A Simple Development of the Wiener-Hopf Equation and the Derived Kalman Filter

The Wiener-Hopf equation is developed using only a knowledge of elementary calculus and the definition of ensemble average from statistics. Then using the Leibniz equation for differentiating an integral, the Kalman filter and its relation to orthogonal projection is presented.     

自适应扩展增量 Kalman 滤波方法

基于扩展增量Kalman滤波方法(EIKF)和自适应增量Kalman滤波(AIKF),建立自适应扩展增量Kalman(AEIKF)模型及其分析方法,给出递推算法.在许多实际情况(如深空探测),由于环境因素的影响、测量设备的不稳定性等原因,量测方程往往存在未知的系统误差,并且模型参数也具有不确定性,结果导致较大的Kalman滤波误差,影响滤波的收敛性.提出的AEIKF方法能够成功消除这种未知的系统误差,并能够实时估计变化的噪声统计量,提高Kalman滤波精度.该方法计算简单,便于工程应用.      

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     

大失准角下MIMU空中快速对准技术

 为了提高微小型无人机空中的反应速度和作业精度,提出将基于模型误差预测的扩展卡尔曼滤波(MEP-EKF)方法应用在大失准角下微惯性测量单元(MIMU)的空中对准中,通过不同机动飞行策略的仿真结果,证实MEP-EKF算法不仅能够实时估计出系统的模型误差,而且将其与扩展卡尔曼滤波(EKF)和Unscented卡尔曼滤波(UKF)方法进行了仿真比较,结果表明MEP-EKF算法在方位误差角的估计上,取得了比EKF和UKF精度高的仿真结果,使得方位失准角由30°快速下降到1°左右,而且MEP-EKF所需时间仅是UKF的17%。     

Adaptive Two-Stage Extended Kalman Filter for a Fault-Tolerant INS-GPS Loosely Coupled System

The well-known conventional Kalman filter requires an accurate system model and exact stochastic information. But in a number of situations, the system model has an unknown bias, which may degrade the performance of the Kalman filter or may cause the filter to diverge. The effect of the unknown bias may be more pronounced on the extended Kalman filter (EKF), which is a nonlinear filter. The two-stage extended Kalman filter (TEKF) with respect to this problem has been receiving considerable attention for a long time. Recently, the optimal two-stage Kalman filter (TKF) for linear stochastic systems with a constant bias or a random bias has been proposed by several researchers. A TEKF can also be similarly derived as the optimal TKF. In the case of a random bias, the TEKF assumes that the information of a random bi?s is known. But the information of a random bias is unknown or partially known in general. To solve this problem, this paper proposes an adaptive two-stage extended Kalman filter (ATEKF) using an adaptive fading EKF. To verify the performance of the proposed ATEKF, the ATEKF is applied to the INS-GPS (inertial navigation system-Global Positioning System) loosely coupled system with an unknown fault bias. The proposed ATEKF tracked/estimated the unknown bias effectively although the information about the random bias was unknown.     

Interrelationship of single-filter and multiple-model adaptivealgorithms

An equivalent filter bank structure for multiple model adaptive estimation (MMAE) is developed that uses the residual and state estimates from a single Kalman filter and linear transforms to produce equivalent residuals of a complete Kalman filter bank. The linear transforms, which are a function of the differences between the system models used by the various Kalman filters, are developed for modeling differences in the system input matrix, the output matrix, and the state transition matrix. The computational cost of this new structure is compared with the cost of the standard Kalman filter bank (SKFB) for each of these modeling differences. This structure is quite similar to the generalized likelihood ratio (GLR) structure, where the linear transforms can be used to compute the matched filters used in the GLR approach. This approach produces the best matched filters in the sense that they truly represent the time history of the residuals caused by a physically motivated failure model     

基于数字滤波的低频时码秒脉冲抖动平滑方法研究

低频时码授时信号在接收时,由于环境等因素的影响会导致解调得到的低频时码秒脉冲出现抖动。为减小该抖动现象对低频时码定时精度的影响,基于我国低频时码授时系统(BPC),研究并设计基于数字滤波的秒脉冲抖动平滑方法,通过仿真实验,验证分析了最小均方误差(LMS)自适应滤波算法和卡尔曼滤波算法的有效性和抖动平滑性能。结果表明,低频时码秒脉冲的抖动现象可以通过BPC 1PPS (one pulse per second)和本地1PPS之间的相位差波动情况反映;LMS自适应滤波算法和卡尔曼滤波算法对BPC 1PPS的抖动平滑处理均有明显效果,卡尔曼滤波算法的抖动平滑效果更优,但存在一定的收敛时间,LMS自适应滤波算法的滤波结果响应速度快,但抖动平滑性能受滤波器阶数的影响。所以,在实际应用中,应根据实际需求选择合适的滤波器及相关参数。     

Sensor Netting via the Discrete Time Extended Kalman Filter

An implementation is presented of the discrete time extended Kalman filter which the authors have found useful for sensor netting in a variety of tactical radar and ballistic missile defense (BMD) applications. A Potter square root version of the extended Kalman filter is used where vector measurements are processed serially. Both the state and covariance equations are initialized by processing past measurements. The initialization technique and the filter are used in two tactical radar tracking examples.     

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.      

Multiple-model adaptive estimation using a residual correlationKalman filter bank

We propose a modified multiple model adaptive estimation (MMAE) algorithm that uses the time correlation of the Kalman filter residuals, in place of their scaled magnitude, to assign conditional probabilities for each of the modeled hypotheses. This modified algorithm, denoted the residual correlation Kalman filter bank (RCKFB), uses the magnitude of an estimate of the correlation of the residual with a slightly modified version of the usual MMAE hypothesis testing algorithm to assign the conditional probabilities to the various hypotheses that are modeled in the Kalman filter bank within the MMAE. This concept is used to detect flight control actuator failures, where the existence of a single frequency sinusoid (which is highly time correlated) in the residual of an elemental filter within an MMAE is indicative of that filter having the wrong actuator failure status hypothesis. This technique results in a delay in detecting the flight control actuator failure because several samples of the residual must be collected before the residual correlation can be estimated. However, it allows a significant reduction of the amplitude of the required system inputs for exciting the various system modes to enhance identifiability, to the point where they may possibly be subliminal, so as not to be objectionable to the pilot and passengers     

基于置信度加权的组合导航数据融合算法

 针对联邦滤波融合算法中由于模型量测噪声统计特性未能被准确描述导致其子滤波器误差变大,进而导致联邦滤波估计出现偏差的问题,为了改进联邦滤波融合方法,将模糊自适应卡尔曼滤波方法和置信度加权方法与联邦滤波融合方法相结合,应用于组合导航系统。该方法首先将模糊自适应卡尔曼滤波方法应用于各子滤波器,使其能够跟踪真实量测噪声统计特性。然后通过模糊方法计算得到各子滤波器的置信度,进而得到联邦滤波器的置信度,再由得到的置信度对各子滤波器及联邦滤波器输出进行加权,得到最终的全局输出。对车载组合导航系统的仿真结果表明,这种算法对量测噪声具有较强的自适应性,能够抑制置信度低的子滤波器在融合系统中所占的权重,提高联邦滤波融合算法的精度,是一种可行的车载组合导航数据融合算法。     

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。     

一种基于二级变维Kalman滤波的跟踪算法

Kalman滤波器是一种高速的目标跟踪器.针对不同阶数的Kalman滤波器具有不同的跟踪能力与跟踪效率之间存在的矛盾,设计了一种自适应Kalman滤波算法.该算法使用两级滤波器,根据目标机动性的变化,适当的调整滤波器的阶数,使跟踪结果快速收敛,很好地解决了矛盾.通过对仿真结果分析表明,算法具有可靠、计算简便、快速等特点,模型滤波精度较高,并可实现实时跟踪预测,具有一定的理论价值和实用价值.     

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。     

基于AEKF的永磁同步电机转速估计算法研究

针对在转速估算研究中采用常数矩阵不能准确描述永磁同步电机(PMSM)在不同运行条件下系统噪声的问题,提出了一种基于新息序列和状态残差的自适应扩展卡尔曼滤波算法(AEKF)。同时,对AEKF的稳定性进行理论上的探究。经仿真验证,与传统扩展卡尔曼滤波算法相比,AEKF在收敛速度和收敛精度上更优,参数鲁棒性更好。     

自适应增量 Kalman 滤波方法

提出自适应增量Kalman滤波(AIKF)的概念和定义,建立自适应增量Kalman滤波模型及其分析方法,给出主要的计算步骤.传统自适应Kalman滤波(AKF)方法能够对事先未知的系统噪声和量测噪声的统计量进行有效的估计.但是,传统自适应Kalman滤波方法也无法对由于环境因素(如深空探测)的影响、测量设备的不稳定性等原因产生的未知时变测量系统误差进行补偿和校正,从而产生较大的滤波误差,甚至导致发散.提出的自适应增量Kalman滤波方法不但能够对系统噪声和量测噪声的统计量进行估计,而且还能成功消除这种测量系统误差,有效地提高滤波精度.该方法计算简单,便于工程应用.      

BP神经网络在惯导系统传递对准中的应用

针对系统阶次较高时卡尔曼滤波实时性较差的特点,将多层BP神经网络替代卡尔曼滤波应用于舰载机惯导系统的传递对准。利用卡尔曼滤波的输入、输出作为BP神经网络滤波的样本对值进行训练,得到了神经网络的输出值,实现了惯导传递对准中的滤波功能。仿真结果表明,将BP神经网络用于传递对准,既获得了与卡尔曼滤波相当的精度,又有效地降低了系统的解算时间,提高了系统的实时性。     

一种基于可观测度分析的SINS/GPS自适应反馈校正滤波新方法

 针对机载捷联惯导系统(SINS)/全球定位系统（GPS）组合导航系统不完全可观测导致滤波器精度下降甚至发散的问题,提出了一种基于系统状态可观测度分析的自适应反馈校正滤波新方法。该滤波方法改进了系统可观测度的归一化处理方法,将归一化处理后的系统状态可观测度作为反馈因子,对SINS系统进行自适应反馈校正。最后,将该方法应用于机载合成孔径雷达(SAR)运动补偿用SINS/GPS组合导航系统中,飞行试验结果表明该方法在系统不完全可观测的情况下有效地提高了导航精度。     

A Tracking Filter in Spherical Coordinates Enhanced by De-noising of Converted Doppler Measurements

Tracking problem in spherical coordinates with range rate (Doppler) measurements, which would have errors correlated to the range measurement errors, is investigated in this paper. The converted Doppler measurements, constructed by the product of the Doppler measurements and range measurements, are used to replace the original Doppler measurements. A de-noising method based on an unbiased Kalman filter (KF) is proposed to reduce the converted Doppler measurement errors before updating the target states for the constant velocity (CV) model. The states from the de-noising filter are then combined with the Cartesian states from the converted measurement Kalman filter (CMKF) to produce final state estimates. The nonlinearity of the de-noising filter states are handled by expanding them around the Cartesian states from the CMKF in a Taylor series up to the second order term. In the mean time, the correlation between the two filters caused by the common range measurements is handled by a minimum mean squared error (MMSE) estimation-based method. These result in a new tracking filter, CMDN-EKF2. Monte Carlo simulations demonstrate that the proposed tracking filter can provide efficient and robust performance with a modest computational cost.