Modified extended Kalman filtering for supervised learning

We apply the modified extended Kalman filter to develop a learning algorithm for feedforward networks. The resulting algorithm improves the existing extended Kalman filter based scheme in both speed of convergence and accuracy of estimation.     

Unscented Kalman filtering in the additive noise case

The unscented Kalman filter(UKF) has four implementations in the additive noise case,according to whether the state is augmented with noise vectors and whether a new set of sigma points is redrawn from the predicted state(which is so-called resampling) for the observation prediction.This paper concerns the differences of performances for those implementations,such as accuracy,adaptability,computational complexity,etc.The conditionally equivalent relationships between the augmented and non-augmented unscente...     

Non-linear filtering—the link between Kalman and extended Kalman filters

The problem of developing practical suboptimal filters for non-linear systems is treated using a different, approach. The filter developed (El-F) is found to fill in the gap between Kalman and extended Kalman filters. A numerical experiment to test the performance of the developed filter is conducted and the results are shown,     

IEKF滤波在移动机器人定位中的应用

针对EKF中观测噪声方差估计不准确导致滤波器性能下降甚至发散的问题,提出了基于环境特征的迭代扩展卡尔曼滤波(IEKF)融合算法。该算法融合了里程计采集的机器人内部数据和激光雷达传感器采集的外部环境特征,在测量更新阶段多次迭代状态估计值并对机器人的位姿进行修正,减少了非线性误差,提高了定位精度。     

Variants of extended Kalman filtering approaches for Bayesian tracking

We provide a tutorial for a number of variants of the extended Kalman filter (EKF). In these methods, so called, sigma points are employed to tackle the nonlinearity of problems. The sigma points exactly represent the mean and the variance of the state distribution function in a dynamic state equation. The initially developed EKF variant, that is, unscented Kalman filter (UKF) (also called sigma point Kalman filter) shows enhanced performance compared with that of conventional EKF in the literature. Another variant, which is not well known, is central difference Kalman filter (CDKF) whose way to approximate the nonlinearity is based on the Sterling's polynomial interpolation formula instead of the Taylor series. Endeavor to reduce the computational load resulted in the development of square root versions of both UKF and CDKF, that is, square root unscented Kalman filter and square root central difference Kalman filter (SR‐CDKF). These SR‐versions are supposed to be numerically more stable than their original versions because the state covariance is guaranteed to be positive definite by avoiding the step of matrix decomposition. In this paper, we provide the step‐by‐step algorithms of above‐mentioned EKF variants with their pros and cons. We apply these filtering methods to a number of problems in various disciplines for performance assessment in terms of both mean squared error (MSE) and processing speed. Furthermore, we show how to optimize the filters in terms of MSE performance depending on diverse scenarios. According to simulation results, CDKF and SR‐CDKF show the best MSE performance in most scenarios; particularly, SR‐CDKF shows faster processing speed than that of CDKF. Therefore, we justify that SR‐CDKF is the most efficient and the best approach among the Kalman variants including the EKF for various nonlinear problems. The motivation of this paper targets at the contribution to the disseminative usage of the Kalman variants approaches, particularly, SR‐CDKF taking advantage of its estimating performance and high processing speed. Copyright © 2016 John Wiley & Sons, Ltd.     

非加性噪声情形下卡尔曼滤波器的推广

在数字信号处理中,得到的信号总是或多或少伴随着噪声。如何去除噪声,恢复真实的信号,是信号处理面临的首要问题。一般情形下我们都假定噪声是加性的,即噪声是不依赖于信号的,此时,卡尔曼滤波器是一种非常简便的降噪方法,它是一个最优化自回归数据处理算法,是用前一个估计值和最近一个观察数据来估计信号的当前值,是用状态方程和递推的方法进行估计的,而且它在均方误差意义下是最优的。本文将噪声推广到一般的乘性噪声的情形,利用卡尔曼滤波的基本思想,同样可以得到均方误差意义下的最优滤波,最后通过一个模拟的例子验证了该方法的有效性。     

基于Kalman滤波的通用和统一的白噪声估计方法

用射影理论,基于Kalman滤波提出了通用和统一的白噪声估计方法,可统一解决带非零均值相关噪声的线性离散时变随机控制系统的白噪声滤波、平滑和预报问题.提出了输入白噪声估值器和观测白噪声估值器,最优和稳态白噪声估值器,固定点、固定滞后和固定区间白噪声平滑器,白噪声新息滤波器和Wiener滤波器.它可应用于石油地震勘探信号处理和状态估计,为解决信号和状态估计问题,提供了新的途径和工具.关于Bernoulli-Gaussian白噪声估值器的仿真例子说明了其有效性.     

几何扩展卡尔曼滤波算法在卫星姿态确定系统中的应用

卡尔曼滤波因其良好的性能广泛应用于卫星姿态确定中.经典的扩展卡尔曼滤波(EKF)算法在估计姿态坐标系中表示估计误差矢量,由于没有考虑到估计姿态坐标系与真实姿态坐标系之间存在偏差,从而导致姿态估计精度下降.针对这个问题,Andrle M S通过几何变换引入误差一致性表示,在此基础上,提出了几何扩展卡尔曼滤波(GEKF)算法,将姿态误差四元数和陀螺漂移增量通过几何变换进行一致性表示,解决了估计误差矢量表示不一致的问题.本文介绍了误差一致性表示的原理,并将GEKF算法应用于含常值漂移与时间相关漂移的陀螺模型中,仿真实验表明:GEKF算法比MEKF对陀螺漂移的估计更加精确,在滤波精度上取得了明显改善.     

带扩展卡尔曼滤波的柔性关节机器人虚拟分解控制

针对柔性关节机器人在非完全状态反馈条件下的轨迹跟踪控制问题,本文提出一种基于虚拟分解控制(virtual decomposition control,VDC)理论和扩展卡尔曼滤波(extended Kalman filtering,EKF)观测的控制方法.首先,考虑模型参数的不确定性和外界扰动因素,分别设计刚性连杆子系统和柔性关节子系统的虚拟分解控制律.然后,为突破现有VDC方法依赖于全状态反馈测量的局限,设计一种基于EKF的间接状态观测器,实现了仅需电机侧位置和速度测量而不需连杆侧任何状态信息测量的闭环控制.此外,结合虚拟稳定和李雅普诺夫稳定理论给出了严格的系统稳定性证明.最后,实例对比仿真验证了所提出控制算法的有效性,且相比于基于传统拉格朗日整体动力学的典型算法,具有更优的轨迹跟踪性能.     

脉冲噪声环境下基于卡尔曼滤波的语音增强

语音增强的目标在于从含噪信号中提取纯净语音,纯净语音在某些环境下会被脉冲噪声所污染,但脉冲噪声的时域分布特征却给语音增强带来困难,使传统方法在脉冲噪声环境下难以取得满意效果。为在平稳脉冲噪声环境下进行语音增强,提出了一种新方法。该方法通过计算确定脉冲噪声样本的能量与含噪信号样本的能量之比最大的频段,利用该频段能量分布情况逐帧判别语音信号是否被脉冲噪声所污染。进一步地,该方法只在被脉冲噪声污染的帧应用卡尔曼滤波算法去噪,并改进了传统算法执行时的自回归(AR)模型参数估计过程。实验中,采用白色脉冲噪声以及有色脉冲噪声污染语音信号,并对低输入信噪比的信号进行语音增强,结果表明所提出的算法能显著地改善信噪比和抑制脉冲噪声。     

A direct approach to identify the noise covariances of Kalman filtering

A new approach is presented for the estimation of the noise covariances associated with the linear discrete Kalman filter.     

改进的扩展卡尔曼滤波在航空器4D航迹预测算法中的应用

为有效地推进基于轨迹运行(TBO)的发展,准确预测不同实时飞行状态下的航空器4D航迹,根据航空器基本数据库(BADA)提出的基本动力学方程,引入航空器运动的六自由度模型和风场扰动函数,并且用状态变量和输入变量建立非线性控制系统,与BADA中的总能量模型(TEM)结合进行4D航迹预测.由于非线性控制系统与航空器运动状态复...     

Stochastically resilient extended Kalman filtering for discrete-time nonlinear systems with sensor failures

Missing sensor data is a common problem, which severely influences the overall performance of modern data-intensive control and computing applications. In order to address this important issue, a novel resilient extended Kalman filter is proposed for discrete-time nonlinear stochastic systems with sensor failures and random observer gain perturbations. The failure mechanisms of multiple sensors are assumed to be independent of each other with different failure rates. The locally unbiased robust minimum mean square filter is designed for state estimation under these conditions. The performance of the proposed estimation method is verified by means of numerical Monte Carlo simulation of two different nonlinear stochastic systems, involving a sinusoidal system and a Lorenz oscillator system.     

Adaptive extended Kalman filtering for visual motion estimation of 3D objects

An algorithm for the real-time estimation of the position and orientation of a moving object of known geometry is presented in this paper. An estimation algorithm is adopted where a discrete-time extended Kalman filter computes the object pose on the basis of visual measurements of the object features. The scheme takes advantage of the prediction capability of the extended Kalman filter for the pre-selection of the features to be extracted from the image at each sample time. To enhance the robustness of the algorithm with respect to measurement noise and modelling error, an adaptive version of the extended Kalman filter, customized for visual applications, is proposed. Experimental results on a fixed single-camera visual system are presented to test the performance and the feasibility of the proposed approach.     

Modified extended Kalman filtering and a real-time parallelalgorithm for system parameter identification

A modification of the extended Kalman filter (EKF) algorithm, which is called MEKF for short, it introduced. The modification is achieved by an improved linearization procedure. For this purpose, a parallel computational scheme is recommended, and it has immediate applications to identifying unknown system parameters of time-varying, linear, stochastic state-space models in real time. It should be noted that just like the EKF, the MEKF is also ad hoc in the sense that it is a real-time approximation method. Numerical examples with computer simulation are included to demonstrate the effectiveness of this procedure as compared to the EKF algorithm     

Distributed adaptive high‐gain extended Kalman filtering for nonlinear systems

In this work, we propose a distributed adaptive high‐gain extended Kalman filtering approach for nonlinear systems. Specifically, we consider a class of nonlinear systems that are composed of several subsystems interacting with each other via their states. In the proposed approach, an adaptive high‐gain extended Kalman filter is designed for each subsystem. The distributed Kalman filters communicate with each other to exchange estimated subsystem state information. First, assuming continuous communication among the distributed filters within deterministic form of subsystems, an implementation strategy that specifies how the distributed filters should communicate is designed and the detailed design of the subsystem filter is described. Second, we consider the case of stochastic subsystems for which the designed subsystem filters communicate to exchange information at discrete‐time instants. A state predictor in each subsystem filter is used to provide predictions of states of other subsystems. The stability properties of the proposed distributed estimation schemes with both continuous and discrete communications are analyzed. Finally, the effectiveness and applicability of the proposed schemes are illustrated via the application to a chemical process example. Copyright © 2017 John Wiley & Sons, Ltd.     

An enhanced adaptive Kalman filtering for linear systems with inaccurate noise statistics

This paper investigates the simultaneous state and noise covariance estimation for linear systems with inaccurate noise statistics. An enhanced adaptive Kalman filtering (EAKF) based on dynamic recursive nominal covariance estimation (DNRCE) and modified variational Bayesian (VB) inference is presented. The EAKF realizes the concurrently estimation of state and noise covariance matrices by introducing a nominal parameter in the traditional recursive covariance estimation and designing a new adaptive forgotten factor for the dynamic model of the estimated information propagation. The simulation of a target tracking example shows that, compared with the existing filters, the proposed filter has good adaptive performance for inaccurate and time-varying noise covariance matrices.     

联合白噪声统计估计和卡尔曼滤波的MIMO信道辨识

提出了一种新的时间选择性衰落环境下MIMO信道辨识算法。为了提高信息传输效率,训练序列被直接叠加于信息序列之上。算法将信息符号输出、接收端AWGN和由于采用零中频接收技术而产生的直流偏移当做虚拟的观测噪声,其均值和自协方差均未知。通过联合的递推白噪声统计估计器和卡尔曼滤波器对时变信道进行跟踪,推导了一种计算简单的次优无偏时变白噪声统计估计器。以简单有效的方法抑制直流偏移对辨识精度的影响。仿真结果表明了算法具有良好的性能。