Efficient L-D factorization algorithms for PDA, IMM, and IMMPDAfilters

Efficient algorithms exist for the square-root probabilistic data association filter (PDAF). The same approach is extended to develop square-root versions of the interacting multiple model (IMM) Kalman filter and the IMMPDAF algorithms. The computational efficiency of the method stems from the fact that the terms needed in the overall covariance updates of PDAF, IMM, and IMMPDAF can be obtained as part of the square-root covariance update of an ordinary Kalman filter. In addition, a new square-root covariance prediction algorithm that is substantially faster than the usual modified weighted Gram-Schmidt (MWG-S) algorithm, whenever the process noise covariance matrix is time invariant, is proposed     

An alternate algorithm for discrete-time filtering

The discrete-time Kalman filter is an optimal estimator for the states of a linear, stochastic system. It assumes that measurements are linear combinations of the states, and all disturbances are Gaussian. The influence diagram, a decision analysis tool that provides an algorithm for discrete-time filtering equivalent to the Kalman filter when the influence diagram represents Gaussian random variables, is discussed. The influence diagram algorithm is a factored form of the Kalman filter, similar to other factored forms such as the U-D filter. Compared with the Kalman filter, it offers improved numerical properties. Compared with other factored forms, it offers a reduced computational load     

Mixture Reduction Algorithms for Point and Extended Object Tracking in Clutter

The Bayesian solution to the problem of tracking a target with measurement association uncertainty gives rise to mixture distributions, which are composed of an ever increasing number of components. To produce a practical tracking filter, the growth of components must be controlled by approximating the mixture distribution. Two mixture reduction schemes (a joining algorithm and a clustering algorithm) have been derived for this purpose. If significant well spaced mixture components are present, these techniques can provide a useful improvement over the probabilistic data association filter (PDAF) approach, which reduces the mixture to a single Gaussian component at each time step. For the standard problem of tracking a point target in uniform random clutter, a Monte Carlo simulation study has been employed to identify the region of the problem parameter space where significant performance improvement is obtained over the PDAF. In the second part of this paper, the formal Bayesian filter is derived for an extended target consisting of an array of measurement sources with association uncertainty. A practical multiple hypothesis filter is implemented using mixture reduction and simulation results are presented.     

PMHT: problems and some solutions

The probabilistic multihypothesis tracker (PMHT) is a target tracking algorithm of considerable theoretical elegance. In practice, its performance turns out to be at best similar to that of the probabilistic data association filter (PDAF); and since the implementation of the PDAF is less intense numerically the PMHT has been having a hard time finding acceptance. The PMHT's problems of nonadaptivity, narcissism, and over-hospitality to clutter are elicited in this work. The PMHT's main selling-point is its flexible and easily modifiable model, which we use to develop the "homothetic" PMHT; maneuver-based PMHTs, including those with separate and joint homothetic measurement models; a modified PMHT whose measurement/target association model is more similar to that of the PDAF; and PMHTs with eccentric and/or estimated measurement models. Ideally, "bottom line" would be a version of the PMHT with clear advantages over existing trackers. If the goal is of an accurate (in terms of mean square error (MSE)) track, then there are a number of versions for which this is available.     

UKF方法及其在方位跟踪问题中的应用

采用UKF(Unscented Kalman Filter)方法处理了平面内地面站对目标的方位跟踪的估计问题。目标的位置和速度由选定的高斯分布采样点来近似，在每个更新过程中，采样点随着状态方程传播并随着非线性测量方程变换，由此不但得到目标位置和速度的均值及较高的计算精度，而且避免了对非线性方程的线性化过程。仿真结果表明，UKF方法比传统的扩展卡尔曼滤波(EKF)算法有更高的估计精度，并能有效地克服非线性严重时，方位跟踪问题中很容易出现的滤波发散问题。     

Rao-blackwellised particle filtering in random set multitarget tracking

This article introduces a Rao-Blackwellised particle filtering (RBPF) approach in the finite set statistics (FISST) multitarget tracking framework. The RBPF approach is proposed in such a case, where each sensor is assumed to produce a sequence of detection reports each containing either one single-target measurement, or a "no detection" report. The tests cover two different measurement models: a linear-Gaussian measurement model, and a nonlinear model linearised in the extended Kalman filter (EKF) scheme. In the tests, Rao-Blackwellisation resulted in a significant reduction of the errors of the FISST estimators when compared with a previously proposed direct particle implementation. In addition, the RBPF approach was shown to be applicable in nonlinear bearings-only multitarget tracking.     

一种实时飞行轨迹重构方法

提出一种有效的实时纵向飞行轨迹重构的新方法。为了得到状态估计的快速算法,本文把非线性飞行轨迹重构转化为线性、离散、时变状态和参数估计问题。将数值稳定性好、计算量也小的序列U-D分解滤波算法用于状态方程为线性、观测方程为线性或非线性的滤波问题中。由于测量值中常常含有系统偏差,本文把这些偏差作为增广状态加入增广状态模型中,并利用模型的一些特点,提出偏差分离的U-D分解算法,使计算量大大减少。仿真和实际试飞数据计算表明、本文的方法可得到比平方根协方差滤波更有效的实时飞行轨迹重构结果。     

Streamlining measurement iteration for EKF target tracking

The estimation problem is defined, and a review of how the linear estimation approach of Kalman filtering is extrapolated to form an extended Kalman filter (EKF), applicable for state estimation in nonlinear systems is presented. A mechanization of an EKF variation known as an iterated EKF, offering improved tracking performance, is treated. A streamlined version of an iterated EKF that has a lesser computational burden (fewer operations per cycle or time step) than prior formulations is offered. A nonlinear filtering application example, to be used as a testbed for this new approach, is described, and the detailed modeling considerations as needed for exoatmospheric random-variable radar target tracking are discussed. The performance of the streamlined mechanization is illustrated in this radar target tracking example, and comparisons are made with the performance of an EKF without measurement iteration     

基于边缘采样的简化高阶CKF在非线性快速传递对准中的应用

针对舰载机惯导系统非线性传递对准问题中误差模型不完善的问题，同时考虑了挠曲运动和动态杆臂的影响，提出了一种新的适用于大方位失准角情形下的挠曲变形和杆臂效应加速度一体化误差模型。采用高阶容积卡尔曼滤波（HCKF）算法对状态进行滤波估计，考虑到HCKF具有较大的计算量，分析了传递对准模型的状态方程与量测方程结构，设计了一种基于边缘采样的简化高阶容积卡尔曼滤波（M-RHCKF）算法，其在时间更新中使用边缘采样算法，在量测更新过程中使用简化量测更新过程，并给出了该算法的证明过程。采用"速度+姿态"组合匹配方式，对提出的误差模型进行仿真实验。结果表明，该模型可以满足对准精度和对准时间的要求，相比于未考虑动态杆臂的传递对准模型具有更高的对准精度。     

Multiple model PMHT and its application to the benchmark radar tracking problem

The probabilistic multiple hypothesis tracker (PMHT) uses the expectation-maximization (EM) algorithm to solve the measurement-origin uncertainty problem. Here, we explore some of its variants for maneuvering targets and in particular discuss the multiple model PMHT. We apply this PMHT to the six "typical" tracking scenarios given in the second benchmark problem from W. D. Blair and G. A. Watson (1998). The manner in which the PMHT is used to track the targets and to manage radar allocation is discussed, and the results compared with those of the interacting multiple model probabilistic data association filter (IMM/PDAF) and IMM/MHT (multiple hypothesis tracker). The PMHT works well: its performance lies between those of the IMM/PDAF and IMM/MHT both in terms of tracking performance and computational load.     

Coordinate Conversion and Tracking for Very Long Range Radars

The problem of tracking with very long range radars is studied in this paper. First, the measurement conversion from a radar's r-u-v coordinate system to the Cartesian coordinate system is discussed. Although the nonlinearity of this coordinate transformation appears insignificant based on the evaluation of the bias of the converted measurements, it is shown that this nonlinearity can cause significant covariance inconsistency in the conventionally converted measurements (CM1). Since data association depends critically on filter consistency, this issue is very important. Following this, it is shown that a suitably corrected conversion (CM2) eliminates the inconsistency. Then, initialized with the converted measurements (using CM2), four Cartesian filters are evaluated. It is shown that, among these filters, the converted measurement Kalman filter with second order Taylor expansion (CM2KF) is the only one that is consistent for very long range tracking scenarios. Another two approaches, the range-direction-cosine extended Kalman filter (ruvEKF) and the unscented Kalman filter (UKF) are also evaluated and shown to suffer from consistency problems. However, the CM2KF has the disadvantage of reduced accuracy in the range direction. To fix this problem, a consistency-based modification for the standard extended Kalman filter (E1KF) is proposed. This leads to a new filtering approach, designated as measurement covariance adaptive extended Kalman filter (MCAEKF). For very long range tracking scenarios, the MCAEKF is shown to produce consistent filtering results and be able to avoid the loss of accuracy in the range direction. It is also shown that the MCAEKF meets the posterior Carmer-Rao lower bound for the scenarios considered.     

基于B样条模型的参数化卡尔曼滤波器设计

以标准B样条函数为基础,建立了以位置、样条系数为状态变量的参数化卡尔曼滤波器,用于解决外测数据的实时滤波问题。按照时间更新跨节点与否,分2种情况给出了状态转移方程。在时间更新跨样条节点时,使用样条函数的一阶连续导数条件,估计新增样条节点系数,由此实现滤波器在跨节点处的平滑过渡。通过仿真数据对新方法进行验证,并与已有的2类典型滤波方法进行比较,结果表明,本方法的滤波精度与另一类直接基于弹道信号表示的样条递推滤波方法精度相当,且可表现出更优的收敛性。新方法具有样条参数化模型的相同优点,可对时域信号全时段建模,可利用先验信息设计弹道优选节点而实现滤波性能优化,缺点在于状态更新的策略较为复杂。     

一种基于三维到达角的无偏伪线性卡尔曼滤波

为了解决大场景下基于三维到达角的目标跟踪问题，提出了一种具有无偏性的伪线性卡尔曼滤波。首先，基于三维到达角信息对目标运动模型与量测模型进行建模；之后，对量测模型进行了伪线性化处理，得到了线性形式的目标量测模型。为了解决伪线性卡尔曼滤波存在的有偏性问题，提出了一种结合EKF（extend Kalman filter）的三维伪线性无偏卡尔曼滤波。仿真实验表明，该模型能够对非机动目标与机动目标有效跟踪，对于百公里级别的目标，当角测量误差从0.1°变化到0.5°，算法在仿真时间结束时均能将绝对位置误差降低至10 km以内，且算法的运行速度与EKF为同一个量级，同时兼顾了抗干扰能力、定位跟踪精度、运行效率的要求，能够为大场景下的目标跟踪提供有效方法。     

一种基于径向加速度的Singer-EKF机动目标跟踪算法

针对雷达均不能提供目标加速度信息,在目标机动时会出现跟踪精度差甚至跟踪发散的问题,提出一种基于径向加速度的Singer-EKF算法。该算法在信号处理阶段利用Radon-Ambiguity变换（RAT）估计出目标的径向加速度,并通过坐标转换将其引入量测向量中,然后采用基于Singer模型的扩展卡尔曼滤波（EKF）算法实现机动目标的跟踪。仿真验证了该方法的有效性,并与传统的不带径向加速度的扩展卡尔曼滤波（EKF）方法进行了比较,结果表明该方法在径向距离、位置、加速度和速度估计精度方面都有所提高。     

基于模板匹配的集中式多传感器群内目标精细跟踪算法

为解决多传感器探测下群内目标精细跟踪的难题,基于非机动情况下各探测周期内群内目标真实回波位置相对固定的特性,提出了一种基于模板匹配的集中式多传感器群内目标精细跟踪算法。该算法通过预关联成功的群状态集合与群量测集合分别建立模板形状矩阵和待匹配形状矩阵,利用匹配搜索模型和匹配矩阵确认规则选出代价最小的匹配矩阵,并基于模板和对应的匹配矩阵利用 kalman滤波完成群内各目标航迹的状态更新。仿真表明,与传统多传感器多目标跟踪算法中性能优越的基于数据压缩的集中式多传感器多假设算法相比,该算法在跟踪精度、实时性、有效跟踪率方面的性能明显优越,能很好的满足群内目标精细跟踪的实际工程需求。     

利用Singer模型的无陀螺姿态和角速度估计

 给出了一种利用Singer跟踪模型的扩展卡尔曼滤波器 (ExtendedKalmanFilter) ,用于无陀螺姿态和姿态角速度估计。在滤波器中 ,姿态和姿态误差分别由姿态四元数和误差四元数表示 ,而姿态角加速度由一阶Markov过程描述 ,从而避免采用姿态动力学模型。利用数值仿真计算验证了滤波器的性能。在所有的仿真过程 ,滤波器显示出快速收敛能力。稳态估计误差主要由测量更新频率和精度决定。     

Multiradar Tracking System Using Radial Velocity Measurements

Multiradar tracking using both position and radial velocity measurements is discussed. The measurement of two or more different radial velocity components allows the calculation of rectangular velocity components. The measurement noise of the velocity components is filtered using a Kalman filter in the same way as the Cartesian position components. Before the conversion of velocity components from radial to Cartesian coordinates, the radial velocities are aligned on a time scale to account for the time shift of the radar measurements. In order to compare multiradar tracking system performance with and without radial velocity, some simulation tests have been performed for typical paths. The simulation results show a significant improvement when radial velocity is used for tracking.     

基于先验门限优化准则的探测阈值自适应选择

针对 2维测量和 4 -sigma确认门 ,把先验检测门限优化准则和修正 Riccati方程的解析近似表示相结合 ,得到了在瑞利起伏环境下使跟踪性能优化的信号探测阈值解析表示式 ,从而使在线求解自适应信号探测阈值能比较容易地实现。通过研究和仿真发现 :在滤波稳定阶段 ,本文给出的自适应信号检测门限方法的跟踪性能优于固定虚警率方法的跟踪性能 ;基于先验检测门限优化准则实现检测 -跟踪的联合优化要求信噪比要大于一定的门限 ,在瑞利起伏环境下 ,对 2维测量和 4 -sigma确认门 ,该门限为 1 .57     

U-D分解的固定点平滑新算法及其在飞行试验中的应用

 本文根据Rauch固定点平滑公式,提出了一种U-D分解的固定点平滑新算法。这一算法不仅具有良好的数值稳定性和可靠性,而且计算量较少;计算效率是Bryson-Ho Y C固定点平滑计算效率的1.5倍以上。将这种新算法用于飞机运动状态初值的确定,提高了飞机气动参数辨识精度。     

Lightweight hybrid visual-inertial odometry with closed-form zero velocity update

Visual-Inertial Odometry (VIO) fuses measurements from camera and Inertial Measurement Unit (IMU) to achieve accumulative performance that is better than using individual sensors. Hybrid VIO is an extended Kalman filter-based solution which augments features with long tracking length into the state vector of Multi-State Constraint Kalman Filter (MSCKF). In this paper, a novel hybrid VIO is proposed, which focuses on utilizing low-cost sensors while also considering both the computational efficiency and positioning precision. The proposed algorithm introduces several novel contributions. Firstly, by deducing an analytical error transition equation, one-dimensional inverse depth parametrization is utilized to parametrize the augmented feature state. This modification is shown to significantly improve the computational efficiency and numerical robustness, as a result achieving higher precision. Secondly, for better handling of the static scene, a novel closed-form Zero velocity UPdaTe (ZUPT) method is proposed. ZUPT is modeled as a measurement update for the filter rather than forbidding propagation roughly, which has the advantage of correcting the overall state through correlation in the filter covariance matrix. Furthermore, online spatial and temporal calibration is also incorporated. Experiments are conducted on both public dataset and real data. The results demonstrate the effectiveness of the proposed solution by showing that its performance is better than the baseline and the state-of-the-art algorithms in terms of both efficiency and precision. A related software is open-sourced to benefit the community.^①