probs/362mt19 February 21, 2020 Name (legible):

ECE6439(362) MT — 1903
Open book; Please show all your work and make sure to put page numbers. Use only one side of each sheet.

1. The planar motion of an object with constant velocity is characterized by the (unknown) vector

x = [x y ẋ ẏ]0
∆
where (x y) = (x(0) y(0)) is its initial position at t = 0 and (ẋ ẏ) its constant velocity.
A sensor known to be located at (xs (tsk ) y s (tsk )) at the known times tsk obtains measurements at these
times of the direction of arrival of the signal emitted by the object at an earlier time tE
k (because of the delay
due to the known propagation speed c of the signal)

zk = h[xs (tsk ), y s (tsk ), x(tE E

k ), y(tk )] + wk k = 1, . . . , n

where
y s (ts ) − y(tE
 
s ∆ k)
h[x (tsk ), y s (tsk ), x(tE E
k ), y(tk )] = arctan s sk
x (tk ) − x(tE k)

and wk are zero-mean white Gaussian with variance σ 2 .

(i) Write the time delay equation that relates tE s s s s s
k , tk , x (tk ) y (tk ), c and the components of x.
(ii) Indicate how it can be solved to yield tk = f [tk , x, y, ẋ, ẏ, xs (tsk ), y s (tsk )] (no need to obtain the
E E s

solution). Hint: express x(tE E

k ) and y(tk ) in terms of the components of x, using the constant velocity
motion.
∆
(iii) Write the likelihood function Λ(x; Z n ) of x given Z n = {zk }nk=1 .
(iv) Specify the CRLB for the estimation of x in terms of the gradient of h (no need to obtain the explicit
full solution).
(v) Provide the expression of the total derivative of h w.r.t. x (the first component of x), needed in the
gradient of h, in terms of all the partial derivatives that will have to be accounted for (no need to obtain the
explicit full solution). Hint: h depends on the components of x directly, as well as indirectly via tE k.

2. Given two sensors S1 and S2 that provide (scalar) measurements with biases b1 and b2 and noise w1
and w2 , respectively, of the same target at unknown (scalar) location x

z1 = x + b1 + w1 z2 = x + b2 + w2

with noises
2 2
w1 ∼ N (0, σw ) w2 ∼ N (0, σw )
Since we are not interested in x, let

z = z1 − z2 = b1 − b2 + w1 − w2 = b1 − b2 + w

We want to estimate
b = [b1 b2 ]0
modeled as r.v. with priors
b1 ∼ N (b̄1 , σ02 ) b2 ∼ N (b̄2 , σ02 )
All the r.v. above are independent.
(i) Find Pbz
(ii) Find Pzz
(iii) Find the posterior mean b̂ conditioned on z.
(iv) Find the condititonal covariance matrix Pbb|z
(v) Assuming σ0 = σw = 1, b̄1 = b̄2 = 0 find the expression of b̂ in terms of z and evaluate the covariance
matrix Pbb|z .
 Solution 362MT1903
1.
(i)
1
q
tsk = tE
k + [x(tE s s 2 E s s 2
k ) − x (tk )] + [y(tk ) − y (tk )]
c
or
[(tsk − tE 2 E s s 2 E s s 2
k )c] = [x(tk ) − x (tk )] + [y(tk ) − y (tk )]

(ii) Using in the above

x(tE E
k ) = x + ẋtk y(tE E
k ) = y + ẏtk

yields
[(tsk − tE 2 E s s 2 E s s 2
k )c] = [x + ẋtk − x (tk )] + [y + ẏtk − y (tk )]

which is a quadratic equation in tE

k that yields

tE E s s s s s
k = f [tk , x, y, ẋ, ẏ, x (tk ), y (tk )]

(iii) ( )
n
n
√ −n
X
s
2
(tsk ), y s (tsk ), x(tE E 2

Λ(x; Z ) = ( 2πσ) exp − zk − h[x k ), y(tk )] /(2σ )
k=1

(iv) From (3.7.4-4) in the text

" n
#−1
X
2 0
cov[x] ≥ σ (∇x h)(∇x h)
k=1

(v) Note that h depends on x through x(tE E

k ) as well as through tk (since the latter depends on each
component of x).
The total derivative of h w.r.t. x is
∂x(tE ∂x(tE E
 
dh ∂h k) k ) ∂tk
= +
dx ∂x(tE
k) ∂x ∂tE
k ∂x

2.
(i)
Pbz = [σ02 − σ02 ]0
(ii)
Pzz = 2σ02 + 2σw
2

(iii)
1
b̂ = b̄ + [σ02 − σ02 ]0 (z1 − z2 − b̄1 + b̄2 )
2σ02 + 2σw
2

(iv)
−1
Pbb|z = Pbb − Pbz Pzz Pzb
(v)
 
3/4 1/4
Pbb|z =
1/4 3/4