Carl Friedrich Gauss | EPFL Graph Search

Johann Carl Friedrich Gauss (Gauß kaʁl ˈfʁiːdʁɪç ˈɡaʊs; Carolus Fridericus Gauss; 30 April 1777 23 February 1855) was a German mathematician, geodesist, and physicist who made significant contributions to many fields in mathematics and science. Gauss ranks among history's most influential mathematicians. Gauss was a child prodigy in mathematics, attended Collegium Carolinum, and, while studying at the University of Göttingen, made several important mathematical discoveries. At the age of 21, Gauss completed his magnum opus, Disquisitiones Arithmeticae. He was director of the astronomical observatory in Göttingen for nearly half a century, from 1807 until his death in 1855. Gauss published the second and third complete proofs of the fundamental theorem of algebra, made important contributions to number theory and developed the theories of binary and ternary quadratic forms. He is also credited with inventing the fast Fourier transform algorithm and was instrumental in the discove

Constrained expectation-maximization algorithm for stochastic inertial error modeling: study of feasibility

Stéphane Guerrier, Jan Skaloud, Yannick Stebler

Stochastic modeling is a challenging task for low-cost sensors whose errors can have complex spectral structures. This makes the tuning process of the INS/GNSS Kalman filter often sensitive and difficult. For example, first-order Gauss–Markov processes are very often used in inertial sensor models. But the estimation of their parameters is a non-trivial task if the error structure is mixed with other types of noises. Such an estimation is often attempted by computing and analyzing Allan variance plots. This contribution demonstrates solving situations when the estimation of error parameters by graphical interpretation is rather difficult. The novel strategy performs direct estimation of these parameters by means of the expectation-maximization (EM) algorithm. The algorithm results are first analyzed with a critical and practical point of view using simulations with typically encountered error signals. These simulations show that the EM algorithm seems to perform better than the Allan variance and offers a procedure to estimate first-order Gauss–Markov processes mixed with other types of noises. At the same time, the conducted tests revealed limits of this approach that are related to the convergence and stability issues. Suggestions are given to circumvent or mitigate these problems when complexity of error structure is 'reasonable'. This work also highlights the fact that the suggested approach via EM algorithm and the Allan variance may not be able to estimate the parameters of complex error models reasonably well and shows the need for new estimation procedures to be developed in this context. Finally, an empirical scenario is presented to support the former findings. There, the positive effect of using the more sophisticated EM-based error modeling on a filtered trajectory is highlighted.

Institute of Physics2011

Wavelet-variance-based estimation for composite stochastic processes

Stéphane Guerrier, Jan Skaloud, Yannick Stebler

This article presents a new estimation method for the parameters of a time series model. We consider here composite Gaussian processes that are the sum of independent Gaussian processes which, in turn, explain an important aspect of the time series, as is the case in engineering and natural sciences. The proposed estimation method offers an alternative to classical estimation based on the likelihood, that is straightforward to implement and often the only feasible estimation method with complex models. The estimator furnishes results as the optimization of a criterion based on a standardized distance between the sample wavelet variances (WV) estimates and the model-based WV. Indeed, the WV provides a decomposition of the variance process through different scales, so that they contain the information about different features of the stochastic model. We derive the asymptotic properties of the proposed estimator for inference and perform a simulation study to compare our estimator to the MLE and the LSE with different models. We also set sufficient conditions on composite models for our estimator to be consistent, that are easy to verify. We use the new estimator to estimate the stochastic error's parameters of the sum of three first order Gauss–Markov processes by means of a sample of over 800, 000 issued from gyroscopes that compose inertial navigation systems. Supplementary materials for this article are available online.

Amer Statistical Assoc2013

Constrained expectation-maximization algorithm for stochastic inertial error modeling: study of feasibility

Stéphane Guerrier, Jan Skaloud, Yannick Stebler

Institute of Physics2011