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51667236 Nonlinear Bayesian Filtering

# 51667236 Nonlinear Bayesian Filtering

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08/27/2011

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(1) Position, Velocity, and Acceleration Terms

The stochastic discrete-time linear dynamics from a linear error theory forced by

process noise η(tk) can be written by

δx(tk) = Φ(tk,t0)δx(t0) +η(tk)

(6.85)

and the covariance equation bcomes

P(tk) = Φ(tk,t0)P(t0)ΦT

(tk,t0) +Q(tk)

(6.86)

where

P(t0)E

δx(t0)δxT

(t0)

, Q(tk)E

η(tk)ηT

(tk)

(6.87)

The component of η(tk) due to the stochastic acceleration function has already been

determined in Eq. (6.74). Formulating this into vector form leads to

Lk =

ux,k

σ2

u,x (1e−2(tt0)/τ

)

uy,k

σ2

u,y (1e−2(tt0)/τ

)

uz,k

σ2

u,z (1e−2(tt0)/τ

)

(6.88)

where the approximate discrete-time process Lk is a 3×1 vector, so the dimension

of η(tk) is 9×1. It is noted from the true dynamic model in Eq. (6.77) that in the

RDC algorithm the random part of the stochastic acceleration in Eq. (6.76) does not

aﬀect the position and velocity components. Therefore, the expression of η(tk) in the

162

RDC is approximated by

η(tk) =

0

0

Lk

(6.89)

The mean of Lk is zero, and the variance of Lk is given by Eq. (6.73). Assuming

that the components ofu(t) are uncorrelated and all have equal statistics, the variance

of Lk is deﬁned as E

LkLT
k

= [Λ] computed by

[Λ] =

σ2

u

1e−2(tt0)/τ

0

0

0

σ2

u

1e−2(tt0)/τ

0

0

0

σ2

u

1e−2(tt0)/τ

(6.90)

Finally, the discrete-time process noise covariance matrix Qk for position, velocity,

and stochastic acceleration can be constructed

Qk = E

η(tk)ηT

(tk)

=

[0]

3×3 [0]

3×3 [0]

3×3

[0]

3×3 [0]

3×3 [0]

3×3

[0]

3×3 [0]

3×3 [Λ]3×3

(6.91)

RDC can be characterized as a subset of DMC with a simpliﬁed process noise

matrix. It can be seen that RDC only provides variance terms for the stochastic

acceleration components in the process noise matrix ofQk. There are no position, and

velocity covariance terms. In some cases, with a suﬃciently large σu, this simpliﬁed

process noise matrix can play the similar role of the DMC approach in the sense of