Engineering Applications of Adaptive Kalman Filtering Based on Singular Value Decomposition (SVD)

• Published in: Applied sciences Vol. 10; no. 15; p. 5168
• Main Authors: Bermúdez Ordoñez, Juan, Arnaldo Valdés, Rosa, Gómez Comendador, Victor
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 01-08-2020
• Subjects: Adaptive filters; adaptive Kalman filter applications; Algorithms; Comparative studies; computer round-off errors; control systems; Covariance matrix; Decomposition; Design; Distance measuring equipment; Dynamic models; Global positioning systems; GNSS; GPS; Kalman filters; Mechanization; navigation; Noise; Riccati equation; Roundoff error; Sensors; Signal processing; singular value decomposition filtering
• ISSN: 2076-3417; 2076-3417
• DOI: 10.3390/app10155168

This paper presents the results of applying the new mechanization of the Kalman filter (KF) algorithm using singular value decomposition (SVD). The proposed algorithm is useful in applications where the influence of round-off errors reduces the accuracy of the numerical solution of the associated Riccati equation. When the Riccati equation does not remain symmetric and positive definite, the fidelity of the solution can degrade to the point where it corrupts the Kalman gain, and it can corrupt the estimate. In this research, we design an adaptive KF implementation based on SVD, provide its derivation, and discuss the stability issues numerically. The filter is derived by substituting the SVD of the covariance matrix into the conventional discrete KF equations after its initial propagation, and an adaptive estimation of the covariance measurement matrix Rk is introduced. The results show that the algorithm is equivalent to current methods in terms of robustness, and it outperforms the estimation accuracy of the conventional Kalman filter, square root, and unit triangular matrix diagonal (UD) factorization methods under ill-conditioned and dynamic applications, and is applicable to most nonlinear systems. Four sample problems from different areas are presented for comparative study from an ill-conditioned sensitivity matrix, navigation with a dual-frequency Global Positioning System (GPS) receiver, host vehicle dynamic models, and distance measuring equipment (DME) using simultaneous slant range measurements, performed with a conventional KF and SVD-based (K-SVD) filter.