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51667236 Nonlinear Bayesian Filtering

51667236 Nonlinear Bayesian Filtering

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Published by Oleksii Asiutin

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Published by: Oleksii Asiutin on Aug 27, 2011
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Over the past 20 years the extended Kalman filter has become a standard technique

in the areas of all engineering fields that need estimation algorithms and related

applications. However, recently, the novel and more accurate nonlinear filters have

been proposed as more accurate alternatives to the extended Kalman filter within

the framework of state and parameter estimation. Like most new algorithms, the

new filtering methods were not widely known or understood and their application

has been limited. In this work, the state-of-art nonlinear filtering algorithms from

the sigma point filters to the particle filters are investigated. We have attempted to

unify these differently motivated and derived efficient algorithms under the recursive

Bayesian filtering framework.

First, analytical approximate nonlinear filtering algorithms called the sigma point

filters (SPFs), that include the unscented Kalman filter (UKF), and the divided

difference filter (DDF), were reviewed. The unscented Kalman filter, which belongs

to a type of sampling-based filters, is based on the nonlinear transformation called

the unscented transformation in which a set of sampled sigma points are used to

parameterize the mean and covariance of a probability distribution efficiently. The

divided difference filter, which falls into the sampling-based polynomial filters, adopts

an alternative linearization method called a central difference approximation in which

derivatives are replaced by functional evaluations, leading to an easy expansion of the

nonlinear functions to higher-order terms. Secondly, a direct numerical nonlinear filter

called the finite difference filter (FDF) was introduced where the state conditional

probability density is calculated by applying fast numerical solvers to the Fokker-

Planck equation (FPE) in continuous-discrete system models.


For general nonlinear and/or non-Gaussian filtering problems, the sequential

Monte Carlo method is investigated. The sequential Monte Carlo can be loosely

defined as a simulation-based method that use a Monte Carlo simulation scheme in

order to solve on-line estimation and prediction problems. The flexible nature of the

Monte Carlo simulations results in these methods often being more adaptive to some

features of the complex systems. We investigate recent particle filtering algorithms

in a unified way developed independently in various engineering fields.

We have also extended the theoretical understanding of the sigma point filter

based techniques and developed new novel algorithms, the adaptive sigma point filters

and the divided difference particle filter. The adaptive nonlinear filtering algorithms

called the adaptive unscented Kalman filter and the adaptive divided difference filter

were derived by integrating the sigma point filters with a new adaptive noise estima-

tor formulated by a numerical optimization. The purpose of the proposed adaptive

nonlinear filters and the divided difference particle filters was not only to compensate

for the nonlinearity effects neglected from linearization, but also to take into account

the system modeling errors by adaptively estimating the noise statistics and unknown

parameters. In addition, the local linearized particle filtering algorithm with the com-

bination of the divided difference filter was formulated in order to compensate for the

sample degeneracy phenomenon.

For qualitative and quantitative performance analysis among the proposed non-

linear filters, systematic methods for measuring the nonlinearities and optimality of

the proposed filters are introduced. For the simulation study, the proposed nonlin-

ear optimal and sub-optimal filtering algorithms with applications to spacecraft orbit

estimation and autonomous navigation are investigated.

In the orbit estimation scenario, the performance of the new adaptive nonlinear

filters was superior to the standard nonlinear filter, such as the extended Kalman


filter, in terms of the fast convergence and estimation accuracy. In GPS navigation

applications, the integrated adaptive dynamic model compensation algorithm pro-

vides better accurate estimation results than the geometric solution. The dynamic

model compensation estimation plays a role of an adaptive filtering in that it compen-

sates for unknown perturbing acceleration errors in the system model with a limited

adaptive capability. In the robot navigation application, the versatility and improved

performance of the particle filters over the conventional Gaussian filters, the UKF

and DDF was demonstrated.

The advantages of the proposed Bayesian nonlinear filters as well as the adaptive

nonlinear filters make these attractive alternatives to the standard extended Kalman

filter for efficient state and parameter estimation, not only in satellite orbit determi-

nation and navigation, but also other applications.


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