A High Order Method for Estimation of Dynamic Systems
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An analytical approach is presented for developing an estimation framework (called the 1th Moment Extended Kalman Filter (JMEKF)). This forms an important component of a class of architectures under investigation to study the interplay of major issues in nonlinear estimation such as model nonlinearity, measurement sparsity and initial condition uncertainty in the presence of low process noise. Utilizing an automated nonlinear expansion of the model about the current best estimated trajectory, a Jth order approximate solution for the departure motion dynamics about a nominal trajectory is derived in the form of state transition tensors. This solution is utilized in evaluating the evolution of statistics of the departure motion as a function of the statistics of initial conditions. The statistics thus obtained are used in the determination of a state estimate assuming a Kalman update structure. Central to the state transition tensor integration about a nominal trajectory, is the high order sensitivity calculations of the nonlinear models (dynamics and measurement), being automated by OCEA (Object Oriented Coordinate Embedding Method), a computational tool generating the required various order partials of the system differential equations without user intervention. Working in tandem with an OCEA automation of the derivation of the state transition tensor differential equations is a vector matrix representation structure of tensors of arbitrary rank, facilitating faster and more accurate computations. High order moment update equations are derived to incorporate the statistical effects of the innovations process more rigorously, improving the effectiveness of the estimation scheme. Numerical simulations on an orbit estimation example investigate the gain obtained in using the proposed methodology in situations where the classical extended Kalman filter's domain of convergence is smaller. The orbit estimation example presented examines a situation that requires us to determine the position and velocity state of the orbiter from range, azimuth and elevation measurements being made available sparsely.