Improving Adaptive Kalman Filter in GPS/SDINS Integration with Neural Network

Jianguo Jack Wang, Weidong Ding, Jinling Wang School of Surveying and Spatial Information Systems University of New South Wales, Australia

BIOGRAPHY Jianguo Jack Wang is a research associate in the School of Surveying & Spatial Information Systems, University of New South Wales (UNSW), Australia. He received his B.Sc. in Physics from Nanjing University, M.E. in Electrical and Information Engineering from University of Sydney, and PhD in Surveying and Spatial Information Systems from the UNSW. His current research interest is precision kinematic positioning and navigation system integration. Weidong Ding is currently a Ph.D. student in the School of Surveying and SIS, UNSW. He received his B.E. in Electrical Engineering from Beijing Polytechnic University, China, and his M.E in Electrical Engineering from the University of New South Wales, Australia. His research is focused on developing an integrated positioning and geo-referencing platform for mobile mapping and navigation applications. Jinling Wang is a Senior Lecturer in the School of Surveying & Spatial Information System, UNSW. He is a Fellow of the Royal Institute of Navigation, UK, and a Fellow of the International Association (IAG) of Geodesy. Jinling is a member of the Editorial Board for the international journal GPS Solutions, and Chairman of the study group (2003-2007) on pseudolite applications in positioning and navigation within the IAGs Commission 4. Jinling holds a PhD in GPS/Geodesy from the Curtin University of Technology, Australia. ABSTRACT Kalman filter (KF) can provide optimal solutions if the system dynamic and measurement models are correctly defined, and the noise statistics for the measurement and system are completely known. The conventional way of determining the covariance matrices of process noise and observation errors relies on analysis of empirical data from each sensor in a system, which is called KF tuning. In practice, however, the process noise and observation

errors vary with time and environment, which causes uncertainty in the covariance matrices of process noise and observation errors and results in system performance degradation. Adaptive KF (AKF) has been intensively investigated, which can tune a filter continuously so as to eliminate empirical data analysis and aims to improve filtering performance. The covariance matching technique in AKF uses innovation-based estimation that attempts to make the filter residual covariances consistent with their theoretical covariances estimated with samples. This paper presents a neural network aided AKF based on covariance matching technique, for integrated GPS/INS system. Instead of using a limited window for estimation as conventional AKF, all the previous samples are counted in according to their character using neural network (NN). The covariance matching is conducted then its relation with the corresponding character is mapped with the NN. The adjustment of the AKF is based on both the NN training result and the updated covariance matching result. The purpose of doing so is to eliminate estimation noise, and to keep the selected samples ergodic. The objective of this research is to develop a system that is self-adaptive to the change of operation environment or hardware components, such as the type of INS and system configuration etc. with the help of AKF. The principle of this hybrid method and the NN design are presented. Field test data are processed to evaluate the performance of the proposed method. Different types of INS are tested to demonstrate the effectiveness of the proposed adaptive algorithm. INTRODUCTION GPS and strapdown INS (SDINS) integration systems have been widely used for navigation and georeferencing. The core of an integration system is the effectiveness and robustness of employed data fusion algorithm that ideally

can produce optimal solution under all the possible situations. Many approaches have been introduced as the data fusion algorithms, such as Kalman filter, cluster analysis, fuzzy logic, neural networks, and wavelets transform etc. Currently KF and its mutations, Extended KF (EKF) and Sigma-point KF (SKF) etc., are still the most popular algorithms for integrated GPS/SDINS systems. The operation of the KF relies on the proper definition of a dynamic model and a stochastic model (Brown and Hwang, 1996). The dynamic model describes the propagation of system states over time. The stochastic model describes the stochastic properties of the system process noise and observation errors. KF can provide optimal solutions if the system dynamic and measurement models are correctly defined, and the noise statistics for the measurement and system are completely known. The conventional method of determining the covariance matrices of process noise (Q) and observation errors (R) for KF relies on the analysis of experimental data from each sensor and then fix them, which is called tuning KF. As no sensors are perfect, their performance changes with time and environment. This causes uncertainty in previous tuned KF, which has a significant impact on the Kalman filtering performance (Grewal and Andrews, 2001). Q and R influence the weight that the filter applies between the existing process information and the latest measurements. Errors in any of them may result in the filter being suboptimal or even cause it to diverge. The performance of a SDINS is very much dependent on the motion of host vehicle. Strapdown inertial sensors are subjected to the full range of attitude changes and turn rates which the vehicle experiences along its path, which is in marked contrast to the inertial sensors in a stable platform navigation system. The turn rates and accelerations which act on a vehicle as it maneuvers excite a number of error sources within an on-board strapdown inertial navigation system, including gyroscope and accelerometer scale-factor errors, cross-coupling effects and sensitivity to non-orthogonality of the sensors' input axes. Therefore, the accuracy of the angular rate and specific force measurements generated by the on-board sensors during a maneuver can degrade substantially compared with that achieved under more benign conditions. GPS performance is obviously affected by many factors, such as signal blockage, multipath, orbit errors and satellite geometry change etc. This makes R changing in different situations. Adaptive KF has been intensively investigated for tuning the filter continuously by estimating Q and/or R, in order to eliminate empirical data analysis and improve filtering performance. Many approaches have been introduced for AKF, such as covariance scaling, multi-model adaptive

estimation and adaptive stochastic modeling etc (Ding et al., 2006a; Hide et al., 2004a). The covariance scaling method improves the filter stability and convergent performance by introducing a multiplication factor to the state covariance matrix (Yang, 2005; Yang and Xu, 2003). The multi-model adaptive estimation method requires a bank of simultaneously operating Kalman filters in which different stochastic models are employed. The output of multi-model adaptive estimation is the weighted sum of each individual filters output. The weighting factor can be calculated using the residual probability function (Brown and Hwang, 1996; Brown and Hwang, 1997; Hide et al., 2004b). Adaptive stochastic modeling uses covariance matching technique (Mohamed and Schwarz, 1999; Wang, 2000; Wang et al., 1999). It is well known that the innovation and residual sequences of the KF are a reliable indicator of the KF filtering performance. For an optimal filter, the innovation and residual sequences are white Gaussian noise (Brown and Hwang, 1997; Mehra, 1970). By online monitoring of the innovation and residual covariance, the adaptive stochastic modeling algorithm estimates directly the covariance matrices of process noise and measurement errors, and tunes them in real-time. The covariance matching technique uses innovation-based adaptive estimation that attempts to make the filter residual covariances consistent with their theoretical covariances estimated with limited samples in a window. The samples are averaged or weighted according to the time sequence. Results from the adaptive estimation are too noisy if the window size is small. On contrary, if the window size is too large, the innovation sequence may be not ergodic or stationary in the window, which breaks the essential requirement for covariance matching (Ding et al., 2006b). In this paper, a new system is developed that is selfadaptive to the change of operation environment or hardware components, such as the type of INS or system configuration etc. with the help of NN aided AKF. The covariance matching is conducted and its relation with the corresponding character is mapped with NN. Then the adjustment of the AKF is based on both the NN training result and updated covariance matching result. This method aims to reduce estimation noise and to keep the selected samples ergodic. The principle of this hybrid method and the NN design are presented. Field test data are processed to evaluate the performance of the proposed method. Different types of INS are tested to demonstrate the effectiveness of the proposed adaptive algorithm. The conventional KF and AKF are reviewed in the following section, then the proposed NN aided AKF is presented, followed by the initial testing results and discussion.

ADAPTIVE KALMAN FILTERING Conventional Kalman filter Considering a multivariable linear discrete system for the integrated GPS/SDINS system:

and the residual sequence as:

k = zk Hk x k

(7)

x k = k 1x k 1 + w k 1
z k = Hk x k + v k

(1) (2)

As mentioned above, the filter estimation accuracy depends on the knowledge about the system model and noise statistics. Adaptive stochastic modeling In the case of estimation measurement noise matrix R, since Kalman filtering is equivalent to a recursive least squares estimation process, the KF measurement update can be rewritten in the form of (e.g., Wang et al., 1999):
z k Hk vk x = I xk + e k k

where x k is (n1) state vector, k is (nn) transition matrix, z k is (r1) observation vector, H k is (rn) observation matrix. w k and v k are uncorrelated white Gaussian noise sequence with means and covariances:

E {w k } = E ( v k ) = 0 E w k vT = 0 i Q E w k wT = k i 0 R E v k vT = k i 0

(8)

{ { {

i=k ik i=k ik

(3)

where vector e k denotes the state prediction errors, and I the identity matrix. Equation (8) shows that at each epoch, the filter update is an optimal blending of existing information from the predicted states and the information of the new measurements. The associated covariance matrix is:

where E {} denotes the expectation function. Qk and R k are covariance matrix of process noise and observation errors, respectively. The KF state prediction and state covariance prediction are:

R k C = 0

0 Pk

(9)

Given that
z H l = k , and A = k xk I

= k 1 k 1 xk x Pk = k 1Pk 1T 1 + Q k 1 k

(4)

(10)

where x k denotes the KF estimated state vector; x k the predicted state vector for the next epoch; P the estimated
k

where l is the observation vector, and A the design matrix. The optimal estimation of the states is:
x k = A T C 1 A

state covariance matrix; and Pk the predicted state covariance matrix. The Kalman measurement update algorithms are:

A T C1l

(11)

The least squares estimation residual is:

k = zk Hk x k

K k = Pk HT H k Pk HT + R k k k k = + K k zk Hk x xk xk Pk = ( I K k H k ) Pk

(5)

= I Hk K k d k

(12)

where K k is the Kalman gain, which defines the updating weight between new measurements and predictions from the system dynamic model. The innovation sequence is defined as:
dk = zk Hk x k

By applying the error propagation law to the above equation, one obtains:

E k T = E v k v T H k Pk HT k k k
Then

(13)

(6)

R k = E k T + H k Pk HT k k

(14)

When the residual covariance E k T is available, the k

covariance of the observation error R k can be estimated directly from Equation (14).

Qk 1 = E K k d k d kT K kT = K k E d k d kT K kT

{ (
{

) }

(21)

Equation (21) is used for the adaptive estimation of Q. Similar to R estimation, calculation of the residual
T covariance E d k d k

For a stationary system and noise, calculation of the residual covariance E k T normally uses a limited k

for a stationary system and noise of

the innovation sequence:

number of samples of the innovation sequence:

E k k
or in recurrent

1 m 1 = k i T i k m i =0

E dk dkT =
(15) or in recurrent

1 m 1 d k i d kTi m i =0

(22)

E k k

m 1 1 = E k 1 k 1T + k k T m m

E dk dkT =
(16)

m 1 1 E d k 1d k 1T + d k d k T m m

(23)

where m is the estimation window size. For Equation (15) and (16) to be valid, the residual sequence has to be ergodic and stationary over the m steps. The result is unbiased estimates of the autocorrelation (equivalent to covariance with zero mean) of the residual sequence (Papoulis, 1991). The estimation converges to the true value as the window size becomes larger. However, large window size and the stationary condition are contradictory requirements for kinematic GPS/SDINS applications. Choosing an appropriate window size is a trade-off between estimation stability and estimation accuracy (Ding et al., 2006b). In the case of adaptive estimation process noise matrix Q, from state Equation (1), the process noise can be expressed as
wk 1 = xk k 1 xk 1

In practical application of the Kalman filter, information about measurement noise statistics (R matrix) is usually known, because it depends on the quality of measurement device used. The information about system noise statistics (Q matrix) is quite subjective, because it depends on the models created for the system. In fact the performance of a Kalman filter does not depend on the selection of absolute levels of Q and R but on their relative relationship. Therefore, the reasonable way to analyze the noise statistics influence on the estimation errors is based on Q matrix influence interpretation when R matrix is fixed (Salychev, 2004). The optimal selection of Q matrix guarantees the balance between the estimation errors due to measurements noise and the weak connection between previous estimates and current measurements. Many practical systems, including GPS/SDINS, are nonstationary. The degree of a system nonstationary is a characteristic of time-varying systems and can be numerical defined for a Markov model (Haykin, 2002). For nonstationary case, the above conventional AKF estimations are not accurate or even inapplicable. It is suggested to reduced the estimation window size m to one to handle a nonstationary system variation (Salychev, 2004), but with defective estimation stability. Dynamic adaptive estimation is needed for the nonstationary situation, which is still a challenging task.

(17)

From Equations (2), (4), (5) and (6), it is obtained:

k k = k k 1 k 1 = K k d k x x x x

(18)

Equate Equations (17) and (18), and let K k d k be the estimation of wk 1 ,

wk 1 = K k d k

NEURAL NETWORK AIDED ALGORITHMS

(19) As discussed earlier, integrated GPS/SDINS systems are nonstationary. The performance of both GPS and SDINS depends on the environment and platform dynamic maneuvers. Practical implementation of AKF faces many challenges, to ensure precise and smooth estimation of the innovation and residual covariance. Furthermore, the stochastic parameters are closely coupled with each other when using current estimation algorithms (Ding et al., 2006b), which makes the accurate estimation more difficult.

Hence
T T T T T E wk 1 wk 1 = E K k d k d k K k = K k E d k d k K k (20)

{ (

) }

When the variance of Kalman gain is assumed to be negligible for stable Kalman estimation, the Q can be estimated as:

Strategy of NN Aided AKF

In the proposed NN aided AKF method for GPS/SDINS integration, effort is made to adaptively adjust the filter according to the platform maneuver. As we known, the environment factors affecting INS, such as temperature, height and location, air pressure etc., change relative slow comparing with platform maneuver. Similar for GPS, there are some factors changing slowly, like satellites orientation and platform position, and some quickly, such as the change of visible satellites number and signal blockage etc. The system nonstationary caused by slowly changing factors can partially be handled by choosing proper value of m in Equations (15)/(16) or (22)/(23), while the fast change factors should be separated and managed differently. In a loosely coupled GPS/SDINS system, the filter measurement noise statistics can be calculated from the GPS measurements, therefore this research is focusing on the adaptive adjustment of the Q matrix. The flowchart of the proposed NN aided AKF is presented in Figure 1. There are two main blocks. The right-hand side block represents the covariance identification loop using NN, while the left-hand side block is the standard navigation loop using KF.

the measurement zk, the innovation dk is estimated by NN. The NN training and estimation is alternatively performed. The Q matrix in the AKF at epoch k+1 is adjusted according to the combination of NN estimated dk and filter produced dk+1. Thus, the proposed method provides capability of adaptive estimation by combining an AKF with a NN.

NN Design
If relationships between a vehicle dynamic and the KF estimation error in each epoch can be mapped by NN, the errors excited by the dynamics of the vehicle can be eliminated or reduced. The key issues in the NN implementation include: Select proper inputs and outputs to be mapped by NN; Design a optimal NN architecture to be trained in real time; and Recall the training results for prediction. To represent the vehicle dynamic variation, the input parameters of the NN are selected as the changes of vehicle velocity and attitude in each epoch. The average attitude in each epoch is also selected to deal with errors relating to gravity and earth rotation etc. For land vehicle applications, vertical movement is limited, and the NN input parameters can be selected as these. It should be noticed that the heading angle is not selected as inputs.

NN in = [vN , vE , vD , H , P , R , P , R ]

(24)

The NN outputs, or the training targets, are selected as the innovation sequence with 9 elements.

NN out = [d k = zk H k xk ]

(25)

The neuron model and the architecture of a NN decide how a network transforms its input into an output. A network can have several layers. Each layer has a weight matrix W, a bias vector b, and an output vector a. The layers of a multi-layer network play different roles. A layer that produces the network output is called an output layer. All other layers are called hidden layers. The neurons in the hidden layer gather values from all input neurons and pass the net input to an activation function that calculates the output for each neural node. Figure 1 The flowchart of NN aided AKF Online training of the NN is conducted to minimize the differences between the outputs of NN and the desired outputs. When the AKF receives the measurement zk, the parameters presenting platform maneuver are selected as the NN input. The innovation dk produced by the Kalman filter is employed as the output of the NN for NN training. After the NN is well trained, it can be recalled for estimation. At the time of recall, when the AKF receives A three-layer feed-forward NN is employed in this approach. The functions of the first and second layers are sigmoid and the third layer is linear. They have 8, 18 and 9 neurons respectively. The NN was trained with an incremental method. An input vector was applied to train the NN by making its weight and bias changes. Then the next input vector is applied for further training.

TESTING RESULTS System Configuration

The block diagram of the proposed system is presented in Figure 2. The training process is continuously adjusting NN parameters at the KF measurement update. At the same time, NN estimations are used for the AKF adjustment. The vehicle dynamic variation derived from the navigation solution is the input of the NN. The innovation dk was selected as the target for the network training. The parameters in the NN were adjusted to match the NN output with the target. If the network is well trained, its output is used for innovation estimation in next epoch. The Q matrix calculation is the combination of the NN estimated innovation and the KF produced one.
Strapdown INS Navigation Computation
V
IMU Coordinate Transform IMU Error Compensation Quaternion Computation Position & Velocity Computation Euler Angle Computation

Table 2 Technical data of IMU 400CC-100 Gyro Accelerometer Bias 3600 deg/hr 12 mg Scale factor 1000 ppm 1000 ppm Random walk 2.25 deg/sqrt(hr) 100 mg/sqrt(hr) /white noise Figure 3 shows the ground track of the test vehicle.
Trajectory of field test 100

50

-50

-100

AKF & NN
Construct Model Parameters State Estimate Propagation Measurement Residual Generation Adaptive Q Adjustment Covariance Propagation Gain Computation Covariance Update Multi-layer Neural Networks Attitude Positions Error Estimation

-150

-200

-250 -50

50

100

150

200

250

Figure 3 Horizontal trajectory of the field test

Double Difference GPS Computation

Rover GPS Receiver Error Compensation OTF Ambiguity Resolution Precise Position Velocity Residual Testing State Estimate Update

Testing Results Analysis

The AFK/NN navigation results are compared with the results of KF navigation, in terms of position RMS. The data from both Boeings C-MIGITS II and Crossbows IMU 400CC-100 were processed. The results are presented in Figure 4, 5 and Tables 3, 4.

Reference Receiver

Figure 2 The block diagram AKF and NN hybrid system The field tests involved two sets of Leica System 530 GPS receivers and one BEI C-MIGITS II (DQI-NP) INS unit. One of the GPS receivers was set up as a static reference station, and the other one on top of the test vehicle together with the INS unit. The data were stored on the GPS receivers PCMCIA card and a Notebook PC for post processing. The BEIs C-MIGITS II has its own GPS receiver (the MicroTracker) to synchronize the INS data to GPS time. Another MEMS INS (Crossbows IMU 400CC-100) was also tested. Table 1 and 2 shows the technical data of DQI-NP and MEMS INS respectively for reference. The specified parameters were used in setting up the Q estimation in the standard Kalman filtering process. Table 1 Technical data of DQI-NP Gyro Bias 5 deg/hr Scale factor 500 ppm Random walk/ 0.035 white noise deg/sqrt(hr)

0.2 0.15 North (m) 0.1 0.05 0 AKF/NN FK

100

200

300 Epoch

400

500

600

700

0.2 0.15 East (m) 0.1 0.05 0 AKF/NN FK

100

200

300 Epoch

400

500

600

700

0.2 0.15 Height(m) 0.1 0.05 0 AKF/NN FK

100

200

300 Epoch

400

500

600

700

Accelerometer 500 g 800 ppm 180 g/sqrt(hr)

Figure 4 The RMS of KF and AKF/NN hybrid system The test results with two different INS (C-MIGITS II (DQI-NP) INS system, and Crossbows IMU 400CC-100)

are shown in Figures 4 and 5. The RMS of the KF and AKF/NN estimated position are presented by red and blue respectively. The figures show that the proposed AFK/NN method makes much improvement comparing with FK, especially for C-MIGITS II.
0.4 North (m) AKF/NN FK 0.2

and to find the optimal NN architecture and an effective online training method.

CONCLUSIONS
This paper has presented a NN aided AKF for integrated GPS/SDINS systems to improve AKF performance of the nonstationary system. By taking into account the impact of the SDINS modeling errors caused by platform maneuvers, a NN is developed to map the modeless relationship of selective parameters. The inputs and outputs of the NN are selected as the parameters representing a platform maneuver and the estimation of the AKF innovation and residual covariance respectively. The NN is then merged into an AKF for GPS/INS integration. The outputs of the trained NN are used to adjust the Q matrix in the KF and improve navigation solutions with nonstationary system environment and/or dynamics. From the test results it can be concluded that the proposed AKF/NN method can: Improve GPS/INS system navigation solutions compare with a KF; Implement the NN for online training and prediction; Be used for different types of INS. Primary test results have shown that relationships exist between a vehicle dynamic variation (NN input) and the innovation sequence (NN output). A three-layer feedforward NN with back the propagation learning method is capable of mapping the complex relationships between NN input and output. The proposed method can reduce the impact of vehicle dynamic variations and improve the navigation solution in comparison with the standard KF. Further research will be done to find the optimal NN architecture.

100

200

300 Epoch

400

500

600

0.4 East (m)

0.2

100

200

300 Epoch

400

500

600

0.15 Height(m)

0.1

0.05

100

200

300 Epoch

400

500

600

Figure 5 The RMS of IMU 400CC-100 As shown in the Table 3 and 4, the proposed method can reduce the impact of vehicle dynamic variations, and improve the navigation solution by more than 40% for CMIGITS II, and about 15% for 400CC-100, in comparison with the standard KF. The test results indicate that the proposed AFK/NN method is useful to improve system navigation solutions. Table 3 Testing results of DQI-NP
Mean RMS KF AKF/NN improvement North (m) 0.06968 0.03494 49.8% East (m) 0.06119 0.03416 45.5% Height (m) 0.07543 0.03787 49.8%

Table 4 Testing results of IMU 400CC-100

Mean RMS KF AKF/NN improvement North (m) 0.1119 0.09833 12.2% East (m) 0.1100 0.09560 13.1% Height (m) 0.09573 0.08093 15.5%

ACKNOWLEDGMENTS
This research is supported by an ARC (Australian Research Council) research project on Robust estimation based ultra-tight integration of GPS, Pseudolite and inertial sensors.

The test results above show that the NN aided AKF method can improve the navigation solutions. The NN after training can make reasonable predictions and is useful to improve the AKF predictions. The same NN architecture works well for different types of INS. It is noticed that the training algorithm requires different number of neurons to achieve optimal training results for various situations. Further investigation is needed to develop a more effective NN algorithm to improve the AKF estimates,

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