Recursive Hybrid Cramér–Rao Bound for Discrete-Time Markovian Dynamic Systems

Abstract—In statistical signal processing, hybrid parameter estimation refers to the case where the parameters vector to estimate contains both non-random and random parameters. As a contribution to the hybrid estimation framework, we introduce a recursive hybrid Cramér–Rao lower bound for discrete-time Markovian dynamic systems depending on unknown deterministic parameters. Additionally, the regularity conditions required for its existence and its use are clarified

Recursive joint Cramér‐Rao lower bound for parametric systems with two‐adjacent‐states dependent measurements

Joint Cramér-Rao lower bound (JCRLB) is very useful for the performance evaluation of joint state and parameter estimation (JSPE) of non-linear systems, in which the current measurement only depends on the current state. However, in reality, the non-linear systems with two-adjacent-states dependent (TASD) measurements, that is, the current measurement is dependent on the current state as well as the most recent previous state, are also common. First, the recursive JCRLB for the general form of such non-linear systems with unknown deterministic parameters is developed. Its relationships with the posterior CRLB for systems with TASD measurements and the hybrid CRLB for regular parametric systems are also provided. Then, the recursive JCRLBs for two special forms of parametric systems with TASD measurements, in which the measurement noises are autocorrelated or cross-correlated with the process noises at one time step apart, are presented, respectively. Illustrative examples in radar target tracking show the effectiveness of the JCRLB for the performance evaluation of parametric TASD systems

Caractérisation des performances minimales d'estimation pour des modèles d'observations non-standards

In the parametric estimation context, estimators performances can be characterized, inter alia, by the mean square error and the resolution limit. The first quantities the accuracy of estimated values and the second defines the ability of the estimator to allow a correct resolvability. This thesis deals first with the prediction the "optimal" MSE by using lower bounds in the hybrid estimation context (i.e. when the parameter vector contains both random and non-random parameters), second with the extension of Cramér-Rao bounds for non-standard estimation problems and finally to the characterization of estimators resolution. This manuscript is then divided into three parts :First, we fill some lacks of hybrid lower bound on the MSE by using two existing Bayesian lower bounds: the Weiss-Weinstein bound and a particular form of Ziv-Zakai family lower bounds. We show that these extended lower bounds are tighter than the existing hybrid lower bounds in order to predict the optimal MSE.Second, we extend Cramer-Rao lower bounds for uncommon estimation contexts. Precisely: (i) Where the non-random parameters are subject to equality constraints (linear or nonlinear). (ii) For discrete-time filtering problems when the evolution of states are defined by a Markov chain. (iii) When the observation model differs to the real data distribution.Finally, we study the resolution of the estimators when their probability distributions are known. This approach is an extension of the work of Oh and Kashyap and the work of Clark to multi-dimensional parameters estimation problems.Dans le contexte de l'estimation paramétrique, les performances d'un estimateur peuvent être caractérisées, entre autre, par son erreur quadratique moyenne (EQM) et sa résolution limite. La première quantifie la précision des valeurs estimées et la seconde définit la capacité de l'estimateur à séparer plusieurs paramètres. Cette thèse s'intéresse d'abord à la prédiction de l'EQM "optimale" à l'aide des bornes inférieures pour des problèmes d'estimation simultanée de paramètres aléatoires et non-aléatoires (estimation hybride), puis à l'extension des bornes de Cramér-Rao pour des modèles d'observation moins standards. Enfin, la caractérisation des estimateurs en termes de résolution limite est également étudiée. Ce manuscrit est donc divisé en trois parties :Premièrement, nous complétons les résultats de littérature sur les bornes hybrides en utilisant deux bornes bayésiennes : la borne de Weiss-Weinstein et une forme particulière de la famille de bornes de Ziv-Zakaï. Nous montrons que ces bornes "étendues" sont plus précises pour la prédiction de l'EQM optimale par rapport à celles existantes dans la littérature.Deuxièmement, nous proposons des bornes de type Cramér-Rao pour des contextes d'estimation moins usuels, c'est-à-dire : (i) Lorsque les paramètres non-aléatoires sont soumis à des contraintes d'égalité linéaires ou non-linéaires (estimation sous contraintes). (ii) Pour des problèmes de filtrage à temps discret où l'évolution des états (paramètres) est régit par une chaîne de Markov. (iii) Lorsque la loi des observations est différente de la distribution réelle des données.Enfin, nous étudions la résolution et la précision des estimateurs en proposant un critère basé directement sur la distribution des estimées. Cette approche est une extension des travaux de Oh et Kashyap et de Clark pour des problèmes d'estimation de paramètres multidimensionnels

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

Bayesian algorithms for mobile terminal positioning in outdoor wireless environments

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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

Localizability Optimization for Multi Robot Systems and Applications to Ultra-Wide Band Positioning

RÉSUMÉ: RÉSUMÉ Les Systèmes Multi-Robots (SMR) permettent d’effectuer des missions de manière efficace et robuste du fait de leur redondance. Cependant, les robots étant des véhicules autonomes, ils nécessitent un positionnement précis en temps réel. Les techniques de localisation qui utilisent des Mesures Relatives (MR) entre les robots, pouvant être des distances ou des angles, sont particulièrement adaptées puisqu’elles peuvent bénéficier d’algorithmes coopératifs au sein du SMR afin d’améliorer la précision pour l’ensemble des robots. Dans cette thèse, nous proposons des stratégies pour améliorer la localisabilité des SMR, qui est fonction de deux facteurs. Premièrement, la géométrie du SMR influence fondamentalement la qualité de son positionnement pour des MR bruitées. Deuxièmement, les erreurs de mesures dépendent fortement de la technologie utilisée. Dans nos expériences, nous nous focalisons sur la technologie UWB (Ultra-Wide Band), qui est populaire pour le positionnement des robots en environnement intérieur en raison de son coût modéré et sa haute précision. Par conséquent, une partie de notre travail est consacrée à la correction des erreurs de mesure UWB afin de fournir un système de navigation opérationnel. En particulier, nous proposons une méthode de calibration des biais systématiques et un algorithme d’atténuation des trajets multiples pour les mesures de distance en milieu intérieur. Ensuite, nous proposons des Fonctions de Coût de Localisabilité (FCL) pour caractériser la géométrie du SMR, et sa capacité à se localiser. Pour cela, nous utilisons la Borne Inférieure de Cramér-Rao (BICR) en vue de quantifier les incertitudes de positionnement. Par la suite, nous fournissons des schémas d’optimisation décentralisés pour les FCL sous l’hypothèse de MR gaussiennes ou log-normales. En effet, puisque le SMR peut se déplacer, certains de ses robots peuvent être déployés afin de minimiser la FCL. Cependant, l’optimisation de la localisabilité doit être décentralisée pour être adaptée à des SMRs à grande échelle. Nous proposons également des extensions des FCL à des scénarios où les robots embarquent plusieurs capteurs, où les mesures se dégradent avec la distance, ou encore où des informations préalables sur la localisation des robots sont disponibles, permettant d’utiliser la BICR bayésienne. Ce dernier résultat est appliqué au placement d’ancres statiques connaissant la distribution statistique des MR et au maintien de la localisabilité des robots qui se localisent par filtrage de Kalman. Les contributions théoriques de notre travail ont été validées à la fois par des simulations à grande échelle et des expériences utilisant des SMR terrestres. Ce manuscrit est rédigé par publication, il est constitué de quatre articles évalués par des pairs et d’un chapitre supplémentaire. ABSTRACT: ABSTRACT Multi-Robot Systems (MRS) are increasingly interesting to perform tasks eÿciently and robustly. However, since the robots are autonomous vehicles, they require accurate real-time positioning. Localization techniques that use relative measurements (RMs), i.e., distances or angles, between the robots are particularly suitable because they can take advantage of cooperative schemes within the MRS in order to enhance the precision of its positioning. In this thesis, we propose strategies to improve the localizability of the SMR, which is a function of two factors. First, the geometry of the MRS fundamentally influences the quality of its positioning under noisy RMs. Second, the measurement errors are strongly influenced by the technology chosen to gather the RMs. In our experiments, we focus on the Ultra-Wide Band (UWB) technology, which is popular for indoor robot positioning because of its mod-erate cost and high accuracy. Therefore, one part of our work is dedicated to correcting the UWB measurement errors in order to provide an operable navigation system. In particular, we propose a calibration method for systematic biases and a multi-path mitigation algorithm for indoor distance measurements. Then, we propose Localizability Cost Functions (LCF) to characterize the MRS’s geometry, using the Cramér-Rao Lower Bound (CRLB) as a proxy to quantify the positioning uncertainties. Subsequently, we provide decentralized optimization schemes for the LCF under an assumption of Gaussian or Log-Normal RMs. Indeed, since the MRS can move, some of its robots can be deployed in order to decrease the LCF. However, the optimization of the localizability must be decentralized for large-scale MRS. We also propose extensions of LCFs to scenarios where robots carry multiple sensors, where the RMs deteriorate with distance, and finally, where prior information on the robots’ localization is available, allowing the use of the Bayesian CRLB. The latter result is applied to static anchor placement knowing the statistical distribution of the MRS and localizability maintenance of robots using Kalman filtering. The theoretical contributions of our work have been validated both through large-scale simulations and experiments using ground MRS. This manuscript is written by publication, it contains four peer-reviewed articles and an additional chapter

Robust GNSS Carrier Phase-based Position and Attitude Estimation Theory and Applications

Mención Internacional en el título de doctorNavigation information is an essential element for the functioning of robotic platforms and intelligent transportation systems. Among the existing technologies, Global Navigation Satellite Systems (GNSS) have established as the cornerstone for outdoor navigation, allowing for all-weather, all-time positioning and timing at a worldwide scale. GNSS is the generic term for referring to a constellation of satellites which transmit radio signals used primarily for ranging information. Therefore, the successful operation and deployment of prospective autonomous systems is subject to our capabilities to support GNSS in the provision of robust and precise navigational estimates. GNSS signals enable two types of ranging observations: –code pseudorange, which is a measure of the time difference between the signal’s emission and reception at the satellite and receiver, respectively, scaled by the speed of light; –carrier phase pseudorange, which measures the beat of the carrier signal and the number of accumulated full carrier cycles. While code pseudoranges provides an unambiguous measure of the distance between satellites and receiver, with a dm-level precision when disregarding atmospheric delays and clock offsets, carrier phase measurements present a much higher precision, at the cost of being ambiguous by an unknown number of integer cycles, commonly denoted as ambiguities. Thus, the maximum potential of GNSS, in terms of navigational precision, can be reach by the use of carrier phase observations which, in turn, lead to complicated estimation problems. This thesis deals with the estimation theory behind the provision of carrier phase-based precise navigation for vehicles traversing scenarios with harsh signal propagation conditions. Contributions to such a broad topic are made in three directions. First, the ultimate positioning performance is addressed, by proposing lower bounds on the signal processing realized at the receiver level and for the mixed real- and integer-valued problem related to carrier phase-based positioning. Second, multi-antenna configurations are considered for the computation of a vehicle’s orientation, introducing a new model for the joint position and attitude estimation problems and proposing new deterministic and recursive estimators based on Lie Theory. Finally, the framework of robust statistics is explored to propose new solutions to code- and carrier phase-based navigation, able to deal with outlying impulsive noises.La información de navegación es un elemental fundamental para el funcionamiento de sistemas de transporte inteligentes y plataformas robóticas. Entre las tecnologías existentes, los Sistemas Globales de Navegación por Satélite (GNSS) se han consolidado como la piedra angular para la navegación en exteriores, dando acceso a localización y sincronización temporal a una escala global, irrespectivamente de la condición meteorológica. GNSS es el término genérico que define una constelación de satélites que transmiten señales de radio, usadas primordinalmente para proporcionar información de distancia. Por lo tanto, la operatibilidad y funcionamiento de los futuros sistemas autónomos pende de nuestra capacidad para explotar GNSS y estimar soluciones de navegación robustas y precisas. Las señales GNSS permiten dos tipos de observaciones de alcance: –pseudorangos de código, que miden el tiempo transcurrido entre la emisión de las señales en los satélites y su acquisición en la tierra por parte de un receptor; –pseudorangos de fase de portadora, que miden la fase de la onda sinusoide que portan dichas señales y el número acumulado de ciclos completos. Los pseudorangos de código proporcionan una medida inequívoca de la distancia entre los satélites y el receptor, con una precisión de decímetros cuando no se tienen en cuenta los retrasos atmosféricos y los desfases del reloj. En contraposición, las observaciones de la portadora son super precisas, alcanzando el milímetro de exactidud, a expensas de ser ambiguas por un número entero y desconocido de ciclos. Por ende, el alcanzar la máxima precisión con GNSS queda condicionado al uso de las medidas de fase de la portadora, lo cual implica unos problemas de estimación de elevada complejidad. Esta tesis versa sobre la teoría de estimación relacionada con la provisión de navegación precisa basada en la fase de la portadora, especialmente para vehículos que transitan escenarios donde las señales no se propagan fácilmente, como es el caso de las ciudades. Para ello, primero se aborda la máxima efectividad del problema de localización, proponiendo cotas inferiores para el procesamiento de la señal en el receptor y para el problema de estimación mixto (es decir, cuando las incógnitas pertenecen al espacio de números reales y enteros). En segundo lugar, se consideran las configuraciones multiantena para el cálculo de la orientación de un vehículo, presentando un nuevo modelo para la estimación conjunta de posición y rumbo, y proponiendo estimadores deterministas y recursivos basados en la teoría de Lie. Por último, se explora el marco de la estadística robusta para proporcionar nuevas soluciones de navegación precisa, capaces de hacer frente a los ruidos atípicos.Programa de Doctorado en Ciencia y Tecnología Informática por la Universidad Carlos III de MadridPresidente: José Manuel Molina López.- Secretario: Giorgi Gabriele.- Vocal: Fabio Dovi