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Avoiding numerical stability problems of long duration DGPS/INS Kalman filters


A current pursuit of the geodetic community is the optimal integration of differential GPS (DGPS) and inertial navigation system (INS) data streams for precise and efficient position and gravity vector surveying. Therein a complete INS and multiple-antenna GPS receiver payload, mounted on a moving platform, is used in conjunction with a network of ground-fixed single antenna GPS receivers. This paper presents a complete, GPS-based, external updating measurement model for the applicable Kalman filter. The model utilizes four external observation types for every GPS satellite in-view: DGPS range differences, single phase differences, and single phase-rate differences; as well as the mobile, multipleantenna GPS receiver's measurement of theerrors in the INS's estimate of the phase difference between any two vehicle-borne GPS antennae. Although not widely conveyed in the geodetic world, the inertial navigation community has long known that traditional Kalman filter covariance propagation recurrences are inherently unstable when such highly accurate external updates are repeatedly applied (every 1 second) over long time durations. A hybrid square root covariance/U — D covariance factorization approach is a numerically stable alternative and is reviewed herein. The hybrid makeup of the algorithm is necessitated by the correlated nature of the fourth type of GPS external measurement listed above (each vehicle-borne GPS antenna formstwo baselines). Such measurement correlations require a functional transformation of the overall external updating model to permit the multiple updates (simultaneously available at each updating epoch) to be sequentially (and efficiently) processed. An appropriate transformation is given. Stable covariance propagation relationships are presented and the transformed Kalman gain is also furnished and its use in the determination of the externally updated error states is discussed. Specific DGPS/INS instabilities produced by the traditional recurrences are displayed. The stable alternative method requires about 25% more CPU time than the traditional Kalman recurrences. With the ever-increasing computational speeds of microprocessors, this added CPU time is of no real concern.

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Gleason, D.M. Avoiding numerical stability problems of long duration DGPS/INS Kalman filters. Journal of Geodesy 70, 263–275 (1996).

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  • Kalman Filter
  • Inertial Navigation System
  • Covariance Propagation
  • DGPS
  • Kalman Gain