TY - GEN
T1 - A comparison of iteratively reweighted least squares and Kalman Filter with em in measurement error covariance estimation
AU - Yang, Yanbo
AU - Brown, Tim
AU - Moran, Bill
AU - Wang, Xuezhi
AU - Pan, Quan
AU - Qin, Yuemei
N1 - Publisher Copyright:
© 2016 ISIF.
PY - 2016/8/1
Y1 - 2016/8/1
N2 - An unknown measurement error covariance in a stochastic dynamical system is to be estimated from measurements. A least squares approach is implemented by extending the iteratively reweighted least squares (IRLS) technique to handle system dynamics over a time window. The performance of this method, in terms of convergence rate and error, is compared to the standard Kalman Filter Expectation-Maximization (KFEM) approach via simulations of a single moving target with known stochastic dynamics tracked by two sensor measurements. We demonstrate that the extended IRLS outperforms KFEM in estimation accuracy. It also has a slightly better convergence rate at most epochs under any of a more uncertain, less uncertain, or re-estimated prior for the KFEM method.
AB - An unknown measurement error covariance in a stochastic dynamical system is to be estimated from measurements. A least squares approach is implemented by extending the iteratively reweighted least squares (IRLS) technique to handle system dynamics over a time window. The performance of this method, in terms of convergence rate and error, is compared to the standard Kalman Filter Expectation-Maximization (KFEM) approach via simulations of a single moving target with known stochastic dynamics tracked by two sensor measurements. We demonstrate that the extended IRLS outperforms KFEM in estimation accuracy. It also has a slightly better convergence rate at most epochs under any of a more uncertain, less uncertain, or re-estimated prior for the KFEM method.
UR - http://www.scopus.com/inward/record.url?scp=84992029535&partnerID=8YFLogxK
M3 - 会议稿件
AN - SCOPUS:84992029535
T3 - FUSION 2016 - 19th International Conference on Information Fusion, Proceedings
SP - 286
EP - 291
BT - FUSION 2016 - 19th International Conference on Information Fusion, Proceedings
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 19th International Conference on Information Fusion, FUSION 2016
Y2 - 5 July 2016 through 8 July 2016
ER -