Spatial-temporal nonlinear filtering based on hierarchical statistical models |
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Authors: | Mark E Irwin Noel Cressie Gardar Johannesson |
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Affiliation: | (1) Department of Statistics, The Ohio State University, 1958 Neil Avenue, 43210 Columbus, OH, USA |
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Abstract: | A hierarchical statistical model is made up generically of a data model, a process model, and occasionally a prior model for
all the unknown parameters. The process model, known as the state equations in the filtering literature, is where most of
the scientist’s physical/chemical/biological knowledge about the problem is used. In the case of a dynamically changing configuration
of objects moving through a spatial domain of interest, that knowledge is summarized through equations of motion with random
perturbations. In this paper, our interest is in dynamically filtering noisy observations on these objects, where the state
equations are nonlinear. Two recent methods of filtering, the Unscented Particle filter (UPF) and the Unscented Kalman filter,
are presented and compared to the better known Extended Kalman filter. Other sources of nonlinearity arise when we wish to
estimate nonlinear functions of the objects positions; it is here where the UPF shows its superiority, since optimal estimates
and associated variances are straightforward to obtain. The longer computing time needed for the UPF is often not a big issue,
with the ever faster processors that are available. This paper is a review of spatial-temporal nonlinear filtering, and we
illustrate it in a Command and Control setting where the objects are highly mobile weapons, and the nonlinear function of
object locations is a two-dimensional surface known as the danger-potential field. |
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Keywords: | battlespace danger-potential field Kalman filter particle filter resampling scaled unscented transformation sequential importance sampler unscented particle filter |
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