9 April 2007 Maximum likelihood ensemble filter applied to multisensor systems
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Abstract
Maximum Likelihood Ensemble Filter (MLEF) is an alternative deterministic ensemble based filter technique that optimizes a non-linear cost function along with a Maximum Likelihood approach. In addition to the common use of ensembles for calculating error covariance, the ensembles in MLEF are exploited to efficiently calculate Hessian preconditioning and the gradient of the cost function. This study is divided into two segments. The first part presents a one sensor approach, were MLEF is compared to different filters using Lorenz 63 system. These filters are: Extended Kalman Filter, Ensemble Kalman Filter. The second part develops a multi-sensor system. Here we study a moving particle on an orbit obtained from the same Lorenz system. We analyze the information content of MLEF's ensemble subspace for each sensor and consider the effects of different number of ensembles on the fusion process. In practice, when using ensemble based filtering techniques, a large ensemble size is required to obtain the best results. In this study we show that MLEF can obtain similar results using a smaller ensemble size by utilizing an information matrix, where essential characteristics are captured. This is a vital consideration when working with multi-sensor data fusion systems.
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Arif Albayrak, Arif Albayrak, Milija Zupanski, Milija Zupanski, Dusanka Zupanski, Dusanka Zupanski, } "Maximum likelihood ensemble filter applied to multisensor systems", Proc. SPIE 6571, Multisensor, Multisource Information Fusion: Architectures, Algorithms, and Applications 2007, 65710N (9 April 2007); doi: 10.1117/12.719796; https://doi.org/10.1117/12.719796
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