Improving Real-Time Position Estimation Using Correlated Noise Models.

We provide algorithms for inferring GPS (Global Positioning System) location and for quantifying the uncertainty of this estimate in real time. The algorithms are tested on GPS data from locations in the Southern Hemisphere at four significantly different latitudes. In order to rank the algorithms, we use the so-called log-score rule. The best algorithm uses an Ornstein-Uhlenbeck (OU) noise model and is built on an enhanced Kalman Filter (KF). The noise model is capable of capturing the observed autocorrelated process noise in the altitude, latitude and longitude recordings. This model outperforms a KF that assumes a Gaussian noise model, which under-reports the position uncertainties. We also found that the dilution-of-precision parameters, automatically reported by the GPS receiver at no additional cost, do not help significantly in the uncertainty quantification of the GPS positioning. A non-learning method using the actual position measurements and employing a constant uncertainty does not even converge to the correct position. Inference with the enhanced noise model is suitable for embedded computing and capable of achieving real-time position inference, can quantify uncertainty and be extended to incorporate complementary sensor recordings, e.g., from an accelerometer or from a magnetometer, in order to improve accuracy. The algorithm corresponding to the augmented-state unscented KF method suggests a computational cost of O(dx2dt), where dx is the dimension of the augmented state-vector and dt is an adjustable, design-dependent parameter corresponding to the length of "past values" one wishes to keep for re-evaluation of the model from time to time. The provided algorithm assumes dt=1. Hence, the algorithm is likely to be suitable for sensor fusion applications.

Comparison of Enhanced Noise Model Performance Based on Analysis of Civilian GPS Data.

We recorded the time series of location data from stationary, single-frequency (L1) GPS positioning systems at a variety of geographic locations. The empirical autocorrelation function of these data shows significant temporal correlations. The Gaussian white noise model, widely used in sensor-fusion algorithms, does not account for the observed autocorrelations and has an artificially large variance. Noise-model analysis-using Akaike's Information Criterion-favours alternative models, such as an Ornstein-Uhlenbeck or an autoregressive process. We suggest that incorporating a suitable enhanced noise model into applications (e.g., Kalman Filters) that rely on GPS position estimates will improve performance. This provides an alternative to explicitly modelling possible sources of correlation (e.g., multipath, shadowing, or other second-order physical phenomena).