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TMA

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INTRODUCTION

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

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

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

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.

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

=

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

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.

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.

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

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.

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

Ã 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

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.

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

2

ry,max = (Bμ¡1 t)23 vy,max

2

similar to (50), i.e.,

Ã !

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 Ã !

(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 Ã x ! Ã 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

Ã 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.

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[16] Grossman, N.

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[33] Passerieux, J. M. Operations Research, 32 (1984), 1296—1308.

Estimation par régions de confiance en trajectographie [40] Tanner, M. A.

passive. Tools for Statistical Inference (3rd ed.).

Actes du XV-ème colloque GRETSI, Juan-les-Pins, Sept. New York: Springer-Verlag, 1996.

1995, 153—1156. [41] Tierney, L.

[34] Poor, H. V. Markov chains for exploring posterior distributions (with

An Introduction to Signal Detection and Estimation (2nd discussion).

ed.). Journal of the American Statistical Association, 82 (1987),

New York: Springer-Verlag, 1998. 528—550.

[35] Robert, C. P., and Casella, G. [42] Wagner, D. H., Mylander, W. C., and Sanders, T. J.

Monte Carlo Statistical Methods. Naval Operations Analysis, (3rd ed.).

New York: Springer, Texts in Statistics, 2000. Annapolis, MD: Naval Institute Press, 1999.

1262 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 42, NO. 4 OCTOBER 2006

Authorized licensed use limited to: UR Rennes. Downloaded on July 10, 2009 at 11:15 from IEEE Xplore. Restrictions apply.

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.

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.

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).

Authorized licensed use limited to: UR Rennes. Downloaded on July 10, 2009 at 11:15 from IEEE Xplore. Restrictions apply.

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