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INTRODUCTION
1.1 Overview
1.2 Recursive Bayesian Estimation
Fig. 1.1 Prediction and Update Stages for the Recursive Bayesian Estimation
Non-Gaussian Probability Densities
1.3 Review to Nonlinear Filtering
1.4 Contributions of the Dissertation
1.5 Dissertation Outline
OPTIMAL LINEAR FILTERING
2.1 Batch Least-Squares Estimation
2.2 Weighted Least-Squares Estimation
2.2.1 Relationship to Maximum Likelihood Estimation
2.2.2 Relationship to Bayesian Estimation
2.2.3 Unbiased Estimator
2.3 Linear Sequential Estimation
2.4 Kalman Filter
2.4.1 Introduction
2.4.2 Kalman Filtering Algorithm
SUBOPTIMAL NONLINEAR FILTERING
the nonlinear least-squares estimation
3.1 Nonlinear Least-Squares Estimation
3.2 Extended Kalman Filter
Fig. 3.2 Diagram of Predictor-Corrector Form of the Extended Kalman Filter
3.3 Unscented Kalman Filter
3.3.1 Unscented Transformation
3.3.2 Scaled Unscented Transformation
3.3.3 Unscented Kalman Filter
Fig. 3.4 Diagram of Predictor-Corrector Form of the Unscented Kalman Filter
3.4 Divided Diﬀerence Filter
3.4.1 Linearization
3.4.2 First-Order Approximation
3.4.3 Second-Order Approximation
3.4.4 First-Order Divided Diﬀerence Filter
Fig. 3.5 Diagram of Predictor-Corrector Form of the Divided Diﬀerence Filter
3.4.5 Second-Order Divided Diﬀerence Filter
3.5 Finite Diﬀerence Filter
3.5.1 Exact Nonlinear Filter
3.5.1.1 Fokker-Planck Equation
3.5.1.2 Measurement Update
3.5.2 Approximate Nonlinear Filter
3.5.2.1 Prediction Equation
3.5.2.2 Measurement Update
3.5.2.3 Finite Diﬀerence Nonlinear Filter
PARTICLE FILTERING
4.1 Introduction
4.2 Optimal Recursive Bayesian Estimation
4.3 Particle Filtering
4.3.1 Sequential Importance Sampling
4.3.2 Resampling
4.3.2.1 Eﬀective Sample Size
4.3.2.2 Resampling Algorithms
4.3.3 Generic Particle Filter Algorithm
4.4 SIR Particle Filtering
4.5 Improving Particle Filters
4.6 Local Linearization Particle Filter
4.6.1 Extended Kalman Particle Filter
4.6.2 Unscented Particle Filter
4.6.3 Divided Diﬀerence Particle Filter
4.7 Regularized Particle Filter
4.7.1 Density Estimation
4.7.2 Kernel Methods
4.7.3 Regularized Particle Filter
4.8 Markov Chain Monte Carlo Method
4.8.1 Metropolis-Hastings Algorithm
4.8.1.1 Proposal Choice
4.8.2 Gibbs Sampler
4.9 Rao-Blackwellized Particle Filter
4.10 Cram´er-Rao Bounds for Nonlinear Filtering
4.10.1 Cram´er-Rao Lower Bounds
4.10.2 Posterior Cram´er-Rao Lower Bounds
4.10.3 Posterior Cram´er-Rao Lower Bound for Gaussian Noise
4.10.3.1 Nonlinear Gaussian Filtering Problem
4.10.3.2 Linear Gaussian Filtering Problem
5.1 Introduction
5.2 Optimality Conditions of Kalman Filter
5.3 Maybeck’s Estimator
5.4.1 Process Noise Covariance Estimation
5.4.2 Automated Calculation of Scale Factor
5.5.1 Unscented Kalman Filter Algorithms
5.6.1 Divided Diﬀerence Filter Algorithms
6.1 Dynamic Model Compensation
6.1.1 Stochastic Acceleration
6.1.2 Filtering Model
6.1.2.1 State Transition Matrix
6.1.2.2 Process Noise Matrix
6.2 Reduced Dynamic Tracking
6.2.1 Modiﬁed Stochastic Acceleration
6.2.2 Filtering Model
6.2.2.1 State Transition Matrix
6.2.2.2 Process Noise Matrix
APPLICATIONS TO AEROSPACE SYSTEMS
7.1 Orbit and Parameter Estimation
7.1.1 Introduction
7.1.2 Equations of Orbital Motion
7.1.2.1 Gravitational Perturbation
7.1.2.2 Drag Perturbation
7.1.2.3 Stochastic Drag Model
7.1.3 Observation and Tracking Model
7.1.3.2 Laser Tracking
7.1.4 Initial Orbit Determination
7.1.4.1 Herrick-Gibbs Method
7.1.5 Orbit and Parameter Estimation
7.1.5.1 Satellite Visibility Analysis
7.1.5.2 Gauss Least-Squares Diﬀerential Correction
7.1.5.3 Nonlinear Filtering Algorithm
7.1.6 Error Sources and Compensation
7.1.6.1 Measurement Error
7.1.6.2 Mathematical Models
7.2.1.1 GPS Systems
7.2.1.2 GPS Satellite Constellation
7.2.1.3 GPS Measurement Models
7.2.1.4 GPS Positioning Accuracy
7.2.1.5 Coordinate Transformation
7.2.3.1 Geometric State Solution
7.2.3.2 Least-Squares Solution
7.2.4.1 State Noise Compensation Method
7.2.4.2 Dynamic Model Compensation Method
8.1 Performance Criteria
8.1.1 Posterior Cram´er-Rao Lower Bound
8.1.2 Optimality Analysis
8.1.3 Whiteness Test
8.2 Orbit and Parameter Estimation
8.2.1 Generation of True Trajectory
8.2.2 Generation of Observations
8.2.3 Filter Dynamic Model
8.2.4 Simulation Results and Performance Analysis
8.2.4.1 Nonlinear Estimation
Fig. 8.9 Absolute Velocity Estimation Errors in First Track
Fig. 8.13 Absolute Position Estimation Errors in Second Track
Fig. 8.18 Range Innovation Errors with 2-Sigma Bound
8.3.1 Generation of User True Trajectories
8.3.2 Generating of GPS Satellite Trajectories
8.3.3 Filter Dynamic Model and Error Sources
8.3.4 Simulation Results and Performance Analysis
Fig. 8.25 Position Errors for DMC Solution
Fig. 8.27 Clock Bias Errors for DMC Solution
8.3.5 Conclusion
8.4.4 Conclusion
CONCLUSION AND SUMMARY
REFERENCES
APPENDIX A
APPENDIX B
APPENDIX C
VITA
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51667236 Nonlinear Bayesian Filtering

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