A simplified αβ based Gaussian sum filter

State estimation is a major problem in many fields, such as target tracking. For a linear Gaussian dynamic system, the KF provides the optimal state estimate, in the minimum mean square error sense. In general, however, real-world systems are governed by the presence of non-Gaussian noise and/or nonlinear systems. In this paper, the problem of state estimation in the case of a linear system affected by a non-Gaussian measurement noise is addressed. Based on the theoretical framework of the Gaussian sum filters (GSF), we propose a novel static version of this filter that uses the well known αβ filter. The simulation results show that the proposed filter has acceptable performances in terms of RMSE and a reduced computational load, compared to the classical GSF.     

On adaptive minimum probability of error linear filter receiversfor DS-CDMA channels

Receiver architectures in the form of a linear filter front-end followed by a hard-limiting decision maker are considered for DS-CDMA communication systems. Based on stochastic approximation concepts a recursive algorithm is developed for the adaptive optimization of the linear filter front-end in the minimum BER sense. The recursive form is decision driven and distribution free. For additive white Gaussian noise (AWGN) channels, theoretical analysis of the BER surface of linear filter receivers identifies the subset of the linear filter space where the optimal receiver lies and offers a formal proof of guaranteed global optimization with probability one for the two-user case. To the extent that the output of a linear DS-CDMA filter can be approximated by a Gaussian random variable, a minimum-mean-square-error optimized linear filter approximates the minimum BER solution. Numerical and simulation results indicate that for realistic AWGN DS-CDMA systems with reasonably low signature cross-correlations the linear minimum BER filter and the MMSE filter exhibit approximately the same performance. The linear minimum BER receiver is superior, however, when either the signature cross-correlation is high or the background noise is non-Gaussian     

WDM transmission system performance: influence of non-Gaussiandetected ASE noise and periodic DEMUX characteristic

This paper presents the first unified wavelength division multiplexing (WDM) transmission model for systems incorporating cascaded optical amplifiers and a realistic demultiplexing (DEMUX) characteristic with periodic transfer function. The bit error ratio (BER) is evaluated accounting in rigorous form for the influence of non-Gaussian detected amplified spontaneous emission (ASE) noise, noise correlation between stochastic noise samples in the receiver, the bandwidth of the electrical receiver noise filter, the gain tilt and effective noise figure of optical amplifiers (with as well as without optical ASE noise filtering), channel crosstalk, signal extinction ratio and a one-or two-stage DEMUX implementation. The model is compared to the Gaussian receiver model in realistic design cases providing important information as to the validity of the Gaussian model. Practical design results indicate the link budget dependence on the DEMUX design and the ASE noise filtering     

双模非高斯噪声背景下级联双稳态随机共振信号检测

针对随机共振(SR)以高斯噪声为研究背景的局限性,为了分析非高斯噪声对级联随机共振的影响且验证在双模非高斯噪声中级联随机共振的降噪及波形整形特性的可靠性,提出了级联双稳随机共振系统在双模非高斯情况下的微弱信号检测方法。输入信号在进行信号检测过程中,首先把概率密度函数作为随机共振现象的衡量指标,然后当系统处于最佳随机共振状态时,分析了非高斯参数、相关时间及噪声强度之间的关系。最后通过仿真证实,与一级SR相比,二级SR的噪声强度和相关时间的可用范围随着非高斯参数的减少不仅会得到增大,而且滤波特性、信号检测效果得到明显提高。     

Optimal Filtering for Polynomial Systems over Switching Delayed Observations

The problem of designing an optimal filter for a class of nonlinear systems confused with white Gaussian noise over linear time delayed observations is presented in this paper. Output observations may or may not experience sensor delays due to a random variable which is modeled as a Bernoulli distributed one that takes the quantities of zero and one. A closed form of this filter is obtained by expressing the conditional expectation of polynomial terms as a function of its expectation and covariance matrix. As a particular case, finite-dimensional filtering equations are obtained for a third degree polynomial function. Numerical simulations are performed on an induction motor in order to show the effectiveness of proposed filter.     

Influence of stochastic noise statistics on Kalman filter performance based on video target tracking

The system stochastic noises involved in Kalman filtering are preconditioned on being ideally white and Gaussian distributed. In this research, efforts are exerted on exploring the influence of the noise statistics on Kalman filtering from the perspective of video target tracking quality. The correlation of tracking precision to both the process and measurement noise covariance is investigated; the signal-to-noise power density ratio is defined; the contribution of predicted states and measured outputs to Kalman filter behavior is discussed; the tracking precision relative sensitivity is derived and applied in this study case. The findings are expected to pave the way for future study on how the actual noise statistics deviating from the assumed ones impacts on the Kalman filter optimality and degradation in the application of video tracking.     

Gaussian sum particle filtering

We use the Gaussian particle filter to build several types of Gaussian sum particle filters. These filters approximate the filtering and predictive distributions by weighted Gaussian mixtures and are basically banks of Gaussian particle filters. Then, we extend the use of Gaussian particle filters and Gaussian sum particle filters to dynamic state space (DSS) models with non-Gaussian noise. With non-Gaussian noise approximated by Gaussian mixtures, the non-Gaussian noise models are approximated by banks of Gaussian noise models, and Gaussian mixture filters are developed using algorithms developed for Gaussian noise DSS models. As a result, problems involving heavy-tailed densities can be conveniently addressed. Simulations are presented to exhibit the application of the framework developed herein, and the performance of the algorithms is examined.     

Wide-band systems and Gaussianity (Corresp.)

The Berry-Esseén theorem has been used to show that narrow-band filtering tends to make non-Gaussian noise more Gaussian. In this correspondence, the same theorem is invoked to demonstrate that wide-band filtering can also make noise more Gaussian, provided the filter impulse response has a large time-bandwidth product.     

Cumulant-based method for bearing estimation in the presence ofnonGaussian noise

Bearing estimation algorithms based on the cumulants of array data have been developed to suppress additive spatially correlated Gaussian noises. In practice, however, the noises encountered in signal processing environments are often non-Gaussian, and the applications of those cumulant-based algorithms designed for Gaussian noise to non-Gaussian environments may severely degrade the estimation performance. The authors propose a new cumulant-based method to solve this problem. This approach is based on the fourth-order cumulants of the array data transformed by DFT, and relies on the statistical central limit theorem to show that the fourth-order cumulants of the additive non-Gaussian noises approach zero in each DFT cell. Simulation results are presented to demonstrate that the proposed method can effectively estimate the bearings in both Gaussian and non-Gaussian noise environments     

Hybrid Polynomial Filters for Gaussian and Non-Gaussian Noise Environments

Traditional polynomial filtering theory, based on linear combinations of polynomial terms, is able to approximate important classes of nonlinear systems. The linear combination of polynomial terms, however, yields poor performance in environments characterized by Gaussian and heavy tailed distributions. Weighted median and weighted myriad filters, in contrast, are well known for their outlier suppression and detail preservation properties. It is shown here that the weighted median and weighted myriad methodologies are naturally extended to the polynomial sample case, yielding hybrid filter structures that exploits the higher-order statistics of the observed samples while simultaneously being robust to outliers for both Gaussian and heavy-tailed distributions environments. Moreover, the introduced hybrid polynomial filter classes are well motivated by analysis of cross and square term statistics of Gaussian and heavy-tailed distributions. A presented asymptotic tail mass analysis shows that polynomial terms, both under Gaussian and heavy-tailed noise statistics, have heavier tails than the observed samples, indicating that robust combination methods should be utilized to avoid undue influence of outliers. Further analysis shows weighted median processing of polynomial terms for the Gaussian noise case, and weighted median and weighted myriad processing of cross and square terms, respectively, for the heavy-tailed noise case, are justified from a maximum likelihood perspective. Filters parameter optimization procedures are also presented. Finally, the effectiveness of hybrid filters is demonstrated through simulations that include temporal, spectrum, and bispectrum analysis     

多传感器最优信息融合白噪声反卷积滤波器

基于Kalman滤波方法和白噪声估计理论,在线性最小方差按矩阵加权最优信息融合准则下,提出了带相关噪声系统多传感器信息融合白噪声反卷积滤波器.提出了各传感器滤波误差之间的协方差阵计算公式,可用于计算最优融合加权阵.同单传感器情形相比,可提高融合滤波精度.它可减少在线计算负担,便于实时应用.它可应用于石油地震勘探信号处理.一个3传感器信息融合Bernoulli-Gaussian白噪声反卷积滤波器的仿真例子说明了其有效性.     

Design of Gaussian Approximate Filter and Smoother for Nonlinear Systems with Correlated Noises at One Epoch Apart

In this study, the authors investigate the filtering and smoothing problems of nonlinear systems with correlated noises at one epoch apart. A pseudomeasurement equation is firstly reconstructed with a corresponding pseudomeasurement noise, which is no longer correlated with the process noise. Based on the reconstructed measurement model, new Gaussian approximate (GA) filter and smoother are derived, from which Kalman filter and smoother can be obtained for linear systems. For nonlinear systems, different GA filters and smoothers can be developed through utilizing different numerical methods for computing Gaussian-weighted integrals involved in the proposed solution. Numerical examples concerning univariate nonstationary growth model, passive ranging problem, and target tracking show the efficiency of the proposed filtering and smoothing methods for nonlinear systems with correlated noises at one epoch apart.     

粒子滤波在目标跟踪算法中的应用研究

针对非高斯、强噪声背景下的高机动目标实施跟踪时,卡尔曼滤波、扩展卡尔曼滤波等算法将出现滤波精度下降甚至发散现象。粒子滤波方法作为一种基于贝叶斯估计的非线性滤波算法,在处理非高斯非线性时变系统的参数估计和状态滤波问题方面有独到的优势。以目标跟踪问题为背景,将粒子滤波与卡尔曼滤波算法进行了对比研究。     

Recursive filtering with non-Gaussian noises

The Kalman filter is an optimal recursive filter, although its optimality can only be claimed under the Gaussian noise environment. In this paper, we consider the problem of recursive filtering with non-Gaussian noises. One of the most promising schemes, which was proposed by Masreliez (1972, 1975), uses the nonlinear score function as the correction term in the state estimate. Unfortunately, the score function cannot be easily implemented except for simple cases. In this paper, a new method for efficient evaluation of the score function is developed. The method employs an adaptive normal expansion to expand the score function followed by truncation of the higher order terms. Consequently, the score function can be approximated by a few central moments. The normal expansion is made adaptive by using the concept of conjugate recentering and the saddle point method. It is shown that the approximation is satisfactory, and the method is simple and practically feasible. Experimental results are reported to demonstrate the effectiveness of the new algorithm     

Discrete-Time Nonlinear Filtering Algorithms Using Gauss–Hermite Quadrature

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.     

Optimal and self-tuning State estimation for singular stochastic systems: a polynomial equation approach

This paper is concerned with the optimal steady-state estimation for singular stochastic discrete-time systems using a polynomial equation approach. The key to the optimal estimation is the calculation of an optimal estimator gain matrix. The main contribution of the paper is the derivation of a simple method for computing the gain matrix. Our method involves solving one simple polynomial equation which is derived from the uniqueness of the autoregressive moving average (ARMA) innovation model. The approach covers prediction, filtering, and smoothing problems. Further, when the noise statistics of the model are not available, self-tuning estimation is performed by identifying one ARMA innovation model.     

Adaptive alpha-trimmed mean filters under deviations from assumed noise model

Alpha-trimmed mean filters are widely used for the restoration of signals and images corrupted by additive non-Gaussian noise. They are especially preferred if the underlying noise deviates from Gaussian with the impulsive noise components. The key design issue of these filters is to select its only parameter, alpha, optimally for a given noise type. In image restoration, adaptive filters utilize the flexibility of selecting alpha according to some local noise statistics. In the present paper, we first review the existing adaptive alpha-trimmed mean filter schemes. We then analyze the performance of these filters when the underlying noise distribution deviates from the Gaussian and does not satisfy the assumptions such as symmetry. Specifically, the clipping effect and the mixed noise cases are analyzed. We also present a new adaptive alpha-trimmed filter implementation that detects the nonsymmetry points locally and applies alpha-trimmed mean filter that trims out the outlier pixels such as edges or impulsive noise according to this local decision. Comparisons of the speed and filtering performances under deviations from symmetry and Gaussian assumptions show that the proposed filter is a very good alternative to the existing schemes.     

Optimal Filtering for Incompletely Measured Polynomial Systems with Multiplicative Noise

In this paper, the optimal filtering problem for polynomial system states with polynomial multiplicative noise over linear observations with an arbitrary, not necessarily invertible, observation matrix is treated proceeding from the general expression for the stochastic Ito differential of the optimal estimate and the error variance. Thus, the Ito differentials for the optimal estimate and error variance corresponding to the stated filtering problem are first derived. A transformation of the observation equation is introduced to reduce the original problem to the previously solved one with an invertible observation matrix. The procedure for obtaining a closed system of the filtering equations for any polynomial state with polynomial multiplicative noise over linear observations is then established, which yields the explicit closed form of the filtering equations in the particular cases of linear and bilinear state equations. In an example, the performance of the designed optimal filter is verified against those of the optimal filter for a quadratic state with a state-independent noise and a conventional extended Kalman–Bucy filter. The authors thank the Mexican National Science and Technology Council (CONACyT) for financial support under Grants No. 55584 and 52953.     

GSVD-based optimal filtering for single and multimicrophone speech enhancement

A generalized singular value decomposition (GSVD) based algorithm is proposed for enhancing multimicrophone speech signals degraded by additive colored noise. This GSVD-based multimicrophone algorithm can be considered to be an extension of the single-microphone signal subspace algorithms for enhancing noisy speech signals and amounts to a specific optimal filtering problem when the desired response signal cannot be observed. The optimal filter can be written as a function of the generalized singular vectors and singular values of a speech and noise data matrix. A number of symmetry properties are derived for the single-microphone and multimicrophone optimal filter, which are valid for the white noise case as well as for the colored noise case. In addition, the averaging step of some single-microphone signal subspace algorithms is examined, leading to the conclusion that this averaging operation is unnecessary and even suboptimal. For simple situations, where we consider localized sources and no multipath propagation, the GSVD-based optimal filtering technique exhibits the spatial directivity pattern of a beamformer. When comparing the noise reduction performance for realistic situations, simulations show that the GSVD-based optimal filtering technique has a better performance than standard fixed and adaptive beamforming techniques for all reverberation times and that it is more robust to deviations from the nominal situation, as, e.g., encountered in uncalibrated microphone arrays.     

多传感器顺序粒子滤波算法

粒子滤波是一种基于Monte Carlo仿真的最优回归贝叶斯滤波算法.这种方法不受线性化误差和高斯噪声假定的限制,适用于任何状态转换或测量模型,因此能够很好地解决非线性、非高斯环境下系统的状态估计问题.为了能够有效地解决非线性、非高斯环境中的集中式多传感器状态估计问题,本文研究了多传感器顺序粒子滤波算法.首先,从理论上推导了一般的集中式多传感器粒子滤波模型;然后根据集中式多传感器系统的特点,提出了顺序重抽样方法.最后,给出了算法的仿真分析.仿真结果说明顺序粒子滤波方法能够明显提高多传感器系统状态估计精度,并且随着传感器数增多,改善的效果越好.