Weak in the NEES?: Auto-tuning Kalman Filters with Bayesian Optimization

Kalman filters are routinely used for many data fusion applications including navigation, tracking, and simultaneous localization and mapping problems. However, significant time and effort is frequently required to tune various Kalman filter model parameters, e.g. process noise covariance, pre-whitening filter models for non-white noise, etc. Conventional optimization techniques for tuning can get stuck in poor local minima and can be expensive to implement with real sensor data. To address these issues, a new "black box" Bayesian optimization strategy is developed for automatically tuning Kalman filters. In this approach, performance is characterized by one of two stochastic objective functions: normalized estimation error squared (NEES) when ground truth state models are available, or the normalized innovation error squared (NIS) when only sensor data is available. By intelligently sampling the parameter space to both learn and exploit a nonparametric Gaussian process surrogate function for the NEES/NIS costs, Bayesian optimization can efficiently identify multiple local minima and provide uncertainty quantification on its results.Comment: Final version presented at FUSION 2018 Conference, Cambridge, UK, July 2018 (submitted June 1, 2018

A Bayesian fusion model for space-time reconstruction of finely resolved velocities in turbulent flows from low resolution measurements

The study of turbulent flows calls for measurements with high resolution both in space and in time. We propose a new approach to reconstruct High-Temporal-High-Spatial resolution velocity fields by combining two sources of information that are well-resolved either in space or in time, the Low-Temporal-High-Spatial (LTHS) and the High-Temporal-Low-Spatial (HTLS) resolution measurements. In the framework of co-conception between sensing and data post-processing, this work extensively investigates a Bayesian reconstruction approach using a simulated database. A Bayesian fusion model is developed to solve the inverse problem of data reconstruction. The model uses a Maximum A Posteriori estimate, which yields the most probable field knowing the measurements. The DNS of a wall-bounded turbulent flow at moderate Reynolds number is used to validate and assess the performances of the present approach. Low resolution measurements are subsampled in time and space from the fully resolved data. Reconstructed velocities are compared to the reference DNS to estimate the reconstruction errors. The model is compared to other conventional methods such as Linear Stochastic Estimation and cubic spline interpolation. Results show the superior accuracy of the proposed method in all configurations. Further investigations of model performances on various range of scales demonstrate its robustness. Numerical experiments also permit to estimate the expected maximum information level corresponding to limitations of experimental instruments.Comment: 15 pages, 6 figure

Extended Object Tracking: Introduction, Overview and Applications

This article provides an elaborate overview of current research in extended object tracking. We provide a clear definition of the extended object tracking problem and discuss its delimitation to other types of object tracking. Next, different aspects of extended object modelling are extensively discussed. Subsequently, we give a tutorial introduction to two basic and well used extended object tracking approaches - the random matrix approach and the Kalman filter-based approach for star-convex shapes. The next part treats the tracking of multiple extended objects and elaborates how the large number of feasible association hypotheses can be tackled using both Random Finite Set (RFS) and Non-RFS multi-object trackers. The article concludes with a summary of current applications, where four example applications involving camera, X-band radar, light detection and ranging (lidar), red-green-blue-depth (RGB-D) sensors are highlighted.Comment: 30 pages, 19 figure

Incrementally Learned Mixture Models for GNSS Localization

GNSS localization is an important part of today's autonomous systems, although it suffers from non-Gaussian errors caused by non-line-of-sight effects. Recent methods are able to mitigate these effects by including the corresponding distributions in the sensor fusion algorithm. However, these approaches require prior knowledge about the sensor's distribution, which is often not available. We introduce a novel sensor fusion algorithm based on variational Bayesian inference, that is able to approximate the true distribution with a Gaussian mixture model and to learn its parametrization online. The proposed Incremental Variational Mixture algorithm automatically adapts the number of mixture components to the complexity of the measurement's error distribution. We compare the proposed algorithm against current state-of-the-art approaches using a collection of open access real world datasets and demonstrate its superior localization accuracy.Comment: 8 pages, 5 figures, published in proceedings of IEEE Intelligent Vehicles Symposium (IV) 201