Novel extended Viterbi-based multiple-model algorithms for state estimation of discrete-time systems with Markov jump parameters

This paper considers a state estimation problem for discrete-time systems with Markov switching parameters. For this, the generalized pseudo-Bayesian second-order-extended Viterbi (GPB2-EV) and the interacting multiple-model-extended Viterbi (IMM-EV) algorithms are presented. The derivations of these new algorithms rely on a nontrival incorporation of some functional mechanisms of a new extended Viterbi algorithm into the GPB2 and the IMM methods for hypothesis reductions in order to improve computational efficiency and/or estimation performance. The IMM-EV (and the GPB2-EV) algorithm and the IMM (and the GPB2) algorithm have some common components, but their schemes for the calculation of weights and for the combination of the inputs and outputs are different. Indeed, the IMM-EV (and the GPB2-EV) algorithm spans the continuum from hard-decision methods with merged-hypothesis-tree style to the IMM (and the GPB2) algorithm inclusive. The proposed algorithms are well suited to state estimation problems in maneuvering target tracking. Simulations demonstrate that an IMM-EV algorithm can be an improvement to the IMM, the GPB2, and the variable-structure multiple model with likely-model set methods for tracking a target undergoing various types of maneuvers at some unknown times.     

Extensions of the SMC-PHD filters for jump Markov systems

The probability hypothesis density (PHD) filter is a promising algorithm for multitarget tracking, which can be extended for jump Markov systems (JMS). Since the existing multiple model sequential Monte Carlo PHD (MM SMC-PHD) filter is not interacting, two extensions of the SMC-PHD filters are developed in this paper. The interacting multiple-model (IMM) SMC-PHD filter approximates the model conditional PHD of target states by particles, and performs the interaction by resampling without any a priori assumption of the noise. The IMM Rao-Blackwellized particle (RBP) PHD filter uses the idea of Rao-Blackwellized to further enhance the performance of target state estimation for JMS with mixed linear/nonlinear state space models. The simulation results show that the proposed algorithms have better performances than the existing MM SMC-PHD filter in terms of state filtering and target number estimation.     

基于RIMMKF的一种传感器管理算法

以重加权交互式多模型卡尔曼滤波(RIMMKF)为基础,提出了一种传感器管理算法.首先利用RIMM对联合多目标概率的量测更新和马尔可夫转移更新求取分辨力也即信息增量,然后利用信息增量最大化来分配传感器资源.所采用的模型弥补了交互式多模型(IMM)的不足.仿真结果表明,在机动多模型环境下,与IMMKF分辨力方法相比,本文所提算法行之有效且能使传感器资源得到有效地分配.     

马尔可夫参数自适应IFIMM算法研究

针对新息滤波交互式多模型(IFIMM)算法中切换过程模型概率滞后的问题,提出了模型概率转移矩阵马尔可夫参数自适应的新息滤波多模型算法(AMP-IFIMM),该方法采用后验信息修正不准确的先验信息,自适应的调整马尔可夫转移矩阵的参数.切换时刻较多地遗忘非匹配模型的信息,放大匹配模型的信息,在保证滤波精度的同时,大大提高了模型间切换速度.将该算法应用到CA,CV两模型组合导航系统取得了良好的效果.     

Expectation maximization algorithms for MAP estimation of jumpMarkov linear systems

In a jump Markov linear system, the state matrix, observation matrix, and the noise covariance matrices evolve according to the realization of a finite state Markov chain. Given a realization of the observation process, the aim is to estimate the state of the Markov chain assuming known model parameters. Computing conditional mean estimates is infeasible as it involves a cost that grows exponentially with the number of observations. We present three expectation maximization (EM) algorithms for state estimation to compute maximum a posteriori (MAP) state sequence estimates [which are also known as Bayesian maximum likelihood state sequence estimates (MLSEs)]. The first EM algorithm yields the MAP estimate for the entire sequence of the finite state Markov chain. The second EM algorithm yields the MAP estimate of the (continuous) state of the jump linear system. The third EM algorithm computes the joint MAP estimate of the finite and continuous states. The three EM algorithms optimally combine a hidden Markov model (HMM) estimator and a Kalman smoother (KS) in three different ways to compute the desired MAP state sequence estimates. Unlike the conditional mean state estimates, which require computational cost exponential in the data length, the proposed iterative schemes are linear in the data length     

IMM estimation for multitarget-multisensor air traffic surveillance

This paper deals with the design and implementation of an algorithm for track formation and maintenance in a multisensor Air Traffic Surveillance scenario. The major contribution of the present work is the development of the combined likelihood function that enables the replacement of the Kalman filter (KF) with the much more versatile interacting multiple model (IMM) estimator which, as a self adjusting variable-bandwidth state estimator accounts for the various motion modes of the aircraft. This likelihood function defines the objective function used in the measurement to track assignment algorithm. Also, this algorithm incorporates both skill and beacon returns i.e., it fuses the primary and secondary radar data. Data from two FAA radars are used to evaluate the performance of this algorithm. The use of the IMM estimator yields considerable noise reduction during uniform motion, while maintaining the accuracy of the state estimates during maneuver. Overall, the mean square prediction error (to the next observation time) is reduced by 30% and the rms errors in the altitude rate estimates are reduced by a factor of three over the KF. The usefulness of the tracker presented here is also demonstrated on a noncooperative target     

Online Bayesian estimation of transition probabilities for Markovian jump systems

Markovian jump systems (MJSs) evolve in a jump-wise manner by switching among simpler models, according to a finite Markov chain, whose parameters are commonly assumed known. This paper addresses the problem of state estimation of MJS with unknown transition probability matrix (TPM) of the embedded Markov chain governing the jumps. Under the assumption of a time-invariant but random TPM, an approximate recursion for the TPMs posterior probability density function (PDF) within the Bayesian framework is obtained. Based on this recursion, four algorithms for online minimum mean-square error (MMSE) estimation of the TPM are derived. The first algorithm (for the case of a two-state Markov chain) computes the MMSE estimate exactly, if the likelihood of the TPM is linear in the transition probabilities. Its computational load is, however, increasing with the data length. To limit the computational cost, three alternative algorithms are further developed based on different approximation techniques-truncation of high order moments, quasi-Bayesian approximation, and numerical integration, respectively. The proposed TPM estimation is naturally incorporable into a typical online Bayesian estimation scheme for MJS [e.g., generalized pseudo-Bayesian (GPB) or interacting multiple model (IMM)]. Thus, adaptive versions of MJS state estimators with unknown TPM are provided. Simulation results of TPM-adaptive IMM algorithms for a system with failures and maneuvering target tracking are presented.     

采用多速率多模型交互实现机动目标的全速率跟踪

多速率模型通过对原始测量结果和目标运动模型进行多分辨分解实现目标高精度跟踪.多模型交互方法则采用一个马尔科夫链控制多个模型交互实现机动目标跟踪.本文给出了一种采用多速率多模型交互方式实现机动目标全速率跟踪的方法,它通过交织多次滤波结果使得跟踪能同时保证高精度和全速率.仿真结果及分析说明了该方法较传统的全速率多模型交互算法获得了更好的跟踪效果.     

场景统计类红外图像非均匀性校正算法研究

场景统计类非均匀性校正算法对场景分布进行假定,获得探测单元接收红外能量的一、二阶矩,进而估计探测单元的响应参数,校正非均匀性。分析比较了现有的场景统计类非均匀性校正算法,并应用交互多模(IMM)算法校正非均匀性,实验结果表明以连续图像序列作为观测数据时,能够有效地校正非均匀性,扩展了卡尔曼滤波法的适用范围。对各种方法进行仿真,表明删算法具有较好的收敛特性。     

多种跟踪算法对机动目标跟踪的应用研究

通过建立目标运动模型,对多种跟踪滤波器进行了分析仿真。仿真结果表明,混合状态估计交互式多模型算法（IMM）对机动目标跟踪效果比其它类型的滤波器好得多,并且确定了在航迹滤波与机动跟踪方面综合表现性能较高的IMMVCVA跟踪算法。通过外场实际数据验证,表明该算法对现实环境中的目标稳定跟踪具有重要的意义。     

基于粒子滤波的交互式多模型说话人跟踪方法

 本文提出一种基于采样交互的多模型粒子滤波方法,实现了对随意运动说话人的有效跟踪。该方法根据说话人跟踪问题的特点,用马尔可夫跳变系统描述说话人的动态特性,用粒子滤波方法估计说话人的位置。在说话人跟踪过程中,通过调整滤波粒子的采样区域,完成交互式多模型方法中的输入交互,这不仅实现了各子滤波器中粒子数目的任意设定,避免了模型转换过程中的性能退化现象,而且取消了对模型后验概率密度函数的高斯分布假定,增强了说话人跟踪系统的鲁棒性。计算机仿真实验结果验证了本文方法的有效性。     

基于模糊逻辑的改进自适应IMM跟踪算法

交互式多模型算法（IMM）和基于模糊控制的交互多模型算法（FIMM）是实际中常用的目标跟踪算法,然而其模型集合固定,当需要大量模型覆盖目标机动时,会导致计算量激增,且过多模型可能带来不必要的模型竞争,降低跟踪性能。针对这一缺陷,提出了一种基于模糊控制的改进自适应IMM算法（FAIMM）,采用一种模型概率的非线性映射处理方法实时筛选模型子集,剔除无用模型,增加有用模型的权重,并通过模糊推理机制自动调整过程噪声水平,使得算法对不同的目标机动模式具有更强的自适应能力。仿真结果表明,提出的算法跟踪性能优于IMM算法以及FIMM算法,能够更好地匹配目标的机动模式。      

带丢包Markov切换线性系统的状态估计问题研究

针对一类带丢包的Markov切换系统,提出一种含有双Markov切换参数的交互式多模型算法.该算法利用一个二态的Markov链对系统是否丢包进行建模,得到双Markov链系统,通过定义乘积集将两个Markov切换参数所对应的模型集进行融合,并给出单个模型集中各模型与乘积集中各模型的对应关系.在此基础上,以交互式多模型算法为框架,采用分层的方法,并利用一种新的最优估计算法对双Markov链系统进行滤波.仿真实验证明了该算法的有效性.     

自适应转弯模型的机动目标跟踪算法

给出了一种利用白适应转弯速率模型的IMM跟踪算法，可以用于机动目标的跟踪中。每一步通过交互输出的速度和加速度的估计值来计算转弯速率，它的大小等于加速度和速度的比值。本文中对提出的白适应算法和其他两种IMM算法进行了比较。     

基于交互式联邦多模型的多传感器融合算法

针对多传感器机动目标跟踪过程中的航迹滤波发散问题,提出了一种将联邦滤波器与交互式多模型滤波算法（IMM）相结合的交互式联邦多模型融合算法IFMM.在IFMM算法中各传感器均具有相同的滤波模型集合,各传感器在同一模型下所产生的滤波结果先采用联邦滤波算法进行融合,然后采用IMM算法对各模型融合结果进行综合,产生目标状态的全局估计.仿真结果表明,IFMM有效提高了机动目标运动状态估计的精确度和稳定性.     

非高斯噪声情况下多平台机动目标被动跟踪新方法

针对仅有角度测量信息条件下,被动传感器融合目标跟踪问题,提出了扩维UKF滤波算法;并对经典IMM进行改进提出变维IMM算法,利用不同维数模型之间的交互式融合解决对机动目标的跟踪问题;进一步考虑实际情况中往往存在的测量噪声为非高斯情况,引入自适应滤波方法。最终提出变维交互式多模型自适应抗差扩维无迹滤波方法（VDIMM-AAUKF）,成功实现了被动多传感器在高斯和非高斯噪声情况下对机动目标跟踪。仿真实验结果表明该算法跟踪精度高、稳定性好,具有较好的实际应用价值。     

基于IMM-SCKF-STF的机动目标跟踪算法

在处理非线性机动目标跟踪问题时,传统的非线性滤波估计算法跟踪误差大且容易引起滤波发散.针对上述问题,研究将强跟踪平方根容积卡尔曼滤波(SCKF-STF)和交互多模型(IMM)算法相结合,提出一种新型的交互多模型强跟踪平方根容积卡尔曼滤波(IMM-SCKF-STF)跟踪算法.该算法在SCKF基础上引入强跟踪渐消因子,使其不仅拥有应对机动目标状态突变的强跟踪能力,同时还具备交互多模型算法的优良机动目标跟踪性能.因此,新算法在机动目标跟踪方面将获得更高的非线性滤波估计精度,且算法的稳定性和应对状态突变的跟踪鲁棒性能获得显著提高.最后,通过两个仿真例子验证了此算法的有效性与优越性.     

Adaptive nonlinear filters for narrow-band interference suppressionin spread-spectrum CDMA systems

This paper presents a novel nonlinear filter and parameter estimator for narrow band interference suppression in code division multiple access spread-spectrum systems. As in the article by Rusch and Poor (1994), the received sampled signal is modeled as the sum of the spread-spectrum signal (modeled as a finite state independently identically distributed (i.i.d.) process-here we generalize to a finite state Markov chain), narrow-band interference (modeled as a Gaussian autoregressive process), and observation noise (modeled as a zero-mean white Gaussian process). The proposed algorithm combines a recursive hidden Markov model (HMM) estimator, Kalman filter (KF), and the recursive expectation maximization algorithm. The nonlinear filtering techniques for narrow-band interference suppression presented in Rusch and Poor and our proposed HMM-KF algorithm have the same computational cost. Detailed simulation studies show that the HMM-KF algorithm outperforms the filtering techniques in Rusch and Poor. In particular, significant improvements in the bit error rate and signal-to-noise ratio (SNR) enhancement are obtained in low to medium SNR. Furthermore, in simulation studies we investigate the effect on the performance of the HMM-KF and the approximate conditional mean (ACM) filter in the paper by Rusch and Poor, when the observation noise variance is increased. As expected, the performance of the HMM-KF and ACM algorithms worsen with increasing observation noise and number of users. However, HMM-KF significantly outperforms ACM in medium to high observation noise     

基于改进“当前”统计模型的机动目标IMM跟踪算法

交互式多模型(IMM)算法是一种有效的机动目标跟踪算法,但其性能与模型的选择、个数以及参数有关。文中提出了一种基于改进的“当前”统计模型的交互式多模型算法,改进的“当前”统计模型提高了对机动目标的跟踪能力,而常速模型对匀速目标跟踪性能良好,IMM算法通过两种模型的交互作用可以实现对目标状态的自适应估计;同时,该算法结合了模型概率转移自适应技术,实现了对模型转移矩阵的在线估计,降低了人为因素。最后,通过Monte Carlo仿真进一步验证了该算法的有效性。     

一种新的基于交互多模型的序贯重要采样算法

通过将交互多模型（IMM）算法和粒子滤波（SIS）算法结合,提出了一种新的IMM～SIS算法。在每个模型中,都有一个标准的粒子滤波器,模型之间的交互与传统的IMM一样。由于在新的算法中,每个模型中粒子滤波都保证固定数量的粒子,因此不会出现粒子退化和贫乏现象。仿真证明了新的IMM—SIS算法在收敛速度和精度方面都要优于传统的IMM—EKF算法。