FP6 - 4:30

THE CRAWER-RAO ESTIMATION ERROR WUER BOUND COWUTATION

FOR DETERKINISTIC NONLINEAR SYSTEMS

James H. Taylor

Oklahoma S t a t e U n i v e r s i t y
School of Mechanical and Aerospace Engineering
Engineering North 218
Stillwater, Oklahoma 74074

Abstract Establishing the performance of a filter algorithm

generally involves developing a computersimula-
For continuous-time nonlinear determinis- tion of the nonlinear system and observation
t i c system models with discrete nonlinear models, t o p r o v i d e realistic measurement sequences
measurements i n a d d i t i v e g a u s s i a n w h i t e n o i s e , that can be processed by t h e a l g o r i t h m which is
t h e extended Kalman f i l t e r (EKF)covariance a l s o mechanized i nt h es i m u l a t i o n . The system
propagation equations linearized about the and observation models used in this simulation
true unknown t r a j e c t o r y p r o v i d e t h e Cram&-Rao are generally called the "truth model"; it is
lover bound t o t h e e s t i m a t i o n e r r o r c o v a r i a n c e o f t e n more d e t a i l e d and r e a l i s t i c t h a n t h e model
matrix. A u s e f u la p p l i c a t i o n is e s t a b l i s h i n g used as a b a s i s f o r d e r i v i n g t h e f i l t e r a l g o r i t h m
t h e optimum f i l t e r performance for a given (the so-called "filter model").
nonlinear estimation problem by developing a A powerful result in such a performance as-
s i m u l a t i o n of the nonlinear system and an EKF sessment i s t h e Cram&-Rao i n e q u a l i t y ( c f . [ l ] ) : I n
linearizedaboutthe true t r a j e c t o r y . essence, defining P t o b e t h e e s t i m a t i o n e r r o r
covariance matrix corresponding to any unbiased
estimator' of t h e unknown d e t e r m i n i s t i c v a r i a b l e s ,
I n t r o d u c t i o n and P r o p o s i t i o n then the inequality can be stated as2

The problem of estimating unknown d e t e r -

ministicvariables(inparticular,thestate p p* 4 J-1
variables generated by a n o n l i n e a r time-
varying s t a t e v e c t o r d i f f e r e n t i a l e q u a t i o n
d r i v e n by d e t e r m i n i s t i c i n p u t v a r i a b l e s ) from where J i s theFisherinformation matrix. Thus,
discrete nonlinear observations in additive, P* d e f i n e s t h e b e s t t h a t c a n b e d o n e , i n t h e above
g a u s s i a n w h i t e n o i s e arises i n many a p p l i c a t i o n s sense.
of modern estimationtheory. Two t y p i c a l ex- I n many i n s t a n c e s , o b t a i n i n g P* is d i f f i c u l t
amples are: t r a c k i n g a d e t e r m i n i s t i c a l l y ( c f . [2-51 ). F o rt h ec a s ec o n s i d e r e di nt h i s
maneuvering spacecraft from a platform that paper,however,thefollowingresult w i l l be
follows a known t r a j e c t o r y ( e . g . , e s t i m a t i n g proven:
t h e t a r g e t ' s p o s i t i o n and v e l o c i t y i n a rela-
tive coordinate frame from noisy measurements Proposition: The inverseFisherinformation
of the platformltarget line-of-sight angle); matrix (P*) corresponding to a dynamic system
and estimating unknown non-random parameters modeled by a nonlinear time-varying state
i n t h e n o n l i n e a r dynamicmodel of a system vector differential equation with determinis-
s u b j e c t t o known i n p u t s , from n o n l i n e a r meas- t i c i n p u t s andnonlineartime-varyingobser-
urements of selected system variables corrupted vations of the state variables corrupted by
by additive gaussian noise. a d d i t i v e g a u s s i a n white noise sequences
Since the practical estimation algorithms propagatesaccordingtothe saPLe equations as
that are generally developed for such tasks
are r a r e l y o p t i m a l , a very real C O U C e M is
determining "the best that can be done", and lThe most g e n e r a l r e s u l t known t o t h e a u t h o r
comparing a given algorithm's performance with
that estimation error lower bound, t o see i f
t h e f i l t e r i s adequate or to determine if seek-
ing a more e f f e c t i v e a l g o r i t h m is worthwhile. [ I ] . However, t h e term b(~)i s generallynot
a v a i l a b l e i n a n a l y t i c form, so t h i s is of ques-
tionable value here.
he m a t r i xi n e q u a l i t y P P* is e q u i v a l e n tt o
This r e s e a r c h was supported by t h e Ballistic
Missile Defense Advanced Technology Center
s t a t i n g t h a t (P - P*) is positive semi-definite.
Ensuringthat J'l e x i s t s i s s t r a i g h t f o r w a r d
under Contract DASG60-75-C-0053. and not considered in this development.

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 the filtercwariance matrix foran extended This informationnay be viewed as a "random filter
Kalman filter (EKF)linearized about the initialization", i.e., f(0) may be provided to the
true (unknown) trajectory. estimator by other means (e.g., a boost-phase
tracking system inthe spacecraft tracking problem
This exact result permits Cram&-Rao lower outlined above), or it may be considered toanbe
bound analyses to be performed very directly for "additional fictitious measurement" at t = 0,
this class of problems, w i t h no additional analytic
effort, and often vLth little
in studies where the
programing effort
E K p has already been mecha-
z+, = Ir, + N(O,SO) q,q, -
nized in a computer simulation as described above.
which is of different dimensionality zl, from
- ... .
In the lattercaseJ it is simply necessaryto
change the EKF linearization from 2,
the EKF's. z I n either case, it is desired to deter-
estimates of 5 (the normal "realizable"EKF [ 6 ] ) rdne how wellp can be estimated given
to 5 (an "idealized" EKP) to cbtain theC r d r - -
ZK - { & ' g 1 9 g 2 > . - * #ZK]
Rao lower bound.

Proof of the Proposition

Following Van Trees [l],
the conditional
Consider the following nonlinear contin- unknovn determiniatic
information matrix4 for the
uous-discrete estimation problem: The contin-
uous-time system dynamics obey
x
state vector at t = KT, is given by

J K = -E[%l XK] (5)

where E is the n-vector of state variables, u where p~ is the conditional densityof ZK,
is a deterministic r-vector of inputs, ,and
f- A
( * ,* ,t) denotes a general3 nonlinear time-vary- 'K= 'Zg( $:
ing formulation of the system dynamics. The
unknown deterministic trajectory to be esti- and XK is the set
mated is then
%= {?$), K1. *.* *'
Given JK, the Cram&-Rao lower bound foran un-
biased estimator is givenby (1); in particular,
where x is also unknown. The value of 5 at for each element ofXJC,
each 8sampling
8-0
time", t = Us,is denoted
o2i K E[(xKi - icKi(ZK))2] 2 (JK1)ii -P Pzii
where P h i denotes the (i,i) elementof Pt in (1).

By assumption, (3) and (4) yield

(where z is an m-vector) are available at each

IC
sampling time. Finally, it is assumed that some
unbiased a priori statistical information about
5 is available, of the form

3The only restriction is that the associated- 4Equation (5) is valid ifthe indicated partial
Jacobian matrix,P e
a f / a x , must be continuous derivatives exist and
ble; these conditions
are
absolutely integra-
are
guaranteed by the
for a l l x and t inthe doarain of interest. problem statement; cf. p in (6).

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 Under the general condition that the Jacobian
matrix

Taking the expectation of the second

partials
(5) yields
of -in pK in accordance with
is continuous in5 and t, it can be shown
[ 7 ] that
%,k can be determined exactly by integrating
d = F(t)@ (12)
from t = kTs toKT, subject to the initial con-
dition
(7)

These relations are identical to the transition

where several unstated terms have been eliminated matrix relations that form the basis for the
by noting thata /a* and ah(&)/aq, are determin- discrete EKF [ 6 ] , except F is evaluated along the
3
istic, so taking he expected values of terms of true state trajectory 2 as in
5 rather than along
the form indicated below yields no contribution the usualEKF realization. In addition, the
to ( 7 ) : continuity property

I
E (deterministic factor)* ( 5- io)]
= 0 o K,k = 'K,K-1 o K-1,k
permits (9) to be written in a recursive form; by
E [(deterministic factor) * (gk - &(zk))]= 0 inspection
rn

Finally, (7) is reformulated by defining

A-
'~-1
where the shorter standard notation - @K,K-~
is used for simplicity. In terms ofPg,
so, by the chain rule of partial differentiation,

which is identical in form to EKFthe

inverse
covariance matrix propagation equation in the
absence of process noise[ 6 ] . This observation
completes the proof of the proposition.
K auxiliary matrices5 are needed to evaluate
JK according to (9):
CONCLUSION

The generality and simplicity of the proposi-

tion presented in this paper should prove to be of
considerable value in assessing the performance of
unbiased estimators for nonlinear systems in which
the state variables can be assumed to be deter-
k = 0,1,2,3, . . . . K-1 (10) ministic, i.e., random initial conditions and pro-
cess noise can be neglected. The inclusion of
estimator bias, if known, can be taken into account
as well6. The results will be particularly useful
in studies where the EKF is a candidate estimator,
and a simulation with EKF the embedded in a "truth"
%fk is nonsingular if xk 4 ~ ( K ; T ~
-K - : zk,
or "real world" model that provides measurement
kT < T < KT ) is continuous with respect to5; data to theEKF has been developed to study its
s - - S capabilities; the accompanying truth model pro-
this condition devolves from uniqueness, which is vides the required linearization trajectory5.
guaranteed if (2) is globally Lipschitzian171.
Continuity of the Jacobian matrix is a stronger
constraint. 6See footnote', page 2.

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In such instances, the changes needed to linearize
about the true state vector instead of are2
generally siniple, yielding P* d i r e c t l y .

ACKNOWLEDGMENT

The a u t h o r g r a t e f u l l y acknowledges the help-

f u l d i s c u s s i o n s andconmentsof Charles F. P r i c e ,
Thomas H. Kerr, and Jorge I. Galdos, a l l col-
leagues a t The Analytic Sciences Corporation.

REFERENCES

1. H. L. Van Trees, Detection,Estimation,and

Modulation Theory, P a r t I , Wiley, N e w Pork,
N.Y., 1968.

2. D. L. Snyder and I. B. Rhodes, " F i l t e r i n g and

Control Performance Bounds with Implications
onAsymptoticSeparation,"Automatica,Vol. 8,
pp. 747-753, November 1972.

3. M. Zakai and J . Ziy, "Lower andUpper Bounds

in the Optimal Filtering Error of C e r t a i n
Diffusion Processes," IEEE Transactions on
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May 1972.

4. .
B. Z Bobrovskiand M. Zakai, "A Lower Bound
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IEEE Transactions on Automatic Control, Vol.
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5. I. B. Rhodes and A. S . Gilman, "Cone-Bounded

N o n l i n e a r i t i e s and Mean Square Bounds -
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AutomaticControl,Vol. AC-20, pp. 632-642,
October 1975.

6. A. Gelb, (Editor),AppliedOptimalEstimation,
MIT P r e s s , Cambridge, Mass., 1974.

7. G. Sansoneand R. Conti, Non-Linear Differen-

tial Equatfoas, Pergamon Press, Oxford, U.K.,
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8. D. C. Rife, M. Goldstein, and R. R. Boorstyn,

"A U n i f i c a t i o n of Cramer-Rao TvDe Bounds."
IEEE Transactions on' Informatioh'Theory, .
Vol. IT-21, pp. 330-332, May 1975.

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