Second-order correction and numerical considerations for the two-step optimal estimator

N. Jeremy Kasdin, Gordon T. Haupt

Research output: Contribution to conferencePaper

Abstract

A modification of the two-stepoptimal filter (Refs. 1 and 2) is presented. The two-step filter is an alternative to the standard recursive estimators that are applied to nonlinear measurement problems, such as the extended and iterated extended Kalman filters. It improves the estimate error by splitting the cost function minimization into two steps (a linear first step and a nonlinear second step) by defining a set of firststep states that are nonlinear combinations of the desired states. A linear approximation is made in the time update of the first-step states rather than in the measurement update as in conventional methods. This paper presents an extension of that approximation of the time update by including higher-order terms in the state estimate error. Previous work used a first-order expansion of the nonlinear function relating first- and second-step states to find the time update of the firststep states. In this paper, terms to third order in the estimate error are retained, resulting in a time update keeping second-order corrections in both the state estimate error and the covariance. The result is an estimate with lower bias and lower mean square error. A square root implementation of the two-step filter algorithm is also presented that improves the robustness and accuracy of the filter. Performance is verified using a radar ranging example.

Original languageEnglish (US)
Pages1-9
Number of pages9
DOIs
StatePublished - Jan 1 1996
EventGuidance, Navigation, and Control Conference and Exhibit, 1996 - San Diego, United States
Duration: Jul 29 1996Jul 31 1996

Other

OtherGuidance, Navigation, and Control Conference and Exhibit, 1996
CountryUnited States
CitySan Diego
Period7/29/967/31/96

All Science Journal Classification (ASJC) codes

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

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    Kasdin, N. J., & Haupt, G. T. (1996). Second-order correction and numerical considerations for the two-step optimal estimator. 1-9. Paper presented at Guidance, Navigation, and Control Conference and Exhibit, 1996, San Diego, United States. https://doi.org/10.2514/6.1996-3696