Stability of Parameter Estimates for a Gaussian Process

Maximum-likelihood estimates for the levels of the mean value function and the covariance function of a Gaussian random process are investigated. The stability of these estimates is examined as the actual covariance function of the process deviates from the form assumed in the estimators. It is found that the time-bandwidth product for stationary processes represents an upper bound on the number of estimator terms that can be safely used when estimating with uncertainty about the process covariance function. This result is consistent with other interpretations of the time-bandwidth product and tempers the conclusion that, in principle, an infinite number of estimator terms can be used to obtain a perfect estimate of the covariance level. In practice, the estimate of the level can never be perfect, and the accuracy of the estimate depends on the observation interval. Finally, conditions are established to ensure asymptotic stability of the estimates and physical interpretations are presented.     

Characterization of Kalman filter residuals in the presence ofmismodeling

The mean and covariance of a Kalman filter residual are computed for specific cases in which the Kalman filter model differs from a linear model that accurately represents the true system (the truth model). Multiple model adaptive estimation (MMAE) uses a bank of Kalman filters, each with a different internal model, and a hypothesis testing algorithm that uses the residuals from this bank of Kalman filters to estimate the true system model. At most, only one Kalman filter model will exactly match the truth model and will produce a residual whose mean and standard deviation have already been analyzed. All of the other filters use internal models that mismodel the true system. We compute the effects of a mismodeled input matrix, output matrix, and state transition matrix on these residuals. The computed mean and covariance are compared with simulation results of flight control failures that correspond to mismodeled input matrices and output matrices     

协方差分析描述函数法在终端航空武器投放动态仿真研究中的应用

 以终端航空武器系统空对地武器投入为例,研究和分析了协方差分析函数法在常规武器投放统计性能计算中的应用,建立了空－地武器投放数字仿真的均值方程和协方差方程,引入了弹着点传递矩阵,并与统计试验法比较了弹着点误差的统计特性。     

Hard-constrained versus soft-constrained parameter estimation

The paper aims at contrasting two different ways of incorporating a priori information in parameter estimation, i.e., hard-constrained and soft-constrained estimation. Hard-constrained estimation can be interpreted, in the Bayesian framework, as maximum a posteriori probability (MAP) estimation with uniform prior distribution over the constraining set, and amounts to a constrained least-squares (LS) optimization. Novel analytical results on the statistics of the hard-constrained estimator are presented for a linear regression model subject to lower and upper bounds on a single parameter. This analysis allows to quantify the mean squared error (MSE) reduction implied by constraints and to see how this depends on the size of the constraining set compared with the confidence regions of the unconstrained estimator. Contrastingly, soft-constrained estimation can be regarded as MAP estimation with Gaussian prior distribution and amounts to a less computationally demanding unconstrained LS optimization with a cost suitably modified by the mean and covariance of the Gaussian distribution. Results on the design of the prior covariance of the soft-constrained estimator for optimal MSE performance are also given. Finally, a practical case-study concerning a line fitting estimation problem is presented in order to validate the theoretical results derived in the paper as well as to compare the performance of the hard-constrained and soft-constrained approaches under different settings     

子空间干扰加高斯杂波背景下基于 GLRT的斜对称方向检测器设计

文章研究了背景为子空间干扰加高斯杂波的距离扩展目标方向检测问题。杂波是均值为零协方差矩阵未知但具有斜对称特性的高斯杂波,目标与干扰分别通过具备斜对称特性的目标子空间和干扰子空间描述。针对方向检测问题,利用上述斜对称性,根据广义似然比检验(Generalized Likeli-hood Ratio Test,GLRT)准则的一步与两步设计方法,设计了基于 GLRT的一步法与两步法的距离扩展目标方向检测器。通过理论推导证明了这 2种检测器相对于未知杂波协方差矩阵都具有恒虚警率。对比相同背景下已有检测器,特别是在辅助数据有限的场景下,文章提出的 2个检测器表现出了优越的检测性能。     

鲁棒EKF在脉冲星导航系统中的应用

针对脉冲星导航系统的滤波问题,传统的扩展卡尔曼滤波(EKF)算法存在不能克服系统模型存在不确定性参数以及乘性噪声等缺陷,提出一种鲁棒EKF算法。首先,分析了状态预测误差方程和估计误差方程,利用统计学原理,得到了状态预测方差矩阵和状态估计方差矩阵计算等式。由于系统模型存在不确定性参数,状态预测协方差矩阵和状态估计协方差矩阵无法计算;因此,利用4个重要矩阵不等式,分析并找到预测方差矩阵和状态估计方差矩阵的上界。最后,利用状态估计误差协方差矩阵上界设计状态增益矩阵,使得状态估计协方差矩阵的迹最小。将该算法对脉冲星导航系统进行仿真,仿真结果验证了所提算法的有效性。     

基于先验知识及其定量评估的自适应杂波抑制研究

 为了改善训练样本数受限的非均匀杂波环境中的系统检测性能,研究了基于先验知识及其定量评估的自适应杂波抑制算法。提出了使用经真实杂波信息白化后的先验杂波协方差矩阵与单位矩阵之差的谱范数,来定量评估杂波先验知识的准确程度,并给出了真实杂波协方差矩阵未知时的矩阵谱范数估计方法。结合先验知识定量评估结果,获得了具有先验知识约束时的杂波协方差矩阵最大似然估计方法。分别基于多脉冲相参雷达以及空时自适应雷达进行了杂波建模,在此基础之上分析了算法性能。仿真结果证实了该算法优于使用样本协方差矩阵及先验杂波信息形成杂波抑制权值的性能。     

基于新息异常检测的改进抗差自适应卡尔曼滤波算法

在工程应用中,量测异常及量测噪声统计特性的时变是引起标准卡尔曼滤波振荡甚至发散的主要原因。经典抗差Sage-Husa自适应滤波方案,对量测中的孤立型异常有所抵抗,并可在线估计量测噪声统计特性改善滤波效果,但当连续型异常值出现时,其滤波效果不佳。针对现有抗差Sage-Husa自适应滤波方案的不足,提出了新的改进滤波方法。在改进算法中,当检测到量测异常时采用模值更大的先验预测方差阵代替原算法中的后验估计方差阵,在估计量测噪声方差时起到放大作用,以降低异常量测权重,提高滤波精度;采用IGG方案构造了新的权函数,可在抑制异常影响的同时调节估计方差阵,以免连续异常时新息持续置零引起的滤波发散;采用标准卡尔曼滤波新息辅助异常检测的双重检测策略,避免了因量测噪声方差阵的调节引起检测阈值变化而导致的漏检率增高。仿真实验表明,与常规抗差自适应滤波算法相比,该方案可更加有效地抑制量测异常值的影响。     

Cubature Kalman filter with closed-loop covariance feedback control for integrated INS/GNSS navigation

Cubature Kalman Filter (CKF) offers a promising solution to handle the data fusion of integrated nonlinear INS/GNSS (Inertial Navigation System/Global Navigation Satellite System) navigation. However, its accuracy is degraded by inaccurate kinematic noise statistics which originate from disturbances of system dynamics. This paper develops a method of closed-loop feedback covariance control to address the above problem of CKF. In this method, the posterior state and its covariance are fed back to the filtering process to constitute a closed-loop structure for CKF covariance propagation. Subsequently, based on the maximum likelihood principle, a control scheme of the prior state covariance is established by using the feedback state and covariance within an estimation window and further adopting a proportional coefficient to amplify the feedback terms in recent time steps for the full use of new information to reflect actual system characteristics. Since it does not directly use kinematic noise covariance, the proposed method can effectively avoid the adverse impact of inaccurate kinematic noise statistics on filtering solutions. Further, it can also guarantee the prior state covariance to be positive semi-definite without involving extra measures. The efficacy of the proposed method is validated by simulations and experiments for integrated INS/GNSS navigation.     

Image Correlation with Geometric Distortion Part II: Effect on Local Accuracy

The effect of geometric distortion on the local accuracy of the image registration algorithms using cross correlation is presented. Using a probabilistic model describing images as homogeneous random patterns, expressions for the mean and covariance of the local error vector in terms of image and noise autocorrelation functions, geometric distortion, and reference image area are derived. The geometric distortions considered are those represented by an affine transformation of image coordinates. It is shown that for a fixed geometric distortion there is an image size (integration area) that minimizes the local error. The optimum area decreases with increasing geometric distortion.     

A Generalization of the Normalized LMS Algorithm

As previously shown, the normalized least mean square (NLMS)algorithm has superior convergence properties than the least meansquare(LMS) algorithm. However, the weight noise effect of the NLMS algorithm is large so that the steady state residue power islarger than that for the LMS algorithm. A generalized NLMSalgorithm is developed based upon the pseudoinverse of anestimated covariance matrix. A preliminary evaluation indicatesimproved performance can be attained but the implementationcomplexity might be high.     

New correlated MIMO radar covariance matrix design with low side lobe levels and much lower complexity

In this paper, a new correlated covariance matrix for Multi-Input Multi-Output (MIMO) radar is proposed, which has lower SideLobe Levels (SLLs) compared to the new covariance matrix designs and the well-known multi-antenna radar designs including phased-array, MIMO radar and phased-MIMO radar schemes. It is shown that Binary Phased-Shift Keying (BPSK) waveforms that have constant envelope can be used in a closed-form to realize the proposed covariance matrix. Therefore, there is no need to deploy different types of radio amplifiers in the transmitter which will reduce the cost, considerably. The proposed design allows the same transmit power from each antenna in contrast to the phased-MIMO radar. Moreover, the proposed covariance matrix is full-rank and has the same capability as MIMO radar to identify more targets, simultaneously. Performance of the proposed transmit covariance matrix including receive beampattern and output Signal-to-Interference plus Noise Ratio (SINR) is simulated, which validates analytical results.     

Discrete-time state estimation of analog double integrators

The problem of minimum variance discrete-time state estimation of a continuous-time double integrator via noisy continuous-time measurements is considered. The error covariance matrices of this estimation are calculated and analyzed. The relations between these covariance matrices and the error covariance matrix of the optimal continuous-time filter are obtained, and a way for determining the required sampling period is proposed. A commonly used approximated model is investigated; it is shown to be inappropriate unless a specific improvement is introduced in the model     

Spectral Moment Estimates from Correlated Pulse Pairs

Estimates statistics of the first two power spectrum moments from the pulse pair covariance are analyzed. The input signal is assumed to be colored Gaussian and the noise, white Gaussian. Perturbation formulas for the standard deviation of both mean frequency and spectrum width are applied to a Gaussian shaped power spectrum, and so is a perturbation formula for the bias in the width estimate. Mean frequency estimation from interlaced pulse pairs is presented. Throughout this study, estimators from independent, spaced, and contiguous pulse pairs are compared to provide a continuum of statistics from equispaced tightly correlated to statistically independent pulse pairs.     

确定时间序列协方差函数的方法

提出一种确定时间序列协方差函数的方法,它首先根据(多元)时间序列构造其互协方差函数随机序列、互相关函数随机序列或自协方差函数随机序列、自相关函数随机序列,然后采用谱分析和多点平均方法对互协方差函数随机序列、互相关函数随机序列或自协方差函数随机序列、自相关函数随机序列的趋势项进行分离,分别求得其周期项和非周期项的函数表达式,再综合给出整个趋势项函数。从而得到原时间序列的互协方差函数、互相关函数或自协方差函数、自相关函数的函数形式,并通过最小二乘方法确定其中的待定参数。该方法可用于时间序列协方差函数的建模、分析和预测,并且计算简单易行、精度高,便于实际应用。      

噪声协方差估计新算法在惯性导航系统中的仿真研究

研究一种在动态系统常值误差未知的情况下对线性时变随机系统误差协方差进行估计的新方法。该方法通过构造一个新的时间序列,其协方差由未知参数的线性组合组成,然后用递推最小二乘法来计算新序列的协方差,该方法不需要任何关于噪声的先验知识。从仿真结果来看达到了较好的效果。     

A Detection Algorithm for Optical Targets in Clutter

There is active interest in the development of algorithms for detecting weak stationary optical and IR targets in a heavy opticalclutter background. Often only poor detectability of low signal-to-noise ratio (SNR) targets is achieved when the direct correlation method is used. In many cases, this is partly obviated by using detection with correlated reference scenes [1, 2].This paper uses the experimentally justified assumption that most optical clutter can be modeled as a whitened Gaussian randomprocess with a rapidly space-varying mean and a more slowlyvarying covariance [2]. With this assumption, a new constant falsealarm rate (CFAR) detector is developed as an application of the classical generalized maximum likelihood ratio test of Neyman and Pearson. The final CFAR test is a dimensionless ratio. This test exhibits the desirable property that its probability of a false alarm(PFA) is independent of the covariance matrix of the actual noiseencountered. When the underlying noise processes are complex intime, similar considerations can yield a sidelobe canceler CFARdetection criterion for radar and communications. Performance analyses based on the probability of detection (PD)versus signal-to-noise ratio for several given fixed false alarm probabilities are presented. Finally these performance curves are validated by computer simulations of the detection process which use real image data with artificially implanted signals.     

Polarization diversity detection in compound-Gaussian clutter

We present the problem of polarization diversity detection in compound-Gaussian clutter with unknown covariance matrix. To this end we assume that a set of secondary data, free of signal components and with the same covariance structure of the cell under test, is available. Due to the lack of a uniformly most powerful (UMP) detector we resort to a design procedure based upon the Rao and the Wald tests. Specifically we first derive the Rao and the Wald tests assuming that the covariance matrix is known, and then we substitute into the derived decision rules a suitable estimate of the clutter covariance. Interestingly, the newly proposed detectors share the constant false alarm rate (CFAR) property with respect to the texture statistical characterization. Moreover simulation results have shown that the Wald test based detector ensures a performance level higher than the Rao test. We have also conducted a further performance analysis, in the presence of real clutter data and in comparison with the previously proposed generalized likelihood ratio test (GLRT) based receivers, which highlights that, in general, the Wald test receiver outperforms its counterparts. Finally, since the newly proposed decision rules as well as the previously designed GLRTs do not ensure the CFAR property with respect to the clutter covariance matrix, we have developed a sensitivity analysis on the probability of false alarm (P/sub fa/), based on simulated clutter with covariance matrix estimated from real radar data. The results have shown that (P/sub fa/) is only slightly affected by variations in the clutter correlation properties and hence the CFARness is substantially achieved.     

A Stochastic Algorithm for Sensitivity Analysis

A direct stochastic sensitivity analysis algorithm is developed for linear dynamical systems having incompletely known input statistics. The new algorithm extends previous results by applying covariance propagation concepts which utilize as a forcing function the sensitivity covariance matrix associated with the uncertainty in the elements of the system input covariance matrix itself. The developed algorithm is evaluated in the context of a generalized sensitivity analysis formulation involving nonlinear transformations on the input signals. Numerical results are provided to demonstrate the usefulness of the new algorithm.     

Sensitivity analysis of dual-satellite geolocation

An analytic solution is presented for the linearized estimation problem arising from the dual-satellite geolocation of the source of a narrowband signal using time- and frequency-difference-of-arrival (TDOA and FDOA, respectively) observations and an altitude constraint. This solution is used to analyze the covariance matrix of the resultant source location estimate, along with the sensitivity of its mean to errors in the presumed source altitude and velocity, and the measured or predicted positions and velocities of the satellites. Following the practice of differential Global Positioning System, the technique of differential calibration is used to reduce or eliminate various sources of solution bias which would otherwise require tight, and consequently expensive, individual calibration