Algorithm for Performance Analysis of the IMM Algorithm

作者：Seah Chze Eng^*; Hwang Inseok

来源：IEEE Transactions on Aerospace and Electronic Systems, 2011, 47(2): 1114-1124.

DOI：10.1109/taes.2011.5751246

The interacting multiple model (IMM) algorithm has been used in many applications. However, performance analysis of the IMM algorithm is difficult because it uses a set of Kalman filters that are coupled with each other. We present an algorithm to compute the means and cross-covariances of the residuals and state estimation errors of these Kalman filters. Specifically, we derive the cross-covariances, each of which is the covariance of the residuals of two Kalman filters, to account for the mutual interactions. From the means and cross-covariance terms, we then compute the means of the likelihood functions and the mean-squared estimation errors as performance measures of the IMM algorithm.

• 出版日期2011-4