(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
AIAA Atmospheric Flight Mechanics
Conference and Exhibit
6-9 August 2001 Montreal, Canada
A01-37260
A PROPOSAL FOR THE PRESENTATION OF RESULTS
IN ESTIMATION THEORY
by
M. R. Ananthasayanam* and R. M. O. Gemson**
ABSTRACT
The state and parameter estimation techniques have
been applied in many scientific and engineering
disciplines. The two routes in estimation theory namely
The Method of Maximum Likelihood Estimation
which is a batch estimator and its mathematically
equivalent Kalman filter approach or its variants that
are sequential exist. In order to assess any new
algorithm or approach it is desirable to have some test
cases as in optimization and the computational fluid
dynamics (CFD). Problems in estimation theory require
much subjectivity in each of the four major features
namely, modeling, criterion, numerical procedure, and
the internal consistency of the solution. As a precursor
before evolving such test cases a proposal is made for
presenting the analysis and results.
INTRODUCTION
It is possible to handle problems occurring in the field
of state and parameter estimation techniques in a
variety of ways. Basically this is due to the inverse
nature of the problem with a redundant amount of data.
Hence a large number of reasonable models and criteria
can and have been introduced and the solutions
obtained. Further in the above process many times it is
necessary and possible to make simplifying
assumptions to reach a solution. A perusal of many
publications shows that it would be highly worthwhile
to provide much more information than what is
presently provided. At times even with a generalised
program to handle any estimation problem it turns out
to be difficult to repeat the computations of others and
compare the performance of the algorithms, and the
results. For example using the Method of
Maximum Likelihood Estimation (MMLE) approach1
* Department of Aerospace Engineering, Indian
Institute of Science, Bangalore, 560 012, INDIA.
** Hindustan Aeronautics Limited, Bangalore,
560 017, INDIA. Non Members.
Copyright © 2001 by Ananthasayanam and Gemson.
Published by the American Institute of Aeronautics and
Astronautics, Inc with Permission.
1
American Institute of Aeronautics and Astronautics
AIAA - 2001 - 4201
even without process noise whether the measurement
noise covariance is estimated or not is unclear. Many
instances have occurred where it has not been possible
for the analyst to get acceptable estimates even in a
simulated environment! Further generally the whiteness
check for the auto correlation is not displayed in
particular while analysing real flight test data. With the
Kalman filtering approach the various tuning
parameters for the initial state, process, and
measurement noise covariances seems to be closely
guarded and generally not provided. If the Kalman filter
tuning is inadequate or improper then one can obtain
any result! Thus a complete presentation of the input
conditions, the intermediate and the final results would
help the reader to appreciate the idea, implementation,
illustrations and the results much better.
BRIEF INTRODUCTION TO
ESTIMATION THEORY
The most general problem in state and parameter
estimation technique consists of qualitatively modelling
the system, measurement, process and measurement
noise characteristics and to quantitatively determine all
the unknown parameters in the above by combining
the information in the model output with the
measurement in some suitable optimal sense2 to 10. A
general nonlinear continuous system model with time t
and a discrete measurement model can be described by
X = F(X, U, 0, t) + w(t); X(0) = X0
Z = G(X, U, 0, tu) + v(tk); k =1,2,......N
where X, Z, 0, U, w, and v denote the states,
measurements, unknown parameters, control inputs,
state and measurement noise matrices of appropriate
order. The measurements at a time step are denoted by
a subscript. The process and measurement noise are
assumed to be zero mean with covariance Q and R
respectively. The time evolution of the estimate and
covariance of state variable X in terms of the transition
matrices $ and \|/ obtained by suitable local
linearisation are
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
Xk = <t>k_i Xk_i _i Uk-i; X(0) = Xo
Qk; P(0) = PO
The superscript (-) indicates the estimate before using
the measurement information. Thus we have at time tk
an estimate
Xk~ with covariance Pk~
and another from the measurement namely
Zk with covariance Rk
can be combined statistically to for minimum variance
Xk = Xk 4- Kk[ Zk — Hk Xk ] = Xk 4- Kk vk
P k + =[I-K k H k ]P k [I-K k H k ] T + K k RK k T
where vk is the innovation and optimal Kalman Gain
•Kfc = PU HU [ Hk Pk Hk
When a linear system is driven by white noise the
Gaussian distributed state X" evolve with modified
mean and covariance. The linear measurement equation
also provides a Gaussian distributed Z. Then the
conditional probability distribution of X given Z
namely p(X|Z) is also a Gaussian. Thus linear systems,
measurements, and white noise match to keep X and Z
as a Gaussian. But if either the system or the
measurement is nonlinear the Gaussian structure is
changed and one resorts to quasilinearization at every
point, or over the full data to deal with the problem.
The innovation follows a Gaussian distribution whose
probability when maximised leads to the cost function
N these help to provide a rapid insight into the behaviour
J = (1/N) Zvk [ H k P k HkT + Rk ] vkT
= J(X 0 ,P 0 ,Q,R,e)
which is basically a batch processing nonlinear
optimisation problem and the numerical effort cannot
be avoided. For minimising J, we have to tune the
statistical noise covariances which are usually assumed
to be diagonal. This is the filter 'tuning' approach.
Among the unknowns Q is the most 'notorious' one.
When Q = 0, the above reduces to the so called output
error method. If the unknown parameter 0 is also
considered as an additional state then the formulation
is known as the Extended Kalman Filter (EKF).
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The general methodology of any filter estimation
algorithm is to update the X0, PO, ©, R and Q at a point,
over a window, after a pass or after multiple passes by
applying some corrections to them based on changes,
iterations or sample statistics such that the numerical
procedure does not diverge but converges to the best
possible estimates based on the information contained
in the data11.
REFERENCE PROBLEMS IN
ESTIMATION THEORY
In many fields like optimisation and computational
fluid dynamics there many so called bench mark,
reference, or test cases8. These help to assess newer
techniques developed in the field by working out the
solution for the above problems. It is with the above
aspect in mind the necessity of evolving test cases is
urged in this paper. Before such problems are evolved
in the field of estimation theory, as a precursor a
proposal is made for presenting the analysis and results
of any problem.
DESIRABLE CHARACTERISTICS OF
REFERENCE PROBLEMS
The reference problems can be divided broadly as
(i) Simple cases with fewer unknowns,
(ii) Simulated cases with many unknowns,
(iii) Real flight test cases with many unknowns.
The unknowns could include the parameters, initial
conditions, the process and measurement noise
statistics. The first category consists of very simple
cases requiring very little effort to program and obtain
the solution. Since the governing equations are simple
or response of the system to the algorithm. The second
category of problems with many unknowns provide a
good ground to evaluate the algorithms. This is because
in a simulated environment controlled experiments can
be carried out by generating a large number of data sets
which is not possible in general with real data. It is
desirable that before any algorithm is applied to real
data analysis it should be applied to a simulated data of
a somewhat similar nature. The third category of
problems deal with real flight test data. Table A shows
the differences between handling simulated and real
flight test data. In a nutshell one can state simulation
provides insight and real life data throws up newer
problems.
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
THE ROLE OF SUBJECTIVITY IN
ESTIMATION THEORY
It was mentioned earlier that problems in estimation
theory generally have more data than that is just enough
to solve for the unknowns. In dealing with such over
determined or even under determined problems it is
compulsive to make additional assumptions in order to
achieve a unique solution. This situation is more
common in estimation theory than in fields such as for
example the computational fluid dynamics (CFD). In
CFD the governing equations of motion be it the
Boltzmann's equation based on the assumption of
molecular chaos, Navier Stokes equations based on the
linear Newtonian stress versus strain rate relation, its
further variants, the boundary layer equations based on
the fact that at high Reynolds numbers the viscous
effects are confined to a thin layer near the surface, or
the Euler equations for inviscid flows are much more
vivid in specifying the situation they are supposed to
handle. Generally after a model equation is chosen it is
possible to solve the problem exactly at least by
numerical techniques with out any further
approximations or assumptions enroute to the solution.
Another aspect is that CFD solutions are not generally
required in real time whereas in ET eventually the
solutions are needed in real time. Based on the
introduction to ET one may say that it is basically an
optimisation problem. But with the changing dynamics
of the systems handled by ET in order to achieve the
real time capability with more and more data coming in
with time, randomly varying state, measurement
equations as well as random inputs certain subjective
features have to be necessarily introduced in evolving
newer approaches or algorithms to reach real time
capability at an acceptable level of accuracy.
We now discuss as to how the compulsively stronger
role played by subjectivity exists in every major step of
problem solving in ET namely modelling, criterion,
solution, and consistency checking.
One can commence with the modelling. In estimation
almost every problem has to be more or less modelled
based on the modeller's understanding or the need of
the situation. The models could range anywhere from
the true (which is rarely known!), best, acceptable, or
adequate and mostly the last one. In fact soon after
solving a problem a consistency check can be fruitfully
carried out for model adequecy a situation which rarely
exists in fluid dynamical problems at least in such a
strong way.
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Further to obtain a solution in ET there is the choice of
a criterion function to be chosen for every problem and
such criteria are very many. Here also subjectivity
exists. Be it the criteria like least squares, equation
error, or the Method of Maximum Likelihood
Estimation (MMLE) all of them can be thought of as
subjective which are made objective by specifying
qualitative structures for the criterion and thus provide
quantitative values to deal with mathematically. Most
approaches in ET have been borrowed from statistics
where every concept can be looked at from a subjective
viewpoint evolving to an objective approach. In order
to name a few the central tendency, dispersion,
skewness, or flatness are all subjective concepts. As an
example the first one can be quantified as the mean,
mode, or median. The situation can be stated by saying
that there are far more subjective interventions to be
made in obtaining solutions in estimation theoretic
problems which has heavily borrowed ideas directly
from statistics than in other fields.
The next step is the numerical solution to satisfy the
criterion function. In this step also a large number of
variations can be made by the analyst. Consider the
minimisation of the cost function J. It is possible to
assume if the measurement noise covariance is known
or unknown. The resulting solutions would be slightly
different but there is a difference. Further some of the
unknowns can be held fixed or updated depending on
ones physical understanding when not utilised may lead
to unrealistic results for some of these or other
parameters. As an example a symmetric missile would
have many of its lomgitudinal and lateral aerodynamic
derivatives related, as also some of the force and
moment derivatives may be linked by just a constant
multiple due to a fixed lever arm multiplying the force
to obtain the moment. A simple minded straight
forward application can lead to close but different
values which if not understood properly as above would
be inefficient solutions. In fact a study of the correlation
coefficient matrix for the estimated parameters would
also point to such a situation.
The final step in ET is the consistency checking of the
results. Due to the presence of random process and
measurement noise in general there is bound to be some
statistical fluctuation or uncertainty in the results and
the confidence level at which these can be accepted is
once again subjective! In fact only an extra statistical
considerations can provide appropriate values for all
such quantities. The consistency check can be applied
to the matching of the model output with the
measurements, behaviour of the residuals, the variation
of the sample estimates with their predicted
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
uncertainties by the algorithm. The last one is a very
desirable feature since no estimate is worth it unless it
is accompanied by an uncertainty as well both of which
are probabilistic anyway!
Hence one may note that in almost every conceivable
stage of solving a problem through an estimation
algorithm there lies in general a scope and necessity for
introducing subjectivity. It is this aspect that calls for a
careful, clear, and complete statement of the problem
and the sequence of steps to be unambiguously stated.
A perusal of the literature in ET shows that in a large
number of publications such a clear situation does not
appear to exist. The next section provides a desirable
sequence of steps useful for the above requirements.
THE ROLE OF COST FUNCTION IN
ESTIMATION THEORY
Before discussing the presentation of the results in ET
we consider the important role played by the cost
functions introduced in solving the problems. One of
the earliest cost functions introduced in ET is the sum
of the squares of the departure of the data points from
the fitted model of the system. This leads to the well
known least squares solution which is a deterministic
approach without any assumption regarding the
characteristics of the noise. The probabilistic approach
introduces assumption about the noise characteristics in
both across the ensemble as well as over time. The
usual assumption corresponding to the above is that the
noise is Gaussian distributed and white. The Method of
Maximum Likelihood Estimation (MMLE) provided a
natural extension of the deterministic least squares to a
probabilistic approach. But the operational feature of
MMLE is once again the minimisation of the cost
function.
In the earliest aeronautical applications of ET to the
determination of the airplane stability and control
derivatives the above cost function was tracked all
through the procedures proposed to solve the problem.
During the earliest period generally problems with only
measurement noise was considered. This feature
continued even when more involved situations
including the occurrence of process noise was handled.
But such techniques were more suitable for off-line
applications due to the iterative nature to obtain the
minimum of the cost function which is a nonlinear
function of the unknowns be it a parameter or the
statistics of the noises. Subsequently with the arrival of
the Kalman filter approach that enabled the batch
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processing to be converted to sequential processing the
use of cost function appeared to have slowed faded!
Though the basic problem was still the optimisation,
in order to get quick solutions the tunable parameters in
the Kalman filter (mentioned in an earlier section on an
introduction to ET) namely X0, P0, ©, R and Q were
generally manually adjusted to ensure that the filter
worked without divergence. There were further
problems to be addressed such as inaccurate or
unknown modelling, and inputs to be handled which
were given more attention in order to implement the
filter for practical applications. It might come as a
surprise that if one looks at the large number of well
known publications using Kalman filter, the filter
equations are written out very elaborately but in many
cases the values for the above tunable quantities and
much less the cost function to be tracked and specified
is not at all reported in the work. Even in adaptive
filtering techniques wherein the above tuning
parameters are adjusted it is based on mostly whitening
the residuals. However the whiteness property of the
residuals appear to be a weak indicator for the closeness
of the solution to the optimum. More often than not the
whiteness test behaves more like a necessary condition
but not as a sufficient condition in many applications.
In order to see the situation more clearly it appeared
that among Xo, PO, ©, R and Q the last one is most
difficult to handle as well as estimate but recently it has
been shown that with the usual finite amount of data
even the choice of P0 is quite important to get accurate
rather than notational or formal results. Such a situation
demands an analyst to try and make a sensitivity studies
of the results by varying each one of the above tuning
parameters and satisfy that the results are acceptably
accurate. Some good examples of such studies have
been reported12'13.
But the above kind of approach carrying out sensitivity
studies can provide some results that are useful but they
cannot not ensure these results are the best or optimum
that could be extracted from the available data. It is thus
necessary to solve the optimisation as best as possible.
Obviously the effort to be put in minimising J cannot
be escaped! The Kalman filter tuning varies from ad
hoc, through heuristic to rigorous methods. The first is
arbitrary and can lead to inaccurate results. The third
could be time consuming to the extent of solving the
whole problem. It appears that heuristic approaches to
minimise the cost and with the final consistency check
on the behaviour of the residuals are quite appealing.
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
HEURISTIC APPROACH TO TUNE KALMAN
FILTER PARAMETERS BASED ON
MINIMISATION OF THE COST FUNCTION
The present authors and their associates have applied a
'heuristic' tuning procedure to minimise the cost
function J in a number of applications involving
airplanes11'12'13, missiles14, and satellites15. In each one
of these problems it has been shown that it is possible
to tune the filter parameters and thereby obtain much
better results by way of more accurate estimates than is
possible otherwise.
In the case of an airplane it has been shown that even if
a proper nonlinear aerodynamic model is used that
unless a proper P0 is chosen based on the inverse of
the information matrix then the nonlinear term cannot
estimated properly. A similar situation exists even for
the estimation of the linear aerodynamic parameters of
a missile. In a study of the relative orbit determination
of geostationary satellites using range, azimuth, and
elevation measurements the use of notional values for
the tuning parameters provides improvement over that
obtainable from regular orbit determination accuracy.
However the cost function was not around 3 which
denote the number of measurements but much less than
3! But when the filter tuning parameters are estimated
based on the minimisation of the cost function which
led to a value close to 3 then much a higher accuracy
has been obtained. The above demonstrates that even
while working with filter equations it is advantageous
to keep track of the cost function J. Further it should
be noted that many more cost functions can be
introduced by an analyst based on the difference or
balance of satisfying the state equations, the difference
between the ideal and achieved autocorrelation, or the
power spectral density, or similarly the pre and post
measurement values of the state suitably scaled with
respect to their predicted values from the filter. The last
one denotes in another way if the filter is tuned
properly.
Thus one goes past notional or formal results, avoid the
sensitivity studies, and be close to the best possible
results that are extractable from the available data.
OTHER USEFUL COST FUNCTIONS IN ET
Apart from the usual cost function J it has been found
advantageous to introduce other cost functions also
providing an appreciation of the results from the
estimation. It may be noted that J considers only the
measurement quantities handled by any algorithm and
is of the order of the number of measurement channels
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when suitably scaled with the measurement noise
covariance R.
Philip and Ananthasayanam16 have introduced another
cost function S called as the scaled parameter error with
the suffixes 'true' and 'est' denoting respectively the
true and estimated parameter values
S = - eest)
which is of the order of the number of unknown
parameters and particularly useful for simulation
studies. For real data the change in 0est from one
iteration to another can be used instead of the above
true and estimated values. As an example if a certain
bias exists in the data and is not recognised, modelled,
and estimated, the estimates of other quantities
deteriorate. In such a situation even the autocorrelation
test cannot indicate the deficiency. Further the Cramer-
Rao bound also does not indicate the uncertainty
properly due to the modelling error and in such cases
the above S when quite different from the number of
unknowns is a pointer to the modelling inadequacy. It
has been noticed at times the convergence of the scaled
parameter error S due to unknown parameters weakly
affecting the dynamics of the system is slower than the
convergence of the usual cost function J. It can thus
be profitably used to estimate parameters that do not
strongly affect the system dynamics.
Similar to the above for parameters, Philip and
Ananthasayanam have introduced another cost function
that is useful to study the effects of inadequate
modelling in state estimation problems which is very
common in Kalman filter studies. This is defined as
N
= (l/N) S (x(i) - xref(i) )T - xref(i))
where the suffix 'ref refers to a desired reference
trajectory to be followed, and the argument in x (.)
denotes the time step or point. The P is the covariance
matrix obtained with nominal values for the unknown
disturbances. Now the performance of the filter under
varying conditions can be analysed as follows. If the
variations or deficiencies in the modelling is beyond the
statistical fluctuations as denoted by the above
covariance then cost function changes substantially and
indicates a degradation of the performance of the filter.
This has been successfully used to assess the filter
performance under modelling deficiencies during
rendezvous and docking of two spacecraft in orbit.
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
PRESENTATION OF THE PROBLEM.
ANALYSIS, AND RESULTS
In order to report or retain effectively the analysis of
any state and parameter estimation problem the
following features have been proposed. These
commence from stating the governing equations,
specifying the criterion, solving the problem, and
showing the consistency of the solutions. The above
encompass the modelling, criteria, numerical algorithm,
and consistency stages in any estimation problem. If all
these are specified it would be ideal but it would be
nice to have most of them.
1. Accessibility of the problem details and the data.
The Author and his Organization, and Address.
2. The System and Measurement Equations.
The type of aerospace vehicle or system. Provide
the usual vehicle's operating altitude-velocity or
Mach Number - Reynolds Number condition as a
point or a trajectory. The description could be in
physical terms or just as a mathematical test case.
Mention if linear or nonlinear, dimensional or non
dimensional, with or without process and
measurement noises.
3. The filter world models for the above equations
can be given. Generally since a real world model
which is ideal may not be available it is compulsive
for an analyst to work with acceptable models from
the point of application for some purposes like ease
of numerical solution, simulation, or real time
implementation. Such simplification is useful in
particular in many Kalman filter applications.
4. Solution of the State Equations.
(i) Step size of integration is fixed or variable,
(ii) Numerical technique and its order of accuracy,
(iii) Transition matrix and order of terms used in
evaluating it.
It turns out that generally no two solutions agree
exactly perhaps due to such above deterministic
differences or due to the random number
sequences in the generation of simulated data.
5. Additional Features.
At times the measured quantities themselves are
used (as a control input) in the state equations as it
can be happen in many estimation studies. Hence it
is desirable to specify the details regarding the way
the input has been interpolated and used in the
integration of the state equations.
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6. Data Sets for Processing (with units)
(i) Simulated measurement data sets: It is preferable to
state the details of the random number generation,
and necessarily the number of measurement
channels, the time interval between measurements
the number of data points, their accuracy, and the
total number of data sets. The character of the
process noise such as white or colored and the
parameters in them may be assumed or estimated.
(ii) Real data Sets: It is good to explicitly state if
preprocessing has been carried out for removing
the outliers and any undesirable frequency cut off
done or not.
(iii) The atmospheric conditions (if necessary): This
may correspond to the particular day, any
reference, or standard atmospheres. Further note if
any turbulent conditions encountered during flight
tests? Since turbulence corresponds to process
noise it is good to know if the magnitude has been
large or small to decide if MMLE, KF or its
variants without process noise or with process
noise treatment has to be adopted.
7. Assumptions regarding the unknown parameters
including the initial states in the state and equations
and also about the noise statistics. These could be
assumed, fixed or updated due to the following.
The above is typical and based on the
understanding of the systematic and random errors
by the analyst who models 18the equations for
kinematic compatibility check '19. The results of
the analysis for the unknown initial conditions, the
bias and the scale factors may dictate even the
structures to be modified. Generally it is advisable
to leave the initial conditions as unknown to be
determine by estimation, but among the bias and
the scale factors it is preferable to drop the ones
which have little effect on the kinematics. This can
be inferred based on the large value of their CRBs
or the correlation among themselves close to ± 1. If
the correlation among two or more is around ±0.9
then one or two of them can be dropped. This
simplifies the model while retaining the accuracy.
Thus compatibility check models depend on the
accuracies of the instrumentation set up specific to
each flight test data set as well the vehicle.
8. In studies involving Kalman filter or its variants
it is highly desirable to state clearly the
assumptions regarding filter tuning parameters
namely the initial state noise covariance and the
measurement noise covariances P0 , Q and R
such as diagonal or not, constant or varying
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
Kalman gain20, and additionally sliding gain21, if
any.
9. Optimization Techniques used such as Newton
Raphson (NR), DFP, Conjugate Gradient, BFGS,
Stochastic Approximation, Simulated Annealing,
Genetic Algorithm, Controlled Random Search, or
any other.
Each optimisation technique needs initial choice,
termination criteria and its own tunable parameters,
such as step sizes, number of iterations allowed and so
on. In fact before concluding if a certain technique
works or not it is necessary to ensure that its tunable
parameters are about the best for the problem. For
example the gradients in NR may be based on
analytical or numerical differentiation.
10. Sequence of steps in a pass through the data or
multiple passes.
11. Computations.
Computer : Mainframe or PC
Word size : Number of bits
Language : FORTRAN, C, C++
Broadly the Main Program + Subprograms +
Number of lines of the code could also be
provided.
12. Estimation Results.
(i) Graphical comparison of the match of model
prediction with the measurements.
(ii) Statistics of the estimates for the unknown
parameters and noise statistics and their Cramer-
Rao bounds. For simulated data the variation of
(a) True-Measured
(b) True-Filtered estimates and
(c) True-Smoothed estimates
can be provided.
(iii) Plot of the innovation along with its covariance.
(iv) Correlation coefficient matrix of the estimated
unknowns.
(v) Variation of the cost function J, or other cost
such as S across the iterations or passes through
the data that is being processed.
(vi) It is not easy to follow all the details during the
intermediate steps of the algorithm. Hence the
history of the variation of the trace of the noise
statistics, and all the unknown parameters 0
through the iterations could be provided.
(vii) Any preliminary, estimate wind tunnel or earlier
flight test results available for comparison?
7
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All the above steps should be such that somebody else
should be able to repeat, compare and check for
statistical compatibility of the results.
13. Special remarks for being a Test Case. Perhaps
considered by many in the field. Interesting due to
some dynamical features such as instability,
chaotic, or other characteristics.
The above features can be specified in a compact form
as shown in Table B. The above does not consider
estimation through neural network or fuzzy logic
approaches. But their results can be presented with their
special features.
Finally it is urged that with the availability of present
day computing hardware and software languages
Graphical User Interface be built into many programs
that are developed to make it more user-friendly,
reliable to make changes in the inputs, and help analyse
a large number of cases of a given problem, or many
different problems rapidly and reliably thus providing
an insight22.
CONCLUSIONS
As in fields like optimisation and CFD it is urged that
Estimation Theory should evolve test cases to assess
algorithms and approaches. Based on an appreciation
of the ET as having more subjectivity to be introduced
than in CFD it is urged that more information than is
generally provided in present day publications be made
available. It is stressed that in particular the cost
function that is minimised be provided at the end of
processing the measurement data after every filter pass.
Also other cost functions found useful in specific
problems shown be given. Further other useful
comparisons of the measurement data with the
estimates are suggested both for simulated as well as
real flight test data. Finally following this a proposal
about the way the problem, its analysis, intermediate,
and the final results could in general be presented is
proposed as a precursor to help evolve test cases.
(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.
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1. Fisher, R.A., On the Mathematical Formulations of
Theoretical Statistics. Phil. Trans. Royal Society
London, Vol. 222, pp. 309-368. (1922).
2. Kalman, R.E., A New Approach to Linear Filtering
and Prediction Problems. Transactions of the
American Society of Mechanical Engineers. Series
D, Journal of Basic Engineering, Vol 82, pp 35-45.
(1960).
3. Eykhoff, P., System Identification: Parameter and
State Estimation . John Wiley and Sons. (1974).
4. Maybeck, P.S., Stochastic Models, Estimation, and
Control. Academic Press, Inc. Vol 1 (1979) and
Vol 2 (1982).
5. Brown, R. G., and Hwang, P.Y.C., Introduction to
Random Signals and Applied Kalman Filtering
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(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.

TABLE A. MAJOR DIFFERENCES BETWEEN SIMULATED AND REAL FLIGHT TEST

DATA ANALYSIS OF AEROSPACE VEHICLES

No Characteristics Simulated Data Real Flight Test Data

1. All types of modelling errors in Can be systematically Has to be modeled as best as

system and measurement. studied. possible.
2. Controlled experimentation to Possible Not easy
understand the effect of above.

3. Initial flight conditions The trim conditions can Generally not perfectly trimmed.
be specified Have to be determined from the
algorithm.

4. Flight conditions Can be simulated Difficult to handle in part due to

changing density, gravity,
geopotential or geometrical altitude.

5. Preprocessing of flight data to Not necessary Necessary and important.

remove wild points, bias and
scale factors and unwanted
frequency content in data.
6. Transfer of the measurements to
center of gravity location
Difficult if scale and bias are of same
order as the random error.
Not necessary Necessary and quite important

7. Thrust Can be specified Not accurate due to difficult engine

accurately modeling and propulsive efficiency.

8. Thrust misalignments Can be specified Have to be estimated

9. Aerodynamic derivatives Can be specified Have to be estimated

10. Measurement noise Can be specified Have to be estimated

11. Atmospheric temperature, Taken as some standard Based on meteorological

density and wind conditions or reference atmospheric measurements or a suitable
condition atmosphere.

12. Matching of model output and Best possible Due to unmodelable feature good
measurement. match may not be possible.

13. Consistency through ideal auto Statistically acceptable Due to unmodelable feature a good
correlation and power spectral situation exists. statistical match may not be possible.
density of the innovations.
14. In a nutshell Helps obtain insight. Throws up newer problems

American Institute of Aeronautics and Astronautics

(c)2001 American Institute of Aeronautics & Astronautics or Published with Permission of Author(s) and/or Author(s)' Sponsoring Organization.

TABLE B. A COMPACT DESCRIPTION OF A TYPICAL PROBLEM

IN ESTIMATION THEORY.

PROBLEM TITLE

1. Author, Organization
and address

2. Real World Models for the

problem

3. Filter World Models for the

problem

4. Solution of the State

Equations

5. Additional Features in
solving the state equations

6. Data set and their

description

7. Assumptions regarding
unknown parameters or
noise statistics

8. In Kalman filter or its

variants the covariances P0 ,
Q and R
9. Optimization Technique
used

10. Sequence of steps

11. Computations

12. Estimation Results

13 Special Remarks to be a
Test Case

10
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