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Sample records for kalman filter integration

  1. Adaptive Federal Kalman Filtering for SINS/GPS Integrated System

    Institute of Scientific and Technical Information of China (English)

    杨勇; 缪玲娟

    2003-01-01

    A new adaptive federal Kalman filter for a strapdown integrated navigation system/global positioning system (SINS/GPS) is given. The developed federal Kalman filter is based on the trace operation of parameters estimation's error covariance matrix and the spectral radius of update measurement noise variance-covariance matrix for the proper choice of the filter weight and hence the filter gain factors. Theoretical analysis and results from simulation in which the SINS/GPS was compared to conventional Kalman filter are presented. Results show that the algorithm of this adaptive federal Kalman filter is simpler than that of the conventional one. Furthermore, it outperforms the conventional Kalman filter when the system is undertaken measurement malfunctions because of its possession of adaptive ability. This filter can be used in the vehicle integrated navigation system.

  2. Data assimilation in integrated hydrological modeling using ensemble Kalman filtering

    DEFF Research Database (Denmark)

    Rasmussen, Jørn; Madsen, H.; Jensen, Karsten Høgh

    2015-01-01

    Groundwater head and stream discharge is assimilated using the ensemble transform Kalman filter in an integrated hydrological model with the aim of studying the relationship between the filter performance and the ensemble size. In an attempt to reduce the required number of ensemble members...

  3. Data assimilation in integrated hydrological modeling using ensemble Kalman filtering

    DEFF Research Database (Denmark)

    Rasmussen, Jørn; Madsen, H.; Jensen, Karsten Høgh;

    2015-01-01

    Groundwater head and stream discharge is assimilated using the ensemble transform Kalman filter in an integrated hydrological model with the aim of studying the relationship between the filter performance and the ensemble size. In an attempt to reduce the required number of ensemble members...

  4. Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems

    Directory of Open Access Journals (Sweden)

    Chien-Hao Tseng

    2016-07-01

    Full Text Available This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF and fuzzy logic adaptive system (FLAS for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF, unscented Kalman filter (UKF, and CKF approaches.

  5. Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems.

    Science.gov (United States)

    Tseng, Chien-Hao; Lin, Sheng-Fuu; Jwo, Dah-Jing

    2016-07-26

    This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF) and fuzzy logic adaptive system (FLAS) for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system) integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF) is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD) parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF), unscented Kalman filter (UKF), and CKF approaches.

  6. A Novel Robust Interval Kalman Filter Algorithm for GPS/INS Integrated Navigation

    Directory of Open Access Journals (Sweden)

    Chen Jiang

    2016-01-01

    Full Text Available Kalman filter is widely applied in data fusion of dynamic systems under the assumption that the system and measurement noises are Gaussian distributed. In literature, the interval Kalman filter was proposed aiming at controlling the influences of the system model uncertainties. The robust Kalman filter has also been proposed to control the effects of outliers. In this paper, a new interval Kalman filter algorithm is proposed by integrating the robust estimation and the interval Kalman filter in which the system noise and the observation noise terms are considered simultaneously. The noise data reduction and the robust estimation methods are both introduced into the proposed interval Kalman filter algorithm. The new algorithm is equal to the standard Kalman filter in terms of computation, but superior for managing with outliers. The advantage of the proposed algorithm is demonstrated experimentally using the integrated navigation of Global Positioning System (GPS and the Inertial Navigation System (INS.

  7. Multilevel Mixture Kalman Filter

    Directory of Open Access Journals (Sweden)

    Xiaodong Wang

    2004-11-01

    Full Text Available The mixture Kalman filter is a general sequential Monte Carlo technique for conditional linear dynamic systems. It generates samples of some indicator variables recursively based on sequential importance sampling (SIS and integrates out the linear and Gaussian state variables conditioned on these indicators. Due to the marginalization process, the complexity of the mixture Kalman filter is quite high if the dimension of the indicator sampling space is high. In this paper, we address this difficulty by developing a new Monte Carlo sampling scheme, namely, the multilevel mixture Kalman filter. The basic idea is to make use of the multilevel or hierarchical structure of the space from which the indicator variables take values. That is, we draw samples in a multilevel fashion, beginning with sampling from the highest-level sampling space and then draw samples from the associate subspace of the newly drawn samples in a lower-level sampling space, until reaching the desired sampling space. Such a multilevel sampling scheme can be used in conjunction with the delayed estimation method, such as the delayed-sample method, resulting in delayed multilevel mixture Kalman filter. Examples in wireless communication, specifically the coherent and noncoherent 16-QAM over flat-fading channels, are provided to demonstrate the performance of the proposed multilevel mixture Kalman filter.

  8. Analyses of integrated aircraft cabin contaminant monitoring network based on Kalman consensus filter.

    Science.gov (United States)

    Wang, Rui; Li, Yanxiao; Sun, Hui; Chen, Zengqiang

    2017-07-11

    The modern civil aircrafts use air ventilation pressurized cabins subject to the limited space. In order to monitor multiple contaminants and overcome the hypersensitivity of the single sensor, the paper constructs an output correction integrated sensor configuration using sensors with different measurement theories after comparing to other two different configurations. This proposed configuration works as a node in the contaminant distributed wireless sensor monitoring network. The corresponding measurement error models of integrated sensors are also proposed by using the Kalman consensus filter to estimate states and conduct data fusion in order to regulate the single sensor measurement results. The paper develops the sufficient proof of the Kalman consensus filter stability when considering the system and the observation noises and compares the mean estimation and the mean consensus errors between Kalman consensus filter and local Kalman filter. The numerical example analyses show the effectiveness of the algorithm. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

  9. IAE-adaptive Kalman filter for INS/GPS integrated navigation system

    Institute of Scientific and Technical Information of China (English)

    Bian Hongwei; Jin Zhihua; Tian Weifeng

    2006-01-01

    A marine INS/GPS adaptive navigation system is presented in this paper. GPS with two antenna providing vessel's altitude is selected as the auxiliary system fusing with INS to improve the performance of the hybrid system. The Kalman filter is the most frequently used algorithm in the integrated navigation system, which is capable of estimating INS errors online based on the measured errors between INS and GPS. The standard Kalman filter (SKF) assumes that the statistics of the noise on each sensor are given. As long as the noise distributions do not change, the Kalman filter will give the optimal estimation. However GPS receiver will be disturbed easily and thus temporally changing measurement noise will join into the outputs of GPS, which will lead to performance degradation of the Kalman filter. Many researchers introduce fuzzy logic control method into innovation-based adaptive estimation adaptive Kalman filtering (IAE-AKF) algorithm, and accordingly propose various adaptive Kalman filters. However how to design the fuzzy logic controller is a very complicated problem still without a convincing solution. A novel IAE-AKF is proposed herein, which is based on the maximum likelihood criterion for the proper computation of the filter innovation covariance and hence of the filter gain. The approach is direct and simple without having to establish fuzzy inference rules. After having deduced the proposed IAE-AKF algorithm theoretically in detail, the approach is tested by the simulation based on the system error model of the developed INS/GPS integrated marine navigation system. Simulation results show that the adaptive Kalman filter outperforms the SKF with higher accuracy, robustness and less computation. It is demonstrated that this proposed approach is a valid solution for the unknown changing measurement noise exited in the Kalman filter.

  10. Design and Simulation of the Integrated Navigation System based on Extended Kalman Filter

    Directory of Open Access Journals (Sweden)

    Zhou Weidong

    2017-04-01

    Full Text Available The integrated navigation system is used to estimate the position, velocity, and attitude of a vehicle with the output of inertial sensors. This paper concentrates on the problem of the INS/GPS integrated navigation system design and simulation. The structure of the INS/GPS integrated navigation system is made up of four parts: 1 GPS receiver, 2 Inertial Navigation System, 3 Extended Kalman filter, and 4 Integrated navigation scheme. Afterwards, we illustrate how to simulate the integrated navigation system with the extended Kalman filter by measuring position, velocity and attitude. Particularly, the extended Kalman filter can estimate states of the nonlinear system in the noisy environment. In extended Kalman filter, the estimation of the state vector and the error covariance matrix are computed by steps: 1 time update and 2 measurement update. Finally, the simulation process is implemented by Matlab, and simulation results prove that the error rate of statement measuring is lower when applying the extended Kalman filter in the INS/GPS integrated navigation system.

  11. Generic Kalman Filter Software

    Science.gov (United States)

    Lisano, Michael E., II; Crues, Edwin Z.

    2005-01-01

    The Generic Kalman Filter (GKF) software provides a standard basis for the development of application-specific Kalman-filter programs. Historically, Kalman filters have been implemented by customized programs that must be written, coded, and debugged anew for each unique application, then tested and tuned with simulated or actual measurement data. Total development times for typical Kalman-filter application programs have ranged from months to weeks. The GKF software can simplify the development process and reduce the development time by eliminating the need to re-create the fundamental implementation of the Kalman filter for each new application. The GKF software is written in the ANSI C programming language. It contains a generic Kalman-filter-development directory that, in turn, contains a code for a generic Kalman filter function; more specifically, it contains a generically designed and generically coded implementation of linear, linearized, and extended Kalman filtering algorithms, including algorithms for state- and covariance-update and -propagation functions. The mathematical theory that underlies the algorithms is well known and has been reported extensively in the open technical literature. Also contained in the directory are a header file that defines generic Kalman-filter data structures and prototype functions and template versions of application-specific subfunction and calling navigation/estimation routine code and headers. Once the user has provided a calling routine and the required application-specific subfunctions, the application-specific Kalman-filter software can be compiled and executed immediately. During execution, the generic Kalman-filter function is called from a higher-level navigation or estimation routine that preprocesses measurement data and post-processes output data. The generic Kalman-filter function uses the aforementioned data structures and five implementation- specific subfunctions, which have been developed by the user on

  12. Multilevel ensemble Kalman filter

    KAUST Repository

    Chernov, Alexey

    2016-01-06

    This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.

  13. A unified Kalman filter

    Science.gov (United States)

    Stubberud, Allen R.

    2017-01-01

    When considering problems of linear sequential estimation, two versions of the Kalman filter, the continuous-time version and the discrete-time version, are often used. (A hybrid filter also exists.) In many applications in which the Kalman filter is used, the system to which the filter is applied is a linear continuous-time system, but the Kalman filter is implemented on a digital computer, a discrete-time device. The two general approaches for developing a discrete-time filter for implementation on a digital computer are: (1) approximate the continuous-time system by a discrete-time system (called discretization of the continuous-time system) and develop a filter for the discrete-time approximation; and (2) develop a continuous-time filter for the system and then discretize the continuous-time filter. Generally, the two discrete-time filters will be different, that is, it can be said that discretization and filter generation are not, in general, commutative operations. As a result, any relationship between the discrete-time and continuous-time versions of the filter for the same continuous-time system is often obfuscated. This is particularly true when an attempt is made to generate the continuous-time version of the Kalman filter through a simple limiting process (the sample period going to zero) applied to the discrete-time version. The correct result is, generally, not obtained. In a 1961 research report, Kalman showed that the continuous-time Kalman filter can be obtained from the discrete-time Kalman filter by taking limits as the sample period goes to zero if the white noise process for the continuous-time version is appropriately defined. Using this basic concept, a discrete-time Kalman filter can be developed for a continuous-time system as follows: (1) discretize the continuous-time system using Kalman's technique; and (2) develop a discrete-time Kalman filter for that discrete-time system. Kalman's results show that the discrete-time filter generated in

  14. Indirect Kalman Filter in Mobile Robot Application

    Directory of Open Access Journals (Sweden)

    Surachai Panich

    2010-01-01

    Full Text Available Problem statement: The most successful applications of Kalman filtering are to linearize about some nominal trajectory in state space that does not depend on the measurement data. The resulting filter is usually referred to as simply a linearized Kalman filter. Approach: This study introduced mainly indirect Kalman filter to estimate robot’s position. A developed differential encoder system integrated accelerometer is experimental tested in square shape. Results: Experimental results confirmed that indirect Kalman filter improves the accuracy and confidence of position estimation. Conclusion: In summary, we concluded that indirect Kalman filter has good potential to reduce error of measurement data.

  15. Multilevel ensemble Kalman filtering

    KAUST Repository

    Hoel, Hakon

    2016-06-14

    This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.

  16. Covariance matching based adaptive unscented Kalman filter for direct filtering in INS/GNSS integration

    Science.gov (United States)

    Meng, Yang; Gao, Shesheng; Zhong, Yongmin; Hu, Gaoge; Subic, Aleksandar

    2016-03-01

    The use of the direct filtering approach for INS/GNSS integrated navigation introduces nonlinearity into the system state equation. As the unscented Kalman filter (UKF) is a promising method for nonlinear problems, an obvious solution is to incorporate the UKF concept in the direct filtering approach to address the nonlinearity involved in INS/GNSS integrated navigation. However, the performance of the standard UKF is dependent on the accurate statistical characterizations of system noise. If the noise distributions of inertial instruments and GNSS receivers are not appropriately described, the standard UKF will produce deteriorated or even divergent navigation solutions. This paper presents an adaptive UKF with noise statistic estimator to overcome the limitation of the standard UKF. According to the covariance matching technique, the innovation and residual sequences are used to determine the covariance matrices of the process and measurement noises. The proposed algorithm can estimate and adjust the system noise statistics online, and thus enhance the adaptive capability of the standard UKF. Simulation and experimental results demonstrate that the performance of the proposed algorithm is significantly superior to that of the standard UKF and adaptive-robust UKF under the condition without accurate knowledge on system noise, leading to improved navigation precision.

  17. The Endogenous Kalman Filter

    OpenAIRE

    Brad Baxter; Liam Graham; Stephen Wright

    2007-01-01

    We relax the assumption of full information that underlies most dynamic general equilibrium models, and instead assume agents optimally form estimates of the states from an incomplete information set. We derive a version of the Kalman filter that is endogenous to agents' optimising decisions, and state conditions for its convergence. We show the (restrictive) conditions under which the endogenous Kalman filter will at least asymptotically reveal the true states. In general we show that incomp...

  18. Bds/gps Integrated Positioning Method Research Based on Nonlinear Kalman Filtering

    Science.gov (United States)

    Ma, Y.; Yuan, W.; Sun, H.

    2017-09-01

    In order to realize fast and accurate BDS/GPS integrated positioning, it is necessary to overcome the adverse effects of signal attenuation, multipath effect and echo interference to ensure the result of continuous and accurate navigation and positioning. In this paper, pseudo-range positioning is used as the mathematical model. In the stage of data preprocessing, using precise and smooth carrier phase measurement value to promote the rough pseudo-range measurement value without ambiguity. At last, the Extended Kalman Filter(EKF), the Unscented Kalman Filter(UKF) and the Particle Filter(PF) algorithm are applied in the integrated positioning method for higher positioning accuracy. The experimental results show that the positioning accuracy of PF is the highest, and UKF is better than EKF.

  19. Bias aware Kalman filters

    DEFF Research Database (Denmark)

    Drecourt, J.-P.; Madsen, H.; Rosbjerg, Dan

    2006-01-01

    . The colored noise filter formulation is extended to correct both time correlated and uncorrelated model error components. A more stable version of the separate filter without feedback is presented. The filters are implemented in an ensemble framework using Latin hypercube sampling. The techniques...... are illustrated on a simple one-dimensional groundwater problem. The results show that the presented filters outperform the standard Kalman filter and that the implementations with bias feedback work in more general conditions than the implementations without feedback. 2005 Elsevier Ltd. All rights reserved....

  20. Multilevel ensemble Kalman filtering

    KAUST Repository

    Hoel, Haakon

    2016-01-08

    The ensemble Kalman filter (EnKF) is a sequential filtering method that uses an ensemble of particle paths to estimate the means and covariances required by the Kalman filter by the use of sample moments, i.e., the Monte Carlo method. EnKF is often both robust and efficient, but its performance may suffer in settings where the computational cost of accurate simulations of particles is high. The multilevel Monte Carlo method (MLMC) is an extension of classical Monte Carlo methods which by sampling stochastic realizations on a hierarchy of resolutions may reduce the computational cost of moment approximations by orders of magnitude. In this work we have combined the ideas of MLMC and EnKF to construct the multilevel ensemble Kalman filter (MLEnKF) for the setting of finite dimensional state and observation spaces. The main ideas of this method is to compute particle paths on a hierarchy of resolutions and to apply multilevel estimators on the ensemble hierarchy of particles to compute Kalman filter means and covariances. Theoretical results and a numerical study of the performance gains of MLEnKF over EnKF will be presented. Some ideas on the extension of MLEnKF to settings with infinite dimensional state spaces will also be presented.

  1. Hybrid Kalman and unscented Kalman filters for INS/GPS integrated system considering constant lever arm effect

    Institute of Scientific and Technical Information of China (English)

    常国宾; 柳明

    2015-01-01

    In inertial navigation system (INS) and global positioning system (GPS) integrated system, GPS antennas are usually not located at the same location as the inertial measurement unit (IMU) of the INS, so the lever arm effect exists, which makes the observation equation highly nonlinear. The INS/GPS integration with constant lever arm effect is studied. The position relation of IMU and GPS’s antenna is represented in the earth centered earth fixed frame, while the velocity relation of these two systems is represented in local horizontal frame. Due to the small integration time interval of INS, i.e. 0.1 s in this work, the nonlinearity in the INS error equation is trivial, so the linear INS error model is constructed and addressed by Kalman filter’s prediction step. On the other hand, the high nonlinearity in the observation equation due to lever arm effect is addressed by unscented Kalman filter’s update step to attain higher accuracy and better applicability. Simulation is designed and the performance of the hybrid filter is validated.

  2. Neural Network Aided Kalman Filtering For Integrated GPS/INS Navigation System

    Directory of Open Access Journals (Sweden)

    Haidong GUO

    2013-01-01

    Full Text Available Kalman filter (KF uses measurement updates to correct system states error and to limit the errors in navigation solutions. However, only when the system dynamic and measurement models are correctly defined, and the noise statistics for the process are completely known, KF can optimally estimate a system’s states. Without measurement updates, Kalman filter’s prediction diverges; therefore the performance of an integrated GPS/INS navigation system may degrade rapidly when GPS signals are unavailable. This paper presents a neural network (NN aided Kalman filtering method to improve navigation solutions of integrated GPS/INS navigation system. In the proposed loosely coupled GPS/INS navigation system, extended KF (EKF estimates the INS measurement errors, plus position, velocity and attitude errors, and provides precise navigation solutions while GPS signals are available. At the same time, multi-layer NN is trained to map the vehicle manoeuvre with INS prediction errors during each GPS epoch, which is the input of the EKF. During GPS signal blockages, the NN can be used to predict the INS errors for EKF measurement updates, and in this way to improve navigation solutions. The principle of this hybrid method and the NN design are presented. Land vehicle based field test data are processed to evaluate the performance of the proposed method.

  3. Developing a Fundamental Model for an Integrated GPS/INS State Estimation System with Kalman Filtering

    Science.gov (United States)

    Canfield, Stephen

    1999-01-01

    This work will demonstrate the integration of sensor and system dynamic data and their appropriate models using an optimal filter to create a robust, adaptable, easily reconfigurable state (motion) estimation system. This state estimation system will clearly show the application of fundamental modeling and filtering techniques. These techniques are presented at a general, first principles level, that can easily be adapted to specific applications. An example of such an application is demonstrated through the development of an integrated GPS/INS navigation system. This system acquires both global position data and inertial body data, to provide optimal estimates of current position and attitude states. The optimal states are estimated using a Kalman filter. The state estimation system will include appropriate error models for the measurement hardware. The results of this work will lead to the development of a "black-box" state estimation system that supplies current motion information (position and attitude states) that can be used to carry out guidance and control strategies. This black-box state estimation system is developed independent of the vehicle dynamics and therefore is directly applicable to a variety of vehicles. Issues in system modeling and application of Kalman filtering techniques are investigated and presented. These issues include linearized models of equations of state, models of the measurement sensors, and appropriate application and parameter setting (tuning) of the Kalman filter. The general model and subsequent algorithm is developed in Matlab for numerical testing. The results of this system are demonstrated through application to data from the X-33 Michael's 9A8 mission and are presented in plots and simple animations.

  4. Tracking speckle displacement by double Kalman filtering

    Institute of Scientific and Technical Information of China (English)

    Donghui Li; Li Guo

    2006-01-01

    @@ A tracking technique using two sequentially-connected Kalman filter for tracking laser speckle displacement is presented. One Kalman filter tracks temporal speckle displacement, while another Kalman filter tracks spatial speckle displacement. The temporal Kalman filter provides a prior for the spatial Kalman filter, and the spatial Kalman filter provides measurements for the temporal Kalman filter. The contribution of a prior to estimations of the spatial Kalman filter is analyzed. An optical analysis system was set up to verify the double-Kalman-filter tracker's ability of tracking laser speckle's constant displacement.

  5. Optimal sensorimotor integration in recurrent cortical networks: a neural implementation of Kalman filters.

    Science.gov (United States)

    Denève, Sophie; Duhamel, Jean-René; Pouget, Alexandre

    2007-05-23

    Several behavioral experiments suggest that the nervous system uses an internal model of the dynamics of the body to implement a close approximation to a Kalman filter. This filter can be used to perform a variety of tasks nearly optimally, such as predicting the sensory consequence of motor action, integrating sensory and body posture signals, and computing motor commands. We propose that the neural implementation of this Kalman filter involves recurrent basis function networks with attractor dynamics, a kind of architecture that can be readily mapped onto cortical circuits. In such networks, the tuning curves to variables such as arm velocity are remarkably noninvariant in the sense that the amplitude and width of the tuning curves of a given neuron can vary greatly depending on other variables such as the position of the arm or the reliability of the sensory feedback. This property could explain some puzzling properties of tuning curves in the motor and premotor cortex, and it leads to several new predictions.

  6. Robust Kriged Kalman Filtering

    Energy Technology Data Exchange (ETDEWEB)

    Baingana, Brian; Dall' Anese, Emiliano; Mateos, Gonzalo; Giannakis, Georgios B.

    2015-11-11

    Although the kriged Kalman filter (KKF) has well-documented merits for prediction of spatial-temporal processes, its performance degrades in the presence of outliers due to anomalous events, or measurement equipment failures. This paper proposes a robust KKF model that explicitly accounts for presence of measurement outliers. Exploiting outlier sparsity, a novel l1-regularized estimator that jointly predicts the spatial-temporal process at unmonitored locations, while identifying measurement outliers is put forth. Numerical tests are conducted on a synthetic Internet protocol (IP) network, and real transformer load data. Test results corroborate the effectiveness of the novel estimator in joint spatial prediction and outlier identification.

  7. MACV/Radio integrated navigation for Mars powered descent via robust desensitized central difference Kalman filter

    Science.gov (United States)

    Lou, Taishan; Liu, Jie; Jin, Pan; Wang, Yan

    2017-01-01

    An innovative integrated navigation scheme based on MCAV/Radio measurement information during Mars powered descent phase, and a robust desensitized central difference Kalman filter (DCDKF) for systems with uncertain parameters or biases are proposed to improve the navigation descent accuracy. Based on the altitude and velocity information of the Miniature Coherent Altimeter and Velocimeter (MCAV), the radio-range information is added into the integrated navigation system to correct the horizontal position error of the vehicle during the Mars powered descent phase. Based the central difference transform, the sensitivity propagation of the state estimate errors in the DCDKF is described, and a designed desensitized cost function is minimized to obtain the gain matrix of the DCDKF. The performances of the innovative navigation scheme and the proposed DCDKF are all demonstrated by two Monte Carlo simulations with the Inertial Measurement Unit biases during the Mars power descent phase.

  8. Fuzzy adaptive Kalman filter for indoor mobile target positioning with INS/WSN integrated method

    Institute of Scientific and Technical Information of China (English)

    杨海; 李威; 罗成名

    2015-01-01

    Pure inertial navigation system (INS) has divergent localization errors after a long time. In order to compensate the disadvantage, wireless sensor network (WSN) associated with the INS was applied to estimate the mobile target positioning. Taking traditional Kalman filter (KF) as the framework, the system equation of KF was established by the INS and the observation equation of position errors was built by the WSN. Meanwhile, the observation equation of velocity errors was established by the velocity difference between the INS and WSN, then the covariance matrix of Kalman filter measurement noise was adjusted with fuzzy inference system (FIS), and the fuzzy adaptive Kalman filter (FAKF) based on the INS/WSN was proposed. The simulation results show that the FAKF method has better accuracy and robustness than KF and EKF methods and shows good adaptive capacity with time-varying system noise. Finally, experimental results further prove that FAKF has the fast convergence error, in comparison with KF and EKF methods.

  9. Harmonic Detection at Initialization With Kalman Filter

    DEFF Research Database (Denmark)

    Hussain, Dil Muhammad Akbar; Imran, Raja Muhammad; Shoro, Ghulam Mustafa

    2014-01-01

    the affect of harmonics on the supply. For the detection of these harmonics various techniques are available and one of that technique is the Kalman filter. In this paper we investigate that what are the consequences when harmonic detection system based on Kalman Filtering is initialized......Most power electronic equipment these days generate harmonic disturbances, these devices hold nonlinear voltage/current characteristic. The harmonics generated can potentially be harmful to the consumer supply. Typically, filters are integrated at the power source or utility location to filter out...

  10. A Novel Kalman Filter with State Constraint Approach for the Integration of Multiple Pedestrian Navigation Systems

    Directory of Open Access Journals (Sweden)

    Haiyu Lan

    2015-07-01

    Full Text Available Numerous solutions/methods to solve the existing problems of pedestrian navigation/localization have been proposed in the last decade by both industrial and academic researchers. However, to date there are still major challenges for a single pedestrian navigation system (PNS to operate continuously, robustly, and seamlessly in all indoor and outdoor environments. In this paper, a novel method for pedestrian navigation approach to fuse the information from two separate PNSs is proposed. When both systems are used at the same time by a specific user, a nonlinear inequality constraint between the two systems’ navigation estimates always exists. Through exploring this constraint information, a novel filtering technique named Kalman filter with state constraint is used to diminish the positioning errors of both systems. The proposed method was tested by fusing the navigation information from two different PNSs, one is the foot-mounted inertial navigation system (INS mechanization-based system, the other PNS is a navigation device that is mounted on the user’s upper body, and adopting the pedestrian dead reckoning (PDR mechanization for navigation update. Monte Carlo simulations and real field experiments show that the proposed method for the integration of multiple PNSs could improve each PNS’ navigation performance.

  11. Augmented Kalman Filter and Map Matching for 3D RISS/GPS Integration for Land Vehicles

    Directory of Open Access Journals (Sweden)

    Matthew Cossaboom

    2012-01-01

    Full Text Available Owing to their complimentary characteristics, global positioning system (GPS and inertial navigation system (INS are integrated, traditionally through Kalman filter (KF, to obtain improved navigational solution. To reduce the overall cost of the system, microelectromechanical system- (MEMS- based INS is utilized. One of the approaches is to reduce the number of low-cost inertial sensors, decreasing their error contribution which leads to a reduced inertial sensor system (RISS. This paper uses KF to integrate GPS and 3D RISS in a loosely coupled fashion to enhance navigational solution while further improvement is achieved by augmenting it with map matching (MM. The 3D RISS consists of only one gyroscope and two accelerometers along with the vehicle’s built-in odometer. MM limits the error growth during GPS outages by restricting the predicted positions to the road networks. The performance of proposed method is compared with KF-only 3D RISS/GPS integration to demonstrate the efficacy of the proposed technique.

  12. Kalman filtering implementation with Matlab

    OpenAIRE

    Kleinbauer, Rachel

    2004-01-01

    1960 und 1961 veröffentlichte Rudolf Emil Kalmen seine Arbeiten über einen rekursiven prädiktiven Filter, der auf dem Gebrauch von rekursiven Algorithmen basiert. Damit revolutionierte er das Feld der Schätzverfahren. Seitdem ist der sogenannte Kalman Filter Gegenstand ausführlicher Forschung und findet bis heute Anwendung in zahlreichen Gebieten. Der Kalman Filter schätzt den Zustand eines dynamischen Systems, auch wenn die exakte Form dieses Systems unbekannt ist. Der Filter ist sehr lei...

  13. Particle Kalman Filtering: A Nonlinear Framework for Ensemble Kalman Filters

    KAUST Repository

    Hoteit, Ibrahim

    2010-09-19

    Optimal nonlinear filtering consists of sequentially determining the conditional probability distribution functions (pdf) of the system state, given the information of the dynamical and measurement processes and the previous measurements. Once the pdfs are obtained, one can determine different estimates, for instance, the minimum variance estimate, or the maximum a posteriori estimate, of the system state. It can be shown that, many filters, including the Kalman filter (KF) and the particle filter (PF), can be derived based on this sequential Bayesian estimation framework. In this contribution, we present a Gaussian mixture‐based framework, called the particle Kalman filter (PKF), and discuss how the different EnKF methods can be derived as simplified variants of the PKF. We also discuss approaches to reducing the computational burden of the PKF in order to make it suitable for complex geosciences applications. We use the strongly nonlinear Lorenz‐96 model to illustrate the performance of the PKF.

  14. Integration of a multi-camera vision system and strapdown inertial navigation system (SDINS) with a modified Kalman filter.

    Science.gov (United States)

    Parnian, Neda; Golnaraghi, Farid

    2010-01-01

    This paper describes the development of a modified Kalman filter to integrate a multi-camera vision system and strapdown inertial navigation system (SDINS) for tracking a hand-held moving device for slow or nearly static applications over extended periods of time. In this algorithm, the magnitude of the changes in position and velocity are estimated and then added to the previous estimation of the position and velocity, respectively. The experimental results of the hybrid vision/SDINS design show that the position error of the tool tip in all directions is about one millimeter RMS. The proposed Kalman filter removes the effect of the gravitational force in the state-space model. As a result, the resulting error is eliminated and the resulting position is smoother and ripple-free.

  15. Optimization Algorithm for Kalman Filter Exploiting the Numerical Characteristics of SINS/GPS Integrated Navigation Systems

    Directory of Open Access Journals (Sweden)

    Shaoxing Hu

    2015-11-01

    Full Text Available Aiming at addressing the problem of high computational cost of the traditional Kalman filter in SINS/GPS, a practical optimization algorithm with offline-derivation and parallel processing methods based on the numerical characteristics of the system is presented in this paper. The algorithm exploits the sparseness and/or symmetry of matrices to simplify the computational procedure. Thus plenty of invalid operations can be avoided by offline derivation using a block matrix technique. For enhanced efficiency, a new parallel computational mechanism is established by subdividing and restructuring calculation processes after analyzing the extracted “useful” data. As a result, the algorithm saves about 90% of the CPU processing time and 66% of the memory usage needed in a classical Kalman filter. Meanwhile, the method as a numerical approach needs no precise-loss transformation/approximation of system modules and the accuracy suffers little in comparison with the filter before computational optimization. Furthermore, since no complicated matrix theories are needed, the algorithm can be easily transplanted into other modified filters as a secondary optimization method to achieve further efficiency.

  16. Optimization Algorithm for Kalman Filter Exploiting the Numerical Characteristics of SINS/GPS Integrated Navigation Systems.

    Science.gov (United States)

    Hu, Shaoxing; Xu, Shike; Wang, Duhu; Zhang, Aiwu

    2015-11-11

    Aiming at addressing the problem of high computational cost of the traditional Kalman filter in SINS/GPS, a practical optimization algorithm with offline-derivation and parallel processing methods based on the numerical characteristics of the system is presented in this paper. The algorithm exploits the sparseness and/or symmetry of matrices to simplify the computational procedure. Thus plenty of invalid operations can be avoided by offline derivation using a block matrix technique. For enhanced efficiency, a new parallel computational mechanism is established by subdividing and restructuring calculation processes after analyzing the extracted "useful" data. As a result, the algorithm saves about 90% of the CPU processing time and 66% of the memory usage needed in a classical Kalman filter. Meanwhile, the method as a numerical approach needs no precise-loss transformation/approximation of system modules and the accuracy suffers little in comparison with the filter before computational optimization. Furthermore, since no complicated matrix theories are needed, the algorithm can be easily transplanted into other modified filters as a secondary optimization method to achieve further efficiency.

  17. Q-Method Extended Kalman Filter

    Science.gov (United States)

    Zanetti, Renato; Ainscough, Thomas; Christian, John; Spanos, Pol D.

    2012-01-01

    A new algorithm is proposed that smoothly integrates non-linear estimation of the attitude quaternion using Davenport s q-method and estimation of non-attitude states through an extended Kalman filter. The new method is compared to a similar existing algorithm showing its similarities and differences. The validity of the proposed approach is confirmed through numerical simulations.

  18. A mollified Ensemble Kalman filter

    CERN Document Server

    Bergemann, Kay

    2010-01-01

    It is well recognized that discontinuous analysis increments of sequential data assimilation systems, such as ensemble Kalman filters, might lead to spurious high frequency adjustment processes in the model dynamics. Various methods have been devised to continuously spread out the analysis increments over a fixed time interval centered about analysis time. Among these techniques are nudging and incremental analysis updates (IAU). Here we propose another alternative, which may be viewed as a hybrid of nudging and IAU and which arises naturally from a recently proposed continuous formulation of the ensemble Kalman analysis step. A new slow-fast extension of the popular Lorenz-96 model is introduced to demonstrate the properties of the proposed mollified ensemble Kalman filter.

  19. Kalman Filtering with Real-Time Applications

    CERN Document Server

    Chui, Charles K

    2009-01-01

    Kalman Filtering with Real-Time Applications presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering.

  20. Adaptive Iterated Extended Kalman Filter and Its Application to Autonomous Integrated Navigation for Indoor Robot

    Directory of Open Access Journals (Sweden)

    Yuan Xu

    2014-01-01

    Full Text Available As the core of the integrated navigation system, the data fusion algorithm should be designed seriously. In order to improve the accuracy of data fusion, this work proposed an adaptive iterated extended Kalman (AIEKF which used the noise statistics estimator in the iterated extended Kalman (IEKF, and then AIEKF is used to deal with the nonlinear problem in the inertial navigation systems (INS/wireless sensors networks (WSNs-integrated navigation system. Practical test has been done to evaluate the performance of the proposed method. The results show that the proposed method is effective to reduce the mean root-mean-square error (RMSE of position by about 92.53%, 67.93%, 55.97%, and 30.09% compared with the INS only, WSN, EKF, and IEKF.

  1. Adaptive iterated extended Kalman filter and its application to autonomous integrated navigation for indoor robot.

    Science.gov (United States)

    Xu, Yuan; Chen, Xiyuan; Li, Qinghua

    2014-01-01

    As the core of the integrated navigation system, the data fusion algorithm should be designed seriously. In order to improve the accuracy of data fusion, this work proposed an adaptive iterated extended Kalman (AIEKF) which used the noise statistics estimator in the iterated extended Kalman (IEKF), and then AIEKF is used to deal with the nonlinear problem in the inertial navigation systems (INS)/wireless sensors networks (WSNs)-integrated navigation system. Practical test has been done to evaluate the performance of the proposed method. The results show that the proposed method is effective to reduce the mean root-mean-square error (RMSE) of position by about 92.53%, 67.93%, 55.97%, and 30.09% compared with the INS only, WSN, EKF, and IEKF.

  2. Kalman filtering with real-time applications

    CERN Document Server

    Chui, Charles K

    2017-01-01

    This new edition presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering. Over 100 exercises and problems with solutions help de...

  3. Mixtures of skewed Kalman filters

    KAUST Repository

    Kim, Hyoungmoon

    2014-01-01

    Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class of closed skew-normal distributions. Some basic properties are derived and a class of closed skew. t distributions is obtained. Our suggested family of distributions is skewed and has heavy tails too, so it is appropriate for robust analysis. Our proposed special sequential Monte Carlo methods use a random mixture of the closed skew-normal distributions to approximate a target distribution. Hence it is possible to handle skewed and heavy tailed data simultaneously. These methods are illustrated with numerical experiments. © 2013 Elsevier Inc.

  4. Implementation of Kalman Filter with Python Language

    CERN Document Server

    Laaraiedh, Mohamed

    2012-01-01

    In this paper, we investigate the implementation of a Python code for a Kalman Filter using the Numpy package. A Kalman Filtering is carried out in two steps: Prediction and Update. Each step is investigated and coded as a function with matrix input and output. These different functions are explained and an example of a Kalman Filter application for the localization of mobile in wireless networks is given.

  5. Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters

    CERN Document Server

    Hoteit, Ibrahim; Pham, Dinh-Tuan

    2011-01-01

    This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that, the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. We show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an "ensemble of Kalman filters" operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, we consider the construction of the PKF through an "ensemble" of ensemble Kalman filters (EnKFs) instead, ...

  6. Unscented Kalman Filter Algorithm for WiFi-PDR Integrated Indoor Positioning

    Directory of Open Access Journals (Sweden)

    CHEN GuoLiang

    2015-12-01

    Full Text Available Indoor positioning still faces lots of fundamental technical problems although it has been widely applied. A novel indoor positioning technology by using the smart phone with the assisting of the widely available and economically signals of WiFi is proposed. It also includes the principles and characteristics in indoor positioning. Firstly, improve the system's accuracy by fusing the WiFi fingerprinting positioning and PDR (ped estrian dead reckoning positioning with UKF (unscented Kalman filter. Secondly, improve the real-time performance by clustering the WiFi fingerprinting with k-means clustering algorithm. An investigation test was conducted at the indoor environment to learn about its performance on a HUAWEI P6-U06 smart phone. The result shows that compared to the pattern-matching system without clustering, an average reduction of 51% in the time cost can be obtained without degrading the positioning accuracy. When the state of personnel is walking, the average positioning error of WiFi is 7.76 m, the average positioning error of PDR is 4.57 m. After UKF fusing, the system's average positioning error is down to 1.24 m. It shows that the algorithm greatly improves the system's real-time and positioning accuracy.

  7. Kullback-Leibler Divergence Approach to Partitioned Update Kalman Filter

    OpenAIRE

    Raitoharju, Matti; García-Fernández, Ángel F.; Piché, Robert

    2016-01-01

    Kalman filtering is a widely used framework for Bayesian estimation. The partitioned update Kalman filter applies a Kalman filter update in parts so that the most linear parts of measurements are applied first. In this paper, we generalize partitioned update Kalman filter, which requires the use oft the second order extended Kalman filter, so that it can be used with any Kalman filter extension. To do so, we use a Kullback-Leibler divergence approach to measure the nonlinearity of the measure...

  8. Adaptable Iterative and Recursive Kalman Filter Schemes

    Science.gov (United States)

    Zanetti, Renato

    2014-01-01

    Nonlinear filters are often very computationally expensive and usually not suitable for real-time applications. Real-time navigation algorithms are typically based on linear estimators, such as the extended Kalman filter (EKF) and, to a much lesser extent, the unscented Kalman filter. The Iterated Kalman filter (IKF) and the Recursive Update Filter (RUF) are two algorithms that reduce the consequences of the linearization assumption of the EKF by performing N updates for each new measurement, where N is the number of recursions, a tuning parameter. This paper introduces an adaptable RUF algorithm to calculate N on the go, a similar technique can be used for the IKF as well.

  9. Application of Helmert Variance Component Based Adaptive Kalman Filter in Multi-GNSS PPP/INS Tightly Coupled Integration

    Directory of Open Access Journals (Sweden)

    Zhouzheng Gao

    2016-06-01

    Full Text Available The integration of the Global Positioning System (GPS and the Inertial Navigation System (INS based on Real-time Kinematic (RTK and Single Point Positioning (SPP technology have been applied as a powerful approach in kinematic positioning and attitude determination. However, the accuracy of RTK and SPP based GPS/INS integration mode will degrade visibly along with the increasing user-base distance and the quality of pseudo-range. In order to overcome such weaknesses, the tightly coupled integration between GPS Precise Point Positioning (PPP and INS was proposed recently. Because of the rapid development of the multi-constellation Global Navigation Satellite System (multi-GNSS, we introduce the multi-GNSS into the tightly coupled integration of PPP and INS in this paper. Meanwhile, in order to weaken the impacts of the GNSS observations with low quality and the inaccurate state model on the performance of the multi-GNSS PPP/INS tightly coupled integration, the Helmert variance component estimation based adaptive Kalman filter is employed in the algorithm implementation. Finally, a set of vehicle-borne GPS + BeiDou + GLONASS and Micro-Electro-Mechanical-Systems (MEMS INS data is analyzed to evaluate the performance of such algorithm. The statistics indicate that the performance of the multi-GNSS PPP/INS tightly coupled integration can be enhanced significantly in terms of both position accuracy and convergence time.

  10. Spectral diagonal ensemble Kalman filters

    CERN Document Server

    Kasanický, Ivan; Vejmelka, Martin

    2015-01-01

    A new type of ensemble Kalman filter is developed, which is based on replacing the sample covariance in the analysis step by its diagonal in a spectral basis. It is proved that this technique improves the aproximation of the covariance when the covariance itself is diagonal in the spectral basis, as is the case, e.g., for a second-order stationary random field and the Fourier basis. The method is extended by wavelets to the case when the state variables are random fields, which are not spatially homogeneous. Efficient implementations by the fast Fourier transform (FFT) and discrete wavelet transform (DWT) are presented for several types of observations, including high-dimensional data given on a part of the domain, such as radar and satellite images. Computational experiments confirm that the method performs well on the Lorenz 96 problem and the shallow water equations with very small ensembles and over multiple analysis cycles.

  11. Unscented Kalman filter for SINS alignment

    Institute of Scientific and Technical Information of China (English)

    Zhou Zhanxin; Gao Yanan; Chen Jiabin

    2007-01-01

    In order to improve the filter accuracy for the nonlinear error model of strapdown inertial navigation system (SINS) alignment, Unscented Kalman Filter (UKF) is presented for simulation with stationary base and moving base of SINS alignment.Simulation results show the superior performance of this approach when compared with classical suboptimal techniques such as extended Kalman filter in cases of large initial misalignment.The UKF has good performance in case of small initial misalignment.

  12. Integrated WiFi/PDR/Smartphone Using an Adaptive System Noise Extended Kalman Filter Algorithm for Indoor Localization

    Directory of Open Access Journals (Sweden)

    Xin Li

    2016-02-01

    Full Text Available Wireless signal strength is susceptible to the phenomena of interference, jumping, and instability, which often appear in the positioning results based on Wi-Fi field strength fingerprint database technology for indoor positioning. Therefore, a Wi-Fi and PDR (pedestrian dead reckoning real-time fusion scheme is proposed in this paper to perform fusing calculation by adaptively determining the dynamic noise of a filtering system according to pedestrian movement (straight or turning, which can effectively restrain the jumping or accumulation phenomena of wireless positioning and the PDR error accumulation problem. Wi-Fi fingerprint matching typically requires a quite high computational burden: To reduce the computational complexity of this step, the affinity propagation clustering algorithm is adopted to cluster the fingerprint database and integrate the information of the position domain and signal domain of respective points. An experiment performed in a fourth-floor corridor at the School of Environment and Spatial Informatics, China University of Mining and Technology, shows that the traverse points of the clustered positioning system decrease by 65%–80%, which greatly improves the time efficiency. In terms of positioning accuracy, the average error is 4.09 m through the Wi-Fi positioning method. However, the positioning error can be reduced to 2.32 m after integration of the PDR algorithm with the adaptive noise extended Kalman filter (EKF.

  13. Research on SINS/GPS Integrated Navigation Kalman Filter Algorithm%SINS/GPS组合导航卡尔曼滤波算法研究

    Institute of Scientific and Technical Information of China (English)

    牛强军; 张潮; 苏登辉

    2015-01-01

    Aiming at that single use of any kind of navigation equipment will not meet requirement of airborne fire control system and flight system, deduce a new Kalman filter algorithm of SINS/GPS integrated navigation. Introduce albinism processing of colored noise into Kalman filter, design a dynamic vehicle integrated navigation test system, put forwards the steps of Kalman filter algorithm based on colored noise albinism, use dynamic vehicle SINS/GPS integrated navigation system test data analysis to validate correctness and rationality of algorithm. The analyse results show that, Kalman filter which based on colored noise albinism make up for the deficiency of traditional Kalman filter, and improve the accuracy of navigation result.%针对单独使用某一种的导航设备都无法满足机载火控系统和飞行系统要求的问题,推导出 SINS/GPS 组合导航中的一种新的卡尔曼滤波算法.将有色噪声的白化处理引入到卡尔曼滤波器,设计了一套动态车载组合导航试验系统,给出了基于有色噪声白化的卡尔曼滤波器算法的具体步骤,以动态车载 SINS/GPS 组合导航系统试验的数据分析验证了此算法的正确性和合理性.分析结果表明:基于有色噪声白化的卡尔曼滤波器可以很好地解决有色噪声的影响,弥补了传统卡尔曼滤波器的不足,提高了导航结果的精确度.

  14. Kalman filtering theory and practice with MATLAB

    CERN Document Server

    Grewal, M

    2015-01-01

    The definitive textbook and professional reference on Kalman Filtering fully updated, revised, and expanded This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.

  15. A Simplified Baseband Prefilter Model with Adaptive Kalman Filter for Ultra-Tight COMPASS/INS Integration

    Directory of Open Access Journals (Sweden)

    Bing Luo

    2012-07-01

    Full Text Available COMPASS is an indigenously developed Chinese global navigation satellite system and will share many features in common with GPS (Global Positioning System. Since the ultra-tight GPS/INS (Inertial Navigation System integration shows its advantage over independent GPS receivers in many scenarios, the federated ultra-tight COMPASS/INS integration has been investigated in this paper, particularly, by proposing a simplified prefilter model. Compared with a traditional prefilter model, the state space of this simplified system contains only carrier phase, carrier frequency and carrier frequency rate tracking errors. A two-quadrant arctangent discriminator output is used as a measurement. Since the code tracking error related parameters were excluded from the state space of traditional prefilter models, the code/carrier divergence would destroy the carrier tracking process, and therefore an adaptive Kalman filter algorithm tuning process noise covariance matrix based on state correction sequence was incorporated to compensate for the divergence. The federated ultra-tight COMPASS/INS integration was implemented with a hardware COMPASS intermediate frequency (IF, and INS’s accelerometers and gyroscopes signal sampling system. Field and simulation test results showed almost similar tracking and navigation performances for both the traditional prefilter model and the proposed system; however, the latter largely decreased the computational load.

  16. A simplified baseband prefilter model with adaptive Kalman Filter for ultra-tight COMPASS/INS integration.

    Science.gov (United States)

    Luo, Yong; Wu, Wenqi; Babu, Ravindra; Tang, Kanghua; Luo, Bing

    2012-01-01

    COMPASS is an indigenously developed Chinese global navigation satellite system and will share many features in common with GPS (Global Positioning System). Since the ultra-tight GPS/INS (Inertial Navigation System) integration shows its advantage over independent GPS receivers in many scenarios, the federated ultra-tight COMPASS/INS integration has been investigated in this paper, particularly, by proposing a simplified prefilter model. Compared with a traditional prefilter model, the state space of this simplified system contains only carrier phase, carrier frequency and carrier frequency rate tracking errors. A two-quadrant arctangent discriminator output is used as a measurement. Since the code tracking error related parameters were excluded from the state space of traditional prefilter models, the code/carrier divergence would destroy the carrier tracking process, and therefore an adaptive Kalman filter algorithm tuning process noise covariance matrix based on state correction sequence was incorporated to compensate for the divergence. The federated ultra-tight COMPASS/INS integration was implemented with a hardware COMPASS intermediate frequency (IF), and INS's accelerometers and gyroscopes signal sampling system. Field and simulation test results showed almost similar tracking and navigation performances for both the traditional prefilter model and the proposed system; however, the latter largely decreased the computational load.

  17. Integrated WiFi/PDR/Smartphone Using an Unscented Kalman Filter Algorithm for 3D Indoor Localization.

    Science.gov (United States)

    Chen, Guoliang; Meng, Xiaolin; Wang, Yunjia; Zhang, Yanzhe; Tian, Peng; Yang, Huachao

    2015-09-23

    Because of the high calculation cost and poor performance of a traditional planar map when dealing with complicated indoor geographic information, a WiFi fingerprint indoor positioning system cannot be widely employed on a smartphone platform. By making full use of the hardware sensors embedded in the smartphone, this study proposes an integrated approach to a three-dimensional (3D) indoor positioning system. First, an improved K-means clustering method is adopted to reduce the fingerprint database retrieval time and enhance positioning efficiency. Next, with the mobile phone's acceleration sensor, a new step counting method based on auto-correlation analysis is proposed to achieve cell phone inertial navigation positioning. Furthermore, the integration of WiFi positioning with Pedestrian Dead Reckoning (PDR) obtains higher positional accuracy with the help of the Unscented Kalman Filter algorithm. Finally, a hybrid 3D positioning system based on Unity 3D, which can carry out real-time positioning for targets in 3D scenes, is designed for the fluent operation of mobile terminals.

  18. Integrated WiFi/PDR/Smartphone Using an Unscented Kalman Filter Algorithm for 3D Indoor Localization

    Directory of Open Access Journals (Sweden)

    Guoliang Chen

    2015-09-01

    Full Text Available Because of the high calculation cost and poor performance of a traditional planar map when dealing with complicated indoor geographic information, a WiFi fingerprint indoor positioning system cannot be widely employed on a smartphone platform. By making full use of the hardware sensors embedded in the smartphone, this study proposes an integrated approach to a three-dimensional (3D indoor positioning system. First, an improved K-means clustering method is adopted to reduce the fingerprint database retrieval time and enhance positioning efficiency. Next, with the mobile phone’s acceleration sensor, a new step counting method based on auto-correlation analysis is proposed to achieve cell phone inertial navigation positioning. Furthermore, the integration of WiFi positioning with Pedestrian Dead Reckoning (PDR obtains higher positional accuracy with the help of the Unscented Kalman Filter algorithm. Finally, a hybrid 3D positioning system based on Unity 3D, which can carry out real-time positioning for targets in 3D scenes, is designed for the fluent operation of mobile terminals.

  19. Hierarchical Bayes Ensemble Kalman Filtering

    CERN Document Server

    Tsyrulnikov, Michael

    2015-01-01

    Ensemble Kalman filtering (EnKF), when applied to high-dimensional systems, suffers from an inevitably small affordable ensemble size, which results in poor estimates of the background error covariance matrix ${\\bf B}$. The common remedy is a kind of regularization, usually an ad-hoc spatial covariance localization (tapering) combined with artificial covariance inflation. Instead of using an ad-hoc regularization, we adopt the idea by Myrseth and Omre (2010) and explicitly admit that the ${\\bf B}$ matrix is unknown and random and estimate it along with the state (${\\bf x}$) in an optimal hierarchical Bayes analysis scheme. We separate forecast errors into predictability errors (i.e. forecast errors due to uncertainties in the initial data) and model errors (forecast errors due to imperfections in the forecast model) and include the two respective components ${\\bf P}$ and ${\\bf Q}$ of the ${\\bf B}$ matrix into the extended control vector $({\\bf x},{\\bf P},{\\bf Q})$. Similarly, we break the traditional backgrou...

  20. A Sensor Fusion Method Based on an Integrated Neural Network and Kalman Filter for Vehicle Roll Angle Estimation

    Directory of Open Access Journals (Sweden)

    Leandro Vargas-Meléndez

    2016-08-01

    Full Text Available This article presents a novel estimator based on sensor fusion, which combines the Neural Network (NN with a Kalman filter in order to estimate the vehicle roll angle. The NN estimates a “pseudo-roll angle” through variables that are easily measured from Inertial Measurement Unit (IMU sensors. An IMU is a device that is commonly used for vehicle motion detection, and its cost has decreased during recent years. The pseudo-roll angle is introduced in the Kalman filter in order to filter noise and minimize the variance of the norm and maximum errors’ estimation. The NN has been trained for J-turn maneuvers, double lane change maneuvers and lane change maneuvers at different speeds and road friction coefficients. The proposed method takes into account the vehicle non-linearities, thus yielding good roll angle estimation. Finally, the proposed estimator has been compared with one that uses the suspension deflections to obtain the pseudo-roll angle. Experimental results show the effectiveness of the proposed NN and Kalman filter-based estimator.

  1. A Sensor Fusion Method Based on an Integrated Neural Network and Kalman Filter for Vehicle Roll Angle Estimation.

    Science.gov (United States)

    Vargas-Meléndez, Leandro; Boada, Beatriz L; Boada, María Jesús L; Gauchía, Antonio; Díaz, Vicente

    2016-08-31

    This article presents a novel estimator based on sensor fusion, which combines the Neural Network (NN) with a Kalman filter in order to estimate the vehicle roll angle. The NN estimates a "pseudo-roll angle" through variables that are easily measured from Inertial Measurement Unit (IMU) sensors. An IMU is a device that is commonly used for vehicle motion detection, and its cost has decreased during recent years. The pseudo-roll angle is introduced in the Kalman filter in order to filter noise and minimize the variance of the norm and maximum errors' estimation. The NN has been trained for J-turn maneuvers, double lane change maneuvers and lane change maneuvers at different speeds and road friction coefficients. The proposed method takes into account the vehicle non-linearities, thus yielding good roll angle estimation. Finally, the proposed estimator has been compared with one that uses the suspension deflections to obtain the pseudo-roll angle. Experimental results show the effectiveness of the proposed NN and Kalman filter-based estimator.

  2. Data assimilation in integrated hydrological modeling using ensemble Kalman filtering: evaluating the effect of ensemble size and localization on filter performance

    Directory of Open Access Journals (Sweden)

    J. Rasmussen

    2015-02-01

    Full Text Available Groundwater head and stream discharge is assimilated using the Ensemble Transform Kalman Filter in an integrated hydrological model with the aim of studying the relationship between the filter performance and the ensemble size. In an attempt to reduce the required number of ensemble members, an adaptive localization method is used. The performance of the adaptive localization method is compared to the more common local analysis localization. The relationship between filter performance in terms of hydraulic head and discharge error and the number of ensemble members is investigated for varying numbers and spatial distributions of groundwater head observations and with or without discharge assimilation and parameter estimation. The study shows that (1 more ensemble members are needed when fewer groundwater head observations are assimilated, and (2 assimilating discharge observations and estimating parameters requires a much larger ensemble size than just assimilating groundwater head observations. However, the required ensemble size can be greatly reduced with the use of adaptive localization, which by far outperforms local analysis localization.

  3. An Improved PDR/Magnetometer/Floor Map Integration Algorithm for Ubiquitous Positioning Using the Adaptive Unscented Kalman Filter

    Directory of Open Access Journals (Sweden)

    Jian Wang

    2015-11-01

    Full Text Available In this paper, a scheme is presented for fusing a foot-mounted Inertial Measurement Unit (IMU and a floor map to provide ubiquitous positioning in a number of settings, such as in a supermarket as a shopping guide, in a fire emergency service for navigation, or with a hospital patient to be tracked. First, several Zero-Velocity Detection (ZDET algorithms are compared and discussed when used in the static detection of a pedestrian. By introducing information on the Zero Velocity of the pedestrian, fused with a magnetometer measurement, an improved Pedestrian Dead Reckoning (PDR model is developed to constrain the accumulating errors associated with the PDR positioning. Second, a Correlation Matching Algorithm based on map projection (CMAP is presented, and a zone division of a floor map is demonstrated for fusion of the PDR algorithm. Finally, in order to use the dynamic characteristics of a pedestrian’s trajectory, the Adaptive Unscented Kalman Filter (A-UKF is applied to tightly integrate the IMU, magnetometers and floor map for ubiquitous positioning. The results of a field experiment performed on the fourth floor of the School of Environmental Science and Spatial Informatics (SESSI building on the China University of Mining and Technology (CUMT campus confirm that the proposed scheme can reliably achieve meter-level positioning.

  4. Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*

    KAUST Repository

    Hoteit, Ibrahim

    2012-02-01

    This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. The authors show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an “ensemble of Kalman filters” operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, the authors consider the construction of the PKF through an “ensemble” of ensemble Kalman filters (EnKFs) instead, and call the implementation the particle EnKF (PEnKF). It is shown that different types of the EnKFs can be considered as special cases of the PEnKF. Similar to the situation in the particle filter, the authors also introduce a resampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.

  5. Deterministic Kalman filtering in a behavioral framework

    NARCIS (Netherlands)

    Fagnani, F; Willems, JC

    1997-01-01

    The purpose of this paper is to obtain a deterministic version of the Kalman filtering equations. We will use a behavioral description of the plant, specifically, an image representation. The resulting algorithm requires a matrix spectral factorization. We also show that the filter can be implemente

  6. Reduced Kalman Filters for Clock Ensembles

    Science.gov (United States)

    Greenhall, Charles A.

    2011-01-01

    This paper summarizes the author's work ontimescales based on Kalman filters that act upon the clock comparisons. The natural Kalman timescale algorithm tends to optimize long-term timescale stability at the expense of short-term stability. By subjecting each post-measurement error covariance matrix to a non-transparent reduction operation, one obtains corrected clocks with improved short-term stability and little sacrifice of long-term stability.

  7. A class of quaternion Kalman filters.

    Science.gov (United States)

    Jahanchahi, Cyrus; Mandic, Danilo P

    2014-03-01

    The existing Kalman filters for quaternion-valued signals do not operate fully in the quaternion domain, and are combined with the real Kalman filter to enable the tracking in 3-D spaces. Using the recently introduced HR-calculus, we develop the fully quaternion-valued Kalman filter (QKF) and quaternion-extended Kalman filter (QEKF), allowing for the tracking of 3-D and 4-D signals directly in the quaternion domain. To consider the second-order noncircularity of signals, we employ the recently developed augmented quaternion statistics to derive the widely linear QKF (WL-QKF) and widely linear QEKF (WL-QEKF). To reduce computational requirements of the widely linear algorithms, their efficient implementation are proposed and it is shown that the quaternion widely linear model can be simplified when processing 3-D data, further reducing the computational requirements. Simulations using both synthetic and real-world circular and noncircular signals illustrate the advantages offered by widely linear over strictly linear quaternion Kalman filters.

  8. Design of Kalman filters for mobile robots

    DEFF Research Database (Denmark)

    Larsen, Thomas Dall; Hansen, Karsten L.; Andersen, Nils Axel

    1999-01-01

    Kalman filters have for a long time been widely used on mobile robots as a location estimator. Many different Kalman filter designs have been proposed, using models of various complexity. In this paper, two different design methods are evaluated and compared. Focus is put on the common setup where...... the mobile robot is equipped with a dual encoder system supported by some additional absolute measurements. A common filter type for this setup is the odometric filter, where readings from the odometry system on the robot are used together with the geometry of the robot movement as a model of the robot....... If additional kinematic assumptions are made, for instance regarding the velocity of the robot, an augmented model can be used instead. This kinematic filter has some advantages when used intelligently, and it is shown how this type of filter can be used to suppress noise on encoder readings and velocity...

  9. Distributed Kalman Filter via Gaussian Belief Propagation

    CERN Document Server

    Bickson, Danny; Dolev, Danny

    2008-01-01

    Recent result shows how to compute distributively and efficiently the linear MMSE for the multiuser detection problem, using the Gaussian BP algorithm. In the current work, we extend this construction, and show that operating this algorithm twice on the matching inputs, has several interesting interpretations. First, we show equivalence to computing one iteration of the Kalman filter. Second, we show that the Kalman filter is a special case of the Gaussian information bottleneck algorithm, when the weight parameter $\\beta = 1$. Third, we discuss the relation to the Affine-scaling interior-point method and show it is a special case of Kalman filter. Besides of the theoretical interest of this linking estimation, compression/clustering and optimization, we allow a single distributed implementation of those algorithms, which is a highly practical and important task in sensor and mobile ad-hoc networks. Application to numerous problem domains includes collaborative signal processing and distributed allocation of ...

  10. Restricted Kalman Filtering Theory, Methods, and Application

    CERN Document Server

    Pizzinga, Adrian

    2012-01-01

    In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where th

  11. Kalman filter estimation model in flood forecasting

    Science.gov (United States)

    Husain, Tahir

    Elementary precipitation and runoff estimation problems associated with hydrologic data collection networks are formulated in conjunction with the Kalman Filter Estimation Model. Examples involve the estimation of runoff using data from a single precipitation station and also from a number of precipitation stations. The formulations demonstrate the role of state-space, measurement, and estimation equations of the Kalman Filter Model in flood forecasting. To facilitate the formulation, the unit hydrograph concept and antecedent precipitation index is adopted in the estimation model. The methodology is then applied to estimate various flood events in the Carnation Creek of British Columbia.

  12. Nonlinear Kalman Filtering in Affine Term Structure Models

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Dorion, Christian; Jacobs, Kris;

    2014-01-01

    The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter...... with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, the unscented Kalman filter significantly outperforms its extended counterpart. The unscented Kalman filter also...

  13. RAPID TRANSFER ALIGNMENT USING FEDERATED KALMAN FILTER

    Institute of Scientific and Technical Information of China (English)

    GUDong-qing; QINYong-yuan; PENGRong; LIXin

    2005-01-01

    The dimension number of the centralized Kalman filter (CKF) for the rapid transfer alignment (TA) is as high as 21 if the aircraft wing flexure motion is considered in the rapid TA. The 21-dimensional CKF brings the calculation burden on the computer and the difficulty to meet a high filtering updating rate desired by rapid TA. The federated Kalman filter (FKF) for the rapid TA is proposed to solve the dilemma. The structure and the algorithm of the FKF, which can perform parallel computation and has less calculation burden, are designed.The wing flexure motion is modeled, and then the 12-order velocity matching local filter and the 15-order attitud ematching local filter are devised. Simulation results show that the proposed EKE for the rapid TA almost has the same performance as the CKF. Thus the calculation burden of the proposed FKF for the rapid TA is markedly decreased.

  14. Kalman Filter Application to Symmetrical Fault Detection during Power Swing

    DEFF Research Database (Denmark)

    Khodaparast, Jalal; Silva, Filipe Miguel Faria da; Khederzadeh, M.;

    2016-01-01

    capability of Kalman Filter. The proposed index is calculated by assessing the difference between predicted and actual samples of impedance. The predicted impedance samples are obtained using Kalman filter and Taylor expansion, which is used in this paper to track the phasor precisely. Second order of Taylor...... expansion is used to decrease corrugation effect of impedance estimation and increase the reliability of proposed method. The instantaneous estimation and prediction capability of Kalman filter are two reasons for proposing utilizing Kalman filter....

  15. Self-contained GPS integrity monitoring using a censored Kalman filter

    Science.gov (United States)

    McBurney, Paul W.; Brown, R. Grover

    AT least two approaches to GPS integrity monitoring have been presented which are based on the statistics of the measurement residuals from redundant satellites. However, the parameter of interest in the civil aviation community is the horizontal protection and not the measurement residuals. Thus, most tests suffer from providing only a weak inference about the horizontal protection. This work attempts to firm up this connection by placing the final integrity check in the horizontal plane. An algorithm is presented which censors the measurement residuals from one measurement source and determines the effect on the horizontal position estimate. The final test is a two-confidence-region overlap test about the horizontal position estimates. Analytic expressions are developed for the alarm and miss rate as well as the horizontal protection level. Simulation results are also presented which show the effectiveness of the scheme in detecting incipient satellite clock failures in the presence of selective availability.

  16. Reduced-order Kalman filtering with incomplete observability

    Science.gov (United States)

    Yonezawa, K.

    1980-01-01

    Kalman filtering is considered with reference to linear stochastic dynamic systems without complete observability. It is shown that the canonical decomposition theorem can be extended to the stochastic case and the matrix Riccati equation of the Kalman filter is order-reducible if some states are not observable. The inclusion of unobservable states in Kalman filtering makes the unobservable states 'asymptotically' observable in the filter if these unobservable states are dynamically connected to observable states and asymptotically stable. The reduced-order Kalman filter saves computation time when compared to the conventional Kalman filter.

  17. A Tool for Kalman Filter Tuning

    DEFF Research Database (Denmark)

    Åkesson, Bernt Magnus; Jørgensen, John Bagterp; Poulsen, Niels Kjølstad

    2007-01-01

    The Kalman filter requires knowledge about the noise statistics. In practical applications, however, the noise covariances are generally not known. A method for estimating noise covariances from process data has been investigated. The method gives a least-squares estimate of the noise covariances...

  18. Towards self-organizing Kalman filters

    NARCIS (Netherlands)

    Sijs, J.; Papp, Z.

    2012-01-01

    Distributed Kalman filtering is an important signal processing method for state estimation in large-scale sensor networks. However, existing solutions do not account for unforeseen events that are likely to occur and thus dramatically changing the operational conditions (e.g. node failure, communica

  19. Industrial applications of the Kalman filter

    DEFF Research Database (Denmark)

    Auger, François; Hilairet, Mickael; Guerrero, Josep M.

    2013-01-01

    The Kalman filter has received a huge interest from the industrial electronics community and has played a key role in many engineering fields since the 70s, ranging, without being exhaustive, trajectory estimation, state and parameter estimation for control or diagnosis, data merging, signal...

  20. Selection of noise parameters for Kalman filter

    Institute of Scientific and Technical Information of China (English)

    Ka-Veng Yuen; Ka-In Hoi; Kai-Meng Mok

    2007-01-01

    The Bayesian probabilistic approach is proposed to estimate the process noise and measurement noise parameters for a Kalman filter. With state vectors and covariance matrices estimated by the Kalman filter, the likehood of the measurements can be constructed as a function of the process noise and measurement noise parameters. By maximizing the likklihood function with respect to these noise parameters, the optimal values can be obtained. Furthermore, the Bayesian probabilistic approach allows the associated uncertainty to be quantified. Examples using a single-degree-of-freedom system and a ten-story building illustrate the proposed method. The effect on the performance of the Kalman filter due to the selection of the process noise and measurement noise parameters was demonstrated. The optimal values of the noise parameters were found to be close to the actual values in the sense that the actual parameters were in the region with significant probability density. Through these examples, the Bayesian approach was shown to have the capability to provide accurate estimates of the noise parameters of the Kalman filter, and hence for state estimation.

  1. A distributed Kalman filter with global covariance

    NARCIS (Netherlands)

    Sijs, J.; Lazar, M.

    2011-01-01

    Most distributed Kalman filtering (DKF) algorithms for sensor networks calculate a local estimate of the global state-vector in each node. An important challenge within distributed estimation is that all sensors in the network contribute to the local estimate in each node. In this paper, a novel DKF

  2. Parameter estimation in physically-based integrated hydrological models with the ensemble Kalman filter: a practical application.

    Science.gov (United States)

    Botto, Anna; Camporese, Matteo

    2017-04-01

    Hydrological models allow scientists to predict the response of water systems under varying forcing conditions. In particular, many physically-based integrated models were recently developed in order to understand the fundamental hydrological processes occurring at the catchment scale. However, the use of this class of hydrological models is still relatively limited, as their prediction skills heavily depend on reliable parameter estimation, an operation that is never trivial, being normally affected by large uncertainty and requiring huge computational effort. The objective of this work is to test the potential of data assimilation to be used as an inverse modeling procedure for the broad class of integrated hydrological models. To pursue this goal, a Bayesian data assimilation (DA) algorithm based on a Monte Carlo approach, namely the ensemble Kalman filter (EnKF), is combined with the CATchment HYdrology (CATHY) model. In this approach, input variables (atmospheric forcing, soil parameters, initial conditions) are statistically perturbed providing an ensemble of realizations aimed at taking into account the uncertainty involved in the process. Each realization is propagated forward by the CATHY hydrological model within a parallel R framework, developed to reduce the computational effort. When measurements are available, the EnKF is used to update both the system state and soil parameters. In particular, four different assimilation scenarios are applied to test the capability of the modeling framework: first only pressure head or water content are assimilated, then, the combination of both, and finally both pressure head and water content together with the subsurface outflow. To demonstrate the effectiveness of the approach in a real-world scenario, an artificial hillslope was designed and built to provide real measurements for the DA analyses. The experimental facility, located in the Department of Civil, Environmental and Architectural Engineering of the

  3. Steady-State Performance of Kalman Filter for DPLL

    Institute of Scientific and Technical Information of China (English)

    QIAN Yi; CUI Xiaowei; LU Mingquan; FENG Zhenming

    2009-01-01

    For certain system models, the structure of the Kalman filter is equivalent to a second-order vari-able gain digital phase-locked loop (DPLL). To apply the knowledge of DPLLs to the design of Kalman filters, this paper studies the steady-state performance of Kalman filters for these system models. The results show that the steady-state Kalman gain has the same form as the DPLL gain. An approximate simple form for the steady-state Kalman gain is used to derive an expression for the equivalent loop bandwidth of the Kalman filter as a function of the process and observation noise variances. These results can be used to analyze the steady-state performance of a Kalman filter with DPLL theory or to design a Kalman filter model with the same steady-state performance as a given DPLL.

  4. Study of the Effectiveness of Different Kalman Filtering Methods and Smoothers in Object Tracking Based on Simulation Tests

    Directory of Open Access Journals (Sweden)

    Malinowski Marcin

    2015-02-01

    Full Text Available In navigation practice, there are various navigational architecture and integration strategies of measuring instruments that affect the choice of the Kalman filtering algorithm. The analysis of different methods of Kalman filtration and associated smoothers applied in object tracing was made on the grounds of simulation tests of algorithms designed and presented in this paper. EKF (Extended Kalman Filter filter based on approximation with (jacobians partial derivations and derivative-free filters like UKF (Unscented Kalman Filter and CDKF (Central Difference Kalman Filter were implemented in comparison. For each method of filtration, appropriate smoothers EKS (Extended Kalman Smoother, UKS (Unscented Kalman Smoother and CDKS (Central Difference Kalman Smoother were presented as well. Algorithms performance is discussed on the theoretical base and simulation results of two cases are presented.

  5. A Recursive Kalman Filter Forecasting Approach

    OpenAIRE

    Douglas R. Kahl; Johannes Ledolter

    1983-01-01

    This paper examines the forecasting accuracy and the cost effectiveness of time series models with time-varying coefficients. A simulation study investigates the potential forecasting benefits of a proposed Kalman filter type adaptive estimation and forecasting approach. It is found that: (1) When appropriate, the time-varying coefficient approach leads to better forecasts than the constant coefficient procedures. (2) A simple decision rule, which indicates whether time-varying coefficient mo...

  6. A Kalman Filtering Perspective for Multiatlas Segmentation.

    Science.gov (United States)

    Gao, Yi; Zhu, Liangjia; Cates, Joshua; MacLeod, Rob S; Bouix, Sylvain; Tannenbaum, Allen

    In multiatlas segmentation, one typically registers several atlases to the novel image, and their respective segmented label images are transformed and fused to form the final segmentation. In this work, we provide a new dynamical system perspective for multiatlas segmentation, inspired by the following fact: The transformation that aligns the current atlas to the novel image can be not only computed by direct registration but also inferred from the transformation that aligns the previous atlas to the image together with the transformation between the two atlases. This process is similar to the global positioning system on a vehicle, which gets position by inquiring from the satellite and by employing the previous location and velocity-neither answer in isolation being perfect. To solve this problem, a dynamical system scheme is crucial to combine the two pieces of information; for example, a Kalman filtering scheme is used. Accordingly, in this work, a Kalman multiatlas segmentation is proposed to stabilize the global/affine registration step. The contributions of this work are twofold. First, it provides a new dynamical systematic perspective for standard independent multiatlas registrations, and it is solved by Kalman filtering. Second, with very little extra computation, it can be combined with most existing multiatlas segmentation schemes for better registration/segmentation accuracy.

  7. Deterministic Mean-Field Ensemble Kalman Filtering

    KAUST Repository

    Law, Kody J. H.

    2016-05-03

    The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.

  8. An introduction to Kalman filtering with Matlab examples

    CERN Document Server

    Kovvali, Narayan; Spanias, Andreas

    2013-01-01

    The Kalman filter is the Bayesian optimum solution to the problem of sequentially estimating the states of a dynamical system in which the state evolution and measurement processes are both linear and Gaussian. Given the ubiquity of such systems, the Kalman filter finds use in a variety of applications, e.g., target tracking, guidance and navigation, and communications systems. The purpose of this book is to present a brief introduction to Kalman filtering. The theoretical framework of the Kalman filter is first presented, followed by examples showing its use in practical applications. Extensi

  9. Reservoir History Matching Using Ensemble Kalman Filters with Anamorphosis Transforms

    KAUST Repository

    Aman, Beshir M.

    2012-12-01

    This work aims to enhance the Ensemble Kalman Filter performance by transforming the non-Gaussian state variables into Gaussian variables to be a step closer to optimality. This is done by using univariate and multivariate Box-Cox transformation. Some History matching methods such as Kalman filter, particle filter and the ensemble Kalman filter are reviewed and applied to a test case in the reservoir application. The key idea is to apply the transformation before the update step and then transform back after applying the Kalman correction. In general, the results of the multivariate method was promising, despite the fact it over-estimated some variables.

  10. A Computationally Efficient and Robust Implementation of the Continuous-Discrete Extended Kalman Filter

    DEFF Research Database (Denmark)

    Jørgensen, John Bagterp; Thomsen, Per Grove; Madsen, Henrik;

    2007-01-01

    We present a novel numerically robust and computationally efficient extended Kalman filter for state estimation in nonlinear continuous-discrete stochastic systems. The resulting differential equations for the mean-covariance evolution of the nonlinear stochastic continuous-discrete time systems...... are solved efficiently using an ESDIRK integrator with sensitivity analysis capabilities. This ESDIRK integrator for the mean- covariance evolution is implemented as part of an extended Kalman filter and tested on a PDE system. For moderate to large sized systems, the ESDIRK based extended Kalman filter...

  11. Detection of Harmonic Occurring using Kalman Filtering

    DEFF Research Database (Denmark)

    Hussain, Dil Muhammad Akbar; Shoro, Ghulam Mustafa; Imran, Raja Muhammed

    2014-01-01

    As long as the load to a power system is linear which has been the case before 80's, typically no harmonics are produced. However, the modern power electronic equipment for controlled power consumption produces harmonic disturbances, these devices/equipment possess nonlinear voltage/current chara...... using Kalman filter. This may be very useful for example to quickly switching on certain filters based on the harmonic present. We are using a unique technique to detect the occurrence of harmonics......./current characteristic. These harmonics are not to be allowed to grow beyond a certain limit to avoid any grave consequence to the customer’s main supply. Filters can be implemented at the power source or utility location to eliminate these harmonics. In this paper we detect the instance at which these harmonics occur...

  12. Ensemble-based Kalman Filters in Strongly Nonlinear Dynamics

    Institute of Scientific and Technical Information of China (English)

    Zhaoxia PU; Joshua HACKER

    2009-01-01

    This study examines the effectiveness of ensemble Kalman filters in data assimilation with the strongly nonlinear dynamics of the Lorenz-63 model, and in particular their use in predicting the regime transition that occurs when the model jumps from one basin of attraction to the other. Four configurations of the ensemble-based Kalman filtering data assimilation techniques, including the ensemble Kalman filter, ensemble adjustment Kalman filter, ensemble square root filter and ensemble transform Kalman filter, are evaluated with their ability in predicting the regime transition (also called phase transition) and also are compared in terms of their sensitivity to both observational and sampling errors. The sensitivity of each ensemble-based filter to the size of the ensemble is also examined.

  13. Simulation of Integrated SINS/GPS Navigation System with Kalman Filtering%SINS/GPS组合导航系统Kalman滤波仿真研究

    Institute of Scientific and Technical Information of China (English)

    员丽琼; 景占荣

    2011-01-01

    In order to enhance the accuracy and reliability of the strap-down inertial navigation system (SINS) and global positioning system (GPS), the principles of SINS and GPS are researched. The state equation of SINS/GPS and the measurement equation of the position velocity error are established; and the SINS/GPS integrated navigation is implemented by adopting Kalman filtering algorithm. The Matlab simulation result proves that this integrated navigation realized by Kalman filtering greatly enhances the accuracy. In addition, the integrated navigation system overcomes the disadvantage of SINS, i.e., hard to operate independently in long period; and solves the problems of GPS, i. e. , easily unlock,and poor real-time control performance; thus the high accuracy and reliability and real-time performance of the navigation system are guaranteed.%为提高捷联惯导系统SINS和全球定位系统GPS的精度和可靠性,研究了SINS和GPS的原理,建立了SINS/GPS系统的状态方程和位置速度误差量测方程;并采用卡尔曼滤波算法实现了SINS/GPS的组合导航.Matlab仿真结果证明,采用Kalman滤波实现SINS/GPS组合导航,其精度得到大大提高;且采用SINS/GPS组合导航系统,克服了SINS惯性导航难以长时间独立工作的缺点,解决了GPS易失锁、难以实时控制的不足,保证了导航系统的实时性及较高的精度和可靠性.

  14. Suboptimal distributed Kalman filtering fusion with feedback

    Institute of Scientific and Technical Information of China (English)

    Zhao Minhua; Zhu Zhuanmin; Shi Meng; Peng Qinke; Huang Yongxuan

    2005-01-01

    In order to improve the accuracy of fusion algorithm, feedback is introduced into Kalman filtering fusion. Fusion center broadcasts its latest estimated states to the local sensors, which can improve the performance of local tracking error through reducing the covariance of each local error, and only needs calculating the trace of error variance matrices without calculating the inverse of error variance matrices. Simulation results show that it can reduce the computational complexity and the covariance of error, and it is convenient for engineering applications.

  15. Radio Channel State Prediction by Kalman Filter

    Directory of Open Access Journals (Sweden)

    Peter Ziacik

    2005-01-01

    Full Text Available In this article there is the description Kalman filter using as a radio channel state predictor. Simulator of prediction has been created in MATLAB environment and it is capable to simulate the prediction of radio signal envelope by Clark’s model of radio channel, which is implemented to the simulator. Simulations were realized for prediction range 0.41 ms and 6.24 ms and as comparing criterion we used the prediction error. It is clear from simulations, that with the duration of prediction the prediction error is enlarging, which may cause the erroneous decision of adaptation algorithms.

  16. Vehicle Sideslip Angle Estimation Based on Hybrid Kalman Filter

    Directory of Open Access Journals (Sweden)

    Jing Li

    2016-01-01

    Full Text Available Vehicle sideslip angle is essential for active safety control systems. This paper presents a new hybrid Kalman filter to estimate vehicle sideslip angle based on the 3-DoF nonlinear vehicle dynamic model combined with Magic Formula tire model. The hybrid Kalman filter is realized by combining square-root cubature Kalman filter (SCKF, which has quick convergence and numerical stability, with square-root cubature based receding horizon Kalman FIR filter (SCRHKF, which has robustness against model uncertainty and temporary noise. Moreover, SCKF and SCRHKF work in parallel, and the estimation outputs of two filters are merged by interacting multiple model (IMM approach. Experimental results show the accuracy and robustness of the hybrid Kalman filter.

  17. SIMULASI FILTER KALMAN UNTUK ESTIMASI SUDUT DENGAN MENGGUNAKAN SENSOR GYROSCOPE

    Directory of Open Access Journals (Sweden)

    Wahyudi Wahyudi

    2012-02-01

    Full Text Available The Kalman filter is a recursive solution to the process linear filtering problem that can remove the noisefrom signal and then the information can useful. The process that use Kalman filter must be approximatedas two equations of linear system, state equation and output equation. Computation of Kalman filter isminimizes the mean of the square error. This paper explore the basic consepts of the Kalman filteralgorithm and simulate its to filter data of gyroscope to get a rotation. The measurement noise covariancedetermines how much information from the sample is used. If measurement noise covariance is high showthat the measurement isn’t very accurate. The process noise covariance contributes to the overalluncertainty of the estimate as it is added to the error covariance matrix in each time step. If the errorcovariance matrix is small the Kalman filter incorporates a lot less of the measurement into estimate ofrotation.

  18. Liquid Level Estimation in Dynamic Condition using Kalman Filter

    Directory of Open Access Journals (Sweden)

    Sagar Kapale

    2016-08-01

    Full Text Available The aim of this paper is to estimate true liquid level of tank from noisy measurements due to dynamic conditions using kalman filter algorithm. We proposed kalman filter based approach to reduce noise in liquid level measurement system due to effect like sloshing. The function of kalman filter is to reduce error in liquid level measurement that produced from sensor resulting from effect like sloshing in dynamic environment. A prototype model was constructed and placed in dynamic condition, level data was acquired using ultrasonic sensor to verify the effectiveness of kalman filter. The tabulated data are shown for comparison of accuracy and error analysis between both measurements with Kalman filter and statistical averaging filter. After several test with different liquid levels and analysis of the recorded data, the technique shows the usefulness in liquid level measurement application in dynamic condition.

  19. 卡尔曼滤波抗积分饱和PDF控制系统研究%Research on Kalman Filtering Anti-integral Saturation PDF Control System

    Institute of Scientific and Technical Information of China (English)

    鄢华林; 祁圣民

    2015-01-01

    针对非接触式登船梯控制系统在实际工作中不可避免地受到干扰信号的影响这一问题,提出了卡尔曼滤波抗积分饱和PDF控制系统。该控制系统主要由PDF控制器、抗积分饱和控制器和卡尔曼滤波器三个部分组成。卡尔曼滤波抗积分饱和PDF控制系统具有优良的控制性能和动态品质。该控制系统能快速跟踪设定的参考信号且无超调与振荡出现,同时能抑制白噪声的污染。仿真结果表明,该控制系统提高了系统的自适应与鲁棒性。%In practical operation, the non-contact control system of boarding ladder is inevitably affected by interference signals, the design of Kalman filtering anti-integral saturation PDF control system is proposed. This control system mainly consists of three parts, i. e. , PDF controller, anti-integral saturation controller and Kalman filter. This control system possesses excellent control performance and dynamic quality, it can fast track the reference signal without overshoot or oscillation, and white noise pollution can be restrained. The result of simulation indicates that the control system improves the robustness and adaptation of the system.

  20. VLBI TRF determination via Kalman filtering

    Science.gov (United States)

    Soja, Benedikt; Karbon, Maria; Nilsson, Tobias; Glaser, Susanne; Balidakis, Kyriakos; Heinkelmann, Robert; Schuh, Harald

    2015-04-01

    The determination of station positions is one of the primary tasks for space geodetic techniques. Station coordinate offsets are usually determined with respect to a linear coordinate model after removing elastic displacements caused by mass redistributions within the Earth's system. In operational VLBI analysis, the coordinate offsets are estimated in a least-squares adjustment as a constant over the duration of a 24-hour VLBI experiment. Terrestrial reference frames (TRF) are usually derived by adjusting the normal equations that contain the 24-hour constant offsets in order to estimate a linear model, possibly including breaks, for the station positions. We have created a VLBI TRF solution without the assumption of negligible subdaily motion and of linear behavior on longer time scales by applying a Kalman filter. As a preparation for the upcoming VLBI Global Observing System (VGOS), which aims for continuous observations that are available in real-time, a Kalman filter has been implemented into the VLBI software VieVS@GFZ. In addition to the real-time capability, the filter offers the possibility of stochastically modeling the parameters of interest. For station coordinates, changes in a subdaily time frame occur, for instance, from un- or mismodeled geophysical effects. The models for tidal and non-tidal ocean, atmosphere, and hydrology loading are known to have deficiencies and inconsistencies which propagate into the estimated station coordinates. The stochastic model of the Kalman filter can be adapted to take these subdaily effects into account. Comparing the resulting station coordinate time series with daily values from a least squares fit, we have investigated to what extent and in which regions the loading models currently have deficiencies. Due to the high correlation between station height and tropospheric delays, it is possible that errors in one group of parameters are partly absorbed by the other group. To detect problems with correlations and to

  1. Three-dimensional motion tracking by Kalman filtering

    Science.gov (United States)

    Gao, Jean; Kosaka, Akio; Kak, Avinash C.

    2000-10-01

    In this paper, a 3D semantic object motion tracking method based on Kalman filtering is proposed. First, we use a specially designed Color Image Segmentation Editor (CISE) to devise shapes that more accurately describe the object to be tracked. CISE is an integration of edge and region detection, which is based on edge-linking, split-and-merge and the energy minimization for active contour detection. An ROI is further segmented into single motion blobs by considering the constancy of the motion parameters in each blob. Over short time intervals, each blob can be tracked separately and, over longer times, the blobs can be allowed to fragment and coalesce into new blobs as motion evolves. The tracking of each blob is based on a Kalman filter derived from linearization of a constraint equation satisfied by the pinhole model of a camera. The Kalman filter allows the tracker to project the uncertainties associated with a blob center (or with the coordinates of any other features) into the next frame. This projected uncertainty region can then be searched rot eh pixels belonging to the blob. Future work includes investigation of the effects of illumination changes and simultaneous tracking of multiple targets.

  2. Kalman Filter Tracking on Parallel Architectures

    Directory of Open Access Journals (Sweden)

    Cerati Giuseppe

    2016-01-01

    Full Text Available Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors such as GPGPU, ARM and Intel MIC. In order to achieve the theoretical performance gains of these processors, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High-Luminosity Large Hadron Collider (HL-LHC, for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques such as Cellular Automata or Hough Transforms. The most common track finding techniques in use today, however, are those based on a Kalman filter approach. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. They are known to provide high physics performance, are robust, and are in use today at the LHC. Given the utility of the Kalman filter in track finding, we have begun to port these algorithms to parallel architectures, namely Intel Xeon and Xeon Phi. We report here on our progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a simplified experimental environment.

  3. Kalman Filter Tracking on Parallel Architectures

    Science.gov (United States)

    Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi

    2016-11-01

    Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors such as GPGPU, ARM and Intel MIC. In order to achieve the theoretical performance gains of these processors, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High-Luminosity Large Hadron Collider (HL-LHC), for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques such as Cellular Automata or Hough Transforms. The most common track finding techniques in use today, however, are those based on a Kalman filter approach. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. They are known to provide high physics performance, are robust, and are in use today at the LHC. Given the utility of the Kalman filter in track finding, we have begun to port these algorithms to parallel architectures, namely Intel Xeon and Xeon Phi. We report here on our progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a simplified experimental environment.

  4. Kalman Filter Tracking on Parallel Architectures

    Science.gov (United States)

    Cerati, Giuseppe; Elmer, Peter; Lantz, Steven; McDermott, Kevin; Riley, Dan; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi

    2015-12-01

    Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors, but the future will be even more exciting. In order to stay within the power density limits but still obtain Moore's Law performance/price gains, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Example technologies today include Intel's Xeon Phi and GPGPUs. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High Luminosity LHC, for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques including Cellular Automata or returning to Hough Transform. The most common track finding techniques in use today are however those based on the Kalman Filter [2]. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. They are known to provide high physics performance, are robust and are exactly those being used today for the design of the tracking system for HL-LHC. Our previous investigations showed that, using optimized data structures, track fitting with Kalman Filter can achieve large speedup both with Intel Xeon and Xeon Phi. We report here our further progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a realistic simulation setup.

  5. An iterative ensemble Kalman filter for reservoir engineering applications

    NARCIS (Netherlands)

    Krymskaya, M.V.; Hanea, R.G.; Verlaan, M.

    2009-01-01

    The study has been focused on examining the usage and the applicability of ensemble Kalman filtering techniques to the history matching procedures. The ensemble Kalman filter (EnKF) is often applied nowadays to solving such a problem. Meanwhile, traditional EnKF requires assumption of the

  6. An iterative ensemble Kalman filter for reservoir engineering applications

    NARCIS (Netherlands)

    Krymskaya, M.V.; Hanea, R.G.; Verlaan, M.

    2009-01-01

    The study has been focused on examining the usage and the applicability of ensemble Kalman filtering techniques to the history matching procedures. The ensemble Kalman filter (EnKF) is often applied nowadays to solving such a problem. Meanwhile, traditional EnKF requires assumption of the distributi

  7. Data assimilation in the early phase: Kalman filtering RIMPUFF

    DEFF Research Database (Denmark)

    Astrup, P.; Turcanu, C.; Puch, R.O.;

    2004-01-01

    of RODOS (Realtime Online DecisiOn Support system for nuclear emergencies) – has been developed. It is built on the Kalman filtering algorithm and it assimilates 10-minute averaged gamma dose rates measured atground level stations. Since the gamma rates are non-linear functions of the state vector...... variables, the applied Kalman filter is the so-called Extended Kalman filter. In more ways the implementation is non standard: 1) the number of state vectorvariables varies with time, and 2) the state vector variables are prediction updated with 1-minute time steps but only Kalman filtered every 10 minutes......, and this based on time averaged measurements. Given reasonable conditions, i.e. a spatially densedistribution of gamma monitors and a realistic wind field, the developed ADUM module is found to be able to enhance the prediction of the gamma dose field. Based on some of the Kalman filtering parameters, another...

  8. On sequential observation processing in localized ensemble Kalman filters

    OpenAIRE

    Nerger, Lars

    2014-01-01

    The different variants of current ensemble square-root Kalman filters assimilate either all observations at once or perform a sequence in which batches of observations or each single observation is assimilated. The sequential observation processing is used in filter algorithms like the ensemble adjustment Kalman filter (EAKF) and the ensemble square-root filter (EnSRF) and can result in computationally efficient algorithms because matrix inversions in the observation space are reduced to the ...

  9. On-board adaptive model for state of charge estimation of lithium-ion batteries based on Kalman filter with proportional integral-based error adjustment

    Science.gov (United States)

    Wei, Jingwen; Dong, Guangzhong; Chen, Zonghai

    2017-10-01

    With the rapid development of battery-powered electric vehicles, the lithium-ion battery plays a critical role in the reliability of vehicle system. In order to provide timely management and protection for battery systems, it is necessary to develop a reliable battery model and accurate battery parameters estimation to describe battery dynamic behaviors. Therefore, this paper focuses on an on-board adaptive model for state-of-charge (SOC) estimation of lithium-ion batteries. Firstly, a first-order equivalent circuit battery model is employed to describe battery dynamic characteristics. Then, the recursive least square algorithm and the off-line identification method are used to provide good initial values of model parameters to ensure filter stability and reduce the convergence time. Thirdly, an extended-Kalman-filter (EKF) is applied to on-line estimate battery SOC and model parameters. Considering that the EKF is essentially a first-order Taylor approximation of battery model, which contains inevitable model errors, thus, a proportional integral-based error adjustment technique is employed to improve the performance of EKF method and correct model parameters. Finally, the experimental results on lithium-ion batteries indicate that the proposed EKF with proportional integral-based error adjustment method can provide robust and accurate battery model and on-line parameter estimation.

  10. Kalman Filter for Spinning Spacecraft Attitude Estimation

    Science.gov (United States)

    Markley, F. Landis; Sedlak, Joseph E.

    2008-01-01

    This paper presents a Kalman filter using a seven-component attitude state vector comprising the angular momentum components in an inertial reference frame, the angular momentum components in the body frame, and a rotation angle. The relatively slow variation of these parameters makes this parameterization advantageous for spinning spacecraft attitude estimation. The filter accounts for the constraint that the magnitude of the angular momentum vector is the same in the inertial and body frames by employing a reduced six-component error state. Four variants of the filter, defined by different choices for the reduced error state, are tested against a quaternion-based filter using simulated data for the THEMIS mission. Three of these variants choose three of the components of the error state to be the infinitesimal attitude error angles, facilitating the computation of measurement sensitivity matrices and causing the usual 3x3 attitude covariance matrix to be a submatrix of the 6x6 covariance of the error state. These variants differ in their choice for the other three components of the error state. The variant employing the infinitesimal attitude error angles and the angular momentum components in an inertial reference frame as the error state shows the best combination of robustness and efficiency in the simulations. Attitude estimation results using THEMIS flight data are also presented.

  11. Kalman Filter Estimation of Spinning Spacecraft Attitude using Markley Variables

    Science.gov (United States)

    Sedlak, Joseph E.; Harman, Richard

    2004-01-01

    There are several different ways to represent spacecraft attitude and its time rate of change. For spinning or momentum-biased spacecraft, one particular representation has been put forward as a superior parameterization for numerical integration. Markley has demonstrated that these new variables have fewer rapidly varying elements for spinning spacecraft than other commonly used representations and provide advantages when integrating the equations of motion. The current work demonstrates how a Kalman filter can be devised to estimate the attitude using these new variables. The seven Markley variables are subject to one constraint condition, making the error covariance matrix singular. The filter design presented here explicitly accounts for this constraint by using a six-component error state in the filter update step. The reduced dimension error state is unconstrained and its covariance matrix is nonsingular.

  12. FUZZY OPTIMIZATION USING EXTENDED KALMAN FILTER

    Directory of Open Access Journals (Sweden)

    M.DIVYA

    2013-01-01

    Full Text Available Fuzzy Logic is based on the idea that in fuzzy sets each element in the set can assume a value from 0 to 1, not only 0 or 1, as in crisp set theory. The degree of membership function is defined as the gradation in the extent to which an element is belonging to the relevant sets. Optimizing the membership functions of a fuzzy system can be viewed as a system identification problem for nonlinear dynamic system. In this paper two input and one output fuzzy controller is designed for the dynamic process of aircraft. The addition of an EKF in the feedback loop improved the system response by blocking possible effects of measurement error based on Predictor-Corrector algorithm. An Extended Kalman Filter approach to optimize the membership functions of the inputs and outputs of the fuzzy controller. The performance of the fuzzy system before and after the optimization are compared, as well as the membership functions.

  13. Kalman Filter Tracking on Parallel Architectures

    CERN Document Server

    Cerati, Giuseppe; Lantz, Steven; McDermott, Kevin; Riley, Dan; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi

    2015-01-01

    Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors, but the future will be even more exciting. In order to stay within the power density limits but still obtain Moore's Law performance/price gains, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Example technologies today include Intel's Xeon Phi and GPGPUs. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High Luminosity LHC, for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques including Cellular Automata or returning to Hough Transform. The most common track finding techniques in use today are however those based on the Kalman Filter. Significant experience has...

  14. Kalman Filter Tracking on Parallel Architectures

    CERN Document Server

    Cerati, Giuseppe; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevz; Wittich, Peter; Wuerthwein, Frank; Yagil, Avi

    2016-01-01

    Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors such as GPGPU, ARM and Intel MIC. To stay within the power density limits but still obtain Moore's Law performance/price gains, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High-Luminosity Large Hadron Collider (HL-LHC), for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques such as Cellular Automata or Hough Transforms. The most common track finding techniques in use today, however, are those based on the Kalman Filter. Significant experience has been accumulated with these techniques on real tracking detector sy...

  15. Vehicle Tracking Using Kalman Filter and Features

    Directory of Open Access Journals (Sweden)

    Amir Salarpour

    2011-09-01

    Full Text Available Vehicle tracking has a wide variety of applications. The image resolution of the video available from most traffic camera system is low. In many cases for tracking multi object, distinguishing them from another isn’t easy because of their similarity. In this paper we describe a method, for tracking multiple objects, where the objects are vehicles. The number of vehicles is unknown and varies. We detect all moving objects, and for tracking of vehicle we use the kalman filter and color feature and distance of it from one frame to the next. So the method can distinguish and tracking all vehicles individually. The proposed algorithm can be applied to multiple moving objects.

  16. Kalman filtering approach to blind equalization

    Science.gov (United States)

    Kutlu, Mehmet

    1993-12-01

    Digital communication systems suffer from the channel distortion problem which introduces errors due to intersymbol interference. The solution to this problem is provided by equalizers which use a training sequence to adapt to the channel. However in many cases in which a training sequence is unfeasible, the channel must be adapted blindly. Most of the blind equalization algorithms known so far have problems of convergence to local minima. Our intention is to offer an alternative approach by using extended Kalman filtering and hidden Markov models. They seem to yield more efficient algorithms which take the statistics of the transmitted sequence into consideration. The theoretical development of these new algorithms is discussed in this thesis. Also these algorithms have been simulated under different conditions. The results of simulations and comparisons with existing systems are provided. The models for simulations are presented as MATLAB codes.

  17. Optimized object tracking technique using Kalman filter

    Directory of Open Access Journals (Sweden)

    Liana Ellen Taylor

    2016-07-01

    Full Text Available This paper focused on the design of an optimized object tracking technique which would minimize the processing time required in the object detection process while maintaining accuracy in detecting the desired moving object in a cluttered scene. A Kalman filter based cropped image is used for the image detection process as the processing time is significantly less to detect the object when a search window is used that is smaller than the entire video frame. This technique was tested with various sizes of the window in the cropping process. MATLAB® was used to design and test the proposed method. This paper found that using a cropped image with 2.16 multiplied by the largest dimension of the object resulted in significantly faster processing time while still providing a high success rate of detection and a detected center of the object that was reasonably close to the actual center.

  18. An Improved Interacting Multiple Model Filtering Algorithm Based on the Cubature Kalman Filter for Maneuvering Target Tracking

    Directory of Open Access Journals (Sweden)

    Wei Zhu

    2016-06-01

    Full Text Available In order to improve the tracking accuracy, model estimation accuracy and quick response of multiple model maneuvering target tracking, the interacting multiple models five degree cubature Kalman filter (IMM5CKF is proposed in this paper. In the proposed algorithm, the interacting multiple models (IMM algorithm processes all the models through a Markov Chain to simultaneously enhance the model tracking accuracy of target tracking. Then a five degree cubature Kalman filter (5CKF evaluates the surface integral by a higher but deterministic odd ordered spherical cubature rule to improve the tracking accuracy and the model switch sensitivity of the IMM algorithm. Finally, the simulation results demonstrate that the proposed algorithm exhibits quick and smooth switching when disposing different maneuver models, and it also performs better than the interacting multiple models cubature Kalman filter (IMMCKF, interacting multiple models unscented Kalman filter (IMMUKF, 5CKF and the optimal mode transition matrix IMM (OMTM-IMM.

  19. An Improved Interacting Multiple Model Filtering Algorithm Based on the Cubature Kalman Filter for Maneuvering Target Tracking.

    Science.gov (United States)

    Zhu, Wei; Wang, Wei; Yuan, Gannan

    2016-06-01

    In order to improve the tracking accuracy, model estimation accuracy and quick response of multiple model maneuvering target tracking, the interacting multiple models five degree cubature Kalman filter (IMM5CKF) is proposed in this paper. In the proposed algorithm, the interacting multiple models (IMM) algorithm processes all the models through a Markov Chain to simultaneously enhance the model tracking accuracy of target tracking. Then a five degree cubature Kalman filter (5CKF) evaluates the surface integral by a higher but deterministic odd ordered spherical cubature rule to improve the tracking accuracy and the model switch sensitivity of the IMM algorithm. Finally, the simulation results demonstrate that the proposed algorithm exhibits quick and smooth switching when disposing different maneuver models, and it also performs better than the interacting multiple models cubature Kalman filter (IMMCKF), interacting multiple models unscented Kalman filter (IMMUKF), 5CKF and the optimal mode transition matrix IMM (OMTM-IMM).

  20. 基于中心微分Kalman滤波的重力/惯性组合导航%The gravity/inertial integrated navigation based on center differential Kalman filtering

    Institute of Scientific and Technical Information of China (English)

    蔡挺; 刘明雍; 黄博

    2013-01-01

    Because of its characteristics on center differential kalman filtering algorithm, can avoid results don't stable from forcing linearization, and can reduce the amount of calculation and analysis of the amount of difficulty. This paper based on the gravity/inertial integrated navigation matching algorithm of differential reference center kalman filtering, and compare with the extended kalman filtering, the results show that, the center differential kalman filtering avoid the jacobian matrix calculation, and can obtain more small linearization error.%中心微分Kalman滤波由于其算法特点,可以避免强迫线性化带来的结果不稳定,并能降低计算量和分析量的难度.在重力/惯性组合导航匹配算法中引用中心微分Kalman滤波,并与扩展Kalman滤波比较,结果表明,中心微分Kalman滤波避免了雅可比矩阵的计算,并且可以获得更小的线性化误差.

  1. Star-sensor-based predictive Kalman filter for satelliteattitude estimation

    Institute of Scientific and Technical Information of China (English)

    林玉荣; 邓正隆

    2002-01-01

    A real-time attitude estimation algorithm, namely the predictive Kalman filter, is presented. This algorithm can accurately estimate the three-axis attitude of a satellite using only star sensor measurements. The implementation of the filter includes two steps: first, predicting the torque modeling error, and then estimating the attitude. Simulation results indicate that the predictive Kalman filter provides robust performance in the presence of both significant errors in the assumed model and in the initial conditions.

  2. Telescope Multi-Field Wavefront Control with a Kalman Filter

    Science.gov (United States)

    Lou, John Z.; Redding, David; Sigrist, Norbert; Basinger, Scott

    2008-01-01

    An effective multi-field wavefront control (WFC) approach is demonstrated for an actuated, segmented space telescope using wavefront measurements at the exit pupil, and the optical and computational implications of this approach are discussed. The integration of a Kalman Filter as an optical state estimator into the wavefront control process to further improve the robustness of the optical alignment of the telescope will also be discussed. Through a comparison of WFC performances between on-orbit and ground-test optical system configurations, the connection (and a possible disconnection) between WFC and optical system alignment under these circumstances are analyzed. Our MACOS-based computer simulation results will be presented and discussed.

  3. Applying Kalman filtering to investigate tropospheric effects in VLBI

    Science.gov (United States)

    Soja, Benedikt; Nilsson, Tobias; Karbon, Maria; Heinkelmann, Robert; Liu, Li; Lu, Cuixian; Andres Mora-Diaz, Julian; Raposo-Pulido, Virginia; Xu, Minghui; Schuh, Harald

    2014-05-01

    Very Long Baseline Interferometry (VLBI) currently provides results, e.g., estimates of the tropospheric delays, with a delay of more than two weeks. In the future, with the coming VLBI2010 Global Observing System (VGOS) and increased usage of electronic data transfer, it is planned that the time between observations and results is decreased. This may, for instance, allow the integration of VLBI-derived tropospheric delays into numerical weather prediction models. Therefore, future VLBI analysis software packages need to be able to process the observational data autonomously in near real-time. For this purpose, we have extended the Vienna VLBI Software (VieVS) by a Kalman filter module. This presentation describes the filter and discusses its application for tropospheric studies. Instead of estimating zenith wet delays as piece-wise linear functions in a least-squares adjustment, the Kalman filter allows for more sophisticated stochastic modeling. We start with a random walk process to model the time-dependent behavior of the zenith wet delays. Other possible approaches include the stochastic model described by turbulence theory, e.g. the model by Treuhaft and Lanyi (1987). Different variance-covariance matrices of the prediction error, depending on the time of the year and the geographic latitude, have been tested. In winter and closer to the poles, lower variances and covariances are appropriate. The horizontal variations in tropospheric delays have been investigated by comparing three different strategies: assumption of a horizontally stratified troposphere, using north and south gradients modeled, e.g., as Gauss-Markov processes, and applying a turbulence model assuming correlations between observations in different azimuths. By conducting Monte-Carlo simulations of current standard VLBI networks and of future VGOS networks, the different tropospheric modeling strategies are investigated. For this purpose, we use the simulator module of VieVS which takes into

  4. Comparison of robust H∞ filter and Kalman filter for initial alignment of inertial navigation system

    Institute of Scientific and Technical Information of China (English)

    HAO Yan-ling; CHEN Ming-hui; LI Liang-jun; XU Bo

    2008-01-01

    There are many filtering methods that can be used for the initial alignment of an integrated inertial navigation system.This paper discussed the use of GPS,but focused on two kinds of filters for the initial alignment of an integrated strapdown inertial navigation system (SINS).One method is based on the Kalman filter (KF),and the other is based on the robust filter.Simulation results showed that the filter provides a quick transient response and a little more accurate estimate than KF,given substantial process noise or unknown noise statistics.So the robust filter is an effective and useful method for initial alignment of SINS.This research should make the use of SINS more popular,and is also a step for further research.

  5. Longitudinal Factor Score Estimation Using the Kalman Filter.

    Science.gov (United States)

    Oud, Johan H.; And Others

    1990-01-01

    How longitudinal factor score estimation--the estimation of the evolution of factor scores for individual examinees over time--can profit from the Kalman filter technique is described. The Kalman estimates change more cautiously over time, have lower estimation error variances, and reproduce the LISREL program latent state correlations more…

  6. Kalman Filtering with Inequality Constraints for Turbofan Engine Health Estimation

    Science.gov (United States)

    Simon, Dan; Simon, Donald L.

    2003-01-01

    Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops two analytic methods of incorporating state variable inequality constraints in the Kalman filter. The first method is a general technique of using hard constraints to enforce inequalities on the state variable estimates. The resultant filter is a combination of a standard Kalman filter and a quadratic programming problem. The second method uses soft constraints to estimate state variables that are known to vary slowly with time. (Soft constraints are constraints that are required to be approximately satisfied rather than exactly satisfied.) The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is proven theoretically and shown via simulation results. The use of the algorithm is demonstrated on a linearized simulation of a turbofan engine to estimate health parameters. The turbofan engine model contains 16 state variables, 12 measurements, and 8 component health parameters. It is shown that the new algorithms provide improved performance in this example over unconstrained Kalman filtering.

  7. Subspace System Identification of the Kalman Filter

    Directory of Open Access Journals (Sweden)

    David Di Ruscio

    2003-07-01

    Full Text Available Some proofs concerning a subspace identification algorithm are presented. It is proved that the Kalman filter gain and the noise innovations process can be identified directly from known input and output data without explicitly solving the Riccati equation. Furthermore, it is in general and for colored inputs, proved that the subspace identification of the states only is possible if the deterministic part of the system is known or identified beforehand. However, if the inputs are white, then, it is proved that the states can be identified directly. Some alternative projection matrices which can be used to compute the extended observability matrix directly from the data are presented. Furthermore, an efficient method for computing the deterministic part of the system is presented. The closed loop subspace identification problem is also addressed and it is shown that this problem is solved and unbiased estimates are obtained by simply including a filter in the feedback. Furthermore, an algorithm for consistent closed loop subspace estimation is presented. This algorithm is using the controller parameters in order to overcome the bias problem.

  8. Ensemble Kalman filtering with residual nudging

    Directory of Open Access Journals (Sweden)

    Xiaodong Luo

    2012-10-01

    Full Text Available Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF by (in effect adjusting the sample covariances of the estimates in the state space. In this work, an additional auxiliary technique, called residual nudging, is proposed to monitor and, if necessary, adjust the residual norms of state estimates in the observation space. In an EnKF with residual nudging, if the residual norm of an analysis is larger than a pre-specified value, then the analysis is replaced by a new one whose residual norm is no larger than a pre-specified value. Otherwise, the analysis is considered as a reasonable estimate and no change is made. A rule for choosing the pre-specified value is suggested. Based on this rule, the corresponding new state estimates are explicitly derived in case of linear observations. Numerical experiments in the 40-dimensional Lorenz 96 model show that introducing residual nudging to an EnKF may improve its accuracy and/or enhance its stability against filter divergence, especially in the small ensemble scenario.

  9. Ensemble Kalman filtering with residual nudging

    KAUST Repository

    Luo, X.

    2012-10-03

    Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF) by (in effect) adjusting the sample covariances of the estimates in the state space. In this work, an additional auxiliary technique, called residual nudging, is proposed to monitor and, if necessary, adjust the residual norms of state estimates in the observation space. In an EnKF with residual nudging, if the residual norm of an analysis is larger than a pre-specified value, then the analysis is replaced by a new one whose residual norm is no larger than a pre-specified value. Otherwise, the analysis is considered as a reasonable estimate and no change is made. A rule for choosing the pre-specified value is suggested. Based on this rule, the corresponding new state estimates are explicitly derived in case of linear observations. Numerical experiments in the 40-dimensional Lorenz 96 model show that introducing residual nudging to an EnKF may improve its accuracy and/or enhance its stability against filter divergence, especially in the small ensemble scenario.

  10. Concrete ensemble Kalman filters with rigorous catastrophic filter divergence.

    Science.gov (United States)

    Kelly, David; Majda, Andrew J; Tong, Xin T

    2015-08-25

    The ensemble Kalman filter and ensemble square root filters are data assimilation methods used to combine high-dimensional, nonlinear dynamical models with observed data. Ensemble methods are indispensable tools in science and engineering and have enjoyed great success in geophysical sciences, because they allow for computationally cheap low-ensemble-state approximation for extremely high-dimensional turbulent forecast models. From a theoretical perspective, the dynamical properties of these methods are poorly understood. One of the central mysteries is the numerical phenomenon known as catastrophic filter divergence, whereby ensemble-state estimates explode to machine infinity, despite the true state remaining in a bounded region. In this article we provide a breakthrough insight into the phenomenon, by introducing a simple and natural forecast model that transparently exhibits catastrophic filter divergence under all ensemble methods and a large set of initializations. For this model, catastrophic filter divergence is not an artifact of numerical instability, but rather a true dynamical property of the filter. The divergence is not only validated numerically but also proven rigorously. The model cleanly illustrates mechanisms that give rise to catastrophic divergence and confirms intuitive accounts of the phenomena given in past literature.

  11. Concrete ensemble Kalman filters with rigorous catastrophic filter divergence

    Science.gov (United States)

    Kelly, David; Majda, Andrew J.; Tong, Xin T.

    2015-01-01

    The ensemble Kalman filter and ensemble square root filters are data assimilation methods used to combine high-dimensional, nonlinear dynamical models with observed data. Ensemble methods are indispensable tools in science and engineering and have enjoyed great success in geophysical sciences, because they allow for computationally cheap low-ensemble-state approximation for extremely high-dimensional turbulent forecast models. From a theoretical perspective, the dynamical properties of these methods are poorly understood. One of the central mysteries is the numerical phenomenon known as catastrophic filter divergence, whereby ensemble-state estimates explode to machine infinity, despite the true state remaining in a bounded region. In this article we provide a breakthrough insight into the phenomenon, by introducing a simple and natural forecast model that transparently exhibits catastrophic filter divergence under all ensemble methods and a large set of initializations. For this model, catastrophic filter divergence is not an artifact of numerical instability, but rather a true dynamical property of the filter. The divergence is not only validated numerically but also proven rigorously. The model cleanly illustrates mechanisms that give rise to catastrophic divergence and confirms intuitive accounts of the phenomena given in past literature. PMID:26261335

  12. Kalman Filter Constraint Tuning for Turbofan Engine Health Estimation

    Science.gov (United States)

    Simon, Dan; Simon, Donald L.

    2005-01-01

    Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints are often neglected because they do not fit easily into the structure of the Kalman filter. Recently published work has shown a new method for incorporating state variable inequality constraints in the Kalman filter, which has been shown to generally improve the filter s estimation accuracy. However, the incorporation of inequality constraints poses some risk to the estimation accuracy as the Kalman filter is theoretically optimal. This paper proposes a way to tune the filter constraints so that the state estimates follow the unconstrained (theoretically optimal) filter when the confidence in the unconstrained filter is high. When confidence in the unconstrained filter is not so high, then we use our heuristic knowledge to constrain the state estimates. The confidence measure is based on the agreement of measurement residuals with their theoretical values. The algorithm is demonstrated on a linearized simulation of a turbofan engine to estimate engine health.

  13. Kalman filter data assimilation: targeting observations and parameter estimation.

    Science.gov (United States)

    Bellsky, Thomas; Kostelich, Eric J; Mahalov, Alex

    2014-06-01

    This paper studies the effect of targeted observations on state and parameter estimates determined with Kalman filter data assimilation (DA) techniques. We first provide an analytical result demonstrating that targeting observations within the Kalman filter for a linear model can significantly reduce state estimation error as opposed to fixed or randomly located observations. We next conduct observing system simulation experiments for a chaotic model of meteorological interest, where we demonstrate that the local ensemble transform Kalman filter (LETKF) with targeted observations based on largest ensemble variance is skillful in providing more accurate state estimates than the LETKF with randomly located observations. Additionally, we find that a hybrid ensemble Kalman filter parameter estimation method accurately updates model parameters within the targeted observation context to further improve state estimation.

  14. A Comparison of Ensemble Kalman Filters for Storm Surge Assimilation

    KAUST Repository

    Altaf, Muhammad

    2014-08-01

    This study evaluates and compares the performances of several variants of the popular ensembleKalman filter for the assimilation of storm surge data with the advanced circulation (ADCIRC) model. Using meteorological data from Hurricane Ike to force the ADCIRC model on a domain including the Gulf ofMexico coastline, the authors implement and compare the standard stochastic ensembleKalman filter (EnKF) and three deterministic square root EnKFs: the singular evolutive interpolated Kalman (SEIK) filter, the ensemble transform Kalman filter (ETKF), and the ensemble adjustment Kalman filter (EAKF). Covariance inflation and localization are implemented in all of these filters. The results from twin experiments suggest that the square root ensemble filters could lead to very comparable performances with appropriate tuning of inflation and localization, suggesting that practical implementation details are at least as important as the choice of the square root ensemble filter itself. These filters also perform reasonably well with a relatively small ensemble size, whereas the stochastic EnKF requires larger ensemble sizes to provide similar accuracy for forecasts of storm surge.

  15. An Adaptive Kalman Filter Excisor for Suppressing Narrowband Interference

    Science.gov (United States)

    1993-11-01

    interferences in- connues. Le filtre de Kalman doit alors "apprendre" ý ajuster un de ses param~tres pour effectuer le meilleur traitement. L’erreur est...4"L l B"• -- -- - - -.- ,_, . An~. A)7cQ 0 -QGOP II liii 111111 IIa( Naional 06fenso I ’ I Deence nitonals I "It AN ADAPTIVE KALMAN FILTER EXCISOR...Ottawa 0 A o~ oO Best Available COpy 4INational Defense Defence nationals AN ADAPTIVE KALMAN FILTER EXCISOR FOR SUPPRESSING NARROWBAND INTERFERENCE by

  16. A Performance Comparison Between Extended Kalman Filter and Unscented Kalman Filter in Power System Dynamic State Estimation

    DEFF Research Database (Denmark)

    Khazraj, Hesam; Silva, Filipe Miguel Faria da; Bak, Claus Leth

    2016-01-01

    Dynamic State Estimation (DSE) is a critical tool for analysis, monitoring and planning of a power system. The concept of DSE involves designing state estimation with Extended Kalman Filter (EKF) or Unscented Kalman Filter (UKF) methods, which can be used by wide area monitoring to improve...... the stability of power system. State estimation with EKF and UKF methods can be used for monitoring and estimating the dynamic state variables of multi-machine power systems, which are generator rotor speed and rotor angle. This paper uses Powerfactory to solve power flow analysis of simulations, then a non......-linear state estimator is developed in MatLab to solve states by applying the unscented Kalman filter (UKF) and Extended Kalman Filter (EKF) algorithm. Finally, a DSE model is built for a 14 bus power system network to evaluate the proposed algorithm for the networks.This article will focus on comparing...

  17. Kinematic landslide monitoring with Kalman filtering

    Directory of Open Access Journals (Sweden)

    M. Acar

    2008-03-01

    Full Text Available Landslides are serious geologic disasters that threat human life and property in every country. In addition, landslides are one of the most important natural phenomena, which directly or indirectly affect countries' economy. Turkey is also the country that is under the threat of landslides. Landslides frequently occur in all of the Black Sea region as well as in many parts of Marmara, East Anatolia, and Mediterranean regions. Since these landslides resulted in destruction, they are ranked as the second important natural phenomenon that comes after earthquake in Turkey. In recent years several landslides happened after heavy rains and the resulting floods. This makes the landslide monitoring and mitigation techniques an important study subject for the related professional disciplines in Turkey. The investigations on surface deformations are conducted to define the boundaries of the landslide, size, level of activity and direction(s of the movement, and to determine individual moving blocks of the main slide.

    This study focuses on the use of a kinematic deformation analysis based on Kalman Filtering at a landslide area near Istanbul. Kinematic deformation analysis has been applied in a landslide area, which is located to the north of Istanbul city. Positional data were collected using GPS technique. As part of the study, conventional static deformation analysis methodology has also been applied on the same data. The results and comparisons are discussed in this paper.

  18. Multivariate localization methods for ensemble Kalman filtering

    KAUST Repository

    Roh, S.

    2015-05-08

    In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

  19. Multivariate localization methods for ensemble Kalman filtering

    KAUST Repository

    Roh, S.

    2015-12-03

    In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

  20. Multivariate localization methods for ensemble Kalman filtering

    Directory of Open Access Journals (Sweden)

    S. Roh

    2015-05-01

    Full Text Available In ensemble Kalman filtering (EnKF, the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

  1. Ensemble Kalman filtering with residual nudging

    CERN Document Server

    Luo, Xiaodong; 10.3402/tellusa.v64i0.17130

    2012-01-01

    Covariance inflation and localization are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF) by (in effect) adjusting the sample covariances of the estimates in the state space. In this work an additional auxiliary technique, called residual nudging, is proposed to monitor and, if necessary, adjust the residual norms of state estimates in the observation space. In an EnKF with residual nudging, if the residual norm of an analysis is larger than a pre-specified value, then the analysis is replaced by a new one whose residual norm is no larger than a pre-specified value. Otherwise the analysis is considered as a reasonable estimate and no change is made. A rule for choosing the pre-specified value is suggested. Based on this rule, the corresponding new state estimates are explicitly derived in case of linear observations. Numerical experiments in the 40-dimensional Lorenz 96 model show that introducing residual nudging to an EnKF may improve its accuracy and/o...

  2. Multivariate localization methods for ensemble Kalman filtering

    Science.gov (United States)

    Roh, S.; Jun, M.; Szunyogh, I.; Genton, M. G.

    2015-12-01

    In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.

  3. Motion estimation using point cluster method and Kalman filter.

    Science.gov (United States)

    Senesh, M; Wolf, A

    2009-05-01

    The most frequently used method in a three dimensional human gait analysis involves placing markers on the skin of the analyzed segment. This introduces a significant artifact, which strongly influences the bone position and orientation and joint kinematic estimates. In this study, we tested and evaluated the effect of adding a Kalman filter procedure to the previously reported point cluster technique (PCT) in the estimation of a rigid body motion. We demonstrated the procedures by motion analysis of a compound planar pendulum from indirect opto-electronic measurements of markers attached to an elastic appendage that is restrained to slide along the rigid body long axis. The elastic frequency is close to the pendulum frequency, as in the biomechanical problem, where the soft tissue frequency content is similar to the actual movement of the bones. Comparison of the real pendulum angle to that obtained by several estimation procedures--PCT, Kalman filter followed by PCT, and low pass filter followed by PCT--enables evaluation of the accuracy of the procedures. When comparing the maximal amplitude, no effect was noted by adding the Kalman filter; however, a closer look at the signal revealed that the estimated angle based only on the PCT method was very noisy with fluctuation, while the estimated angle based on the Kalman filter followed by the PCT was a smooth signal. It was also noted that the instantaneous frequencies obtained from the estimated angle based on the PCT method is more dispersed than those obtained from the estimated angle based on Kalman filter followed by the PCT method. Addition of a Kalman filter to the PCT method in the estimation procedure of rigid body motion results in a smoother signal that better represents the real motion, with less signal distortion than when using a digital low pass filter. Furthermore, it can be concluded that adding a Kalman filter to the PCT procedure substantially reduces the dispersion of the maximal and minimal

  4. Kalman-Takens filtering in the presence of dynamical noise

    CERN Document Server

    Hamilton, Franz; Sauer, Timothy

    2016-01-01

    The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model is known, a hybrid Kalman-Takens method has been recently introduced, in order to exploit the advantages of optimal filtering in a nonparametric setting. This procedure replaces the parametric model with dynamics reconstructed from delay coordinates, while using the Kalman update formulation to assimilate new observations. We find that this hybrid approach results in comparable efficiency to parametric methods in identifying underlying dynamics, even in the presence of dynamical noise. By combining the Kalman-Takens method with an adaptive filtering procedure we are able to estimate the statistics of the observational and dynamical noise. This solves a long standing problem of separating dynamical and observational noise in time series data, which is especially challenging w...

  5. Power system static state estimation using Kalman filter algorithm

    Directory of Open Access Journals (Sweden)

    Saikia Anupam

    2016-01-01

    Full Text Available State estimation of power system is an important tool for operation, analysis and forecasting of electric power system. In this paper, a Kalman filter algorithm is presented for static estimation of power system state variables. IEEE 14 bus system is employed to check the accuracy of this method. Newton Raphson load flow study is first carried out on our test system and a set of data from the output of load flow program is taken as measurement input. Measurement inputs are simulated by adding Gaussian noise of zero mean. The results of Kalman estimation are compared with traditional Weight Least Square (WLS method and it is observed that Kalman filter algorithm is numerically more efficient than traditional WLS method. Estimation accuracy is also tested for presence of parametric error in the system. In addition, numerical stability of Kalman filter algorithm is tested by considering inclusion of zero mean errors in the initial estimates.

  6. Impulse control in Kalman-like filtering problems

    Directory of Open Access Journals (Sweden)

    Michael V. Basin

    1998-01-01

    Full Text Available This paper develops the impulse control approach to the observation process in Kalman-like filtering problems, which is based on impulsive modeling of the transition matrix in an observation equation. The impulse control generates the jumps of the estimate variance from its current position down to zero and, as a result, enables us to obtain the filtering equations for the Kalman estimate with zero variance for all post-jump time moments. The filtering equations for the estimates with zero variances are obtained in the conventional linear filtering problem and in the case of scalar nonlinear state and nonlinear observation equations.

  7. Reduced-Order Kalman Filtering for Processing Relative Measurements

    Science.gov (United States)

    Bayard, David S.

    2008-01-01

    A study in Kalman-filter theory has led to a method of processing relative measurements to estimate the current state of a physical system, using less computation than has previously been thought necessary. As used here, relative measurements signifies measurements that yield information on the relationship between a later and an earlier state of the system. An important example of relative measurements arises in computer vision: Information on relative motion is extracted by comparing images taken at two different times. Relative measurements do not directly fit into standard Kalman filter theory, in which measurements are restricted to those indicative of only the current state of the system. One approach heretofore followed in utilizing relative measurements in Kalman filtering, denoted state augmentation, involves augmenting the state of the system at the earlier of two time instants and then propagating the state to the later time instant.While state augmentation is conceptually simple, it can also be computationally prohibitive because it doubles the number of states in the Kalman filter. When processing a relative measurement, if one were to follow the state-augmentation approach as practiced heretofore, one would find it necessary to propagate the full augmented state Kalman filter from the earlier time to the later time and then select out the reduced-order components. The main result of the study reported here is proof of a property called reduced-order equivalence (ROE). The main consequence of ROE is that it is not necessary to augment with the full state, but, rather, only the portion of the state that is explicitly used in the partial relative measurement. In other words, it suffices to select the reduced-order components first and then propagate the partial augmented state Kalman filter from the earlier time to the later time; the amount of computation needed to do this can be substantially less than that needed for propagating the full augmented

  8. Tightly Coupled Integration of GPS Ambiguity Fixed Precise Point Positioning and MEMS-INS through a Troposphere-Constrained Adaptive Kalman Filter

    Science.gov (United States)

    Han, Houzeng; Xu, Tianhe; Wang, Jian

    2016-01-01

    Precise Point Positioning (PPP) makes use of the undifferenced pseudorange and carrier phase measurements with ionospheric-free (IF) combinations to achieve centimeter-level positioning accuracy. Conventionally, the IF ambiguities are estimated as float values. To improve the PPP positioning accuracy and shorten the convergence time, the integer phase clock model with between-satellites single-difference (BSSD) operation is used to recover the integer property. However, the continuity and availability of stand-alone PPP is largely restricted by the observation environment. The positioning performance will be significantly degraded when GPS operates under challenging environments, if less than five satellites are present. A commonly used approach is integrating a low cost inertial sensor to improve the positioning performance and robustness. In this study, a tightly coupled (TC) algorithm is implemented by integrating PPP with inertial navigation system (INS) using an Extended Kalman filter (EKF). The navigation states, inertial sensor errors and GPS error states are estimated together. The troposphere constrained approach, which utilizes external tropospheric delay as virtual observation, is applied to further improve the ambiguity-fixed height positioning accuracy, and an improved adaptive filtering strategy is implemented to improve the covariance modelling considering the realistic noise effect. A field vehicular test with a geodetic GPS receiver and a low cost inertial sensor was conducted to validate the improvement on positioning performance with the proposed approach. The results show that the positioning accuracy has been improved with inertial aiding. Centimeter-level positioning accuracy is achievable during the test, and the PPP/INS TC integration achieves a fast re-convergence after signal outages. For troposphere constrained solutions, a significant improvement for the height component has been obtained. The overall positioning accuracies of the height

  9. Tightly Coupled Integration of GPS Ambiguity Fixed Precise Point Positioning and MEMS-INS through a Troposphere-Constrained Adaptive Kalman Filter.

    Science.gov (United States)

    Han, Houzeng; Xu, Tianhe; Wang, Jian

    2016-07-08

    Precise Point Positioning (PPP) makes use of the undifferenced pseudorange and carrier phase measurements with ionospheric-free (IF) combinations to achieve centimeter-level positioning accuracy. Conventionally, the IF ambiguities are estimated as float values. To improve the PPP positioning accuracy and shorten the convergence time, the integer phase clock model with between-satellites single-difference (BSSD) operation is used to recover the integer property. However, the continuity and availability of stand-alone PPP is largely restricted by the observation environment. The positioning performance will be significantly degraded when GPS operates under challenging environments, if less than five satellites are present. A commonly used approach is integrating a low cost inertial sensor to improve the positioning performance and robustness. In this study, a tightly coupled (TC) algorithm is implemented by integrating PPP with inertial navigation system (INS) using an Extended Kalman filter (EKF). The navigation states, inertial sensor errors and GPS error states are estimated together. The troposphere constrained approach, which utilizes external tropospheric delay as virtual observation, is applied to further improve the ambiguity-fixed height positioning accuracy, and an improved adaptive filtering strategy is implemented to improve the covariance modelling considering the realistic noise effect. A field vehicular test with a geodetic GPS receiver and a low cost inertial sensor was conducted to validate the improvement on positioning performance with the proposed approach. The results show that the positioning accuracy has been improved with inertial aiding. Centimeter-level positioning accuracy is achievable during the test, and the PPP/INS TC integration achieves a fast re-convergence after signal outages. For troposphere constrained solutions, a significant improvement for the height component has been obtained. The overall positioning accuracies of the height

  10. Tightly Coupled Integration of GPS Ambiguity Fixed Precise Point Positioning and MEMS-INS through a Troposphere-Constrained Adaptive Kalman Filter

    Directory of Open Access Journals (Sweden)

    Houzeng Han

    2016-07-01

    Full Text Available Precise Point Positioning (PPP makes use of the undifferenced pseudorange and carrier phase measurements with ionospheric-free (IF combinations to achieve centimeter-level positioning accuracy. Conventionally, the IF ambiguities are estimated as float values. To improve the PPP positioning accuracy and shorten the convergence time, the integer phase clock model with between-satellites single-difference (BSSD operation is used to recover the integer property. However, the continuity and availability of stand-alone PPP is largely restricted by the observation environment. The positioning performance will be significantly degraded when GPS operates under challenging environments, if less than five satellites are present. A commonly used approach is integrating a low cost inertial sensor to improve the positioning performance and robustness. In this study, a tightly coupled (TC algorithm is implemented by integrating PPP with inertial navigation system (INS using an Extended Kalman filter (EKF. The navigation states, inertial sensor errors and GPS error states are estimated together. The troposphere constrained approach, which utilizes external tropospheric delay as virtual observation, is applied to further improve the ambiguity-fixed height positioning accuracy, and an improved adaptive filtering strategy is implemented to improve the covariance modelling considering the realistic noise effect. A field vehicular test with a geodetic GPS receiver and a low cost inertial sensor was conducted to validate the improvement on positioning performance with the proposed approach. The results show that the positioning accuracy has been improved with inertial aiding. Centimeter-level positioning accuracy is achievable during the test, and the PPP/INS TC integration achieves a fast re-convergence after signal outages. For troposphere constrained solutions, a significant improvement for the height component has been obtained. The overall positioning accuracies

  11. Switching Kalman filter for failure prognostic

    Science.gov (United States)

    Lim, Chi Keong Reuben; Mba, David

    2015-02-01

    The use of condition monitoring (CM) data to predict remaining useful life have been growing with increasing use of health and usage monitoring systems on aircraft. There are many data-driven methodologies available for the prediction and popular ones include artificial intelligence and statistical based approach. The drawback of such approaches is that they require a lot of failure data for training which can be scarce in practice. In lieu of this, methods using state-space and regression-based models that extract information from the data history itself have been explored. However, such methods have their own limitations as they utilize a single time-invariant model which does not represent changing degradation path well. This causes most degradation modeling studies to focus only on segments of their CM data that behaves close to the assumed model. In this paper, a state-space based method; the Switching Kalman Filter (SKF), is adopted for model estimation and life prediction. The SKF approach however, uses multiple models from which the most probable model is inferred from the CM data using Bayesian estimation before it is applied for prediction. At the same time, the inference of the degradation model itself can provide maintainers with more information for their planning. This SKF approach is demonstrated with a case study on gearbox bearings that were found defective from the Republic of Singapore Air Force AH64D helicopter. The use of in-service CM data allows the approach to be applied in a practical scenario and results showed that the developed SKF approach is a promising tool to support maintenance decision-making.

  12. Strong tracking adaptive Kalman filters for underwater vehicle dead reckoning

    Institute of Scientific and Technical Information of China (English)

    XIAO Kun; FANG Shao-ji; PANG Yong-jie

    2007-01-01

    To improve underwater vehicle dead reckoning, a developed strong tracking adaptive kalman filter is proposed. The filter is improved with an additional adaptive factor and an estimator of measurement noise covariance. Since the magnitude of fading factor is changed adaptively, the tracking ability of the filter is still enhanced in low velocity condition of underwater vehicles. The results of simulation tests prove the presented filter effective.

  13. Estimation of Kalman filter gain from output residuals

    Science.gov (United States)

    Juang, Jer-Nan; Chen, Chung-Wen; Phan, Minh

    1993-01-01

    This paper presents a procedure to estimate the Kalman filter gain from input-output measurement data with a given system model. The system model can be a finite element model or an experimental model from any identification method. The procedure consists of three basic steps. First, the stochastic portion related to the residuals of the response is computed. Second, the coefficients of a linear difference model for the stochastic portion are estimated by a least-squares solution that minimizes the filter residual. Third, the Kalman filter gain is computed from these model coefficients. Experimental results are presented to illustrate the usefulness of the developed procedure.

  14. Application of Adaptive Extended Kalman Smoothing on INS/WSN Integration System for Mobile Robot Indoors

    Directory of Open Access Journals (Sweden)

    Xiyuan Chen

    2013-01-01

    Full Text Available The inertial navigation systems (INS/wireless sensor network (WSN integration system for mobile robot is proposed for navigation information indoors accurately and continuously. The Kalman filter (KF is widely used for real-time applications with the aim of gaining optimal data fusion. In order to improve the accuracy of the navigation information, this work proposed an adaptive extended Kalman smoothing (AEKS which utilizes inertial measuring units (IMUs and ultrasonic positioning system. In this mode, the adaptive extended Kalman filter (AEKF is used to improve the accuracy of forward Kalman filtering (FKF and backward Kalman filtering (BKF, and then the AEKS and the average filter are used between two output timings for the online smoothing. Several real indoor tests are done to assess the performance of the proposed method. The results show that the proposed method can reduce the error compared with the INS-only, least squares (LS solution, and AEKF.

  15. Bridging the ensemble Kalman filter and particle filters: the adaptive Gaussian mixture filter

    OpenAIRE

    Stordal, Andreas Størksen; Karlsen, Hans A.; Nævdal, Geir; Hans J. Skaug; Vallès, Brice

    2010-01-01

    The nonlinear filtering problem occurs in many scientific areas. Sequential Monte Carlo solutions with the correct asymptotic behavior such as particle filters exist, but they are computationally too expensive when working with high-dimensional systems. The ensemble Kalman filter (EnKF) is a more robust method that has shown promising results with a small sample size, but the samples are not guaranteed to come from the true posterior distribution. By approximating the model error with a Gauss...

  16. A modified iterative ensemble Kalman filter data assimilation method

    Science.gov (United States)

    Xu, Baoxiong; Bai, Yulong; Wang, Yizhao; Li, Zhe; Ma, Boyang

    2017-08-01

    High nonlinearity is a typical characteristic associated with data assimilation systems. Additionally, iterative ensemble based methods have attracted a large amount of research attention, which has been focused on dealing with nonlinearity problems. To solve the local convergence problem of the iterative ensemble Kalman filter, a modified iterative ensemble Kalman filter algorithm was put forward, which was based on a global convergence strategy from the perspective of a Gauss-Newton iteration. Through self-adaption, the step factor was adjusted to enable every iteration to approach expected values during the process of the data assimilation. A sensitivity experiment was carried out in a low dimensional Lorenz-63 chaotic system, as well as a Lorenz-96 model. The new method was tested via ensemble size, observation variance, and inflation factor changes, along with other aspects. Meanwhile, comparative research was conducted with both a traditional ensemble Kalman filter and an iterative ensemble Kalman filter. The results showed that the modified iterative ensemble Kalman filter algorithm was a data assimilation method that was able to effectively estimate a strongly nonlinear system state.

  17. RSSI based indoor tracking in sensor networks using Kalman filters

    DEFF Research Database (Denmark)

    Tøgersen, Frede Aakmann; Skjøth, Flemming; Munksgaard, Lene;

    2010-01-01

    We propose an algorithm for estimating positions of devices in a sensor network using Kalman filtering techniques. The specific area of application is monitoring the movements of cows in a barn. The algorithm consists of two filters. The first filter enhances the signal-to-noise ratio...... of the observed signal strengths and gives interpolated values at specific timestamps. Information from the first filter is transferred to the second filter which estimates the positions. Methods for estimating the parameters of the filters are given and these provide a straightforward calibration of the system...

  18. Deconvolution Kalman filtering for force measurements of revolving wings

    Science.gov (United States)

    Vester, R.; Percin, M.; van Oudheusden, B.

    2016-09-01

    The applicability of a deconvolution Kalman filtering approach is assessed for the force measurements on a flat plate undergoing a revolving motion, as an alternative procedure to correct for test setup vibrations. The system identification process required for the correct implementation of the deconvolution Kalman filter is explained in detail. It is found that in the presence of a relatively complex forcing history, the DK filter is better suited to filter out structural test rig vibrations than conventional filtering techniques that are based on, for example, low-pass or moving-average filtering. The improvement is especially found in the characterization of the generated force peaks. Consequently, more reliable force data is obtained, which is vital to validate semi-empirical estimation models, but is also relevant to correlate identified flow phenomena to the force production.

  19. Recursive three-dimensional model reconstruction based on Kalman filtering.

    Science.gov (United States)

    Yu, Ying Kin; Wong, Kin Hong; Chang, Michael Ming Yuen

    2005-06-01

    A recursive two-step method to recover structure and motion from image sequences based on Kalman filtering is described in this paper. The algorithm consists of two major steps. The first step is an extended Kalman filter (EKF) for the estimation of the object's pose. The second step is a set of EKFs, one for each model point, for the refinement of the positions of the model features in the three-dimensional (3-D) space. These two steps alternate from frame to frame. The initial model converges to the final structure as the image sequence is scanned sequentially. The performance of the algorithm is demonstrated with both synthetic data and real-world objects. Analytical and empirical comparisons are made among our approach, the interleaved bundle adjustment method, and the Kalman filtering-based recursive algorithm by Azarbayejani and Pentland. Our approach outperformed the other two algorithms in terms of computation speed without loss in the quality of model reconstruction.

  20. Nonlinear dynamical system identification using unscented Kalman filter

    Science.gov (United States)

    Rehman, M. Javvad ur; Dass, Sarat Chandra; Asirvadam, Vijanth Sagayan

    2016-11-01

    Kalman Filter is the most suitable choice for linear state space and Gaussian error distribution from decades. In general practical systems are not linear and Gaussian so these assumptions give inconsistent results. System Identification for nonlinear dynamical systems is a difficult task to perform. Usually, Extended Kalman Filter (EKF) is used to deal with non-linearity in which Jacobian method is used for linearizing the system dynamics, But it has been observed that in highly non-linear environment performance of EKF is poor. Unscented Kalman Filter (UKF) is proposed here as a better option because instead of analytical linearization of state space, UKF performs statistical linearization by using sigma point calculated from deterministic samples. Formation of the posterior distribution is based on the propagation of mean and covariance through sigma points.

  1. A numerical storm surge forecast model with Kalman filter

    Institute of Scientific and Technical Information of China (English)

    Yu Fujiang; Zhang Zhanhai; Lin Yihua

    2001-01-01

    Kalman filter data assimilation technique is incorporated into a standard two-dimensional linear storm surge model. Imperfect model equation and imperfect meteorological forcimg are accounted for by adding noise terms to the momentum equations. The deterministic model output is corrected by using the available tidal gauge station data. The stationary Kalman filter algorithm for the model domain is calculated by an iterative procedure using specified information on the inaccuracies in the momentum equations and specified error information for the observations. An application to a real storm surge that occurred in the summer of 1956 in the East China Sea is performed by means of this data assimilation technique. The result shows that Kalman filter is useful for storm surge forecast and hindcast.

  2. Kalman Filter Based Tracking in an Video Surveillance System

    Directory of Open Access Journals (Sweden)

    SULIMAN, C.

    2010-05-01

    Full Text Available In this paper we have developed a Matlab/Simulink based model for monitoring a contact in a video surveillance sequence. For the segmentation process and corect identification of a contact in a surveillance video, we have used the Horn-Schunk optical flow algorithm. The position and the behavior of the correctly detected contact were monitored with the help of the traditional Kalman filter. After that we have compared the results obtained from the optical flow method with the ones obtained from the Kalman filter, and we show the correct functionality of the Kalman filter based tracking. The tests were performed using video data taken with the help of a fix camera. The tested algorithm has shown promising results.

  3. Improved Kalman Filter-Based Speech Enhancement with Perceptual Post-Filtering

    Institute of Scientific and Technical Information of China (English)

    WEIJianqiang; DULimin; YANZhaoli; ZENGHui

    2004-01-01

    In this paper, a Kalman filter-based speech enhancement algorithm with some improvements of previous work is presented. A new technique based on spectral subtraction is used for separation speech and noise characteristics from noisy speech and for the computation of speech and noise Autoregressive (AR) parameters. In order to obtain a Kalman filter output with high audible quality, a perceptual post-filter is placed at the output of the Kalman filter to smooth the enhanced speech spectra.Extensive experiments indicate that this newly proposed method works well.

  4. The path prediction of cyclones with Kalman filters

    OpenAIRE

    Taskin, Dogan

    1990-01-01

    Approved for public release; distribution unlimited. The Kalman filter is used to provide estimates of the position and velocity of a storm based upon observation of the storm's longitude and latitude. Nonstationary noise is shown to degrade the performance of the filter and cause tracking divergence. Time varying values for the noise covariance matricies R and Q, and the addition of an external forcing function to the filter, effectively compensated for this tracking error. Results for th...

  5. Low-Rank Kalman Filtering in Subsurface Contaminant Transport Models

    KAUST Repository

    El Gharamti, Mohamad

    2010-12-01

    Understanding the geology and the hydrology of the subsurface is important to model the fluid flow and the behavior of the contaminant. It is essential to have an accurate knowledge of the movement of the contaminants in the porous media in order to track them and later extract them from the aquifer. A two-dimensional flow model is studied and then applied on a linear contaminant transport model in the same porous medium. Because of possible different sources of uncertainties, the deterministic model by itself cannot give exact estimations for the future contaminant state. Incorporating observations in the model can guide it to the true state. This is usually done using the Kalman filter (KF) when the system is linear and the extended Kalman filter (EKF) when the system is nonlinear. To overcome the high computational cost required by the KF, we use the singular evolutive Kalman filter (SEKF) and the singular evolutive extended Kalman filter (SEEKF) approximations of the KF operating with low-rank covariance matrices. The SEKF can be implemented on large dimensional contaminant problems while the usage of the KF is not possible. Experimental results show that with perfect and imperfect models, the low rank filters can provide as much accurate estimates as the full KF but at much less computational cost. Localization can help the filter analysis as long as there are enough neighborhood data to the point being analyzed. Estimating the permeabilities of the aquifer is successfully tackled using both the EKF and the SEEKF.

  6. Adaptive robust Kalman filtering for precise point positioning

    Science.gov (United States)

    Guo, Fei; Zhang, Xiaohong

    2014-10-01

    The optimality of precise point postioning (PPP) solution using a Kalman filter is closely connected to the quality of the a priori information about the process noise and the updated mesurement noise, which are sometimes difficult to obtain. Also, the estimation enviroment in the case of dynamic or kinematic applications is not always fixed but is subject to change. To overcome these problems, an adaptive robust Kalman filtering algorithm, the main feature of which introduces an equivalent covariance matrix to resist the unexpected outliers and an adaptive factor to balance the contribution of observational information and predicted information from the system dynamic model, is applied for PPP processing. The basic models of PPP including the observation model, dynamic model and stochastic model are provided first. Then an adaptive robust Kalmam filter is developed for PPP. Compared with the conventional robust estimator, only the observation with largest standardized residual will be operated by the IGG III function in each iteration to avoid reducing the contribution of the normal observations or even filter divergence. Finally, tests carried out in both static and kinematic modes have confirmed that the adaptive robust Kalman filter outperforms the classic Kalman filter by turning either the equivalent variance matrix or the adaptive factor or both of them. This becomes evident when analyzing the positioning errors in flight tests at the turns due to the target maneuvering and unknown process/measurement noises.

  7. Iterated unscented Kalman filter for phase unwrapping of interferometric fringes.

    Science.gov (United States)

    Xie, Xianming

    2016-08-22

    A fresh phase unwrapping algorithm based on iterated unscented Kalman filter is proposed to estimate unambiguous unwrapped phase of interferometric fringes. This method is the result of combining an iterated unscented Kalman filter with a robust phase gradient estimator based on amended matrix pencil model, and an efficient quality-guided strategy based on heap sort. The iterated unscented Kalman filter that is one of the most robust methods under the Bayesian theorem frame in non-linear signal processing so far, is applied to perform simultaneously noise suppression and phase unwrapping of interferometric fringes for the first time, which can simplify the complexity and the difficulty of pre-filtering procedure followed by phase unwrapping procedure, and even can remove the pre-filtering procedure. The robust phase gradient estimator is used to efficiently and accurately obtain phase gradient information from interferometric fringes, which is needed for the iterated unscented Kalman filtering phase unwrapping model. The efficient quality-guided strategy is able to ensure that the proposed method fast unwraps wrapped pixels along the path from the high-quality area to the low-quality area of wrapped phase images, which can greatly improve the efficiency of phase unwrapping. Results obtained from synthetic data and real data show that the proposed method can obtain better solutions with an acceptable time consumption, with respect to some of the most used algorithms.

  8. On the equivalence of Kalman filtering and least-squares estimation

    Science.gov (United States)

    Mysen, E.

    2016-07-01

    The Kalman filter is derived directly from the least-squares estimator, and generalized to accommodate stochastic processes with time variable memory. To complete the link between least-squares estimation and Kalman filtering of first-order Markov processes, a recursive algorithm is presented for the computation of the off-diagonal elements of the a posteriori least-squares error covariance. As a result of the algebraic equivalence of the two estimators, both approaches can fully benefit from the advantages implied by their individual perspectives. In particular, it is shown how Kalman filter solutions can be integrated into the normal equation formalism that is used for intra- and inter-technique combination of space geodetic data.

  9. On the equivalence of Kalman filtering and least-squares estimation

    Science.gov (United States)

    Mysen, E.

    2017-01-01

    The Kalman filter is derived directly from the least-squares estimator, and generalized to accommodate stochastic processes with time variable memory. To complete the link between least-squares estimation and Kalman filtering of first-order Markov processes, a recursive algorithm is presented for the computation of the off-diagonal elements of the a posteriori least-squares error covariance. As a result of the algebraic equivalence of the two estimators, both approaches can fully benefit from the advantages implied by their individual perspectives. In particular, it is shown how Kalman filter solutions can be integrated into the normal equation formalism that is used for intra- and inter-technique combination of space geodetic data.

  10. A THEORETICAL STUDY ON SIMPLIFIED KALMAN FILTER IN DATA ASSIMILATION

    Institute of Scientific and Technical Information of China (English)

    Ma Zhai-pu; Huang Da-ji; Zhang Ben-zhao

    2003-01-01

    In this paper, we put forward a new method to reduce the calculation amount of the gain matrix of Kalman filter in data assimilation. We rewrite the vector describing the total state variables with two vectors whose dimensions are small and thus obtain the main parts and the trivial parts of the state variables. On the basis of the rewrittten formula, we not only develop a reduced Kalman filter scheme, but also obtain the transition equations about truncation errors, with which the validity of the main parts acting for the total state variables can be evaluated quantitatively. The error transition equations thus offer an indirect testimony to the rationality of the main parts.

  11. Target Centroid Position Estimation of Phase-Path Volume Kalman Filtering

    Directory of Open Access Journals (Sweden)

    Fengjun Hu

    2016-01-01

    Full Text Available For the problem of easily losing track target when obstacles appear in intelligent robot target tracking, this paper proposes a target tracking algorithm integrating reduced dimension optimal Kalman filtering algorithm based on phase-path volume integral with Camshift algorithm. After analyzing the defects of Camshift algorithm, compare the performance with the SIFT algorithm and Mean Shift algorithm, and Kalman filtering algorithm is used for fusion optimization aiming at the defects. Then aiming at the increasing amount of calculation in integrated algorithm, reduce dimension with the phase-path volume integral instead of the Gaussian integral in Kalman algorithm and reduce the number of sampling points in the filtering process without influencing the operational precision of the original algorithm. Finally set the target centroid position from the Camshift algorithm iteration as the observation value of the improved Kalman filtering algorithm to fix predictive value; thus to make optimal estimation of target centroid position and keep the target tracking so that the robot can understand the environmental scene and react in time correctly according to the changes. The experiments show that the improved algorithm proposed in this paper shows good performance in target tracking with obstructions and reduces the computational complexity of the algorithm through the dimension reduction.

  12. The Joint Adaptive Kalman Filter (JAKF) for Vehicle Motion State Estimation.

    Science.gov (United States)

    Gao, Siwei; Liu, Yanheng; Wang, Jian; Deng, Weiwen; Oh, Heekuck

    2016-07-16

    This paper proposes a multi-sensory Joint Adaptive Kalman Filter (JAKF) through extending innovation-based adaptive estimation (IAE) to estimate the motion state of the moving vehicles ahead. JAKF views Lidar and Radar data as the source of the local filters, which aims to adaptively adjust the measurement noise variance-covariance (V-C) matrix 'R' and the system noise V-C matrix 'Q'. Then, the global filter uses R to calculate the information allocation factor 'β' for data fusion. Finally, the global filter completes optimal data fusion and feeds back to the local filters to improve the measurement accuracy of the local filters. Extensive simulation and experimental results show that the JAKF has better adaptive ability and fault tolerance. JAKF enables one to bridge the gap of the accuracy difference of various sensors to improve the integral filtering effectivity. If any sensor breaks down, the filtered results of JAKF still can maintain a stable convergence rate. Moreover, the JAKF outperforms the conventional Kalman filter (CKF) and the innovation-based adaptive Kalman filter (IAKF) with respect to the accuracy of displacement, velocity, and acceleration, respectively.

  13. Filtering Meteoroid Flights Using Multiple Unscented Kalman Filters

    Science.gov (United States)

    Sansom, E. K.; Bland, P. A.; Rutten, M. G.; Paxman, J.; Towner, M. C.

    2016-11-01

    Estimator algorithms are immensely versatile and powerful tools that can be applied to any problem where a dynamic system can be modeled by a set of equations and where observations are available. A well designed estimator enables system states to be optimally predicted and errors to be rigorously quantified. Unscented Kalman filters (UKFs) and interactive multiple models can be found in methods from satellite tracking to self-driving cars. The luminous trajectory of the Bunburra Rockhole fireball was observed by the Desert Fireball Network in mid-2007. The recorded data set is used in this paper to examine the application of these two techniques as a viable approach to characterizing fireball dynamics. The nonlinear, single-body system of equations, used to model meteoroid entry through the atmosphere, is challenged by gross fragmentation events that may occur. The incorporation of the UKF within an interactive multiple model smoother provides a likely solution for when fragmentation events may occur as well as providing a statistical analysis of the state uncertainties. In addition to these benefits, another advantage of this approach is its automatability for use within an image processing pipeline to facilitate large fireball data analyses and meteorite recoveries.

  14. Scheme of adaptive polarization filtering based on Kalman model

    Institute of Scientific and Technical Information of China (English)

    Song Lizhong; Qi Haiming; Qiao Xiaolin; Meng Xiande

    2006-01-01

    A new kind of adaptive polarization filtering algorithm in order to suppress the angle cheating interference for the active guidance radar is presented. The polarization characteristic of the interference is dynamically tracked by using Kalman estimator under variable environments with time. The polarization filter parameters are designed according to the polarization characteristic of the interference, and the polarization filtering is finished in the target cell. The system scheme of adaptive polarization filter is studied and the tracking performance of polarization filter and improvement of angle measurement precision are simulated. The research results demonstrate this technology can effectively suppress the angle cheating interference in guidance radar and is feasible in engineering.

  15. Kalman Filter for Generalized 2-D Roesser Models

    Institute of Scientific and Technical Information of China (English)

    SHENG Mei; ZOU Yun

    2007-01-01

    The design problem of the state filter for the generalized stochastic 2-D Roesser models, which appears when both the state and measurement are simultaneously subjected to the interference from white noise, is discussed. The wellknown Kalman filter design is extended to the generalized 2-D Roesser models. Based on the method of "scanning line by line", the filtering problem of generalized 2-D Roesser models with mode-energy reconstruction is solved. The formula of the optimal filtering, which minimizes the variance of the estimation error of the state vectors, is derived. The validity of the designed filter is verified by the calculation steps and the examples are introduced.

  16. Modeling of HVDC in Dynamic State Estimation Using Unscented Kalman Filter Method

    DEFF Research Database (Denmark)

    Khazraj, Hesam; Silva, Filipe Miguel Faria da; Bak, Claus Leth

    2016-01-01

    HVDC transmission is an integral part of various power system networks. This article presents an Unscented Kalman Filter dynamic state estimator algorithm that considers the presence of HVDC links. The AC - DC power flow analysis, which is implemented as power flow solver for Dynamic State...

  17. Real-time tracking for virtual environments using scaat kalman filtering and unsynchronised cameras

    DEFF Research Database (Denmark)

    Rasmussen, Niels Tjørnly; Störring, Morritz; Moeslund, Thomas B.;

    2006-01-01

    to achieve high update rates and to cope with the unsynchronised data a single-constraint-at-a-time (SCAAT) Extended Kalman Filtering approach is used that recursively integrates measurements as soon as they are available one-at-a-time. Tests show that this approach is more robust to occlusions and provides...

  18. Constraining the Ensemble Kalman Filter for improved streamflow forecasting

    Science.gov (United States)

    Maxwell, Deborah; Jackson, Bethanna; McGregor, James

    2016-04-01

    Data assimilation techniques such as the Kalman Filter and its variants are often applied to hydrological models with minimal state volume/capacity constraints. Flux constraints are rarely, if ever, applied. Consequently, model states can be adjusted beyond physically reasonable limits, compromising the integrity of model output. In this presentation, we investigate the effect of constraining the Ensemble Kalman Filter (EnKF) on forecast performance. An EnKF implementation with no constraints is compared to model output with no assimilation, followed by a 'typical' hydrological implementation (in which mass constraints are enforced to ensure non-negativity and capacity thresholds of model states are not exceeded), and then a more tightly constrained implementation where flux as well as mass constraints are imposed to limit the rate of water movement within a state. A three year period (2008-2010) with no significant data gaps and representative of the range of flows observed over the fuller 1976-2010 record was selected for analysis. Over this period, the standard implementation of the EnKF (no constraints) contained eight hydrological events where (multiple) physically inconsistent state adjustments were made. All were selected for analysis. Overall, neither the unconstrained nor the "typically" mass-constrained forecasts were significantly better than the non-filtered forecasts; in fact several were significantly degraded. Flux constraints (in conjunction with mass constraints) significantly improved the forecast performance of six events relative to all other implementations, while the remaining two events showed no significant difference in performance. We conclude that placing flux as well as mass constraints on the data assimilation framework encourages physically consistent state updating and results in more accurate and reliable forward predictions of streamflow for robust decision-making. We also experiment with the observation error, and find that this

  19. Dual extended Kalman filtering in recurrent neural networks(1).

    Science.gov (United States)

    Leung, Chi-Sing; Chan, Lai-Wan

    2003-03-01

    In the classical deterministic Elman model, the estimation of parameters must be very accurate. Otherwise, the system performance is very poor. To improve the system performance, we can use a Kalman filtering algorithm to guide the operation of a trained recurrent neural network (RNN). In this case, during training, we need to estimate the state of hidden layer, as well as the weights of the RNN. This paper discusses how to use the dual extended Kalman filtering (DEKF) for this dual estimation and how to use our proposing DEKF for removing some unimportant weights from a trained RNN. In our approach, one Kalman algorithm is used for estimating the state of the hidden layer, and one recursive least square (RLS) algorithm is used for estimating the weights. After training, we use the error covariance matrix of the RLS algorithm to remove unimportant weights. Simulation showed that our approach is an effective joint-learning-pruning method for RNNs under the online operation.

  20. Parallelized unscented Kalman filters for carrier recovery in coherent optical communication.

    Science.gov (United States)

    Jignesh, Jokhakar; Corcoran, Bill; Lowery, Arthur

    2016-07-15

    We show that unscented Kalman filters can be used to mitigate local oscillator phase noise and to compensate carrier frequency offset in coherent single-carrier optical communication systems. A parallel processing architecture implementing the unscented Kalman filter is proposed, improving upon a previous parallelized linear Kalman filter (LKF) implementation.

  1. GPS/UWB/MEMS-IMU tightly coupled navigation with improved robust Kalman filter

    Science.gov (United States)

    Li, Zengke; Chang, Guobin; Gao, Jingxiang; Wang, Jian; Hernandez, Alberto

    2016-12-01

    The integration of Global Positioning System (GPS) with Inertial Navigation System (INS) has been very intensively developed and widely applied in multiple areas. To further enhance the reliability and availability of GPS/INS integrated navigation in GPS challenging environment, range observation through ultra-wideband (UWB) is introduced in GPS/INS tightly coupled navigation. An improved robust Kalman filter is proposed and used to resist the influence of gross error from UWB observation in GPS/UWB/IMU tightly coupled navigation. The variance of the squared Mahalanobis distance in moving window is calculated, which brings as new judgement factor for gross errors in order to decrease the rate of false outlier identification. A simulation analysis shows that the improved robust Kalman filter is able to correctly identify gross errors and the rate of false judgment as zero. In order to validate the new robust filter, a real experiment is conducted. The results indicate that the improved robust Kalman filter used in GPS/UWB/INS tightly coupled navigation is able to remove the harmful effect of gross error in UWB observation. It clearly illustrates that the improved robust Kalman filter is very effective, and all the simulated small and large gross errors added to UWB distance observation are successfully identified.

  2. Kalman filtering and Standard Quantum Limits for broadband measurement

    CERN Document Server

    Mabuchi, H

    1998-01-01

    I utilize the Caves-Milburn model for continuous position measurements to formulate a broadband version of the Standard Quantum Limit (SQL) for monitoring the position of a free mass, and illustrate the use of Kalman filtering to recover the SQL for estimating a weak classical force that acts on a quantum-mechanical test particle under continuous observation.

  3. Performance enhancement for GPS positioning using constrained Kalman filtering

    Science.gov (United States)

    Guo, Fei; Zhang, Xiaohong; Wang, Fuhong

    2015-08-01

    Over the past decades Kalman filtering (KF) algorithms have been extensively investigated and applied in the area of kinematic positioning. In the application of KF in kinematic precise point positioning (PPP), it is often the case where some known functional or theoretical relations exist among the unknown state parameters, which can be and should be made use of to enhance the performance of kinematic PPP, especially in an urban and forest environment. The central task of this paper is to effectively blend the commonly used GNSS data and internal/external additional constrained information to generate an optimal PPP solution. This paper first investigates the basic algorithm of constrained Kalman filtering. Then two types of PPP model with speed constraints and trajectory constraints, respectively, are proposed. Further validation tests based on a variety of situations show that the positioning performances (positioning accuracy, reliability and continuity) from the constrained Kalman filter are significantly superior to those from the conventional Kalman filter, particularly under extremely poor observation conditions.

  4. Forecasting with the Standardized Self-Perturbed Kalman Filter

    DEFF Research Database (Denmark)

    Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo

    compared to other on-line, classical and Bayesian methods. The standardized self-perturbed Kalman filter is adopted to forecast the equity premium on the S&P500 index under several model specifications, and to investigate to what extent and how realized variance can be exploited to predict excess returns....

  5. Kalman filter techniques for accelerated Cartesian dynamic cardiac imaging.

    Science.gov (United States)

    Feng, Xue; Salerno, Michael; Kramer, Christopher M; Meyer, Craig H

    2013-05-01

    In dynamic MRI, spatial and temporal parallel imaging can be exploited to reduce scan time. Real-time reconstruction enables immediate visualization during the scan. Commonly used view-sharing techniques suffer from limited temporal resolution, and many of the more advanced reconstruction methods are either retrospective, time-consuming, or both. A Kalman filter model capable of real-time reconstruction can be used to increase the spatial and temporal resolution in dynamic MRI reconstruction. The original study describing the use of the Kalman filter in dynamic MRI was limited to non-Cartesian trajectories because of a limitation intrinsic to the dynamic model used in that study. Here the limitation is overcome, and the model is applied to the more commonly used Cartesian trajectory with fast reconstruction. Furthermore, a combination of the Kalman filter model with Cartesian parallel imaging is presented to further increase the spatial and temporal resolution and signal-to-noise ratio. Simulations and experiments were conducted to demonstrate that the Kalman filter model can increase the temporal resolution of the image series compared with view-sharing techniques and decrease the spatial aliasing compared with TGRAPPA. The method requires relatively little computation, and thus is suitable for real-time reconstruction.

  6. Reducing Support Vector Machine Classification Error by Implementing Kalman Filter

    Directory of Open Access Journals (Sweden)

    Muhsin Hassan

    2013-08-01

    Full Text Available The aim of this is to demonstrate the capability of Kalman Filter to reduce Support Vector Machine classification errors in classifying pipeline corrosion depth. In pipeline defect classification, it is important to increase the accuracy of the SVM classification so that one can avoid misclassification which can lead to greater problems in monitoring pipeline defect and prediction of pipeline leakage. In this paper, it is found that noisy data can greatly affect the performance of SVM. Hence, Kalman Filter + SVM hybrid technique has been proposed as a solution to reduce SVM classification errors. The datasets has been added with Additive White Gaussian Noise in several stages to study the effect of noise on SVM classification accuracy. Three techniques have been studied in this experiment, namely SVM, hybrid of Discrete Wavelet Transform + SVM and hybrid of Kalman Filter + SVM. Experiment results have been compared to find the most promising techniques among them. MATLAB simulations show Kalman Filter and Support Vector Machine combination in a single system produced higher accuracy compared to the other two techniques.

  7. Nonlinear Kalman filtering in the presence of additive noise

    Science.gov (United States)

    Kraszewski, Tomasz; Czopik, Grzegorz

    2017-04-01

    Each modern navigation or localization system designed for ground, water or air objects should provide information on the estimated parameters continuously and as accurately as possible. The implementation of such a process requires the application to operate on non-linear transformations. The defined expectations necessitate the use of nonlinear filtering elements with particular emphasis on the extended Kalman filter. The article presents the simulation research elements of this filter type in the aspect of the possibility of its practical implementation. In the initial phase of the study the conclusion was based on nonlinear one-dimensional model. The possibility of improving the precision of the output through the use of unscented Kalman filters was also analyzed.

  8. Autonomous orbit determination via Kalman filtering of gravity gradients

    OpenAIRE

    Sun; Chen,De; Macabiau, Christophe; Han

    2016-01-01

    International audience; Spaceborne gravity gradients are proposed in this paper to provide autonomous orbit determination capabilities for near Earth satellites. The gravity gradients contain useful position information which can be extracted by matching the observations with a precise gravity model. The extended Kalman filter is investigated as the principal estimator. The stochastic model of orbital motion, the measurement equation and the model configuration are discussed for the filter de...

  9. On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles

    KAUST Repository

    Luo, Xiaodong

    2010-09-19

    The ensemble square root filter (EnSRF) [1, 2, 3, 4] is a popular method for data assimilation in high dimensional systems (e.g., geophysics models). Essentially the EnSRF is a Monte Carlo implementation of the conventional Kalman filter (KF) [5, 6]. It is mainly different from the KF at the prediction steps, where it is some ensembles, rather then the means and covariance matrices, of the system state that are propagated forward. In doing this, the EnSRF is computationally more efficient than the KF, since propagating a covariance matrix forward in high dimensional systems is prohibitively expensive. In addition, the EnSRF is also very convenient in implementation. By propagating the ensembles of the system state, the EnSRF can be directly applied to nonlinear systems without any change in comparison to the assimilation procedures in linear systems. However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].

  10. Ensemble Kalman filtering without the intrinsic need for inflation

    Directory of Open Access Journals (Sweden)

    M. Bocquet

    2011-10-01

    Full Text Available The main intrinsic source of error in the ensemble Kalman filter (EnKF is sampling error. External sources of error, such as model error or deviations from Gaussianity, depend on the dynamical properties of the model. Sampling errors can lead to instability of the filter which, as a consequence, often requires inflation and localization. The goal of this article is to derive an ensemble Kalman filter which is less sensitive to sampling errors. A prior probability density function conditional on the forecast ensemble is derived using Bayesian principles. Even though this prior is built upon the assumption that the ensemble is Gaussian-distributed, it is different from the Gaussian probability density function defined by the empirical mean and the empirical error covariance matrix of the ensemble, which is implicitly used in traditional EnKFs. This new prior generates a new class of ensemble Kalman filters, called finite-size ensemble Kalman filter (EnKF-N. One deterministic variant, the finite-size ensemble transform Kalman filter (ETKF-N, is derived. It is tested on the Lorenz '63 and Lorenz '95 models. In this context, ETKF-N is shown to be stable without inflation for ensemble size greater than the model unstable subspace dimension, at the same numerical cost as the ensemble transform Kalman filter (ETKF. One variant of ETKF-N seems to systematically outperform the ETKF with optimally tuned inflation. However it is shown that ETKF-N does not account for all sampling errors, and necessitates localization like any EnKF, whenever the ensemble size is too small. In order to explore the need for inflation in this small ensemble size regime, a local version of the new class of filters is defined (LETKF-N and tested on the Lorenz '95 toy model. Whatever the size of the ensemble, the filter is stable. Its performance without inflation is slightly inferior to that of LETKF with optimally tuned inflation for small interval between updates, and

  11. Ensemble Kalman filtering in presence of inequality constraints

    Science.gov (United States)

    van Leeuwen, P. J.

    2009-04-01

    Kalman filtering is presence of constraints is an active area of research. Based on the Gaussian assumption for the probability-density functions, it looks hard to bring in extra constraints in the formalism. On the other hand, in geophysical systems we often encounter constraints related to e.g. the underlying physics or chemistry, which are violated by the Gaussian assumption. For instance, concentrations are always non-negative, model layers have non-negative thickness, and sea-ice concentration is between 0 and 1. Several methods to bring inequality constraints into the Kalman-filter formalism have been proposed. One of them is probability density function (pdf) truncation, in which the Gaussian mass from the non-allowed part of the variables is just equally distributed over the pdf where the variables are alolwed, as proposed by Shimada et al. 1998. However, a problem with this method is that the probability that e.g. the sea-ice concentration is zero, is zero! The new method proposed here does not have this drawback. It assumes that the probability-density function is a truncated Gaussian, but the truncated mass is not distributed equally over all allowed values of the variables, but put into a delta distribution at the truncation point. This delta distribution can easily be handled with in Bayes theorem, leading to posterior probability density functions that are also truncated Gaussians with delta distributions at the truncation location. In this way a much better representation of the system is obtained, while still keeping most of the benefits of the Kalman-filter formalism. In the full Kalman filter the formalism is prohibitively expensive in large-scale systems, but efficient implementation is possible in ensemble variants of the kalman filter. Applications to low-dimensional systems and large-scale systems will be discussed.

  12. Development of Real-Time Error Ellipses as an Indicator of Kalman Filter Performance.

    Science.gov (United States)

    1984-03-01

    S q often than 3 to 5 seconds. However, before the HP-86 can e considered feasible for real-time Kalman filtr procssinz, more investigaz ion i: needi...Subtitle) S. TYPE OF REPORT & PERIOD COVERED Development of Real-Time Error Master’s Thesis; Ellipses as an Indicator of Kalman March 1984 Filter...SUPP.LEETARY NOTES 19. KEY WORDS (Cmntine on reveo ole, It ndeeaey md Identil by block number) Error Ellipsoids; Kalman Filter; Extended Kalman Filter

  13. Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter

    KAUST Repository

    Luo, Xiaodong

    2011-12-01

    A robust ensemble filtering scheme based on the H∞ filtering theory is proposed. The optimal H∞ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the minimum variance used in the Kalman filter. By design, the H∞ filter is more robust than the Kalman filter, in the sense that the estimation error in the H∞ filter in general has a finite growth rate with respect to the uncertainties in assimilation, except for a special case that corresponds to the Kalman filter. The original form of the H∞ filter contains global constraints in time, which may be inconvenient for sequential data assimilation problems. Therefore a variant is introduced that solves some time-local constraints instead, and hence it is called the time-local H∞ filter (TLHF). By analogy to the ensemble Kalman filter (EnKF), the concept of ensemble time-local H∞ filter (EnTLHF) is also proposed. The general form of the EnTLHF is outlined, and some of its special cases are discussed. In particular, it is shown that an EnKF with certain covariance inflation is essentially an EnTLHF. In this sense, the EnTLHF provides a general framework for conducting covariance inflation in the EnKF-based methods. Some numerical examples are used to assess the relative robustness of the TLHF–EnTLHF in comparison with the corresponding KF–EnKF method.

  14. Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation.

    Science.gov (United States)

    Liu, Xi; Qu, Hua; Zhao, Jihong; Yue, Pengcheng; Wang, Meng

    2016-09-20

    A new algorithm called maximum correntropy unscented Kalman filter (MCUKF) is proposed and applied to relative state estimation in space communication networks. As is well known, the unscented Kalman filter (UKF) provides an efficient tool to solve the non-linear state estimate problem. However, the UKF usually plays well in Gaussian noises. Its performance may deteriorate substantially in the presence of non-Gaussian noises, especially when the measurements are disturbed by some heavy-tailed impulsive noises. By making use of the maximum correntropy criterion (MCC), the proposed algorithm can enhance the robustness of UKF against impulsive noises. In the MCUKF, the unscented transformation (UT) is applied to obtain a predicted state estimation and covariance matrix, and a nonlinear regression method with the MCC cost is then used to reformulate the measurement information. Finally, the UT is adopted to the measurement equation to obtain the filter state and covariance matrix. Illustrative examples demonstrate the superior performance of the new algorithm.

  15. Research on Kalman-filter based multisensor data fusion

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Multisensor data fusion has played a significant role in diverse areas ranging from local robot guidance to global military theatre defense etc.Various multisensor data fusion methods have been extensively investigated by researchers,of which Klaman filtering is one of the most important.Kalman filtering is the best-known recursive least mean-square algorithm to optimally estimate the unknown.states of a dynamic system,which has found widespread application in many areas.The scope of the work is restricted to investigate the various data fusion and track fusion techniques based on the Kalman Filter methods.then a new method of state fusion is proposed.Finally the simulation results demonstrate the effectiveness of the introduced method.

  16. Weighted ensemble transform Kalman filter for image assimilation

    Directory of Open Access Journals (Sweden)

    Sebastien Beyou

    2013-01-01

    Full Text Available This study proposes an extension of the Weighted Ensemble Kalman filter (WEnKF proposed by Papadakis et al. (2010 for the assimilation of image observations. The main focus of this study is on a novel formulation of the Weighted filter with the Ensemble Transform Kalman filter (WETKF, incorporating directly as a measurement model a non-linear image reconstruction criterion. This technique has been compared to the original WEnKF on numerical and real world data of 2-D turbulence observed through the transport of a passive scalar. In particular, it has been applied for the reconstruction of oceanic surface current vorticity fields from sea surface temperature (SST satellite data. This latter technique enables a consistent recovery along time of oceanic surface currents and vorticity maps in presence of large missing data areas and strong noise.

  17. Observation Quality Control with a Robust Ensemble Kalman Filter

    KAUST Repository

    Roh, Soojin

    2013-12-01

    Current ensemble-based Kalman filter (EnKF) algorithms are not robust to gross observation errors caused by technical or human errors during the data collection process. In this paper, the authors consider two types of gross observational errors, additive statistical outliers and innovation outliers, and introduce a method to make EnKF robust to gross observation errors. Using both a one-dimensional linear system of dynamics and a 40-variable Lorenz model, the performance of the proposed robust ensemble Kalman filter (REnKF) was tested and it was found that the new approach greatly improves the performance of the filter in the presence of gross observation errors and leads to only a modest loss of accuracy with clean, outlier-free, observations.

  18. An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    A non-periodic oscillatory behavior of the unscented Kalman filter (UKF) when used to filter noisy contaminated chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may not converge or diverge but oscillate aperiodically. More precisely, when a nonlinear system is periodic, the Kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, the Kalman gain either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically.

  19. Series load induction heating inverter state estimator using Kalman filter

    Directory of Open Access Journals (Sweden)

    Szelitzky T.

    2011-12-01

    Full Text Available LQR and H2 controllers require access to the states of the controlled system. The method based on description function with Fourier series results in a model with immeasurable states. For this reason, we proposed a Kalman filter based state estimator, which not only filters the input signals, but also computes the unobservable states of the system. The algorithm of the filter was implemented in LabVIEW v8.6 and tested on recorded data obtained from a 10-40 kHz series load frequency controlled induction heating inverter.

  20. A Hierarchical Bayes Ensemble Kalman Filter

    Science.gov (United States)

    Tsyrulnikov, Michael; Rakitko, Alexander

    2017-01-01

    A new ensemble filter that allows for the uncertainty in the prior distribution is proposed and tested. The filter relies on the conditional Gaussian distribution of the state given the model-error and predictability-error covariance matrices. The latter are treated as random matrices and updated in a hierarchical Bayes scheme along with the state. The (hyper)prior distribution of the covariance matrices is assumed to be inverse Wishart. The new Hierarchical Bayes Ensemble Filter (HBEF) assimilates ensemble members as generalized observations and allows ordinary observations to influence the covariances. The actual probability distribution of the ensemble members is allowed to be different from the true one. An approximation that leads to a practicable analysis algorithm is proposed. The new filter is studied in numerical experiments with a doubly stochastic one-variable model of "truth". The model permits the assessment of the variance of the truth and the true filtering error variance at each time instance. The HBEF is shown to outperform the EnKF and the HEnKF by Myrseth and Omre (2010) in a wide range of filtering regimes in terms of performance of its primary and secondary filters.

  1. Orchard navigation using derivative free Kalman filtering

    DEFF Research Database (Denmark)

    Hansen, Søren; Bayramoglu, Enis; Andersen, Jens Christian

    2011-01-01

    This paper describes the use of derivative free filters for mobile robot localization and navigation in an orchard. The localization algorithm fuses odometry and gyro measurements with line features representing the surrounding fruit trees of the orchard. The line features are created on basis of 2......D laser scanner data by a least square algorithm. The three derivative free filters are compared to an EKF based localization method on a typical run covering four rows in the orchard. The Matlab R toolbox Kalmtool is used for easy switching between different filter implementations without the need...

  2. Kalman filtering naturally accounts for visually guided and predictive smooth pursuit dynamics.

    Science.gov (United States)

    Orban de Xivry, Jean-Jacques; Coppe, Sébastien; Blohm, Gunnar; Lefèvre, Philippe

    2013-10-30

    The brain makes use of noisy sensory inputs to produce eye, head, or arm motion. In most instances, the brain combines this sensory information with predictions about future events. Here, we propose that Kalman filtering can account for the dynamics of both visually guided and predictive motor behaviors within one simple unifying mechanism. Our model relies on two Kalman filters: (1) one processing visual information about retinal input; and (2) one maintaining a dynamic internal memory of target motion. The outputs of both Kalman filters are then combined in a statistically optimal manner, i.e., weighted with respect to their reliability. The model was tested on data from several smooth pursuit experiments and reproduced all major characteristics of visually guided and predictive smooth pursuit. This contrasts with the common belief that anticipatory pursuit, pursuit maintenance during target blanking, and zero-lag pursuit of sinusoidally moving targets all result from different control systems. This is the first instance of a model integrating all aspects of pursuit dynamics within one coherent and simple model and without switching between different parallel mechanisms. Our model suggests that the brain circuitry generating a pursuit command might be simpler than previously believed and only implement the functional equivalents of two Kalman filters whose outputs are optimally combined. It provides a general framework of how the brain can combine continuous sensory information with a dynamic internal memory and transform it into motor commands.

  3. Streamflow Data Assimilation in SWAT Model Using Extended Kalman Filter

    Science.gov (United States)

    Sun, L.; Nistor, I.; Seidou, O.

    2014-12-01

    Although Extended Kalman Filter (EKF) is regarded as the de facto method for the application of Kalman Filter in non-linear system, it's application to complex distributed hydrological models faces a lot of challenges. Ensemble Kalman Filter (EnKF) is often preferred because it avoids the calculation of the linearization Jacobian Matrix and the propagation of estimation error covariance. EnKF is however difficult to apply to large models because of the huge computation demand needed for parallel propagation of ensemble members. This paper deals with the application of EKF in stream flow prediction using the SWAT model in the watershed of Senegal River, West Africa. In the Jacobian Matrix calculation, SWAT is regarded as a black box model and the derivatives are calculated in the form of differential equations. The state vector is the combination of runoff, soil, shallow aquifer and deep aquifer water contents. As an initial attempt, only stream flow observations are assimilated. Despite the fact that EKF is a sub-optimal filter, the coupling of EKF significantly improves the estimation of daily streamflow. The results of SWAT+EKF are also compared to those of a simpler quasi linear streamflow prediction model where both state and parameters are updated with the EKF.

  4. Multiple Fading Factors Kalman Filter for SINS Static Alignment Application

    Institute of Scientific and Technical Information of China (English)

    GAO Weixi; MIAO Lingjuan; NI Maolin

    2011-01-01

    To solve the problem that the standard Kalman filter cannot give the optimal solution when the system model and stochastic information are unknown accurately,single fading factor Kalman filter is suitable for simple systems.But for complex systems with multi-variable,it may not be sufficient to use single fading factor as a multiplier for the covariance matrices.In this paper,a new multiple fading factors Kalman filtering algorithm is presented.By calculating the unbiased estimate of the innovation sequence covariance using fenestration,the fading factor matrix is obtained.Adjusting the covariance matrix of prediction error Pk|k-1 using fading factor matrix,the algorithm provides different rates of fading for different filter channels.The proposed algorithm is applied to strapdown inertial navigation system(SINS) initial alignment,and simulation and experimental results demonstrate that,the alignment accuracy can be upgraded dramatically when the actual system noise characteristics are different from the pre-set values.The new algorithm is less sensitive to uncertainty noise and has better estimation effect of the parameters.Therefore,it is of significant value in practical applications.

  5. Acoustic cardiac signals analysis: a Kalman filter-based approach.

    Science.gov (United States)

    Salleh, Sheik Hussain; Hussain, Hadrina Sheik; Swee, Tan Tian; Ting, Chee-Ming; Noor, Alias Mohd; Pipatsart, Surasak; Ali, Jalil; Yupapin, Preecha P

    2012-01-01

    Auscultation of the heart is accompanied by both electrical activity and sound. Heart auscultation provides clues to diagnose many cardiac abnormalities. Unfortunately, detection of relevant symptoms and diagnosis based on heart sound through a stethoscope is difficult. The reason GPs find this difficult is that the heart sounds are of short duration and separated from one another by less than 30 ms. In addition, the cost of false positives constitutes wasted time and emotional anxiety for both patient and GP. Many heart diseases cause changes in heart sound, waveform, and additional murmurs before other signs and symptoms appear. Heart-sound auscultation is the primary test conducted by GPs. These sounds are generated primarily by turbulent flow of blood in the heart. Analysis of heart sounds requires a quiet environment with minimum ambient noise. In order to address such issues, the technique of denoising and estimating the biomedical heart signal is proposed in this investigation. Normally, the performance of the filter naturally depends on prior information related to the statistical properties of the signal and the background noise. This paper proposes Kalman filtering for denoising statistical heart sound. The cycles of heart sounds are certain to follow first-order Gauss-Markov process. These cycles are observed with additional noise for the given measurement. The model is formulated into state-space form to enable use of a Kalman filter to estimate the clean cycles of heart sounds. The estimates obtained by Kalman filtering are optimal in mean squared sense.

  6. An Unbiased Unscented Transform Based Kalman Filter for 3D Radar

    Institute of Scientific and Technical Information of China (English)

    WANGGuohong; XIUJianjuan; HEYou

    2004-01-01

    As a derivative-free alternative to the Extended Kalman filter (EKF) in the framework of state estimation, the Unscented Kalman filter (UKF) has potential applications in nonlinear filtering. By noting the fact that the unscented transform is generally biased when converting the radar measurements from spherical coordinates into Cartesian coordinates, a new filtering algorithm for 3D radar, called Unbiased unscented Kalman filter (UUKF), is proposed. The new algorithm is validated by Monte Carlo simulation runs. Simulation results show that the UUKF is more effective than the UKF, EKF and the Converted measurement Kalman filter (CMKF).

  7. The Reduced Rank of Ensemble Kalman Filter to Estimate the Temperature of Non Isothermal Continue Stirred Tank Reactor

    OpenAIRE

    Erna Apriliani; Dieky Adzkiya; Arief Baihaqi

    2011-01-01

    Kalman filter is an algorithm to estimate the state variable of dynamical stochastic system. The square root ensemble Kalman filter is an modification of Kalman filter. The square root ensemble Kalman filter is proposed to keep the computational stability and reduce the computational time. In this paper we study the efficiency of the reduced rank ensemble Kalman filter. We apply this algorithm to the non isothermal continue stirred tank reactor problem. We decompose the covariance of the ense...

  8. Robust tracking with spatio-velocity snakes: Kalman filtering approach

    Energy Technology Data Exchange (ETDEWEB)

    Peterfreund, N.

    1998-12-31

    Using results from robust Kalman filtering, we present a new Kalman filter-based snake model for tracking of nonrigid objects in combined spatio-velocity space. The proposed model is the stochastic version of the velocity snake, an active contour model for combined tracking of position and velocity of nonrigid boundaries. The proposed model uses image gradient and optical flow measurements along the contour as system measurements. An optical-flow based measurement error is used to detect and reject image measurements which correspond to image clutter or to other objects. The method was applied to object tracking of both rigid and nonrigid objects, resulting in good tracking results and robustness to image clutter, occlusions and numerical noise. 19 refs., 3 figs.

  9. Robust tracking with spatio-velocity snakes: Kalman filtering approach

    Energy Technology Data Exchange (ETDEWEB)

    Peterfreund, N.

    1997-06-01

    Using results from robust Kalman filtering, the author presents a new Kalman filter-based snake model for tracking of nonrigid objects in combined spatio-velocity space. The proposed model is the stochastic version of the velocity snake, an active contour model for combined tracking of position and velocity of nonrigid boundaries. The proposed model uses image gradient and optical flow measurements along the contour as system measurements. An optical-flow based measurement error is used to detect and reject image measurements which correspond to image clutter or to other objects. The method was applied to object tracking of both rigid and nonrigid objects, resulting in good tracking results and robustness to image clutter, occlusions and numerical noise.

  10. A Multiresolution Ensemble Kalman Filter using Wavelet Decomposition

    CERN Document Server

    Hickmann, Kyle S

    2015-01-01

    We present a method of using classical wavelet based multiresolution analysis to separate scales in model and observations during data assimilation with the ensemble Kalman filter. In many applications, the underlying physics of a phenomena involve the interaction of features at multiple scales. Blending of observational and model error across scales can result in large forecast inaccuracies since large errors at one scale are interpreted as inexact data at all scales. Our method uses a transformation of the observation operator in order to separate the information from different scales of the observations. This naturally induces a transformation of the observation covariance and we put forward several algorithms to efficiently compute the transformed covariance. Another advantage of our multiresolution ensemble Kalman filter is that scales can be weighted independently to adjust each scale's effect on the forecast. To demonstrate feasibility we present applications to a one dimensional Kuramoto-Sivashinsky (...

  11. Spacecraft Dynamics Should be Considered in Kalman Filter Attitude Estimation

    Science.gov (United States)

    Yang, Yaguang; Zhou, Zhiqiang

    2016-01-01

    Kalman filter based spacecraft attitude estimation has been used in some high-profile missions and has been widely discussed in literature. While some models in spacecraft attitude estimation include spacecraft dynamics, most do not. To our best knowledge, there is no comparison on which model is a better choice. In this paper, we discuss the reasons why spacecraft dynamics should be considered in the Kalman filter based spacecraft attitude estimation problem. We also propose a reduced quaternion spacecraft dynamics model which admits additive noise. Geometry of the reduced quaternion model and the additive noise are discussed. This treatment is more elegant in mathematics and easier in computation. We use some simulation example to verify our claims.

  12. Multiplicative Quaternion Extended Kalman Filtering for Nonspinning Guided Projectiles

    Science.gov (United States)

    2013-07-01

    micro- electromechanical system ( MEMS ) gyroscopes have been able to measure the spin-rates of fin- stabilized projectiles such as mortars, which...model, the statistics of the gyroscope and accelerometer noise are measureable, and can be easily incorporated into an extended Kalman filtering...tradeoff between affordability, durability, and performance. Automotive-grade MEMS components have been used in the harsh gun-launch environment for

  13. Unscented Kalman Filter for Autonomous Warship Attitude Determination

    Institute of Scientific and Technical Information of China (English)

    FU Jian-guo; WANG Xiao-tong; JIN Lian-gan; MA Ye

    2005-01-01

    To address a problem of autonomous attitude determination algorithm using gravitational field and geomagnetic field observation, a new recursive optimization autonomous attitude estimation algorithm is proposed. The algorithm is based on unscented Kalman filter(UKF), and can synchronously provide the attitude rate information. The simulated results show that the measurement precision of the method could be increased by 2 times compared to that of the common methods.

  14. Robust Optical User Motion Tracking Using a Kalman Filter

    OpenAIRE

    Dorfmüller-Ulhaas, Klaus

    2007-01-01

    Optical tracking has a great future in applications of virtual and augmented reality. It will assist to enhance the acceptance of virtual reality user interfaces, since optical tracking allows wireless interaction and precise tracking. Existing commercial motion capture systems are neither working reliably in real-time. Additionally, only few optical trackers can smooth and predict motion and include a motion estimator supplying similar results to the presented approach. A Kalman filter formu...

  15. Adaptive high-gain extended kalman filter and applications

    OpenAIRE

    Boizot, Nicolas Richard

    2010-01-01

    The work concerns the ``observability problem” --- the reconstruction of a dynamic process's full state from a partially measured state--- for nonlinear dynamic systems. The Extended Kalman Filter (EKF) is a widely-used observer for such nonlinear systems. However it suffers from a lack of theoretical justifications and displays poor performance when the estimated state is far from the real state, e.g. due to large perturbations, a poor initial state estimate, etc… We propose a solution to...

  16. Localization of Wheeled Mobile Robot Based on Extended Kalman Filtering

    Directory of Open Access Journals (Sweden)

    Li Guangxu

    2015-01-01

    Full Text Available A mobile robot localization method which combines relative positioning with absolute orientation is presented. The code salver and gyroscope are used for relative positioning, and the laser radar is used to detect absolute orientation. In this paper, we established environmental map, multi-sensor information fusion model, sensors and robot motion model. The Extended Kalman Filtering (EKF is adopted as multi-sensor data fusion technology to realize the precise localization of wheeled mobile robot.

  17. Improvements of Analog Neural Networks Based on Kalman Filter

    Directory of Open Access Journals (Sweden)

    Z. Raida

    2002-04-01

    Full Text Available In the paper, original improvements of recurrent analog neuralnetworks, which are based on Kalman filter, are presented. Theseimprovements eliminate some disadvantages of the classical Kalmanneural network and enable a real time processing of quickly changingsignals, which appear in adaptive antennas and similar applications.This goal is reached using such circuit elements, which increase theconvergence rate of the network and decrease the dependence ofconvergence rate on the ratio of eigenvalues of the correlation matrixof input signals.

  18. Kalman Filter Based Tracking in an Video Surveillance System

    OpenAIRE

    SULIMAN, C.; CRUCERU, C.; Moldoveanu, F.

    2010-01-01

    In this paper we have developed a Matlab/Simulink based model for monitoring a contact in a video surveillance sequence. For the segmentation process and corect identification of a contact in a surveillance video, we have used the Horn-Schunk optical flow algorithm. The position and the behavior of the correctly detected contact were monitored with the help of the traditional Kalman filter. After that we have compared the results obtained from the optical flow method with the ones obtaine...

  19. SUBSTANTIATION OF THE PUBLIC DEBT SUSTAINABILITY USING KALMAN FILTER

    Directory of Open Access Journals (Sweden)

    Bolos Marcel

    2011-12-01

    Full Text Available Global economic conditions have pushed many countries into the delicate situation of contracting foreign loans, leading overnight at alarming volumes of public debt. The need for control and relevant analysis for the sustainability of a country's public debt has led us to use the Kalman filter in predicting future values of the key indicators of public debt. The development of a mathematical model of analysis for public services and the budget deficit was necessary to objectively assess the level of the public debt sustainability.Knowing future values of the public debt or the future evolutions of the revenues for the operational budget, offers the posibility of a better handling of the operational expenditures and finally a better balance for the public budget deficit.Using the mathematical mechanism of Kalman filters implemented in Matlab programming language, we generated the estimated future values of the proposed model proposed and key indicators, the results confirming the fears of a low public debt sustainability for Romania.We predicted the future values for the debt service, the public external debt and the operational public revenues,expenditures and deficit, and compared them, to obtain an image of the future evolution and position of the sustainability of the public debt. The work in this paper is an innovative one for the public science sector, and the results obtained are promising for future researches. The values estimated by the Kalman filter are an orientation for the future public policies, and indicate a rather stable but negative evolution for the public debt service. The sustainability of the public debt depends on the decisions taken for the correction of the estimated values, in changing the negative evolution of the budgetary indicators into a positive one.Taking all this into consideration we will conclude that the mathematical mecanism of the Kalman filters offers valuable informations for Government and future

  20. IASI Radiance Data Assimilation in Local Ensemble Transform Kalman Filter

    Science.gov (United States)

    Cho, K.; Hyoung-Wook, C.; Jo, Y.

    2016-12-01

    Korea institute of Atmospheric Prediction Systems (KIAPS) is developing NWP model with data assimilation systems. Local Ensemble Transform Kalman Filter (LETKF) system, one of the data assimilation systems, has been developed for KIAPS Integrated Model (KIM) based on cubed-sphere grid and has successfully assimilated real data. LETKF data assimilation system has been extended to 4D- LETKF which considers time-evolving error covariance within assimilation window and IASI radiance data assimilation using KPOP (KIAPS package for observation processing) with RTTOV (Radiative Transfer for TOVS). The LETKF system is implementing semi operational prediction including conventional (sonde, aircraft) observation and AMSU-A (Advanced Microwave Sounding Unit-A) radiance data from April. Recently, the semi operational prediction system updated radiance observations including GPS-RO, AMV, IASI (Infrared Atmospheric Sounding Interferometer) data at July. A set of simulation of KIM with ne30np4 and 50 vertical levels (of top 0.3hPa) were carried out for short range forecast (10days) within semi operation prediction LETKF system with ensemble forecast 50 members. In order to only IASI impact, our experiments used only conventional and IAIS radiance data to same semi operational prediction set. We carried out sensitivity test for IAIS thinning method (3D and 4D). IASI observation number was increased by temporal (4D) thinning and the improvement of IASI radiance data impact on the forecast skill of model will expect.

  1. Orchard navigation using derivative free Kalman filtering

    DEFF Research Database (Denmark)

    Hansen, Søren; Bayramoglu, Enis; Andersen, Jens Christian

    2011-01-01

    This paper describes the use of derivative free filters for mobile robot localization and navigation in an orchard. The localization algorithm fuses odometry and gyro measurements with line features representing the surrounding fruit trees of the orchard. The line features are created on basis of 2...

  2. Relationship between Allan variances and Kalman Filter parameters

    Science.gov (United States)

    Vandierendonck, A. J.; Mcgraw, J. B.; Brown, R. G.

    1984-01-01

    A relationship was constructed between the Allan variance parameters (H sub z, H sub 1, H sub 0, H sub -1 and H sub -2) and a Kalman Filter model that would be used to estimate and predict clock phase, frequency and frequency drift. To start with the meaning of those Allan Variance parameters and how they are arrived at for a given frequency source is reviewed. Although a subset of these parameters is arrived at by measuring phase as a function of time rather than as a spectral density, they all represent phase noise spectral density coefficients, though not necessarily that of a rational spectral density. The phase noise spectral density is then transformed into a time domain covariance model which can then be used to derive the Kalman Filter model parameters. Simulation results of that covariance model are presented and compared to clock uncertainties predicted by Allan variance parameters. A two state Kalman Filter model is then derived and the significance of each state is explained.

  3. Autonomous Orbit Determination via Kalman Filtering of Gravity Gradients

    CERN Document Server

    Sun, Xiucong; Macabiau, Christophe; Han, Chao

    2016-01-01

    Spaceborne gravity gradients are proposed in this paper to provide autonomous orbit determination capabilities for near Earth satellites. The gravity gradients contain useful position information which can be extracted by matching the observations with a precise gravity model. The extended Kalman filter is investigated as the principal estimator. The stochastic model of orbital motion, the measurement equation and the model configuration are discussed for the filter design. An augmented state filter is also developed to deal with unknown significant measurement biases. Simulations are conducted to analyze the effects of initial errors, data-sampling periods, orbital heights, attitude and gradiometer noise levels, and measurement biases. Results show that the filter performs well with additive white noise observation errors. Degraded observability for the along-track position is found for the augmented state filter. Real flight data from the GOCE satellite are used to test the algorithm. Radial and cross-track...

  4. Sensor Fusion Based on an Integrated Neural Network and Probability Density Function (PDF) Dual Kalman Filter for On-Line Estimation of Vehicle Parameters and States.

    Science.gov (United States)

    Vargas-Melendez, Leandro; Boada, Beatriz L; Boada, Maria Jesus L; Gauchia, Antonio; Diaz, Vicente

    2017-04-29

    Vehicles with a high center of gravity (COG), such as light trucks and heavy vehicles, are prone to rollover. This kind of accident causes nearly 33 % of all deaths from passenger vehicle crashes. Nowadays, these vehicles are incorporating roll stability control (RSC) systems to improve their safety. Most of the RSC systems require the vehicle roll angle as a known input variable to predict the lateral load transfer. The vehicle roll angle can be directly measured by a dual antenna global positioning system (GPS), but it is expensive. For this reason, it is important to estimate the vehicle roll angle from sensors installed onboard in current vehicles. On the other hand, the knowledge of the vehicle's parameters values is essential to obtain an accurate vehicle response. Some of vehicle parameters cannot be easily obtained and they can vary over time. In this paper, an algorithm for the simultaneous on-line estimation of vehicle's roll angle and parameters is proposed. This algorithm uses a probability density function (PDF)-based truncation method in combination with a dual Kalman filter (DKF), to guarantee that both vehicle's states and parameters are within bounds that have a physical meaning, using the information obtained from sensors mounted on vehicles. Experimental results show the effectiveness of the proposed algorithm.

  5. An adaptive Kalman filter for ECG signal enhancement.

    Science.gov (United States)

    Vullings, Rik; de Vries, Bert; Bergmans, Jan W M

    2011-04-01

    The ongoing trend of ECG monitoring techniques to become more ambulatory and less obtrusive generally comes at the expense of decreased signal quality. To enhance this quality, consecutive ECG complexes can be averaged triggered on the heartbeat, exploiting the quasi-periodicity of the ECG. However, this averaging constitutes a tradeoff between improvement of the SNR and loss of clinically relevant physiological signal dynamics. Using a bayesian framework, in this paper, a sequential averaging filter is developed that, in essence, adaptively varies the number of complexes included in the averaging based on the characteristics of the ECG signal. The filter has the form of an adaptive Kalman filter. The adaptive estimation of the process and measurement noise covariances is performed by maximizing the bayesian evidence function of the sequential ECG estimation and by exploiting the spatial correlation between several simultaneously recorded ECG signals, respectively. The noise covariance estimates thus obtained render the filter capable of ascribing more weight to newly arriving data when these data contain morphological variability, and of reducing this weight in cases of no morphological variability. The filter is evaluated by applying it to a variety of ECG signals. To gauge the relevance of the adaptive noise-covariance estimation, the performance of the filter is compared to that of a Kalman filter with fixed, (a posteriori) optimized noise covariance. This comparison demonstrates that, without using a priori knowledge on signal characteristics, the filter with adaptive noise estimation performs similar to the filter with optimized fixed noise covariance, favoring the adaptive filter in cases where no a priori information is available or where signal characteristics are expected to fluctuate.

  6. A Kalman Filter Integrated Navigation Design for the IAR Twin Otter Atmospheric Research Aircraft (Methode de Navigation Integree a Filtre de Kalman Destinee au Twin Otter de L’Ira Charge des Recherches Atmospheriques)

    Science.gov (United States)

    1991-04-01

    A FILTRE DE KALMAN DESTINEE AU TWIN OTTER DE LIRA CHARGE DES RECHERCHES ATMOSPHERIQUES A4%.’s~ion o by :Di RATAI B.W. Leach____________ Institute for...navigation ant fait I’objet de travaux ant~rieurs de mise au point qui ant ddmantr6 qu’un dispositif de navigation int~gr6e A filtre Kalman pr~sentait...I’ensembls des d6tecteurs instafls A bard du Twin Otter s’est traduite par la passibilit6 de g~n~rer, par le biais d’un filtre de Kalman , des donn~es

  7. A COMPARISON OF TWO METHODS FADING MEMORY FILTER AND ADAPTIVE KALMAN FILTER IN MONITORING CRUSTAL MOVEMENT

    Directory of Open Access Journals (Sweden)

    Cahit Tağı ÇELİK

    2004-01-01

    Full Text Available Monitoring the Crustal Movement in Geodesy is performed by the deformation survey and analysis. If monitoring the crustal movements involves more than two epochs of survey campaign then from the plate tectonic theory, stations do not move randomly from one epoch to the other, therefore Kalman Filter may be suitable to use. However, if sudden movements happened in the crust in particular earthquake happened, the crust moves very fast in a very short period of time. When Kalman Filter used for monitoring these movements, from associated epoch, for a number of epochs the results may be biased. In the paper, comparison of two methods for elimination of the above mentioned biases have been performed. These methods are Fading Memory Filter and Adaptive Kalman Filter for an unknown bias.

  8. A new iterative speech enhancement scheme based on Kalman filtering

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2005-01-01

    Subtraction filter is introduced as an initialization procedure. Iterations are then made sequential inter-frame, exploiting the fact that the AR model changes slowly between neighboring frames. The proposed algorithm is computationally more efficient than a baseline EM algorithm due to its fast convergence...... for a high temporal resolution estimation of this variance. A Local Variance Estimator based on a Prediction Error Kalman Filter is designed for this high temporal resolution variance estimation. To achieve fast convergence and avoid local maxima of the likelihood function, a Weighted Power Spectral...

  9. Kalman filtering for time-delayed linear systems

    Institute of Scientific and Technical Information of China (English)

    LU Xiao; WANG Wei

    2006-01-01

    This paper is to study the linear minimum variance estimation for discrete- time systems. A simple approach to the problem is presented by developing re-organized innovation analysis for the systems with instantaneous and double time-delayed measurements. It is shown that the derived estimator involves solving three different standard Kalman filtering with the same dimension as the original system. The obtained results form the basis for solving some complicated problems such as H∞ fixed-lag smoothing, preview control, H∞ filtering and control with time delays.

  10. Comparison of Unscented Kalman Filter and Unscented Schmidt Kalman Filter in Predicting Attitude and Associated Uncertainty of a Geosynchronous Satellite

    Science.gov (United States)

    2014-09-01

    attitude estimate. 1. INTRODUCTION The utility of using brightness ( radiometric flux intensity) measurements to determine a space object (SO)’s...a penalty for failing to comply with a collection of information if it does not display a currently valid OMB control number. 1. REPORT DATE SEP...2014 2. REPORT TYPE 3. DATES COVERED 00-00-2014 to 00-00-2014 4. TITLE AND SUBTITLE Comparison of Unscented Kalman Filter and Unscented Schmidt

  11. Software Would Largely Automate Design of Kalman Filter

    Science.gov (United States)

    Chuang, Jason C. H.; Negast, William J.

    2005-01-01

    Embedded Navigation Filter Automatic Designer (ENFAD) is a computer program being developed to automate the most difficult tasks in designing embedded software to implement a Kalman filter in a navigation system. The most difficult tasks are selection of error states of the filter and tuning of filter parameters, which are timeconsuming trial-and-error tasks that require expertise and rarely yield optimum results. An optimum selection of error states and filter parameters depends on navigation-sensor and vehicle characteristics, and on filter processing time. ENFAD would include a simulation module that would incorporate all possible error states with respect to a given set of vehicle and sensor characteristics. The first of two iterative optimization loops would vary the selection of error states until the best filter performance was achieved in Monte Carlo simulations. For a fixed selection of error states, the second loop would vary the filter parameter values until an optimal performance value was obtained. Design constraints would be satisfied in the optimization loops. Users would supply vehicle and sensor test data that would be used to refine digital models in ENFAD. Filter processing time and filter accuracy would be computed by ENFAD.

  12. Applications of Kalman Filtering to nuclear material control. [Kalman filtering and linear smoothing for detecting nuclear material losses

    Energy Technology Data Exchange (ETDEWEB)

    Pike, D.H.; Morrison, G.W.; Westley, G.W.

    1977-10-01

    The feasibility of using modern state estimation techniques (specifically Kalman Filtering and Linear Smoothing) to detect losses of material from material balance areas is evaluated. It is shown that state estimation techniques are not only feasible but in most situations are superior to existing methods of analysis. The various techniques compared include Kalman Filtering, linear smoothing, standard control charts, and average cumulative summation (CUSUM) charts. Analysis results indicated that the standard control chart is the least effective method for detecting regularly occurring losses. An improvement in the detection capability over the standard control chart can be realized by use of the CUSUM chart. Even more sensitivity in the ability to detect losses can be realized by use of the Kalman Filter and the linear smoother. It was found that the error-covariance matrix can be used to establish limits of error for state estimates. It is shown that state estimation techniques represent a feasible and desirable method of theft detection. The technique is usually more sensitive than the CUSUM chart in detecting losses. One kind of loss which is difficult to detect using state estimation techniques is a single isolated loss. State estimation procedures are predicated on dynamic models and are well-suited for detecting losses which occur regularly over several accounting periods. A single isolated loss does not conform to this basic assumption and is more difficult to detect.

  13. VLBI real-time analysis by Kalman Filtering

    Science.gov (United States)

    Karbon, Maria; Soja, Benedikt; Nilson, Tobias; Heinkelmann, Robert; Liu, Li; Lu, Ciuxian; Xu, Minghui; Raposo-Pulido, Virginia; Mora-Diaz, Julian; Schuh, Harald

    2014-05-01

    Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques. It provides the full set of Earth Orientation Parameter (EOP) and is unique for observing long term Universal Time (UT1) and precession/nutation. Currently the VLBI products are delivered with a delay of about two weeks from the moment of the observation. However, the need for near-real time estimates of the parameters is increasing, e.g. for satellite based navigation and positioning or for enabling precise tracking of interplanetary spacecraft. The goal is thus to reduce the time span between observation and the final result to less than one day. This can be archived by replacing the classical least squares method with an adaptive Kalman filter. We have developed a Kalman filter for VLBI data analysis. This method has the advantage that it is simultaneously possible to estimate stationary parameters, e.g. station positions, and to model the highly variable stochastic behavior of non-stationary parameters like clocks or atmospheric parameters. The filter is able to perform without any human interaction, making it a completely autonomous tool. In this work we describe the filter and discuss its application for EOP determination and prediction. We discuss the implementation of the stochastic models to statistically account for unpredictable changes in EOP. Furthermore, additional data like results from other techniques can be included to improve the performance. For example, atmospheric angular momentum calculated from numerical weather models can be introduced to supplement the short-term prediction of UT1 and polar motion. This Kalman filter will be extended and embedded in the newly developed Vienna VLBI Software (VieVS) as a completely autonomous tool enabling the VLBI analysis in near real-time and providing all the parameters of interest with the highest possible accuracy.

  14. Real-Time Diagnosis of Faults Using a Bank of Kalman Filters

    Science.gov (United States)

    Kobayashi, Takahisa; Simon, Donald L.

    2006-01-01

    A new robust method of automated real-time diagnosis of faults in an aircraft engine or a similar complex system involves the use of a bank of Kalman filters. In order to be highly reliable, a diagnostic system must be designed to account for the numerous failure conditions that an aircraft engine may encounter in operation. The method achieves this objective though the utilization of multiple Kalman filters, each of which is uniquely designed based on a specific failure hypothesis. A fault-detection-and-isolation (FDI) system, developed based on this method, is able to isolate faults in sensors and actuators while detecting component faults (abrupt degradation in engine component performance). By affording a capability for real-time identification of minor faults before they grow into major ones, the method promises to enhance safety and reduce operating costs. The robustness of this method is further enhanced by incorporating information regarding the aging condition of an engine. In general, real-time fault diagnostic methods use the nominal performance of a "healthy" new engine as a reference condition in the diagnostic process. Such an approach does not account for gradual changes in performance associated with aging of an otherwise healthy engine. By incorporating information on gradual, aging-related changes, the new method makes it possible to retain at least some of the sensitivity and accuracy needed to detect incipient faults while preventing false alarms that could result from erroneous interpretation of symptoms of aging as symptoms of failures. The figure schematically depicts an FDI system according to the new method. The FDI system is integrated with an engine, from which it accepts two sets of input signals: sensor readings and actuator commands. Two main parts of the FDI system are a bank of Kalman filters and a subsystem that implements FDI decision rules. Each Kalman filter is designed to detect a specific sensor or actuator fault. When a sensor

  15. Statistical Process Control of a Kalman Filter Model

    Science.gov (United States)

    Gamse, Sonja; Nobakht-Ersi, Fereydoun; Sharifi, Mohammad A.

    2014-01-01

    For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF) algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations. PMID:25264959

  16. Statistical Process Control of a Kalman Filter Model

    Directory of Open Access Journals (Sweden)

    Sonja Gamse

    2014-09-01

    Full Text Available For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations.

  17. Statistical process control of a Kalman filter model.

    Science.gov (United States)

    Gamse, Sonja; Nobakht-Ersi, Fereydoun; Sharifi, Mohammad A

    2014-09-26

    For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF) algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations.

  18. Data assimilation the ensemble Kalman filter

    CERN Document Server

    Evensen, Geir

    2007-01-01

    Data Assimilation comprehensively covers data assimilation and inverse methods, including both traditional state estimation and parameter estimation. This text and reference focuses on various popular data assimilation methods, such as weak and strong constraint variational methods and ensemble filters and smoothers. It is demonstrated how the different methods can be derived from a common theoretical basis, as well as how they differ and/or are related to each other, and which properties characterize them, using several examples. Rather than emphasize a particular discipline such as oceanography or meteorology, it presents the mathematical framework and derivations in a way which is common for any discipline where dynamics is merged with measurements. The mathematics level is modest, although it requires knowledge of basic spatial statistics, Bayesian statistics, and calculus of variations. Readers will also appreciate the introduction to the mathematical methods used and detailed derivations, which should b...

  19. Mean-field Ensemble Kalman Filter

    KAUST Repository

    Law, Kody

    2015-01-07

    A proof of convergence of the standard EnKF generalized to non-Gaussian state space models is provided. A density-based deterministic approximation of the mean-field limiting EnKF (MFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for d < 2 . The fidelity of approximation of the true distribution is also established using an extension of total variation metric to random measures. This is limited by a Gaussian bias term arising from non-linearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.

  20. Wellbore Surveying While Drilling Based on Kalman Filtering

    Directory of Open Access Journals (Sweden)

    Mahmoud ElGizawy

    2010-01-01

    by designing a reliable real-time low cost MWD surveying system based on MEMS inertial sensors miniaturized inside the RSS housing installed directly behind the drill bit. A continuous borehole surveying module based on MEMS inertial sensors integrated with other drilling measurements was developed using Kalman filtering.

  1. Stochastic Optimal Estimation with Fuzzy Random Variables and Fuzzy Kalman Filtering

    Institute of Scientific and Technical Information of China (English)

    FENG Yu-hu

    2005-01-01

    By constructing a mean-square performance index in the case of fuzzy random variable, the optimal estimation theorem for unknown fuzzy state using the fuzzy observation data are given. The state and output of linear discrete-time dynamic fuzzy system with Gaussian noise are Gaussian fuzzy random variable sequences. An approach to fuzzy Kalman filtering is discussed. Fuzzy Kalman filtering contains two parts: a real-valued non-random recurrence equation and the standard Kalman filtering.

  2. Unscented Kalman filters for polarization state tracking and phase noise mitigation.

    Science.gov (United States)

    Jignesh, Jokhakar; Corcoran, Bill; Zhu, Chen; Lowery, Arthur

    2016-09-19

    Simultaneous polarization and phase noise tracking and compensation is proposed based on an unscented Kalman filter (UKF). We experimentally demonstrate the tracking under noise-loading and after 800-km single-mode fiber transmission with 20-Gbaud QPSK and 16-QAM signals. These experiments show that the proposed UKF outperforms both conventional blind tracing algorithms and a previously proposed extended Kalman filter, at the cost of higher complexity. Additionally, we propose and test modified Kalman filter algorithms to reduce computational complexity.

  3. Mass Conservation and Positivity Preservation with Ensemble-type Kalman Filter Algorithms

    Science.gov (United States)

    Janjic, Tijana; McLaughlin, Dennis B.; Cohn, Stephen E.; Verlaan, Martin

    2013-01-01

    Maintaining conservative physical laws numerically has long been recognized as being important in the development of numerical weather prediction (NWP) models. In the broader context of data assimilation, concerted efforts to maintain conservation laws numerically and to understand the significance of doing so have begun only recently. In order to enforce physically based conservation laws of total mass and positivity in the ensemble Kalman filter, we incorporate constraints to ensure that the filter ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. We show that the analysis steps of ensemble transform Kalman filter (ETKF) algorithm and ensemble Kalman filter algorithm (EnKF) can conserve the mass integral, but do not preserve positivity. Further, if localization is applied or if negative values are simply set to zero, then the total mass is not conserved either. In order to ensure mass conservation, a projection matrix that corrects for localization effects is constructed. In order to maintain both mass conservation and positivity preservation through the analysis step, we construct a data assimilation algorithms based on quadratic programming and ensemble Kalman filtering. Mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate constraints. Some simple numerical experiments indicate that this approach can have a significant positive impact on the posterior ensemble distribution, giving results that are more physically plausible both for individual ensemble members and for the ensemble mean. The results show clear improvements in both analyses and forecasts, particularly in the presence of localized features. Behavior of the algorithm is also tested in presence of model error.

  4. Enhancement of Spanish Oesophageal Speech vowels using coherent subband modulator Kalman filtering.

    Science.gov (United States)

    Ishaq, Rizwan; Zapirain, Begoña García

    2016-01-01

    This paper proposes an Oesophageal Speech (OES) enhancement method, based on Kalman filtering. The Kalman filter is applied to modulators of OES frequency subbands instead of the fullband signal. The OES frequency subbands are decomposed into modulators and carriers components using coherent demodulation. In comparison with fullband Kalman filtering and pole stabilization, the proposed technique shows better results. The system performance is evaluated objectively and subjectively using the Harmonic to Noise Ratio (HNR) and Mean Opinion Score (MOS) respectively. Results have shown that Kalman filter in subband modulators processing is robust and efficient, improving the HNR by 4 to 5 dB for all Spanish vowels.

  5. An improved self-adaptive Kalman filter algorithm and its application in integrated navigation systems for AUV%改进的自适应Kalman滤波方法及其在AUV组合导航中的应用

    Institute of Scientific and Technical Information of China (English)

    孙玉山; 李岳明; 万磊; 庞永杰

    2013-01-01

    针对自主水下机器人(AUV)的工作特点与执行水下作业任务时对导航的需求,构建了基于航位推算的AUV组合导航系统体系结构,建立了水下机器人运动方程与观测方程,采用自适应卡尔曼滤波对水下机器人传感器信息进行数据处理.针对自适应卡尔曼滤波方法的缺点,采取渐消记忆指数加权方法引入了遗忘因子,并采用预报残差的方法求解最佳遗忘因子,同时采取措施保证了系统噪声估计方差阵和测量噪声估计方差阵的半正定性和正定性,避免了滤波发散现象.海试实验结果表明,改进的自适应卡尔曼滤波具有良好的滤波效果,可以满足水下机器人执行各种作业任务的水下导航定位精度.%According to the working characteristics of autonomous underwater vehicles (AUVs) and their navigation requirements when performing underwater tasks, the architecture of integrated navigation systems for AUVs based on dead-reckoning was designed. The motion equation and the observation equation of underwater vehicles were constructed , and a self-adaptive Kalman filter was adopted for processing the data from underwater vehicles' sensors. To overcome the disadvantages of the self-adaptive Kalman filter, the forgetting factor was introduced based on the fading exponent method, and the residual prediction algorithm was used for computing the optimal forgetting factor. And some measures were taken to ensure the half positive of the matrix of system noisy estimation and the positive of the matrix of measure noisy estimation, which can avoid divergence. The sea experimental results show that the improved self-adaptive Kalman filter method is effective, and can meet the AUVs' demand in navigation and positioning when they carry out underwater missions.

  6. Kalman filtering to suppress spurious signals in Adaptive Optics control

    Energy Technology Data Exchange (ETDEWEB)

    Poyneer, L; Veran, J P

    2010-03-29

    In many scenarios, an Adaptive Optics (AO) control system operates in the presence of temporally non-white noise. We use a Kalman filter with a state space formulation that allows suppression of this colored noise, hence improving residual error over the case where the noise is assumed to be white. We demonstrate the effectiveness of this new filter in the case of the estimated Gemini Planet Imager tip-tilt environment, where there are both common-path and non-common path vibrations. We discuss how this same framework can also be used to suppress spatial aliasing during predictive wavefront control assuming frozen flow in a low-order AO system without a spatially filtered wavefront sensor, and present experimental measurements from Altair that clearly reveal these aliased components.

  7. Non-linear Kalman filters for calibration in radio interferometry

    CERN Document Server

    Tasse, Cyril

    2014-01-01

    We present a new calibration scheme based on a non-linear version of Kalman filter that aims at estimating the physical terms appearing in the Radio Interferometry Measurement Equation (RIME). We enrich the filter's structure with a tunable data representation model, together with an augmented measurement model for regularization. We show using simulations that it can properly estimate the physical effects appearing in the RIME. We found that this approach is particularly useful in the most extreme cases such as when ionospheric and clock effects are simultaneously present. Combined with the ability to provide prior knowledge on the expected structure of the physical instrumental effects (expected physical state and dynamics), we obtain a fairly cheap algorithm that we believe to be robust, especially in low signal-to-noise regime. Potentially the use of filters and other similar methods can represent an improvement for calibration in radio interferometry, under the condition that the effects corrupting visib...

  8. Kalman filtering to suppress spurious signals in Adaptive Optics control

    Energy Technology Data Exchange (ETDEWEB)

    Poyneer, L; Veran, J P

    2010-03-29

    In many scenarios, an Adaptive Optics (AO) control system operates in the presence of temporally non-white noise. We use a Kalman filter with a state space formulation that allows suppression of this colored noise, hence improving residual error over the case where the noise is assumed to be white. We demonstrate the effectiveness of this new filter in the case of the estimated Gemini Planet Imager tip-tilt environment, where there are both common-path and non-common path vibrations. We discuss how this same framework can also be used to suppress spatial aliasing during predictive wavefront control assuming frozen flow in a low-order AO system without a spatially filtered wavefront sensor, and present experimental measurements from Altair that clearly reveal these aliased components.

  9. KALMAN FILTERING CORRECTION IN REAL-TIME FORECASTING WITH HYDRODYNAMIC MODEL

    Institute of Scientific and Technical Information of China (English)

    WU Xiao-ling; WANG Chuan-hai; CHEN Xi; XIANG Xiao-hua; ZHOU Quan

    2008-01-01

    Accurate and reliable flood forecast is crucial for efficient real-time river management, including flood control, flood warning, reservoir operation and river regulation. In order to improve the estimate of the initial state of the forecasting system and to reduce the errors in the forecast period a data assimilation procedure was often need. The Kalman filter was proven to be an efficient method to adjust real-time flood series and improve the initial conditions before the forecast. A new model integrating the hydraulic model with the Kalman filter for real-time correction of flood forecast was developed and applied in the Three Gorges interzone of the Yangtze River. The method was calibrated and verified against the observed flood stage and discharge during Three Gorges Dam construction periods (2004). The results demonstrate that the new model incorporates an accurate and fast updating technique can improve the reliability of the flood forecast.

  10. An Adjoint-Based Adaptive Ensemble Kalman Filter

    KAUST Repository

    Song, Hajoon

    2013-10-01

    A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.

  11. Quantifying Monte Carlo uncertainty in ensemble Kalman filter

    Energy Technology Data Exchange (ETDEWEB)

    Thulin, Kristian; Naevdal, Geir; Skaug, Hans Julius; Aanonsen, Sigurd Ivar

    2009-01-15

    This report is presenting results obtained during Kristian Thulin PhD study, and is a slightly modified form of a paper submitted to SPE Journal. Kristian Thulin did most of his portion of the work while being a PhD student at CIPR, University of Bergen. The ensemble Kalman filter (EnKF) is currently considered one of the most promising methods for conditioning reservoir simulation models to production data. The EnKF is a sequential Monte Carlo method based on a low rank approximation of the system covariance matrix. The posterior probability distribution of model variables may be estimated fram the updated ensemble, but because of the low rank covariance approximation, the updated ensemble members become correlated samples from the posterior distribution. We suggest using multiple EnKF runs, each with smaller ensemble size to obtain truly independent samples from the posterior distribution. This allows a point-wise confidence interval for the posterior cumulative distribution function (CDF) to be constructed. We present a methodology for finding an optimal combination of ensemble batch size (n) and number of EnKF runs (m) while keeping the total number of ensemble members ( m x n) constant. The optimal combination of n and m is found through minimizing the integrated mean square error (MSE) for the CDFs and we choose to define an EnKF run with 10.000 ensemble members as having zero Monte Carlo error. The methodology is tested on a simplistic, synthetic 2D model, but should be applicable also to larger, more realistic models. (author). 12 refs., figs.,tabs

  12. ASSIMILATION OF COARSE-SCALEDATAUSINGTHE ENSEMBLE KALMAN FILTER

    KAUST Repository

    Efendiev, Yalchin

    2011-01-01

    Reservoir data is usually scale dependent and exhibits multiscale features. In this paper we use the ensemble Kalman filter (EnKF) to integrate data at different spatial scales for estimating reservoir fine-scale characteristics. Relationships between the various scales is modeled via upscaling techniques. We propose two versions of the EnKF to assimilate the multiscale data, (i) where all the data are assimilated together and (ii) the data are assimilated sequentially in batches. Ensemble members obtained after assimilating one set of data are used as a prior to assimilate the next set of data. Both of these versions are easily implementable with any other upscaling which links the fine to the coarse scales. The numerical results with different methods are presented in a twin experiment setup using a two-dimensional, two-phase (oil and water) flow model. Results are shown with coarse-scale permeability and coarse-scale saturation data. They indicate that additional data provides better fine-scale estimates and fractional flow predictions. We observed that the two versions of the EnKF differed in their estimates when coarse-scale permeability is provided, whereas their results are similar when coarse-scale saturation is used. This behavior is thought to be due to the nonlinearity of the upscaling operator in the case of the former data. We also tested our procedures with various precisions of the coarse-scale data to account for the inexact relationship between the fine and coarse scale data. As expected, the results show that higher precision in the coarse-scale data yielded improved estimates. With better coarse-scale modeling and inversion techniques as more data at multiple coarse scales is made available, the proposed modification to the EnKF could be relevant in future studies.

  13. Kalman filter based algorithms for PANDA rate at FAIR

    Energy Technology Data Exchange (ETDEWEB)

    Prencipe, Elisabetta; Ritman, James [IKP, Forschungszentrum Juelich (Germany); Rauch, Johannes [E18, Technische Universitaet Muenchen (Germany); Collaboration: PANDA-Collaboration

    2015-07-01

    PANDA at the future FAIR facility in Darmstadt is an experiment with a cooled antiproton beam in a range between 1.5 and 15 GeV/c, allowing a wide physics program in nuclear and particle physics. High average reaction rates up to 2.10{sup 7} interactions/s are expected. PANDA is the only experiment worldwide, which combines a solenoid field and a dipole field in an experiment with a fixed target topology. The tracking system must be able to reconstruct high momenta in the laboratory frame. The tracking system of PANDA involves the presence of a high performance silicon vertex detector, a GEM detector, a Straw-Tubes central tracker, a forward tracking system, and a luminosity monitor. The first three of those, are inserted in a solenoid homogeneous magnetic field (B=2 T), the latter two are inside a dipole magnetic field (B=2 Tm), The offline tracking algorithm is developed within the PandaRoot framework, which is a part of the FAIRRoot project. The algorithm is based on a tool containing the Kalman Filter equations and a deterministic annealing filter (GENFIT). The Kalman-Filter-based routines can perform extrapolations of track parameters and covariance matrices. In GENFIT2, the Runge-Kutta track representation is available. First results of an implementation of GENFIT2 in PandaRoot are presented. Resolutions and efficiencies for different beam momenta and different track hypotheses are shown.

  14. Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation

    Directory of Open Access Journals (Sweden)

    Xi Liu

    2016-09-01

    Full Text Available A new algorithm called maximum correntropy unscented Kalman filter (MCUKF is proposed and applied to relative state estimation in space communication networks. As is well known, the unscented Kalman filter (UKF provides an efficient tool to solve the non-linear state estimate problem. However, the UKF usually plays well in Gaussian noises. Its performance may deteriorate substantially in the presence of non-Gaussian noises, especially when the measurements are disturbed by some heavy-tailed impulsive noises. By making use of the maximum correntropy criterion (MCC, the proposed algorithm can enhance the robustness of UKF against impulsive noises. In the MCUKF, the unscented transformation (UT is applied to obtain a predicted state estimation and covariance matrix, and a nonlinear regression method with the MCC cost is then used to reformulate the measurement information. Finally, the UT is adopted to the measurement equation to obtain the filter state and covariance matrix. Illustrative examples demonstrate the superior performance of the new algorithm.

  15. Consensus+Innovations Distributed Kalman Filter With Optimized Gains

    Science.gov (United States)

    Das, Subhro; Moura, Jose M. F.

    2017-01-01

    In this paper, we address the distributed filtering and prediction of time-varying random fields represented by linear time-invariant (LTI) dynamical systems. The field is observed by a sparsely connected network of agents/sensors collaborating among themselves. We develop a Kalman filter type consensus+innovations distributed linear estimator of the dynamic field termed as Consensus+Innovations Kalman Filter. We analyze the convergence properties of this distributed estimator. We prove that the mean-squared error of the estimator asymptotically converges if the degree of instability of the field dynamics is within a pre-specified threshold defined as tracking capacity of the estimator. The tracking capacity is a function of the local observation models and the agent communication network. We design the optimal consensus and innovation gain matrices yielding distributed estimates with minimized mean-squared error. Through numerical evaluations, we show that, the distributed estimator with optimal gains converges faster and with approximately 3dB better mean-squared error performance than previous distributed estimators.

  16. Local Ensemble Kalman Particle Filters for efficient data assimilation

    CERN Document Server

    Robert, Sylvain

    2016-01-01

    Ensemble methods such as the Ensemble Kalman Filter (EnKF) are widely used for data assimilation in large-scale geophysical applications, as for example in numerical weather prediction (NWP). There is a growing interest for physical models with higher and higher resolution, which brings new challenges for data assimilation techniques because of the presence of non-linear and non-Gaussian features that are not adequately treated by the EnKF. We propose two new localized algorithms based on the Ensemble Kalman Particle Filter (EnKPF), a hybrid method combining the EnKF and the Particle Filter (PF) in a way that maintains scalability and sample diversity. Localization is a key element of the success of EnKFs in practice, but it is much more challenging to apply to PFs. The algorithms that we introduce in the present paper provide a compromise between the EnKF and the PF while avoiding some of the problems of localization for pure PFs. Numerical experiments with a simplified model of cumulus convection based on a...

  17. Fusion of Redundant Aided-inertial Sensors with Decentralised Kalman Filter for Autonomous Underwater Vehicle Navigation

    Directory of Open Access Journals (Sweden)

    Vaibhav Awale

    2015-11-01

    Full Text Available Most submarines carry more than one set of inertial navigation system (INS for redundancy and reliability. Apart from INS systems, the submarine carries other sensors that provide different navigation information. A major challenge is to combine these sensors and INS estimates in an optimal and robust manner for navigation. This issue has been addressed by Farrell1. The same approach is used in this paper to combine different sensor measurements along with INS system. However, since more than one INS system is available onboard, it would be better to use multiple INS systems at the same time to obtain a better estimate of states and to provide autonomy in the event of failure of one INS system. This would require us to combine the estimates obtained from local filters (one set of INS system integrated with external sensors, in some optimal way to provide a global estimate. Individual sensor and IMU measurements cannot be accessed in this scenario. Also, autonomous operation requires no sharing of information among local filters. Hence a decentralised Kalman filter approach is considered for combining the estimates of local filters to give a global estimate. This estimate would not be optimal, however. A better optimal estimate can be obtained by accessing individual measurements and augmenting the state vector in Kalman filter, but in that case, corruption of one INS system will lead to failure of the whole filter. Hence to ensure satisfactory performance of the filter even in the event of failure of some INS system, a decentralised Kalman filtering approach is considered.

  18. An Extended Kalman Filter with a Computed Mean Square Error Bound

    OpenAIRE

    Hexner, Gyorgy; Weiss, Haim

    2014-01-01

    The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman filter. The main difference of the proposed filter from the conventional extended Kalman filter is in the use of a computed mean square error bound matrix, to calculate the filter gain, and to serve as bound on the actual mean square error. The paper shows that ...

  19. Application of Kalman Filter on modelling interest rates

    Directory of Open Access Journals (Sweden)

    Long H. Vo

    2014-03-01

    Full Text Available This study aims to test the feasibility of using a data set of 90-day bank bill forward rates from the Australian market to predict spot interest rates. To achieve this goal I utilized the application of Kalman Filter in a state space model with time-varying state variable. It is documented that in the case of short-term interest rates,the state space model yields robust predictive power. In addition, this predictive power of implied forward rate is heavily impacted by the existence of a time-varying risk premium in the term structure.

  20. 4-D-Var or ensemble Kalman filter?

    OpenAIRE

    Kalnay, Eugenia; LI, HONG; Miyoshi, Takemasa; Yang, Shu-Chih; Ballabrera-Poy, Joaquim

    2007-01-01

    We consider the relative advantages of two advanced data assimilation systems, 4-D-Var and ensemble Kalman filter (EnKF), currently in use or under consideration for operational implementation. With the Lorenz model, we explore the impact of tuning assimilation parameters such as the assimilation window length and background error covariance in 4-D-Var, variance inflation in EnKF, and the effect of model errors and reduced observation coverage. For short assimilation windows EnKF gives more a...

  1. Adaptive training of feedforward neural networks by Kalman filtering

    Energy Technology Data Exchange (ETDEWEB)

    Ciftcioglu, Oe. [Istanbul Technical Univ. (Turkey). Dept. of Electrical Engineering; Tuerkcan, E. [Netherlands Energy Research Foundation (ECN), Petten (Netherlands)

    1995-02-01

    Adaptive training of feedforward neural networks by Kalman filtering is described. Adaptive training is particularly important in estimation by neural network in real-time environmental where the trained network is used for system estimation while the network is further trained by means of the information provided by the experienced/exercised ongoing operation. As result of this, neural network adapts itself to a changing environment to perform its mission without recourse to re-training. The performance of the training method is demonstrated by means of actual process signals from a nuclear power plant. (orig.).

  2. Optimal subband Kalman filter for normal and oesophageal speech enhancement.

    Science.gov (United States)

    Ishaq, Rizwan; García Zapirain, Begoña

    2014-01-01

    This paper presents the single channel speech enhancement system using subband Kalman filtering by estimating optimal Autoregressive (AR) coefficients and variance for speech and noise, using Weighted Linear Prediction (WLP) and Noise Weighting Function (NWF). The system is applied for normal and Oesophageal speech signals. The method is evaluated by Perceptual Evaluation of Speech Quality (PESQ) score and Signal to Noise Ratio (SNR) improvement for normal speech and Harmonic to Noise Ratio (HNR) for Oesophageal Speech (OES). Compared with previous systems, the normal speech indicates 30% increase in PESQ score, 4 dB SNR improvement and OES shows 3 dB HNR improvement.

  3. Application of Unscented Kalman Filter in Satellite Orbit Simulation

    Institute of Scientific and Technical Information of China (English)

    ZHAO Dongming; CAI Zhiwu

    2006-01-01

    A new estimate method is proposed, which takes advantage of the unscented transform method, thus the true mean and covariance are approximated more accurately. The new method can be applied to non-linear systems without the linearization process necessary for the EKF, and it does not demand a Gaussian distribution of noise and what's more, its ease of implementation and more accurate estimation features enables it to demonstrate its good performance in the experiment of satellite orbit simulation. Numerical experiments show that the application of the unscented Kalman filter is more effective than the EKF.

  4. Comparison of Sigma-Point and Extended Kalman Filters on a Realistic Orbit Determination Scenario

    Science.gov (United States)

    Gaebler, John; Hur-Diaz. Sun; Carpenter, Russell

    2010-01-01

    Sigma-point filters have received a lot of attention in recent years as a better alternative to extended Kalman filters for highly nonlinear problems. In this paper, we compare the performance of the additive divided difference sigma-point filter to the extended Kalman filter when applied to orbit determination of a realistic operational scenario based on the Interstellar Boundary Explorer mission. For the scenario studied, both filters provided equivalent results. The performance of each is discussed in detail.

  5. Comparison of Sigma-Point and Extended Kalman Filters on a Realistic Orbit Determination Scenario

    Science.gov (United States)

    Gaebler, John; Hur-Diaz. Sun; Carpenter, Russell

    2010-01-01

    Sigma-point filters have received a lot of attention in recent years as a better alternative to extended Kalman filters for highly nonlinear problems. In this paper, we compare the performance of the additive divided difference sigma-point filter to the extended Kalman filter when applied to orbit determination of a realistic operational scenario based on the Interstellar Boundary Explorer mission. For the scenario studied, both filters provided equivalent results. The performance of each is discussed in detail.

  6. INS/ESGM/Doppler组合导航系统中的联合Kalman滤波方法%Method of Federated Kalman Filtering in INS/ESGM/Doppl er Integrated Navigation System

    Institute of Scientific and Technical Information of China (English)

    熊崴; 庄良杰; 翁海娜; 刘玉峰

    2001-01-01

    在INS/ESGM/Doppler组合导航系统集中Kalman滤波器的基础上,进一步建立了该组合导航系统的联合Kalman滤波器结构和滤波算法,并讨论了该滤波器的容错性及简化形式。数字仿真的结果表明,本文所设计的联合Kalman滤波器与集中Kalman滤波器相比,其滤波精度基本一致,而滤波器的解算速度更快,容错性能更好。%Based on the centralized Kalman filter of INS/ESGM/Dop perintegrated navigation system,this paper devises the structure and algorithm o f federated Kalman filter of the system,and discusses the performance of fault tolerance and the simplified form of this filter.Compared with centralize d Kalman filter,the results of digital simulation show that the federated Kalman filter designed in this paper has the same precision,more rapid computing speed and better faulttolerant performance.

  7. 无迹卡尔曼滤波在新型地形无源组合导航系统中的应用%Application of unscented Kalman filter to novel terrain passive integrated navigation system

    Institute of Scientific and Technical Information of China (English)

    王其; 徐晓苏

    2007-01-01

    To improve the navigation accuracy of an autonomous underwater vehicle (AUV), a novel terrain passive integrated navigation system (TPINS) is presented. According to the characteristics of the underwater environment and AUV navigation requirements of low cost and high accuracy, a novel TPINS is designed with a configuration of the strapdown inertial navigation system (SINS), the terrain reference navigation system (TRNS), the Doppler velocity sonar (DVS), the magnetic compass and the navigation computer utilizing the unscented Kalman filter (UKF) to fuse the navigation information from various navigation sensors. Linear filter equations for the extended Kalman filter (EKF), nonlinear filter equations for the UKF and measurement equations of navigation sensors are addressed. It is indicated from the comparable simulation experiments of the EKF and the UKF that AUV navigation precision is improved substantially with the proposed sensors and the UKF when compared to the EKF. The TPINS designed with the proposed sensors and the UKF is effective in reducing AUV navigation position errors and improving the stability and precision of the AUV underwater integrated navigation.%为了提高自主水下航行器的导航精度,提出了一种新型地形无源组合导航系统.根据水下环境特点和航行器导航高精度和低成本的要求,采用捷联式惯性导航系统、地形辅助导航系统、多普勒速度声纳、电子磁罗经和利用UKF进行信息融合的导航计算机组成新型水下地形无源组合导航系统,并给出了EKF线性滤波方程、UKF非线性滤波方程和导航传感器量测方程.对比仿真实验表明,采用建议的传感器和UKF信息融合方式比采用EKF方式提高了水下航行器导航定位的精度.采用不同的导航传感器和UKF信息融合方法的地形无源组合导航系统可以有效地减小水下航行器导航位置误差,提高组合导航的稳定性和精度.

  8. A chaotic communication system of improved performance based on the Derivative-free nonlinear Kalman filter

    Science.gov (United States)

    Rigatos, Gerasimos

    2016-07-01

    The Derivative-free nonlinear Kalman Filter is used for developing a communication system that is based on a chaotic modulator such as the Duffing system. In the transmitter's side, the source of information undergoes modulation (encryption) in which a chaotic signal generated by the Duffing system is the carrier. The modulated signal is transmitted through a communication channel and at the receiver's side demodulation takes place, after exploiting the estimation provided about the state vector of the chaotic oscillator by the Derivative-free nonlinear Kalman Filter. Evaluation tests confirm that the proposed filtering method has improved performance over the Extended Kalman Filter and reduces significantly the rate of transmission errors. Moreover, it is shown that the proposed Derivative-free nonlinear Kalman Filter can work within a dual Kalman Filtering scheme, for performing simultaneously transmitter-receiver synchronisation and estimation of unknown coefficients of the communication channel.

  9. Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter

    DEFF Research Database (Denmark)

    Andreasen, Martin Møller

    This paper shows how non-linear DSGE models with potential non-normal shocks can be estimated by Quasi-Maximum Likelihood based on the Central Difference Kalman Filter (CDKF). The advantage of this estimator is that evaluating the quasi log-likelihood function only takes a fraction of a second. T...

  10. A Tensor Network Kalman filter with an application in recursive MIMO Volterra system identification

    OpenAIRE

    Batselier, Kim; Chen, Zhongming; Wong, Ngai

    2016-01-01

    This article introduces a Tensor Network Kalman filter, which can estimate state vectors that are exponentially large without ever having to explicitly construct them. The Tensor Network Kalman filter also easily accommodates the case where several different state vectors need to be estimated simultaneously. The key lies in rewriting the standard Kalman equations as tensor equations and then implementing them using Tensor Networks, which effectively transforms the exponential storage cost and...

  11. Hierarchical Bayes Ensemble Kalman Filter for geophysical data assimilation

    Science.gov (United States)

    Tsyrulnikov, Michael; Rakitko, Alexander

    2016-04-01

    In the Ensemble Kalman Filter (EnKF), the forecast error covariance matrix B is estimated from a sample (ensemble), which inevitably implies a degree of uncertainty. This uncertainty is especially large in high dimensions, where the affordable ensemble size is orders of magnitude less than the dimensionality of the system. Common remedies include ad-hoc devices like variance inflation and covariance localization. The goal of this study is to optimize the account for the inherent uncertainty of the B matrix in EnKF. Following the idea by Myrseth and Omre (2010), we explicitly admit that the B matrix is unknown and random and estimate it along with the state (x) in an optimal hierarchical Bayes analysis scheme. We separate forecast errors into predictability errors (i.e. forecast errors due to uncertainties in the initial data) and model errors (forecast errors due to imperfections in the forecast model) and include the two respective components P and Q of the B matrix into the extended control vector (x,P,Q). Similarly, we break the traditional forecast ensemble into the predictability-error related ensemble and model-error related ensemble. The reason for the separation of model errors from predictability errors is the fundamental difference between the two sources of error. Model error are external (i.e. do not depend on the filter's performance) whereas predictability errors are internal to a filter (i.e. are determined by the filter's behavior). At the analysis step, we specify Inverse Wishart based priors for the random matrices P and Q and conditionally Gaussian prior for the state x. Then, we update the prior distribution of (x,P,Q) using both observation and ensemble data, so that ensemble members are used as generalized observations and ordinary observations are allowed to influence the covariances. We show that for linear dynamics and linear observation operators, conditional Gaussianity of the state is preserved in the course of filtering. At the forecast

  12. Skew redundant MEMS IMU calibration using a Kalman filter

    Science.gov (United States)

    Jafari, M.; Sahebjameyan, M.; Moshiri, B.; Najafabadi, T. A.

    2015-10-01

    In this paper, a novel calibration procedure for skew redundant inertial measurement units (SRIMUs) based on micro-electro mechanical systems (MEMS) is proposed. A general model of the SRIMU measurements is derived which contains the effects of bias, scale factor error and misalignments. For more accuracy, the effect of lever arms of the accelerometers to the center of the table are modeled and compensated in the calibration procedure. Two separate Kalman filters (KFs) are proposed to perform the estimation of error parameters for gyroscopes and accelerometers. The predictive error minimization (PEM) stochastic modeling method is used to simultaneously model the effect of bias instability and random walk noise on the calibration Kalman filters to diminish the biased estimations. The proposed procedure is simulated numerically and has expected experimental results. The calibration maneuvers are applied using a two-axis angle turntable in a way that the persistency of excitation (PE) condition for parameter estimation is met. For this purpose, a trapezoidal calibration profile is utilized to excite different deterministic error parameters of the accelerometers and a pulse profile is used for the gyroscopes. Furthermore, to evaluate the performance of the proposed KF calibration method, a conventional least squares (LS) calibration procedure is derived for the SRIMUs and the simulation and experimental results compare the functionality of the two proposed methods with each other.

  13. Reconstruction of spacecraft rotational motion using a Kalman filter

    Science.gov (United States)

    Pankratov, V. A.; Sazonov, V. V.

    2016-05-01

    Quasi-static microaccelerations of four satellites of the Foton series (nos. 11, 12, M-2, M-3) were monitored as follows. First, according to measurements of onboard sensors obtained in a certain time interval, spacecraft rotational motion was reconstructed in this interval. Then, along the found motion, microacceleration at a given onboard point was calculated according to the known formula as a function of time. The motion was reconstructed by the least squares method using the solutions to the equations of satellite rotational motion. The time intervals in which these equations make reconstruction possible were from one to five orbital revolutions. This length is increased with the modulus of the satellite angular velocity. To get an idea on microaccelerations and satellite motion during an entire flight, the motion was reconstructed in several tens of such intervals. This paper proposes a method for motion reconstruction suitable for an interval of arbitrary length. The method is based on the Kalman filter. We preliminary describe a new version of the method for reconstructing uncontrolled satellite rotational motion from magnetic measurements using the least squares method, which is essentially used to construct the Kalman filter. The results of comparison of both methods are presented using the data obtained on a flight of the Foton M-3.

  14. Method for Improving Indoor Positioning Accuracy Using Extended Kalman Filter

    Directory of Open Access Journals (Sweden)

    Seoung-Hyeon Lee

    2016-01-01

    Full Text Available Beacons using bluetooth low-energy (BLE technology have emerged as a new paradigm of indoor positioning service (IPS because of their advantages such as low power consumption, miniaturization, wide signal range, and low cost. However, the beacon performance is poor in terms of the indoor positioning accuracy because of noise, motion, and fading, all of which are characteristics of a bluetooth signal and depend on the installation location. Therefore, it is necessary to improve the accuracy of beacon-based indoor positioning technology by fusing it with existing indoor positioning technology, which uses Wi-Fi, ZigBee, and so forth. This study proposes a beacon-based indoor positioning method using an extended Kalman filter that recursively processes input data including noise. After defining the movement of a smartphone on a flat two-dimensional surface, it was assumed that the beacon signal is nonlinear. Then, the standard deviation and properties of the beacon signal were analyzed. According to the analysis results, an extended Kalman filter was designed and the accuracy of the smartphone’s indoor position was analyzed through simulations and tests. The proposed technique achieved good indoor positioning accuracy, with errors of 0.26 m and 0.28 m from the average x- and y-coordinates, respectively, based solely on the beacon signal.

  15. Attitude Estimation Using Kalman Filtering: External Acceleration Compensation Considerations

    Directory of Open Access Journals (Sweden)

    Romy Budhi Widodo

    2016-01-01

    Full Text Available Attitude estimation is often inaccurate during highly dynamic motion due to the external acceleration. This paper proposes extended Kalman filter-based attitude estimation using a new algorithm to overcome the external acceleration. This algorithm is based on an external acceleration compensation model to be used as a modifying parameter in adjusting the measurement noise covariance matrix of the extended Kalman filter. The experiment was conducted to verify the estimation accuracy, that is, one-axis and multiple axes sensor movement. Five approaches were used to test the estimation of the attitude: (1 the KF-based model without compensating for external acceleration, (2 the proposed KF-based model which employs the external acceleration compensation model, (3 the two-step KF using weighted-based switching approach, (4 the KF-based model which uses the threshold-based approach, and (5 the KF-based model which uses the threshold-based approach combined with a softened part approach. The proposed algorithm showed high effectiveness during the one-axis test. When the testing conditions employed multiple axes, the estimation accuracy increased using the proposed approach and exhibited external acceleration rejection at the right timing. The proposed algorithm has fewer parameters that need to be set at the expense of the sharpness of signal edge transition.

  16. 3D hand tracking using Kalman filter in depth space

    Science.gov (United States)

    Park, Sangheon; Yu, Sunjin; Kim, Joongrock; Kim, Sungjin; Lee, Sangyoun

    2012-12-01

    Hand gestures are an important type of natural language used in many research areas such as human-computer interaction and computer vision. Hand gestures recognition requires the prior determination of the hand position through detection and tracking. One of the most efficient strategies for hand tracking is to use 2D visual information such as color and shape. However, visual-sensor-based hand tracking methods are very sensitive when tracking is performed under variable light conditions. Also, as hand movements are made in 3D space, the recognition performance of hand gestures using 2D information is inherently limited. In this article, we propose a novel real-time 3D hand tracking method in depth space using a 3D depth sensor and employing Kalman filter. We detect hand candidates using motion clusters and predefined wave motion, and track hand locations using Kalman filter. To verify the effectiveness of the proposed method, we compare the performance of the proposed method with the visual-based method. Experimental results show that the performance of the proposed method out performs visual-based method.

  17. Multimodal Degradation Prognostics Based on Switching Kalman Filter Ensemble.

    Science.gov (United States)

    Lim, Pin; Goh, Chi Keong; Tan, Kay Chen; Dutta, Partha

    2017-01-01

    For accurate prognostics, users have to determine the current health of the system and predict future degradation pattern of the system. An increasingly popular approach toward tackling prognostic problems involves the use of switching models to represent various degradation phases, which the system undergoes. Such approaches have the advantage of determining the exact degradation phase of the system and being able to handle nonlinear degradation models through piecewise linear approximation. However, limitations of such existing methods include, limited applicability due to the discretization of predicted remaining useful life, insufficient robustness due to the use of single models and others. This paper circumvents these limitations by proposing a hybrid of ensemble methods with switching methods. The proposed method first implements a switching Kalman filter (SKF) to classify between various linear degradation phases, then predict the future propagation of fault dimension using appropriate Kalman filters for each phase. This proposed method achieves both continuous and discrete prediction values representing the remaining life and degradation phase of the system, respectively. The proposed framework is shown via a case study on benchmark simulated aeroengine data sets. The evaluation of the proposed framework shows that the proposed method achieves better accuracy and robustness against noise compared with other methods reported in the literature. The results also indicate the effectiveness of the SKF in detecting the switching point between various degradation modes.

  18. Tractography from HARDI using an intrinsic unscented Kalman filter.

    Science.gov (United States)

    Cheng, Guang; Salehian, Hesamoddin; Forder, John R; Vemuri, Baba C

    2015-01-01

    A novel adaptation of the unscented Kalman filter (UKF) was recently introduced in literature for simultaneous multitensor estimation and fiber tractography from diffusion MRI. This technique has the advantage over other tractography methods in terms of computational efficiency, due to the fact that the UKF simultaneously estimates the diffusion tensors and propagates the most consistent direction to track along. This UKF and its variants reported later in literature however are not intrinsic to the space of diffusion tensors. Lack of this key property can possibly lead to inaccuracies in the multitensor estimation as well as in the tractography. In this paper, we propose a novel intrinsic unscented Kalman filter (IUKF) in the space of diffusion tensors which are symmetric positive definite matrices, that can be used for simultaneous recursive estimation of multitensors and propagation of directional information for use in fiber tractography from diffusion weighted MR data. In addition to being more accurate, IUKF retains all the advantages of UKF mentioned above. We demonstrate the accuracy and effectiveness of the proposed method via experiments publicly available phantom data from the fiber cup-challenge (MICCAI 2009) and diffusion weighted MR scans acquired from human brains and rat spinal cords.

  19. ERP Estimation using a Kalman Filter in VLBI

    Science.gov (United States)

    Karbon, M.; Soja, B.; Nilsson, T.; Heinkelmann, R.; Liu, L.; Lu, C.; Mora-Diaz, J. A.; Raposo-Pulido, V.; Xu, M.; Schuh, H.

    2014-12-01

    Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques, providing the full set of Earth Orientation Parameters (EOP), and it is unique for observing long term Universal Time (UT1). For applications such as satellite-based navigation and positioning, accurate and continuous ERP obtained in near real-time are essential. They also allow the precise tracking of interplanetary spacecraft. One of the goals of VGOS (VLBI Global Observing System) is to provide such near real-time ERP. With the launch of this next generation VLBI system, the International VLBI Service for Geodesy and Astrometry (IVS) increased its efforts not only to reach 1 mm accuracy on a global scale but also to reduce the time span between the collection of VLBI observations and the availability of the final results substantially. Project VLBI-ART contributes to these objectives by implementing an elaborate Kalman filter, which represents a perfect tool for analyzing VLBI data in quasi real-time. The goal is to implement it in the GFZ version of the Vienna VLBI Software (VieVS) as a completely automated tool, i.e., with no need for human interaction. Here we present the methodology and first results of Kalman filtered EOP from VLBI data.

  20. Secure Tracking in Sensor Networks using Adaptive Extended Kalman Filter

    CERN Document Server

    Fard, Ali P

    2012-01-01

    Location information of sensor nodes has become an essential part of many applications in Wireless Sensor Networks (WSN). The importance of location estimation and object tracking has made them the target of many security attacks. Various methods have tried to provide location information with high accuracy, while lots of them have neglected the fact that WSNs may be deployed in hostile environments. In this paper, we address the problem of securely tracking a Mobile Node (MN) which has been noticed very little previously. A novel secure tracking algorithm is proposed based on Extended Kalman Filter (EKF) that is capable of tracking a Mobile Node (MN) with high resolution in the presence of compromised or colluding malicious beacon nodes. It filters out and identifies the malicious beacon data in the process of tracking. The proposed method considerably outperforms the previously proposed secure algorithms in terms of either detection rate or MSE. The experimental data based on different settings for the netw...

  1. Improved Kalman Filter Method for Measurement Noise Reduction in Multi Sensor RFID Systems

    Directory of Open Access Journals (Sweden)

    Min Chul Kim

    2011-10-01

    Full Text Available Recently, the range of available Radio Frequency Identification (RFID tags has been widened to include smart RFID tags which can monitor their varying surroundings. One of the most important factors for better performance of smart RFID system is accurate measurement from various sensors. In the multi-sensing environment, some noisy signals are obtained because of the changing surroundings. We propose in this paper an improved Kalman filter method to reduce noise and obtain correct data. Performance of Kalman filter is determined by a measurement and system noise covariance which are usually called the R and Q variables in the Kalman filter algorithm. Choosing a correct R and Q variable is one of the most important design factors for better performance of the Kalman filter. For this reason, we proposed an improved Kalman filter to advance an ability of noise reduction of the Kalman filter. The measurement noise covariance was only considered because the system architecture is simple and can be adjusted by the neural network. With this method, more accurate data can be obtained with smart RFID tags. In a simulation the proposed improved Kalman filter has 40.1%, 60.4% and 87.5% less Mean Squared Error (MSE than the conventional Kalman filter method for a temperature sensor, humidity sensor and oxygen sensor, respectively. The performance of the proposed method was also verified with some experiments.

  2. Detecting land cover change by evaluating the internal covariance matrix of the extended Kalman filter

    CSIR Research Space (South Africa)

    Salmon, BP

    2012-07-01

    Full Text Available In this paper, the internal operations of an Extended Kalman Filter is investigated to see if any useful information can be derived to detect land cover change in a MODIS time series. The Extended Kalman Filter expands its internal covariance if a...

  3. Sensorless Control of Electric Motors with Kalman Filters: Applications to Robotic and Industrial Systems

    Directory of Open Access Journals (Sweden)

    Gerasimos G. Rigatos

    2011-12-01

    Full Text Available The paper studies sensorless control for DC and induction motors, using Kalman Filtering techniques. First the case of a DC motor is considered and Kalman Filter-based control is implemented. Next the nonlinear model of a field-oriented induction motor is examined and the motor

  4. Improved Kalman filter method for measurement noise reduction in multi sensor RFID systems.

    Science.gov (United States)

    Eom, Ki Hwan; Lee, Seung Joon; Kyung, Yeo Sun; Lee, Chang Won; Kim, Min Chul; Jung, Kyung Kwon

    2011-01-01

    Recently, the range of available radio frequency identification (RFID) tags has been widened to include smart RFID tags which can monitor their varying surroundings. One of the most important factors for better performance of smart RFID system is accurate measurement from various sensors. In the multi-sensing environment, some noisy signals are obtained because of the changing surroundings. We propose in this paper an improved Kalman filter method to reduce noise and obtain correct data. Performance of Kalman filter is determined by a measurement and system noise covariance which are usually called the R and Q variables in the Kalman filter algorithm. Choosing a correct R and Q variable is one of the most important design factors for better performance of the Kalman filter. For this reason, we proposed an improved Kalman filter to advance an ability of noise reduction of the Kalman filter. The measurement noise covariance was only considered because the system architecture is simple and can be adjusted by the neural network. With this method, more accurate data can be obtained with smart RFID tags. In a simulation the proposed improved Kalman filter has 40.1%, 60.4% and 87.5% less mean squared error (MSE) than the conventional Kalman filter method for a temperature sensor, humidity sensor and oxygen sensor, respectively. The performance of the proposed method was also verified with some experiments.

  5. Application of Kalman Filtering Techniques for Microseismic Event Detection

    Science.gov (United States)

    Baziw, E.; Weir-Jones, I.

    - Microseismic monitoring systems are generally installed in areas of induced seismicity caused by human activity. Induced seismicity results from changes in the state of stress which may occur as a result of excavation within the rock mass in mining (i.e., rockbursts), and changes in hydrostatic pressures and rock temperatures (e.g., during fluid injection or extraction) in oil exploitation, dam construction or fluid disposal. Microseismic monitoring systems determine event locations and important source parameters such as attenuation, seismic moment, source radius, static stress drop, peak particle velocity and seismic energy. An essential part of the operation of a microseismic monitoring system is the reliable detection of microseismic events. In the absence of reliable, automated picking techniques, operators rely upon manual picking. This is time-consuming, costly and, in the presence of background noise, very prone to error. The techniques described in this paper not only permit the reliable identification of events in cluttered signal environments they have also enabled the authors to develop reliable automated event picking procedures. This opens the way to use microseismic monitoring as a cost-effective production/operations procedure. It has been the experience of the authors that in certain noisy environments, the seismic monitoring system may trigger on and subsequently acquire substantial quantities of erroneous data, due to the high energy content of the ambient noise. Digital filtering techniques need to be applied on the microseismic data so that the ambient noise is removed and event detection simplified. The monitoring of seismic acoustic emissions is a continuous, real-time process and it is desirable to implement digital filters which can also be designed in the time domain and in real-time such as the Kalman Filter. This paper presents a real-time Kalman Filter which removes the statistically describable background noise from the recorded

  6. Unscented Kalman filtering in the additive noise case

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    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 unscented transforms(UTs) are proved for several sampling strategies that are commonly used.Then,we find that the augmented and non-augmented UKFs have the same filter results with the additive measurement noise,but only have the same state predictions with the additive process noise.Resampling is not believed to be necessary in some researches.However,we find out that resampling can be helpful for an adaptive Kalman gain.This will improve the convergence and accuracy of the filter when the large scale state modeling bias or unknown maneuvers occur.Finally,some universal designing principles for a practical UKF are given as follows:1) for the additive observation noise case,it’s better to use the non-augmented UKF;2) for the additive process noise case,when the small state modeling bias or maneuvers are involved,the non-resampling algorithms with state whether augmented or not are candidates for filters;3) the resampling and non-augmented algorithm is the only choice while the large state modeling bias or maneuvers are latent.

  7. Identifying Bearing Rotordynamic Coefficients using an Extended Kalman Filter

    Science.gov (United States)

    Miller, Bard A.; Howard, Samuel A.

    2008-01-01

    An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor-dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter s performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor-bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

  8. Identifying Bearing Rotodynamic Coefficients Using an Extended Kalman Filter

    Science.gov (United States)

    Miller, Brad A.; Howard, Samuel A.

    2008-01-01

    An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter's performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.

  9. Alternatives to an extended Kalman Filter for target image tracking

    Science.gov (United States)

    Leuthauser, P. R.

    1981-12-01

    Four alternative filters are compared to an extended Kalman filter (EKF) algorithm for tracking a distributed (elliptical) source target in a closed loop tracking problem, using outputs from a forward looking (FLIR) sensor as measurements. These were (1) an EKF with (second order) bias correction term, (2) a constant gain EKF, (3) a constant gain EKF with bias correction term, and (4) a statistically linearized filter. Estimates are made of both actual target motion and of apparent motion due to atmospheric jitter. These alternative designs are considered specifically to address some of the significant biases exhibited by an EKF due to initial acquisition difficulties, unmodelled maneuvering by the target, low signal-to-noise ratio, and real world conditions varying significantly from those assumed in the filter design (robustness). Filter performance was determined with a Monte Carlo study under both ideal and non ideal conditions for tracking targets on a constant velocity cross range path, and during constant acceleration turns of 5G, 10G, and 20G.

  10. Instantaneous spectrum estimation of earthquake ground motions based on unscented Kalman filter method

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    Representing earthquake ground motion as time varying ARMA model, the instantaneous spectrum can only be determined by the time varying coefficients of the corresponding ARMA model. In this paper, unscented Kalman filter is applied to estimate the time varying coefficients. The comparison between the estimation results of unscented Kalman filter and Kalman filter methods shows that unscented Kalman filter can more precisely represent the distribution of the spectral peaks in time-frequency plane than Kalman filter, and its time and frequency resolution is finer which ensures its better ability to track the local properties of earthquake ground motions and to identify the systems with nonlinearity or abruptness. Moreover, the estimation results of ARMA models with different orders indicate that the theoretical frequency resolving power ofARMA model which was usually ignored in former studies has great effect on the estimation precision of instantaneous spectrum and it should be taken as one of the key factors in order selection of ARMA model.

  11. A novel strong tracking finite-difference extended Kalman filter for nonlinear eye tracking

    Institute of Scientific and Technical Information of China (English)

    ZHANG ZuTao; ZHANG JiaShu

    2009-01-01

    Non-Intrusive methods for eye tracking are Important for many applications of vision-based human computer interaction. However, due to the high nonlinearity of eye motion, how to ensure the robust-ness of external interference and accuracy of eye tracking poses the primary obstacle to the integration of eye movements into today's interfaces. In this paper, we present a strong tracking finite-difference extended Kalman filter algorithm, aiming to overcome the difficulty In modeling nonlinear eye tracking. In filtering calculation, strong tracking factor is introduced to modify a priori covariance matrix and im-prove the accuracy of the filter. The filter uses finite-difference method to calculate partial derivatives of nonlinear functions for eye tracking. The latest experimental results show the validity of our method for eye tracking under realistic conditions.

  12. Kalman Filter for Calibrating a Telescope Focal Plane

    Science.gov (United States)

    Kang, Bryan; Bayard, David

    2006-01-01

    The instrument-pointing frame (IPF) Kalman filter, and an algorithm that implements this filter, have been devised for calibrating the focal plane of a telescope. As used here, calibration signifies, more specifically, a combination of measurements and calculations directed toward ensuring accuracy in aiming the telescope and determining the locations of objects imaged in various arrays of photodetectors in instruments located on the focal plane. The IPF Kalman filter was originally intended for application to a spaceborne infrared astronomical telescope, but can also be applied to other spaceborne and ground-based telescopes. In the traditional approach to calibration of a telescope, (1) one team of experts concentrates on estimating parameters (e.g., pointing alignments and gyroscope drifts) that are classified as being of primarily an engineering nature, (2) another team of experts concentrates on estimating calibration parameters (e.g., plate scales and optical distortions) that are classified as being primarily of a scientific nature, and (3) the two teams repeatedly exchange data in an iterative process in which each team refines its estimates with the help of the data provided by the other team. This iterative process is inefficient and uneconomical because it is time-consuming and entails the maintenance of two survey teams and the development of computer programs specific to the requirements of each team. Moreover, theoretical analysis reveals that the engineering/ science iterative approach is not optimal in that it does not yield the best estimates of focal-plane parameters and, depending on the application, may not even enable convergence toward a set of estimates.

  13. Parameter sensitivity of three Kalman Filter Schemes for the assimilation of tide guage data in coastal and self sea models

    DEFF Research Database (Denmark)

    Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, H.

    2006-01-01

    sensitivity study of three well known Kalman filter approaches for the assimilation of water levels in a three dimensional hydrodynamic modelling system. The filters considered are the ensemble Kalman filter (EnKF), the reduced rank square root Kalman filter (RRSQRT) and the steady Kalman filter...... is to be encouraged in this perspective. However, the predicted uncertainty of the assimilation results are sensitive to the parameters and hence must be applied with care. The sensitivity study further demonstrates the effectiveness of the steady Kalman filter in the given system as well as the great impact...

  14. Estimating ice-affected streamflow by extended Kalman filtering

    Science.gov (United States)

    Holtschlag, D.J.; Grewal, M.S.

    1998-01-01

    An extended Kalman filter was developed to automate the real-time estimation of ice-affected streamflow on the basis of routine measurements of stream stage and air temperature and on the relation between stage and streamflow during open-water (ice-free) conditions. The filter accommodates three dynamic modes of ice effects: sudden formation/ablation, stable ice conditions, and eventual elimination. The utility of the filter was evaluated by applying it to historical data from two long-term streamflow-gauging stations, St. John River at Dickey, Maine and Platte River at North Bend, Nebr. Results indicate that the filter was stable and that parameters converged for both stations, producing streamflow estimates that are highly correlated with published values. For the Maine station, logarithms of estimated streamflows are within 8% of the logarithms of published values 87.2% of the time during periods of ice effects and within 15% 96.6% of the time. Similarly, for the Nebraska station, logarithms of estimated streamflows are within 8% of the logarithms of published values 90.7% of the time and within 15% 97.7% of the time. In addition, the correlation between temporal updates and published streamflows on days of direct measurements at the Maine station was 0.777 and 0.998 for ice-affected and open-water periods, respectively; for the Nebraska station, corresponding correlations were 0.864 and 0.997.

  15. Using Kalman filters to reduce noise from RFID location system.

    Science.gov (United States)

    Abreu, Pedro Henriques; Xavier, José; Silva, Daniel Castro; Reis, Luís Paulo; Petry, Marcelo

    2014-01-01

    Nowadays, there are many technologies that support location systems involving intrusive and nonintrusive equipment and also varying in terms of precision, range, and cost. However, the developers some time neglect the noise introduced by these systems, which prevents these systems from reaching their full potential. Focused on this problem, in this research work a comparison study between three different filters was performed in order to reduce the noise introduced by a location system based on RFID UWB technology with an associated error of approximately 18 cm. To achieve this goal, a set of experiments was devised and executed using a miniature train moving at constant velocity in a scenario with two distinct shapes-linear and oval. Also, this train was equipped with a varying number of active tags. The obtained results proved that the Kalman Filter achieved better results when compared to the other two filters. Also, this filter increases the performance of the location system by 15% and 12% for the linear and oval paths respectively, when using one tag. For a multiple tags and oval shape similar results were obtained (11-13% of improvement).

  16. On a nonlinear Kalman filter with simplified divided difference approximation

    KAUST Repository

    Luo, Xiaodong

    2012-03-01

    We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling\\'s interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling\\'s interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the analysis. In this sense, the sDDF is a hybrid of Stirling\\'s interpolation formula and the EnSRF method, while the computational cost of the sDDF is less than that of the EnSRF. Numerical comparison between the sDDF and the EnSRF, with the ensemble transform Kalman filter (ETKF) as the representative, is conducted. The experiment results suggest that the sDDF outperforms the ETKF with a relatively large ensemble size, and thus is a good candidate for data assimilation in systems with moderate dimensions. © 2011 Elsevier B.V. All rights reserved.

  17. Constrained Kalman Filtering Via Density Function Truncation for Turbofan Engine Health Estimation

    Science.gov (United States)

    Simon, Dan; Simon, Donald L.

    2006-01-01

    Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops an analytic method of incorporating state variable inequality constraints in the Kalman filter. The resultant filter truncates the PDF (probability density function) of the Kalman filter estimate at the known constraints and then computes the constrained filter estimate as the mean of the truncated PDF. The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is demonstrated via simulation results obtained from a turbofan engine model. The turbofan engine model contains 3 state variables, 11 measurements, and 10 component health parameters. It is also shown that the truncated Kalman filter may be a more accurate way of incorporating inequality constraints than other constrained filters (e.g., the projection approach to constrained filtering).

  18. Kalman Filtering with Intermittent Observations: Weak Convergence and Moderate Deviations

    CERN Document Server

    Kar, Soummya

    2009-01-01

    The paper considers the problem of Kalman filtering with intermittent observations, where the observation packet arrival process is modeled as a Bernoulli process. We start by extending the results of \\cite{Riccati-weakconv} to show that the sequence of random conditional error covariance matrices converges in distribution to a unique invariant distribution $\\mathbb{\\mu}^{\\bar{\\gamma}}$, as long as the packet arrival probability $\\bar{\\gamma}>0$. We completely characterize the sequence ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ of invariant distributions as $\\bar{\\gamma}\\uparrow 1$, by showing that the sequence ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ satisfies a moderate deviations principle (MDP) with a good rate function $I$, which is explicitly characterized. We then study the sequence of invariant distributions ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ as $\\bar{\\gamma}\\uparrow 1$. We show that, as $\\bar{\\gamma}\\uparrow 1$, ...

  19. Wet Refractivity Tomography with an hnproved Kalman-Filter Method

    Institute of Scientific and Technical Information of China (English)

    2006-01-01

    An improved retrieval method, which uses the solution with a Gaussian constraint as the initial state variables for the Kalman Filtering (KF) method, was developed to retrieve the wet refractivity profiles from slant wet delays (SWD) extracted by the double-differenced (DD) GPS method. The accuracy of the GPS-derived SWDs is also tested in this study against the measurements of a water vapor radiometer (WVR) and a weather model. It is concluded that the GPS-derived SWDs have similar accuracy to those measured with WVR and are much higher in quality than those derived from the weather model used. The developed method is used to retrieve the 3D wet refractivity distribution in the Hong Kong region. The retrieved profiles agree well with the radiosonde observations, with a difference of about 4 mm km-1 in the low levels. The accurate profiles obtained with this method are applicable in a number of meteorological applications.

  20. Tracking whole hand kinematics using extended Kalman filter.

    Science.gov (United States)

    Fu, Qiushi; Santello, Marco

    2010-01-01

    This paper describes the general procedure, model construction, and experimental results of tracking whole hand kinematics using extended Kalman filter (EKF) based on data recorded from active surface markers. We used a hand model with 29 degrees of freedom that consists of hand global posture, wrist, and digits. The marker protocol had 4 markers on the distal forearm and 20 markers on the dorsal surface of the joints of the digits. To reduce computational load, we divided the state space into four sub-spaces, each of which were estimated with an EKF in a specific order. We tested our framework and found reasonably accurate results (2-4 mm tip position error) when sampling tip to tip pinch at 120 Hz.

  1. Model Calibration of Exciter and PSS Using Extended Kalman Filter

    Energy Technology Data Exchange (ETDEWEB)

    Kalsi, Karanjit; Du, Pengwei; Huang, Zhenyu

    2012-07-26

    Power system modeling and controls continue to become more complex with the advent of smart grid technologies and large-scale deployment of renewable energy resources. As demonstrated in recent studies, inaccurate system models could lead to large-scale blackouts, thereby motivating the need for model calibration. Current methods of model calibration rely on manual tuning based on engineering experience, are time consuming and could yield inaccurate parameter estimates. In this paper, the Extended Kalman Filter (EKF) is used as a tool to calibrate exciter and Power System Stabilizer (PSS) models of a particular type of machine in the Western Electricity Coordinating Council (WECC). The EKF-based parameter estimation is a recursive prediction-correction process which uses the mismatch between simulation and measurement to adjust the model parameters at every time step. Numerical simulations using actual field test data demonstrate the effectiveness of the proposed approach in calibrating the parameters.

  2. Predicting breeding values in animals by kalman filter

    DEFF Research Database (Denmark)

    Karacaören, Burak; Janss, Luc; Kadarmideen, Haja

    2012-01-01

    The aim of this study was to investigate usefulness of Kalman Filter (KF) Random Walk methodology (KF-RW) for prediction of breeding values in animals. We used body condition score (BCS) from dairy cattle for illustrating use of KF-RW. BCS was measured by Swiss Holstein Breeding Association during...... May 2004-March 2005 for 7 times approximately at monthly intervals from dairy cows (n=80) stationed at the Chamau research farm of Eidgenössische Technische Hochschule (ETH), Switzerland. Benefits of KF were demonstrated using random walk models via simulations. Breeding values were predicted over...... for variance components were found (with standard errors) 0.03 (0.006) for animal genetic variance 0.04 (0.007) for permanent environmental variance and 0.21 (0.02) for error variance. Since KF gives online estimation of breeding values and does not need to store or invert matrices, this methodology could...

  3. Alignment of the LHCb detector with Kalman filter fitted tracks

    CERN Document Server

    Amoraal, J M

    2009-01-01

    The LHCb detector, operating at the Large Hadron Collider at CERN, is a single arm spectrometer optimised for the detection of forward b and anti-b production for b physics studies. The reconstruction of vertices and tracks is done by silicon micro-strip and gaseous straw-tube based detectors. To obtain excellent momentum, mass and vertex resolutions, the detectors need to be aligned well within the hit resolution for a given detector. We present a general and easy to configure alignment framework which uses the closed from method of alignment with Kalman filter fitted tracks to determine the alignment parameters. This allows us to use the standard LHCb track model and fit, and correctly take complexities such as multiple scattering and energy loss corrections into account. With this framework it is possible to align any detector for any degree of freedom.

  4. Kalman Filter for Mass Property and Thrust Identification (MMS)

    Science.gov (United States)

    Queen, Steven

    2015-01-01

    The Magnetospheric Multiscale (MMS) mission consists of four identically instrumented, spin-stabilized observatories, elliptically orbiting the Earth in a tetrahedron formation. For the operational success of the mission, on-board systems must be able to deliver high-precision orbital adjustment maneuvers. On MMS, this is accomplished using feedback from on-board star sensors in tandem with accelerometers whose measurements are dynamically corrected for errors associated with a spinning platform. In order to determine the required corrections to the measured acceleration, precise estimates of attitude, rate, and mass-properties is necessary. To this end, both an on-board and ground-based Multiplicative Extended Kalman Filter (MEKF) were formulated and implemented in order to estimate the dynamic and quasi-static properties of the spacecraft.

  5. Damping strapdown inertial navigation system based on a Kalman filter

    Science.gov (United States)

    Zhao, Lin; Li, Jiushun; Cheng, Jianhua; Hao, Yong

    2016-11-01

    A damping strapdown inertial navigation system (DSINS) can effectively suppress oscillation errors of strapdown inertial navigation systems (SINSs) and improve the navigation accuracy of SINSs. Aiming at overcoming the disadvantages of traditional damping methods, a DSINS, based on a Kalman filter (KF), is proposed in this paper. Using the measurement data of accelerometers and calculated navigation parameters during the navigation process, the expression of the observation equation is derived. The calculation process of the observation in both the internal damping state and the external damping state is presented. Finally, system oscillation errors are compensated by a KF. Simulation and test results show that, compared with traditional damping methods, the proposed method can reduce system overshoot errors and shorten the convergence time of oscillation errors effectively.

  6. Kalman Filter Track Fits and Track Breakpoint Analysis

    CERN Document Server

    Astier, Pierre; Cousins, R D; Letessier-Selvon, A A; Popov, B A; Vinogradova, T G; Astier, Pierre; Cardini, Alessandro; Cousins, Robert D.; Letessier-Selvon, Antoine; Popov, Boris A.; Vinogradova, Tatiana

    2000-01-01

    We give an overview of track fitting using the Kalman filter method in the NOMAD detector at CERN, and emphasize how the wealth of by-product information can be used to analyze track breakpoints (discontinuities in track parameters caused by scattering, decay, etc.). After reviewing how this information has been previously exploited by others, we describe extensions which add power to breakpoint detection and characterization. We show how complete fits to the entire track, with breakpoint parameters added, can be easily obtained from the information from unbroken fits. Tests inspired by the Fisher F-test can then be used to judge breakpoints. Signed quantities (such as change in momentum at the breakpoint) can supplement unsigned quantities such as the various chisquares. We illustrate the method with electrons from real data, and with Monte Carlo simulations of pion decays.

  7. Estimation of noise parameters in dynamical system identification with Kalman filters.

    Science.gov (United States)

    Kwasniok, Frank

    2012-09-01

    A method is proposed for determining dynamical and observational noise parameters in state and parameter identification from time series using Kalman filters. The noise covariances are estimated in a secondary optimization by maximizing the predictive likelihood of the data. The approach is based on internal consistency; for the correct noise parameters, the uncertainty projected by the Kalman filter matches the actual predictive uncertainty. The method is able to disentangle dynamical and observational noise. The algorithm is demonstrated for the linear, extended, and unscented Kalman filters using an Ornstein-Uhlenbeck process, the noise-driven Lorenz system, and van der Pol oscillator as well as a paleoclimatic ice-core record as examples. The approach is also applicable to the ensemble Kalman filter and can be readily extended to non-Gaussian estimation frameworks such as Gaussian-sum filters and particle filters.

  8. 基于联邦Kalman滤波的Wi-Fi/GPS车辆组合定位系统%Wi-Fi/GPS integrated positioning system using a federated Kalman filter

    Institute of Scientific and Technical Information of China (English)

    卢恒惠; 张盛; 汪浩; 林孝康

    2011-01-01

    Since the global positioning system (GPS) is unavailable in dense urban environments, tunnels, indoor parking lots, etc.and the Wi-Fi system suffers from low accuracy, this paper presents a Wi- Fi/GPS integrated positioning system based on the federate Kalman filter (FKF).The local optimal estimates of the Wi- Fi positioning and GPS are produced by two local filters operating in parallel and then inputted to a master filter to yield a globally optimal estimate.Simulation results show that the accuracy is remarkably improved by about 70% compared with GPS positioning alone and 81% compared with Wi-Fi alone.The scope of positioning is also effectively expanded.%针对全球卫星定位系统(GPS)在密集城市地带、隧道、室内停车场等环境下不可用及Wi-Fi定位精度不足的问题,提出了一种Wi-Fi/GPS组合定位系统.该系统基于联邦Kalman滤波器,先通过两个并行的局部滤波器获得Wi-Fi、GPS定位子系统的局部最优估计,再由主滤波器融合得到最优全局估计.仿真结果表明:较之单独使用GPS或Wi-Fi,组合定位系统的定位精度分别提高了近70%和81%,且有效扩大了应用范围.

  9. Attitude Determination for MAVs Using a Kalman Filter

    Institute of Scientific and Technical Information of China (English)

    LIU Cheng; ZHOU Zhaoying; FU Xu

    2008-01-01

    This paper presents a Kalman filter to effectively and economically determine the Euler angles for micro aerial vehicles(MAVs),whose size and payload are severely limited.The filter uses data from a series of micro-electro mechanical system sensors to determine the selected 3 vanables of the direction cosine matrix and the bias of the rata gyro sensors as state elements in a dynamic model,with the gravitational acceleration to build a measurement model.For high speed maneuvers,rigid motion equations are used to correct the measurements of the gravitational acceleration.The filter is designed to automatically tune its gain based on the dynamic system state.Simulations indicate that the Euler angles can be determined with standard deviations less than 3.The algorithm was successfully implemented in a miniature attitude measurement system suitable for MAVs.Aerobatic flights show that the attitude determination algorithm works effectively.The attitude determination algorithm is effective and economical,and can also be applied to bionic rebofishs and land vehicles,whose size and payload are also greatly limited.

  10. Prediction of Lumen Output and Chromaticity Shift in LEDs Using Kalman Filter and Extended Kalman Filter Based Models

    Energy Technology Data Exchange (ETDEWEB)

    Lall, Pradeep; Wei, Junchao; Davis, J Lynn

    2014-06-24

    Abstract— Solid-state lighting (SSL) luminaires containing light emitting diodes (LEDs) have the potential of seeing excessive temperatures when being transported across country or being stored in non-climate controlled warehouses. They are also being used in outdoor applications in desert environments that see little or no humidity but will experience extremely high temperatures during the day. This makes it important to increase our understanding of what effects high temperature exposure for a prolonged period of time will have on the usability and survivability of these devices. Traditional light sources “burn out” at end-of-life. For an incandescent bulb, the lamp life is defined by B50 life. However, the LEDs have no filament to “burn”. The LEDs continually degrade and the light output decreases eventually below useful levels causing failure. Presently, the TM-21 test standard is used to predict the L70 life of LEDs from LM-80 test data. Several failure mechanisms may be active in a LED at a single time causing lumen depreciation. The underlying TM-21 Model may not capture the failure physics in presence of multiple failure mechanisms. Correlation of lumen maintenance with underlying physics of degradation at system-level is needed. In this paper, Kalman Filter (KF) and Extended Kalman Filters (EKF) have been used to develop a 70-percent Lumen Maintenance Life Prediction Model for LEDs used in SSL luminaires. Ten-thousand hour LM-80 test data for various LEDs have been used for model development. System state at each future time has been computed based on the state space at preceding time step, system dynamics matrix, control vector, control matrix, measurement matrix, measured vector, process noise and measurement noise. The future state of the lumen depreciation has been estimated based on a second order Kalman Filter model and a Bayesian Framework. Life prediction of L70 life for the LEDs used in SSL luminaires from KF and EKF based models have

  11. Kalman-median Compound Filter for Gaussian and Impulse Noise Reduction on Digital Images

    OpenAIRE

    山森, 一人; 山田, 義治; 相川, 勝

    2013-01-01

    This paper proposes an image restoration method from degraded images which include additive gaussian noise and impulse noise. This method tries to achieve image restoration by using combination of canonical state space model kalman filter and median filter. Kalman filter estimates internal state of a dynamic system based on system model. The canonical state space models are described by two equations; state equation that expresses a transition process of the region including the focusing pixe...

  12. Modified unscented Kalman filter using modified filter gain and variance scale factor for highly maneuvering target tracking

    Institute of Scientific and Technical Information of China (English)

    Changyun Liu; Penglang Shui; Gang Wei; Song Li

    2014-01-01

    To improve the low tracking precision caused by lagged filter gain or imprecise state noise when the target highly maneu-vers, a modified unscented Kalman filter algorithm based on the improved filter gain and adaptive scale factor of state noise is pre-sented. In every filter process, the estimated scale factor is used to update the state noise covariance Qk, and the improved filter gain is obtained in the filter process of unscented Kalman filter (UKF) via predicted variance Pk|k-1, which is similar to the standard Kalman filter. Simulation results show that the proposed algorithm provides better accuracy and ability to adapt to the highly maneu-vering target compared with the standard UKF.

  13. Inertial Head-Tracker Sensor Fusion by a Complementary Separate-Bias Kalman Filter

    Science.gov (United States)

    Foxlin, Eric

    1996-01-01

    Current virtual environment and teleoperator applications are hampered by the need for an accurate, quick-responding head-tracking system with a large working volume. Gyroscopic orientation sensors can overcome problems with jitter, latency, interference, line-of-sight obscurations, and limited range, but suffer from slow drift. Gravimetric inclinometers can detect attitude without drifting, but are slow and sensitive to transverse accelerations. This paper describes the design of a Kalman filter to integrate the data from these two types of sensors in order to achieve the excellent dynamic response of an inertial system without drift, and without the acceleration sensitivity of inclinometers.

  14. A Quantised State Systems Approach for Jacobian Free Extended Kalman Filtering

    DEFF Research Database (Denmark)

    Alminde, Lars; Bendtsen, Jan Dimon; Stoustrup, Jakob

    2007-01-01

    Model based methods for control of intelligent autonomous systems rely on a state estimate being available. One of the most common methods to obtain a state estimate for non-linear systems is the Extended Kalman Filter (EKF) algorithm. In order to apply the EKF an expression must be available...... for the Jacobian of the driving function; for complex systems this can be difficult to obtain. This paper presents an EKF variation that makes use of integrated quantised state simulation to propagate the state and obtain a backward difference estimate of the Jacobian at a small computational cost. A simulation...

  15. LIDAR-Aided Inertial Navigation with Extended Kalman Filtering for Pinpoint Landing

    Science.gov (United States)

    Busnardo, David M.; Aitken, Matthew L.; Tolson, Robert H.; Pierrottet, Diego; Amzajerdian, Farzin

    2011-01-01

    In support of NASA s Autonomous Landing and Hazard Avoidance Technology (ALHAT) project, an extended Kalman filter routine has been developed for estimating the position, velocity, and attitude of a spacecraft during the landing phase of a planetary mission. The proposed filter combines measurements of acceleration and angular velocity from an inertial measurement unit (IMU) with range and Doppler velocity observations from an onboard light detection and ranging (LIDAR) system. These high-precision LIDAR measurements of distance to the ground and approach velocity will enable both robotic and manned vehicles to land safely and precisely at scientifically interesting sites. The filter has been extensively tested using a lunar landing simulation and shown to improve navigation over flat surfaces or rough terrain. Experimental results from a helicopter flight test performed at NASA Dryden in August 2008 demonstrate that LIDAR can be employed to significantly improve navigation based exclusively on IMU integration.

  16. Complex step-based low-rank extended Kalman filtering for state-parameter estimation in subsurface transport models

    KAUST Repository

    El Gharamti, Mohamad

    2014-02-01

    The accuracy of groundwater flow and transport model predictions highly depends on our knowledge of subsurface physical parameters. Assimilation of contaminant concentration data from shallow dug wells could help improving model behavior, eventually resulting in better forecasts. In this paper, we propose a joint state-parameter estimation scheme which efficiently integrates a low-rank extended Kalman filtering technique, namely the Singular Evolutive Extended Kalman (SEEK) filter, with the prominent complex-step method (CSM). The SEEK filter avoids the prohibitive computational burden of the Extended Kalman filter by updating the forecast along the directions of error growth only, called filter correction directions. CSM is used within the SEEK filter to efficiently compute model derivatives with respect to the state and parameters along the filter correction directions. CSM is derived using complex Taylor expansion and is second order accurate. It is proven to guarantee accurate gradient computations with zero numerical round-off errors, but requires complexifying the numerical code. We perform twin-experiments to test the performance of the CSM-based SEEK for estimating the state and parameters of a subsurface contaminant transport model. We compare the efficiency and the accuracy of the proposed scheme with two standard finite difference-based SEEK filters as well as with the ensemble Kalman filter (EnKF). Assimilation results suggest that the use of the CSM in the context of the SEEK filter may provide up to 80% more accurate solutions when compared to standard finite difference schemes and is competitive with the EnKF, even providing more accurate results in certain situations. We analyze the results based on two different observation strategies. We also discuss the complexification of the numerical code and show that this could be efficiently implemented in the context of subsurface flow models. © 2013 Elsevier B.V.

  17. Zero Gyro Kalman Filtering in the Presence of a Reaction Wheel Failure

    Science.gov (United States)

    Hur-Diaz, Sun; Wirzburger, John; Smith, Dan; Myslinski, Mike

    2007-01-01

    Typical implementation of Kalman filters for spacecraft attitude estimation involves the use of gyros for three-axis rate measurements. When there are less than three axes of information available, the accuracy of the Kalman filter depends highly on the accuracy of the dynamics model. This is particularly significant during the transient period when a reaction wheel with a high momentum fails, is taken off-line, and spins down. This paper looks at how a reaction wheel failure can affect the zero-gyro Kalman filter performance for the Hubble Space Telescope and what steps are taken to minimize its impact.

  18. Experimental Evaluation of Torque Performance of Low Pass Filter and Extended Kalman Filter with Measured Torque for Induction Motor Drives

    Directory of Open Access Journals (Sweden)

    Ibrahim Mohd Alsofyani

    2015-02-01

    Full Text Available In this paper, two kinds of observers are proposed to investigate torque estimation. The first one is based on a voltage model represented with a low-pass filter (LPF; which is normally used as a replacement for a pure integrator to avoid integration drift problem due to dc offset or measurement error. The second estimator used is an extended Kalman filter (EKF as a current model, which puts into account all noise problems. Both estimation algorithms are investigated during the steady and transient states, tested under light load, and then compared with the measured mechanical torque. In all conditions, the torque estimation error for EKF has remained within a narrow error band and yielded minimum torque ripples, which motivate the use of the EKF estimation algorithm in high performance control drives of IMs for achieving high dynamic performance.

  19. Hypersonic entry vehicle state estimation using nonlinearity-based adaptive cubature Kalman filters

    Science.gov (United States)

    Sun, Tao; Xin, Ming

    2017-05-01

    Guidance, navigation, and control of a hypersonic vehicle landing on the Mars rely on precise state feedback information, which is obtained from state estimation. The high uncertainty and nonlinearity of the entry dynamics make the estimation a very challenging problem. In this paper, a new adaptive cubature Kalman filter is proposed for state trajectory estimation of a hypersonic entry vehicle. This new adaptive estimation strategy is based on the measure of nonlinearity of the stochastic system. According to the severity of nonlinearity along the trajectory, the high degree cubature rule or the conventional third degree cubature rule is adaptively used in the cubature Kalman filter. This strategy has the benefit of attaining higher estimation accuracy only when necessary without causing excessive computation load. The simulation results demonstrate that the proposed adaptive filter exhibits better performance than the conventional third-degree cubature Kalman filter while maintaining the same performance as the uniform high degree cubature Kalman filter but with lower computation complexity.

  20. Global Systems for Mobile Position Tracking Using Kalman and Lainiotis Filters

    Directory of Open Access Journals (Sweden)

    Nicholas Assimakis

    2014-01-01

    Full Text Available We present two time invariant models for Global Systems for Mobile (GSM position tracking, which describe the movement in x-axis and y-axis simultaneously or separately. We present the time invariant filters as well as the steady state filters: the classical Kalman filter and Lainiotis Filter and the Join Kalman Lainiotis Filter, which consists of the parallel usage of the two classical filters. Various implementations are proposed and compared with respect to their behavior and to their computational burden: all time invariant and steady state filters have the same behavior using both proposed models but have different computational burden. Finally, we propose a Finite Impulse Response (FIR implementation of the Steady State Kalman, and Lainiotis filters, which does not require previous estimations but requires a well-defined set of previous measurements.

  1. Adaptive Iterated Square-Root Cubature Kalman Filter and Its Application to SLAM of a Mobile Robot

    Directory of Open Access Journals (Sweden)

    Zuguo Chen

    2013-07-01

    Full Text Available For the mobile robot Simultaneous Localization and Mapping(SLAM,a new algorithm is proposed, and named Adaptive Iterated Square-Root Cubature Kalman Filter based SLAM algorithm(AISRCKF-SLAM. The main contribution of the algorithm is that the numerical integration method based on cubature rule is directly used to calculate the SLAM posterior probability density. To improve innovation covariance and cross-covariance, the latest measurements are iteratively used in the measurement updating. The algorithm can reduce linearization error and improve the accuracy of the SLAM algorithm. The algorithm also used adaptive iterating estimation restricted by the iterative sentencing guideline to adjust the proportion of the observation and dynamic model, to make the estimated square root of the error covariance more accurate and reasonable. In experiments, the proposed algorithm is compared with Extended Kalman Filter based SLAM algorithm (EKF-SLAM, Unscented Kalman Filter based SLAM algorithm (UKF-SLAM and Square-Root Cubature Kalman Filter based SLAM algorithm (SRCKF-SLAM. The results indicate that the proposed algorithm having with the higher accuracy of the state estimation is obtained to compare with the EKF-SLAM algorithm, the UKF-SLAM algorithm and the SRCKF-SLAM algorithm.

  2. Delay Kalman Filter to Estimate the Attitude of a Mobile Object with Indoor Magnetic Field Gradients

    Directory of Open Access Journals (Sweden)

    Christophe Combettes

    2016-05-01

    Full Text Available More and more services are based on knowing the location of pedestrians equipped with connected objects (smartphones, smartwatches, etc.. One part of the location estimation process is attitude estimation. Many algorithms have been proposed but they principally target open space areas where the local magnetic field equals the Earth’s field. Unfortunately, this approach is impossible indoors, where the use of magnetometer arrays or magnetic field gradients has been proposed. However, current approaches omit the impact of past state estimates on the current orientation estimate, especially when a reference field is computed over a sliding window. A novel Delay Kalman filter is proposed in this paper to integrate this time correlation: the Delay MAGYQ. Experimental assessment, conducted in a motion lab with a handheld inertial and magnetic mobile unit, shows that the novel filter better estimates the Euler angles of the handheld device with an 11.7° mean error on the yaw angle as compared to 16.4° with a common Additive Extended Kalman filter.

  3. GPS Interference Mitigation Using Derivative-free Kalman Filter-based RNN

    Directory of Open Access Journals (Sweden)

    W. L. Mao

    2016-09-01

    Full Text Available The global positioning system (GPS with accurate positioning and timing properties has become integral part of all applications around the world. Radio frequency interference can significantly decrease the performance of GPS receivers or even completely prohibit the acquisition or tracking of satellites. The approaches of system performances that can be further enhanced by preprocessing to reject the jamming signal will be investigated. A recurrent neural network (RNN predictor for the GPS anti-jamming applications will be proposed. The adaptive RNN predictor is utilized to accurately predict the narrowband waveform based on an unscented Kalman filter (UKF-based algorithm. The UKF algorithm as a derivative-free alternative to the extended Kalman filter (EKF in the framework of state-estimation is adopted to achieve better performance in terms of convergence rate and quality of solution. The adaptive RNN filter can be successfully applied for the suppression of interference with a number of different narrowband formats, i.e. continuous wave interference (CWI, multi-tone CWI, swept CWI and pulsed CWI, to emulate realistic circumstances. Simulation results show that the proposed UKF-based scheme can offer the superior performances to suppress the interference over the conventional methods by computing mean squared prediction error (MSPE and signal-to-noise ratio (SNR improvements.

  4. A novel extended Kalman filter for a class of nonlinear systems

    Institute of Scientific and Technical Information of China (English)

    DONG Zhe; YOU Zheng

    2006-01-01

    Estimation of the state variables of nonlinear systems is one of the fundamental and significant problems in control and signal processing. A new extended Kalman filtering approach for a class of nonlinear discrete-time systems in engineering is presented in this paper. In contrast to the celebrated extended Kalman filter (EKF), there is no linearization operation in the design procedure of the filter, and the parameters of the filter are obtained through minimizing a proper upper bound of the mean-square estimation error. Simulation results show that this filter can provide higher estimation precision than that provided by the EKF.

  5. Adaptive Kalman Filter of Transfer Alignment with Un-modeled Wing Flexure of Aircraft

    Institute of Scientific and Technical Information of China (English)

    2008-01-01

    The alignment accuracy of the strap-down inertial navigation system (SINS) of airborne weapon is greatly degraded by the dynamic wing flexure of the aircraft. An adaptive Kalman filter uses innovation sequences based on the maximum likelihood estimated criterion to adapt the system noise covariance matrix and the measurement noise covariance matrix on line, which is used to estimate the misalignment if the model of wing flexure of the aircraft is unknown. From a number of simulations, it is shown that the accuracy of the adaptive Kalman filter is better than the conventional Kalman filter, and the erroneous misalignment models of the wing flexure of aircraft will cause bad estimation results of Kalman filter using attitude match method.

  6. A new approach to UTC calculation by means of the Kalman filter

    Science.gov (United States)

    Parisi, Federica; Panfilo, Gianna

    2016-10-01

    In this paper a new approach to Coordinated Universal Time (UTC) calculation is presented by means of the Kalman filter. An ensemble of atomic clocks participating in UTC is selected for analyzing and testing the potentiality of this new method.

  7. The use of the ensemble Kalman filter for production management in the presence of impermeable obstructions

    National Research Council Canada - National Science Library

    Saad, George; Azizi, Fouad

    ... the sweep efficiency inside the reservoir. Controlling the flood front dynamics is achieved by coupling an ensemble Kalman filter scheme with a two-phase immiscible flow reservoir simulator and thus relying on a set of observational data...

  8. Attitude determination and calibration using a recursive maximum likelihood-based adaptive Kalman filter

    Science.gov (United States)

    Kelly, D. A.; Fermelia, A.; Lee, G. K. F.

    1990-01-01

    An adaptive Kalman filter design that utilizes recursive maximum likelihood parameter identification is discussed. At the center of this design is the Kalman filter itself, which has the responsibility for attitude determination. At the same time, the identification algorithm is continually identifying the system parameters. The approach is applicable to nonlinear, as well as linear systems. This adaptive Kalman filter design has much potential for real time implementation, especially considering the fast clock speeds, cache memory and internal RAM available today. The recursive maximum likelihood algorithm is discussed in detail, with special attention directed towards its unique matrix formulation. The procedure for using the algorithm is described along with comments on how this algorithm interacts with the Kalman filter.

  9. Comparison of different Kalman filter approaches in deriving time varying connectivity from EEG data.

    Science.gov (United States)

    Ghumare, Eshwar; Schrooten, Maarten; Vandenberghe, Rik; Dupont, Patrick

    2015-08-01

    Kalman filter approaches are widely applied to derive time varying effective connectivity from electroencephalographic (EEG) data. For multi-trial data, a classical Kalman filter (CKF) designed for the estimation of single trial data, can be implemented by trial-averaging the data or by averaging single trial estimates. A general linear Kalman filter (GLKF) provides an extension for multi-trial data. In this work, we studied the performance of the different Kalman filtering approaches for different values of signal-to-noise ratio (SNR), number of trials and number of EEG channels. We used a simulated model from which we calculated scalp recordings. From these recordings, we estimated cortical sources. Multivariate autoregressive model parameters and partial directed coherence was calculated for these estimated sources and compared with the ground-truth. The results showed an overall superior performance of GLKF except for low levels of SNR and number of trials.

  10. INFLUENCE OF STOCHASTIC NOISE STATISTICS ON KALMAN FILTER PERFORMANCE BASED ON VIDEO TARGET TRACKING

    Institute of Scientific and Technical Information of China (English)

    Chen Ken; Napolitano; Zhang Yun; Li Dong

    2010-01-01

    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.

  11. Recursive least squares method of regression coefficients estimation as a special case of Kalman filter

    Science.gov (United States)

    Borodachev, S. M.

    2016-06-01

    The simple derivation of recursive least squares (RLS) method equations is given as special case of Kalman filter estimation of a constant system state under changing observation conditions. A numerical example illustrates application of RLS to multicollinearity problem.

  12. Research and Application on Fractional-Order Darwinian PSO Based Adaptive Extended Kalman Filtering Algorithm

    Directory of Open Access Journals (Sweden)

    Qiguang Zhu

    2014-05-01

    Full Text Available To resolve the difficulty in establishing accurate priori noise model for the extended Kalman filtering algorithm, propose the fractional-order Darwinian particle swarm optimization (PSO algorithm has been proposed and introduced into the fuzzy adaptive extended Kalman filtering algorithm. The natural selection method has been adopted to improve the standard particle swarm optimization algorithm, which enhanced the diversity of particles and avoided the premature. In addition, the fractional calculus has been used to improve the evolution speed of particles. The PSO algorithm after improved has been applied to train fuzzy adaptive extended Kalman filter and achieve the simultaneous localization and mapping. The simulation results have shown that compared with the geese particle swarm optimization training of fuzzy adaptive extended Kalman filter localization and mapping algorithm, has been greatly improved in terms of localization and mapping.

  13. A new Recommender system based on target tracking: a Kalman Filter approach

    CERN Document Server

    Nowakowski, Samuel; Boyer, Anne

    2010-01-01

    In this paper, we propose a new approach for recommender systems based on target tracking by Kalman filtering. We assume that users and their seen resources are vectors in the multidimensional space of the categories of the resources. Knowing this space, we propose an algorithm based on a Kalman filter to track users and to predict the best prediction of their future position in the recommendation space.

  14. Target tracking in the recommender space: Toward a new recommender system based on Kalman filtering

    CERN Document Server

    Nowakowski, Samuel; Boyer, Anne

    2010-01-01

    In this paper, we propose a new approach for recommender systems based on target tracking by Kalman filtering. We assume that users and their seen resources are vectors in the multidimensional space of the categories of the resources. Knowing this space, we propose an algorithm based on a Kalman filter to track users and to predict the best prediction of their future position in the recommendation space.

  15. Research on Kalman Filtering Algorithm for Deformation Information Series of Similar Single-Difference Model

    Institute of Scientific and Technical Information of China (English)

    L(U) Wei-cai; XU Shao-quan

    2004-01-01

    Using similar single-difference methodology(SSDM) to solve the deformation values of the monitoring points, there is unstability of the deformation information series, at sometimes.In order to overcome this shortcoming, Kalman filtering algorithm for this series is established,and its correctness and validity are verified with the test data obtained on the movable platform in plane. The results show that Kalman filtering can improve the correctness, reliability and stability of the deformation information series.

  16. Kalman filtering techniques for reducing variance of digital speckle displacement measurement noise

    Institute of Scientific and Technical Information of China (English)

    Donghui Li; Li Guo

    2006-01-01

    @@ Target dynamics are assumed to be known in measuring digital speckle displacement. Use is made of a simple measurement equation, where measurement noise represents the effect of disturbances introduced in measurement process. From these assumptions, Kalman filter can be designed to reduce variance of measurement noise. An optical and analysis system was set up, by which object motion with constant displacement and constant velocity is experimented with to verify validity of Kalman filtering techniques for reduction of measurement noise variance.

  17. AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES

    Institute of Scientific and Technical Information of China (English)

    Li Shu; Zhuo Jiashou; Ren Qingwen

    2000-01-01

    In this paper, an optimal criterion is presented for adaptive Kalman filter in a control sys tem with unknown variances of stochastic vibration by constructing a function of noise variances and minimizing the function. We solve the model and measure variances by using DFP optimal method to guarantee the results of Kalman filter to be optimized. Finally, the control of vibration can be implemented by LQG method.

  18. Application of the Extended Kalman filter to fuzzy modeling : algorithms and practical implementation

    OpenAIRE

    2011-01-01

    Modeling phase is fundamental both in the analysis process of a dynamic system and the design of a control system. If this phase is in-line is even more critical and the only information of the system comes from input/output data. Some adaptation algorithms for fuzzy system based on extended Kalman filter are presented in this paper, which allows obtaining accurate models without renounce the computational efficiency that characterizes the Kalman filter, and allows ...

  19. Dynamic displacement estimation by fusing LDV and LiDAR measurements via smoothing based Kalman filtering

    Science.gov (United States)

    Kim, Kiyoung; Sohn, Hoon

    2017-01-01

    This paper presents a smoothing based Kalman filter to estimate dynamic displacement in real-time by fusing the velocity measured from a laser Doppler vibrometer (LDV) and the displacement from a light detection and ranging (LiDAR). LiDAR can measure displacement based on the time-of-flight information or the phase-shift of the laser beam reflected off form a target surface, but it typically has a high noise level and a low sampling rate. On the other hand, LDV primarily measures out-of-plane velocity of a moving target, and displacement is estimated by numerical integration of the measured velocity. Here, the displacement estimated by LDV suffers from integration error although LDV can achieve a lower noise level and a much higher sampling rate than LiDAR. The proposed data fusion technique estimates high-precision and high-sampling rate displacement by taking advantage of both LiDAR and LDV measurements and overcomes their limitations by adopting a real-time smoothing based Kalman filter. To verify the performance of the proposed dynamic displacement estimation technique, a series of lab-scale tests are conducted under various loading conditions.

  20. A reduced order model based on Kalman filtering for sequential data assimilation of turbulent flows

    Science.gov (United States)

    Meldi, M.; Poux, A.

    2017-10-01

    A Kalman filter based sequential estimator is presented in this work. The estimator is integrated in the structure of segregated solvers for the analysis of incompressible flows. This technique provides an augmented flow state integrating available observation in the CFD model, naturally preserving a zero-divergence condition for the velocity field. Because of the prohibitive costs associated with a complete Kalman Filter application, two model reduction strategies have been proposed and assessed. These strategies dramatically reduce the increase in computational costs of the model, which can be quantified in an augmentation of 10%- 15% with respect to the classical numerical simulation. In addition, an extended analysis of the behavior of the numerical model covariance Q has been performed. Optimized values are strongly linked to the truncation error of the discretization procedure. The estimator has been applied to the analysis of a number of test cases exhibiting increasing complexity, including turbulent flow configurations. The results show that the augmented flow successfully improves the prediction of the physical quantities investigated, even when the observation is provided in a limited region of the physical domain. In addition, the present work suggests that these Data Assimilation techniques, which are at an embryonic stage of development in CFD, may have the potential to be pushed even further using the augmented prediction as a powerful tool for the optimization of the free parameters in the numerical simulation.

  1. Hybrid Kalman Filter: A New Approach for Aircraft Engine In-Flight Diagnostics

    Science.gov (United States)

    Kobayashi, Takahisa; Simon, Donald L.

    2006-01-01

    In this paper, a uniquely structured Kalman filter is developed for its application to in-flight diagnostics of aircraft gas turbine engines. The Kalman filter is a hybrid of a nonlinear on-board engine model (OBEM) and piecewise linear models. The utilization of the nonlinear OBEM allows the reference health baseline of the in-flight diagnostic system to be updated to the degraded health condition of the engines through a relatively simple process. Through this health baseline update, the effectiveness of the in-flight diagnostic algorithm can be maintained as the health of the engine degrades over time. Another significant aspect of the hybrid Kalman filter methodology is its capability to take advantage of conventional linear and nonlinear Kalman filter approaches. Based on the hybrid Kalman filter, an in-flight fault detection system is developed, and its diagnostic capability is evaluated in a simulation environment. Through the evaluation, the suitability of the hybrid Kalman filter technique for aircraft engine in-flight diagnostics is demonstrated.

  2. Multiple fading robust cubature Kalman filter based on SVD and its application in integrated navigation%基于奇异值分解的多重渐消鲁棒Cubature卡尔曼滤波及在组合导航中的应用

    Institute of Scientific and Technical Information of China (English)

    张秋昭; 张书毕; 王坚; 郑南山

    2013-01-01

    In order to improve the stability and robustness of standard cubature kalman filter for INS/GPS integrated navigation nonlinear error model, an improved multiple fading H∞ robust cubature kalman filter algorithm is proposed. First, a multiple fading filtering algorithm is demonstrated based on the observability of the system state. And then a multiple fading H∞ robust cubature kalman filter is improved effectively. In order to get high numerical stability, the singular value decomposition algorithm is used to take the place of Cholesky decomposition in the multiple fading H∞cubature kalman filter. The actual GPS/INS integrated navigation test indicates that the proposed filter algorithm not can only improve the stability of the algorithm, but also have better robustness to outlier. Compared with standard cubature kalman filter, the navigation precisions of new algorithm are increased by 55.8%, 46.6%and 39.7%in X, Y and Z direction, respectively.%为了提高标准Cubature卡尔曼滤波(CKF)的稳定性和鲁棒性,提出一种改进的多重渐消H∞滤波Cubature卡尔曼滤波算法。首先基于系统状态的可观测性给出多重渐消因子矩阵求解过程,提高滤波算法的稳定性,抑制滤波发散;其次,引入H∞鲁棒思想,构造多重渐消H∞滤波Cubature卡尔曼滤波器;最后,提出采用一种奇异值分解的矩阵分解策略代替标准Cubature卡尔曼滤波中的Cholesky分解,进一步提高算法的数值稳定性。实际GPS/INS组合导航实验表明,改进的多重渐消H∞滤波Cubature卡尔曼滤波算法不仅能有效抑制滤波发散提高算法的稳定性,而且对观测野值具有更高的鲁棒性;提出的新算法与标准CKF算法相比,XYZ三个方向的位置精度分别提高了55.8%,46.6%和39.7%。

  3. Discrete Kalman Filter based Sensor Fusion for Robust Accessibility Interfaces

    Science.gov (United States)

    Ghersi, I.; Mariño, M.; Miralles, M. T.

    2016-04-01

    Human-machine interfaces have evolved, benefiting from the growing access to devices with superior, embedded signal-processing capabilities, as well as through new sensors that allow the estimation of movements and gestures, resulting in increasingly intuitive interfaces. In this context, sensor fusion for the estimation of the spatial orientation of body segments allows to achieve more robust solutions, overcoming specific disadvantages derived from the use of isolated sensors, such as the sensitivity of magnetic-field sensors to external influences, when used in uncontrolled environments. In this work, a method for the combination of image-processing data and angular-velocity registers from a 3D MEMS gyroscope, through a Discrete-time Kalman Filter, is proposed and deployed as an alternate user interface for mobile devices, in which an on-screen pointer is controlled with head movements. Results concerning general performance of the method are presented, as well as a comparative analysis, under a dedicated test application, with results from a previous version of this system, in which the relative-orientation information was acquired directly from MEMS sensors (3D magnetometer-accelerometer). These results show an improved response for this new version of the pointer, both in terms of precision and response time, while keeping many of the benefits that were highlighted for its predecessor, giving place to a complementary method for signal acquisition that can be used as an alternative-input device, as well as for accessibility solutions.

  4. Fuzzy Logic Based Autonomous Parallel Parking System with Kalman Filtering

    Science.gov (United States)

    Panomruttanarug, Benjamas; Higuchi, Kohji

    This paper presents an emulation of fuzzy logic control schemes for an autonomous parallel parking system in a backward maneuver. There are four infrared sensors sending the distance data to a microcontroller for generating an obstacle-free parking path. Two of them mounted on the front and rear wheels on the parking side are used as the inputs to the fuzzy rules to calculate a proper steering angle while backing. The other two attached to the front and rear ends serve for avoiding collision with other cars along the parking space. At the end of parking processes, the vehicle will be in line with other parked cars and positioned in the middle of the free space. Fuzzy rules are designed based upon a wall following process. Performance of the infrared sensors is improved using Kalman filtering. The design method needs extra information from ultrasonic sensors. Starting from modeling the ultrasonic sensor in 1-D state space forms, one makes use of the infrared sensor as a measurement to update the predicted values. Experimental results demonstrate the effectiveness of sensor improvement.

  5. Adaptive error covariances estimation methods for ensemble Kalman filters

    Energy Technology Data Exchange (ETDEWEB)

    Zhen, Yicun, E-mail: zhen@math.psu.edu [Department of Mathematics, The Pennsylvania State University, University Park, PA 16802 (United States); Harlim, John, E-mail: jharlim@psu.edu [Department of Mathematics and Department of Meteorology, The Pennsylvania State University, University Park, PA 16802 (United States)

    2015-08-01

    This paper presents a computationally fast algorithm for estimating, both, the system and observation noise covariances of nonlinear dynamics, that can be used in an ensemble Kalman filtering framework. The new method is a modification of Belanger's recursive method, to avoid an expensive computational cost in inverting error covariance matrices of product of innovation processes of different lags when the number of observations becomes large. When we use only product of innovation processes up to one-lag, the computational cost is indeed comparable to a recently proposed method by Berry–Sauer's. However, our method is more flexible since it allows for using information from product of innovation processes of more than one-lag. Extensive numerical comparisons between the proposed method and both the original Belanger's and Berry–Sauer's schemes are shown in various examples, ranging from low-dimensional linear and nonlinear systems of SDEs and 40-dimensional stochastically forced Lorenz-96 model. Our numerical results suggest that the proposed scheme is as accurate as the original Belanger's scheme on low-dimensional problems and has a wider range of more accurate estimates compared to Berry–Sauer's method on L-96 example.

  6. Face Tracking in Video by Using Kalman Filter

    Directory of Open Access Journals (Sweden)

    Saranya M

    2014-06-01

    Full Text Available Face Tracking has been one of the most studied topics in computer vision literature. Facial feature extraction has some problems which must be researched. Small variations of face size and orientation can affect the result of face tracking. Since the input image is captured from a surveillance camera, certain conditions have to be considered - like different levels of brightness, shadows and clearness - which are challenges for detection and tracking purpose. Most facial feature extraction methods are sensitive to various non-ideal such as variation in illumination, noise, orientation, time-consumption and color space used. So there is a need for a good feature extraction method that will enhance the quality and performance of face recognition system. First, segmentation of foreground and background object is the one by using histogram equalization. By this method we are able to segment face based on skin color. After segmenting, Kalman filter is used to track the faces under several conditions. This feature is helpful for the development of a real-time visual tracking control system.

  7. Paris law parameter identification based on the Extended Kalman Filter

    Directory of Open Access Journals (Sweden)

    Melgar M.

    2016-01-01

    Full Text Available Aircraft structures are commonly subjected to repeated loading cycles leading to fatigue damage. Fatigue data can be extrapolated by fatigue models which are adopted to describe the fatigue damage behaviour. Such models depend on their parameters for accurate prediction of the fatigue life. Therefore, several methods have been developed for estimating the model parameters for both linear and nonlinear systems. It is useful for a broad class of parameter identification problems when the dynamic model is not known. In this paper, the Paris law is used as fatigue-crack-length growth model on a metallic component under loading cycles. The Extended Kalman Filter (EKF is proposed as estimation method. Simulated crack length data is used to validate the estimation method. Based on experimental data obtained from fatigue experiment, the crack length and model parameters are estimated. Accurate model parameters allow a more realistic prediction of the fatigue life, consequently, the remaining useful life (RUL of component can be accurately computed. In this sense, maintenance performance could be improved.

  8. Evolutionary Dynamic Multiobjective Optimization Via Kalman Filter Prediction.

    Science.gov (United States)

    Muruganantham, Arrchana; Tan, Kay Chen; Vadakkepat, Prahlad

    2016-12-01

    Evolutionary algorithms are effective in solving static multiobjective optimization problems resulting in the emergence of a number of state-of-the-art multiobjective evolutionary algorithms (MOEAs). Nevertheless, the interest in applying them to solve dynamic multiobjective optimization problems has only been tepid. Benchmark problems, appropriate performance metrics, as well as efficient algorithms are required to further the research in this field. One or more objectives may change with time in dynamic optimization problems. The optimization algorithm must be able to track the moving optima efficiently. A prediction model can learn the patterns from past experience and predict future changes. In this paper, a new dynamic MOEA using Kalman filter (KF) predictions in decision space is proposed to solve the aforementioned problems. The predictions help to guide the search toward the changed optima, thereby accelerating convergence. A scoring scheme is devised to hybridize the KF prediction with a random reinitialization method. Experimental results and performance comparisons with other state-of-the-art algorithms demonstrate that the proposed algorithm is capable of significantly improving the dynamic optimization performance.

  9. Vehicle State Information Estimation with the Unscented Kalman Filter

    Directory of Open Access Journals (Sweden)

    Hongbin Ren

    2014-01-01

    Full Text Available The vehicle state information plays an important role in the vehicle active safety systems; this paper proposed a new concept to estimate the instantaneous vehicle speed, yaw rate, tire forces, and tire kinemics information in real time. The estimator is based on the 3DoF vehicle model combined with the piecewise linear tire model. The estimator is realized using the unscented Kalman filter (UKF, since it is based on the unscented transfer technique and considers high order terms during the measurement and update stage. The numerical simulations are carried out to further investigate the performance of the estimator under high friction and low friction road conditions in the MATLAB/Simulink combined with the Carsim environment. The simulation results are compared with the numerical results from Carsim software, which indicate that UKF can estimate the vehicle state information accurately and in real time; the proposed estimation will provide the necessary and reliable state information to the vehicle controller in the future.

  10. Automated septum thickness measurement--a Kalman filter approach.

    Science.gov (United States)

    Snare, Sten Roar; Mjølstad, Ole Christian; Orderud, Fredrik; Dalen, Håvard; Torp, Hans

    2012-11-01

    Interventricular septum thickness in end-diastole (IVSd) is one of the key parameters in cardiology. This paper presents a fast algorithm, suitable for pocket-sized ultrasound devices, for measurement of IVSd using 2D B-mode parasternal long axis images. The algorithm is based on a deformable model of the septum and the mitral valve. The model shape is estimated using an extended Kalman filter. A feasibility study using 32 unselected recordings is presented. The recordings originate from a database consisting of subjects from a normal healthy population. Five patients with suspected hypertrophy were included in the study. Reference B-mode measurements were made by two cardiologists. A paired t-test revealed a non-significant mean difference, compared to the B-mode reference, of (mean±SD) 0.14±1.36 mm (p=0.532). Pearson's correlation coefficient was 0.79 (p<0.001). The results are comparable to the variability between the two cardiologists, which was found to be 1.29±1.23 mm (p<0.001). The results indicate that the method has potential as a tool for rapid assessment of IVSd. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.

  11. Dynamics of Electricity Demand in Lesotho: A Kalman Filter Approach

    Directory of Open Access Journals (Sweden)

    Thamae Retselisitsoe Isaiah

    2015-04-01

    Full Text Available This study provides an empirical analysis of the time-varying price and income elasticities of electricity demand in Lesotho for the period 1995-2012 using the Kalman filter approach. The results reveal that economic growth has been one of the main drivers of electricity consumption in Lesotho while electricity prices are found to play a less significant role since they are monopoly-driven and relatively low when compared to international standards. These findings imply that increases in electricity prices in Lesotho might not have a significant impact on consumption in the short-run. However, if the real electricity prices become too high over time, consumers might change their behavior and sensitivity to price and hence, energy policymakers will need to reconsider their impact in the long-run. Furthermore, several exogenous shocks seem to have affected the sensitivity of electricity demand during the period prior to regulation, which made individuals, businesses and agencies to be more sensitive to electricity costs. On the other hand, the period after regulation has been characterized by more stable and declining sensitivity of electricity demand. Therefore, factors such as regulation and changes in the country’s economic activities appear to have affected both price and income elasticities of electricity demand in Lesotho.

  12. Evaluation of an image-based tracking workflow with Kalman filtering for automatic image plane alignment in interventional MRI.

    Science.gov (United States)

    Neumann, M; Cuvillon, L; Breton, E; de Matheli, M

    2013-01-01

    Recently, a workflow for magnetic resonance (MR) image plane alignment based on tracking in real-time MR images was introduced. The workflow is based on a tracking device composed of 2 resonant micro-coils and a passive marker, and allows for tracking of the passive marker in clinical real-time images and automatic (re-)initialization using the microcoils. As the Kalman filter has proven its benefit as an estimator and predictor, it is well suited for use in tracking applications. In this paper, a Kalman filter is integrated in the previously developed workflow in order to predict position and orientation of the tracking device. Measurement noise covariances of the Kalman filter are dynamically changed in order to take into account that, according to the image plane orientation, only a subset of the 3D pose components is available. The improved tracking performance of the Kalman extended workflow could be quantified in simulation results. Also, a first experiment in the MRI scanner was performed but without quantitative results yet.

  13. Kalman滤波在导航中的应用研究%Applications of Kalman Filter in the Navigation

    Institute of Scientific and Technical Information of China (English)

    洪腾腾; 胡绍林

    2016-01-01

    随着导航技术日新月异的发展,Kalman滤波技术在导航领域中的应用也随处可见。本文围绕Kalman滤波技术在导航过程中的应用问题,从技术途径的几个方面进行系统分析,简要综述Kalman滤波技术在惯性导航、卫星导航和组合导航等方面应用的发展现状,并指出在导航领域应用Kalman滤波技术存在的若干技术难点,为改进和完善Kalman滤波技术在导航领域的应用提供了潜在的研究方向。%With the rapid development of science and technology, the Kalman filtering technology is widely used in navigation. In this paper, the application of the Kalman filteringtechnology in the navigation filed were analyzed. The research achievements in recent years were introduced. The application of Kalman filter in the inertial navigation systems, satellite navigation system and integrated navigation system were mainly introduced. At the same time, point out several technical difficulties. Finally, we provide the potential research direction to improve the application of the Kalman filter in navigation.

  14. Kalman filter based fault diagnosis of networked control system with white noise

    Institute of Scientific and Technical Information of China (English)

    Yanwei WANG; Ying ZHENG

    2005-01-01

    The networked control system NCS is regarded as a sampled control system with output time-variant delay.White noise is considered in the model construction of NCS.By using the Kalman filter theory to compute the filter parameters,a Kalman filter is constructed for this NCS.By comparing the output of the filter and the practical system,a residual is generated to diagnose the sensor faults and the actuator faults.Finally,an example is given to show the feasibility of the approach.

  15. State Space Models and the Kalman-Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing

    Directory of Open Access Journals (Sweden)

    Nataliya Chukhrova

    2017-05-01

    Full Text Available This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to facilitate the implementation of state space models in practice, we present a scalar state space model for cumulative payments, which is an extension of the well-known chain ladder (CL method. The presented model is distribution-free, forms a basis for determining the entire unobservable lower and upper run-off triangles and can easily be applied in practice using the Kalman-filter for prediction, filtering and smoothing of cumulative payments. In addition, the model provides an easy way to find outliers in the data and to determine outlier effects. Finally, an empirical comparison of the scalar state space model, promising prior state space models and some popular stochastic claims reserving methods is performed.

  16. Design of jitter compensation algorithm for robot vision based on optical flow and Kalman filter.

    Science.gov (United States)

    Wang, B R; Jin, Y L; Shao, D L; Xu, Y

    2014-01-01

    Image jitters occur in the video of the autonomous robot moving on bricks road, which will reduce robot operation precision based on vision. In order to compensate the image jitters, the affine transformation kinematics were established for obtaining the six image motion parameters. The feature point pair detecting method was designed based on Eigen-value of the feature windows gradient matrix, and the motion parameters equation was solved using the least square method and the matching point pairs got based on the optical flow. The condition number of coefficient matrix was proposed to quantificationally analyse the effect of matching errors on parameters solving errors. Kalman filter was adopted to smooth image motion parameters. Computing cases show that more point pairs are beneficial for getting more precise motion parameters. The integrated jitters compensation software was developed with feature points detecting in subwindow. And practical experiments were conducted on two mobile robots. Results show that the compensation costing time is less than frame sample time and Kalman filter is valid for robot vision jitters compensation.

  17. Design of Jitter Compensation Algorithm for Robot Vision Based on Optical Flow and Kalman Filter

    Directory of Open Access Journals (Sweden)

    B. R. Wang

    2014-01-01

    Full Text Available Image jitters occur in the video of the autonomous robot moving on bricks road, which will reduce robot operation precision based on vision. In order to compensate the image jitters, the affine transformation kinematics were established for obtaining the six image motion parameters. The feature point pair detecting method was designed based on Eigen-value of the feature windows gradient matrix, and the motion parameters equation was solved using the least square method and the matching point pairs got based on the optical flow. The condition number of coefficient matrix was proposed to quantificationally analyse the effect of matching errors on parameters solving errors. Kalman filter was adopted to smooth image motion parameters. Computing cases show that more point pairs are beneficial for getting more precise motion parameters. The integrated jitters compensation software was developed with feature points detecting in subwindow. And practical experiments were conducted on two mobile robots. Results show that the compensation costing time is less than frame sample time and Kalman filter is valid for robot vision jitters compensation.

  18. Switching Kalman filter based methods for apnea bradycardia detection from ECG signals.

    Science.gov (United States)

    Montazeri Ghahjaverestan, Nasim; Shamsollahi, Mohammad B; Ge, Di; Hernández, Alfredo I

    2015-09-01

    Apnea bradycardia (AB) is an outcome of apnea occurrence in preterm infants and is an observable phenomenon in cardiovascular signals. Early detection of apnea in infants under monitoring is a critical challenge for the early intervention of nurses. In this paper, we introduce two switching Kalman filter (SKF) based methods for AB detection using electrocardiogram (ECG) signal.The first SKF model uses McSharry's ECG dynamical model integrated in two Kalman filter (KF) models trained for normal and AB intervals. Whereas the second SKF model is established by using only the RR sequence extracted from ECG and two AR models to be fitted in normal and AB intervals. In both SKF approaches, a discrete state variable called a switch is considered that chooses one of the models (corresponding to normal and AB) during the inference phase. According to the probability of each model indicated by this switch, the model with larger probability determines the observation label at each time instant.It is shown that the method based on ECG dynamical model can be effectively used for AB detection. The detection performance is evaluated by comparing statistical metrics and the amount of time taken to detect AB compared with the annotated onset. The results demonstrate the superiority of this method, with sensitivity and specificity 94.74[Formula: see text] and 94.17[Formula: see text], respectively. The presented approaches may therefore serve as an effective algorithm for monitoring neonates suffering from AB.

  19. On the evaluation of uncertainties for state estimation with the Kalman filter

    Science.gov (United States)

    Eichstädt, S.; Makarava, N.; Elster, C.

    2016-12-01

    The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous areas. It provides sequentially calculated estimates of the system states along with a corresponding covariance matrix. For nonlinear systems, the extended Kalman filter is often used. This is derived from the Kalman filter by linearization around the current estimate. A key issue in metrology is the evaluation of the uncertainty associated with the Kalman filter state estimates. The ‘Guide to the Expression of Uncertainty in Measurement’ (GUM) and its supplements serve as the de facto standard for uncertainty evaluation in metrology. We explore the relationship between the covariance matrix produced by the Kalman filter and a GUM-compliant uncertainty analysis. In addition, the results of a Bayesian analysis are considered. For the case of linear systems with known system matrices, we show that all three approaches are compatible. When the system matrices are not precisely known, however, or when the system is nonlinear, this equivalence breaks down and different results can then be reached. For precisely known nonlinear systems, though, the result of the extended Kalman filter still corresponds to the linearized uncertainty propagation of the GUM. The extended Kalman filter can suffer from linearization and convergence errors. These disadvantages can be avoided to some extent by applying Monte Carlo procedures, and we propose such a method which is GUM-compliant and can also be applied online during the estimation. We illustrate all procedures in terms of a 2D dynamic system and compare the results with those obtained by particle filtering, which has been proposed for the approximate calculation of a Bayesian solution. Finally, we give some recommendations based on our findings.

  20. Highway traffic estimation of improved precision using the derivative-free nonlinear Kalman Filter

    Science.gov (United States)

    Rigatos, Gerasimos; Siano, Pierluigi; Zervos, Nikolaos; Melkikh, Alexey

    2015-12-01

    The paper proves that the PDE dynamic model of the highway traffic is a differentially flat one and by applying spatial discretization its shows that the model's transformation into an equivalent linear canonical state-space form is possible. For the latter representation of the traffic's dynamics, state estimation is performed with the use of the Derivative-free nonlinear Kalman Filter. The proposed filter consists of the Kalman Filter recursion applied on the transformed state-space model of the highway traffic. Moreover, it makes use of an inverse transformation, based again on differential flatness theory which enables to obtain estimates of the state variables of the initial nonlinear PDE model. By avoiding approximate linearizations and the truncation of nonlinear terms from the PDE model of the traffic's dynamics the proposed filtering methods outperforms, in terms of accuracy, other nonlinear estimators such as the Extended Kalman Filter. The article's theoretical findings are confirmed through simulation experiments.

  1. Ensemble Kalman filters for dynamical systems with unresolved turbulence

    Energy Technology Data Exchange (ETDEWEB)

    Grooms, Ian, E-mail: grooms@cims.nyu.edu [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Lee, Yoonsang [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Majda, Andrew J. [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Center for Prototype Climate Modelling, NYU Abu Dhabi, Abu Dhabi (United Arab Emirates)

    2014-09-15

    Ensemble Kalman filters are developed for turbulent dynamical systems where the forecast model does not resolve all the active scales of motion. Coarse-resolution models are intended to predict the large-scale part of the true dynamics, but observations invariably include contributions from both the resolved large scales and the unresolved small scales. The error due to the contribution of unresolved scales to the observations, called ‘representation’ or ‘representativeness’ error, is often included as part of the observation error, in addition to the raw measurement error, when estimating the large-scale part of the system. It is here shown how stochastic superparameterization (a multiscale method for subgridscale parameterization) can be used to provide estimates of the statistics of the unresolved scales. In addition, a new framework is developed wherein small-scale statistics can be used to estimate both the resolved and unresolved components of the solution. The one-dimensional test problem from dispersive wave turbulence used here is computationally tractable yet is particularly difficult for filtering because of the non-Gaussian extreme event statistics and substantial small scale turbulence: a shallow energy spectrum proportional to k{sup −5/6} (where k is the wavenumber) results in two-thirds of the climatological variance being carried by the unresolved small scales. Because the unresolved scales contain so much energy, filters that ignore the representation error fail utterly to provide meaningful estimates of the system state. Inclusion of a time-independent climatological estimate of the representation error in a standard framework leads to inaccurate estimates of the large-scale part of the signal; accurate estimates of the large scales are only achieved by using stochastic superparameterization to provide evolving, large-scale dependent predictions of the small-scale statistics. Again, because the unresolved scales contain so much energy

  2. Analysis of dynamic deformation processes with adaptive KALMAN-filtering

    Science.gov (United States)

    Eichhorn, Andreas

    2007-05-01

    In this paper the approach of a full system analysis is shown quantifying a dynamic structural ("white-box"-) model for the calculation of thermal deformations of bar-shaped machine elements. The task was motivated from mechanical engineering searching new methods for the precise prediction and computational compensation of thermal influences in the heating and cooling phases of machine tools (i.e. robot arms, etc.). The quantification of thermal deformations under variable dynamic loads requires the modelling of the non-stationary spatial temperature distribution inside the object. Based upon FOURIERS law of heat flow the high-grade non-linear temperature gradient is represented by a system of partial differential equations within the framework of a dynamic Finite Element topology. It is shown that adaptive KALMAN-filtering is suitable to quantify relevant disturbance influences and to identify thermal parameters (i.e. thermal diffusivity) with a deviation of only 0,2%. As result an identified (and verified) parametric model for the realistic prediction respectively simulation of dynamic temperature processes is presented. Classifying the thermal bend as the main deformation quantity of bar-shaped machine tools, the temperature model is extended to a temperature deformation model. In lab tests thermal load steps are applied to an aluminum column. Independent control measurements show that the identified model can be used to predict the columns bend with a mean deviation (r.m.s.) smaller than 10 mgon. These results show that the deformation model is a precise predictor and suitable for realistic simulations of thermal deformations. Experiments with modified heat sources will be necessary to verify the model in further frequency spectra of dynamic thermal loads.

  3. Identification of hydrological model parameter variation using ensemble Kalman filter

    Science.gov (United States)

    Deng, Chao; Liu, Pan; Guo, Shenglian; Li, Zejun; Wang, Dingbao

    2016-12-01

    Hydrological model parameters play an important role in the ability of model prediction. In a stationary context, parameters of hydrological models are treated as constants; however, model parameters may vary with time under climate change and anthropogenic activities. The technique of ensemble Kalman filter (EnKF) is proposed to identify the temporal variation of parameters for a two-parameter monthly water balance model (TWBM) by assimilating the runoff observations. Through a synthetic experiment, the proposed method is evaluated with time-invariant (i.e., constant) parameters and different types of parameter variations, including trend, abrupt change and periodicity. Various levels of observation uncertainty are designed to examine the performance of the EnKF. The results show that the EnKF can successfully capture the temporal variations of the model parameters. The application to the Wudinghe basin shows that the water storage capacity (SC) of the TWBM model has an apparent increasing trend during the period from 1958 to 2000. The identified temporal variation of SC is explained by land use and land cover changes due to soil and water conservation measures. In contrast, the application to the Tongtianhe basin shows that the estimated SC has no significant variation during the simulation period of 1982-2013, corresponding to the relatively stationary catchment properties. The evapotranspiration parameter (C) has temporal variations while no obvious change patterns exist. The proposed method provides an effective tool for quantifying the temporal variations of the model parameters, thereby improving the accuracy and reliability of model simulations and forecasts.

  4. The extended Kalman filter for forecast of algal bloom dynamics.

    Science.gov (United States)

    Mao, J Q; Lee, Joseph H W; Choi, K W

    2009-09-01

    A deterministic ecosystem model is combined with an extended Kalman filter (EKF) to produce short term forecasts of algal bloom and dissolved oxygen dynamics in a marine fish culture zone (FCZ). The weakly flushed FCZ is modelled as a well-mixed system; the tidal exchange with the outer bay is lumped into a flushing rate that is numerically determined from a three-dimensional hydrodynamic model. The ecosystem model incorporates phytoplankton growth kinetics, nutrient uptake, photosynthetic production, nutrient sources from organic fish farm loads, and nutrient exchange with a sediment bed layer. High frequency field observations of chlorophyll, dissolved oxygen (DO) and hydro-meteorological parameters (sampling interval Deltat=1 day, 2h, 1h, respectively) and bi-weekly nutrient data are assimilated into the model to produce the combined state estimate accounting for the uncertainties. In addition to the water quality state variables, the EKF incorporates dynamic estimation of algal growth rate and settling velocity. The effectiveness of the EKF data assimilation is studied for a wide range of sampling intervals and prediction lead-times. The chlorophyll and dissolved oxygen estimated by the EKF are compared with field data of seven algal bloom events observed at Lamma Island, Hong Kong. The results show that the EKF estimate well captures the nonlinear error evolution in time; the chlorophyll level can be satisfactorily predicted by the filtered model estimate with a mean absolute error of around 1-2 microg/L. Predictions with 1-2 day lead-time are highly correlated with the observations (r=0.7-0.9); the correlation stays at a high level for a lead-time of 3 days (r=0.6-0.7). Estimated algal growth and settling rates are in accord with field observations; the more frequent DO data can compensate for less frequent algal biomass measurements. The present study is the first time the EKF is successfully applied to forecast an entire algal bloom cycle, suggesting the

  5. Self-tuning decoupled fusion Kalman filter based on the Riccati equation

    Institute of Scientific and Technical Information of China (English)

    Xiaojun SUN; Peng ZHANG; Zili DENG

    2008-01-01

    An online noise variance estimator for multi-sensor systems with unknown noise variances is proposed by using the correlation method. Based on the Riccati equa-tion and optimal fusion rule "weighted by scalars for state components, a self-tuning component decoupled informa-tion fusion Kalman filter is presented. It is proved that the filter converges to the optimal fusion Kalman filter in a realization by dynamic error system analysis method, so that it has asymptotic optimality. Its effectiveness is demon-strated by simulation for a tracking system with 3 sensors.

  6. Modified Extended Kalman Filtering for Tracking with Insufficient and Intermittent Observations

    Directory of Open Access Journals (Sweden)

    Pengpeng Chen

    2015-01-01

    Full Text Available This paper is concerned with the Kalman filtering problem for tracking a single target on the fixed-topology wireless sensor networks (WSNs. Both the insufficient anchor coverage and the packet dropouts have been taken into consideration in the filter design. The resulting tracking system is modeled as a multichannel nonlinear system with multiplicative noise. Noting that the channels may be correlated with each other, we use a general matrix to express the multiplicative noise. Then, a modified extended Kalman filtering algorithm is presented based on the obtained model to achieve high tracking accuracy. In particular, we evaluate the effect of various parameters on the tracking performance through simulation studies.

  7. Dynamic Optimization of Feedforward Automatic Gauge Control Based on Extended Kalman Filter

    Institute of Scientific and Technical Information of China (English)

    YANG Bin-hu; YANG Wei-dong; CHEN Lian-gui; QU Lei

    2008-01-01

    Automatic gauge control is an essentially nonlinear process varying with time delay, and stochastically varying input and process noise always influence the target gauge control accuracy. To improve the control capability of feedforward automatic gauge control, Kalman filter was employed to filter the noise signal transferred from one stand to another. The linearized matrix that the Kalman filter algorithm needed was concluded; thus, the feedforward automatic gauge control architecture was dynamically optimized. The theoretical analyses and simulation show that the proposed algorithm is reasonable and effective.

  8. Penggunaan Extended Kalman Filter Sebagai Estimator Sikap pada Sistem Kendali Servo Visual Robot

    Directory of Open Access Journals (Sweden)

    Noor Cholis Basjaruddin

    2012-03-01

    Full Text Available Extended Kalman Filter (EKF is the non-linear version of Kalman filter and the said filter is usually used in nonlinear state estimation. In this study EKF is applied to process the image features of a single camera mounted on the end effector of a robot. Data generated by the EKF then is to be processed to obtain the motion parameters. Simulation of visual servo control system was built with the aim to examine the use of the EKF as a pose estimator. The simulation results using Matlab show that the EKF is able to well estimate the robot pose. 

  9. Penggunaan Extended Kalman Filter Sebagai Estimator Sikap pada Sistem Kendali Servo Visual Robot

    OpenAIRE

    Noor Cholis Basjaruddin

    2012-01-01

    Extended Kalman Filter (EKF) is the non-linear version of Kalman filter and the said filter is usually used in nonlinear state estimation. In this study EKF is applied to process the image features of a single camera mounted on the end effector of a robot. Data generated by the EKF then is to be processed to obtain the motion parameters. Simulation of visual servo control system was built with the aim to examine the use of the EKF as a pose estimator. The simulation results using Matlab show ...

  10. Control of underactuated robotic systems with the use of the derivative-free nonlinear Kalman filter

    Science.gov (United States)

    Rigatos, Gerasimos G.; Siano, Pierluigi

    2013-10-01

    The Derivative-free nonlinear Kalman Filter is used for developing a robust controller which can be applied to underactuated MIMO robotic systems. Using differential flatness theory it is shown that the model of a closed-chain 2-DOF robotic manipulator can be transformed to linear canonical form. For the linearized equivalent of the robotic system it is shown that a state feedback controller can be designed. Since certain elements of the state vector of the linearized system can not be measured directly, it is proposed to estimate them with the use of a novel filtering method, the so-called Derivative-free nonlinear Kalman Filter. Moreover, by redesigning the Kalman Filter as a disturbance observer, it is is shown that one can estimate simultaneously external disturbances terms that affect the robotic model or disturbance terms which are associated with parametric uncertainty.

  11. Kalman Filtering for Discrete Stochastic Systems with Multiplicative Noises and Random Two-Step Sensor Delays

    Directory of Open Access Journals (Sweden)

    Dongyan Chen

    2015-01-01

    Full Text Available This paper is concerned with the optimal Kalman filtering problem for a class of discrete stochastic systems with multiplicative noises and random two-step sensor delays. Three Bernoulli distributed random variables with known conditional probabilities are introduced to characterize the phenomena of the random two-step sensor delays which may happen during the data transmission. By using the state augmentation approach and innovation analysis technique, an optimal Kalman filter is constructed for the augmented system in the sense of the minimum mean square error (MMSE. Subsequently, the optimal Kalman filtering is derived for corresponding augmented system in initial instants. Finally, a simulation example is provided to demonstrate the feasibility and effectiveness of the proposed filtering method.

  12. State-Of-Charge Estimation of Li-Ion Battery Using Extended Kalman Filter

    Directory of Open Access Journals (Sweden)

    Feng Jin

    2013-07-01

    Full Text Available The Li-ion battery is studied base on its equivalent circuit PNGV model. The model parameters are identified by HPPC test. The discrete state space equation is established according to the model. The basic theory of extended Kalman filter algorithm is studied and then the filtering algorithm is set up under the noisy environments. Finally, a kind of electric car is used for testing under the UDDS driving condition. The difference between the simulation value using extended Kalman filter under the noisy environment and the theoretical value is compared. The result indicated that the extended Kalman filter keeps an excellent precision in state of charge estimation of Li-ion battery and performs well when disturbance happens.

  13. Location Estimation for an Autonomously Guided Vehicle using an Augmented Kalman Filter to Autocalibrate the Odometry

    DEFF Research Database (Denmark)

    Larsen, Thomas Dall; Bak, Martin; Andersen, Nils Axel

    1998-01-01

    A Kalman filter using encoder readings as inputs and vision measurements as observations is designed as a location estimator for an autonomously guided vehicle (AGV). To reduce the effect of modelling errors an augmented filter that estimates the true system parameters is designed. The traditional...

  14. Free Space Computation From Stochastic Occupancy Grids Based On Iconic Kalman Filtered Disparity Maps

    DEFF Research Database (Denmark)

    Høilund, Carsten; Moeslund, Thomas B.; Madsen, Claus B.

    2010-01-01

    This paper presents a method for determining the free space in a scene as viewed by a vehicle-mounted camera. Using disparity maps from a stereo camera and known camera motion, the disparity maps are first filtered by an iconic Kalman filter, operating on each pixel individually, thereby reducing...

  15. Efficient decoding with steady-state Kalman filter in neural interface systems.

    Science.gov (United States)

    Malik, Wasim Q; Truccolo, Wilson; Brown, Emery N; Hochberg, Leigh R

    2011-02-01

    The Kalman filter is commonly used in neural interface systems to decode neural activity and estimate the desired movement kinematics. We analyze a low-complexity Kalman filter implementation in which the filter gain is approximated by its steady-state form, computed offline before real-time decoding commences. We evaluate its performance using human motor cortical spike train data obtained from an intracortical recording array as part of an ongoing pilot clinical trial. We demonstrate that the standard Kalman filter gain converges to within 95% of the steady-state filter gain in 1.5±0.5 s (mean ±s.d.). The difference in the intended movement velocity decoded by the two filters vanishes within 5 s, with a correlation coefficient of 0.99 between the two decoded velocities over the session length. We also find that the steady-state Kalman filter reduces the computational load (algorithm execution time) for decoding the firing rates of 25±3 single units by a factor of 7.0±0.9. We expect that the gain in computational efficiency will be much higher in systems with larger neural ensembles. The steady-state filter can thus provide substantial runtime efficiency at little cost in terms of estimation accuracy. This far more efficient neural decoding approach will facilitate the practical implementation of future large-dimensional, multisignal neural interface systems.

  16. Estimation of Sonobuoy Position Relative to an Aircraft Using Extended Kalman Filters

    Science.gov (United States)

    1979-09-01

    SECURITY CLASS. (a# this swot ) Naval Postgraduate School Ucasfe Monterey, California 93940 UnDcl assi F AIeNDONRDG SCHEDULE 1B. DISTRIBUTION...22 C. TEE SIX-STATE SYSTEM-----------------23 I). TEE TWO-STATE SYSTEM- ---------------- IV. ANAYLSIS ---------------------------- Z A. THE...simplifing techniques used in Kalman filters include precomputed gains. Although forfeiting the optimal Kalman gains, this has the advantage of reducing

  17. Feedback Robust Cubature Kalman Filter for Target Tracking Using an Angle Sensor.

    Science.gov (United States)

    Wu, Hao; Chen, Shuxin; Yang, Binfeng; Chen, Kun

    2016-05-09

    The direction of arrival (DOA) tracking problem based on an angle sensor is an important topic in many fields. In this paper, a nonlinear filter named the feedback M-estimation based robust cubature Kalman filter (FMR-CKF) is proposed to deal with measurement outliers from the angle sensor. The filter designs a new equivalent weight function with the Mahalanobis distance to combine the cubature Kalman filter (CKF) with the M-estimation method. Moreover, by embedding a feedback strategy which consists of a splitting and merging procedure, the proper sub-filter (the standard CKF or the robust CKF) can be chosen in each time index. Hence, the probability of the outliers' misjudgment can be reduced. Numerical experiments show that the FMR-CKF performs better than the CKF and conventional robust filters in terms of accuracy and robustness with good computational efficiency. Additionally, the filter can be extended to the nonlinear applications using other types of sensors.

  18. Signal Conditioning for the Kalman Filter: Application to Satellite Attitude Estimation with Magnetometer and Sun Sensors.

    Science.gov (United States)

    Esteban, Segundo; Girón-Sierra, Jose M; Polo, Óscar R; Angulo, Manuel

    2016-10-31

    Most satellites use an on-board attitude estimation system, based on available sensors. In the case of low-cost satellites, which are of increasing interest, it is usual to use magnetometers and Sun sensors. A Kalman filter is commonly recommended for the estimation, to simultaneously exploit the information from sensors and from a mathematical model of the satellite motion. It would be also convenient to adhere to a quaternion representation. This article focuses on some problems linked to this context. The state of the system should be represented in observable form. Singularities due to alignment of measured vectors cause estimation problems. Accommodation of the Kalman filter originates convergence difficulties. The article includes a new proposal that solves these problems, not needing changes in the Kalman filter algorithm. In addition, the article includes assessment of different errors, initialization values for the Kalman filter; and considers the influence of the magnetic dipole moment perturbation, showing how to handle it as part of the Kalman filter framework.

  19. Diffusion Strategies for Distributed Kalman Filter with Dynamic Topologies in Virtualized Sensor Networks

    Directory of Open Access Journals (Sweden)

    Shujie Yang

    2016-01-01

    Full Text Available Network virtualization has become pervasive and is used in many applications. Through the combination of network virtualization and wireless sensor networks, it can greatly improve the multiple applications of traditional wireless sensor networks. However, because of the dynamic reconfiguration of topologies in the physical layer of virtualized sensor networks (VSNs, it requires a mechanism to guarantee the accuracy of estimate values by sensors. In this paper, we focus on the distributed Kalman filter algorithm with dynamic topologies to support this requirement. As one strategy of distributed Kalman filter algorithms, diffusion Kalman filter algorithm has a better performance on the state estimation. However, the existing diffusion Kalman filter algorithms all focus on the fixed topologies. Considering the dynamic topologies in the physical layer of VSNs mentioned above, we present a diffusion Kalman filter algorithm with dynamic topologies (DKFdt. Then, we emphatically derive the theoretical expressions of the mean and mean-square performance. From the expressions, the feasibility of the algorithm is verified. Finally, simulations confirm that the proposed algorithm achieves a greatly improved performance as compared with a noncooperative manner.

  20. Signal Conditioning for the Kalman Filter: Application to Satellite Attitude Estimation with Magnetometer and Sun Sensors

    Directory of Open Access Journals (Sweden)

    Segundo Esteban

    2016-10-01

    Full Text Available Most satellites use an on-board attitude estimation system, based on available sensors. In the case of low-cost satellites, which are of increasing interest, it is usual to use magnetometers and Sun sensors. A Kalman filter is commonly recommended for the estimation, to simultaneously exploit the information from sensors and from a mathematical model of the satellite motion. It would be also convenient to adhere to a quaternion representation. This article focuses on some problems linked to this context. The state of the system should be represented in observable form. Singularities due to alignment of measured vectors cause estimation problems. Accommodation of the Kalman filter originates convergence difficulties. The article includes a new proposal that solves these problems, not needing changes in the Kalman filter algorithm. In addition, the article includes assessment of different errors, initialization values for the Kalman filter; and considers the influence of the magnetic dipole moment perturbation, showing how to handle it as part of the Kalman filter framework.

  1. A Bayesian Consistent Dual Ensemble Kalman Filter for State-Parameter Estimation in Subsurface Hydrology

    CERN Document Server

    Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim

    2015-01-01

    Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The Joint-EnKF directly updates the augmented state-parameter vector while the Dual-EnKF employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. In this paper, we reverse the order of the forecast-update steps following the one-step-ahead (OSA) smoothing formulation of the Bayesian filtering problem, based on which we propose a new dual EnKF scheme, the Dual-EnKF$_{\\rm OSA}$. Compared to the Dual-EnKF, this introduces a new update step to the state in a fully consistent Bayesian framework...

  2. A new deterministic Ensemble Kalman Filter with one-step-ahead smoothing for storm surge forecasting

    KAUST Repository

    Raboudi, Naila

    2016-11-01

    The Ensemble Kalman Filter (EnKF) is a popular data assimilation method for state-parameter estimation. Following a sequential assimilation strategy, it breaks the problem into alternating cycles of forecast and analysis steps. In the forecast step, the dynamical model is used to integrate a stochastic sample approximating the state analysis distribution (called analysis ensemble) to obtain a forecast ensemble. In the analysis step, the forecast ensemble is updated with the incoming observation using a Kalman-like correction, which is then used for the next forecast step. In realistic large-scale applications, EnKFs are implemented with limited ensembles, and often poorly known model errors statistics, leading to a crude approximation of the forecast covariance. This strongly limits the filter performance. Recently, a new EnKF was proposed in [1] following a one-step-ahead smoothing strategy (EnKF-OSA), which involves an OSA smoothing of the state between two successive analysis. At each time step, EnKF-OSA exploits the observation twice. The incoming observation is first used to smooth the ensemble at the previous time step. The resulting smoothed ensemble is then integrated forward to compute a "pseudo forecast" ensemble, which is again updated with the same observation. The idea of constraining the state with future observations is to add more information in the estimation process in order to mitigate for the sub-optimal character of EnKF-like methods. The second EnKF-OSA "forecast" is computed from the smoothed ensemble and should therefore provide an improved background. In this work, we propose a deterministic variant of the EnKF-OSA, based on the Singular Evolutive Interpolated Ensemble Kalman (SEIK) filter. The motivation behind this is to avoid the observations perturbations of the EnKF in order to improve the scheme\\'s behavior when assimilating big data sets with small ensembles. The new SEIK-OSA scheme is implemented and its efficiency is demonstrated

  3. Decentralized neural identifier and control for nonlinear systems based on extended Kalman filter.

    Science.gov (United States)

    Castañeda, Carlos E; Esquivel, P

    2012-07-01

    A time-varying learning algorithm for recurrent high order neural network in order to identify and control nonlinear systems which integrates the use of a statistical framework is proposed. The learning algorithm is based in the extended Kalman filter, where the associated state and measurement noises covariance matrices are composed by the coupled variance between the plant states. The formulation allows identification of interactions associate between plant state and the neural convergence. Furthermore, a sliding window-based method for dynamical modeling of nonstationary systems is presented to improve the neural identification in the proposed methodology. The efficiency and accuracy of the proposed method is assessed to a five degree of freedom (DOF) robot manipulator where based on the time-varying neural identifier model, the decentralized discrete-time block control and sliding mode techniques are used to design independent controllers and develop the trajectory tracking for each DOF.

  4. Applications of Kalman filters based on non-linear functions to numerical weather predictions

    Directory of Open Access Journals (Sweden)

    G. Galanis

    2006-10-01

    Full Text Available This paper investigates the use of non-linear functions in classical Kalman filter algorithms on the improvement of regional weather forecasts. The main aim is the implementation of non linear polynomial mappings in a usual linear Kalman filter in order to simulate better non linear problems in numerical weather prediction. In addition, the optimal order of the polynomials applied for such a filter is identified. This work is based on observations and corresponding numerical weather predictions of two meteorological parameters characterized by essential differences in their evolution in time, namely, air temperature and wind speed. It is shown that in both cases, a polynomial of low order is adequate for eliminating any systematic error, while higher order functions lead to instabilities in the filtered results having, at the same time, trivial contribution to the sensitivity of the filter. It is further demonstrated that the filter is independent of the time period and the geographic location of application.

  5. Kalman Filter Realization for Orientation and Position Estimation on Dedicated Processor

    Directory of Open Access Journals (Sweden)

    Romaniuk Sławomir

    2014-08-01

    Full Text Available This paper presents Kalman filter design which has been programmed and evaluated in dedicated STM32 platform. The main aim of the work performed was to achieve proper estimation of attitude and position signals which could be further used in unmanned aeri-al vehicle autopilots. Inertial measurement unit and GPS receiver have been used as measurement devices in order to achieve needed raw sensor data. Results of Kalman filter estimation were recorded for signals measurements and compared with raw data. Position actualization frequency was increased from 1 Hz which is characteristic to GPS receivers, to values close to 50 Hz. Furthermore it is shown how Kalman filter deals with GPS accuracy decreases and magnetometer measurement noise.

  6. Cuff-less blood pressure measurement using pulse arrival time and a Kalman filter

    Science.gov (United States)

    Zhang, Qiang; Chen, Xianxiang; Fang, Zhen; Xue, Yongjiao; Zhan, Qingyuan; Yang, Ting; Xia, Shanhong

    2017-02-01

    The present study designs an algorithm to increase the accuracy of continuous blood pressure (BP) estimation. Pulse arrival time (PAT) has been widely used for continuous BP estimation. However, because of motion artifact and physiological activities, PAT-based methods are often troubled with low BP estimation accuracy. This paper used a signal quality modified Kalman filter to track blood pressure changes. A Kalman filter guarantees that BP estimation value is optimal in the sense of minimizing the mean square error. We propose a joint signal quality indice to adjust the measurement noise covariance, pushing the Kalman filter to weigh more heavily on measurements from cleaner data. Twenty 2 h physiological data segments selected from the MIMIC II database were used to evaluate the performance. Compared with straightforward use of the PAT-based linear regression model, the proposed model achieved higher measurement accuracy. Due to low computation complexity, the proposed algorithm can be easily transplanted into wearable sensor devices.

  7. A Hybrid Extended Kalman Filter as an Observer for a Pot-Electro-Magnetic Actuator

    Science.gov (United States)

    Schmidt, Simon; Mercorelli, Paolo

    2017-01-01

    This paper deals with an application in which a hybrid extended Kalman Filter (HEKF) is used to estimate state variables in a U-shaped electro-magnetic actuator to be used in mechanical systems. In this context a hybrid Kalman Filter is the one which switches between different models. The paper proposes a hybrid model for an extended Kalman Filter to be used as an observer to estimate the state and to control the force of the actuator. Applications include position, velocity and force control in automotive, engine and manufacturing systems. This work is focused on the estimation of state variables of the actuator. Simulated results show the effectiveness of the proposed approach.

  8. On the Kalman Filter error covariance collapse into the unstable subspace

    Science.gov (United States)

    Trevisan, A.; Palatella, L.

    2011-03-01

    When the Extended Kalman Filter is applied to a chaotic system, the rank of the error covariance matrices, after a sufficiently large number of iterations, reduces to N+ + N0 where N+ and N0 are the number of positive and null Lyapunov exponents. This is due to the collapse into the unstable and neutral tangent subspace of the solution of the full Extended Kalman Filter. Therefore the solution is the same as the solution obtained by confining the assimilation to the space spanned by the Lyapunov vectors with non-negative Lyapunov exponents. Theoretical arguments and numerical verification are provided to show that the asymptotic state and covariance estimates of the full EKF and of its reduced form, with assimilation in the unstable and neutral subspace (EKF-AUS) are the same. The consequences of these findings on applications of Kalman type Filters to chaotic models are discussed.

  9. Direct Torque Control of Sensorless Induction Machine Drives: A Two-Stage Kalman Filter Approach

    Directory of Open Access Journals (Sweden)

    Jinliang Zhang

    2015-01-01

    Full Text Available Extended Kalman filter (EKF has been widely applied for sensorless direct torque control (DTC in induction machines (IMs. One key problem associated with EKF is that the estimator suffers from computational burden and numerical problems resulting from high order mathematical models. To reduce the computational cost, a two-stage extended Kalman filter (TEKF based solution is presented for closed-loop stator flux, speed, and torque estimation of IM to achieve sensorless DTC-SVM operations in this paper. The novel observer can be similarly derived as the optimal two-stage Kalman filter (TKF which has been proposed by several researchers. Compared to a straightforward implementation of a conventional EKF, the TEKF estimator can reduce the number of arithmetic operations. Simulation and experimental results verify the performance of the proposed TEKF estimator for DTC of IMs.

  10. Convergence study in extended Kalman filter-based training of recurrent neural networks.

    Science.gov (United States)

    Wang, Xiaoyu; Huang, Yong

    2011-04-01

    Recurrent neural network (RNN) has emerged as a promising tool in modeling nonlinear dynamical systems, but the training convergence is still of concern. This paper aims to develop an effective extended Kalman filter-based RNN training approach with a controllable training convergence. The training convergence problem during extended Kalman filter-based RNN training has been proposed and studied by adapting two artificial training noise parameters: the covariance of measurement noise (R) and the covariance of process noise (Q) of Kalman filter. The R and Q adaption laws have been developed using the Lyapunov method and the maximum likelihood method, respectively. The effectiveness of the proposed adaption laws has been tested using a nonlinear dynamical benchmark system and further applied in cutting tool wear modeling. The results show that the R adaption law can effectively avoid the divergence problem and ensure the training convergence, whereas the Q adaption law helps improve the training convergence speed.

  11. Effective wind speed estimation: Comparison between Kalman Filter and Takagi-Sugeno observer techniques.

    Science.gov (United States)

    Gauterin, Eckhard; Kammerer, Philipp; Kühn, Martin; Schulte, Horst

    2016-05-01

    Advanced model-based control of wind turbines requires knowledge of the states and the wind speed. This paper benchmarks a nonlinear Takagi-Sugeno observer for wind speed estimation with enhanced Kalman Filter techniques: The performance and robustness towards model-structure uncertainties of the Takagi-Sugeno observer, a Linear, Extended and Unscented Kalman Filter are assessed. Hence the Takagi-Sugeno observer and enhanced Kalman Filter techniques are compared based on reduced-order models of a reference wind turbine with different modelling details. The objective is the systematic comparison with different design assumptions and requirements and the numerical evaluation of the reconstruction quality of the wind speed. Exemplified by a feedforward loop employing the reconstructed wind speed, the benefit of wind speed estimation within wind turbine control is illustrated.

  12. Event-triggered Kalman-consensus filter for two-target tracking sensor networks.

    Science.gov (United States)

    Su, Housheng; Li, Zhenghao; Ye, Yanyan

    2017-06-24

    This paper is concerned with the problem of event-triggered Kalman-consensus filter for two-target tracking sensor networks. According to the event-triggered protocol and the mean-square analysis, a suboptimal Kalman gain matrix is derived and a suboptimal event-triggered distributed filter is obtained. Based on the Kalman-consensus filter protocol, all sensors which only depend on its neighbors' information can track their corresponding targets. Furthermore, utilizing Lyapunov method and matrix theory, some sufficient conditions are presented for ensuring the stability of the system. Finally, a simulation example is presented to verify the effectiveness of the proposed event-triggered protocol. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.

  13. Kalman filtering for neural prediction of response spectra from mining tremors

    Energy Technology Data Exchange (ETDEWEB)

    Krok, A.; Waszczyszyn, Z. [Cracow University of Technology, Krakow (Poland)

    2007-08-15

    Acceleration response spectra (ARS) for mining tremors in the Upper Silesian Coalfield, Poland are generated using neural networks trained by means of Kalman filtering. The target ARS were computed on the base of measured accelerograms. It was proved that the standard feed-forward, layered neural network, trained by the DEFK (decoupled extended Kalman filter) algorithm is numerically much less efficient than the standard recurrent NN learnt by Recurrent DEKF, cf. (Haykin S, (editor). Kalman filtering and neural networks. New York: John Wiley & Sons; 2001). It is also shown that the studied KF algorithms are better than the traditional Resilient-Propagation learning method. The improvement of the training process and neural prediction due to introduction of an autoregressive input is also discussed in the paper.

  14. Parameter sensitivity of three Kalman Filter Schemes for the assimilation of tide guage data in coastal and self sea models

    DEFF Research Database (Denmark)

    Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, H.

    2006-01-01

    sensitivity study of three well known Kalman filter approaches for the assimilation of water levels in a three dimensional hydrodynamic modelling system. The filters considered are the ensemble Kalman filter (EnKF), the reduced rank square root Kalman filter (RRSQRT) and the steady Kalman filter....... A sensitivity analysis of key parameters in the schemes is undertaken for a setup in an idealised bay. The sensitivity of the resulting root mean square error (RMSE) is shown to be low to moderate. Hence the schemes are robust within an acceptable range and their application even with misspecified parameters...... is to be encouraged in this perspective. However, the predicted uncertainty of the assimilation results are sensitive to the parameters and hence must be applied with care. The sensitivity study further demonstrates the effectiveness of the steady Kalman filter in the given system as well as the great impact...

  15. Power grid integration using Kalman filtering

    OpenAIRE

    Djerf, Magnus

    2012-01-01

    Renewable power sources with a relatively uneven or constant DC power production require synchronization methods to work with the current utility power grid. The solution to this synchronization problem has been solved with semiconductor based converters and advanced switching algorithms. To enable switching algorithms that work well with the grids amplitude, phase-shift and frequency, the current waveform has to be measured and estimated.    There are many sources of noise that will add dist...

  16. OPTIMASI LEARNING RADIAL BASIS FUNCTION NEURAL NETWORK DENGAN EXTENDED KALMAN FILTER

    Directory of Open Access Journals (Sweden)

    Oni Soesanto

    2015-09-01

    Full Text Available Dalam paper ini dibahas mengenai optimasi Radial Basis Function Neural Network (RBFNN dengan Extended Kalman Filter. Proses learning RBF dengan Extended Kalman Filter menggunakan parameter bobot pada hidden center RBF yaitu noise proses pada perhitungan bobot hidden center dan noise pengukuran pada data output. Extended Kalman Filter pada jaringan syaraf RBF berfungsi mengoptimalkan bobot pada hidden center dengan meminimalkan error pada output RBF dengan parameter proses pada unit center RBF dan parameter bobot output pada output layer. Bobot output optimal diperoleh pada saat error output pada training RBF telah konvergen, selanjutnya digunakan untuk proses testing. Algoritma Extended Kalman Filter dan Radial Basis Fuction (EKF-RBF memungkinkan proses learning memungkinkan center dan variansi pada hidden layer tidak perlu dihitung sebelum bobot output optimum ditemukan. Hasil simulasi menunjukkan bahwa pada training, performansi klasifikasi algoritma EKF-RBF mampu mengenali rata-rata 92.42% dan untuk prediksi didapatkan MAE sebesar 5,3846 dan RMSE sebesar 16,2398 dengan CPU time 24,4146 detik dengan iterasi rata-rata 68,8 iterasi, testing in sample rata-rata MAE sebesar 4,3388, rata-rata RMSE sebesar 13,2230 dan rata-rata CPU time sebesar 0,1123 detik sedangkan pada testing out sample didapatkan rata-rata MAE sebesar 4,1065, RMSE sebesar 11,0126 dan CPU time sebesar 0,0265 detik. Kata kunci : Extended Kalman Filter, Extended Kalman Filter – Radial Basis Function (EKF-RBF, Optimasi Jaringan Syaraf RBF

  17. Adaptive system noise covariance for performance enhancement of Kalman filter-based algorithms

    Science.gov (United States)

    Lee, Vika; Chan, Keith C. C.; Leung, Henry

    1996-06-01

    Several designs of Kalman filters and the interacting multiple models algorithm were used in real tracking tasks involving high dynamic targets. The data were obtained through the joint effort of the defense departments of Canada and the US. Their performance, measured in terms of positional deviation and the number of track losses, are rather unsatisfactory even though they perform particularly well when using simulated data. To identify the reasons behind, we compared and analyzed the differences between the model assumptions behind the design of these Kalman filters and the model required for accurate tracking of these targets. In this paper, we discussed our findings. Moreover, based on the characteristics of real tracking data, we present an alternative methodology for measuring the effectiveness of various Kalman filter based trackers in stressful environmental. It can also be used to explain the well known characteristics of Kalman filter. A lower bound for the deviation, obtained from this equation, shows that deviation could be too large to manage if noise bandwidth is as high as the real data instead of a pre-assumed magnitude. Instead of having to redesign many existing Kalman filters to suit for stressful environment, we developed a design-independent module that can be added to different types of Kalman filters based trackers to enhance their performance in the tracking high dynamic targets. The module is called adaptive systems noise covariance estimation. It is not only safe (i.e. almost no negative effect) but it can sometimes even double the performance of trackers in stressful environment.

  18. Attitude Estimation Based on the Spherical Simplex Transformation Modified Unscented Kalman Filter

    Directory of Open Access Journals (Sweden)

    Jianwei Zhao

    2014-01-01

    Full Text Available An antenna attitude estimation algorithm is proposed to improve the antenna pointing accuracy for the satellite communication on-the-move. The extrapolated angular acceleration is adopted to improve the performance of the time response. The states of the system are modified according to the modification rules. The spherical simplex transformation unscented Kalman filter is used to improve the precision of the estimated attitude and decrease the calculation of the unscented Kalman filter. The experiment results show that the proposed algorithm can improve the instantaneity of the estimated attitude and the precision of the antenna pointing, which meets the requirement of the antenna pointing.

  19. Speed Estimation of Induction Motor Using Model Reference Adaptive System with Kalman Filter

    Directory of Open Access Journals (Sweden)

    Pavel Brandstetter

    2013-01-01

    Full Text Available The paper deals with a speed estimation of the induction motor using observer with Model Reference Adaptive System and Kalman Filter. For simulation, Hardware in Loop Simulation method is used. The first part of the paper includes the mathematical description of the observer for the speed estimation of the induction motor. The second part describes Kalman filter. The third part describes Hardware in Loop Simulation method and its realization using multifunction card MF 624. In the last section of the paper, simulation results are shown for different changes of the induction motor speed which confirm high dynamic properties of the induction motor drive with sensorless control.

  20. An Adaptive Estimation of Forecast Error Covariance Parameters for Kalman Filtering Data Assimilation

    Institute of Scientific and Technical Information of China (English)

    Xiaogu ZHENG

    2009-01-01

    An adaptive estimation of forecast error covariance matrices is proposed for Kalman filtering data assimilation. A forecast error covariance matrix is initially estimated using an ensemble of perturbation forecasts. This initially estimated matrix is then adjusted with scale parameters that are adaptively estimated by minimizing -2log-likelihood of observed-minus-forecast residuals. The proposed approach could be applied to Kalman filtering data assimilation with imperfect models when the model error statistics are not known. A simple nonlinear model (Burgers' equation model) is used to demonstrate the efficacy of the proposed approach.

  1. Application of unscented Kalman filter for condition monitoring of an organic Rankine cycle turbogenerator

    DEFF Research Database (Denmark)

    Pierobon, Leonardo; Schlanbusch, Rune; Kandepu, Rambabu

    2014-01-01

    for this project. Considering the plant dynamics, it is of paramount importance to monitor the peak temperatures within the once-through boiler serving the bottoming unit to prevent the decomposition of the working fluid. This paper accordingly aims at applying the unscented Kalman filter to estimate...... the temperature distribution inside the primary heat exchanger by engaging a detailed and distributed model of the system and available measurements. Simulation results prove the robustness of the unscented Kalman filter with respect to process noise, measurement disturbances and initial conditions....

  2. Antenna pointing system for satellite tracking based on Kalman filtering and model predictive control techniques

    Science.gov (United States)

    Souza, André L. G.; Ishihara, João Y.; Ferreira, Henrique C.; Borges, Renato A.; Borges, Geovany A.

    2016-12-01

    The present work proposes a new approach for an antenna pointing system for satellite tracking. Such a system uses the received signal to estimate the beam pointing deviation and then adjusts the antenna pointing. The present work has two contributions. First, the estimation is performed by a Kalman filter based conical scan technique. This technique uses the Kalman filter avoiding the batch estimator and applies a mathematical manipulation avoiding the linearization approximations. Secondly, a control technique based on the model predictive control together with an explicit state feedback solution are obtained in order to reduce the computational burden. Numerical examples illustrate the results.

  3. Kalman filters improve LSTM network performance in problems unsolvable by traditional recurrent nets.

    Science.gov (United States)

    Pérez-Ortiz, Juan Antonio; Gers, Felix A; Eck, Douglas; Schmidhuber, Jürgen

    2003-03-01

    The long short-term memory (LSTM) network trained by gradient descent solves difficult problems which traditional recurrent neural networks in general cannot. We have recently observed that the decoupled extended Kalman filter training algorithm allows for even better performance, reducing significantly the number of training steps when compared to the original gradient descent training algorithm. In this paper we present a set of experiments which are unsolvable by classical recurrent networks but which are solved elegantly and robustly and quickly by LSTM combined with Kalman filters.

  4. Extended Kalman Filter Based Neural Networks Controller For Hot Strip Rolling mill

    Science.gov (United States)

    Moussaoui, A. K.; Abbassi, H. A.; Bouazza, S.

    2008-06-01

    The present paper deals with the application of an Extended Kalman filter based adaptive Neural-Network control scheme to improve the performance of a hot strip rolling mill. The suggested Neural Network model was implemented using Bayesian Evidence based training algorithm. The control input was estimated iteratively by an on-line extended Kalman filter updating scheme basing on the inversion of the learned neural networks model. The performance of the controller is evaluated using an accurate model estimated from real rolling mill input/output data, and the usefulness of the suggested method is proved.

  5. Application of Extended Kalman Filter to Tactical Ballistic Missile Re-entry Problem

    CERN Document Server

    Bhowmik, Subrata

    2007-01-01

    The objective is to investigate the advantages and performance of Extended Kalman Filter for the estimation of non-linear system where linearization takes place about a trajectory that was continually updated with the state estimates resulting from the measurement. Here tactile ballistic missile Re-entry problem is taken as a nonlinear system model and Extended Kalman Filter technique is used to estimate the positions and velocities at the X and Y direction at different values of ballistic coefficients. The result shows that the method gives better estimation with the increase of ballistic coefficient.

  6. A NEW METHOD OF CHANNEL FRICTION INVERSION BASED ON KALMAN FILTER WITH UNKNOWN PARAMETER VECTOR

    Institute of Scientific and Technical Information of China (English)

    CHENG Wei-ping; MAO Gen-hai; LIU Guo-hua

    2005-01-01

    Channel friction is an important parameter in hydraulic analysis.A channel friction parameter inversion method based on Kalman Filter with unknown parameter vector is proposed.Numerical simulations indicate that when the number of monitoring stations exceeds a critical value, the solution is hardly affected.In addition, Kalman Filter with unknown parameter vector is effective only at unsteady state.For the nonlinear equations, computations of sensitivity matrices are time-costly.Two simplified measures can reduce computing time, but not influence the results.One is to reduce sensitivity matrix analysis time, the other is to substitute for sensitivity matrix.

  7. Object Tracking System Using Approximate Median Filter, Kalman Filter and Dynamic Template Matching

    Directory of Open Access Journals (Sweden)

    G. Mallikarjuna Rao

    2014-04-01

    Full Text Available In this work, we dealt with the tracking of single object in a sequence of frames either from a live camera or a previously saved video. A moving object is detected frame-by-frame with high accuracy and efficiency using Median approximation technique. As soon as the object has been detected, the same is tracked by kalman filter estimation technique along with a more accurate Template Matching algorithm. The templates are dynamically generated for this purpose. This guarantees any change in object pose which does not be hindered from tracking procedure. The system is capable of handling entry and exit of an object. Such a tracking scheme is cost effective and it can be used as an automated video conferencing system and also has application as a surveillance tool. Several trials of the tracking show that the approach is correct and extremely fast, and it's a more robust performance throughout the experiments.

  8. The Reduced Rank of Ensemble Kalman Filter to Estimate the Temperature of Non Isothermal Continue Stirred Tank Reactor

    Directory of Open Access Journals (Sweden)

    Erna Apriliani

    2011-01-01

    Full Text Available Kalman filter is an algorithm to estimate the state variable of dynamical stochastic system. The square root ensemble Kalman filter is an modification of Kalman filter. The square root ensemble Kalman filter is proposed to keep the computational stability and reduce the computational time. In this paper we study the efficiency of the reduced rank ensemble Kalman filter. We apply this algorithm to the non isothermal continue stirred tank reactor problem. We decompose the covariance of the ensemble estimation by using the singular value decomposition (the SVD, and then we reduced the rank of the diagonal matrix of those singular values. We make a simulation by using Matlab program. We took some the number of ensemble such as 100, 200 and 500. We compared the computational time and the accuracy between the square root ensemble Kalman filter and the ensemble Kalman filter. The reduced rank ensemble Kalman filter can’t be applied in this problem because the dimension of state variable is too less.

  9. Computationally efficient video restoration for Nyquist sampled imaging sensors combining an affine-motion-based temporal Kalman filter and adaptive Wiener filter.

    Science.gov (United States)

    Rucci, Michael; Hardie, Russell C; Barnard, Kenneth J

    2014-05-01

    In this paper, we present a computationally efficient video restoration algorithm to address both blur and noise for a Nyquist sampled imaging system. The proposed method utilizes a temporal Kalman filter followed by a correlation-model based spatial adaptive Wiener filter (AWF). The Kalman filter employs an affine background motion model and novel process-noise variance estimate. We also propose and demonstrate a new multidelay temporal Kalman filter designed to more robustly treat local motion. The AWF is a spatial operation that performs deconvolution and adapts to the spatially varying residual noise left in the Kalman filter stage. In image areas where the temporal Kalman filter is able to provide significant noise reduction, the AWF can be aggressive in its deconvolution. In other areas, where less noise reduction is achieved with the Kalman filter, the AWF balances the deconvolution with spatial noise reduction. In this way, the Kalman filter and AWF work together effectively, but without the computational burden of full joint spatiotemporal processing. We also propose a novel hybrid system that combines a temporal Kalman filter and BM3D processing. To illustrate the efficacy of the proposed methods, we test the algorithms on both simulated imagery and video collected with a visible camera.

  10. Optimization of the concrete delayed deformations by Kalman filter; Optimisation des deformations differees du beton par filtre de Kalman

    Energy Technology Data Exchange (ETDEWEB)

    Sebastien Massart [CERFACS / URA 1875, 42 Avenue Gaspard Coriolis, 31057 Toulouse Cedex 01, (France)

    2005-07-01

    Imperviousness of French nuclear power plants containments has to secure radioactive products confinement during incident or accident. Temporal evolution of containments is obtained through the numerical model Code Aster that purpose is to detect if some fissure could appear and as a consequence, imperviousness lost. In parallel, sensors are placed all around the containments to follow real time deformations. In this paper, Kalman filter analysis of an extensometer data is used to optimize eight parameters of the numerical model Code Aster. This method allows us to improve the concrete delayed behaviors modelization and supplies uncertainties to the forecast of the containment evolution. (author)

  11. AUTOMATIC ROAD EXTRACTION FROM SATELLITE IMAGES USING EXTENDED KALMAN FILTERING AND EFFICIENT PARTICLE FILTERING

    Directory of Open Access Journals (Sweden)

    Jenita Subash

    2011-12-01

    Full Text Available Users of geospatial data in government, military, industry, research, and other sectors have need foraccurate display of roads and other terrain information in areas where there are ongoing operations orlocations of interest. Hence, road extraction that is significantly more automated than the employment ofcostly and scarce human resources has become a challenging technical issue for the geospatialcommunity. An automatic road extraction based on Extended Kalman Filtering (EKF and variablestructured multiple model particle filter (VS-MMPF from satellite images is addressed. EKF traces themedian axis of a single road segment while VS-MMPF traces all road branches initializing at theintersection. In case of Local Linearization Particle filter (LLPF, a large number of particles are usedand therefore high computational expense is usually required in order to attain certain accuracy androbustness. The basic idea is to reduce the whole sampling space of the multiple model system to the modesubspace by marginalization over the target subspace and choose better importance function for modestate sampling. The core of the system is based on profile matching. During the estimation, new referenceprofiles were generated and stored in the road template memory for future correlation analysis, thuscovering the space of road profiles. .

  12. Detecting Power Voltage Dips using Tracking Filters - A Comparison against Kalman

    Directory of Open Access Journals (Sweden)

    STANCIU, I.-R.

    2012-11-01

    Full Text Available Due of its significant economical impact, Power-Quality (PQ analysis is an important domain today. Severe voltage distortions affect the consumers and disturb their activity. They may be caused by short circuits (in this case the voltage drops significantly or by varying loads (with a smaller drop. These two types are the PQ currently issues. Monitoring these phenomena (called dips or sags require powerful techniques. Digital Signal Processing (DSP algorithms are currently employed to fulfill this task. Discrete Wavelet Transforms, (and variants, Kalman filters, and S-Transform are currently proposed by researchers to detect voltage dips. This paper introduces and examines a new tool to detect voltage dips: the so-called tracking filters. Discovered and tested during the cold war, they can estimate a parameter of interest one-step-ahead based on the previously observed values. Two filters are implemented. Their performance is assessed by comparison against the Kalman filter?s results.

  13. Interlaced optimal-REQUEST and unscented Kalman filtering for attitude determination

    Institute of Scientific and Technical Information of China (English)

    Quan Wei; Xu Liang; Zhang Huijuan; Fang Jiancheng

    2013-01-01

    Aimed at low accuracy of attitude determination because of using low-cost components which may result in non-linearity in integrated attitude determination systems,a novel attitude determination algorithm using vector observations and gyro measurements is presented.The various features of the unscented Kalman filter (UKF) and optimal-REQUEST (quaternion estimator) algorithms are introduced for attitude determination.An interlaced filtering method is presented for the attitude determination of nano-spacecraft by setting the quaternion as the attitude representation,using the UKF and optimal-REQUEST to estimate the gyro drifts and the quaternion,respectively.The optimal-REQUEST and UKF are not isolated from each other.When the optimal-REQUEST algorithm estimates the attitude quaternion,the gyro drifts are estimated by the UKF algorithm synchronously by using the estimated attitude quaternion.Furthermore,the speed of attitude determination is improved by setting the state dimension to three.Experimental results show that the presented method has higher performance in attitude determination compared to the UKF algorithm and the traditional interlaced filtering method and can estimate the gyro drifts quickly.

  14. An approximate Kalman filter for ocean data assimilation: An example with an idealized Gulf Stream model

    Science.gov (United States)

    Fukumori, Ichiro; Malanotte-Rizzoli, Paola

    1995-01-01

    A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kalman filter based on approximation of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudomeasurements are examined, including velocity, density, and volume transport at localized arrays and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform an empirical nudging scheme used in a previous study. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.

  15. Adaptive distributed Kalman filtering with wind estimation for astronomical adaptive optics.

    Science.gov (United States)

    Massioni, Paolo; Gilles, Luc; Ellerbroek, Brent

    2015-12-01

    In the framework of adaptive optics (AO) for astronomy, it is a common assumption to consider the atmospheric turbulent layers as "frozen flows" sliding according to the wind velocity profile. For this reason, having knowledge of such a velocity profile is beneficial in terms of AO control system performance. In this paper we show that it is possible to exploit the phase estimate from a Kalman filter running on an AO system in order to estimate wind velocity. This allows the update of the Kalman filter itself with such knowledge, making it adaptive. We have implemented such an adaptive controller based on the distributed version of the Kalman filter, for a realistic simulation of a multi-conjugate AO system with laser guide stars on a 30 m telescope. Simulation results show that this approach is effective and promising and the additional computational cost with respect to the distributed filter is negligible. Comparisons with a previously published slope detection and ranging wind profiler are made and the impact of turbulence profile quantization is assessed. One of the main findings of the paper is that all flavors of the adaptive distributed Kalman filter are impacted more significantly by turbulence profile quantization than the static minimum mean square estimator which does not incorporate wind profile information.

  16. Two-level Robust Measurement Fusion Kalman Filter for Clustering Sensor Networks

    Institute of Scientific and Technical Information of China (English)

    ZHANG Peng; QI Wen-Juan; DENG Zi-Li

    2014-01-01

    This paper investigates the distributed fusion Kalman filtering over clustering sensor networks. The sensor network is partitioned as clusters by the nearest neighbor rule and each cluster consists of sensing nodes and cluster-head. Using the minimax robust estimation principle, based on the worst-case conservative system with the conservative upper bounds of noise variances, two-level robust measurement fusion Kalman filter is presented for the clustering sensor network systems with uncertain noise variances. It can significantly reduce the communication load and save energy when the number of sensors is very large. A Lyapunov equation approach for the robustness analysis is presented, by which the robustness of the local and fused Kalman filters is proved. The concept of the robust accuracy is presented, and the robust accuracy relations among the local and fused robust Kalman filters are proved. It is proved that the robust accuracy of the two-level weighted measurement fuser is equal to that of the global centralized robust fuser and is higher than those of each local robust filter and each local weighted measurement fuser. A simulation example shows the correctness and effectiveness of the proposed results.

  17. The Unscented Kalman Filter estimates the plasma insulin from glucose measurement.

    Science.gov (United States)

    Eberle, Claudia; Ament, Christoph

    2011-01-01

    Understanding the simultaneous interaction within the glucose and insulin homeostasis in real-time is very important for clinical treatment as well as for research issues. Until now only plasma glucose concentrations can be measured in real-time. To support a secure, effective and rapid treatment e.g. of diabetes a real-time estimation of plasma insulin would be of great value. A novel approach using an Unscented Kalman Filter that provides an estimate of the current plasma insulin concentration is presented, which operates on the measurement of the plasma glucose and Bergman's Minimal Model of the glucose insulin homeostasis. We can prove that process observability is obtained in this case. Hence, a successful estimator design is possible. Since the process is nonlinear we have to consider estimates that are not normally distributed. The symmetric Unscented Kalman Filter (UKF) will perform best compared to other estimator approaches as the Extended Kalman Filter (EKF), the simplex Unscented Kalman Filter (UKF), and the Particle Filter (PF). The symmetric UKF algorithm is applied to the plasma insulin estimation. It shows better results compared to the direct (open loop) estimation that uses a model of the insulin subsystem.

  18. Unscented Kalman Filter Applied to the Spacecraft Attitude Estimation with Euler Angles

    Directory of Open Access Journals (Sweden)

    Roberta Veloso Garcia

    2012-01-01

    Full Text Available The aim of this work is to test an algorithm to estimate, in real time, the attitude of an artificial satellite using real data supplied by attitude sensors that are on board of the CBERS-2 satellite (China Brazil Earth Resources Satellite. The real-time estimator used in this work for attitude determination is the Unscented Kalman Filter. This filter is a new alternative to the extended Kalman filter usually applied to the estimation and control problems of attitude and orbit. This algorithm is capable of carrying out estimation of the states of nonlinear systems, without the necessity of linearization of the nonlinear functions present in the model. This estimation is possible due to a transformation that generates a set of vectors that, suffering a nonlinear transformation, preserves the same mean and covariance of the random variables before the transformation. The performance will be evaluated and analyzed through the comparison between the Unscented Kalman filter and the extended Kalman filter results, by using real onboard data.

  19. Data-worth analysis through probabilistic collocation-based Ensemble Kalman Filter

    Science.gov (United States)

    Dai, Cheng; Xue, Liang; Zhang, Dongxiao; Guadagnini, Alberto

    2016-09-01

    We propose a new and computationally efficient data-worth analysis and quantification framework keyed to the characterization of target state variables in groundwater systems. We focus on dynamically evolving plumes of dissolved chemicals migrating in randomly heterogeneous aquifers. An accurate prediction of the detailed features of solute plumes requires collecting a substantial amount of data. Otherwise, constraints dictated by the availability of financial resources and ease of access to the aquifer system suggest the importance of assessing the expected value of data before these are actually collected. Data-worth analysis is targeted to the quantification of the impact of new potential measurements on the expected reduction of predictive uncertainty based on a given process model. Integration of the Ensemble Kalman Filter method within a data-worth analysis framework enables us to assess data worth sequentially, which is a key desirable feature for monitoring scheme design in a contaminant transport scenario. However, it is remarkably challenging because of the (typically) high computational cost involved, considering that repeated solutions of the inverse problem are required. As a computationally efficient scheme, we embed in the data-worth analysis framework a modified version of the Probabilistic Collocation Method-based Ensemble Kalman Filter proposed by Zeng et al. (2011) so that we take advantage of the ability to assimilate data sequentially in time through a surrogate model constructed via the polynomial chaos expansion. We illustrate our approach on a set of synthetic scenarios involving solute migrating in a two-dimensional random permeability field. Our results demonstrate the computational efficiency of our approach and its ability to quantify the impact of the design of the monitoring network on the reduction of uncertainty associated with the characterization of a migrating contaminant plume.

  20. Tracking magma volume recovery at okmok volcano using GPS and an unscented kalman filter

    Science.gov (United States)

    Fournier, T.; Freymueller, Jeffrey T.; Cervelli, Peter

    2009-01-01

    Changes beneath a volcano can be observed through position changes in a GPS network, but distinguishing the source of site motion is not always straightforward. The records of continuous GPS sites provide a favorable data set for tracking magma migration. Dense campaign observations usually provide a better spatial picture of the overall deformation field, at the expense of an episodic temporal record. Combining these observations provides the best of both worlds. A Kalman filter provides a means for integrating discrete and continuous measurements and for interpreting subtle signals. The unscented Kalman filter (UKF) is a nonlinear method for time-dependent observations. We demonstrate the application of this technique to deformation data by applying it to GPS data collected at Okmok volcano. Seven years of GPS observations at Okmok are analyzed using a Mogi source model and the UKF. The deformation source at Okmok is relatively stable at 2.5 km depth below sea level, located beneath the center of the caldera, which means the surface deformation is caused by changes in the strength of the source. During the 7 years of GPS observations more than 0.5 m of uplift has occurred, a majority of that during the time period January 2003 to July 2004. The total volume recovery at Okmok since the last eruption in 1997 is ??60-80%. The UKF allows us to solve simultaneously for the time-dependence of the source strength and for the location without a priori information about the source. ?? 2009 by the American Geophysical Union.

  1. Acoustic tomography of the atmosphere using iterated unscented Kalman filter

    Science.gov (United States)

    Kolouri, Soheil

    Tomography approaches are of great interests because of their non-intrusive nature and their ability to generate a significantly larger amount of data in comparison to the in-situ measurement method. Acoustic tomography is an approach which reconstructs the unknown parameters that affect the propagation of acoustic rays in a field of interest by studying the temporal characteristics of the propagation. Acoustic tomography has been used in several different disciplines such as biomedical imaging, oceanographic studies and atmospheric studies. The focus of this thesis is to study acoustic tomography of the atmosphere in order to reconstruct the temperature and wind velocity fields in the atmospheric surface layer using the travel-times collected from several pairs of transmitter and receiver sensors distributed in the field. Our work consists of three main parts. The first part of this thesis is dedicated to reviewing the existing methods for acoustic tomography of the atmosphere, namely statistical inversion (SI), time dependent statistical inversion (TDSI), simultaneous iterative reconstruction technique (SIRT), and sparse recovery framework. The properties of these methods are then explained extensively and their shortcomings are also mentioned. In the second part of this thesis, a new acoustic tomography method based on Unscented Kalman Filter (UKF) is introduced in order to address some of the shortcomings of the existing methods. Using the UKF, the problem is cast as a state estimation problem in which the temperature and wind velocity fields are the desired states to be reconstructed. The field is discretized into several grids in which the temperature and wind velocity fields are assumed to be constant. Different models, namely random walk, first order 3-D autoregressive (AR) model, and 1-D temporal AR model are used to capture the state evolution in time-space. Given the time of arrival (TOA) equation for acoustic propagation as the observation equation, the

  2. Identification of observer/Kalman filter Markov parameters: Theory and experiments

    Science.gov (United States)

    Juang, Jer-Nan; Phan, Minh; Horta, Lucas G.; Longman, Richard W.

    1991-01-01

    An algorithm to compute Markov parameters of an observer or Kalman filter from experimental input and output data is discussed. The Markov parameters can then be used for identification of a state space representation, with associated Kalman gain or observer gain, for the purpose of controller design. The algorithm is a non-recursive matrix version of two recursive algorithms developed in previous works for different purposes. The relationship between these other algorithms is developed. The new matrix formulation here gives insight into the existence and uniqueness of solutions of certain equations and gives bounds on the proper choice of observer order. It is shown that if one uses data containing noise, and seeks the fastest possible deterministic observer, the deadbeat observer, one instead obtains the Kalman filter, which is the fastest possible observer in the stochastic environment. Results are demonstrated in numerical studies and in experiments on an ten-bay truss structure.

  3. A Two-stage Kalman Filter for Sensorless Direct Torque Controlled PM Synchronous Motor Drive

    Directory of Open Access Journals (Sweden)

    Boyu Yi

    2013-01-01

    Full Text Available This paper presents an optimal two-stage extended Kalman filter (OTSEKF for closed-loop flux, torque, and speed estimation of a permanent magnet synchronous motor (PMSM to achieve sensorless DTC-SVPWM operation of drive system. The novel observer is obtained by using the same transformation as in a linear Kalman observer, which is proposed by C.-S. Hsieh and F.-C. Chen in 1999. The OTSEKF is an effective implementation of the extended Kalman filter (EKF and provides a recursive optimum state estimation for PMSMs using terminal signals that may be polluted by noise. Compared to a conventional EKF, the OTSEKF reduces the number of arithmetic operations. Simulation and experimental results verify the effectiveness of the proposed OTSEKF observer for DTC of PMSMs.

  4. Nonlinear Kalman Filtering in Affine Term Structure Models

    DEFF Research Database (Denmark)

    Christoffersen, Peter; Dorion, Christian; Jacobs, Kris;

    When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi…ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze...... Monte Carlo experiment demonstrates that the unscented Kalman fi…lter is much more accurate than its extended counterpart in fi…ltering the states and forecasting swap rates and caps. Our fi…ndings suggest that the unscented Kalman fi…lter may prove to be a good approach for a number of other problems...... in fi…xed income pricing with nonlinear relationships between the state vector and the observations, such as the estimation of term structure models using coupon bonds and the estimation of quadratic term structure models....

  5. Using data-driven discrete-time models and the unscented Kalman filter to estimate unobserved variables of nonlinear systems

    Science.gov (United States)

    Aguirre, Luis Antonio; Teixeira, Bruno Otávio S.; Tôrres, Leonardo Antônio B.

    2005-08-01

    This paper addresses the problem of state estimation for nonlinear systems by means of the unscented Kalman filter (UKF). Compared to the traditional extended Kalman filter, the UKF does not require the local linearization of the system equations used in the propagation stage. Important results using the UKF have been reported recently but in every case the system equations used by the filter were considered known. Not only that, such models are usually considered to be differential equations, which requires that numerical integration be performed during the propagation phase of the filter. In this paper the dynamical equations of the system are taken to be difference equations—thus avoiding numerical integration—and are built from data without prior knowledge. The identified models are subsequently implemented in the filter in order to accomplish state estimation. The paper discusses the impact of not knowing the exact equations and using data-driven models in the context of state and joint state-and-parameter estimation. The procedure is illustrated by means of examples that use simulated and measured data.

  6. Extended Kalman Filter for Real Time Indoor Localization by Fusing WiFi and Smartphone Inertial Sensors

    Directory of Open Access Journals (Sweden)

    Zhi-An Deng

    2015-04-01

    Full Text Available Indoor localization systems using WiFi received signal strength (RSS or pedestrian dead reckoning (PDR both have their limitations, such as the RSS fluctuation and the accumulative error of PDR. To exploit their complementary strengths, most existing approaches fuse both systems by a particle filter. However, the particle filter is unsuitable for real time localization on resource-limited smartphones, since it is rather time-consuming and computationally expensive. On the other hand, the light computation fusion approaches including Kalman filter and its variants are inapplicable, since an explicit RSS-location measurement equation and the related noise statistics are unavailable. This paper proposes a novel data fusion framework by using an extended Kalman filter (EKF to integrate WiFi localization with PDR. To make EKF applicable, we develop a measurement model based on kernel density estimation, which enables accurate WiFi localization and adaptive measurement noise statistics estimation. For the PDR system, we design another EKF based on quaternions for heading estimation by fusing gyroscopes and accelerometers. Experimental results show that the proposed EKF based data fusion approach achieves significant localization accuracy improvement over using WiFi localization or PDR systems alone. Compared with a particle filter, the proposed approach achieves comparable localization accuracy, while it incurs much less computational complexity.

  7. Methodology for adapting the parameters of a fuzzy system using the extended Kalman filter

    OpenAIRE

    2011-01-01

    When we try to analyze and to control a system whose model was obtained only based on input/output data, accuracy is essential in the model. On the other hand, to make the procedure practical, the modeling stage must be computationally efficient. In this regard, this paper presents the application of extended Kalman filter for the parametric adaptation of a fuzzy model.

  8. Implementation of a Parallel Kalman Filter for Stratospheric Chemical Tracer Assimilation

    Science.gov (United States)

    Chang, Lang-Ping; Lyster, Peter M.; Menard, R.; Cohn, S. E.

    1998-01-01

    A Kalman filter for the assimilation of long-lived atmospheric chemical constituents has been developed for two-dimensional transport models on isentropic surfaces over the globe. An important attribute of the Kalman filter is that it calculates error covariances of the constituent fields using the tracer dynamics. Consequently, the current Kalman-filter assimilation is a five-dimensional problem (coordinates of two points and time), and it can only be handled on computers with large memory and high floating point speed. In this paper, an implementation of the Kalman filter for distributed-memory, message-passing parallel computers is discussed. Two approaches were studied: an operator decomposition and a covariance decomposition. The latter was found to be more scalable than the former, and it possesses the property that the dynamical model does not need to be parallelized, which is of considerable practical advantage. This code is currently used to assimilate constituent data retrieved by limb sounders on the Upper Atmosphere Research Satellite. Tests of the code examined the variance transport and observability properties. Aspects of the parallel implementation, some timing results, and a brief discussion of the physical results will be presented.

  9. An adaptive Multiplicative Extened Kalman Filter for Attitude Estimation of Marine Satellite Tracking Antenna

    DEFF Research Database (Denmark)

    Wang, Yunlong; Soltani, Mohsen; Hussain, Dil muhammed Akbar

    2016-01-01

    , an adaptive Multiplicative Extended Kalman Filter (MEKF) for attitude estimation of Marine Satellite Tracking Antenna (MSTA) is presented with the measurement noise covariance matrix adjusted according to the norm of accelerometer measurements, which can significantly reduce the slamming influence from waves...

  10. Alternate approach for terrain-aided navigation using parallel extended Kalman filters

    Energy Technology Data Exchange (ETDEWEB)

    Sheives, T.C.; Andreas, R.D.

    1979-12-01

    A new approach for applying SITAN (Sandia Inertial Terrain Aided Navigation) to applications involving large initial position errors is described and analyzed. The approach uses parallel Kalman filters in combination with a selection algorithm to estimate the errors in the reference navigation system. Monte Carlo simulation and covariance analysis results are presented which demonstrate the feasibility and practicality of the approach.

  11. Impact and point prediction using a neural extended Kalman filter with multiple sensors

    Science.gov (United States)

    Stubberud, Stephen C.; Kramer, Kathleen A.

    2007-04-01

    The neural extended Kalman filter is an adaptive estimation technique that has been shown to learn on-line the maneuver model of the trajectory of a target. This improved motion model can be used to better predict the location of a target at given point in time, especially when the target, such as a mortar shell, has limited maneuvering capabilities. In this paper, the neural extended Kalman filter is used to predict, with multiple-sensor-systems provided measurement reports, impact point and impact time of a ballistic-like projectile when the drag on the shell was not accurately modeled in the motion model. In previous work, the neural extended Kalman filter was shown to work well with a single sensor with a uniform sample rate. Multiple sensors can incorporate two major differences into the problem. The first difference is that of the multiple aspect angles and uncertainty that are used in the model adaptation. The second difference is that of a non-uniform update rate of the measurements to the tracking system. While most tracking systems can easily handle this difference, the adaptation of the neural network training parameters can be deleteriously affected by these variations. The first of these two differences, potential concerns to the neural extended Kalman filter's implementation, is investigated in this effort. In this effort, performance of this adaptive and predictive scheme with multiple sensors in a three dimensional space is shown to provide a quality impact estimate.

  12. A convergence result for the unscented Kalman-Bucy filter using contraction theory

    DEFF Research Database (Denmark)

    Maree, J. P.; Imsland, L.; Jouffroy, J.

    2013-01-01

    This paper applies contraction theory to establish necessary conditions for contraction, hence, exponential convergence of the unscented Kalman-Bucy Filter. It follows that regions of contraction can subsequently be defined, given such necessary conditions. Both state and measurement models are I...

  13. Application of the Kalman Filter to Estimate the State of an Aerobraking Maneuver

    Directory of Open Access Journals (Sweden)

    Willer Gomes dos Santos

    2013-01-01

    Full Text Available This paper presents a study about the application of a Kalman filter to estimate the position and velocity of a spacecraft in an aerobraking maneuver around the Earth. The cis-lunar aerobraking of the Hiten spacecraft as well as an aerobraking in a LEO orbit are simulated in this paper. The simulator developed considers a reference trajectory and a trajectory perturbed by external disturbances combined with nonidealities of sensors and actuators. It is able to operate in closed loop controlling the trajectory at each instant of time using a PID controller and propulsive jets. A Kalman filter utilizes the sensor data to estimate the state of the spacecraft. The estimation algorithms and propagation equations used in this process are presented. The U.S. Standard Atmosphere is adopted as the atmospheric model. The main results are compared with the case where the Kalman filter is not used. Therefore, it was possible to perform an analysis of the Kalman filter importance applied to an aerobraking maneuver.

  14. Distance parameterization for efficient seismic history matching the ensemble Kalman Filters

    NARCIS (Netherlands)

    Leeuwenburgh, O.; Arts, R.J.

    2014-01-01

    The availability of multiple history matched models is essential for proper handling of uncertainty in determining the optimal development of producing hydrocarbon fields. The ensemble Kalman Filter in particular is becoming recognized as an efficient method for quantitative conditioning of multiple

  15. Distance parameterization for efficient seismic history matching with the ensemble Kalman Filter

    NARCIS (Netherlands)

    Leeuwenburgh, O.; Arts, R.

    2012-01-01

    The Ensemble Kalman Filter (EnKF), in combination with travel-time parameterization, provides a robust and flexible method for quantitative multi-model history matching to time-lapse seismic data. A disadvantage of the parameterization in terms of travel-times is that it requires simulation of model

  16. Inexpensive CubeSat attitude estimation using COTS components and Unscented Kalman Filtering

    DEFF Research Database (Denmark)

    Larsen, Jesper Abildgaard; Vinther, Kasper

    2011-01-01

    constraint requires a redesign of the Unscented Kalman Filter. Therefore, a quaternion error state is introduced. Emphasis has been put in making the implementation accessible to other CubeSat by using realistic models of COTS components used for attitude sensing and simulations have shown that the extra...

  17. Change detection in the dynamics of an intracellular protein synthesis model using nonlinear Kalman filtering.

    Science.gov (United States)

    Rigatos, Gerasimos G; Rigatou, Efthymia G; Djida, Jean Daniel

    2015-10-01

    A method for early diagnosis of parametric changes in intracellular protein synthesis models (e.g. the p53 protein - mdm2 inhibitor model) is developed with the use of a nonlinear Kalman Filtering approach (Derivative-free nonlinear Kalman Filter) and of statistical change detection methods. The intracellular protein synthesis dynamic model is described by a set of coupled nonlinear differential equations. It is shown that such a dynamical system satisfies differential flatness properties and this allows to transform it, through a change of variables (diffeomorphism), to the so-called linear canonical form. For the linearized equivalent of the dynamical system, state estimation can be performed using the Kalman Filter recursion. Moreover, by applying an inverse transformation based on the previous diffeomorphism it becomes also possible to obtain estimates of the state variables of the initial nonlinear model. By comparing the output of the Kalman Filter (which is assumed to correspond to the undistorted dynamical model) with measurements obtained from the monitored protein synthesis system, a sequence of differences (residuals) is obtained. The statistical processing of the residuals with the use of x2 change detection tests, can provide indication within specific confidence intervals about parametric changes in the considered biological system and consequently indications about the appearance of specific diseases (e.g. malignancies).

  18. [Characteristic wavelength variable optimization of near-infrared spectroscopy based on Kalman filtering].

    Science.gov (United States)

    Wang, Li-Qi; Ge, Hui-Fang; Li, Gui-Bin; Yu, Dian-Yu; Hu, Li-Zhi; Jiang, Lian-Zhou

    2014-04-01

    Combining classical Kalman filter with NIR analysis technology, a new method of characteristic wavelength variable selection, namely Kalman filtering method, is presented. The principle of Kalman filter for selecting optimal wavelength variable was analyzed. The wavelength selection algorithm was designed and applied to NIR detection of soybean oil acid value. First, the PLS (partial leastsquares) models were established by using different absorption bands of oil. The 4 472-5 000 cm(-1) characteristic band of oil acid value, including 132 wavelengths, was selected preliminarily. Then the Kalman filter was used to select characteristic wavelengths further. The PLS calibration model was established using selected 22 characteristic wavelength variables, the determination coefficient R2 of prediction set and RMSEP (root mean squared error of prediction) are 0.970 8 and 0.125 4 respectively, equivalent to that of 132 wavelengths, however, the number of wavelength variables was reduced to 16.67%. This algorithm is deterministic iteration, without complex parameters setting and randomicity of variable selection, and its physical significance was well defined. The modeling using a few selected characteristic wavelength variables which affected modeling effect heavily, instead of total spectrum, can make the complexity of model decreased, meanwhile the robustness of model improved. The research offered important reference for developing special oil near infrared spectroscopy analysis instruments on next step.

  19. Combination of Kalman Filtering Algorithm%一种组合式的Kalman滤波算法

    Institute of Scientific and Technical Information of China (English)

    余翔; 冯璐; 漆晶

    2013-01-01

    Because the noise impact and process signals in Kalman filtering can't be directly observed,a kind of combination of Kalman filtering algorithm is proposed.Firstly,the observation data is adaptively weighted fused.Secondly,the fusion results as a priori estimated value of the second step Kalman filtering is filtered.The adaptive algorithm combined with the Kalman algorithm improves the accuracy and precision.Finally,simulations confirme the effectiveness of the algorithm.%针对Kalman滤波算法在估计过程中存在噪声影响和过程信号无法直接观测等问题,提出一种组合式的Kalman滤波算法.首先对观测的数据进行自适应加权融合,然后将融合的结果作为第二级Kalman滤波的先验估计值,进行Kalman滤波.通过自适应算法与Kalman算法的组合算法进行数据融合,可以提高融合的准确度和精度.最后通过仿真证实算法的有效性.

  20. Nonlinear Kalman Filtering for acoustic emission source localization in anisotropic panels.

    Science.gov (United States)

    Dehghan Niri, E; Farhidzadeh, A; Salamone, S

    2014-02-01

    Nonlinear Kalman Filtering is an established field in applied probability and control systems, which plays an important role in many practical applications from target tracking to weather and climate prediction. However, its application for acoustic emission (AE) source localization has been very limited. In this paper, two well-known nonlinear Kalman Filtering algorithms are presented to estimate the location of AE sources in anisotropic panels: the Extended Kalman Filter (EKF) and Unscented Kalman Filter (UKF). These algorithms are applied to two cases: velocity profile known (CASE I) and velocity profile unknown (CASE II). The algorithms are compared with a more traditional nonlinear least squares method. Experimental tests are carried out on a carbon-fiber reinforced polymer (CFRP) composite panel instrumented with a sparse array of piezoelectric transducers to validate the proposed approaches. AE sources are simulated using an instrumented miniature impulse hammer. In order to evaluate the performance of the algorithms, two metrics are used: (1) accuracy of the AE source localization and (2) computational cost. Furthermore, it is shown that both EKF and UKF can provide a confidence interval of the estimated AE source location and can account for uncertainty in time of flight measurements.

  1. An Unscented Kalman Filter Approach to the Estimation of Nonlinear Dynamical Systems Models

    Science.gov (United States)

    Chow, Sy-Miin; Ferrer, Emilio; Nesselroade, John R.

    2007-01-01

    In the past several decades, methodologies used to estimate nonlinear relationships among latent variables have been developed almost exclusively to fit cross-sectional models. We present a relatively new estimation approach, the unscented Kalman filter (UKF), and illustrate its potential as a tool for fitting nonlinear dynamic models in two ways:…

  2. State of Charge Estimation of Lithium-Ion Batteries Using an Adaptive Cubature Kalman Filter

    Directory of Open Access Journals (Sweden)

    Bizhong Xia

    2015-06-01

    Full Text Available Accurate state of charge (SOC estimation is of great significance for a lithium-ion battery to ensure its safe operation and to prevent it from over-charging or over-discharging. However, it is difficult to get an accurate value of SOC since it is an inner sate of a battery cell, which cannot be directly measured. This paper presents an Adaptive Cubature Kalman filter (ACKF-based SOC estimation algorithm for lithium-ion batteries in electric vehicles. Firstly, the lithium-ion battery is modeled using the second-order resistor-capacitor (RC equivalent circuit and parameters of the battery model are determined by the forgetting factor least-squares method. Then, the Adaptive Cubature Kalman filter for battery SOC estimation is introduced and the estimated process is presented. Finally, two typical driving cycles, including the Dynamic Stress Test (DST and New European Driving Cycle (NEDC are applied to evaluate the performance of the proposed method by comparing with the traditional extended Kalman filter (EKF and cubature Kalman filter (CKF algorithms. Experimental results show that the ACKF algorithm has better performance in terms of SOC estimation accuracy, convergence to different initial SOC errors and robustness against voltage measurement noise as compared with the traditional EKF and CKF algorithms.

  3. Detecting land cover change using an extended Kalman filter on MODIS NDVI time-series data

    CSIR Research Space (South Africa)

    Kleynhans, W

    2011-05-01

    Full Text Available . The NDVI time series for each of these pixels was modeled as a triply (mean, phase, and amplitude) modulated cosine function, and an extended Kalman filter was used to estimate the parameters of the modulated cosine function through time. A spatial...

  4. Model-Based Engine Control Architecture with an Extended Kalman Filter

    Science.gov (United States)

    Csank, Jeffrey T.; Connolly, Joseph W.

    2016-01-01

    This paper discusses the design and implementation of an extended Kalman filter (EKF) for model-based engine control (MBEC). Previously proposed MBEC architectures feature an optimal tuner Kalman Filter (OTKF) to produce estimates of both unmeasured engine parameters and estimates for the health of the engine. The success of this approach relies on the accuracy of the linear model and the ability of the optimal tuner to update its tuner estimates based on only a few sensors. Advances in computer processing are making it possible to replace the piece-wise linear model, developed off-line, with an on-board nonlinear model running in real-time. This will reduce the estimation errors associated with the linearization process, and is typically referred to as an extended Kalman filter. The nonlinear extended Kalman filter approach is applied to the Commercial Modular Aero-Propulsion System Simulation 40,000 (C-MAPSS40k) and compared to the previously proposed MBEC architecture. The results show that the EKF reduces the estimation error, especially during transient operation.

  5. A partial ensemble Kalman filtering approach to enable use of range limited observations

    DEFF Research Database (Denmark)

    Borup, Morten; Grum, Morten; Madsen, Henrik;

    2015-01-01

    The ensemble Kalman filter (EnKF) relies on the assumption that an observed quantity can be regarded as a stochastic variable that is Gaussian distributed with mean and variance that equals the measurement and the measurement noise, respectively. When a gauge has a minimum and/or maximum detection...

  6. CONSISTENT USE OF THE KALMAN FILTER IN CHEMICAL TRANSPORT MODELS (CTMS) FOR DEDUCING EMISSIONS

    Science.gov (United States)

    Past research has shown that emissions can be deduced using observed concentrations of a chemical, a Chemical Transport Model (CTM), and the Kalman filter in an inverse modeling application. An expression was derived for the relationship between the "observable" (i.e., the con...

  7. Assimilating Remotely Sensed Surface Soil Moisture into SWAT using Ensemble Kalman Filter

    Science.gov (United States)

    In this study, a 1-D Ensemble Kalman Filter has been used to update the soil moisture states of the Soil and Water Assessment Tool (SWAT) model. Experiments were conducted for the Cobb Creek Watershed in southeastern Oklahoma for 2006-2008. Assimilation of in situ data proved limited success in the ...

  8. Correcting Unintended Perturbation Biases in Hydrologic Data Assimilation Using the Ensemble Kalman Filter

    Science.gov (United States)

    Recent advances in hydrologic data assimilation have demonstrated the value of remotely sensed surface soil moisture in improving forecasts of key hydrologic variables such as root-zone soil moisture and surface runoff. In hydrologic data assimilation, the ensemble Kalman filter (EnKF) provides a ro...

  9. Kalman filter for speech enhancement in cocktail party scenarios using a codebook-based approach

    DEFF Research Database (Denmark)

    Kavalekalam, Mathew Shaji; Christensen, Mads Græsbøll; Gran, Fredrik;

    2016-01-01

    Enhancement of speech in non-stationary background noise is a challenging task, and conventional single channel speech enhancement algorithms have not been able to improve the speech intelligibility in such scenarios. The work proposed in this paper investigates a single channel Kalman filter based...

  10. Parameters identification of the compound cage rotor induction machine based on linearized Kalman filtering

    Institute of Scientific and Technical Information of China (English)

    王铁成; 李伟力; 孙建伟

    2003-01-01

    A mathematical model has been built up for compound cage rotor induction machine with the rotor re-sistance and leakage inductance in the model identified through Kalman filtering method. Using the identifiedparameters, simulation studies are performed, and simulation results are compared with testing results.

  11. Kalman filter based data fusion for neutral axis tracking in wind turbine towers

    DEFF Research Database (Denmark)

    Soman, Rohan; Malinowski, Pawel; Ostachowicz, Wieslaw;

    2015-01-01

    downtime, hence increasing the availability of the system. The present work is based on the use of neutral axis (NA) for SHM of the structure. The NA is tracked by data fusion of measured yaw angle and strain through the use of Extended Kalman Filter (EKF). The EKF allows accurate tracking even...

  12. Correcting unintended perturbation biases in hydrologic data assimilation using Ensemble Kalman filter

    Science.gov (United States)

    Hydrologic data assimilation has become an important tool for improving hydrologic model predictions by utilizing observations from ground, aircraft, and satellite sensors. Among existing data assimilation methods, the ensemble Kalman filter (EnKF) provides a robust framework for optimally updating ...

  13. General formulation of process noise matrix for track fitting with Kalman filter

    CERN Document Server

    Bhattacharya, Kolahal; Mondal, Naba K

    2015-01-01

    In the context of track fitting problems by a Kalman filter, the general functional forms of the elements of the random noise matrix are derived for tracking through thick layers of materials and magnetic fields. This work generalizes the form of the random noise matrix obtained by Mankel[1].

  14. Crop model data assimilation with the Ensemble Kalman filter for improving regional crop yield forecasts

    NARCIS (Netherlands)

    Wit, de A.J.W.; Diepen, van C.A.

    2007-01-01

    Uncertainty in spatial and temporal distribution of rainfall in regional crop yield simulations comprises a major fraction of the error on crop model simulation results. In this paper we used an Ensemble Kalman filter (EnKF) to assimilate coarse resolution satellite microwave sensor derived soil

  15. Tracking and convergence of multi-channel kalman filters for active noise control

    NARCIS (Netherlands)

    Berkhoff, A.; Ophem, S. van

    2013-01-01

    The feed-forward broadband active noise control problem can be formulated as a state estimation problem to achieve a faster rate of convergence than the filtered reference least mean squares algorithm and possibly also a better tracking performance. A multiple input/multiple output Kalman algorithm

  16. Tracking and convergence of multi-channel Kalman filters for active noise control

    NARCIS (Netherlands)

    Berkhoff, A.P.; Ophem, S. van

    2013-01-01

    The feed-forward broadband active noise control problem can be formulated as a state estimation problem to achieve a faster rate of convergence than the filtered reference least mean squares algorithm and possibly also a better tracking performance. A multiple input/multiple output Kalman algorithm

  17. Data Assimilation for Wildland Fires: Ensemble Kalman filters in coupled atmosphere-surface models

    OpenAIRE

    Mandel, Jan; Beezley, Jonathan D.; Coen, Janice L.; Kim, Minjeong

    2007-01-01

    Two wildland fire models are described, one based on reaction-diffusion-convection partial differential equations, and one based on semi-empirical fire spread by the level let method. The level set method model is coupled with the Weather Research and Forecasting (WRF) atmospheric model. The regularized and the morphing ensemble Kalman filter are used for data assimilation.

  18. Data Assimilation for Wildland Fires: Ensemble Kalman filters in coupled atmosphere-surface models

    CERN Document Server

    Mandel, Jan; Coen, Janice L; Kim, Minjeong

    2007-01-01

    Two wildland fire models are described, one based on reaction-diffusion-convection partial differential equations, and one based on empirical fire spread by the level let method. The level set method model is coupled with the Weather Research and Forecasting (WRF) atmospheric model. The regularized and the morphing ensemble Kalman filter are used for data assimilation.

  19. Software alignment of the BESⅢ main drift chamber using the Kalman Filter method

    Institute of Scientific and Technical Information of China (English)

    WANG Ji-Ke; MAO Ze-Pu; BIAN Jian-Ming; CAO Guo-Fu; CAO Xue-Xiang; CHEN Shen-Jian; DENG Zi-Yan; FU Cheng-Dong; GAO Yuan-Ning; HE Kang-Lin; HE Miao; HUA Chun-Fei; HUANG Bin; HUANG Xing-Tao; JI Xiao-Bin; LI Fei; LI Hai-Bo; LI Wei-Dong; LIANG Yu-Tie; LIU Chun-Xiu; LIU Huai-Min; LIU Suo; LIU Ying-Jie; MA Qiu-Mei; MA Xiang; MAO Ya-Jun; MO Xiao-Hu; PAN Ming-Hua; PANG Cai-Ying; PING Rong-Gang; QIN Ya-Hong; QIU Jin-Fa; SUN Sheng-Sen; SUN Yong-Zhao; WANG Liang-Liang; WEN Shuo-Pin; WU Ling-Hui; XIE Yu-Guang; XU Min; YAN Liang; YOU Zheng-Yun; YUAN Chang-Zheng; YUAN Ye; ZHANG Bing-Yun; ZHANG Chang-Chun; ZHANG Jian-Yong; ZHANG Xue-Yao; ZHANG Yao; ZHENG Yang-Heng; ZHU Ke-Jun; ZHU Yong-Sheng; ZHU Zhi-Li; ZOU Jia-Heng

    2009-01-01

    Software alignment is quite important for a tracking detector to reach its ultimate position accuracy and momentum resolution. We developed a new alignment algorithm for the BESⅢ Main Drift Chamber using the Kalman Filter method. Two different types of data which are helix tracks and straight tracks are used to test this algorithm, and the results show that the design and implementation is successful.

  20. The use of the Kalman filter in the automated segmentation of EIT lung images.

    Science.gov (United States)

    Zifan, A; Liatsis, P; Chapman, B E

    2013-06-01

    In this paper, we present a new pipeline for the fast and accurate segmentation of impedance images of the lungs using electrical impedance tomography (EIT). EIT is an emerging, promising, non-invasive imaging modality that produces real-time, low spatial but high temporal resolution images of impedance inside a body. Recovering impedance itself constitutes a nonlinear ill-posed inverse problem, therefore the problem is usually linearized, which produces impedance-change images, rather than static impedance ones. Such images are highly blurry and fuzzy along object boundaries. We provide a mathematical reasoning behind the high suitability of the Kalman filter when it comes to segmenting and tracking conductivity changes in EIT lung images. Next, we use a two-fold approach to tackle the segmentation problem. First, we construct a global lung shape to restrict the search region of the Kalman filter. Next, we proceed with augmenting the Kalman filter by incorporating an adaptive foreground detection system to provide the boundary contours for the Kalman filter to carry out the tracking of the conductivity changes as the lungs undergo deformation in a respiratory cycle. The proposed method has been validated by using performance statistics such as misclassified area, and false positive rate, and compared to previous approaches. The results show that the proposed automated method can be a fast and reliable segmentation tool for EIT imaging.

  1. An optimized solution of multi-criteria evaluation analysis of landslide susceptibility using fuzzy sets and Kalman filter

    Science.gov (United States)

    Gorsevski, Pece V.; Jankowski, Piotr

    2010-08-01

    The Kalman recursive algorithm has been very widely used for integrating navigation sensor data to achieve optimal system performances. This paper explores the use of the Kalman filter to extend the aggregation of spatial multi-criteria evaluation (MCE) and to find optimal solutions with respect to a decision strategy space where a possible decision rule falls. The approach was tested in a case study in the Clearwater National Forest in central Idaho, using existing landslide datasets from roaded and roadless areas and terrain attributes. In this approach, fuzzy membership functions were used to standardize terrain attributes and develop criteria, while the aggregation of the criteria was achieved by the use of a Kalman filter. The approach presented here offers advantages over the classical MCE theory because the final solution includes both the aggregated solution and the areas of uncertainty expressed in terms of standard deviation. A comparison of this methodology with similar approaches suggested that this approach is promising for predicting landslide susceptibility and further application as a spatial decision support system.

  2. Application of intelligent Kalman filter to under-water terrain integrated navigation system%智能Kalman滤波在水下地形组合导航系统中的应用

    Institute of Scientific and Technical Information of China (English)

    李佩娟; 徐晓苏; 张小飞

    2011-01-01

    为了避免现实环境的动态变化对水下航行器系统模型造成的随机干扰影响,保证水下航行器长时间导航精度的稳定性,提出了利用RBF神经网络辅助联邦Kalman滤波方法对SINS /TAN/ DVL/ MCP组合导航系统进行信息融合.给出了各子导航系统的误差模型,通过足够精度的样本对前向神经网络进行离线训练,建立神经网络控制模型.仿真结果表明,该方法可使水下航行器的系统状态在较短的时间内以较高的精度达到稳定.通过与联邦Kalman滤波结果对比表明,采用智能控制方法辅助的信息融合方式的导航定位精度提高了一倍,能有效提高常规联邦Kalman滤波器的自适应能力,达到减小误差,提高精度的目的.%In order to avoid the random effects of the underwater vehicle system model caused by the real dynamics of the environment, a RBF neural network aided federated Kalman filter is proposed to fuse the navigation information from various navigation sensors (such as SINS, TAN, DVL and MCP) to improve the navigation accuracy. Error models of navigation systems are proposed and a neural network model is set up via offline training with enough precise samples. Simulation experiments prove that the AUV navigation accuracy can attain high stability in a short period by the proposed method. By comparing the filtering results with the federated Kalman filter, it is shown that the proposed method can effectively improve the adaptivity, and the navigation precision is doubled.

  3. A new Approach for Kalman filtering on Mobile Robots in the presence of uncertainties

    DEFF Research Database (Denmark)

    Larsen, Thomas Dall; Andersen, Nils Axel; Ravn, Ole

    1999-01-01

    In many practical Kalman filter applications, the quantity of most significance for the estimation error is the process noise matrix. When filters are stabilized or performance is sought to be improved, tuning of this matrix is the most common method. This tuning process cannot be done before...... the filter is implemented, as it is primarily made necessary by modelling errors. In this paper, two different methods for modelling the process noise are described and evaluated; a traditional one based on Gaussian noise models and a new one based on propagating modelling uncertainties. We discuss which...... method to use and how to tune the filter to achieve the lowest estimation error....

  4. Noise Removing of Audio Speech Signals by Means of Kalman Filter

    Directory of Open Access Journals (Sweden)

    Soleyman Shirzadi

    2016-06-01

    Full Text Available Nowadays, multimedia (audio and video processing is among the most important subjects discussed in engineering sciences. To apply digital filters, especially adapting filters, in the above process, are of crucial importance. Theory of adapting filters such as that of Wiener or Kalman, have been fully discussed within the continuous field, the same as in discrete-time one; in spite of this, due to the presence of computers and digital processors, the adaptable filters defiantly have more efficiency in continuous field rather than discrete-time filed. One digital filter along with an adaptable algorithm is usually applied in adaptable filters so that the filter factor can be determined by means of adaptable algorithm. In the present article the Kalman filter-which counts as one of the best filters- has been surveyed whose appropriate factors is being calculated to design a efficient filter. First of all a sample signal is randomly selected which can be the same as an Autoregressive signal. Then a merely random Gaussian noise is applied on Autoregressive signal; and consequently the noisy signal is analyzed. As soon as we analyze the noise removed. The aforesaid operation has been assimilated through the Matlab software. The results have been demonstrated as well.

  5. Variable-State-Dimension Kalman-Based Filter for Orientation Determination Using Inertial and Magnetic Sensors

    Directory of Open Access Journals (Sweden)

    Angelo Maria Sabatini

    2012-06-01

    Full Text Available In this paper a quaternion-based Variable-State-Dimension Extended Kalman Filter (VSD-EKF is developed for estimating the three-dimensional orientation of a rigid body using the measurements from an Inertial Measurement Unit (IMU integrated with a triaxial magnetic sensor. Gyro bias and magnetic disturbances are modeled and compensated by including them in the filter state vector. The VSD-EKF switches between a quiescent EKF, where the magnetic disturbance is modeled as a first-order Gauss-Markov stochastic process (GM-1, and a higher-order EKF where extra state components are introduced to model the time-rate of change of the magnetic field as a GM-1 stochastic process, namely the magnetic disturbance is modeled as a second-order Gauss-Markov stochastic process (GM-2. Experimental validation tests show the effectiveness of the VSD-EKF, as compared to either the quiescent EKF or the higher-order EKF when they run separately.

  6. A Kalman Filter for SINS Self-Alignment Based on Vector Observation.

    Science.gov (United States)

    Xu, Xiang; Xu, Xiaosu; Zhang, Tao; Li, Yao; Tong, Jinwu

    2017-01-29

    In this paper, a self-alignment method for strapdown inertial navigation systems based on the q-method is studied. In addition, an improved method based on integrating gravitational apparent motion to form apparent velocity is designed, which can reduce the random noises of the observation vectors. For further analysis, a novel self-alignment method using a Kalman filter based on adaptive filter technology is proposed, which transforms the self-alignment procedure into an attitude estimation using the observation vectors. In the proposed method, a linear psuedo-measurement equation is adopted by employing the transfer method between the quaternion and the observation vectors. Analysis and simulation indicate that the accuracy of the self-alignment is improved. Meanwhile, to improve the convergence rate of the proposed method, a new method based on parameter recognition and a reconstruction algorithm for apparent gravitation is devised, which can reduce the influence of the random noises of the observation vectors. Simulations and turntable tests are carried out, and the results indicate that the proposed method can acquire sound alignment results with lower standard variances, and can obtain higher alignment accuracy and a faster convergence rate.

  7. A Bayesian consistent dual ensemble Kalman filter for state-parameter estimation in subsurface hydrology

    Science.gov (United States)

    Ait-El-Fquih, Boujemaa; El Gharamti, Mohamad; Hoteit, Ibrahim

    2016-08-01

    Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The joint EnKF directly updates the augmented state-parameter vector, whereas the dual EnKF empirically employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. To develop a Bayesian consistent dual approach and improve the state-parameter estimates and their consistency, we propose in this paper a one-step-ahead (OSA) smoothing formulation of the state-parameter Bayesian filtering problem from which we derive a new dual-type EnKF, the dual EnKFOSA. Compared with the standard dual EnKF, it imposes a new update step to the state, which is shown to enhance the performance of the dual approach with almost no increase in the computational cost. Numerical experiments are conducted with a two-dimensional (2-D) synthetic groundwater aquifer model to investigate the performance and robustness of the proposed dual EnKFOSA, and to evaluate its results against those of the joint and dual EnKFs. The proposed scheme is able to successfully recover both the hydraulic head and the aquifer conductivity, providing further reliable estimates of their uncertainties. Furthermore, it is found to be more robust to different assimilation settings, such as the spatial and temporal distribution of the observations, and the level of noise in the data. Based on our experimental setups, it yields up to 25 % more accurate state and parameter estimations than the joint and dual approaches.

  8. A Bayesian consistent dual ensemble Kalman filter for state-parameter estimation in subsurface hydrology

    KAUST Repository

    Ait-El-Fquih, Boujemaa

    2016-08-12

    Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface ground-water models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model\\'s state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The joint EnKF directly updates the augmented state-parameter vector, whereas the dual EnKF empirically employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. To develop a Bayesian consistent dual approach and improve the state-parameter estimates and their consistency, we propose in this paper a one-step-ahead (OSA) smoothing formulation of the state-parameter Bayesian filtering problem from which we derive a new dual-type EnKF, the dual EnKF(OSA). Compared with the standard dual EnKF, it imposes a new update step to the state, which is shown to enhance the performance of the dual approach with almost no increase in the computational cost. Numerical experiments are conducted with a two-dimensional (2-D) synthetic groundwater aquifer model to investigate the performance and robustness of the proposed dual EnKFOSA, and to evaluate its results against those of the joint and dual EnKFs. The proposed scheme is able to successfully recover both the hydraulic head and the aquifer conductivity, providing further reliable estimates of their uncertainties. Furthermore, it is found to be more robust to different assimilation settings, such as the spatial and temporal distribution of the observations, and the level of noise in the data. Based on our experimental setups, it yields up to 25% more accurate state and parameter estimations than the joint and dual approaches.

  9. Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Processors and GPUs

    Science.gov (United States)

    Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; Masciovecchio, Mario; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi

    2017-08-01

    For over a decade now, physical and energy constraints have limited clock speed improvements in commodity microprocessors. Instead, chipmakers have been pushed into producing lower-power, multi-core processors such as Graphical Processing Units (GPU), ARM CPUs, and Intel MICs. Broad-based efforts from manufacturers and developers have been devoted to making these processors user-friendly enough to perform general computations. However, extracting performance from a larger number of cores, as well as specialized vector or SIMD units, requires special care in algorithm design and code optimization. One of the most computationally challenging problems in high-energy particle experiments is finding and fitting the charged-particle tracks during event reconstruction. This is expected to become by far the dominant problem at the High-Luminosity Large Hadron Collider (HL-LHC), for example. Today the most common track finding methods are those based on the Kalman filter. Experience with Kalman techniques on real tracking detector systems has shown that they are robust and provide high physics performance. This is why they are currently in use at the LHC, both in the trigger and offine. Previously we reported on the significant parallel speedups that resulted from our investigations to adapt Kalman filters to track fitting and track building on Intel Xeon and Xeon Phi. Here, we discuss our progresses toward the understanding of these processors and the new developments to port the Kalman filter to NVIDIA GPUs.

  10. Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Processors and GPUs

    Directory of Open Access Journals (Sweden)

    Cerati Giuseppe

    2017-01-01

    Full Text Available For over a decade now, physical and energy constraints have limited clock speed improvements in commodity microprocessors. Instead, chipmakers have been pushed into producing lower-power, multi-core processors such as Graphical Processing Units (GPU, ARM CPUs, and Intel MICs. Broad-based efforts from manufacturers and developers have been devoted to making these processors user-friendly enough to perform general computations. However, extracting performance from a larger number of cores, as well as specialized vector or SIMD units, requires special care in algorithm design and code optimization. One of the most computationally challenging problems in high-energy particle experiments is finding and fitting the charged-particle tracks during event reconstruction. This is expected to become by far the dominant problem at the High-Luminosity Large Hadron Collider (HL-LHC, for example. Today the most common track finding methods are those based on the Kalman filter. Experience with Kalman techniques on real tracking detector systems has shown that they are robust and provide high physics performance. This is why they are currently in use at the LHC, both in the trigger and offine. Previously we reported on the significant parallel speedups that resulted from our investigations to adapt Kalman filters to track fitting and track building on Intel Xeon and Xeon Phi. Here, we discuss our progresses toward the understanding of these processors and the new developments to port the Kalman filter to NVIDIA GPUs.

  11. Observability Analysis of a Matrix Kalman Filter-Based Navigation System Using Visual/Inertial/Magnetic Sensors

    Directory of Open Access Journals (Sweden)

    Guohu Feng

    2012-06-01

    Full Text Available A matrix Kalman filter (MKF has been implemented for an integrated navigation system using visual/inertial/magnetic sensors. The MKF rearranges the original nonlinear process model in a pseudo-linear process model. We employ the observability rank criterion based on Lie derivatives to verify the conditions under which the nonlinear system is observable. It has been proved that such observability conditions are: (a at least one degree of rotational freedom is excited, and (b at least two linearly independent horizontal lines and one vertical line are observed. Experimental results have validated the correctness of these observability conditions.

  12. A One-Step-Ahead Smoothing-Based Joint Ensemble Kalman Filter for State-Parameter Estimation of Hydrological Models

    KAUST Repository

    El Gharamti, Mohamad

    2015-11-26

    The ensemble Kalman filter (EnKF) recursively integrates field data into simulation models to obtain a better characterization of the model’s state and parameters. These are generally estimated following a state-parameters joint augmentation strategy. In this study, we introduce a new smoothing-based joint EnKF scheme, in which we introduce a one-step-ahead smoothing of the state before updating the parameters. Numerical experiments are performed with a two-dimensional synthetic subsurface contaminant transport model. The improved performance of the proposed joint EnKF scheme compared to the standard joint EnKF compensates for the modest increase in the computational cost.

  13. Robust double gain unscented Kalman filter for small satellite attitude estimation

    Science.gov (United States)

    Cao, Lu; Yang, Weiwei; Li, Hengnian; Zhang, Zhidong; Shi, Jianjun

    2017-08-01

    Limited by the low precision of small satellite sensors, the estimation theories with high performance remains the most popular research topic for the attitude estimation. The Kalman filter (KF) and its extensions have been widely applied in the satellite attitude estimation and achieved plenty of achievements. However, most of the existing methods just take use of the current time-step's priori measurement residuals to complete the measurement update and state estimation, which always ignores the extraction and utilization of the previous time-step's posteriori measurement residuals. In addition, the uncertainty model errors always exist in the attitude dynamic system, which also put forward the higher performance requirements for the classical KF in attitude estimation problem. Therefore, the novel robust double gain unscented Kalman filter (RDG-UKF) is presented in this paper to satisfy the above requirements for the small satellite attitude estimation with the low precision sensors. It is assumed that the system state estimation errors can be exhibited in the measurement residual; therefore, the new method is to derive the second Kalman gain Kk2 for making full use of the previous time-step's measurement residual to improve the utilization efficiency of the measurement data. Moreover, the sequence orthogonal principle and unscented transform (UT) strategy are introduced to robust and enhance the performance of the novel Kalman Filter in order to reduce the influence of existing uncertainty model errors. Numerical simulations show that the proposed RDG-UKF is more effective and robustness in dealing with the model errors and low precision sensors for the attitude estimation of small satellite by comparing with the classical unscented Kalman Filter (UKF).

  14. Accounting for model error due to unresolved scales within ensemble Kalman filtering

    CERN Document Server

    Mitchell, Lewis

    2014-01-01

    We propose a method to account for model error due to unresolved scales in the context of the ensemble transform Kalman filter (ETKF). The approach extends to this class of algorithms the deterministic model error formulation recently explored for variational schemes and extended Kalman filter. The model error statistic required in the analysis update is estimated using historical reanalysis increments and a suitable model error evolution law. Two different versions of the method are described; a time-constant model error treatment where the same model error statistical description is time-invariant, and a time-varying treatment where the assumed model error statistics is randomly sampled at each analysis step. We compare both methods with the standard method of dealing with model error through inflation and localization, and illustrate our results with numerical simulations on a low order nonlinear system exhibiting chaotic dynamics. The results show that the filter skill is significantly improved through th...

  15. Pico satellite attitude estimation via Robust Unscented Kalman Filter in the presence of measurement faults.

    Science.gov (United States)

    Soken, Halil Ersin; Hajiyev, Chingiz

    2010-07-01

    In the normal operation conditions of a pico satellite, a conventional Unscented Kalman Filter (UKF) gives sufficiently good estimation results. However, if the measurements are not reliable because of any kind of malfunction in the estimation system, UKF gives inaccurate results and diverges by time. This study introduces Robust Unscented Kalman Filter (RUKF) algorithms with the filter gain correction for the case of measurement malfunctions. By the use of defined variables named as measurement noise scale factor, the faulty measurements are taken into consideration with a small weight, and the estimations are corrected without affecting the characteristics of the accurate ones. Two different RUKF algorithms, one with single scale factor and one with multiple scale factors, are proposed and applied for the attitude estimation process of a pico satellite. The results of these algorithms are compared for different types of measurement faults in different estimation scenarios and recommendations about their applications are given.

  16. Kalman filter of the force signal of identifying weld seam in remote teaching

    Institute of Scientific and Technical Information of China (English)

    Liu Lijun; Zhu Ronghua; Zhang Guangjun; Gao Hongming; Wu Lin

    2008-01-01

    For reasons of the vibration of robot, the rough surface of weld seam and electromagnetic disturbance of welding machine, the force signals of identifying weld seam become unstable. The position error of remote teaching point is too big to meet teaching requirements in remote welding. The force signals of identifying weld seam can be filtered by Kalman. The force signals of identifying weld seam of next teaching point is accurately predicted according to predicting algorithms, such as the equation of the state, the equation of the observation, the gain matrix of the filter and the covariance matrix of predicting state. The experimental results show that the precision of identifying weld seam is improved by Kalman filter.

  17. A cognition-based method to ease the computational load for an extended Kalman filter.

    Science.gov (United States)

    Li, Yanpeng; Li, Xiang; Deng, Bin; Wang, Hongqiang; Qin, Yuliang

    2014-12-03

    The extended Kalman filter (EKF) is the nonlinear model of a Kalman filter (KF). It is a useful parameter estimation method when the observation model and/or the state transition model is not a linear function. However, the computational requirements in EKF are a difficulty for the system. With the help of cognition-based designation and the Taylor expansion method, a novel algorithm is proposed to ease the computational load for EKF in azimuth predicting and localizing under a nonlinear observation model. When there are nonlinear functions and inverse calculations for matrices, this method makes use of the major components (according to current performance and the performance requirements) in the Taylor expansion. As a result, the computational load is greatly lowered and the performance is ensured. Simulation results show that the proposed measure will deliver filtering output with a similar precision compared to the regular EKF. At the same time, the computational load is substantially lowered.

  18. Incorporation of Time Delayed Measurements in a Discrete-time Kalman Filter

    DEFF Research Database (Denmark)

    Larsen, Thomas Dall; Andersen, Nils Axel; Ravn, Ole;

    1998-01-01

    In many practical systems there is a delay in some of the sensor devices, for instance vision measurements that may have a long processing time. How to fuse these measurements in a Kalman filter is not a trivial problem if the computational delay is critical. Depending on how much time...... using past and present estimates of the Kalman filter and calculating an optimal gain for this extrapolated measurement...... there is at hand, the designer has to make trade offs between optimality and computational burden of the filter. In this paper various methods in the literature along with a new method proposed by the authors will be presented and compared. The new method is based on “extrapolating” the measurement to present time...

  19. Multi-sensor Data Processing and Fusing Based on Kalman Filtering

    Directory of Open Access Journals (Sweden)

    Bian Guangrong

    2013-01-01

    Full Text Available The background of this paper is the warehouse target localization and tracking system which is composed of a number of wireless sensor nodes. Firstly this paper established a model of warehouse target localization and tracking system, then a model of multi-sensor data preprocessing and data fusion was established, and self-adaptive linear recursive method was used to eliminate outliers of the original measured data. Then least squares fitting filter was used to do filtering and denoising for the measured data. In the end, the data which were measured by multi-sensor can be fused by Kalman Filtering algorithm. Data simulation analysis shows that the use of kalman filtering algorithm for the fusion of the data measured by multi-sensor is to obtain more accurate warehouse target location data, so as to increase the positioning and tracking accuracy of the warehouse target localization and tracking system. Key Words:Wireless Sensor Network,Data Fusion,Kalman Filtering

  20. Gravity Matching Aided Inertial Navigation Technique Based on Marginal Robust Unscented Kalman Filter

    Directory of Open Access Journals (Sweden)

    Ming Liu

    2015-01-01

    Full Text Available This paper is concerned with the topic of gravity matching aided inertial navigation technology using Kalman filter. The dynamic state space model for Kalman filter is constructed as follows: the error equation of the inertial navigation system is employed as the process equation while the local gravity model based on 9-point surface interpolation is employed as the observation equation. The unscented Kalman filter is employed to address the nonlinearity of the observation equation. The filter is refined in two ways as follows. The marginalization technique is employed to explore the conditionally linear substructure to reduce the computational load; specifically, the number of the needed sigma points is reduced from 15 to 5 after this technique is used. A robust technique based on Chi-square test is employed to make the filter insensitive to the uncertainties in the above constructed observation model. Numerical simulation is carried out, and the efficacy of the proposed method is validated by the simulation results.

  1. Conservation of Mass and Preservation of Positivity with Ensemble-Type Kalman Filter Algorithms

    Science.gov (United States)

    Janjic, Tijana; Mclaughlin, Dennis; Cohn, Stephen E.; Verlaan, Martin

    2014-01-01

    This paper considers the incorporation of constraints to enforce physically based conservation laws in the ensemble Kalman filter. In particular, constraints are used to ensure that the ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. In certain situations filtering algorithms such as the ensemble Kalman filter (EnKF) and ensemble transform Kalman filter (ETKF) yield updated ensembles that conserve mass but are negative, even though the actual states must be nonnegative. In such situations if negative values are set to zero, or a log transform is introduced, the total mass will not be conserved. In this study, mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate non-negativity constraints. Simple numerical experiments indicate that this approach can have a significant positive impact on the posterior ensemble distribution, giving results that are more physically plausible both for individual ensemble members and for the ensemble mean. In two examples, an update that includes a non-negativity constraint is able to properly describe the transport of a sharp feature (e.g., a triangle or cone). A number of implementation questions still need to be addressed, particularly the need to develop a computationally efficient quadratic programming update for large ensemble.

  2. Fault estimation of satellite reaction wheels using covariance based adaptive unscented Kalman filter

    Science.gov (United States)

    Rahimi, Afshin; Kumar, Krishna Dev; Alighanbari, Hekmat

    2017-05-01

    Reaction wheels, as one of the most commonly used actuators in satellite attitude control systems, are prone to malfunction which could lead to catastrophic failures. Such malfunctions can be detected and addressed in time if proper analytical redundancy algorithms such as parameter estimation and control reconfiguration are employed. Major challenges in parameter estimation include speed and accuracy of the employed algorithm. This paper presents a new approach for improving parameter estimation with adaptive unscented Kalman filter. The enhancement in tracking speed of unscented Kalman filter is achieved by systematically adapting the covariance matrix to the faulty estimates using innovation and residual sequences combined with an adaptive fault annunciation scheme. The proposed approach provides the filter with the advantage of tracking sudden changes in the system non-measurable parameters accurately. Results showed successful detection of reaction wheel malfunctions without requiring a priori knowledge about system performance in the presence of abrupt, transient, intermittent, and incipient faults. Furthermore, the proposed approach resulted in superior filter performance with less mean squared errors for residuals compared to generic and adaptive unscented Kalman filters, and thus, it can be a promising method for the development of fail-safe satellites.

  3. STATISTICAL CHARACTERISTICS INVESTIGATION OF PREDICTION ERRORS FOR INTERFEROMETRIC SIGNAL IN THE ALGORITHM OF NONLINEAR KALMAN FILTERING

    Directory of Open Access Journals (Sweden)

    E. L. Dmitrieva

    2016-05-01

    Full Text Available Basic peculiarities of nonlinear Kalman filtering algorithm applied to processing of interferometric signals are considered. Analytical estimates determining statistical characteristics of signal values prediction errors were obtained and analysis of errors histograms taking into account variations of different parameters of interferometric signal was carried out. Modeling of the signal prediction procedure with known fixed parameters and variable parameters of signal in the algorithm of nonlinear Kalman filtering was performed. Numerical estimates of prediction errors for interferometric signal values were obtained by formation and analysis of the errors histograms under the influence of additive noise and random variations of amplitude and frequency of interferometric signal. Nonlinear Kalman filter is shown to provide processing of signals with randomly variable parameters, however, it does not take into account directly the linearization error of harmonic function representing interferometric signal that is a filtering error source. The main drawback of the linear prediction consists in non-Gaussian statistics of prediction errors including cases of random deviations of signal amplitude and/or frequency. When implementing stochastic filtering of interferometric signals, it is reasonable to use prediction procedures based on local statistics of a signal and its parameters taken into account.

  4. Low-rank Kalman filtering for efficient state estimation of subsurface advective contaminant transport models

    KAUST Repository

    El Gharamti, Mohamad

    2012-04-01

    Accurate knowledge of the movement of contaminants in porous media is essential to track their trajectory and later extract them from the aquifer. A two-dimensional flow model is implemented and then applied on a linear contaminant transport model in the same porous medium. Because of different sources of uncertainties, this coupled model might not be able to accurately track the contaminant state. Incorporating observations through the process of data assimilation can guide the model toward the true trajectory of the system. The Kalman filter (KF), or its nonlinear invariants, can be used to tackle this problem. To overcome the prohibitive computational cost of the KF, the singular evolutive Kalman filter (SEKF) and the singular fixed Kalman filter (SFKF) are used, which are variants of the KF operating with low-rank covariance matrices. Experimental results suggest that under perfect and imperfect model setups, the low-rank filters can provide estimates as accurate as the full KF but at much lower computational effort. Low-rank filters are demonstrated to significantly reduce the computational effort of the KF to almost 3%. © 2012 American Society of Civil Engineers.

  5. Derivative free Kalman filtering used for orchard navigation

    DEFF Research Database (Denmark)

    Hansen, Søren; Bayramoglu, Enis; Andersen, Jens Christian

    2010-01-01

    In this paper the use of derivative free filters for mobile robot localisation is investigated. Three different filters are tested on real life data from an autonomous tractor running in an orchard environment. The localisation algorithm fuses odometry and gyro measurements with line features...

  6. Dual Extended Kalman Filter for the Identification of Time-Varying Human Manual Control Behavior

    Science.gov (United States)

    Popovici, Alexandru; Zaal, Peter M. T.; Pool, Daan M.

    2017-01-01

    A Dual Extended Kalman Filter was implemented for the identification of time-varying human manual control behavior. Two filters that run concurrently were used, a state filter that estimates the equalization dynamics, and a parameter filter that estimates the neuromuscular parameters and time delay. Time-varying parameters were modeled as a random walk. The filter successfully estimated time-varying human control behavior in both simulated and experimental data. Simple guidelines are proposed for the tuning of the process and measurement covariance matrices and the initial parameter estimates. The tuning was performed on simulation data, and when applied on experimental data, only an increase in measurement process noise power was required in order for the filter to converge and estimate all parameters. A sensitivity analysis to initial parameter estimates showed that the filter is more sensitive to poor initial choices of neuromuscular parameters than equalization parameters, and bad choices for initial parameters can result in divergence, slow convergence, or parameter estimates that do not have a real physical interpretation. The promising results when applied to experimental data, together with its simple tuning and low dimension of the state-space, make the use of the Dual Extended Kalman Filter a viable option for identifying time-varying human control parameters in manual tracking tasks, which could be used in real-time human state monitoring and adaptive human-vehicle haptic interfaces.

  7. An Unscented Kalman-Particle Hybrid Filter for Space Object Tracking

    Science.gov (United States)

    Raihan A. V, Dilshad; Chakravorty, Suman

    2017-04-01

    Optimal and consistent estimation of the state of space objects is pivotal to surveillance and tracking applications. However, probabilistic estimation of space objects is made difficult by the non-Gaussianity and nonlinearity associated with orbital mechanics. In this paper, we present an unscented Kalman-particle hybrid filtering framework for recursive Bayesian estimation of space objects. The hybrid filtering scheme is designed to provide accurate and consistent estimates when measurements are sparse without incurring a large computational cost. It employs an unscented Kalman filter (UKF) for estimation when measurements are available. When the target is outside the field of view (FOV) of the sensor, it updates the state probability density function (PDF) via a sequential Monte Carlo method. The hybrid filter addresses the problem of particle depletion through a suitably designed filter transition scheme. To assess the performance of the hybrid filtering approach, we consider two test cases of space objects that are assumed to undergo full three dimensional orbital motion under the effects of J 2 and atmospheric drag perturbations. It is demonstrated that the hybrid filters can furnish fast, accurate and consistent estimates outperforming standard UKF and particle filter (PF) implementations.

  8. Reduction of power line interference in electrocardiographic signals by dual Kalman filtering

    Directory of Open Access Journals (Sweden)

    Luis David Avendaño Valencia

    2010-04-01

    Full Text Available This paper presents a filter for reducing powerline interference in electrocardiographic signals (ECG, based on dual parameter and state estimation using with a Kalman filter. Two models were used to represent power-line interference and ECG signal. Both models were combined to simulate the ECG signal whose state was estimated for separating the ECG signal from the interference. The proposed algorithm was fine-tuned and compared using a set of tests relying on the QT arrhythmia database. Tuning tests were done for tracking clean ECG; these results were used for setting the algorithm’s parameters for later filtering tests. Exhaustive filtering tests were carried out on artificially corrupted database registers for given signal to noise ratios; performance curves were thus obtained, leading to comparing the proposed algorithm with other filtering methods. The proposed algorithm was compared to an recursive infinite impulse response filter (IIR and a Kalman filter based on a simpler model. A filtering algorithm was thus obtained which is robust for changes in interference amplitude and keeps these properties for different types of ECG morphologies.

  9. Real-time muscle state estimation from EMG signals during isometric contractions using Kalman filters.

    Science.gov (United States)

    Menegaldo, Luciano L

    2017-08-01

    State-space control of myoelectric devices and real-time visualization of muscle forces in virtual rehabilitation require measuring or estimating muscle dynamic states: neuromuscular activation, tendon force and muscle length. This paper investigates whether regular (KF) and extended Kalman filters (eKF), derived directly from Hill-type muscle mechanics equations, can be used as real-time muscle state estimators for isometric contractions using raw electromyography signals (EMG) as the only available measurement. The estimators' amplitude error, computational cost, filtering lags and smoothness are compared with usual EMG-driven analysis, performed offline, by integrating the nonlinear Hill-type muscle model differential equations (offline simulations-OS). EMG activity of the three triceps surae components (soleus, gastrocnemius medialis and gastrocnemius lateralis), in three torque levels, was collected for ten subjects. The actualization interval (AI) between two updates of the KF and eKF was also varied. The results show that computational costs are significantly reduced (70x for KF and 17[Formula: see text] for eKF). The filtering lags presented sharp linear relationships with the AI (0-300 ms), depending on the state and activation level. Under maximum excitation, amplitude errors varied in the range 10-24% for activation, 5-8% for tendon force and 1.4-1.8% for muscle length, reducing linearly with the excitation level. Smoothness, measured by the ratio between the average standard variations of KF/eKF and OS estimations, was greatly reduced for activation but converged exponentially to 1 for the other states by increasing AI. Compared to regular KF, extended KF does not seem to improve estimation accuracy significantly. Depending on the particular application requirements, the most appropriate KF actualization interval can be selected.

  10. Kalman Filter for Estimation of Sensor Acceleration Using Six - axis Inertial Sensor

    Energy Technology Data Exchange (ETDEWEB)

    Lee, Jung Keun [Hankyong National University, Anseong (Korea, Republic of)

    2015-02-15

    Although an accelerometer is a sensor that measures acceleration, it cannot be used by itself to measure the acceleration when the orientation of the sensor changes. This paper introduces a Kalman filter for the estimation of a sensor acceleration based on a six-axis inertial sensor (i.e., a three-axis accelerometer and three-axis gyroscope). The novelty of the proposed Kalman filter lies in the fact that its state vector includes not only the tilt angle variable but also the sensor acceleration. Thus, the filter can explicitly estimate the latter with a high accuracy. The accuracy of acceleration estimates were validated experimentally under three different dynamic conditions, using an optical motion capture system. It could be concluded that the performance of the proposed Kalman filter was comparable to that of the state-of-the-art estimation algorithm employed by the Xsens MTw. The proposed algorithm may be more suitable than inertial/magnetic sensor-based algorithms for various applications adopting six-axis inertial sensors.

  11. RSSI-Based Distance Estimation Framework Using a Kalman Filter for Sustainable Indoor Computing Environments

    Directory of Open Access Journals (Sweden)

    Yunsick Sung

    2016-11-01

    Full Text Available Given that location information is the key to providing a variety of services in sustainable indoor computing environments, it is required to obtain accurate locations. Locations can be estimated by three distances from three fixed points. Therefore, if the distance between two points can be measured or estimated accurately, the location in indoor environments can be estimated. To increase the accuracy of the measured distance, noise filtering, signal revision, and distance estimation processes are generally performed. This paper proposes a novel framework for estimating the distance between a beacon and an access point (AP in a sustainable indoor computing environment. Diverse types of received strength signal indications (RSSIs are used for WiFi, Bluetooth, and radio signals, and the proposed distance estimation framework is unique in that it is independent of the specific wireless signal involved, being based on the Bluetooth signal of the beacon. Generally, RSSI measurement, noise filtering, and revision are required for distance estimation using RSSIs. The employed RSSIs are first measured from an AP, with multiple APs sometimes used to increase the accuracy of the distance estimation. Owing to the inevitable presence of noise in the measured RSSIs, the application of noise filtering is essential, and further revision is used to address the inaccuracy and instability that characterizes RSSIs measured in an indoor environment. The revised RSSIs are then used to estimate the distance. The proposed distance estimation framework uses one AP to measure the RSSIs, a Kalman filter to eliminate noise, and a log-distance path loss model to revise the measured RSSIs. In the experimental implementation of the framework, both a RSSI filter and a Kalman filter were respectively used for noise elimination to comparatively evaluate the performance of the latter for the specific application. The Kalman filter was found to reduce the accumulated errors by 8

  12. On serial observation processing in localized ensemble Kalman filters

    OpenAIRE

    Nerger, Lars

    2015-01-01

    Ensemble square root filters can either assimilate all observations that are available at a given time at once, or assimilate the observations in batches or one at a time. For large-scale models, the filters are typically applied with a localized analysis step. This study demonstrates that the interaction of serial observation processing and localization can destabilize the analysis process and examines under which conditions the instability becomes significant. The instabil...

  13. A Comprehensive Motion Estimation Technique for the Improvement of EIS Methods Based on the SURF Algorithm and Kalman Filter.

    Science.gov (United States)

    Cheng, Xuemin; Hao, Qun; Xie, Mengdi

    2016-04-07

    Video stabilization is an important technology for removing undesired motion in videos. This paper presents a comprehensive motion estimation method for electronic image stabilization techniques, integrating the speeded up robust features (SURF) algorithm, modified random sample consensus (RANSAC), and the Kalman filter, and also taking camera scaling and conventional camera translation and rotation into full consideration. Using SURF in sub-pixel space, feature points were located and then matched. The false matched points were removed by modified RANSAC. Global motion was estimated by using the feature points and modified cascading parameters, which reduced the accumulated errors in a series of frames and improved the peak signal to noise ratio (PSNR) by 8.2 dB. A specific Kalman filter model was established by considering the movement and scaling of scenes. Finally, video stabilization was achieved with filtered motion parameters using the modified adjacent frame compensation. The experimental results proved that the target images were stabilized even when the vibrating amplitudes of the video become increasingly large.

  14. Multisensor Distributed Track Fusion AlgorithmBased on Strong Tracking Filter and Feedback Integration1)

    Institute of Scientific and Technical Information of China (English)

    YANGGuo-Sheng; WENCheng-Lin; TANMin

    2004-01-01

    A new multisensor distributed track fusion algorithm is put forward based on combiningthe feedback integration with the strong tracking Kalman filter. Firstly, an effective tracking gateis constructed by taking the intersection of the tracking gates formed before and after feedback.Secondly, on the basis of the constructed effective tracking gate, probabilistic data association andstrong tracking Kalman filter are combined to form the new multisensor distributed track fusionalgorithm. At last, simulation is performed on the original algorithm and the algorithm presented.

  15. Optimal Tuner Selection for Kalman-Filter-Based Aircraft Engine Performance Estimation

    Science.gov (United States)

    Simon, Donald L.; Garg, Sanjay

    2011-01-01

    An emerging approach in the field of aircraft engine controls and system health management is the inclusion of real-time, onboard models for the inflight estimation of engine performance variations. This technology, typically based on Kalman-filter concepts, enables the estimation of unmeasured engine performance parameters that can be directly utilized by controls, prognostics, and health-management applications. A challenge that complicates this practice is the fact that an aircraft engine s performance is affected by its level of degradation, generally described in terms of unmeasurable health parameters such as efficiencies and flow capacities related to each major engine module. Through Kalman-filter-based estimation techniques, the level of engine performance degradation can be estimated, given that there are at least as many sensors as health parameters to be estimated. However, in an aircraft engine, the number of sensors available is typically less than the number of health parameters, presenting an under-determined estimation problem. A common approach to address this shortcoming is to estimate a subset of the health parameters, referred to as model tuning parameters. The problem/objective is to optimally select the model tuning parameters to minimize Kalman-filterbased estimation error. A tuner selection technique has been developed that specifically addresses the under-determined estimation problem, where there are more unknown parameters than available sensor measurements. A systematic approach is applied to produce a model tuning parameter vector of appropriate dimension to enable estimation by a Kalman filter, while minimizing the estimation error in the parameters of interest. Tuning parameter selection is performed using a multi-variable iterative search routine that seeks to minimize the theoretical mean-squared estimation error of the Kalman filter. This approach can significantly reduce the error in onboard aircraft engine parameter estimation

  16. A Framework of Finite-model Kalman Filter with Case Study: MVDP-FMKF Algorithm%A Framework of Finite-model Kalman Filter with Case Study:MVDP-FMKF Algorithm

    Institute of Scientific and Technical Information of China (English)

    FENG Bo; MA Hong-Bin; FU Meng-Yin; WANG Shun-Ting

    2013-01-01

    Kalman filtering techniques have been widely used in many applications,however,standard Kalman filters for linear Gaussian systems usually cannot work well or even diverge in the presence of large model uncertainty.In practical applications,it is expensive to have large number of high-cost experiments or even impossible to obtain an exact system model.Motivated by our previous pioneering work on finite-model adaptive control,a framework of finite-model Kalman filtering is introduced in this paper.This framework presumes that large model uncertainty may be restricted by a finite set of known models which can be very different from each other.Moreover,the number of known models in the set can be flexibly chosen so that the uncertain model may always be approximated by one of the known models,in other words,the large model uncertainty is "covered" by the "convex hull" of the known models.Within the presented framework according to the idea of adaptive switching via the minimizing vector distance principle,a simple finite-model Kalman filter,MVDP-FMKF,is mathematically formulated and illustrated by extensive simulations.An experiment of MEMS gyroscope drift has verified the effectiveness of the proposed algorithm,indicating that the mechanism of finite-model Kalman filter is useful and efficient in practical applications of Kalman filters,especially in inertial navigation systems.

  17. Rapid Transfer Alignment of MEMS SINS Based on Adaptive Incremental Kalman Filter

    Directory of Open Access Journals (Sweden)

    Hairong Chu

    2017-01-01

    Full Text Available In airborne MEMS SINS transfer alignment, the error of MEMS IMU is highly environment-dependent and the parameters of the system model are also uncertain, which may lead to large error and bad convergence of the Kalman filter. In order to solve this problem, an improved adaptive incremental Kalman filter (AIKF algorithm is proposed. First, the model of SINS transfer alignment is defined based on the “Velocity and Attitude” matching method. Then the detailed algorithm progress of AIKF and its recurrence formulas are presented. The performance and calculation amount of AKF and AIKF are also compared. Finally, a simulation test is designed to verify the accuracy and the rapidity of the AIKF algorithm by comparing it with KF and AKF. The results show that the AIKF algorithm has better estimation accuracy and shorter convergence time, especially for the bias of the gyroscope and the accelerometer, which can meet the accuracy and rapidity requirement of transfer alignment.

  18. Comparison of Kalman filter and optimal smoother estimates of spacecraft attitude

    Science.gov (United States)

    Sedlak, J.

    1994-01-01

    Given a valid system model and adequate observability, a Kalman filter will converge toward the true system state with error statistics given by the estimated error covariance matrix. The errors generally do not continue to decrease. Rather, a balance is reached between the gain of information from new measurements and the loss of information during propagation. The errors can be further reduced, however, by a second pass through the data with an optimal smoother. This algorithm obtains the optimally weighted average of forward and backward propagating Kalman filters. It roughly halves the error covariance by including future as well as past measurements in each estimate. This paper investigates whether such benefits actually accrue in the application of an optimal smoother to spacecraft attitude determination. Tests are performed both with actual spacecraft data from the Extreme Ultraviolet Explorer (EUVE) and with simulated data for which the true state vector and noise statistics are exactly known.

  19. Model Predictive Control Based on Kalman Filter for Constrained Hammerstein-Wiener Systems

    Directory of Open Access Journals (Sweden)

    Man Hong

    2013-01-01

    Full Text Available To precisely track the reactor temperature in the entire working condition, the constrained Hammerstein-Wiener model describing nonlinear chemical processes such as in the continuous stirred tank reactor (CSTR is proposed. A predictive control algorithm based on the Kalman filter for constrained Hammerstein-Wiener systems is designed. An output feedback control law regarding the linear subsystem is derived by state observation. The size of reaction heat produced and its influence on the output are evaluated by the Kalman filter. The observation and evaluation results are calculated by the multistep predictive approach. Actual control variables are computed while considering the constraints of the optimal control problem in a finite horizon through the receding horizon. The simulation example of the CSTR tester shows the effectiveness and feasibility of the proposed algorithm.

  20. Inexpensive CubeSat attitude estimation using COTS components and Unscented Kalman Filtering

    DEFF Research Database (Denmark)

    Larsen, Jesper Abildgaard; Vinther, Kasper

    2011-01-01

    This paper describes a quaternion implementation of an Unscented Kalman Filter for attitude estimation on CubeSats using measurements of a sun vector, a magnetic field vector and angular velocity. Using unit quaternions provides a singularity free attitude parameterization. However, the unity...... constraint requires a redesign of the Unscented Kalman Filter. Therefore, a quaternion error state is introduced. Emphasis has been put in making the implementation accessible to other CubeSat by using realistic models of COTS components used for attitude sensing and simulations have shown that the extra...... computational cost of estimating bias in measurements is worthwhile. The simulations where performed in a simulation environment for the CubeSat AAUSAT3, where robustness has been an important factor during tuning of the attitude estimators. The results indicate that it is possible to achieve acceptable Cube...