scholarly journals Variational Bayesian Two-Stage Kalman Filter for Systems with Unknown Inputs

2012 ◽  
Vol 29 ◽  
pp. 2265-2273 ◽  
Author(s):  
Junlong Sun ◽  
Jie Zhou ◽  
Xuekui Gu
Keyword(s):  
Kalman Filter ◽  
Two Stage ◽  
Variational Bayesian ◽  
Unknown Inputs

Kalman filter with unknown inputs and robust two-stage filter

1998 ◽  
Vol 29 (1) ◽  
pp. 41-47 ◽  
Author(s):  
J.Y. KELLER ◽  
M. DAROUACH ◽  
L. CARAMELLE
Keyword(s):  
Kalman Filter ◽  
Two Stage ◽  
Unknown Inputs

scholarly journals Variational Bayesian-Based Improved Maximum Mixture Correntropy Kalman Filter for Non-Gaussian Noise

Entropy ◽  
2022 ◽  
Vol 24 (1) ◽  
pp. 117
Author(s):  
Xuyou Li ◽  
Yanda Guo ◽  
Qingwen Meng
Keyword(s):  
Kalman Filter ◽  
Gaussian Noise ◽  
State Space Model ◽  
Performance Evaluations ◽  
Gaussian State ◽  
Variational Bayesian ◽  
Space Model ◽  
Bandwidth Parameter ◽  
Non Gaussian ◽  
Filtering Problem

The maximum correntropy Kalman filter (MCKF) is an effective algorithm that was proposed to solve the non-Gaussian filtering problem for linear systems. Compared with the original Kalman filter (KF), the MCKF is a sub-optimal filter with Gaussian correntropy objective function, which has been demonstrated to have excellent robustness to non-Gaussian noise. However, the performance of MCKF is affected by its kernel bandwidth parameter, and a constant kernel bandwidth may lead to severe accuracy degradation in non-stationary noises. In order to solve this problem, the mixture correntropy method is further explored in this work, and an improved maximum mixture correntropy KF (IMMCKF) is proposed. By derivation, the random variables that obey Beta-Bernoulli distribution are taken as intermediate parameters, and a new hierarchical Gaussian state-space model was established. Finally, the unknown mixing probability and state estimation vector at each moment are inferred via a variational Bayesian approach, which provides an effective solution to improve the applicability of MCKFs in non-stationary noises. Performance evaluations demonstrate that the proposed filter significantly improves the existing MCKFs in non-stationary noises.

scholarly journals Aircraft Inertial Measurement Unit Fault Diagnosis Based on Optimal Two-Stage UKF

2018 ◽  
Vol 36 (5) ◽  
pp. 933-941
Author(s):  
Qizhi He ◽  
Weiguo Zhang ◽  
Degang Huang ◽  
Huakun Chen ◽  
Jinglong Liu
Keyword(s):  
Kalman Filter ◽  
Fault Diagnosis ◽  
Nonlinear System ◽  
Inertial Measurement Unit ◽  
Unscented Kalman Filter ◽  
Optimal Estimation ◽  
Measurement Unit ◽  
Two Stage ◽  
Inertial Measurement ◽  
System States

Optimal two stage Kalman filter (OTSKF) is able to obtain optimal estimation of system states and bias for linear system which contains random bias. Unscented Kalman filter (UKF) is a conventional nonlinear filtering method which utilizes Sigmas point sampling and unscented transformation technology realizes propagation of state means and covariances through nonlinear system. Aircraft is a typical complicate nonlinear system, this paper treats the faults of Inertial Measurement Unit (IMU) as random bias, established a filtering model which contains faults of IMU. Hybird the two stage filtering technique and UKF, this paper proposed an optimal two stage unscented Kalman filter (OTSUKF) algorithm which is suitable for fault diagnosis of IMU, realized optimal estimation of system states and faults identification of IMU via proposed innovative designing method of filtering model and the algorithm was validated that it is robust to wind disterbance via real flight data and it is also validated that proposed OTSUKF is optimal in the existance of wind disturbance via comparing with the existance iterated optimal two stage extended kalman filter (IOTSEKF) method.

scholarly journals Variational Bayesian Kalman filter using natural gradient

2021 ◽  
Author(s):  
Hu Yumei ◽  
Wang Xuezhi ◽  
Pan Quan ◽  
Hu Zhentao ◽  
Bill Moran
Keyword(s):  
Kalman Filter ◽  
Natural Gradient ◽  
Variational Bayesian ◽  
Bayesian Kalman Filter

scholarly journals Aircraft Inertial Measurement Unit Fault Diagnosis Based on Adaptive Two-Stage UKF

2020 ◽  
Vol 38 (4) ◽  
pp. 806-813
Author(s):  
Qizhi He ◽  
Weiguo Zhang ◽  
Xiaoxiong Liu ◽  
Weinan Li
Keyword(s):  
Kalman Filter ◽  
Random Walk ◽  
Fault Diagnosis ◽  
Inertial Measurement Unit ◽  
Unscented Kalman Filter ◽  
Random Walk Model ◽  
Measurement Unit ◽  
Actual Situation ◽  
Two Stage ◽  
Inertial Measurement

In the case of nonlinear systems with random bias, the Optimal Two-Stage Unscented Kalman Filter (OTSUKF) can obtain the optimal estimation of system state and bias. But it requires random bias to be accurately modeled, while it is always very difficult in actual situation because the aircraft is a typical nonlinear system. In this paper, the faults of the Inertial Measurement Unit (IMU) are treated as a random bias, and the random walk model is used to describe the fault. The accuracy of the random walk model depends on the degree of matching between the covariance of the random walk model and the actual situation. For the IMU fault diagnosis method based on OTSUKF, the covariance of the random walk model is assigned with a constant matrix, and the value of the matrix is initialized empirically. It is very difficult to select a matching matrix in practical applications. For this problem, in this paper, the covariance matrix of the random walk model is adaptively adjusted online based on the innovation covariance matching technique, and an adaptive Two-Stage Unscented Kalman Filter (ATSUKF) is proposed to solve the fault diagnosis problem of the IMU. The simulation experiment compares the IMU fault diagnosis performance of OTSUKF and ATSUKF, and verifies the effectiveness of the proposed adaptive method.

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