Sampling free iterative PCE filter for state and parameter estimation of nonlinear dynamical systems

We present a novel filter for state and parameter estimation in non-linear dynamical systems, based on a generalised Kalman filter formulation. To achieve a sampling-free implementation, polynomial chaos expansion (PCE) and a Galerkin projection method are utilized for the propagation of uncertainties through the system dynamics. The non-linear dynamics of the system are then linearised by a sequence of Gauss-Newton iterations in combination with linear Kalman updates. Additionally, we introduce a new square root implementation of the PCE-based filter. The proposed filter is evaluated on the Lorenz-63 and Lorenz-84 models for the task of simultaneous state and parameter estimation and is compared with two related approaches. Finally, the computational complexity of our square-root implementation is compared against two existing square root approaches.