I.
INTRODUCTION
One-Step Solution for the
Multistep Out-of-Sequence-
Measurement Problem in
Tracking
YAAKOV BAR-SHALOM, Fellow, IEEE
University of Connecticut
HUIMIN CHEN
University of New Orleans
MAHENDRA MALLICK, Member, IEEE
Lockheed Martin Orincon
In multisensor target tracking systems measurements from the
same target can arrive out of sequence. Such “out-of-sequence”
measurement (OOSM) arrivals can occur even in the absence
of scan/frame communication time delays. The resulting
problem–how to update the current state estimate with an
“older” measurement–is a nonstandard estimation problem. It
was solved first (suboptimally, then optimally) for the case where
the OOSM lies between the two last measurements, i.e, its lag
is less than a sampling interval–the 1-step-lag case. The real
world has, however, OOSMs with arbitrary lag. Subsequently, the
suboptimal algorithm was extended to the case of an arbitrary
(multistep) lag, but the resulting algorithm required a significant
amount of storage. The present work shows how the 1-step-lag
algorithms can be generalized to handle an arbitrary (multistep)
lag while preserving their main feature of solving the update
problem without iterating. This leads only to a very small (a few
percent) degradation of MSE performance. The incorporation
of an OOSM into the data association process is also discussed.
A realistic example with two GMTI radars is presented. The
consistency of the proposed algorithm is also evaluated and it is
found that its calculated covariances are reliable.
Manuscript received October 29, 2002; revised July 22, 2003;
released for publication October 15, 2003.
IEEE Log No. T-AES/40/1/826452.
Refereeing of this contribution was handled by P. K. WIllett.
This work supported by the United States Air Force Research
Laboratory under Contract F33615-01-M-1919.
Authors’ addresses: Y. Bar-Shalom, Dept. of Electrical and
Computer Engineering, U-1157, University of Connecticut, Storrs,
CT 06269-1157, E-mail: (ybs@ee.uconn.edu); H. Chen, Dept. of
Electrical and Computer Engineering, University of New Orleans,
New Orleans, LA; M. Mallick, Alphatech, Inc., 50 Mall Rd.,
Burlington, MA 01803.
0018-9251/04/$17.00 °
c 2004 IEEE
IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1
In target tracking systems measurements are
typically collected in “scans” or “frames” and then
they are transmitted to a processing center. The state
equations are usually defined in continuous time
and then discretized because the measurements are
obtained in discrete time–the sensor provides a
“time stamp” with each measurement. In multisensor
tracking systems that operate in a centralized manner
[1, 5], i.e., the processing of the measurements from
all the sensors is done at a single center, there are
usually different time delays in the arrival of the
measurement data from the various sensors to the
center. This can be easily seen to lead to situations
where measurements from the same target arrive out
of sequence. Such “out-of-sequence” measurement
(OOSM) arrivals can occur even in the absence of
scan/frame communication time delays, as discussed
in [1].
Tracking systems usually keep only track sufficient
statistics–state estimates and their covariances. Thus,
when a delayed measurement arrives, e.g., with
time stamp ¿ , after the state of the target has been
already updated to time t > ¿ , one faces the problem
of updating the current state at t with the “older”
measurement from ¿ . Consequently, this is also known
as the “negative-time measurement update” problem
(since ¿ ¡ t is negative and in the standard filtering
problem it is supposed to be nonnegative), and is quite
common in real multisensor systems (see, e.g., [18]).
The initial work of [12] and [5] presented an
approximate solution to the OOSM problem, to be
called “algorithm B.” The optimal solution for this
problem, to be called “algorithm A,” was derived
in [4]. It was also shown in [4] that algorithm B is
nearly optimal.1 In all these works it was assumed
that the OOSM lag is less than a sampling interval (it
lies between the last two measurements). This will be
designated as the “one-step-lag OOSM problem,” and
thus the corresponding algorithms can be called A1
and B1. Recently [13] obtained the general l-step-lag
solution to the OOSM problem in the framework of
algorithm B, i.e., “algorithm Bl.” The only problem
with algorithm Bl is that it requires storage of a
sequence of matrices that depend on the filter gains
and measurement matrices from the past l sampling
times. It was also shown in [13] that the heuristic
use of the algorithm B1 for an l-step OOSM can, for
l > 1 (for which it was not meant), lead to undesirable
consequences, like indefinite calculated covariance
matrices. The works of [16] and [20] solve for the
update with an arbitrary lag OOSM, but they both
require an iteration back for l steps and considerable
amount of storage.
1 Asdiscussed in [4], algorithm C from [1] is “optimistic” and, thus,
does not come into practical consideration anymore.
JANUARY 2004 27
 The approach to be presented in the sequel obtains with the standard assumptions about the noises as
the update with an l-step-lag OOSM in a single zero-mean, white with covariances
step (a “giant leap”), i.e., it generalizes the previous
E[v(k, j)v(k, j)0 ] = Q(k, j), E[w(k)w(k)0 ] = R(k)
algorithms to an arbitrary l. Furthermore, the resulting
algorithms, Al1 and Bl1, have practically the same (4)
requirements as those of A1 and B1, respectively, for and mutually uncorrelated.
all l > 1. This approach, originally presented in [3], Similarly to (1), one has
was also proposed independently in [7] and [8]. x(k) = F(k, ·)x(·) + v(k, ·) (5)
Section II presents the formulation of the problem.
Section III describes the approach, which is the key where · is the discrete time notation for ¿ . The above
for using the 1-step algorithms for the l-step problem. can be rewritten backward as
Algorithms Al1 and Bl1 are presented in Sections IV
x(·) = F(·, k)[x(k) ¡ v(k, ·)] (6)
and V, respectively. Section VI presents the necessary
modifications to both algorithms when the most recent ¡1
where F(·, k) = F(k, ·) is the backward transition
state estimate available prior to the l-step-lag OOSM matrix.
is from tk¡L , with L > l, rather than from tk¡l . Section The problem is as follows. At time t = tk one has
VII presents the storage requirement for Al1 and Bl1 (assuming Gaussian noises)
algorithms. Section VIII deals with the incorporation
¢ ¢
of an OOSM into the data association process and x̂(k j k) = E[x(k) j Z k ], P(k j k) = cov[x(k) j Z k ]
simulation results are presented in Section IX.
It is shown that algorithms Al1 and Bl1 (7)
are only slightly suboptimal compared with where the cumulative set of measurements at tk is
the optimal (in-sequence) processing of all the ¢
measurements–they yield a few percent larger Z k =fz(i)gki=1 : (8)
mean square error (MSE) in the realistic example
Subsequently, the earlier measurement from time ¿ ,
considered. The consistency of the proposed algorithm
denoted from now on with discrete time notation as ·,
is also evaluated and it is found that its calculated
¢
covariances are reliable. Finally, Section X presents z(·) = z(¿ ) = H(·)x(·) + w(·) (9)
a discussion of the results and which algorithm is
believed to be the most appropriate for practical arrives after the state estimate (7) has been calculated.
applications. We want to update this estimate with the earlier
measurement (9), namely, to calculate
II. FORMULATION OF THE PROBLEM x̂(k j ·) = E[x(k) j Z · ], P(k j ·) = cov[x(k) j Z · ]
The state of the system is assumed to evolve from (10)
time tk¡1 to time tk according to where
¢
x(k) = F(k, k ¡ 1)x(k ¡ 1) + v(k, k ¡ 1) (1) Z · =fZ k , z(·)g: (11)

where, using only the index of the time arguments,

F(k, k ¡ 1) is the state transition matrix to time tk
from time tk¡1 and v(k, k ¡ 1) is the (cumulative effect
of the) process noise for this interval. The order of
the arguments in both F and v is according to the
convention for the transition matrices. Typically, the
process noise has a single argument, but here two
arguments will be needed for clarity. The time ¿ , at
which the OOSM was made, is assumed to be such
that
tk¡l · ¿ < tk¡l+1 :
III. APPROACH FOR ONE-STEP SOLUTION
The approach that will allow to solve the l-step-lag
problem as a 1-step-lag problem is to define an
equivalent measurement at time k that replaces all the
measurements
k
Zk¡l+1 = fz(k ¡ l + 1), : : : , z(k)g (12)
in the sense to be defined below. Then the OOSM
(2) falls in the interval

This will require the evaluation of the effect of the Tl = [tk¡l , tk ) (13)
process noise over an arbitrary noninteger number of
during which the only measurement is the latest
sampling intervals. Note that l = 1 corresponds to the
one, at tk . In this manner the OOSM with l-step
case where the lag is a fraction of a sampling interval;
lag becomes an OOSM with 1-step lag and all the
for simplicity this is called the 1-step-lag problem,
techniques of [4]–the optimal one (algorithm A1)
even though the lag is really a fraction of a time step.
as well as the nearly optimal one (algorithm B1)–can
The measurement equation is
be used for updating in one step the state estimate at
z(k) = H(k)x(k) + w(k) (3) k with the l-step-lag OOSM. The resulting algorithms

28 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1 JANUARY 2004
that solve in one step the multistep OOSM problem
are called Al1 and Bl1, respectively.
The equivalent measurement at k is defined as
z ¤ (k) = H ¤ (k)x(k) + w¤ (k)
with the standard assumptions about the noise as
zero-mean with covariance
E[w¤ (k)w¤ (k)0 ] = R ¤ (k):
In order to be able to use a standard Kalman filter
(KF) update with z ¤ (k) that yields x̂¤ (k j k) = x̂(k j k),
i.e., the same estimate (and covariance) as obtained
when the measurements (12) are used sequentially in
the KF, it is also assumed that w¤ (k) is orthogonal on
the process noises in the interval (13). This, however,
is an approximation and we evaluate its effect on the
resulting algorithm.
Note that at time k one has the state estimate
x̂(k j k) and its covariance P(k j k). The procedure to
determine R ¤ (k) is by ensuring that the equivalent
update of the prediction from the “last” time, which
is now tk¡l according to (13), yields the covariance
as P(k j k). The covariance update for the equivalent
measurement is (in the information matrix form [2])
P ¤ (k j k)¡1 = P(k j k ¡ l)¡1 + H ¤ (k)0 R ¤ (k)¡1 H ¤ (k)
= P(k j k)¡1 :
One can conveniently choose
H ¤ (k) = I
which yields
R ¤ (k)¡1 = P(k j k)¡1 ¡ P(k j k ¡ l)¡1 :
Note that (18) is of full rank if the system is
completely observable from its measurements and
completely controllable from its process noise (these
are the same conditions that guarantee the positive
definiteness and uniqueness of the solution of its KF
Riccati equation). The filter gain for the equivalent
measurement is then
W¤ (k) = P(k j k)H ¤ (k)0 R ¤ (k)¡1
= P(k j k)R ¤ (k)¡1 :
The update with the equivalent measurement should
yield x̂(k j k), i.e.,
x̂¤ (k j k) = x̂(k j k ¡ l) + W ¤ (k)[z ¤ (k) ¡ x̂(k j k ¡ l)]
= x̂(k j k)
where (17) has been used. Thus the equivalent
measurement is
z ¤ (k) = x̂(k j k ¡ l) + W¤ (k)¡1 [x̂(k j k) ¡ x̂(k j k ¡ l)]
and the equivalent innovation at k is
º ¤ (k) = W ¤ (k)¡1 [x̂(k j k) ¡ x̂(k j k ¡ l)]:
BAR-SHALOM ET AL.: ONE-STEP SOLUTION FOR THE MULTISTEP OUT-OF-SEQUENCE-MEASUREMENT PROBLEM
Note that W ¤ (k) defined in (19) is invertible. The
covariance of the equivalent innovation at k is,
keeping in mind (17), given by
(14) S ¤ (k) = P(k j k ¡ l) + R ¤ (k) (23)
or its equivalent version
(15) S ¤ (k)¡1 = P(k j k ¡ l)¡1 ¡ P(k j k ¡ l)¡1
£ [P(k j k ¡ l)¡1 + R ¤ (k)¡1 ]¡1 P(k j k ¡ l)¡1
(24)
which is numerically computable even if (18) would
be rank deficient. This completes the definition of
the measurement z ¤ (k), which is equivalent to the
sequence of measurements fz(k ¡ l + 1), : : : , z(k)g as
an approximate sufficient statistic for x(k). The only
term needed later is (24).
REMARK. The equivalent measurement derived
above is the same as the one discussed in [11],
which is based on [10]. For multisensor data fusion
the equivalent measurements have noises that are
cross-correlated across sensors for l > 1 and their
use for fusion (with the equation that is exact for
l = 1–see [1, sec. 8.6.1]) is only approximate. The
reason is the same as indicated above–the lack
(16) of orthogonality of the equivalent measurement
noise and the process noises. The idea of equivalent
measurement in the context of OOSM has also been
used recently in [7] and [8].
(17)
IV. ALGORITHM Al1 FOR l-STEP-LAG OOSM
(18)
Using the above defined “equivalent measurement”
and [4, eq. (30)—(39)], the algorithm Al1 for the
l-step-lag OOSM, but consisting of only one step (a
“giant leap”), is given below. The retrodiction of the
state to · from k is, using (17)
x̂(· j k) = F(·, k)[x̂(k j k) ¡ Q(k, ·)S ¤ (k)¡1 º ¤ (k)]
(25)
where Q(k, ·) is the covariance of the process noise
(19) v(k, ·) in (5), S ¤ (k) is given in (23) and º ¤ (k) is given
in (22). Note that this is an affine function of the
estimate x̂(k j k).
The covariances associated with the state
retrodiction are
(20) Pvv (k, · j k) = Q(k, ·) ¡ Q(k, ·)S ¤ (k)¡1 Q(k, ·) (26)
Pxv (k, · j k) = Q(k, ·) ¡ P(k j k ¡ l)S ¤ (k)¡1 Q(k, ·):
(27)
The covariance of the state retrodiction is
(21)
P(· j k) = F(·, k)[P(k j k) + Pvv (k, · j k) ¡ Pxv (k, · j k)
(22) ¡ Pxv (k, · j k)0 ]F(·, k)0 : (28)
29
The covariance of the retrodicted measurement is
S(·) = H(·)P(· j k)H(·)0 + R(·):
The covariance between the state at k and this
measurement is
Pxz (k, · j k) = [P(k j k) ¡ Pxv (k, · j k)]F(·, k)0 H(·)0 :
The gain used for the update is
W(k, ·) = Pxz (k, · j k)S(·)¡1 :
The update with the OOSM z(·) of the most recent
state estimate x̂(k j k) is
x̂(k j ·) = x̂(k j k) + W(k, ·)[z(·) ¡ ẑ(· j k)]
where the predicted OOSM is
ẑ(· j k) = H(·)x̂(· j k)
and the retrodicted state x̂(· j k) is given on (25). The
covariance of the resulting updated state estimate is
P(k j ·) = P(k j k) ¡ Pxz (k, · j k)S(·)¡1 Pxz (k, · j k)0 :
V. ALGORITHM Bl1 FOR l-STEP-LAG OOSM
Using the equivalent measurement idea, one can
perform in one step the update with an l-step-lag
OOSM according to the methodology of the nearly
optimal algorithm B as follows.
The suboptimal technique B [12, 5] assumes the
retrodicted noise to be zero. The retrodiction of the
state to · from k is
x̂B (· j k) = F(·, k)x̂(k j k)
i.e., a linear function of x̂(k j k), rather than an affine
function as in (25).
The covariances associated with the state
retrodiction are calculated as
PvvB (k, · j k) = Q(k, ·)
PxvB (k, · j k) = Q(k, ·) ¡ P(k j k ¡ l)S ¤ (k)¡1 Q(k, ·):
The (filter-calculated) covariance for the state
retrodiction is
P B (· j k) = F(·, k)[P(k j k) + PvvB (k, · j k) ¡ PxvB (k, · j k)
¡ PxvB (k, · j k)0 ]F(·, k)0 :
The covariance for the retrodicted measurement is
S B (·) = H(·)P B (· j k)H(·)0 + R(·):
The covariance between the state at k and this
measurement is calculated as
PxzB (k, · j k) = [P(k j k) ¡ PxvB (k, · j k)]F(·, k)0 H(·)0 :
30 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1
The gain used for the update is
(29) WB (k, ·) = PxzB (k, · j k)S B (·)¡1 : (41)
The update with the OOSM z(·) of the most recent
state estimate x̂(k j k) is
x̂B (k j ·) = x̂(k j k) + WB (k, ·)[z(·) ¡ ẑ B (· j k)]
(30) (42)
where the predicted OOSM is
(31)
ẑ B (· j k) = H(·)x̂B (· j k) (43)
and the retrodicted state x̂(· j k) is given on (35). The
calculated covariance for the updated state estimate is
(32)
P B (k j ·) = P(k j k) ¡ PxzB (k, · j k)S B (·)¡1 PxzB (k, · j k)0 :
(44)
(33) As proven in [4], the expression (44) is the actual
MSE matrix for the updated state.
VI. THE l-STEP-LAG OOSM WITH L-STEP-LAG LAST
ESTIMATE
(34)
In the above sections it was assumed that the time
stamp of the OOSM is such that its lag, rounded up
to the next integer, amounts to l steps and that the
most recent state estimate prior to it, i.e., at tk¡l , is
available. In practice, it might be too much to store
all the estimates to guarantee that the one at tk¡l
is available. In such a case, the most recent state
estimate available prior to it could be at tk¡L , with
L > l. Then the equivalent measurement is to be
obtained such that it replaces all the measurements
(35) from k ¡ L to k, and the results from Section III hold
with L replacing l.
The optimal algorithm from Section IV is the same
except that º ¤ and S ¤ in (25)—(27) follow from (22)
and (23), respectively, obtained with L replacing l.
Similarly, the nearly optimal algorithm of Section V
(36) is the same except that S ¤ in (37) follows from (23)
obtained with L replacing l.
(37) VIII. STORAGE REQUIREMENTS OF OOSM
ALGORITHMS
The following quantities need to be stored by any
OOSM algorithm:
(38) 1) tk , a scalar indicating the time for which the
state is to be updated,
2) x̂(k j k), n scalars, state estimate without
(39) processing OOSM,
3) P(k j k), n(n + 1)=2 scalars, covariance of the
state estimate.
For the l-lag problem (l is unknown before receiving
the OOSM) a maximum number of lags lmax is
assumed to be fixed for obtaining the additional
(40) storage requirement of algorithms Al1 and Bl1.
JANUARY 2004
 In addition to the above, one has the following
algorithm-specific requirements:
ALGORITHM Al1 Computation of º ¤ (k) and S ¤ (k)
will need to store the following quantities:
1) ti , i = k ¡ lmax , : : : , k ¡ 1, requires lmax scalars
indicating the time stamps of measurement sequence,
2) x̂(k ¡ lmax j k ¡ lmax ), x̂(k ¡ lmax + 1 j k ¡ lmax + 1),
: : : , x̂(k ¡ 1 j k ¡ 1) requires lmax n scalars of the state
update sequence,
3) P(k ¡ lmax j k ¡ lmax ), : : : , P(k ¡ 1 j k ¡ 1)
requires lmax n(n + 1)=2 scalars of the corresponding
covariances.
ALGORITHM Bl1 Computation of P(k j k ¡ l) and
S ¤ (k) will need to store the following quantities:
1) ti , i = k ¡ lmax , : : : , k ¡ 1, requires lmax scalars
indicating the time stamps of measurement sequence,
2) P(k ¡ lmax j k ¡ lmax ), : : : , P(k ¡ 1 j k ¡ 1)
requires lmax n(n + 1)=2 scalars of the covariances
corresponding to the state update sequence.
Note that the storage requirement for Al1 is not
much larger than that of Bl1 for small lmax .
VIII. DATA ASSOCIATION FOR OOSM
The gating and incorporation of an OOSM into a
data association algorithm should be done according
to its correct covariance. In the case of algorithm
Al1 the predicted value of the OOSM is given by
(33) with innovation covariance (29). In the case of
algorithm Bl1 the predicted value of the OOSM is
given by (43) with innovation covariance (39). The
above also specify the necessary moments to evaluate
in the two cases the likelihood functions (assuming
they are Gaussian) for the purpose of data association.
Recent work on data association issues for OOSM can
be found in [17], [6], and [9].
IX. SIMULATION RESULTS
A. Simple Example
The following dynamic system was considered
· ¸
1 T
x(k + 1) = x(k) + v(k + 1, k) (45)
0 1
where the state consists of position and velocity in
one coordinate and v(k + 1, k) is zero-mean, white
discretized continuous time process noise with
covariance
· 3 ¸
T =3 T2 =2
E[v(k + 1, k)v(k + 1, k)0 ] = q noise acceleration [2] with process noise spectral
T2 =2 T
(46)
where q is the power spectral density of the
continuous time process noise. The sampling interval
BAR-SHALOM ET AL.: ONE-STEP SOLUTION FOR THE MULTISTEP OUT-OF-SEQUENCE-MEASUREMENT PROBLEM
is T = 1 s and q = 0:5 m2 /s3 . The measurement
equation is
· ¸
1 0
z(k) = x(k) + w(k) (47)
0 1
where the measurement noise w(k) is zero mean white
with covariance
· ¸
1 m2 0
R= (48)
0 0:1 m2 =s2
i.e., both position and velocity (Doppler) are
measured. The filter starts up at t0 = 0 with
initial estimate and covariance based on the first
measurement
x̂(0 j 0) = z(0), P(0 j 0) = R: (49)
A single OOSM is assumed to arrive after the state
is updated at time t4 = 4 s, with different time stamps
3.5 s, 2.5 s, and 1.5 s, representing the cases with lags
l = 1, 2, 3, respectively.
Table I shows the (filter calculated) state
estimation error covariance matrix at time t4 = 4 s for
the following cases:
1) before the OOSM is processed,
2) after the OOSM is processed following
reordering of the measurements (this is the simplest
procedure but it requires storing and reprocessing all
the measurements in the interval [k ¡ l + 1, k]),
3) after the OOSM is processed by the algorithm
Al1 (in one step),
4) after the OOSM is processed by the algorithm
Bl (in l steps) [13],
5) after the OOSM is processed by the algorithm
Bl1 (in one step).
Table II presents the traces of these covariance
matrices shown in Table I. Note, that for a suboptimal
algorithm, these “self-calculated” covariance matrices
are not necessarily accurate. Consequently, a Monte
Carlo comparison of the MSE errors of the Al1 and
Bl1 algorithms with the MSE errors of the optimal
(in-sequence, i.e., after reordering) processing of
the measurements is shown in Table III. It can be
seen that both suboptimal algorithms yield MSEs
within a few percent of the optimum in the example
considered.
B. Real-World Example I: Two-Dimensional Motion
with GMTI Radar Measurements
The target states are position and velocity in
two-dimensional (x and y) coordinates. The true
target motion is discretized continuous time white
density q=0.5m2 /s3 . Two GMTI sensors are located
perpendicular to the target, each of which has a slant
range r around 100 km from the target. Each sensor
measures the slant range, azimuth, and range rate
31
 TABLE I
Comparison of Covariances of State Estimation Error for Various OOSM Algorithms (Single OOSM)

Processing OOSM with Processing OOSM with Processing OOSM with

Before Processing Processing OOSM in Single-Step Multi-lag with Multi-lag Single-Step Multi-lag
Lag the OOSM Order (Optimal) Algorithm Al1 Algorithm Bl Algorithm Bl1
· ¸ · ¸ · ¸ · ¸ · ¸
1 0:3142 0:0370 0:2287 0:0225 0:2287 0:0225 0:2330 0:0254 0:2330 0:0254
0:0370 0:0834 0:0225 0:0759 0:0225 0:0759 0:0254 0:0779 0:0254 0:0779
· ¸ · ¸ · ¸ · ¸ · ¸
2 0:3142 0:0370 0:2597 0:0381 0:2563 0:0372 0:2638 0:0384 0:2667 0:0389
0:0370 0:0834 0:0381 0:0832 0:0372 0:0827 0:0384 0:0833 0:0389 0:0830
· ¸ · ¸ · ¸ · ¸ · ¸
3 0:3142 0:0370 0:2854 0:0387 0:2906 0:0403 0:2900 0:0385 0:2955 0:0403
0:0370 0:0834 0:0387 0:0833 0:0403 0:0827 0:0385 0:0833 0:0403 0:0828

TABLE II
Comparison of Traces of Covariances of State Estimation Error for Various OOSM Algorithms (Single OOSM)

Processing OOSM with Processing OOSM with Processing OOSM with

Before Processing Processing OOSM in Single-Step Multi-lag with Multi-lag Single-Step Multi-lag
Lag the OOSM Order (Optimal) Algorithm Al1 Algorithm Bl Algorithm Bl1

1 0.3976 0.3046 0.3046 0.3109 0.3109

2 0.3976 0.3429 0.3390 0.3471 0.3497
3 0.3976 0.3687 0.3733 0.3733 0.3783

of the target. The standard deviations of range (¾r ), TABLE III

azimuth (¾µ ), and range rate measurements for both Comparison of State Estimation MS Error for Optimal, Al1 and
Bl1 OOSM Algorithms from 10,000 Monte Carlo Runs (Single
sensors are 10 m, 1 mrad and 1 m/s, respectively.2 OOSM)
The scenarios consist of 10 measurements with an
OOSM with different lags at the end. The initial target Processing OOSM Processing OOSM
state is [100 m, 200 m, 9.62 m/s, 5.56 m/s]. The Processing OOSM with Single-Step with Single-Step
initial position measurement is [132.4 m, 236.2 m]. in Order Multi-lag Multi-lag
The initial standard deviations for x and y positions Lag (Optimal) Algorithm Al1 Algorithm Bl1
· ¸ · ¸ · ¸
are 32.4 m and 36.2 m, respectively. Fig. 1 shows 3 0:2798 0:0403 0:2785 0:0412 0:2925 0:0389
the true target trajectory and the measurements 0:0403 0:0834 0:0412 0:0835 0:0389 0:0837
from the two sensors with their 99% error ellipses.
It can be seen that the ellipses obtained from one
sensor are almost perpendicular to those from the
other due to the geometry of the target and sensor
locations.
We consider a single 1-step-lag OOSM where the
sensor ID and the time stamps of the measurements
are listed in Table IV. Bl1 and Bl are used to obtain
the state estimate using OOSM. Fig. 2 shows the 99%
error ellipses of the estimated target position at time

2 The measurements and their covariances were converted from

polar to Cartesian coordinates. The bias significance factor (BSF)

r¾µ2 =¾r is in this case 0.01. As discussed in [1], for BSF below 0.4
the conventional coordinate transformation is adequate–it has no
bias and its covariance is consistent. Thus in the case considered
here the KF for a linear motion model is then the best linear filter in Fig. 1. True target trajectory and 99% error ellipses of
the minimum MSE sense [2]. Consequently, processing an OOSM measurements from the two sensors.
in the right order in the present case is optimal in this sense. For
larger values of the BSF, a modified conversion should be used as
in [15]. Recently, a modified best linear filter was developed in [21]
22.5 s using in-sequence update, Bl1, Bl, and update
for large values of the BSF, accounting for the state dependence of without OOSM. We can see that the ellipses using
the noises in the measurements and its usefulness was shown for algorithms Bl1 and Bl are practically the same as
values of the BSF as high as 5. that from the in-sequence update, which is optimal.

32 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1 JANUARY 2004
 TABLE IV
Single 1-Step-Lag OOSM Problem (2 GMTI Radars)

Time
stamps (s) 0 2.5 5 7.5 10 12.5 15 17.5 22.5 20

Sensor ID 1 2 1 2 1 2 1 2 2 1

TABLE V
Single 3-Step-Lag OOSM Problem (2 GMTI Radars)

Time
stamps (s) 0 2.5 5 7.5 10 12.5 17.5 20 22.5 15

Sensor ID 1 2 1 2 1 2 1 2 2 1
Fig. 2. 99% error ellipses of position estimate using various
algorithms.

TABLE VI
Comparison of MSE for In-Sequence Update and Bl1 Algorithm for Single 1-Step-Lag OOSM from 100 Monte Carlo Runs
(2 GMTI Radars)

Algorithm Average Filter Covariance Actual MSE Matrix 95% region for the MSE
2 54:14 ¡2:32 4:89 ¡0:69
3 2 47:93 ¡1:05 2:98 ¡0:81
3 P(1, 1) : [41:43, 66:85]
In-Sequence Update
6 ¡2:32 39:38 ¡0:65 7
1:82 6 ¡1:05 43:93 0:97 1:59 7 P(2, 2) : [28:10, 50:66]
6 7 6 7
4 4:89 ¡0:65 1:92 ¡0:26 5 4 2:98 0:97 1:76 ¡0:08 5 P(3, 3) : [1:41, 2:43]
¡0:69 1:82 ¡0:26 0:78 ¡0:81 1:59 ¡0:08 0:87 P(4, 4) : [0:53, 1:04]
2 54:14 ¡2:32 4:89 ¡0:68
3 2 47:96 ¡1:11 2:98 ¡0:82
3 P(1, 1) : [41:43, 66:85]
Bl1
6 ¡2:32 39:38 ¡0:65 1:82 7 6 ¡1:11 43:98 0:96 1:60 7 P(2, 2) : [28:10, 50:66]
6 7 6 7
4 4:89 ¡0:65 1:92 ¡0:26 5 4 2:98 0:96 1:76 ¡0:08 5 P(3, 3) : [1:41, 2:43]
¡0:68 1:82 ¡0:26 0:78 ¡0:82 1:60 ¡0:08 0:88 P(4, 4) : [0:53, 1:04]

However, discarding the OOSM yields a much larger
error ellipse than the optimal one.
Table VI shows the average filter (self-calculated)
covariance, the MSE errors, and the 95% probability
region (based on Â2 distribution [2]) of the position
and velocity MSEs at time 22.5 s using in-sequence
update and Bl1, from 100 Monte Carlo runs. It can be
seen that the suboptimal algorithm Bl1 (which is the
simplest) yields MSE errors within a few percent of
the optimum. In addition, the normalized estimation
error squared (NEES) [2] for the 4-dimensional state
based on 100 runs using in-sequence update is 4.339.
The NEES using Bl1 is 4.341 and the NEES using Bl
is 4.340. The two-sided 95% probability region based
on the Â2400 distribution is (3.46, 4.57) [2]. Hence the
three algorithms are all consistent based on the Â2 test.
Next, we consider a 3-step-lag OOSM where the
sensor IDs and the time stamps of the measurements
are listed in Table V. Note that the sensor IDs
from time 15 s to 22.5 s are different from those in
Table IV. The sequence of sensor IDs considered here
yields that a relatively old measurement from 15 s still
has significant impact on the state estimate at 22.5 s
since the latest two measurements are from a different
sensor. 100 Monte Carlo runs are used to obtain the
average filter (self-calculated) covariance, the MSE
errors, and the 95% probability region of the position
and velocity MSEs at time 22.5 s for in-sequence
update and Bl1. The results are listed in Table VII.
It can be seen again that the suboptimal algorithm
Bl1 yields MSE errors within 1% of the optimum.
In addition, the NEES for the 4-dimensional state
using in-sequence update is 4.087. The NEES using
Bl1 is 4.087 and the NEES using Bl is 4.090. The
two-sided 95% probability region based on the Â2400
distribution is [3.46, 4.57]. Hence the three algorithms
are all consistent based on the Â2 test.
C. Real-World Example II: Two-Dimensional Motion
with GMTI Radar Measurements and Sensor
Communication Delay
We consider a ground target tracking problem
with range, azimuth and range rate measurements
from two GMTI radars. The problem is as in [14]
where an extended Kalman filter (EKF) was used
to track a target with nearly constant velocity
motion. With the motion equations being linear in
Cartesian coordinates, we converted the sensors’ polar
measurements into Cartesian coordinates using the
standard transformation [1]. The initialization was
done according to the modified 1-point technique (see
[19]), which, unlike the conventional initialization,

BAR-SHALOM ET AL.: ONE-STEP SOLUTION FOR THE MULTISTEP OUT-OF-SEQUENCE-MEASUREMENT PROBLEM 33

 TABLE VII
Comparison of MSE for In-Sequence Update and Bl1 Algorithm for Single 3-Step-Lag OOSM from 100 Monte Carlo Runs
(2 GMTI Radars)

Algorithm Average Filter Covariance Actual MSE Matrix 95% region for the MSE
2 163:95 ¡30:43 19:65 ¡4:21
3 2 159:32 ¡26:17 19:12 ¡4:97
3 P(1, 1) : [116:46, 211:45]
In-Sequence Update
6 ¡30:43 34:41 ¡4:20 2:05 7 6 ¡26:17 32:75 ¡3:96 1:92 7 P(2, 2) : [24:90, 43:93]
6 7 6 7
4 19:65 ¡4:20 4:23 ¡0:81 5 4 19:12 ¡3:96 4:09 ¡0:76 5 P(3, 3) : [3:02, 5:44]
¡4:21 2:05 ¡0:81 0:83 ¡4:97 1:92 ¡0:76 0:92 P(4, 4) : [0:58, 1:09]
2 164:60 ¡30:60 19:74 ¡4:24
3 2 160:56 ¡26:32 19:33 ¡5:16
3 P(1, 1) : [117:11, 212:10]
Bl1
6 ¡30:60 34:47 ¡4:22 2:05 7 6 ¡26:32 32:74 ¡3:98 1:95 7 P(2, 2) : [24:96, 43:99]
6 7 6 7
4 19:74 ¡4:22 4:24 ¡0:82 5 4 19:33 ¡3:98 4:12 ¡0:79 5 P(3, 3) : [3:03, 5:45]
¡4:24 2:05 ¡0:82 0:83 ¡5:16 1:95 ¡0:79 0:93 P(4, 4) : [0:58, 1:09]

TABLE VIII
Sensor Indices and Corresponding Time Stamps of Three OOSM Scenarios

Scenario 1 Sensor Index 1 1 2 1 2 1 2 1 2 1 2 1 2 1

Time Stamp (s) 0 5 2.5 10 7.5 15 12.5 20 17.5 25 22.5 30 27.5 35

Scenario 2 Sensor Index 1 1 1 2 1 2 1 2 1 2 1 2 1

Time Stamp (s) 0 5 10 2.5 15 7.5 20 12.5 25 17.5 30 22.5 35

Scenario 3 Sensor Index 1 1 1 1 2 1 2 1 2 1 2 1

Time Stamp (s) 0 5 10 15 2.5 20 7.5 25 12.5 30 17.5 35

Note: 2 GMTI radars with communication delay: all measurements of sensor 2 lagging by 1, 2, and 3 steps, respectively.

utilizes also the range rate measurement. Furthermore,
the latter was modeled as a linear function of the
state, which avoids the need (and possible pitfalls)
of the EKF. All this allowed the use of a KF, rather
than EKF, for processing the position and Doppler
measurements.
The Bl1 algorithm is used to update the target
state with OOSMs. Three scenarios are listed in
Table VIII: sensor 2 has all its measurements delayed
with one lag in scenario 1, or multiple lags, 2 and 3,
in scenarios 2 and 3, respectively. We are interested in
the consistency of the centralized tracker with OOSM
at the end of the tracking period (35 s).
The target range is around 22 km for both sensors.
The azimuth angle between sensor 1 and the target is
around ¡15± and the azimuth angle between sensor 2
and the target is around 75± . The standard deviations
of range, azimuth and range rate are 10 m, 1 mrad,
and 1 m/s, respectively, for both sensors. The rms
errors for target position and velocity between the
in-sequence KF update and OOSM update using Bl1
algorithm are compared at the final state estimate
(t=35s) based on 150 Monte Carlo runs. The results
are listed in Table IX. We can see that the differences
of the rms errors between in-sequence and OOSM
update using Bl1 are fairly small.
Table X shows NEES [2] for the last OOSM in
the same scenarios. The 95% probability region for
the NEES is, based on the Â2600 distribution (150 runs
with a 4-dimensional state) is [3:57, 4:55]. The results
fall within this region, i.e., the state estimates are all
consistent.
Finally, Table XI shows the normalized innovation
squared (NIS) [2] for the last OOSM in the same
scenarios. The 95% probability region for these
is, based on the Â2450 distribution (150 runs with
a 3-dimensional measurement) is [2:62, 3:40] and
all the values fall in this region. This confirms
the consistency of the innovation covariance
given by (39), which is essential for reliable data
association.
These results indicate that the Bl1 algorithm
performs in the same manner as the in-sequence
processing.
X. DISCUSSION OF RESULTS AND CONCLUSION
It has been shown that the algorithms for update
with a 1-step-lag OOSM can be appropriately
modified for the general case of l-step-lag OOSM.
This was accomplished by defining an equivalent
measurement at the current time that represents
all the measurements with time stamps later than
the OOSM. This yields algorithms that carry out
in one step the update of the current state with the
l-step-lag OOSM instead of the conventional way
of using an algorithm that requires l steps. The
incorporation of an OOSM into the data association
process has also been discussed. Given the fact that
algorithm Bl1 is simpler than Al1 while also being
nearly optimal–it has an MSE only 1% higher–it
is probably the algorithm of choice for practical
applications. These results are based on realistic
GMTI scenarios.

34 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1 JANUARY 2004
 TABLE IX [8] Challa, S., Evans, R. J., Wang, X., and Legg, J. (2002)
RMS Position and Velocity Errors at Final Estimate Between A fixed lag smoothing framework for OOSM problems.
In-Sequence Update and OOSM Update using Bl1, for Different Communications in Information and Systems, 2, 4 (Dec.
Communication Delays from Sensor 2 2002), 327—350.
[9] Challa, S., Evans, R. J., and Wang, X. (2003)
In-Sequence Update OOSM Update Using Bl1 A Bayesian solution to OOSM problem and its
rms pos rms vel rms pos rms vel approximations.
Scenario (m) (m/s) (m) (m/s) Journal of Information Fusion, 4, 3 (Sept. 2003).
[10] Covino, J. M., and Griffiths, B. J. (1991)
1 9.3 0.64 9.4 0.65 A new estimation method for multisensor data fusion.
2 9.7 0.61 9.7 0.61 In Proceedings of SPIE Conference on Sensor and Sensor
3 12.3 0.72 12.4 0.72 Systems for Guidance and Navigation, Vol. 1478, 1991,
Note: 2 GMTI radars, 150 runs. 114—125.
[11] Drummond, O. (1996)
Track fusion with feedback.
TABLE X In Proceedings of SPIE Conference on Signal and Data
Normalized Estimation Error Squared (NEES) at Last Update Processing of Small Targets, Vol. 2759, Orlando, FL, Apr.
Time for Different Communication Delays from Sensor 2 1996, 342—360.
[12] Hilton, R. D., Martin, D. A., and Blair, W. D. (1993)
Scenario 1 2 3 Tracking with time-delayed data in multisensor systems.
NSWCDD/TR-93/351, Dahlgren, VA, Aug. 1993.
NEES (in-sequence processing) 4.29 3.89 4.06 [13] Mallick, M., Coraluppi, S., and Carthel, C. (2001)
NEES (algorithm Bl1) 4.41 4.01 4.38 Advances in asynchronous and decentralized estimation.
In Proceedings of 2001 IEEE Aerospace Conference, Big
Note: 2 GMTI radars, 150 runs.
Sky, MT, Mar. 2001.
[14] Mallick, M., Kirubarajan, T., and Arulampalam, S. (2001)
TABLE XI Comparison of nonlinear filtering algorithms in ground
Normalized Innovation Squared (NIS) at Last Update Time for moving target indicator tracking.
Different Communication Delays from Sensor 2 In Proceedings of the Fourth International Conference on
Information Fusion, Montreal, Canada, Aug. 2001.
Scenario 1 2 3 [15] Mo, L., Song, X., Zhou, Y., Sun, Z., and Bar-Shalom, Y.
(1998)
NIS (in-sequence processing) 3.06 2.97 3.13 Unbiased converted measurements in tracking.
NIS (algorithm Bl1) 3.11 3.07 3.35 IEEE Transactions on Aerospace and Electronic Systems,
34, 3 (July 1998), 1023—1027.
Note: 2 GMTI radars, 150 runs.
[16] Nettleton, E. W., and Durrant-Whyte, H. (2001)
Delayed and asequent data in decentralized sensing
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(2002) Precision large scale air traffic surveillance using an IMM
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BAR-SHALOM ET AL.: ONE-STEP SOLUTION FOR THE MULTISTEP OUT-OF-SEQUENCE-MEASUREMENT PROBLEM 35

 Yaakov Bar-Shalom (S’63–M’66–SM’80–F’84) was born on May 11, 1941.
He received the B.S. and M.S. degrees from the Technion, Israel Institute of
Technology, in 1963 and 1967 and the Ph.D. degree from Princeton University,
Princeton, NJ, in 1970, all in electrical engineering.
From 1970 to 1976 he was with Systems Control, Inc., Palo Alto, CA.
Currently he is Board of Trustees Distinguished Professor in the Dept. of
Electrical and Computer Engineering and director of the ESP Lab (Estimation
and Signal Processing) at the University of Connecticut. His research interests are
in estimation theory and stochastic adaptive control and he has published over
300 papers and book chapters in these areas. In view of the causality principle
between the given name of a person (in this case, “(he) will track,” in the modern
version of the original language of the Bible) and the profession of this person,
his interests have focused on tracking.
He coauthored the monograph Tracking and Data Association (Academic
Press, 1988), the graduate text Estimation with Applications to Tracking and
Navigation (Wiley, 2001), the text Multitarget-Multisensor Tracking: Principles and
Techniques (YBS Publishing, 1995), and edited the books Multitarget-Multisensor
Tracking: Applications and Advances (Artech House, Vol. I 1990; Vol. II 1992,
Vol. III 2000). He has been elected Fellow of IEEE for “contributions to the
theory of stochastic systems and of multitarget tracking.” He has been consulting
to numerous companies, and originated the series of Multitarget-Multisensor
Tracking short courses offered via UCLA Extension, at Government Laboratories,
private companies, and overseas. He has also developed the commercially
available interactive software packages MULTIDAT TM for automatic track
formation and tracking of maneuvering or splitting targets in clutter, VARDAT
TM for data association from multiple sensors, BEARDAT TM for target
localization from bearing and frequency measurements in clutter, IMDAT TM for
image segmentation and target centroid tracking and FUSEDAT TM for fusion
of possibly heterogeneous multisensor data for tracking. During 1976 and 1977
he served as associate editor of the IEEE Transactions on Automatic Control and
from 1978 to 1981 as associate editor of Automatica. He was program chairman
of the 1982 American Control Conference, general chairman of the 1985 ACC,
and cochairman of the 1989 IEEE International Conference on Control and
Applications. During 1983—1987 he served as chairman of the Conference
Activities Board of the IEEE Control Systems Society and during 1987—1989
was a member of the Board of Governors of the IEEE CSS. Currently he is a
member of the Board of Directors of the International Society of Information
Fusion and served as its Y2K and Y2K2 President. In 1987 he received the IEEE
CSS distinguished Member Award. Since 1995 he is a distinguished lecturer of
the IEEE AESS. He is corecipient of the M. Barry Carlton Awards for the best
paper in the IEEE Transactions on Aerospace and Electronic Systems in 1995 and
2000, and received the 1998 University of Connecticut AAUP Excellence Award
for Research and the 2002 J. Mignona Data Fusion Award from the DoD JDL
Data Fusion Group.

36 IEEE TRANSACTIONS ON AEROSPACE AND ELECTRONIC SYSTEMS VOL. 40, NO. 1 JANUARY 2004
Huimin Chen received the B.E. and M.E. degrees from Department of Automation, Tsinghua University,
Beijing, China, in 1996 and 1998, respectively, and the Ph.D. degree from the Department of Electrical and
Computer Engineering, University of Connecticut, Storrs, in 2002, all in electrical engineering.
He was a research post-doc in the Physics and Astronomy Department, University of California, Los
Angeles, and a visiting researcher with the Electrical and Computer Engineering Department, Carnegie Mellon
University from July to Dec. 2002. He has been an assistant professor with the Department of Electrical
Engineering, University of New Orleans since Jan. 2003. His research interests are in signal processing,
estimation theory, target detection and target tracking.

Mahendra Mallick (M’92) received a Ph.D. degree in solid state theory from
State University of New York at Albany in 1981.
He has been working at Lockheed Martin Orincon Corporations, San Diego,
CA as a chief scientist since 2003.
He has over twenty years of professional experience including employment
at Alphatech, Inc. (1996—2002), TASC (1985—1996), and CSC (1981—1985).
Currently, he is working on multisensor and multitarget tracking and classification
of ground moving targets using multiple-hypothesis tracking and advanced
nonlinear filtering algorithms. His research interests include estimation, stochastic
modeling, multisensor multitarget tracking, joint tracking and classification,
n9onlinear filtering, particle filter, out-of-sequence measurement algorithm,
electromagnetic scattering, orthogonal distance regression, motion estimation,
registration, data fusion, satellite orbit and attitude estimation, numerical
computation, object oriented analysis and design.
Dr. Mallick has a number of publications in refereed journals and proceedings.
He is a member of IEEE and the Common GMTI (CGMTI) Format Technical
Group, which is responsible for developing an international data format for the
CGMTI data from airborne and spaceborne platforms.

BAR-SHALOM ET AL.: ONE-STEP SOLUTION FOR THE MULTISTEP OUT-OF-SEQUENCE-MEASUREMENT PROBLEM 37