A convex optimization approach to filtering in jump linear systems with state dependent transitions

We introduce a new methodology to construct a Gaussian mixture approximation to the true filter density in hybrid Markovian switching systems. We relax the assumption that the mode transition process is a Markov chain and allow it to depend on the actual and unobservable state of the system. The main feature of the method is that the Gaussian densities used in the approximation are selected as the solution of a convex programming problem which trades off sparsity of the solution with goodness of fit. A meaningful example shows that the proposed method can outperform the widely used interacting multiple model (IMM) filter and GPB2 in terms of accuracy at the expenses of an increase in computational time.     

Multirate interacting multiple model filtering for target trackingusing multirate models

A multirate interacting multiple model (MRIMM) tracking algorithm has been developed. The algorithm is based on a reformulation of the interacting multiple model (IMM) filter under the assumption that each model operates at an update rate proportional to the model's assumed dynamics. A set of multirate models is derived based on the geometrical interpretation of a discrete wavelet transform. A wavelet transform is used to generate equivalent multirate measurements, which exhibit the additional property of lower equivalent measurement noise for low-rate data. Using this filtering approach, the MRIMM algorithm significantly outperforms a full-rate IMM filter when no manoeuvres occur and performs comparably with the IMM filter when manoeuvres occur, with a certain amount of computational savings. This approach also has the advantages of improved sensitivity for manoeuvre detection     

Interacting multiple model estimation-based adaptive robust unscented Kalman filter

The unscented Kalman filter (UKF) is a promising approach for the state estimation of nonlinear dynamic systems due to its simple calculation process and superior performance in highly nonlinear systems. However, its solution will be degraded or even divergent when the system model involves uncertainty. This paper presents an interacting multiple model (IMM) estimation-based adaptive robust UKF to address this problem. This method combines the merits of the adaptive fading UKF and robust UKF and discards their demerits to inhibit the disturbance of system model uncertainty on the filtering solution. An adaptive fading UKF for the case of process model uncertainty and a robust UKF for the case of measurement model uncertainty are established based on the principle of innovation orthogonality. Subsequently, an IMM estimation is developed to fuse the adaptive fading UKF and robust UKF as sub-filters according to the mode probability. The system state estimation is achieved as a probabilistic weighted sum of the estimation results from the two sub-filters. Simulations, experiments and comparison analysis validate the efficacy of the proposed method.     

The interacting multiple model algorithm for systems with Markovianswitching coefficients

An important problem in filtering for linear systems with Markovian switching coefficients (dynamic multiple model systems) is the management of hypotheses, which is necessary to limit the computational requirements. A novel approach to hypotheses merging is presented for this problem. The novelty lies in the timing of hypotheses merging. When applied to the problem of filtering for a linear system with Markovian coefficients, the method is an elegant way to derive the interacting-multiple-model (IMM) algorithm. Evaluation of the IMM algorithm shows that it performs well at a relatively low computational load. These results imply a significant change in the state of the art of approximate Bayesian filtering for systems with Markovian coefficients     

一种基于改进UPF的运动声阵列交互多模型目标跟踪方法

针对运动声阵列在有色噪声环境中的非线性滤波跟踪实时性问题,提出一种基于改进粒子滤波的交互式多模型目标跟踪(IMM-IUPF)方法.该方法采用最小斜度单形无迹变换结合变尺度无迹变换的 Sigma点选取策略,对标准无迹粒子滤波(UPF)进行改进,大幅缩减UPF样本选取计算量;将改进的UPF与交互式多模型(IMM)相结合,通过定义自适应增益修正系数,弥补样本点缩减造成的精度降低问题;最终通过与传统的基于IMM的粒子滤波(IMM-PF)和基于IMM的无迹粒子滤波(IMM-UPF)进行Matlab数值仿真对比验证所提出算法的实用性.     

粒子滤波器在机动目标被动跟踪中的应用

为处理机动目标被动跟踪中的非线性非高斯问题，提出了一种基于粒子滤波器的交互多模型（IMM）多观测站跟踪方法。使用转弯率建立了被动跟踪模型，用“蛙跳”处理方式来提高多站被动跟踪问题的可观测性，结合被动跟踪模型，利用非线性粒子滤波方法，对IMM算法进行了改进，提高了对IMM混和密度的近似程度，通过被动跟踪仿真实例，同时使用IMM粒子滤波器（IMM-PF）与IMM扩展卡尔曼滤波器（IMM-EKF）进行跟踪仿真，分析了轨迹跟踪性能，利用均方根误差比较了误差性能。仿真结果表明，与IMM-EKF相比，IMM-PF具有更高的跟踪精度和更快的机动响应速度。     

Visual tracking based on adaptive interacting multiple model particle filter by fusing multiples cues

In visual tracking topic, developing a robust tracking method is very challenging, seen that there are many issues to look at, particularly, fast motion, target appearance changing, background clutter and camera motion. To override these problems, we present a new object tracking method with the fusion of interacting multiple models (IMM) and the particle filter (PF). First, the IMM is applied with a bank of parallel H∞ filter to estimate the global motion, the target motion is efficiently represented using only two parametric single models, and an adaptive strategy is preformed to adjust automatically the parameters of the two sub models at each recursive time step. Second, the particle filter is performed to estimate the local motion, we fuse the color and texture features to describe the appearance of the tracked object, we use the alpha Gaussian mixture model (α-GMM) to model the color feature distribution, the parameter α allows the probability function to possesses a flatter distribution, and the texture feature is represented by the distinctive uniform local binary pattern histogram (DULBP) based on the uniform local binary pattern (ULBP) operator; we fuse then the two features to represent the target’s appearance under the particle filter framework. We conduct quantitative and qualitative experiments on a variety of challenging public sequences; the results show that our method performs robustly and demonstrates strong accuracy.     

容积法则辅助的交互式多模型滤波算法

交互式多模型滤波(IMM) 的交互环节使得系统状态量不再服从单纯的高斯分布, 用现有方法对其概率分布的估计存在较大的误差. 对此, 考虑到模型的混合概率是时变的, IMM的交互过程可以用非线性方程来描述, 因而采用容积卡尔曼滤波(CKF) 中的容积法则对高斯随机变量经非线性函数传播后的概率分布进行估计, 并从理论上证明了容积法则的近似精度. 仿真实验表明, 由于提高了对交互后随机变量概率分布的估计精度, 所提出的方法能够有效改善IMM在量测噪声较大时的滤波效果.

     

划分交互式箱粒子概率假设密度滤波法

针对现有的多机动目标追踪问题,将交互式多模型(interacting multiple model,IMM)思想与箱粒子概率假设密度滤波器(box probability hypothesis density filter,Box-PHD)相结合,并针对箱粒子在区间密集杂波等复杂环境下箱体偏大,所导致的箱粒子冗余和目标跟踪位置估计不精确等问题,引入箱粒子划分技术,提出一种划分交互式概率假设密度滤波(partitioned interacting multiple model probability hypothesis density filter,PIMM-Box-PHD)算法,来处理椭圆形多机动目标的跟踪问题。该算法首先在预测阶段针对多目标的机动问题引入IMM预测,利用多模型交互方法来解决目标运动时模型失配问题;其次,利用箱划分技术将预测得到的箱粒子划分为大小和权值相同的多个子箱,以提高目标位置估计精度;最后,利用Box-PHD滤波对划分后的小箱粒子集进行区间量测更新。利用实验验证了PIMM-Box-PHD算法在多机动目标跟踪方面的良好性能,以及相较于IMM-Box-PHD算法在目标位置估计方面的优势。     

A Filtering Approach Based on MMAE for a SINS/CNS Integrated Navigation System

This paper explores multiple model adaptive estimation (MMAE) method, and with it, proposes a novel filtering algorithm. The proposed algorithm is an improved Kalman filter-multiple model adaptive estimation unscented Kalman filter (MMAE-UKF) rather than conventional Kalman filter methods, like the extended Kalman filter (EKF) and the unscented Kalman filter (UKF). UKF is used as a subfilter to obtain the system state estimate in the MMAE method. Single model filter has poor adaptability with uncertain or unknown system parameters, which the improved filtering method can overcome. Meanwhile, this algorithm is used for integrated navigation system of strapdown inertial navigation system (SINS) and celestial navigation system (CNS) by a ballistic missile's motion. The simulation results indicate that the proposed filtering algorithm has better navigation precision, can achieve optimal estimation of system state, and can be more flexible at the cost of increased computational burden.