Chen, Z; Heckman, C; Julier, S; Ahmed, N; (2021) Time Dependence in Kalman Filter Tuning. In: 2021 IEEE 24th International Conference on Information Fusion (FUSION). IEEE: Sun City, South Africa.

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Abstract

In this paper, we propose an approach to address the problems with ambiguity in tuning the process and observation noises for a discrete-time linear Kalman filter. Conventional approaches to tuning (e.g. using normalized estimation error squared and covariance minimization) compute empirical measures of filter performance. The parameters are selected, either manually or by some kind of optimization algorithm, to maximize these measures of performance. However, there are two challenges with this approach. First, in theory, many of these measures do not guarantee a unique solution due to observability issues. Second, in practice, empirically computed statistical quantities can be very noisy due to a finite number of samples. We propose a method to overcome these limitations. Our method has two main parts to it. The first is to ensure that the tuning problem has a single unique solution. We achieve this by simultaneously tuning the filter over multiple different prediction intervals. Although this yields a unique solution, practical issues (such as sampling noise) mean that it cannot be directly applied. Therefore, we use Bayesian Optimization. This technique handles noisy data and the local minima that it introduces. We demonstrate our results in a reference example and demonstrate that we are able to obtain good results. We share the source code for the benefit of the community1.

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