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Nonlinear Model-Based Estimation Algorithms: Tutorial and Recent Developments. Mark L. Psiaki Sibley School of Mechanical & Aerospace Engr., Cornell University. Acknowledgements. Collaborators Paul Kintner , former Cornell ECE faculty member Steve Powell , Cornell ECE research engineer
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Nonlinear Model-Based Estimation Algorithms: Tutorial and Recent Developments Mark L. Psiaki Sibley School of Mechanical & Aerospace Engr., Cornell University Aero. Engr. & Engr. Mech., UT Austin31 March 2011
Acknowledgements • Collaborators • Paul Kintner, former Cornell ECE faculty member • Steve Powell, Cornell ECE research engineer • Hee Jung, Eric Klatt, Todd Humphreys, & Shan Mohiuddin, Cornell GPS group Ph.D. alumni • Joanna Hinks, Ryan Dougherty, Ryan Mitch, & Karen Chiang, Cornell GPS group Ph.D. candidates • Jon Schoenberg & Isaac Miller, Cornell Ph.D. candidate/alumnus of Prof. M. Campbell’s autonomous systems group • Prof. Yaakov Oshman, The Technion, Haifa, Israel, faculty of Aerospace Engineering • Massaki Wada, Saila System Inc. of Tokyo, Japan • Sponsors • Boeing Integrated Defense Systems • NASA Goddard • NASA OSS • NSF UT Austin March ‘11
Goals: • Use sensor data from nonlinear systems to infer internal states or hidden parameters • Enable navigation, autonomous control, etc. in challenging environments (e.g., heavy GPS jamming) or with limited/simplified sensor suites Strategies: • Develop models of system dynamics & sensors that relate internal states or hidden parameters to sensor outputs • Use nonlinear estimation to “invert” models & determine states or parameters that are not directly measured • Nonlinear least-squares • Kalman filtering • Bayesian probability analysis UT Austin March ‘11
Outline • Related research • Example problem: Blind tricyclist w/bearings-only measurements to uncertain target locations • Observability/minimum sensor suite • Batch filter estimation • Math model of tricyclist problem • Linearized observability analysis • Nonlinear least-squares solution • Models w/process noise, batch filter limitations • Nonlinear dynamic estimators: mechanizations & performance • Extended Kalman Filter (EKF) • Sigma-points filter/Unscented Kalman Filter (UKF) • Particle filter (PF) • Backwards-smoothing EKF (BSEKF) • Introduction of Gaussian sum techniques • Summary & conclusions UT Austin March ‘11
Related Research • Nonlinear least squares batch estimation: Extensive literature & textbooks, – e.g., Gill, Murray, & Wright (1981) • Kalman filter & EKF: Extensive literature & textbooks, e.g., Brown & Hwang 1997 or Bar-Shalom, Li & Kirubarajan (2001) • Sigma-points filter/UKF: Julier, Uhlmann, & Durrant-Whyte (2000), Wan & van der Merwe (2001), … etc. • Particle filter: Gordon, Salmond, & Smith (1993), Arulampalam et al. tutorial (2002), … etc. • Backwards-smoothing EKF: Psiaki (2005) • Gaussian mixture filter: Sorenson & Alspach (1971), van der Merwe & Wan (2003), Psiaki, Schoenberg, & Miller (2010), … etc. UT Austin March ‘11
A Blind Tricyclist Measuring Relative Bearing to a Friend on a Merry-Go-Round • Assumptions/constraints: • Tricyclist doesn’t know initial x-y position or heading, but can accurately accumulate changes in location & heading via dead-reckoning • Friend of tricyclist rides a merry-go-round & periodically calls to him giving him a relative bearing measurement • Tricyclist knows merry-go-round location & diameter, but not its initial orientation or its constant rotation rate • Estimation problem: determine initial location & heading plus merry-go-round initial orientation & rotation rate UT Austin March ‘11
Example Tricycle Trajectory & Relative Bearing Measurements See 1st Matlab movie UT Austin March ‘11
Is the System Observable? • Observability is condition of having unique internal states/parameters that produce a given measurement time history • Verify observability before designing an estimator because estimation algorithms do not work for unobservable systems • Linear system observability tested via matrix rank calculations • Nonlinear system observability tested via local linearization rank calculations & global minimum considerations of associated least-squares problem • Failed observability test implies need for additional sensing UT Austin March ‘11
Observability Failure of Tricycle Problem & a Fix See 2nd Matlab movie for failure/non-uniqueness See 3rd Matlab movie for fix via additional sensing UT Austin March ‘11
Geometry of Tricycle Dynamics & Measurement Models UT Austin March ‘11
Tricycle Dynamics Model from Kinematics • Constant-turn-radius transition from tk to tk+1= tk +Dt: • State & control vector definitions • Consistent with standard discrete-time state-vector dynamic model form: UT Austin March ‘11
Bearing Measurement Model • Trigonometry of bearing measurement to mth merry-go-round rider • Sample-dependent measurement vector definition: • Consistent with standard discrete-time state-vector measurement model form: UT Austin March ‘11
Nonlinear Batch Filter Model • Over-determined system of equations: • Definitions of vectors & model function: UT Austin March ‘11
Batch Filter Observability & Estimation • Linearized local observability analysis: • Batch filter nonlinear least-squares estimation problem • Approximate estimation error covariance UT Austin March ‘11
Example Batch Filter Results UT Austin March ‘11
Dynamic Models with Process Noise • Typical form driven by Gaussian white random process noise vk: • Tricycle problem dead-reckoning errors naturally modeled as process noise • Specific process noise terms • Random errors between true speed V & true steer angle g and the measured values used for dead-reckoning • Wheel slip that causes odometry errors or that occurs in the side-slip direction. UT Austin March ‘11
Effect of Process Noise on Truth Trajectory UT Austin March ‘11
Effect of Process Noise on Batch Filter UT Austin March ‘11
Dynamic Filtering based on Bayesian Conditional Probability Density subject to xi for i = 0, …, k-1 determined as functions of xk & v0, …, vk-1 via inversion of the equations: UT Austin March ‘11
EKF Approximation • Uses Taylor series approximations of fk(xk,uk,vk) & hk(xk) • Taylor expansions about approximate xk expectation values & about vk = 0 • Normally only first-order, i.e., linear, expansions used, but sometimes quadratic terms are used • Gaussian statistics assumed • Allows complete probability density characterization in terms of means & covariances • Allows closed-form mean & covariance propagations • Optimal for truly linear, truly Gaussian systems • Drawbacks • Requires encoding of analytic derivatives • Loses accuracy or even stability in the presence of severe nonlinearities UT Austin March ‘11
EKF Performance, Moderate Initial Uncertainty UT Austin March ‘11
EKF Performance, Large Initial Uncertainty UT Austin March ‘11
Sigma-Points UKF Approximation • Evaluate fk(xk,uk,vk) & hk(xk) at specially chosen “sigma” points & compute statistics of results • “Sigma” points & weights yield pseudo-random approximate Monte-Carlo calculations • Can be tuned to match statistical effects of more Taylor series terms than EKF approximation • Gaussian statistics assumed, as in EKF • Mean & covariance assumed to fully characterize distribution • Sigma points provide a describing-function-type method for improving mean & covariance propagations, which are performed via weighted averaging over sigma points • No need for analytic derivatives of functions • Also optimal for truly linear, truly Gaussian systems • Drawback • Additional Taylor series approximation accuracy may not be sufficient for severe nonlinearities • Extra parameters to tune • Singularities & discontinuities may hurt UKF more than other filters UT Austin March ‘11
UKF Performance, Moderate Initial Uncertainty UT Austin March ‘11
UKF Performance, Large Initial Uncertainty UT Austin March ‘11
Particle Filter Approximation • Approximate the conditional probability distribution using Monte-Carlo techniques • Keep track of a large number of state samples & corresponding weights • Update weights based on relative goodness of their fits to measured data • Re-sample distribution if weights become overly skewed to a few points, using regularization to avoid point degeneracy • Advantages • No need for Gaussian assumption • Evaluates fk(xk,uk,vk) & hk(xk) at many points, does not need analytic derivatives • Theoretically exact in the limit of large numbers of points • Drawbacks • Point degeneracy due to skewed weights not fully compensated by regularization • Too many points required for accuracy/convergence robustness for high-dimensional problems UT Austin March ‘11
PF Performance, Moderate Initial Uncertainty UT Austin March ‘11
PF Performance, Large Initial Uncertainty UT Austin March ‘11
Backwards-Smoothing EKF Approximation • Maximizes probability density instead of trying to approximate intractable integrals • Maximum a posteriori (MAP) estimation can be biased, but also can be very near optimal • Standard numerical trajectory optimization-type techniques can be used to form estimates • Performs explicit re-estimation of a number of past process noise vectors & explicitly considers a number of past measurements in addition to the current one, re-linearizing many fi(xi,ui,vi) & hi(xi) for values of i <= k as part of a non-linear smoothing calculation • Drawbacks • Computationally intensive, though highly parallelizable • MAP not good for multi-modal distributions • Tuning parameters adjust span & solution accuracy of re-smoothing problems UT Austin March ‘11
Implicit Smoothing in a Kalman Filter UT Austin March ‘11
BSEKF Performance, Moderate Initial Uncertainty UT Austin March ‘11
BSEKF Performance, Large Initial Uncertainty UT Austin March ‘11
A PF Approximates the Probability Density Function as a Sum of Dirac Delta Functions GNC/Aug. ‘10
A Gaussian Sum Spreads the Component Functions & Can Achieve Better Accuracy GNC/Aug. ‘10
Summary & Conclusions • Developed novel navigation problem to illustrate challenges & opportunities of nonlinear estimation • Reviewed estimation methods that extract/estimate internal states from sensor data • Presented & evaluated 5 nonlinear estimation algorithms • Examined Batch filter, EKF, UKF, PF, & BSEKF • EKF, PF, & BSEKF have good performance for moderate initial errors • Only BSEKF has good performance for large initial errors • BSEKF has batch-like properties of insensitivity to initial estimates/guesses due to nonlinear least-squares optimization with algorithmic convergence guarantees UT Austin March ‘11