Invariant extended Kalman filter

About: Invariant extended Kalman filter is a research topic. Over the lifetime, 7079 publications have been published within this topic receiving 187702 citations.

Adaptive Fuzzy Strong Tracking Extended Kalman Filtering for GPS Navigation

Abstract: The well-known extended Kalman filter (EKF) has been widely applied to the Global Positioning System (GPS) navigation processing. The adaptive algorithm has been one of the approaches to prevent the divergence problem of the EKF when precise knowledge on the system models are not available. One of the adaptive methods is called the strong tracking Kalman filter (STKF), which is essentially a nonlinear smoother algorithm that employs suboptimal multiple fading factors, in which the softening factors are involved. Traditional approach for selecting the softening factors heavily relies on personal experience or computer simulation. In order to resolve this shortcoming, a novel scheme called the adaptive fuzzy strong tracking Kalman filter (AFSTKF) is carried out. In the AFSTKF, the fuzzy logic reasoning system based on the Takagi-Sugeno (T-S) model is incorporated into the STKF. By monitoring the degree of divergence (DOD) parameters based on the innovation information, the fuzzy logic adaptive system (FLAS) is designed for dynamically adjusting the softening factor according to the change in vehicle dynamics. GPS navigation processing using the AFSTKF will be simulated to validate the effectiveness of the proposed strategy. The performance of the proposed scheme will be assessed and compared with those of conventional EKF and STKF

Nonlinear Kalman Filtering Algorithms for On-Line Calibration of Dynamic Traffic Assignment Models

Abstract: An online calibration approach that jointly estimates demand and supply parameters of dynamic traffic assignment (DTA) systems is presented and empirically validated through an extensive application The problem can be formulated as a nonlinear state-space model Because of its nonlinear nature, the resulting model cannot be solved by the Kalman filter, and therefore, nonlinear extensions need to be considered The following three extensions to the Kalman filtering algorithm are presented: 1) the extended Kalman filter (EKF); 2) the limiting EKF (LimEKF); and 3) the unscented Kalman filter The solution algorithms are applied to the on-line calibration of the state-of-the-art DynaMIT DTA model, and their use is demonstrated in a freeway network in Southampton, UK The LimEKF shows accuracy that is comparable to that of the best algorithm but with vastly superior computational performance The robustness of the approach to varying weather conditions is demonstrated, and practical aspects are discussed

Feedback Particle Filter

Abstract: The feedback particle filter introduced in this paper is a new approach to approximate nonlinear filtering, motivated by techniques from mean-field game theory. The filter is defined by an ensemble of controlled stochastic systems (the particles). Each particle evolves under feedback control based on its own state, and features of the empirical distribution of the ensemble. The feedback control law is obtained as the solution to an optimal control problem, in which the optimization criterion is the Kullback-Leibler divergence between the actual posterior, and the common posterior of any particle. The following conclusions are obtained for diffusions with continuous observations: 1) The optimal control solution is exact: The two posteriors match exactly, provided they are initialized with identical priors. 2) The optimal filter admits an innovation error-based gain feedback structure. 3) The optimal feedback gain is obtained via a solution of an Euler-Lagrange boundary value problem; the feedback gain equals the Kalman gain in the linear Gaussian case. Numerical algorithms are introduced and implemented in two general examples, and a neuroscience application involving coupled oscillators. In some cases it is found that the filter exhibits significantly lower variance when compared to the bootstrap particle filter.

Bayesian State Estimation for Tracking and Guidance Using the Bootstrap Filter

Abstract: The bootstrap filter is an algorithm for implementing recursive Bayesian filters. The required density of the state vector is represented as a set of random samples that are updated and propagated by the algorithm. The method is not restricted by assumptions of linearity or Gaussian noise: It may be applied to any state transition or measurement model. A Monte Carlo simulation example of a bearings-only tracking problem is presented, and the performance of the bootstrap filter is compared with a standard Cartesian extended Kalman filter (EKF), a modified gain EKF, and a hybrid filter. A preliminary investigation of an application of the bootstrap filter to an exoatmospheric engagement with non-Gaussian measurement errors is also given.