Other

Other2012 American Control Conference, ACC 2012
CountryCanada
CityMontreal, QC
Period6/27/126/29/12

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering

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    Adurthi, N., Singla, P., & Singh, T. (2012). The Conjugate Unscented Transform - An approach to evaluate multi-dimensional expectation integrals. In 2012 American Control Conference, ACC 2012 (pp. 5556-5561). [6314970] (Proceedings of the American Control Conference).