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Register a new userReal-time Linear Operator Construction and State Estimation with the Kalman Filter
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Added by
Tsuyoshi Ishizone
Publication date
2020
fields
Mathematical Statistics
and research's language is
English
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The Kalman filter is the most powerful tool for estimation of the states of a linear Gaussian system. In addition, using this method, an expectation maximization algorithm can be used to estimate the parameters of the model. However, this algorithm cannot function in real time. Thus, we propose a new method that can be used to estimate the transition matrices and the states of the system in real time. The proposed method uses three ideas: estimation in an observation space, a time-invariant interval, and an online learning framework. Applied to damped oscillation model, we have obtained extraordinary performance to estimate the matrices. In addition, by introducing localization and spatial uniformity to the proposed method, we have demonstrated that noise can be reduced in high-dimensional spatio-temporal data. Moreover, the proposed method has potential for use in areas such as weather forecasting and vector field analysis.
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This work proposes a resilient and adaptive state estimation framework for robots operating in perceptually-degraded environments. The approach, called Adaptive Maximum Correntropy Criterion Kalman Filtering (AMCCKF), is inherently robust to corrupted measurements, such as those containing jumps or general non-Gaussian noise, and is able to modify filter parameters online to improve performance. Two separate methods are developed -- the Variational Bayesian AMCCKF (VB-AMCCKF) and Residual AMCCKF (R-AMCCKF) -- that modify the process and measurement noise models in addition to the bandwidth of the kernel function used in MCCKF based on the quality of measurements received. The two approaches differ in computational complexity and overall performance which is experimentally analyzed. The method is demonstrated in real experiments on both aerial and ground robots and is part of the solution used by the COSTAR team participating at the DARPA Subterranean Challenge.
In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error squared and covariance minimization) compute empirical measures of filter performance and the parameter are selected manually or selected using some kind of optimization algorithm to maximize these measures of performance. However, there are two challenges with this approach. First, in theory, many of these measures do not guarantee a unique solution due to observability issues. Second, in practice, empirically computed statistical quantities can be very noisy due to a finite number of samples. We propose a method to overcome these limitations. Our method has two main parts to it. The first is to ensure that the tuning problem has a single unique solution. We achieve this by simultaneously tuning the filter over multiple different prediction intervals. Although this yields a unique solution, practical issues (such as sampling noise) mean that it cannot be directly applied. Therefore, we use Bayesian Optimization. This technique handles noisy data and the local minima that it introduces.
The aim of this paper is to propose a new numerical approximation of the Kalman-Bucy filter for semi-Markov jump linear systems. This approximation is based on the selection of typical trajectories of the driving semi-Markov chain of the process by using an optimal quantization technique. The main advantage of this approach is that it makes pre-computations possible. We derive a Lipschitz property for the solution of the Riccati equation and a general result on the convergence of perturbed solutions of semi-Markov switching Riccati equations when the perturbation comes from the driving semi-Markov chain. Based on these results, we prove the convergence of our approximation scheme in a general infinite countable state space framework and derive an error bound in terms of the quantization error and time discretization step. We employ the proposed filter in a magnetic levitation example with markovian failures and compare its performance with both the Kalman-Bucy filter and the Markovian linear minimum mean squares estimator.
This paper studies the distributed state estimation in sensor network, where $m$ sensors are deployed to infer the $n$-dimensional state of a linear time-invariant (LTI) Gaussian system. By a lossless decomposition of optimal steady-state Kalman filter, we show that the problem of distributed estimation can be reformulated as synchronization of homogeneous linear systems. Based on such decomposition, a distributed estimator is proposed, where each sensor node runs a local filter using only its own measurement and fuses the local estimate of each node with a consensus algorithm. We show that the average of the estimate from all sensors coincides with the optimal Kalman estimate. Numerical examples are provided in the end to illustrate the performance of the proposed scheme.
Inertial measurement units are widely used in different fields to estimate the attitude. Many algorithms have been proposed to improve estimation performance. However, most of them still suffer from 1) inaccurate initial estimation, 2) inaccurate initial filter gain, and 3) non-Gaussian process and/or measurement noise. In this paper, we leverage reinforcement learning to compensate for the classical extended Kalman filter estimation, i.e., to learn the filter gain from the sensor measurements. We also analyse the convergence of the estimate error. The effectiveness of the proposed algorithm is validated on both simulated data and real data.
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