ISPRS Ann. Photogramm. Remote Sens. Spatial Inf. Sci., II-2, 61-66, 2014
http://www.isprs-ann-photogramm-remote-sens-spatial-inf-sci.net/II-2/61/2014/
doi:10.5194/isprsannals-II-2-61-2014
© Author(s) 2014. This work is distributed
under the Creative Commons Attribution 3.0 License.
 
11 Nov 2014
Discrete EKF with pairwise Time Correlated Measurement Noise for Image-Aided Inertial Integrated Navigation
N. S. Gopaul, J. G. Wang, and B. Hu Department of Earth and Space Science and Engineering Faculty of Graduate Studies York University, Toronto, Canada
Keywords: Kalman filter, correlated noise, Cholesky factorization, shaping filter Abstract. An image-aided inertial navigation implies that the errors of an inertial navigator are estimated via the Kalman filter using the aiding measurements derived from images. The standard Kalman filter runs under the assumption that the process noise vector and measurement noise vector are white, i.e. independent and normally distributed with zero means. However, this does not hold in the image-aided inertial navigation. In the image-aided inertial integrated navigation, the relative positions from optic-flow egomotion estimation or visual odometry are pairwise correlated in terms of time. It is well-known that the solution of the standard Kalman filter becomes suboptimal if the measurements are colored or time-correlated. Usually, a shaping filter is used to model timecorrelated errors. However, the commonly used shaping filter assume that the measurement noise vector at epoch k is not only correlated with the one from epoch k – 1 but also with the ones before epoch k – 1 . The shaping filter presented in this paper uses Cholesky factors under the assumption that the measurement noise vector is pairwise time-correlated i.e. the measurement noise are only correlated with the ones from previous epoch. Simulation results show that the new algorithm performs better than the existing algorithms and is optimal.
Conference paper (PDF, 684 KB)


Citation: Gopaul, N. S., Wang, J. G., and Hu, B.: Discrete EKF with pairwise Time Correlated Measurement Noise for Image-Aided Inertial Integrated Navigation, ISPRS Ann. Photogramm. Remote Sens. Spatial Inf. Sci., II-2, 61-66, doi:10.5194/isprsannals-II-2-61-2014, 2014.

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