An optimal recursive iterative algorithm for discrete nonlinear least-squares estimation

Gordon T. Haupt, N. Jeremy Kasdin, George M. Keiser, Bradford W. Parkinson

Research output: Contribution to conferencePaper

3 Scopus citations

Abstract

The estimation algorithm developed in this paper offers an alternative to standard recursive nonlinear estimators such as the extended Kalman filter and the iterated extended Kalman filter. The algorithm, which is developed from a quadratic cost function basis, splits the problem of cost function minimization into a linear fist step and a nonlinear second step by defining new first-step states that are nonlinear combinations of the unknown states. Estimates of the first-step states are obtained by minimizing the tirststep cost function using a Kalman filter fomlulation. Estimates of the unknown, or second-step, states are obtained by minimizing the second-step cost function using an iterative Gauss-Newton algorithm. The twostep estimator is shown to be optimal for static problems in which the time variation of the measurement equation can be separated from the unknowns. This method is then generalized by approximating the nonlinearity as a perturbation of the dynamic update, while keeping the measurement cost function the same. In contrast, the extended Kalman filter and the iterated extended Kalman filter are shown to linearize the measurement cost function, resulting in suboptimal estimates. Two example applications confirm these analytical results.

Original languageEnglish (US)
Pages404-417
Number of pages14
StatePublished - Jan 1 1995
EventGuidance, Navigation, and Control Conference, 1995 - Baltimore, United States
Duration: Aug 7 1995Aug 10 1995

Other

OtherGuidance, Navigation, and Control Conference, 1995
CountryUnited States
CityBaltimore
Period8/7/958/10/95

All Science Journal Classification (ASJC) codes

  • Electrical and Electronic Engineering
  • Aerospace Engineering
  • Control and Systems Engineering

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    Haupt, G. T., Jeremy Kasdin, N., Keiser, G. M., & Parkinson, B. W. (1995). An optimal recursive iterative algorithm for discrete nonlinear least-squares estimation. 404-417. Paper presented at Guidance, Navigation, and Control Conference, 1995, Baltimore, United States.