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The paper considers the problem of algorithmic differentiation of information matrix difference equations for calculating the information matrix derivatives in the information Kalman filter. The equations are presented in the form of a matrix MWGS (modified weighted Gram–Schmidt) transformation. The solution is based on the usage of special methods for the algorithmic differentiation of matrix MWGS transformation of two types: forward (MWGS-LD) and backward (MWGS-UD). The main result of the work is a new MWGS-based array algorithm for computing the information matrix sensitivity equations. The algorithm is robust to machine round-off errors due to the application of the MWGS orthogonalization procedure at each step. The obtained results are applied to solve the problem of parameter identification for state-space models of discrete-time linear stochastic systems. Numerical experiments confirm the efficiency of the proposed solution. Full article

This paper evaluates the performance of an integrity monitoring algorithm of global navigation satellite systems (GNSS) for the Kalman filter (KF), termed KF receiver autonomous integrity monitoring (RAIM). The algorithm checks measurement inconsistencies in the range domain and requires Schmidt KF (SKF) as the navigation processor. First, realistic carrier-smoothed pseudorange measurement error models of GNSS are integrated into KF RAIM, overcoming an important limitation of prior work. More precisely, the error covariance matrix for fault detection is modified to capture the temporal variations of individual errors with different time constants. Uncertainties of the model parameters are also taken into account. Performance of the modified KF RAIM is then analyzed with the simulated signals of the global positioning system and navigation with Indian constellation for different phases of aircraft flight. Weighted least squares (WLS) RAIM used for comparison purposes is shown to have lower protection levels. This work, however, is important because KF-based integrity monitors are required to ensure the reliability of advanced navigation methods, such as multi-sensor integration and vector receivers. A key finding of the performance analyses is as follows. Innovation-based tests with an extended KF navigation processor confuse slow ramp faults with residual measurement errors that the filter estimates, leading to missed detection. RAIM with SKF, on the other hand, can successfully detect such faults. Thus, it offers a promising solution to developing KF integrity monitoring algorithms in the range domain. The modified KF RAIM completes processing in time on a low-end computer. Some salient features are also studied to gain insights into its working principles. Full article