CHARACTERIZATION OF EXPONENTIAL DIVERGENCE OF THE KALMAN FILTER FOR TIME-VARYING SYSTEMS

This paper studies semistability of the recursive Kalman filter in the context of linear time-varying (LTV), possibly nondetectable systems with incorrect noise information. Semistability is a key property, as it ensures that the actual estimation error does not diverge exponentially. We explore structural properties of the filter to obtain a necessary and sufficient condition for the filter to be semistable. The condition does not involve limiting gains nor the solution of Riccati equations, as they can be difficult to obtain numerically and may not exist. We also compare semistability with the notions of stability and stability w.r.t. the initial error covariance, and we show that semistability in a sense makes no distinction between persistent and nonpersistent incorrect noise models, as opposed to stability. In the linear time invariant scenario we obtain algebraic, easy to test conditions for semistability and stability, which complement results available in the context of detectable systems. Illustrative examples are included.

A Floating-point Extended Kalman Filter Implementation for Autonomous Mobile Robots

Localization and Mapping are two of the most important capabilities for autonomous mobile robots and have been receiving considerable attention from the scientific computing community over the last 10 years. One of the most efficient methods to address these problems is based on the use of the Extended Kalman Filter (EKF). The EKF simultaneously estimates a model of the environment (map) and the position of the robot based on odometric and exteroceptive sensor information. As this algorithm demands a considerable amount of computation, it is usually executed on high end PCs coupled to the robot. In this work we present an FPGA-based architecture for the EKF algorithm that is capable of processing two-dimensional maps containing up to 1.8 k features at real time (14 Hz), a three-fold improvement over a Pentium M 1.6 GHz, and a 13-fold improvement over an ARM920T 200 MHz. The proposed architecture also consumes only 1.3% of the Pentium and 12.3% of the ARM energy per feature.

Noise reduction in biomedical speech signal processing based on time and frequency Kalman filtering combined with spectral subtraction

The goal of this paper is to study and propose a new technique for noise reduction used during the reconstruction of speech signals, particularly for biomedical applications. The proposed method is based on Kalman filtering in the time domain combined with spectral subtraction. Comparison with discrete Kalman filter in the frequency domain shows better performance of the proposed technique. The performance is evaluated by using the segmental signal-to-noise ratio and the Itakura-Saito`s distance. Results have shown that Kalman`s filter in time combined with spectral subtraction is more robust and efficient, improving the Itakura-Saito`s distance by up to four times. (C) 2007 Elsevier Ltd. All rights reserved.

PARTIAL STABILITY FOR A CLASS OF NONLINEAR SYSTEMS

This paper studies a nonlinear, discrete-time matrix system arising in the stability analysis of Kalman filters. These systems present an internal coupling between the state components that gives rise to complex dynamic behavior. The problem of partial stability, which requires that a specific component of the state of the system converge exponentially, is studied and solved. The convergent state component is strongly linked with the behavior of Kalman filters, since it can be used to provide bounds for the error covariance matrix under uncertainties in the noise measurements. We exploit the special features of the system-mainly the connections with linear systems-to obtain an algebraic test for partial stability. Finally, motivated by applications in which polynomial divergence of the estimates is acceptable, we study and solve a partial semistability problem.

Robust state prediction for descriptor systems

This paper deals with the problem of state prediction for descriptor systems subject to bounded uncertainties. The problem is stated in terms of the optimization of an appropriate quadratic functional. This functional is well suited to derive not only the robust predictor for descriptor systems but also that for usual state-space systems. Numerical examples are included in order to demonstrate the performance of this new filter. (C) 2008 Elsevier Ltd. All rights reserved.

On the analysis of notched concrete beams: From measurement with digital image correlation to identification with boundary element method of a cohesive model

A way of coupling digital image correlation (to measure displacement fields) and boundary element method (to compute displacements and tractions along a crack surface) is presented herein. It allows for the identification of Young`s modulus and fracture parameters associated with a cohesive model. This procedure is illustrated to analyze the latter for an ordinary concrete in a three-point bend test on a notched beam. In view of measurement uncertainties, the results are deemed trustworthy thanks to the fact that numerous measurement points are accessible and used as entries to the identification procedure. (C) 2010 Elsevier Ltd. All rights reserved.

Recursive linear estimation for general discrete-time descriptor systems

This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence of the associated Riccati recursion and stability properties of the steady-state filter are provided. (C) 2010 Elsevier Ltd. All rights reserved.

Dynamic Imaging in Electrical Impedance Tomography of the Human Chest With Online Transition Matrix Identification

One of the electrical impedance tomography objectives is to estimate the electrical resistivity distribution in a domain based only on electrical potential measurements at its boundary generated by an imposed electrical current distribution into the boundary. One of the methods used in dynamic estimation is the Kalman filter. In biomedical applications, the random walk model is frequently used as evolution model and, under this conditions, poor tracking ability of the extended Kalman filter (EKF) is achieved. An analytically developed evolution model is not feasible at this moment. The paper investigates the identification of the evolution model in parallel to the EKF and updating the evolution model with certain periodicity. The evolution model transition matrix is identified using the history of the estimated resistivity distribution obtained by a sensitivity matrix based algorithm and a Newton-Raphson algorithm. To numerically identify the linear evolution model, the Ibrahim time-domain method is used. The investigation is performed by numerical simulations of a domain with time-varying resistivity and by experimental data collected from the boundary of a human chest during normal breathing. The obtained dynamic resistivity values lie within the expected values for the tissues of a human chest. The EKF results suggest that the tracking ability is significantly improved with this approach.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Dynamic positioning systems: An experimental analysis of sliding mode control

Vessel dynamic positioning (DP) systems are based on conventional PID-type controllers and an extended Kalman filter. However, they present a difficult tuning procedure, and the closed-loop performance varies with environmental or loading conditions since the dynamics of the vessel are eminently nonlinear. Gain scheduling is normally used to address the nonlinearity of the system. To overcome these problems, a sliding mode control was evaluated. This controller is robust to variations in environmental and loading conditions, it maintains performance and stability for a large range of conditions, and presents an easy tuning methodology. The performance of the controller was evaluated numerically and experimentally in order to address its effectiveness. The results are compared with those obtained from conventional PID controller. (c) 2010 Elsevier Ltd. All rights reserved.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Fully Connected PLL Networks: How Filter Determines the Number of Nodes

Synchronization plays an important role in telecommunication systems, integrated circuits, and automation systems. Formerly, the masterslave synchronization strategy was used in the great majority of cases due to its reliability and simplicity. Recently, with the wireless networks development, and with the increase of the operation frequency of integrated circuits, the decentralized clock distribution strategies are gaining importance. Consequently, fully connected clock distribution systems with nodes composed of phase-locked loops (PLLs) appear as a convenient engineering solution. In this work, the stability of the synchronous state of these networks is studied in two relevant situations: when the node filters are first-order lag-lead low-pass or when the node filters are second-order low-pass. For first-order filters, the synchronous state of the network shows to be stable for any number of nodes. For second-order filter, there is a superior limit for the number of nodes, depending on the PLL parameters. Copyright (C) 2009 Atila Madureira Bueno et al.

Lossless filter for multiple repeats with bounded edit distance

Background: Identifying local similarity between two or more sequences, or identifying repeats occurring at least twice in a sequence, is an essential part in the analysis of biological sequences and of their phylogenetic relationship. Finding such fragments while allowing for a certain number of insertions, deletions, and substitutions, is however known to be a computationally expensive task, and consequently exact methods can usually not be applied in practice. Results: The filter TUIUIU that we introduce in this paper provides a possible solution to this problem. It can be used as a preprocessing step to any multiple alignment or repeats inference method, eliminating a possibly large fraction of the input that is guaranteed not to contain any approximate repeat. It consists in the verification of several strong necessary conditions that can be checked in a fast way. We implemented three versions of the filter. The first is simply a straightforward extension to the case of multiple sequences of an application of conditions already existing in the literature. The second uses a stronger condition which, as our results show, enable to filter sensibly more with negligible (if any) additional time. The third version uses an additional condition and pushes the sensibility of the filter even further with a non negligible additional time in many circumstances; our experiments show that it is particularly useful with large error rates. The latter version was applied as a preprocessing of a multiple alignment tool, obtaining an overall time (filter plus alignment) on average 63 and at best 530 times smaller than before (direct alignment), with in most cases a better quality alignment. Conclusion: To the best of our knowledge, TUIUIU is the first filter designed for multiple repeats and for dealing with error rates greater than 10% of the repeats length.

Feasibility of using solid sampling graphite furnace atomic absorption spectrometry for preparation of spiked filter papers with Cu and Zn as standards for direct solid analysis

An approach was developed for the preparation of cryogenic ground spiked filter papers with Cu and Zn for use as synthetic calibrating standards for direct solid microanalysis. Solid sampling graphite furnace atomic absorption spectrometry was used to evaluate the microhomogeneity and to check the applicability of the synthetic calibrating standards for the direct determination of Cu and Zn in vegetable certified reference materials. The found concentrations presented no statistical differences at the 95% confidence level. The homogeneity factors ranged from 2.7 to 4.2 for Cu and from 6.4 to 11.5 for Zn.

A novel subwavelength plasmon-polariton optical filter based on tilted coupled structures

This work proposes a completely new approach for the design of resonant structures aiming at wavelength-filtering applications. The structure consists of a subwavelength metal-insulator-metal (MIM) waveguide presenting tilted coupled structures transversely arranged in the midpoint between the input and output ports. The cavity-like response of this device has shown that this concept can be particularly attractive for optical filter design for telecom applications. The extra degree of freedom provided by the tilting of the cavity has proved to be not only very effective on improving the quality factor of these structures, but also to be an elegant way of extending the range of applications for tuning multiple wavelengths, if necessary.