Chapter 2

2 Literature Survey

2.1 Introduction to the Literature Survey

This chapter presents a brief literature survey on topics relevant to the area of this thesis.
There are two aspects in this thesis, namely, the nonlinear filtering techniques and tracking of
moving objects. This survey attempts to provide a summary of work done in these fields and to
justify that nonlinear filters and tracking are of current interest.
Central issues of nonlinear filtering have been nicely summarized by Sorenson
[Sorenson1974]. Excellent textbooks exist on filtering in general [Van Trees1967,
Jazwinski1970, Anderson1979, Gelb1979, Maybeck1979, Brown1983, Sorenson1985,
Lewis1986, Gustaffson2000, Zarchan2000, Kailath2000, Brown1997, Siouris1996, Kay1993,
Haykin2001, Grewal1993, Grewal2001, Barkat2005] and also on tracking [Biernson1990, Bar-
Shalom1993, Bar-Shalom2001, Ristic2004, Blackman1999, Stone1999, Brookner1998].
Literature prior to 1990 is therefore discussed very briefly. An attempt has been made to cover
more recent literature. From the inception of Kalman filtering in the sixties, attempts were made
to apply the variants of such filters for non-linear problems.
Once the Extended Kalman Filter (EKF) was established in the application domains in the
late sixties, the EKF ruled for nearly thirty years. A fairly large body of literature exists on EKF
and its applications in tracking. The survey on filtering techniques omits EKF and starts from the
iterated version of the EKF, called IEKF. An interesting but little-known recent variant of EKF,
called “non-linearity compensated” EKF is also surveyed. An interesting technique, called
Pseudo-measurement is discussed next, followed by the literature on Cramer Rao Bound.
This survey then takes up the more recent filtering techniques, sometimes called Post-Kalman
filtering/estimation techniques. Such techniques usually admit nonlinearity and sometimes non-
Gaussianity. Some of the representative post-Kalman techniques are:
(i) Sigma point Kalman filters/ linear regression Kalman filters family
(ii) Particle filters
(iii) Mixed-Gaussian filter
(iv) Covariance intersection filters
The monograph [Ristic2004], with an apt title “Beyond Kalman Filters”, provides an overview of
some of these techniques.

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Chapter 2

Essential topics related to tracking are surveyed next. An endeavor has been made to provide
a very brief background of the topics to make this chapter self-contained. A more detailed
description of the techniques and the tracking problems are given in the appropriate chapters.
Most of the papers listed in the reference section of this dissertation are discussed in this survey.
The items of literature, which are not covered in this survey, are usually discussed in the
“introduction” and the following chapters.

2.2 Iterated EKF

Iterated Kalman filters attempt to overcome some of the problems with EKF. The algorithm
involves computation of Kalman gain, estimation of error covariance and state estimation by
repeatedly linearizing about the recent estimate at each time instant.
Early textbooks like [Jazwinski1970] and [Gelb1979, pp:190-191] discuss such algorithm in
fair detail. . More recent and detailed treatment are provided in [Bar-Shalom1993, Bar-
Shalom2001]. These contributions derive the expression for the IEKF using a modified state
update approach and discuss how the conventional EKF can produce poor performance when
measurements are nonlinear and other consequent drawbacks. It is shown that where the
measurement error is significant, unacceptable level of estimation errors may be produced.
The solution attempted in the IEKF, is called re-linearisation. The expression for the IEKF is
based on the Newton-Raphson method. [Kerr1991] discusses how to improve the performance of
EKF by minor change in standard EKF mechanism, i.e implementation of iteration process in
EKF. This algorithm has been applied to tracking a target, like, reentry vehicle in exo-
atmospheric phase. In their algorithm, the posterior estimation of error covariance was not done
in the intermediate iteration loop to minimize the computational burden of filter evaluation.
[Hyland2002] deals with an IEKF algorithm and its implementation for tracking of surface to
sub-surface target. It discusses the estimation of position and velocity of the target using IEKF.
The system dynamics was formulated in Cartesian coordinates with the assumption that the target
is moving with a constant velocity, and its acceleration is zero. The available measurements are
range, elevation, bearing, Doppler velocity and speed. [Kailath2000, pp: 341] describes the
computation of Kalman gain for nonlinear estimation using intermediate iteration procedure. In
this method, which was named as Schmidt IEKF by authors, the gain is computed from the
relinearized measurement Jacobian at every time instant..

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Chapter 2

2.3 Nonlinearity-Compensation for EKF

A novel “target motion analysis (TMA)” approach, based on a modified version of EKF had
been proposed by [Fujimoto1997]. The estimation problem example involves a possibly under-
water tracking problem, where, the target position is to be estimated from noisy measurement of
“signal arrival bearing” and the incoming (acoustic) frequency of signals, emitted from the target.
In this case, process model is linear and the measurement model is highly nonlinear. The
evaluation of recursive least square estimation by minimizing a specific cost function has been
studied. The minimization of the cost function for nonlinear estimation involves linear
approximations.
The formulae for state estimation and covariance estimation have been modified to include a
parameter (in this thesis it is denoted as ). The value of is determined by minimizing the
proposed cost function. Comparative results have been shown to demonstrate that the NCEKF
performance is significantly better than that for a conventional EKF. No follow-up publication
could be traced and this work does not appear to be cited by any subsequent work.

2.4 Pseudo-measurement Filter

For a class of nonlinear problems with linear state equations, it is possible to transform the
measurement into a form which simplifies the estimation problem. The modified measurement
variable is called pseudo-measurement. Pseudo-measurement observers (PMO) were discussed
in [Song1985] and its special form is constructed when the noises are incorporated in the system
and measurement models and then this special form of PMO is called Pseudomeasurment filter
(PMF). [Song1985] has applied these, PMO and PMF to three dimensional BOT problems, for
example, homing missile. [Tahk1988] discusses the nonlinear target tracking aircraft problem and
estimation of target position, velocity and acceleration by using pseudomeasurement filter with
kinematic constraint.
[Song1988] discusses the suboptimal filter specially pseudomeasurment filter for the problem
of maneuvering target tracking. The tracking problem is formulated such that target dynamics is
in linear form and the measurement is nonlinear and it is converted to pseudo-linear (linear-like)
form. For this problem, proposed pseudo-measurement filter, conventional suboptimal Kalman
filter, EKF, modified gain extended Kalman filter are applied Monte Carlo simulation results
show that the all proposed filters performed similarly (closely), but pseudo measurement filter is
recommended because it consumes less CPU time.
In recent works, Pseudo-measurement filters have been presented for tracking application. In
[Blackman1999 pp:172-74], the concept and theory of the pseudo-measurement filter is explored

12
Chapter 2

and the pseudo-measurement filter is implemented for two different kinds of target tracking
problems: (1) horizontal turn model with velocity as a state, (2) state estimation with angle only
measurement and ownship maneuvering problem.
[Lin2002] focuses on the bearing only tracking problem occurring in the underwater
tracking scenario. In this paper, three filters including EKF, Pseudo-measurement filter and
particle filter (PF) have been implemented for this problem. Finally, it has been concluded that
pseudo-measurement filter is a better choice than particle filter with respect to the consumption of
CPU time. Other significant publications in this area are [Aidala1983, Hammel1983]

2.5 Cramer Rao Bound

The minimum error covariance of unbiased estimator can be achieved with theoretical lower
bound known as Cramer-Rao bound (CRB). In some literature it also called Cramer-Rao lower
bound (CRLB) [Kay1993, Reza1996, Hernandez2002] and also Rao-Cramer bound (RCB)
[Picardi1993, Wosik2006].
The concept of CRLB was initially restricted to parameter estimation [Bar-Shalom2001] and
it was well known that a Maximum Likelihood Estimate (MLE) satisfied the CRLB. This concept
was extended to the problem of state estimation in [Taylor1979], and also [Tichavsky1998].
These publications pick up the thread from an initial concept given in [Van Trees1967] and
derive formulae for multivariable cases of posterior bound. Some authors call these methods as
Cramer Rao-like bound [Kerr1989].
[Taylor1979], and [Tichavsky1998] cover Cramer-Rao lower bounds of estimation error
covariance for multidimensional nonlinear continuous and discrete systems with discrete
measurements and additive white noise . The EKF performance has been compared with Cramer
Rao bounds for a few applications. In the second, the examples include the estimation of an
autoregressive process with parameter variations, tracking a slowly varying frequency of a single
cisoid (complex exponential) [Dallas2005] in noise and tracking parameters of a sinusoidal
frequency with sinusoidal phase modulation.
One early application of CRB is [Chang1980]. It discusses estimation of ballistic trajectory
using Iterative least square filter (ILSF) and EKF with angle only measurement. The filters
performances are compared with CRB and it shown that the ILSF is better for this problem.
[Ghogho1999] propose the application of CRB for estimating phase parameters of phase
modulated signals. The effect of SNR in process models is also studied. Efficiencies of least
square estimators and CRB are verified with simulation studied.

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Chapter 2

By the year 2000, CRLB had turned out to be an effective and popular tool for benchmarking
the performance of different estimation algorithms for nonlinear systems. The present author has
also used CRLB for a similar purpose [Srinivasan2005]. [Bhaumik2006a] a coworker,
investigating complementary problems discusses how CRLB may be used as a design tool for
tracking problems.
[Gershman2002] derive the stochastic CRB for “accurate estimation” of direction-of-arrival
(DOA). Derive the expression for closed form of CRB and studies its properties with theoretical
and practical numerical examples. [Bessell2003] emphasizes on CRB for maneuvering target
tracking problems. The target dynamics in this case is nonlinear and involves the switching of
multiple motion regimes. Two type of bounds have been considered; firstly, bounds evaluated as
expected value over the regime sequences and secondly, with assumption that only the knowledge
of particular regime of sequence is available. These are examined with numerical examples.
[Rice2004] discusses the application of CRLB for tracking a target by using an array of
hydrophones. In this case, both bearing and frequency are available as measurement from the
hydrophones. The tracking performance, such as error bounds for target location and velocities of
estimation are evaluated by CRLB. It also investigates the error bounds under different conditions
such as number of receivers, the operating frequency and the target path relative to the array and
the SNR of the received signal. [Smith2005] discusses CRB on estimation accuracy for
estimation problems on arbitrary manifolds in which no set of intrinsic coordinates exist.

2.6 Linear Regression Kalman Filter (LRKF) Techniques

To avoid the problems associated with EKF, namely, the need to compute Jacobians (which
may not be available for discontinuous functions) and the very locality of the slopes used for first
order linear approximation of non-linear functions, several methods have been proposed. These
methods include the Unscented Kalman Filter (UKF) [Julier1996, Julier1997, Julier2000,
Wan2000, Wan2001, Julier2004], Central/Divided Difference (CDF/DDF) Filters [Ito2000],
[Norgaard2000], and Sigma-point filters [Julier2000, Julier2004, Merwe2003].
There are many common features in these three classes. All of these do not require explicit
computation of Jacobians and are sometimes referred as derivative-free [Norgaard2000,
Merwe2001, Dunik2005] filters. Lefebvre [Lefebvre2002] was possibly the first to show that
these three types of filters perform, what she calls, statistical regression to achieve a “better”
approximation of nonlinear functions and termed these filters as “Linear Regression Kalman
Filters” (LRKF).

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Another aspect of commonality amongst these types of filter is the use of “deterministic
support points”. The linear regression is carried out with the help of these support points. In the
UKF, to be discussed below, the support points are called “sigma points’ as the distance from the
origin is related to the generalized standard deviation (sigma) obtained from the square root of the
covariance matrix [Julier1996, Julier2000, Merwe2003, Julier2004]. The author and co-workers
have found that other forms of LRKF also use such support points implicitly and hence these
techniques as a whole may also be referred to as Sigma Point (Kalman) Filters.
[Lefebvre2002] discussed the commonality and differences between the three types of
approximations of nonlinear functions involved in process and measurement functions. The cited
work compared analytical linearisation by Taylor series, as used in EKF and the statistical linear
regression through selected points as used in CDF/DDF/UKF. This insight allows: 1) to
understand/predict the performance of the estimator for specific applications, and 2) to make
adaptations to the estimator (i.e., the choice of the regression points and their weights) in those
cases where the original formulation does not assure good results. This contribution also
discusses how the EKF, UKF and CDF/DDF differ from one another by way of evaluating the
prediction. [Lefebvre2004] analyses the Kalman filter variance, filter consistency and state
estimate. Types of LRKF including the CDF, the DDF (first order) and UKF are given in detail.

2.6.1 Unscented Kalman Filter (UKF)

[Julier1995, Julier1996] was the first to propose the Unscented Kalman Filter (UKF). The
origin of the term “unscented” is unclear, however, the term sigma point is also possibly
introduced first in this paper.
The UKF is based on the principle of the so-named Unscented Transform and is discussed in
details. The algorithm is generalized and it has been shown that it is an alternative to conventional
EKF for nonlinear systems. Both additive and non-additive noise may be supported. Estimation
accuracy and computational efficiency were discussed. The same authors published a follow-up
paper, [Julier1997] which again explains the basic principle of Unscented Kalman Filter (UKF)
and expands the concept of how the mean and covariance propagate in nonlinear estimation
using a set of discrete sample points. Superiority of estimation of UKF with respect to EKF is
shown with an example.
In [Julier1998, Julier2002], the same authors have shown that the number of sigma points
may be reduced to reduce the computational load. This approach was referred as reduced order
UKF. The general standard UKF uses 2n+1 (n-denotes number of state vectors in system) sigma
points. The reduced order sigma point approach uses only n+1 points. Interestingly, [Ito2000],
calls the UKF as the Julier-Uhlmann filter (JUF) after the authors of the paper.

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Chapter 2

The so-named “scaled version” of UKF for nonlinear state estimation was developed and
discussed in [Julier1999, Julier2002a]. This involves selection of deterministic sigma points from
the probability distribution by using scaling parameters. These parameters are used to control the
spread of the sigma points in state space and provide different weights to the operating points and
the extremities at the outer sigma points. It is claimed that this provides second order accuracy in
mean and covariance estimation, giving performance as good as second order truncated filters. In
a companion paper by the same group, [Julier2004], the motivation, development, uses, and
implication of unscented transformation method (UT) has been reviewed.
[Wan2000a] studies the use of UKF in diverse fields of estimation including nonlinear
system identification, training of neural networks, and dual (both state and parameter) estimation
problems with some examples. Additional insights to UKF and SPKF are obtainable from Merwe
et al. [Merwe2001a] introduces the square root version of UKF (scaled) called the square root
UKF (SR-UKF). This kind of UKF uses three powerful algebraic techniques; QR-decomposition,
Cholesky factor updating, and efficient least square to provide numerically efficient and stable
filters. The proposed method has been applied for both state and parameter estimation. In this
work, it is shown that the SRUKF is also (L3) for general state-estimation and (L2) for
parameter estimation (note the original formulation of the UKF for parameter-estimation was
(L3).
[Merwe2003] summarizes the previous work on nonlinear filtering, which uses sigma points
and provides generalized filtering algorithms based on Bayesian Estimation framework for
statistical derivative free linearisation of nonlinear functions. The family of sigma point filters
includes UKF, CKF and its corresponding square root versions namely SR-UKF, and SR-CDF
were discussed. Simulation results are provided to show that these filters are better than EKF.
This work also discusses a hybrid version employing UKF and sequential Monte-Carlo filter.
[Tenne2003] proposes a technique for selection of the -set for the UKF. This technique
captures the higher order moments of random variables. The proposed solution was corroborated
by use of two benchmark problems. [Briers2003] enhances the numerical efficiency of UKF, by
introducing Rao-Blackwellisation sampling scheme as proposed in [Casella1996]. The advantage
of using such method leads to a reduction of the computational complexity by separating the part
of the problem where conventional KF can be used the rest.
There has been a number of applications of various versions of UKF. Signal processing for
Global Position Systems (GPS) using UKF is discussed in [Mao2004]. An estimation of position
has been done with an algorithm that iteratively uses Unscented Kalman filters and smoothers.
The results show that these approaches provide better estimation than other existing solutions.

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Chapter 2

[VanDyke2004] illustrates the application of unscented Kalman filter for spacecraft to estimate
attitude and some parameters.
For non-additive noise, an augmented covariance matrix (state error covariance, process noise
covariance and measurement noise covariances, form a block diagonal form) and its square root
must be computed. Most application examples of UKF discussed earlier assume additive noise,
where, generally a simplified form of UKF with only the state error covariance matrix is used.
[Wu2005] questions this approach and compares the alternatives of using the augmented
form and non-augmented form for additive noise cases. The performances of these two forms are
compared. It is shown that the basic difference between them is that the augmented UKF draws a
sigma set only once within a filtering recursion (both time update and measurement update),
while the non-augmented UKF has to redraw a new set of sigma points after the time update to
incorporate the effect of additive process noise. It is argued that this generally favors the
augmented UKF as the odd-order moment information is partly captured by the nonlinearly
transformed sigma points. A rather theoretically oriented example has been provided and
applicability of this work for tracking cases remains an open question.
A well known variant of standard Kalman filter is Information filter [Anderson1979,
Gustaffson2000, Bar-Shalom1993, Bar-Shalom2001], where the formulation utilizes the inverse
of the covariance matrix, which is called the information matrix. When the covariance matrix
tends to be singular, information matrix formulation generally provides better results.
[Vercauteren2005] extends the standard UKF formulation by employing the information matrix
equivalent. The new framework of sigma point Kalman filters is called “sigma point information
filter”. For a target-tracking scenario, robustness and accuracy of proposed algorithm have been
studied in the cited work.
Most of the UKF formulations and examples discussed above, consider Gaussian noise
distribution. This may be too restrictive in some applications. [Vermaak2005] provides an
example of a target-tracking situation, where the tracking (measurement) signals are corrupted by
noise from other (non-target or bodies not relevant to present track) sources. Such cases are
known to be severely non-Gaussian. [Vermaak2005] extends the standard UKF approach by a
mixed-Gaussian approximation.

2.6.2 Divided and Central Difference Filters

Divided Difference and Central Difference filters use the so-named Sterling interpolation
formula [Norgaard2000]. The earliest contribution [Schei1997] towards these approaches came
from the industry. [Schei1997] did not mention Sterling Interpolation but used the term statistical

17
Chapter 2

linearisation as suggested by [Gelb1979]. The new method suggested in [Schei1997], uses

deterministic points to linearise the nonlinear systems without taking any derivatives.
The approach lacked mathematical rigor, but using intuitive reasoning, developed the essence
of the Divided Difference filter. Almost concurrently with [Julier1996], Schei suggested the use
of the square root of the covariance matrix as the reference coordinates to compute the
“statistically linearised” version of the approximation. Example was given with numerical
simulation study to demonstrate that this modified linearisation method of estimation gives
improved the performance compared to the EKF.
Publications with the explicit use of nomenclature CDF/DDF on the Central Difference
version [Ito2000] and the Divided Difference version [Norgaard2000] appeared within the same
year, with acknowledgement of [Schei1997]. These two works have striking similarities in
approach.
In [Ito2000], the performance of CDF was shown to be comparable to that obtained from
UKF (also called as JUF) and far better than that obtainable from EKF. On the other hand
[Ito2000] uses non linear test cases which would severely punish most ordinary sigma point
filters. As a result, the CDF results obtained were , though better than that of UKF, were not at all
encouraging. The authors consequently recommend using mixed Gaussian approximation.
[Norgaard2000] studied the advantages of state estimation based on the polynomial
approximation obtained through the Sterling interpolation formula and called the resulting
estimation technique as DDF. Advantages of this approximation were discussed in fair degree of
detail. The authors suggested that this new method would replace the conventional EKF method
and its higher order relatives.
[Merwe2001] was also quick to recognize the close link between the central difference filter
(CDF) divided difference filter (DDF) and UKF. The DDF has been extended to parameter
estimation. The paper also studies the improvement of numerical stability of filters by use of
square root method. [Merwe2003] provides further comparison of CDF/DDF family with UKF.

2.7 Mixed-Gaussian Filters

Several estimation techniques are based on the assumption that the process noise and
measurement noise are Gaussian. Closed form algorithms, which treat non-Gaussian noise, are
rare. Again, one of the consequences of nonlinearity is that even a Gaussian excitation (which is
non-additive in nature) may render non-Gaussian after time update.
One of the techniques to use a Gaussian framework for non-Gaussian noise is the mixed
Gaussian filters. In this context, the mixed-Gaussian filter is based on approximation of the

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conditional probability density by the sum of Gaussian distributions with different weights. Such
approach may be adapted to many existing techniques. While there are quite a few earlier
publications, attention here is focused on some recent ones.
A fairly detailed overview of the mixed Gaussian approach is available in
[Stephens1997;ch:5]. In this thesis, a sequential approximations method was proposed for
Gaussian mixture models. It describes some simple approximations and its natural extension
methods. Also, the mixture of various univariate normal distributions has been studied in details.
Nonlinear filtering based on the mixed-Gaussian filtering techniques have been development.
The EKF, CDF, Julier Ulhmann filter and Gaussain-Hermiton filter (GHF) are discussed in
[Ito2000]. Here, among these filters, the CDF and GHF have been found to provide superior
performance compared to EKF and Julier-Ulhmann filters for given benchmark test problems.
[Chen2000] discusses a special particle filter, which uses random mixtures of normal
distribution to represent a target distribution. It was used for online estimation and has been
compared with already existing methods. The proposed algorithm was studied with examples of
target tracking and communication applications. [Ristic2004] also discusses Gaussian Sum filters
in the context of other types of filters.

2.8 Approximate Filters using Numerical Integration

The generalized Bayesian formulation [Smith1991, Carpenter1999] of estimation involves
integration over the whole state space. The problem with nonlinear systems is that closed form
solution of these integrals is seldom possible. The LRKF family and also EKF and pseudo-
measurement filter techniques tend to bypass this problem through linearisation. The other
alternative is to approximate the integration process.
There are analytic approximation [Smith1991] methods, some of which are really based on
EKF-like local approximations. The most obvious approximation for integration is of course,
numerical integration (quadrature) through discretisation of the state space. The resulting method
goes by the name “Approximate Grid Filter” [Ristic2004, Bergman1997] and is discussed in a
subsequent section. Later in this dissertation, contribution of the present author towards the
approximate grid method is discussed in detail.
Another approximation method is obtained by way of Stochastic Monte Carlo simulation and
the resulting family of estimation techniques goes by the name of Simulation Based Filters. The
most mature technique in this family is called Particle filter. Relative merits of the two
approaches are very summarized form are obtainable in [Smith1991].

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Chapter 2

2.8.1 Approximate Grid Filters

Approximate grid based filters employ deterministic support points over the state space and
approximate the probability distribution by discrete probability distribution as point mass at the
support points. A simple way to locate the support points is by forming grids at each coordinate
axis and locating the support points at the intersection of the grids. Numerical integration problem
is then converted into a summation problem [Bucy1971, Ristic2004]. Approximate grid based
filters also go by the name “point mass filters”.
Possibility of grid-based approximation was mentioned in [Sorenson1974], but this does not
seem to be of much use till later when computing power became more affordable. Interest in this
method grew anew in the eighties as may be found in [Kitagwa1987]. The same reference also
discusses the well-known problem of the “curse of dimensionality” which signifies the fact that
for a given accuracy, the number of grid points increases as the power of N, i.e., the dimension of
state space.
Real life application of point mass filter was reported in [Bergman1997, Bergman1999],
which study the problem of nonlinear estimation in terrain-aided navigation. An optimal
estimator based on the point-mass filter is formulated which is a grid based method with
probabilistic adaptive points. The filter performance is compared with CRLB. The RMSE result
shows that Grid based point-mass filter performance is close to the “best possible” as
benchmarked by the CRLB.

2.8.2 Adaptive Grid Filters

The curse of dimensionality, as discussed earlier is a serious drawback in ordinary point
mass filters. On the other hand many workers including [Bergman1999] have noticed that
many points in point mass (grid based) filters have negligible weight, contributing nothing
to the integration and the associated computational effort is therefore wasted. Attempts have
been made by several workers to reduce the wasted points and to avoid the curse of
dimensionality. Elimination of wasted points goes a long way towards achieving the first
goal.
[Sorenson1974] foresaw the need for adapting the grid location. Different workers
thereafter tried different degrees of adaptation to enhance the efficiency of grid-based filters.
For example, [Bergman1999] was content in reducing the span of the grid so as to exclude
the wasted points at the tail of the distribution. A denser grid is then proposed to keep the
same number of grid points. The span of the grid is enhanced when the distribution smears
(point mass weight non-negligible at the last grid point, suggesting more grid points after the
tail end should have been used) beyond the truncated tail.

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Chapter 2

A fully developed adaptation scheme has been proposed in the present thesis. A previous
work, which comes rather close to what has been proposed by the present author, is
[Šimandl2002]. This work is oriented towards setting a “minimum sufficient number of grid
points” in the PM method, by the so-named, “anticipative approach”. The motivation had
been to save computational time without a loss of estimation quality. The performance of the
adaptive grid filter has been compared with a Particle Based Filter.
The term “adaptive grid” is also used in an altogether different context, but within the
literature of estimation and tracking. The context is a “multiple model scenario” where the
best model is to be selected. The meaning of the term “adaptive grid” is entirely different in
this new context. A brief review of a few is presented to highlight the difference of meaning
of the term “adaptive grid”.
[Sun2005] focuses on two multiple model adaptive filtering techniques and calls them
adaptive grid (AG) and switching grid techniques for tracking maneuvering aircraft radar
targets. [Li1996] in the scenario of multi-model (MM) estimation algorithm uses adaptive
grid in parameter space to obtain “supporting digraphs”. This algorithms follows the idea of
the adaptive MMPDA filters that a coarse grid is set up initially and then the grid is adjusted
recursively according to an adaptation based on the current estimate, mode probabilities and
measurement residual.

2.8.3 Particle Filters

Recently, the Monte Carlo simulation based method of filtering techniques named variously
as the Particle filter or Sequential Monte Carlo filter or Condensation filter or bootstrap filter was
developed for nonlinear and non-Gaussian problems. There are some fine distinctions between
some of these filters, but these would be ignored in this survey, and the names would be used
interchangeably.
There is a fairly large body of literature about these types of filters. However, we are
providing here some recent papers and some tutorial papers. We refrained from providing a more
comprehensive survey, as the Particle filter has been used only as a comparison tool in this thesis.
A more detailed survey may be obtained in the CKBS report [Srinivasan2005a], which the
present worker has co-authored.
A good starting point in Particle filter literature is [Arulampalam2002], which reviewed both
optimal and suboptimal nonlinear filtering techniques. The main focus of this was to elaborate the
theory of particle filters. Particle filtering and Kalman filtering techniques have been applied for
target tracking problems and compared. It studies several variants of particle filters including
SIR, ASIR and RPF.

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Chapter 2

Another starting point could be the recent monograph [Ristic2004]. It explores the problem of
nonlinear and non-Gaussian filtering and its four categories of general solutions: analytic
methods, numerical methods, Gaussian sum approach and sampling methods. The main
emphasis is on the theory and concept of particle filters and its implementations. CRLB for
nonlinear filtering. Finally these are applied to different scenario of target tracking problems.
[Maskell2001] describes the state estimation for nonlinear/non-Gaussian problems by using
Bayesian approach. It gives details on Monte Carlo simulation based filter along with EKF. In
[Gustafsson2002] particle filter was developed for positioning, navigation and tracking problems.
It explained the performance of particle filter with generalized concepts of the Kalman filters for
nonlinear and non-Gaussian problems. Some of the examples like airborne hunting and collision
avoidance in car are studied.
[Miguez2004] discusses how optimal numerical solution for estimation of weakly observed
time varying states of dynamic systems can be provided by particle filter. A new particle filters
where a prior knowledge of the pdf is not available was developed and applied to 2-D target
tracking problems. It studied the robustness and tracking performance with the help of simulation.
In [Chen2004] particle filter based on the sequential Mote Carlo method was studied. It
outlines the implementation issues on real time applications. Also one more approach called
Markov chain Monte Carlo method was proposed for enhancing the particle filter performance
when the initial conditions are poor. Effectiveness of these methods was studied with stirred tank
reactor.

2.9 Risk Sensitive (RS) Filtering

Risk-sensitive estimation was inspired by the risk sensitive optimal control. The risk sensitive
control is given in [Jacobson1973, Whittle1981]. The risk sensitive filter uses an exponential cost
function also known as the risk sensitive performance measure.
[Speyer1992] was possibly, the first publication on estimators based on the exponential
criterion. The risk sensitive filter which formulated as a state estimation problem, in which with
the expected value of the exponential of a weighted quadratic sum of square of the estimation
error is minimized by multiplication of scalar risk parameter with the quadratic cost function.
Risk sensitive filter for Gauss-Markov system is demonstrated. The concept and the theory of risk
sensitive filters were reported. This kind of state estimates assume that the measurement history
up to the stage time of the state vector is to be incorporated in the cost function.
The relations and differences between the risk sensitive filter and the Kalman filter are
pointed out in [Speyer1992]. [Collings1994] discusses risk sensitive control and develops risk

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sensitive estimation using information-state approach. The relations for recursive solution were
derived for tracking a reference trajectory problem and interpretation of the cost function was
discussed.
[Dey1995] explores the problem of Risk sensitive filtering and smoothing for the finite states
discrete-time Hidden Markov Models (HMM). This work uses the reference probability method
to minimize quadratic estimation errors. The authors use the term risk-neutral filter, when the
risk sensitive parameter approaches to zero. In [Dey1997], the Risk sensitive filter has been
shown as robust to plant and noise uncertainty. It also discusses the relation of risk sensitive
filter to Kalman filter. Results of numerical example were presented with a nonlinear stochastic
state space model and for a fixed-interval smoothing problem.
[Banavar1998] explores the properties of risk sensitive filters and its connection to
filters. It studies the Risk sensitive algorithms with two information patterns. The authors show
that the risk filter performance differ from the same obtained by Kalman filter. Risk sensitive
estimators have been classified as risk-prone and risk-averse filters depending on the sign of the
risk parameter. [Jayakumar1998] discusses current information pattern linear risk sensitive filter
and its extension to nonlinear problem, called Extended Risk-Sensitive filter. Literature on
extended risk sensitive filter is given in the next section.
[Dey1999] discusses the finite dimensional risk sensitive filter which recursively updates
posterior state and prior covariance for nonlinear problems. It is obtained by adjusting a standard
exponential cost index. The paper also they describes a smoother based on risk sensitive approach
for nonlinear systems. The proposed algorithms are demonstrated with a 1D nonlinear problem.
[Dey2001] studies the asymptotic stability properties of risk sensitive filter when the initial
conditions are not Gaussian. It has been proved that the risk sensitive filter converges for
Gaussian initial conditions under specified conditions. The filter equations given in this article
apply to risk sensitive filters for a-posteriori estimation. The ergodic properties of the proposed
technique are outlined.
In [Ford1999], estimation of the system state and parameter under the condition of model
uncertainty using risk sensitive filtering has been investigated. The risk sensitive adaptive
estimation technique is also discussed. In the simulation results, no improvement has been
noticed compared to Kalman filtering techniques. However, it has been concluded that in some
situations (problems) RSF can produce results better than standard Kalman filtering techniques.
Risk sensitive filtering for a Markov process signal model was developed in [Malcolm1999].
Markov signal obtained through a two process; one is from a Brownian motion and another from
Poisson process. Benefit and robustness of filtering have been studied with computer simulations.

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[Boel2002] discusses a more generalized framework for risk sensitive filtering. The
robustness of these filters has been discussed. The upper bound on the estimators was also
examined. [Zhang2003] discusses risk sensitive filtering, prediction and smoothing for discrete-
time singular systems. The risk-prone and risk-averse sensitive estimation problems are described
in details.
[Ramezani2004] describes the relationship between the risk sensitivity and information. It
also introduces and generalized the product estimators as a maximum a posterior probability
(MAP) estimators for Hidden Markov models (HMM). It studied the relationship between
inclusion of higher order moments, underlying dynamics and the readily available information.
[Malcolm2005] discusses the robustness of risk sensitive filters. It provides computer simulation
results for risk sensitive filtering and smoothing for Markov processes with different observation
models.

2.9.1 Extended Risk Sensitive Filters

[Jayakumar1998] studies the extension of risk sensitive filter, so called Extended Risk
sensitive filter, (ERSF) for recursive estimation of motion from images (nonlinear problem). The
authors describe the linear risk sensitive filter and its formulae.
The formula used in [Jayakumar1998] was in the structure of current information pattern
where the prior covariance and posterior state estimate are update sequentially. Also it was shown
that the ERSF is same as EKF when the risk factor is equal to zero. In [Jayakumar1998] the
ERSF is used to estimate the motion parameters of an object recursively from a sequence of
monocular images and the performance were compared with EKF. Simulation results had shown
that ERSF is superior to standard EKF in certain situations.

2.10 Sliding Mode Observer

Sliding mode technique is one of the important methods for design of control systems and
observers in field of control engineering. The Sliding mode observer is a technique conceived
from theory of variable structure control (VSC) systems.
The pioneer works on VSCs was first proposed and highly structured in Soviet Union by
scientist Emelyanov and co-researchers. It appeared outside the Soviet Union after the publication
of the survey paper by Utkin [Utkin1977] in English. Sliding mode observer provides robust
performances. It is a very promising technique in the field of non-linear problems and/or
uncertainty cases. A short literature survey is presented here.
A more elaborate survey is available in [Janardhanan2005, Bandyopadhyay2005,
Bandyopadhyay2006]. [Slotine1987], the pioneering work on sliding mode observer was initiated

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from the idea of sliding mode controller design in which sliding surface is introduced to provide
robustness in the sense of plant parameter uncertainty or disturbances. The use of sliding surfaces
for observer design, particularly for nonlinear cases was examined with systems in both
companion and general form. The results for sliding mode observer of companion form show that
the observer has promising properties when system model and sensors involve uncertainty and
noises.
[Walcott1988] discusses the combined observer-controller synthesis for nonlinear systems
with uncertain dynamical properties. It has been applied to manipulators and studied with
numerical simulation results. A discrete-time sliding mode observer for linear system was
proposed in [Aitken1995] and its robustness studied under the effect of modelling error and
disturbance and also with sensor measurement noise. In [Haskara1996], a continuous sliding
mode observer and discontinuous variable structure observer were discussed and applied to
bicycle, truck and semi-trailer models. Simulation illustrated that chattering reduction in discrete
time sliding mode observer was superior to that in continuous sliding mode observer.
In [Edwards1998], different formulations of sliding mode observer were discussed in details.
A method based on sliding mode theory proposed by Utkin is used for observer design and it is
termed as Utkin observer. Similarly a method proposed by Walcott-Zak is applied for observer is
called Walcott-Zak observer. In this textbook these two kinds of observer were explored with
examples. [Kim2000] reports the design of a disturbance estimator using discrete sliding mode
and performance improvement obtained by introducing a predictive parameter. The error
performance of Kalman approach and estimator based on sliding approach were compared and
sliding approach was found to be better.
[Poznyak2001] discusses a nonlinear variable structure robust observer-identifier for state
and parameter estimation of SISO systems. A part of thesis of Johansson [Johansson2001] deals
with the application of sliding mode observer for nonlinear problem in steel industry. In
[Kim2002] a parameter, called hydrodynamic coefficient, was estimated with sliding mode
observer and with extended Kalman filter and performances were compared.
Recently, sliding mode observer for nonlinear estimation problem has been studied in
[Aquiler-Lopez2005]. The proposed observer provides robustness against noisy measurement and
model uncertainty. The convergence property of sliding mode observer was studied in detail. It
was applied in some applications in chemical reactors. The performance of Luenberger observer
and sliding mode observer were compared and sliding mode observer was found to be more
robust than classical Luenberger observer.

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2.11 Tracking Tactical Ballistic Missile (Target)

In defense application, tactical ballistic missile analysis and development has attracted the
interest of many researchers. Tracking of incoming ballistic missile is necessary for defense
against such weapons and appears to be of substantial interest to researchers [Yingbo2003]. In
this section we review some literature related to the dynamics of ballistic missiles and estimation
schemes for tracking such targets. In Tactical Ballistic Missiles (TBM) some unintentional or
intentional maneuvers after reentry is possible and the endo-atmospheric phase is of relatively
longer duration, both of these making the estimation problem interesting.
Among the recent publications [Minvielle2005] is an excellent survey on ballistic missile
tracking. Re-entry vehicle motion in endo-atmosphere is described in ECF (earth centered frame)
frame as 3-D. Optimal filters including fixed-gain filter, EKF, IEKF, UKF, PF are applied to
given re-entry problem. Another good primer on ballistic missile modeling and tracking is
obtainable in [Minvielle2002]. This appears to be an earlier version of [Minvielle2005].
For those who are interested in the basics, a good starting point is [Zarchan1990]. This
publication gives the principles of both tactical (non-ballistic) and ballistic missile guidance. For
readers who are unfamiliar with missile defense systems, this textbook gives a preliminary
introduction to tactical ballistic missiles. [Zarchan2000;ch:8] described the modeling of the
ballistic object, which is falling vertically towards ground. The same book also extended the
model into 2- D Cartesian coordinate systems.
Some early papers like [Athans1968] and [Mehra1971] are two oft referred papers which
deal with the motion model of ballistic missiles. [Ristic2003, Ristic2004] deal with tracking of
vertical falling object on reentry (in endo-atmosphere) in one dimensional using altitude
measurement with ground based radar. These works compared the error performance (mean and
standard deviation error) of CRLB, EKF, UKF, PF and conclude that UKF works best in the
scenario. The textbook [Ristic2004] reviews the previous research on ballistic object tracking.
The system dynamics for ballistic object motion is shown to be a highly nonlinear whereas
the measurement model used is linear. In the endo-atmospheric problem, ballistic coefficient is
unknown and it has been modeled as one of the state variables for estimation. Initial value of
ballistic coefficient uses beta distribution uncertainty in the truth model so as to cover the
diversity of target mass. In [Ristic2003], vertically falling ballistic target on endo-atmospheric
re-entry is reviewed. Particle filter theory and implementation for target tracking problems are
emphasized. Besides, more general tracking problems including bearing only tracking, range only
tracking and terrain-aid tracking were discussed. Suitable filters were applied to the selected
problems and results were compared.

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Chapter 2

In [Saulson2004] the ballistic missile was tracked with the EKF, the CDF and the UKF with
various sensor configurations. The target model involves both simplified boost phase and
simplified coast phase. It was modeled in 3-D scenario with constant acceleration models. The
performances of the applied three filters were compared with tracking performance obtained by
converted measurement approach. The CDF was recommended as its performance is similar to
the UKF. [Cooperman2002] uses Interactive Multiple Model (IMM) framework with EKF
approach for tracking a TBM through boost, exo- and endo-atmospheric phases. The target
motion is modeled with 3-D Earth Centered Fixed (ECF) frame.
[Minvielle2002], mentioned briefly above, deals with ballistic tracking problem where the
model is in 3-D ECF frame with a 7 dimensional state vector. For this problem EKF and particle
filter are applied. It has been shown that tracking filter is better than EKF for this problem.
[Farina2002] discusses the modeling of ballistic objects, for example ballistic missile from
launching phase to impact. This also outlines the different effects of force to be considered in
modeling of tactical ballistic missiles. The missile is modeled in 2-D Cartesian coordinates.
[Rong Li2001] deals with maneuvering ballistic missile model and its different features from
launch to impact and also discusses the ballistic missile model in different coordinate systems.
In [Blackman1999], tactical ballistic missile in boost was characterized and its dynamic
model was described. In [Lee1999] tactical ballistic missile motion models in 2-D coordinate
system was described with geometry. Flat, non-rotating earth, constant gravity models were
considered. In [Kim1989] circular acceleration model of homing missile was presented.
[Costa1994] studies the re-entry vehicle tracking using extended Kalman filters. It deals tracking
with target tracking in exo-atmospheric and endo atmospheric phases.
[Siouris1997] studies on tracking of incoming ballistic missile at endo-atmospheric phase
using standard EKF and extended Interval Kalman filter (EIKF). The textbook [Siouris2004]
focuses on the missile guidance system including strategic and cruise missile. The focus of this
textbook is to introduce the concept of guidance and control of missiles for student and
researcher. The importance of radar target tracking and IR tracking system in missile guidance
system is explored. Missile dynamics and equation of motion for strategic missile, particularly,
ballistic missile has been studied in detail. Also, atmospheric reentry, ballistic flight model and
ballistic missile interception were elaborated. In [Kerr1991] ballistic re-entry tracking using
iterated EKF has been studied.
[Lee1999] describes the 2-D model of TBM maneuvering on re-entry and estimation of TBM
trajectory using EKF and input estimator. The result shows that input estimator is superior for this
problem. The textbook by [Blackman1999] concerns analysis and design of modern tracking

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Chapter 2

systems. It starts from basics of tracking systems and its application in various scenarios. Some of
tracking algorithm including extended Kalman filter, pseudo-measurement filters etc. were
discussed for specific problems. [Cardillo1999] compares different EKF and polynomial filter
configurations for tracking ICBM, using bearing and range measurement. It provides reasonable
numerical values for measurement errors. A filter with seven state polar coordinate process model
and three measurements performed best for 3-D tracking.
Some Early Papers:
[Mehra1971], mentioned very briefly earlier, describes 3-D model of re-entry vehicle with
two different coordinate systems. The estimation of trajectory of re-entry vehicle in endo-
atmospheric phase using four different filters; EKF, Iterative Sequential filter, single-stage
iteration filter and second order filters were discussed. [Chang1977] examines the estimation of
ballistic trajectory of maneuvering re-entry vehicle using several versions of EKF. Accuracy,
sophistication and real-time computational requirements of proposed filters are discussed.
In [Maybeck1979] the tracking of air-to-air missile from the maneuvering aircraft was
studied. The extended Kalman filter was used as tracking algorithm for the given problem. The
lift and drag effect on the target were considered in the tracker. The missile seeker’s dynamic lag
and bandwidth, control and guidance were also taken into account. [Chang1980] discusses a 3-D
exo-atmospheric ballistic target model and estimation of ballistic trajectory using Iterative least
square filter (ILSF) and EKF with angle only measurement. It also studies improvement of the
state estimate by incorporating a prior knowledge of trajectory.

2.12 Bearings only Tracking

Tracking is generally carried out with seekers and sonars. Seeker could be of Radar type or
Optical. In active Radars, both bearing as well as range are obtainable. For optical seekers only
bearing information is available. For passive (listening only) sonars again, range is not available.
In certain cases range information though available, may contain ambiguities or unacceptable
level of noise. Bearing only tracking is generally employed when range information is not
available.
A recent treatment of Bearing-only tracking is [Rao2005] which deals with underwater
applications. Simpler version of modified gain extended Kalman filter (MG-EKF) has been
considered for maneuvering target tracking. Simulation results were presented with Monte Carlo
runs. The textbook b [Ristic2004] reviews the previous research on vertically falling ballistic
target on endo-atmospheric re-entry. Particle filter theory and implementation for target tracking
problems are emphasized. Besides, more general tracking problems including bearing only

28
Chapter 2

tracking, range only tracking and terrain-aided tracking were discussed. Suitable filters were
applied to the selected problems and results were compared. [Brehard2004] studies bearing only
tracking with some practical issues. Particle filter is used for this tracking problem.
[Sworder2001] discusses the tracking of an aircraft from a stationary platform. The EKF and
gaussian wavelet filter are used for this problem. In [Ristic2003a], maneuvering tracking using
angular measurements has been investigated. Target is modeled as multiple switching models.
The theoretical lower bound was found from the CRLB and Interacting Multiple Models (IMM)
nonlinear tracking filters namely IMM EKF, IMM UKF and IMM particle filter were developed.
Simulation studies were one and the filter performance was compared with theoretical lower
bound.
In [Doğançay2005] bearing-only target motion analysis was explored. The authors have
pointed out that conventional maximum-likelihood estimators do not provide a closed form
solution for the specified problem. Therefore, iterative ML estimators are implemented to
overcome this problem. The efficiency of the estimators are compared with CRLB. In [Bar-
Shalom1993, Bar-Shalom2001], BOT problem is implemented a nonlinear filtering problem. In
[Lin2002] the problem of 2-D (D denotes dimensional) bearing only tracking has been studied.
This type of scenario is possible in underwater tracking problems. The EKF, Pseudo-
measurement filter and particle filter are implemented for this problem.
[Sadhu2004] considers the eclipsing effect in bearing only tracking. [Farina1999] attempted
to estimate target position and velocity using available bearing or angular measurements only.
The paper discusses the airborne radar and sonar in passive listening and electronic warfare
systems. In this tracking case, the target radiates either electromagnetic wave or an acoustic wave
and they may involve gaussian noise. The authors studied two kind of filtering; one was a batch
process and the other was a recursive process. Minimization of cost function of measurement was
used as a criterion for estimation. The CRLB was also studied for same problems. The
performance analysis has been carried out using Monte Carlo simulation.
[Sadhu2004a] deals with 2-D bearings-only tracking using square root sigma point Kalman
filtering approach namely scaled SR-UKF. The relative merits of the square root version UKF
and ordinary UKF have been discussed. In [Sadhu2004b] the robustness and tuning of the
ordinary UKF and SR-UKF for BOT has been analyzed in details. The tracking performance of
the BOT problem using UKF and its variants is analyzed with two different track-loss criteria.
[Srinivasan2005] deals with the tracking of a ballistic target, which is falling in an inclined
manner towards the ground in the exo-atmosphere. This problem is similar to BOT problem
[Lin2002], but the salient difference is that in [Srinivasan2005] the interceptor and the target are

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moving with high speed. The same problem is given as test problem of this thesis. The EKF,
UKF and pseudo-measurement filters are applied and its performance is compared. An accuracy
of proposed filter was checked with CRLB. [Sadhu2006] the UKF has been applied to the BOT
problem and its tracking performance has been compared with the EKF and IEKF. The track loss
performance and root mean square error performance were also discussed.
In [Doğançay2005a] a 2-D passive BOT problem has been studied with total least square
(TLS) algorithms. Also constrained TLS were developed for improving the performance
particularly when measurement noise is large. [Kirubarajan2001] discusses the tracking of
maneuvering target from bearing only measurements in clutter, particularly, for low SNR, using a
new estimator called a batch-recursive estimator which is combining maximum likelihood-
probabilistic data association (ML-PDA) estimator with probabilistic data association (PDA). As
there is lack of initial information, the EKF provides poor convergence and erratic behavior for
this problem. The results show that the new estimator is effective for this particular problem.
[Masnadi-Shirazi2003] addresses the degradation of the optimal tracker due to (i) target
maneuver, (ii) observation glint noise, (iii) observation colored noise and (iv) unknown parameter
of observational glint noise. In [Minvielle2002], MMW radar tracking model for reentry tracking
was proposed. [Zrnic2001] discusses the problem of eclipsing in MMW seeker. [Waldmann2002]
describes the modeling of “imaging seekers” and estimation of line of sight (LOS) rate from the
measurement of relative angular displacement between seeker gimbals and low-cost strap down
inertial units in 3-D interception tasks using EKF.
[Ekstrand2001] discusses the equation of motion for LOS and estimation of LOS rate using
two state tracking filters using an observer approach with pole placement technique. Performance
of the filters has been evaluated with deterministic LOS rotation and the influence of time delay
and of measurement noise has been studied. Other than ballistic target tracking and BOT
problem, some general tracking problems can be studied in the following literatures.
[Yoon2001] discusses the target tracking problem with target oriented model, wherein, the
acceleration is decoupled from target motion. It also deals with track failure of proposed filters
for this problem. In [Song1985] in this paper the BOT tracking problem was discussed. The target
model is in 3-D. the paper discusses modified gain Kalman observer, modified gain Kalman
filter, Pseudo-measurement observer (PMO), and it filtering version. Modified gain Kalman
filtering techniques exhibit erratic behaviors compared to PM techniques.

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