Kalman-filter divergence due to process-noise decoupling

1974 ◽  
Vol 121 (6) ◽  
pp. 525 ◽  
Author(s):  
G. Thé
Sensors ◽  
2021 ◽  
Vol 21 (18) ◽  
pp. 6056
Author(s):  
Yoji Takayama ◽  
Takateru Urakubo ◽  
Hisashi Tamaki

One of the great unsolved GNSS problems is inaccuracy in urban canyons due to Non-Line-Of-Sight (NLOS) signal reception. Owing to several studies about the NLOS signal rejection method, almost all NLOS signals can be excluded from the calculation of the position. However, such precise NLOS rejection would make satellite geometry poor, especially in dense urban environments. This paper points out, through numerical simulations and theoretical analysis, that poor satellite geometry leads to unintentional performance degradation of the Kalman filter with a conventional technique to prevent filter divergence. The conventional technique is to bump up process noise covariance, and causes unnecessary inflation of estimation-error covariance when satellite geometry is poor. We propose a novel choice of process noise covariance based on satellite geometry that can reduce such unnecessary inflation. Numerical and experimental results demonstrate that performance improvement can be achieved by the choice of process noise covariance even for a poor satellite geometry.


Author(s):  
Chaodong Zhang ◽  
Jian’an Li ◽  
Youlin Xu

Previous studies show that Kalman filter (KF)-based dynamic response reconstruction of a structure has distinct advantages in the aspects of combining the system model with limited measurement information and dealing with system model errors and measurement Gaussian noises. However, because the recursive KF aims to achieve a least-squares estimate of state vector by minimizing a quadratic criterion, observation outliers could dramatically deteriorate the estimator’s performance and considerably reduce the response reconstruction accuracy. This study addresses the KF-based online response reconstruction of a structure in the presence of observation outliers. The outlier-robust Kalman filter (OKF), in which the outlier is discerned and reweighted iteratively to achieve the generalized maximum likelihood (ML) estimate, is used instead of KF for online dynamic response reconstruction. The influences of process noise and outlier duration to response reconstruction are investigated in the numerical study of a simple 5-story frame structure. The experimental work on a simply-supported overhanging steel beam is conducted to testify the effectiveness of the proposed method. The results demonstrate that compared with the KF-based response reconstruction, the proposed OKF-based method is capable of dealing with the observation outliers and producing more accurate response construction in presence of observation outliers.


2021 ◽  
Author(s):  
Nalini Arasavali ◽  
Sasibhushanarao Gottapu

Abstract Kalman filter (KF) is a widely used navigation algorithm, especially for precise positioning applications. However, the exact filter parameters must be defined a priori to use standard Kalman filters for coping with low error values. But for the dynamic system model, the covariance of process noise is a priori entirely undefined, which results in difficulties and challenges in the implementation of the conventional Kalman filter. Kalman Filter with recursive covariance estimation applied to solve those complicated functional issues, which can also be used in many other applications involving Kalaman filtering technology, a modified Kalman filter called MKF-RCE. While this is a better approach, KF with SAR tuned covariance has been proposed to resolve the problem of estimation for the dynamic model. The data collected at (x: 706970.9093 m, y: 6035941.0226 m, z: 1930009.5821 m) used to illustrate the performance analysis of KF with recursive covariance and KF with computational intelligence correction by means of SAR (Search and Rescue) tuned covariance, when the covariance matrices of process and measurement noises are completely unknown in advance.


Author(s):  
N. S. Gopaul ◽  
J. G. Wang ◽  
B. Hu

An image-aided inertial navigation implies that the errors of an inertial navigator are estimated via the Kalman filter using the aiding measurements derived from images. The standard Kalman filter runs under the assumption that the process noise vector and measurement noise vector are white, i.e. independent and normally distributed with zero means. However, this does not hold in the image-aided inertial navigation. In the image-aided inertial integrated navigation, the relative positions from optic-flow egomotion estimation or visual odometry are <i>pairwise</i> correlated in terms of time. It is well-known that the solution of the standard Kalman filter becomes suboptimal if the measurements are colored or time-correlated. Usually, a shaping filter is used to model timecorrelated errors. However, the commonly used shaping filter assume that the measurement noise vector at epoch <i>k</i> is not only correlated with the one from epoch <i>k</i> &ndash; 1 but also with the ones before epoch <i>k</i> &ndash; 1 . The shaping filter presented in this paper uses Cholesky factors under the assumption that the measurement noise vector is pairwise time-correlated i.e. the measurement noise are only correlated with the ones from previous epoch. Simulation results show that the new algorithm performs better than the existing algorithms and is optimal.


Sensors ◽  
2019 ◽  
Vol 19 (2) ◽  
pp. 364 ◽  
Author(s):  
Ming Xia ◽  
Chundi Xiu ◽  
Dongkai Yang ◽  
Li Wang

The pedestrian navigation system (PNS) based on inertial navigation system-extended Kalman filter-zero velocity update (INS-EKF-ZUPT or IEZ) is widely used in complex environments without external infrastructure owing to its characteristics of autonomy and continuity. IEZ, however, suffers from performance degradation caused by the dynamic change of process noise statistics and heading estimation errors. The main goal of this study is to effectively improve the accuracy and robustness of pedestrian localization based on the integration of the low-cost foot-mounted microelectromechanical system inertial measurement unit (MEMS-IMU) and ultrasonic sensor. The proposed solution has two main components: (1) the fuzzy inference system (FIS) is exploited to generate the adaptive factor for extended Kalman filter (EKF) after addressing the mismatch between statistical sample covariance of innovation and the theoretical one, and the fuzzy adaptive EKF (FAEKF) based on the MEMS-IMU/ultrasonic sensor for pedestrians was proposed. Accordingly, the adaptive factor is applied to correct process noise covariance that accurately reflects previous state estimations. (2) A straight motion heading update (SMHU) algorithm is developed to detect whether a straight walk happens and to revise errors in heading if the ultrasonic sensor detects the distance between the foot and reflection point of the wall. The experimental results show that horizontal positioning error is less than 2% of the total travelled distance (TTD) in different environments, which is the same order of positioning error compared with other works using high-end MEMS-IMU. It is concluded that the proposed approach can achieve high performance for PNS in terms of accuracy and robustness.


2014 ◽  
Vol 136 (3) ◽  
Author(s):  
Sidra Khanam ◽  
J. K. Dutt ◽  
N. Tandon

Vibration analysis has been widely accepted as a common and reliable method for bearing fault identification, however, the presence of noise in the measured signal poses the maximum amount of difficulty. Therefore, for the clearer detection of defect frequencies related to bearing faults, a denoising technique based on the Kalman filtering algorithm is presented in this paper. The Kalman filter yields a linear, unbiased, and minimum mean error variance recursive algorithm to optimally estimate the unknown states of a dynamic system from noisy data taken at discrete real time intervals. The dynamics of a rotor bearing system is presented through a linear model, where displacement and velocity vectors are chosen as states of the system. Process noise and measurement noise in the equations of motion take into account the modeling inaccuracies and vibration from other sources, respectively. The covariance matrix of the process noise has been obtained through the transfer function approach. The efficiency of the proposed technique is validated through experiments. Periodic noise and random noises obeying the white Gaussian, colored Gaussian and non-Gaussian distribution have been simulated and mixed with a clean experimental signal in order to study the efficiency of the standard Kalman filter under various noisy environments. Additionally, external vibrations to the test rig have been imparted through an electromechanical shaker. The results indicate an improvement in the signal to noise ratio, resulting in the clear identification of characteristic defect frequencies after passing the signal through the Kalman filter. The authors find that there is sufficient potential in using the Kalman filter as an effective tool to denoise the bearing vibration signal.


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