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Advances in Space Research 56 (2015) 1627–1634
www.elsevier.com/locate/asr
Received 2 February 2015; received in revised form 16 July 2015; accepted 17 July 2015
Available online 26 July 2015
Abstract
The Extended Kalman filter is widely used for its robustness and simple implementation. Parameters estimated for solving dynamical
systems usually require certain time to converge and need to be smoothed by a dedicated algorithms. The purpose of our study was to
implement smoothing algorithms for processing both code and carrier phase observations with Precise Point Positioning method. We
implemented and used the well known Rauch–Tung–Striebel smoother (RTS). It has been found out that the RTS suffer from significant
numerical instability in smoothed state covariance matrix determination. We improved the processing with algorithms based on Singular
Value Decomposition, which was more robust. Observations from many permanent stations have been processed with final orbits and
clocks provided by the International GNSS service (IGS), and the smoothing improved stability and precision in every cases. Moreover,
(re)convergence of the parameters were always successfully eliminated.
Ó 2015 COSPAR. Published by Elsevier Ltd. All rights reserved.
Keywords: GNSS; Kalman filter; Backward smoothing; Ambiguity; Precise Point Positioning
http://dx.doi.org/10.1016/j.asr.2015.07.020
0273-1177/Ó 2015 COSPAR. Published by Elsevier Ltd. All rights reserved.
1628 P. Vaclavovic, J. Dousa / Advances in Space Research 56 (2015) 1627–1634
Rauch et al. (August 1965) developed the recursive algorithm epochs. A state vector x at the epoch k can be expressed
known as Rauch–Tung–Striebel smoother (RTS) which is as a conditional mean given observations z from epochs
based on results from the previous forward filter in each 1; 2; . . . ; N :
epoch. Zhang et al. (1996) pointed out that the smoother ^xkjN ¼ E½X k jz1 ; z2 ; . . . ; zN
covariance recursion is very sensitive to the round off error
and suggested to implement the new robust algorithm based Three cases can occur: k > N ; k ¼ N or k < N which are
on Singular Value Decomposition (SVD). An alternative termed as prediction, filtering or smoothing. As this paper
for the RTS was published by Bryson et al. (1962) but with is dealing only with smoothing, the prediction and filtering
the equivalent numerical problem. Park et al. (1994) devel- issues are referred to a literature for details (e.g. Anderson
oped new square root forms for smoothing formulas. and Moore, 1979).
Cao et al. (2008) implemented the RTS for carrying out There are three types of smoother: fixed point, fixed lag
the GPS positioning with code data from low cost receiver. and fixed interval. The fixed point smoother estimates xk
However, they have not confronted the numerical weakness for constant k and all N. The fixed lag smoother addresses
because the precise carrier phase data were not used. achieving xk for constant delay between observation recep-
Therefore, the aim of our study was to use the backward tion and state vector estimation. The fixed interval
smoothing for processing the most precise carrier phase smoother, which will be discussed in this paper, uses all
observations. We processed both code and phase observa- data from fixed N epochs to estimate the state at each
tions on undifferenced level, and we used precise satellite epoch. Therefore, it can be used only for post-processing.
orbits and clocks products provided by the International The distinct advantage of all kinds of smoothers is that
GNSS service (IGS), Dow et al. (2009). We applied all nec- more data are used than in case of forward filtering only,
essary correction models, such as tidal displacements, so the estimation is expected to be more precise. The stan-
atmospheric effects, phase wind-up, antenna phase center dard RTS algorithm works with stored results from the
offsets and variations. Introducing the precise satellite Kalman filter and can be expressed in the recursive formula
orbits and clocks is the principle of Precise Point ^xkjN ¼ ^xkjk þ C k ð^xkþ1jN ^xkþ1jk Þ ð1Þ
Positioning (PPP), Kouba and Heroux (2001). The imple-
mentation was done within the framework of the project C k ¼ Rkjk UR1
kþ1jk
at the Geodetic Observatory Pecny in the Czech Republic
RkjN ¼ R1 T
kjk þ C k ðRkþ1jN Rkþ1jk ÞC k ð2Þ
dealing with development of the software library called
G-Nut, Vaclavovic et al. (2013). This software employs where ^xkjN ; RkjN are smoothed state and covariance matrix,
the PPP strategy for precise positioning or troposphere ^xkjk ; Rkjk are updated state and covariance matrix, and
monitoring in post-processing as well as in real time. ^xkþ1jk ; Rkþ1jk are predicted state and covariance matrix. C
The first section of this investigation will summarize the is usually called smoother gain. U was identity in our study
smoothing theory. The next sections will describe the non- because we did not assume receiver motion. However, the
linear system model and the processing scheme. The plots algorithm works also with data from moving receivers
of achieved coordinates and tropospheric time series will because a transition matrix does not influence the equa-
be presented afterwards. Finally, in the conclusion, we will tions stability. The recursion starts at N th epoch and con-
summarise results, limitations, and usage of the backward tinues down to the first one.
smoothing. As mentioned in the previous paragraph, these equa-
tions suffer from numerical problems. This shortcoming
2. Smoothing theory is addressed, for instance, in Zhang et al. (1996). Since
the smoothed covariance matrix is computed by differenc-
The Kalman filtering and smoothing are based on min- ing two matrices it is not guaranteed that the matrix remain
imum variance estimation where both parameters and positive semidefinite. A solution based on SVD is proposed
observations comply with Gaussian distribution. They are in the mentioned paper. The new proposed approach differ
generally developed for discrete linear systems, neverthe- from the standard RTS technique only in estimating
less, each nonlinear system can be linearised via Tailor smoothed covariance matrix because equations for
Series. Such a linear system can be described by the follow- smoothing state vector are robust enough. The
ing equations SVD-based modified equations can be derived as follows.
If RkjN is symmetric and positive semidefinite it can be
xkþ1 ¼ Uk xk þ ek
decomposed by SVD for all k and N
Rkþ1 ¼ Uk Rk UTk þ Rek
z k ¼ Ak x k þ v k RkjN ¼ U kjN DkjN U TkjN ð3Þ
The subscript is a time argument. e is a state noise, and Re where U ; D are an orthogonal and a diagonal matrix,
is a noise covariance matrix. A is usually called design respectively. The problem is transformed into seeking for-
matrix and v post fit residuals. U is a transition matrix mulas for U kjN and DkjN . Let us introduce temporal vari-
describing state transformation between two consecutive ables T 1 and T 2 and their SVD decomposition
P. Vaclavovic, J. Dousa / Advances in Space Research 56 (2015) 1627–1634 1629
2 qffiffiffiffiffiffiffiffi 3
1 every epoch as a white noise process. The receiver coordi-
T1 ¼ 4 Rek Uk 5 ¼ U k Dk V Tk ð4Þ nates were modelled also as a white noise with different
D1 T
kjk U kjk variances for a static and a kinematic solution. The ZWD
" # was described with the random walk process and the ambi-
D1k Vk
T
guities with constants according to their definition.
T2 ¼ kD
¼U k V T
k
Dkþ1jN U kþ1jN C Tk
T
0.40
0.30
0.20
0.10
N [m]
0.00
-0.10
-0.20
-0.30 backward
-0.40
forward
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
0.40
0.30
0.20
0.10
E [m]
0.00
-0.10
-0.20
-0.30 backward
-0.40
forward
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
0.40
0.30
0.20
0.10
U [m]
0.00
-0.10
-0.20
-0.30 backward
-0.40
forward
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
10-APR-2014
20
15
#Sat
10
0
Number of satellites used in the processing
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
10-APR-2014
Fig. 2. Kinematic solution for coordinates based on the forward filter and the backward smoothing. The three top plots show north, east, and up station
coordinate components and the bottom plot shows number of satellites used in the processing during the day.
2.30
2.28
ZTD [m]
2.26
2.24
backward
forward
2.22
EUREF reference product
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
10-APR-2014
Fig. 3. Kinematic solution for troposphere based on the forward filter and the backward smoothing. Zenith total delays are displayed together with the
EUREF final combined products.
1632 P. Vaclavovic, J. Dousa / Advances in Space Research 56 (2015) 1627–1634
modification. The bottom plot shows that the alternative results are station dependant. It can be explained by vari-
approach using SVD is more robust and sufficient because able length of time parameters become stable after cold
negative values were obtained by the RTS time to time. start, which is caused by different quality of code observa-
Fig. 4 also demonstrates that smoothed parameters are tions at different stations. The backward smoothing
more precise than filtered ones along the entire processing exploits already stable parameters, particularly carrier
interval. Similar figure could be shown for all remaining phase ambiguities, and therefore the RMS of smoothed
parameters besides ZTD. ZTDs is less station dependant.
We processed RINEX (Receiver Independent Exchange Pseudo-kinematic coordinates solution has been per-
Format) files with daily observations of sixteen stations of formed for the same sixteen EPN stations and the same
the EUREF Permanent network (EPN) since day of year period. Fig. 6 shows RMS of achieved kinematic coordi-
001 until 100 of 2014, and we estimated ZTDs for those nates from the forward filter only, and Fig. 7 shows
stations via forward filter only as well as backward RMS of achieved coordinates from the backward smooth-
smoothing. Coordinates were kept static in this analysis. ing. We can see that the precision has been improved at
We compared achieved ZTDs to EUREF combined final every station by applying the smoothing algorithm. The
products, and Fig. 5 shows RMS of the differences. It RMS has been decreased mainly due to improving preci-
can be inferred that smoothed ZTDs are more accurate sion after cold starts and after all re-convergences, which
with respect to the EUREF final products at all the sta- can be seen, for instance, on Fig. 2 before 10 p.m. The
tions. We can also see that the RMS of forward filter coordinates of the station DRES has been estimated with
10
backward
forward
8
sqrt(Qii) [mm]
0
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
10-APR-2014
10
backward
forward
8
sqrt(Qii) [mm]
0
00:00 02:00 04:00 06:00 08:00 10:00 12:00 14:00 16:00 18:00 20:00 22:00 00:00
10-APR-2014
Fig. 4. Achieved precision from the algorithm based on standard RTS formula (top) and SVD modification (bottom). The curve with triangles illustrates
square root of variance of ZTD from forward filter and the curve with circles from the backward smoothing.
16
Forward filter Backward smoothing
14
12
ZTD RMS [mm]
10
8
6
4
2
0
WROC
WTZR
GOPE
HOFN
CASC
BRUX
DRES
GRAZ
HERT
POTS
REYK
DENT
MALL
PDEL
NICO
KIRU
Fig. 5. The RMS of differences between EUREF final combined ZTDs and our achieved ZTDs from forward filter or backward smoothing. The plot
shows the comparison for 16 EPN stations.
P. Vaclavovic, J. Dousa / Advances in Space Research 56 (2015) 1627–1634 1633
20
North
East
Up
10
WROC
WTZR
GOPE
HOFN
CASC
BRUX
DRES
GRAZ
HERT
POTS
REYK
DENT
MALL
PDEL
NICO
KIRU
Fig. 6. The RMS of coordinates from pseudo-kinematic solution based on forward filter only. The plot shows the RMS for 16 EPN stations.
20
North
East
Up
Coordinates RMS [cm]
15
10
WROC
GOPE
WTZR
HOFN
CASC
BRUX
DRES
GRAZ
HERT
POTS
REYK
DENT
MALL
PDEL
NICO
KIRU
Fig. 7. The RMS of coordinates from pseudo-kinematic solution based on backward smoothing. The plot shows the RMS for 16 EPN stations.
worse precision compared to other stations. It needs our problems were caused by round off error when subtracting
further investigation and improving robustness of our soft- two very similar matrices. This problem was solved with
ware. On the other hand, it demonstrates that the smooth- reformulating the equations exploiting the SVD matrix
ing algorithm depends on results from forward filter, decomposition.
therefore, if a processing fails in the forward run due to The disadvantage of the algorithm is the need of invert-
low data quality or undetected cycle slips it cannot be very ing the noise matrix containing zero elements for constant
precise neither after backward run. parameters, such as carrier phase ambiguities or static
coordinates. However, if the noise for all those parameters
were increased by very small noise 1e-10 the inversion was
6. Conclusion
accurate enough, and the parameters remained static as
expected.
We described the implementation of the backward
Finally, the combination of both mentioned algorithms
smoothing algorithm for enhancing a state vector using
can be used in post-processing solution. In particular, the
converged parameters, in particular ambiguities. The
kinematic solution was improved significantly since fre-
Kalman filter is a very good technique for a real time pro-
quent re-convergences caused by cycle slips were avoided.
cessing, however, if any delay in the production of a state
It is possible to use the smoothing only for off-line process-
vector estimate can be accepted, the backward smoothing
ing; however, there are also applications where a short
is proper technique for improving precision and making
delay can be permitted, and the real time processing is
the solution much more stable and robust. The main goal
not required. An example is a real-time water vapour mon-
of this investigation was to find out whether the RTS
itoring for modern meteorology applications (Dousa and
smoother could be used in the Precise Point Positioning
Vaclavovic, 2014). Our further development will focus on
for processing undifferenced code and carrier phase obser-
using backward smoothing for troposphere parameters
vations with IGS final orbits and clocks products.
estimation with a 5–15 min delays.
Implementation in GNSS was different from other
branches because a number of unknown parameters
changes due to the initial ambiguities of carrier phase Acknowledgments
observations. The synchronisation of state and covariance
matrix between two consecutive epochs had to be done The development of the G-Nut/Tefnut software was
carefully. It has been shown that the RTS was stable and funded by the Czech Scientific Foundation
robust only for smoothing the state, but it usually failed (P209/12/2207). The implementation of the backward
in determination the covariance matrix. The numerical smoothing was supported by the Student Grant
1634 P. Vaclavovic, J. Dousa / Advances in Space Research 56 (2015) 1627–1634
Competition at the Czech Technical University in Prague Dow, J.M., Neilan, R.E., Rizos, C., 2009. The international GNSS service
(SGS14/053/OHK1/1T/11). We are thankful to the in a changing landscape of global navigation satellite systems. J. Geod.
83 (3–4), 191–198.
EUREF and IGS community providing data and products Kouba, J., Heroux, P., 2001. Precise point positioning using IGS and
used in this work, in particular products of precise global clock products. GPS Sol. 5 (2), 12–28.
orbit and clock corrections supported by individual Mervart, L., Lukes, Z., Rocken, Ch., Tetsuya, I., 2008. Precise point
contributing agencies. positioning with ambiguity resolution in real-time. In: Proceedings of
the 21st International Technical Meeting of the Satellite Division of
The Institute of Navigation (ION GNSS 2008), Savannah, GA,
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