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 journalArticlepeer-review

54 Scopus citations

Abstract

The estimation algorithm developed 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 first 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 first-step cost function using a Kalman filter formulation. Estimates of the unknown, or second-step, states are obtained by minimizing the second-step cost function using an iterative Gauss-Newton algorithm. The two-step 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 linearize the measurement cost function, resulting in suboptimal estimates. Two example applications confirm these analytical results.

Original languageEnglish (US)
Pages (from-to)643-649
Number of pages7
JournalJournal of Guidance, Control, and Dynamics
Volume19
Issue number3
DOIs
StatePublished - 1996

All Science Journal Classification (ASJC) codes

  • Aerospace Engineering
  • Applied Mathematics
  • Electrical and Electronic Engineering
  • Control and Systems Engineering
  • Space and Planetary Science

Fingerprint

Dive into the research topics of 'Optimal recursive iterative algorithm for discrete nonlinear least-squares estimation'. Together they form a unique fingerprint.

Cite this