NDLI: Kalman smoothing with persistent nuisance parameters

Content Provider	IEEE Xplore Digital Library
Author	Aravkin, A. Ramamurthy, K.N. Pillonetto, G.
Copyright Year	2014
Description	Author affiliation: Univ. of Padova, Padua, Italy (Pillonetto, G.) \|\| IBM T. J. Watson Res. Center, Yorktown Heights, NY, USA (Aravkin, A.; Ramamurthy, K.N.)
Abstract	Kalman filtering and smoothing methods are key to a broad range of applications, including navigation, financial tracking, and weather prediction. Many such applications contain nuisance parameters, such as persistent bias, and classic approaches estimate these parameters by augmenting the state and posing appropriate constraints on their dynamics. These approaches work in practice, but they are difficult to interpret, and can result in poor conditioning. In this paper, we propose a variant of Kalman smoothing models that includes both dynamic state variables and static biases, but estimate only a single value for each static bias variable. We incorporate both kinds of variables into an augmented optimization framework, and design efficient algorithms for estimation, providing computational complexity and numerical stability guarantees, and a straightforward method to estimate the variance of the bias estimates. We illustrate the efficacy of the proposed method in two examples, including the classic navigation problem of estimating attitude from biased gyro measurements.
Starting Page	1
Ending Page	6
File Size	282315
Page Count	6
File Format	PDF
ISBN	9781479936946
DOI	10.1109/MLSP.2014.6958928
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-09-21
Publisher Place	France
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Kalman filters Mathematical model Smoothing methods Numerical models Estimation Complexity theory Noise measurement
Content Type	Text
Resource Type	Article

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3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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