WP11 = 4:30

Proceedingsof 23rd Conference

on Decision and Control
Las Vegas, NV, December 1984

9.A.P. Blom
NationalAerospaceLaboratory
NLR
D.O. Sox 90502, 1036 31.1Anstcrdan
The N e t h e r l a n d s
Abstract
For a l i n e a r d i s c r e t e t i m e s y s t e r . w i t h X a r k o v i a n
c o e f f i c i e n t s a new f i l t e r i n g a l g o r i t h m i s given,which
is called the interacting Multiple
Model (IN.:)a l g o r i t h n .
The m a t h e m a t i c a l s u p p o r t f o r t h i s a l g o r i t h m i s o u t l i n e d
anda q u a l i t a t i v e c o m p a r i s o n w i t h o t h e r
known f i l t e r i n g
a l g o r i t h m s i s made. The mainconclusion i s t h a t t h e
r a t i o betweenperformanceandcomputational
comp1exi:y
i s far b e t t e r f o r t h e M
IM a l g o r i t h m .
1

Introduction

An i m p o r t a n t p r a c t i c a l problem i s f i l t e r i n g f o r a
l i n e a rs y s t e r .w i t h? < a r k o v i a nc o e f f i c l e n t s .
Tkerefore
t k i s aroblen h a s h a d o o n s i d e r d 9 l e a t t e n t i o n i n
t h e pas;,
mostly ir, a discrete t i m e s e t t i n g .
3;. now t h e r e are sone
f a l i l i e s ofdiscre:e
' ; h e f i l t e r i n g a l g o r i t h m to eone
arbitrary c l o s e t o I.CrSE p e r f o r n a n c e (3ef. 1 ) . % s p i t e of
no; s a t i s f a c t o r y .
all%hosealgorithmthesituationis
t:-le a l g o r i t h m s t h a t coxe
The cor.pu;ationdcor.?lexityof
c l o s e t o KMSE 2 e r f o r n a n c e is often t o o h i g h f o r p r a c t 1 c a l apolicatioon. A t t k e sane time f r o n a mathen;atical
?oLrt ofview some importantfzmi;iesof
:Y.Gs~ a l g o r i t h m
become less relevant k-hen s h e t i r r e - l e g Se:ween x e a s u r e net; updetesbeconessrnallerand
s n a i l e r . Tcese two cons i d e r z t i o z sf o r n e dc h er e a s o nf o r
a f u r t h e r stuEy o f t h e
Troblen. D u r i r gt h e f l r s c phaseof
the s t u d yt h e a t t e n zlon hasbeendirected
to t h e c o r . t i n u c l s % i x e
prcbiez.
m e e x p l o i t a t i o n of t h e powerful t o o l s f o r S%GCkaStiC
-1

d i f f e r e n t i a le q u a t i o n s (Refs. 2-7) y i e l d e da d d i t i o n a l
insighsintofiltering
for systems withI4arkoviancoeff i c i e c t s( R e f .
8 ) . D j r i n g z k e s e c o r & ?:laseof
t h e st.G&y
Li.Ls
i n c l & % f o r n e d tie g i i d e t o o b t a i n s. ne%- d i s c r e t e
new a l g o r i t h m i s called
t i x ef i l t e r i n ga l g o r i t ' h r c .' T h i s
t h e I?*'%
( I c t e r a c t i n g M d t i p i e :dodel) a l g o r i t h x an& i s
2 and 3 . S u b s e q u e n t l yi r ,s e c t i o n
d e f i n e di ns e c t i o n s
a qualitativecomparisonis
made betweenthe i M . 5 aigor i t h m and t h e main o t h e r a l g o r i t h m s .
L1"!

2 The p r o b l e n
The problemconsidered i s f i 1 t e r i r . g an i n c r e a s i n g
i n f o r m a t i o n f i e l d Yt of r e a l v a l u e d o b s e r v a t i o n s on t h e
discrete time line t ,
yt = h ( c !x +g(c,)w,

(1)

where c i s a d i s c r e t e t i m e f i r i t e
Markov chair,assunir.g
,nT(} a c c o r d i n g t o a d e t e m i n i s t i c
v a l u e s i n M={z
transitionpro.Aabilitymatrix
A , t: 1 s d i s c r e t e t i m e
s t a n d a r dw h i t eG a u s s i a r .n o i s ea n 3
x i s a realvalueprocess which s a t i s f i e s t h e s t o c h a s t i c d i f f e r e n c e
equaticr.,
xt = a ( c t ) x t - , + - b ( c t ) v t
(2)

,. .

where v i s d i s c r e t e ;ir.e s t a n d a r dw h i t eC - a u s s i u lr - o i s e .
R r t k e r w and v are r n u t u a l l y i n d e p e n d e n t , h ,g2 ,a and j 2
a r e f i n i t e rea; f u n c t i o n s on I"? and f o r s i n p l i c i t y t i m e i n v a r i a n t . Also r e s t r i c t i o n t o s c a l a r x and y i s f o r :he
sake o f n o t a t i o n a l s i m p l i c i t y only.
3 e f o r e g o i n g t o t h e IhQ4 a l g o r i t h n t a k e a C l o s e r lo&
at t h i s f i l t e r i n g p r o b l e m . F i r s t o f a l l v e r i f y t h a t
a
sufficientstatisticforthesolutionofthefiltering
problem i s a s e t of c l o s e d f o r m e q u a t i o n s f o r t h e
evolu-

~~2093-318410000-0656
$1.00 0 1984 IEEE

656

**I

Branching

I ,

Interaction

Branching

Filter

t A
\
t

557

Filter
for
C

methods f o r t h e o t h e r t r a c k i n g s u b p r o b l e m s t h e
IRN a l g o rithm h a s b e e n e x p l o i t e d t o r e a l i z e
a real-time%racking
a l g o r i t h nw h i c ho u t p e r f o r m ss t a t e - o f - t h e - a r tt r a c k i n g
a l g o r i t h m s (Ref. 1 5 ) . For completeness we have t o mention that to reach this
we needed an a d d i t i o n a l r e s u l t :
t h ee x t e n s i o no ft h es y s t e m
( 1 ) and ( 2 ) t o i n c i u d e
IM a l g o r i t h mf o rs u c h
an
suddenadditivejumps.
The N
extended system will b e p r e s e n t e d i n
a TZturepujlication.

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Q.E.D.

.L I

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458