2018 21st International Conference on Information Fusion (FUSION) 2018
DOI: 10.23919/icif.2018.8454982
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Weak in the NEES?: Auto-Tuning Kalman Filters with Bayesian Optimization

Abstract: Kalman filters are routinely used for many data fusion applications including navigation, tracking, and simultaneous localization and mapping problems. However, significant time and effort is frequently required to tune various Kalman filter model parameters, e.g. process noise covariance, pre-whitening filter models for non-white noise, etc. Conventional optimization techniques for tuning can get stuck in poor local minima and can be expensive to implement with real sensor data. To address these issues, a new… Show more

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Cited by 62 publications
(41 citation statements)
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“…Another state uncertainty metric that additionally measures whether an estimated object state is consistent with the tracker's estimate of its own Gaussian state uncertainty is the Normalized Estimation Error Squared (NEES, see Ref. [92]).…”
Section: Test Criteria and Metricsmentioning
confidence: 99%
“…Another state uncertainty metric that additionally measures whether an estimated object state is consistent with the tracker's estimate of its own Gaussian state uncertainty is the Normalized Estimation Error Squared (NEES, see Ref. [92]).…”
Section: Test Criteria and Metricsmentioning
confidence: 99%
“…As seen in Figure 1, there are three sensory conflict signals (e a , e f , e ω ), each of which is three-dimensional and vary in units. To combine these disparate, multi-dimensional signals into a single, useful metric of sensory conflict for each hypothesis, we use a statistic from adaptive estimation theory called Normalized Innovation Squared (NIS) (Bar-Shalom et al, 2001;Chen et al, 2018):…”
Section: Computational Implementationmentioning
confidence: 99%
“…Secondly, we consider the uncertainties associated with the forecasts by assessing the NEES, which is a popular method in the field of signal processing and tracking [23] and recently applied to epidemiological forecasts in [6], to determine if the estimated variance of forecasts from an algorithm differs from the true variance. If the variance is larger than the true variance, then the algorithm is over-cautious, and if the estimated variance is smaller than the true variance, it is over-confident.…”
Section: Computational Experimentsmentioning
confidence: 99%