Tag Archives: Wiener System

Substituting the update step of a bayesian filter by a maximum likelihood optimisation in order to use non-linear observation models in a (linear-transition) Kalman framework

Damián Marelli, Minyue Fu, and Brett Ninness, Asymptotic Optimality of the Maximum-Likelihood Kalman Filter for Bayesian Tracking With Multiple Nonlinear Sensors, IEEE Transactions on signal processing, vol. 63, no. 17, DOI: 10.1109/TSP.2015.2440220.

Bayesian tracking is a general technique for state estimation of nonlinear dynamic systems, but it suffers from the drawback of computational complexity. This paper is concerned with a class of Wiener systems with multiple nonlinear sensors. Such a system consists of a linear dynamic system followed by a set of static nonlinear measurements. We study a maximum-likelihood Kalman filtering (MLKF) technique which involves maximum-like-lihood estimation of the nonlinear measurements followed by classical Kalman filtering. This technique permits a distributed implementation of the Bayesian tracker and guarantees the boundedness of the estimation error. The focus of this paper is to study the extent to which the MLKF technique approximates the theoretically optimal Bayesian tracker. We provide conditions to guarantee that this approximation becomes asymptotically exact as the number of sensors becomes large. Two case studies are analyzed in detail.