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IMM estimator versus optimal estimator for hybrid systems

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IMM Estimator Versus Optimal
Estimator for Hybrid Systems
YAAKOV BAR-SHALOM, Fellow, IEEE
University of Connecticut
SUBHASH CHALLA
Sydney University of Technology
Australia
HENK A. P. BLOM
National Aerospace Laboratory NLR
The Netherlands
The special feature of the interacting multiple model (IMM)
estimator that distinguishes it from other suboptimal multiple
model (MM) estimators is the “mixing/interaction” between its
“mode-matched” base state filtering modules at the beginning of
each cycle. This note shows that the same feature is exactly what
it has in common with the optimal estimator for hybrid (MM)
systems and this can be seen as the main reason for its success.
Manuscript received May 19, 2004; revised August 27, 2004 and
April 6, 2005; released for publication April 6, 2005.
IEEE Log No. T-AES/41/3/856445.
Refereeing of this contriubtion was handled by W. Koch.
Authors’ addresses: Y. Bar-Shalom, University of Connecticut,
Dept. of Electrical and Computer Engineering, Storrs, CT
06269-1157, E-mail: (ybs@ee.uconn.edu); S. Challa, Sydney
Technological University, Sydney, Australia; H. A. P. Blom,
National Aerospace Laboratory NLR, Amsterdam, The Netherlands.
0018-9251/05/$17.00 °
c 2005 IEEE
986 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 41, NO. 3
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I. INTRODUCTION
Since its introduction, the interacting multiple
model (IMM) estimator [3—5] has enjoyed remarkable
success in state estimation for hybrid systems
(see, e.g., [11], [2], [14], [1]). Such systems are
characterized by multiple models that describe their
various behavior modes. In each mode there is a “base
state,” and a “modal state” indicates in what mode the
system is at a certain time.
The IMM estimator structure consists of the
following three steps:
1) mixing/interaction of the mode-conditioned
estimates at the beginning of the estimation cycle;
2) mode-conditioned base-state estimation
(prediction and update of the base state), done
independently for each mode by appropriate
(mode-matched) filter modules;
3) mode probability (modal state) prediction,
update and retrodiction, done using the outputs of all
the mode-conditioned base-state filters.
The primary difference between the IMM and optimal
estimator is in the use of an approximate information
state–a Gaussian mixture–in the former.
The IMM estimator, which (for r models) consists
of r mode-matched filter modules for base-state
estimation, was shown (e.g., [5]) to have essentially
the same computational requirements as the GPB1
estimator [1] but performs almost as well as the
GPB2 estimator, which consists of r2 mode-matched
filter modules. The special feature of the IMM
estimator–the mixing step 1 at the beginning of the
estimation cycle–is what distinguishes it from the
other two suboptimal MM estimators. This note shows
that the same special feature of the IMM estimator
is exactly what it has in common with the optimal
estimator and this can be seen as the main reason for
its success.
Section II describes the hybrid estimation problem.
Section III presents the optimal estimator. Section IV
discusses other estimators and contrasts their
approaches to the optimal one. Section V presents a
summary and conclusions.
II. ESTIMATION PROBLEM IN HYBRID SYSTEMS
Consider a multiple model (hybrid) stochastic
system
x(k) = f[k, x(k ¡ 1), v(k ¡ 1), M(k)] (1)
z(k) = h[k, x(k), w(k), M(k)] (2)
where k denotes the sampling time tk ; M(k), the modal
state (model), is a Markov chain with r states and,
conditioned on the model, the continuous valued
“base” state x(k) is Markov, i.e., the process noise
sequence v(k) is white; the measurement noise
JULY 2005
 sequence w(k) is white; the two noise sequences, If the measurement noise w(k) is white, then
the initial state x(0) and the mode sequence are the first term in the last line above (the likelihood
independent of each other. The observation (2) usually function of the augmented state at time k + 1) can be
provides only indirect information about the modal rewritten as follows
state.
In continuous time notation, M(k) is assumed to p[z(k + 1) j x(k + 1), M(k + 1) = j, Z k ]
be the model in effect during the (entire) semiclosed
= p[z(k + 1) j x(k + 1), M(k + 1) = j]: (10)
interval (tk¡1 , tk ]. The possible modal states are
M(k) = j, j = 1, : : : , r (3) The last term in (9) can be written as

where r is the number of possible models. The modal p[x(k + 1), M(k + 1) = j j Z k ]
state Markov chain is modeled as having transition
(jump) probabilities = p[x(k + 1) j M(k + 1) = j, Z k ]PfM(k + 1) = j j Z k g

¢ = p[x(k + 1) j M(k + 1) = j, Z k ]
Pij = PfM(k) = j j M(k ¡ 1) = ig,
X
i, j = 1, : : : , r (4) ¢ PfM(k + 1) = j j M(k) = i, Z k gPfM(k) = i j Z k g
i
assumed known and independent of the base state.
X
In this situation the augmented hybrid state = p[x(k + 1) j M(k + 1) = j, Z k ] Pij ¹k,i (11)
y(k) = fx(k), M(k)g (5) i

is a Markov sequence [4]. where the sum is over all the models at time k. The
The purpose is to estimate y(k), i.e., both the base first term on the right-hand side (RHS) of (11) is
state as well as the modal state. This is accomplished the prediction of the base state conditioned on model
by obtaining the joint mixed pdf-probability M(k + 1), and is given by

¢ p[x(k + 1) j M(k + 1) = j, Z k ]
pk,i = p[y(k) j Z k ] = p[x(k), M(k) = i j Z k ] (6)
Z
where = p[x(k + 1) j x(k), M(k + 1) = j, Z k ]
¢
Z k =fz(l)gkl=0 : (7)
¢ p[x(k) j M(k + 1) = j, Z k ]dx(k)
The mode probability at time k is Z
Z
¢
¹k,i = PfM(k) = i j Z g = p[x(k), M(k) = i j Z k ]dx(k)
k = p[x(k + 1) j x(k), M(k + 1) = j]

Z
¢ p[x(k) j M(k + 1) = j, Z k ]dx(k): (12)
= pk,i dx(k): (8)
The second term under the integral above can be
Note that (6) is an information state (see, e.g., [1], rewritten, using the total probability theorem with
[14]), i.e., it is the minimal information necessary to respect to all the possible models at time k, as
calculate the probability density function (pdf) of any
function of a future y(l), l > k. p[x(k) j M(k + 1) = j, Z k ]
X
= p[x(k) j M(k) = i, M(k + 1) = j, Z k ]
III. OPTIMAL ESTIMATOR
i
The optimal estimator consists of the propagation
¢ PfM(k) = i j M(k + 1) = j, Z k g
and update of the information state pk,i from (6). The
procedure to obtain the next information state pk+1,j is X
= p[x(k) j M(k) = i, Z k ]
via Bayes’ formula as follows
i
¢
pk+1,j = p[x(k + 1), M(k + 1) = j j Z k+1 ] ¢ PfM(k) = i j M(k + 1) = j, Z k g: (13)
k
= p[x(k + 1), M(k + 1) = j j Z , z(k + 1)] Note that (13) is the “mixing” or “interaction” step 1
1 as in the IMM estimator, where
= p[z(k + 1) j x(k + 1), M(k + 1) = j, Z k ]
c1k+1,j ¢
¹k,ijj = PfM(k) = i j M(k + 1) = j, Z k g (14)
¢ [x(k + 1), M(k + 1) = j j Z k ] (9)
are the “mixing probabilities.” Using these mixing
where c1k+1,j is the normalization constant. probabilities, the mode-conditioned base-state pdfs

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from time k are mixed and then used to obtain the Using the above in (11),
mode-conditioned base-state predictions in (12).1
p[x(k + 1), M(k + 1) = j j Z k ]
The optimal update is done simultaneously for
1 X
n Z o
the base state and the modal state as in (9). Next we
= Pij p[x(k + 1) j x(k), M(k + 1) = j]pk,i dx(k)
combine (9)—(13) to obtain the optimal update written c2k,j
i
in a single equation. X
The mode-conditioned base-state pdf at k from ¢ Pij ¹k,i
(13) can be expressed as i

k
X½ Z ¾
p[x(k), M(k) = i j Z ] pk,i = Pij p[x(k + 1) j x(k), M(k + 1) = j]pk,i dx(k)
p[x(k) j M(k) = i, Z k ] = =
PfM(k) = i j Z k g ¹k,i i

(15) (20)
where use was made of (17).
assuming the probability ¹k,i of mode i at time k is Finally, using (10) and (20) in (9) yields the
non-zero (as seen below, ¹k,i cancels in the update recursion for the optimal estimator as
process). The mixing probabilities can be written
1
as pk+1,j = p[z(k + 1) j x(k + 1), M(k + 1) = j]
c1k+1,j
¹k,ijj = PfM(k) = i j M(k + 1) = j, Z k g X½ Z ¾
¢ Pij p[x(k + 1) j x(k), M(k + 1) = j]pk,i dx(k) ,
1 i
= PfM(k + 1) = j j M(k) = i, Z k g
c2k,j j = 1, : : : , r (21)
¢ PfM(k) = i j Z k g The second line in (21) is the base-state prediction
conditioned on mode j at time k + 1 while the third
1 line is the predicted probability for this mode. The
= P ¹ (16)
c2k,j ij k,i multiplication with the joint likelihood function
of the base state at k + 1 and mode j at k + 1
where X yields their joint posterior probability after the
c2k,j = Pij ¹k,i (17) appropriate normalization. Equation (21) is thus the
i mode-matched filter for the augmented state (base and
is the normalizing constant. modal) at time k + 1, the counterpart of steps 2 and 3
Using (15)—(16), the mixing equation (13) in the IMM; however, the normalization step requires
becomes the outputs from all these mode-matched filters, which
is similar to the requirement in step 3 of the IMM.
X pk,i 1
p[x(k) j M(k + 1), Z k ] = P ¹ Also note that there are r such filters, as in the IMM.
¹k,i c2k,j ij k,i It is of interest to point out that (21) does not
i
require conditioning on the past history of modes
1 X if one has pk,i –this is because the augmented state
= Pij pk,i : (18)
c2k,j is Markov. However, since there is no closed-form
i
expression for pk,i , approximations are necessary. As
Note the cancelation of ¹k,i above. discussed in the next section, the alternative to this is
Using now (18), the mode-conditioned predicted an expansion w.r.t. the entire past history of modes,
base-state pdf (12) can be written as which requires an exponentially increasing number of
terms.
p[x(k + 1) j M(k + 1) = j, Z k ]
Z
1 X IV. OTHER ESTIMATORS
= p[x(k + 1) j x(k), M(k + 1) = j] Pij pk,i dx(k)
c2k,j
i
A. IMM Estimator
Z
1 X
= Pij p[x(k + 1) j x(k), M(k + 1) = j]pk,i dx(k): The main difference between the IMM estimator
c2k,j
i and the optimal one is that the IMM uses the
(19) following approximation [1, p. 453]
p[x(k) j M(k) = i, Z k ]
1 This mixing was obtained in the appendix of [4] for a
¼ N [x(k); x̂M(k)=i (k j k), P M(k)=i (k j k)] (22)
Markov-jump linear Gaussian system, using notation from measure
theory. The goal of this paper is to keep the problem formulation where x̂M(k)=i (k j k) and P M(k)=i (k j k) are the
general and the notations as simple as posssible (but not simpler). mode-conditioned mean and covariance of the base

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 state. These are obtained using r mode-matched C. GPB2 Estimator
filters with initial conditions at the beginning of the
cycle calculated from the previous mode-conditioned The GPB2 estimator approximates the pdf of the
estimates by a weighted summation with the mixing base state as a Gaussian mixture with r2 terms
(interaction) probabilities as in (16). In other p[x(k + 1) j Z k+1 ]
words, the mixing/interaction in the IMM is done
according to the exact equation (13), but with the X
r X
r

mode-conditioned base-state pdf approximated as ¼ N [x(k + 1); x̂M(k+1)=j,M(k)=i (k + 1 j k + 1),

Gaussian as in (22) and the mixing probabilities (16) j=1 i=1
P M(k+1)=j,M(k)=i (k + 1 j k + 1)]
evaluated using the same approximation.
Then the conditional pdf of the base state is ¢ PGPB2 fM(k + 1) = j, M(k) = i j Z k+1 g: (26)
(approximately) the following Gaussian mixture
At the end of the cycle the inside summation in the
p[x(k + 1) j Z k+1 ] above is replaced using moment-matching by a single
r
X Gaussian for each j.
¼ N [x(k + 1); x̂M(k+1)=j (k + 1 j k + 1), Note that, in view of the conditioning on Z k+1 in
j=1 the last term above, the double summation in (26) has
P M(k+1)=j (k + 1 j k + 1)] to be carried out after z(k + 1) is obtained. In contrast
to this, the IMM uses only a single summation in (23)
¢ PIMM fM(k + 1) = j j Z k+1 g (23)
that has to be carried out after z(k + 1) is obtained;
where the (updated) mode probability PIMM fM(k + 1) this single summation relies on (22), which in turn,
= j j Z k+1 g is computed from the mode-matched filter relies on the mixing/interaction, which is a summation
innovations using a Gaussian pdf based on (22), that can be carried out before z(k + 1) is obtained.
i.e., according to the IMM approximation (and is The implication of the double summation in (26) is
subscripted accordingly, to distinguish from the exact the need to use r2 mode-matched filters in the GPB2
and the other approximate algorithms). algorithm. Details of the algorithm can be found
The fact that r mode-matched filters are needed in [1].
follows from the single summation in (23). Details of
the algorithm can be found in [1]. D. Implementation of Optimal Estimator for
Jump-Linear-Gaussian Systems
B. GPB1 Estimator
For a jump-linear-Gaussian system, which is a
The GPB1 (generalized pseudo-Bayesian of order special case of the hybrid system (2)—(3), the only
1) estimator approximates the conditional pdf of the way one can implement the optimal estimator is
base state by the following Gaussian mixture by using a Gaussian mixture with an exponentially
increasing number of terms, namely,
p[x(k + 1) j Z k+1 ]
p[x(k + 1) j Z k+1 ]
r
X
¼ N [x(k + 1); x̂M(k+1)=j (k + 1 j k + 1), r
X
k+1
k+1
j=1 = N [x(k + 1); x̂M =l
(k + 1 j k + 1),
P M(k+1)=j (k + 1 j k + 1)] l=1 k+1
PM =l
(k + 1 j k + 1)]
¢ PGPB1 fM(k + 1) = j j Z k+1 g (24)

which differs from (23) in that the initial conditions of
each mode-matched filter are the same. At the end of
the cycle (24) is replaced by the single Gaussian
k+1
p[x(k + 1) j Z ]
¼ N [x(k + 1); x̂(k + 1 j k + 1), P(k + 1 j k + 1)]
(25)
by moment-matching it to the Gaussian mixture
obtained from r mode-matched filters and the updated
mode probabilities. This is then used in the next
cycle as the (common) initial condition for all the r
mode-matched filters. Details of the algorithm can be
found in [1].
¢ PfM k+1 = l j Z k+1 g (27)
where
¢
fM k+1 = lg =fM(1) = i1 , M(2) = i2 , : : : , M(k + 1) = ik+1 g
(28)
is the lth sequence of modes (history) out of the
possible rk+1 sequences by time k + 1. Note that (27),
which can be seen as a “brute force approach,” is
really not a recursion.
Unless the decomposition of the base-state
conditional pdf (27) is done (with the total probability
theorem) w.r.t. the set of events (28), whose number
is exponentially increasing, one cannot write this

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pdf exactly. This is the reason why the optimal MM REFERENCES
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an approximation of (21). The interacting model algorithm for systems with
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 Yaakov Bar-Shalom See page 851 of this issue for biography.

Subhash Challa (M’98) received his B. Tech degree from Jawaharlal Nehru
Technological University, Hyderabad, India, in 1994, and a Ph.D. degree from
Queensland University of Technology, Brisbane, Australia, 1999. He was a visiting
fellow at Harvard University in 1997, Boston, MA, before joining the Department of
Electrical Engineering, The University of Melbourne, Melbourne, Australia in 1998,
where he headed the tracking and data fusion laboratory. He has been offered the
prestigious Tan-Chin-Tau Fellowship at Nanyang Technological University, Singapore
from October 2002 to January 2003. He is a professor of Computer Systems Engineering
at the University of Technology Sydney and also a lecturer for the first online course on
multi-sensor data fusion given as a part of a graduate course in signal and information
processing by the University of Adelaide, Australia. He has given over 10 Industry
courses in the areas of tracking and data fusion.
Starting with his doctoral studies in the design of advanced non-linear filters for
difficult target tracking problems, his research interests span over a range of topics
including, particle filters, joint target tracking and classification, Bayesian data fusion
in, sensor scheduling and situation awareness. He has managed a number of defence
contracts from Defence Science Technology Organisation (DSTO), Australia and Defence
Advanced Research Program (DARPA), USA.
He has been an active member of the international signal processing, tracking and
data fusion community–publishing in IEEE Transactions on Aerospace and Electronic
Systems and Signal Processing, and affiliated conferences, contributing to their reviewing
process and collaborating with researchers in USA, UK, and Europe.
He has been an active participant in ISIF (International Society for Information
Fusion) activities and has served ISIF in various capacities including as a session chair
for joint target tracking and recognition in FUSION2000, and as a publicity chair for
Fusion 2002 held in Washington D.C. His most notable contribution to ISIF was the
organization of the FUSION2003 conference that was held in Cairns, Australia in
July 2003. In addition, he has been the program chair for International Decision and
Control Conference (IDC2002), Adelaide, Australia and was an invited speaker at the
International Radar Symposium India, in December 2001 (IRSI 2001).

Henk A. P. Blom was born in The Netherlands in 1953. In 1978, he received the M.Sc.
degree in electrical engineering from Twente University. In 1979, he performed research
in forward-looking infra-red picture processing at TNO Physics Laboratory in The Hague.
In 1980 he joined NLR in Amsterdam, and his research focussed on estimation and
control of stochastic hybrid systems, and potential applications to air traffic management
(ATM). In 1988, he was visiting researcher at the University of Connecticut, Storrs. In
1990 he received the Ph.D. degree from Delft University of Technology on a dissertation
entitled: “Bayesian estimation for decision-directed stochastic control.” He coauthored
50 conference papers, 10 book chapters and 10 journal papers, and coedited the Lecture
Note in Control and Information Science title “Stochastic Hybrid Systems: Theory and
Safety Critical Application” (Springer, forthcoming).
At NLR he developed stochastic analysis based innovative systems in ATM, the most
notable of which are ARTAS and TOPAZ. ARTAS is a Bayesian multi-sensor multi-target
tracking system, which incorporates automated data registration and contingency
management. Since 1998, ARTAS has become operational at a steadily increasing
number of air traffic control centres. TOPAZ is a stochastic analysis based accident risk
modelling system to provide safety/capacity feedback to advanced ATM designs. Since
2001, TOPAZ has proven its value in providing unique safety feedback to the design
and introduction of novel ATM operations. For these innovative system developments he
received NLR’s Dr. Ir. B.M. Spee Award in 2004.
Dr. Blom is an active member of FAA/Eurocontrol working groups to coordinate
ATM R&D on Separation Minima and on Safety respectively.

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