probs/362F1405 April 9, 2015)

Name

EE6439(362) Final 1405

1. A sensor is located at the known position [x0 y0 ]0 in a plane. A constant velocity object has the motion
parameter corresponding to time t = 0 given by

x = [x y ẋ ẏ]0

The estimated motion parameter corresponding to time t = 0 is given by

ˆ0
ˆ ẏ]
x̂ = Ex = [x̂ ŷ ẋ

with corresponding covariance matrix

cov(x) = P
(i) Find the time tCP A (x) corresponding to the closest point of approach (minimum distance d between
the object and the sensor) based on the elements of x. Write the estimated time t̂CP A (x̂) corresponding to
the closest point of approach based on the elements of x̂.
(ii) Find the minimum distance squared DCP A (x) = d(x, tCP A (x))2 . Write the estimated minimum
distance squared D̂CP A (x̂) = d(x̂, t̂CP A (x̂))2 .
(iii) Find the expression of the variance var[tCP A ] based on a first order expansion (as in the EKF), using
x̂ and P . Indicate all the necessary derivatives but there is no need to calculate them in detail.
(iv) Find the expression of the variance var[DCP A ] based on a first order expansion, using x̂ and P .
Indicate how to make sure that all the necessary derivatives will appear in the final expression but there is
no need to calculate them in detail.

2. Given a CWNA motion model in one coordinate with process noise with PSD q̃ = 0.08 m2 /s3 and
measurement noise with σw = 10 √m. It is required to have the steady state RMS position error of the optimal
α-β filter for this system to be 10 m.
(i) What the required gain for the position?
(ii) What is the corresponding maneuvering index?
(iii) Find the sampling interval T
Hint: You can use (from the errata to the text) the α-β filter gain curves for the CWNA model.

2
3. The CRLB for the unbiased and efficient estimator of a scalar parameter x is σCRLB = 100. You carry
out N = 200 MC runs and your sample variance
N
2 1 X 2
σ̂MC = x̃
N i=1 i

where x̃i is the error in run i, has mean

2 2
E[σ̂MC ] = σCRLB = 100

Assume
2
x̃i ∼ N (0, σCRLB )
2 2
(i) Find the variance var[σ̂MC ] and the standard deviation s[σ̂MC ]
(ii) Assuming that
2 2 2
σ̂MC ∼ N (σCRLB , var[σ̂MC ])
2
find P {σ̂MC ≤ 87}.
2
(iii) If you get σ̂MC = 87, does this mean that your estimator is better than the CRLB states, i.e,
“superefficient”, or just lucky?
 SOLUTION EE362F1405

1.
(i) The distance from the sensor to the object is
p
d(t) = (x + ẋt − x0 )2 + (y + ẏt − y0 )2

and is minimum at time

ẋ(x − x0 ) + ẏ(y − y0 )
tCP A (x) = −
ẋ2 + ẏ 2

ˆ − x0 ) + ẏ(ŷ
ẋ(x̂ ˆ − y0 )
t̂CP A (x̂) = −
ˆ 2 + ẏˆ2
ẋ

(ii)
DCP A (x) = (x + ẋtCP A − x0 )2 + (y + ẏtCP A − y0 )2
ˆ t̂CP A − x0 )2 + (ŷ + ẏˆt̂CP A − y0 )2
D̂CP A (x̂) = (x̂ + ẋ
(iii) The Jacobian of tCP A w.r.t. x, evaluated at x̂, is the row vector with components
 0 
∂tCP A ∂tCP A ∂tCP A ∂tCP A 
∇x tCP A |x=x̂ =
∂x ∂y ∂ ẋ ∂ ẏ


x=x̂

var[tCP A ] = [∇x tCP A ]0 P ∇x tCP A

(iv) The Jacobian of DCP A w.r.t. x, evaluated at x̂, is the row vector with components
 0 
∂DCP A ∂DCP A ∂DCP A ∂DCP A 
∇x DCP A |x=x̂ =
∂x ∂y ∂ ẋ ∂ ẏ


x=x̂

where tCP A has to be first substituted into DCP A to make sure all the dependencies w.r.t. the elements of
x̂ are taken into account. Finally,

var[DCP A ] = [∇x DCP A ]0 P ∇x DCP A

2.
(i) √
2
α = P11 /σw = ( 10)2 /102 = 0.1
(ii) From the CWNA α-β filter gain curves

λc ≈ 10−2

(iii)
λ2c = q̃T 3 /σw
2
= 10−4

T = 8−1/3 = 1/2

2
 3.
(i)
2 2 4
var[σ̂MC ]= σ = 100
N CRLB
r
2 2 2
s[σ̂MC ]= σ = 10
N CRLB
2
(ii) Since 87 is 1.3s[σ̂MC ] below the mean
2
E[σ̂MC ] = 100

one has from the table of the standard Gaussian

2
P {σ̂MC ≤ 87} = 0.1

(iii) This is a “reasonable” random deviation and the estimator is not superefficient, just lucky.