The adaptive patched cubature filter and its implementation

There are numerous contexts where one wishes to describe the state of a randomly evolving system. Effective solutions combine models that quantify the underlying uncertainty with available observational data to form scientifically reasonable estimates for the uncertainty in the system state. Stochastic differential equations are often used to mathematically model the underlying system. The Kusuoka-Lyons-Victoir (KLV) approach is a higher order particle method for approximating the weak solution of a stochastic differential equation that uses a weighted set of scenarios to approximate the evolving probability distribution to a high order of accuracy. The algorithm can be performed by integrating along a number of carefully selected bounded variation paths. The iterated application of the KLV method has a tendency for the number of particles to increase. This can be addressed and, together with local dynamic recombination, which simplifies the support of discrete measure without harming the accuracy of the approximation, the KLV method becomes eligible to solve the filtering problem in contexts where one desires to maintain an accurate description of the ever-evolving conditioned measure. In addition to the alternate application of the KLV method and recombination, we make use of the smooth nature of the likelihood function and high order accuracy of the approximations to lead some of the particles immediately to the next observation time and to build into the algorithm a form of automatic high order adaptive importance sampling.Comment: to appear in Communications in Mathematical Sciences. arXiv admin note: substantial text overlap with arXiv:1311.675

Comparing Kalman Filters and Observers for Power System Dynamic State Estimation with Model Uncertainty and Malicious Cyber Attacks

Kalman filters and observers are two main classes of dynamic state estimation (DSE) routines. Power system DSE has been implemented by various Kalman filters, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF). In this paper, we discuss two challenges for an effective power system DSE: (a) model uncertainty and (b) potential cyber attacks. To address this, the cubature Kalman filter (CKF) and a nonlinear observer are introduced and implemented. Various Kalman filters and the observer are then tested on the 16-machine, 68-bus system given realistic scenarios under model uncertainty and different types of cyber attacks against synchrophasor measurements. It is shown that CKF and the observer are more robust to model uncertainty and cyber attacks than their counterparts. Based on the tests, a thorough qualitative comparison is also performed for Kalman filter routines and observers.Comment: arXiv admin note: text overlap with arXiv:1508.0725

High Degree Cubature Federated Filter for Multisensor Information Fusion with Correlated Noises

This paper proposes an improved high degree cubature federated filter for the nonlinear fusion system with cross-correlation between process and measurement noises at the same time using the fifth-degree cubature rule and the decorrelated principle in its local filters. The master filter of the federated filter adopts the no-reset mode to fuse local estimates of local filters to generate a global estimate according to the scalar weighted rule. The air-traffic maneuvering target tracking simulations are performed between the proposed filter and the fifth-degree cubature federated filter. Simulations results demonstrate that the proposed filter not only can achieve almost the same accuracy as the fifth-degree cubature federated filter with independent white noises, but also has superior performance to the fifth-degree cubature federated filter while the noises are cross-correlated at the same time

Overlay Cognitive Radio Based on OFDM with Channel Estimation Issues

Cognitive radio (CR) has been proposed as a technology to improve the spectrum efficiency by giving an opportunistic access of the licensed-user spectra to unlicensed users. We consider an overlay CR consisting of a primary macro-cell and cognitive small cells of cooperative secondary base stations (SBS). We suggest studying a CR where an orthogonal frequency division multiplexing is used for both the primary users (PU) and the secondary users (SU). In order to cancel the interferences, a precoding is required at the SBS. Therefore, we first derive the interferences expression due to SU at the PU receiver. Then, zero forcing beamforming (ZFBF) is considered to cancel the interferences. However, applying ZFBF depends on the channels between the SBS and the PU. A channel estimation is hence necessary. For this purpose, we propose to approximate the channel by an autoregressive process (AR) and to consider the channel estimation issue by using a training sequence. The received signals, also called the observations, are considered to be disturbed by an additive white measurement noise. In that case, the AR parameters and the channel can be jointly estimated from the received noisy signal by using a recursive approach. Nevertheless, the corresponding state space representation of the system is non-linear. Then, we propose to carry out a complementary study by compare non-linear Kalman filter based approaches

Power Allocation and Parameter Estimation for Multipath-based 5G Positioning

We consider a single-anchor multiple-input multiple-output orthogonal frequency-division multiplexing system with imperfectly synchronized transmitter (Tx) and receiver (Rx) clocks, where the Rx estimates its position based on the received reference signals. The Tx, having (imperfect) prior knowledge about the Rx location and the surrounding geometry, transmits reference signals based on a set of fixed beams. We develop strategies for the power allocation among the beams aiming to minimize the expected Cram\ue9r-Rao lower bound for Rx positioning. Additional constraints on the design are included to make the optimized power allocation robust to uncertainty on the line-of-sight (LOS) path direction. Furthermore, the effect of clock asynchronism on the proposed allocation strategies is studied. Our evaluation results show that, for non-negligible synchronization error, it is optimal to allocate a large fraction of the available power for the illumination of the non-LOS (NLOS) paths, which help resolve the clock offset. In addition, the complexity reduction achieved by our proposed suboptimal approach incurs only a small performance degradation. We also propose an off-grid compressed sensing-based position estimation algorithm, which exploits the information on the clock offset provided by NLOS paths, and show that it is asymptotically efficient