Multi-sensor information fusion estimators for stochastic uncertain systems with correlated noises

The information fusion estimation problems are investigated for multi-sensor stochastic uncertain systems with correlated noises. The stochastic uncertainties caused by correlated multiplicative noises exist in the state and observation matrices. The process noise and the observation noises are one-step auto-correlated and two-step cross-correlated, respectively. While the observation noises of different sensors are one-step cross-correlated. The optimal centralized fusion filter, predictor and smoother are proposed in the linear minimum variance sense via an innovative analysis approach. To enhance the robustness and flexibility, a distributed fusion filter is put forward, which requires the calculation of filtering error cross-covariance matrices between any two local filters. To avoid the calculation of cross-covariance matrices, another distributed fusion filter is also presented by using the covariance intersection (CI) fusion algorithm, which can reduce the computational cost. A simulation example is given to show the effectiveness of the proposed algorithms.     

Cross grouping strategy based 2DPCA method for face recognition

Grouping strategy exactly specifies the form of covariance matrix, therefore it is very essential. Most 2DPCA methods use the original 2D image matrices to form the covariance matrix which actually means that the strategy is to group the random variables by row or column of the input image. Because of their grouping strategies these methods have two main drawbacks. Firstly, 2DPCA and some of its variants such as A2DPCA, DiaPCA and MatPCA preserve only the covariance information between the elements of these groups. This directly implies that 2DPCA and these variants eliminate some covariance information while PCA preserves such information that can be useful for recognition. Secondly, all the existing methods suffer from the relatively high intra-group correlation, since the random variables in a row, column, or a block are closely located and highly correlated. To overcome such drawbacks we propose a novel grouping strategy named cross grouping strategy. The algorithm focuses on reducing the redundancy among the row and the column vectors of the image matrix. While doing this the algorithm completely preserves the covariance information of PCA between local geometric structures in the image matrix which is partially maintained in 2DPCA and its variants. And also in the proposed study intra-group correlation is weak according to the 2DPCA and its variants because the random variables spread over the whole face image. These make the proposed algorithm superior to 2DPCA and its variants. In order to achieve this, image cross-covariance matrix is calculated from the summation of the outer products of the column and the row vectors of all images. The singular value decomposition (SVD) is then applied to the image cross-covariance matrix. The right and the left singular vectors of SVD of the image cross-covariance matrix are used as the optimal projective vectors. Further in order to reduce the dimension LDA is applied on the feature space of the proposed method that is proposed method + LDA. The exhaustive experimental results demonstrate that proposed grouping strategy for 2DPCA is superior to 2DPCA, its specified variants and PCA, and proposed method outperforms bi-directional PCA + LDA.     

Time Delay Estimation by Cross-covariance Maximization of Quadrature Sampled Narrowband Signals

A numerically efficient algorithm for estimating the time delay from observations of a stationary narrowband signal and its delayed version is investigated. Quadrature sampling, a variant of bunched sampling, is applied to estimate samples of the quadrature components of the cross-covariance function of the two signals. The baseband magnitude squared of this function can be maximized for time delay estimation. Because the time delay is unknown, the baseband cross-covariance function cannot be interpolated from the estimated samples. Numerical maximization of the samples' magnitude squared and quadratic interpolation, however, results in a reasonable time delay estimate.     

Optimal Fusion Reduced-Order Kalman Filters Weighted by Scalars for Stochastic Singular Systems

Based on the optimal fusion algorithm weighted by scalars in the linear minimum variance sense, a distributed optimal fusion reduced-order Kalman filter with scalar weights is presented for discrete-time stochastic singular systems with multiple sensors and correlated noises. It has higher accuracy than any local filter does. Compared with the distributed fusion filter weighted by matrices, it has lower accuracy but has reduced computational burden. Computation formula of cross-covariance matrix of the filtering errors between any two sensors is given. An example with three sensors shows the effectiveness.     

Distributed optimal component fusion weighted by scalars for fixed-lag Kalman smoother

Based on the optimal fusion criterion in the linear minimum variance sense, a distributed optimal fusion fixed-lag Kalman smoother with a three-layer fusion structure is given for the discrete time-varying linear stochastic control systems with multiple sensors and correlated noises. Its components are estimated by scalar weighting fusion, respectively. It only requires in parallel a series of computations of the weighted scalars, and avoids the computations of the weighted matrices, so that the computational burden can obviously be reduced. Further, the steady-state fusion smoother is also given for the discrete time-invariant linear stochastic control systems. The scalar weights can be obtained by fusing once after all local estimations reach steady state. It can reduce the online computational burden. Also, the computation formulas of smoothing error cross-covariance matrices are given. Two simulation examples show the performance.     

过程噪声对融合航迹性能的影响

本文研究动态系统过程噪声对航迹统计距离和状态融合估计性能的影响。由过程噪声产生的航迹互协方差矩阵的运算量较大,甚至占到航迹融合总运算量的一半,所以在实现系统时应尽量避免互协方差矩阵的在线计算。文中估计并比较了互协方差矩阵、统计距离及状态融合估计的运算量,仿真研究了观测噪声对航迹统计距离和状态融合估计性能的影响。仿真结果表明在过程噪声较小而对融合航迹性能的影响有限时,可考虑忽略过程噪声的影响,这样将大大降低运算量,反之则不能忽略。     

Optimal multi-sensor Kalman smoothing fusion for discrete multichannel ARMA signals

Based on the multi-sensor optimal information fusion criterion weighted by matrices in the linear minimum variance sense, using white noise estimators, an optimal fusion distributed Kalman smoother is given for discrete multi-channel ARMA （autoregressive moving average） signals. The smoothing error cross-covanance matrices between any two sensors are given for measurement noises. Furthermore, the fusion smoother gives higher precision than any local smoother does.     

Nonstationary multivariate process modeling through spatially varying coregionalization

Models for the analysis of multivariate spatial data are receiving increased attention these days. In many applications it will be preferable to work with multivariate spatial processes to specify such models. A critical specification in providing these models is the cross covariance function. Constructive approaches for developing valid cross-covariance functions offer the most practical strategy for doing this. These approaches include separability, kernel convolution or moving average methods, and convolution of covariance functions. We review these approaches but take as our main focus the computationally manageable class referred to as the linear model of coregionalization (LMC). We introduce a fully Bayesian development of the LMC. We offer clarification of the connection between joint and conditional approaches to fitting such models including prior specifications. However, to substantially enhance the usefulness of such modelling we propose the notion of a spatially varying LMC (SVLMC) providing a very rich class of multivariate nonstationary processes with simple interpretation. We illustrate the use of our proposed SVLMC with application to more than 600 commercial property transactions in three quite different real estate markets, Chicago, Dallas and San Diego. Bivariate nonstationary process inodels are developed for income from and selling price of the property. The work of the first and second authors was supported in part by NIH grant R01ES07750-06.