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     

一种改进的强跟踪UKF算法及其在SINS大方位失准角初始对准中的应用

针对现有的强跟踪无迹卡尔曼滤波（UKF）算法存在理论依据不足和滤波性能欠佳等问题,从正交性原理出发,通过严谨的推导得到强跟踪UKF成立的充分条件,在此基础上提出一种改进的强跟踪UKF算法。该算法无需求解雅可比矩阵且计算量较小,渐消因子的作用位置以及求解公式均不同于原始的强跟踪滤波器。给出了该算法的流程和渐消因子的求解方法,证明了该算法满足强跟踪滤波器的充分条件,并分析了其渐消因子的作用机理。进行了捷联惯性导航系统（SINS）大方位失准角初始对准仿真,结果验证了所提强跟踪UKF算法的正确性和有效性。     

一个用于目标跟踪的改进粒子滤波算法

简化UT（unscented transformation）转化参数，修改UKF（unscented Kalmanfilter）提议分布，提出了改进的粒子滤波算法。调节因子的增加使得能在线自适应估计，滤波性能提高，并形成一个自适应的算法。仅有角测量的目标跟踪仿真试验证实了改进的粒子滤波算法要优于其它滤波方式。     

一种改进的强跟踪 UKF 算法及其在 SINS 大方位失准角初始对准中的应用郭泽,缪玲娟,赵洪松简

 针对现有的强跟踪无迹卡尔曼滤波（UKF）算法存在理论依据不足和滤波性能欠佳等问题,从正交性原理出发,通过严谨的推导得到强跟踪UKF成立的充分条件,在此基础上提出一种改进的强跟踪UKF算法。该算法无需求解雅可比矩阵且计算量较小,渐消因子的作用位置以及求解公式均不同于原始的强跟踪滤波器。给出了该算法的流程和渐消因子的求解方法,证明了该算法满足强跟踪滤波器的充分条件,并分析了其渐消因子的作用机理。进行了捷联惯性导航系统（SINS）大方位失准角初始对准仿真,结果验证了所提强跟踪UKF算法的正确性和有效性。     

基于改进平方根无迹卡尔曼滤波方法的涡扇发动机气路状态监控

针对涡扇发动机气路状态监控存在模型未知或不准确导致滤波效果下降甚至发散的问题,研究了一种融入高斯过程回归（GPR）的改进平方根无迹卡尔曼滤波（UKF）方法.该方法利用GPR对训练数据进行学习,建立发动机气路部件状态监控的GPR模型,替代UKF方法中的非线性系统模型;采用超球体单形采样和平方根滤波方法来提高滤波的计算效率和数值稳定性.仿真结果表明:训练的GPR模型解决了UKF方法对发动机原系统模型和噪声协方差矩阵依赖性的问题;与扩展卡尔曼滤波（EKF）和平方根UKF方法相比较,改进平方根UKF方法精度更高,对健康参数的估计精度达到99.9%,实现了对涡扇发动机单个和多个气路部件健系参数的有效跟踪.      

Sequential nonlinear tracking using UKF and raw range-rate measurements

The three-dimensional (3D) converted measurements filtering (CMF) with both converted position and raw range-rate measurement is proposed to solve the Doppler radar target tracking, where the error between radar-target range and range rate are correlated. Firstly, not using pseudomeasurement constructed by product of range and range rate to reduce the high nonlinearity, the raw range-rate measurements are utilized by unscented Kalman filter (UKF), where the converted errors of the position and the range rate are decorrelated, then linear part (position measurements) and nonlinear part (range-rate measurement) are sequentially processed by Kalman filter (KF) and UKF. Secondly, based on the assumption of small measurement error, the mean and covariance of converted measurement errors are derived by second-order Taylor series expansion. Finally, the influence of the correlated coefficient rho between the range and range rate, and the range-rate noise deviation sigma_r are taken into account and extreme values of rho and sigma_r are used in Monte Carlo simulations. The results show that the proposed method is, in a sense, effective and practical     

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。     

无迹增量滤波方法

提出无迹增量滤波(UIF)的概念,建立一般无迹增量滤波模型及其分析方法,并对具有加性噪声的无迹增量滤波进行了详细讨论,给出其递推算法.在工程实际中,由于环境因素的影响、测量设备的不稳定性、模型和参数的选取不当等原因往往带来未知的系统误差.在这种情况下,传统的无迹Kalman滤波方法(UKF)在递推过程中会产生较大误差,甚至导致发散.提出的无迹增量滤波方法能够成功消除这种未知的系统误差,提高滤波的精度.该方法计算简单,便于工程应用.      

航空发动机气路故障诊断的平方根UKF方法研究

设计了适用于双轴涡扇发动机健康参数估计的平方根UKF滤波算法,解决了线性卡尔曼滤波器估计结果准确性依赖于线性模型精度;常规UKF算法中由于计算误差及噪声信号影响引起误差协方差矩阵负定而导致滤波结果发散等问题.提出了根据测量残差变化改进滤波收敛速度与稳定性的方法.发动机渐变与突变故障模式下仿真结果表明,平方根UKF估计算法收敛速度快,稳定性强,精度高,是一种有效的发动机气路部件健康参数估计与故障诊断方法.      

多渐消因子Kalman滤波器在SINS初始对准中的应用(英文)

针对系统模型和统计信息不能精确已知的条件下Kalman滤波无法给出最优解这一问题,单一渐消因子Kalman滤波算法对于简单的系统是有效的,但是对于复杂的多变量系统,仅仅利用单个的渐消因子是不够的。本文提出了一种多渐消因子滤波算法,通过利用开窗法计算新息序列协方差的无偏估计获得渐消因子矩阵。利用渐消因子矩阵调节一步预测均方误差矩阵k|k1P,对不同的滤波通道提供不同的渐消速率。将该方法应用于SINS的初始对准中,仿真和试验结果表明:当真实系统噪声统计特性同设定参数不一致时,对准精度明显高于其他滤波算法。其对不确定性噪声具有较低的敏感度,对系统参数具有较好的滤波效果。因而,在实际应用中具有重要的参考价值。     

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.     

Detection of satellite attitude sensor faults using the UKF

A novel fault detection (FD) method for nonlinear systems using the residuals generated by the unscented Kalman filter (UKF) is proposed. The errors of the UKF are derived and sufficient conditions for the convergence of the UKF are presented. As the local approach is a powerful statistical technique for detecting changes in the mean of a Gaussian process, it is used to devise a hypothesis test to detect faults from residuals obtained from the UKF. Further, it is demonstrated that the selection of a sample number is important in improving the performance of the local approach. To illustrate the implementation and performance of the proposed technique, it is applied to detect sensor faults in the measurement of satellite attitude.     

基于超球体平方根无迹Kalman滤波算法的涡扇发动机气路部件故障诊断

研究了一种超球体平方根无迹Kalman滤波算法用来有效跟踪涡扇发动机气路部件发生渐变性和突变性故障的健康参数.该算法通过超球体单形采样来降低算法的计算量,采用测量残差协方差阵的平方根代替方差阵进行递推运算,提高了算法的计算效率和数值稳定性.分别采用扩展Kalman滤波算法、无迹Kalman滤波算法和超球体平方根无迹Kalman滤波算法对某型涡扇发动机进行仿真,结果表明:超球体平方根无迹Kalman滤波算法的滤波时间减少50%左右,能够实现渐变性和突变性故障中健康参数的准确估计,是一种有效的涡扇发动机气路部件参数估计和故障诊断方法.      

Space-time registration of radar and ESM using unscented Kalman filter

Space and time alignments are the prerequisites for the successful fusion of multiple sensors. A space-time registration model is proposed to estimate the system biases and to perform time synchronization together for mobile radar and electronic support measure (ESM) systems. A space-time registration model for radar and ESM is first developed, and an unscented Kalman filter (UKF) is proposed to estimate the space-time biases and target states simultaneously. The posterior Cramer-Rao bounds (PCRBs) are derived for the proposed UKF registration algorithm for ESM detection probability less than or equal to one. Theoretical analyses are performed to evaluate the accuracy and robustness of the proposed method. Computer simulations show that the UKF registration algorithm is indeed effective and robust for different radar and ESM tracking scenarios.     

高斯-厄米特滤波器在捷联惯导系统初始对准中的应用

 为提高静基座初始对准精度,缩短对准时间,采用了基于大方位失准角的对准模型,引入了高斯-厄米特滤波器(GHF)。针对GHF中均值和协方差阵的多元非线性高斯积分求解问题,利用初始对准误差方程的非线性是由大方位失准角导致的特点,通过状态的线性变换,求其线性状态解析解,将高维积分转化成一元数值积分,在不损失精度的前提下,解决了GHF在对准应用的"维数灾难"问题。将此算法用于实际系统,对比于扩展卡尔曼滤波器(EKF)、无迹卡尔曼滤波器(UKF),结果表明在大方位失准角条件下,GHF方法偏航角的对准精度提高了16%,对准时间缩短了75％。     

引入UPF的交互式多模型的算法

融合交互式多模型和UPF（the unscented particle filter）,提出了一种新的多模型滤波算法。多模型结构能适应目标高度机动,粒子滤波能处理非线性、非高斯问题,而UKF（the unscented Kalman filte,）可以提高估计精度。与其它交互式多模型算法进行了比较,试验仿真结果证实了新滤波算法的有效性。     

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     

基于UKF准开环结构的高动态载波跟踪环路

 对高动态环境下的全球卫星导航系统（GNSS）载波信号跟踪方法进行了研究。在分析高动态载波信号模型的基础上,提出了一种基于无迹卡尔曼滤波（UKF）的准开环载波跟踪方法。此方法能够消除导航数据二进制相移键控(BPSK)调制的影响,并采用四维UKF相位估计模型提高跟踪精度,同时对估计值进行补偿以减少滤波器的滞后性。通过模拟接收机的高动态运动轨迹,从跟踪误差、跟踪结果和补偿效果3个方面,与基于卡尔曼滤波（KF）的锁频环(FLL)辅助锁相环(PLL)结构的传统跟踪方法进行比较,结果表明基于UKF的准开环跟踪方法能够有效地完成高动态环境下的载波跟踪。     

仅用星敏感器的卫星姿态估计UKF算法研究

针对无陀螺或陀螺失效等情况下的卫星姿态确定问题,应用基于Unscented变换的Unscented滤波理论,提出了仅利用星敏感器矢量观测信息来确定无陀螺卫星姿态的Unscented卡尔曼滤波算法,并进行了数学仿真,仿真结果表明了所提出的UKF算法在无陀螺情况下对卫星姿态估计的有效性和可靠性。     

Adaptive robust cubature Kalman filtering for satellite attitude estimation

This paper is concerned with the adaptive robust cubature Kalman filtering problem for the case that the dynamics model error and the measurement model error exist simultaneously in the satellite attitude estimation system. By using Hubel-based robust filtering methodology to correct the measurement covariance formulation of cubature Kalman filter, the proposed filtering algorithm could effectively suppress the measurement model error. To further enhance this effect and reduce the impact of the dynamics model error, two different adaptively robust filtering algorithms, one with the optimal adaptive factor based on the estimated covariance matrix of the predicted residuals and the other with multiple fading factors based on strong tracking algorithm, are developed and applied for the satellite attitude estimation. The quaternion is employed to represent the global attitude parameter, and three-dimensional generalized Rodrigues parameters are introduced to define the local attitude error. A multiplicative quaternion error is derived from the local attitude error to maintain quaternion normalization constraint in the filter. Simulation results indicate that the proposed novel algorithm could exhibit higher accuracy and faster convergence compared with the multiplicative extended Kalman filter, the unscented quaternion estimator, and the adaptive robust unscented Kalman filter.