Professional Documents
Culture Documents
Correspondence
Currently there exist two commonly used measurement
fusion methods for Kalman-filter-based multisensor data
fusion. The first (Method I) simply merges the multisensor data
through the observation vector of the Kalman filter, whereas
the second (Method II) combines the multisensor data based on
a minimum-mean-square-error criterion. This paper, based on
an analysis of the fused state estimate covariances of the two
measurement fusion methods, shows that the two measurement
fusion methods are functionally equivalent if the sensors used for
data fusion, with different and independent noise characteristics,
have identical measurement matrices. Also presented are
simulation results on state estimation using the two measurement
fusion methods, followed by the analysis of the computational
advantages of each method.
I. INTRODUCTION
Consider the following tracking problem. A
dynamic target is tracked by N disparate sensors,
each with different measurement dynamics and noise
characteristics. How can we combine the multisensor
measurements to obtain a joint state-vector estimate
which is better than the individual sensor-based
estimates? There are various multisensor data fusion
approaches to resolve this problem, of which Kalman
filtering is one of the most significant. Methods for
Kalman-filter-based data fusion, including state-vector
fusion and measurement fusion, have been widely
studied over the last decade [1—10]. As shown in
Fig. 1(a), state-vector fusion methods use a group
of Kalman filters to obtain individual sensor-based
state estimates which are then fused to obtain an
improved joint state estimate. Whereas measurement
fusion methods directly fuse the sensor measurements
to obtain a weighted or combined measurement and
then use a single Kalman filter to obtain the final
state estimate based upon the fused observation.
Measurement fusion methods generally provide better
overall estimation performance, while state-vector
fusion methods have a lower computation and
communication cost and have the advantages of
0018-9251/01/$10.00 °
c 2001 IEEE
IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 37, NO. 1 JANUARY 2001 273
computational cost, otherwise Method I is more
flexible and more efficient. Also presented are some
simulation results on state estimation using the
two measurement fusion methods in Section III, to
illustrate their comparative attributes.
274 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 37, NO. 1 JANUARY 2001
C. The Kalman Filter and its Information Form D. On Functional Equivalence of the Two
Measurement Fusion Methods
Given the state-space model described by (1)
and (3), the Kalman filter provides an unbiased and Comparing (4)—(6) with (7)—(9), we note that the
optimal estimate of the state-vector in the sense of treatment in the two measurement fusion methods are
minimum estimate covariance, which can be described quite different. However, we find that there exists a
by the following equations [12—14]. certain form of functional equivalence between the
Prediction: two methods, contained in the following theorem.
x̂(t j t ¡ 1) = A(t)x̂(t ¡ 1 j t ¡ 1) + B(t)u(t) (10) THEOREM If the N sensors used for data fusion, with
different and independent noise characteristics, have
P(t j t ¡ 1) = A(t)P(t ¡ 1 j t ¡ 1)AT (t) + Q(t): (11) identical measurement matrices, i.e., C1 (t) = C2 (t) =
¢ ¢ ¢ = CN (t), then the measurement fusion Method I
Estimate (Correction): is functionally equivalent to the measurement fusion
Method II.
K(t) = P(t j t ¡ 1)C T (t)[C(t)P(t j t ¡ 1)C T (t) + R(t)]¡1
(12) PROOF The following formula in linear algebra will
be used to cope with the inversion of matrices:
x̂(t j t) = x̂(t j t ¡ 1) + K(t)[y(t) ¡ C(t)x̂(t j t ¡ 1)] (13) · ¸ · ¸
A1 A2 ¡1 B1 B2
P(t j t) = [I ¡ K(t)C(t)]P(t j t ¡ 1) (14) = (19)
A3 A4 B3 B4
where x̂(t j t) represents the estimate of the state-vector (A + HBH T )¡1 = A¡1 ¡ A¡1 H(B ¡1 + H T A¡1 H)¡1 H T A¡1
x(t j t), P(t j t) is the state estimate covariance matrix,
(20)
and K(t) is the Kalman gain matrix.
If we define a so-called information state vector: where B1 = (A1 ¡ A2 A¡1 ¡1 ¡1
4 A3 ) , B2 = ¡B1 A2 A4 , B3 =
¡1 ¡1 ¡1 ¡1
ẑ(t1 j t2 ) ´ P ¡1 (t1 j t2 )x̂(t1 j t2 ), where P ¡1 (t1 j t2 ) is ¡A4 A3 B1 , and B4 = A4 + A4 A3 B1 A2 A4 .
called the information matrix, then the standard
If the standard Kalman filter is used, in order to
Kalman filter can be transformed into the following
demonstrate the functional equivalence of the two
information form.
measurement fusion methods we only need to check
Prediction:
whether the terms K(t)C(t) and K(t)y(t) in Method I
ẑ(t j t ¡ 1) = P ¡1 (t j t ¡ 1)A(t)P(t ¡ 1 j t ¡ 1) are functionally equivalent to those in Method II.
Alternatively, if the information filter is used,
£ ẑ(t ¡ 1 j t ¡ 1) + P ¡1 (t j t ¡ 1)B(t)u(t) then we need to check the functional equivalence
(15) between terms C T (t)R ¡1 (t)C(t) and C T (t)R ¡1 (t)y(t)
in both methods. To avoid confusion, the variables
P(t j t ¡ 1) = A(t)P(t ¡ 1 j t ¡ 1)AT (t) + Q(t): (16) in Method I are indexed by (I) and the variables in
Method II indexed by (II) . For simplicity, the time
Estimate (Correction):
argument in Cj (t) and Rj (t) will be omitted in the
ẑ(t j t) = ẑ(t j t ¡ 1) + C T (t)R ¡1 (t)y(t) (17) following derivation.
First, consider the case when the standard Kalman
P ¡1 (t j t) = P ¡1 (t j t ¡ 1) + C T (t)R ¡1 (t)C(t): (18) filter is applied. Because of the complexity of the
innovations covariance matrix, direct derivation
The information form of the Kalman filter, or via this route is complex. Let us begin with
information filter, is functionally equivalent to sensor-to-sensor fusion, i.e., N = 2. Letting C1 = C2 =
the Kalman filter, but has some computational C and − (I) = CP (I) (t j t ¡ 1)C T , we obtain the Kalman
advantages, especially in multisensor data fusion gain in Method I as follows:
where the innovations covariance matrix · ¸¡1
[C(t)P(t j t ¡ 1)C T (t) + R(t)] is usually of high R1 + − (I) − (I)
K (I) (t) = P (I) (t j t ¡ 1)(C (II) )T
dimension and nondiagonal. The major difference − (I) R2 + − (I)
between the standard Kalman filter and the
information filter lies in their estimate phase. = P (I) (t j t ¡ 1)C T [(R2 + − (I) )¡1
The estimate phase of the information filter is
simpler as the gain matrix K(t) in the standard £ R2 [R1 + − (I) ¡ − (I) (R2 + − (I) )¡1 − (I) ]¡1 ,
Kalman filter is more complex than the term £ (R2 + − (I) )¡1 ¡ (R2 + − (I) )¡1
C T (t)R ¡1 (t) in the information filter, especially in
multisensor data fusion where the inversion £ R2 [R1 + − (I) ¡ − (I) (R2 + − (I) )¡1 − (I) ]¡1
[C(t)P(t j t ¡ 1)C T (t) + R(t)]¡1 in K(t) may become
computationally prohibitive. £ − (I) (R2 + − (I) )¡1 ]: (21)
CORRESPONDENCE 275
In Appendix A, the following equalities are proved: generalized result can also be obtained based on the
following proof with the information filter and the
(R2 + − (I) )¡1 R2 [R1 + − (I) ¡ − (I) (R2 + − (I) )¡1 − (I) ]¡1 functional equivalence between the standard Kalman
= [− (I) + R1 (R1 + R2 )¡1 R2 ]¡1 R2 (R1 + R2 )¡1 filter and information filter.
Now, consider the case when the information
(22)
filter is applied. From (4)—(9), it is easy to prove the
and
following equalities:
(R2 + − (I) )¡1 ¡ (R2 + − (I) )¡1 R2 N
X
(I) (I) (I) ¡1
£ [R1 + − ¡ − (R2 + − ) − ] − (R2 + − ) (I) ¡1 (I) (I) ¡1 [C (I) (t)]T [R (I) (t)]¡1 C (I) (t) = CjT Rj¡1 Cj (30)
j=1
= [− (I) + R1 (R1 + R2 )¡1 R2 ]¡1 R1 (R1 + R2 )¡1 : (23)
N
X
Based on (21)—(23), we have [C (I) (t)]T [R (I) (t)]¡1 y(I) (t) = CjT Rj¡1 yj (31)
j=1
K (I) (t) = P (I) (t j t ¡ 1)C T
[C (II) (t)]T [R (II) (t)]¡1 C (II) (t)
£ [CP (I) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1
20 1¡1 3T
£ [R2 (R1 + R2 )¡1 , R1 (R1 + R2 )¡1 ] (24) N N N
6 X ¡1 A X ¡1 7 X ¡1
= 4@ Rj Rj Cj 5 Rj Cj
K (I) (t)C (I) (t) = P (I) (t j t ¡ 1)C T
j=1 j=1 j=1
£ [CP (I) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1 C
(32)
(25)
[C (II) (t)]T [R (II) (t)]¡1 y(II) (t)
K (I) (t)y(I) (t) = P (I) (t j t ¡ 1)C T 20 1¡1 3T
N N N
£ [CP (I) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1 6 X ¡1 A X ¡1 7 X ¡1
= 4@ Rj Rj Cj 5 Rj yj :
£ [R2 (R1 + R2 )¡1 y1 (t) + R1 (R1 + R2 )¡1 y2 (t)]: j=1 j=1 j=1
(26) (33)
(II)
If C1 = C2 = C, then C = C, and we obtain the If Cj = C, j = 1, 2, : : : , N, then we have
Kalman gain in Method II as follows:
[C (I) (t)]T [R (I) (t)]¡1 C (I) (t) = [C (II) (t)]T [R (II) (t)]¡1 C (II) (t)
K (II) (t) = P (II) (t j t ¡ 1)C T
(34)
£ [CP (II) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1
[C (I) (t)]T [R (I) (t)]¡1 y(I) (t) = [C (II) (t)]T [R (II) (t)]¡1 y(II) (t)
(27)
(35)
and we can derive the terms K (II) (t)C (II) (t) and
K (II) (t)y(II) (t): Based on the formulation of the information filter
(15)—(18), obviously there exists a functional
K (II) (t)C (II) (t) = P (II) (t j t ¡ 1)C T equivalence between the two measurement fusion
methods.
£ [CP (II) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1 C
The functional equivalence of the two
(28) measurement fusion methods is limited to the case
K (II) (t)y(II) (t) = P (II) (t j t ¡ 1)C T when C1 = C2 = ¢ ¢ ¢ = CN . If C1 6= C2 6= ¢ ¢ ¢ 6= CN ,
then the functional equivalence will no longer
£ [CP (II) (t j t ¡ 1)C T + R1 (R1 + R2 )¡1 R2 ]¡1 hold. Because Method I makes use of all the raw
£ [R2 (R1 + R2 )¡1 y1 (t) + R1 (R1 + R2 )¡1 y2 (t)] measurement information, it most likely provides
a better estimate. Additionally, if the sensors are
(29)
dissimilar, Method II may not work at all (e.g., if Ci
Note that (25) and (28) are in the same form and that and Cj are of different sizes). Based on the above
(26) and (29) are also in the same form. Therefore, theorem, we should choose Method II if C1 = C2 =
with the same initial conditions, i.e., P (I) (0 j 0) = ¢ ¢ ¢ = CN is satisfied, otherwise Method I is a better
P (II) (0 j 0) and x̂(I) (0 j 0) = x̂(II) (0 j 0), the Kalman choice.
filters based on the observation information generated
by (4)—(6) and (7)—(9), irrespectively, will result in III. SIMULATION RESULTS
the same state estimate x̂(t j t). This means that the
two measurement fusion methods are functionally For experimental comparison of the two
equivalent in the sensor-to-sensor case. This result can measurement fusion methods, simulation results are
be generalized for N sensors. More conveniently, the obtained in this section using the following target and
276 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 37, NO. 1 JANUARY 2001
sensor models which are extensively studied in [1—8]:
· ¸ · 2 ¸
1 T T =2
x(t) = x(t ¡ 1) + v(t) (36)
0 1 T
yj (t) = Cj x(t) + wj (t), j = 1, 2 (37)
where the sampling time T = 1, v(t) = N(0, q), and
wj (t) = N(0, Rj ). In [1—8], simulation studies were
carried out for comparing the fused state estimate
covariance of the state-vector fusion method or the
measurement fusion method with the single-sensor
(unfused) state estimate covariance. In the first stage
of our simulation studies, some results on the gain
of the multisensor data fusion, which are similar to
those reported in [1—8], are repeated. However, the
simulation studies here are focused on the comparison
of the fused state estimate covariance matrices of
the two measurement fusion methods. Two cases
are considered here. In case 1, two sensors have
identical measurement matrices, which are set as
C1 = C2 = [1 0]. In case 2, two sensors have different
measurement matrices, which are set as C1 = [1 0]
and C2 = [1 0:5]. In both cases, two situations, i.e.,
R1 = R2 and R1 6= R2 , are considered.
The state-space model described by (36)—(37)
satisfies the conditions under which the fused
state estimate covariance P(t j t) will converge to a
steady-state value [7], which is denoted here by
· ¸
P11 P12
:
P12 P22
Fig. 2 illustrates the results in case 1 with R1 = R2
= 1, where the fused state estimate covariances in
steady-state values of the two measurement fusion
methods are given with variation of the process
noise covariance q from 0.001 to 1000. Curves
of P11 versus q, P12 versus q, and P22 versus q are
shown in Fig. 2(a), (b), and (c), respectively. The
results from Method I are shown in solid lines and Fig. 2. Comparison of fused state estimate covariances of two
measurement fusion methods in case 1 (C1 = C2 ), with
those from Method II in dashed lines. Similar results R1 = R2 = 1. (a) P11 versus q. (b) P12 versus q. (c) P22 versus q.
in case 1, with R1 = 1 and R2 = 1:25, are given in
Fig. 3(a), (b), and (c) in the same format. From
Figs. 2 and 3 we note that Method I and Method II measurement fusion methods for Kalman-filter-based
obtain the same state estimation results, i.e., they multisensor data fusion. The two measurement fusion
are functionally equivalent as stated in the theorem. methods are functionally equivalent if the sensors
In a similar way, the results in case 2 are shown in have identical measurement matrices. In this case,
Fig. 4 with R1 = R2 = 1 and in Fig. 5 with R1 = 1 Method II is more efficient than Method I, because
and R2 = 1:25, respectively. Note that in case 2 the of its lower computational cost. However, Method I
results from Method I and Method II are different, outperforms Method II when the measurement
and Method I outperforms Method II. This is because matrices of the sensors are different. In addition, by
Method I provides complete measurement information comparatively examining the formulations of the two
to the Kalman filter which actually has the ability of measurement fusion methods, we note that Method I
information integration by itself. is more flexible and will become more efficient in
the sense of computational cost, when the number
IV. CONCLUSION of sensors increases and the measurement matrices
of sensors are different, and especially when the
This paper presents both theoretical and measurement matrices and noise characteristics are
experimental results on the comparison of two time-varying. Also, by using the information filter
CORRESPONDENCE 277
Fig. 3. Comparison of fused state estimate covariances of two
measurement fusion methods in case 1 (C1 = C2 ), R1 = 1 and Fig. 4. Comparison of fused state estimate covariances of two
R2 = 1:25. (a) P11 versus q. (b) P12 versus q. (c) P22 versus q. measurement fusion methods in case 2 (C1 6= C2 ), with
R1 = R2 = 1. (a) P11 versus q. (b) P12 versus q. (c) P22 verus q.
278 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 37, NO. 1 JANUARY 2001
= [− (I) + R1 (R1 + R2 )¡1 R2 ]¡1
£ [R1 (R1 + R2 )¡1 R2 + R1 (R1 + R2 )¡1 − (I) ] ¢ (R2 + − (I) )¡1
= [− (I) + R1 (R1 + R2 )¡1 R2 ]¡1 ¢ R1 (R1 + R2 )¡1
£ (R2 + − (I) )(R2 + − (I) )¡1
= [− (I) + R1 (R1 + R2 )¡1 R2 ]¡1 R1 (R1 + R2 )¡1 : (39)
ACKNOWLEDGMENTS
QIANG GAN
CHRIS J. HARRIS
Image, Speech and Intelligent Systems Research Group
Department of Electronics and Computer Science
University of Southampton
Southampton SO17 1BJ
UK
E-mail: (qg@ecs.soton.ac.uk, cjh@ecs.soton.ac.uk)
REFERENCES
CORRESPONDENCE 279
[10] Mazor, E., Averbuch, A., Bar-Shalom, Y., and Dayan, J. is found. The sequential detector requires much less
(1998) hardware but has a much longer acquisition time than
Interacting multiple model methods in target tracking: A
survey.
the matched filter approach when long code sequences
IEEE Transactions on Aerospace and Electronic Systems, are used.
34, 1 (1998), 103—123. The coarse/fine (C/F) search approach presented
[11] Gan, Q., and Harris, C. J. (1999) here is a parallel two-stage acquisition technique.
Fuzzy local linearization and local basis function Other two-stage acquisition examples can be found
expansion in nonlinear system modeling.
IEEE Transactions on Systems, Man, and Cybernetics, 29,
in the literature [1—3]. These acquisition schemes were
Pt. B, 3 (1999). designed to reduce computational complexity. The C/F
[12] Gan, Q., and Harris, C. J. (1999) search scheme, however, was developed specifically to
Neurofuzzy state estimators using a modified ASMOD reduce the required hardware.
and Kalman filter algorithm. The specific application for the C/F approach is
In Proceedings of International Conference on
Computational Intelligence for Modelling Control and
DS/SS range finding. This application requires rapid
Automation, Vienna, Feb. 1999, 214—219. acquisition and code sequence synchronization in a
[13] Manyika, J., and Durrant-Whyte, H. (1994) channel that contains only the desired code sequence
Data Fusion and Sensor Management: A Decentralized at the target modulation frequency. The repeating
Information-Theoretic Approach. sequence contains L chips. A high signal-to-noise
New York: Ellis Horwood, 1994.
ratio (SNR) is expected for this application, and this
[14] Doyle, R. S., and Harris, C. J. (1996)
Multi-sensor data fusion for helicopter guidance using high SNR is exploited to permit testing of several
neuro-fuzzy estimation algorithms. code phases in parallel during the initial acquisition
The Royal Aeronautical Society Journal (June/July 1996), search.
241—251. The storage required by an algorithm has a
profound effect on the cost of the implementation
hardware. One prior example [1] computes
A Coarse/Fine Search PN Code Acquisition Scheme the L correlations of an m-sequence using a
Walsh-Hadamard transform which reduces the
computational complexity from L2 additions to
(L + 1) log2 (L + 1) additions. This method reduces
computation significantly, but it requires storage for
A parallel two-stage acquisition technique is described
a full symbol of input samples.
for direct sequence spread spectrum (DS/SS) range finding The remainder of this paper first describes the C/F
applications. The technique offers hardware complexity that technique. Next, estimates of hardware complexity
scales better with code length than matched filter correlators are provided for both the full symbol matched filter
while providing better performance than sequential detection and the C/F approach. The C/F technique is shown
using comparable hardware. to scale much better with code length than the full
symbol matched filter. A performance estimate
is provided for the C/F acquisition probability
I. INTRODUCTION using a channel with additive white Gaussian noise
(AWGN). Mean acquisition time estimates are offered
The problem of code acquisition in direct sequence
for comparison between the C/F approach and a
spread spectrum (DS/SS) systems has been studied
serial correlator made with comparable hardware
extensively, and the basic compromise is between
complexity. The C/F technique is shown to work
hardware complexity and acquisition time. Two
very well with the high SNR expected for the ranging
basic search strategies, the matched filter correlator
application.
and the sequential detector, illustrate the extreme
cases. The matched filter correlator approach is a
hardware-intensive solution that quickly searches all II. APPROACH
of the possible code phases. The other extreme is a This approach is intended for ranging applications
sequential detector in which a single active correlator in which there is a large SNR. Further, this approach
tests each phase of the code serially until a match assumes that there are L chips per symbol with
L = 22n ¡ 1 and n 2 @. The C/F search consists of
Manuscript received October 6, 1998; revised August 4, 2000; an initial coarse phase estimation followed by a
released for publication August 9, 2000. fine phase calculation.
p The coarse estimation is
IEEE Log No. T-AES/37/1/02934. accomplished using L + 1 correlators to calculate
correlations of smoothed input data for one symbol
Refereeing of this contribution was handled by P. K. Willett.
period (L chip periods). This is illustrated in Fig. 1.
The input signal r(t) is integrated over each chip
0018-9251/01/$10.00 °
c 2001 IEEE period to form elements of the discrete sequence rk
280 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 37, NO. 1 JANUARY 2001