Observer-type Kalman innovation filter for uncertain linear systems

An observer-type of Kalman innovation filtering algorithm to find a practically implementable "best" Kalman filter, and such an algorithm based on the evolutionary programming (EP) optima-search technique, are proposed, for linear discrete-time systems with time-invariant unknown-but-hounded plant and noise uncertainties. The worst-case parameter set from the stochastic uncertain system represented by the interval form with respect to the implemented "best" filter is also found in this work for demonstrating the effectiveness of the proposed filtering scheme. The new EP-based algorithm utilizes the global optima-searching capability of EP to find the optimal Kalman filter and state estimates at every iteration, which include both the best possible worst case Interval and the optimal nominal trajectory of the Kalman filtering estimates of the system state vectors. Simulation results are included to show that the new algorithm yields more accurate estimates and is less conservative as compared with other related robust filtering schemes     

混合线性/非线性模型的准高斯Rao-Blackwellized粒子滤波法

 针对混合线性/非线性模型,提出一种新的递推估计滤波算法,称为准高斯Rao-Blackwellized粒子滤波器（Q-GRBPF）。算法采用Rao-Blackwellized思想,将线性状态与非线性状态进行分离,对非线性状态运用准高斯粒子滤波（Q-GPF）算法进行估计,并将其后验分布近似为单个高斯分布,再利用非线性状态的估计值对线性状态进行卡尔曼滤波（KF）估计。将Q-GRBPF应用于目标跟踪的仿真结果表明,与Rao-Blackwellized粒子滤波器（RBPF）相比,Q-GRBPF在保证估计精度的前提下有效降低了计算复杂度,计算时间约为RBPF的58%;与Q-GPF相比,x坐标与y坐标的估计精度分别提升了45％和30％,而计算时间也节省了约30％。     

再论联邦滤波在组合导航中的应用可行性

在联邦滤波算法中，针对子滤波器存在私有状态从而导致全局状态信息融合估计为次优估计的问题，通过一个简单的3维状态、2维量测系统的数值仿真以及速度+姿态传递对准组合导航仿真，验证了联邦滤波的次优估计结果误差太大，难以满足实际系统的高精度滤波需求。联邦滤波估计的次优程度没有经过严格证明，且难以证明，因而存在应用风险。对于以精度为主要性能指标的组合导航系统，不建议采用联邦滤波算法，否则其精度损失不足以弥补其带来的计算量降低和容错性提高的优势。     

Active sonar application of a U-D square root PDAF

The probabilistic data association filter (PDAF) is a suboptimal approach to tracking a target in the presence of clutter. In the PDAF implementation, the Kalman measurement update is performed over the set of validated measurements and the Kalman time update is used to propagate the PDAF measurement update. A popular approach to obtaining a numerically stable set of Kalman update equations is to propagate the U-D factors of the covariance in the measurement and time updates. The PDAF measurement update equation is obtained in U-D factored form by applying the modified weighted Gram-Schmidt (MWG-S) algorithm to the three factored terms. The factors of the first two terms are determined from the U-D factors of the a priori and conditional a posteriori covariances. The third term is factored analytically using the Agee-Turner factorization. The resulting U-D square-root PDAF is then applied to the problem of active tracking of a submarine in reverberation using polar coordinates     

Kalman filtering for matrix estimation

A general discrete-time Kalman filter (KF) for state matrix estimation using matrix measurements is presented. The new algorithm evaluates the state matrix estimate and the estimation error covariance matrix in terms of the original system matrices. The proposed algorithm naturally fits systems which are most conveniently described by matrix process and measurement equations. Its formulation uses a compact notation for aiding both intuition and mathematical manipulation. It is a straightforward extension of the classical KF, and includes as special cases other matrix filters that were developed in the past. Beyond the analytical value of the matrix filter, it is shown through various examples arising in engineering problems that this filter can be computationally more efficient than its vectorized version.     

基于Kalman滤波的变体飞行器T-S模糊控制

针对变体飞行器的跟踪控制问题,提出了一种基于Kalman滤波的T-S模糊控制方法。考虑飞行器系统状态不可测,引入惯导数据作为辅助信息,利用Kalman滤波算法融合飞控信息与惯导信息实现状态估计。由于变体飞行器在不同变形结构下气动特性变化较大,为便于控制器设计,采用小扰动线性化方法得到飞行器在不同平衡点处的局部线性模型,并通过状态反馈方法设计局部控制器,局部线性模型和局部控制器通过模糊集和模糊规则聚合成一个连续光滑的全局T-S模糊模型和T-S模糊控制器。通过综合Kalman滤波器与T-S模糊控制器得到一个基于Kalman滤波的T-S模糊控制器。仿真结果表明,该控制器在变形过程中能够实现状态估计,保证飞机的跟踪性能。     

基于混合粒子滤波的激光惯导系统误差的补偿

针对激光陀螺捷联惯导系统在动态尤其是高动态环境下的姿态误差显著增大的问题,提出了一种基于改进高斯混合粒子滤波的纯方位跟踪算法。算法基于混合粒子的卡尔曼滤波和粒子滤波的特点,用有限的高斯模型来近似后验状态密度、系统噪声和观测噪声的分布通过EM的算法设计实现模型的降阶,一定程度上克服了EM算法迭代的结果需要依赖初始值、可能收敛到局部最大点或可能收敛到参数空间边界的缺点,从而改善了粒子携带信息的衰减问题。通过仿真与试验结合,在纯动态应用环境下的姿态与定位精度补偿效果,与传统Kalman滤波相比,算法在保持高精度估计能力的同时,具有较强的鲁棒性,是解决非线性系统状态估计问题的一种有效方法。     

An improved multiple model GM-PHD filter for maneuvering target tracking

In this paper, an improved implementation of multiple model Gaussian mixture probability hypothesis density (MM-GM-PHD) filter is proposed. For maneuvering target tracking, based on joint distribution, the existing MM-GM-PHD filter is relatively complex. To simplify the filter, model conditioned distribution and model probability are used in the improved MM-GM-PHD filter. In the algorithm, every Gaussian components describing existing, birth and spawned targets are estimated by multiple model method. The final results of the Gaussian components are the fusion of multiple model estimations. The algorithm does not need to compute the joint PHD distribution and has a simpler computation procedure. Compared with single model GM-PHD, the algorithm gives more accurate estimation on the number and state of the targets. Compared with the existing MM-GM-PHD algorithm, it saves computation time by more than 30%. Moreover, it also outperforms the interacting multiple model joint probabilistic data association (IMMJPDA) filter in a relatively dense clutter environment.     

A modified adaptive Kalman filter for real-time applications

A modified adaptive Kalman filtering algorithm is derived for the standard linear problem under an irregular environment where all variances of the zero-mean Gaussian white (system and observation) noises are unknown a priori. This algorithm has certain merits over various existing adaptive schemes in that it is simple, efficient, and suitable for real-time applications. An illustrative numerical example is presented     

高超声速飞行器组合导航鲁棒滤波算法

高超声速飞行器由于其飞行环境的影响,使得GPS和星敏感器的量测噪声表现出非高斯特性。针对常规基于Kalman滤波的组合导航在非高斯噪声下性能下降的问题,提出了基于鲁棒滤波的高超声速飞行器组合导航算法。方法在惯性／GPS／＆异步量测建模的基础上,通过随机去耦将量测更新转化为线性回归问题,并基于M估计获得状态量最优估计。仿真结果表明,方法对非高斯噪声具有更好的鲁棒性,有效提高了高超声速飞行器组合导航系统的性能。     

用卡尔曼滤波器估计目标机动加速度

为了使基于线性二次型高斯理论的LQG最优制导规律得到工程应用，设计了一种寻的回路中的卡尔曼滤波器，利用仿真技术，用这种滤波器对目标机动加速度进行了估计，仿真结果表明，这种滤波器可以准确估计目标机动加速度。     

Adaptive Gaussian sum squared-root cubature Kalman filter with split-merge scheme for state estimation

The paper deals with state estimation problem of nonlinear non-Gaussian discrete dynamic systems for improvement of accuracy and consistency. An efficient new algorithm called the adaptive Gaussian-sum square-root cubature Kalman filter（AGSSCKF） with a split-merge scheme is proposed. It is developed based on the squared-root extension of newly introduced cubature Kalman filter（SCKF） and is built within a Gaussian-sum framework. Based on the condition that the probability density functions of process noises and initial state are denoted by a Gaussian sum using optimization method, a bank of SCKF are used as the sub-filters to estimate state of system with the corresponding weights respectively, which is adaptively updated. The new algorithm consists of an adaptive splitting and merging procedure according to a proposed split-decision model based on the nonlinearity degree of measurement. The results of two simulation scenarios（one-dimensional state estimation and bearings-only tracking） show that the proposed filter demonstrates comparable performance to the particle filter with significantly reduced computational cost.     

自适应高阶容积卡尔曼滤波在目标跟踪中的应用

针对传统容积卡尔曼滤波(CKF)在系统状态发生突变时估计精度下降的问题,将强跟踪滤波(STF)算法与高阶容积卡尔曼滤波(HCKF)算法相结合,提出了一种自适应高阶容积卡尔曼滤波(AHCKF)方法。该算法采用高阶球面-相径容积规则,可获得高于传统CKF的估计精度,同时在HCKF算法中引入STF,通过渐消因子在线修正预测误差协方差阵,强迫残差序列正交,提高了算法的鲁棒性,增强了算法应对系统状态突变等不确定因素的能力。将提出的AHCKF算法应用于具有状态突变的机动目标跟踪问题并进行数值仿真,仿真结果表明,AHCKF算法在系统状态发生突变的情况下表现出良好的滤波性能,有效地避免了状态突变造成的滤波精度下降,较传统的CKF、HCKF、交互式多模型-容积滤波(IMM-CKF)和自适应容积卡尔曼滤波(ACKF)算法有更强的鲁棒性和系统自适应能力。     

GPS/INS组合导航系统自适应滤波算法与仿真研究

随着组合导航系统应用环境的日趋复杂，给噪声统计特性的准确描述带来困难，这将造成Kalman滤波器不稳定甚至发散。首先对目前解决此问题常用的自适应滤波方法进行了总结和分析，在此基础上，给出了基于滤波收敛性判据，结合Sage-Husa自适应滤波和强跟踪Kalman滤波的改进自适应滤波算法。最后以GPS／INS组合导航系统为例进行了计算机仿真，结果表明：该算法可有效抑制滤波发散，具有较大范围的自适应能力。     

Kalman Filtering with Nonlinear State Constraints

An analytic method was developed by D. Simon and T. L. Chia to incorporate linear state equality constraints into the Kalman filter. When the state constraint was nonlinear, linearization was employed to obtain an approximately linear constraint around the current state estimate. This linearized constrained Kalman filter is subject to approximation errors and may suffer from a lack of convergence. We present a method that allows exact use of second-order nonlinear state constraints. It is based on a computational algorithm that iteratively finds the Lagrangian multiplier for the nonlinear constraints. Computer simulation results are presented to illustrate the algorithm.     

Kalman filtering with state equality constraints

Kalman filters are commonly used to estimate the states of a dynamic system. However, in the application of Kalman filters there is often known model or signal information that is either ignored or dealt with heuristically. For instance, constraints on state values (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. A rigorous analytic method of incorporating state equality constraints in the Kalman filter is developed. The constraints may be time varying. At each time step the unconstrained Kalman filter solution is projected onto the state constraint surface. This significantly improves the prediction accuracy of the filter. The use of this algorithm is demonstrated on a simple nonlinear vehicle tracking problem     

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     

Analytical solution of discrete colored noise ECA tracking filter

New analytical solutions of steady-state Kalman gains are presented for a discrete-time tracking filter with correlation in both the measurement noise and the target maneuver. The measurement noise model is a first-order discrete Markov process characterized by a correlation coefficient ρ. The target motion is examined for an exponentially correlated acceleration maneuver type in which the vehicle oscillation such as wind-induced-bending is also considered. The present solution method is based on factorizing the observed spectral density matrix Ψ(z) in frequency domain. The algorithm proposed here gives the Kalman gain matrix directly. For a case when the steady-state error covariance matrix is desired, such gains can be incorporated with the algebraic Riccati equation     

Tracking targets using adaptive Kalman filtering

A simple algorithm for estimating the unknown process noise variance of an otherwise known linear plant, using a Kalman filter is suggested. The process noise variance estimator is essentially dead beat, using the difference between the expected prediction error variance, computed in the Kalman filter, and the measured prediction error variance. The estimate is used to adapt the Kalman filter. The use of the adaptive filter is demonstrated in a simulated example in which a wildly maneuvering target is tracked     

Finite-dimensional filters with nonlinear drift. V: solution to Kolmogorov equation arising from linear filtering with non-Gaussian initial condition

Despite its usefulness, the Kalman-Bucy filter is not perfect. One of its weaknesses is that it needs a Gaussian assumption on the initial data. Recently Yau and Yau introduced a new direct method to solve the estimation problem for linear filtering with non-Gaussian initial data. They factored the problem into two parts: (1) the on-line solution of a finite system of ordinary differential equations (ODEs), and (2) the off-line calculation of the Kolmogorov equation. Here we derive an explicit closed-form solution of the Kolmogorov equation. We also give some properties and conduct a numerical study of the solution.