混合退火粒子滤波器

针对非线性、非高斯系统状态的在线估计问题，提出一种新的基于序贯重要性抽样的粒子滤波算法. 在滤波算法中，用状态参数分解和退火系数来产生重要性概率密度函数，此概率密度函数综合考虑了转移先验、似然、噪声的统计特性以及最新的观察数据，因此更接近于系统状态的后验概率. 理论分析与仿真实验表明该粒子滤波器的性能明显优于标准的粒子滤波器和扩展卡尔曼滤波器. 关键词： 非线性 非高斯 粒子滤波 序贯重要性抽样     

A Nonlinear Maximum Correntropy Information Filter for High-Dimensional Neural Decoding

Neural signal decoding is a critical technology in brain machine interface (BMI) to interpret movement intention from multi-neural activity collected from paralyzed patients. As a commonly-used decoding algorithm, the Kalman filter is often applied to derive the movement states from high-dimensional neural firing observation. However, its performance is limited and less effective for noisy nonlinear neural systems with high-dimensional measurements. In this paper, we propose a nonlinear maximum correntropy information filter, aiming at better state estimation in the filtering process for a noisy high-dimensional measurement system. We reconstruct the measurement model between the high-dimensional measurements and low-dimensional states using the neural network, and derive the state estimation using the correntropy criterion to cope with the non-Gaussian noise and eliminate large initial uncertainty. Moreover, analyses of convergence and robustness are given. The effectiveness of the proposed algorithm is evaluated by applying it on multiple segments of neural spiking data from two rats to interpret the movement states when the subjects perform a two-lever discrimination task. Our results demonstrate better and more robust state estimation performance when compared with other filters.     

A survey of numerical methods for nonlinear filtering problems

The main goal of filtering is to obtain, recursively in time, good estimates of the state of a stochastic dynamical system based on noisy partial observations of the same. In settings where the signal/observation dynamics are significantly nonlinear or the noise intensities are high, an extended Kalman filter (EKF), which is essentially a first order approximation to an infinite dimensional problem, can perform quite poorly: it may require very frequent re-initializations and in some situations may even diverge. The theory of nonlinear filtering addresses these difficulties by considering the evolution of the conditional distribution of the state of the system given all the available observations, in the space of probability measures. We survey a variety of numerical schemes that have been developed in the literature for approximating the conditional distribution described by such stochastic evolution equations; with a special emphasis on an important family of schemes known as the particle filters. A numerical study is presented to illustrate that in settings where the signal/observation dynamics are non linear a suitably chosen nonlinear scheme can drastically outperform the extended Kalman filter.     

角闪烁噪声测量条件下的剩余飞行时间估计

针对雷达导引头角闪烁噪声测量条件下的机动目标,研究剩余飞行时间计算方法。建立了闪烁噪声计算模型;在粒子滤波算法和扩展卡尔曼滤波算法的基础上,推导了扩展卡尔曼粒子滤波算法的实现过程;根据估计结果建立了剩余飞行时间计算模型,在剩余飞行时间表达式中考虑了目标机动加速度的影响。仿真结果表明,基于机动目标当前统计模型的扩展卡尔曼粒子滤波算法对闪烁噪声测量条件下的机动目标具有良好的跟踪性能,对剩余飞行时间具有较高的估计精度。     

基于粒子滤波的一种改进的资料同化方法

针对在粒子数较少时传统的集合卡尔曼滤波和粒子滤波方法不能有效表征后验概率密度函数(PDF)的问题, 提出了一种改进的粒子滤波方法. 主要思想是在预测步之后引入更新步, 并且将观测时刻与非观测时刻的同化分析进行区别处理. 对典型的低维和高维混沌系统的仿真结果表明:改进粒子滤波方法是一种非常有效的估计非线性非高斯随机系统状态的方法.     

Mathematical test criteria for filtering complex systems: Plentiful observations

An important emerging scientific issue is the real time filtering through observations of noisy turbulent signals for complex systems as well as the statistical accuracy of spatio-temporal discretizations for such systems. These issues are addressed here in detail for the setting with plentiful observations for a scalar field through explicit mathematical test criteria utilizing a recent theory [A.J. Majda, M.J. Grote, Explicit off-line criteria for stable accurate time filtering of strongly unstable spatially extended systems, Proceedings of the National Academy of Sciences 104 (4) (2007) 1124–1129]. For plentiful observations, the number of observations equals the number of mesh points. These test criteria involve much simpler decoupled complex scalar filtering test problems with explicit formulas and elementary numerical experiments which are developed here as guidelines for filter performance. The theory includes information criteria to avoid filter divergence with large model errors, asymptotic Kalman gain, filter stability, and accurate filtering with small ensemble size as well as rigorous results delineating the role of various turbulent spectra for filtering under mesh refinement. These guidelines are also applied to discrete approximations for filtering the stochastically forced dissipative advection equation with very turbulent and noisy signals with either an equipartition of energy or ?5/3 turbulent spectrum with infrequent observations as severe test problems. The theory and companion simulations demonstrate accurate statistical filtering in this context with implicit schemes with large time step with very small ensemble sizes and even with unstable explicit schemes under appropriate circumstances provided the filtering strategies are guided by the off-line theoretical criteria. The surprising failure of other strongly stable filtering strategies is also explained through these off-line criteria.     

Reparameterization for statistical state estimation applied to differential equations

The ensemble Kalman filter is a widely applied data assimilation technique useful for improving the forecast of computational models. The main computational cost of the ensemble Kalman filter comes from the numerical integration of each ensemble member forward in time. When the computational model involves a partial differential equation, the degrees of freedom of the solution in the discretization of the spatial domain are oftentimes used for the representation of the state of the system, and the filter is applied to this state vector. We propose a method of approximating the state of a partial differential equation in a representation space developed separately from the numerical method. This representation space represents a reparameterization of the state vector and can be chosen to retain desirable physical features of the solutions. We apply the ensemble Kalman filter to this representation of the state, and numerically demonstrate that acceptable results are obtained with substantially smaller ensemble sizes.     

基于改进雁群PSO算法的模糊自适应扩展卡尔曼滤波的SLAM算法

针对扩展卡尔曼滤波同时定位与地图创建算法中难以建立准确的先验噪声模型的问题, 提出一种基于改进雁群粒子群算法的模糊自适应卡尔曼滤波算法. 利用分数阶微积分改进粒子进化速度, 利用混沌来改进粒子的初始化和发生早熟时的处理. 改进后的雁群粒子群算法在收敛速度与避免早熟方面有了很大改进, 并将改进的雁群粒子群算法用于模糊自适应扩展卡尔曼滤波同时定位与地图创建算法的训练, 并与用雁群粒子群算法训练的模糊自适应扩展卡尔曼滤波同时定位与地图创建算法进行对比, 其在定位与构图方面有很大的提高. 关键词： 同时定位与地图创建 雁群粒子群算法 分数阶微积分 混沌     

A generalized polynomial chaos based ensemble Kalman filter with high accuracy

As one of the most adopted sequential data assimilation methods in many areas, especially those involving complex nonlinear dynamics, the ensemble Kalman filter (EnKF) has been under extensive investigation regarding its properties and efficiency. Compared to other variants of the Kalman filter (KF), EnKF is straightforward to implement, as it employs random ensembles to represent solution states. This, however, introduces sampling errors that affect the accuracy of EnKF in a negative manner. Though sampling errors can be easily reduced by using a large number of samples, in practice this is undesirable as each ensemble member is a solution of the system of state equations and can be time consuming to compute for large-scale problems. In this paper we present an efficient EnKF implementation via generalized polynomial chaos (gPC) expansion. The key ingredients of the proposed approach involve (1) solving the system of stochastic state equations via the gPC methodology to gain efficiency; and (2) sampling the gPC approximation of the stochastic solution with an arbitrarily large number of samples, at virtually no additional computational cost, to drastically reduce the sampling errors. The resulting algorithm thus achieves a high accuracy at reduced computational cost, compared to the classical implementations of EnKF. Numerical examples are provided to verify the convergence property and accuracy improvement of the new algorithm. We also prove that for linear systems with Gaussian noise, the first-order gPC Kalman filter method is equivalent to the exact Kalman filter.     

Control of epileptiform spikes based on nonlinear unscented Kalman filter

A new control strategy based on nonlinear unscented Kalman filter(UKF) is proposed for a neural mass model that serves as a model for simulating real epileptiform stereo-electroencephalographic (SEEG) signals. The UKF is used as an observer to estimate the state from the noisy measurement because it has been proved to be effective for state estimation of nonlinear systems. A UKF controller is constructed via the estimated state and is illustrated to be effective for epileptiform spikes suppression of aforementioned model by numerical simulations.     

Decision-directed Kalman particle filter with application to the MIMO phase noise channel

Demodulation of data transmitted over time-varying channels with a free running hidden Markov state, like the phase noise channel or the fading channel, requires that the receiver tracks the hidden channel state. The tracking technique adopted in the paper is based on non-data-aided sequential importance sampling, also known as particle filtering.The paper proposes a new particle filtering framework for data communication receivers based on an importance distribution such that each individual particle becomes a decision-directed Kalman filter relying upon its local symbol-by-symbol hard decisions. In this framework, different particles are left free to take different sequences of decisions. This leaves to the receiver the possibility of exploring different sequences of transmitted modulation symbols. The weight of the particle will be high for those particles that took in the past the correct sequence of decisions, while will be low for those particles that took wrong decisions. In the resampling procedure, particles with high weight will survive, while particles with low weight will be terminated, leaving space to the birth of new particles resampled from the surviving ones.The crucial point in importance sampling is the choice of the importance distribution and the main novelty of the paper is the proposal of an importance distribution such that the particles of the particle filter become decision-directed Kalman filters. One important benefit brought by our proposed method is that, being non-data-aided, it does not need pilot symbols, thus allowing to preserve the transmission rate. A significant application example, presented and developed in the paper, is constituted by MIMO systems affected by phase noise, where the channel state vector consists of many parameters.     

结合卡尔曼滤波器噪声分析的车道线检测跟踪算法

使用卡尔曼滤波对视频序列图像中的具体信息进行跟踪的研究目前是跟踪方向的一个热点.但是在处理卡尔曼滤波跟踪过程中的过程噪声和测量噪声,大部分研究普遍采用的是初始赋值.通过不断的调整数,达到较好的跟踪效果.但是这样做不但没有遵循原始数据的规律,同时调整参数是一项耗时的工作.基于这个原因,提出了一种对卡尔曼滤波的过程噪声和测量噪声进行预估计的方法并将其应用到车道线跟踪过程中.通过对一部分离线数据进行处理,可以基本估计出系统的噪声参数.最后采用车道线跟踪算法对论文中的方法进行验证,实验证明,提出的参数估计方法在车道线的跟踪过程中达到很好的效果,同时处理每帧的时间为50ms左右,满足了实时性的要求.     

逼近积分点数下限的五阶容积卡尔曼滤波定轨算法

为了在保持滤波定轨精度不变的条件下提高定轨计算的实时性,提出一种新的逼近积分点个数下限的五阶容积卡尔曼滤波定轨算法.首先,采用一种数值容积准则对非线性函数的高斯加权积分进行近似,该准则所需的积分点个数仅比五阶代数精度容积准则积分点个数的理论下限多一个积分点,并在贝叶斯滤波算法框架下推导出本文算法的更新步骤.然后,给出实时定轨所需的状态方程和量测方程,在状态方程中考虑了J2项引力摄动和大气阻力摄动,在量测方程中利用坐标系转换推导了轨道状态与测量元素之间的非线性关系.仿真实验结果表明,本文所提算法在定轨精度方面与已有的五阶滤波算法相当,但所需的积分点个数最少,计算实时性最高,从而验证了本文算法的有效性.     

Estimating the state of large spatio-temporally chaotic systems

We consider the estimation of the state of a large spatio-temporally chaotic system from noisy observations and knowledge of a system model. Standard state estimation techniques using the Kalman filter approach are not computationally feasible for systems with very many effective degrees of freedom. We present and test a new technique (called a Local Ensemble Kalman Filter), generally applicable to large spatio-temporally chaotic systems for which correlations between system variables evaluated at different points become small at large separation between the points.     

A Maximum Entropy Method for Particle Filtering

Standard ensemble or particle filtering schemes do not properly represent states of low priori probability when the number of available samples is too small, as is often the case in practical applications. We introduce here a set of parametric resampling methods to solve this problem. Motivated by a general H-theorem for relative entropy, we construct parametric models for the filter distributions as maximum-entropy/minimum-information models consistent with moments of the particle ensemble. When the prior distributions are modeled as mixtures of Gaussians, our method naturally generalizes the ensemble Kalman filter to systems with highly non-Gaussian statistics. We apply the new particle filters presented here to two simple test cases: a one-dimensional diffusion process in a double-well potential and the three-dimensional chaotic dynamical system of Lorenz.     

Measurement-induced chaos with entangled states

The dynamics of an ensemble of identically prepared two-qubit systems is investigated which is subjected to the iteratively applied measurements and conditional selection of a typical entanglement purification protocol. The resulting dynamics exhibits strong sensitivity to initial conditions. For one class of initial states two types of islands characterize the asymptotic limit. They correspond to a separable and a fully entangled two-qubit state, respectively, and their boundaries form fractal-like structures. In the presence of incoherent noise an additional stable asymptotic cycle appears.     

利用粒子滤波从雷达回波实时跟踪反演大气波导

粒子滤波(particle filter,PF)是利用蒙特卡洛仿真方法处理递推估计问题的非线性滤波算法,这种方法不受模型线性和高斯假设的约束,是处理非线性非高斯动态系统状态估计的有效算法,适用于雷达回波反演大气波导(RFC)这类非线性非高斯问题.文中分别介绍了PF的基本思想和具体算法实现步骤,最后导出PF反演算法的迭代求解格式.数值试验结果表明,与扩展卡尔曼滤波(extended kalman filter,EKF)和不敏卡尔曼滤波(unscented kalman filter,UKF)相比,PF更适用于RFC这类高度非线性反演问题,可有效提高反演结果的稳定性和精度.     

一种混沌映射的相空间去噪方法

对于混沌映射来说,它们的频谱比混沌流的频谱更广阔,与噪声频谱的重叠率更高,所以混沌流的去噪方法对它们并不适用. 在半盲分析法的框架下,混沌系统的参数估计问题终将归结为最小二乘估计问题. 本文从最小二乘拟合的角度出发估计混沌映射的演化参数,进而通过相空间重构以及投影操作,实现对观测信号的噪声抑制. 实验结果表明,该算法的去噪效果优于扩展卡尔曼滤波器（extended Kalman filter,EKF）和无先导卡尔曼滤波器（unscneted Kalman filter,UKF）,并且能够较大程度地将信号源的混沌特征量还原. 关键词： 混沌 噪声抑制 相空间重构 投影     

Exploring the need for localization in ensemble data assimilation using a hierarchical ensemble filter

Good performance with small ensemble filters applied to models with many state variables may require ‘localizing’ the impact of an observation to state variables that are ‘close’ to the observation. As a step in developing nearly generic ensemble filter assimilation systems, a method to estimate ‘localization’ functions is presented. Localization is viewed as a means to ameliorate sampling error when small ensembles are used to sample the statistical relation between an observation and a state variable. The impact of spurious sample correlations between an observation and model state variables is estimated using a ‘hierarchical ensemble filter’, where an ensemble of ensemble filters is used to detect sampling error. Hierarchical filters can adapt to a wide array of ensemble sizes and observational error characteristics with only limited heuristic tuning. Hierarchical filters can allow observations to efficiently impact state variables, even when the notion of ‘distance’ between the observation and the state variables cannot be easily defined. For instance, defining the distance between an observation of radar reflectivity from a particular radar and beam angle taken at 1133 GMT and a model temperature variable at 700 hPa 60 km north of the radar beam at 1200 GMT is challenging. The hierarchical filter estimates sampling error from a ‘group’ of ensembles and computes a factor between 0 and 1 to minimize sampling error. An a priori notion of distance is not required. Results are shown in both a low-order model and a simple atmospheric GCM. For low-order models, the hierarchical filter produces ‘localization’ functions that are very similar to those already described in the literature. When observations are more complex or taken at different times from the state specification (in ensemble smoothers for instance), the localization functions become increasingly distinct from those used previously. In the GCM, this complexity reaches a level that suggests that it would be difficult to define efficient localization functions a priori. There is a cost trade-off between running hierarchical filters or running a traditional filter with larger ensemble size. Hierarchical filters can be run for short training periods to develop localization statistics that can be used in a traditional ensemble filter to produce high quality assimilations at reasonable cost, even when the relation between observations and state variables is not well-known a priori. Additional research is needed to determine if it is ever cost-efficient to run hierarchical filters for large data assimilation problems instead of traditional filters with the corresponding total number of ensemble members.     

基于预估测量值的EKF在手臂测姿中的应用

针对载体线性加速度以及周围局部磁干扰对姿态测量精度的影响,基于已有的惯性测量单元,设计了一个基于四元数的实时估计手臂姿态的扩展卡尔曼滤波器(EKF)。提出利用四元数引入加速计和磁强计的预估测量值构造自适应测量噪声协方差阵的方法,结合QUEST算法,来判定姿态角解算对陀螺仪、加速计和磁强计输出信息的依赖程度,以此来提高测量精度。文末通过实验仿真对该方法进行了验证,并对实验结果和电磁跟踪系统采集到的数据进行了比较,结果表明,本文提出的方法能显著提高手臂姿态测量精度,可有效满足应用要求。