Two-stage Kalman Filter for Linear System with Correlated Noises

Author(s):  
Hong Wang
Author(s):  
Qizhi He ◽  
Weiguo Zhang ◽  
Degang Huang ◽  
Huakun Chen ◽  
Jinglong Liu

Optimal two stage Kalman filter (OTSKF) is able to obtain optimal estimation of system states and bias for linear system which contains random bias. Unscented Kalman filter (UKF) is a conventional nonlinear filtering method which utilizes Sigmas point sampling and unscented transformation technology realizes propagation of state means and covariances through nonlinear system. Aircraft is a typical complicate nonlinear system, this paper treats the faults of Inertial Measurement Unit (IMU) as random bias, established a filtering model which contains faults of IMU. Hybird the two stage filtering technique and UKF, this paper proposed an optimal two stage unscented Kalman filter (OTSUKF) algorithm which is suitable for fault diagnosis of IMU, realized optimal estimation of system states and faults identification of IMU via proposed innovative designing method of filtering model and the algorithm was validated that it is robust to wind disterbance via real flight data and it is also validated that proposed OTSUKF is optimal in the existance of wind disturbance via comparing with the existance iterated optimal two stage extended kalman filter (IOTSEKF) method.


Author(s):  
Qizhi He ◽  
Weiguo Zhang ◽  
Xiaoxiong Liu ◽  
Weinan Li

In the case of nonlinear systems with random bias, the Optimal Two-Stage Unscented Kalman Filter (OTSUKF) can obtain the optimal estimation of system state and bias. But it requires random bias to be accurately modeled, while it is always very difficult in actual situation because the aircraft is a typical nonlinear system. In this paper, the faults of the Inertial Measurement Unit (IMU) are treated as a random bias, and the random walk model is used to describe the fault. The accuracy of the random walk model depends on the degree of matching between the covariance of the random walk model and the actual situation. For the IMU fault diagnosis method based on OTSUKF, the covariance of the random walk model is assigned with a constant matrix, and the value of the matrix is initialized empirically. It is very difficult to select a matching matrix in practical applications. For this problem, in this paper, the covariance matrix of the random walk model is adaptively adjusted online based on the innovation covariance matching technique, and an adaptive Two-Stage Unscented Kalman Filter (ATSUKF) is proposed to solve the fault diagnosis problem of the IMU. The simulation experiment compares the IMU fault diagnosis performance of OTSUKF and ATSUKF, and verifies the effectiveness of the proposed adaptive method.


2006 ◽  
Vol 20 (7) ◽  
pp. 305-319 ◽  
Author(s):  
Kwang Hoon Kim ◽  
Jang Gyu Lee ◽  
Chan Gook Park
Keyword(s):  

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