A conditionally linearized Monte Carlo filter in non-linear structural dynamics

State and parameter estimations of non-linear dynamical systems, based on incomplete and noisy measurements, are considered using Monte Carlo simulations. Given the measurements, the proposed method obtains the marginalized posterior distribution of an appropriately chosen (ideally small) subset of the state vector using a particle filter. Samples (particles) of the marginalized states are then used to construct a family of conditionally linearized system of equations and thus obtain the posterior distribution of the states using a bank of Kalman filters. Discrete process equations for the marginalized states are derived through truncated Ito-Taylor expansions. Increased analyticity and reduced dispersion of weights computed over a smaller sample space of marginalized states are the key features of the filter that help achieve smaller sample variance of the estimates. Numerical illustrations are provided for state/parameter estimations of a Duffing oscillator and a 3-DOF non-linear oscillator. Performance of the filter in parameter estimation is also assessed using measurements obtained through experiments on simple models in the laboratory. Despite an added computational cost, the results verify that the proposed filter generally produces estimates with lower sample variance over the standard sequential importance sampling (SIS) filter.     

随机振动控制系统中含未知噪声方差的自适应滤波

通过构造出关于模型噪声和量测噪声的方差的泛函,以泛函数极小为目标,提出了随机振动控制系统中含未知噪声方差的自适应滤波优化准则,用ＤＦＰ优化方法求解出模型噪声和量测噪声的方差,从而保证Ｋａｌｍａｎ滤波的结果为最优,并应用ＬＱＧ方法实现振动控制。     

Nonlinear response of SDOF systems under combined deterministic and random excitations

Dynamical systems subjected to random excitations exhibit non-linear behavior for sufficiently large motion. The multiple time scale method has been extensively utilized in the framework of non-linear deterministic analysis to obtain two averaged first-order differential equations describing the slow time scale modulation of amplitude and phase response. In this paper the multiple time scale method, opportunely modified to take properly into account the correlation structure of the stochastic input process, is adopted to derive a stochastic frequency-response relationship involving the response amplitude statistics and the input power spectral density. A low-intensity noise is assumed to separate the strong mean motion from its weak fluctuations. The moment differential equations of phase and amplitude are derived and a linearization technique applied to evaluate the second order statistics. The theory is validated through digital simulations on a nonlinear single degree of freedom model for the transversal oscillation of a cantilever beam with tip force and to a Duffing-Rayleigh oscillator, to analyze non-linear damping effects.     

Data assimilation of forecasted errors in hydrodynamic models using inter‐model correlations

Data‐assimilation techniques of the Kalman filter type are considered to be the state‐of‐the‐art approach for combining data information and deterministic numerical models with the objective of operational forecasting. This paper introduces, as an alternative, a faster and simpler data‐assimilation technique that exploits inter‐model correlations to distribute predicted errors. This scheme is performed in two steps: (i) prediction of the deterministic model errors at observation points using so‐called local linear models and (ii) distribution of the forecasted errors over the computational domain employing a scheme based on deterministic inter‐model correlations which describe the spatial nature of error structure. The method's advantage is that systematic error can be predicted by the error correction scheme, while the dynamics remain described by the deterministic model, which also establishes a basis for the spatial error distribution scheme. This relatively simple approach is inspired by original Kalman filter techniques but distinguishes error prediction and distribution in two different stages, hence allowing for data‐driven error forecasting and off‐line correction. In order to test the scheme's performance, a deterministic model of an artificial bay was constructed and run. The system was driven by specific forcing conditions and characterized by physical parameters that, in subsequent simulations, were deliberately manipulated to introduce errors into the model and test the scheme's capability. Copyright © 2007 John Wiley & Sons, Ltd.     

Application of Kalman Filter Finite Element Method and AIC

This paper presents a numerical simulation for application of the Kalman filter finite element method. The Kalman filter is employed frequently for the solution of time series analysis including observation and system noises. Applying the Kalman filter to the finite element method, the present method is capable of the estimation in time and space directions. In this method, the matrix generated by the finite element method is applied to the state transition matrix. Using the Kalman filter finite element method, the characteristics of both the Kalman filter and the finite element method can be strengthened. In this paper, the state transition matrix is based on the shallow water equations which are approximated by the finite element method. This method can estimate the tidal current not only in time but also in space directions.     

浮筏系统中的碰撞动力学离散模型(2):随机模型

本文建立了浮筏系统在部分冲击受损后形成的碰撞振动系统的离散动力学随机模型.在此随机模型中,浮筏系统的运动满足高斯分布,零部件的运动方程中的非线性是由于空隙单元产生,可以采用非高斯截断技术导出随机系统的平均碰撞庞加莱映射.实例分析指出,随机模型中由于增加了噪声的摄动,表现出的动力学特性比确定性模型更丰富,噪声的影响有时会增加零部件与设备之间的碰撞次数,也会抑制零部件与筏体之间的碰撞次数,噪声将增加系统动力学特性的复杂性.     

AN ADAPTIVE OPTIMAL KALMAN FILTER FOR STOCHASTIC VIBRATION CONTROL SYSTEM WITH UNKNOWN NOISE VARIANCES

In this paper, an optimal criterion is presented for adaptive Kalman filter in a control system with unknown variances of stochastic vibration by constructing a function of noise variances and minimizing the function. We solve the model and measure variances by using DFP optimal method to guarantee the results of Kalman filter to be optimized. Finally, the control of vibration can be implemented by LQG method.     

Non-linear filtering for a dust-perturbed two-body model

In standard textbooks on classical mechanics, the two-body central forcing problem is formulated as a system of the coupled non-linear second-order deterministic differential equations. Uncertainties, introduced by the astronomical ‘dust’, are not assumed in the orbit dynamics. The dust population produces an additional random force on the orbiting particle. This work is a continuation of the paper (Sharma and Parthasarathy, Proc. R. Soc. A: Math. Phys. Eng. Sci. 463:979–1003, [2007]) in which the authors developed and analyzed the dust-perturbed two-body model, which accounts for the dust perturbation felt by the orbiting particle. The theory of the dust-perturbed stochastic system was developed using the Fokker–Planck equation. This paper discusses the problem of realizing non-linear stochastic filters for estimating the states of the dust-perturbed planar two-body stochastic system, especially from noisy observations. This paper utilizes the Kushner’s theory of non-linear filtering, which involves stochastic observation term in the evolution of conditional probability density, for deriving the stochastic evolutions of the conditional mean and conditional covariance. The effectiveness of the non-linear filters of this paper is examined on the basis of their ability to preserve the perturbation effect, less random fluctuations in the mean trajectory and stability characteristics in the mean and variance trajectories. Most notably, this paper reveals the efficacy of the second-order approximate Kushner filter for the estimation procedure in contrast to the first-order approximate filter. Simulation results are introduced to demonstrate the usefulness of an analytic theory developed in this paper.     

A perturbation method for estimation of dynamic systems

A novel framework called the Perturbed Jth Moment Extended Kalman Filter (PJMEKF), based on a classical perturbation technique is proposed for estimating the states of a nonlinear dynamical system from sensor measurements. This method falls under a class of architectures under investigation primarily to study the interplay of major issues in nonlinear estimation such as nonlinearity, measurement sparsity, and initial condition uncertainty in an environment with low levels of process noise. Taylor series expansion of the departure motion dynamics about the best estimate is used to derive a series representation of the unforced motion. It is found that such series representation evolves as a set of differential equations that force each other in a cascade manner, adding up to give the unforced motion (in a so-called “triangular” structure). This formal perturbation solution for the departure motion dynamics is used in deriving the differential equations governing the time evolution of the high order statistical moments of the estimation error. These tensor differential equations are found to possess a similar high order triangular structure in addition to being symmetric (in N tensorial dimensions and we appropriately term the evolution equations as Tensor Lyapunov Equations of statistical moment perturbations). Elegance of the tensor differential equations thus derived is accompanied by the computational advantages due to symmetry in all tensorial dimensions. A vector matrix representation of tensors is proposed with which the representation and solution of the tensor differential equations can be carried out effectively. Approximations are introduced to incorporate low levels of process noise forcing function in the propagation phase of the moment equations. The statistics thus propagated are used in a filtering framework to estimate the state vector of a nonlinear system from noisy measurements, within the traditional Kalman update paradigm. The Kalman gain thus determined is utilized in updating all high order moments in preparation for the subsequent propagation phase leading to improved estimation accuracy. The filter developed is applied to an orbit estimation problem and comparisons are presented with classical extended Kalman filter.     

具有乘性噪声和随机量测时滞的目标跟踪算法

针对在机动目标跟踪过程中产生的乘性量测噪声与随机量测时滞问题,提出了一种改进的高斯滤波(GF)算法,并给出了该算法的一种具体实现形式——随机时滞和乘性噪声容积卡尔曼滤波器(CKF-RDMN)。首先,利用一组满足伯努利分布的随机序列描述随机出现的量测时滞现象。其次,利用乘性噪声满足高斯条件分布的特性,改进量测更新过程。最后依据三阶球径容积法则,对高斯积分进行求解。由于该算法是对经典GF算法的改进,因此,也可作为通用的滤波框架解决上述问题。通过与推广无迹卡尔曼滤波和推广扩展卡尔曼滤波对比,仿真结果表明,CKF-RDMN在解决乘性量测噪声与随机量测时滞问题时,具有更高的估计精度。     

Examples of Analysis of Stochastic Processes Based on Time Series Data

Time series data from stochastic processes described by the Langevin equation are analyzed. Analysis is based on estimation of the deterministic and random terms of the Langevin equation from data. The terms are presented as fields and inspected visually. Forming a model of the process, the terms are also used to reconstruct the deterministic and stochastic process trajectories. The deterministic term is approximated by an analytical ansatz. The equations obtained by the approximation are used to generate deterministic process trajectories and to study their linear stability. Influence of measurement noise on the estimates is also discussed.     

基于Allan方差解耦自适应滤波的旋转SINS精对准方法

对旋转式SINS精对准方法进行了研究,由于转位机构转动干扰以及惯性器件误差不确定性带来的影响,旋转式SINS状态方程和量测方程噪声方差参数难以确定,进而导致初始对准精度降低,针对这个问题引入自适应Kalman滤波技术。Sage-Husa是一种常用的自适应滤波算法,但是存在噪声参数强耦合缺陷。通过研究Allan方差与量测噪声方差之间的关系,利用Allan方差滤波器具有带通滤波的特点,独立计算量测噪声协方差阵R_k,该方法能够有效克服Sage-Husa滤波耦合问题,相比其它改进方法具有简单易实现等特点。对该研究进行了仿真实验与实际系统验证实验,结果表明:对于中等精度光纤陀螺单轴旋转SINS,自适应Kalman滤波算法航向角对准精度比标准Kalman滤波算法精度要高0.6’左右,且在误差估计过程中,自适应Kalman滤波器能够更好地抑制外界干扰误差的影响,是一种较好的精对准方法。     

时间相关噪声条件下的捷联惯导/星敏感器组合导航方法

针对星敏感器测量信息含有时间相关测量噪声和振动环境下惯性传感器带来的时间相关系统噪声问题,在不增加滤波维数的基础上,提出了一种基于改进卡尔曼滤波的捷联惯导/星敏感器组合导航方法。分析了时间相关噪声对状态估计的影响,构建了基于时间相关噪声模型下的状态方程和量测方程,详细推导了改进卡尔曼滤波方程,给出了组合导航方法。利用仿真对所提方法进行了验证,仿真结果表明,组合导航方法取得了400 m/1200 s的导航精度;在时间相关噪声条件下,与标准卡尔曼滤波相比,基于改进卡尔曼滤波的组合导航方法定位精度提高了50 m,是有效可行的。     

采用卡尔曼滤波器的GPS／INS姿态组合系统的研究

阐述了利用位置和速度以及GPS姿态作为观测量的GPS/INS组合导航系统原理,建立了状态变量为21维的组合系统动态方程,给出了用于卡尔曼滤波的GPS姿态误差模型,并对组合系统进行模拟分析,基于这种组合方式,使系统的位置和航向测量精度获得大幅度提高。     

自适应卡尔曼滤波在惯导初始对准中的应用研究

本文研究了自适应卡尔曼滤波技术在惯导系统中的应用。在噪声统计特性未知或近似已 知的情况下,采用常规卡尔曼滤波会导致较大的状态估计误差,甚至使滤波发散;而自适应卡 尔曼滤波在估计状态的同时,利用观测数据带来的信息,可在线估计噪声的统计特性,从而不 断地改进滤波器的设计,由此得到的滤波估计比常规卡尔曼估计精度更高。本文采用Ｓａｇｅ 和 Ｈｕｓａ 自适应滤波算法,结合惯导初始对准,给出了计算机仿真。仿真结果进一步证实在噪声统 计特性不确切知道的情况下,自适应卡尔曼滤波的估计精度高于常规卡尔曼滤波的估计精度。     

Bifurcation and Chaos Analysis of Stochastic Duffing System Under Harmonic Excitations

The Chebyshev polynomial approximation is applied to the dynamic response problem of a stochastic Duffing system with bounded random parameters, subject to harmonic excitations. The stochastic Duffing system is first reduced into an equivalent deterministic non-linear one for substitution. Then basic non-linear phenomena, such as stochastic saddle-node bifurcation, stochastic symmetry-breaking bifurcation, stochastic period-doubling bifurcation, coexistence of different kinds of steady-state stochastic responses, and stochastic chaos, are studied by numerical simulations. The main feature of stochastic chaos is explored. The suggested method provides a new approach to stochastic dynamic response problems of some dissipative stochastic systems with polynomial non-linearity.     

基于极大似然准则的INS/GNSS组合导航自适应UKF滤波算法

为提高INS/GNSS组合系统对过程噪声方差不确定性的鲁棒性,提出一种基于极大似然准则的自适应UKF算法。在该算法中,首先利用新息向量的统计信息构造量测向量的后验概率密度,然后通过极大似然准则在线求取过程噪声方差的估值,并将其反馈至UKF滤波过程,用于调整卡尔曼增益矩阵。提出的算法可以抑制过程噪声方差不确定性对滤波解的影响,克服了UKF的缺陷。仿真结果表明,当过程噪声的标准差增大为其真实值的4倍时,相比于UKF,提出方法的导航精度可至少提高45.5%;相比于ARUKF,其导航精度也可至少提高35.7%。跑车实验结果也验证了提出算法的有效性。     

带模型误差系统的自适应卡尔曼滤波在捷联惯导系统初始对准中的应用研究

对于有模型误差的惯导系统,采用常规卡尔曼滤波会导致较大的状态估计误差,甚至使滤波器发散。可采用自适应卡尔曼滤波算法,通过引入虚拟噪声,利用观测数据带来的信息,在线改进滤波器的设计,并将其运用到捷联惯导系统的初始对准中,由此得到的滤波估计比常规卡尔曼估计具有更高的精度和准确度。试验及计算机仿真结果验证了该方法的有效性。     

基于鲁棒滤波的无人机着陆相对导航方法

针对无人机在移动平台上进行起降时的相对导航问题,提出了一种基于鲁棒高阶容积滤波的惯导/视觉相对导航方法。建立了相对导航系统模型,基于无人机与移动平台之间的相对运动给出了系统的相对惯导方程,并针对系统中传感器的量测特性给出了导航敏感器的测量方程。针对相对导航系统非线性较强且量测噪声不符合高斯分布等问题,在高阶容积滤波的基础上,结合Huber-based量测更新方程,设计了鲁棒高阶容积滤波相对导航滤波器,该方法具有较高的估计精度,且对混合高斯噪声有鲁棒性。相对姿态采用四元数表示,为保证四元数的归一化,在设计相对导航滤波器时采用修正的罗德里格斯参数表示姿态误差。仿真结果表明,该方法可以准确地给出无人机与移动平台之间的相对位置、速度和姿态信息,且估计精度高于扩展卡尔曼滤波、Huber-Based滤波以及高阶容积卡尔曼滤波。