Approximate Gaussian conjugacy: parametric recursive filtering under nonlinearity, multimodality, uncertainty, and constraint, and beyond

Since the landmark work of R. E. Kalman in the 1960s, considerable efforts have been devoted to time series state space models for a large variety of dynamic estimation problems. In particular, parametric filters that seek analytical estimates based on a closed-form Markov–Bayes recursion, e.g., recursion from a Gaussian or Gaussian mixture (GM) prior to a Gaussian/GM posterior (termed ‘Gaussian conjugacy’ in this paper), form the backbone for a general time series filter design. Due to challenges arising from nonlinearity, multimodality (including target maneuver), intractable uncertainties (such as unknown inputs and/or non-Gaussian noises) and constraints (including circular quantities), etc., new theories, algorithms, and technologies have been developed continuously to maintain such a conjugacy, or to approximate it as close as possible. They had contributed in large part to the prospective developments of time series parametric filters in the last six decades. In this paper, we review the state of the art in distinctive categories and highlight some insights that may otherwise be easily overlooked. In particular, specific attention is paid to nonlinear systems with an informative observation, multimodal systems including Gaussian mixture posterior and maneuvers, and intractable unknown inputs and constraints, to fill some gaps in existing reviews and surveys. In addition, we provide some new thoughts on alternatives to the first-order Markov transition model and on filter evaluation with regard to computing complexity

Tracking and Estimation Algorithms for Bearings Only Measurements

The Bearings-only tracking problem is to estimate the state of a moving object from noisy observations of its direction relative to a sensor. The Kalman filter, which provides least squares estimates for linear Gaussian filtering problems is not directly applicable because of the highly nonlinear measurement function of the state, representing the bearings measurements and so other types of filters must be considered. The shifted Rayleigh filter (SRF) is a highly effective moment-matching bearings-only tracking algorithm which has been shown, in 2D, to achieve the accuracy of computationally demanding particle filters in situations where the well-known extended Kalman filter and unscented Kalman filter often fail. This thesis has two principal aims. The first is to develop accurate and computationally efficient algorithms for bearings-only tracking in 3D space. We propose algorithms based on the SRF, that allow tracking, in the presence of clutter, of both nonmaneuvering and maneuvering targets. Their performances are assessed, in relation to competing methods, in highly challenging tracking scenarios, where they are shown to match the accuracy of high-order sophisticated particle filters, at a fraction of the computational cost. The second is to design accurate and consistent algorithms for bearings-only simultaneous localization and mapping (SLAM). The difficulty of this problem, originating from the uncertainty in the position and orientation of the sensor, and the absence of range information of observed landmarks, motivates the use of advanced bearings-only tracking algorithms. We propose the quadrature-SRF SLAM algorithm, which is a moment-matching filter based on the SRF, that numerically evaluates the exact mean and covariance of the posterior. Simulations illustrate the accuracy and consistency of its estimates in a situation where a widely used moment-matching algorithm fails to produce consistent estimates. We also propose a Rao-Blackwellized SRF implementation of a particle filter, which, however, does not exhibit favorable consistency properties

The Constant Information Radar

abstract: The constant information radar, or CIR, is a tracking radar that modulates target revisit time by maintaining a fixed mutual information measure. For highly dynamic targets that deviate significantly from the path predicted by the tracking motion model, the CIR adjusts by illuminating the target more frequently than it would for well-modeled targets. If SNR is low, the radar delays revisit to the target until the state entropy overcomes noise uncertainty. As a result, we show that the information measure is highly dependent on target entropy and target measurement covariance. A constant information measure maintains a fixed spectral efficiency to support the RF convergence of radar and communications. The result is a radar implementing a novel target scheduling algorithm based on information instead of heuristic or ad hoc methods. The CIR mathematically ensures that spectral use is justified

Estimation, Decision and Applications to Target Tracking

This dissertation mainly consists of three parts. The first part proposes generalized linear minimum mean-square error (GLMMSE) estimation for nonlinear point estimation. The second part proposes a recursive joint decision and estimation (RJDE) algorithm for joint decision and estimation (JDE). The third part analyzes the performance of sequential probability ratio test (SPRT) when the log-likelihood ratios (LLR) are independent but not identically distributed. The linear minimum mean-square error (LMMSE) estimation plays an important role in nonlinear estimation. It searches for the best estimator in the set of all estimators that are linear in the measurement. A GLMMSE estimation framework is proposed in this disser- tation. It employs a vector-valued measurement transform function (MTF) and finds the best estimator among all estimators that are linear in MTF. Several design guidelines for the MTF based on a numerical example were provided. A RJDE algorithm based on a generalized Bayes risk is proposed in this dissertation for dynamic JDE problems. It is computationally efficient for dynamic problems where data are made available sequentially. Further, since existing performance measures for estimation or decision are effective to evaluate JDE algorithms, a joint performance measure is proposed for JDE algorithms for dynamic problems. The RJDE algorithm is demonstrated by applications to joint tracking and classification as well as joint tracking and detection in target tracking. The characteristics and performance of SPRT are characterized by two important functions—operating characteristic (OC) and average sample number (ASN). These two functions have been studied extensively under the assumption of independent and identically distributed (i.i.d.) LLR, which is too stringent for many applications. This dissertation relaxes the requirement of identical distribution. Two inductive equations governing the OC and ASN are developed. Unfortunately, they have non-unique solutions in the general case. They do have unique solutions in two special cases: (a) the LLR sequence converges in distributions and (b) the LLR sequence has periodic distributions. Further, the analysis can be readily extended to evaluate the performance of the truncated SPRT and the cumulative sum test

Robust Multi-Object Tracking: A Labeled Random Finite Set Approach

The labeled random finite set based generalized multi-Bernoulli filter is a tractable analytic solution for the multi-object tracking problem. The robustness of this filter is dependent on certain knowledge regarding the multi-object system being available to the filter. This dissertation presents techniques for robust tracking, constructed upon the labeled random finite set framework, where complete information regarding the system is unavailable

Approximate Gaussian Conjugacy: Parametric Recursive Filtering Under Nonlinearity, Multimodal, Uncertainty, and Constraint, and Beyond

This is a post-peer-review, pre-copyedit version of an article published in Frontiers of Information Technology & Electronic Engineering. The final authenticated version is available online at: https://doi.org/10.1631/FITEE.1700379Since the landmark work of R. E. Kalman in the 1960s, considerable efforts have been devoted to time series state space models for a large variety of dynamic estimation problems. In particular, parametric filters that seek analytical estimates based on a closed-form Markov–Bayes recursion, e.g., recursion from a Gaussian or Gaussian mixture (GM) prior to a Gaussian/GM posterior (termed ‘Gaussian conjugacy’ in this paper), form the backbone for a general time series filter design. Due to challenges arising from nonlinearity, multimodality (including target maneuver), intractable uncertainties (such as unknown inputs and/or non-Gaussian noises) and constraints (including circular quantities), etc., new theories, algorithms, and technologies have been developed continuously to maintain such a conjugacy, or to approximate it as close as possible. They had contributed in large part to the prospective developments of time series parametric filters in the last six decades. In this paper, we review the state of the art in distinctive categories and highlight some insights that may otherwise be easily overlooked. In particular, specific attention is paid to nonlinear systems with an informative observation, multimodal systems including Gaussian mixture posterior and maneuvers, and intractable unknown inputs and constraints, to fill some gaps in existing reviews and surveys. In addition, we provide some new thoughts on alternatives to the first-order Markov transition model and on filter evaluation with regard to computing complexity

Application of improved particle filter in multiple maneuvering target tracking system

Ph.DDOCTOR OF PHILOSOPH