Unscented卡尔曼滤波在状态估计中的应用

针对非线形系统的滤波问题,无法使用卡尔曼滤波器（KF）,扩展卡尔曼滤波（EKF）方法虽能应用于非线形系统,但给出的是状态的有偏估计,并且对模型误差的鲁棒性较差。为了给出更好的状态估计值,该文介绍了Unscented卡尔曼滤波（UKF）的基本原理。其思想是：基于unscented变换,UKF滤波算法能够给出更精确的均值和协方差的估计,从而带来更高的精度。最后通过Mackey—Glass模型时间序列的状态估计仿真实侧说明：同EKF相比,UKF的滤波精度和稳定性都显著提高了,还可避免计算烦琐的Jacobi矩阵,是一种良好的非线性滤波方法。     

A comparison of simultaneous state and parameter estimation schemes for a continuous fermentor reactor

This article proposes a maximum likelihood algorithm for simultaneous estimation of state and parameter values in nonlinear stochastic state-space models. The proposed algorithm uses a combination of expectation maximization, nonlinear filtering and smoothing algorithms. The algorithm is tested with three popular techniques for filtering namely particle filter (PF), unscented Kalman filter (UKF) and extended Kalman filter (EKF). It is shown that the proposed algorithm when used in conjunction with UKF is computationally more efficient and provides better estimates. An online recursive algorithm based on nonlinear filtering theory is also derived and is shown to perform equally well with UKF and ensemble Kalman filter (EnKF) algorithms. A continuous fermentation reactor is used to illustrate the efficacy of batch and online versions of the proposed algorithms.     

一种非线性滤波方法用于卫星的姿态估计

由于用于卫星姿态估计的传统非线性滤波方法,即扩展卡尔曼滤波(EKF)方法不仅容易引入线性化误差,而且必须计算系统函数的Jacobi矩阵,而Unscented卡尔曼滤波(UKF)是一种比较新的非线性滤波方法,能够克服EKF的上述缺点。该方法不仅能提高滤波精度,而且更容易实现。因此,利用UKF方法,基于修正的罗德里格参数(MRPs),设计了一种无陀螺卫星的姿态估计算法,并通过仿真验证了算法的有效性。     

An evaluation of the nonlinear/non-Gaussian filters for the sequential data assimilation

This paper aims to investigate several new nonlinear/non-Gaussian filters in the context of the sequential data assimilation. The unscented Kalman filter (UKF), the ensemble Kalman filter (EnKF), the sampling importance resampling particle filter (SIR-PF) and the unscented particle filter (UPF) are described in the state-space model framework in the Bayesian filtering background. We first evaluated those methods with a simple highly nonlinear Lorenz model and a scalar nonlinear non-Gaussian model to investigate the filter stability and the error sensitivity, and then their abilities in the one-dimensional estimation of the soil moisture content with the synthetic microwave brightness temperature assimilation experiment in the land surface model VIC-3L. All the results are compared with the EnKF. The advantages and disadvantages of each filter are discussed.The results in the Lorenz model showed that the particle filters are suitable for the large measurement interval assimilation and that the Kalman filters were suitable for the frequent measurement assimilation as well as small measurement uncertainties. The EnKF also showed its feasibility for the non-Gaussian noise. The performance of the SIR-PF was actually not as good as that of the UKF or the EnKF regarding a very small observation noise level compared with the uncertainties in the system. In the one-dimensional brightness temperature assimilation experiment, the UKF, the EnKF and the SIR-PF all proved to be flexible and reliable nonlinear filter algorithms for the low dimensional sequential land data assimilation application. For the high dimensional land surface system that takes the horizontal error correlations into account, the UKF is restricted by its computational demand in the covariance propagation; we must use the EnKF, the SIR-PF and other covariance reduction algorithms. The large computational cost prevents the UPF from being applied in practice.     

Robust unscented Kalman filter with adaptation of process and measurement noise covariances

Unscented Kalman filter (UKF) has been extensively used for state estimation of nonlinear stochastic systems, which suffers from performance degradation and even divergence when the noise distribution used in the UKF and the truth in a real system are mismatched. For state estimation of nonlinear stochastic systems with non-Gaussian measurement noise, the Masreliez–Martin extended Kalman filter (EKF) gives better state estimates in relation to the standard EKF. However, the process noise and the measurement noise covariance matrices should be known, which is impractical in applications. This paper presents a robust Masreliez–Martin UKF which can provide reliable state estimates in the presence of both unknown process noise and measurement noise covariance matrices. Two numerical examples involving relative navigation of spacecrafts demonstrate that the proposed filter can provide improved state estimation performance over existing robust filtering approaches. Vision-aided robot arm tracking experiments are also provided to show the effectiveness of the proposed approach.     

迭代无味卡尔曼滤波器

通过对无味卡尔曼滤波器(Unscented Kalman filter,UKF)的误差进行分析,提出了迭代UKF(IUKF)算法.该基本思路是用测量更新后的状态估计去重新对状态量和观测量的一步预测,然后再次应用LMMSE估计子估计状态量的均值和协方差阵,如此多次迭代后的滤波估计输出具有更高的精度和更小的方差,故滤波器表现出更好的一致性.Monte Carlo仿真表明,IUKF主要应用于观测噪声较小的场合,其中的迭代只需进行2～3次即可.     

Adaptive Iterated Extended KALMAN Filter for Relative Spacecraft Attitude and Position Estimation

This paper presents a novel adaptive iterated extended Kalman filter (AIEKF) for relative position and attitude estimation, taking into account the influence of model uncertainty. Considering a nonlinear stochastic discrete‐time system with unknown disturbance, the AIEKF algorithm adopts the Gauss‐Newton iterative optimization steps to implement a maximum a posteriori (MAP) estimation, and the switch‐mode combination technique is used to achieve the adaptive capability. The mean‐square estimation error (MSE) of the state estimate is derived. It is proved that the AIEKF can yield a smaller MSE than that of the traditional extended Kalman filter (EKF) or iterated extended Kalman filter (IEKF). The performance advantage of the AIEKF is illustrated via Monte Carlo simulations on a typical relative position and attitude estimation application. Through comparisons in different scenarios, the presented algorithm is shown to improve adaptability and ensure estimation accuracy.     

迭代平方根UKF

针对无迹卡尔曼滤波器（UKF）测量更新方法的不足,提出了一种对UKF 进行迭代测量更新的 方法,用于提高非线性系统状态估计的近似精度．利用平方根UKF 算法确保了迭代UKF 的数值稳定性．理论 分析与实验结果表明,迭代平方根UKF 算法不仅具有无需计算雅可比矩阵的优点,而且具有较高的非线性近 似精度、较强的数值稳定性和较高的运算效率;在相同数量级运算时间的条件下,其估计性能明显优于扩展 卡尔曼滤波器（extended Kalman filter,EKF）、UKF 和迭代UKF 等非线性滤波器．     

Estimation of nonlinear systems via a Chebyshev approximation approach

This paper proposes to decompose the nonlinear dynamic of a chaotic system with Chebyshev polynomials to improve performances of its estimator. More widely than synchronization of chaotic systems, this algorithm is compared to other nonlinear stochastic estimator such as Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF). Chebyshev polynomials orthogonality properties is used to fit a polynomial to a nonlinear function. This polynomial is then used in an Exact Polynomial Kalman Filter (ExPKF) to run real time state estimation. The ExPKF offers mean square error optimality because it can estimate exact statistics of transformed variables through the polynomial function. Analytical expressions of those statistics are derived so as to lower ExPKF algorithm computation complexity and allow real time applications. Simulations under the Additive White Gaussian Noise (AWGN) hypothesis, show relevant performances of this algorithm compared to classical nonlinear estimators.     

The Study of Improving Kalman Filters Family for Nonlinear SLAM

When Extended Kalman Filter is used to solve the SLAM problem of a nonlinear system, the linearization error will lead to severe estimation error or even make the method to be divergent. After analyzing the linearization principle of Kalman filters family, two improved methods are suggested to decrease the linearization error. These two methods improve posterior estimation accuracy by revising the observation-update step. Simulation results indicate that the two methods are feasible. The method named ‘Mean Extended Kalman Filter’ performs much better than EKF and UKF for nonlinear SLAM. And the iterated version of EKF and UKF even falls behind MEKF in estimation accuracy. In addition, MEKF is computationally efficient. With a view to both estimation accuracy and computational complexity, MEKF seems to be the best filter of the Kalman filters family for nonlinear SLAM. Experiments are carried out with ‘Car Park Dataset’ and ‘Victoria Park Dataset’ to evaluate the performance of MEKF based SLAM solutions. And the experimental results validate the effectiveness of MEKF in real SLAM applications.     

基于UKF的两轮自平衡机器人姿态最优估计研究

针对扩展卡尔曼滤波器(EKF)设计困难并且容易发散的问题,提出基于采样卡尔曼滤波(UKF)的方法解决滤波器设计及收敛问题,并补偿低成本的惯性传感器陀螺仪和加速度计的误差,从而得到机器人姿态的最优估计．将滤波后的模型应用到两轮自平衡机器人系统,实验结果表明UKF参数设计简单,姿态估计误差小于EKF,方差估计优于EKF,估计精度、计算量基本与EKF相当．因此,UKF能够满足两轮自平衡机器人快速机动过程中的实时姿态估计要求．     

基于无味卡尔曼滤波的多雷达方位配准算法

将无味卡尔曼滤波（Unscented Kalman filter，UKF）应用于雷达配准，提出一种新的多雷达方位配准算法。在该算法中，目标的运动状态和方位误差由选定的采样点来近似，在每个更新过程中，采样点随着状态方程传播并随非线性测量方程变换，得到目标的运动状态和方位误差的均值，避免了对非线性方程的线性化，且具有较高的计算精度。与传统的扩展卡尔曼滤波（Extended Kalman filter，EKF）方法进行了仿真比较，结果表明UKF方法能有效地克服非线性跟踪问题中很容易出现的滤波发散问题，且估计精度高于UKF方法。     

Passive tracking from the combined set of bearings and frequency measurements by single satellite

In this paper,a new passive modified iterated extended Kalman filter(MIEKF) using the combined set of bearings and frequency measurements in Earth Centered Inertial(ECI) coordinate is proposed.A new measurement update equation of MIEKF is derived by modifying the objective function of the Gauss-Newton iteration.A new gain equation and iteration termination criteria are acquired by applying the property of the maximum likelihood estimate. The approximated second order linearized state propagation equation,Jacobian matrix of state transfer and measurement equations are derived in satellite two-body movement.The tracking performances of MIEKF,iterated extended Kalman filter(IEKF) and extended Kalman filter(EKF) are compared via Monte Carlo simulations through simulated data from STK8.1.Simulation results indicate that the proposed MIEKF is possible to passively track low earth circular orbit satellite by a high earth orbit satellite,and has higher tracking precision than the IEKF and EKF.     

以改善精度为目标的人手跟踪方法研究

分别从UKF滤波器的内在机理和人手运动模型两个方面入手,以改善跟踪结果的精确度为基本目标,重点对UKF算法中存在的部分理论问题进行了探讨,在此基础上提出了改进后的UKFDUT算法,同时也对IMM进行了改进,把IMM模型变为MM模型,再进一步将UKFDUT算法和MM模型相融合,得到UKFDUT MM算法,研究表明,Sigma点具有一些特性,通过对这些特性进行研究,可以找到改进跟踪精度的新途径;把MM模型和人手模型评价标准相结合,可以取得比单独使用IMM更好的跟踪精度,实验结果也表明了算法的有效性和令人满意的跟踪精度.     

Approximate conditional least squares estimation of a nonlinear state-space model via an unscented Kalman filter

The problem of estimating a nonlinear state-space model whose state process is driven by an ordinary differential equation (ODE) or a stochastic differential equation (SDE), with discrete-time data is studied. A new estimation method is proposed based on minimizing the conditional least squares (CLS) with the conditional mean function computed approximately via the unscented Kalman filter (UKF). Conditions are derived for the UKF–CLS estimator to preserve the limiting properties of the exact CLS estimator, namely, consistency and asymptotic normality, under the framework of infill asymptotics, i.e. sampling is increasingly dense over a fixed domain. The efficacy of the proposed method is demonstrated by simulation and a real application.     

State estimation and nonlinear predictive control of autonomous hybrid system using derivative free state estimators

In this work, we develop a state estimation scheme for nonlinear autonomous hybrid systems, which are subjected to stochastic state disturbances and measurement noise, using derivative free state estimators. In particular, we propose the use of ensemble Kalman filters (EnKF), which belong to the class of particle filters, and unscented Kalman filters (UKF) to carry out estimation of state variables of autonomous hybrid system. We then proceed to develop novel nonlinear model predictive control (NMPC) schemes using these derivative free estimators for better control of autonomous hybrid systems. A salient feature of the proposed NMPC schemes is that the future trajectory predictions are based on stochastic simulations, which explicitly account for the uncertainty in predictions arising from the uncertainties in the initial state and the unmeasured disturbances. The efficacy of the proposed state estimation based control scheme is demonstrated by conducting simulation studies on a benchmark three-tank hybrid system. Analysis of the simulation results reveals that EnKF and UKF based NMPC strategies is well suited for effective control of nonlinear autonomous three-tank hybrid system.     

用四元数状态切换无迹卡尔曼滤波器估计的飞行器姿态

在较大初始姿态误差角下, 针对捷联惯导/CCD星敏感器(strap-intertial navigation system/CCD star sensor, SINS/CCD)姿态估计系统扩展卡尔曼滤波(extended Kalman filter, EKF)算法精度下降的问题, 提出了基于四元数的状态切换无迹卡尔曼滤波算法. 通过状态实时切换降低了全维无迹卡尔曼滤波(unscented Kalman filter, UKF)的维数, 减小了计算复杂度, 提高了系统的实时性. 文中采用基于特征向量求解的代价函数法计算四元数均值避免了UKF算法中四元数规范化的限制; 利用乘性误差四元数表示姿态更新点与估计点之间的距离, 解决了四元数协方差阵奇异性问题. 仿真实验结果表明: 与EKF相比, 该算法在精度上有较大提高; 与全维UKF算法和修正罗德里格斯参数UKF算法相比, 该算法精度相当但估计时间均有不同程度的减少.     

Experimental Study of Iterated Kalman Filters for Simultaneous Localization and Mapping of Autonomous Mobile Robots

In this paper, we investigate the role of iteration in Kalman filters family for improvement of the estimation accuracy of states in simultaneous localization and mapping (SLAM). The linearized error propagation existing in Kalman filters family can result in large errors and inconsistency in the SLAM problem. One approach to alleviate this situation is the use of iteration in extended Kalman filter (EKF) and sigma point Kalman filter (SPKF) based SLAM. The main contribution is to present that the iterated versions of Kalman filters can increase consistency and robustness of these filters against linear error propagation. Experimental results are presented to validate this improvement of state estimate convergence through repetitive linearization of the nonlinear observation model in EKF-SLAM and SPKF-SLAM algorithms.     

基于极大似然准则和最大期望算法的自适应UKF 算法

针对噪声先验统计特性未知情况下的非线性系统状态估计问题,提出了基于极大似然准则和 最大期望算法的自适应无迹卡尔曼滤波(Unscented Kalman filter, UKF) 算法.利用极大似然准则构造含有噪声统计特性的对数似然函数,通 过最大期望算法将噪声估计问题转化为对数似然函数数学期望极大化问题,最终得到带次优递 推噪声统计估计器的自适应UKF算法.仿真分析表明,与传统UKF算法相比,提出的自适应UKF算法 有效克服了传统UKF算法在系统噪声统计特性未知情况下滤波精度下降的问题,并实现了系统噪 声统计特性的在线估计.     

带噪声统计估计器的Unscented卡尔曼滤波器设计

针对传统Unscented卡尔曼滤波器(UKF)在噪声先验统计未知或不准确时滤波精度下降甚至发散的问题,基于极大后验(MAP)估计原理,设计了一种带噪声统计估计器的UKF.该UKF滤波算法在进行状态估计的同时,能实时估计和修正噪声均值和协方差.相比于传统UKF,所提出的UKF具有应对噪声统计变化的自适应能力.仿真结果表明了该UKF滤波算法的有效性.

Abstract：

For the problem that the accuray of the conventional UKF declines and further diverges when the prior noise statistic is unknown or inaccurate, an unscented Kalman filter (UKF) with noise statistic estimator is designed.This UKF filtering algorithm based on maximum a posterior (MAP) estimation can estimate and correct the mean and covariance of the noise in real time while it estimates the states.The proposed UKF has the adaptive capability of dealing with variable noise statistic.The simulation results show the effectiveness of the proposed UKF filtering algorithm.