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I.

INTRODUCTION

The general context we consider here is that


Constrained Bearings-Only of bearings-only (BOT1 ) target motion analysis
(TMA). More precisely, noisy bearings collected by
Target Motion Analysis via a single receiver are the only available observations.
It is perhaps in the passive sonar environment that
Markov Chain Monte Carlo BOT TMA is most familiar; though its relevance is
growing rapidly for other contexts such as surface
Methods and airborne platforms (I. R. sensors) or passive
surveillance via electronic support measurement
(ESM). To illustrate the aim of this article, we quote
the following extract from [42]. “In bearings-only
TMA, particular importance is attached to range
FRÉDÉRIC BAVENCOFF estimation. Target position is the prime determinant
JEAN-MICHEL VANPEPERSTRAETE in deciding whether to fire a weapon, to commence
Thales Airborne Systems evasion, or to continue pursuit.” This clearly motivates
France
this article whose major objective is range estimation
J.-PIERRE LE CADRE, Member IEEE for “difficult” scenarios. The difficulty here is
IRISA/CNRS
France
related to a poor observability, itself resulting from
operational requirements including limited observer
maneuverability.
Let us now summarize the observer constraints.
The aim of this paper is to develop methods for estimating the While it is generally recognized [30] that observer
range of a moving target from bearings-only observations and maneuvers is the basic ingredient for BOT TMA; both
for weakly observable scenarios, by including general constraints
maneuver amplitude and frequency are very limited
in a multi-target surveillance scenario. This is due to
about the target trajectories. Throughout this manuscript, it is
operational considerations and this will constitute the
assumed that the target motion is conditionally deterministic,
general scenario under consideration here. Moreover,
which leads us to focus on batch algorithms. Another common
we shall restrict attention to a two-dimensional BOT
assumption is poor observability, which results from another problem: the observer is confined to a plane which
constraint: (very) limited amplitude of the observer maneuvers. includes the target.
Classical batch algorithms are based on iterative methods (such as Analysis of BOT TMA is generally considered
gradient techniques), but they perform very poorly in this context in two ways: observability [25, 20] and estimability
and including constraints is not easy and not reliable in this way. [28, 27, 21]. Observability is of an algebraic nature
Instead, we consider simulation-based methods, i.e., Monte [32], with a binary answer (yes or not). Observability
Carlo Markov chain (MCMC) sampling, developed in a Bayesian is the ability to recover the target state (or equivalently
context. In this way, it is possible to take into account any type its trajectory) from the (exact2 ) observations [32]. The
of constraint, and to drastically improve estimation of weakly
“basic” TMA problem is (generally) observable as
soon as the observer does a maneuver, e.g. makes a
observable parameters. As a by-product, an estimate of confidence
turn. Estimability concerns the estimation of the state
intervals is obtained. This is the aim of the highest probability
vector. A problem can be just observable but have to
density (HPD) Intervals. This study is illustrated by simulation
unacceptable estimation performance.
results, while the benefits of constraint inclusion are analyzed via The BOT TMA problem is certainly not new
geometric methods. and can even be traced back to the work of C. F.
Gauss (estimation of the orbit parameters of the Ceres
asteroid) [12, 16]. From a statistical perspective, it
Manuscript received March 9, 2004; revised March 23, 2005 and is a nonlinear regression problem. Since that time,
January 11, 2006; released for publication February 24, 2006. it has been extensively investigated. One line of
IEEE Log No. T-AES/42/4/890176.
development is based on graphical or semi-graphical
approaches [42]. These ideas have been extended
Refereeing of this contribution was handled by D. J. Salmond. to take into account the bearing-rate change (after
Authors’ addresses: F. Bavencoff and J-M. Vanpeperstraete, Thales a turn), producing well-recognized methods like the
Airborne Systems, 2 Avenue Gay-Lussac, 78851, Elancourt, France; important Ekelund ranging or the Spiess method
J.-P. Le Cadre, IRISA/CNRS, Campus de Beaulieu, 35042, Rennes
(Cedex), France, E-mail: (lecadre@irisa.fr).
1 BOT means bearings-only tracking.
2 Exact means unoisy here.
0018-9251/06/$17.00 °
c 2006 IEEE

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[42]. Let us emphasize that, quite similarly to this deterministic one (Appendix B). Both have their own
paper, their aim is precisely range estimation [30]. advantages. The first one has the definite advantage
However, to perform satisfactorily they need a to take into account the statistical characteristics of
substantial observer maneuver [42]. We address here the problem. However, it is fundamentally a local
the problem of weakly observable scenarios. To analysis. The aim of the deterministic investigation
overcome this fundamental difficulty, the key is to is to provide state parameter bounding. It is a
include constraints on target motion which have been global approach which allows us to investigate the
incorporated via appropriate Monte Carlo Markov performance of the MCMC methods, especially the
chain (MCMC) methods. It is shown that speed effects of constraints. Geometry of nonobservable
constraints are very useful for reducing the uncertainty BOT TMA has been analyzed both from a nonlinear
about the target trajectory. More precisely, uncertainty perspective (envelope geometry) and a linear one
can be reduced by a factor proportional to the quotient (the geometry of the observable subspace). In
of the target speed interval length by the observer this setup, ghosting has been also analyzed (see
speed. Appendix B).
We restrict our analysis to a special class of target This paper is organized as follows. Problem
motion: namely the “conditionally deterministic one.” formulation is given in the Section II, followed by a
presentation of the MCMC method for constrained
This means simply that conditional on a fixed number
estimation in Sections III (Metropolis algorithm)
of parameters, the target trajectory is deterministic.
and IV (hit-and-run algorithm). In these sections, the
In this setup, it has been recognized that the problem
emphasis is on application to the BOT TMA context.
is fundamentally one of nonlinear regression, for
Section V deals with the HPD estimation. Results are
which batch algorithms are a convenient framework;
presented in Section VI. Finally, proofs of the main
see [28] for a seminal contribution. A vast and rich
results are available in Appendices A, B, and C.
literature has been devoted to this subject [28, 6, 31].
However, inclusion of constraints in the estimation
process for BOT TMA is rarely considered [14, 19, Notations and Acronyms
29]. For instance, the use of Uzawa’s like method has
AT Transposition of the A matrix
been mentioned in [28] and [14]. However, practically,
Id Identity matrix
results seem to indicate a neat tendency to “push” the
μ̂1:N Set of observed bearings: μ̂1 , : : : , μ̂N
solution toward the constraint bounds [33]. The reason
is simple, the likelihood functional is flat relative to Lμ̂1:N (x) Likelihood of the parameter vector x,
the unobservable component(s). So, it is appropriate given observations μ̂1:N
to replace point estimation by interval estimation Fr(S) Frontier of S domain (1)
and to include state constraints in the estimation tgt Target
process. obs Observer
To a certain extent, this is also the aim of BOT Bearings only tracking
geometric methods like “semi-azimetrie” [37, 4]; TMA Target motion analysis
very simple in principle, but providing robust and MCMC Monte Carlo Markov chains
often adequate performance.3 However, these methods HPD Highest probability density.
are only able to accommodate simple kinematic
constraints for computing intervals and do not give II. PROBLEM FORMULATION
a useful statistical insight. They are not designed for
The problem of estimating the parameters of the
estimating highest probability density (HPD) intervals
target trajectory under the assumption of rectilinear
[9] or dealing with general and complex constraints,
and uniform (target) motion from a history of noisy
which is precisely the objective of this work. Another
passive bearing measurements is considered. The
fundamental reason to use MCMC methods is that
general scenario is depicted in Fig. 1. It is assumed
marginal maximum a posteriori estimation for that the observer motion is rectilinear and uniform on
Bayesian models can be achieved very simply in each leg, and that the problem is planar.
this setting [13, 10]. Thus, it is not surprising that Firstly, let us briefly recall the problem in
its importance has been recognized also in target Cartesian coordinates. Let X be the relative (target)
tracking, especially for stressing scenarios [11]. state vector, defined by
The effects of constraint inclusion on state
¢
estimation have been investigated, both from X = Xtgt ¡ Xobs = [rx , ry , vx , vy ]T : (2)
a statistical perspective (Appendix A) and a
The discrete time equation of the relative motion takes
3 For
the following form:
a mathematical analysis of these methods we refer to
Appendix B. Xk = FXk¡1 + Uk

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where μk [(r, μ, v, ®)] is the true kth angle associated
with the constant velocity target trajectory defined by
the state vector (r, μ, v, ®). With the notations of Fig. 1,
we have5 (see (28)):
μ ¶
vtgt sin ®
sin μ0 + k
r
tan(μk ) = μ ¶ : (6)
vtgt cos ® ¡ vobs
cos μ0 + k
r
This parameterization of the target trajectory is chosen
(instead of the Cartesian one) simply because it is
more convenient for including constraints. Note,
furthermore, that the parameter μ represents the target
Fig. 1. BOT TMA scenario: μ: bearing; r: target range; ®: target bearing at an arbitrary reference time. So, the suffix 0
heading; vtgt : target speed. (μ0 ) is omitted. Since there does not exist an explicit
method for solving (4), iterative methods are generally
used for solving this nonlinear regression problem,
where μ ¶ e.g. gradient methods [28] or modified instrumental
Id2 Id2
F= : (3) variable [28, 6] (MIV) methods. So, a vast literature
0 Id2 has been devoted to this subject. Even if the likelihood
In the above formula the vector Uk accounts for the is not concave, convergence of these methods has
effects of the observer accelerations, while Id2 is the been analyzed [26].
two-dimensional identity matrix. Let us consider a However, estimability is characterized by the
slightly different parameterization (see Fig. 1). The Cramer-Rao Lower Bound (CRLB), usually calculated
initial target position is defined by its initial range within the framework of asymptotic unbiased
r and bearing μ; while it is moving with a constant estimators (typically MLEs). The CRLB provides a
velocity v and heading ®. The target trajectory can theoretical lower bound for the mean square error
be also defined by the state vector (r, μ, v, ®), at an of the state vector estimator. It means that under
arbitrary reference time. regularity hypotheses, we have a (matrix) inequality
¢
Let μ̂1:N =(μ̂1 , : : : , μ̂N ) be N noisy bearing cov(£̂) º I ¡1 (£)
measurements, at time periods f¿1 , ¿2 , : : : , ¿N g. The where the notation A º B means that the (A ¡ B)
bearing measurements μ̂k are the exact bearings matrix is semi-definite positive. £ is the vector of the
corrupted by a sequence of independent and trajectory (true) parameters, while £̂ is any unbiased
identically (normally) distributed (IID) noises.
estimator of £ and cov(£̂) is the covariance matrix
Thus, the mean4 of μ̂k is μk , while its variance is ¾2 . of £̂. The CRLB I ¡1 (£) is the inverse of the Fisher
Classically, the batch BOT TMA problem is solved information matrix (FIM) I(£). Under the asymptotic
by a maximum likelihood estimator (MLE) which efficiency assumption, the accuracy of the MLE
consists in finding the state vector (r, μ, v, ®)¤ which estimator is evaluated by the CRLB. It may be shown
maximizes the likelihood given the observed bearings that the MLE is asymptotically efficient in the BOT
μ̂1:N , i.e., TMA context, though observations are fundamentally6
¢ not IID [34]. Let us recall below various equivalent
(r, μ, v, ®)¤ = arg max Lμ̂ [(r, μ, v, ®)]: (4)
(r,μ,v,®)
1:N
parameterizations for the TMA problem:
8
The likelihood of a state vector given the observed > x = (rx , ry , vx , vy )T Cartesian coordinates
>
>
bearings is defined by the following expression: < μ ¶T
x = μ, μ, _ r_ , 1 modified polar coordinates
Lμ̂ [(r, μ, v, ®)] >
> r r
1:N >
:
x = (r, μ, v, ®)T constraint coordinates:
= f(r,μ,v,®) (μ̂1:N )
μ ¶N " # (7)
1 X
N
1 In Fig. 2, we present the r (diagonal) coefficient of
= p ¢ exp ¡ 2 (μ̂k ¡ μk [(r, μ, v, ®)])2
¾ 2¼ 2¾ _ matrix (i.e., the variance of r) as
the I ¡1 (r, μ, r_ =r, μ)
k=1

(5)
5 Notice that it is assumed here that the interval between

measurements is constant and unit time.


4 Notethat the μ̂1:N is not identically distributed since its mean is 6 Actually, TMA is made possible only by the changes of

time varying. observation density (versus time).

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Fig. 2. Value of range CRLB (in y axis) versus observer maneuver angle ¹.

Fig. 3. Likelihood functional versus range with weak observer maneuver.

a function of the angle ¹ of the observer maneuver7 is recovered and there is an interaction between the
(moving with constant speed). _ and r [1].
observable part (μ, r_ =r, μ)
Obviously, when the amplitude of the observer What is the underlying difficulty for estimating
maneuver is below a certain value (here, about the r component? It is well known that the FIM is
10 deg), then the r CRLB coefficient grows straightforwardly related to the likelihood curvature
dramatically, thus showing that the TMA problem [22]. To illustrate this dependency we present in Fig. 3
becomes practically inestimable (see Fig. 2). If the log-likelihood versus the range r, the three others
instead of heading change, we can consider a change _ being fixed at their true values,
parameters (μ, r_ =r, μ)
in speed, the conclusion is similar: a very strong the amplitude of the observer maneuver being very
acceleration is necessary for estimating the range small. We can notice that the likelihood functional
r. Actually, without observer maneuver, the three is not sharp, not symmetric and that its maximum
_ are observable and uncoupled
parameters (μ, r_ =r, μ) is achieved for a false range value (56,500 m versus
with the fourth (unobservable) parameter. However, 74,080 m).
when there is an observer maneuver, full observability Now, it is quite common for the amplitude of
the observer’s maneuvers to be very limited. This
may be due to operational factors, themselves related
7 i.e., the difference of the observer headings, associated with two to the role of the observer itself (e.g. maritime
consecutive legs. surveillance) or to physical constraints. Indeed, it is

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Fig. 4. Parabolic envelope of bearings and target tracks.

often impossible to tailor specific observer maneuvers


to each target. So, the object of this article will be
to develop reliable methods for estimating the target
range within this context. To overcome the basic
statistical difficulty [19] inherent in this problem (poor
observability) inclusion of constraints about the target
trajectory will play the principal role. To illustrate our
objective, let us recall the following property taken
from [42], and illustrated below8 (see Fig. 4).
PROPOSITION 1 Suppose own track is linear and
distinct bearings at three times are given. A parabola
is defined by those bearings and times such that all
bearings are tangent to the parabola; then too are the
target tracks which are consistent with the bearings.
An elementary proof of Proposition 1 is provided
in the Appendix B. The aim of this article is to Fig. 5. Definition of uncertainty domain for Proposition 2.
replace the search for the maximum of the likelihood
functional by the search for an interval including
the more likely values of r (called HPD interval) us clarify this point. With the notations of Fig. 5, the
for the low-maneuvering observer case. To compute following result has been obtained through elementary
such an interval, we assume that useful prior calculations (see Appendix B).
information is available on target speed v thus
narrowing the search and improving estimation of r. PROPOSITION 2 Suppose own track is linear and
Indeed, considering Fig. 4, we see that an apparently (exact) distinct bearings at (at last) three times are
insignificant constraint (e.g. maximal speed) can given; then with the notations of Fig. 5, we have
be very informative. For practical applications like
2 2
maritime surveillance, operational considerations 2 2 (vmax ¡ vmin ) 2
rmax ¡ rmin = r
provide reasonable priors about the target speed. Let v 2
· ¸
(vtgt,max ¡ vtgt,min )
8 The
¼2 cos(®)r2 : (8)
interested reader can refer to the chapter 11 of [42] and its vobs
deliciously old-fashioned style.

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The ratio 2[(vtgt,max ¡ vtgt,min )=vobs ] cos(®) acts as a
“reduction” factor for estimating the distance r, under
speed constraints; thus showing that the benefit of
including hard constraints for range estimation is
generally quite noticeable.
A more intuitive representation of this
phenomenon can be found in Fig. 5. For a given
(target) speed constraint (vtgt,min · vtgt · vtgt,max ),
admissible target trajectories are inside the two shaded
areas. One area corresponds to trajectories forming
an acute angle (close to zero) with the true target
trajectory, while the the other (ghost) corresponds
to obtuse angles (close to ¼). So, they are named
“ghost” target trajectories. Obviously, this reduction
factor is really interesting when the observer speed
largely exceeds the target one. Therefore, the key
idea consists in incorporating prior information, Fig. 6. General architecture for sampling, marginalization, and
as constraints on target speed. In the first case, estimation of confidence intervals.
constraints are defined by intervals and used in the
Metropolis MCMC algorithm. Then (Section IV), is defined by the integral of the posterior density
constraints are defined in terms of the target trajectory ¼[(r, μ, v, ®) j μ̂1:N ], according to
itself, for which the hit-an-run MCMC is especially Z
relevant. This is summarized below: ¼(r j μ̂1:N ) = ¼[(r, μ, v, ®) j μ̂1:N ]d(μ, v, ®):
8
< Constraints: target speed, viable domain,
Since this may be a very demanding calculation, we
: Target motion: rectilinear or piecewise linear shall use a different approach for approximating this
(leg-by-leg).
posterior density based on simulation. The strength of
(9)
this method is also to produce confidence intervals for
It is assumed that target speed is constant on each leg. constrained estimation of r based on HPD intervals.
Roughly, an HPD interval is a confidence interval of
minimum length, for a given probability of content
III. CONSTRAINTS ON TARGET SPEED GIVEN AS
(see Section V). For a given probability content,
INTERVAL
the HPD method provides a confidence interval
for the range r by using a sample fr(i) gi=1:n from
Prior information can be integrated in a Bayesian
¢ the marginal posterior density ¼(r j μ̂1:N ). This is
context. Given observations (μ̂1:N =fμ̂1 , : : : , μ̂N g, the
obtained by taking the first component of a sample
posterior distribution of the state vector is given as the f(r, μ, v, ®)(i) gi=1:n , itself generated from the posterior
product of the prior with the likelihood function via distribution ¼[(r, μ, v, ®) j μ̂1:N ] via MCMC sampling, as
the Bayes’s theorem: summarized in Fig. 6.
Lμ̂ (r, μ, v, ®) £ ¼(r, μ, v, ®)
¼[(r, μ, v, ®) j μ̂1:N ] = 1:N
A. Prior Modelling
¼(μ̂1:N )
(10) As will be shown, taking into account prior
where information on the target speed (v) is instrumental
¼[(r, μ, v, ®) j μ̂1:N ] is the posterior density of the in this solution. For instance, lower and upper
bounds (vmin and vmax ) are considered. Other priors
state vector,
are relative to the parameters r, μ, and ®. Thus, it
¼(r, μ, v, ®) is the prior density of the state vector,
is natural to assume lower and upper bounds for
Lμ̂ (r, μ, v, ®) is the likelihood of the state vector
1:N range r (namely rmin and rmax ).9 Similarly, we can
(r, μ, v, ®) given the observations,
suppose that the first bearing measured μ̂1 is not
¼(μ̂1:N ) is the density of the observations.
too far from the right bearing μ1 , i.e., in the interval
For determining an interval for range r, given a prior,
[μ̂1 ¡ m¾, μ̂1 + m¾] where ¾ is the standard deviation of
it is necessary to access to the marginal posterior
distribution ¼(r j μ̂1:N ) of the posterior density state 9 From an operational point of view, detecting measurements coming
vector ¼[(r, μ, v, ®) j μ̂1:N ]. The main difficulty lies in from a very remote target is not likely and has no operational
the fact that the marginal posterior density ¼(r j μ̂1:N ) interest.

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the measurements. Typically, a value m = 5 is largely ALGORITHM The Basic MCMC Metropolis Algorithm:
sufficient. The target heading ® is let free in its own Given x(i) ,
interval [¡¼, +¼]. 1) Generate yi » q(y j x(i) ).
In the absence of prior about the kinematic 2) Take
parameter densities and for simplifying the sampling ½
(i+1)
yi with probability (½(x(i) , yi ))
process, we avoid too specific prior, so that uniform x =
x(i) with probability (1 ¡ ½(x(i) , yi ))
distributions are the more convenient:10
(11)
¼(r) » U[rmin , rmax ], ¼(μ) » U[μ̂1 ¡ m¾, μ̂1 + m¾] where ½(x, y) = minf(f(y)=f(x)), 1g:
¼(v) » U[vmin , vmax ], ¼(®) » U[¡¼, +¼]:
C. Sampling from the Posterior Density
so, that (independence of the prior):
The problem we are dealing with now, is to obtain
¼(r, μ, v, ®) = ¼(r) £ ¼(μ) £ ¼(v) £ ¼(®), an MCMC sample X (i) = (r, μ, v, ®)(i) drawn from the
joint posterior distribution f(r, μ, v, ®) = ¼[(r, μ, v, ®) j
= C1[rmin ,rmax ] (r) £ 1[μmin ,μmax ] (μ) £ 1[vmin ,vmax ] (v) μ̂1:N ]. Firstly, a transition kernel is defined by
where C = 1=(4m¼¾(rmax ¡ rmin )(vmax ¡ vmin )), and q((r0 , μ 0 , v 0 , ®0 ) j (r, μ, v, ®)(i) )
while 1 is the indicator function. Note that the great
= q(r0 j r(i) ) £ q(μ 0 j μ (i) ) £ q(v 0 j v (i) ) £ q(®0 j ®(i) )
interest (r, μ, v, ®) parameterization is precisely to
render explicit operational constraints. where
· μ ¶ μ ¶¸
0 (i) (i) rmax ¡ rmin (i) rmax ¡ rmin
B. Generation of Multidimensional Random Variables. q(r j r ) » U r ¡ ,r +
·1 ·1
The MCMC Metropolis-Hastings Algorithm · ¸ (12)
0 (i)10¾ (i) 10¾ (i)
q(μ j μ ) » U μ ¡ ,μ +
The aim of this section is to provide a specific ·2 ·2
setting for the application of the MCMC methods · μ ¶ μ ¶¸
[18] for constrained estimation [41]. In this part, the vmax ¡ vmin vmax ¡ vmin
q(v 0 j v (i) ) » U v (i) ¡ , v(i) +
only constraint deals with target speed and priors are ·3 ·3
defined as intervals on parameters r, μ, v, and ®. · ¸
0 2¼ (i) 2¼
(i) (i)
In this setup, an MCMC method is used for q(® j ® ) » U ® ¡ ,® + :
·4 ·4
drawing a sample fX1 , X2 , : : : , Xn g approximately
distributed from f without directly simulating from Scalar parameters (see (12)) ·1 , ·2 , ·3 , and ·4 (e.g.
f (see [35]). More precisely, its aim is to produce equal to 20) are introduced for algorithmic reasons,
an ergodic Markov chain (X (t) ) with stationary simply for avoiding that new values (r0 , μ0 , v0 , ®0 ) be
distribution f, i.e., (X (t) ) converges in distribution to drawn out of the posterior distribution support and be
a random variable drawn from f. For convergence rejected. Indeed, the above transition kernel satisfies
analysis, we refer to [17]. In our context, the the symmetry condition since we have
stationary distribution is the posterior distribution of ¡ a · y ¡ x · a , ¡a · x ¡ y · a,
the target trajectory ¼[(r, μ, v, ®) j μ̂1:N ].
For an arbitrary starting value x(0) , a chain (X (t) ) so that (13)
is generated using a transition kernel with stationary 1 1
distribution f. Thus, for a large enough T0 , X (T0 ) the q(x j y) = 1 (x) = 1 (y) = q(y j x):
2a [y¡a,y+a] 2a [x¡a,x+a]
method produces a dependent sample X T0 , X T0 +1 , : : :
which is generated from f. Now, the next step is the computation of the (test)
A symmetric conditional density q(y j x) (transition functional ½((r, μ, v, ®)(i) , (r0 , μ0 , v0 , ®0 )) which reduces to
kernel) is then chosen (“symmetric” means that the computation of the ratio of the posterior densities:
q(y j x) = q(x j y)), which defines the density to move ¼[(r0 , μ0 , v0 , ®0 ) j μ̂1:N ]
from a state x to a state y. The transition kernel must
¼[(r, μ, v, ®)(i) j μ̂1:N ]
allow every point in the support of the density f to be
reached. The Metropolis-Hastings algorithm associated Lμ̂1:N (r0 , μ0 , v0 , ®0 ) £ ¼(r0 , μ0 , v0 , ®0 )
with the objective target density f and the conditional =
Lμ̂ (r, μ, v, ®)(i) £ ¼(r, μ, v, ®)(i)
density q produces a Markov chain (X (i) ) through the 1:N

following transition. Lμ̂1:N (r0 , μ0 , v0 , ®0 )


=
Lμ̂1:N (r, μ, v, ®)(t)
10 Since the variables of interest are bounded to an interval, the
£ 1[rmin ,rmax ] (r0 ) £ 1[μmin ,μmax ] (μ0 ) £ 1[vmin ,vmax ] (v0 )
least informative structure (i.e., maximizing Entropy) is a uniform
distribution. (14)

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itself requiring the calculation of the measurement
likelihood. Assuming that the observations are
normally distributed, i.e., μ̂k = μk + ²k with ²k »
N(0, ¾2 ), the elementary likelihood of the state vector
(r, μ, v, ®) for the single bearing μk is given by
" #
1 1 (μ̂k ¡ μk [(r, μ, v, ®)])2
Lμ̂k (r, μ, v, ®) = p exp ¡
¾ 2¼ 2 ¾2

(15)
where μk [(r, μ, v, ®)] is the exact bearing at the
time period ¿k under the hypothesis that the target
trajectory is defined by the state vector (r, μ, v, ®).
Fig. 7. Complex constraints on target trajectory.
Then, under the independence assumption, the ratio
(R) of the posterior densities reduces to
IV. INCLUSION OF GENERAL CONSTRAINTS. THE
0 0 0 0
¼[(r , μ , v , ® ) j μ̂1:N ] MCMC HIT-AND-RUN ALGORITHM

¼[(r, μ, v, ®)(i) j μ̂1:N ] Actually, operational considerations frequently lead


8 · ¸9 us to consider that the target trajectory lies in a given
> 1 0 0 0 0
2
> domain and that the target speed is bounded above
YN >
< exp ¡ ( μ̂ ¡ μ [(r , μ , v , ® )]) >
=
2¾ 2 k k
and below. It is quite frequent that the constraint
= · ¸
> 1 2 > domain cannot be described directly only in terms of
: exp ¡ 2 (μ̂k ¡ μk [(r, μ, v, ®)(i) ]) >
k=1 > ;
2¾ kinematic parameter intervals, thus implying complex
prior density.11 This is illustrated by Fig. 7.
£ 1[rmin ,rmax ] (r0 ) £ 1[μmin ,μmax ] (μ0 ) £ 1[vmin ,vmax ] (v0 ):
For this context, the Metropolis-Hastings algorithm
(16) [18] cannot be used straightforwardly and we use
Now, we are in position to present the general instead the more versatile hit-and-run algorithm
form of the MCMC algorithm for simulating state [7]. Hit-and-run algorithm originates from the same
vectors (r, μ, v, ®)(i) distributed from the joint posterior ideas than the Metropolis one; but departs with the
transition kernel which is replaced by directly drawing
density ¼[(r, μ, v, ®) j μ̂1:N ].
on the constraint domain. Its original form has been
ALGORITHM The BOT MCMC Algorithm: Define proposed independently by Boneh and Golan [3]
μ ¶ (1979) and Smith (1980) [38] for generating points
(0) rmin + rmax μmin + μmax vmin + vmax uniformly distributed over bounded regions for
(r, μ, v, ®) = , , ,0
2 2 2 solving optimization problems. Smith (1984) [39]
proved the convergence of the algorithm, which has
and set i = 0 (choose an initial vector in Support been extended by Belisle, Romeijn, and Smith [5] and
(¼[(r, μ, v, ®) j μ̂1:N ]). Chen and Schmeiser [7].
Given (r, μ, v, ®)(i)
1) Generate (r0 , μ0 , v0 , ®0 ) from: A. MCMC Hit-and-Run Sampling Algorithm
· μ ¶ μ ¶¸
rmax ¡ rmin rmax ¡ rmin Similarly to the Metropolis algorithm, the
q(r0 j r(i) ) » U r(i) ¡ , r(i) +
·1 ·1 hit-and-run sampler is an MCMC method for
· ¸ generating random samples from an arbitrary
10¾ (i) 10¾
q(μ 0 j μ(i) ) » U μ (i) ¡ ,μ + continuous density f over its support by drawing from
·2 ·2
· μ ¶ μ ¶¸ a time-reversible Markov chain. The Markov chain
vmax ¡ vmin vmax ¡ vmin transitions are defined by choosing a random direction
q(v 0 j v(i) ) » U v (i) ¡ , v (i) +
·3 ·3 and then moving to a new point whose likelihood
· ¸ depends on f in that direction. The convergence is
0 (i) 2¼ (i) 2¼ (i) based on convergence in distribution of realizations
q(® j ® ) » U ® ¡ ,® + :
·4 ·4 to their asymptotic distribution f. The hit-and-run
2) Choose sampler, which generates a continuous-state Markov
chain sample path fxi , i ¸ 0g from S, the support of f,
½
(r0 , μ 0 , v 0 , ®0 ) with probability (½) is given below.
(r, μ, v, ®)(i+1) =
(r, μ, v, ®)(i) with probability (1 ¡ ½)
11 Which means that it is unrealistic to incorporate these constrains,

where ½ = min(R, 1) with R the ratio of the posterior described by a set of equations, in a classical nonlinear optimization
densities expressed by (16). problem.

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Fig. 8. Left: Hit-and-run algorithm. Right: rectilinear target trajectory under constraints.

ALGORITHM Hit-and-Run Sampler: B. Rectilinear Target Trajectory


1) Choose a starting point x0 2 S, and set i = 0.
2) Generate a direction di , from a distribution on Here, the problem we have to deal with is to
the surface of the unit sphere. draw samples (r, μ, v, ®)(i) from the posterior density
¢ ¼[(r, μ, v, ®) j μ̂1:N ], considering both prior about target
3) Find the set Si (di , xi ) =f¸ 2 R j xi + ¸di 2 Sg.
speed and feasibility of the target trajectory. Under the
4) Generate a signed distance: ¸i from density
assumption of a rectilinear and uniform motion, the
gi (¸ j di , xi ), where ¸i 2 Si .
target trajectory (denoted T ) can be defined by its two
5) Set y = xi + ¸i di
extremal points (Pinit and Pend ), i.e.,
½
y with probability (ai (y j xi )), μ ¶
xi+1 = : rx,init
xi otherwise Pinit = 2 R2
ry,init
6) Set i + 1, and go to Step 2. μ ¶
r
Various choices exist for the distribution of di , the Pend = x,end 2 R2 (17)
ry,end
densities gi , and the probabilities ai [23]. It is not μ ¶
necessary for the density function f or its support Pinit
T = :
to be bounded [7]. In practice, there are various Pend
jump strategies (i.e., choices of gi (¸ j di , xi ) and
ai (y j xi )) allowing the resulting Markov chain to Let us denote C the area where stand all the target
have a probability transition kernel and to be time trajectories without constraint on the maximal speed
reversible with respect to f. As we consider a target as represented in Fig. 8. Iterations of the hit-and-run
moving in a bounded area, the following strategy is algorithm are represented in this figure, for a complex
used: domain C.
Now let S 2 R2 £ R2 be the subset of C
1) gi (¸ j di , xi ) = 1=(m[Si (di , xi )]) for ¸ 2 Si (di , xi ) representing all the target trajectories satisfying both
where m is Lebesgue measure, the constraint on the maximum target speed and the
2) feasibility constraints. S is then defined by the relation
8 f(y) (C convex):
>
< f(x ) + f(y) (Barker’s method) 8
μ ¶ < Pinit 2 C
>
i
ai (y j xi ) = μ ¶ Pinit
>
: min 1, f(y) T = 2 S () Pend 2 C (18)
(Metropolis’s method). >
f(xi ) Pend :
n
kPend ¡ Pinit k · L
Directions di 2 R point on the surface of the unit
sphere and are obtained by drawing Dij » U[¡1, 1] where L is the maximal length of a trajectory defined
for j = 1 : : : n (where U represents the uniform law) from the total measurement duration ¢t and the target
and by normalizing to 1 so that P the jth component speed upper bound vmax ; so that L = vmax £ ¢t. In this
of the di vector is dji = Dij =[ nk=1 (Dik )2 ]1=2 . We now setup, the hit-and-run algorithm is applied to TMA by
examine how to apply the hit-and-run in the BOT associating a point x in S with a feasible trajectory T ,
TMA context. and is detailed below.

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Fig. 9. Rectilinear target trajectory under constraints.

ALGORITHM Hit-and-Run Sampler: 5) Define the © vector by © = Ti + ¸i ¢ di and define


1) Choose an initial arbitrary trajectory satisfying Ti+1 by:
the constraints. Define T0 as: 8 μ ¶
<© f(©)
μ ¶ with probability min 1,
Pinit (0) Ti+1 = f(Ti )
T0 = 2 S: :
Pend Ti otherwise,
2) For i = 1, : : :, generate 4 uniform variables in (21)
[¡1, 1]: fD1 , D2 , D3 , D4 g that represent the changes for where f(©) and f(Ti ) are the posterior distributions of
the points Pinit and Pend and define the normalized di the trajectories © and Ti respectively.
vector (kdi k = 1) by
0 (i) 1 In fact, the ratio of the posterior densities
d1 f(©)=f(Ti ) reduces to the likelihood ratio since the
B (i) C prior information is already naturally taken into
B d2 C
di = B C
B (i) C : (19) account in the generation of feasible trajectories by
@ d3 A the algorithm, thus:
d4(i) Lμ̂ (©)
f(©)
¢ = 1:N (22)
3) Determine the ¸ set: Si (di , Ti ) =f¸ 2 R j Ti + f(Ti ) Lμ̂1:N (Ti )
¸di 2 Sg. Then, the constraints on ¸ stand as follows: where Lμ̂1:N (©) and Lμ̂1:N (Ti ) are likelihoods of
0 (i) 1
rx,init + ¸d1(i) the trajectories © and Ti respectively. For a given
B (i) (i) C trajectory ©, the likelihood functional is classically
Br C
B y,init + ¸d2 C calculated via (see 15):
Ti + ¸di = B C2S
B r(i) + ¸d(i) C " #
@ x,end 3 A
1 1 (μ̂k ¡ μk [©])2
(i)
ry,end + ¸d4(i) Lμ̂k (©) = p exp ¡ (23)
¾ 2¼ 2 ¾2
i.e.,
8 μ r ¶(i) μ (i) ¶ μ ¶ μ (i) ¶ and (independence assumption):
> x,init d1 rx,end (i) d3
>
> + ¸ 2 C + ¸ 2 C, N
Y
< r (i)
d2 ry,end d4(i)
y,init
°μ Lμ̂ (©) = Lμ̂k (©)
° r ¶(i) μ (i) ¶°
d3 ¡ d1(i) °
1:N
>
> ° x,end ¡ rx,init ° k=1
>
:° +¸ ° · L:
° ry,end ¡ ry,init d4(i) ¡ d2(i) ° where μk [©] is the exact bearing at the time period ¿k
(20) related to the trajectory ©. The functional Lμ̂ (Ti ) is
1:N

4) Draw a signed distance ¸i from the density: identically defined. The following proposition, though
elementary, is especially relevant for applying the
1 hit-and-run algorithm (see Appendix C, for a proof).
gi (¸ j di , Ti ) = 1 (¸)
m(Si (di , Ti )) Si (di ,Ti )
PROPOSITION 3 Assume that the constraint domain C
where m is the (Lebesgue) measure of the segment is convex, then the set of feasible trajectories S is also
Si (di , Ti ). convex.

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Therefore, at step 3 of the above algorithm, Si (di , Ti ) 1) Choose an initial arbitrary trajectory satisfying
is simply a real interval [¸min , ¸max ] satisfying the the constraints. Define T0 as
following conditions: Ti + ¸min ¢ di 2 Fr(S) or Ti + 0 1(0)
¸max ¢ di 2 Fr(S). The whole algorithm is summarized Pinit
in Fig. 9. B C
T0 = @ Pmid A 2S
The above method deals with a target located
Pend
in a known area and moving in a straight line with
constant speed. We now see how this method can and set i = 0.
handle scenarios of increasing complexity. 2) Generate six (6) uniform variables in [¡1, 1]:
fD1 , D2 , D3 , D4 , D5 , D6 g that represent the evolutions
C. Hit-and-Run Algorithm and the Leg-by-Leg Target of directions of the points Pinit , Pmid , and Pend and
Trajectory Model define the normalized di vector (kdi k = 1) by dTi =
(d1(i) , d2(i) , d3(i) , d4(i) , d5(i) , d6(i) ).
def
We are now dealing with the estimation of 3) Determine the ¸ set: Si (di , Ti ) =f¸ 2 R j Ti + ¸ ¢
leg-by-leg target trajectory parameters. The target di 2 Sg. Then the constraints on ¸ stand as follows:
trajectory is supposed made of two legs. The
constraint expresses that the first leg and the second Ti + ¸di 2 S
leg of the target trajectory stand in given areas. A new °Ã (i) (i) ! Ã (i) !°
° r d3 ¡ d1(i) °
state vector has to be considered. It seems natural ° x,mid ¡ rx,init °
° (i) +¸ °
to consider the state vector made of the three points ° r (i) (i)
d4 ¡ d2(i) °
y,mid ¡ ry,init
that characterize the leg-by-leg trajectory. In this °Ã (i) ! Ã (i) !°
° r (i)
d5 ¡ d3(i) °
setting, the target trajectory T can be defined by ° x,end ¡ rx,mid °
+ ° (i) +¸ °·L
three “characteristic” points (Pinit , Pmid , and Pend ), ° r (i) (i)
d6 ¡ d4(i) °
y,end ¡ ry,mid
so that T
μ ¶ where di = (d1(i) , d2(i) , d3(i) , d4(i) , d5(i) , d6(i) ) : (26)
def rx,init
T = (Pinit , Pmid , Pend )T , Pinit = 2 R2
ry,init 4) Generate a signed distance ¸i from the density:
μ ¶ μ ¶ (24)
rx,mid r 1
Pmid = 2 R2 , Pend = x,end
2 R2 : gi (¸ j di , Ti ) = 1 (¸)
m(Si (di , Ti )) Si (di ,Ti )
ry,mid ry,end
Denote C1 the area where the first target trajectory where m is the (Lebesgue) measure of the segment
leg stands: [Pinit , Pmid ] and C2 the area for the second Si (di , Ti ).
leg: [Pmid , Pend ]. Moreover, it is assumed that Pmid 5) Define the © vector by © = Ti + ¸i ¢ di and
define Ti+1 by
stay in C1 \ C2 . Moreover, let us denote C = C1 [
C2 the area where all the target trajectories stand Ti+1 =
(without constraint on the maximal speed) and let 8 μ ¶
f(©) f(©) Lμ̂ (©)
S 2 R2 £ R2 £ R2 be the C subset representing all the <© with probability min 1, , = 1:N
f(Ti ) f(Ti ) Lμ̂ (Ti ) :
target trajectories satisfying both the constraint on the : 1:N

maximum target speed and the constraint seen before Ti otherwise


on the leg-by-leg target trajectory. S is defined by the (27)
relation:
8 Finally, considering the convexity issue, the
> Pinit 2 C1
0P 1 >
> following proposition holds true.
init >
>
< Pmid 2 C1 \ C2
B C PROPOSITION 4 Consider now that the target
T = @ Pmid A 2 S ()
>
> Pend 2 C2 trajectory T is made of two legs T1 and T2 , both lying
>
>
Pend >
: in a convex set C, then the following result holds:
kPmid ¡ Pinit k + kPend ¡ Pmid k · L
If C is convex, then S is convex.
(25)
The proof of this property is omitted since it is
where L is the maximal length of a trajectory defined similar to that of Proposition 3 given in Appendix
from the total measurement duration ¢t and the C. Now, a fundamental concern is the determination
maximal supposed target speed vmax ; so that L = of confidence interval for the estimates we have
vmax £ ¢t. In this setup, the hit-and-run algorithm is obtained. To that aim, we exploit the MCMC
applied to TMA by associating a point x in S to a procedures within the HPD-interval framework
feasible leg-by-leg trajectory T in S, thus taking the to determine confidence interval for range
following form. estimation.

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Fig. 10. Representation of HPD interval.

V. HIGHEST PROBABILITY DENSITY INTERVALS Tanner’s algorithm requires evaluating the marginal
posterior densities analytically or numerically,
Practically, it is of fundamental importance to have which renders its implementation rather complicated
an estimation of confidence intervals for high level and computationally intensive. To overcome such
information processing: e.g., track-to-track association, difficulties, Chen, Shao, and Ibrahim [9] developed
sensor management, situation assessment, etc. We see a simple Monte Carlo method for estimating HPD
now that MCMC-based methods give us estimates of intervals. This approach requires only an MCMC
these confidence intervals, as a by-product. sample generated from the marginal posterior
distribution of the parameter of interest and propose
A. HPD Intervals Method the following procedure [8] for calculating an HPD
interval for ¸:
The aim of this paragraph is to present the ALGORITHM Chen-Shao HPD Estimation Algorithm
calculation of the HPD intervals method and their 1) Obtain an MCMC sample f¸i gi=1:n from
connection with MCMC methods. Consider a ¼(¸ j D).
Bayesian posterior density having the form: 2) Sort f¸i gi=1:n to obtain the ordered values:
LD (¸, ') £ ¼(¸, ')
¼(¸, ' j D) = ¸(1) · ¸(2) · ¢ ¢ ¢ · ¸(n) :
c(D)
3) Compute the 100(1 ¡ ®)% credible intervals:
where D denotes data, ¸ is one-dimensional, ' may
be a multidimensional vector of parameters other than Rj (n) = (¸(j) , ¸(j+[(1¡®)n]) )
¸. The functional LD (¸, ') is a likelihood functional,
¼(¸, ') is a prior and c(D) is a normalization constant. for j = 1 : n ¡ [(1 ¡ ®)n] (where [¢] refers to the entire
An HPD interval has two main properties: part).
4) The 100(1 ¡ ®)% HPD interval is the one,
1) the density for every point inside the interval is denoted by Rj ¤ (n), with the smallest interval width
greater than that for every point outside the interval, among all credible intervals.
2) for a given probability content, say 1 ¡ ®, the
interval is of the shortest length. The main interest of this procedure is that it does
not require a closed form of the marginal density.
Especially, it is when the marginal distribution is The following proposition, given by Gelfand and
not symmetric (see Fig. 3), that an HPD interval is Smith [13] (1990), is particularly useful for our TMA
mostly desirable. Fig. 10 illustrates these properties. problem.
It presents a density function, an interval having
PROPOSITION 5 If f(¸i , 'i )gi=1:n is an MCMC sample
a probability content of 0.6413, and the HPD
interval for this given probability. Tanner [40] from the joint posterior distribution ¼(¸, ' j μ̂1:N )
provides a Monte Carlo algorithm to calculate the then f¸i gi=1:n is an MCMC sample from the marginal
content and boundary of the HPD region. However, posterior distribution ¼(¸ j μ̂1:N ).

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Let us consider now the application of this property to
our context.

B. Rectilinear Uniform Target Motion Case


Whether the first or second type of constraints is
considered, our aim is to provide a confidence interval
for the initial range r. Thus, it remains to apply the
HPD method for the range r, i.e., obtain an MCMC
sample from the marginal posterior distribution of the
parameter of interest, i.e., ¼(r j μ̂1:N ). In Sections IIC
and IVB, a sample f(r, μ, v, ®)(i) gi=1:n from the
posterior density ¼[(r, μ, v, ®) j μ̂1:N ] of the complete
state vector was obtained by using a MCMC technique
according to the type of constraints considered.
Proposition 5 provides justification for MCMC Fig. 11. Scenario parameters. Target parameters: r = 37040 m;
sampling from the marginal posterior distribution by vtgt ¼ 10:3 m/s; μ = 90 deg; ® = 45 deg.
taking the suitable marginal component of the MCMC
sample from the posterior distribution of the complete
both cases, it is target range estimation which is our
state vector. So, for determining a 100(1 ¡ ®)% HPD
principal concern.
interval for the range r the following procedure is
used.
1) Obtain an MCMC sample f(r, μ, v, ®)(i) gi=1:n A. Nonmaneuvering Target
from ¼[(r, μ, v, ®) j μ̂1:N ] as seen in Sections IIC and Here, we restrict to BOT TMA for a
IVB according to the type of constraints considered. nonmaneuvering target (rectilinear and uniform
2) Obtain an MCMC sample fri gi=1:n from motion). The general scenario is depicted in Fig. 11.
¼(r j μ̂1:N ) by taking the first component of the 1) Constraint on Target Speed: Priors Defined as
precedent state vector. Intervals: The first type of constraints we consider is
3) Sort fri gi=1:n to obtain the ordered values: target speed constraints (see Section III). Priors are
defined by intervals for the kinematics parameters
r(1) · r(2) · ¢ ¢ ¢ · r(n) :
fr, μ, v, ®g. The true target state vector is defined as
4) Compute the 100(1 ¡ ®)% credible intervals: r = 37,040 m, v ¼ 10:3 m/s (20 knots), μ = 90 deg,
® = 45 deg, (at time 0). The observer speed is
Rj (n) = (r(j) , r(j+[(1¡®)n]) )
92.6 m/s (180 knots), and its turn angle (maneuver)
for j = 1 : n ¡ [(1 ¡ ®)n] (where [¢] refers to the entire is as less than 10¡4 deg, so that (observer) motion
part). can be considered rectilinear and uniform. Fifty (50)
5) The 100(1 ¡ ®)% HPD interval is the one, bearing measurements are taken with an interval of 5 s
denoted by Rj ¤ (n), with the smallest interval width between each measurement. The measurement error
among all credible intervals. is modelled by a zero-mean Gaussian noise, with a
Considering the simplicity of these algorithms, the 1 deg standard deviation. Prior constraints stand as
computational load of an iteration is very modest. follows: r 2 [500, 200,000] m, μ 2 [μ̂1 ¡ 5¾, μ̂1 + 5¾],
However, the number of iterations may be relatively v 2 [7:716, 12:86] (m/s) and ® 2 [¡¼, ¼]. It is clear
important, especially for obtaining reliable HPD that only speed constraints are really informative.
estimates. A good test for stopping iterations is the The Metropolis algorithm generates a sample vector
stabilization of HPD estimates. of dimension 100,000.
We present in Fig. 12 (left) the evolution of
VI. RESULTS the MCMC sample for range generated from the
marginal posterior density, taking into account the
Roughly, this section is divided into two parts, above constraints. The true range (37,040 m) is
whose common features are: the observer is drawn as a solid line. It can be seen that the range
nonmaneuvering,12 constraints are utilized for range estimates are (only) slightly greater than the true
estimation. The first one is devoted to the case where value. Considering that it is unobservable (without
the target is nonmaneuvering, and in the second target speed constraints) this is a remarkable result.
case the target performs a dog-leg maneuver. For Fig. 12 (right) illustrates the HPD interval width
versus probability of content. Actually, it is the
12 More
precisely, we allow to consider only very gentle observer complement of this probability of content which is
maneuver so as to avoid strict observability problems. plotted on the x-axis (i.e., 1 ¡ P (prob. of content)).

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Fig. 12. Left: MCMC samples versus time. Right: HPD interval width versus probability of content.

Fig. 13. Left: observations (sequence of estimated bearings). Right: 500 iterations of MCMC hit-and-run.

So, for abscissa 0, the HPD interval is 100% of the 2) Constraints on Target Speed and Target
MCMC values, since this value gives the minimum Trajectory: The second result concerns the
and maximum range of the MCMC sampling. For implementation of the hit-and-run algorithm using
every value of probability of content, the lower bound constraints about target trajectories (trajectory domain
(respectively higher bound) of the HPD interval is and target speed) (see Section IVB). The scenario
represented by the dash-dot line (respectively the is almost the same than previously, apart from the
dashed line). The true value of range falls outside the fact that the target range which is now 18,520 m. In
HPD interval only when the probability of content is this example, the trajectory constraints are simple:
as low as 0.3. Even for this value, the HPD interval all the target trajectories are supposed to lie inside a
is close to the true value, while the interval width is rectangle of length 37,000 m and width 10,000 m,
as small as 2.5 km. Moreover, for greater values of as depicted by the rectangle in Fig. 13, while it
the probability of content, we can see that the lower is assumed that target speed is bounded above by
bound is very close to the true range value and that vmax = 30 knots. The noisy bearings measured by
the interval width remains very reasonable, which is a the observer are also represented in Fig. 13 (left).
very satisfactory result. The benefit of including speed In Fig. 13 (right), we present 30,000 iterations
constraints is clear. of the MCMC hit-and-run, associated with this

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Fig. 14. Left: MCMC samples versus time. Right: HPD interval width versus probability of content.

Fig. 15. Left: MCMC samples versus time. Right: HPD interval width versus probability of content.

sequence of observations and these constraints. by considering the “hourglass” drawn by the feasible
Considering Fig. 13, we notice that the hit-and-run trajectories in Fig. 13 (right).
algorithm is rapidly “converging” toward a set of Then it is meaningful to consider an additional
feasible target trajectories, roughly representing an condition on the feasible trajectories directions so as
“hourglass” (see Fig. 13 right). Thus, the hit-and-run to eliminate ghosting. This is the object of Fig. 15
algorithm provides an exploration of the uncertainty (left) for which trajectory sampling is restricted to the
domain about target trajectory (see Proposition 2 and true direction (i.e., left to right). MCMC estimation
Appendix B). The choice of the initial trajectory (the is clearly improved by deghosting. More generally,
segment down left) is unimportant provided that it ghosting is also resulting from unobservability
satisfies the conditions 18. (see Appendix B) and deghosting is a fundamental
In order to evaluate the accuracy of HPD intervals concern for all these scenarios. Actually, it may be
calculated by this way, 30,000 samples (trajectories) shown that even a very limited observer maneuver
are drawn and represented by the histogram in Fig. 14 may be sufficient for ensuring good performance
(left). This histogram clearly exhibits two peaks: one deghosting thanks to the calculation of appropriate
is close to the true range value (dashed line), while likelihood ratio tests and reliable confidence intervals
the other is corresponding to ghost trajectories (see via HPD.
Fig. 5 for a geometric interpretation). In consequence,
HPD intervals are also “pulled” by these ghost B. Maneuvering Target
trajectories, as seen in Fig. 14 (right) which presents
the evolution of the HPD intervals obtained via the The last part of this section deals with the
hit-and-run algorithm. This event is also quite evident leg-by-leg target trajectory case (see Section IVC).

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Fig. 16. Left: true target trajectory under set constraints. Right: noisy observed bearings.

Fig. 17. Left: HPD intervals for first range r1. Right: HPD intervals for third range r3.

For the first leg, the target is within a small rectangle The target trajectory is defined by 6 parameters,13
of length 3,000 m and width 1000 m (representing namely, ranges fr1 , r2 , r3 g and bearings fμ1 , μ2 , μ3 g.
a strait for example) and the second leg is assumed An arbitrary initial trajectory being chosen, 5000
to be within the larger rectangle of length 15,000 m iterations of the hit-and-run sampler provide a set of
and width 10,000 m as depicted in Fig. 16 (left). first range r1i , a set of middle range r2i and a set of
The observer is at the origin at time 0 and goes final range r3i related to the three points Pinit , Pmid and
along the x-axis with a constant speed of 180 Pend defining a leg-by-leg target trajectory. In the same
knots (92.6 m/s), while the target speed is 20 knots way, three sets of bearings are generated. It remains to
(10.3 m/s). The observer turns with a (very) weak apply the HPD intervals method to each of them so as
angle of 2 deg after 25 observed measurements. to provide six sets (r, μ) of confidence intervals about
In all, 50 bearings are taken, with 5 s between these parameters. Figs. 17 and 18 (left and right)
each measurement. The measurement error is illustrate the behavior of the proposed method.
modelled by a centered Gaussian noise, with 1 deg Obviously, the hit-and-run algorithm perform quite
standard deviation as presented in Fig. 16 (right). satisfactorily, even for this difficult scenario. Even if
The target is approximately 36,000 m far from the first range HPD is far smaller than the third one, the
observer. The total target (respectively observer)
trajectory length is thus 2,524 m (respectively 13 It
is simply assumed that the target maneuver is constrained to
22,678 m). occur in a given domain (here the intersection of two domains).

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Fig. 18. Left: HPD intervals for first bearing μ1 . Right: HPD intervals for third bearing μ3 .

third range estimation remains quite acceptable. For appealing. Second is the avoidance of gradient-based
the angle estimation, HPD intervals are of the same methods, whose definite drawback is to perform
order. It is remarkable that such performance has been poorly as soon as the problem is poorly conditioned.
achieved with a very weak observer maneuver.
ACKNOWLEDGMENTS AND DEDICATION
VII. CONCLUSION
The authors are greatly indebted to the reviewers
This paper deals with range estimation estimation and the editor for an insightful review process.
under poor observability conditions via operational This paper is dedicated to the memory of Philippe
constraints reinforcement. The algorithms we have Nicolas (Thales), our friend and colleague, who was a
developed are based on simulating constrained constant source of inspiration and enthusiasm.
MCMC converging toward the posterior distribution
of the target trajectory. Effects of constraints have APPENDIX A. BOT TMA PERFORMANCE ANALYSIS
been investigated, both from a statistical perspective (NONMANEUVERING OBSERVER)
(Cramér-Rao bounds) and a deterministic one
(intervals). Geometry of nonobservable BOT TMA has The aim of this appendix is to quantify the
been analyzed both from a nonlinear viewpoint (the effect of the BOT TMA scenario parameters, for a
envelope geometry) and a linear one (the geometry of nonmaneuvering observer. We refer to Fig. 1 for the
the observable subspace). Performance is illustrated meaning of the parameters (t: time index). Elementary
by simulation results, showing the considerable calculations yield
improvements offered by these methods. ¡! ¡!
Due to an exhaustive exploration of the posterior det(M0 Mt , Mt Tt )
density, these algorithms are both reliable and tan(μt ) = ¡! ¡!
feasible. Using them, it is possible to exploit complex hM0 Mt , Mt Tt i
kinematic and geographic constraints on target μ ¶
vtgt sin ®
behavior and thus to provide a convenient estimate sin μ0 + t
for hardly estimable parameter(s). Moreover, reliable r0
= μ ¶ : (28)
confidence intervals are obtained as a by-product and vtgt cos ® ¡ vobs
cos μ0 + t
are a definite advantage of simulation-based methods. r0
This is of fundamental importance from an operational
We can notice that (vtgt sin ®) is the radial (relative)
viewpoint; more specifically for problems like threat
target velocity, while (vtgt cos ® ¡ vobs ) is the
assessment, sensor management, or tactical aids. From
longitudinal one. From (28), we see that the
an estimation perspective, these algorithms provide a
target bearing history is described by a set of
basic ground for a wide variety of problems like track
three parameters (e.g. fμ0 , (vtgt sin ®)=r, 1=rg or
initialization, track-to-track association, or deghosting. ¢
Other important features of this approach are fμ0 , ®, r0 = 1=rg). This is certainly not surprising
also particularly noticeable. First, the robustness to since in the absence of observer maneuvering the
the choice of the initial starting point is particularly dimension of the observable space is generally 3.

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Thus, estimability analysis is achieved by considering vtgt or r) and consider the following decomposition
only the estimation of 3 parameters, the fourth xT = (x1 , x1 ). For instance, consider the x1 = fμ0 , ®, r0 g
being fixed. For this appendix, we consider the parametrization (x1 = vtgt fixed), then the diagonal
¢
target trajectory parameterization fμ0 , ®, r0 = 1=rg, the terms of FIM¡1 have relatively simple expressions, i.e.,
parameter vtgt being fixed (r ´ r0 ).
Practically, an estimability measure is FIM¡1 (1, 1) = 1
obtained in the following way [27]. Let gt be FIM¡1 (2, 2) =
the gradient vector of the measurement, i.e., gt =
2
f(@=@μ0 )μt , (@=@®)μt , (@=@r0 )μt gT and define the (3 £ 3) [1 + 16r0 (vtgt cos(® ¡ μ0 ) ¡ vobs cos(μ0 ))2
M matrix as M = (gt , g_ t , g̈t ). Then, we consider as a 4
+4r0 (vobs
2 2
+ vtgt
2
¡ 2vobs vtgt cos ®) ]
measure of the uncertainty (also termed estimability), 2
(32)
4r0 4 vtgt
2 (v ¡ v
tgt obs cos ®)
the determinant of the FIM, itself approximated by
(three consecutive measurements: f0, 1, 2g, Gaussian FIM¡1 (3, 3) =
hypothesis): 2
[cos2 (® ¡ μ0 ) + 4r0 (¡vtgt cos(2(® ¡ μ0 )) + vobs
det(FIM) ¼ [det(gt , g_ t , g̈t )]2t=0 cos(® ¡ 2μ0 )) + 4r0 (vobs
2 2 4 2
+ vtgt ¡ 2vobs vtgt cos ®) ]
2

:
yielding: 4r0 2 (vtgt ¡ vobs cos ®)2 (vtgt sin(® ¡ μ0 ) + vobs sin μ0 )2
2 04
4vtgt r Furthermore, admitting that the assumption vobs r0 ¿ 1
det(FIM0,2 ) = (v ¡ vobs cos ®)2
12 tgt is reasonable, an approximation of FIM¡1 (3, 3)
¾w6 (cos μ0 )
(29) (associated with the r0 estimation) becomes as simple
£ (vtgt sin(® ¡ μ0 ) + vobs sin μ0 )2 as:
r2 cos2 (® ¡ μ0 )
2 02
4vtgt r FIM¡1 (3, 3) ¼ 4 : (33)
= (vtgt ¡ vobs cos ®)2 μ_2 4vobs (cos ® sin μ0 )2
¾w6 (cos μ0 )12
Now, a classical and important result is that the
à param.: fμ0 , ®, r0 g: following chain of (matrix) inequalities holds true [2]:
From (29), we see that the uncertainty volume cov(x̂1 ¡ x1 ) º [FIMx1 ]¡1 º (FIMx ¡1 )1̄,1̄ º [fFIMx g1̄,1̄ ]¡1
(i.e., [det(FIM)]¡1 ) varies with r2 , μ_¡2 .14 Moreover,
(34)
considering the basic assumption of this manuscript where FIMx1 is the FIM matrix relative to the
(i.e., vobs À vtgt ) and assuming vtgt known, yields subvector x1 (parameter x1 being fixed), and
μ ¶4 (FIM¡1
x )1̄,1̄ is the 3 £ 3 left-upper block of the
r (cos μ0 )12
det(FIM¡1 ) / 2
, Ã param.: fμ0 , ®, r0 g: ¡1
FIM matrix. Then, assuming a random prior about
vobs vtgt (sin μ0 cos ®)2
parameter x1 (here vtgt ), whose support is denoted C1 ,
(30) we have:
This formula needs some comments. First, the Z
importance of the value of cos μ0 is noteworthy E[cov(x̂1 ¡ x1 )] º [FIM¡1
x1 ]x1 =u px1 (u)du: (35)
C1
(exponent: 12), as well as that of the ratio (r=vobs )
(exponent: 4). The above analysis can be extended The diagonal terms of the matrix [FIM¡1x1 ]x1 =u are
in two principal ways. First, for a larger number of T given by (32). Considering for instance (33), we
consecutive measurements, the Binet-Cauchy formula obtain
[27] allows us to treat any measurement number, and 2
Z
cos (® ¡ μ0 )
the preceding approximations becomes var(r̂0 ) ¸
4r0 2 C1
6 2
det[FIM(1,:::,T) ] / [T ] det(FIM0,2 ): (31) pvtgt (u)
£ du:
This approximation is valid for a reasonably long (vtgt ¡ vobs cos ®) (vtgt sin(® ¡ μ0 ) + vobs sin μ0 )2
2

baselength. Notice that the term T6 is homogeneous


2 4
with the speed factor (vtgt vobs ). (36)
Second, let us consider a random prior about the
unobservable parameter. Performance analysis will APPENDIX B. GEOMETRY OF NONOBSERVABLE
be considered now on lower bounds of the estimate BOT TMA
variances. More precisely, let x be the complete
state vector, while x1 is the missing parameter (here Throughout this appendix, our objective is to
investigate the geometry of nonobservable BOT TMA,
which means that it is not a statistical analysis. We are
14 Theequality r0 μ_ = vtgt sin(® ¡ μ0 ) + vobs sin μ0 is obtained from now dealing with the proof of Proposition 1. For the
elementary calculations. sake of concision, notations are slightly simplified and

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Fig. 19. Left: geometric definitions. Right: parabolic envelope of bearing lines and its axis.

are those of Fig. 19. The vector N(t) is orthogonal From (41), we see that the envelope of the Lt lines is
to the bearing line Lt . Thus, we can write (Q: ¼=2 a parabola. Indeed, g(X, t) is a quadratic form in X
rotation matrix): whose associated matrix is (QV)(QV)T . This matrix is
nonnegative definite while its rank is 1 which proves
N(t) = Q[X0 + tV] where
that this envelope is a parabola (see [15], chapter
μ ¶ X). Its image is one-dimensional and generated by
0 ¡1
Q= the vector QV, while its kernel is spanned by the
1 0 (37) vector V (direction of relative motion (DRM), see
0¢ Fig. 19). Thus, we have just shown the first part of
X = X0b ¡ X0a
Proposition 1.
¢ ¢ ¡! ¢ ¡! The second part of Proposition 1 is much more
V = Vb ¡ Va (Vb = vtgt , Va = vobs ):
intricate. An analytic proof is feasible but seems
Denoting X the generic point of Lt , an (implicit) (at best) very tedious. Instead, a purely geometric
equation of the bearing line Lt is then given by proof can be found in classical (but ancient) treatises
on geometry. Reference [24] does not require any
¢ prerequisite, while a large part is devoted to conic
g(X, t) = (X ¡ Xa (t))T Q(X0 + tV) = 0: (38)
properties. Now, let us refer to the following figure:
Then, the envelope of the bearing lines fLt gt is let ¢(AP) and ¢(AN) be two fixed tangent lines to
defined by the following system of equations: the parabola, and ¢(BC) a generic line, tangent in
M. B and C are the intersections of this tangent
@ line with ¢(AP) and ¢(AN). Then, with the
g(X, t) = 0, g(X, t) = 0: (39)
@t notations of Fig. 20, the following equality holds
From the second equation ((@=@t)g(X, t) = 0), we true:
obtain the following condition which is necessarily MB BP CA
= = : (42)
satisfied by a point X belonging to the envelope of the MC BA CN
Lt lines: Actually, this remarkable property is valid whatever
1 T the point M and is a consequence of Poncelet
t= T
[(X ¡ X0a ) QV ¡ VTa QX0 ]: (40) theorems [24]. So, to end the proof it remains to
2(Va QVb )
prove that the target trajectory is also a tangent to
Injecting (40) in g(X, t), we deduce an equation of the the envelope parabola. This is easily achieved by
envelope (see (39)), i.e., considering the following equalities:
XT (QVVT QT )X + ®1 XT QX0 + ¯1 XT QV + °1 = 0
(X ¡ Xb (t))T Q(X0 + tV)
where
= g(X, t) + (Xa ¡ Xb (t))T Q(X0 + tV)
®1 = 4(VTa QVb ) (41)
¯1 = ¡2(X0,T T 0
a QV + Va QX ) = g(X, t) + (X0 + tV)T Q(X0 + tV) = g(X, t):
°1 = (X0,T T 0 2 T 0,T
a QV + Va QX ) + 4(Va QVb )(Xa QXb ): (43)

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Fig. 20. Algebraic properties of the tangent lines of a parabola.

Fig. 21. Set of feasible trajectories with speed constraints


Thus, from (43), we see that target and observer play vmin = 10 knots · v · vmax = 25 knots.
symmetric roles. Since the target trajectory is tangent
to the bearing lines envelope, so is the observer
trajectory and this ends the proof of Proposition 1. state vector, associated with the (true) target trajectory.
Let us now consider the proof of Proposition 2. Then, from (45):
We use now the tools of (elementary) linear algebra. μ ¶
vy (0)Bμ# t
Assuming that both target and observer are in X= where
rectilinear and uniform motions, then bearings-angle vy (0) (46)
μi are given by
Bμ# = (BμT Bμ )¡1 Bμ :
ry (0) + ivy (0) From (46), we are now in position to represent the set
tan μi = , i = 1, : : : , N (44)
rx (0) + ivx (0) of feasible trajectories. To that aim, it is sufficient to
consider variations of the free parameter and to test
where frx (0), ry (0), vx (0), vy (0)g are the (relative) the constraints, e.g., for speed constraints15 vmin2
·
Cartesian at a reference time (here 0). The target 2 2 2
vx (0) + vy (0) · vmax . This is illustrated by Fig. 21,
trajectory may be parameterized by the 3-dimensional where the observer and target parameters are identical
vector Y = (rx (0), vx (0), ry (0))T , so that (44) can be to that of Fig. 12, except for the target speed which is
rewritten as the following (linear) system: simply the opposite. The only constraints are (target)
speed constraints and there are: vtgt,min = 10 knots,
Bμ Y = vy (0)t where vtgt,max = 25 knots.
0 tan μ The set of feasible trajectories have the shape
1 tan μ1 ¡1 1
of an hourglass (see Fig. 21). It is divided in two
B tan μ 2 tan μ2 ¡1 C
B 2 C parts, one corresponding to the “true” signs of vy (0)
Bμ = B
B .. ..
C
.. C and vx (0) (see (46)), the other to the opposite (the
@ . . . A “ghost” trajectories). We can notice the importance
tan μN N tan μN ¡1 (45) of speed constraints for reducing the area of feasible
0 1 trajectories, even with rough constraints. Let us give
1 now a more precise interpretation to the above result.
B2C
B C First, we denote (Bμ¡1 t)i the ith component of the
t=B C
B .. C : vector Bμ¡1 t, i = 1, 2 or 3. The speed constraint then
@.A
stands as follows:
N
2
2
vmin · vy2 (1 + (Bμ¡1 t)2 ) · vmax
2
(47)
Let us define the set of feasible target trajectories as
the set of rectilinear uniform motions which provide
the set of (exact) measurements fμ1 , μ2 , : : : , μN g, as 15 Note that these constraints are defined in terms of the relative
well as X = frx (0), vx (0), ry (0), vy (0)gT a 4-dimensional speed.

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2
so, that vy,max 2
= vmax =(1 + (Bμ¡1 t)22 ) and the extremal The scalar (Bμ¡1 t)2 only depends of the scenario, i.e., it
vectors of the (convex) set of feasible trajectories (see is common to any choice of the vy parameter). Thus,
Fig. 21) are given by we have
2 2
vy,max 1 vy,min
2
rx,max = (Bμ¡1 t)21 vy,max
2
= = : (53)
2
vx,max (Bμ¡1 t)22 2
vx,min
2
rx,min = (Bμ¡1 t)21 vy,min
2

(48) This equation is completed by a norm one, completely


2
ry,max = (Bμ¡1 t)23 vy,max
2
similar to (50), i.e.,
à !
2
rx,min = (Bμ¡1 t)23 vy,min
2
: 2 2 2 2
vy2
vy,max ¡ vy,min = (vmax ¡ vmin ) : (54)
v2
From (48), we deduce straightforwardly:16

(Bμ¡1 t)21 + (Bμ¡1 t)23 Gathering (53) and (54), we deduce finally:
k~rmax k2 ¡ k~rmin k2 = (vmax
2 2
¡ vmin ) Ã !
1 + (Bμ¡1 t)22 2
vy,max (v2 ¡ v2 ) vy2
μ 2¶ = 1 + max2 min ,
2 2 r 2
vy,min vy,min v2
= (vmax ¡ vmin ) 2 : (49)
v à !
(vtgt,max ¡ vtgt,min ) cos(®) vy2
This result is surprisingly simple. The effect of speed ¼ 1+2 2
2 2 vobs vy,min
constraints (vmax ¡ vmin ) as well as scenario parameters
2 2
on the ratio (r =v ) is noteworthy. Notice also that the and (55)
ratio r2 =v2 is independent of the the particular choice à x ! à x
! Ã !
vtgt,max vtgt,min x
of the “free” parameter vy (0) (see (46)). Hence, it is vobs
¼ +¯
well defined. y
vtgt,max y
vtgt,min
y
vobs
From an operational viewpoint, this result is
particularly enlightening. Actually, it is worth to where the scalar ¯ is an appropriate factor, such that
simply rewrite it as speed constraints remain satisfied.
2 2
(vmax ¡ vmin ) 2
k~rmax k2 ¡ k~rmin k2 = r (50)
v 2 APPENDIX C. CONVEXITY OF THE SET OF FEASIBLE
2 2
TRAJECTORIES
and to examine the ratio (vmax ¡ vmin )=v2 . Invoking the
validity of the assumption vtgt ¿ vobs , we have The aim of this appendix is to prove the convexity
of feasible trajectories and associated propositions
2
(vmax 2
¡ vmin ) (vtgt,max ¡ vtgt,min ) cos(®)
¼2 : (51) (Propositions 3 and 4). First, let us define trajectories
v2 vobs
μ 1 ¶ μ 2 ¶
Pinit Pinit
Thus, this ratio acts as a “reduction” factor for T1 = and T2 = :
1 2
estimating the distance r, under speed constraints; thus Pend Pend
showing that the benefit of including hard constraints
Then, from the definition of S, we have
for range estimation is generally quite noticeable.
It remains to show that the set of feasible 8 1
> Pinit 2 C
trajectories is a convex set. Actually, this results >
<
immediately from the norm triangular inequality. 1
T1 2 S () Pend 2C
Proving that (48) corresponds to extremal vectors is >
>
:
1 1
2
a direct consequence of the fact that vy,max 2
= vmax = kPinit ¡ Pend k·L
¡1 2 2
(1 + (Bμ t)3 ) is an extremal value of the vy velocities, (56)
8 2
which is itself resulting from (47). > Pinit 2 C
>
<
Let us consider now the feasible set of target 2
T2 2 S () Pend 2C
trajectories (see Fig. 5). From the previous results, >
>
:
the relative velocity vector (~v) for a candidate target 2
kPinit 2
¡ Pend k · L:
trajectory is given by
μ ¡1 ¶ Let u 2 [0, 1] and let T3 = (1
(Bμ t)2 ¡ ¡3
u) ¢ T1 ¢+ u ¢ T2 ,
3
~v = ~vtgt ¡~vobs = vy : (52) associated with the trajectory Pinit Pend . We show
1 that T3 2 S, where
à 1 2 !
2 (1 ¡ u) ¢ Pinit + u ¢ Pinit
16 Elementary calculations yield: (Bμ¡1 t)1 = rx2 (0)=vy2 , (Bμ¡1 t)22 =
T3 = :
vx2 =vy2 , (Bμ¡1 t)23 = ry2 (0)=vy2 . 1
(1 ¡ u) ¢ Pend 2
+ u ¢ Pend

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1 2 1 2 [13] Gelfand, A. E., and Smith, A. F. M.
Indeed, as C is convex and Pinit , Pinit , Pend and Pend 2C
Sampling based approaches to calculating marginal
we have
densities.
3 1 2 Journal of the American Statistical Association, 85 (1990),
Pinit = (1 ¡ u) ¢ Pinit + u ¢ Pinit 2C
398—409.
(57)
3 1 2 [14] Gong, K. F., Lindgren, A. G., and Nardone, S. C.
Pend = (1 ¡ u) ¢ Pend + u ¢ Pend : 2 C: Passive localization and motion analysis with a state
3 3 parameter constraint.
Then it remains to show that kPinit ¡ Pend k · L, but In Proceedings of the 15th Asilomar Conference on
3 3 1 1 2 2
Circuits, Systems and Computers, Nov. 9—11, 1981,
kPinit ¡ Pend k = k(1 ¡ u) ¢ (Pinit ¡ Pend ) + u ¢ (Pinit ¡ Pend k 366—374.
1 1 2 2
[15] Greub, W.
· (1 ¡ u) ¢ kPinit ¡ Pend k + u ¢ kPinit ¡ Pend k · L: Linear Algebra (4th ed.).
New York: Springer-Verlag, 1975.
(58)
[16] Grossman, N.
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Frédéric Bavencoff received an M.S. in statistics from the Lille 1 University,
France, in 2001, and the Ph.D. from the University of Rennes, France, in 2005.
He is with Thales Airborne Systems, France, where he is involved in
performance analysis of multitarget tracking algorithms, Bayesian methods, and
the theory of evidence.

Jean-Michel Vanpeperstraete graduated from ENSTA (Ecole Nationale


Supérieure des Techniques Avancées), Paris, in 1986.
He began his career as an engineer with EDF (Electricité de France), and is
now with Thales Airborne Systems, France, where he is involved in information
processing, with a particular emphasis on tactical situation assessment.

Jean-Pierre Le Cadre (M’93) received the M.S. degree in mathematics in 1977,


the “Doctorat de 3¡eme cycle” in 1982, and the “Doctorat d’Etat” in 1987, both
from INPG, Grenoble.
From 1980 to 1989, he worked at the GERDSM (Groupe d’Etudes et de
Recherche en Detection Sous-Marine), a laboratory of the DCN (Direction des
Constructions Navales), mainly on array processing. Since 1989, he is with
IRISA/CNRS, where he is “Directeur de Recherche” at CNRS. His interests are
now topics like system analysis, detection, multitarget tracking, data association,
and operations research.
Dr. Le Cadre has received (with O. Zugmeyer) the Eurasip Signal Processing
best paper award (1993).

BAVENCOFF ET AL.: CONSTRAINED BEARINGS-ONLY TARGET MOTION ANALYSIS 1263

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