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

Distributed Clock Parameters Tracking in Wireless Sensor Network

Clock parameters (skew and offset) in sensor net- work are inherently time-varying due to imperfect oscillator circuits. This paper develops a distributed Kalman filter for clock parameters tracking. The proposed algorithm only requires each node to exchange limited information with its direct neighbors, thus is energy efficient, scalable with network size, and is robust to changes in network connectivity. A low-complexity distributed algorithm based on Coordinate-Descent with Bootstrap (CD-BS) is also proposed to provide rapid initialization to the tracking algorithm. Simulation results show that the performance of the proposed distributed tracking algorithm maintains long-term clock parameters accuracy close to the Bayesian Cramer-Rao Lower Bound.published_or_final_versio

Widely Linear State Space Filtering of Improper Complex Signals

Complex signals are the backbone of many modern applications, such as power systems, communication systems, biomedical sciences and military technologies. However, standard complex valued signal processing approaches are suited to only a subset of complex signals known as proper, and are inadequate of the generality of complex signals, as they do not fully exploit the available information. This is mainly due to the inherent blindness of the algorithms to the complete second order statistics of the signals, or due to under-modelling of the underlying system. The aim of this thesis is to provide enhanced complex valued, state space based, signal processing solutions for the generality of complex signals and systems. This is achieved based on the recent advances in the so called augmented complex statistics and widely linear modelling, which have brought to light the limitations of conventional statistical complex signal processing approaches. Exploiting these developments, we propose a class of widely linear adaptive state space estimation techniques, which provide a unified framework and enhanced performance for the generality of complex signals, compared with conventional approaches. These include the linear and nonlinear Kalman and particle filters, whereby it is shown that catering for the complete second order information and system models leads to significant performance gains. The proposed techniques are also extended to the case of cooperative distributed estimation, where nodes in a network collaborate locally to estimate signals, under a framework that caters for general complex signals, as well as the cross-correlations between observation noises, unlike earlier solutions. The analysis of the algorithms are supported by numerous case studies, including frequency estimation in three phase power systems, DIFAR sonobuoy underwater target tracking, and real-world wind modeling and prediction.Open Acces

Distributed implementations of the particle filter with performance bounds

The focus of the thesis is on developing distributed estimation algorithms for systems with nonlinear dynamics. Of particular interest are the agent or sensor networks (AN/SN) consisting of a large number of local processing and observation agents/nodes, which can communicate and cooperate with each other to perform a predefined task. Examples of such AN/SNs are distributed camera networks, acoustic sensor networks, networks of unmanned aerial vehicles, social networks, and robotic networks. Signal processing in the AN/SNs is traditionally centralized and developed for systems with linear dynamics. In the centralized architecture, the participating nodes communicate their observations (either directly or indirectly via a multi-hop relay) to a central processing unit, referred to as the fusion centre, which is responsible for performing the predefined task. For centralized systems with linear dynamics, the Kalman filter provides the optimal approach but suffers from several drawbacks, e.g., it is generally unscalable and also susceptible to failure in case the fusion centre breaks down. In general, no analytic solution can be determined for systems with nonlinear dynamics. Consequently, the conventional Kalman filter cannot be used and one has to rely on numerical approaches. In such cases, the sequential Monte Carlo approaches, also known as the particle filters, are widely used as approximates to the Bayesian estimators but mostly in the centralized configuration. Recently there has been a growing interest in distributed signal processing algorithms where: (i) There is no fusion centre; (ii) The local nodes do not have (require) global knowledge of the network topology, and; (iii) Each node exchanges data only within its local neighborhood. Distributed estimation have been widely explored for estimation/tracking problems in linear systems. Distributed particle filter implementations for nonlinear systems are still in their infancy and are the focus of this thesis. In the first part of this thesis, four different consensus-based distributed particle filter implementations are proposed. First, a constrained sufficient statistic based distributed implementation of the particle filter (CSS/DPF) is proposed for bearing-only tracking (BOT) and joint bearing/range tracking problems encountered in a number of applications including radar target tracking and robot localization. Although the number of parallel consensus runs in the CSS/DPF is lower compared to the existing distributed implementations of the particle filter, the CSS/DPF still requires a large number of iterations for the consensus runs to converge. To further reduce the consensus overhead, the CSS/DPF is extended to distributed implementation of the unscented particle filter, referred to as the CSS/DUPF, which require a limited number of consensus iterations. Both CSS/DPF and CSS/DUPF are specific to BOT and joint bearing/range tracking problems. Next, the unscented, consensus-based, distributed implementation of the particle filter (UCD /DPF) is proposed which is generalizable to systems with any dynamics. In terms of contributions, the UCD /DPF makes two important improvements to the existing distributed particle filter framework: (i) Unlike existing distributed implementations of the particle filter, the UCD /DPF uses all available global observations including the most recent ones in deriving the proposal distribution based on the distributed UKF, and; (ii) Computation of the global estimates from local estimates during the consensus step is based on an optimal fusion rule. Finally, a multi-rate consensus/fusion based framework for distributed implementation of the particle filter, referred to as the CF /DPF, is proposed. Separate fusion filters are designed to consistently assimilate the local filtering distributions into the global posterior by compensating for the common past information between neighbouring nodes. The CF /DPF offers two distinct advantages over its counterparts. First, the CF /DPF framework is suitable for scenarios where network connectivity is intermittent and consensus can not be reached between two consecutive observations. Second, the CF /DPF is not limited to the Gaussian approximation for the global posterior density. Numerical simulations verify the near-optimal performance of the proposed distributed particle filter implementations. The second half of the thesis focuses on the distributed computation of the posterior Cramer-Rao lower bounds (PCRLB). The current PCRLB approaches assume a centralized or hierarchical architecture. The exact expression for distributed computation of the PCRLB is not yet available and only an approximate expression has recently been derived. Motivated by the distributed adaptive resource management problems with the objective of dynamically activating a time-variant subset of observation nodes to optimize the network's performance, the thesis derives the exact expression, referred to as the dPCRLB, for computing the PCRLB for any AN/SN configured in a distributed fashion. The dPCRLB computational algorithms are derived for both the off-line conventional (non-conditional) PCRLB determined primarily from the state model, observation model, and prior knowledge of the initial state of the system, and the online conditional PCRLB expressed as a function of past history of the observations. Compared to the non-conditional dPCRLB, its conditional counterpart provides a more accurate representation of the estimator's performance and, consequently, a better criteria for sensor selection. The thesis then extends the dPCRLB algorithms to quantized observations. Particle filter realizations are used to compute these bounds numerically and quantify their performance for data fusion problems through Monte-Carlo simulations

Distributed adaptive signal processing for frequency estimation

It is widely recognised that future smart grids will heavily rely upon intelligent communication and signal processing as enabling technologies for their operation. Traditional tools for power system analysis, which have been built from a circuit theory perspective, are a good match for balanced system conditions. However, the unprecedented changes that are imposed by smart grid requirements, are pushing the limits of these old paradigms. To this end, we provide new signal processing perspectives to address some fundamental operations in power systems such as frequency estimation, regulation and fault detection. Firstly, motivated by our finding that any excursion from nominal power system conditions results in a degree of non-circularity in the measured variables, we cast the frequency estimation problem into a distributed estimation framework for noncircular complex random variables. Next, we derive the required next generation widely linear, frequency estimators which incorporate the so-called augmented data statistics and cater for the noncircularity and a widely linear nature of system functions. Uniquely, we also show that by virtue of augmented complex statistics, it is possible to treat frequency tracking and fault detection in a unified way. To address the ever shortening time-scales in future frequency regulation tasks, the developed distributed widely linear frequency estimators are equipped with the ability to compensate for the fewer available temporal voltage data by exploiting spatial diversity in wide area measurements. This contribution is further supported by new physically meaningful theoretical results on the statistical behavior of distributed adaptive filters. Our approach avoids the current restrictive assumptions routinely employed to simplify the analysis by making use of the collaborative learning strategies of distributed agents. The efficacy of the proposed distributed frequency estimators over standard strictly linear and stand-alone algorithms is illustrated in case studies over synthetic and real-world three-phase measurements. An overarching theme in this thesis is the elucidation of underlying commonalities between different methodologies employed in classical power engineering and signal processing. By revisiting fundamental power system ideas within the framework of augmented complex statistics, we provide a physically meaningful signal processing perspective of three-phase transforms and reveal their intimate connections with spatial discrete Fourier transform (DFT), optimal dimensionality reduction and frequency demodulation techniques. Moreover, under the widely linear framework, we also show that the two most widely used frequency estimators in the power grid are in fact special cases of frequency demodulation techniques. Finally, revisiting classic estimation problems in power engineering through the lens of non-circular complex estimation has made it possible to develop a new self-stabilising adaptive three-phase transformation which enables algorithms designed for balanced operating conditions to be straightforwardly implemented in a variety of real-world unbalanced operating conditions. This thesis therefore aims to help bridge the gap between signal processing and power communities by providing power system designers with advanced estimation algorithms and modern physically meaningful interpretations of key power engineering paradigms in order to match the dynamic and decentralised nature of the smart grid.Open Acces

Power System State Estimation and Renewable Energy Optimization in Smart Grids

The future smart grid will benefit from real-time monitoring, automated outage management, increased renewable energy penetration, and enhanced consumer involvement. Among the many research areas related to smart grids, this dissertation will focus on two important topics: power system state estimation using phasor measurement units (PMUs), and optimization for renewable energy integration. In the first topic, we consider power system state estimation using PMUs, when phase angle mismatch exists in the measurements. In particular, we build a measurement model that takes into account the measurement phase angle mismatch. We then propose algorithms to increase state estimation accuracy by taking into account the phase angle mismatch. Based on the proposed measurement model, we derive the posterior Cramér-Rao bound on the estimation error, and propose a method for PMU placement in the grid. Using numerical examples, we show that by considering the phase angle mismatch in the measurements, the estimation accuracy can be significantly improved compared with the traditional weighted least-squares estimator or Kalman filtering. We also show that using the proposed PMU placement strategy can increase the estimation accuracy by placing a limited number of PMUs in proper locations. In the second topic, we consider optimization for renewable energy integration in smart grids. We first consider a scenario where individual energy users own on-site renewable generators, and can both purchase and sell electricity to the main grid. Under this setup, we develop a method for parallel load scheduling of different energy users, with the goal of reducing the overall cost to energy users as well as to energy providers. The goal is achieved by finding the optimal load schedule of each individual energy user in a parallel distributed manner, to flatten the overall load of all the energy users. We then consider the case of a micro-grid, or an isolated grid, with a large penetration of renewable energy. In this case, we jointly optimize the energy storage and renewable generator capacity, in order to ensure an uninterrupted power supply with minimum costs. To handle the large dimensionality of the problem due to large historical datasets used, we reformulate the original optimization problem as a consensus problem, and use the alternating direction method of multipliers to solve for the optimal solution in a distributed manner

Safe navigation for vehicles

La navigation par satellite prend un virage très important ces dernières années, d'une part par l'arrivée imminente du système Européen GALILEO qui viendra compléter le GPS Américain, mais aussi et surtout par le succès grand public qu'il connaît aujourd'hui. Ce succès est dû en partie aux avancées technologiques au niveau récepteur, qui, tout en autorisant une miniaturisation de plus en plus avancée, en permettent une utilisation dans des environnements de plus en plus difficiles. L'objectif aujourd'hui est de préparer l'utilisation de ce genre de signal dans une optique bas coût dans un milieu urbain automobile pour des applications critiques d'un point de vue sécurité (ce que ne permet pas les techniques d'hybridation classiques). L'amélioration des technologies (réduction de taille des capteurs type MEMS ou Gyroscope) ne peut, à elle seule, atteindre l'objectif d'obtenir une position dont nous pouvons être sûrs si nous utilisons les algorithmes classiques de localisation et d'hybridation. En effet ces techniques permettent d'avoir une position sans cependant permettre d'en quantifier le niveau de confiance. La faisabilité de ces applications repose d'une part sur une recherche approfondie d'axes d'amélioration des algorithmes de localisation, mais aussi et conjointement, sur la possibilité, via les capteurs externes de maintenir un niveau de confiance élevé et quantifié dans la position même en absence de signal satellitaire. ABSTRACT : Satellite navigation has acquired an increased importance during these last years, on the one hand due to the imminent appearance of the European GALILEO system that will complement the American GPS, and on the other hand due to the great success it has encountered in the commercial civil market. An important part of this success is based on the technological development at the receiver level that has rendered satellite navigation possible even in difficult environments. Today's objective is to prepare the utilisation of this kind of signals for land vehicle applications demanding high precision positioning. One of the main challenges within this research domain, which cannot be addressed by classical coupling techniques, is related to the system capability to provide reliable position estimations. The enhancement in dead-reckoning technologies (i.e. size reduction of MEMS-based sensors or gyroscopes) cannot all by itself reach the necessary confidence levels if exploited with classical localization and integration algorithms. Indeed, these techniques provide a position estimation whose reliability or confidence level it is very difficult to quantify. The feasibility of these applications relies not only on an extensive research to enhance the navigation algorithm performances in harsh scenarios, but also and in parallel, on the possibility to maintain, thanks to the presence of additional sensors, a high confidence level on the position estimation even in the absence of satellite navigation signals