TY - GEN
T1 - Overbounding sequential estimation errors due to non-Gaussian correlated noise
AU - Langel, Steven
AU - Crespillo, Omar García
AU - Joerger, Mathieu
N1 - Publisher Copyright:
© 2020 The MITRE Corporation. ALL RIGHTS RESERVED.
PY - 2020
Y1 - 2020
N2 - In this paper, we develop, analyze, and implement a new recursive method to conservatively account for non-Gaussian measurement errors with an uncertain correlation structure in Kalman filters (KFs). Under the assumptions of symmetric overbounding, the method guarantees a CDF overbound on the entire KF estimation error distribution. First, we leverage previous work on symmetric overbounding and frequency-domain overbounding to show how to transform a measurement domain CDF overbound into a position domain overbound. The second part of the paper evaluates the proposed method through Monte Carlo simulation for a GPS-based position estimation problem. Specifically, we show that while frequency domain overbounding produces a position domain overbound for Gaussian noise with an uncertain correlation structure, combination with symmetric overbounding is required to ensure position domain overbounding for non-Gaussian correlated noise.
AB - In this paper, we develop, analyze, and implement a new recursive method to conservatively account for non-Gaussian measurement errors with an uncertain correlation structure in Kalman filters (KFs). Under the assumptions of symmetric overbounding, the method guarantees a CDF overbound on the entire KF estimation error distribution. First, we leverage previous work on symmetric overbounding and frequency-domain overbounding to show how to transform a measurement domain CDF overbound into a position domain overbound. The second part of the paper evaluates the proposed method through Monte Carlo simulation for a GPS-based position estimation problem. Specifically, we show that while frequency domain overbounding produces a position domain overbound for Gaussian noise with an uncertain correlation structure, combination with symmetric overbounding is required to ensure position domain overbounding for non-Gaussian correlated noise.
UR - http://www.scopus.com/inward/record.url?scp=85097786961&partnerID=8YFLogxK
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U2 - 10.33012/2020.17576
DO - 10.33012/2020.17576
M3 - Conference contribution
AN - SCOPUS:85097786961
T3 - Proceedings of the 33rd International Technical Meeting of the Satellite Division of the Institute of Navigation, ION GNSS+ 2020
SP - 1054
EP - 1067
BT - Proceedings of the 33rd International Technical Meeting of the Satellite Division of the Institute of Navigation, ION GNSS+ 2020
PB - Institute of Navigation
T2 - 33rd International Technical Meeting of the Satellite Division of the Institute of Navigation, ION GNSS+ 2020
Y2 - 22 September 2020 through 25 September 2020
ER -