Showing papers on "Kalman filter published in 2007"

Distributed Kalman filtering for sensor networks

Abstract: In this paper, we introduce three novel distributed Kalman filtering (DKF) algorithms for sensor networks. The first algorithm is a modification of a previous DKF algorithm presented by the author in CDC-ECC '05. The previous algorithm was only applicable to sensors with identical observation matrices which meant the process had to be observable by every sensor. The modified DKF algorithm uses two identical consensus filters for fusion of the sensor data and covariance information and is applicable to sensor networks with different observation matrices. This enables the sensor network to act as a collective observer for the processes occurring in an environment. Then, we introduce a continuous-time distributed Kalman filter that uses local aggregation of the sensor data but attempts to reach a consensus on estimates with other nodes in the network. This peer-to-peer distributed estimation method gives rise to two iterative distributed Kalman filtering algorithms with different consensus strategies on estimates. Communication complexity and packet-loss issues are discussed. The performance and effectiveness of these distributed Kalman filtering algorithms are compared and demonstrated on a target tracking task.

A Multi-State Constraint Kalman Filter for Vision-aided Inertial Navigation

Abstract: In this paper, we present an extended Kalman filter (EKF)-based algorithm for real-time vision-aided inertial navigation. The primary contribution of this work is the derivation of a measurement model that is able to express the geometric constraints that arise when a static feature is observed from multiple camera poses. This measurement model does not require including the 3D feature position in the state vector of the EKF and is optimal, up to linearization errors. The vision-aided inertial navigation algorithm we propose has computational complexity only linear in the number of features, and is capable of high-precision pose estimation in large-scale real-world environments. The performance of the algorithm is demonstrated in extensive experimental results, involving a camera/IMU system localizing within an urban area.

Filtering and System Identification: A Least Squares Approach

Abstract: Preface 1. Introduction 2. Linear algebra 3. Discrete-time signals and systems 4. Random variables and signals 5. Kalman filtering 6. Estimation of spectra and frequency response functions 7. Output-error parametric model estimation 8. Prediction-error parametric model estimation 9. Subspace model identification 10. The system identification cycle Notation and symbols List of abbreviations References Index.

Discrete-Time Nonlinear Filtering Algorithms Using Gauss–Hermite Quadrature

Abstract: In this paper, a new version of the quadrature Kalman filter (QKF) is developed theoretically and tested experimentally. We first derive the new QKF for nonlinear systems with additive Gaussian noise by linearizing the process and measurement functions using statistical linear regression (SLR) through a set of Gauss-Hermite quadrature points that parameterize the Gaussian density. Moreover, we discuss how the new QKF can be extended and modified to take into account specific details of a given application. We then go on to extend the use of the new QKF to discrete-time, nonlinear systems with additive, possibly non-Gaussian noise. A bank of parallel QKFs, called the Gaussian sum-quadrature Kalman filter (GS-QKF) approximates the predicted and posterior densities as a finite number of weighted sums of Gaussian densities. The weights are obtained from the residuals of the QKFs. Three different Gaussian mixture reduction techniques are presented to alleviate the growing number of the Gaussian sum terms inherent to the GS-QKFs. Simulation results exhibit a significant improvement of the GS-QKFs over other nonlinear filtering approaches, namely, the basic bootstrap (particle) filters and Gaussian-sum extended Kalman filters, to solve nonlinear non- Gaussian filtering problems.

The Factor Graph Approach to Model-Based Signal Processing

Abstract: The message-passing approach to model-based signal processing is developed with a focus on Gaussian message passing in linear state-space models, which includes recursive least squares, linear minimum-mean-squared-error estimation, and Kalman filtering algorithms. Tabulated message computation rules for the building blocks of linear models allow us to compose a variety of such algorithms without additional derivations or computations. Beyond the Gaussian case, it is emphasized that the message-passing approach encourages us to mix and match different algorithmic techniques, which is exemplified by two different approaches - steepest descent and expectation maximization - to message passing through a multiplier node.

A Tutorial on Particle Filters for Online Nonlinear/NonGaussian Bayesian Tracking

Abstract: Increasingly, for many application areas, it is becoming important to include elements of nonlinearity and non-Gaussianity in order to model accurately the underlying dynamics of a physical system. Moreover, it is typically crucial to process data on-line as it arrives, both from the point of view of storage costs as well as for rapid adaptation to changing signal characteristics. In this paper, we review both optimal and suboptimal Bayesian algorithms for nonlinear/non-Gaussian tracking problems, with a focus on particle filters. Particle filters are sequential Monte Carlo methods based on point mass (or ?>particle ?>) representations of probability densities, which can be applied to any state-space model and which generalize the traditional Kalman filtering methods. Several variants of the particle filter such as SIR, ASIR, and RPF are introduced within a generic framework of the sequential importance sampling (SIS) algorithm. These are discussed and compared with the standard EKF through an illustrative example.

A Nonlinear Bayesian Filtering Framework for ECG Denoising

Abstract: In this paper, a nonlinear Bayesian filtering framework is proposed for the filtering of single channel noisy electrocardiogram (ECG) recordings. The necessary dynamic models of the ECG are based on a modified nonlinear dynamic model, previously suggested for the generation of a highly realistic synthetic ECG. A modified version of this model is used in several Bayesian filters, including the Extended Kalman Filter, Extended Kalman Smoother, and Unscented Kalman Filter. An automatic parameter selection method is also introduced, to facilitate the adaptation of the model parameters to a vast variety of ECGs. This approach is evaluated on several normal ECGs, by artificially adding white and colored Gaussian noises to visually inspected clean ECG recordings, and studying the SNR and morphology of the filter outputs. The results of the study demonstrate superior results compared with conventional ECG denoising approaches such as bandpass filtering, adaptive filtering, and wavelet denoising, over a wide range of ECG SNRs. The method is also successfully evaluated on real nonstationary muscle artifact. This method may therefore serve as an effective framework for the model-based filtering of noisy ECG recordings.

On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems

Abstract: This paper considers the application of the unscented Kalman filter (UKF) to continuous-time filtering problems, where both the state and measurement processes are modeled as stochastic differential equations. The mean and covariance differential equations which result in the continuous-time limit of the UKF are derived. The continuous-discrete UKF is derived as a special case of the continuous-time filter, when the continuous-time prediction equations are combined with the update step of the discrete-time UKF. The filter equations are also transformed into sigma-point differential equations, which can be interpreted as matrix square root versions of the filter equations.

Online Prediction Under Model Uncertainty via Dynamic Model Averaging: Application to a Cold Rolling Mill

Abstract: We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called Dynamic Model Averaging (DMA) in which a state space model for the parameters of each model is combined with a Markov chain model for the correct model. This allows the "correct" model to vary over time. The state space and Markov chain models are both specified in terms of forgetting, leading to a highly parsimonious representation. As a special case, when the model and parameters do not change, DMA is a recursive implementation of standard Bayesian model averaging, which we call recursive model averaging. The method is applied to the problem of predicting the output strip thickness for a cold rolling mill, where the output is measured with a time delay. We found that when only a small number of physically motivated models were considered and one was clearly best, the method quickly converged to the best model, and the cost of model uncertainty was small; indeed DMA performed slightly better than the best physical model. When model uncertainty and the number of models considered were large, our method ensured that the penalty for model uncertainty was small. At the beginning of the process, when control is most difficult, we found that DMA over a large model space led to better predictions than the single best performing physically motivated model. We also applied the method to several simulated examples, and found that it recovered both constant and time-varying regression parameters and model specifications quite well.

Convergence and Consistency Analysis for Extended Kalman Filter Based SLAM

Abstract: This paper investigates the convergence properties and consistency of extended Kalman filter (EKF) based simultaneous localization and mapping (SLAM) algorithms. Proofs of convergence are provided for the nonlinear two-dimensional SLAM problem with point landmarks observed using a range-and-bearing sensor. It is shown that the robot orientation uncertainty at the instant when landmarks are first observed has a significant effect on the limit and/or the lower bound of the uncertainties of the landmark position estimates. This paper also provides some insights to the inconsistencies of EKF based SLAM that have been recently observed. The fundamental cause of EKF SLAM inconsistency for two basic scenarios are clearly stated and associated theoretical proofs are provided.

The Factor Graph Approach to Model-Based Signal Processing Factor graphs can model complex systems and help to design effective algorithms for detection and estimation problems.

Abstract: The message-passing approach to model-based signal processing is developed with a focus on Gaussian message passing in linear state-space models, which includes recursive least squares, linear minimum-mean-squared-error estimation, and Kalman filtering algorithms. Tabulated mes- sage computation rules for the building blocks of linear models allow us to compose a variety of such algorithms without additional derivations or computations. Beyond the Gaussian case, it is emphasized that the message-passing approach encourages us to mix and match different algorithmic tech- niques, which is exemplified by two different approachesV steepest descent and expectation maximizationVto message passing through a multiplier node.

Kalman filtering for relative spacecraft attitude and position estimation

Abstract: In this paper a novel approach is developed for relative state estimation of spacecraft flying in formation. The approach uses information from an optical sensor to provide multiple line-of-sight vectors from one spacecraft to another. The line-of-sight measurements are coupled with gyro measurements and dynamical models in an extended Kalman filter to determine relative attitude, position, and gyro biases. The quaternion is used to describe the relative kinematics, whereas general relative orbital equations are used to describe the positional dynamics. Three different attitude formulations are presented. The first estimates the relative attitude and individual gyro biases for the chief and deputy spacecraft. The second estimates the relative attitude, and the relative velocity bias and the deputy gyro bias. The third estimates the relative attitude, and the relative velocity bias and the chief gyro bias. Simulation results indicate that the combined sensor/estimator approach provides accurate relative attitude and position estimates.

Speed-Sensorless Estimation for Induction Motors Using Extended Kalman Filters

Abstract: In this paper, extended-Kalman-filter-based estimation algorithms that could be used in combination with the speed-sensorless field-oriented control and direct-torque control of induction motors (IMs) are developed and implemented experimentally. The algorithms are designed aiming minimum estimation error in both transient and steady state over a wide velocity range, including very low and persistent zero-speed operation. A major challenge at very low and zero speed is the lost coupling effect from the rotor to the stator, which makes the information on rotor variables unobservable on the stator side. As a solution to this problem, in this paper, the load torque and the rotor angular velocity are simultaneously estimated, with the velocity taken into consideration via the equation of motion and not as a constant parameter, which is commonly the case in most past studies. The estimation of load torque, on the other hand, is performed as a constant parameter to account for Coulomb and viscous friction at steady state to improve the estimation performance at very low and zero speed. The estimation algorithms developed based on the rotor and stator fluxes are experimentally tested under challenging variations and reversals of the velocity and load torque (step-type and varying linearly with velocity) over a wide velocity range and at zero speed. In all the scenarios, the current estimation error has remained within a very narrow error band, also yielding acceptable velocity estimation errors, which motivate the use of the developed estimation method in sensorless control of IMs over a wide velocity range and persistent zero-speed operation

Treatment of uncertainty using ensemble methods: Comparison of sequential data assimilation and Bayesian model averaging

Abstract: [1] Predictive uncertainty analysis in hydrologic modeling has become an active area of research, the goal being to generate meaningful error bounds on model predictions. State-space filtering methods, such as the ensemble Kalman filter (EnKF), have shown the most flexibility to integrate all sources of uncertainty. However, predictive uncertainty analyses are typically carried out using a single conceptual mathematical model of the hydrologic system, rejecting a priori valid alternative plausible models and possibly underestimating uncertainty in the model itself. Methods based on Bayesian model averaging (BMA) have also been proposed in the statistical and meteorological literature as a means to account explicitly for conceptual model uncertainty. The present study compares the performance and applicability of the EnKF and BMA for probabilistic ensemble streamflow forecasting, an application for which a robust comparison of the predictive skills of these approaches can be conducted. The results suggest that for the watershed under consideration, BMA cannot achieve a performance matching that of the EnKF method.

Improving Adaptive Kalman Estimation in GPS/INS Integration

Abstract: The central task of GPS/INS integration is to effectively blend GPS and INS data together to generate an optimal solution. The present data fusion algorithms, which are mostly based on Kalman filtering (KF), have several limitations. One of those limitations is the stringent requirement on precise a priori knowledge of the system models and noise properties. Uncertainty in the covariance parameters of the process noise (Q) and the observation errors (R) may significantly degrade the filtering performance. The conventional way of determining Q and R relies on intensive analysis of empirical data. However, the noise levels may change in different applications. Over the past few decades adaptive KF algorithms have been intensively investigated with a view to reducing the influence of the Q and R definition errors. The covariance matching method has been shown to be one of the most promising techniques. This paper first investigates the utilization of an online stochastic modelling algorithm with regards to its parameter estimation stability, convergence, optimal window size, and the interaction between Q and R estimations. Then a new adaptive process noise scaling algorithm is proposed. Without artificial or empirical parameters being used, the proposed adaptive mechanism has demonstrated the capability of autonomously tuning the process noise covariance to the optimal magnitude, and hence improving the overall filtering performance.

On Kalman Filtering With Nonlinear Equality Constraints

Abstract: The state space description of some physical systems possess nonlinear equality constraints between some state variables. In this paper, we consider the problem of applying a Kalman filter-type estimator in the presence of such constraints. We categorize previous approaches into pseudo-observation and projection methods and identify two types of constraints-those that act on the entire distribution and those that act on the mean of the distribution. We argue that the pseudo-observation approach enforces neither type of constraint and that the projection method enforces the first type of constraint only. We propose a new method that utilizes the projection method twice-once to constrain the entire distribution and once to constrain the statistics of the distribution. We illustrate these algorithms in a tracking system that uses unit quaternions to encode orientation

Application of the unscented Kalman filter for real-time nonlinear structural system identification

Abstract: Over the past few decades, structural system identification based on vibration measurements has attracted much attention in the structural dynamics field. The well-known extended Kalman filter (EKF) is often used to deal with nonlinear system identification in many civil engineering applications. In spite of that, applying an EKF to highly nonlinear structural systems is not a trivial task, particularly those subject to severe loading. Unlike the EKF, a new technique, the unscented Kalman filter (UKF) is applicable to highly nonlinear systems. In this paper, the EKF and UKF are compared and applied for nonlinear structural system identification. Simulation results show that the UKF produces better state estimation and parameter identification than the EKF and is also more robust to measurement noise levels. Copyright © 2006 John Wiley & Sons, Ltd.

Kalman Filter-Based Integration of DGPS and Vehicle Sensors for Localization

Abstract: We present a position estimation scheme for cars based on the integration of global positioning system (GPS) with vehicle sensors. The aim is to achieve enough accuracy to enable in vehicle cooperative collision warning, i.e., systems that provides warnings to drivers based on information about the motions of neighboring vehicles obtained by wireless communications from those vehicles, without use of ranging sensors. The vehicle sensors consist of wheel speed sensors, steering angle encoder, and a fiber optic gyro. We fuse these in an extended Kalman filter. The process model is a dynamic bicycle model. We present data from about 60 km of driving in urban environments including stops, intersection turns, U-turns, and lane changes, at both low and high speeds. The data show the filter estimates position, speed, and heading with the accuracies required by cooperative collision warning in all except two kinds of settings. The data also shows GPS and vehicle sensor integration through a bicycle model compares favorably with position estimation by fusing GPS and inertial navigation system (INS) through a kinematic model.

4-D-Var or ensemble Kalman filter?

Abstract: We consider the relative advantages of two advanced data assimilation systems, 4-D-Var and ensemble Kalman filter (EnKF), currently in use or under consideration for operational implementation. With the Lorenz model, we explore the impact of tuning assimilation parameters such as the assimilation window length and background error covariance in 4-D-Var, variance inflation in EnKF, and the effect of model errors and reduced observation coverage. For short assimilation windows EnKF gives more accurate analyses. Both systems reach similar levels of accuracy if long windows are used for 4-D-Var. For infrequent observations, when ensemble perturbations grow non-linearly and become non-Gaussian, 4-D-Var attains lower errors than EnKF. If the model is imperfect, the 4-D-Var with long windows requires weak constraint. Similar results are obtained with a quasi-geostrophic channel model. EnKF experiments made with the primitive equations SPEEDY model provide comparisons with 3-D-Var and guidance on model error and ‘observation localization’. Results obtained using operational models and both simulated and real observations indicate that currently EnKF is becoming competitive with 4-D-Var, and that the experience acquired with each of these methods can be used to improve the other. A table summarizes the pros and cons of the two methods.

Extended Kalman filtering for fuzzy modelling and multi-sensor fusion

Abstract: Extended Kalman Filtering (EKF) is proposed for: (i) the extraction of a fuzzy model from numerical data; and (ii) the localization of an autonomous vehicle. In the first case, the EKF algorithm is...

Adaptive vertex fitting

Abstract: Vertex fitting frequently has to deal with both mis-associated tracks and mis-measured track errors. A robust, adaptive method is presented that is able to cope with contaminated data. The method is formulated as an iterative re-weighted Kalman filter. Annealing is introduced to avoid local minima in the optimization. For the initialization of the adaptive filter a robust algorithm is presented that turns out to perform well in a wide range of applications. The tuning of the annealing schedule and of the cut-off parameter is described using simulated data from the CMS experiment. Finally, the adaptive property of the method is illustrated in two examples.

Exactly Sparse Extended Information Filters for Feature-based SLAM

Abstract: Recent research concerning the Gaussian canonical form for Simultaneous Localization and Mapping (SLAM) has given rise to a handful of algorithms that attempt to solve the SLAM scalability problem for arbitrarily large environments. One such estimator that has received due attention is the Sparse Extended Information Filter (SEIF) proposed by Thrun et al., which is reported to be nearly constant time, irrespective of the size of the map. The key to the SEIF's scalability is to prune weak links in what is a dense information (inverse covariance) matrix to achieve a sparse approximation that allows for efficient, scalable SLAM. We demonstrate that the SEIF sparsification strategy yields error estimates that are overconfident when expressed in the global reference frame, while empirical results show that relative map consistency is maintained. In this paper, we propose an alternative scalable estimator based on an information form that maintains sparsity while preserving consistency. The paper describes a method for controlling the population of the information matrix, whereby we track a modified version of the SLAM posterior, essentially by ignoring a small fraction of temporal measurements. In this manner, the Exactly Sparse Extended Information Filter (ESEIF) performs inference over a model that is conservative relative to the standard Gaussian distribution. We compare our algorithm to the SEIF and standard EKF both in simulation as well as on two nonlinear datasets. The results convincingly show that our method yields conservative estimates for the robot pose and map that are nearly identical to those of the EKF.

Iterated Unscented Kalman Filter for Passive Target Tracking

Abstract: It is of great importance to develop a robust and fast tracking algorithm in passive localization and tracking system because of its inherent disadvantages such as weak observability and large initial errors. In this correspondence, a new algorithm referred to as the iterated unscented Kalman filter (IUKF) is proposed based on the analysis and comparison of conventional nonlinear tracking problem. The algorithm is developed from UKF but it can obtain more accurate state and covariance estimation. Compared with the traditional approaches (e.g., extended Kalman filter (EKF) and UKF) used in passive localization, the proposed method has potential advantages in robustness, convergence speed, and tracking accuracy. The correctness as well as validity of the algorithm is demonstrated through numerical simulation and experiment results.