NDLI: Kalman and UFIR state estimation with coloured measurement noise using backward Euler method

Content Provider	IET Digital Library
Author	Shmaliy, Yuriy S. Zhao, Shunyi Ahn, Choon K.
Abstract	Under coloured noise, known modifications of the Kalman filter (KF) exist only for discrete-time state-space models produced by the forward Euler (FE) method, which fits with feedback control. In this study, the authors modify the KF and unbiased finite impulse response (UFIR) filter using the backward Euler (BE) method for models with coloured measurement noise (CMN), which better fits systems without feedback. The FE- and BE-based models differ by time indexes in the system input and noise that is essential for time-varying and Markov jump systems. Employing measurement differencing, two KF algorithms and a unique UFIR algorithm are derived for time-correlated and de-correlated noise. An equivalence of the KF algorithms is proved analytically and confirmed by simulations. Numerical examples are given for target tracking and experimental verification is provided for visual object tracking. The high efficiency of the designed algorithms in removing CMN is demonstrated experimentally.
Starting Page	64
Ending Page	71
Page Count	8
ISSN	17519675
Volume Number	14
e-ISSN	17519683
Issue Number	Issue 2, Apr (2020)
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/iet-spr/14/2
Alternate Webpage(s)	https://digital-library.theiet.org/content/journals/10.1049/iet-spr.2019.0166
Journal	IET Signal Processing
Publisher Date	2019-10-18
Access Restriction	Open
Rights Holder	© The Institution of Engineering and Technology
Subject Keyword	Backward Euler Method BE-based Model Coloured Measurement Noise Control System Analysis Control System Synthesis Discrete Control System Discrete Time System Discrete-time State-space Model Feedback Feedback Control Filtering Method in Signal Processing FIR Filter Forward Euler Method Kalman Filter KF Algorithm Markov Jump System Markov Processes Modelling And Identification Noise Measurement Object Tracking Signal Processing Theory Simulation State Estimation State Space Method Synthesis Method Target Tracking Time-varying Unbiased Finite Impulse Response Filter Unique UFIR Algorithm Visual Object Tracking
Content Type	Text
Resource Type	Article
Subject	Signal Processing Electrical and Electronic Engineering

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
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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