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All sourcesNASA NTRSDOE OSTI
NASA NTRS2005

Generic Kalman Filter Software

The Generic Kalman Filter (GKF) software provides a standard basis for the development of application-specific Kalman-filter programs. Historically, Kalman filters have been implemented by customized programs that must be written, coded, and debugged anew for each unique application, then tested and tuned with simulated or actual measurement data. Total development times for typical Kalman-filter application programs have ranged from months to weeks. The GKF software can simplify the development process and reduce the development time by eliminating the need to re-create the fundamental implementation of the Kalman filter for each new application. The GKF software is written in the ANSI C programming language. It contains a generic Kalman-filter-development directory that, in turn, contains a code for a generic Kalman filter function; more specifically, it contains a generically designed and generically coded implementation of linear, linearized, and extended Kalman filtering algorithms, including algorithms for state- and covariance-update and -propagation functions. The mathematical theory that underlies the algorithms is well known and has been reported extensively in the open technical literature. Also contained in the directory are a header file that defines generic Kalman-filter data structures and prototype functions and template versions of application-specific subfunction and calling navigation/estimation routine code and headers. Once the user has provided a calling routine and the required application-specific subfunctions, the application-specific Kalman-filter software can be compiled and executed immediately. During execution, the generic Kalman-filter function is called from a higher-level navigation or estimation routine that preprocesses measurement data and post-processes output data. The generic Kalman-filter function uses the aforementioned data structures and five implementation- specific subfunctions, which have been developed by the user on the basis of the aforementioned templates. The GKF software can be used to develop many different types of unfactorized Kalman filters. A developer can choose to implement either a linearized or an extended Kalman filter algorithm, without having to modify the GKF software. Control dynamics can be taken into account or neglected in the filter-dynamics model. Filter programs developed by use of the GKF software can be made to propagate equations of motion for linear or nonlinear dynamical systems that are deterministic or stochastic. In addition, filter programs can be made to operate in user-selectable "covariance analysis" and "propagation-only" modes that are useful in design and development stages.

Lisano, Michael E., II↗
NASA NTRS2023

Extended Kalman Filter Performance on the Artemis-1 Mission

The Artemis Program is NASA’s campaign to explore the Moon and beyond. Artemis-1, the uncrewed exoLEO test flight of the Orion spacecraft, was completed in 2022. There were four navigation Extended Kalman Filters (EKFs) that are part of the Orion navigation system. The Atmospheric Extended Kalman Filter (ATMEKF) estimates the vehicle position, velocity, and attitude (referred to as the vehicle state) during the ascent and entry phases of flight. Once Orion is outside of Earths atmosphere, the Earth Orbit Extended Kalman Filter (EOEKF) and CisLunar Extended Kalman Filter (CLEKF) estimate the translational states, depending on the phase of flight, while the Attitude Extended Kalman Filter (ATTEKF) estimates the rotational state of the vehicle. The Kalman filters propagate the vehicle state forward in time using a combination of dynamics models and the output data from the Inertial Measurement Unit (IMU). The filters update the vehicle states and associated uncertainties, in the form of the covariance matrix, using pseudorange measurements from GPS (in ATMEKF/EOEKF), optical navigation measurements of the Earth or Moon (in CLEKF), and star tracker measurements (in ATTEKF). Simultaneously, the Kalman filters estimate error sources in the sensors, which are included in the state vectors as Exponentially Correlated Random Variables (ECRVs). This paper will summarize the performance of these filters during the Artemis-1 mission.

Artemis-1↗
NASA NTRS2008

Reduced-Order Kalman Filtering for Processing Relative Measurements

A study in Kalman-filter theory has led to a method of processing relative measurements to estimate the current state of a physical system, using less computation than has previously been thought necessary. As used here, relative measurements signifies measurements that yield information on the relationship between a later and an earlier state of the system. An important example of relative measurements arises in computer vision: Information on relative motion is extracted by comparing images taken at two different times. Relative measurements do not directly fit into standard Kalman filter theory, in which measurements are restricted to those indicative of only the current state of the system. One approach heretofore followed in utilizing relative measurements in Kalman filtering, denoted state augmentation, involves augmenting the state of the system at the earlier of two time instants and then propagating the state to the later time instant.While state augmentation is conceptually simple, it can also be computationally prohibitive because it doubles the number of states in the Kalman filter. When processing a relative measurement, if one were to follow the state-augmentation approach as practiced heretofore, one would find it necessary to propagate the full augmented state Kalman filter from the earlier time to the later time and then select out the reduced-order components. The main result of the study reported here is proof of a property called reduced-order equivalence (ROE). The main consequence of ROE is that it is not necessary to augment with the full state, but, rather, only the portion of the state that is explicitly used in the partial relative measurement. In other words, it suffices to select the reduced-order components first and then propagate the partial augmented state Kalman filter from the earlier time to the later time; the amount of computation needed to do this can be substantially less than that needed for propagating the full augmented Kalman state filter.

Bayard, David S.↗
NASA NTRS1972

The compensated Kalman filter.

This paper introduces the compensated Kalman filter, a suboptimal state estimator which can be used to eliminate steady-state bias errors when it is used in conjunction with the mismatched steady-state (asymptotic) time-invariant Kalman-Bucy filter. The uncompensated mismatched steady state Kalman-Bucy filter exhibits bias errors whenever the nominal plant parameters used in the filter design are different from the actual plant parameters. The approach used relies on the utilization of the residual (innovations) process of the mismatched filter to estimate, via a Kalman-Bucy filter, the state estimation errors and subsequent improvements of the state estimate. The compensated Kalman filter augments the mismatched steady state Kalman-Bucy filrby the introduction of additional dynamics and feedforward integral compensation channels.

Athans, M.↗
NASA NTRS1993

Multirate and event-driven Kalman filters for helicopter flight

A vision-based obstacle detection system that provides information about objects as a function of azimuth and elevation is discussed. The range map is computed using a sequence of images from a passive sensor, and an extended Kalman filter is used to estimate range to obstacles. The magnitude of the optical flow that provides measurements for each Kalman filter varies significantly over the image depending on the helicopter motion and object location. In a standard Kalman filter, the measurement update takes place at fixed intervals. It may be necessary to use a different measurement update rate in different parts of the image in order to maintain the same signal to noise ratio in the optical flow calculations. A range estimation scheme that accepts the measurement only under certain conditions is presented. The estimation results from the standard Kalman filter are compared with results from a multirate Kalman filter and an event-driven Kalman filter for a sequence of helicopter flight images.

Sridhar, Banavar↗
NASA NTRS2003

Kalman Filtering with Inequality Constraints for Turbofan Engine Health Estimation

Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops two analytic methods of incorporating state variable inequality constraints in the Kalman filter. The first method is a general technique of using hard constraints to enforce inequalities on the state variable estimates. The resultant filter is a combination of a standard Kalman filter and a quadratic programming problem. The second method uses soft constraints to estimate state variables that are known to vary slowly with time. (Soft constraints are constraints that are required to be approximately satisfied rather than exactly satisfied.) The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is proven theoretically and shown via simulation results. The use of the algorithm is demonstrated on a linearized simulation of a turbofan engine to estimate health parameters. The turbofan engine model contains 16 state variables, 12 measurements, and 8 component health parameters. It is shown that the new algorithms provide improved performance in this example over unconstrained Kalman filtering.

Simon, Dan↗
NASA NTRS2003

Aircraft Turbofan Engine Health Estimation Using Constrained Kalman Filtering

Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops an analytic method of incorporating state variable inequality constraints in the Kalman filter. The resultant filter is a combination of a standard Kalman filter and a quadratic programming problem. The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is proven theoretically and shown via simulation results obtained from application to a turbofan engine model. This model contains 16 state variables, 12 measurements, and 8 component health parameters. It is shown that the new algorithms provide improved performance in this example over unconstrained Kalman filtering.

Simon, Dan↗
NASA NTRS2006

Constrained Kalman Filtering Via Density Function Truncation for Turbofan Engine Health Estimation

Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops an analytic method of incorporating state variable inequality constraints in the Kalman filter. The resultant filter truncates the PDF (probability density function) of the Kalman filter estimate at the known constraints and then computes the constrained filter estimate as the mean of the truncated PDF. The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is demonstrated via simulation results obtained from a turbofan engine model. The turbofan engine model contains 3 state variables, 11 measurements, and 10 component health parameters. It is also shown that the truncated Kalman filter may be a more accurate way of incorporating inequality constraints than other constrained filters (e.g., the projection approach to constrained filtering).

Simon, Dan↗
NASA NTRS2006

Hybrid Kalman Filter: A New Approach for Aircraft Engine In-Flight Diagnostics

In this paper, a uniquely structured Kalman filter is developed for its application to in-flight diagnostics of aircraft gas turbine engines. The Kalman filter is a hybrid of a nonlinear on-board engine model (OBEM) and piecewise linear models. The utilization of the nonlinear OBEM allows the reference health baseline of the in-flight diagnostic system to be updated to the degraded health condition of the engines through a relatively simple process. Through this health baseline update, the effectiveness of the in-flight diagnostic algorithm can be maintained as the health of the engine degrades over time. Another significant aspect of the hybrid Kalman filter methodology is its capability to take advantage of conventional linear and nonlinear Kalman filter approaches. Based on the hybrid Kalman filter, an in-flight fault detection system is developed, and its diagnostic capability is evaluated in a simulation environment. Through the evaluation, the suitability of the hybrid Kalman filter technique for aircraft engine in-flight diagnostics is demonstrated.

Kobayashi, Takahisa↗
NASA NTRS2006

Real-Time Diagnosis of Faults Using a Bank of Kalman Filters

A new robust method of automated real-time diagnosis of faults in an aircraft engine or a similar complex system involves the use of a bank of Kalman filters. In order to be highly reliable, a diagnostic system must be designed to account for the numerous failure conditions that an aircraft engine may encounter in operation. The method achieves this objective though the utilization of multiple Kalman filters, each of which is uniquely designed based on a specific failure hypothesis. A fault-detection-and-isolation (FDI) system, developed based on this method, is able to isolate faults in sensors and actuators while detecting component faults (abrupt degradation in engine component performance). By affording a capability for real-time identification of minor faults before they grow into major ones, the method promises to enhance safety and reduce operating costs. The robustness of this method is further enhanced by incorporating information regarding the aging condition of an engine. In general, real-time fault diagnostic methods use the nominal performance of a "healthy" new engine as a reference condition in the diagnostic process. Such an approach does not account for gradual changes in performance associated with aging of an otherwise healthy engine. By incorporating information on gradual, aging-related changes, the new method makes it possible to retain at least some of the sensitivity and accuracy needed to detect incipient faults while preventing false alarms that could result from erroneous interpretation of symptoms of aging as symptoms of failures. The figure schematically depicts an FDI system according to the new method. The FDI system is integrated with an engine, from which it accepts two sets of input signals: sensor readings and actuator commands. Two main parts of the FDI system are a bank of Kalman filters and a subsystem that implements FDI decision rules. Each Kalman filter is designed to detect a specific sensor or actuator fault. When a sensor or actuator fault occurs, large estimation errors are generated by all filters except the one using the correct hypothesis. By monitoring the residual output of each filter, the specific fault that has occurred can be detected and isolated on the basis of the decision rules. A set of parameters that indicate the performance of the engine components is estimated by the "correct" Kalman filter for use in detecting component faults. To reduce the loss of diagnostic accuracy and sensitivity in the face of aging, the FDI system accepts information from a steady-state-condition-monitoring system. This information is used to update the Kalman filters and a data bank of trim values representative of the current aging condition.

Kobayashi, Takahisa↗
NASA NTRS2011

Optimal Tuner Selection for Kalman-Filter-Based Aircraft Engine Performance Estimation

An emerging approach in the field of aircraft engine controls and system health management is the inclusion of real-time, onboard models for the inflight estimation of engine performance variations. This technology, typically based on Kalman-filter concepts, enables the estimation of unmeasured engine performance parameters that can be directly utilized by controls, prognostics, and health-management applications. A challenge that complicates this practice is the fact that an aircraft engine s performance is affected by its level of degradation, generally described in terms of unmeasurable health parameters such as efficiencies and flow capacities related to each major engine module. Through Kalman-filter-based estimation techniques, the level of engine performance degradation can be estimated, given that there are at least as many sensors as health parameters to be estimated. However, in an aircraft engine, the number of sensors available is typically less than the number of health parameters, presenting an under-determined estimation problem. A common approach to address this shortcoming is to estimate a subset of the health parameters, referred to as model tuning parameters. The problem/objective is to optimally select the model tuning parameters to minimize Kalman-filterbased estimation error. A tuner selection technique has been developed that specifically addresses the under-determined estimation problem, where there are more unknown parameters than available sensor measurements. A systematic approach is applied to produce a model tuning parameter vector of appropriate dimension to enable estimation by a Kalman filter, while minimizing the estimation error in the parameters of interest. Tuning parameter selection is performed using a multi-variable iterative search routine that seeks to minimize the theoretical mean-squared estimation error of the Kalman filter. This approach can significantly reduce the error in onboard aircraft engine parameter estimation applications such as model-based diagnostic, controls, and life usage calculations. The advantage of the innovation is the significant reduction in estimation errors that it can provide relative to the conventional approach of selecting a subset of health parameters to serve as the model tuning parameter vector. Because this technique needs only to be performed during the system design process, it places no additional computation burden on the onboard Kalman filter implementation. The technique has been developed for aircraft engine onboard estimation applications, as this application typically presents an under-determined estimation problem. However, this generic technique could be applied to other industries using gas turbine engine technology.

Simon, Donald L.↗
NASA NTRS2020

Analytical Redundancy Using Kalman Filters for Rocket Engine Sensor Validation

The use of sensor redundancy is crucial in aerospace systems to maintain safe, reliable operation. While hardware redundancy is more common in application, analytical redundancy can provide a viable alternative in systems where the installation of multiple redundant sensors is not viable. To this end, the use of Kalman filters to analytically validate sensor measurements within rocket engines was explored. First, a dynamic model of the RS 25 engine, a derivative of the Space Shuttle Main Engine (SSME), was reduced to a subset of relations, focused around the main combustion chamber pressure. These relations were used within the Kalman filter algorithm to generate an estimate of sensor measurements to be compared with true measurements for data validation purposes. By using a bank of Kalman filters, the residuals between the estimated and true measurements were used to detect and isolate sensor faults. Through fault simulations, the sensor validation performance of this Kalman filter bank design was compared to a hardware redundancy check. Sensor bias and drift faults of various magnitudes were injected into nominal RS 25 engine test data. Results for both approaches show comparable fault detection with most bias faults found nearly instantaneously by both algorithms. Drift fault detection results show certain cases where one algorithm is faster than the other. The key advantage of the Kalman filter algorithm is shown in fault isolation performance where it can isolate faults between two redundant sensors while the hardware redundancy comparisons cannot.

sensors↗
NASA NTRS1975

A Kalman filter for the Stoland system

A simple Kalman filter for potential use in STOL navigation systems is described. The mathematical formulation of all the elements of the filter, its initialization and overall operation are presented. Simulation results show that a typical approach flight to landing, the Kalman filter has much smaller errors during navigation on TACAN data and during transition from TACAN to MODILS data than a complementary filter. Summary type flow charts of the Kalman filter logic designed for the Sperry 1819A computer are presented. Also, the memory and real time requirements of the Kalman filter and complementary filter are described. The Kalman filter is shown to gain its superior performance at the expense of real time and memory required in the onboard computer.

Schmidt, S. F.↗
NASA NTRS1980

Reduced-order Kalman filtering with incomplete observability

Kalman filtering is considered with reference to linear stochastic dynamic systems without complete observability. It is shown that the canonical decomposition theorem can be extended to the stochastic case and the matrix Riccati equation of the Kalman filter is order-reducible if some states are not observable. The inclusion of unobservable states in Kalman filtering makes the unobservable states 'asymptotically' observable in the filter if these unobservable states are dynamically connected to observable states and asymptotically stable. The reduced-order Kalman filter saves computation time when compared to the conventional Kalman filter.

Yonezawa, K.↗
NASA NTRS1985

Discovery of the Kalman filter as a practical tool for aerospace and industry

The sequence of events which led the researchers at Ames Research Center to the early discovery of the Kalman filter shortly after its introduction into the literature is recounted. The scientific breakthroughs and reformulations that were necessary to transform Kalman's work into a useful tool for a specific aerospace application are described. The resulting extended Kalman filter, as it is now known, is often still referred to simply as the Kalman filter. As the filter's use gained in popularity in the scientific community, the problems of implementation on small spaceborne and airborne computers led to a square-root formulation of the filter to overcome numerical difficulties associated with computer word length. The work that led to this new formulation is also discussed, including the first airborne computer implementation and flight test. Since then the applications of the extended and square-root formulations of the Kalman filter have grown rapidly throughout the aerospace industry.

Mcgee, L. A.↗
NASA NTRS1988

An analysis of the Kalman filter in the Gamma Ray Observatory (GRO) onboard attitude determination subsystem

The Gamma Ray Observatory (GRO) spacecraft needs a highly accurate attitude knowledge to achieve its mission objectives. Utilizing the fixed-head star trackers (FHSTs) for observations and gyroscopes for attitude propagation, the discrete Kalman Filter processes the attitude data to obtain an onboard accuracy of 86 arc seconds (3 sigma). A combination of linear analysis and simulations using the GRO Software Simulator (GROSS) are employed to investigate the Kalman filter for stability and the effects of corrupted observations (misalignment, noise), incomplete dynamic modeling, and nonlinear errors on Kalman filter. In the simulations, on-board attitude is compared with true attitude, the sensitivity of attitude error to model errors is graphed, and a statistical analysis is performed on the residuals of the Kalman Filter. In this paper, the modeling and sensor errors that degrade the Kalman filter solution beyond mission requirements are studied, and methods are offered to identify the source of these errors.

Snow, Frank↗
NASA NTRS1989

Stable Kalman filters for processing clock measurement data

Kalman filters have been used for some time to process clock measurement data. Due to instabilities in the standard Kalman filter algorithms, the results have been unreliable and difficult to obtain. During the past several years, stable forms of the Kalman filter have been developed, implemented, and used in many diverse applications. These algorithms, while algebraically equivalent to the standard Kalman filter, exhibit excellent numerical properties. Two of these stable algorithms, the Upper triangular-Diagonal (UD) filter and the Square Root Information Filter (SRIF), have been implemented to replace the standard Kalman filter used to process data from the Deep Space Network (DSN) hydrogen maser clocks. The data are time offsets between the clocks in the DSN, the timescale at the National Institute of Standards and Technology (NIST), and two geographically intermediate clocks. The measurements are made by using the GPS navigation satellites in mutual view between clocks. The filter programs allow the user to easily modify the clock models, the GPS satellite dependent biases, and the random noise levels in order to compare different modeling assumptions. The results of this study show the usefulness of such software for processing clock data. The UD filter is indeed a stable, efficient, and flexible method for obtaining optimal estimates of clock offsets, offset rates, and drift rates. A brief overview of the UD filter is also given.

Clements, P. A.↗
NASA NTRS2004

Evaluation of an Enhanced Bank of Kalman Filters for In-Flight Aircraft Engine Sensor Fault Diagnostics

In this paper, an approach for in-flight fault detection and isolation (FDI) of aircraft engine sensors based on a bank of Kalman filters is developed. This approach utilizes multiple Kalman filters, each of which is designed based on a specific fault hypothesis. When the propulsion system experiences a fault, only one Kalman filter with the correct hypothesis is able to maintain the nominal estimation performance. Based on this knowledge, the isolation of faults is achieved. Since the propulsion system may experience component and actuator faults as well, a sensor FDI system must be robust in terms of avoiding misclassifications of any anomalies. The proposed approach utilizes a bank of (m+1) Kalman filters where m is the number of sensors being monitored. One Kalman filter is used for the detection of component and actuator faults while each of the other m filters detects a fault in a specific sensor. With this setup, the overall robustness of the sensor FDI system to anomalies is enhanced. Moreover, numerous component fault events can be accounted for by the FDI system. The sensor FDI system is applied to a commercial aircraft engine simulation, and its performance is evaluated at multiple power settings at a cruise operating point using various fault scenarios.

Kobayashi, Takahisa↗