International Nuclear Information System (INIS)
Harlim, John; Mahdi, Adam; Majda, Andrew J.
2014-01-01
A central issue in contemporary science is the development of nonlinear data driven statistical–dynamical models for time series of noisy partial observations from nature or a complex model. It has been established recently that ad-hoc quadratic multi-level regression models can have finite-time blow-up of statistical solutions and/or pathological behavior of their invariant measure. Recently, a new class of physics constrained nonlinear regression models were developed to ameliorate this pathological behavior. Here a new finite ensemble Kalman filtering algorithm is developed for estimating the state, the linear and nonlinear model coefficients, the model and the observation noise covariances from available partial noisy observations of the state. Several stringent tests and applications of the method are developed here. In the most complex application, the perfect model has 57 degrees of freedom involving a zonal (east–west) jet, two topographic Rossby waves, and 54 nonlinearly interacting Rossby waves; the perfect model has significant non-Gaussian statistics in the zonal jet with blocked and unblocked regimes and a non-Gaussian skewed distribution due to interaction with the other 56 modes. We only observe the zonal jet contaminated by noise and apply the ensemble filter algorithm for estimation. Numerically, we find that a three dimensional nonlinear stochastic model with one level of memory mimics the statistical effect of the other 56 modes on the zonal jet in an accurate fashion, including the skew non-Gaussian distribution and autocorrelation decay. On the other hand, a similar stochastic model with zero memory levels fails to capture the crucial non-Gaussian behavior of the zonal jet from the perfect 57-mode model
Particle Kalman Filtering: A Nonlinear Framework for Ensemble Kalman Filters
Hoteit, Ibrahim
2010-09-19
Optimal nonlinear filtering consists of sequentially determining the conditional probability distribution functions (pdf) of the system state, given the information of the dynamical and measurement processes and the previous measurements. Once the pdfs are obtained, one can determine different estimates, for instance, the minimum variance estimate, or the maximum a posteriori estimate, of the system state. It can be shown that, many filters, including the Kalman filter (KF) and the particle filter (PF), can be derived based on this sequential Bayesian estimation framework. In this contribution, we present a Gaussian mixture‐based framework, called the particle Kalman filter (PKF), and discuss how the different EnKF methods can be derived as simplified variants of the PKF. We also discuss approaches to reducing the computational burden of the PKF in order to make it suitable for complex geosciences applications. We use the strongly nonlinear Lorenz‐96 model to illustrate the performance of the PKF.
Particle Kalman Filtering: A Nonlinear Framework for Ensemble Kalman Filters
Hoteit, Ibrahim; Luo, Xiaodong; Pham, Dinh-Tuan; Moroz, Irene M.
2010-01-01
In this contribution, we present a Gaussian mixture‐based framework, called the particle Kalman filter (PKF), and discuss how the different EnKF methods can be derived as simplified variants of the PKF. We also discuss approaches to reducing the computational burden of the PKF in order to make it suitable for complex geosciences applications. We use the strongly nonlinear Lorenz‐96 model to illustrate the performance of the PKF.
Nonlinear Kalman filtering in affine term structure models
DEFF Research Database (Denmark)
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris
2014-01-01
The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter...... with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, the unscented Kalman filter significantly outperforms its extended counterpart. The unscented Kalman filter also...... performs well when compared with the much more computationally intensive particle filter. These findings suggest that the unscented Kalman filter may be a good approach for a variety of problems in fixed-income pricing....
Model Predictive Control Based on Kalman Filter for Constrained Hammerstein-Wiener Systems
Directory of Open Access Journals (Sweden)
Man Hong
2013-01-01
Full Text Available To precisely track the reactor temperature in the entire working condition, the constrained Hammerstein-Wiener model describing nonlinear chemical processes such as in the continuous stirred tank reactor (CSTR is proposed. A predictive control algorithm based on the Kalman filter for constrained Hammerstein-Wiener systems is designed. An output feedback control law regarding the linear subsystem is derived by state observation. The size of reaction heat produced and its influence on the output are evaluated by the Kalman filter. The observation and evaluation results are calculated by the multistep predictive approach. Actual control variables are computed while considering the constraints of the optimal control problem in a finite horizon through the receding horizon. The simulation example of the CSTR tester shows the effectiveness and feasibility of the proposed algorithm.
Nonlinear Kalman Filtering in Affine Term Structure Models
DEFF Research Database (Denmark)
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris
When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi…ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze...... the potential of the unscented Kalman …filter to properly capture nonlinearities. To illustrate the advantages of the unscented Kalman …filter, we analyze the cross section of swap rates, which are relatively simple non-linear instruments, and cap prices, which are highly nonlinear in the states. An extensive...
Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*
Hoteit, Ibrahim
2012-02-01
This paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. The authors show that this filter is an algorithm in between the Kalman filter and the particle filter, and therefore is referred to as the particle Kalman filter (PKF). In the PKF, the solution of a nonlinear filtering problem is expressed as the weighted average of an “ensemble of Kalman filters” operating in parallel. Running an ensemble of Kalman filters is, however, computationally prohibitive for realistic atmospheric and oceanic data assimilation problems. For this reason, the authors consider the construction of the PKF through an “ensemble” of ensemble Kalman filters (EnKFs) instead, and call the implementation the particle EnKF (PEnKF). It is shown that different types of the EnKFs can be considered as special cases of the PEnKF. Similar to the situation in the particle filter, the authors also introduce a resampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.
Ensemble-based Kalman Filters in Strongly Nonlinear Dynamics
Institute of Scientific and Technical Information of China (English)
Zhaoxia PU; Joshua HACKER
2009-01-01
This study examines the effectiveness of ensemble Kalman filters in data assimilation with the strongly nonlinear dynamics of the Lorenz-63 model, and in particular their use in predicting the regime transition that occurs when the model jumps from one basin of attraction to the other. Four configurations of the ensemble-based Kalman filtering data assimilation techniques, including the ensemble Kalman filter, ensemble adjustment Kalman filter, ensemble square root filter and ensemble transform Kalman filter, are evaluated with their ability in predicting the regime transition (also called phase transition) and also are compared in terms of their sensitivity to both observational and sampling errors. The sensitivity of each ensemble-based filter to the size of the ensemble is also examined.
Nonlinear dynamical system identification using unscented Kalman filter
Rehman, M. Javvad ur; Dass, Sarat Chandra; Asirvadam, Vijanth Sagayan
2016-11-01
Kalman Filter is the most suitable choice for linear state space and Gaussian error distribution from decades. In general practical systems are not linear and Gaussian so these assumptions give inconsistent results. System Identification for nonlinear dynamical systems is a difficult task to perform. Usually, Extended Kalman Filter (EKF) is used to deal with non-linearity in which Jacobian method is used for linearizing the system dynamics, But it has been observed that in highly non-linear environment performance of EKF is poor. Unscented Kalman Filter (UKF) is proposed here as a better option because instead of analytical linearization of state space, UKF performs statistical linearization by using sigma point calculated from deterministic samples. Formation of the posterior distribution is based on the propagation of mean and covariance through sigma points.
Input Forces Estimation for Nonlinear Systems by Applying a Square-Root Cubature Kalman Filter.
Song, Xuegang; Zhang, Yuexin; Liang, Dakai
2017-10-10
This work presents a novel inverse algorithm to estimate time-varying input forces in nonlinear beam systems. With the system parameters determined, the input forces can be estimated in real-time from dynamic responses, which can be used for structural health monitoring. In the process of input forces estimation, the Runge-Kutta fourth-order algorithm was employed to discretize the state equations; a square-root cubature Kalman filter (SRCKF) was employed to suppress white noise; the residual innovation sequences, a priori state estimate, gain matrix, and innovation covariance generated by SRCKF were employed to estimate the magnitude and location of input forces by using a nonlinear estimator. The nonlinear estimator was based on the least squares method. Numerical simulations of a large deflection beam and an experiment of a linear beam constrained by a nonlinear spring were employed. The results demonstrated accuracy of the nonlinear algorithm.
Input Forces Estimation for Nonlinear Systems by Applying a Square-Root Cubature Kalman Filter
Directory of Open Access Journals (Sweden)
Xuegang Song
2017-10-01
Full Text Available This work presents a novel inverse algorithm to estimate time-varying input forces in nonlinear beam systems. With the system parameters determined, the input forces can be estimated in real-time from dynamic responses, which can be used for structural health monitoring. In the process of input forces estimation, the Runge-Kutta fourth-order algorithm was employed to discretize the state equations; a square-root cubature Kalman filter (SRCKF was employed to suppress white noise; the residual innovation sequences, a priori state estimate, gain matrix, and innovation covariance generated by SRCKF were employed to estimate the magnitude and location of input forces by using a nonlinear estimator. The nonlinear estimator was based on the least squares method. Numerical simulations of a large deflection beam and an experiment of a linear beam constrained by a nonlinear spring were employed. The results demonstrated accuracy of the nonlinear algorithm.
Constraining the ensemble Kalman filter for improved streamflow forecasting
Maxwell, Deborah H.; Jackson, Bethanna M.; McGregor, James
2018-05-01
Data assimilation techniques such as the Ensemble Kalman Filter (EnKF) are often applied to hydrological models with minimal state volume/capacity constraints enforced during ensemble generation. Flux constraints are rarely, if ever, applied. Consequently, model states can be adjusted beyond physically reasonable limits, compromising the integrity of model output. In this paper, we investigate the effect of constraining the EnKF on forecast performance. A "free run" in which no assimilation is applied is compared to a completely unconstrained EnKF implementation, a 'typical' hydrological implementation (in which mass constraints are enforced to ensure non-negativity and capacity thresholds of model states are not exceeded), and then to a more tightly constrained implementation where flux as well as mass constraints are imposed to force the rate of water movement to/from ensemble states to be within physically consistent boundaries. A three year period (2008-2010) was selected from the available data record (1976-2010). This was specifically chosen as it had no significant data gaps and represented well the range of flows observed in the longer dataset. Over this period, the standard implementation of the EnKF (no constraints) contained eight hydrological events where (multiple) physically inconsistent state adjustments were made. All were selected for analysis. Mass constraints alone did little to improve forecast performance; in fact, several were significantly degraded compared to the free run. In contrast, the combined use of mass and flux constraints significantly improved forecast performance in six events relative to all other implementations, while the remaining two events showed no significant difference in performance. Placing flux as well as mass constraints on the data assimilation framework encourages physically consistent state estimation and results in more accurate and reliable forward predictions of streamflow for robust decision-making. We also
Nonlinear Kalman filters for calibration in radio interferometry
Tasse, C.
2014-06-01
The data produced by the new generation of interferometers are affected by a wide variety of partially unknown complex effects such as pointing errors, phased array beams, ionosphere, troposphere, Faraday rotation, or clock drifts. Most algorithms addressing direction-dependent calibration solve for the effective Jones matrices, and cannot constrain the underlying physical quantities of the radio interferometry measurement equation (RIME). A related difficulty is that they lack robustness in the presence of low signal-to-noise ratios, and when solving for moderate to large numbers of parameters they can be subject to ill-conditioning. These effects can have dramatic consequences in the image plane such as source or even thermal noise suppression. The advantage of solvers directly estimating the physical terms appearing in the RIME is that they can potentially reduce the number of free parameters by orders of magnitudes while dramatically increasing the size of usable data, thereby improving conditioning. We present here a new calibration scheme based on a nonlinear version of the Kalman filter that aims at estimating the physical terms appearing in the RIME. We enrich the filter's structure with a tunable data representation model, together with an augmented measurement model for regularization. Using simulations we show that it can properly estimate the physical effects appearing in the RIME. We found that this approach is particularly useful in the most extreme cases such as when ionospheric and clock effects are simultaneously present. Combined with the ability to provide prior knowledge on the expected structure of the physical instrumental effects (expected physical state and dynamics), we obtain a fairly computationally cheap algorithm that we believe to be robust, especially in low signal-to-noise regimes. Potentially, the use of filters and other similar methods can represent an improvement for calibration in radio interferometry, under the condition that
On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles
Luo, Xiaodong
2010-09-19
The ensemble square root filter (EnSRF) [1, 2, 3, 4] is a popular method for data assimilation in high dimensional systems (e.g., geophysics models). Essentially the EnSRF is a Monte Carlo implementation of the conventional Kalman filter (KF) [5, 6]. It is mainly different from the KF at the prediction steps, where it is some ensembles, rather then the means and covariance matrices, of the system state that are propagated forward. In doing this, the EnSRF is computationally more efficient than the KF, since propagating a covariance matrix forward in high dimensional systems is prohibitively expensive. In addition, the EnSRF is also very convenient in implementation. By propagating the ensembles of the system state, the EnSRF can be directly applied to nonlinear systems without any change in comparison to the assimilation procedures in linear systems. However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].
An improved fuzzy Kalman filter for state estimation of nonlinear systems
International Nuclear Information System (INIS)
Zhou, Z-J; Hu, C-H; Chen, L; Zhang, B-C
2008-01-01
The extended fuzzy Kalman filter (EFKF) is developed recently and used for state estimation of the nonlinear systems with uncertainty. Based on extension of the orthogonality principle and the extended fuzzy Kalman filter, an improved fuzzy Kalman filters (IFKF) is proposed in this paper, which is more applicable and can deal with the state estimation of the nonlinear systems better than the EFKF. A simulation study is provided to verify the efficiency of the proposed method
On a nonlinear Kalman filter with simplified divided difference approximation
Luo, Xiaodong; Hoteit, Ibrahim; Moroz, Irene M.
2012-01-01
We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling's interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling's interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the analysis. In this sense, the sDDF is a hybrid of Stirling's interpolation formula and the EnSRF method, while the computational cost of the sDDF is less than that of the EnSRF. Numerical comparison between the sDDF and the EnSRF, with the ensemble transform Kalman filter (ETKF) as the representative, is conducted. The experiment results suggest that the sDDF outperforms the ETKF with a relatively large ensemble size, and thus is a good candidate for data assimilation in systems with moderate dimensions. © 2011 Elsevier B.V. All rights reserved.
On a nonlinear Kalman filter with simplified divided difference approximation
Luo, Xiaodong
2012-03-01
We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling\\'s interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling\\'s interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the analysis. In this sense, the sDDF is a hybrid of Stirling\\'s interpolation formula and the EnSRF method, while the computational cost of the sDDF is less than that of the EnSRF. Numerical comparison between the sDDF and the EnSRF, with the ensemble transform Kalman filter (ETKF) as the representative, is conducted. The experiment results suggest that the sDDF outperforms the ETKF with a relatively large ensemble size, and thus is a good candidate for data assimilation in systems with moderate dimensions. © 2011 Elsevier B.V. All rights reserved.
Sampling strong tracking nonlinear unscented Kalman filter and its application in eye tracking
International Nuclear Information System (INIS)
Zu-Tao, Zhang; Jia-Shu, Zhang
2010-01-01
The unscented Kalman filter is a developed well-known method for nonlinear motion estimation and tracking. However, the standard unscented Kalman filter has the inherent drawbacks, such as numerical instability and much more time spent on calculation in practical applications. In this paper, we present a novel sampling strong tracking nonlinear unscented Kalman filter, aiming to overcome the difficulty in nonlinear eye tracking. In the above proposed filter, the simplified unscented transform sampling strategy with n + 2 sigma points leads to the computational efficiency, and suboptimal fading factor of strong tracking filtering is introduced to improve robustness and accuracy of eye tracking. Compared with the related unscented Kalman filter for eye tracking, the proposed filter has potential advantages in robustness, convergence speed, and tracking accuracy. The final experimental results show the validity of our method for eye tracking under realistic conditions. (classical areas of phenomenology)
International Nuclear Information System (INIS)
Ermolaev, P; Volynsky, M
2014-01-01
Recurrent stochastic data processing algorithms using representation of interferometric signal as output of a dynamic system, which state is described by vector of parameters, in some cases are more effective, compared with conventional algorithms. Interferometric signals depend on phase nonlinearly. Consequently it is expedient to apply algorithms of nonlinear stochastic filtering, such as Kalman type filters. An application of the second order extended Kalman filter and Markov nonlinear filter that allows to minimize estimation error is described. Experimental results of signals processing are illustrated. Comparison of the algorithms is presented and discussed.
International Nuclear Information System (INIS)
Son, Junbo; Zhou, Shiyu; Sankavaram, Chaitanya; Du, Xinyu; Zhang, Yilu
2016-01-01
In this paper, a statistical prognostic method to predict the remaining useful life (RUL) of individual units based on noisy condition monitoring signals is proposed. The prediction accuracy of existing data-driven prognostic methods depends on the capability of accurately modeling the evolution of condition monitoring (CM) signals. Therefore, it is inevitable that the RUL prediction accuracy depends on the amount of random noise in CM signals. When signals are contaminated by a large amount of random noise, RUL prediction even becomes infeasible in some cases. To mitigate this issue, a robust RUL prediction method based on constrained Kalman filter is proposed. The proposed method models the CM signals subject to a set of inequality constraints so that satisfactory prediction accuracy can be achieved regardless of the noise level of signal evolution. The advantageous features of the proposed RUL prediction method is demonstrated by both numerical study and case study with real world data from automotive lead-acid batteries. - Highlights: • A computationally efficient constrained Kalman filter is proposed. • Proposed filter is integrated into an online failure prognosis framework. • A set of proper constraints significantly improves the failure prediction accuracy. • Promising results are reported in the application of battery failure prognosis.
Tao, Dongwang; Li, Hui; Ma, Qiang
2016-04-01
Complete structure identification of complicate nonlinear system using extend Kalman filter (EKF) or unscented Kalman filter (UKF) may have the problems of divergence, huge computation and low estimation precision due to the large dimension of the extended state space for the system. In this article, a decentralized identification method of hysteretic system based on the joint EKF and UKF is proposed. The complete structure is divided into linear substructures and nonlinear substructures. The substructures are identified from the top to the bottom. For the linear substructure, EKF is used to identify the extended space including the displacements, velocities, stiffness and damping coefficients of the substructures, using the limited absolute accelerations and the identified interface force above the substructure. Similarly, for the nonlinear substructure, UKF is used to identify the extended space including the displacements, velocities, stiffness, damping coefficients and control parameters for the hysteretic Bouc-Wen model and the force at the interface of substructures. Finally a 10-story shear-type structure with multiple inter-story hysteresis is used for numerical simulation and is identified using the decentralized approach, and the identified results are compared with those using only EKF or UKF for the complete structure identification. The results show that the decentralized approach has the advantage of more stability, relative less computation and higher estimation precision.
A novel extended Kalman filter for a class of nonlinear systems
Institute of Scientific and Technical Information of China (English)
DONG Zhe; YOU Zheng
2006-01-01
Estimation of the state variables of nonlinear systems is one of the fundamental and significant problems in control and signal processing. A new extended Kalman filtering approach for a class of nonlinear discrete-time systems in engineering is presented in this paper. In contrast to the celebrated extended Kalman filter (EKF), there is no linearization operation in the design procedure of the filter, and the parameters of the filter are obtained through minimizing a proper upper bound of the mean-square estimation error. Simulation results show that this filter can provide higher estimation precision than that provided by the EKF.
Rigatos, Gerasimos G; Rigatou, Efthymia G; Djida, Jean Daniel
2015-10-01
A method for early diagnosis of parametric changes in intracellular protein synthesis models (e.g. the p53 protein - mdm2 inhibitor model) is developed with the use of a nonlinear Kalman Filtering approach (Derivative-free nonlinear Kalman Filter) and of statistical change detection methods. The intracellular protein synthesis dynamic model is described by a set of coupled nonlinear differential equations. It is shown that such a dynamical system satisfies differential flatness properties and this allows to transform it, through a change of variables (diffeomorphism), to the so-called linear canonical form. For the linearized equivalent of the dynamical system, state estimation can be performed using the Kalman Filter recursion. Moreover, by applying an inverse transformation based on the previous diffeomorphism it becomes also possible to obtain estimates of the state variables of the initial nonlinear model. By comparing the output of the Kalman Filter (which is assumed to correspond to the undistorted dynamical model) with measurements obtained from the monitored protein synthesis system, a sequence of differences (residuals) is obtained. The statistical processing of the residuals with the use of x2 change detection tests, can provide indication within specific confidence intervals about parametric changes in the considered biological system and consequently indications about the appearance of specific diseases (e.g. malignancies).
Non-linear DSGE Models and The Central Difference Kalman Filter
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper introduces a Quasi Maximum Likelihood (QML) approach based on the Cen- tral Difference Kalman Filter (CDKF) to estimate non-linear DSGE models with potentially non-Gaussian shocks. We argue that this estimator can be expected to be consistent and asymptotically normal for DSGE models...
On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles
Luo, Xiaodong; Hoteit, Ibrahim; Moroz, Irene M.
2010-01-01
However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].
Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*
Hoteit, Ibrahim; Luo, Xiaodong; Pham, Dinh-Tuan
2012-01-01
introduce a resampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.
Interaction of Lyapunov vectors in the formulation of the nonlinear extension of the Kalman filter.
Palatella, Luigi; Trevisan, Anna
2015-04-01
When applied to strongly nonlinear chaotic dynamics the extended Kalman filter (EKF) is prone to divergence due to the difficulty of correctly forecasting the forecast error probability density function. In operational forecasting applications ensemble Kalman filters circumvent this problem with empirical procedures such as covariance inflation. This paper presents an extension of the EKF that includes nonlinear terms in the evolution of the forecast error estimate. This is achieved starting from a particular square-root implementation of the EKF with assimilation confined in the unstable subspace (EKF-AUS), that is, the span of the Lyapunov vectors with non-negative exponents. When the error evolution is nonlinear, the space where it is confined is no more restricted to the unstable and neutral subspace causing filter divergence. The algorithm presented here, denominated EKF-AUS-NL, includes the nonlinear terms in the error dynamics: These result from the nonlinear interaction among the leading Lyapunov vectors and account for all directions where the error growth may take place. Numerical results show that with the nonlinear terms included, filter divergence can be avoided. We test the algorithm on the Lorenz96 model, showing very promising results.
Nonlinear system identification based on Takagi-Sugeno fuzzy modeling and unscented Kalman filter.
Vafamand, Navid; Arefi, Mohammad Mehdi; Khayatian, Alireza
2018-03-01
This paper proposes two novel Kalman-based learning algorithms for an online Takagi-Sugeno (TS) fuzzy model identification. The proposed approaches are designed based on the unscented Kalman filter (UKF) and the concept of dual estimation. Contrary to the extended Kalman filter (EKF) which utilizes derivatives of nonlinear functions, the UKF employs the unscented transformation. Consequently, non-differentiable membership functions can be considered in the structure of the TS models. This makes the proposed algorithms to be applicable for the online parameter calculation of wider classes of TS models compared to the recently published papers concerning the same issue. Furthermore, because of the great capability of the UKF in handling severe nonlinear dynamics, the proposed approaches can effectively approximate the nonlinear systems. Finally, numerical and practical examples are provided to show the advantages of the proposed approaches. Simulation results reveal the effectiveness of the proposed methods and performance improvement based on the root mean square (RMS) of the estimation error compared to the existing results. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.
New Exact Penalty Functions for Nonlinear Constrained Optimization Problems
Directory of Open Access Journals (Sweden)
Bingzhuang Liu
2014-01-01
Full Text Available For two kinds of nonlinear constrained optimization problems, we propose two simple penalty functions, respectively, by augmenting the dimension of the primal problem with a variable that controls the weight of the penalty terms. Both of the penalty functions enjoy improved smoothness. Under mild conditions, it can be proved that our penalty functions are both exact in the sense that local minimizers of the associated penalty problem are precisely the local minimizers of the original constrained problem.
Physics constrained nonlinear regression models for time series
International Nuclear Information System (INIS)
Majda, Andrew J; Harlim, John
2013-01-01
A central issue in contemporary science is the development of data driven statistical nonlinear dynamical models for time series of partial observations of nature or a complex physical model. It has been established recently that ad hoc quadratic multi-level regression (MLR) models can have finite-time blow up of statistical solutions and/or pathological behaviour of their invariant measure. Here a new class of physics constrained multi-level quadratic regression models are introduced, analysed and applied to build reduced stochastic models from data of nonlinear systems. These models have the advantages of incorporating memory effects in time as well as the nonlinear noise from energy conserving nonlinear interactions. The mathematical guidelines for the performance and behaviour of these physics constrained MLR models as well as filtering algorithms for their implementation are developed here. Data driven applications of these new multi-level nonlinear regression models are developed for test models involving a nonlinear oscillator with memory effects and the difficult test case of the truncated Burgers–Hopf model. These new physics constrained quadratic MLR models are proposed here as process models for Bayesian estimation through Markov chain Monte Carlo algorithms of low frequency behaviour in complex physical data. (paper)
Sky-Hook Control and Kalman Filtering in Nonlinear Model of Tracked Vehicle Suspension System
Directory of Open Access Journals (Sweden)
Jurkiewicz Andrzej
2017-09-01
Full Text Available The essence of the undertaken topic is application of the continuous sky-hook control strategy and the Extended Kalman Filter as the state observer in the 2S1 tracked vehicle suspension system. The half-car model of this suspension system consists of seven logarithmic spiral springs and two magnetorheological dampers which has been described by the Bingham model. The applied continuous sky-hook control strategy considers nonlinear stiffness characteristic of the logarithmic spiral springs. The control is determined on estimates generated by the Extended Kalman Filter. Improve of ride comfort is verified by comparing simulation results, under the same driving conditions, of controlled and passive vehicle suspension systems.
Applications of Kalman filters based on non-linear functions to numerical weather predictions
Directory of Open Access Journals (Sweden)
G. Galanis
2006-10-01
Full Text Available This paper investigates the use of non-linear functions in classical Kalman filter algorithms on the improvement of regional weather forecasts. The main aim is the implementation of non linear polynomial mappings in a usual linear Kalman filter in order to simulate better non linear problems in numerical weather prediction. In addition, the optimal order of the polynomials applied for such a filter is identified. This work is based on observations and corresponding numerical weather predictions of two meteorological parameters characterized by essential differences in their evolution in time, namely, air temperature and wind speed. It is shown that in both cases, a polynomial of low order is adequate for eliminating any systematic error, while higher order functions lead to instabilities in the filtered results having, at the same time, trivial contribution to the sensitivity of the filter. It is further demonstrated that the filter is independent of the time period and the geographic location of application.
A new approach to nonlinear constrained Tikhonov regularization
Ito, Kazufumi
2011-09-16
We present a novel approach to nonlinear constrained Tikhonov regularization from the viewpoint of optimization theory. A second-order sufficient optimality condition is suggested as a nonlinearity condition to handle the nonlinearity of the forward operator. The approach is exploited to derive convergence rate results for a priori as well as a posteriori choice rules, e.g., discrepancy principle and balancing principle, for selecting the regularization parameter. The idea is further illustrated on a general class of parameter identification problems, for which (new) source and nonlinearity conditions are derived and the structural property of the nonlinearity term is revealed. A number of examples including identifying distributed parameters in elliptic differential equations are presented. © 2011 IOP Publishing Ltd.
Xiao, Mengli; Zhang, Yongbo; Wang, Zhihua; Fu, Huimin
2018-04-01
Considering the performances of conventional Kalman filter may seriously degrade when it suffers stochastic faults and unknown input, which is very common in engineering problems, a new type of adaptive three-stage extended Kalman filter (AThSEKF) is proposed to solve state and fault estimation in nonlinear discrete-time system under these conditions. The three-stage UV transformation and adaptive forgetting factor are introduced for derivation, and by comparing with the adaptive augmented state extended Kalman filter, it is proven to be uniformly asymptotically stable. Furthermore, the adaptive three-stage extended Kalman filter is applied to a two-dimensional radar tracking scenario to illustrate the effect, and the performance is compared with that of conventional three stage extended Kalman filter (ThSEKF) and the adaptive two-stage extended Kalman filter (ATEKF). The results show that the adaptive three-stage extended Kalman filter is more effective than these two filters when facing the nonlinear discrete-time systems with information of unknown inputs not perfectly known. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.
A novel strong tracking finite-difference extended Kalman filter for nonlinear eye tracking
Institute of Scientific and Technical Information of China (English)
ZHANG ZuTao; ZHANG JiaShu
2009-01-01
Non-Intrusive methods for eye tracking are Important for many applications of vision-based human computer interaction. However, due to the high nonlinearity of eye motion, how to ensure the robust-ness of external interference and accuracy of eye tracking poses the primary obstacle to the integration of eye movements into today's interfaces. In this paper, we present a strong tracking finite-difference extended Kalman filter algorithm, aiming to overcome the difficulty In modeling nonlinear eye tracking. In filtering calculation, strong tracking factor is introduced to modify a priori covariance matrix and im-prove the accuracy of the filter. The filter uses finite-difference method to calculate partial derivatives of nonlinear functions for eye tracking. The latest experimental results show the validity of our method for eye tracking under realistic conditions.
Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper shows how non-linear DSGE models with potential non-normal shocks can be estimated by Quasi-Maximum Likelihood based on the Central Difference Kalman Filter (CDKF). The advantage of this estimator is that evaluating the quasi log-likelihood function only takes a fraction of a second....... The second contribution of this paper is to derive a new particle filter which we term the Mean Shifted Particle Filter (MSPFb). We show that the MSPFb outperforms the standard Particle Filter by delivering more precise state estimates, and in general the MSPFb has lower Monte Carlo variation in the reported...
A dynamic load estimation method for nonlinear structures with unscented Kalman filter
Guo, L. N.; Ding, Y.; Wang, Z.; Xu, G. S.; Wu, B.
2018-02-01
A force estimation method is proposed for hysteretic nonlinear structures. The equation of motion for the nonlinear structure is represented in state space and the state variable is augmented by the unknown the time history of external force. Unscented Kalman filter (UKF) is improved for the force identification in state space considering the ill-condition characteristic in the computation of square roots for the covariance matrix. The proposed method is firstly validated by a numerical simulation study of a 3-storey nonlinear hysteretic frame excited by periodic force. Each storey is supposed to follow a nonlinear hysteretic model. The external force is identified and the measurement noise is considered in this case. Then a case of a seismically isolated building subjected to earthquake excitation and impact force is studied. The isolation layer performs nonlinearly during the earthquake excitation. Impact force between the seismically isolated structure and the retaining wall is estimated with the proposed method. Uncertainties such as measurement noise, model error in storey stiffness and unexpected environmental disturbances are considered. A real-time substructure testing of an isolated structure is conducted to verify the proposed method. In the experimental study, the linear main structure is taken as numerical substructure while the one of the isolations with additional mass is taken as the nonlinear physical substructure. The force applied by the actuator on the physical substructure is identified and compared with the measured value from the force transducer. The method proposed in this paper is also validated by shaking table test of a seismically isolated steel frame. The acceleration of the ground motion as the unknowns is identified by the proposed method. Results from both numerical simulation and experimental studies indicate that the UKF based force identification method can be used to identify external excitations effectively for the nonlinear
Detection of broken rotor bars in induction motors using nonlinear Kalman filters.
Karami, Farzaneh; Poshtan, Javad; Poshtan, Majid
2010-04-01
This paper presents a model-based fault detection approach for induction motors. A new filtering technique using Unscented Kalman Filter (UKF) and Extended Kalman Filter (EKF) is utilized as a state estimation tool for on-line detection of broken bars in induction motors based on rotor parameter value estimation from stator current and voltage processing. The hypothesis on which the detection is based is that the failure events are detected by jumps in the estimated parameter values of the model. Both UKF and EKF are used to estimate the value of rotor resistance. Upon breaking a bar the estimated rotor resistance is increased instantly, thus providing two values of resistance after and before bar breakage. In order to compare the estimation performance of the EKF and UKF, both observers are designed for the same motor model and run with the same covariance matrices under the same conditions. Computer simulations are carried out for a squirrel cage induction motor. The results show the superiority of UKF over EKF in nonlinear system (such as induction motors) as it provides better estimates for rotor fault detection. Copyright 2010. Published by Elsevier Ltd.
Rigatos, Gerasimos G
2016-06-01
It is proven that the model of the p53-mdm2 protein synthesis loop is a differentially flat one and using a diffeomorphism (change of state variables) that is proposed by differential flatness theory it is shown that the protein synthesis model can be transformed into the canonical (Brunovsky) form. This enables the design of a feedback control law that maintains the concentration of the p53 protein at the desirable levels. To estimate the non-measurable elements of the state vector describing the p53-mdm2 system dynamics, the derivative-free non-linear Kalman filter is used. Moreover, to compensate for modelling uncertainties and external disturbances that affect the p53-mdm2 system, the derivative-free non-linear Kalman filter is re-designed as a disturbance observer. The derivative-free non-linear Kalman filter consists of the Kalman filter recursion applied on the linearised equivalent of the protein synthesis model together with an inverse transformation based on differential flatness theory that enables to retrieve estimates for the state variables of the initial non-linear model. The proposed non-linear feedback control and perturbations compensation method for the p53-mdm2 system can result in more efficient chemotherapy schemes where the infusion of medication will be better administered.
Chen, Jie; Li, Jiahong; Yang, Shuanghua; Deng, Fang
2017-11-01
The identification of the nonlinearity and coupling is crucial in nonlinear target tracking problem in collaborative sensor networks. According to the adaptive Kalman filtering (KF) method, the nonlinearity and coupling can be regarded as the model noise covariance, and estimated by minimizing the innovation or residual errors of the states. However, the method requires large time window of data to achieve reliable covariance measurement, making it impractical for nonlinear systems which are rapidly changing. To deal with the problem, a weighted optimization-based distributed KF algorithm (WODKF) is proposed in this paper. The algorithm enlarges the data size of each sensor by the received measurements and state estimates from its connected sensors instead of the time window. A new cost function is set as the weighted sum of the bias and oscillation of the state to estimate the "best" estimate of the model noise covariance. The bias and oscillation of the state of each sensor are estimated by polynomial fitting a time window of state estimates and measurements of the sensor and its neighbors weighted by the measurement noise covariance. The best estimate of the model noise covariance is computed by minimizing the weighted cost function using the exhaustive method. The sensor selection method is in addition to the algorithm to decrease the computation load of the filter and increase the scalability of the sensor network. The existence, suboptimality and stability analysis of the algorithm are given. The local probability data association method is used in the proposed algorithm for the multitarget tracking case. The algorithm is demonstrated in simulations on tracking examples for a random signal, one nonlinear target, and four nonlinear targets. Results show the feasibility and superiority of WODKF against other filtering algorithms for a large class of systems.
Constrained non-linear waves for offshore wind turbine design
International Nuclear Information System (INIS)
Rainey, P J; Camp, T R
2007-01-01
Advancements have been made in the modelling of extreme wave loading in the offshore environment. We give an overview of wave models used at present, and their relative merits. We describe a method for embedding existing non-linear solutions for large, regular wave kinematics into linear, irregular seas. Although similar methods have been used before, the new technique is shown to offer advances in computational practicality, repeatability, and accuracy. NewWave theory has been used to constrain the linear simulation, allowing best possible fit with the large non-linear wave. GH Bladed was used to compare the effect of these models on a generic 5 MW turbine mounted on a tripod support structure
Robust extended Kalman filter of discrete-time Markovian jump nonlinear system under uncertain noise
International Nuclear Information System (INIS)
Zhu, Jin; Park, Jun Hong; Lee, Kwan Soo; Spiryagin, Maksym
2008-01-01
This paper examines the problem of robust extended Kalman filter design for discrete -time Markovian jump nonlinear systems with noise uncertainty. Because of the existence of stochastic Markovian switching, the state and measurement equations of underlying system are subject to uncertain noise whose covariance matrices are time-varying or un-measurable instead of stationary. First, based on the expression of filtering performance deviation, admissible uncertainty of noise covariance matrix is given. Secondly, two forms of noise uncertainty are taken into account: Non- Structural and Structural. It is proved by applying game theory that this filter design is a robust mini-max filter. A numerical example shows the validity of the method
Luo, Xiaodong
2014-10-01
The ensemble Kalman filter (EnKF) is an efficient algorithm for many data assimilation problems. In certain circumstances, however, divergence of the EnKF might be spotted. In previous studies, the authors proposed an observation-space-based strategy, called residual nudging, to improve the stability of the EnKF when dealing with linear observation operators. The main idea behind residual nudging is to monitor and, if necessary, adjust the distances (misfits) between the real observations and the simulated ones of the state estimates, in the hope that by doing so one may be able to obtain better estimation accuracy. In the present study, residual nudging is extended and modified in order to handle nonlinear observation operators. Such extension and modification result in an iterative filtering framework that, under suitable conditions, is able to achieve the objective of residual nudging for data assimilation problems with nonlinear observation operators. The 40-dimensional Lorenz-96 model is used to illustrate the performance of the iterative filter. Numerical results show that, while a normal EnKF may diverge with nonlinear observation operators, the proposed iterative filter remains stable and leads to reasonable estimation accuracy under various experimental settings.
Directory of Open Access Journals (Sweden)
Rafael Cisneros-Magaña
2018-06-01
Full Text Available This paper proposes a time-domain methodology based on the unscented Kalman filter to estimate voltage sags and their characteristics, such as magnitude and duration in power systems represented by nonlinear models. Partial and noisy measurements from the electrical network with nonlinear loads, used as data, are assumed. The characteristics of voltage sags can be calculated in a discrete form with the unscented Kalman filter to estimate all the busbar voltages; being possible to determine the rms voltage magnitude and the voltage sag starting and ending time, respectively. Voltage sag state estimation results can be used to obtain the power quality indices for monitored and unmonitored busbars in the power grid and to design adequate mitigating techniques. The proposed methodology is successfully validated against the results obtained with the time-domain system simulation for the power system with nonlinear components, being the normalized root mean square error less than 3%.
Madi, Mahmoud K; Karameh, Fadi N
2017-01-01
Kalman filtering methods have long been regarded as efficient adaptive Bayesian techniques for estimating hidden states in models of linear dynamical systems under Gaussian uncertainty. Recent advents of the Cubature Kalman filter (CKF) have extended this efficient estimation property to nonlinear systems, and also to hybrid nonlinear problems where by the processes are continuous and the observations are discrete (continuous-discrete CD-CKF). Employing CKF techniques, therefore, carries high promise for modeling many biological phenomena where the underlying processes exhibit inherently nonlinear, continuous, and noisy dynamics and the associated measurements are uncertain and time-sampled. This paper investigates the performance of cubature filtering (CKF and CD-CKF) in two flagship problems arising in the field of neuroscience upon relating brain functionality to aggregate neurophysiological recordings: (i) estimation of the firing dynamics and the neural circuit model parameters from electric potentials (EP) observations, and (ii) estimation of the hemodynamic model parameters and the underlying neural drive from BOLD (fMRI) signals. First, in simulated neural circuit models, estimation accuracy was investigated under varying levels of observation noise (SNR), process noise structures, and observation sampling intervals (dt). When compared to the CKF, the CD-CKF consistently exhibited better accuracy for a given SNR, sharp accuracy increase with higher SNR, and persistent error reduction with smaller dt. Remarkably, CD-CKF accuracy shows only a mild deterioration for non-Gaussian process noise, specifically with Poisson noise, a commonly assumed form of background fluctuations in neuronal systems. Second, in simulated hemodynamic models, parametric estimates were consistently improved under CD-CKF. Critically, time-localization of the underlying neural drive, a determinant factor in fMRI-based functional connectivity studies, was significantly more accurate
2017-01-01
Kalman filtering methods have long been regarded as efficient adaptive Bayesian techniques for estimating hidden states in models of linear dynamical systems under Gaussian uncertainty. Recent advents of the Cubature Kalman filter (CKF) have extended this efficient estimation property to nonlinear systems, and also to hybrid nonlinear problems where by the processes are continuous and the observations are discrete (continuous-discrete CD-CKF). Employing CKF techniques, therefore, carries high promise for modeling many biological phenomena where the underlying processes exhibit inherently nonlinear, continuous, and noisy dynamics and the associated measurements are uncertain and time-sampled. This paper investigates the performance of cubature filtering (CKF and CD-CKF) in two flagship problems arising in the field of neuroscience upon relating brain functionality to aggregate neurophysiological recordings: (i) estimation of the firing dynamics and the neural circuit model parameters from electric potentials (EP) observations, and (ii) estimation of the hemodynamic model parameters and the underlying neural drive from BOLD (fMRI) signals. First, in simulated neural circuit models, estimation accuracy was investigated under varying levels of observation noise (SNR), process noise structures, and observation sampling intervals (dt). When compared to the CKF, the CD-CKF consistently exhibited better accuracy for a given SNR, sharp accuracy increase with higher SNR, and persistent error reduction with smaller dt. Remarkably, CD-CKF accuracy shows only a mild deterioration for non-Gaussian process noise, specifically with Poisson noise, a commonly assumed form of background fluctuations in neuronal systems. Second, in simulated hemodynamic models, parametric estimates were consistently improved under CD-CKF. Critically, time-localization of the underlying neural drive, a determinant factor in fMRI-based functional connectivity studies, was significantly more accurate
A Robust Adaptive Unscented Kalman Filter for Nonlinear Estimation with Uncertain Noise Covariance.
Zheng, Binqi; Fu, Pengcheng; Li, Baoqing; Yuan, Xiaobing
2018-03-07
The Unscented Kalman filter (UKF) may suffer from performance degradation and even divergence while mismatch between the noise distribution assumed as a priori by users and the actual ones in a real nonlinear system. To resolve this problem, this paper proposes a robust adaptive UKF (RAUKF) to improve the accuracy and robustness of state estimation with uncertain noise covariance. More specifically, at each timestep, a standard UKF will be implemented first to obtain the state estimations using the new acquired measurement data. Then an online fault-detection mechanism is adopted to judge if it is necessary to update current noise covariance. If necessary, innovation-based method and residual-based method are used to calculate the estimations of current noise covariance of process and measurement, respectively. By utilizing a weighting factor, the filter will combine the last noise covariance matrices with the estimations as the new noise covariance matrices. Finally, the state estimations will be corrected according to the new noise covariance matrices and previous state estimations. Compared with the standard UKF and other adaptive UKF algorithms, RAUKF converges faster to the actual noise covariance and thus achieves a better performance in terms of robustness, accuracy, and computation for nonlinear estimation with uncertain noise covariance, which is demonstrated by the simulation results.
Bonnet, V; Dumas, R; Cappozzo, A; Joukov, V; Daune, G; Kulić, D; Fraisse, P; Andary, S; Venture, G
2017-09-06
This paper presents a method for real-time estimation of the kinematics and kinetics of a human body performing a sagittal symmetric motor task, which would minimize the impact of the stereophotogrammetric soft tissue artefacts (STA). The method is based on a bi-dimensional mechanical model of the locomotor apparatus the state variables of which (joint angles, velocities and accelerations, and the segments lengths and inertial parameters) are estimated by a constrained extended Kalman filter (CEKF) that fuses input information made of both stereophotogrammetric and dynamometric measurement data. Filter gains are made to saturate in order to obtain plausible state variables and the measurement covariance matrix of the filter accounts for the expected STA maximal amplitudes. We hypothesised that the ensemble of constraints and input redundant information would allow the method to attenuate the STA propagation to the end results. The method was evaluated in ten human subjects performing a squat exercise. The CEKF estimated and measured skin marker trajectories exhibited a RMS difference lower than 4mm, thus in the range of STAs. The RMS differences between the measured ground reaction force and moment and those estimated using the proposed method (9N and 10Nm) were much lower than obtained using a classical inverse dynamics approach (22N and 30Nm). From the latter results it may be inferred that the presented method allows for a significant improvement of the accuracy with which kinematic variables and relevant time derivatives, model parameters and, therefore, intersegmental moments are estimated. Copyright © 2016 Elsevier Ltd. All rights reserved.
Directory of Open Access Journals (Sweden)
Mingyue Cui
2016-09-01
Full Text Available A novel control approach is proposed for trajectory tracking of a wheeled mobile robot with unknown wheels’ slipping. The longitudinal and lateral slipping are considered and processed as three time-varying parameters. The adaptive unscented Kalman filter is then designed to estimate the slipping parameters online, an adaptive adjustment of the noise covariances in the estimation process is implemented using a technique of covariance matching in the adaptive unscented Kalman filter context. Considering the practical physical constrains, a stable tracking control law for this robot system is proposed by the backstepping method. Asymptotic stability is guaranteed by Lyapunov stability theory. Control gains are determined online by applying pole placement method. Simulation and real experiment results show the effectiveness and robustness of the proposed control method.
Wang, Zidong; Liu, Xiaohui; Liu, Yurong; Liang, Jinling; Vinciotti, Veronica
2009-01-01
In this paper, the extended Kalman filter (EKF) algorithm is applied to model the gene regulatory network from gene time series data. The gene regulatory network is considered as a nonlinear dynamic stochastic model that consists of the gene measurement equation and the gene regulation equation. After specifying the model structure, we apply the EKF algorithm for identifying both the model parameters and the actual value of gene expression levels. It is shown that the EKF algorithm is an online estimation algorithm that can identify a large number of parameters (including parameters of nonlinear functions) through iterative procedure by using a small number of observations. Four real-world gene expression data sets are employed to demonstrate the effectiveness of the EKF algorithm, and the obtained models are evaluated from the viewpoint of bioinformatics.
Cross-constrained problems for nonlinear Schrodinger equation with harmonic potential
Directory of Open Access Journals (Sweden)
Runzhang Xu
2012-11-01
Full Text Available This article studies a nonlinear Schodinger equation with harmonic potential by constructing different cross-constrained problems. By comparing the different cross-constrained problems, we derive different sharp criterion and different invariant manifolds that separate the global solutions and blowup solutions. Moreover, we conclude that some manifolds are empty due to the essence of the cross-constrained problems. Besides, we compare the three cross-constrained problems and the three depths of the potential wells. In this way, we explain the gaps in [J. Shu and J. Zhang, Nonlinear Shrodinger equation with harmonic potential, Journal of Mathematical Physics, 47, 063503 (2006], which was pointed out in [R. Xu and Y. Liu, Remarks on nonlinear Schrodinger equation with harmonic potential, Journal of Mathematical Physics, 49, 043512 (2008].
Applications of Kalman filters based on non-linear functions to numerical weather predictions
Directory of Open Access Journals (Sweden)
G. Galanis
2006-10-01
Full Text Available This paper investigates the use of non-linear functions in classical Kalman filter algorithms on the improvement of regional weather forecasts. The main aim is the implementation of non linear polynomial mappings in a usual linear Kalman filter in order to simulate better non linear problems in numerical weather prediction. In addition, the optimal order of the polynomials applied for such a filter is identified. This work is based on observations and corresponding numerical weather predictions of two meteorological parameters characterized by essential differences in their evolution in time, namely, air temperature and wind speed. It is shown that in both cases, a polynomial of low order is adequate for eliminating any systematic error, while higher order functions lead to instabilities in the filtered results having, at the same time, trivial contribution to the sensitivity of the filter. It is further demonstrated that the filter is independent of the time period and the geographic location of application.
Bds/gps Integrated Positioning Method Research Based on Nonlinear Kalman Filtering
Ma, Y.; Yuan, W.; Sun, H.
2017-09-01
In order to realize fast and accurate BDS/GPS integrated positioning, it is necessary to overcome the adverse effects of signal attenuation, multipath effect and echo interference to ensure the result of continuous and accurate navigation and positioning. In this paper, pseudo-range positioning is used as the mathematical model. In the stage of data preprocessing, using precise and smooth carrier phase measurement value to promote the rough pseudo-range measurement value without ambiguity. At last, the Extended Kalman Filter(EKF), the Unscented Kalman Filter(UKF) and the Particle Filter(PF) algorithm are applied in the integrated positioning method for higher positioning accuracy. The experimental results show that the positioning accuracy of PF is the highest, and UKF is better than EKF.
Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers
Czech Academy of Sciences Publication Activity Database
Adam, Lukáš; Branda, Martin
2016-01-01
Roč. 170, č. 2 (2016), s. 419-436 ISSN 0022-3239 R&D Projects: GA ČR GA15-00735S Institutional support: RVO:67985556 Keywords : Chance constrained programming * Optimality conditions * Regularization * Algorithms * Free MATLAB codes Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 1.289, year: 2016 http://library.utia.cas.cz/separaty/2016/MTR/adam-0460909.pdf
Dreano, Denis
2017-04-05
Specification and tuning of errors from dynamical models are important issues in data assimilation. In this work, we propose an iterative expectation-maximisation (EM) algorithm to estimate the model error covariances using classical extended and ensemble versions of the Kalman smoother. We show that, for additive model errors, the estimate of the error covariance converges. We also investigate other forms of model error, such as parametric or multiplicative errors. We show that additive Gaussian model error is able to compensate for non additive sources of error in the algorithms we propose. We also demonstrate the limitations of the extended version of the algorithm and recommend the use of the more robust and flexible ensemble version. This article is a proof of concept of the methodology with the Lorenz-63 attractor. We developed an open-source Python library to enable future users to apply the algorithm to their own nonlinear dynamical models.
Akhbari, Mahsa; Shamsollahi, Mohammad B; Jutten, Christian; Armoundas, Antonis A; Sayadi, Omid
2016-02-01
In this paper we propose an efficient method for denoising and extracting fiducial point (FP) of ECG signals. The method is based on a nonlinear dynamic model which uses Gaussian functions to model ECG waveforms. For estimating the model parameters, we use an extended Kalman filter (EKF). In this framework called EKF25, all the parameters of Gaussian functions as well as the ECG waveforms (P-wave, QRS complex and T-wave) in the ECG dynamical model, are considered as state variables. In this paper, the dynamic time warping method is used to estimate the nonlinear ECG phase observation. We compare this new approach with linear phase observation models. Using linear and nonlinear EKF25 for ECG denoising and nonlinear EKF25 for fiducial point extraction and ECG interval analysis are the main contributions of this paper. Performance comparison with other EKF-based techniques shows that the proposed method results in higher output SNR with an average SNR improvement of 12 dB for an input SNR of -8 dB. To evaluate the FP extraction performance, we compare the proposed method with a method based on partially collapsed Gibbs sampler and an established EKF-based method. The mean absolute error and the root mean square error of all FPs, across all databases are 14 ms and 22 ms, respectively, for our proposed method, with an advantage when using a nonlinear phase observation. These errors are significantly smaller than errors obtained with other methods. For ECG interval analysis, with an absolute mean error and a root mean square error of about 22 ms and 29 ms, the proposed method achieves better accuracy and smaller variability with respect to other methods.
Rigatos, Gerasimos
2014-12-01
A synchronizing control scheme for coupled neural oscillators of the FitzHugh-Nagumo type is proposed. Using differential flatness theory the dynamical model of two coupled neural oscillators is transformed into an equivalent model in the linear canonical (Brunovsky) form. A similar linearized description is succeeded using differential geometry methods and the computation of Lie derivatives. For such a model it becomes possible to design a state feedback controller that assures the synchronization of the membrane's voltage variations for the two neurons. To compensate for disturbances that affect the neurons' model as well as for parametric uncertainties and variations a disturbance observer is designed based on Kalman Filtering. This consists of implementation of the standard Kalman Filter recursion on the linearized equivalent model of the coupled neurons and computation of state and disturbance estimates using the diffeomorphism (relations about state variables transformation) provided by differential flatness theory. After estimating the disturbance terms in the neurons' model their compensation becomes possible. The performance of the synchronization control loop is tested through simulation experiments.
Han, Dongju
2018-05-01
Safe and efficient flight powered by an aircraft turbojet engine relies on the performance of the engine controller preventing compressor surge with robustness from noises or disturbances. This paper proposes the effective nonlinear controller associated with the nonlinear filter for the real turbojet engine with highly nonlinear dynamics. For the feasible controller study the nonlinearity of the engine dynamics was investigated by comparing the step responses from the linearized model with the original nonlinear dynamics. The fuzzy-based PID control logic is introduced to control the engine efficiently and FAUKF is applied for robustness from noises. The simulation results prove the effectiveness of FAUKF applied to the proposed controller such that the control performances are superior over the conventional controller and the filer performance using FAUKF indicates the satisfactory results such as clearing the defects by reducing the distortions without compressor surge, whereas the conventional UKF is not fully effective as occurring some distortions with compressor surge due to a process noise.
Directory of Open Access Journals (Sweden)
San-Yang Liu
2014-01-01
Full Text Available Two unified frameworks of some sufficient descent conjugate gradient methods are considered. Combined with the hyperplane projection method of Solodov and Svaiter, they are extended to solve convex constrained nonlinear monotone equations. Their global convergence is proven under some mild conditions. Numerical results illustrate that these methods are efficient and can be applied to solve large-scale nonsmooth equations.
Robust model predictive control for constrained continuous-time nonlinear systems
Sun, Tairen; Pan, Yongping; Zhang, Jun; Yu, Haoyong
2018-02-01
In this paper, a robust model predictive control (MPC) is designed for a class of constrained continuous-time nonlinear systems with bounded additive disturbances. The robust MPC consists of a nonlinear feedback control and a continuous-time model-based dual-mode MPC. The nonlinear feedback control guarantees the actual trajectory being contained in a tube centred at the nominal trajectory. The dual-mode MPC is designed to ensure asymptotic convergence of the nominal trajectory to zero. This paper extends current results on discrete-time model-based tube MPC and linear system model-based tube MPC to continuous-time nonlinear model-based tube MPC. The feasibility and robustness of the proposed robust MPC have been demonstrated by theoretical analysis and applications to a cart-damper springer system and a one-link robot manipulator.
Gharamti, M. E.; Kadoura, A.; Valstar, J.; Sun, S.; Hoteit, Ibrahim
2014-01-01
Isothermal compositional flow models require coupling transient compressible flows and advective transport systems of various chemical species in subsurface porous media. Building such numerical models is quite challenging and may be subject to many sources of uncertainties because of possible incomplete representation of some geological parameters that characterize the system's processes. Advanced data assimilation methods, such as the ensemble Kalman filter (EnKF), can be used to calibrate these models by incorporating available data. In this work, we consider the problem of estimating reservoir permeability using information about phase pressure as well as the chemical properties of fluid components. We carry out state-parameter estimation experiments using joint and dual updating schemes in the context of the EnKF with a two-dimensional single-phase compositional flow model (CFM). Quantitative and statistical analyses are performed to evaluate and compare the performance of the assimilation schemes. Our results indicate that including chemical composition data significantly enhances the accuracy of the permeability estimates. In addition, composition data provide more information to estimate system states and parameters than do standard pressure data. The dual state-parameter estimation scheme provides about 10% more accurate permeability estimates on average than the joint scheme when implemented with the same ensemble members, at the cost of twice more forward model integrations. At similar computational cost, the dual approach becomes only beneficial after using large enough ensembles.
Gharamti, M. E.
2014-03-01
Isothermal compositional flow models require coupling transient compressible flows and advective transport systems of various chemical species in subsurface porous media. Building such numerical models is quite challenging and may be subject to many sources of uncertainties because of possible incomplete representation of some geological parameters that characterize the system\\'s processes. Advanced data assimilation methods, such as the ensemble Kalman filter (EnKF), can be used to calibrate these models by incorporating available data. In this work, we consider the problem of estimating reservoir permeability using information about phase pressure as well as the chemical properties of fluid components. We carry out state-parameter estimation experiments using joint and dual updating schemes in the context of the EnKF with a two-dimensional single-phase compositional flow model (CFM). Quantitative and statistical analyses are performed to evaluate and compare the performance of the assimilation schemes. Our results indicate that including chemical composition data significantly enhances the accuracy of the permeability estimates. In addition, composition data provide more information to estimate system states and parameters than do standard pressure data. The dual state-parameter estimation scheme provides about 10% more accurate permeability estimates on average than the joint scheme when implemented with the same ensemble members, at the cost of twice more forward model integrations. At similar computational cost, the dual approach becomes only beneficial after using large enough ensembles.
Zhang, Chenglong; Zhang, Fan; Guo, Shanshan; Liu, Xiao; Guo, Ping
2018-01-01
An inexact nonlinear mλ-measure fuzzy chance-constrained programming (INMFCCP) model is developed for irrigation water allocation under uncertainty. Techniques of inexact quadratic programming (IQP), mλ-measure, and fuzzy chance-constrained programming (FCCP) are integrated into a general optimization framework. The INMFCCP model can deal with not only nonlinearities in the objective function, but also uncertainties presented as discrete intervals in the objective function, variables and left-hand side constraints and fuzziness in the right-hand side constraints. Moreover, this model improves upon the conventional fuzzy chance-constrained programming by introducing a linear combination of possibility measure and necessity measure with varying preference parameters. To demonstrate its applicability, the model is then applied to a case study in the middle reaches of Heihe River Basin, northwest China. An interval regression analysis method is used to obtain interval crop water production functions in the whole growth period under uncertainty. Therefore, more flexible solutions can be generated for optimal irrigation water allocation. The variation of results can be examined by giving different confidence levels and preference parameters. Besides, it can reflect interrelationships among system benefits, preference parameters, confidence levels and the corresponding risk levels. Comparison between interval crop water production functions and deterministic ones based on the developed INMFCCP model indicates that the former is capable of reflecting more complexities and uncertainties in practical application. These results can provide more reliable scientific basis for supporting irrigation water management in arid areas.
Barber, Jared; Tanase, Roxana; Yotov, Ivan
2016-06-01
Several Kalman filter algorithms are presented for data assimilation and parameter estimation for a nonlinear diffusion model of epithelial cell migration. These include the ensemble Kalman filter with Monte Carlo sampling and a stochastic collocation (SC) Kalman filter with structured sampling. Further, two types of noise are considered -uncorrelated noise resulting in one stochastic dimension for each element of the spatial grid and correlated noise parameterized by the Karhunen-Loeve (KL) expansion resulting in one stochastic dimension for each KL term. The efficiency and accuracy of the four methods are investigated for two cases with synthetic data with and without noise, as well as data from a laboratory experiment. While it is observed that all algorithms perform reasonably well in matching the target solution and estimating the diffusion coefficient and the growth rate, it is illustrated that the algorithms that employ SC and KL expansion are computationally more efficient, as they require fewer ensemble members for comparable accuracy. In the case of SC methods, this is due to improved approximation in stochastic space compared to Monte Carlo sampling. In the case of KL methods, the parameterization of the noise results in a stochastic space of smaller dimension. The most efficient method is the one combining SC and KL expansion. Copyright © 2016 Elsevier Inc. All rights reserved.
Directory of Open Access Journals (Sweden)
Houzeng Han
2016-07-01
Full Text Available Precise Point Positioning (PPP makes use of the undifferenced pseudorange and carrier phase measurements with ionospheric-free (IF combinations to achieve centimeter-level positioning accuracy. Conventionally, the IF ambiguities are estimated as float values. To improve the PPP positioning accuracy and shorten the convergence time, the integer phase clock model with between-satellites single-difference (BSSD operation is used to recover the integer property. However, the continuity and availability of stand-alone PPP is largely restricted by the observation environment. The positioning performance will be significantly degraded when GPS operates under challenging environments, if less than five satellites are present. A commonly used approach is integrating a low cost inertial sensor to improve the positioning performance and robustness. In this study, a tightly coupled (TC algorithm is implemented by integrating PPP with inertial navigation system (INS using an Extended Kalman filter (EKF. The navigation states, inertial sensor errors and GPS error states are estimated together. The troposphere constrained approach, which utilizes external tropospheric delay as virtual observation, is applied to further improve the ambiguity-fixed height positioning accuracy, and an improved adaptive filtering strategy is implemented to improve the covariance modelling considering the realistic noise effect. A field vehicular test with a geodetic GPS receiver and a low cost inertial sensor was conducted to validate the improvement on positioning performance with the proposed approach. The results show that the positioning accuracy has been improved with inertial aiding. Centimeter-level positioning accuracy is achievable during the test, and the PPP/INS TC integration achieves a fast re-convergence after signal outages. For troposphere constrained solutions, a significant improvement for the height component has been obtained. The overall positioning accuracies
Li, Yongming; Ma, Zhiyao; Tong, Shaocheng
2017-09-01
The problem of adaptive fuzzy output-constrained tracking fault-tolerant control (FTC) is investigated for the large-scale stochastic nonlinear systems of pure-feedback form. The nonlinear systems considered in this paper possess the unstructured uncertainties, unknown interconnected terms and unknown nonaffine nonlinear faults. The fuzzy logic systems are employed to identify the unknown lumped nonlinear functions so that the problems of structured uncertainties can be solved. An adaptive fuzzy state observer is designed to solve the nonmeasurable state problem. By combining the barrier Lyapunov function theory, adaptive decentralized and stochastic control principles, a novel fuzzy adaptive output-constrained FTC approach is constructed. All the signals in the closed-loop system are proved to be bounded in probability and the system outputs are constrained in a given compact set. Finally, the applicability of the proposed controller is well carried out by a simulation example.
Directory of Open Access Journals (Sweden)
Bizhong Xia
2017-12-01
Full Text Available State of charge (SOC estimation is the core of any battery management system. Most closed-loop SOC estimation algorithms are based on the equivalent circuit model with fixed parameters. However, the parameters of the equivalent circuit model will change as temperature or SOC changes, resulting in reduced SOC estimation accuracy. In this paper, two SOC estimation algorithms with online parameter identification are proposed to solve this problem based on forgetting factor recursive least squares (FFRLS and nonlinear Kalman filter. The parameters of a Thevenin model are constantly updated by FFRLS. The nonlinear Kalman filter is used to perform the recursive operation to estimate SOC. Experiments in variable temperature environments verify the effectiveness of the proposed algorithms. A combination of four driving cycles is loaded on lithium-ion batteries to test the adaptability of the approaches to different working conditions. Under certain conditions, the average error of the SOC estimation dropped from 5.6% to 1.1% after adding the online parameters identification, showing that the estimation accuracy of proposed algorithms is greatly improved. Besides, simulated measurement noise is added to the test data to prove the robustness of the algorithms.
Evaluation of ECC bypass data with a nonlinear constrained MLE technique
International Nuclear Information System (INIS)
Bishop, T.A.; Collier, R.P.; Kurth, R.E.
1980-01-01
Recently, Battelle's Columbus Laboratories have been involved in scale-model tests of emergency core cooling (ECC) systems for hypothesized loss-of-coolant accidents in pressurized water reactors (PWR). These tests are intended to increase our understanding of ECC bypass, which can occur when steam flow from the reactor core causes the emergency coolant to bypass the core and flow directly to the break. One objective of these experiments is the development of a correlation which relates the flow rate of water penetrating to the core to the steam flow rate. This correlation is derived from data obtained from a 2/15 scale model PWR at various ECC water injection rates, subcoolings, pressures, and steam flows. The general form of the correlation being studied is a modification of the correlation first proposed by Wallis. The correlation model is inherently nonlinear and implicit in form, and the model variables are all subject to error. Therefore, the usual nonlinear analysis techniques are inappropriate. A nonlinear constrained maximum-likelihood-estimation technique has been used to obtain estimates of the model parameters, and a Battelle-developed code, NLINMLE, has been used to analyze the data. The application of this technique is illustrated by sample calculations of estimates of the model parameters and their associated confidence intervals for selected experimental data sets. 5 figures, 7 tables
M-Isomap: Orthogonal Constrained Marginal Isomap for Nonlinear Dimensionality Reduction.
Zhang, Zhao; Chow, Tommy W S; Zhao, Mingbo
2013-02-01
Isomap is a well-known nonlinear dimensionality reduction (DR) method, aiming at preserving geodesic distances of all similarity pairs for delivering highly nonlinear manifolds. Isomap is efficient in visualizing synthetic data sets, but it usually delivers unsatisfactory results in benchmark cases. This paper incorporates the pairwise constraints into Isomap and proposes a marginal Isomap (M-Isomap) for manifold learning. The pairwise Cannot-Link and Must-Link constraints are used to specify the types of neighborhoods. M-Isomap computes the shortest path distances over constrained neighborhood graphs and guides the nonlinear DR through separating the interclass neighbors. As a result, large margins between both interand intraclass clusters are delivered and enhanced compactness of intracluster points is achieved at the same time. The validity of M-Isomap is examined by extensive simulations over synthetic, University of California, Irvine, and benchmark real Olivetti Research Library, YALE, and CMU Pose, Illumination, and Expression databases. The data visualization and clustering power of M-Isomap are compared with those of six related DR methods. The visualization results show that M-Isomap is able to deliver more separate clusters. Clustering evaluations also demonstrate that M-Isomap delivers comparable or even better results than some state-of-the-art DR algorithms.
Constraining Born-Infeld-like nonlinear electrodynamics using hydrogen's ionization energy
Energy Technology Data Exchange (ETDEWEB)
Akmansoy, P.N. [Universidade Federal do Rio Grande do Norte, Departamento de Fisica Teorica e Experimental, Natal (Brazil); Medeiros, L.G. [Universidade Estadual Paulista, Instituto de Fisica Teorica, Sao Paulo, SP (Brazil); Universidade Federal do Rio Grande do Norte, Escola de Ciencia e Tecnologia, Natal, RN (Brazil)
2018-02-15
In this work, the hydrogen's ionization energy was used to constrain the free parameter b of three Born-Infeld-like electrodynamics namely Born-Infeld itself, Logarithmic electrodynamics and Exponential electrodynamics. An analytical methodology capable of calculating the hydrogen ground state energy level correction for a generic nonlinear electrodynamics was developed. Using the experimental uncertainty in the ground state energy of the hydrogen atom, the bound b > 5.37 x 10{sup 20}K(V)/(m), where K = 2, 4√(2)/3 and √(π) for the Born-Infeld, Logarithmic and Exponential electrodynamics respectively, was established. In the particular case of Born-Infeld electrodynamics, the constraint found for b was compared with other constraints present in the literature. (orig.)
Mark W. French
2005-01-01
The cycle in output and hours worked is not symmetric: it behaves differently around recessions than in expansions. Similarly, the trend in multifactor productivity (MFP) seems to pass through different regimes; there was an extended period of slow MFP growth from about 1973 through 1995, and faster growth thereafter. Typical linear models and linear filters such as the Kalman filter deal poorly with asymmetry and regime changes. This paper attempts to determine more accurately and quickly an...
Pakala, Lalitha; Schmauss, Bernhard
2017-01-01
We investigate the individual and combined performance of correlated digital back propagation (CDBP) and extended Kalman filtering (EKF) in mitigating inter and intra-channel non-linearities in wavelength division multiplexed (WDM) systems. The afore-mentioned algorithms are verified through numerical simulations on 28 Gbaud polarization multiplexed (PM) 16-quadrature amplitude modulation (16-QAM) 9-channel WDM system with 50 GHz spacing. A single channel CDBP with one-step-per-span based on asymmetric split step Fourier method (A-SSFM) with optimized non-linear coefficient has been employed. We also study an amplitude dependent optimization (AO) of the non-linear coefficient for CDBP which shows an improvement of ≍ 0.8 dB compared to the conventional optimized CDBP, in the non-linear regime. Moreover, our proposed carrier phase and amplitude noise estimation (CPANE) algorithm based on EKF outperforms AO-CDBP in both linear and non-linear regimes with an enhanced performance besides significantly reduced complexity. We further investigate the combined performance of AO-CDBP and EKF which results in an enhanced non-linear tolerance at the expense of increased computational cost trading off to the number of required CDBP steps per span. Furthermore, we also analyze the impact of cross phase modulation (XPM) on the combined performance of AO-CDBP and EKF by varying the number of WDM channels. Numerical results show that the obtained gain from employing AO-CDBP prior to EKF reduces with increasing effects of XPM. Additionally, we also discuss the computational complexity of the aforementioned algorithms.
International Nuclear Information System (INIS)
Panda, Satyajit; Ray, M C
2008-01-01
In this paper, a geometrically nonlinear dynamic analysis has been presented for functionally graded (FG) plates integrated with a patch of active constrained layer damping (ACLD) treatment and subjected to a temperature field. The constraining layer of the ACLD treatment is considered to be made of the piezoelectric fiber-reinforced composite (PFRC) material. The temperature field is assumed to be spatially uniform over the substrate plate surfaces and varied through the thickness of the host FG plates. The temperature-dependent material properties of the FG substrate plates are assumed to be graded in the thickness direction of the plates according to a power-law distribution while the Poisson's ratio is assumed to be a constant over the domain of the plate. The constrained viscoelastic layer of the ACLD treatment is modeled using the Golla–Hughes–McTavish (GHM) method. Based on the first-order shear deformation theory, a three-dimensional finite element model has been developed to model the open-loop and closed-loop nonlinear dynamics of the overall FG substrate plates under the thermal environment. The analysis suggests the potential use of the ACLD treatment with its constraining layer made of the PFRC material for active control of geometrically nonlinear vibrations of FG plates in the absence or the presence of the temperature gradient across the thickness of the plates. It is found that the ACLD treatment is more effective in controlling the geometrically nonlinear vibrations of FG plates than in controlling their linear vibrations. The analysis also reveals that the ACLD patch is more effective for controlling the nonlinear vibrations of FG plates when it is attached to the softest surface of the FG plates than when it is bonded to the stiffest surface of the plates. The effect of piezoelectric fiber orientation in the active constraining PFRC layer on the damping characteristics of the overall FG plates is also discussed
Panda, Satyajit; Ray, M. C.
2008-04-01
In this paper, a geometrically nonlinear dynamic analysis has been presented for functionally graded (FG) plates integrated with a patch of active constrained layer damping (ACLD) treatment and subjected to a temperature field. The constraining layer of the ACLD treatment is considered to be made of the piezoelectric fiber-reinforced composite (PFRC) material. The temperature field is assumed to be spatially uniform over the substrate plate surfaces and varied through the thickness of the host FG plates. The temperature-dependent material properties of the FG substrate plates are assumed to be graded in the thickness direction of the plates according to a power-law distribution while the Poisson's ratio is assumed to be a constant over the domain of the plate. The constrained viscoelastic layer of the ACLD treatment is modeled using the Golla-Hughes-McTavish (GHM) method. Based on the first-order shear deformation theory, a three-dimensional finite element model has been developed to model the open-loop and closed-loop nonlinear dynamics of the overall FG substrate plates under the thermal environment. The analysis suggests the potential use of the ACLD treatment with its constraining layer made of the PFRC material for active control of geometrically nonlinear vibrations of FG plates in the absence or the presence of the temperature gradient across the thickness of the plates. It is found that the ACLD treatment is more effective in controlling the geometrically nonlinear vibrations of FG plates than in controlling their linear vibrations. The analysis also reveals that the ACLD patch is more effective for controlling the nonlinear vibrations of FG plates when it is attached to the softest surface of the FG plates than when it is bonded to the stiffest surface of the plates. The effect of piezoelectric fiber orientation in the active constraining PFRC layer on the damping characteristics of the overall FG plates is also discussed.
Kalman Filtering with Real-Time Applications
Chui, Charles K
2009-01-01
Kalman Filtering with Real-Time Applications presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering.
Chang, Insu
The objective of the thesis is to introduce a relatively general nonlinear controller/estimator synthesis framework using a special type of the state-dependent Riccati equation technique. The continuous time state-dependent Riccati equation (SDRE) technique is extended to discrete-time under input and state constraints, yielding constrained (C) discrete-time (D) SDRE, referred to as CD-SDRE. For the latter, stability analysis and calculation of a region of attraction are carried out. The derivation of the D-SDRE under state-dependent weights is provided. Stability of the D-SDRE feedback system is established using Lyapunov stability approach. Receding horizon strategy is used to take into account the constraints on D-SDRE controller. Stability condition of the CD-SDRE controller is analyzed by using a switched system. The use of CD-SDRE scheme in the presence of constraints is then systematically demonstrated by applying this scheme to problems of spacecraft formation orbit reconfiguration under limited performance on thrusters. Simulation results demonstrate the efficacy and reliability of the proposed CD-SDRE. The CD-SDRE technique is further investigated in a case where there are uncertainties in nonlinear systems to be controlled. First, the system stability under each of the controllers in the robust CD-SDRE technique is separately established. The stability of the closed-loop system under the robust CD-SDRE controller is then proven based on the stability of each control system comprising switching configuration. A high fidelity dynamical model of spacecraft attitude motion in 3-dimensional space is derived with a partially filled fuel tank, assumed to have the first fuel slosh mode. The proposed robust CD-SDRE controller is then applied to the spacecraft attitude control system to stabilize its motion in the presence of uncertainties characterized by the first fuel slosh mode. The performance of the robust CD-SDRE technique is discussed. Subsequently
Luo, Biao; Liu, Derong; Wu, Huai-Ning
2018-06-01
Reinforcement learning has proved to be a powerful tool to solve optimal control problems over the past few years. However, the data-based constrained optimal control problem of nonaffine nonlinear discrete-time systems has rarely been studied yet. To solve this problem, an adaptive optimal control approach is developed by using the value iteration-based Q-learning (VIQL) with the critic-only structure. Most of the existing constrained control methods require the use of a certain performance index and only suit for linear or affine nonlinear systems, which is unreasonable in practice. To overcome this problem, the system transformation is first introduced with the general performance index. Then, the constrained optimal control problem is converted to an unconstrained optimal control problem. By introducing the action-state value function, i.e., Q-function, the VIQL algorithm is proposed to learn the optimal Q-function of the data-based unconstrained optimal control problem. The convergence results of the VIQL algorithm are established with an easy-to-realize initial condition . To implement the VIQL algorithm, the critic-only structure is developed, where only one neural network is required to approximate the Q-function. The converged Q-function obtained from the critic-only VIQL method is employed to design the adaptive constrained optimal controller based on the gradient descent scheme. Finally, the effectiveness of the developed adaptive control method is tested on three examples with computer simulation.
Connolly, Joseph W.; Csank, Jeffrey Thomas; Chicatelli, Amy; Kilver, Jacob
2013-01-01
This paper covers the development of a model-based engine control (MBEC) methodology featuring a self tuning on-board model applied to an aircraft turbofan engine simulation. Here, the Commercial Modular Aero-Propulsion System Simulation 40,000 (CMAPSS40k) serves as the MBEC application engine. CMAPSS40k is capable of modeling realistic engine performance, allowing for a verification of the MBEC over a wide range of operating points. The on-board model is a piece-wise linear model derived from CMAPSS40k and updated using an optimal tuner Kalman Filter (OTKF) estimation routine, which enables the on-board model to self-tune to account for engine performance variations. The focus here is on developing a methodology for MBEC with direct control of estimated parameters of interest such as thrust and stall margins. Investigations using the MBEC to provide a stall margin limit for the controller protection logic are presented that could provide benefits over a simple acceleration schedule that is currently used in traditional engine control architectures.
Kalman filtering with real-time applications
Chui, Charles K
2017-01-01
This new edition presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering. Over 100 exercises and problems with solutions help de...
Scott, Robert C.; Perry, Boyd, III; Pototzky, Anthony S.
1991-01-01
This paper describes and illustrates two matched-filter-theory based schemes for obtaining maximized and time-correlated gust-loads for a nonlinear airplane. The first scheme is computationally fast because it uses a simple one-dimensional search procedure to obtain its answers. The second scheme is computationally slow because it uses a more complex multidimensional search procedure to obtain its answers, but it consistently provides slightly higher maximum loads than the first scheme. Both schemes are illustrated with numerical examples involving a nonlinear control system.
Czech Academy of Sciences Publication Activity Database
Lukšan, Ladislav; Vlček, Jan
1998-01-01
Roč. 5, č. 3 (1998), s. 219-247 ISSN 1070-5325 R&D Projects: GA ČR GA201/96/0918 Keywords : nonlinear programming * sparse problems * equality constraints * truncated Newton method * augmented Lagrangian function * indefinite systems * indefinite preconditioners * conjugate gradient method * residual smoothing Subject RIV: BA - General Mathematics Impact factor: 0.741, year: 1998
Adaptable Iterative and Recursive Kalman Filter Schemes
Zanetti, Renato
2014-01-01
Nonlinear filters are often very computationally expensive and usually not suitable for real-time applications. Real-time navigation algorithms are typically based on linear estimators, such as the extended Kalman filter (EKF) and, to a much lesser extent, the unscented Kalman filter. The Iterated Kalman filter (IKF) and the Recursive Update Filter (RUF) are two algorithms that reduce the consequences of the linearization assumption of the EKF by performing N updates for each new measurement, where N is the number of recursions, a tuning parameter. This paper introduces an adaptable RUF algorithm to calculate N on the go, a similar technique can be used for the IKF as well.
Esfandiari, Kasra; Abdollahi, Farzaneh; Talebi, Heidar Ali
2017-09-01
In this paper, an identifier-critic structure is introduced to find an online near-optimal controller for continuous-time nonaffine nonlinear systems having saturated control signal. By employing two Neural Networks (NNs), the solution of Hamilton-Jacobi-Bellman (HJB) equation associated with the cost function is derived without requiring a priori knowledge about system dynamics. Weights of the identifier and critic NNs are tuned online and simultaneously such that unknown terms are approximated accurately and the control signal is kept between the saturation bounds. The convergence of NNs' weights, identification error, and system states is guaranteed using Lyapunov's direct method. Finally, simulation results are performed on two nonlinear systems to confirm the effectiveness of the proposed control strategy. Copyright © 2017 Elsevier Ltd. All rights reserved.
Unscented Kalman filter for SINS alignment
Institute of Scientific and Technical Information of China (English)
Zhou Zhanxin; Gao Yanan; Chen Jiabin
2007-01-01
In order to improve the filter accuracy for the nonlinear error model of strapdown inertial navigation system (SINS) alignment, Unscented Kalman Filter (UKF) is presented for simulation with stationary base and moving base of SINS alignment.Simulation results show the superior performance of this approach when compared with classical suboptimal techniques such as extended Kalman filter in cases of large initial misalignment.The UKF has good performance in case of small initial misalignment.
Constrained Optimal Stochastic Control of Non-Linear Wave Energy Point Absorbers
DEFF Research Database (Denmark)
Sichani, Mahdi Teimouri; Chen, Jian-Bing; Kramer, Morten
2014-01-01
to extract energy. Constrains are enforced on the control force to prevent large structural stresses in the floater at specific hot spots with the risk of inducing fatigue damage, or because the demanded control force cannot be supplied by the actuator system due to saturation. Further, constraints...... are enforced on the motion of the floater to prevent it from hitting the bottom of the sea or to make unacceptable jumps out of the water. The applied control law, which is of the feedback type with feedback from the displacement, velocity, and acceleration of the floater, contains two unprovided gain...
Directory of Open Access Journals (Sweden)
Olav Slupphaug
1999-07-01
Full Text Available In this paper a method for nonlinear robust stabilization based on solving a bilinear matrix inequality (BMI feasibility problem is developed. Robustness against model uncertainty is handled. In different non-overlapping regions of the state-space called clusters the plant is assumed to be an element in a polytope which vertices (local models are affine systems. In the clusters containing the origin in their closure, the local models are restricted to be linear systems. The clusters cover the region of interest in the state-space. An affine state-feedback is associated with each cluster. By utilizing the affinity of the local models and the state-feedback, a set of linear matrix inequalities (LMIs combined with a single nonconvex BMI are obtained which, if feasible, guarantee quadratic stability of the origin of the closed-loop. The feasibility problem is attacked by a branch-and-bound based global approach. If the feasibility check is successful, the Liapunov matrix and the piecewise affine state-feedback are given directly by the feasible solution. Control constraints are shown to be representable by LMIs or BMIs, and an application of the control design method to robustify constrained nonlinear model predictive control is presented. Also, the control design method is applied to a simple example.
International Nuclear Information System (INIS)
Beretta, Gian Paolo
2006-01-01
We discuss a nonlinear model for relaxation by energy redistribution within an isolated, closed system composed of noninteracting identical particles with energy levels e i with i=1,2,...,N. The time-dependent occupation probabilities p i (t) are assumed to obey the nonlinear rate equations τ dp i /dt=-p i ln p i -α(t)p i -β(t)e i p i where α(t) and β(t) are functionals of the p i (t)'s that maintain invariant the mean energy E=Σ i=1 N e i p i (t) and the normalization condition 1=Σ i=1 N p i (t). The entropy S(t)=-k B Σ i=1 N p i (t)ln p i (t) is a nondecreasing function of time until the initially nonzero occupation probabilities reach a Boltzmann-like canonical distribution over the occupied energy eigenstates. Initially zero occupation probabilities, instead, remain zero at all times. The solutions p i (t) of the rate equations are unique and well defined for arbitrary initial conditions p i (0) and for all times. The existence and uniqueness both forward and backward in time allows the reconstruction of the ancestral or primordial lowest entropy state. By casting the rate equations in terms not of the p i 's but of their positive square roots √(p i ), they unfold from the assumption that time evolution is at all times along the local direction of steepest entropy ascent or, equivalently, of maximal entropy generation. These rate equations have the same mathematical structure and basic features as the nonlinear dynamical equation proposed in a series of papers ending with G. P. Beretta, Found. Phys. 17, 365 (1987) and recently rediscovered by S. Gheorghiu-Svirschevski [Phys. Rev. A 63, 022105 (2001);63, 054102 (2001)]. Numerical results illustrate the features of the dynamics and the differences from the rate equations recently considered for the same problem by M. Lemanska and Z. Jaeger [Physica D 170, 72 (2002)]. We also interpret the functionals k B α(t) and k B β(t) as nonequilibrium generalizations of the thermodynamic-equilibrium Massieu
Directory of Open Access Journals (Sweden)
Qin Zou
2015-01-01
Full Text Available The control problem of a flexible hypersonic vehicle is presented, where input saturation and aerodynamic uncertainty are considered. A control-oriented model including aerodynamic uncertainty is derived for simple controller design due to the nonlinearity and complexity of hypersonic vehicle model. Then it is separated into velocity subsystem and altitude subsystem. On the basis of the integration of robust adaptive control and backstepping technique, respective controller is designed for each subsystem, where an auxiliary signal provided by an additional dynamic system is used to compensate for the control saturation effect. Then to deal with the “explosion of terms” problem inherent in backstepping control, a novel first-order filter is proposed. Simulation results are included to demonstrate the effectiveness of the adaptive backstepping control scheme.
Zhao, Meng; Ding, Baocang
2015-03-01
This paper considers the distributed model predictive control (MPC) of nonlinear large-scale systems with dynamically decoupled subsystems. According to the coupled state in the overall cost function of centralized MPC, the neighbors are confirmed and fixed for each subsystem, and the overall objective function is disassembled into each local optimization. In order to guarantee the closed-loop stability of distributed MPC algorithm, the overall compatibility constraint for centralized MPC algorithm is decomposed into each local controller. The communication between each subsystem and its neighbors is relatively low, only the current states before optimization and the optimized input variables after optimization are being transferred. For each local controller, the quasi-infinite horizon MPC algorithm is adopted, and the global closed-loop system is proven to be exponentially stable. Copyright © 2014 ISA. Published by Elsevier Ltd. All rights reserved.
Zhong, Shuya; Pantelous, Athanasios A.; Beer, Michael; Zhou, Jian
2018-05-01
Offshore wind farm is an emerging source of renewable energy, which has been shown to have tremendous potential in recent years. In this blooming area, a key challenge is that the preventive maintenance of offshore turbines should be scheduled reasonably to satisfy the power supply without failure. In this direction, two significant goals should be considered simultaneously as a trade-off. One is to maximise the system reliability and the other is to minimise the maintenance related cost. Thus, a non-linear multi-objective programming model is proposed including two newly defined objectives with thirteen families of constraints suitable for the preventive maintenance of offshore wind farms. In order to solve our model effectively, the nondominated sorting genetic algorithm II, especially for the multi-objective optimisation is utilised and Pareto-optimal solutions of schedules can be obtained to offer adequate support to decision-makers. Finally, an example is given to illustrate the performances of the devised model and algorithm, and explore the relationships of the two targets with the help of a contrast model.
Geodynamic inversion to constrain the non-linear rheology of the lithosphere
Baumann, T. S.; Kaus, Boris J. P.
2015-08-01
One of the main methods to determine the strength of the lithosphere is by estimating it's effective elastic thickness. This method assumes that the lithosphere is a thin elastic plate that floats on the mantle and uses both topography and gravity anomalies to estimate the plate thickness. Whereas this seems to work well for oceanic plates, it has given controversial results in continental collision zones. For most of these locations, additional geophysical data sets such as receiver functions and seismic tomography exist that constrain the geometry of the lithosphere and often show that it is rather complex. Yet, lithospheric geometry by itself is insufficient to understand the dynamics of the lithosphere as this also requires knowledge of the rheology of the lithosphere. Laboratory experiments suggest that rocks deform in a viscous manner if temperatures are high and stresses low, or in a plastic/brittle manner if the yield stress is exceeded. Yet, the experimental results show significant variability between various rock types and there are large uncertainties in extrapolating laboratory values to nature, which leaves room for speculation. An independent method is thus required to better understand the rheology and dynamics of the lithosphere in collision zones. The goal of this paper is to discuss such an approach. Our method relies on performing numerical thermomechanical forward models of the present-day lithosphere with an initial geometry that is constructed from geophysical data sets. We employ experimentally determined creep-laws for the various parts of the lithosphere, but assume that the parameters of these creep-laws as well as the temperature structure of the lithosphere are uncertain. This is used as a priori information to formulate a Bayesian inverse problem that employs topography, gravity, horizontal and vertical surface velocities to invert for the unknown material parameters and temperature structure. In order to test the general methodology
Xu, Yunjun; Remeikas, Charles; Pham, Khanh
2014-03-01
Cooperative trajectory planning is crucial for networked vehicles to respond rapidly in cluttered environments and has a significant impact on many applications such as air traffic or border security monitoring and assessment. One of the challenges in cooperative planning is to find a computationally efficient algorithm that can accommodate both the complexity of the environment and real hardware and configuration constraints of vehicles in the formation. Inspired by a local pursuit strategy observed in foraging ants, feasible and optimal trajectory planning algorithms are proposed in this paper for a class of nonlinear constrained cooperative vehicles in environments with densely populated obstacles. In an iterative hierarchical approach, the local behaviours, such as the formation stability, obstacle avoidance, and individual vehicle's constraints, are considered in each vehicle's (i.e. follower's) decentralised optimisation. The cooperative-level behaviours, such as the inter-vehicle collision avoidance, are considered in the virtual leader's centralised optimisation. Early termination conditions are derived to reduce the computational cost by not wasting time in the local-level optimisation if the virtual leader trajectory does not satisfy those conditions. The expected advantages of the proposed algorithms are (1) the formation can be globally asymptotically maintained in a decentralised manner; (2) each vehicle decides its local trajectory using only the virtual leader and its own information; (3) the formation convergence speed is controlled by one single parameter, which makes it attractive for many practical applications; (4) nonlinear dynamics and many realistic constraints, such as the speed limitation and obstacle avoidance, can be easily considered; (5) inter-vehicle collision avoidance can be guaranteed in both the formation transient stage and the formation steady stage; and (6) the computational cost in finding both the feasible and optimal
Xu, Y; Li, N
2014-09-01
Biological species have produced many simple but efficient rules in their complex and critical survival activities such as hunting and mating. A common feature observed in several biological motion strategies is that the predator only moves along paths in a carefully selected or iteratively refined subspace (or manifold), which might be able to explain why these motion strategies are effective. In this paper, a unified linear algebraic formulation representing such a predator-prey relationship is developed to simplify the construction and refinement process of the subspace (or manifold). Specifically, the following three motion strategies are studied and modified: motion camouflage, constant absolute target direction and local pursuit. The framework constructed based on this varying subspace concept could significantly reduce the computational cost in solving a class of nonlinear constrained optimal trajectory planning problems, particularly for the case with severe constraints. Two non-trivial examples, a ground robot and a hypersonic aircraft trajectory optimization problem, are used to show the capabilities of the algorithms in this new computational framework.
International Nuclear Information System (INIS)
Xu, Y; Li, N
2014-01-01
Biological species have produced many simple but efficient rules in their complex and critical survival activities such as hunting and mating. A common feature observed in several biological motion strategies is that the predator only moves along paths in a carefully selected or iteratively refined subspace (or manifold), which might be able to explain why these motion strategies are effective. In this paper, a unified linear algebraic formulation representing such a predator–prey relationship is developed to simplify the construction and refinement process of the subspace (or manifold). Specifically, the following three motion strategies are studied and modified: motion camouflage, constant absolute target direction and local pursuit. The framework constructed based on this varying subspace concept could significantly reduce the computational cost in solving a class of nonlinear constrained optimal trajectory planning problems, particularly for the case with severe constraints. Two non-trivial examples, a ground robot and a hypersonic aircraft trajectory optimization problem, are used to show the capabilities of the algorithms in this new computational framework. (paper)
Q-Method Extended Kalman Filter
Zanetti, Renato; Ainscough, Thomas; Christian, John; Spanos, Pol D.
2012-01-01
A new algorithm is proposed that smoothly integrates non-linear estimation of the attitude quaternion using Davenport s q-method and estimation of non-attitude states through an extended Kalman filter. The new method is compared to a similar existing algorithm showing its similarities and differences. The validity of the proposed approach is confirmed through numerical simulations.
Harmonic Detection at Initialization With Kalman Filter
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar; Imran, Raja Muhammad; Shoro, Ghulam Mustafa
2014-01-01
Most power electronic equipment these days generate harmonic disturbances, these devices hold nonlinear voltage/current characteristic. The harmonics generated can potentially be harmful to the consumer supply. Typically, filters are integrated at the power source or utility location to filter out...... the affect of harmonics on the supply. For the detection of these harmonics various techniques are available and one of that technique is the Kalman filter. In this paper we investigate that what are the consequences when harmonic detection system based on Kalman Filtering is initialized...
Multilevel ensemble Kalman filter
Chernov, Alexey; Hoel, Haakon; Law, Kody; Nobile, Fabio; Tempone, Raul
2016-01-01
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.
Multilevel ensemble Kalman filter
Chernov, Alexey
2016-01-06
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.
A quantum extended Kalman filter
International Nuclear Information System (INIS)
Emzir, Muhammad F; Woolley, Matthew J; Petersen, Ian R
2017-01-01
In quantum physics, a stochastic master equation (SME) estimates the state (density operator) of a quantum system in the Schrödinger picture based on a record of measurements made on the system. In the Heisenberg picture, the SME is a quantum filter. For a linear quantum system subject to linear measurements and Gaussian noise, the dynamics may be described by quantum stochastic differential equations (QSDEs), also known as quantum Langevin equations, and the quantum filter reduces to a so-called quantum Kalman filter. In this article, we introduce a quantum extended Kalman filter (quantum EKF), which applies a commutative approximation and a time-varying linearization to systems of nonlinear QSDEs. We will show that there are conditions under which a filter similar to a classical EKF can be implemented for quantum systems. The boundedness of estimation errors and the filtering problem with ‘state-dependent’ covariances for process and measurement noises are also discussed. We demonstrate the effectiveness of the quantum EKF by applying it to systems that involve multiple modes, nonlinear Hamiltonians, and simultaneous jump-diffusive measurements. (paper)
A quantum extended Kalman filter
Emzir, Muhammad F.; Woolley, Matthew J.; Petersen, Ian R.
2017-06-01
In quantum physics, a stochastic master equation (SME) estimates the state (density operator) of a quantum system in the Schrödinger picture based on a record of measurements made on the system. In the Heisenberg picture, the SME is a quantum filter. For a linear quantum system subject to linear measurements and Gaussian noise, the dynamics may be described by quantum stochastic differential equations (QSDEs), also known as quantum Langevin equations, and the quantum filter reduces to a so-called quantum Kalman filter. In this article, we introduce a quantum extended Kalman filter (quantum EKF), which applies a commutative approximation and a time-varying linearization to systems of nonlinear QSDEs. We will show that there are conditions under which a filter similar to a classical EKF can be implemented for quantum systems. The boundedness of estimation errors and the filtering problem with ‘state-dependent’ covariances for process and measurement noises are also discussed. We demonstrate the effectiveness of the quantum EKF by applying it to systems that involve multiple modes, nonlinear Hamiltonians, and simultaneous jump-diffusive measurements.
Vehicle Sideslip Angle Estimation Based on Hybrid Kalman Filter
Directory of Open Access Journals (Sweden)
Jing Li
2016-01-01
Full Text Available Vehicle sideslip angle is essential for active safety control systems. This paper presents a new hybrid Kalman filter to estimate vehicle sideslip angle based on the 3-DoF nonlinear vehicle dynamic model combined with Magic Formula tire model. The hybrid Kalman filter is realized by combining square-root cubature Kalman filter (SCKF, which has quick convergence and numerical stability, with square-root cubature based receding horizon Kalman FIR filter (SCRHKF, which has robustness against model uncertainty and temporary noise. Moreover, SCKF and SCRHKF work in parallel, and the estimation outputs of two filters are merged by interacting multiple model (IMM approach. Experimental results show the accuracy and robustness of the hybrid Kalman filter.
Data assimilation in the early phase: Kalman filtering RIMPUFF
DEFF Research Database (Denmark)
Astrup, P.; Turcanu, C.; Puch, R.O.
2004-01-01
of RODOS (Realtime Online DecisiOn Support system for nuclear emergencies) – has been developed. It is built on the Kalman filtering algorithm and it assimilates 10-minute averaged gamma dose rates measured atground level stations. Since the gamma rates are non-linear functions of the state vector...... variables, the applied Kalman filter is the so-called Extended Kalman filter. In more ways the implementation is non standard: 1) the number of state vectorvariables varies with time, and 2) the state vector variables are prediction updated with 1-minute time steps but only Kalman filtered every 10 minutes......, and this based on time averaged measurements. Given reasonable conditions, i.e. a spatially densedistribution of gamma monitors and a realistic wind field, the developed ADUM module is found to be able to enhance the prediction of the gamma dose field. Based on some of the Kalman filtering parameters, another...
The Kalman Filter Revisited Using Maximum Relative Entropy
Directory of Open Access Journals (Sweden)
Adom Giffin
2014-02-01
Full Text Available In 1960, Rudolf E. Kalman created what is known as the Kalman filter, which is a way to estimate unknown variables from noisy measurements. The algorithm follows the logic that if the previous state of the system is known, it could be used as the best guess for the current state. This information is first applied a priori to any measurement by using it in the underlying dynamics of the system. Second, measurements of the unknown variables are taken. These two pieces of information are taken into account to determine the current state of the system. Bayesian inference is specifically designed to accommodate the problem of updating what we think of the world based on partial or uncertain information. In this paper, we present a derivation of the general Bayesian filter, then adapt it for Markov systems. A simple example is shown for pedagogical purposes. We also show that by using the Kalman assumptions or “constraints”, we can arrive at the Kalman filter using the method of maximum (relative entropy (MrE, which goes beyond Bayesian methods. Finally, we derive a generalized, nonlinear filter using MrE, where the original Kalman Filter is a special case. We further show that the variable relationship can be any function, and thus, approximations, such as the extended Kalman filter, the unscented Kalman filter and other Kalman variants are special cases as well.
Extended Kalman Filter Modifications Based on an Optimization View Point
Skoglund, Martin; Hendeby, Gustaf; Axehill, Daniel
2015-01-01
The extended Kalman filter (EKF) has been animportant tool for state estimation of nonlinear systems sinceits introduction. However, the EKF does not possess the same optimality properties as the Kalman filter, and may perform poorly. By viewing the EKF as an optimization problem it is possible to, in many cases, improve its performance and robustness. The paper derives three variations of the EKF by applying different optimisation algorithms to the EKF costfunction and relate these to the it...
Constrained State Estimation for Individual Localization in Wireless Body Sensor Networks
Directory of Open Access Journals (Sweden)
Xiaoxue Feng
2014-11-01
Full Text Available Wireless body sensor networks based on ultra-wideband radio have recently received much research attention due to its wide applications in health-care, security, sports and entertainment. Accurate localization is a fundamental problem to realize the development of effective location-aware applications above. In this paper the problem of constrained state estimation for individual localization in wireless body sensor networks is addressed. Priori knowledge about geometry among the on-body nodes as additional constraint is incorporated into the traditional filtering system. The analytical expression of state estimation with linear constraint to exploit the additional information is derived. Furthermore, for nonlinear constraint, first-order and second-order linearizations via Taylor series expansion are proposed to transform the nonlinear constraint to the linear case. Examples between the first-order and second-order nonlinear constrained filters based on interacting multiple model extended kalman filter (IMM-EKF show that the second-order solution for higher order nonlinearity as present in this paper outperforms the first-order solution, and constrained IMM-EKF obtains superior estimation than IMM-EKF without constraint. Another brownian motion individual localization example also illustrates the effectiveness of constrained nonlinear iterative least square (NILS, which gets better filtering performance than NILS without constraint.
Constrained State Estimation for Individual Localization in Wireless Body Sensor Networks
Feng, Xiaoxue; Snoussi, Hichem; Liang, Yan; Jiao, Lianmeng
2014-01-01
Wireless body sensor networks based on ultra-wideband radio have recently received much research attention due to its wide applications in health-care, security, sports and entertainment. Accurate localization is a fundamental problem to realize the development of effective location-aware applications above. In this paper the problem of constrained state estimation for individual localization in wireless body sensor networks is addressed. Priori knowledge about geometry among the on-body nodes as additional constraint is incorporated into the traditional filtering system. The analytical expression of state estimation with linear constraint to exploit the additional information is derived. Furthermore, for nonlinear constraint, first-order and second-order linearizations via Taylor series expansion are proposed to transform the nonlinear constraint to the linear case. Examples between the first-order and second-order nonlinear constrained filters based on interacting multiple model extended kalman filter (IMM-EKF) show that the second-order solution for higher order nonlinearity as present in this paper outperforms the first-order solution, and constrained IMM-EKF obtains superior estimation than IMM-EKF without constraint. Another brownian motion individual localization example also illustrates the effectiveness of constrained nonlinear iterative least square (NILS), which gets better filtering performance than NILS without constraint. PMID:25390408
Constrained state estimation for individual localization in wireless body sensor networks.
Feng, Xiaoxue; Snoussi, Hichem; Liang, Yan; Jiao, Lianmeng
2014-11-10
Wireless body sensor networks based on ultra-wideband radio have recently received much research attention due to its wide applications in health-care, security, sports and entertainment. Accurate localization is a fundamental problem to realize the development of effective location-aware applications above. In this paper the problem of constrained state estimation for individual localization in wireless body sensor networks is addressed. Priori knowledge about geometry among the on-body nodes as additional constraint is incorporated into the traditional filtering system. The analytical expression of state estimation with linear constraint to exploit the additional information is derived. Furthermore, for nonlinear constraint, first-order and second-order linearizations via Taylor series expansion are proposed to transform the nonlinear constraint to the linear case. Examples between the first-order and second-order nonlinear constrained filters based on interacting multiple model extended kalman filter (IMM-EKF) show that the second-order solution for higher order nonlinearity as present in this paper outperforms the first-order solution, and constrained IMM-EKF obtains superior estimation than IMM-EKF without constraint. Another brownian motion individual localization example also illustrates the effectiveness of constrained nonlinear iterative least square (NILS), which gets better filtering performance than NILS without constraint.
Luo, Jianjun; Wei, Caisheng; Dai, Honghua; Yuan, Jianping
2018-03-01
This paper focuses on robust adaptive control for a class of uncertain nonlinear systems subject to input saturation and external disturbance with guaranteed predefined tracking performance. To reduce the limitations of classical predefined performance control method in the presence of unknown initial tracking errors, a novel predefined performance function with time-varying design parameters is first proposed. Then, aiming at reducing the complexity of nonlinear approximations, only two least-square-support-vector-machine-based (LS-SVM-based) approximators with two design parameters are required through norm form transformation of the original system. Further, a novel LS-SVM-based adaptive constrained control scheme is developed under the time-vary predefined performance using backstepping technique. Wherein, to avoid the tedious analysis and repeated differentiations of virtual control laws in the backstepping technique, a simple and robust finite-time-convergent differentiator is devised to only extract its first-order derivative at each step in the presence of external disturbance. In this sense, the inherent demerit of backstepping technique-;explosion of terms; brought by the recursive virtual controller design is conquered. Moreover, an auxiliary system is designed to compensate the control saturation. Finally, three groups of numerical simulations are employed to validate the effectiveness of the newly developed differentiator and the proposed adaptive constrained control scheme.
Practical feasibility of Kalman filters for the state estimation of lithium-ion batteries
Campestrini, Christian
2018-01-01
This work investigates the feasibility of the Kalman filter for the state estimation of lithium-ion cells and modules under real conditions. Therefore, the dependencies of the cells during ageing are shown and various Kalman filter types are compared. The strongly varying model parameters, as well as the temperature and ageing dependent open circuit voltage, require an empirical adaptation of the inconstant and non-linear filter tuning parameters. The performance of the Kalman filter in a rea...
Robotic fish tracking method based on suboptimal interval Kalman filter
Tong, Xiaohong; Tang, Chao
2017-11-01
Autonomous Underwater Vehicle (AUV) research focused on tracking and positioning, precise guidance and return to dock and other fields. The robotic fish of AUV has become a hot application in intelligent education, civil and military etc. In nonlinear tracking analysis of robotic fish, which was found that the interval Kalman filter algorithm contains all possible filter results, but the range is wide, relatively conservative, and the interval data vector is uncertain before implementation. This paper proposes a ptimization algorithm of suboptimal interval Kalman filter. Suboptimal interval Kalman filter scheme used the interval inverse matrix with its worst inverse instead, is more approximate nonlinear state equation and measurement equation than the standard interval Kalman filter, increases the accuracy of the nominal dynamic system model, improves the speed and precision of tracking system. Monte-Carlo simulation results show that the optimal trajectory of sub optimal interval Kalman filter algorithm is better than that of the interval Kalman filter method and the standard method of the filter.
Directory of Open Access Journals (Sweden)
Gerasimos G. Rigatos
2011-12-01
Full Text Available The paper studies sensorless control for DC and induction motors, using Kalman Filtering techniques. First the case of a DC motor is considered and Kalman Filter-based control is implemented. Next the nonlinear model of a field-oriented induction motor is examined and the motor
Mixed-Degree Spherical Simplex-Radial Cubature Kalman Filter
Directory of Open Access Journals (Sweden)
Shiyuan Wang
2017-01-01
Full Text Available Conventional low degree spherical simplex-radial cubature Kalman filters often generate low filtering accuracy or even diverge for handling highly nonlinear systems. The high-degree Kalman filters can improve filtering accuracy at the cost of increasing computational complexity; nevertheless their stability will be influenced by the negative weights existing in the high-dimensional systems. To efficiently improve filtering accuracy and stability, a novel mixed-degree spherical simplex-radial cubature Kalman filter (MSSRCKF is proposed in this paper. The accuracy analysis shows that the true posterior mean and covariance calculated by the proposed MSSRCKF can agree accurately with the third-order moment and the second-order moment, respectively. Simulation results show that, in comparison with the conventional spherical simplex-radial cubature Kalman filters that are based on the same degrees, the proposed MSSRCKF can perform superior results from the aspects of filtering accuracy and computational complexity.
Energy Technology Data Exchange (ETDEWEB)
Delbos, F.
2004-11-01
Reflexion tomography allows the determination of a subsurface velocity model from the travel times of seismic waves. The introduction of a priori information in this inverse problem can lead to the resolution of a constrained non-linear least-squares problem. The goal of the thesis is to improve the resolution techniques of this optimization problem, whose main difficulties are its ill-conditioning, its large scale and an expensive cost function in terms of CPU time. Thanks to a detailed study of the problem and to numerous numerical experiments, we justify the use of a sequential quadratic programming method, in which the tangential quadratic programs are solved by an original augmented Lagrangian method. We show the global linear convergence of the latter. The efficiency and robustness of the approach are demonstrated on several synthetic examples and on two real data cases. (author)
Energy Technology Data Exchange (ETDEWEB)
Delbos, F
2004-11-01
Reflexion tomography allows the determination of a subsurface velocity model from the travel times of seismic waves. The introduction of a priori information in this inverse problem can lead to the resolution of a constrained non-linear least-squares problem. The goal of the thesis is to improve the resolution techniques of this optimization problem, whose main difficulties are its ill-conditioning, its large scale and an expensive cost function in terms of CPU time. Thanks to a detailed study of the problem and to numerous numerical experiments, we justify the use of a sequential quadratic programming method, in which the tangential quadratic programs are solved by an original augmented Lagrangian method. We show the global linear convergence of the latter. The efficiency and robustness of the approach are demonstrated on several synthetic examples and on two real data cases. (author)
An Unbiased Unscented Transform Based Kalman Filter for 3D Radar
Institute of Scientific and Technical Information of China (English)
WANGGuohong; XIUJianjuan; HEYou
2004-01-01
As a derivative-free alternative to the Extended Kalman filter (EKF) in the framework of state estimation, the Unscented Kalman filter (UKF) has potential applications in nonlinear filtering. By noting the fact that the unscented transform is generally biased when converting the radar measurements from spherical coordinates into Cartesian coordinates, a new filtering algorithm for 3D radar, called Unbiased unscented Kalman filter (UUKF), is proposed. The new algorithm is validated by Monte Carlo simulation runs. Simulation results show that the UUKF is more effective than the UKF, EKF and the Converted measurement Kalman filter (CMKF).
Estimation of Sideslip Angle Based on Extended Kalman Filter
Directory of Open Access Journals (Sweden)
Yupeng Huang
2017-01-01
Full Text Available The sideslip angle plays an extremely important role in vehicle stability control, but the sideslip angle in production car cannot be obtained from sensor directly in consideration of the cost of the sensor; it is essential to estimate the sideslip angle indirectly by means of other vehicle motion parameters; therefore, an estimation algorithm with real-time performance and accuracy is critical. Traditional estimation method based on Kalman filter algorithm is correct in vehicle linear control area; however, on low adhesion road, vehicles have obvious nonlinear characteristics. In this paper, extended Kalman filtering algorithm had been put forward in consideration of the nonlinear characteristic of the tire and was verified by the Carsim and Simulink joint simulation, such as the simulation on the wet cement road and the ice and snow road with double lane change. To test and verify the effect of extended Kalman filtering estimation algorithm, the real vehicle test was carried out on the limit test field. The experimental results show that the accuracy of vehicle sideslip angle acquired by extended Kalman filtering algorithm is obviously higher than that acquired by Kalman filtering in the area of the nonlinearity.
Multilevel ensemble Kalman filtering
Hoel, Haakon
2016-01-08
The ensemble Kalman filter (EnKF) is a sequential filtering method that uses an ensemble of particle paths to estimate the means and covariances required by the Kalman filter by the use of sample moments, i.e., the Monte Carlo method. EnKF is often both robust and efficient, but its performance may suffer in settings where the computational cost of accurate simulations of particles is high. The multilevel Monte Carlo method (MLMC) is an extension of classical Monte Carlo methods which by sampling stochastic realizations on a hierarchy of resolutions may reduce the computational cost of moment approximations by orders of magnitude. In this work we have combined the ideas of MLMC and EnKF to construct the multilevel ensemble Kalman filter (MLEnKF) for the setting of finite dimensional state and observation spaces. The main ideas of this method is to compute particle paths on a hierarchy of resolutions and to apply multilevel estimators on the ensemble hierarchy of particles to compute Kalman filter means and covariances. Theoretical results and a numerical study of the performance gains of MLEnKF over EnKF will be presented. Some ideas on the extension of MLEnKF to settings with infinite dimensional state spaces will also be presented.
Multilevel ensemble Kalman filtering
Hoel, Haakon; Chernov, Alexey; Law, Kody; Nobile, Fabio; Tempone, Raul
2016-01-01
The ensemble Kalman filter (EnKF) is a sequential filtering method that uses an ensemble of particle paths to estimate the means and covariances required by the Kalman filter by the use of sample moments, i.e., the Monte Carlo method. EnKF is often both robust and efficient, but its performance may suffer in settings where the computational cost of accurate simulations of particles is high. The multilevel Monte Carlo method (MLMC) is an extension of classical Monte Carlo methods which by sampling stochastic realizations on a hierarchy of resolutions may reduce the computational cost of moment approximations by orders of magnitude. In this work we have combined the ideas of MLMC and EnKF to construct the multilevel ensemble Kalman filter (MLEnKF) for the setting of finite dimensional state and observation spaces. The main ideas of this method is to compute particle paths on a hierarchy of resolutions and to apply multilevel estimators on the ensemble hierarchy of particles to compute Kalman filter means and covariances. Theoretical results and a numerical study of the performance gains of MLEnKF over EnKF will be presented. Some ideas on the extension of MLEnKF to settings with infinite dimensional state spaces will also be presented.
Tracking speckle displacement by double Kalman filtering
Institute of Scientific and Technical Information of China (English)
Donghui Li; Li Guo
2006-01-01
@@ A tracking technique using two sequentially-connected Kalman filter for tracking laser speckle displacement is presented. One Kalman filter tracks temporal speckle displacement, while another Kalman filter tracks spatial speckle displacement. The temporal Kalman filter provides a prior for the spatial Kalman filter, and the spatial Kalman filter provides measurements for the temporal Kalman filter. The contribution of a prior to estimations of the spatial Kalman filter is analyzed. An optical analysis system was set up to verify the double-Kalman-filter tracker's ability of tracking laser speckle's constant displacement.
DEFF Research Database (Denmark)
Drecourt, J.-P.; Madsen, H.; Rosbjerg, Dan
2006-01-01
This paper reviews two different approaches that have been proposed to tackle the problems of model bias with the Kalman filter: the use of a colored noise model and the implementation of a separate bias filter. Both filters are implemented with and without feedback of the bias into the model state....... The colored noise filter formulation is extended to correct both time correlated and uncorrelated model error components. A more stable version of the separate filter without feedback is presented. The filters are implemented in an ensemble framework using Latin hypercube sampling. The techniques...... are illustrated on a simple one-dimensional groundwater problem. The results show that the presented filters outperform the standard Kalman filter and that the implementations with bias feedback work in more general conditions than the implementations without feedback. 2005 Elsevier Ltd. All rights reserved....
Estimation of three-dimensional radar tracking using modified extended kalman filter
Aditya, Prima; Apriliani, Erna; Khusnul Arif, Didik; Baihaqi, Komar
2018-03-01
Kalman filter is an estimation method by combining data and mathematical models then developed be extended Kalman filter to handle nonlinear systems. Three-dimensional radar tracking is one of example of nonlinear system. In this paper developed a modification method of extended Kalman filter from the direct decline of the three-dimensional radar tracking case. The development of this filter algorithm can solve the three-dimensional radar measurements in the case proposed in this case the target measured by radar with distance r, azimuth angle θ, and the elevation angle ϕ. Artificial covariance and mean adjusted directly on the three-dimensional radar system. Simulations result show that the proposed formulation is effective in the calculation of nonlinear measurement compared with extended Kalman filter with the value error at 0.77% until 1.15%.
Gas Path Health Monitoring for a Turbofan Engine Based on a Nonlinear Filtering Approach
Directory of Open Access Journals (Sweden)
Yiqiu Lv
2013-01-01
Full Text Available Different approaches for gas path performance estimation of dynamic systems are commonly used, the most common being the variants of the Kalman filter. The extended Kalman filter (EKF method is a popular approach for nonlinear systems which combines the traditional Kalman filtering and linearization techniques to effectively deal with weakly nonlinear and non-Gaussian problems. Its mathematical formulation is based on the assumption that the probability density function (PDF of the state vector can be approximated to be Gaussian. Recent investigations have focused on the particle filter (PF based on Monte Carlo sampling algorithms for tackling strong nonlinear and non-Gaussian models. Considering the aircraft engine is a complicated machine, operating under a harsh environment, and polluted by complex noises, the PF might be an available way to monitor gas path health for aircraft engines. Up to this point in time a number of Kalman filtering approaches have been used for aircraft turbofan engine gas path health estimation, but the particle filters have not been used for this purpose and a systematic comparison has not been published. This paper presents gas path health monitoring based on the PF and the constrained extend Kalman particle filter (cEKPF, and then compares the estimation accuracy and computational effort of these filters to the EKF for aircraft engine performance estimation under rapid faults and general deterioration. Finally, the effects of the constraint mechanism and particle number on the cEKPF are discussed. We show in this paper that the cEKPF outperforms the EKF, PF and EKPF, and conclude that the cEKPF is the best choice for turbofan engine health monitoring.
Kalman Filter Constraint Tuning for Turbofan Engine Health Estimation
Simon, Dan; Simon, Donald L.
2005-01-01
Kalman filters are often used to estimate the state variables of a dynamic system. However, in the application of Kalman filters some known signal information is often either ignored or dealt with heuristically. For instance, state variable constraints are often neglected because they do not fit easily into the structure of the Kalman filter. Recently published work has shown a new method for incorporating state variable inequality constraints in the Kalman filter, which has been shown to generally improve the filter s estimation accuracy. However, the incorporation of inequality constraints poses some risk to the estimation accuracy as the Kalman filter is theoretically optimal. This paper proposes a way to tune the filter constraints so that the state estimates follow the unconstrained (theoretically optimal) filter when the confidence in the unconstrained filter is high. When confidence in the unconstrained filter is not so high, then we use our heuristic knowledge to constrain the state estimates. The confidence measure is based on the agreement of measurement residuals with their theoretical values. The algorithm is demonstrated on a linearized simulation of a turbofan engine to estimate engine health.
Mixtures of skewed Kalman filters
Kim, Hyoungmoon; Ryu, Duchwan; Mallick, Bani K.; Genton, Marc G.
2014-01-01
Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class
Neural network training by Kalman filtering in process system monitoring
International Nuclear Information System (INIS)
Ciftcioglu, Oe.
1996-03-01
Kalman filtering approach for neural network training is described. Its extended form is used as an adaptive filter in a nonlinear environment of the form a feedforward neural network. Kalman filtering approach generally provides fast training as well as avoiding excessive learning which results in enhanced generalization capability. The network is used in a process monitoring application where the inputs are measurement signals. Since the measurement errors are also modelled in Kalman filter the approach yields accurate training with the implication of accurate neural network model representing the input and output relationships in the application. As the process of concern is a dynamic system, the input source of information to neural network is time dependent so that the training algorithm presents an adaptive form for real-time operation for the monitoring task. (orig.)
Multilevel ensemble Kalman filtering
Hoel, Hakon
2016-06-14
This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.
Multilevel ensemble Kalman filtering
Hoel, Hakon; Law, Kody J. H.; Tempone, Raul
2016-01-01
This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody
2016-05-03
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody; Tembine, Hamidou; Tempone, Raul
2016-01-01
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
Representing earthquake ground motion as time varying ARMA model, the instantaneous spectrum can only be determined by the time varying coefficients of the corresponding ARMA model. In this paper, unscented Kalman filter is applied to estimate the time varying coefficients. The comparison between the estimation results of unscented Kalman filter and Kalman filter methods shows that unscented Kalman filter can more precisely represent the distribution of the spectral peaks in time-frequency plane than Kalman filter, and its time and frequency resolution is finer which ensures its better ability to track the local properties of earthquake ground motions and to identify the systems with nonlinearity or abruptness. Moreover, the estimation results of ARMA models with different orders indicate that the theoretical frequency resolving power ofARMA model which was usually ignored in former studies has great effect on the estimation precision of instantaneous spectrum and it should be taken as one of the key factors in order selection of ARMA model.
Data assimilation in the early phase: Kalman filtering RIMPUFF
International Nuclear Information System (INIS)
Astrup, P.; Turcanu, C.; Puch, R.O.; Palma, C.R.; Mikkelsen, T.
2004-09-01
In the framework of the DAONEM project (Data Assimilation for Off-site Nuclear Emergency Management), a data assimilation module, ADUM (Atmospheric Dispersion Updating Module), for the mesoscale atmospheric dispersion program RIMPUFF (Risoe Mesoscale Puff model) part of the early-phase programs of RODOS (Realtime Online DecisiOn Support system for nuclear emergencies) has been developed. It is built on the Kalman filtering algorithm and it assimilates 10-minute averaged gamma dose rates measured at ground level stations. Since the gamma rates are non-linear functions of the state vector variables, the applied Kalman filter is the so-called Extended Kalman filter. In more ways the implementation is non standard: 1) the number of state vector variables varies with time, and 2) the state vector variables are prediction updated with 1-minute time steps but only Kalman filtered every 10 minutes, and this based on time averaged measurements. Given reasonable conditions, i.e. a spatially dense distribution of gamma monitors and a realistic wind field, the developed ADUM module is found to be able to enhance the prediction of the gamma dose field. Based on some of the Kalman filtering parameters, another module, ToDeMM, has been developed for providing the late-phase DeMM (Deposition Monitoring Module) of RODOS with an ensemble of fields of ground level air concentrations and wet deposited material. This accounts for the uncertainty estimation of this kind of quantities as calculated by RIMPUFF for use by DeMM. (au)
Square Root Unscented Kalman Filters for State Estimation of Induction Motor Drives
DEFF Research Database (Denmark)
Lascu, Cristian; Jafarzadeh, Saeed; Fadali, M.Sami
2013-01-01
This paper investigates the application, design, and implementation of the square root unscented Kalman filter (UKF) (SRUKF) for induction motor (IM) sensorless drives. The UKF uses nonlinear unscented transforms (UTs) in the prediction step in order to preserve the stochastic characteristics...... of a nonlinear system. The advantage of using the UT is its ability to capture the nonlinear behavior of the system, unlike the extended Kalman filter (EKF) that uses linearized models. The SRUKF implements the UKF using square root filtering to reduce computational errors. We discuss the theoretical aspects...
An aperiodic phenomenon of the unscented Kalman filter in filtering noisy chaotic signals
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
A non-periodic oscillatory behavior of the unscented Kalman filter (UKF) when used to filter noisy contaminated chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may not converge or diverge but oscillate aperiodically. More precisely, when a nonlinear system is periodic, the Kalman gain and error covariance of the UKF converge to zero. However, when the system being considered is chaotic, the Kalman gain either converges to a fixed point with a magnitude larger than zero or oscillates aperiodically.
Comparison of Sigma-Point and Extended Kalman Filters on a Realistic Orbit Determination Scenario
Gaebler, John; Hur-Diaz. Sun; Carpenter, Russell
2010-01-01
Sigma-point filters have received a lot of attention in recent years as a better alternative to extended Kalman filters for highly nonlinear problems. In this paper, we compare the performance of the additive divided difference sigma-point filter to the extended Kalman filter when applied to orbit determination of a realistic operational scenario based on the Interstellar Boundary Explorer mission. For the scenario studied, both filters provided equivalent results. The performance of each is discussed in detail.
Minimal constrained supergravity
Energy Technology Data Exchange (ETDEWEB)
Cribiori, N. [Dipartimento di Fisica e Astronomia “Galileo Galilei”, Università di Padova, Via Marzolo 8, 35131 Padova (Italy); INFN, Sezione di Padova, Via Marzolo 8, 35131 Padova (Italy); Dall' Agata, G., E-mail: dallagat@pd.infn.it [Dipartimento di Fisica e Astronomia “Galileo Galilei”, Università di Padova, Via Marzolo 8, 35131 Padova (Italy); INFN, Sezione di Padova, Via Marzolo 8, 35131 Padova (Italy); Farakos, F. [Dipartimento di Fisica e Astronomia “Galileo Galilei”, Università di Padova, Via Marzolo 8, 35131 Padova (Italy); INFN, Sezione di Padova, Via Marzolo 8, 35131 Padova (Italy); Porrati, M. [Center for Cosmology and Particle Physics, Department of Physics, New York University, 4 Washington Place, New York, NY 10003 (United States)
2017-01-10
We describe minimal supergravity models where supersymmetry is non-linearly realized via constrained superfields. We show that the resulting actions differ from the so called “de Sitter” supergravities because we consider constraints eliminating directly the auxiliary fields of the gravity multiplet.
Minimal constrained supergravity
Directory of Open Access Journals (Sweden)
N. Cribiori
2017-01-01
Full Text Available We describe minimal supergravity models where supersymmetry is non-linearly realized via constrained superfields. We show that the resulting actions differ from the so called “de Sitter” supergravities because we consider constraints eliminating directly the auxiliary fields of the gravity multiplet.
Minimal constrained supergravity
International Nuclear Information System (INIS)
Cribiori, N.; Dall'Agata, G.; Farakos, F.; Porrati, M.
2017-01-01
We describe minimal supergravity models where supersymmetry is non-linearly realized via constrained superfields. We show that the resulting actions differ from the so called “de Sitter” supergravities because we consider constraints eliminating directly the auxiliary fields of the gravity multiplet.
On a New Family of Kalman Filter Algorithms for Integrated Navigation
Mahboub, V.; Saadatseresht, M.; Ardalan, A. A.
2017-09-01
Here we present a review on a new family of Kalman filter algorithms which recently developed for integrated navigation. In particular it is useful for vision based navigation due to the type of data. Here we mainly focus on three algorithms namely weighted Total Kalman filter (WTKF), integrated Kalman filter (IKF) and constrained integrated Kalman filter (CIKF). The common characteristic of these algorithms is that they can consider the neglected random observed quantities which may appear in the dynamic model. Moreover, our approach makes use of condition equations and straightforward variance propagation rules. The WTKF algorithm can deal with problems with arbitrary weight matrixes. Both of the observation equations and system equations can be dynamic-errors-in-variables (DEIV) models in the IKF algorithms. In some problems a quadratic constraint may exist. They can be solved by CIKF algorithm. Finally, we compare four algorithms WTKF, IKF, CIKF and EKF in numerical examples.
Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems.
Tseng, Chien-Hao; Lin, Sheng-Fuu; Jwo, Dah-Jing
2016-07-26
This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF) and fuzzy logic adaptive system (FLAS) for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system) integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF) is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD) parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF), unscented Kalman filter (UKF), and CKF approaches.
Iterated unscented Kalman filter for phase unwrapping of interferometric fringes.
Xie, Xianming
2016-08-22
A fresh phase unwrapping algorithm based on iterated unscented Kalman filter is proposed to estimate unambiguous unwrapped phase of interferometric fringes. This method is the result of combining an iterated unscented Kalman filter with a robust phase gradient estimator based on amended matrix pencil model, and an efficient quality-guided strategy based on heap sort. The iterated unscented Kalman filter that is one of the most robust methods under the Bayesian theorem frame in non-linear signal processing so far, is applied to perform simultaneously noise suppression and phase unwrapping of interferometric fringes for the first time, which can simplify the complexity and the difficulty of pre-filtering procedure followed by phase unwrapping procedure, and even can remove the pre-filtering procedure. The robust phase gradient estimator is used to efficiently and accurately obtain phase gradient information from interferometric fringes, which is needed for the iterated unscented Kalman filtering phase unwrapping model. The efficient quality-guided strategy is able to ensure that the proposed method fast unwraps wrapped pixels along the path from the high-quality area to the low-quality area of wrapped phase images, which can greatly improve the efficiency of phase unwrapping. Results obtained from synthetic data and real data show that the proposed method can obtain better solutions with an acceptable time consumption, with respect to some of the most used algorithms.
Low-Rank Kalman Filtering in Subsurface Contaminant Transport Models
El Gharamti, Mohamad
2010-12-01
Understanding the geology and the hydrology of the subsurface is important to model the fluid flow and the behavior of the contaminant. It is essential to have an accurate knowledge of the movement of the contaminants in the porous media in order to track them and later extract them from the aquifer. A two-dimensional flow model is studied and then applied on a linear contaminant transport model in the same porous medium. Because of possible different sources of uncertainties, the deterministic model by itself cannot give exact estimations for the future contaminant state. Incorporating observations in the model can guide it to the true state. This is usually done using the Kalman filter (KF) when the system is linear and the extended Kalman filter (EKF) when the system is nonlinear. To overcome the high computational cost required by the KF, we use the singular evolutive Kalman filter (SEKF) and the singular evolutive extended Kalman filter (SEEKF) approximations of the KF operating with low-rank covariance matrices. The SEKF can be implemented on large dimensional contaminant problems while the usage of the KF is not possible. Experimental results show that with perfect and imperfect models, the low rank filters can provide as much accurate estimates as the full KF but at much less computational cost. Localization can help the filter analysis as long as there are enough neighborhood data to the point being analyzed. Estimating the permeabilities of the aquifer is successfully tackled using both the EKF and the SEEKF.
Low-Rank Kalman Filtering in Subsurface Contaminant Transport Models
El Gharamti, Mohamad
2010-01-01
Understanding the geology and the hydrology of the subsurface is important to model the fluid flow and the behavior of the contaminant. It is essential to have an accurate knowledge of the movement of the contaminants in the porous media in order to track them and later extract them from the aquifer. A two-dimensional flow model is studied and then applied on a linear contaminant transport model in the same porous medium. Because of possible different sources of uncertainties, the deterministic model by itself cannot give exact estimations for the future contaminant state. Incorporating observations in the model can guide it to the true state. This is usually done using the Kalman filter (KF) when the system is linear and the extended Kalman filter (EKF) when the system is nonlinear. To overcome the high computational cost required by the KF, we use the singular evolutive Kalman filter (SEKF) and the singular evolutive extended Kalman filter (SEEKF) approximations of the KF operating with low-rank covariance matrices. The SEKF can be implemented on large dimensional contaminant problems while the usage of the KF is not possible. Experimental results show that with perfect and imperfect models, the low rank filters can provide as much accurate estimates as the full KF but at much less computational cost. Localization can help the filter analysis as long as there are enough neighborhood data to the point being analyzed. Estimating the permeabilities of the aquifer is successfully tackled using both the EKF and the SEEKF.
Fuzzy Adaptive Cubature Kalman Filter for Integrated Navigation Systems
Directory of Open Access Journals (Sweden)
Chien-Hao Tseng
2016-07-01
Full Text Available This paper presents a sensor fusion method based on the combination of cubature Kalman filter (CKF and fuzzy logic adaptive system (FLAS for the integrated navigation systems, such as the GPS/INS (Global Positioning System/inertial navigation system integration. The third-degree spherical-radial cubature rule applied in the CKF has been employed to avoid the numerically instability in the system model. In processing navigation integration, the performance of nonlinear filter based estimation of the position and velocity states may severely degrade caused by modeling errors due to dynamics uncertainties of the vehicle. In order to resolve the shortcoming for selecting the process noise covariance through personal experience or numerical simulation, a scheme called the fuzzy adaptive cubature Kalman filter (FACKF is presented by introducing the FLAS to adjust the weighting factor of the process noise covariance matrix. The FLAS is incorporated into the CKF framework as a mechanism for timely implementing the tuning of process noise covariance matrix based on the information of degree of divergence (DOD parameter. The proposed FACKF algorithm shows promising accuracy improvement as compared to the extended Kalman filter (EKF, unscented Kalman filter (UKF, and CKF approaches.
Fire spread estimation on forest wildfire using ensemble kalman filter
Syarifah, Wardatus; Apriliani, Erna
2018-04-01
Wildfire is one of the most frequent disasters in the world, for example forest wildfire, causing population of forest decrease. Forest wildfire, whether naturally occurring or prescribed, are potential risks for ecosystems and human settlements. These risks can be managed by monitoring the weather, prescribing fires to limit available fuel, and creating firebreaks. With computer simulations we can predict and explore how fires may spread. The model of fire spread on forest wildfire was established to determine the fire properties. The fire spread model is prepared based on the equation of the diffusion reaction model. There are many methods to estimate the spread of fire. The Kalman Filter Ensemble Method is a modified estimation method of the Kalman Filter algorithm that can be used to estimate linear and non-linear system models. In this research will apply Ensemble Kalman Filter (EnKF) method to estimate the spread of fire on forest wildfire. Before applying the EnKF method, the fire spread model will be discreted using finite difference method. At the end, the analysis obtained illustrated by numerical simulation using software. The simulation results show that the Ensemble Kalman Filter method is closer to the system model when the ensemble value is greater, while the covariance value of the system model and the smaller the measurement.
Directory of Open Access Journals (Sweden)
Gerasimos G. Rigatos
2011-12-01
Full Text Available The paper studies sensorless control for DC and induction motors, using Kalman Filtering techniques. First the case of a DC motor is considered and Kalman Filter-based control is implemented. Next the nonlinear model of a field-oriented induction motor is examined and the motor's angular velocity is estimated by an Extended Kalman Filter which processes measurements of the rotor's angle. Sensorless control of the induction motor is again implemented through feedback of the estimated state vector. Additionally, a state estimation-based control loop is implemented using the Unscented Kalman Filter. Moreover, state estimation-based control is developed for the induction motor model using a nonlinear flatness-based controller and the state estimation that is provided by the Extended Kalman Filter. Unlike field oriented control, in the latter approach there is no assumption about decoupling between the rotor speed dynamics and the magnetic flux dynamics. The efficiency of the Kalman Filter-based control schemes, for both the DC and induction motor models, is evaluated through simulation experiments.
Kelly, D. A.; Fermelia, A.; Lee, G. K. F.
1990-01-01
An adaptive Kalman filter design that utilizes recursive maximum likelihood parameter identification is discussed. At the center of this design is the Kalman filter itself, which has the responsibility for attitude determination. At the same time, the identification algorithm is continually identifying the system parameters. The approach is applicable to nonlinear, as well as linear systems. This adaptive Kalman filter design has much potential for real time implementation, especially considering the fast clock speeds, cache memory and internal RAM available today. The recursive maximum likelihood algorithm is discussed in detail, with special attention directed towards its unique matrix formulation. The procedure for using the algorithm is described along with comments on how this algorithm interacts with the Kalman filter.
A new deterministic Ensemble Kalman Filter with one-step-ahead smoothing for storm surge forecasting
Raboudi, Naila
2016-11-01
The Ensemble Kalman Filter (EnKF) is a popular data assimilation method for state-parameter estimation. Following a sequential assimilation strategy, it breaks the problem into alternating cycles of forecast and analysis steps. In the forecast step, the dynamical model is used to integrate a stochastic sample approximating the state analysis distribution (called analysis ensemble) to obtain a forecast ensemble. In the analysis step, the forecast ensemble is updated with the incoming observation using a Kalman-like correction, which is then used for the next forecast step. In realistic large-scale applications, EnKFs are implemented with limited ensembles, and often poorly known model errors statistics, leading to a crude approximation of the forecast covariance. This strongly limits the filter performance. Recently, a new EnKF was proposed in [1] following a one-step-ahead smoothing strategy (EnKF-OSA), which involves an OSA smoothing of the state between two successive analysis. At each time step, EnKF-OSA exploits the observation twice. The incoming observation is first used to smooth the ensemble at the previous time step. The resulting smoothed ensemble is then integrated forward to compute a "pseudo forecast" ensemble, which is again updated with the same observation. The idea of constraining the state with future observations is to add more information in the estimation process in order to mitigate for the sub-optimal character of EnKF-like methods. The second EnKF-OSA "forecast" is computed from the smoothed ensemble and should therefore provide an improved background. In this work, we propose a deterministic variant of the EnKF-OSA, based on the Singular Evolutive Interpolated Ensemble Kalman (SEIK) filter. The motivation behind this is to avoid the observations perturbations of the EnKF in order to improve the scheme\\'s behavior when assimilating big data sets with small ensembles. The new SEIK-OSA scheme is implemented and its efficiency is demonstrated
Adaptive probabilistic collocation based Kalman filter for unsaturated flow problem
Man, J.; Li, W.; Zeng, L.; Wu, L.
2015-12-01
The ensemble Kalman filter (EnKF) has gained popularity in hydrological data assimilation problems. As a Monte Carlo based method, a relatively large ensemble size is usually required to guarantee the accuracy. As an alternative approach, the probabilistic collocation based Kalman filter (PCKF) employs the Polynomial Chaos to approximate the original system. In this way, the sampling error can be reduced. However, PCKF suffers from the so called "cure of dimensionality". When the system nonlinearity is strong and number of parameters is large, PCKF is even more computationally expensive than EnKF. Motivated by recent developments in uncertainty quantification, we propose a restart adaptive probabilistic collocation based Kalman filter (RAPCKF) for data assimilation in unsaturated flow problem. During the implementation of RAPCKF, the important parameters are identified and active PCE basis functions are adaptively selected. The "restart" technology is used to alleviate the inconsistency between model parameters and states. The performance of RAPCKF is tested by unsaturated flow numerical cases. It is shown that RAPCKF is more efficient than EnKF with the same computational cost. Compared with the traditional PCKF, the RAPCKF is more applicable in strongly nonlinear and high dimensional problems.
On the evaluation of uncertainties for state estimation with the Kalman filter
International Nuclear Information System (INIS)
Eichstädt, S; Makarava, N; Elster, C
2016-01-01
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous areas. It provides sequentially calculated estimates of the system states along with a corresponding covariance matrix. For nonlinear systems, the extended Kalman filter is often used. This is derived from the Kalman filter by linearization around the current estimate. A key issue in metrology is the evaluation of the uncertainty associated with the Kalman filter state estimates. The ‘Guide to the Expression of Uncertainty in Measurement’ (GUM) and its supplements serve as the de facto standard for uncertainty evaluation in metrology. We explore the relationship between the covariance matrix produced by the Kalman filter and a GUM-compliant uncertainty analysis. In addition, the results of a Bayesian analysis are considered. For the case of linear systems with known system matrices, we show that all three approaches are compatible. When the system matrices are not precisely known, however, or when the system is nonlinear, this equivalence breaks down and different results can then be reached. For precisely known nonlinear systems, though, the result of the extended Kalman filter still corresponds to the linearized uncertainty propagation of the GUM. The extended Kalman filter can suffer from linearization and convergence errors. These disadvantages can be avoided to some extent by applying Monte Carlo procedures, and we propose such a method which is GUM-compliant and can also be applied online during the estimation. We illustrate all procedures in terms of a 2D dynamic system and compare the results with those obtained by particle filtering, which has been proposed for the approximate calculation of a Bayesian solution. Finally, we give some recommendations based on our findings. (paper)
Weighted ensemble transform Kalman filter for image assimilation
Directory of Open Access Journals (Sweden)
Sebastien Beyou
2013-01-01
Full Text Available This study proposes an extension of the Weighted Ensemble Kalman filter (WEnKF proposed by Papadakis et al. (2010 for the assimilation of image observations. The main focus of this study is on a novel formulation of the Weighted filter with the Ensemble Transform Kalman filter (WETKF, incorporating directly as a measurement model a non-linear image reconstruction criterion. This technique has been compared to the original WEnKF on numerical and real world data of 2-D turbulence observed through the transport of a passive scalar. In particular, it has been applied for the reconstruction of oceanic surface current vorticity fields from sea surface temperature (SST satellite data. This latter technique enables a consistent recovery along time of oceanic surface currents and vorticity maps in presence of large missing data areas and strong noise.
Spectral Diagonal Ensemble Kalman Filters
Czech Academy of Sciences Publication Activity Database
Kasanický, Ivan; Mandel, Jan; Vejmelka, Martin
2015-01-01
Roč. 22, č. 4 (2015), s. 485-497 ISSN 1023-5809 R&D Projects: GA ČR GA13-34856S Grant - others:NSF(US) DMS-1216481 Institutional support: RVO:67985807 Keywords : data assimilation * ensemble Kalman filter * spectral representation Subject RIV: DG - Athmosphere Sciences, Meteorology Impact factor: 1.321, year: 2015
Directory of Open Access Journals (Sweden)
Adriana Salinas
2016-02-01
Full Text Available This article addresses the joint position control of torque-driven robot manipulators under actuators subject to torque saturation. Robots having viscous friction, but without gravity vector, are considered. By assuming a static model for the torque actuator (specifically, a model of nonlinear and non-differentiable hard saturation function, a family of nonlinear proportional–integral–derivative-like controllers is proposed. Lyapunov stability theory is used to establish conditions for local asymptotic stability of the closed-loop system. A notable feature of the proposed controller is that stability conditions do not depend on the saturation levels of the actuators. In addition, an experimental study complements the proposed theory.
A Quantised State Systems Approach for Jacobian Free Extended Kalman Filtering
DEFF Research Database (Denmark)
Alminde, Lars; Bendtsen, Jan Dimon; Stoustrup, Jakob
2007-01-01
Model based methods for control of intelligent autonomous systems rely on a state estimate being available. One of the most common methods to obtain a state estimate for non-linear systems is the Extended Kalman Filter (EKF) algorithm. In order to apply the EKF an expression must be available...
An iterated cubature unscented Kalman filter for large-DoF systems identification with noisy data
Ghorbani, Esmaeil; Cha, Young-Jin
2018-04-01
Structural and mechanical system identification under dynamic loading has been an important research topic over the last three or four decades. Many Kalman-filtering-based approaches have been developed for linear and nonlinear systems. For example, to predict nonlinear systems, an unscented Kalman filter was applied. However, from extensive literature reviews, the unscented Kalman filter still showed weak performance on systems with large degrees of freedom. In this research, a modified unscented Kalman filter is proposed by integration of a cubature Kalman filter to improve the system identification performance of systems with large degrees of freedom. The novelty of this work lies on conjugating the unscented transform with the cubature integration concept to find a more accurate output from the transformation of the state vector and its related covariance matrix. To evaluate the proposed method, three different numerical models (i.e., the single degree-of-freedom Bouc-Wen model, the linear 3-degrees-of-freedom system, and the 10-degrees-of-freedom system) are investigated. To evaluate the robustness of the proposed method, high levels of noise in the measured response data are considered. The results show that the proposed method is significantly superior to the traditional UKF for noisy measured data in systems with large degrees of freedom.
A less-constrained (2,0) super-Yang-Mills model: the coupling to non-linear σ-models
International Nuclear Information System (INIS)
Almeida, C.A.S.; Doria, R.M.
1990-01-01
Considering a class of (2,0) super-Yang-Mills multiplets characterised by the appearance of a pair of independent gauge potentials, we present here their coupling to non-linear σ-models in (2,0)-superspace. Contrary to the case of the coupling to (2,0) matter superfields, the extra gauge potential present in the Yang-Mills sector does not decouple from the theory in the case one gauges isometry groups of σ-models. (author)
Mixtures of skewed Kalman filters
Kim, Hyoungmoon
2014-01-01
Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class of closed skew-normal distributions. Some basic properties are derived and a class of closed skew. t distributions is obtained. Our suggested family of distributions is skewed and has heavy tails too, so it is appropriate for robust analysis. Our proposed special sequential Monte Carlo methods use a random mixture of the closed skew-normal distributions to approximate a target distribution. Hence it is possible to handle skewed and heavy tailed data simultaneously. These methods are illustrated with numerical experiments. © 2013 Elsevier Inc.
The development rainfall forecasting using kalman filter
Zulfi, Mohammad; Hasan, Moh.; Dwidja Purnomo, Kosala
2018-04-01
Rainfall forecasting is very interesting for agricultural planing. Rainfall information is useful to make decisions about the plan planting certain commodities. In this studies, the rainfall forecasting by ARIMA and Kalman Filter method. Kalman Filter method is used to declare a time series model of which is shown in the form of linear state space to determine the future forecast. This method used a recursive solution to minimize error. The rainfall data in this research clustered by K-means clustering. Implementation of Kalman Filter method is for modelling and forecasting rainfall in each cluster. We used ARIMA (p,d,q) to construct a state space for KalmanFilter model. So, we have four group of the data and one model in each group. In conclusions, Kalman Filter method is better than ARIMA model for rainfall forecasting in each group. It can be showed from error of Kalman Filter method that smaller than error of ARIMA model.
DEFF Research Database (Denmark)
Jørgensen, John Bagterp; Thomsen, Per Grove; Madsen, Henrik
2007-01-01
for nonlinear stochastic continuous-discrete time systems is more than two orders of magnitude faster than a conventional implementation. This is of significance in nonlinear model predictive control applications, statistical process monitoring as well as grey-box modelling of systems described by stochastic......We present a novel numerically robust and computationally efficient extended Kalman filter for state estimation in nonlinear continuous-discrete stochastic systems. The resulting differential equations for the mean-covariance evolution of the nonlinear stochastic continuous-discrete time systems...
Application of Unscented Kalman Filter in Satellite Orbit Simulation
Institute of Scientific and Technical Information of China (English)
ZHAO Dongming; CAI Zhiwu
2006-01-01
A new estimate method is proposed, which takes advantage of the unscented transform method, thus the true mean and covariance are approximated more accurately. The new method can be applied to non-linear systems without the linearization process necessary for the EKF, and it does not demand a Gaussian distribution of noise and what's more, its ease of implementation and more accurate estimation features enables it to demonstrate its good performance in the experiment of satellite orbit simulation. Numerical experiments show that the application of the unscented Kalman filter is more effective than the EKF.
Temperature profile retrievals with extended Kalman-Bucy filters
Ledsham, W. H.; Staelin, D. H.
1979-01-01
The Extended Kalman-Bucy Filter is a powerful technique for estimating non-stationary random parameters in situations where the received signal is a noisy non-linear function of those parameters. A practical causal filter for retrieving atmospheric temperature profiles from radiances observed at a single scan angle by the Scanning Microwave Spectrometer (SCAMS) carried on the Nimbus 6 satellite typically shows approximately a 10-30% reduction in rms error about the mean at almost all levels below 70 mb when compared with a regression inversion.
Institute of Scientific and Technical Information of China (English)
常国宾; 柳明
2015-01-01
In inertial navigation system (INS) and global positioning system (GPS) integrated system, GPS antennas are usually not located at the same location as the inertial measurement unit (IMU) of the INS, so the lever arm effect exists, which makes the observation equation highly nonlinear. The INS/GPS integration with constant lever arm effect is studied. The position relation of IMU and GPS’s antenna is represented in the earth centered earth fixed frame, while the velocity relation of these two systems is represented in local horizontal frame. Due to the small integration time interval of INS, i.e. 0.1 s in this work, the nonlinearity in the INS error equation is trivial, so the linear INS error model is constructed and addressed by Kalman filter’s prediction step. On the other hand, the high nonlinearity in the observation equation due to lever arm effect is addressed by unscented Kalman filter’s update step to attain higher accuracy and better applicability. Simulation is designed and the performance of the hybrid filter is validated.
Stability analysis of nonlinear systems with slope restricted nonlinearities.
Liu, Xian; Du, Jiajia; Gao, Qing
2014-01-01
The problem of absolute stability of Lur'e systems with sector and slope restricted nonlinearities is revisited. Novel time-domain and frequency-domain criteria are established by using the Lyapunov method and the well-known Kalman-Yakubovich-Popov (KYP) lemma. The criteria strengthen some existing results. Simulations are given to illustrate the efficiency of the results.
Stability Analysis of Nonlinear Systems with Slope Restricted Nonlinearities
Directory of Open Access Journals (Sweden)
Xian Liu
2014-01-01
Full Text Available The problem of absolute stability of Lur’e systems with sector and slope restricted nonlinearities is revisited. Novel time-domain and frequency-domain criteria are established by using the Lyapunov method and the well-known Kalman-Yakubovich-Popov (KYP lemma. The criteria strengthen some existing results. Simulations are given to illustrate the efficiency of the results.
Institute of Scientific and Technical Information of China (English)
Xiaogu ZHENG
2009-01-01
An adaptive estimation of forecast error covariance matrices is proposed for Kalman filtering data assimilation. A forecast error covariance matrix is initially estimated using an ensemble of perturbation forecasts. This initially estimated matrix is then adjusted with scale parameters that are adaptively estimated by minimizing -2log-likelihood of observed-minus-forecast residuals. The proposed approach could be applied to Kalman filtering data assimilation with imperfect models when the model error statistics are not known. A simple nonlinear model (Burgers' equation model) is used to demonstrate the efficacy of the proposed approach.
A NEW METHOD OF CHANNEL FRICTION INVERSION BASED ON KALMAN FILTER WITH UNKNOWN PARAMETER VECTOR
Institute of Scientific and Technical Information of China (English)
CHENG Wei-ping; MAO Gen-hai; LIU Guo-hua
2005-01-01
Channel friction is an important parameter in hydraulic analysis.A channel friction parameter inversion method based on Kalman Filter with unknown parameter vector is proposed.Numerical simulations indicate that when the number of monitoring stations exceeds a critical value, the solution is hardly affected.In addition, Kalman Filter with unknown parameter vector is effective only at unsteady state.For the nonlinear equations, computations of sensitivity matrices are time-costly.Two simplified measures can reduce computing time, but not influence the results.One is to reduce sensitivity matrix analysis time, the other is to substitute for sensitivity matrix.
Dynamic Optimization of Feedforward Automatic Gauge Control Based on Extended Kalman Filter
Institute of Scientific and Technical Information of China (English)
YANG Bin-hu; YANG Wei-dong; CHEN Lian-gui; QU Lei
2008-01-01
Automatic gauge control is an essentially nonlinear process varying with time delay, and stochastically varying input and process noise always influence the target gauge control accuracy. To improve the control capability of feedforward automatic gauge control, Kalman filter was employed to filter the noise signal transferred from one stand to another. The linearized matrix that the Kalman filter algorithm needed was concluded; thus, the feedforward automatic gauge control architecture was dynamically optimized. The theoretical analyses and simulation show that the proposed algorithm is reasonable and effective.
Modified Extended Kalman Filtering for Tracking with Insufficient and Intermittent Observations
Directory of Open Access Journals (Sweden)
Pengpeng Chen
2015-01-01
Full Text Available This paper is concerned with the Kalman filtering problem for tracking a single target on the fixed-topology wireless sensor networks (WSNs. Both the insufficient anchor coverage and the packet dropouts have been taken into consideration in the filter design. The resulting tracking system is modeled as a multichannel nonlinear system with multiplicative noise. Noting that the channels may be correlated with each other, we use a general matrix to express the multiplicative noise. Then, a modified extended Kalman filtering algorithm is presented based on the obtained model to achieve high tracking accuracy. In particular, we evaluate the effect of various parameters on the tracking performance through simulation studies.
Non-Linear Approximation of Bayesian Update
Litvinenko, Alexander
2016-01-01
We develop a non-linear approximation of expensive Bayesian formula. This non-linear approximation is applied directly to Polynomial Chaos Coefficients. In this way, we avoid Monte Carlo sampling and sampling error. We can show that the famous Kalman Update formula is a particular case of this update.
Non-Linear Approximation of Bayesian Update
Litvinenko, Alexander
2016-06-23
We develop a non-linear approximation of expensive Bayesian formula. This non-linear approximation is applied directly to Polynomial Chaos Coefficients. In this way, we avoid Monte Carlo sampling and sampling error. We can show that the famous Kalman Update formula is a particular case of this update.
A cognition-based method to ease the computational load for an extended Kalman filter.
Li, Yanpeng; Li, Xiang; Deng, Bin; Wang, Hongqiang; Qin, Yuliang
2014-12-03
The extended Kalman filter (EKF) is the nonlinear model of a Kalman filter (KF). It is a useful parameter estimation method when the observation model and/or the state transition model is not a linear function. However, the computational requirements in EKF are a difficulty for the system. With the help of cognition-based designation and the Taylor expansion method, a novel algorithm is proposed to ease the computational load for EKF in azimuth predicting and localizing under a nonlinear observation model. When there are nonlinear functions and inverse calculations for matrices, this method makes use of the major components (according to current performance and the performance requirements) in the Taylor expansion. As a result, the computational load is greatly lowered and the performance is ensured. Simulation results show that the proposed measure will deliver filtering output with a similar precision compared to the regular EKF. At the same time, the computational load is substantially lowered.
International Nuclear Information System (INIS)
Ijaz, Umer Zeeshan; Khambampati, Anil Kumar; Kim, Kyung Youn; Chung, Soon Il; Kim, Sin
2008-01-01
In this paper, we estimate a time-varying interfacial boundary in stratified flows of two immiscible liquids using electrical resistance tomography. The interfacial boundary is approximated with front points spaced discretely along the interface. The design variables to be estimated are the locations of the front points, which are varying with the moving interface. The inverse problem is treated as a stochastic nonlinear state estimation problem with the nonstationary phase boundary (state) being estimated with the aid of an unscented Kalman filter. Numerical experiments are performed to evaluate the performance of an unscented Kalman filter. Specifically, a detailed analysis has been done on the effect of the number of front points and contrast ratio on the reconstruction performance. The reconstruction results show that an unscented Kalman filter is better suited for estimation in comparison to the conventional extended Kalman filter
A Tool for Kalman Filter Tuning
DEFF Research Database (Denmark)
Åkesson, Bernt Magnus; Jørgensen, John Bagterp; Poulsen, Niels Kjølstad
2007-01-01
The Kalman filter requires knowledge about the noise statistics. In practical applications, however, the noise covariances are generally not known. A method for estimating noise covariances from process data has been investigated. The method gives a least-squares estimate of the noise covariances......, which can be used to compute the Kalman filter gain....
Kalman filter to update forest cover estimates
Raymond L. Czaplewski
1990-01-01
The Kalman filter is a statistical estimator that combines a time-series of independent estimates, using a prediction model that describes expected changes in the state of a system over time. An expensive inventory can be updated using model predictions that are adjusted with more recent, but less expensive and precise, monitoring data. The concepts of the Kalman...
Signal reconstruction in wireless sensor networks based on a cubature Kalman particle filter
International Nuclear Information System (INIS)
Huang Jin-Wang; Feng Jiu-Chao
2014-01-01
For solving the issues of the signal reconstruction of nonlinear non-Gaussian signals in wireless sensor networks (WSNs), a new signal reconstruction algorithm based on a cubature Kalman particle filter (CKPF) is proposed in this paper. We model the reconstruction signal first and then use the CKPF to estimate the signal. The CKPF uses a cubature Kalman filter (CKF) to generate the importance proposal distribution of the particle filter and integrates the latest observation, which can approximate the true posterior distribution better. It can improve the estimation accuracy. CKPF uses fewer cubature points than the unscented Kalman particle filter (UKPF) and has less computational overheads. Meanwhile, CKPF uses the square root of the error covariance for iterating and is more stable and accurate than the UKPF counterpart. Simulation results show that the algorithm can reconstruct the observed signals quickly and effectively, at the same time consuming less computational time and with more accuracy than the method based on UKPF. (general)
Gauterin, Eckhard; Kammerer, Philipp; Kühn, Martin; Schulte, Horst
2016-05-01
Advanced model-based control of wind turbines requires knowledge of the states and the wind speed. This paper benchmarks a nonlinear Takagi-Sugeno observer for wind speed estimation with enhanced Kalman Filter techniques: The performance and robustness towards model-structure uncertainties of the Takagi-Sugeno observer, a Linear, Extended and Unscented Kalman Filter are assessed. Hence the Takagi-Sugeno observer and enhanced Kalman Filter techniques are compared based on reduced-order models of a reference wind turbine with different modelling details. The objective is the systematic comparison with different design assumptions and requirements and the numerical evaluation of the reconstruction quality of the wind speed. Exemplified by a feedforward loop employing the reconstructed wind speed, the benefit of wind speed estimation within wind turbine control is illustrated. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.
Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation
Directory of Open Access Journals (Sweden)
Xi Liu
2016-09-01
Full Text Available A new algorithm called maximum correntropy unscented Kalman filter (MCUKF is proposed and applied to relative state estimation in space communication networks. As is well known, the unscented Kalman filter (UKF provides an efficient tool to solve the non-linear state estimate problem. However, the UKF usually plays well in Gaussian noises. Its performance may deteriorate substantially in the presence of non-Gaussian noises, especially when the measurements are disturbed by some heavy-tailed impulsive noises. By making use of the maximum correntropy criterion (MCC, the proposed algorithm can enhance the robustness of UKF against impulsive noises. In the MCUKF, the unscented transformation (UT is applied to obtain a predicted state estimation and covariance matrix, and a nonlinear regression method with the MCC cost is then used to reformulate the measurement information. Finally, the UT is adopted to the measurement equation to obtain the filter state and covariance matrix. Illustrative examples demonstrate the superior performance of the new algorithm.
Direct and accelerated parameter mapping using the unscented Kalman filter.
Zhao, Li; Feng, Xue; Meyer, Craig H
2016-05-01
To accelerate parameter mapping using a new paradigm that combines image reconstruction and model regression as a parameter state-tracking problem. In T2 mapping, the T2 map is first encoded in parameter space by multi-TE measurements and then encoded by Fourier transformation with readout/phase encoding gradients. Using a state transition function and a measurement function, the unscented Kalman filter can describe T2 mapping as a dynamic system and directly estimate the T2 map from the k-space data. The proposed method was validated with a numerical brain phantom and volunteer experiments with a multiple-contrast spin echo sequence. Its performance was compared with a conjugate-gradient nonlinear inversion method at undersampling factors of 2 to 8. An accelerated pulse sequence was developed based on this method to achieve prospective undersampling. Compared with the nonlinear inversion reconstruction, the proposed method had higher precision, improved structural similarity and reduced normalized root mean squared error, with acceleration factors up to 8 in numerical phantom and volunteer studies. This work describes a new perspective on parameter mapping by state tracking. The unscented Kalman filter provides a highly accelerated and efficient paradigm for T2 mapping. © 2015 Wiley Periodicals, Inc.
Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model.
Xin, Jingzhou; Zhou, Jianting; Yang, Simon X; Li, Xiaoqing; Wang, Yu
2018-01-19
Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA), and generalized autoregressive conditional heteroskedasticity (GARCH). Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS) deformation monitoring system demonstrated that: (1) the Kalman filter is capable of denoising the bridge deformation monitoring data; (2) the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3) in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity); the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data using sensing
Bridge Structure Deformation Prediction Based on GNSS Data Using Kalman-ARIMA-GARCH Model
Directory of Open Access Journals (Sweden)
Jingzhou Xin
2018-01-01
Full Text Available Bridges are an essential part of the ground transportation system. Health monitoring is fundamentally important for the safety and service life of bridges. A large amount of structural information is obtained from various sensors using sensing technology, and the data processing has become a challenging issue. To improve the prediction accuracy of bridge structure deformation based on data mining and to accurately evaluate the time-varying characteristics of bridge structure performance evolution, this paper proposes a new method for bridge structure deformation prediction, which integrates the Kalman filter, autoregressive integrated moving average model (ARIMA, and generalized autoregressive conditional heteroskedasticity (GARCH. Firstly, the raw deformation data is directly pre-processed using the Kalman filter to reduce the noise. After that, the linear recursive ARIMA model is established to analyze and predict the structure deformation. Finally, the nonlinear recursive GARCH model is introduced to further improve the accuracy of the prediction. Simulation results based on measured sensor data from the Global Navigation Satellite System (GNSS deformation monitoring system demonstrated that: (1 the Kalman filter is capable of denoising the bridge deformation monitoring data; (2 the prediction accuracy of the proposed Kalman-ARIMA-GARCH model is satisfactory, where the mean absolute error increases only from 3.402 mm to 5.847 mm with the increment of the prediction step; and (3 in comparision to the Kalman-ARIMA model, the Kalman-ARIMA-GARCH model results in superior prediction accuracy as it includes partial nonlinear characteristics (heteroscedasticity; the mean absolute error of five-step prediction using the proposed model is improved by 10.12%. This paper provides a new way for structural behavior prediction based on data processing, which can lay a foundation for the early warning of bridge health monitoring system based on sensor data
CSIR Research Space (South Africa)
Britz, K
2011-09-01
Full Text Available their basic properties and relationship. In Section 3 we present a modal instance of these constructions which also illustrates with an example how to reason abductively with constrained entailment in a causal or action oriented context. In Section 4 we... of models with the former approach, whereas in Section 3.3 we give an example illustrating ways in which C can be de ned with both. Here we employ the following versions of local consequence: De nition 3.4. Given a model M = hW;R;Vi and formulas...
State Estimation of Induction Motor Drives Using the Unscented Kalman Filter
DEFF Research Database (Denmark)
Lascu, Cristian; Jafarzadeh, Saeed; Fadali, M.Sami
2012-01-01
This paper investigates the application, design, and implementation of unscented Kalman filters (KFs) (UKFs) for induction motor (IM) sensorless drives. UKFs use nonlinear unscented transforms (UTs) in the prediction step in order to preserve the stochastic characteristics of a nonlinear system....... The advantage of using UTs is their ability to capture the nonlinear behavior of the system, unlike extended KFs (EKFs) that use linearized models. Four original variants of the UKF for IM state estimation, based on different UTs, are described, analyzed, and compared. The four transforms are basic, general...
Model-Based Engine Control Architecture with an Extended Kalman Filter
Csank, Jeffrey T.; Connolly, Joseph W.
2016-01-01
This paper discusses the design and implementation of an extended Kalman filter (EKF) for model-based engine control (MBEC). Previously proposed MBEC architectures feature an optimal tuner Kalman Filter (OTKF) to produce estimates of both unmeasured engine parameters and estimates for the health of the engine. The success of this approach relies on the accuracy of the linear model and the ability of the optimal tuner to update its tuner estimates based on only a few sensors. Advances in computer processing are making it possible to replace the piece-wise linear model, developed off-line, with an on-board nonlinear model running in real-time. This will reduce the estimation errors associated with the linearization process, and is typically referred to as an extended Kalman filter. The nonlinear extended Kalman filter approach is applied to the Commercial Modular Aero-Propulsion System Simulation 40,000 (C-MAPSS40k) and compared to the previously proposed MBEC architecture. The results show that the EKF reduces the estimation error, especially during transient operation.
Low-dimensional recurrent neural network-based Kalman filter for speech enhancement.
Xia, Youshen; Wang, Jun
2015-07-01
This paper proposes a new recurrent neural network-based Kalman filter for speech enhancement, based on a noise-constrained least squares estimate. The parameters of speech signal modeled as autoregressive process are first estimated by using the proposed recurrent neural network and the speech signal is then recovered from Kalman filtering. The proposed recurrent neural network is globally asymptomatically stable to the noise-constrained estimate. Because the noise-constrained estimate has a robust performance against non-Gaussian noise, the proposed recurrent neural network-based speech enhancement algorithm can minimize the estimation error of Kalman filter parameters in non-Gaussian noise. Furthermore, having a low-dimensional model feature, the proposed neural network-based speech enhancement algorithm has a much faster speed than two existing recurrent neural networks-based speech enhancement algorithms. Simulation results show that the proposed recurrent neural network-based speech enhancement algorithm can produce a good performance with fast computation and noise reduction. Copyright © 2015 Elsevier Ltd. All rights reserved.
International Nuclear Information System (INIS)
Tylee, J.L.
1980-01-01
A low-order, nonlinear model of the Loss-of-Fluid Test (LOFT) reactor plant, for use in Kalman filter estimators, is developed, described, and evaluated. This model consists of 31 differential equations and represents all major subsystems of both the primary and secondary sides of the LOFT plant. Comparisons between model calculations and available LOFT power range testing transients demonstrate the accuracy of the low-order model. The nonlinear model is numerically linearized for future implementation in Kalman filter and optimal control algorithms. The linearized model is shown to be an adequate representation of the nonlinear plant dynamics
Boundary Value Problems Arising in Kalman Filtering
Directory of Open Access Journals (Sweden)
Sinem Ertürk
2009-01-01
Full Text Available The classic Kalman filtering equations for independent and correlated white noises are ordinary differential equations (deterministic or stochastic with the respective initial conditions. Changing the noise processes by taking them to be more realistic wide band noises or delayed white noises creates challenging partial differential equations with initial and boundary conditions. In this paper, we are aimed to give a survey of this connection between Kalman filtering and boundary value problems, bringing them into the attention of mathematicians as well as engineers dealing with Kalman filtering and boundary value problems.
Boundary Value Problems Arising in Kalman Filtering
Directory of Open Access Journals (Sweden)
Bashirov Agamirza
2008-01-01
Full Text Available The classic Kalman filtering equations for independent and correlated white noises are ordinary differential equations (deterministic or stochastic with the respective initial conditions. Changing the noise processes by taking them to be more realistic wide band noises or delayed white noises creates challenging partial differential equations with initial and boundary conditions. In this paper, we are aimed to give a survey of this connection between Kalman filtering and boundary value problems, bringing them into the attention of mathematicians as well as engineers dealing with Kalman filtering and boundary value problems.
Kalman filter-based gap conductance modeling
International Nuclear Information System (INIS)
Tylee, J.L.
1983-01-01
Geometric and thermal property uncertainties contribute greatly to the problem of determining conductance within the fuel-clad gas gap of a nuclear fuel pin. Accurate conductance values are needed for power plant licensing transient analysis and for test analyses at research facilities. Recent work by Meek, Doerner, and Adams has shown that use of Kalman filters to estimate gap conductance is a promising approach. A Kalman filter is simply a mathematical algorithm that employs available system measurements and assumed dynamic models to generate optimal system state vector estimates. This summary addresses another Kalman filter approach to gap conductance estimation and subsequent identification of an empirical conductance model
Directory of Open Access Journals (Sweden)
Mrityunjoy Roy
2013-04-01
Full Text Available In this paper, a technique has been developed to determine the optimum mix of logistic service providers of a make-to-order (MTO supply chain. A serial MTO supply chain with different stages/ processes has been considered. For each stage different logistic service providers with different mean processing lead times, but same lead time variances are available. A realistic assumption that for each stage, the logistic service provider who charges more for his service consumes less processing lead time and vice-versa has been made in our study. Thus for each stage, for each service provider, a combination of cost and mean processing lead time is available. Using these combinations, for each stage, a polynomial curve, expressing cost of that stage as a function of mean processing lead time is fit. Cumulating all such expressions of cost for the different stages along with incorporation of suitable constraints arising out of timely delivery, results in the formulation of a constrained nonlinear cost optimization problem. On solving the problem using mathematica, optimum processing lead time for each stage is obtained. Using these optimum processing lead times and by employing a simple technique the optimum logistic service provider mix of the supply chain along with the corresponding total cost of processing is determined. Finally to examine the effect of changes in different parameters on the optimum total processing cost of the supply chain, sensitivity analysis has been carried out graphically.
CSIR Research Space (South Africa)
Salmon, BP
2011-07-01
Full Text Available . This paper proposes a meta-optimization approach for setting the parameters of the non-linear Extended Kalman Filter to rapidly and efficiently estimate the features for the pair of triply modulated cosine functions. The approach is based on a unsupervised...
Ruszczynski, Andrzej
2011-01-01
Optimization is one of the most important areas of modern applied mathematics, with applications in fields from engineering and economics to finance, statistics, management science, and medicine. While many books have addressed its various aspects, Nonlinear Optimization is the first comprehensive treatment that will allow graduate students and researchers to understand its modern ideas, principles, and methods within a reasonable time, but without sacrificing mathematical precision. Andrzej Ruszczynski, a leading expert in the optimization of nonlinear stochastic systems, integrates the theory and the methods of nonlinear optimization in a unified, clear, and mathematically rigorous fashion, with detailed and easy-to-follow proofs illustrated by numerous examples and figures. The book covers convex analysis, the theory of optimality conditions, duality theory, and numerical methods for solving unconstrained and constrained optimization problems. It addresses not only classical material but also modern top...
Ensemble Kalman filtering with residual nudging
Luo, X.; Hoteit, Ibrahim
2012-01-01
Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF) by (in effect) adjusting the sample covariances of the estimates in the state space. In this work
Flatness-based control and Kalman filtering for a continuous-time macroeconomic model
Rigatos, G.; Siano, P.; Ghosh, T.; Busawon, K.; Binns, R.
2017-11-01
The article proposes flatness-based control for a nonlinear macro-economic model of the UK economy. The differential flatness properties of the model are proven. This enables to introduce a transformation (diffeomorphism) of the system's state variables and to express the state-space description of the model in the linear canonical (Brunowsky) form in which both the feedback control and the state estimation problem can be solved. For the linearized equivalent model of the macroeconomic system, stabilizing feedback control can be achieved using pole placement methods. Moreover, to implement stabilizing feedback control of the system by measuring only a subset of its state vector elements the Derivative-free nonlinear Kalman Filter is used. This consists of the Kalman Filter recursion applied on the linearized equivalent model of the financial system and of an inverse transformation that is based again on differential flatness theory. The asymptotic stability properties of the control scheme are confirmed.
Feedback Robust Cubature Kalman Filter for Target Tracking Using an Angle Sensor.
Wu, Hao; Chen, Shuxin; Yang, Binfeng; Chen, Kun
2016-05-09
The direction of arrival (DOA) tracking problem based on an angle sensor is an important topic in many fields. In this paper, a nonlinear filter named the feedback M-estimation based robust cubature Kalman filter (FMR-CKF) is proposed to deal with measurement outliers from the angle sensor. The filter designs a new equivalent weight function with the Mahalanobis distance to combine the cubature Kalman filter (CKF) with the M-estimation method. Moreover, by embedding a feedback strategy which consists of a splitting and merging procedure, the proper sub-filter (the standard CKF or the robust CKF) can be chosen in each time index. Hence, the probability of the outliers' misjudgment can be reduced. Numerical experiments show that the FMR-CKF performs better than the CKF and conventional robust filters in terms of accuracy and robustness with good computational efficiency. Additionally, the filter can be extended to the nonlinear applications using other types of sensors.
Unscented Kalman Filter-Trained Neural Networks for Slip Model Prediction
Li, Zhencai; Wang, Yang; Liu, Zhen
2016-01-01
The purpose of this work is to investigate the accurate trajectory tracking control of a wheeled mobile robot (WMR) based on the slip model prediction. Generally, a nonholonomic WMR may increase the slippage risk, when traveling on outdoor unstructured terrain (such as longitudinal and lateral slippage of wheels). In order to control a WMR stably and accurately under the effect of slippage, an unscented Kalman filter and neural networks (NNs) are applied to estimate the slip model in real time. This method exploits the model approximating capabilities of nonlinear state–space NN, and the unscented Kalman filter is used to train NN’s weights online. The slip parameters can be estimated and used to predict the time series of deviation velocity, which can be used to compensate control inputs of a WMR. The results of numerical simulation show that the desired trajectory tracking control can be performed by predicting the nonlinear slip model. PMID:27467703
Industrial applications of the Kalman filter
DEFF Research Database (Denmark)
Auger, François; Hilairet, Mickael; Guerrero, Josep M.
2013-01-01
The Kalman filter has received a huge interest from the industrial electronics community and has played a key role in many engineering fields since the 70s, ranging, without being exhaustive, trajectory estimation, state and parameter estimation for control or diagnosis, data merging, signal...... processing and so on. This paper provides a brief overview of the industrial applications and implementation issues of the Kalman filter in six topics of the industrial electronics community, highlighting some relevant reference papers and giving future research trends....
Reduced Kalman Filters for Clock Ensembles
Greenhall, Charles A.
2011-01-01
This paper summarizes the author's work ontimescales based on Kalman filters that act upon the clock comparisons. The natural Kalman timescale algorithm tends to optimize long-term timescale stability at the expense of short-term stability. By subjecting each post-measurement error covariance matrix to a non-transparent reduction operation, one obtains corrected clocks with improved short-term stability and little sacrifice of long-term stability.
Williams, Brian; Hudson, Nicolas; Tweddle, Brent; Brockers, Roland; Matthies, Larry
2011-01-01
A Feature and Pose Constrained Extended Kalman Filter (FPC-EKF) is developed for highly dynamic computationally constrained micro aerial vehicles. Vehicle localization is achieved using only a low performance inertial measurement unit and a single camera. The FPC-EKF framework augments the vehicle's state with both previous vehicle poses and critical environmental features, including vertical edges. This filter framework efficiently incorporates measurements from hundreds of opportunistic visual features to constrain the motion estimate, while allowing navigating and sustained tracking with respect to a few persistent features. In addition, vertical features in the environment are opportunistically used to provide global attitude references. Accurate pose estimation is demonstrated on a sequence including fast traversing, where visual features enter and exit the field-of-view quickly, as well as hover and ingress maneuvers where drift free navigation is achieved with respect to the environment.
Actuator Fault Diagnosis in a Boeing 747 Model via Adaptive Modified Two-Stage Kalman Filter
Directory of Open Access Journals (Sweden)
Fikret Caliskan
2014-01-01
Full Text Available An adaptive modified two-stage linear Kalman filtering algorithm is utilized to identify the loss of control effectiveness and the magnitude of low degree of stuck faults in a closed-loop nonlinear B747 aircraft. Control effectiveness factors and stuck magnitudes are used to quantify faults entering control systems through actuators. Pseudorandom excitation inputs are used to help distinguish partial loss and stuck faults. The partial loss and stuck faults in the stabilizer are isolated and identified successfully.
Method for Improving Indoor Positioning Accuracy Using Extended Kalman Filter
Directory of Open Access Journals (Sweden)
Seoung-Hyeon Lee
2016-01-01
Full Text Available Beacons using bluetooth low-energy (BLE technology have emerged as a new paradigm of indoor positioning service (IPS because of their advantages such as low power consumption, miniaturization, wide signal range, and low cost. However, the beacon performance is poor in terms of the indoor positioning accuracy because of noise, motion, and fading, all of which are characteristics of a bluetooth signal and depend on the installation location. Therefore, it is necessary to improve the accuracy of beacon-based indoor positioning technology by fusing it with existing indoor positioning technology, which uses Wi-Fi, ZigBee, and so forth. This study proposes a beacon-based indoor positioning method using an extended Kalman filter that recursively processes input data including noise. After defining the movement of a smartphone on a flat two-dimensional surface, it was assumed that the beacon signal is nonlinear. Then, the standard deviation and properties of the beacon signal were analyzed. According to the analysis results, an extended Kalman filter was designed and the accuracy of the smartphone’s indoor position was analyzed through simulations and tests. The proposed technique achieved good indoor positioning accuracy, with errors of 0.26 m and 0.28 m from the average x- and y-coordinates, respectively, based solely on the beacon signal.
Directory of Open Access Journals (Sweden)
Horacio Hideki Yanasse
2013-01-01
Full Text Available Neste trabalho revemos alguns modelos lineares e não lineares inteiros para gerar padrões de corte bidimensionais guilhotinados de 2 estágios, incluindo os casos exato e não exato e restrito e irrestrito. Esses problemas são casos particulares do problema da mochila bidimensional. Apresentamos também novos modelos para gerar esses padrões de corte, baseados em adaptações ou extensões de modelos para gerar padrões de corte bidimensionais restritos 1-grupo. Padrões 2 estágios aparecem em diferentes processos de corte, como, por exemplo, em indústrias de móveis e de chapas de madeira. Os modelos são úteis para a pesquisa e o desenvolvimento de métodos de solução mais eficientes, explorando estruturas particulares, a decomposição do modelo, relaxações do modelo etc. Eles também são úteis para a avaliação do desempenho de heurísticas, já que permitem (pelo menos para problemas de tamanho moderado uma estimativa do gap de otimalidade de soluções obtidas por heurísticas. Para ilustrar a aplicação dos modelos, analisamos os resultados de alguns experimentos computacionais com exemplos da literatura e outros gerados aleatoriamente. Os resultados foram produzidos usando um software comercial conhecido e mostram que o esforço computacional necessário para resolver os modelos pode ser bastante diferente.In this work we review some linear and nonlinear integer models to generate two stage two-dimensional guillotine cutting patterns, including the constrained, non constrained, exact and non exact cases. These problems are particular cases of the two dimensional knapsack problems. We also present new models to generate these cutting patterns, based on adaptations and extensions of models that generate one-group constrained two dimensional cutting patterns. Two stage patterns arise in different cutting processes like, for instance, in the furniture industry and wooden hardboards. The models are useful for the research and
The use of the Kalman filter in the automated segmentation of EIT lung images
International Nuclear Information System (INIS)
Zifan, A; Chapman, B E; Liatsis, P
2013-01-01
In this paper, we present a new pipeline for the fast and accurate segmentation of impedance images of the lungs using electrical impedance tomography (EIT). EIT is an emerging, promising, non-invasive imaging modality that produces real-time, low spatial but high temporal resolution images of impedance inside a body. Recovering impedance itself constitutes a nonlinear ill-posed inverse problem, therefore the problem is usually linearized, which produces impedance-change images, rather than static impedance ones. Such images are highly blurry and fuzzy along object boundaries. We provide a mathematical reasoning behind the high suitability of the Kalman filter when it comes to segmenting and tracking conductivity changes in EIT lung images. Next, we use a two-fold approach to tackle the segmentation problem. First, we construct a global lung shape to restrict the search region of the Kalman filter. Next, we proceed with augmenting the Kalman filter by incorporating an adaptive foreground detection system to provide the boundary contours for the Kalman filter to carry out the tracking of the conductivity changes as the lungs undergo deformation in a respiratory cycle. The proposed method has been validated by using performance statistics such as misclassified area, and false positive rate, and compared to previous approaches. The results show that the proposed automated method can be a fast and reliable segmentation tool for EIT imaging. (paper)
Radionuclide release rate inversion of nuclear accidents in nuclear facility based on Kalman filter
International Nuclear Information System (INIS)
Tang Xiuhuan; Bao Lihong; Li Hua; Wan Junsheng
2014-01-01
The rapidly and continually back-calculating source term is important for nuclear emergency response. The Gaussian multi-puff atmospheric dispersion model was used to produce regional environment monitoring data virtually, and then a Kalman filter was designed to inverse radionuclide release rate of nuclear accidents in nuclear facility and the release rate tracking in real time was achieved. The results show that the Kalman filter combined with Gaussian multi-puff atmospheric dispersion model can successfully track the virtually stable, linear or nonlinear release rate after being iterated about 10 times. The standard error of inversion results increases with the true value. Meanwhile extended Kalman filter cannot inverse the height parameter of accident release as interceptive error is too large to converge. Kalman filter constructed from environment monitoring data and Gaussian multi-puff atmospheric dispersion model can be applied to source inversion in nuclear accident which is characterized by static height and position, short and continual release in nuclear facility. Hence it turns out to be an alternative source inversion method in nuclear emergency response. (authors)
The use of the Kalman filter in the automated segmentation of EIT lung images.
Zifan, A; Liatsis, P; Chapman, B E
2013-06-01
In this paper, we present a new pipeline for the fast and accurate segmentation of impedance images of the lungs using electrical impedance tomography (EIT). EIT is an emerging, promising, non-invasive imaging modality that produces real-time, low spatial but high temporal resolution images of impedance inside a body. Recovering impedance itself constitutes a nonlinear ill-posed inverse problem, therefore the problem is usually linearized, which produces impedance-change images, rather than static impedance ones. Such images are highly blurry and fuzzy along object boundaries. We provide a mathematical reasoning behind the high suitability of the Kalman filter when it comes to segmenting and tracking conductivity changes in EIT lung images. Next, we use a two-fold approach to tackle the segmentation problem. First, we construct a global lung shape to restrict the search region of the Kalman filter. Next, we proceed with augmenting the Kalman filter by incorporating an adaptive foreground detection system to provide the boundary contours for the Kalman filter to carry out the tracking of the conductivity changes as the lungs undergo deformation in a respiratory cycle. The proposed method has been validated by using performance statistics such as misclassified area, and false positive rate, and compared to previous approaches. The results show that the proposed automated method can be a fast and reliable segmentation tool for EIT imaging.
The Unscented Kalman Filter estimates the plasma insulin from glucose measurement.
Eberle, Claudia; Ament, Christoph
2011-01-01
Understanding the simultaneous interaction within the glucose and insulin homeostasis in real-time is very important for clinical treatment as well as for research issues. Until now only plasma glucose concentrations can be measured in real-time. To support a secure, effective and rapid treatment e.g. of diabetes a real-time estimation of plasma insulin would be of great value. A novel approach using an Unscented Kalman Filter that provides an estimate of the current plasma insulin concentration is presented, which operates on the measurement of the plasma glucose and Bergman's Minimal Model of the glucose insulin homeostasis. We can prove that process observability is obtained in this case. Hence, a successful estimator design is possible. Since the process is nonlinear we have to consider estimates that are not normally distributed. The symmetric Unscented Kalman Filter (UKF) will perform best compared to other estimator approaches as the Extended Kalman Filter (EKF), the simplex Unscented Kalman Filter (UKF), and the Particle Filter (PF). The symmetric UKF algorithm is applied to the plasma insulin estimation. It shows better results compared to the direct (open loop) estimation that uses a model of the insulin subsystem. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.
Nonlinear Principal Component Analysis Using Strong Tracking Filter
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
The paper analyzes the problem of blind source separation (BSS) based on the nonlinear principal component analysis (NPCA) criterion. An adaptive strong tracking filter (STF) based algorithm was developed, which is immune to system model mismatches. Simulations demonstrate that the algorithm converges quickly and has satisfactory steady-state accuracy. The Kalman filtering algorithm and the recursive leastsquares type algorithm are shown to be special cases of the STF algorithm. Since the forgetting factor is adaptively updated by adjustment of the Kalman gain, the STF scheme provides more powerful tracking capability than the Kalman filtering algorithm and recursive least-squares algorithm.
MR fingerprinting reconstruction with Kalman filter.
Zhang, Xiaodi; Zhou, Zechen; Chen, Shiyang; Chen, Shuo; Li, Rui; Hu, Xiaoping
2017-09-01
Magnetic resonance fingerprinting (MR fingerprinting or MRF) is a newly introduced quantitative magnetic resonance imaging technique, which enables simultaneous multi-parameter mapping in a single acquisition with improved time efficiency. The current MRF reconstruction method is based on dictionary matching, which may be limited by the discrete and finite nature of the dictionary and the computational cost associated with dictionary construction, storage and matching. In this paper, we describe a reconstruction method based on Kalman filter for MRF, which avoids the use of dictionary to obtain continuous MR parameter measurements. With this Kalman filter framework, the Bloch equation of inversion-recovery balanced steady state free-precession (IR-bSSFP) MRF sequence was derived to predict signal evolution, and acquired signal was entered to update the prediction. The algorithm can gradually estimate the accurate MR parameters during the recursive calculation. Single pixel and numeric brain phantom simulation were implemented with Kalman filter and the results were compared with those from dictionary matching reconstruction algorithm to demonstrate the feasibility and assess the performance of Kalman filter algorithm. The results demonstrated that Kalman filter algorithm is applicable for MRF reconstruction, eliminating the need for a pre-define dictionary and obtaining continuous MR parameter in contrast to the dictionary matching algorithm. Copyright © 2017 Elsevier Inc. All rights reserved.
New developments in state estimation for Nonlinear Systems
DEFF Research Database (Denmark)
Nørgård, Peter Magnus; Poulsen, Niels Kjølstad; Ravn, Ole
2000-01-01
Based on an interpolation formula, accurate state estimators for nonlinear systems can be derived. The estimators do not require derivative information which makes them simple to implement.; State estimators for nonlinear systems are derived based on polynomial approximations obtained with a mult......-known estimators, such as the extended Kalman filter (EKF) and its higher-order relatives, in most practical applications....
Reservoir History Matching Using Ensemble Kalman Filters with Anamorphosis Transforms
Aman, Beshir M.
2012-01-01
Some History matching methods such as Kalman filter, particle filter and the ensemble Kalman filter are reviewed and applied to a test case in the reservoir application. The key idea is to apply the transformation before the update step
Steady-State Performance of Kalman Filter for DPLL
Institute of Scientific and Technical Information of China (English)
QIAN Yi; CUI Xiaowei; LU Mingquan; FENG Zhenming
2009-01-01
For certain system models, the structure of the Kalman filter is equivalent to a second-order vari-able gain digital phase-locked loop (DPLL). To apply the knowledge of DPLLs to the design of Kalman filters, this paper studies the steady-state performance of Kalman filters for these system models. The results show that the steady-state Kalman gain has the same form as the DPLL gain. An approximate simple form for the steady-state Kalman gain is used to derive an expression for the equivalent loop bandwidth of the Kalman filter as a function of the process and observation noise variances. These results can be used to analyze the steady-state performance of a Kalman filter with DPLL theory or to design a Kalman filter model with the same steady-state performance as a given DPLL.
Kalman Filter Predictor and Initialization Algorithm for PRI Tracking
National Research Council Canada - National Science Library
Hock, Melinda
1998-01-01
.... The algorithm uses a Kalman filter for prediction combined with a preprocessing routine to determine the period of the stagger sequence and to construct an uncorrupted data set for Kalman filter initialization...
Kalman Orbit Optimized Loop Tracking
Young, Lawrence E.; Meehan, Thomas K.
2011-01-01
Under certain conditions of low signal power and/or high noise, there is insufficient signal to noise ratio (SNR) to close tracking loops with individual signals on orbiting Global Navigation Satellite System (GNSS) receivers. In addition, the processing power available from flight computers is not great enough to implement a conventional ultra-tight coupling tracking loop. This work provides a method to track GNSS signals at very low SNR without the penalty of requiring very high processor throughput to calculate the loop parameters. The Kalman Orbit-Optimized Loop (KOOL) tracking approach constitutes a filter with a dynamic model and using the aggregate of information from all tracked GNSS signals to close the tracking loop for each signal. For applications where there is not a good dynamic model, such as very low orbits where atmospheric drag models may not be adequate to achieve the required accuracy, aiding from an IMU (inertial measurement unit) or other sensor will be added. The KOOL approach is based on research JPL has done to allow signal recovery from weak and scintillating signals observed during the use of GPS signals for limb sounding of the Earth s atmosphere. That approach uses the onboard PVT (position, velocity, time) solution to generate predictions for the range, range rate, and acceleration of the low-SNR signal. The low- SNR signal data are captured by a directed open loop. KOOL builds on the previous open loop tracking by including feedback and observable generation from the weak-signal channels so that the MSR receiver will continue to track and provide PVT, range, and Doppler data, even when all channels have low SNR.
Kalman Filter Application to Symmetrical Fault Detection during Power Swing
DEFF Research Database (Denmark)
Khodaparast, Jalal; Silva, Filipe Miguel Faria da; Khederzadeh, M.
2016-01-01
capability of Kalman Filter. The proposed index is calculated by assessing the difference between predicted and actual samples of impedance. The predicted impedance samples are obtained using Kalman filter and Taylor expansion, which is used in this paper to track the phasor precisely. Second order of Taylor...... expansion is used to decrease corrugation effect of impedance estimation and increase the reliability of proposed method. The instantaneous estimation and prediction capability of Kalman filter are two reasons for proposing utilizing Kalman filter....
Design of Kalman filters for mobile robots
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Hansen, Karsten L.; Andersen, Nils Axel
1999-01-01
the mobile robot is equipped with a dual encoder system supported by some additional absolute measurements. A common filter type for this setup is the odometric filter, where readings from the odometry system on the robot are used together with the geometry of the robot movement as a model of the robot......Kalman filters have for a long time been widely used on mobile robots as a location estimator. Many different Kalman filter designs have been proposed, using models of various complexity. In this paper, two different design methods are evaluated and compared. Focus is put on the common setup where...... estimates. The Kalman filter normally consists of a time update followed by one or more data updates. However, it is shown that when using the kinematic filter, the encoder measurements should be fused prior to the time update for better performance....
Restricted Kalman Filtering Theory, Methods, and Application
Pizzinga, Adrian
2012-01-01
In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where th
Liu, Hua; Wu, Wen
2017-06-13
For improving the tracking accuracy and model switching speed of maneuvering target tracking in nonlinear systems, a new algorithm named the interacting multiple model fifth-degree spherical simplex-radial cubature Kalman filter (IMM5thSSRCKF) is proposed in this paper. The new algorithm is a combination of the interacting multiple model (IMM) filter and the fifth-degree spherical simplex-radial cubature Kalman filter (5thSSRCKF). The proposed algorithm makes use of Markov process to describe the switching probability among the models, and uses 5thSSRCKF to deal with the state estimation of each model. The 5thSSRCKF is an improved filter algorithm, which utilizes the fifth-degree spherical simplex-radial rule to improve the filtering accuracy. Finally, the tracking performance of the IMM5thSSRCKF is evaluated by simulation in a typical maneuvering target tracking scenario. Simulation results show that the proposed algorithm has better tracking performance and quicker model switching speed when disposing maneuver models compared with the interacting multiple model unscented Kalman filter (IMMUKF), the interacting multiple model cubature Kalman filter (IMMCKF) and the interacting multiple model fifth-degree cubature Kalman filter (IMM5thCKF).
Directory of Open Access Journals (Sweden)
Hua Liu
2017-06-01
Full Text Available For improving the tracking accuracy and model switching speed of maneuvering target tracking in nonlinear systems, a new algorithm named the interacting multiple model fifth-degree spherical simplex-radial cubature Kalman filter (IMM5thSSRCKF is proposed in this paper. The new algorithm is a combination of the interacting multiple model (IMM filter and the fifth-degree spherical simplex-radial cubature Kalman filter (5thSSRCKF. The proposed algorithm makes use of Markov process to describe the switching probability among the models, and uses 5thSSRCKF to deal with the state estimation of each model. The 5thSSRCKF is an improved filter algorithm, which utilizes the fifth-degree spherical simplex-radial rule to improve the filtering accuracy. Finally, the tracking performance of the IMM5thSSRCKF is evaluated by simulation in a typical maneuvering target tracking scenario. Simulation results show that the proposed algorithm has better tracking performance and quicker model switching speed when disposing maneuver models compared with the interacting multiple model unscented Kalman filter (IMMUKF, the interacting multiple model cubature Kalman filter (IMMCKF and the interacting multiple model fifth-degree cubature Kalman filter (IMM5thCKF.
A square root ensemble Kalman filter application to a motor-imagery brain-computer interface.
Kamrunnahar, M; Schiff, S J
2011-01-01
We here investigated a non-linear ensemble Kalman filter (SPKF) application to a motor imagery brain computer interface (BCI). A square root central difference Kalman filter (SR-CDKF) was used as an approach for brain state estimation in motor imagery task performance, using scalp electroencephalography (EEG) signals. Healthy human subjects imagined left vs. right hand movements and tongue vs. bilateral toe movements while scalp EEG signals were recorded. Offline data analysis was conducted for training the model as well as for decoding the imagery movements. Preliminary results indicate the feasibility of this approach with a decoding accuracy of 78%-90% for the hand movements and 70%-90% for the tongue-toes movements. Ongoing research includes online BCI applications of this approach as well as combined state and parameter estimation using this algorithm with different system dynamic models.
Directory of Open Access Journals (Sweden)
Yuan Xu
2014-01-01
Full Text Available As the core of the integrated navigation system, the data fusion algorithm should be designed seriously. In order to improve the accuracy of data fusion, this work proposed an adaptive iterated extended Kalman (AIEKF which used the noise statistics estimator in the iterated extended Kalman (IEKF, and then AIEKF is used to deal with the nonlinear problem in the inertial navigation systems (INS/wireless sensors networks (WSNs-integrated navigation system. Practical test has been done to evaluate the performance of the proposed method. The results show that the proposed method is effective to reduce the mean root-mean-square error (RMSE of position by about 92.53%, 67.93%, 55.97%, and 30.09% compared with the INS only, WSN, EKF, and IEKF.
Selection of noise parameters for Kalman filter
Institute of Scientific and Technical Information of China (English)
Ka-Veng Yuen; Ka-In Hoi; Kai-Meng Mok
2007-01-01
The Bayesian probabilistic approach is proposed to estimate the process noise and measurement noise parameters for a Kalman filter. With state vectors and covariance matrices estimated by the Kalman filter, the likehood of the measurements can be constructed as a function of the process noise and measurement noise parameters. By maximizing the likklihood function with respect to these noise parameters, the optimal values can be obtained. Furthermore, the Bayesian probabilistic approach allows the associated uncertainty to be quantified. Examples using a single-degree-of-freedom system and a ten-story building illustrate the proposed method. The effect on the performance of the Kalman filter due to the selection of the process noise and measurement noise parameters was demonstrated. The optimal values of the noise parameters were found to be close to the actual values in the sense that the actual parameters were in the region with significant probability density. Through these examples, the Bayesian approach was shown to have the capability to provide accurate estimates of the noise parameters of the Kalman filter, and hence for state estimation.
Towards self-organizing Kalman filters
Sijs, J.; Papp, Z.
2012-01-01
Distributed Kalman filtering is an important signal processing method for state estimation in large-scale sensor networks. However, existing solutions do not account for unforeseen events that are likely to occur and thus dramatically changing the operational conditions (e.g. node failure,
International Nuclear Information System (INIS)
Xu Long; Wang Junping; Chen Quanshi
2012-01-01
Highlights: ► A novel extended Kalman Filtering SOC estimation method based on a stochastic fuzzy neural network (SFNN) battery model is proposed. ► The SFNN which has filtering effect on noisy input can model the battery nonlinear dynamic with high accuracy. ► A robust parameter learning algorithm for SFNN is studied so that the parameters can converge to its true value with noisy data. ► The maximum SOC estimation error based on the proposed method is 0.6%. - Abstract: Extended Kalman filtering is an intelligent and optimal means for estimating the state of a dynamic system. In order to use extended Kalman filtering to estimate the state of charge (SOC), we require a mathematical model that can accurately capture the dynamics of battery pack. In this paper, we propose a stochastic fuzzy neural network (SFNN) instead of the traditional neural network that has filtering effect on noisy input to model the battery nonlinear dynamic. Then, the paper studies the extended Kalman filtering SOC estimation method based on a SFNN model. The modeling test is realized on an 80 Ah Ni/MH battery pack and the Federal Urban Driving Schedule (FUDS) cycle is used to verify the SOC estimation method. The maximum SOC estimation error is 0.6% compared with the real SOC obtained from the discharging test.
Ensemble Kalman methods for inverse problems
International Nuclear Information System (INIS)
Iglesias, Marco A; Law, Kody J H; Stuart, Andrew M
2013-01-01
The ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 (Evensen 1994 J. Geophys. Res. 99 10143–62) as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application domains because of its robustness and ease of implementation, and numerical evidence of its accuracy. In this paper we propose the application of an iterative ensemble Kalman method for the solution of a wide class of inverse problems. In this context we show that the estimate of the unknown function that we obtain with the ensemble Kalman method lies in a subspace A spanned by the initial ensemble. Hence the resulting error may be bounded above by the error found from the best approximation in this subspace. We provide numerical experiments which compare the error incurred by the ensemble Kalman method for inverse problems with the error of the best approximation in A, and with variants on traditional least-squares approaches, restricted to the subspace A. In so doing we demonstrate that the ensemble Kalman method for inverse problems provides a derivative-free optimization method with comparable accuracy to that achieved by traditional least-squares approaches. Furthermore, we also demonstrate that the accuracy is of the same order of magnitude as that achieved by the best approximation. Three examples are used to demonstrate these assertions: inversion of a compact linear operator; inversion of piezometric head to determine hydraulic conductivity in a Darcy model of groundwater flow; and inversion of Eulerian velocity measurements at positive times to determine the initial condition in an incompressible fluid. (paper)
Van Leeuwen, Peter Jan; Reich, Sebastian
2015-01-01
This book contains two review articles on nonlinear data assimilation that deal with closely related topics but were written and can be read independently. Both contributions focus on so-called particle filters. The first contribution by Jan van Leeuwen focuses on the potential of proposal densities. It discusses the issues with present-day particle filters and explorers new ideas for proposal densities to solve them, converging to particle filters that work well in systems of any dimension, closing the contribution with a high-dimensional example. The second contribution by Cheng and Reich discusses a unified framework for ensemble-transform particle filters. This allows one to bridge successful ensemble Kalman filters with fully nonlinear particle filters, and allows a proper introduction of localization in particle filters, which has been lacking up to now.
Filter Pattern Search Algorithms for Mixed Variable Constrained Optimization Problems
National Research Council Canada - National Science Library
Abramson, Mark A; Audet, Charles; Dennis, Jr, J. E
2004-01-01
.... This class combines and extends the Audet-Dennis Generalized Pattern Search (GPS) algorithms for bound constrained mixed variable optimization, and their GPS-filter algorithms for general nonlinear constraints...
Nonlinear filtering for LIDAR signal processing
Directory of Open Access Journals (Sweden)
D. G. Lainiotis
1996-01-01
Full Text Available LIDAR (Laser Integrated Radar is an engineering problem of great practical importance in environmental monitoring sciences. Signal processing for LIDAR applications involves highly nonlinear models and consequently nonlinear filtering. Optimal nonlinear filters, however, are practically unrealizable. In this paper, the Lainiotis's multi-model partitioning methodology and the related approximate but effective nonlinear filtering algorithms are reviewed and applied to LIDAR signal processing. Extensive simulation and performance evaluation of the multi-model partitioning approach and its application to LIDAR signal processing shows that the nonlinear partitioning methods are very effective and significantly superior to the nonlinear extended Kalman filter (EKF, which has been the standard nonlinear filter in past engineering applications.
RAPID TRANSFER ALIGNMENT USING FEDERATED KALMAN FILTER
Institute of Scientific and Technical Information of China (English)
GUDong-qing; QINYong-yuan; PENGRong; LIXin
2005-01-01
The dimension number of the centralized Kalman filter (CKF) for the rapid transfer alignment (TA) is as high as 21 if the aircraft wing flexure motion is considered in the rapid TA. The 21-dimensional CKF brings the calculation burden on the computer and the difficulty to meet a high filtering updating rate desired by rapid TA. The federated Kalman filter (FKF) for the rapid TA is proposed to solve the dilemma. The structure and the algorithm of the FKF, which can perform parallel computation and has less calculation burden, are designed.The wing flexure motion is modeled, and then the 12-order velocity matching local filter and the 15-order attitud ematching local filter are devised. Simulation results show that the proposed EKE for the rapid TA almost has the same performance as the CKF. Thus the calculation burden of the proposed FKF for the rapid TA is markedly decreased.
A coupling method for a cardiovascular simulation model which includes the Kalman filter.
Hasegawa, Yuki; Shimayoshi, Takao; Amano, Akira; Matsuda, Tetsuya
2012-01-01
Multi-scale models of the cardiovascular system provide new insight that was unavailable with in vivo and in vitro experiments. For the cardiovascular system, multi-scale simulations provide a valuable perspective in analyzing the interaction of three phenomenons occurring at different spatial scales: circulatory hemodynamics, ventricular structural dynamics, and myocardial excitation-contraction. In order to simulate these interactions, multiscale cardiovascular simulation systems couple models that simulate different phenomena. However, coupling methods require a significant amount of calculation, since a system of non-linear equations must be solved for each timestep. Therefore, we proposed a coupling method which decreases the amount of calculation by using the Kalman filter. In our method, the Kalman filter calculates approximations for the solution to the system of non-linear equations at each timestep. The approximations are then used as initial values for solving the system of non-linear equations. The proposed method decreases the number of iterations required by 94.0% compared to the conventional strong coupling method. When compared with a smoothing spline predictor, the proposed method required 49.4% fewer iterations.
Neutron flux filtration using Kalman filter
International Nuclear Information System (INIS)
Urcikan, Marian
2005-01-01
In the course of the WWER-440 start-up procedure the time dependent reactivity is determined from the measured ionization chamber signal by inverse kinetic method. Due to the random nature of the fission process and random nature the detection process the measured ionization chamber signal contains certain noise content. To minimize the unwonted noise on measured reactivity one of the possibility method is utilization Kalman filter, based on a stochastic model of reactor system (Author)
Multivariate localization methods for ensemble Kalman filtering
S. Roh; M. Jun; I. Szunyogh; M. G. Genton
2015-01-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of ...
Algoritma Filter Kalman untuk Menghaluskan Data Pengukuran
Rudiyanto; Setiawan, Budi Indra; Saptomo, Satyanto Krido
2006-01-01
The objective of this paper is to apply a simple algorithm of Kalman Filter, wich is know as noise data filtering. The computer program was written in Macro Visual Basic in MS Exel. Testings were carried out on available temperature, Water level and force data and then were comared with the mooving average method. The result shows that the algorithm performed better and lesser deviation than the mooving average.
Algoritma Filter Kalman untuk Menghaluskan Data Pengukuran
Directory of Open Access Journals (Sweden)
Rudiyanto
2006-12-01
Full Text Available The objective of this paper is to apply a simple algorithm of Kalman Filter, wich is know as noise data filtering. The computer program was written in Macro Visual Basic in MS Exel. Testings were carried out on available temperature, Water level and force data and then were comared with the mooving average method. The result shows that the algorithm performed better and lesser deviation than the mooving average.
International Nuclear Information System (INIS)
Chen, Kuilin; Yu, Jie
2014-01-01
Highlights: • A novel hybrid modeling method is proposed for short-term wind speed forecasting. • Support vector regression model is constructed to formulate nonlinear state-space framework. • Unscented Kalman filter is adopted to recursively update states under random uncertainty. • The new SVR–UKF approach is compared to several conventional methods for short-term wind speed prediction. • The proposed method demonstrates higher prediction accuracy and reliability. - Abstract: Accurate wind speed forecasting is becoming increasingly important to improve and optimize renewable wind power generation. Particularly, reliable short-term wind speed prediction can enable model predictive control of wind turbines and real-time optimization of wind farm operation. However, this task remains challenging due to the strong stochastic nature and dynamic uncertainty of wind speed. In this study, unscented Kalman filter (UKF) is integrated with support vector regression (SVR) based state-space model in order to precisely update the short-term estimation of wind speed sequence. In the proposed SVR–UKF approach, support vector regression is first employed to formulate a nonlinear state-space model and then unscented Kalman filter is adopted to perform dynamic state estimation recursively on wind sequence with stochastic uncertainty. The novel SVR–UKF method is compared with artificial neural networks (ANNs), SVR, autoregressive (AR) and autoregressive integrated with Kalman filter (AR-Kalman) approaches for predicting short-term wind speed sequences collected from three sites in Massachusetts, USA. The forecasting results indicate that the proposed method has much better performance in both one-step-ahead and multi-step-ahead wind speed predictions than the other approaches across all the locations
Directory of Open Access Journals (Sweden)
Ming Liu
2015-01-01
Full Text Available This paper is concerned with the topic of gravity matching aided inertial navigation technology using Kalman filter. The dynamic state space model for Kalman filter is constructed as follows: the error equation of the inertial navigation system is employed as the process equation while the local gravity model based on 9-point surface interpolation is employed as the observation equation. The unscented Kalman filter is employed to address the nonlinearity of the observation equation. The filter is refined in two ways as follows. The marginalization technique is employed to explore the conditionally linear substructure to reduce the computational load; specifically, the number of the needed sigma points is reduced from 15 to 5 after this technique is used. A robust technique based on Chi-square test is employed to make the filter insensitive to the uncertainties in the above constructed observation model. Numerical simulation is carried out, and the efficacy of the proposed method is validated by the simulation results.
Chen, Xiyuan; Wang, Xiying; Xu, Yuan
2014-12-09
This paper deals with the problem of state estimation for the vector-tracking loop of a software-defined Global Positioning System (GPS) receiver. For a nonlinear system that has the model error and white Gaussian noise, a noise statistics estimator is used to estimate the model error, and based on this, a modified iterated extended Kalman filter (IEKF) named adaptive iterated Kalman filter (AIEKF) is proposed. A vector-tracking GPS receiver utilizing AIEKF is implemented to evaluate the performance of the proposed method. Through road tests, it is shown that the proposed method has an obvious accuracy advantage over the IEKF and Adaptive Extended Kalman filter (AEKF) in position determination. The results show that the proposed method is effective to reduce the root-mean-square error (RMSE) of position (including longitude, latitude and altitude). Comparing with EKF, the position RMSE values of AIEKF are reduced by about 45.1%, 40.9% and 54.6% in the east, north and up directions, respectively. Comparing with IEKF, the position RMSE values of AIEKF are reduced by about 25.7%, 19.3% and 35.7% in the east, north and up directions, respectively. Compared with AEKF, the position RMSE values of AIEKF are reduced by about 21.6%, 15.5% and 30.7% in the east, north and up directions, respectively.
Kalman filter approach for uncertainty quantification in time-resolved laser-induced incandescence.
Hadwin, Paul J; Sipkens, Timothy A; Thomson, Kevin A; Liu, Fengshan; Daun, Kyle J
2018-03-01
Time-resolved laser-induced incandescence (TiRe-LII) data can be used to infer spatially and temporally resolved volume fractions and primary particle size distributions of soot-laden aerosols, but these estimates are corrupted by measurement noise as well as uncertainties in the spectroscopic and heat transfer submodels used to interpret the data. Estimates of the temperature, concentration, and size distribution of soot primary particles within a sample aerosol are typically made by nonlinear regression of modeled spectral incandescence decay, or effective temperature decay, to experimental data. In this work, we employ nonstationary Bayesian estimation techniques to infer aerosol properties from simulated and experimental LII signals, specifically the extended Kalman filter and Schmidt-Kalman filter. These techniques exploit the time-varying nature of both the measurements and the models, and they reveal how uncertainty in the estimates computed from TiRe-LII data evolves over time. Both techniques perform better when compared with standard deterministic estimates; however, we demonstrate that the Schmidt-Kalman filter produces more realistic uncertainty estimates.
El Gharamti, Mohamad
2012-04-01
Accurate knowledge of the movement of contaminants in porous media is essential to track their trajectory and later extract them from the aquifer. A two-dimensional flow model is implemented and then applied on a linear contaminant transport model in the same porous medium. Because of different sources of uncertainties, this coupled model might not be able to accurately track the contaminant state. Incorporating observations through the process of data assimilation can guide the model toward the true trajectory of the system. The Kalman filter (KF), or its nonlinear invariants, can be used to tackle this problem. To overcome the prohibitive computational cost of the KF, the singular evolutive Kalman filter (SEKF) and the singular fixed Kalman filter (SFKF) are used, which are variants of the KF operating with low-rank covariance matrices. Experimental results suggest that under perfect and imperfect model setups, the low-rank filters can provide estimates as accurate as the full KF but at much lower computational effort. Low-rank filters are demonstrated to significantly reduce the computational effort of the KF to almost 3%. © 2012 American Society of Civil Engineers.
LHCb Kalman Filter cross architecture studies
Hugo, Daniel; Pérez, Cámpora
2017-10-01
The 2020 upgrade of the LHCb detector will vastly increase the rate of collisions the Online system needs to process in software, in order to filter events in real time. 30 million collisions per second will pass through a selection chain, where each step is executed conditional to its prior acceptance. The Kalman Filter is a fit applied to all reconstructed tracks which, due to its time characteristics and early execution in the selection chain, consumes 40% of the whole reconstruction time in the current trigger software. This makes the Kalman Filter a time-critical component as the LHCb trigger evolves into a full software trigger in the Upgrade. I present a new Kalman Filter algorithm for LHCb that can efficiently make use of any kind of SIMD processor, and its design is explained in depth. Performance benchmarks are compared between a variety of hardware architectures, including x86_64 and Power8, and the Intel Xeon Phi accelerator, and the suitability of said architectures to efficiently perform the LHCb Reconstruction process is determined.
A Kalman Filtering Perspective for Multiatlas Segmentation*
Gao, Yi; Zhu, Liangjia; Cates, Joshua; MacLeod, Rob S.; Bouix, Sylvain; Tannenbaum, Allen
2016-01-01
In multiatlas segmentation, one typically registers several atlases to the novel image, and their respective segmented label images are transformed and fused to form the final segmentation. In this work, we provide a new dynamical system perspective for multiatlas segmentation, inspired by the following fact: The transformation that aligns the current atlas to the novel image can be not only computed by direct registration but also inferred from the transformation that aligns the previous atlas to the image together with the transformation between the two atlases. This process is similar to the global positioning system on a vehicle, which gets position by inquiring from the satellite and by employing the previous location and velocity—neither answer in isolation being perfect. To solve this problem, a dynamical system scheme is crucial to combine the two pieces of information; for example, a Kalman filtering scheme is used. Accordingly, in this work, a Kalman multiatlas segmentation is proposed to stabilize the global/affine registration step. The contributions of this work are twofold. First, it provides a new dynamical systematic perspective for standard independent multiatlas registrations, and it is solved by Kalman filtering. Second, with very little extra computation, it can be combined with most existing multiatlas segmentation schemes for better registration/segmentation accuracy. PMID:26807162
Hou, Bowen; He, Zhangming; Li, Dong; Zhou, Haiyin; Wang, Jiongqi
2018-05-27
Strap-down inertial navigation system/celestial navigation system ( SINS/CNS) integrated navigation is a high precision navigation technique for ballistic missiles. The traditional navigation method has a divergence in the position error. A deeply integrated mode for SINS/CNS navigation system is proposed to improve the navigation accuracy of ballistic missile. The deeply integrated navigation principle is described and the observability of the navigation system is analyzed. The nonlinearity, as well as the large outliers and the Gaussian mixture noises, often exists during the actual navigation process, leading to the divergence phenomenon of the navigation filter. The new nonlinear Kalman filter on the basis of the maximum correntropy theory and unscented transformation, named the maximum correntropy unscented Kalman filter, is deduced, and the computational complexity is analyzed. The unscented transformation is used for restricting the nonlinearity of the system equation, and the maximum correntropy theory is used to deal with the non-Gaussian noises. Finally, numerical simulation illustrates the superiority of the proposed filter compared with the traditional unscented Kalman filter. The comparison results show that the large outliers and the influence of non-Gaussian noises for SINS/CNS deeply integrated navigation is significantly reduced through the proposed filter.
Directory of Open Access Journals (Sweden)
Bowen Hou
2018-05-01
Full Text Available Strap-down inertial navigation system/celestial navigation system ( SINS/CNS integrated navigation is a high precision navigation technique for ballistic missiles. The traditional navigation method has a divergence in the position error. A deeply integrated mode for SINS/CNS navigation system is proposed to improve the navigation accuracy of ballistic missile. The deeply integrated navigation principle is described and the observability of the navigation system is analyzed. The nonlinearity, as well as the large outliers and the Gaussian mixture noises, often exists during the actual navigation process, leading to the divergence phenomenon of the navigation filter. The new nonlinear Kalman filter on the basis of the maximum correntropy theory and unscented transformation, named the maximum correntropy unscented Kalman filter, is deduced, and the computational complexity is analyzed. The unscented transformation is used for restricting the nonlinearity of the system equation, and the maximum correntropy theory is used to deal with the non-Gaussian noises. Finally, numerical simulation illustrates the superiority of the proposed filter compared with the traditional unscented Kalman filter. The comparison results show that the large outliers and the influence of non-Gaussian noises for SINS/CNS deeply integrated navigation is significantly reduced through the proposed filter.
Kalman filter implementation for small satellites using constraint GPS data
Wesam, Elmahy M.; Zhang, Xiang; Lu, Zhengliang; Liao, Wenhe
2017-06-01
Due to the increased need for autonomy, an Extended Kalman Filter (EKF) has been designed to autonomously estimate the orbit using GPS data. A propagation step models the satellite dynamics as a two body with J2 (second zonal effect) perturbations being suitable for orbits in altitudes higher than 600 km. An onboard GPS receiver provides continuous measurement inputs. The continuity of measurements decreases the errors of the orbit determination algorithm. Power restrictions are imposed on small satellites in general and nanosatellites in particular. In cubesats, the GPS is forced to be shut down most of the mission’s life time. GPS is turned on when experiments like atmospheric ones are carried out and meter level accuracy for positioning is required. This accuracy can’t be obtained by other autonomous sensors like magnetometer and sun sensor as they provide kilometer level accuracy. Through simulation using Matlab and satellite tool kit (STK) the position accuracy is analyzed after imposing constrained conditions suitable for small satellites and a very tight one suitable for nanosatellite missions.
Reservoir History Matching Using Ensemble Kalman Filters with Anamorphosis Transforms
Aman, Beshir M.
2012-12-01
This work aims to enhance the Ensemble Kalman Filter performance by transforming the non-Gaussian state variables into Gaussian variables to be a step closer to optimality. This is done by using univariate and multivariate Box-Cox transformation. Some History matching methods such as Kalman filter, particle filter and the ensemble Kalman filter are reviewed and applied to a test case in the reservoir application. The key idea is to apply the transformation before the update step and then transform back after applying the Kalman correction. In general, the results of the multivariate method was promising, despite the fact it over-estimated some variables.
Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Institute of Scientific and Technical Information of China (English)
Xiao Lu; Linglong Wang; Haixia Wang; Xianghua Wang
2016-01-01
Kalman filtering problem for singular systems is dealt with, where the measurements consist of instantaneous measurements and delayed ones, and the plant includes multiplicative noise. By utilizing standard singular value decomposition, the restricted equivalent delayed system is presented, and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma. The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations, and a numerical example is presented to show the validity and efficiency of the proposed approach, where the comparison between the filter and predictor is also given.
Design considerations for a suboptimal Kalman filter
Difilippo, D. J.
1995-06-01
In designing a suboptimal Kalman filter, the designer must decide how to simplify the system error model without causing the filter estimation errors to increase to unacceptable levels. Deletion of certain error states and decoupling of error state dynamics are the two principal model simplifications that are commonly used in suboptimal filter design. For the most part, the decisions as to which error states can be deleted or decoupled are based on the designer's understanding of the physics of the particular system. Consequently, the details of a suboptimal design are usually unique to the specific application. In this paper, the process of designing a suboptimal Kalman filter is illustrated for the case of an airborne transfer-of-alignment (TOA) system used for synthetic aperture radar (SAR) motion compensation. In this application, the filter must continuously transfer the alignment of an onboard Doppler-damped master inertial navigation system (INS) to a strapdown navigator that processes information from a less accurate inertial measurement unit (IMU) mounted on the radar antenna. The IMU is used to measure spurious antenna motion during the SAR imaging interval, so that compensating phase corrections can be computed and applied to the radar returns, thereby presenting image degradation that would otherwise result from such motions. The principles of SAR are described in many references, for instance. The primary function of the TOA Kalman filter in a SAR motion compensation system is to control strapdown navigator attitude errors, and to a less degree, velocity and heading errors. Unlike a classical navigation application, absolute positional accuracy is not important. The motion compensation requirements for SAR imaging are discussed in some detail. This TOA application is particularly appropriate as a vehicle for discussing suboptimal filter design, because the system contains features that can be exploited to allow both deletion and decoupling of error
A generalized polynomial chaos based ensemble Kalman filter with high accuracy
International Nuclear Information System (INIS)
Li Jia; Xiu Dongbin
2009-01-01
As one of the most adopted sequential data assimilation methods in many areas, especially those involving complex nonlinear dynamics, the ensemble Kalman filter (EnKF) has been under extensive investigation regarding its properties and efficiency. Compared to other variants of the Kalman filter (KF), EnKF is straightforward to implement, as it employs random ensembles to represent solution states. This, however, introduces sampling errors that affect the accuracy of EnKF in a negative manner. Though sampling errors can be easily reduced by using a large number of samples, in practice this is undesirable as each ensemble member is a solution of the system of state equations and can be time consuming to compute for large-scale problems. In this paper we present an efficient EnKF implementation via generalized polynomial chaos (gPC) expansion. The key ingredients of the proposed approach involve (1) solving the system of stochastic state equations via the gPC methodology to gain efficiency; and (2) sampling the gPC approximation of the stochastic solution with an arbitrarily large number of samples, at virtually no additional computational cost, to drastically reduce the sampling errors. The resulting algorithm thus achieves a high accuracy at reduced computational cost, compared to the classical implementations of EnKF. Numerical examples are provided to verify the convergence property and accuracy improvement of the new algorithm. We also prove that for linear systems with Gaussian noise, the first-order gPC Kalman filter method is equivalent to the exact Kalman filter.
DEFF Research Database (Denmark)
Khazraj, Hesam; Silva, Filipe Miguel Faria da; Bak, Claus Leth
2016-01-01
Dynamic State Estimation (DSE) is a critical tool for analysis, monitoring and planning of a power system. The concept of DSE involves designing state estimation with Extended Kalman Filter (EKF) or Unscented Kalman Filter (UKF) methods, which can be used by wide area monitoring to improve......-linear state estimator is developed in MatLab to solve states by applying the unscented Kalman filter (UKF) and Extended Kalman Filter (EKF) algorithm. Finally, a DSE model is built for a 14 bus power system network to evaluate the proposed algorithm for the networks.This article will focus on comparing...
Directory of Open Access Journals (Sweden)
Guohu Feng
2012-06-01
Full Text Available A matrix Kalman filter (MKF has been implemented for an integrated navigation system using visual/inertial/magnetic sensors. The MKF rearranges the original nonlinear process model in a pseudo-linear process model. We employ the observability rank criterion based on Lie derivatives to verify the conditions under which the nonlinear system is observable. It has been proved that such observability conditions are: (a at least one degree of rotational freedom is excited, and (b at least two linearly independent horizontal lines and one vertical line are observed. Experimental results have validated the correctness of these observability conditions.
Directory of Open Access Journals (Sweden)
Xixiang Liu
2014-01-01
Full Text Available In the initial alignment process of strapdown inertial navigation system (SINS, large initial misalignment angles always bring nonlinear problem, which causes alignment failure when the classical linear error model and standard Kalman filter are used. In this paper, the problem of large misalignment angles in SINS initial alignment is investigated, and the key reason for alignment failure is given as the state covariance from Kalman filter cannot represent the true one during the steady filtering process. According to the analysis, an alignment method for SINS based on multiresetting the state covariance matrix of Kalman filter is designed to deal with large initial misalignment angles, in which classical linear error model and standard Kalman filter are used, but the state covariance matrix should be multireset before the steady process until large misalignment angles are decreased to small ones. The performance of the proposed method is evaluated by simulation and car test, and the results indicate that the proposed method can fulfill initial alignment with large misalignment angles effectively and the alignment accuracy of the proposed method is as precise as that of alignment with small misalignment angles.
Filtering Meteoroid Flights Using Multiple Unscented Kalman Filters
Sansom, E. K.; Bland, P. A.; Rutten, M. G.; Paxman, J.; Towner, M. C.
2016-11-01
Estimator algorithms are immensely versatile and powerful tools that can be applied to any problem where a dynamic system can be modeled by a set of equations and where observations are available. A well designed estimator enables system states to be optimally predicted and errors to be rigorously quantified. Unscented Kalman filters (UKFs) and interactive multiple models can be found in methods from satellite tracking to self-driving cars. The luminous trajectory of the Bunburra Rockhole fireball was observed by the Desert Fireball Network in mid-2007. The recorded data set is used in this paper to examine the application of these two techniques as a viable approach to characterizing fireball dynamics. The nonlinear, single-body system of equations, used to model meteoroid entry through the atmosphere, is challenged by gross fragmentation events that may occur. The incorporation of the UKF within an interactive multiple model smoother provides a likely solution for when fragmentation events may occur as well as providing a statistical analysis of the state uncertainties. In addition to these benefits, another advantage of this approach is its automatability for use within an image processing pipeline to facilitate large fireball data analyses and meteorite recoveries.
Concrete ensemble Kalman filters with rigorous catastrophic filter divergence.
Kelly, David; Majda, Andrew J; Tong, Xin T
2015-08-25
The ensemble Kalman filter and ensemble square root filters are data assimilation methods used to combine high-dimensional, nonlinear dynamical models with observed data. Ensemble methods are indispensable tools in science and engineering and have enjoyed great success in geophysical sciences, because they allow for computationally cheap low-ensemble-state approximation for extremely high-dimensional turbulent forecast models. From a theoretical perspective, the dynamical properties of these methods are poorly understood. One of the central mysteries is the numerical phenomenon known as catastrophic filter divergence, whereby ensemble-state estimates explode to machine infinity, despite the true state remaining in a bounded region. In this article we provide a breakthrough insight into the phenomenon, by introducing a simple and natural forecast model that transparently exhibits catastrophic filter divergence under all ensemble methods and a large set of initializations. For this model, catastrophic filter divergence is not an artifact of numerical instability, but rather a true dynamical property of the filter. The divergence is not only validated numerically but also proven rigorously. The model cleanly illustrates mechanisms that give rise to catastrophic divergence and confirms intuitive accounts of the phenomena given in past literature.
On tempo tracking: Tempogram representation and Kalman filtering
Cemgil, A.T.; Kappen, H.J.; Desain, P.W.M.; Honing, H.J.
2001-01-01
We formulate tempo tracking in a Bayesian framework where a tempo tracker is modeled as a stochastic dynamical system. The tempo is modeled as a hidden state variable of the system and is estimated by a Kalman filter. The Kalman filter operates on a Tempogram, a wavelet-like multiscale expansion of
Longitudinal Factor Score Estimation Using the Kalman Filter.
Oud, Johan H.; And Others
1990-01-01
How longitudinal factor score estimation--the estimation of the evolution of factor scores for individual examinees over time--can profit from the Kalman filter technique is described. The Kalman estimates change more cautiously over time, have lower estimation error variances, and reproduce the LISREL program latent state correlations more…
An iterative ensemble Kalman filter for reservoir engineering applications
Krymskaya, M.V.; Hanea, R.G.; Verlaan, M.
2009-01-01
The study has been focused on examining the usage and the applicability of ensemble Kalman filtering techniques to the history matching procedures. The ensemble Kalman filter (EnKF) is often applied nowadays to solving such a problem. Meanwhile, traditional EnKF requires assumption of the
Improving Artificial eural etwork Forecasts with Kalman Filtering
African Journals Online (AJOL)
Nafiisah
technique in financial time series and the application of a Kalman filter ... networks (ANN) model using a Kalman filter leads to significant improvements in .... 3-rd order polynomial (Galanis et al. (2006)): 1 t p. 2 t p. 3 t p. 4 t p. 1 t h. 2 t h tr t r ...
The AGILE on-board Kalman filter
International Nuclear Information System (INIS)
Giuliani, A.; Cocco, V.; Mereghetti, S.; Pittori, C.; Tavani, M.
2006-01-01
On-board reduction of particle background is one of the main challenges of space instruments dedicated to gamma-ray astrophysics. We present in this paper a discussion of the method and main simulation results of the on-board background filter of the Gamma-Ray Imaging Detector (GRID) of the AGILE mission. The GRID is capable of detecting and imaging with optimal point spread function gamma-ray photons in the range 30MeV-30GeV. The AGILE planned orbit is equatorial, with an altitude of 550km. This is an optimal orbit from the point of view of the expected particle background. For this orbit, electrons and positrons of kinetic energies between 20MeV and hundreds of MeV dominate the particle background, with significant contributions from high-energy (primary) and low-energy protons, and gamma-ray albedo-photons. We present here the main results obtained by extensive simulations of the on-board AGILE-GRID particle/photon background rejection algorithms based on a special application of Kalman filter techniques. This filter is applied (Level-2) sequentially after other data processing techniques characterizing the Level-1 processing. We show that, in conjunction with the Level-1 processing, the adopted Kalman filtering is expected to reduce the total particle/albedo-photon background rate to a value (=<10-30Hz) that is compatible with the AGILE telemetry. The AGILE on-board Kalman filter is also effective in reducing the Earth-albedo-photon background rate, and therefore contributes to substantially increase the AGILE exposure for celestial gamma-ray sources
Kalman filter tracking on parallel architectures
Cerati, G.; Elmer, P.; Krutelyov, S.; Lantz, S.; Lefebvre, M.; McDermott, K.; Riley, D.; Tadel, M.; Wittich, P.; Wurthwein, F.; Yagil, A.
2017-10-01
We report on the progress of our studies towards a Kalman filter track reconstruction algorithm with optimal performance on manycore architectures. The combinatorial structure of these algorithms is not immediately compatible with an efficient SIMD (or SIMT) implementation; the challenge for us is to recast the existing software so it can readily generate hundreds of shared-memory threads that exploit the underlying instruction set of modern processors. We show how the data and associated tasks can be organized in a way that is conducive to both multithreading and vectorization. We demonstrate very good performance on Intel Xeon and Xeon Phi architectures, as well as promising first results on Nvidia GPUs.
Adaptive Federal Kalman Filtering for SINS/GPS Integrated System
Institute of Scientific and Technical Information of China (English)
杨勇; 缪玲娟
2003-01-01
A new adaptive federal Kalman filter for a strapdown integrated navigation system/global positioning system (SINS/GPS) is given. The developed federal Kalman filter is based on the trace operation of parameters estimation's error covariance matrix and the spectral radius of update measurement noise variance-covariance matrix for the proper choice of the filter weight and hence the filter gain factors. Theoretical analysis and results from simulation in which the SINS/GPS was compared to conventional Kalman filter are presented. Results show that the algorithm of this adaptive federal Kalman filter is simpler than that of the conventional one. Furthermore, it outperforms the conventional Kalman filter when the system is undertaken measurement malfunctions because of its possession of adaptive ability. This filter can be used in the vehicle integrated navigation system.
Kalman filter estimation of RLC parameters for UMP transmission line
Directory of Open Access Journals (Sweden)
Mohd Amin Siti Nur Aishah
2018-01-01
Full Text Available This paper present the development of Kalman filter that allows evaluation in the estimation of resistance (R, inductance (L, and capacitance (C values for Universiti Malaysia Pahang (UMP short transmission line. To overcome the weaknesses of existing system such as power losses in the transmission line, Kalman Filter can be a better solution to estimate the parameters. The aim of this paper is to estimate RLC values by using Kalman filter that in the end can increase the system efficiency in UMP. In this research, matlab simulink model is developed to analyse the UMP short transmission line by considering different noise conditions to reprint certain unknown parameters which are difficult to predict. The data is then used for comparison purposes between calculated and estimated values. The results have illustrated that the Kalman Filter estimate accurately the RLC parameters with less error. The comparison of accuracy between Kalman Filter and Least Square method is also presented to evaluate their performances.
Sadaghzadeh N, Nargess; Poshtan, Javad; Wagner, Achim; Nordheimer, Eugen; Badreddin, Essameddin
2014-03-01
Based on a cascaded Kalman-Particle Filtering, gyroscope drift and robot attitude estimation method is proposed in this paper. Due to noisy and erroneous measurements of MEMS gyroscope, it is combined with Photogrammetry based vision navigation scenario. Quaternions kinematics and robot angular velocity dynamics with augmented drift dynamics of gyroscope are employed as system state space model. Nonlinear attitude kinematics, drift and robot angular movement dynamics each in 3 dimensions result in a nonlinear high dimensional system. To reduce the complexity, we propose a decomposition of system to cascaded subsystems and then design separate cascaded observers. This design leads to an easier tuning and more precise debugging from the perspective of programming and such a setting is well suited for a cooperative modular system with noticeably reduced computation time. Kalman Filtering (KF) is employed for the linear and Gaussian subsystem consisting of angular velocity and drift dynamics together with gyroscope measurement. The estimated angular velocity is utilized as input of the second Particle Filtering (PF) based observer in two scenarios of stochastic and deterministic inputs. Simulation results are provided to show the efficiency of the proposed method. Moreover, the experimental results based on data from a 3D MEMS IMU and a 3D camera system are used to demonstrate the efficiency of the method. © 2013 ISA Published by ISA All rights reserved.
Multi-Sensor Optimal Data Fusion Based on the Adaptive Fading Unscented Kalman Filter.
Gao, Bingbing; Hu, Gaoge; Gao, Shesheng; Zhong, Yongmin; Gu, Chengfan
2018-02-06
This paper presents a new optimal data fusion methodology based on the adaptive fading unscented Kalman filter for multi-sensor nonlinear stochastic systems. This methodology has a two-level fusion structure: at the bottom level, an adaptive fading unscented Kalman filter based on the Mahalanobis distance is developed and serves as local filters to improve the adaptability and robustness of local state estimations against process-modeling error; at the top level, an unscented transformation-based multi-sensor optimal data fusion for the case of N local filters is established according to the principle of linear minimum variance to calculate globally optimal state estimation by fusion of local estimations. The proposed methodology effectively refrains from the influence of process-modeling error on the fusion solution, leading to improved adaptability and robustness of data fusion for multi-sensor nonlinear stochastic systems. It also achieves globally optimal fusion results based on the principle of linear minimum variance. Simulation and experimental results demonstrate the efficacy of the proposed methodology for INS/GNSS/CNS (inertial navigation system/global navigation satellite system/celestial navigation system) integrated navigation.
Directory of Open Access Journals (Sweden)
P. A. Ermolaev
2014-03-01
Full Text Available Data processing in the interferometer systems requires high-resolution and high-speed algorithms. Recurrence algorithms based on parametric representation of signals execute consequent processing of signal samples. In some cases recurrence algorithms make it possible to increase speed and quality of data processing as compared with classic processing methods. Dependence of the measured interferometer signal on parameters of its model and stochastic nature of noise formation in the system is, in general, nonlinear. The usage of nonlinear stochastic filtering algorithms is expedient for such signals processing. Extended Kalman filter with linearization of state and output equations by the first vector parameters derivatives is an example of these algorithms. To decrease approximation error of this method the second order extended Kalman filtering is suggested with additionally usage of the second vector parameters derivatives of model equations. Examples of algorithm implementation with the different sets of estimated parameters are described. The proposed algorithm gives the possibility to increase the quality of data processing in interferometer systems in which signals are forming according to considered models. Obtained standard deviation of estimated amplitude envelope does not exceed 4% of the maximum. It is shown that signal-to-noise ratio of reconstructed signal is increased by 60%.
Aircraft Engine Sensor/Actuator/Component Fault Diagnosis Using a Bank of Kalman Filters
Kobayashi, Takahisa; Simon, Donald L. (Technical Monitor)
2003-01-01
In this report, a fault detection and isolation (FDI) system which utilizes a bank of Kalman filters is developed for aircraft engine sensor and actuator FDI in conjunction with the detection of component faults. This FDI approach uses multiple Kalman filters, each of which is designed based on a specific hypothesis for detecting a specific sensor or actuator fault. In the event that a fault does occur, all filters except the one using the correct hypothesis will produce large estimation errors, from which a specific fault is isolated. In the meantime, a set of parameters that indicate engine component performance is estimated for the detection of abrupt degradation. The performance of the FDI system is evaluated against a nonlinear engine simulation for various engine faults at cruise operating conditions. In order to mimic the real engine environment, the nonlinear simulation is executed not only at the nominal, or healthy, condition but also at aged conditions. When the FDI system designed at the healthy condition is applied to an aged engine, the effectiveness of the FDI system is impacted by the mismatch in the engine health condition. Depending on its severity, this mismatch can cause the FDI system to generate incorrect diagnostic results, such as false alarms and missed detections. To partially recover the nominal performance, two approaches, which incorporate information regarding the engine s aging condition in the FDI system, will be discussed and evaluated. The results indicate that the proposed FDI system is promising for reliable diagnostics of aircraft engines.
Advanced Kalman Filter for Real-Time Responsiveness in Complex Systems
Energy Technology Data Exchange (ETDEWEB)
Welch, Gregory Francis [UNC-Chapel Hill/University of Central Florida; Zhang, Jinghe [UNC-Chapel Hill/Virginia Tech
2014-06-10
Complex engineering systems pose fundamental challenges in real-time operations and control because they are highly dynamic systems consisting of a large number of elements with severe nonlinearities and discontinuities. Today’s tools for real-time complex system operations are mostly based on steady state models, unable to capture the dynamic nature and too slow to prevent system failures. We developed advanced Kalman filtering techniques and the formulation of dynamic state estimation using Kalman filtering techniques to capture complex system dynamics in aiding real-time operations and control. In this work, we looked at complex system issues including severe nonlinearity of system equations, discontinuities caused by system controls and network switches, sparse measurements in space and time, and real-time requirements of power grid operations. We sought to bridge the disciplinary boundaries between Computer Science and Power Systems Engineering, by introducing methods that leverage both existing and new techniques. While our methods were developed in the context of electrical power systems, they should generalize to other large-scale scientific and engineering applications.
Kalman Filter Tracking on Parallel Architectures
International Nuclear Information System (INIS)
Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2016-01-01
Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors such as GPGPU, ARM and Intel MIC. In order to achieve the theoretical performance gains of these processors, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High-Luminosity Large Hadron Collider (HL-LHC), for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques such as Cellular Automata or Hough Transforms. The most common track finding techniques in use today, however, are those based on a Kalman filter approach. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. They are known to provide high physics performance, are robust, and are in use today at the LHC. Given the utility of the Kalman filter in track finding, we have begun to port these algorithms to parallel architectures, namely Intel Xeon and Xeon Phi. We report here on our progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a simplified experimental environment
Kalman-predictive-proportional-integral-derivative (KPPID)
International Nuclear Information System (INIS)
Fluerasu, A.; Sutton, M.
2004-01-01
With third generation synchrotron X-ray sources, it is possible to acquire detailed structural information about the system under study with time resolution orders of magnitude faster than was possible a few years ago. These advances have generated many new challenges for changing and controlling the state of the system on very short time scales, in a uniform and controlled manner. For our particular X-ray experiments on crystallization or order-disorder phase transitions in metallic alloys, we need to change the sample temperature by hundreds of degrees as fast as possible while avoiding over or under shooting. To achieve this, we designed and implemented a computer-controlled temperature tracking system which combines standard Proportional-Integral-Derivative (PID) feedback, thermal modeling and finite difference thermal calculations (feedforward), and Kalman filtering of the temperature readings in order to reduce the noise. The resulting Kalman-Predictive-Proportional-Integral-Derivative (KPPID) algorithm allows us to obtain accurate control, to minimize the response time and to avoid over/under shooting, even in systems with inherently noisy temperature readings and time delays. The KPPID temperature controller was successfully implemented at the Advanced Photon Source at Argonne National Laboratories and was used to perform coherent and time-resolved X-ray diffraction experiments.
Application of Constrained Linear MPC to a Spray Dryer
DEFF Research Database (Denmark)
Petersen, Lars Norbert; Poulsen, Niels Kjølstad; Niemann, Hans Henrik
2014-01-01
In this paper we develop a linear model predictive control (MPC) algorithm for control of a two stage spray dryer. The states are estimated by a stationary Kalman filter. A non-linear first-principle engineering model is developed to simulate the spray drying process. The model is validated against...... experimental data and able to precisely predict the temperatures, the air humidity and the residual moisture in the dryer. The MPC controls these variables to the target and reject disturbances. Spray drying is a cost-effective method to evaporate water from liquid foods and produces a free flowing powder...
Nonlinear Control Structure of Grid Connected Modular Multilevel Converters
DEFF Research Database (Denmark)
Hajizadeh, Amin; Norum, Lars; Ahadpour Shal, Alireza
2017-01-01
in the prediction step in order to preserve the stochastic characteristics of a nonlinear system. In order to design adaptive robust control strategy and nonlinear observer, mathematical model of MMC using rotating d-q theory has been used. Digital time-domain simulation studies are carried out in the Matlab......This paper implements nonlinear control structure based on Adaptive Fuzzy Sliding Mode (AFSM) Current Control and Unscented Kalman Filter (UKF) to estimate the capacitor voltages from the measurement of arm currents of Modular Multilevel Converter (MMC). UKF use nonlinear unscented transforms....../Simulink environment to verify the performance of the overall proposed control structure during different case studies....
An Adjoint-Based Adaptive Ensemble Kalman Filter
Song, Hajoon
2013-10-01
A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.
An Adjoint-Based Adaptive Ensemble Kalman Filter
Song, Hajoon; Hoteit, Ibrahim; Cornuelle, Bruce D.; Luo, Xiaodong; Subramanian, Aneesh C.
2013-01-01
A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.
Evolutionary constrained optimization
Deb, Kalyanmoy
2015-01-01
This book makes available a self-contained collection of modern research addressing the general constrained optimization problems using evolutionary algorithms. Broadly the topics covered include constraint handling for single and multi-objective optimizations; penalty function based methodology; multi-objective based methodology; new constraint handling mechanism; hybrid methodology; scaling issues in constrained optimization; design of scalable test problems; parameter adaptation in constrained optimization; handling of integer, discrete and mix variables in addition to continuous variables; application of constraint handling techniques to real-world problems; and constrained optimization in dynamic environment. There is also a separate chapter on hybrid optimization, which is gaining lots of popularity nowadays due to its capability of bridging the gap between evolutionary and classical optimization. The material in the book is useful to researchers, novice, and experts alike. The book will also be useful...
Enhancement of kalman filter single loss detection capability
International Nuclear Information System (INIS)
Morrison, G.W.; Downing, D.J.; Pike, D.H.
1980-01-01
A new technique to significantly increase the sensitivity of the Kalman filter to detect one-time losses for nuclear marterial accountability and control has been developed. The technique uses the innovations sequence obtained from a Kalman filter analysis of a material balance area. The innovations are distributed as zero mean independent Gaussion random variables with known variance. This property enables an estimator to be formed with enhanced one time loss detection capabilities. Simulation studies of a material balance area indicate the new estimator greatly enhances the one time loss detection capability of the Kalman filter
Comparison of three nonlinear filters for fault detection in continuous glucose monitors.
Mahmoudi, Zeinab; Wendt, Sabrina Lyngbye; Boiroux, Dimitri; Hagdrup, Morten; Norgaard, Kirsten; Poulsen, Niels Kjolstad; Madsen, Henrik; Jorgensen, John Bagterp
2016-08-01
The purpose of this study is to compare the performance of three nonlinear filters in online drift detection of continuous glucose monitors. The nonlinear filters are the extended Kalman filter (EKF), the unscented Kalman filter (UKF), and the particle filter (PF). They are all based on a nonlinear model of the glucose-insulin dynamics in people with type 1 diabetes. Drift is modelled by a Gaussian random walk and is detected based on the statistical tests of the 90-min prediction residuals of the filters. The unscented Kalman filter had the highest average F score of 85.9%, and the smallest average detection delay of 84.1%, with the average detection sensitivity of 82.6%, and average specificity of 91.0%.
International Nuclear Information System (INIS)
Aumeier, S.E.; Forsmann, J.H.
1998-01-01
The ability to nondestructively determine the presence and quantity of fissile/fertile nuclei in various matrices is important in several areas of nuclear applications, including international and domestic safeguards, radioactive waste characterization, and nuclear facility operations. An analysis was performed to determine the feasibility of identifying the masses of individual fissionable isotopes from a cumulative delayed-neutron signal resulting form the neutron irradiation of several uranium and plutonium isotopes. The feasibility of two separate data-processing techniques was studied: Kalman filtering and genetic algorithms. The basis of each technique is reviewed, and the structure of the algorithms as applied to the delayed-neutron analysis problem is presented. The results of parametric studies performed using several variants of the algorithms are presented. The effect of including additional constraining information such as additional measurements and known relative isotopic concentration is discussed. The parametric studies were conducted using simulated delayed-neutron data representative of the cumulative delayed-neutron response following irradiation of a sample containing 238 U, 235 U, 239 Pu, and 240 Pu. The results show that by processing delayed-neutron data representative of two significantly different fissile/fertile fission ratios, both Kalman filters and genetic algorithms are capable of yielding reasonably accurate estimates of the mass of individual isotopes contained in a given assay sample
ASSIMILATION OF COARSE-SCALEDATAUSINGTHE ENSEMBLE KALMAN FILTER
Efendiev, Yalchin
2011-01-01
Reservoir data is usually scale dependent and exhibits multiscale features. In this paper we use the ensemble Kalman filter (EnKF) to integrate data at different spatial scales for estimating reservoir fine-scale characteristics. Relationships between the various scales is modeled via upscaling techniques. We propose two versions of the EnKF to assimilate the multiscale data, (i) where all the data are assimilated together and (ii) the data are assimilated sequentially in batches. Ensemble members obtained after assimilating one set of data are used as a prior to assimilate the next set of data. Both of these versions are easily implementable with any other upscaling which links the fine to the coarse scales. The numerical results with different methods are presented in a twin experiment setup using a two-dimensional, two-phase (oil and water) flow model. Results are shown with coarse-scale permeability and coarse-scale saturation data. They indicate that additional data provides better fine-scale estimates and fractional flow predictions. We observed that the two versions of the EnKF differed in their estimates when coarse-scale permeability is provided, whereas their results are similar when coarse-scale saturation is used. This behavior is thought to be due to the nonlinearity of the upscaling operator in the case of the former data. We also tested our procedures with various precisions of the coarse-scale data to account for the inexact relationship between the fine and coarse scale data. As expected, the results show that higher precision in the coarse-scale data yielded improved estimates. With better coarse-scale modeling and inversion techniques as more data at multiple coarse scales is made available, the proposed modification to the EnKF could be relevant in future studies.
Institute of Scientific and Technical Information of China (English)
许光辉; 胡光锐
2005-01-01
A new Kalman filtering algorithm based on estimation of spread spectrum signal before suppression of narrowband interference (NBI) in spread spectrum systems, using the dependence of autoregressive (AR) interference, is presented compared with performance of the ACM nonlinear filtering algorithm, simulation results show that the proposed algorithm has preferable performance, there is about 5 dB SNR improvement in average.
Kalman-Takens filtering in the presence of dynamical noise
Hamilton, Franz; Berry, Tyrus; Sauer, Timothy
2017-12-01
The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model is known, a hybrid Kalman-Takens method has been recently introduced, in order to exploit the advantages of optimal filtering in a nonparametric setting. This procedure replaces the parametric model with dynamics reconstructed from delay coordinates, while using the Kalman update formulation to assimilate new observations. In this article, we study the efficacy of this method for identifying underlying dynamics in the presence of dynamical noise. Furthermore, by combining the Kalman-Takens method with an adaptive filtering procedure we are able to estimate the statistics of the observational and dynamical noise. This solves a long-standing problem of separating dynamical and observational noise in time series data, which is especially challenging when no dynamical model is specified.
Proofs and Techniques Useful for Deriving the Kalman Filter
National Research Council Canada - National Science Library
Koks, Don
2008-01-01
This note is a tutorial in matrix manipulation and the normal distribution of statistics, concepts that are important for deriving and analysing the Kalman Filter, a basic tool of signal processing...
Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Institute of Scientific and Technical Information of China (English)
Xiao Lu; Linglong Wang; Haixia Wang; Xianghua Wang
2016-01-01
Kalman filtering problem for singular systems is dealt with,where the measurements consist of instantaneous measurements and delayed ones,and the plant includes multiplicative noise.By utilizing standard singular value decomposition,the restricted equivalent delayed system is presented,and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma.The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations,and a numerical example is presented to show the validity and efficiency of the proposed approach,where the comparison between the filter and predictor is also given.
Kalman filter data assimilation: targeting observations and parameter estimation.
Bellsky, Thomas; Kostelich, Eric J; Mahalov, Alex
2014-06-01
This paper studies the effect of targeted observations on state and parameter estimates determined with Kalman filter data assimilation (DA) techniques. We first provide an analytical result demonstrating that targeting observations within the Kalman filter for a linear model can significantly reduce state estimation error as opposed to fixed or randomly located observations. We next conduct observing system simulation experiments for a chaotic model of meteorological interest, where we demonstrate that the local ensemble transform Kalman filter (LETKF) with targeted observations based on largest ensemble variance is skillful in providing more accurate state estimates than the LETKF with randomly located observations. Additionally, we find that a hybrid ensemble Kalman filter parameter estimation method accurately updates model parameters within the targeted observation context to further improve state estimation.
Kalman filter data assimilation: Targeting observations and parameter estimation
International Nuclear Information System (INIS)
Bellsky, Thomas; Kostelich, Eric J.; Mahalov, Alex
2014-01-01
This paper studies the effect of targeted observations on state and parameter estimates determined with Kalman filter data assimilation (DA) techniques. We first provide an analytical result demonstrating that targeting observations within the Kalman filter for a linear model can significantly reduce state estimation error as opposed to fixed or randomly located observations. We next conduct observing system simulation experiments for a chaotic model of meteorological interest, where we demonstrate that the local ensemble transform Kalman filter (LETKF) with targeted observations based on largest ensemble variance is skillful in providing more accurate state estimates than the LETKF with randomly located observations. Additionally, we find that a hybrid ensemble Kalman filter parameter estimation method accurately updates model parameters within the targeted observation context to further improve state estimation
Power system static state estimation using Kalman filter algorithm
Directory of Open Access Journals (Sweden)
Saikia Anupam
2016-01-01
Full Text Available State estimation of power system is an important tool for operation, analysis and forecasting of electric power system. In this paper, a Kalman filter algorithm is presented for static estimation of power system state variables. IEEE 14 bus system is employed to check the accuracy of this method. Newton Raphson load flow study is first carried out on our test system and a set of data from the output of load flow program is taken as measurement input. Measurement inputs are simulated by adding Gaussian noise of zero mean. The results of Kalman estimation are compared with traditional Weight Least Square (WLS method and it is observed that Kalman filter algorithm is numerically more efficient than traditional WLS method. Estimation accuracy is also tested for presence of parametric error in the system. In addition, numerical stability of Kalman filter algorithm is tested by considering inclusion of zero mean errors in the initial estimates.
Potential fire detection based on Kalman-driven change detection
CSIR Research Space (South Africa)
Van Den Bergh, F
2009-07-01
Full Text Available A new active fire event detection algorithm for data collected with the Spinning Enhanced Visible and Infrared Imager (SEVIRI) sensor, based on the extended Kalman filter, is introduced. Instead of using the observed temperatures of the spatial...
LHCb: Alignment of the LHCb Detector with Kalman Filter Fitted Tracks
Amoraal, J; Hulsbergen, W; Needham, M; Nicolas, L; Pozzi, S; Raven, G; Vecchi, S
2009-01-01
We report on an implementation of a global chisquare algorithm for the simultaneous alignment of all tracking systems in the LHCb detector. Our algorithm uses hit residuals from the standard LHCb track fit which is based on a Kalman filter. The algorithm is implemented in the LHCb reconstruction framework and exploits the fact that all sensitive detector elements have the same geometry interface. A vertex constraint is implemented by fitting tracks to a common point and propagating the change in track parameters to the hit residuals. To remove unconstrained or poorly constrained degrees of freedom (so-called weak modes) the average movements of (subsets of) alignable detector elements can be fixed with Lagrange constraints. Alternatively, weak modes can be removed with a cutoff in the eigenvalue spectrum of the second derivative of the chisquare. As for all LHCb reconstruction and analysis software the configuration of the algorithm is done in python and gives detailed control over the selection of alignable ...
Star-sensor-based predictive Kalman filter for satelliteattitude estimation
Institute of Scientific and Technical Information of China (English)
林玉荣; 邓正隆
2002-01-01
A real-time attitude estimation algorithm, namely the predictive Kalman filter, is presented. This algorithm can accurately estimate the three-axis attitude of a satellite using only star sensor measurements. The implementation of the filter includes two steps: first, predicting the torque modeling error, and then estimating the attitude. Simulation results indicate that the predictive Kalman filter provides robust performance in the presence of both significant errors in the assumed model and in the initial conditions.
NONLINEAR ESTIMATION METHODS FOR AUTONOMOUS TRACKED VEHICLE WITH SLIP
Institute of Scientific and Technical Information of China (English)
ZHOU Bo; HAN Jianda
2007-01-01
In order to achieve precise, robust autonomous guidance and control of a tracked vehicle, a kinematic model with longitudinal and lateral slip is established. Four different nonlinear filters are used to estimate both state vector and time-varying parameter vector of the created model jointly. The first filter is the well-known extended Kalman filter. The second filter is an unscented version of the Kalman filter. The third one is a particle filter using the unscented Kalman filter to generate the importance proposal distribution. The last one is a novel and guaranteed filter that uses a linear set-membership estimator and can give an ellipsoid set in which the true state lies. The four different approaches have different complexities, behavior and advantages that are surveyed and compared.
Exploring Constrained Creative Communication
DEFF Research Database (Denmark)
Sørensen, Jannick Kirk
2017-01-01
Creative collaboration via online tools offers a less ‘media rich’ exchange of information between participants than face-to-face collaboration. The participants’ freedom to communicate is restricted in means of communication, and rectified in terms of possibilities offered in the interface. How do...... these constrains influence the creative process and the outcome? In order to isolate the communication problem from the interface- and technology problem, we examine via a design game the creative communication on an open-ended task in a highly constrained setting, a design game. Via an experiment the relation...... between communicative constrains and participants’ perception of dialogue and creativity is examined. Four batches of students preparing for forming semester project groups were conducted and documented. Students were asked to create an unspecified object without any exchange of communication except...
Choosing health, constrained choices.
Chee Khoon Chan
2009-12-01
In parallel with the neo-liberal retrenchment of the welfarist state, an increasing emphasis on the responsibility of individuals in managing their own affairs and their well-being has been evident. In the health arena for instance, this was a major theme permeating the UK government's White Paper Choosing Health: Making Healthy Choices Easier (2004), which appealed to an ethos of autonomy and self-actualization through activity and consumption which merited esteem. As a counterpoint to this growing trend of informed responsibilization, constrained choices (constrained agency) provides a useful framework for a judicious balance and sense of proportion between an individual behavioural focus and a focus on societal, systemic, and structural determinants of health and well-being. Constrained choices is also a conceptual bridge between responsibilization and population health which could be further developed within an integrative biosocial perspective one might refer to as the social ecology of health and disease.
Linearly constrained minimax optimization
DEFF Research Database (Denmark)
Madsen, Kaj; Schjær-Jacobsen, Hans
1978-01-01
We present an algorithm for nonlinear minimax optimization subject to linear equality and inequality constraints which requires first order partial derivatives. The algorithm is based on successive linear approximations to the functions defining the problem. The resulting linear subproblems...
An Unscented Kalman-Particle Hybrid Filter for Space Object Tracking
Raihan A. V, Dilshad; Chakravorty, Suman
2018-03-01
Optimal and consistent estimation of the state of space objects is pivotal to surveillance and tracking applications. However, probabilistic estimation of space objects is made difficult by the non-Gaussianity and nonlinearity associated with orbital mechanics. In this paper, we present an unscented Kalman-particle hybrid filtering framework for recursive Bayesian estimation of space objects. The hybrid filtering scheme is designed to provide accurate and consistent estimates when measurements are sparse without incurring a large computational cost. It employs an unscented Kalman filter (UKF) for estimation when measurements are available. When the target is outside the field of view (FOV) of the sensor, it updates the state probability density function (PDF) via a sequential Monte Carlo method. The hybrid filter addresses the problem of particle depletion through a suitably designed filter transition scheme. To assess the performance of the hybrid filtering approach, we consider two test cases of space objects that are assumed to undergo full three dimensional orbital motion under the effects of J 2 and atmospheric drag perturbations. It is demonstrated that the hybrid filters can furnish fast, accurate and consistent estimates outperforming standard UKF and particle filter (PF) implementations.
Ensemble Kalman filter for the reconstruction of the Earth's mantle circulation
Bocher, Marie; Fournier, Alexandre; Coltice, Nicolas
2018-02-01
Recent advances in mantle convection modeling led to the release of a new generation of convection codes, able to self-consistently generate plate-like tectonics at their surface. Those models physically link mantle dynamics to surface tectonics. Combined with plate tectonic reconstructions, they have the potential to produce a new generation of mantle circulation models that use data assimilation methods and where uncertainties in plate tectonic reconstructions are taken into account. We provided a proof of this concept by applying a suboptimal Kalman filter to the reconstruction of mantle circulation (Bocher et al., 2016). Here, we propose to go one step further and apply the ensemble Kalman filter (EnKF) to this problem. The EnKF is a sequential Monte Carlo method particularly adapted to solve high-dimensional data assimilation problems with nonlinear dynamics. We tested the EnKF using synthetic observations consisting of surface velocity and heat flow measurements on a 2-D-spherical annulus model and compared it with the method developed previously. The EnKF performs on average better and is more stable than the former method. Less than 300 ensemble members are sufficient to reconstruct an evolution. We use covariance adaptive inflation and localization to correct for sampling errors. We show that the EnKF results are robust over a wide range of covariance localization parameters. The reconstruction is associated with an estimation of the error, and provides valuable information on where the reconstruction is to be trusted or not.
Phase unwrapping algorithm using polynomial phase approximation and linear Kalman filter.
Kulkarni, Rishikesh; Rastogi, Pramod
2018-02-01
A noise-robust phase unwrapping algorithm is proposed based on state space analysis and polynomial phase approximation using wrapped phase measurement. The true phase is approximated as a two-dimensional first order polynomial function within a small sized window around each pixel. The estimates of polynomial coefficients provide the measurement of phase and local fringe frequencies. A state space representation of spatial phase evolution and the wrapped phase measurement is considered with the state vector consisting of polynomial coefficients as its elements. Instead of using the traditional nonlinear Kalman filter for the purpose of state estimation, we propose to use the linear Kalman filter operating directly with the wrapped phase measurement. The adaptive window width is selected at each pixel based on the local fringe density to strike a balance between the computation time and the noise robustness. In order to retrieve the unwrapped phase, either a line-scanning approach or a quality guided strategy of pixel selection is used depending on the underlying continuous or discontinuous phase distribution, respectively. Simulation and experimental results are provided to demonstrate the applicability of the proposed method.
Jesussek, Mathias; Ellermann, Katrin
2014-12-01
Reliability and dependability in complex mechanical systems can be improved by fault detection and isolation (FDI) methods. These techniques are key elements for maintenance on demand, which could decrease service cost and time significantly. This paper addresses FDI for a railway vehicle: the mechanical model is described as a multibody system, which is excited randomly due to track irregularities. Various parameters, like masses, spring- and damper-characteristics, influence the dynamics of the vehicle. Often, the exact values of the parameters are unknown and might even change over time. Some of these changes are considered critical with respect to the operation of the system and they require immediate maintenance. The aim of this work is to detect faults in the suspension system of the vehicle. A Kalman filter is used in order to estimate the states. To detect and isolate faults the detection error is minimised with multiple Kalman filters. A full-scale train model with nonlinear wheel/rail contact serves as an example for the described techniques. Numerical results for different test cases are presented. The analysis shows that for the given system it is possible not only to detect a failure of the suspension system from the system's dynamic response, but also to distinguish clearly between different possible causes for the changes in the dynamical behaviour.
Estimating Value at Risk with the Generalized Kalman Filter%基于Generalized Kalman Filter的VaR估计
Institute of Scientific and Technical Information of China (English)
赵利锋; 张崇岐
2009-01-01
在应用Kalman Filter方法估计时变风险β系数的基础上,引入Generalized Kalman Filter方法来估计时变卢系数,再通过Sharp对角线模型计算投资组合的VaR,并运用Backtesting检验判断两方法估计VaR的精确度.
Directory of Open Access Journals (Sweden)
Feng Lian
2012-01-01
Full Text Available The convergence of the Gaussian mixture extended-target probability hypothesis density (GM-EPHD filter and its extended Kalman (EK filtering approximation in mildly nonlinear condition, namely, the EK-GM-EPHD filter, is studied here. This paper proves that both the GM-EPHD filter and the EK-GM-EPHD filter converge uniformly to the true EPHD filter. The significance of this paper is in theory to present the convergence results of the GM-EPHD and EK-GM-EPHD filters and the conditions under which the two filters satisfy uniform convergence.
Constrained superfields in supergravity
Energy Technology Data Exchange (ETDEWEB)
Dall’Agata, Gianguido; Farakos, Fotis [Dipartimento di Fisica ed Astronomia “Galileo Galilei”, Università di Padova,Via Marzolo 8, 35131 Padova (Italy); INFN, Sezione di Padova,Via Marzolo 8, 35131 Padova (Italy)
2016-02-16
We analyze constrained superfields in supergravity. We investigate the consistency and solve all known constraints, presenting a new class that may have interesting applications in the construction of inflationary models. We provide the superspace Lagrangians for minimal supergravity models based on them and write the corresponding theories in component form using a simplifying gauge for the goldstino couplings.
A new extended H∞ filter for discrete nonlinear systems
Institute of Scientific and Technical Information of China (English)
张永安; 周荻; 段广仁
2004-01-01
Nonlinear estimation problem is investigated in this paper. By extension of a linear H∞ estimation with corrector-predictor form to nonlinear cases, a new extended H∞ filter is proposed for time-varying discretetime nonlinear systems. The new filter has a simple observer structure based on a local linearization model, and can be viewed as a general case of the extended Kalman filter (EKF). An example demonstrates that the new filter with a suitable-chosen prescribed H∞ bound performs better than the EKF.
Hyperbolicity and constrained evolution in linearized gravity
International Nuclear Information System (INIS)
Matzner, Richard A.
2005-01-01
Solving the 4-d Einstein equations as evolution in time requires solving equations of two types: the four elliptic initial data (constraint) equations, followed by the six second order evolution equations. Analytically the constraint equations remain solved under the action of the evolution, and one approach is to simply monitor them (unconstrained evolution). Since computational solution of differential equations introduces almost inevitable errors, it is clearly 'more correct' to introduce a scheme which actively maintains the constraints by solution (constrained evolution). This has shown promise in computational settings, but the analysis of the resulting mixed elliptic hyperbolic method has not been completely carried out. We present such an analysis for one method of constrained evolution, applied to a simple vacuum system, linearized gravitational waves. We begin with a study of the hyperbolicity of the unconstrained Einstein equations. (Because the study of hyperbolicity deals only with the highest derivative order in the equations, linearization loses no essential details.) We then give explicit analytical construction of the effect of initial data setting and constrained evolution for linearized gravitational waves. While this is clearly a toy model with regard to constrained evolution, certain interesting features are found which have relevance to the full nonlinear Einstein equations
Motion estimation using point cluster method and Kalman filter.
Senesh, M; Wolf, A
2009-05-01
The most frequently used method in a three dimensional human gait analysis involves placing markers on the skin of the analyzed segment. This introduces a significant artifact, which strongly influences the bone position and orientation and joint kinematic estimates. In this study, we tested and evaluated the effect of adding a Kalman filter procedure to the previously reported point cluster technique (PCT) in the estimation of a rigid body motion. We demonstrated the procedures by motion analysis of a compound planar pendulum from indirect opto-electronic measurements of markers attached to an elastic appendage that is restrained to slide along the rigid body long axis. The elastic frequency is close to the pendulum frequency, as in the biomechanical problem, where the soft tissue frequency content is similar to the actual movement of the bones. Comparison of the real pendulum angle to that obtained by several estimation procedures--PCT, Kalman filter followed by PCT, and low pass filter followed by PCT--enables evaluation of the accuracy of the procedures. When comparing the maximal amplitude, no effect was noted by adding the Kalman filter; however, a closer look at the signal revealed that the estimated angle based only on the PCT method was very noisy with fluctuation, while the estimated angle based on the Kalman filter followed by the PCT was a smooth signal. It was also noted that the instantaneous frequencies obtained from the estimated angle based on the PCT method is more dispersed than those obtained from the estimated angle based on Kalman filter followed by the PCT method. Addition of a Kalman filter to the PCT method in the estimation procedure of rigid body motion results in a smoother signal that better represents the real motion, with less signal distortion than when using a digital low pass filter. Furthermore, it can be concluded that adding a Kalman filter to the PCT procedure substantially reduces the dispersion of the maximal and minimal
Ensemble Kalman filtering with residual nudging
Luo, X.
2012-10-03
Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF) by (in effect) adjusting the sample covariances of the estimates in the state space. In this work, an additional auxiliary technique, called residual nudging, is proposed to monitor and, if necessary, adjust the residual norms of state estimates in the observation space. In an EnKF with residual nudging, if the residual norm of an analysis is larger than a pre-specified value, then the analysis is replaced by a new one whose residual norm is no larger than a pre-specified value. Otherwise, the analysis is considered as a reasonable estimate and no change is made. A rule for choosing the pre-specified value is suggested. Based on this rule, the corresponding new state estimates are explicitly derived in case of linear observations. Numerical experiments in the 40-dimensional Lorenz 96 model show that introducing residual nudging to an EnKF may improve its accuracy and/or enhance its stability against filter divergence, especially in the small ensemble scenario.
Subspace System Identification of the Kalman Filter
Directory of Open Access Journals (Sweden)
David Di Ruscio
2003-07-01
Full Text Available Some proofs concerning a subspace identification algorithm are presented. It is proved that the Kalman filter gain and the noise innovations process can be identified directly from known input and output data without explicitly solving the Riccati equation. Furthermore, it is in general and for colored inputs, proved that the subspace identification of the states only is possible if the deterministic part of the system is known or identified beforehand. However, if the inputs are white, then, it is proved that the states can be identified directly. Some alternative projection matrices which can be used to compute the extended observability matrix directly from the data are presented. Furthermore, an efficient method for computing the deterministic part of the system is presented. The closed loop subspace identification problem is also addressed and it is shown that this problem is solved and unbiased estimates are obtained by simply including a filter in the feedback. Furthermore, an algorithm for consistent closed loop subspace estimation is presented. This algorithm is using the controller parameters in order to overcome the bias problem.
BWR level estimation using Kalman Filtering approach
International Nuclear Information System (INIS)
Garner, G.; Divakaruni, S.M.; Meyer, J.E.
1986-01-01
Work is in progress on development of a system for Boiling Water Reactor (BWR) vessel level validation and failure detection. The levels validated include the liquid level both inside and outside the core shroud. This work is a major part of a larger effort to develop a complete system for BWR signal validation. The demonstration plant is the Oyster Creek BWR. Liquid level inside the core shroud is not directly measured during full power operation. This level must be validated using measurements of other quantities and analytic models. Given the available sensors, analytic models for level that are based on mass and energy balances can contain open integrators. When such a model is driven by noisy measurements, the model predicted level will deviate from the true level over time. To validate the level properly and to avoid false alarms, the open integrator must be stabilized. In addition, plant parameters will change slowly with time. The respective model must either account for these plant changes or be insensitive to them to avoid false alarms and maintain sensitivity to true failures of level instrumentation. Problems are addressed here by combining the extended Kalman Filter and Parity Space Decision/Estimator. The open integrator is stabilized by integrating from the validated estimate at the beginning of each sampling interval, rather than from the model predicted value. The model is adapted to slow plant/sensor changes by updating model parameters on-line
Multivariate localization methods for ensemble Kalman filtering
Roh, S.
2015-12-03
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Performance Analysis of Local Ensemble Kalman Filter
Tong, Xin T.
2018-03-01
Ensemble Kalman filter (EnKF) is an important data assimilation method for high-dimensional geophysical systems. Efficient implementation of EnKF in practice often involves the localization technique, which updates each component using only information within a local radius. This paper rigorously analyzes the local EnKF (LEnKF) for linear systems and shows that the filter error can be dominated by the ensemble covariance, as long as (1) the sample size exceeds the logarithmic of state dimension and a constant that depends only on the local radius; (2) the forecast covariance matrix admits a stable localized structure. In particular, this indicates that with small system and observation noises, the filter error will be accurate in long time even if the initialization is not. The analysis also reveals an intrinsic inconsistency caused by the localization technique, and a stable localized structure is necessary to control this inconsistency. While this structure is usually taken for granted for the operation of LEnKF, it can also be rigorously proved for linear systems with sparse local observations and weak local interactions. These theoretical results are also validated by numerical implementation of LEnKF on a simple stochastic turbulence in two dynamical regimes.
Kalman Filter for Spinning Spacecraft Attitude Estimation
Markley, F. Landis; Sedlak, Joseph E.
2008-01-01
This paper presents a Kalman filter using a seven-component attitude state vector comprising the angular momentum components in an inertial reference frame, the angular momentum components in the body frame, and a rotation angle. The relatively slow variation of these parameters makes this parameterization advantageous for spinning spacecraft attitude estimation. The filter accounts for the constraint that the magnitude of the angular momentum vector is the same in the inertial and body frames by employing a reduced six-component error state. Four variants of the filter, defined by different choices for the reduced error state, are tested against a quaternion-based filter using simulated data for the THEMIS mission. Three of these variants choose three of the components of the error state to be the infinitesimal attitude error angles, facilitating the computation of measurement sensitivity matrices and causing the usual 3x3 attitude covariance matrix to be a submatrix of the 6x6 covariance of the error state. These variants differ in their choice for the other three components of the error state. The variant employing the infinitesimal attitude error angles and the angular momentum components in an inertial reference frame as the error state shows the best combination of robustness and efficiency in the simulations. Attitude estimation results using THEMIS flight data are also presented.
Autonomous mobile robot localization using Kalman filter
Directory of Open Access Journals (Sweden)
Mohd Nasir Nabil Zhafri
2017-01-01
Full Text Available Autonomous mobile robot field has gain interest among researchers in recent years. The ability of a mobile robot to locate its current position and surrounding environment is the fundamental in order for it to operate autonomously, which commonly known as localization. Localization of mobile robot are commonly affected by the inaccuracy of the sensors. These inaccuracies are caused by various factors which includes internal interferences of the sensor and external environment noises. In order to overcome these noises, a filtering method is required in order to improve the mobile robot’s localization. In this research, a 2- wheeled-drive (2WD mobile robot will be used as platform. The odometers, inertial measurement unit (IMU, and ultrasonic sensors are used for data collection. Data collected is processed using Kalman filter to predict and correct the error from these sensors reading. The differential drive model and measurement model which estimates the environmental noises and predict a correction are used in this research. Based on the simulation and experimental results, the x, y and heading was corrected by converging the error to10 mm, 10 mm and 0.06 rad respectively.
Multivariate localization methods for ensemble Kalman filtering
Roh, S.
2015-05-08
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Multivariate localization methods for ensemble Kalman filtering
Roh, S.; Jun, M.; Szunyogh, I.; Genton, M. G.
2015-12-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Ensemble Kalman filtering with residual nudging
Directory of Open Access Journals (Sweden)
Xiaodong Luo
2012-10-01
Full Text Available Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF by (in effect adjusting the sample covariances of the estimates in the state space. In this work, an additional auxiliary technique, called residual nudging, is proposed to monitor and, if necessary, adjust the residual norms of state estimates in the observation space. In an EnKF with residual nudging, if the residual norm of an analysis is larger than a pre-specified value, then the analysis is replaced by a new one whose residual norm is no larger than a pre-specified value. Otherwise, the analysis is considered as a reasonable estimate and no change is made. A rule for choosing the pre-specified value is suggested. Based on this rule, the corresponding new state estimates are explicitly derived in case of linear observations. Numerical experiments in the 40-dimensional Lorenz 96 model show that introducing residual nudging to an EnKF may improve its accuracy and/or enhance its stability against filter divergence, especially in the small ensemble scenario.
Multivariate localization methods for ensemble Kalman filtering
Roh, S.; Jun, M.; Szunyogh, I.; Genton, Marc G.
2015-01-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Development and validation of a Kalman filter-based model for vehicle slip angle estimation
Gadola, M.; Chindamo, D.; Romano, M.; Padula, F.
2014-01-01
It is well known that vehicle slip angle is one of the most difficult parameters to measure on a vehicle during testing or racing activities. Moreover, the appropriate sensor is very expensive and it is often difficult to fit to a car, especially on race cars. We propose here a strategy to eliminate the need for this sensor by using a mathematical tool which gives a good estimation of the vehicle slip angle. A single-track car model, coupled with an extended Kalman filter, was used in order to achieve the result. Moreover, a tuning procedure is proposed that takes into consideration both nonlinear and saturation characteristics typical of vehicle lateral dynamics. The effectiveness of the proposed algorithm has been proven by both simulation results and real-world data.
On Convergence of the Unscented Kalman-Bucy Filter using Contraction Theory
DEFF Research Database (Denmark)
Maree, J.P.; Imsland, Lars; Jouffroy, Jerome
2016-01-01
Contraction theory entails a theoretical framework in which convergence of a nonlinear system can be analysed differentially in an appropriate contraction metric. This paper is concerned with utilizing stochastic contraction theory to conclude on exponential convergence of the Unscented Kalman......-Bucy Filter. The underlying process and measurement models of interest are Itô-type stochastic differential equations. In particular, statistical linearisation techniques are employed in a virtual-actual systems framework to establish deterministic contraction of the estimated expected mean of process values....... Under mild conditions of bounded process noise, we extend the results on deterministic contraction to stochastic contraction of the estimated expected mean of process state. It follows that for regions of contraction, a result on convergence, and thereby incremental stability, is concluded...
An Extended Kalman Filter-Based Attitude Tracking Algorithm for Star Sensors.
Li, Jian; Wei, Xinguo; Zhang, Guangjun
2017-08-21
Efficiency and reliability are key issues when a star sensor operates in tracking mode. In the case of high attitude dynamics, the performance of existing attitude tracking algorithms degenerates rapidly. In this paper an extended Kalman filtering-based attitude tracking algorithm is presented. The star sensor is modeled as a nonlinear stochastic system with the state estimate providing the three degree-of-freedom attitude quaternion and angular velocity. The star positions in the star image are predicted and measured to estimate the optimal attitude. Furthermore, all the cataloged stars observed in the sensor field-of-view according the predicted image motion are accessed using a catalog partition table to speed up the tracking, called star mapping. Software simulation and night-sky experiment are performed to validate the efficiency and reliability of the proposed method.
Extended Kalman filtering for joint mitigation of phase and amplitude noise in coherent QAM systems.
Pakala, Lalitha; Schmauss, Bernhard
2016-03-21
We numerically investigate our proposed carrier phase and amplitude noise estimation (CPANE) algorithm using extend Kalman filter (EKF) for joint mitigation of linear and non-linear phase noise as well as amplitude noise on 4, 16 and 64 polarization multiplexed (PM) quadrature amplitude modulation (QAM) 224 Gb/s systems. The results are compared to decision directed (DD) carrier phase estimation (CPE), DD phase locked loop (PLL) and universal CPE (U-CPE) algorithms. Besides eliminating the necessity of phase unwrapping function, EKF-CPANE shows improved performance for both back-to-back (BTB) and transmission scenarios compared to the aforementioned algorithms. We further propose a weighted innovation approach (WIA) of the EKF-CPANE which gives an improvement of 0.3 dB in the Q-factor, compared to the original algorithm.
Constrained Vapor Bubble Experiment
Gokhale, Shripad; Plawsky, Joel; Wayner, Peter C., Jr.; Zheng, Ling; Wang, Ying-Xi
2002-11-01
Microgravity experiments on the Constrained Vapor Bubble Heat Exchanger, CVB, are being developed for the International Space Station. In particular, we present results of a precursory experimental and theoretical study of the vertical Constrained Vapor Bubble in the Earth's environment. A novel non-isothermal experimental setup was designed and built to study the transport processes in an ethanol/quartz vertical CVB system. Temperature profiles were measured using an in situ PC (personal computer)-based LabView data acquisition system via thermocouples. Film thickness profiles were measured using interferometry. A theoretical model was developed to predict the curvature profile of the stable film in the evaporator. The concept of the total amount of evaporation, which can be obtained directly by integrating the experimental temperature profile, was introduced. Experimentally measured curvature profiles are in good agreement with modeling results. For microgravity conditions, an analytical expression, which reveals an inherent relation between temperature and curvature profiles, was derived.
Directory of Open Access Journals (Sweden)
Y. Ding
2014-01-01
Full Text Available Both the structural parameter and external excitation have coupling influence on structural response. A new system identification method in time domain is proposed to simultaneously evaluate structural parameter and external excitation. The method can be used for linear and hysteresis nonlinear structural condition assessment based on incomplete structural responses. In this method, the structural excitation is decomposed by orthogonal approximation. With this approximation, the strongly time-variant excitation identification is transformed to gentle time-variant, even constant parameters identification. Then the extended Kalman filter is applied to simultaneously identify state vector including the structural parameters and excitation orthogonal parameters in state space based on incomplete measurements. The proposed method is validated numerically with the simulation of three-story linear and nonlinear structures subject to external force. The external force on the top floor and the structural parameters are simultaneously identified with the proposed system identification method. Results from both simulations indicate that the proposed method is capable of identifing the dynamic load and structural parameters fairly accurately with contaminated incomplete measurement for both of the linear and nonlinear structural systems.
A Comparison of Ensemble Kalman Filters for Storm Surge Assimilation
Altaf, Muhammad
2014-08-01
This study evaluates and compares the performances of several variants of the popular ensembleKalman filter for the assimilation of storm surge data with the advanced circulation (ADCIRC) model. Using meteorological data from Hurricane Ike to force the ADCIRC model on a domain including the Gulf ofMexico coastline, the authors implement and compare the standard stochastic ensembleKalman filter (EnKF) and three deterministic square root EnKFs: the singular evolutive interpolated Kalman (SEIK) filter, the ensemble transform Kalman filter (ETKF), and the ensemble adjustment Kalman filter (EAKF). Covariance inflation and localization are implemented in all of these filters. The results from twin experiments suggest that the square root ensemble filters could lead to very comparable performances with appropriate tuning of inflation and localization, suggesting that practical implementation details are at least as important as the choice of the square root ensemble filter itself. These filters also perform reasonably well with a relatively small ensemble size, whereas the stochastic EnKF requires larger ensemble sizes to provide similar accuracy for forecasts of storm surge.
A Comparison of Ensemble Kalman Filters for Storm Surge Assimilation
Altaf, Muhammad; Butler, T.; Mayo, T.; Luo, X.; Dawson, C.; Heemink, A. W.; Hoteit, Ibrahim
2014-01-01
This study evaluates and compares the performances of several variants of the popular ensembleKalman filter for the assimilation of storm surge data with the advanced circulation (ADCIRC) model. Using meteorological data from Hurricane Ike to force the ADCIRC model on a domain including the Gulf ofMexico coastline, the authors implement and compare the standard stochastic ensembleKalman filter (EnKF) and three deterministic square root EnKFs: the singular evolutive interpolated Kalman (SEIK) filter, the ensemble transform Kalman filter (ETKF), and the ensemble adjustment Kalman filter (EAKF). Covariance inflation and localization are implemented in all of these filters. The results from twin experiments suggest that the square root ensemble filters could lead to very comparable performances with appropriate tuning of inflation and localization, suggesting that practical implementation details are at least as important as the choice of the square root ensemble filter itself. These filters also perform reasonably well with a relatively small ensemble size, whereas the stochastic EnKF requires larger ensemble sizes to provide similar accuracy for forecasts of storm surge.
Kalman filters for real-time magnetic island phase tracking
International Nuclear Information System (INIS)
Borgers, D.P.; Lauret, M.; Baar, M.R. de
2013-01-01
Highlights: • We propose two Kalman filters for tracking of NTMs on ASDEX Upgrade. • The Kalman filters can track NTMs in a much larger frequency range than PLLs. • The filters are tested on synthetic and experimental data from TEXTOR and TCV. • We conclude that the unscented Kalman filter can be useful for NTM control. -- Abstract: For control of neoclassical tearing modes (NTMs) and the resulting rotating magnetic islands in tokamak plasmas, the frequency and phase of the magnetic islands need to be accurately tracked in real-time. In previous experiments on TEXTOR, this was achieved using a phase-locked loop (PLL). For ASDEX Upgrade however, the desired frequency range in which the islands are to be tracked (100 Hz–10 kHz) is much larger than is possible with a PLL. In this contribution, an extended Kalman filter (EKF) and an unscented Kalman filter (UKF) are proposed for real-time frequency, phase and amplitude tracking of sinusoidal signals, based on noisy measurements. Compared to PLLs, the EKF and UKF are able to track sinusoidal signals in a much larger frequency range. The filters are applied on synthetic data and on experimental data from the TEXTOR and TCV tokamaks, from which we conclude that the UKF can be useful for real-time control of magnetic islands on ASDEX Upgrade
Kalman filters for real-time magnetic island phase tracking
Energy Technology Data Exchange (ETDEWEB)
Borgers, D.P. [Hybrid and Networked Systems, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands); Lauret, M., E-mail: M.Lauret@tue.nl [FOM Institute DIFFER – Dutch Institute for Fundamental Energy Research, Association EURATOM-FOM, Trilateral Euregio Cluster, P.O. Box 1207, Nieuwegein (Netherlands); Control Systems Technology, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands); Baar, M.R. de [FOM Institute DIFFER – Dutch Institute for Fundamental Energy Research, Association EURATOM-FOM, Trilateral Euregio Cluster, P.O. Box 1207, Nieuwegein (Netherlands); Control Systems Technology, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands)
2013-11-15
Highlights: • We propose two Kalman filters for tracking of NTMs on ASDEX Upgrade. • The Kalman filters can track NTMs in a much larger frequency range than PLLs. • The filters are tested on synthetic and experimental data from TEXTOR and TCV. • We conclude that the unscented Kalman filter can be useful for NTM control. -- Abstract: For control of neoclassical tearing modes (NTMs) and the resulting rotating magnetic islands in tokamak plasmas, the frequency and phase of the magnetic islands need to be accurately tracked in real-time. In previous experiments on TEXTOR, this was achieved using a phase-locked loop (PLL). For ASDEX Upgrade however, the desired frequency range in which the islands are to be tracked (100 Hz–10 kHz) is much larger than is possible with a PLL. In this contribution, an extended Kalman filter (EKF) and an unscented Kalman filter (UKF) are proposed for real-time frequency, phase and amplitude tracking of sinusoidal signals, based on noisy measurements. Compared to PLLs, the EKF and UKF are able to track sinusoidal signals in a much larger frequency range. The filters are applied on synthetic data and on experimental data from the TEXTOR and TCV tokamaks, from which we conclude that the UKF can be useful for real-time control of magnetic islands on ASDEX Upgrade.
Hesar, Hamed Danandeh; Mohebbi, Maryam
2017-05-01
In this paper, a model-based Bayesian filtering framework called the "marginalized particle-extended Kalman filter (MP-EKF) algorithm" is proposed for electrocardiogram (ECG) denoising. This algorithm does not have the extended Kalman filter (EKF) shortcoming in handling non-Gaussian nonstationary situations because of its nonlinear framework. In addition, it has less computational complexity compared with particle filter. This filter improves ECG denoising performance by implementing marginalized particle filter framework while reducing its computational complexity using EKF framework. An automatic particle weighting strategy is also proposed here that controls the reliance of our framework to the acquired measurements. We evaluated the proposed filter on several normal ECGs selected from MIT-BIH normal sinus rhythm database. To do so, artificial white Gaussian and colored noises as well as nonstationary real muscle artifact (MA) noise over a range of low SNRs from 10 to -5 dB were added to these normal ECG segments. The benchmark methods were the EKF and extended Kalman smoother (EKS) algorithms which are the first model-based Bayesian algorithms introduced in the field of ECG denoising. From SNR viewpoint, the experiments showed that in the presence of Gaussian white noise, the proposed framework outperforms the EKF and EKS algorithms in lower input SNRs where the measurements and state model are not reliable. Owing to its nonlinear framework and particle weighting strategy, the proposed algorithm attained better results at all input SNRs in non-Gaussian nonstationary situations (such as presence of pink noise, brown noise, and real MA). In addition, the impact of the proposed filtering method on the distortion of diagnostic features of the ECG was investigated and compared with EKF/EKS methods using an ECG diagnostic distortion measure called the "Multi-Scale Entropy Based Weighted Distortion Measure" or MSEWPRD. The results revealed that our proposed
Constrained noninformative priors
International Nuclear Information System (INIS)
Atwood, C.L.
1994-10-01
The Jeffreys noninformative prior distribution for a single unknown parameter is the distribution corresponding to a uniform distribution in the transformed model where the unknown parameter is approximately a location parameter. To obtain a prior distribution with a specified mean but with diffusion reflecting great uncertainty, a natural generalization of the noninformative prior is the distribution corresponding to the constrained maximum entropy distribution in the transformed model. Examples are given
Switching Kalman filter for failure prognostic
Lim, Chi Keong Reuben; Mba, David
2015-02-01
The use of condition monitoring (CM) data to predict remaining useful life have been growing with increasing use of health and usage monitoring systems on aircraft. There are many data-driven methodologies available for the prediction and popular ones include artificial intelligence and statistical based approach. The drawback of such approaches is that they require a lot of failure data for training which can be scarce in practice. In lieu of this, methods using state-space and regression-based models that extract information from the data history itself have been explored. However, such methods have their own limitations as they utilize a single time-invariant model which does not represent changing degradation path well. This causes most degradation modeling studies to focus only on segments of their CM data that behaves close to the assumed model. In this paper, a state-space based method; the Switching Kalman Filter (SKF), is adopted for model estimation and life prediction. The SKF approach however, uses multiple models from which the most probable model is inferred from the CM data using Bayesian estimation before it is applied for prediction. At the same time, the inference of the degradation model itself can provide maintainers with more information for their planning. This SKF approach is demonstrated with a case study on gearbox bearings that were found defective from the Republic of Singapore Air Force AH64D helicopter. The use of in-service CM data allows the approach to be applied in a practical scenario and results showed that the developed SKF approach is a promising tool to support maintenance decision-making.
The extended Kalman filter for forecast of algal bloom dynamics.
Mao, J Q; Lee, Joseph H W; Choi, K W
2009-09-01
A deterministic ecosystem model is combined with an extended Kalman filter (EKF) to produce short term forecasts of algal bloom and dissolved oxygen dynamics in a marine fish culture zone (FCZ). The weakly flushed FCZ is modelled as a well-mixed system; the tidal exchange with the outer bay is lumped into a flushing rate that is numerically determined from a three-dimensional hydrodynamic model. The ecosystem model incorporates phytoplankton growth kinetics, nutrient uptake, photosynthetic production, nutrient sources from organic fish farm loads, and nutrient exchange with a sediment bed layer. High frequency field observations of chlorophyll, dissolved oxygen (DO) and hydro-meteorological parameters (sampling interval Deltat=1 day, 2h, 1h, respectively) and bi-weekly nutrient data are assimilated into the model to produce the combined state estimate accounting for the uncertainties. In addition to the water quality state variables, the EKF incorporates dynamic estimation of algal growth rate and settling velocity. The effectiveness of the EKF data assimilation is studied for a wide range of sampling intervals and prediction lead-times. The chlorophyll and dissolved oxygen estimated by the EKF are compared with field data of seven algal bloom events observed at Lamma Island, Hong Kong. The results show that the EKF estimate well captures the nonlinear error evolution in time; the chlorophyll level can be satisfactorily predicted by the filtered model estimate with a mean absolute error of around 1-2 microg/L. Predictions with 1-2 day lead-time are highly correlated with the observations (r=0.7-0.9); the correlation stays at a high level for a lead-time of 3 days (r=0.6-0.7). Estimated algal growth and settling rates are in accord with field observations; the more frequent DO data can compensate for less frequent algal biomass measurements. The present study is the first time the EKF is successfully applied to forecast an entire algal bloom cycle, suggesting the
The discrete Kalman filtering approach for seismic signals deconvolution
International Nuclear Information System (INIS)
Kurniadi, Rizal; Nurhandoko, Bagus Endar B.
2012-01-01
Seismic signals are a convolution of reflectivity and seismic wavelet. One of the most important stages in seismic data processing is deconvolution process; the process of deconvolution is inverse filters based on Wiener filter theory. This theory is limited by certain modelling assumptions, which may not always valid. The discrete form of the Kalman filter is then used to generate an estimate of the reflectivity function. The main advantage of Kalman filtering is capability of technique to handling continually time varying models and has high resolution capabilities. In this work, we use discrete Kalman filter that it was combined with primitive deconvolution. Filtering process works on reflectivity function, hence the work flow of filtering is started with primitive deconvolution using inverse of wavelet. The seismic signals then are obtained by convoluting of filtered reflectivity function with energy waveform which is referred to as the seismic wavelet. The higher frequency of wavelet gives smaller wave length, the graphs of these results are presented.
Kalman Filter Based Tracking in an Video Surveillance System
Directory of Open Access Journals (Sweden)
SULIMAN, C.
2010-05-01
Full Text Available In this paper we have developed a Matlab/Simulink based model for monitoring a contact in a video surveillance sequence. For the segmentation process and corect identification of a contact in a surveillance video, we have used the Horn-Schunk optical flow algorithm. The position and the behavior of the correctly detected contact were monitored with the help of the traditional Kalman filter. After that we have compared the results obtained from the optical flow method with the ones obtained from the Kalman filter, and we show the correct functionality of the Kalman filter based tracking. The tests were performed using video data taken with the help of a fix camera. The tested algorithm has shown promising results.
Comparison of several Kalman filter models for establishing MUF
International Nuclear Information System (INIS)
Pike, D.H.; Morrison, G.W.; Holland, C.W.
1976-01-01
Detection of MUF in a material balance area is a problem in nuclear material control. It has been shown that the Kalman filter can detect a MUF in situations which could not be detected by the traditional control chart approach using LEMUF. The Kalman filter is extended in this paper to cover two additional scenarios: (1) the case where a random quantity with a mean of M(t) is removed per period, and (2) the case where MUF is a fraction of the on-hand inventory each period. The Kalman filter is robust, sensitive, produces estimates of the error covariance matrix, and is an iterative technique which is suited for on-line-direct-input information systems
A numerical storm surge forecast model with Kalman filter
Institute of Scientific and Technical Information of China (English)
Yu Fujiang; Zhang Zhanhai; Lin Yihua
2001-01-01
Kalman filter data assimilation technique is incorporated into a standard two-dimensional linear storm surge model. Imperfect model equation and imperfect meteorological forcimg are accounted for by adding noise terms to the momentum equations. The deterministic model output is corrected by using the available tidal gauge station data. The stationary Kalman filter algorithm for the model domain is calculated by an iterative procedure using specified information on the inaccuracies in the momentum equations and specified error information for the observations. An application to a real storm surge that occurred in the summer of 1956 in the East China Sea is performed by means of this data assimilation technique. The result shows that Kalman filter is useful for storm surge forecast and hindcast.
Kalman filtering applied to a reagent feed system
International Nuclear Information System (INIS)
Griffin, C.D.; Croson, D.V.; Feeley, J.J.
1988-01-01
Using a Kalman filter solves a troublesome measurement noise problem and, at the same time, improves nuclear safety by detecting leaks to the process' feed tanks. To demonstrate how this technology of optimal estimation can be exploited, this article presents a systematic plan and example of how a Kalman filter was proven in industrial use on a reagent analyzer. A process to recycle uranium from spent fuel elements uses a reagent stream containing boron to dissolve the fuel. The boron is the neutron poison that prevents a nuclear chain reaction during the uranium dissolution. The purpose of the Kalman filter for this system is to reduce the uncertainty in the boron concentration measurement. The filter also provides incipient fault detection by estimating the unmeasured state of any unpoisoned solution, which would dilute the boron solution, entering the feed vessel
Teknik Rektifikasi Citra dan Tapis Kalman Dalam Mengestimasi Kecepatan Kendaraan
Directory of Open Access Journals (Sweden)
Rika Favoria Gusa
2014-03-01
Full Text Available Estimating is a challenging task when the image sequence from a camera are directly processed because there is perspective projection that causes length and area ratio of objects in the image are not preserved. In this paper, it was used image rectification technique and Kalman filter algorithm to overcome the problems encountered in order to obtain accurate vehicle velocity estimation. Rectified images as result of image rectification were processed, then Kalman filter algorithm was executed based on the processing result of the rectified images. The result of the tests showed that geometric distortion on the objects in the image sequence could be corrected well by using image rectification. Kalman filter algorithm was also good enough in estimating vehicle velocity. The error of average velocity estimation was ±3 km/hour.
International Nuclear Information System (INIS)
Boyd, R.W.
1992-01-01
Nonlinear optics is the study of the interaction of intense laser light with matter. This book is a textbook on nonlinear optics at the level of a beginning graduate student. The intent of the book is to provide an introduction to the field of nonlinear optics that stresses fundamental concepts and that enables the student to go on to perform independent research in this field. This book covers the areas of nonlinear optics, quantum optics, quantum electronics, laser physics, electrooptics, and modern optics
A Brief Tutorial on the Ensemble Kalman Filter
Mandel, Jan
2009-01-01
The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting. EnKF is related to the particle filter (in this context, a particle is the s...
Kalman-fuzzy algorithm in short term load forecasting
International Nuclear Information System (INIS)
Shah Baki, S.R.; Saibon, H.; Lo, K.L.
1996-01-01
A combination of Kalman-Fuzzy-Neural is developed to forecast the next 24 hours load. The input data fed to neural network are presented with training data set composed of historical load data, weather, day of the week, month of the year and holidays. The load data is fed through Kalman-Fuzzy filter before being applied to Neural Network for training. With this techniques Neural Network converges faster and the mean percentage error of predicted load is reduced as compared to the classical ANN technique
Forecasting with the Standardized Self-Perturbed Kalman Filter
DEFF Research Database (Denmark)
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (1992) for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is now weighted...... compared to other on-line, classical and Bayesian methods. The standardized self-perturbed Kalman filter is adopted to forecast the equity premium on the S&P500 index under several model specifications, and to investigate to what extent and how realized variance can be exploited to predict excess returns....
Prior knowledge processing for initial state of Kalman filter
Czech Academy of Sciences Publication Activity Database
Suzdaleva, Evgenia
2010-01-01
Roč. 24, č. 3 (2010), s. 188-202 ISSN 0890-6327 R&D Projects: GA ČR(CZ) GP201/06/P434 Institutional research plan: CEZ:AV0Z10750506 Keywords : Kalman filtering * prior knowledge * state-space model * initial state distribution Subject RIV: BC - Control Systems Theory Impact factor: 0.729, year: 2010 http://library.utia.cas.cz/separaty/2009/AS/suzdaleva-prior knowledge processing for initial state of kalman filter.pdf
A THEORETICAL STUDY ON SIMPLIFIED KALMAN FILTER IN DATA ASSIMILATION
Institute of Scientific and Technical Information of China (English)
Ma Zhai-pu; Huang Da-ji; Zhang Ben-zhao
2003-01-01
In this paper, we put forward a new method to reduce the calculation amount of the gain matrix of Kalman filter in data assimilation. We rewrite the vector describing the total state variables with two vectors whose dimensions are small and thus obtain the main parts and the trivial parts of the state variables. On the basis of the rewrittten formula, we not only develop a reduced Kalman filter scheme, but also obtain the transition equations about truncation errors, with which the validity of the main parts acting for the total state variables can be evaluated quantitatively. The error transition equations thus offer an indirect testimony to the rationality of the main parts.
Directory of Open Access Journals (Sweden)
Wanli Liu
2015-07-01
Full Text Available Differential interferometric synthetic aperture radar has been shown to be effective for monitoring subsidence in coal mining areas. Phase unwrapping can have a dramatic influence on the monitoring result. In this paper, a filtering-based phase unwrapping algorithm in combination with path-following is introduced to unwrap differential interferograms with high noise in mining areas. It can perform simultaneous noise filtering and phase unwrapping so that the pre-filtering steps can be omitted, thus usually retaining more details and improving the detectable deformation. For the method, the nonlinear measurement model of phase unwrapping is processed using a simplified Cubature Kalman filtering, which is an effective and efficient tool used in many nonlinear fields. Three case studies are designed to evaluate the performance of the method. In Case 1, two tests are designed to evaluate the performance of the method under different factors including the number of multi-looks and path-guiding indexes. The result demonstrates that the unwrapped results are sensitive to the number of multi-looks and that the Fisher Distance is the most suitable path-guiding index for our study. Two case studies are then designed to evaluate the feasibility of the proposed phase unwrapping method based on Cubature Kalman filtering. The results indicate that, compared with the popular Minimum Cost Flow method, the Cubature Kalman filtering-based phase unwrapping can achieve promising results without pre-filtering and is an appropriate method for coal mining areas with high noise.
DEFF Research Database (Denmark)
Yiu, Man Lung; Karras, Panagiotis; Mamoulis, Nikos
2008-01-01
. This new operation has important applications in decision support, e.g., placing recycling stations at fair locations between restaurants and residential complexes. Clearly, RCJ is defined based on a geometric constraint but not on distances between points. Thus, our operation is fundamentally different......We introduce a novel spatial join operator, the ring-constrained join (RCJ). Given two sets P and Q of spatial points, the result of RCJ consists of pairs (p, q) (where p ε P, q ε Q) satisfying an intuitive geometric constraint: the smallest circle enclosing p and q contains no other points in P, Q...
Bloembergen, Nicolaas
1996-01-01
Nicolaas Bloembergen, recipient of the Nobel Prize for Physics (1981), wrote Nonlinear Optics in 1964, when the field of nonlinear optics was only three years old. The available literature has since grown by at least three orders of magnitude.The vitality of Nonlinear Optics is evident from the still-growing number of scientists and engineers engaged in the study of new nonlinear phenomena and in the development of new nonlinear devices in the field of opto-electronics. This monograph should be helpful in providing a historical introduction and a general background of basic ideas both for expe
Nonlinear time series theory, methods and applications with R examples
Douc, Randal; Stoffer, David
2014-01-01
FOUNDATIONSLinear ModelsStochastic Processes The Covariance World Linear Processes The Multivariate Cases Numerical Examples ExercisesLinear Gaussian State Space Models Model Basics Filtering, Smoothing, and Forecasting Maximum Likelihood Estimation Smoothing Splines and the Kalman Smoother Asymptotic Distribution of the MLE Missing Data Modifications Structural Component Models State-Space Models with Correlated Errors Exercises Beyond Linear ModelsNonlinear Non-Gaussian Data Volterra Series Expansion Cumulants and Higher-Order Spectra Bilinear Models Conditionally Heteroscedastic Models Thre
Affine Lie algebraic origin of constrained KP hierarchies
International Nuclear Information System (INIS)
Aratyn, H.; Gomes, J.F.; Zimerman, A.H.
1994-07-01
It is presented an affine sl(n+1) algebraic construction of the basic constrained KP hierarchy. This hierarchy is analyzed using two approaches, namely linear matrix eigenvalue problem on hermitian symmetric space and constrained KP Lax formulation and we show that these approaches are equivalent. The model is recognized to be generalized non-linear Schroedinger (GNLS) hierarchy and it is used as a building block for a new class of constrained KP hierarchies. These constrained KP hierarchies are connected via similarity-Backlund transformations and interpolate between GNLS and multi-boson KP-Toda hierarchies. The construction uncovers origin of the Toda lattice structure behind the latter hierarchy. (author). 23 refs
Potential of an ensemble Kalman smoother for stratospheric chemical-dynamical data assimilation
Directory of Open Access Journals (Sweden)
Thomas Milewski
2013-02-01
Full Text Available A new stratospheric ensemble Kalman smoother (EnKS system is introduced, and the potential of assimilating posterior stratospheric observations to better constrain the whole model state at analysis time is investigated. A set of idealised perfect-model Observation System Simulation Experiments (OSSE assimilating synthetic limb-sounding temperature or ozone retrievals are performed with a chemistry–climate model. The impact during the analysis step is characterised in terms of the root mean square error reduction between the forecast state and the analysis state. The performances of (1 a fixed-lag EnKS assimilating observations spread over 48 hours and (2 an ensemble Kalman Filter (EnKF assimilating a denser network of observations are compared with a reference EnKF. The ozone assimilation with EnKS shows a significant additional reduction of analysis error of the order of 10% for dynamical and chemical variables in the extratropical upper troposphere lower stratosphere (UTLS and Polar Vortex regions when compared to the reference EnKF. This reduction has similar magnitude to the one achieved by the denser-network EnKF assimilation. Similarly, the temperature assimilation with EnKS significantly decreases the error in the UTLS for the wind variables like the denser-network EnKF assimilation. However, the temperature assimilation with EnKS has little or no significant impact on the temperature and ozone analyses, whereas the denser-network EnKF shows improvement with respect to the reference EnKF. The different analysis impacts from the assimilation of current and posterior ozone observations indicate the capacity of time-lagged background-error covariances to represent temporal interactions up to 48 hours between variables during the ensemble data assimilation analysis step, and the possibility to use posterior observations whenever additional current observations are unavailable. The possible application of the EnKS for reanalyses is
Adaptive Unscented Kalman Filter using Maximum Likelihood Estimation
DEFF Research Database (Denmark)
Mahmoudi, Zeinab; Poulsen, Niels Kjølstad; Madsen, Henrik
2017-01-01
The purpose of this study is to develop an adaptive unscented Kalman filter (UKF) by tuning the measurement noise covariance. We use the maximum likelihood estimation (MLE) and the covariance matching (CM) method to estimate the noise covariance. The multi-step prediction errors generated...
Earth orientation parameters from VLBI determined with a Kalman filter
Directory of Open Access Journals (Sweden)
Maria Karbon
2017-11-01
We prove that the Kalman filter is more than on par with the classical least squares method and that it is a valuable alternative, especially on the advent of the VLBI2010 Global Observing System and within the GGOS frame work.
Kalman filter techniques for accelerated Cartesian dynamic cardiac imaging.
Feng, Xue; Salerno, Michael; Kramer, Christopher M; Meyer, Craig H
2013-05-01
In dynamic MRI, spatial and temporal parallel imaging can be exploited to reduce scan time. Real-time reconstruction enables immediate visualization during the scan. Commonly used view-sharing techniques suffer from limited temporal resolution, and many of the more advanced reconstruction methods are either retrospective, time-consuming, or both. A Kalman filter model capable of real-time reconstruction can be used to increase the spatial and temporal resolution in dynamic MRI reconstruction. The original study describing the use of the Kalman filter in dynamic MRI was limited to non-Cartesian trajectories because of a limitation intrinsic to the dynamic model used in that study. Here the limitation is overcome, and the model is applied to the more commonly used Cartesian trajectory with fast reconstruction. Furthermore, a combination of the Kalman filter model with Cartesian parallel imaging is presented to further increase the spatial and temporal resolution and signal-to-noise ratio. Simulations and experiments were conducted to demonstrate that the Kalman filter model can increase the temporal resolution of the image series compared with view-sharing techniques and decrease the spatial aliasing compared with TGRAPPA. The method requires relatively little computation, and thus is suitable for real-time reconstruction. Copyright © 2012 Wiley Periodicals, Inc.
The Kalman filter for the pedologist's tool kit
Webster, R.; Heuvelink, G.B.M.
2006-01-01
The Kalman filter is a tool designed primarily to estimate the values of the `state¿ of a dynamic system in time. There are two main equations. These are the state equation, which describes the behaviour of the state over time, and the measurement equation, which describes at what times and in what
HOKF: High Order Kalman Filter for Epilepsy Forecasting Modeling.
Nguyen, Ngoc Anh Thi; Yang, Hyung-Jeong; Kim, Sunhee
2017-08-01
Epilepsy forecasting has been extensively studied using high-order time series obtained from scalp-recorded electroencephalography (EEG). An accurate seizure prediction system would not only help significantly improve patients' quality of life, but would also facilitate new therapeutic strategies to manage epilepsy. This paper thus proposes an improved Kalman Filter (KF) algorithm to mine seizure forecasts from neural activity by modeling three properties in the high-order EEG time series: noise, temporal smoothness, and tensor structure. The proposed High-Order Kalman Filter (HOKF) is an extension of the standard Kalman filter, for which higher-order modeling is limited. The efficient dynamic of HOKF system preserves the tensor structure of the observations and latent states. As such, the proposed method offers two main advantages: (i) effectiveness with HOKF results in hidden variables that capture major evolving trends suitable to predict neural activity, even in the presence of missing values; and (ii) scalability in that the wall clock time of the HOKF is linear with respect to the number of time-slices of the sequence. The HOKF algorithm is examined in terms of its effectiveness and scalability by conducting forecasting and scalability experiments with a real epilepsy EEG dataset. The results of the simulation demonstrate the superiority of the proposed method over the original Kalman Filter and other existing methods. Copyright © 2017 Elsevier B.V. All rights reserved.
Predicting Breeding Values in Animals by Kalman Filter
DEFF Research Database (Denmark)
Karacaoren, B; Janss, L L G; Kadarmideen, H N
2012-01-01
The aim of this study was to investigate usefulness of Kalman Filter (KF) Random Walk methodology (KF-RW) for prediction of breeding values in animals. We used body condition score (BCS) from dairy cattle for illustrating use of KF-RW. BCS was measured by Swiss Holstein Breeding Association during...
Improving Artificial Neural Network Forecasts with Kalman Filtering ...
African Journals Online (AJOL)
In this paper, we examine the use of the artificial neural network method as a forecasting technique in financial time series and the application of a Kalman filter algorithm to improve the accuracy of the model. Forecasting accuracy criteria are used to compare the two models over different set of data from different companies ...
RSSI based indoor tracking in sensor networks using Kalman filters
DEFF Research Database (Denmark)
Tøgersen, Frede Aakmann; Skjøth, Flemming; Munksgaard, Lene
2010-01-01
We propose an algorithm for estimating positions of devices in a sensor network using Kalman filtering techniques. The specific area of application is monitoring the movements of cows in a barn. The algorithm consists of two filters. The first filter enhances the signal-to-noise ratio...
Adaptive robust Kalman filtering for precise point positioning
International Nuclear Information System (INIS)
Guo, Fei; Zhang, Xiaohong
2014-01-01
The optimality of precise point postioning (PPP) solution using a Kalman filter is closely connected to the quality of the a priori information about the process noise and the updated mesurement noise, which are sometimes difficult to obtain. Also, the estimation enviroment in the case of dynamic or kinematic applications is not always fixed but is subject to change. To overcome these problems, an adaptive robust Kalman filtering algorithm, the main feature of which introduces an equivalent covariance matrix to resist the unexpected outliers and an adaptive factor to balance the contribution of observational information and predicted information from the system dynamic model, is applied for PPP processing. The basic models of PPP including the observation model, dynamic model and stochastic model are provided first. Then an adaptive robust Kalmam filter is developed for PPP. Compared with the conventional robust estimator, only the observation with largest standardized residual will be operated by the IGG III function in each iteration to avoid reducing the contribution of the normal observations or even filter divergence. Finally, tests carried out in both static and kinematic modes have confirmed that the adaptive robust Kalman filter outperforms the classic Kalman filter by turning either the equivalent variance matrix or the adaptive factor or both of them. This becomes evident when analyzing the positioning errors in flight tests at the turns due to the target maneuvering and unknown process/measurement noises. (paper)
Nonlinear System Identification Using Neural Networks Trained with Natural Gradient Descent
Directory of Open Access Journals (Sweden)
Ibnkahla Mohamed
2003-01-01
Full Text Available We use natural gradient (NG learning neural networks (NNs for modeling and identifying nonlinear systems with memory. The nonlinear system is comprised of a discrete-time linear filter followed by a zero-memory nonlinearity . The NN model is composed of a linear adaptive filter followed by a two-layer memoryless nonlinear NN. A Kalman filter-based technique and a search-and-converge method have been employed for the NG algorithm. It is shown that the NG descent learning significantly outperforms the ordinary gradient descent and the Levenberg-Marquardt (LM procedure in terms of convergence speed and mean squared error (MSE performance.
Sharp spatially constrained inversion
DEFF Research Database (Denmark)
Vignoli, Giulio G.; Fiandaca, Gianluca G.; Christiansen, Anders Vest C A.V.C.
2013-01-01
We present sharp reconstruction of multi-layer models using a spatially constrained inversion with minimum gradient support regularization. In particular, its application to airborne electromagnetic data is discussed. Airborne surveys produce extremely large datasets, traditionally inverted...... by using smoothly varying 1D models. Smoothness is a result of the regularization constraints applied to address the inversion ill-posedness. The standard Occam-type regularized multi-layer inversion produces results where boundaries between layers are smeared. The sharp regularization overcomes...... inversions are compared against classical smooth results and available boreholes. With the focusing approach, the obtained blocky results agree with the underlying geology and allow for easier interpretation by the end-user....
Ensemble Kalman filtering in presence of inequality constraints
van Leeuwen, P. J.
2009-04-01
Kalman filtering is presence of constraints is an active area of research. Based on the Gaussian assumption for the probability-density functions, it looks hard to bring in extra constraints in the formalism. On the other hand, in geophysical systems we often encounter constraints related to e.g. the underlying physics or chemistry, which are violated by the Gaussian assumption. For instance, concentrations are always non-negative, model layers have non-negative thickness, and sea-ice concentration is between 0 and 1. Several methods to bring inequality constraints into the Kalman-filter formalism have been proposed. One of them is probability density function (pdf) truncation, in which the Gaussian mass from the non-allowed part of the variables is just equally distributed over the pdf where the variables are alolwed, as proposed by Shimada et al. 1998. However, a problem with this method is that the probability that e.g. the sea-ice concentration is zero, is zero! The new method proposed here does not have this drawback. It assumes that the probability-density function is a truncated Gaussian, but the truncated mass is not distributed equally over all allowed values of the variables, but put into a delta distribution at the truncation point. This delta distribution can easily be handled with in Bayes theorem, leading to posterior probability density functions that are also truncated Gaussians with delta distributions at the truncation location. In this way a much better representation of the system is obtained, while still keeping most of the benefits of the Kalman-filter formalism. In the full Kalman filter the formalism is prohibitively expensive in large-scale systems, but efficient implementation is possible in ensemble variants of the kalman filter. Applications to low-dimensional systems and large-scale systems will be discussed.
Pose and Motion Estimation Using Dual Quaternion-Based Extended Kalman Filtering
Energy Technology Data Exchange (ETDEWEB)
Goddard, J.S.; Abidi, M.A.
1998-06-01
A solution to the remote three-dimensional (3-D) measurement problem is presented for a dynamic system given a sequence of two-dimensional (2-D) intensity images of a moving object. The 3-D transformation is modeled as a nonlinear stochastic system with the state estimate providing the six-degree-of-freedom motion and position values as well as structure. The stochastic model uses the iterated extended Kalman filter (IEKF) as a nonlinear estimator and a screw representation of the 3-D transformation based on dual quaternions. Dual quaternions, whose elements are dual numbers, provide a means to represent both rotation and translation in a unified notation. Linear object features, represented as dual vectors, are transformed using the dual quaternion transformation and are then projected to linear features in the image plane. The method has been implemented and tested with both simulated and actual experimental data. Simulation results are provided, along with comparisons to a point-based IEKF method using rotation and translation, to show the relative advantages of this method. Experimental results from testing using a camera mounted on the end effector of a robot arm are also given.
The role of model dynamics in ensemble Kalman filter performance for chaotic systems
Ng, G.-H.C.; McLaughlin, D.; Entekhabi, D.; Ahanin, A.
2011-01-01
The ensemble Kalman filter (EnKF) is susceptible to losing track of observations, or 'diverging', when applied to large chaotic systems such as atmospheric and ocean models. Past studies have demonstrated the adverse impact of sampling error during the filter's update step. We examine how system dynamics affect EnKF performance, and whether the absence of certain dynamic features in the ensemble may lead to divergence. The EnKF is applied to a simple chaotic model, and ensembles are checked against singular vectors of the tangent linear model, corresponding to short-term growth and Lyapunov vectors, corresponding to long-term growth. Results show that the ensemble strongly aligns itself with the subspace spanned by unstable Lyapunov vectors. Furthermore, the filter avoids divergence only if the full linearized long-term unstable subspace is spanned. However, short-term dynamics also become important as non-linearity in the system increases. Non-linear movement prevents errors in the long-term stable subspace from decaying indefinitely. If these errors then undergo linear intermittent growth, a small ensemble may fail to properly represent all important modes, causing filter divergence. A combination of long and short-term growth dynamics are thus critical to EnKF performance. These findings can help in developing practical robust filters based on model dynamics. ?? 2011 The Authors Tellus A ?? 2011 John Wiley & Sons A/S.
Data assimilation with an extended Kalman filter for impact-produced shock-wave dynamics
International Nuclear Information System (INIS)
Kao, Jim; Flicker, Dawn; Henninger, Rudy; Frey, Sarah; Ghil, Michael; Ide, Kayo
2004-01-01
Model assimilation of data strives to determine optimally the state of an evolving physical system from a limited number of observations. The present study represents the first attempt of applying the extended Kalman filter (EKF) method of data assimilation to shock-wave dynamics induced by a high-speed impact. EKF solves the full nonlinear state evolution and estimates its associated error-covariance matrix in time. The state variables obtained by the blending of past model evolution with currently available data, along with their associated minimized errors (or uncertainties), are then used as initial conditions for further prediction until the next time at which data becomes available. In this study, a one-dimensional (1D) finite-difference code is used along with data measured from a 1D flyer plate experiment. An ensemble simulation suggests that the nonlinearity of the modeled system can be reasonably tracked by EKF. The results demonstrate that the EKF assimilation of a limited amount of pressure data, measured at the middle of the target plate alone, helps track the evolution of all the state variables. The fidelity of EKF is further investigated with numerically generated synthetic data from so-called 'identical-twin experiments', in which the true state is known and various measurement techniques and strategies can be made easily simulated. We find that the EKF method can effectively assimilate the density fields, which are distributed sparsely in time to mimic radiographic data, into the modeled system
Cosmicflows Constrained Local UniversE Simulations
Sorce, Jenny G.; Gottlöber, Stefan; Yepes, Gustavo; Hoffman, Yehuda; Courtois, Helene M.; Steinmetz, Matthias; Tully, R. Brent; Pomarède, Daniel; Carlesi, Edoardo
2016-01-01
This paper combines observational data sets and cosmological simulations to generate realistic numerical replicas of the nearby Universe. The latter are excellent laboratories for studies of the non-linear process of structure formation in our neighbourhood. With measurements of radial peculiar velocities in the local Universe (cosmicflows-2) and a newly developed technique, we produce Constrained Local UniversE Simulations (CLUES). To assess the quality of these constrained simulations, we compare them with random simulations as well as with local observations. The cosmic variance, defined as the mean one-sigma scatter of cell-to-cell comparison between two fields, is significantly smaller for the constrained simulations than for the random simulations. Within the inner part of the box where most of the constraints are, the scatter is smaller by a factor of 2 to 3 on a 5 h-1 Mpc scale with respect to that found for random simulations. This one-sigma scatter obtained when comparing the simulated and the observation-reconstructed velocity fields is only 104 ± 4 km s-1, I.e. the linear theory threshold. These two results demonstrate that these simulations are in agreement with each other and with the observations of our neighbourhood. For the first time, simulations constrained with observational radial peculiar velocities resemble the local Universe up to a distance of 150 h-1 Mpc on a scale of a few tens of megaparsecs. When focusing on the inner part of the box, the resemblance with our cosmic neighbourhood extends to a few megaparsecs (<5 h-1 Mpc). The simulations provide a proper large-scale environment for studies of the formation of nearby objects.
Ensemble Kalman filter for the reconstruction of the Earth's mantle circulation
Directory of Open Access Journals (Sweden)
M. Bocher
2018-02-01
Full Text Available Recent advances in mantle convection modeling led to the release of a new generation of convection codes, able to self-consistently generate plate-like tectonics at their surface. Those models physically link mantle dynamics to surface tectonics. Combined with plate tectonic reconstructions, they have the potential to produce a new generation of mantle circulation models that use data assimilation methods and where uncertainties in plate tectonic reconstructions are taken into account. We provided a proof of this concept by applying a suboptimal Kalman filter to the reconstruction of mantle circulation (Bocher et al., 2016. Here, we propose to go one step further and apply the ensemble Kalman filter (EnKF to this problem. The EnKF is a sequential Monte Carlo method particularly adapted to solve high-dimensional data assimilation problems with nonlinear dynamics. We tested the EnKF using synthetic observations consisting of surface velocity and heat flow measurements on a 2-D-spherical annulus model and compared it with the method developed previously. The EnKF performs on average better and is more stable than the former method. Less than 300 ensemble members are sufficient to reconstruct an evolution. We use covariance adaptive inflation and localization to correct for sampling errors. We show that the EnKF results are robust over a wide range of covariance localization parameters. The reconstruction is associated with an estimation of the error, and provides valuable information on where the reconstruction is to be trusted or not.
Tracking magma volume recovery at okmok volcano using GPS and an unscented kalman filter
Fournier, T.; Freymueller, Jeffrey T.; Cervelli, Peter
2009-01-01
Changes beneath a volcano can be observed through position changes in a GPS network, but distinguishing the source of site motion is not always straightforward. The records of continuous GPS sites provide a favorable data set for tracking magma migration. Dense campaign observations usually provide a better spatial picture of the overall deformation field, at the expense of an episodic temporal record. Combining these observations provides the best of both worlds. A Kalman filter provides a means for integrating discrete and continuous measurements and for interpreting subtle signals. The unscented Kalman filter (UKF) is a nonlinear method for time-dependent observations. We demonstrate the application of this technique to deformation data by applying it to GPS data collected at Okmok volcano. Seven years of GPS observations at Okmok are analyzed using a Mogi source model and the UKF. The deformation source at Okmok is relatively stable at 2.5 km depth below sea level, located beneath the center of the caldera, which means the surface deformation is caused by changes in the strength of the source. During the 7 years of GPS observations more than 0.5 m of uplift has occurred, a majority of that during the time period January 2003 to July 2004. The total volume recovery at Okmok since the last eruption in 1997 is ??60-80%. The UKF allows us to solve simultaneously for the time-dependence of the source strength and for the location without a priori information about the source. ?? 2009 by the American Geophysical Union.
Erna Apriliani; Dieky Adzkiya; Arief Baihaqi
2011-01-01
Kalman filter is an algorithm to estimate the state variable of dynamical stochastic system. The square root ensemble Kalman filter is an modification of Kalman filter. The square root ensemble Kalman filter is proposed to keep the computational stability and reduce the computational time. In this paper we study the efficiency of the reduced rank ensemble Kalman filter. We apply this algorithm to the non isothermal continue stirred tank reactor problem. We decompose the covariance of the ense...
A new approach to nonlinear constrained Tikhonov regularization
Ito, Kazufumi; Jin, Bangti
2011-01-01
operator. The approach is exploited to derive convergence rate results for a priori as well as a posteriori choice rules, e.g., discrepancy principle and balancing principle, for selecting the regularization parameter. The idea is further illustrated on a
Performance Analysis of Constrained Loosely Coupled GPS/INS Integration Solutions
Directory of Open Access Journals (Sweden)
Fabio Dovis
2012-11-01
Full Text Available The paper investigates approaches for loosely coupled GPS/INS integration. Error performance is calculated using a reference trajectory. A performance improvement can be obtained by exploiting additional map information (for example, a road boundary. A constrained solution has been developed and its performance compared with an unconstrained one. The case of GPS outages is also investigated showing how a Kalman filter that operates on the last received GPS position and velocity measurements provides a performance benefit. Results are obtained by means of simulation studies and real data.
Yoshida, Zensho
2010-01-01
This book gives a general, basic understanding of the mathematical structure "nonlinearity" that lies in the depths of complex systems. Analyzing the heterogeneity that the prefix "non" represents with respect to notions such as the linear space, integrability and scale hierarchy, "nonlinear science" is explained as a challenge of deconstruction of the modern sciences. This book is not a technical guide to teach mathematical tools of nonlinear analysis, nor a zoology of so-called nonlinear phenomena. By critically analyzing the structure of linear theories, and cl
Nayfeh, Ali Hasan
1995-01-01
Nonlinear Oscillations is a self-contained and thorough treatment of the vigorous research that has occurred in nonlinear mechanics since 1970. The book begins with fundamental concepts and techniques of analysis and progresses through recent developments and provides an overview that abstracts and introduces main nonlinear phenomena. It treats systems having a single degree of freedom, introducing basic concepts and analytical methods, and extends concepts and methods to systems having degrees of freedom. Most of this material cannot be found in any other text. Nonlinear Oscillations uses sim
Current-State Constrained Filter Bank for Wald Testing of Spacecraft Conjunctions
Carpenter, J. Russell; Markley, F. Landis
2012-01-01
We propose a filter bank consisting of an ordinary current-state extended Kalman filter, and two similar but constrained filters: one is constrained by a null hypothesis that the miss distance between two conjuncting spacecraft is inside their combined hard body radius at the predicted time of closest approach, and one is constrained by an alternative complementary hypothesis. The unconstrained filter is the basis of an initial screening for close approaches of interest. Once the initial screening detects a possibly risky conjunction, the unconstrained filter also governs measurement editing for all three filters, and predicts the time of closest approach. The constrained filters operate only when conjunctions of interest occur. The computed likelihoods of the innovations of the two constrained filters form a ratio for a Wald sequential probability ratio test. The Wald test guides risk mitigation maneuver decisions based on explicit false alarm and missed detection criteria. Since only current-state Kalman filtering is required to compute the innovations for the likelihood ratio, the present approach does not require the mapping of probability density forward to the time of closest approach. Instead, the hard-body constraint manifold is mapped to the filter update time by applying a sigma-point transformation to a projection function. Although many projectors are available, we choose one based on Lambert-style differential correction of the current-state velocity. We have tested our method using a scenario based on the Magnetospheric Multi-Scale mission, scheduled for launch in late 2014. This mission involves formation flight in highly elliptical orbits of four spinning spacecraft equipped with antennas extending 120 meters tip-to-tip. Eccentricities range from 0.82 to 0.91, and close approaches generally occur in the vicinity of perigee, where rapid changes in geometry may occur. Testing the method using two 12,000-case Monte Carlo simulations, we found the
Online Kinematic and Dynamic-State Estimation for Constrained Multibody Systems Based on IMUs
Directory of Open Access Journals (Sweden)
José Luis Torres-Moreno
2016-03-01
Full Text Available This article addresses the problems of online estimations of kinematic and dynamic states of a mechanism from a sequence of noisy measurements. In particular, we focus on a planar four-bar linkage equipped with inertial measurement units (IMUs. Firstly, we describe how the position, velocity, and acceleration of all parts of the mechanism can be derived from IMU signals by means of multibody kinematics. Next, we propose the novel idea of integrating the generic multibody dynamic equations into two variants of Kalman filtering, i.e., the extended Kalman filter (EKF and the unscented Kalman filter (UKF, in a way that enables us to handle closed-loop, constrained mechanisms, whose state space variables are not independent and would normally prevent the direct use of such estimators. The proposal in this work is to apply those estimators over the manifolds of allowed positions and velocities, by means of estimating a subset of independent coordinates only. The proposed techniques are experimentally validated on a testbed equipped with encoders as a means of establishing the ground-truth. Estimators are run online in real-time, a feature not matched by any previous procedure of those reported in the literature on multibody dynamics.
Online Kinematic and Dynamic-State Estimation for Constrained Multibody Systems Based on IMUs
Torres-Moreno, José Luis; Blanco-Claraco, José Luis; Giménez-Fernández, Antonio; Sanjurjo, Emilio; Naya, Miguel Ángel
2016-01-01
This article addresses the problems of online estimations of kinematic and dynamic states of a mechanism from a sequence of noisy measurements. In particular, we focus on a planar four-bar linkage equipped with inertial measurement units (IMUs). Firstly, we describe how the position, velocity, and acceleration of all parts of the mechanism can be derived from IMU signals by means of multibody kinematics. Next, we propose the novel idea of integrating the generic multibody dynamic equations into two variants of Kalman filtering, i.e., the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), in a way that enables us to handle closed-loop, constrained mechanisms, whose state space variables are not independent and would normally prevent the direct use of such estimators. The proposal in this work is to apply those estimators over the manifolds of allowed positions and velocities, by means of estimating a subset of independent coordinates only. The proposed techniques are experimentally validated on a testbed equipped with encoders as a means of establishing the ground-truth. Estimators are run online in real-time, a feature not matched by any previous procedure of those reported in the literature on multibody dynamics. PMID:26959027
Energy Technology Data Exchange (ETDEWEB)
Verde, Licia; Jimenez, Raul [Institute of Cosmos Sciences, University of Barcelona, IEEC-UB, Martí Franquès, 1, E08028 Barcelona (Spain); Bellini, Emilio [University of Oxford, Denys Wilkinson Building, Keble Road, Oxford, OX1 3RH (United Kingdom); Pigozzo, Cassio [Instituto de Física, Universidade Federal da Bahia, Salvador, BA (Brazil); Heavens, Alan F., E-mail: liciaverde@icc.ub.edu, E-mail: emilio.bellini@physics.ox.ac.uk, E-mail: cpigozzo@ufba.br, E-mail: a.heavens@imperial.ac.uk, E-mail: raul.jimenez@icc.ub.edu [Imperial Centre for Inference and Cosmology (ICIC), Imperial College, Blackett Laboratory, Prince Consort Road, London SW7 2AZ (United Kingdom)
2017-04-01
We investigate our knowledge of early universe cosmology by exploring how much additional energy density can be placed in different components beyond those in the ΛCDM model. To do this we use a method to separate early- and late-universe information enclosed in observational data, thus markedly reducing the model-dependency of the conclusions. We find that the 95% credibility regions for extra energy components of the early universe at recombination are: non-accelerating additional fluid density parameter Ω{sub MR} < 0.006 and extra radiation parameterised as extra effective neutrino species 2.3 < N {sub eff} < 3.2 when imposing flatness. Our constraints thus show that even when analyzing the data in this largely model-independent way, the possibility of hiding extra energy components beyond ΛCDM in the early universe is seriously constrained by current observations. We also find that the standard ruler, the sound horizon at radiation drag, can be well determined in a way that does not depend on late-time Universe assumptions, but depends strongly on early-time physics and in particular on additional components that behave like radiation. We find that the standard ruler length determined in this way is r {sub s} = 147.4 ± 0.7 Mpc if the radiation and neutrino components are standard, but the uncertainty increases by an order of magnitude when non-standard dark radiation components are allowed, to r {sub s} = 150 ± 5 Mpc.
Palmero, Faustino; Lemos, M; Sánchez-Rey, Bernardo; Casado-Pascual, Jesús
2018-01-01
This book presents an overview of the most recent advances in nonlinear science. It provides a unified view of nonlinear properties in many different systems and highlights many new developments. While volume 1 concentrates on mathematical theory and computational techniques and challenges, which are essential for the study of nonlinear science, this second volume deals with nonlinear excitations in several fields. These excitations can be localized and transport energy and matter in the form of breathers, solitons, kinks or quodons with very different characteristics, which are discussed in the book. They can also transport electric charge, in which case they are known as polarobreathers or solectrons. Nonlinear excitations can influence function and structure in biology, as for example, protein folding. In crystals and other condensed matter, they can modify transport properties, reaction kinetics and interact with defects. There are also engineering applications in electric lattices, Josephson junction a...
Autonomous Navigation with Constrained Consistency for C-Ranger
Directory of Open Access Journals (Sweden)
Shujing Zhang
2014-06-01
Full Text Available Autonomous underwater vehicles (AUVs have become the most widely used tools for undertaking complex exploration tasks in marine environments. Their synthetic ability to carry out localization autonomously and build an environmental map concurrently, in other words, simultaneous localization and mapping (SLAM, are considered to be pivotal requirements for AUVs to have truly autonomous navigation. However, the consistency problem of the SLAM system has been greatly ignored during the past decades. In this paper, a consistency constrained extended Kalman filter (EKF SLAM algorithm, applying the idea of local consistency, is proposed and applied to the autonomous navigation of the C-Ranger AUV, which is developed as our experimental platform. The concept of local consistency (LC is introduced after an explicit theoretical derivation of the EKF-SLAM system. Then, we present a locally consistency-constrained EKF-SLAM design, LC-EKF, in which the landmark estimates used for linearization are fixed at the beginning of each local time period, rather than evaluated at the latest landmark estimates. Finally, our proposed LC-EKF algorithm is experimentally verified, both in simulations and sea trials. The experimental results show that the LC-EKF performs well with regard to consistency, accuracy and computational efficiency.
Constraining neutrinoless double beta decay
International Nuclear Information System (INIS)
Dorame, L.; Meloni, D.; Morisi, S.; Peinado, E.; Valle, J.W.F.
2012-01-01
A class of discrete flavor-symmetry-based models predicts constrained neutrino mass matrix schemes that lead to specific neutrino mass sum-rules (MSR). We show how these theories may constrain the absolute scale of neutrino mass, leading in most of the cases to a lower bound on the neutrinoless double beta decay effective amplitude.
NONLINEAR FILTER METHOD OF GPS DYNAMIC POSITIONING BASED ON BANCROFT ALGORITHM
Institute of Scientific and Technical Information of China (English)
ZHANGQin; TAOBen-zao; ZHAOChao-ying; WANGLi
2005-01-01
Because of the ignored items after linearization, the extended Kalman filter (EKF) becomes a form of suboptimal gradient descent algorithm. The emanative tendency exists in GPS solution when the filter equations are ill-posed. The deviation in the estimation cannot be avoided. Furthermore, the true solution may be lost in pseudorange positioning because the linearized pseudorange equations are partial solutions. To solve the above problems in GPS dynamic positioning by using EKF, a closed-form Kalman filter method called the two-stage algorithm is presented for the nonlinear algebraic solution of GPS dynamic positioning based on the global nonlinear least squares closed algorithm--Bancroft numerical algorithm of American. The method separates the spatial parts from temporal parts during processing the GPS filter problems, and solves the nonlinear GPS dynamic positioning, thus getting stable and reliable dynamic positioning solutions.
Observation Quality Control with a Robust Ensemble Kalman Filter
Roh, Soojin
2013-12-01
Current ensemble-based Kalman filter (EnKF) algorithms are not robust to gross observation errors caused by technical or human errors during the data collection process. In this paper, the authors consider two types of gross observational errors, additive statistical outliers and innovation outliers, and introduce a method to make EnKF robust to gross observation errors. Using both a one-dimensional linear system of dynamics and a 40-variable Lorenz model, the performance of the proposed robust ensemble Kalman filter (REnKF) was tested and it was found that the new approach greatly improves the performance of the filter in the presence of gross observation errors and leads to only a modest loss of accuracy with clean, outlier-free, observations.
On Predictive Coding for Erasure Channels Using a Kalman Framework
DEFF Research Database (Denmark)
Arildsen, Thomas; Murthi, Manohar; Andersen, Søren Vang
2009-01-01
We present a new design method for robust low-delay coding of autoregressive sources for transmission across erasure channels. It is a fundamental rethinking of existing concepts. It considers the encoder a mechanism that produces signal measurements from which the decoder estimates the original...... signal. The method is based on linear predictive coding and Kalman estimation at the decoder. We employ a novel encoder state-space representation with a linear quantization noise model. The encoder is represented by the Kalman measurement at the decoder. The presented method designs the encoder...... and decoder offline through an iterative algorithm based on closed-form minimization of the trace of the decoder state error covariance. The design method is shown to provide considerable performance gains, when the transmitted quantized prediction errors are subject to loss, in terms of signal-to-noise ratio...
Sensor failure detection in dynamical systems by Kalman filtering methodology
International Nuclear Information System (INIS)
Ciftcioglu, O.
1991-03-01
Design of a sensor failure detection system by Kalman filtering methodology is described. The method models the process systems in state-space form, the information on each state being provided by relevant sensors present in the process system. Since the measured states are usually subject to noise, the estimation of the states optimally is an essential requirement. To this end the detection system comprises Kalman estimation filters, the number of which is equal to the number of states concerned. The estimated state of a particular signal in each filter is compared with the corresponding measured signal and difference beyond a predetermined bound is identified as failure, the sensor being identified/isolated as faulty. (author). 19 refs.; 8 figs.; 1 tab
Research on Kalman-filter based multisensor data fusion
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
Multisensor data fusion has played a significant role in diverse areas ranging from local robot guidance to global military theatre defense etc.Various multisensor data fusion methods have been extensively investigated by researchers,of which Klaman filtering is one of the most important.Kalman filtering is the best-known recursive least mean-square algorithm to optimally estimate the unknown.states of a dynamic system,which has found widespread application in many areas.The scope of the work is restricted to investigate the various data fusion and track fusion techniques based on the Kalman Filter methods.then a new method of state fusion is proposed.Finally the simulation results demonstrate the effectiveness of the introduced method.
An adaptive Kalman filter for speckle reductions in ultrasound images
International Nuclear Information System (INIS)
Castellini, G.; Labate, D.; Masotti, L.; Mannini, E.; Rocchi, S.
1988-01-01
Speckle is the term used to describe the granular appearance found in ultrasound images. The presence of speckle reduces the diagnostic potential of the echographic technique because it tends to mask small inhomogeneities of the investigated tissue. We developed a new method of speckle reductions that utilizes an adaptive one-dimensional Kalman filter based on the assumption that the observed image can be considered as a superimposition of speckle on a ''true images''. The filter adaptivity, necessary to avoid loss of resolution, has been obtained by statistical considerations on the local signal variations. The results of the applications of this particular Kalman filter, both on A-Mode and B-MODE images, show a significant speckle reduction
Observation Quality Control with a Robust Ensemble Kalman Filter
Roh, Soojin; Genton, Marc G.; Jun, Mikyoung; Szunyogh, Istvan; Hoteit, Ibrahim
2013-01-01
Current ensemble-based Kalman filter (EnKF) algorithms are not robust to gross observation errors caused by technical or human errors during the data collection process. In this paper, the authors consider two types of gross observational errors, additive statistical outliers and innovation outliers, and introduce a method to make EnKF robust to gross observation errors. Using both a one-dimensional linear system of dynamics and a 40-variable Lorenz model, the performance of the proposed robust ensemble Kalman filter (REnKF) was tested and it was found that the new approach greatly improves the performance of the filter in the presence of gross observation errors and leads to only a modest loss of accuracy with clean, outlier-free, observations.
Kalman filtered MR temperature imaging for laser induced thermal therapies.
Fuentes, D; Yung, J; Hazle, J D; Weinberg, J S; Stafford, R J
2012-04-01
The feasibility of using a stochastic form of Pennes bioheat model within a 3-D finite element based Kalman filter (KF) algorithm is critically evaluated for the ability to provide temperature field estimates in the event of magnetic resonance temperature imaging (MRTI) data loss during laser induced thermal therapy (LITT). The ability to recover missing MRTI data was analyzed by systematically removing spatiotemporal information from a clinical MR-guided LITT procedure in human brain and comparing predictions in these regions to the original measurements. Performance was quantitatively evaluated in terms of a dimensionless L(2) (RMS) norm of the temperature error weighted by acquisition uncertainty. During periods of no data corruption, observed error histories demonstrate that the Kalman algorithm does not alter the high quality temperature measurement provided by MR thermal imaging. The KF-MRTI implementation considered is seen to predict the bioheat transfer with RMS error 10 sec.
Spacecraft Dynamics Should be Considered in Kalman Filter Attitude Estimation
Yang, Yaguang; Zhou, Zhiqiang
2016-01-01
Kalman filter based spacecraft attitude estimation has been used in some high-profile missions and has been widely discussed in literature. While some models in spacecraft attitude estimation include spacecraft dynamics, most do not. To our best knowledge, there is no comparison on which model is a better choice. In this paper, we discuss the reasons why spacecraft dynamics should be considered in the Kalman filter based spacecraft attitude estimation problem. We also propose a reduced quaternion spacecraft dynamics model which admits additive noise. Geometry of the reduced quaternion model and the additive noise are discussed. This treatment is more elegant in mathematics and easier in computation. We use some simulation example to verify our claims.
Bayesian fault detection and isolation using Field Kalman Filter
Baranowski, Jerzy; Bania, Piotr; Prasad, Indrajeet; Cong, Tian
2017-12-01
Fault detection and isolation is crucial for the efficient operation and safety of any industrial process. There is a variety of methods from all areas of data analysis employed to solve this kind of task, such as Bayesian reasoning and Kalman filter. In this paper, the authors use a discrete Field Kalman Filter (FKF) to detect and recognize faulty conditions in a system. The proposed approach, devised for stochastic linear systems, allows for analysis of faults that can be expressed both as parameter and disturbance variations. This approach is formulated for the situations when the fault catalog is known, resulting in the algorithm allowing estimation of probability values. Additionally, a variant of algorithm with greater numerical robustness is presented, based on computation of logarithmic odds. Proposed algorithm operation is illustrated with numerical examples, and both its merits and limitations are critically discussed and compared with traditional EKF.
Shape space exploration of constrained meshes
Yang, Yongliang
2011-12-12
We present a general computational framework to locally characterize any shape space of meshes implicitly prescribed by a collection of non-linear constraints. We computationally access such manifolds, typically of high dimension and co-dimension, through first and second order approximants, namely tangent spaces and quadratically parameterized osculant surfaces. Exploration and navigation of desirable subspaces of the shape space with regard to application specific quality measures are enabled using approximants that are intrinsic to the underlying manifold and directly computable in the parameter space of the osculant surface. We demonstrate our framework on shape spaces of planar quad (PQ) meshes, where each mesh face is constrained to be (nearly) planar, and circular meshes, where each face has a circumcircle. We evaluate our framework for navigation and design exploration on a variety of inputs, while keeping context specific properties such as fairness, proximity to a reference surface, etc. © 2011 ACM.
Shape space exploration of constrained meshes
Yang, Yongliang; Yang, Yijun; Pottmann, Helmut; Mitra, Niloy J.
2011-01-01
We present a general computational framework to locally characterize any shape space of meshes implicitly prescribed by a collection of non-linear constraints. We computationally access such manifolds, typically of high dimension and co-dimension, through first and second order approximants, namely tangent spaces and quadratically parameterized osculant surfaces. Exploration and navigation of desirable subspaces of the shape space with regard to application specific quality measures are enabled using approximants that are intrinsic to the underlying manifold and directly computable in the parameter space of the osculant surface. We demonstrate our framework on shape spaces of planar quad (PQ) meshes, where each mesh face is constrained to be (nearly) planar, and circular meshes, where each face has a circumcircle. We evaluate our framework for navigation and design exploration on a variety of inputs, while keeping context specific properties such as fairness, proximity to a reference surface, etc. © 2011 ACM.
Carpenter, J. R.; Markley, F. L.; Alfriend, K. T.; Wright, C.; Arcido, J.
2011-01-01
Sequential probability ratio tests explicitly allow decision makers to incorporate false alarm and missed detection risks, and are potentially less sensitive to modeling errors than a procedure that relies solely on a probability of collision threshold. Recent work on constrained Kalman filtering has suggested an approach to formulating such a test for collision avoidance maneuver decisions: a filter bank with two norm-inequality-constrained epoch-state extended Kalman filters. One filter models 1he null hypothesis 1ha1 the miss distance is inside the combined hard body radius at the predicted time of closest approach, and one filter models the alternative hypothesis. The epoch-state filter developed for this method explicitly accounts for any process noise present in the system. The method appears to work well using a realistic example based on an upcoming highly-elliptical orbit formation flying mission.
Rawicz, Paul Lawrence
In this thesis, the similarities between the structure of the H infinity, H2, and Kalman filters are examined. The filters used in this examination have been derived through duality to the full information controller. In addition, a direct variation of parameters derivation of the Hinfinity filter is presented for both continuous and discrete time (staler case). Direct and controller dual derivations using differential games exist in the literature and also employ variational techniques. Using a variational, rather than a differential games, viewpoint has resulted in a simple relationship between the Riccati equations that arise from the derivation and the results of the Bounded Real Lemma. This same relation has previously been found in the literature and used to relate the Riccati inequality for linear systems to the Hamilton Jacobi inequality for nonlinear systems when implementing the Hinfinity controller. The Hinfinity, H2, and Kalman filters are applied to the two-state target tracking problem. In continuous time, closed form analytic expressions for the trackers and their performance are determined. To evaluate the trackers using a neutral, realistic, criterion, the probability of target escape is developed. That is, the probability that the target position error will be such that the target is outside the radar beam width resulting in a loss of measurement. In discrete time, a numerical example, using the probability of target escape, is presented to illustrate the differences in tracker performance.
Directory of Open Access Journals (Sweden)
Yasser Diab
2017-07-01
Full Text Available A real-time determination of battery parameters is challenging because batteries are non-linear, time-varying systems. The transient behaviour of lithium-ion batteries is modelled by a Thevenin-equivalent circuit with two time constants characterising activation and concentration polarization. An experimental approach is proposed for directly determining battery parameters as a function of physical quantities. The model’s parameters are a function of the state of charge and of the discharge rate. These can be expressed by regression equations in the model to derive a continuous-discrete extended Kalman estimator of the state of charge and of other parameters. This technique is based on numerical integration of the ordinary differential equations to predict the state of the stochastic dynamic system and the corresponding error covariance matrix. Then a standard correction step of the extended Kalman filter (EKF is applied to increase the accuracy of estimated parameters. Simulations resulting from this proposed estimator model were compared with experimental results under a variety of operating scenarios—analysis of the results demonstrate the accuracy of the estimator for correctly identifying battery parameters.
Directory of Open Access Journals (Sweden)
Lili Lei
2012-05-01
Full Text Available A hybrid data assimilation approach combining nudging and the ensemble Kalman filter (EnKF for dynamic analysis and numerical weather prediction is explored here using the non-linear Lorenz three-variable model system with the goal of a smooth, continuous and accurate data assimilation. The hybrid nudging-EnKF (HNEnKF computes the hybrid nudging coefficients from the flow-dependent, time-varying error covariance matrix from the EnKF's ensemble forecasts. It extends the standard diagonal nudging terms to additional off-diagonal statistical correlation terms for greater inter-variable influence of the innovations in the model's predictive equations to assist in the data assimilation process. The HNEnKF promotes a better fit of an analysis to data compared to that achieved by either nudging or incremental analysis update (IAU. When model error is introduced, it produces similar or better root mean square errors compared to the EnKF while minimising the error spikes/discontinuities created by the intermittent EnKF. It provides a continuous data assimilation with better inter-variable consistency and improved temporal smoothness than that of the EnKF. Data assimilation experiments are also compared to the ensemble Kalman smoother (EnKS. The HNEnKF has similar or better temporal smoothness than that of the EnKS, and with much smaller central processing unit (CPU time and data storage requirements.
Directory of Open Access Journals (Sweden)
Hongjie Wu
2013-01-01
Full Text Available State of charge (SOC is a critical factor to guarantee that a battery system is operating in a safe and reliable manner. Many uncertainties and noises, such as fluctuating current, sensor measurement accuracy and bias, temperature effects, calibration errors or even sensor failure, etc. pose a challenge to the accurate estimation of SOC in real applications. This paper adds two contributions to the existing literature. First, the auto regressive exogenous (ARX model is proposed here to simulate the battery nonlinear dynamics. Due to its discrete form and ease of implemention, this straightforward approach could be more suitable for real applications. Second, its order selection principle and parameter identification method is illustrated in detail in this paper. The hybrid pulse power characterization (HPPC cycles are implemented on the 60AH LiFePO4 battery module for the model identification and validation. Based on the proposed ARX model, SOC estimation is pursued using the extended Kalman filter. Evaluation of the adaptability of the battery models and robustness of the SOC estimation algorithm are also verified. The results indicate that the SOC estimation method using the Kalman filter based on the ARX model shows great performance. It increases the model output voltage accuracy, thereby having the potential to be used in real applications, such as EVs and HEVs.
Directory of Open Access Journals (Sweden)
Yongliang Sun
2013-11-01
Full Text Available A Kalman/map filtering (KMF-aided fast normalized cross correlation (FNCC-based Wi-Fi fingerprinting location sensing system is proposed in this paper. Compared with conventional neighbor selection algorithms that calculate localization results with received signal strength (RSS mean samples, the proposed FNCC algorithm makes use of all the on-line RSS samples and reference point RSS variations to achieve higher fingerprinting accuracy. The FNCC computes efficiently while maintaining the same accuracy as the basic normalized cross correlation. Additionally, a KMF is also proposed to process fingerprinting localization results. It employs a new map matching algorithm to nonlinearize the linear location prediction process of Kalman filtering (KF that takes advantage of spatial proximities of consecutive localization results. With a calibration model integrated into an indoor map, the map matching algorithm corrects unreasonable prediction locations of the KF according to the building interior structure. Thus, more accurate prediction locations are obtained. Using these locations, the KMF considerably improves fingerprinting algorithm performance. Experimental results demonstrate that the FNCC algorithm with reduced computational complexity outperforms other neighbor selection algorithms and the KMF effectively improves location sensing accuracy by using indoor map information and spatial proximities of consecutive localization results.
Sun, Yongliang; Xu, Yubin; Li, Cheng; Ma, Lin
2013-11-13
A Kalman/map filtering (KMF)-aided fast normalized cross correlation (FNCC)-based Wi-Fi fingerprinting location sensing system is proposed in this paper. Compared with conventional neighbor selection algorithms that calculate localization results with received signal strength (RSS) mean samples, the proposed FNCC algorithm makes use of all the on-line RSS samples and reference point RSS variations to achieve higher fingerprinting accuracy. The FNCC computes efficiently while maintaining the same accuracy as the basic normalized cross correlation. Additionally, a KMF is also proposed to process fingerprinting localization results. It employs a new map matching algorithm to nonlinearize the linear location prediction process of Kalman filtering (KF) that takes advantage of spatial proximities of consecutive localization results. With a calibration model integrated into an indoor map, the map matching algorithm corrects unreasonable prediction locations of the KF according to the building interior structure. Thus, more accurate prediction locations are obtained. Using these locations, the KMF considerably improves fingerprinting algorithm performance. Experimental results demonstrate that the FNCC algorithm with reduced computational complexity outperforms other neighbor selection algorithms and the KMF effectively improves location sensing accuracy by using indoor map information and spatial proximities of consecutive localization results.
International Nuclear Information System (INIS)
Wu Xue-Dong; Liu Wei-Ting; Zhu Zhi-Yu; Wang Yao-Nan
2011-01-01
On the assumption that random interruptions in the observation process are modeled by a sequence of independent Bernoulli random variables, we firstly generalize two kinds of nonlinear filtering methods with random interruption failures in the observation based on the extended Kalman filtering (EKF) and the unscented Kalman filtering (UKF), which were shortened as GEKF and GUKF in this paper, respectively. Then the nonlinear filtering model is established by using the radial basis function neural network (RBFNN) prototypes and the network weights as state equation and the output of RBFNN to present the observation equation. Finally, we take the filtering problem under missing observed data as a special case of nonlinear filtering with random intermittent failures by setting each missing data to be zero without needing to pre-estimate the missing data, and use the GEKF-based RBFNN and the GUKF-based RBFNN to predict the ground radioactivity time series with missing data. Experimental results demonstrate that the prediction results of GUKF-based RBFNN accord well with the real ground radioactivity time series while the prediction results of GEKF-based RBFNN are divergent. (geophysics, astronomy, and astrophysics)
Estimation of aircraft aerodynamic derivatives using Extended Kalman Filter
Curvo, M.
2000-01-01
Design of flight control laws, verification of performance predictions, and the implementation of flight simulations are tasks that require a mathematical model of the aircraft dynamics. The dynamical models are characterized by coefficients (aerodynamic derivatives) whose values must be determined from flight tests. This work outlines the use of the Extended Kalman Filter (EKF) in obtaining the aerodynamic derivatives of an aircraft. The EKF shows several advantages over the more traditional...
A new iterative speech enhancement scheme based on Kalman filtering
DEFF Research Database (Denmark)
Li, Chunjian; Andersen, Søren Vang
2005-01-01
for a high temporal resolution estimation of this variance. A Local Variance Estimator based on a Prediction Error Kalman Filter is designed for this high temporal resolution variance estimation. To achieve fast convergence and avoid local maxima of the likelihood function, a Weighted Power Spectral....... Performance comparison shows significant improvement over the baseline EM algorithm in terms of three objective measures. Listening test indicates an improvement in subjective quality due to a significant reduction of musical noise compared to the baseline EM algorithm....
Kalman Filtered MR Temperature Imaging for Laser Induced Thermal Therapies
Fuentes, D.; Yung, J.; Hazle, J. D.; Weinberg, J. S.; Stafford, R. J.
2011-01-01
The feasibility of using a stochastic form of Pennes bioheat model within a 3D finite element based Kalman filter (KF) algorithm is critically evaluated for the ability to provide temperature field estimates in the event of magnetic resonance temperature imaging (MRTI) data loss during laser induced thermal therapy (LITT). The ability to recover missing MRTI data was analyzed by systematically removing spatiotemporal information from a clinical MR-guided LITT procedure in human brain and comp...
Strong tracking adaptive Kalman filters for underwater vehicle dead reckoning
Institute of Scientific and Technical Information of China (English)
XIAO Kun; FANG Shao-ji; PANG Yong-jie
2007-01-01
To improve underwater vehicle dead reckoning, a developed strong tracking adaptive kalman filter is proposed. The filter is improved with an additional adaptive factor and an estimator of measurement noise covariance. Since the magnitude of fading factor is changed adaptively, the tracking ability of the filter is still enhanced in low velocity condition of underwater vehicles. The results of simulation tests prove the presented filter effective.
Localization of Wheeled Mobile Robot Based on Extended Kalman Filtering
Directory of Open Access Journals (Sweden)
Li Guangxu
2015-01-01
Full Text Available A mobile robot localization method which combines relative positioning with absolute orientation is presented. The code salver and gyroscope are used for relative positioning, and the laser radar is used to detect absolute orientation. In this paper, we established environmental map, multi-sensor information fusion model, sensors and robot motion model. The Extended Kalman Filtering (EKF is adopted as multi-sensor data fusion technology to realize the precise localization of wheeled mobile robot.
Cubature/ Unscented/ Sigma Point Kalman Filtering with Angular Measurement Models
2015-07-06
similarly transformed to work with the Laplace distribution. Cubature formulae for w(x) = 1 over regions of various shapes could be used for evaluating...measurement and process non- linearities, such as the cubature Kalman filter, can perform ex- tremely poorly in many applications involving angular...in the form of the “unscented transform ”) consider just converting such measurements into Cartesian coordinates and feeding the converted measurements
ANALYSIS OF SST IMAGES BY WEIGHTED ENSEMBLE TRANSFORM KALMAN FILTER
Sai , Gorthi; Beyou , Sébastien; Memin , Etienne
2011-01-01
International audience; This paper presents a novel, efficient scheme for the analysis of Sea Surface Temperature (SST) ocean images. We consider the estimation of the velocity fields and vorticity values from a sequence of oceanic images. The contribution of this paper lies in proposing a novel, robust and simple approach based onWeighted Ensemble Transform Kalman filter (WETKF) data assimilation technique for the analysis of real SST images, that may contain coast regions or large areas of ...
Objective judgement by Kalman filtering in the generalized Landsbergian scheme
International Nuclear Information System (INIS)
Lukacs, B.; Racz, A.
1992-08-01
A method is suggested to check if a non-equilibrium thermodynamic description of a system is complete. Exploring Landsberg's idea of the role of third person, a scheme is proposed for treating non-equilibrium systems as well. In order to suppress irrelevant information carried by measurement noise or for very fast phenomena, Kalman filter can act as the objective spectator. The idea is illustrated via a thermodynamic model of non-relativistic heavy ion collisions. (author) 12 refs.; 3 figs
Boyd, Robert W
2013-01-01
Nonlinear Optics is an advanced textbook for courses dealing with nonlinear optics, quantum electronics, laser physics, contemporary and quantum optics, and electrooptics. Its pedagogical emphasis is on fundamentals rather than particular, transitory applications. As a result, this textbook will have lasting appeal to a wide audience of electrical engineering, physics, and optics students, as well as those in related fields such as materials science and chemistry.Key Features* The origin of optical nonlinearities, including dependence on the polarization of light* A detailed treatment of the q
Feng, Kaiqiang; Li, Jie; Zhang, Xiaoming; Shen, Chong; Bi, Yu; Zheng, Tao; Liu, Jun
2017-09-19
In order to reduce the computational complexity, and improve the pitch/roll estimation accuracy of the low-cost attitude heading reference system (AHRS) under conditions of magnetic-distortion, a novel linear Kalman filter, suitable for nonlinear attitude estimation, is proposed in this paper. The new algorithm is the combination of two-step geometrically-intuitive correction (TGIC) and the Kalman filter. In the proposed algorithm, the sequential two-step geometrically-intuitive correction scheme is used to make the current estimation of pitch/roll immune to magnetic distortion. Meanwhile, the TGIC produces a computed quaternion input for the Kalman filter, which avoids the linearization error of measurement equations and reduces the computational complexity. Several experiments have been carried out to validate the performance of the filter design. The results demonstrate that the mean time consumption and the root mean square error (RMSE) of pitch/roll estimation under magnetic disturbances are reduced by 45.9% and 33.8%, respectively, when compared with a standard filter. In addition, the proposed filter is applicable for attitude estimation under various dynamic conditions.
Guo, Xiaoting; Sun, Changku; Wang, Peng
2017-08-01
This paper investigates the multi-rate inertial and vision data fusion problem in nonlinear attitude measurement systems, where the sampling rate of the inertial sensor is much faster than that of the vision sensor. To fully exploit the high frequency inertial data and obtain favorable fusion results, a multi-rate CKF (Cubature Kalman Filter) algorithm with estimated residual compensation is proposed in order to adapt to the problem of sampling rate discrepancy. During inter-sampling of slow observation data, observation noise can be regarded as infinite. The Kalman gain is unknown and approaches zero. The residual is also unknown. Therefore, the filter estimated state cannot be compensated. To obtain compensation at these moments, state error and residual formulas are modified when compared with the observation data available moments. Self-propagation equation of the state error is established to propagate the quantity from the moments with observation to the moments without observation. Besides, a multiplicative adjustment factor is introduced as Kalman gain, which acts on the residual. Then the filter estimated state can be compensated even when there are no visual observation data. The proposed method is tested and verified in a practical setup. Compared with multi-rate CKF without residual compensation and single-rate CKF, a significant improvement is obtained on attitude measurement by using the proposed multi-rate CKF with inter-sampling residual compensation. The experiment results with superior precision and reliability show the effectiveness of the proposed method.
LHCb Kalman ﬁlter cross architecture studies
AUTHOR|(INSPIRE)INSPIRE-00388548
2017-01-01
The 2020 upgrade of the LHCb detector will vastly increase the rate of collisions the Online system needs to process in software, in order to ﬁlter events in real time. 30 million collisions per second will pass through a selection chain, where each step is executed conditional to its prior acceptance. The Kalman ﬁlter is a ﬁt applied to all reconstructed tracks which, due to its time characteristics and early execution in the selection chain, consumes 40% of the whole reconstruction time in the current trigger software. This makes the Kalman ﬁlter a time-critical component as the LHCb trigger evolves into a full software trigger in the Upgrade. I present a new Kalman ﬁlter algorithm for LHCb that can efficiently make use of any kind of SIMD processor, and its design is explained in depth. Performance benchmarks are compared between a variety of hardware architectures, including x86_64 and Power8, and the Intel Xeon Phi accelerator, and the suitability of said architectures to efficiently perform th...
Kalman filter analysis of delayed neutron nondestructive assay measurements
International Nuclear Information System (INIS)
Aumeier, S. E.
1998-01-01
The ability to nondestructively determine the presence and quantity of fissile and fertile nuclei in various matrices is important in several nuclear applications including international and domestics safeguards, radioactive waste characterization and nuclear facility operations. Material irradiation followed by delayed neutron counting is a well known and useful nondestructive assay technique used to determine the fissile-effective content of assay samples. Previous studies have demonstrated the feasibility of using Kalman filters to unfold individual isotopic contributions to delayed neutron measurements resulting from the assay of mixes of uranium and plutonium isotopes. However, the studies in question used simulated measurement data and idealized parameters. We present the results of the Kalman filter analysis of several measurements of U/Pu mixes taken using Argonne National Laboratory's delayed neutron nondestructive assay device. The results demonstrate the use of Kalman filters as a signal processing tool to determine the fissile and fertile isotopic content of an assay sample from the aggregate delayed neutron response following neutron irradiation
Application of adaptive Kalman filter in vehicle laser Doppler velocimetry
Fan, Zhe; Sun, Qiao; Du, Lei; Bai, Jie; Liu, Jingyun
2018-03-01
Due to the variation of road conditions and motor characteristics of vehicle, great root-mean-square (rms) error and outliers would be caused. Application of Kalman filter in laser Doppler velocimetry(LDV) is important to improve the velocity measurement accuracy. In this paper, the state-space model is built by using current statistical model. A strategy containing two steps is adopted to make the filter adaptive and robust. First, the acceleration variance is adaptively adjusted by using the difference of predictive observation and measured observation. Second, the outliers would be identified and the measured noise variance would be adjusted according to the orthogonal property of innovation to reduce the impaction of outliers. The laboratory rotating table experiments show that adaptive Kalman filter greatly reduces the rms error from 0.59 cm/s to 0.22 cm/s and has eliminated all the outliers. Road experiments compared with a microwave radar show that the rms error of LDV is 0.0218 m/s, and it proves that the adaptive Kalman filtering is suitable for vehicle speed signal processing.
Parallel Kalman filter track fit based on vector classes
Energy Technology Data Exchange (ETDEWEB)
Kisel, Ivan [GSI Helmholtzzentrum fuer Schwerionenforschung GmbH (Germany); Kretz, Matthias [Kirchhoff-Institut fuer Physik, Ruprecht-Karls Universitaet, Heidelberg (Germany); Kulakov, Igor [Goethe-Universitaet, Frankfurt am Main (Germany); National Taras Shevchenko University, Kyiv (Ukraine)
2010-07-01
Modern high energy physics experiments have to process terabytes of input data produced in particle collisions. The core of the data reconstruction in high energy physics is the Kalman filter. Therefore, developing the fast Kalman filter algorithm, which uses maximum available power of modern processors, is important, in particular for initial selection of events interesting for the new physics. One of processors features, which can speed up the algorithm, is a SIMD instruction set, which allows to pack several data items in one register and operate on all of them in one go, thus achieving more operations per clock cycle. Therefore a flexible and useful interface, which uses the SIMD instruction set on different CPU and GPU processors architectures, has been realized as a vector classes library. The Kalman filter based track fitting algorithm has been implemented with use of the vector classes. Fitting quality tests show good results with the residuals equal to 49 {mu}m and 44 {mu}m for x and y track parameters and relative momentum resolution of 0.7%. The fitting time of 0.053 {mu}s per track has been achieved on Intel Xeon X5550 with 8 cores at 2.6 GHz by using in addition Intel Threading Building Blocks.
Applications of Kalman Filtering to nuclear material control
International Nuclear Information System (INIS)
Pike, D.H.; Morrison, G.W.; Westley, G.W.
1977-10-01
The feasibility of using modern state estimation techniques (specifically Kalman Filtering and Linear Smoothing) to detect losses of material from material balance areas is evaluated. It is shown that state estimation techniques are not only feasible but in most situations are superior to existing methods of analysis. The various techniques compared include Kalman Filtering, linear smoothing, standard control charts, and average cumulative summation (CUSUM) charts. Analysis results indicated that the standard control chart is the least effective method for detecting regularly occurring losses. An improvement in the detection capability over the standard control chart can be realized by use of the CUSUM chart. Even more sensitivity in the ability to detect losses can be realized by use of the Kalman Filter and the linear smoother. It was found that the error-covariance matrix can be used to establish limits of error for state estimates. It is shown that state estimation techniques represent a feasible and desirable method of theft detection. The technique is usually more sensitive than the CUSUM chart in detecting losses. One kind of loss which is difficult to detect using state estimation techniques is a single isolated loss. State estimation procedures are predicated on dynamic models and are well-suited for detecting losses which occur regularly over several accounting periods. A single isolated loss does not conform to this basic assumption and is more difficult to detect
Fractional kalman filter to estimate the concentration of air pollution
Vita Oktaviana, Yessy; Apriliani, Erna; Khusnul Arif, Didik
2018-04-01
Air pollution problem gives important effect in quality environment and quality of human’s life. Air pollution can be caused by nature sources or human activities. Pollutant for example Ozone, a harmful gas formed by NOx and volatile organic compounds (VOCs) emitted from various sources. The air pollution problem can be modeled by TAPM-CTM (The Air Pollution Model with Chemical Transport Model). The model shows concentration of pollutant in the air. Therefore, it is important to estimate concentration of air pollutant. Estimation method can be used for forecast pollutant concentration in future and keep stability of air quality. In this research, an algorithm is developed, based on Fractional Kalman Filter to solve the model of air pollution’s problem. The model will be discretized first and then it will be estimated by the method. The result shows that estimation of Fractional Kalman Filter has better accuracy than estimation of Kalman Filter. The accuracy was tested by applying RMSE (Root Mean Square Error).
Pengenal Gerakan dengan Joystick Akselerometer Menggunakan Filter Kalman
Directory of Open Access Journals (Sweden)
Khoirudin Fathoni
2017-12-01
Full Text Available Human Machine Interaction keeps growing and developing, one of development is through gesture recognition that detects acceleration in a movement. This technology has been applied in joystick Wiimote and Wii-nunchuk by Nintendo that is widely used all over the world. Two main challenges in using accelerometer are to eliminate the noise of the sensor and to cancel the detected gravity acceleration when the joystick is tilted. The noise and gravity acceleration may influence the data reading and create error accumulation, respectively. This work proposes an implementation of Kalman Filter and also a simple technique to eliminate the influence of the gravity acceleration as a solution to solve above problems in using accelerometer of Wii-Nunchuk joystick in Board Arduino Mega 2560. The experimental results in motionless position show that the filter can reduce the gravity acceleration. We have to set the initial value of q and R parameters in the estimation of position, speed, and acceleration using Kalman filter. Once R is decided, the change of q will determine Kk gain, and it will locate the poles of the observer that influence the stability and the estimation result. With R=0.00005 and q=1, the poles of Kalman filter are located in the unit circle so that the estimation is stable and appropriate with the data from the sensor and even cancel the noise.
Parameter estimation in an atmospheric GCM using the Ensemble Kalman Filter
Directory of Open Access Journals (Sweden)
J. D. Annan
2005-01-01
Full Text Available We demonstrate the application of an efficient multivariate probabilistic parameter estimation method to a spectral primitive equation atmospheric GCM. The method, which is based on the Ensemble Kalman Filter, is effective at tuning the surface air temperature climatology of the model to both identical twin data and reanalysis data. When 5 parameters were simultaneously tuned to fit the model to reanalysis data, the model errors were reduced by around 35% compared to those given by the default parameter values. However, the precipitation field proved to be insensitive to these parameters and remains rather poor. The model is computationally cheap but chaotic and otherwise realistic, and the success of these experiments suggests that this method should be capable of tuning more sophisticated models, in particular for the purposes of climate hindcasting and prediction. Furthermore, the method is shown to be useful in determining structural deficiencies in the model which can not be improved by tuning, and so can be a useful tool to guide model development. The work presented here is for a limited set of parameters and data, but the scalability of the method is such that it could easily be extended to a more comprehensive parameter set given sufficient observational data to constrain them.
Mobile location with NLOS identification and mitigation based on modified Kalman filtering.
Ke, Wei; Wu, Lenan
2011-01-01
In order to enhance accuracy and reliability of wireless location in the mixed line-of-sight (LOS) and non-line-of-sight (NLOS) environments, a robust mobile location algorithm is presented to track the position of a mobile node (MN). An extended Kalman filter (EKF) modified in the updating phase is utilized to reduce the NLOS error in rough wireless environments, in which the NLOS bias contained in each measurement range is estimated directly by the constrained optimization method. To identify the change of channel situation between NLOS and LOS, a low complexity identification method based on innovation vectors is proposed. Numerical results illustrate that the location errors of the proposed algorithm are all significantly smaller than those of the iterated NLOS EKF algorithm and the conventional EKF algorithm in different LOS/NLOS conditions. Moreover, this location method does not require any statistical distribution knowledge of the NLOS error. In addition, complexity experiments suggest that this algorithm supports real-time applications.
Machine learning of radial basis function neural network based on Kalman filter: Introduction
Directory of Open Access Journals (Sweden)
Vuković Najdan L.
2014-01-01
Full Text Available This paper analyzes machine learning of radial basis function neural network based on Kalman filtering. Three algorithms are derived: linearized Kalman filter, linearized information filter and unscented Kalman filter. We emphasize basic properties of these estimation algorithms, demonstrate how their advantages can be used for optimization of network parameters, derive mathematical models and show how they can be applied to model problems in engineering practice.
Stochastic Optimal Estimation with Fuzzy Random Variables and Fuzzy Kalman Filtering
Institute of Scientific and Technical Information of China (English)
FENG Yu-hu
2005-01-01
By constructing a mean-square performance index in the case of fuzzy random variable, the optimal estimation theorem for unknown fuzzy state using the fuzzy observation data are given. The state and output of linear discrete-time dynamic fuzzy system with Gaussian noise are Gaussian fuzzy random variable sequences. An approach to fuzzy Kalman filtering is discussed. Fuzzy Kalman filtering contains two parts: a real-valued non-random recurrence equation and the standard Kalman filtering.
Constrained evolution in numerical relativity
Anderson, Matthew William
The strongest potential source of gravitational radiation for current and future detectors is the merger of binary black holes. Full numerical simulation of such mergers can provide realistic signal predictions and enhance the probability of detection. Numerical simulation of the Einstein equations, however, is fraught with difficulty. Stability even in static test cases of single black holes has proven elusive. Common to unstable simulations is the growth of constraint violations. This work examines the effect of controlling the growth of constraint violations by solving the constraints periodically during a simulation, an approach called constrained evolution. The effects of constrained evolution are contrasted with the results of unconstrained evolution, evolution where the constraints are not solved during the course of a simulation. Two different formulations of the Einstein equations are examined: the standard ADM formulation and the generalized Frittelli-Reula formulation. In most cases constrained evolution vastly improves the stability of a simulation at minimal computational cost when compared with unconstrained evolution. However, in the more demanding test cases examined, constrained evolution fails to produce simulations with long-term stability in spite of producing improvements in simulation lifetime when compared with unconstrained evolution. Constrained evolution is also examined in conjunction with a wide variety of promising numerical techniques, including mesh refinement and overlapping Cartesian and spherical computational grids. Constrained evolution in boosted black hole spacetimes is investigated using overlapping grids. Constrained evolution proves to be central to the host of innovations required in carrying out such intensive simulations.
National Research Council Canada - National Science Library
Drazin, P. G
1992-01-01
This book is an introduction to the theories of bifurcation and chaos. It treats the solution of nonlinear equations, especially difference and ordinary differential equations, as a parameter varies...
Gasinski, Leszek
2005-01-01
Hausdorff Measures and Capacity. Lebesgue-Bochner and Sobolev Spaces. Nonlinear Operators and Young Measures. Smooth and Nonsmooth Analysis and Variational Principles. Critical Point Theory. Eigenvalue Problems and Maximum Principles. Fixed Point Theory.
Secure Fusion Estimation for Bandwidth Constrained Cyber-Physical Systems Under Replay Attacks.
Chen, Bo; Ho, Daniel W C; Hu, Guoqiang; Yu, Li; Bo Chen; Ho, Daniel W C; Guoqiang Hu; Li Yu; Chen, Bo; Ho, Daniel W C; Hu, Guoqiang; Yu, Li
2018-06-01
State estimation plays an essential role in the monitoring and supervision of cyber-physical systems (CPSs), and its importance has made the security and estimation performance a major concern. In this case, multisensor information fusion estimation (MIFE) provides an attractive alternative to study secure estimation problems because MIFE can potentially improve estimation accuracy and enhance reliability and robustness against attacks. From the perspective of the defender, the secure distributed Kalman fusion estimation problem is investigated in this paper for a class of CPSs under replay attacks, where each local estimate obtained by the sink node is transmitted to a remote fusion center through bandwidth constrained communication channels. A new mathematical model with compensation strategy is proposed to characterize the replay attacks and bandwidth constrains, and then a recursive distributed Kalman fusion estimator (DKFE) is designed in the linear minimum variance sense. According to different communication frameworks, two classes of data compression and compensation algorithms are developed such that the DKFEs can achieve the desired performance. Several attack-dependent and bandwidth-dependent conditions are derived such that the DKFEs are secure under replay attacks. An illustrative example is given to demonstrate the effectiveness of the proposed methods.
Energy Technology Data Exchange (ETDEWEB)
Pike, D.H.; Morrison, G.W.; Westley, G.W.
1977-10-01
The feasibility of using modern state estimation techniques (specifically Kalman Filtering and Linear Smoothing) to detect losses of material from material balance areas is evaluated. It is shown that state estimation techniques are not only feasible but in most situations are superior to existing methods of analysis. The various techniques compared include Kalman Filtering, linear smoothing, standard control charts, and average cumulative summation (CUSUM) charts. Analysis results indicated that the standard control chart is the least effective method for detecting regularly occurring losses. An improvement in the detection capability over the standard control chart can be realized by use of the CUSUM chart. Even more sensitivity in the ability to detect losses can be realized by use of the Kalman Filter and the linear smoother. It was found that the error-covariance matrix can be used to establish limits of error for state estimates. It is shown that state estimation techniques represent a feasible and desirable method of theft detection. The technique is usually more sensitive than the CUSUM chart in detecting losses. One kind of loss which is difficult to detect using state estimation techniques is a single isolated loss. State estimation procedures are predicated on dynamic models and are well-suited for detecting losses which occur regularly over several accounting periods. A single isolated loss does not conform to this basic assumption and is more difficult to detect.
Nonlinear Filtering Techniques Comparison for Battery State Estimation
Directory of Open Access Journals (Sweden)
Aspasia Papazoglou
2014-09-01
Full Text Available The performance of estimation algorithms is vital for the correct functioning of batteries in electric vehicles, as poor estimates will inevitably jeopardize the operations that rely on un-measurable quantities, such as State of Charge and State of Health. This paper compares the performance of three nonlinear estimation algorithms: the Extended Kalman Filter, the Unscented Kalman Filter and the Particle Filter, where a lithium-ion cell model is considered. The effectiveness of these algorithms is measured by their ability to produce accurate estimates against their computational complexity in terms of number of operations and execution time required. The trade-offs between estimators' performance and their computational complexity are analyzed.
Ballabrera-Poy, Joaquim; Busalacchi, Antonio J.; Murtugudde, Ragu
2000-01-01
A reduced order Kalman Filter, based on a simplification of the Singular Evolutive Extended Kalman (SEEK) filter equations, is used to assimilate observed fields of the surface wind stress, sea surface temperature and sea level into the nonlinear coupled ocean-atmosphere model. The SEEK filter projects the Kalman Filter equations onto a subspace defined by the eigenvalue decomposition of the error forecast matrix, allowing its application to high dimensional systems. The Zebiak and Cane model couples a linear reduced gravity ocean model with a single vertical mode atmospheric model of Zebiak. The compatibility between the simplified physics of the model and each observed variable is studied separately and together. The results show the ability of the model to represent the simultaneous value of the wind stress, SST and sea level, when the fields are limited to the latitude band 10 deg S - 10 deg N. In this first application of the Kalman Filter to a coupled ocean-atmosphere prediction model, the sea level fields are assimilated in terms of the Kelvin and Rossby modes of the thermocline depth anomaly. An estimation of the error of these modes is derived from the projection of an estimation of the sea level error over such modes. This method gives a value of 12 for the error of the Kelvin amplitude, and 6 m of error for the Rossby component of the thermocline depth. The ability of the method to reconstruct the state of the equatorial Pacific and predict its time evolution is demonstrated. The method is shown to be quite robust for predictions I up to six months, and able to predict the onset of the 1997 warm event fifteen months before its occurrence.
Directory of Open Access Journals (Sweden)
M. De la Sen
2017-01-01
Full Text Available This paper formulates an “ad hoc” robust version under parametrical disturbances of the discrete version of the Kalman-Yakubovich-Popov Lemma for a class of positive hybrid dynamic linear systems which consist of a continuous-time system coupled with a discrete-time or a digital one. An extended discrete system, whose state vector contains both the digital one and the discretization of the continuous-time one at sampling instants, is a key analysis element in the formulation. The hyperstability and asymptotic hyperstability properties of the studied class of positive hybrid systems under feedback from any member of a nonlinear (and, eventually, time-varying class of controllers, which satisfies a Popov’s-type inequality, are also investigated as linked to the positive realness of the associated transfer matrices.
Raitoharju, Matti; Nurminen, Henri; Piché, Robert
2015-12-01
Indoor positioning based on wireless local area network (WLAN) signals is often enhanced using pedestrian dead reckoning (PDR) based on an inertial measurement unit. The state evolution model in PDR is usually nonlinear. We present a new linear state evolution model for PDR. In simulated-data and real-data tests of tightly coupled WLAN-PDR positioning, the positioning accuracy with this linear model is better than with the traditional models when the initial heading is not known, which is a common situation. The proposed method is computationally light and is also suitable for smoothing. Furthermore, we present modifications to WLAN positioning based on Gaussian coverage areas and show how a Kalman filter using the proposed model can be used for integrity monitoring and (re)initialization of a particle filter.
Lightweight cryptography for constrained devices
DEFF Research Database (Denmark)
Alippi, Cesare; Bogdanov, Andrey; Regazzoni, Francesco
2014-01-01
Lightweight cryptography is a rapidly evolving research field that responds to the request for security in resource constrained devices. This need arises from crucial pervasive IT applications, such as those based on RFID tags where cost and energy constraints drastically limit the solution...... complexity, with the consequence that traditional cryptography solutions become too costly to be implemented. In this paper, we survey design strategies and techniques suitable for implementing security primitives in constrained devices....
Estimation of water level and steam temperature using ensemble Kalman filter square root (EnKF-SR)
Herlambang, T.; Mufarrikoh, Z.; Karya, D. F.; Rahmalia, D.
2018-04-01
The equipment unit which has the most vital role in the steam-powered electric power plant is boiler. Steam drum boiler is a tank functioning to separate fluida into has phase and liquid phase. The existence in boiler system has a vital role. The controlled variables in the steam drum boiler are water level and the steam temperature. If the water level is higher than the determined level, then the gas phase resulted will contain steam endangering the following process and making the resulted steam going to turbine get less, and the by causing damages to pipes in the boiler. On the contrary, if less than the height of determined water level, the resulted height will result in dry steam likely to endanger steam drum. Thus an error was observed between the determined. This paper studied the implementation of the Ensemble Kalman Filter Square Root (EnKF-SR) method in nonlinear model of the steam drum boiler equation. The computation to estimate the height of water level and the temperature of steam was by simulation using Matlab software. Thus an error was observed between the determined water level and the steam temperature, and that of estimated water level and steam temperature. The result of simulation by Ensemble Kalman Filter Square Root (EnKF-SR) on the nonlinear model of steam drum boiler showed that the error was less than 2%. The implementation of EnKF-SR on the steam drum boiler r model comprises of three simulations, each of which generates 200, 300 and 400 ensembles. The best simulation exhibited the error between the real condition and the estimated result, by generating 400 ensemble. The simulation in water level in order of 0.00002145 m, whereas in the steam temperature was some 0.00002121 kelvin.
Nonlinear predictive control in the LHC accelerator
Blanco, E; Cristea, S; Casas, J
2009-01-01
This paper describes the application of a nonlinear model-based control strategy in a real challenging process. A predictive controller based on a nonlinear model derived from physical relationships, mainly heat and mass balances, has been developed and commissioned in the inner triplet heat exchanger unit (IT-HXTU) of the large hadron collider (LHC) particle accelerator at European Center for Nuclear Research (CERN). The advanced regulation\\ maintains the magnets temperature at about 1.9 K. The development includes a constrained nonlinear state estimator with a receding horizon estimation procedure to improve the regulator predictions.
An Efficient State–Parameter Filtering Scheme Combining Ensemble Kalman and Particle Filters
Ait-El-Fquih, Boujemaa
2017-12-11
This work addresses the state-parameter filtering problem for dynamical systems with relatively large-dimensional state and low-dimensional parameters\\' vector. A Bayesian filtering algorithm combining the strengths of the particle filter (PF) and the ensemble Kalman filter (EnKF) is proposed. At each assimilation cycle of the proposed EnKF-PF, the PF is first used to sample the parameters\\' ensemble followed by the EnKF to compute the state ensemble conditional on the resulting parameters\\' ensemble. The proposed scheme is expected to be more efficient than the traditional state augmentation techniques, which suffer from the curse of dimensionality and inconsistency that is particularly pronounced when the state is a strongly nonlinear function of the parameters. In the new scheme, the EnKF and PF interact via their ensembles\\' members, in contrast with the recently introduced two-stage EnKF-PF (TS-EnKF-PF), which exchanges point estimates between EnKF and PF while requiring almost double the computational load. Numerical experiments are conducted with the Lorenz-96 model to assess the behavior of the proposed filter and to evaluate its performances against the joint PF, joint EnKF, and TS-EnKF-PF. Numerical results suggest that the EnKF-PF performs best in all tested scenarios. It was further found to be more robust, successfully estimating both state and parameters in different sensitivity experiments.
Identification of lead acid battery parameters using kalman filtering in photovoltaic system
International Nuclear Information System (INIS)
Boutte, Aissa
2006-01-01
The conventional methods of battery identification parameters consist in estimating the state of charge (SOC), and in establishing a command adapted to charge or to discharge the battery, based on electrical model developed with fixed parameters, These methods are inefficient. The causes of this ineffectiveness are different: In the first place model does not adapt itself with the battery (fixed parameters, lack of modulated parameters, a big non-linearity ...).Secondly, the impossibility for the developed algorithms, to adapt itself with the change of the battery's parameters. New models of identification are used by combining the conventional methods with adaptive and dynamic techniques. They already used in other domains where they have proved a good efficiency and a robustness. Taking into consideration the problems mentioned, and trying to resolve them, we have chosen among the various methods of estimation, Kalman filter (KF) known for its efficiency, in the field of tracking parameters. In this work we try tp represent new ideas, to identify battery parameters using KF method and make an experimental analysis of the performance of this method by using Lead Acid Battery, which is a part of a photovoltaic system (PV).(Author)
An Efficient State–Parameter Filtering Scheme Combining Ensemble Kalman and Particle Filters
Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2017-01-01
This work addresses the state-parameter filtering problem for dynamical systems with relatively large-dimensional state and low-dimensional parameters' vector. A Bayesian filtering algorithm combining the strengths of the particle filter (PF) and the ensemble Kalman filter (EnKF) is proposed. At each assimilation cycle of the proposed EnKF-PF, the PF is first used to sample the parameters' ensemble followed by the EnKF to compute the state ensemble conditional on the resulting parameters' ensemble. The proposed scheme is expected to be more efficient than the traditional state augmentation techniques, which suffer from the curse of dimensionality and inconsistency that is particularly pronounced when the state is a strongly nonlinear function of the parameters. In the new scheme, the EnKF and PF interact via their ensembles' members, in contrast with the recently introduced two-stage EnKF-PF (TS-EnKF-PF), which exchanges point estimates between EnKF and PF while requiring almost double the computational load. Numerical experiments are conducted with the Lorenz-96 model to assess the behavior of the proposed filter and to evaluate its performances against the joint PF, joint EnKF, and TS-EnKF-PF. Numerical results suggest that the EnKF-PF performs best in all tested scenarios. It was further found to be more robust, successfully estimating both state and parameters in different sensitivity experiments.
Directory of Open Access Journals (Sweden)
Tamer Mekky Ahmed Habib
2014-06-01
Full Text Available The main goal of this research is to establish spacecraft orbit and attitude control algorithms based on extended Kalman filter which provides estimates of spacecraft orbital and attitude states. The control and estimation algorithms must be capable of dealing with the spacecraft conditions during the detumbling and attitude acquisition modes of operation. These conditions are characterized by nonlinearities represented by large initial attitude angles, large initial angular velocities, large initial attitude estimation error, and large initial position estimation error. All of the developed estimation and control algorithms are suitable for application to the next Egyptian scientific satellite, EGYPTSAT-2. The parameters of the case-study spacecraft are similar but not identical to the former Egyptian satellite EGYPTSAT-1. This is done because the parameters of EGYPTSAT-2 satellite have not been consolidated yet. The sensors utilized are gyro, magnetometer, and GPS. Gyro and magnetometer are utilized to provide measurements for the estimates of spacecraft attitude state vector where as magnetometer and GPS are utilized to provide measurements for the estimates of spacecraft orbital state vector.
A novel spatiotemporal muscle activity imaging approach based on the Extended Kalman Filter.
Wang, Jing; Zhang, Yingchun; Zhu, Xiangjun; Zhou, Ping; Liu, Chenguang; Rymer, William Z
2012-01-01
A novel spatiotemporal muscle activity imaging (sMAI) approach has been developed using the Extended Kalman Filter (EKF) to reconstruct internal muscle activities from non-invasive multi-channel surface electromyogram (sEMG) recordings. A distributed bioelectric dipole source model is employed to describe the internal muscle activity space, and a linear relationship between the muscle activity space and the sEMG measurement space is then established. The EKF is employed to recursively solve the ill-posed inverse problem in the sMAI approach, in which the weighted minimum norm (WMN) method is utilized to calculate the initial state and a new nonlinear method is developed based on the propagating features of muscle activities to predict the recursive state. A series of computer simulations was conducted to test the performance of the proposed sMAI approach. Results show that the localization error rapidly decreases over 35% and the overlap ratio rapidly increases over 45% compared to the results achieved using the WMN method only. The present promising results demonstrate the feasibility of utilizing the proposed EKF-based sMAI approach to accurately reconstruct internal muscle activities from non-invasive sEMG recordings.
Noninvasive estimation of global activation sequence using the extended Kalman filter.
Liu, Chenguang; He, Bin
2011-03-01
A new algorithm for 3-D imaging of the activation sequence from noninvasive body surface potentials is proposed. After formulating the nonlinear relationship between the 3-D activation sequence and the body surface recordings during activation, the extended Kalman filter (EKF) is utilized to estimate the activation sequence in a recursive way. The state vector containing the activation sequence is optimized during iteration by updating the error variance/covariance matrix. A new regularization scheme is incorporated into the "predict" procedure of EKF to tackle the ill-posedness of the inverse problem. The EKF-based algorithm shows good performance in simulation under single-site pacing. Between the estimated activation sequences and true values, the average correlation coefficient (CC) is 0.95, and the relative error (RE) is 0.13. The average localization error (LE) when localizing the pacing site is 3.0 mm. Good results are also obtained under dual-site pacing (CC = 0.93, RE = 0.16, and LE = 4.3 mm). Furthermore, the algorithm shows robustness to noise. The present promising results demonstrate that the proposed EKF-based inverse approach can noninvasively estimate the 3-D activation sequence with good accuracy and the new algorithm shows good features due to the application of EKF.
Flutter analysis of an airfoil with multiple nonlinearities and uncertainties
Directory of Open Access Journals (Sweden)
Haitao Liao
2013-09-01
Full Text Available An original method for calculating the limit cycle oscillations of nonlinear aero-elastic system is presented. The problem of determining the maximum vibration amplitude of limit cycle is transformed into a nonlinear optimization problem. The harmonic balance method and the Floquet theory are selected to construct the general nonlinear equality and inequality constraints. The resulting constrained maximization problem is then solved by using the MultiStart algorithm. Finally, the proposed approach is validated and used to analyse the limit cycle oscillations of an airfoil with multiple nonlinearities and uncertainties. Numerical examples show that the coexistence of multiple nonlinearities may lead to low amplitude limit cycle oscillation.
Luo, Xiaodong; Hoteit, Ibrahim
2014-01-01
-space-based strategy, called residual nudging, to improve the stability of the EnKF when dealing with linear observation operators. The main idea behind residual nudging is to monitor and, if necessary, adjust the distances (misfits) between the real observations
Kalman filter for statistical monitoring of forest cover across sub-continental regions
Raymond L. Czaplewski
1991-01-01
The Kalman filter is a multivariate generalization of the composite estimator which recursively combines a current direct estimate with a past estimate that is updated for expected change over time with a prediction model. The Kalman filter can estimate proportions of different cover types for sub-continental regions each year. A random sample of high-resolution...
Improved Kalman Filter Method for Measurement Noise Reduction in Multi Sensor RFID Systems
Directory of Open Access Journals (Sweden)
Min Chul Kim
2011-10-01
Full Text Available Recently, the range of available Radio Frequency Identification (RFID tags has been widened to include smart RFID tags which can monitor their varying surroundings. One of the most important factors for better performance of smart RFID system is accurate measurement from various sensors. In the multi-sensing environment, some noisy signals are obtained because of the changing surroundings. We propose in this paper an improved Kalman filter method to reduce noise and obtain correct data. Performance of Kalman filter is determined by a measurement and system noise covariance which are usually called the R and Q variables in the Kalman filter algorithm. Choosing a correct R and Q variable is one of the most important design factors for better performance of the Kalman filter. For this reason, we proposed an improved Kalman filter to advance an ability of noise reduction of the Kalman filter. The measurement noise covariance was only considered because the system architecture is simple and can be adjusted by the neural network. With this method, more accurate data can be obtained with smart RFID tags. In a simulation the proposed improved Kalman filter has 40.1%, 60.4% and 87.5% less Mean Squared Error (MSE than the conventional Kalman filter method for a temperature sensor, humidity sensor and oxygen sensor, respectively. The performance of the proposed method was also verified with some experiments.
Autonomous underwater vehicle motion tracking using a Kalman filter for sensor fusion
CSIR Research Space (South Africa)
Holtzhausen, S
2008-11-01
Full Text Available it will be shown how a Kalman Filter is used to estimate the position of an autonomous vehicle in a three dimensional space. The Kalman filter is used to estimate movement and position using measurements from multiple sensors...
Improving short-range ensemble Kalman storm surge forecasting using robust adaptive inflation
Altaf, M.U.; Butler, T.; Luo, X.; Dawson, C.; Mayo, T.; Hoteit, I.
2013-01-01
This paper presents a robust ensemble filtering methodology for storm surge forecasting based on the singular evolutive interpolated Kalman (SEIK) filter, which has been implemented in the framework of the H? filter. By design, an H? filter is more robust than the common Kalman filter in the sense
Improved Kalman filter method for measurement noise reduction in multi sensor RFID systems.
Eom, Ki Hwan; Lee, Seung Joon; Kyung, Yeo Sun; Lee, Chang Won; Kim, Min Chul; Jung, Kyung Kwon
2011-01-01
Recently, the range of available radio frequency identification (RFID) tags has been widened to include smart RFID tags which can monitor their varying surroundings. One of the most important factors for better performance of smart RFID system is accurate measurement from various sensors. In the multi-sensing environment, some noisy signals are obtained because of the changing surroundings. We propose in this paper an improved Kalman filter method to reduce noise and obtain correct data. Performance of Kalman filter is determined by a measurement and system noise covariance which are usually called the R and Q variables in the Kalman filter algorithm. Choosing a correct R and Q variable is one of the most important design factors for better performance of the Kalman filter. For this reason, we proposed an improved Kalman filter to advance an ability of noise reduction of the Kalman filter. The measurement noise covariance was only considered because the system architecture is simple and can be adjusted by the neural network. With this method, more accurate data can be obtained with smart RFID tags. In a simulation the proposed improved Kalman filter has 40.1%, 60.4% and 87.5% less mean squared error (MSE) than the conventional Kalman filter method for a temperature sensor, humidity sensor and oxygen sensor, respectively. The performance of the proposed method was also verified with some experiments.
Applying Kalman filtering to investigate tropospheric effects in VLBI
Soja, Benedikt; Nilsson, Tobias; Karbon, Maria; Heinkelmann, Robert; Liu, Li; Lu, Cuixian; Andres Mora-Diaz, Julian; Raposo-Pulido, Virginia; Xu, Minghui; Schuh, Harald
2014-05-01
Very Long Baseline Interferometry (VLBI) currently provides results, e.g., estimates of the tropospheric delays, with a delay of more than two weeks. In the future, with the coming VLBI2010 Global Observing System (VGOS) and increased usage of electronic data transfer, it is planned that the time between observations and results is decreased. This may, for instance, allow the integration of VLBI-derived tropospheric delays into numerical weather prediction models. Therefore, future VLBI analysis software packages need to be able to process the observational data autonomously in near real-time. For this purpose, we have extended the Vienna VLBI Software (VieVS) by a Kalman filter module. This presentation describes the filter and discusses its application for tropospheric studies. Instead of estimating zenith wet delays as piece-wise linear functions in a least-squares adjustment, the Kalman filter allows for more sophisticated stochastic modeling. We start with a random walk process to model the time-dependent behavior of the zenith wet delays. Other possible approaches include the stochastic model described by turbulence theory, e.g. the model by Treuhaft and Lanyi (1987). Different variance-covariance matrices of the prediction error, depending on the time of the year and the geographic latitude, have been tested. In winter and closer to the poles, lower variances and covariances are appropriate. The horizontal variations in tropospheric delays have been investigated by comparing three different strategies: assumption of a horizontally stratified troposphere, using north and south gradients modeled, e.g., as Gauss-Markov processes, and applying a turbulence model assuming correlations between observations in different azimuths. By conducting Monte-Carlo simulations of current standard VLBI networks and of future VGOS networks, the different tropospheric modeling strategies are investigated. For this purpose, we use the simulator module of VieVS which takes into
Series load induction heating inverter state estimator using Kalman filter
Directory of Open Access Journals (Sweden)
Szelitzky T.
2011-12-01
Full Text Available LQR and H2 controllers require access to the states of the controlled system. The method based on description function with Fourier series results in a model with immeasurable states. For this reason, we proposed a Kalman filter based state estimator, which not only filters the input signals, but also computes the unobservable states of the system. The algorithm of the filter was implemented in LabVIEW v8.6 and tested on recorded data obtained from a 10-40 kHz series load frequency controlled induction heating inverter.
Acoustic cardiac signals analysis: a Kalman filter–based approach
Directory of Open Access Journals (Sweden)
Salleh SH
2012-06-01
Full Text Available Sheik Hussain Salleh,1 Hadrina Sheik Hussain,2 Tan Tian Swee,2 Chee-Ming Ting,2 Alias Mohd Noor,2 Surasak Pipatsart,3 Jalil Ali,4 Preecha P Yupapin31Department of Biomedical Instrumentation and Signal Processing, Universiti Teknologi Malaysia, Skudai, Malaysia; 2Centre for Biomedical Engineering Transportation Research Alliance, Universiti Teknologi Malaysia, Johor Bahru, Malaysia; 3Nanoscale Science and Engineering Research Alliance, King Mongkut's Institute of Technology Ladkrabang, Bangkok, Thailand; 4Institute of Advanced Photonics Science, Universiti Teknologi Malaysia, Johor Bahru, MalaysiaAbstract: Auscultation of the heart is accompanied by both electrical activity and sound. Heart auscultation provides clues to diagnose many cardiac abnormalities. Unfortunately, detection of relevant symptoms and diagnosis based on heart sound through a stethoscope is difficult. The reason GPs find this difficult is that the heart sounds are of short duration and separated from one another by less than 30 ms. In addition, the cost of false positives constitutes wasted time and emotional anxiety for both patient and GP. Many heart diseases cause changes in heart sound, waveform, and additional murmurs before other signs and symptoms appear. Heart-sound auscultation is the primary test conducted by GPs. These sounds are generated primarily by turbulent flow of blood in the heart. Analysis of heart sounds requires a quiet environment with minimum ambient noise. In order to address such issues, the technique of denoising and estimating the biomedical heart signal is proposed in this investigation. Normally, the performance of the filter naturally depends on prior information related to the statistical properties of the signal and the background noise. This paper proposes Kalman filtering for denoising statistical heart sound. The cycles of heart sounds are certain to follow first-order Gauss–Markov process. These cycles are observed with additional noise
Scheme of adaptive polarization filtering based on Kalman model
Institute of Scientific and Technical Information of China (English)
Song Lizhong; Qi Haiming; Qiao Xiaolin; Meng Xiande
2006-01-01
A new kind of adaptive polarization filtering algorithm in order to suppress the angle cheating interference for the active guidance radar is presented. The polarization characteristic of the interference is dynamically tracked by using Kalman estimator under variable environments with time. The polarization filter parameters are designed according to the polarization characteristic of the interference, and the polarization filtering is finished in the target cell. The system scheme of adaptive polarization filter is studied and the tracking performance of polarization filter and improvement of angle measurement precision are simulated. The research results demonstrate this technology can effectively suppress the angle cheating interference in guidance radar and is feasible in engineering.
Kalman filtering for time-delayed linear systems
Institute of Scientific and Technical Information of China (English)
LU Xiao; WANG Wei
2006-01-01
This paper is to study the linear minimum variance estimation for discrete- time systems. A simple approach to the problem is presented by developing re-organized innovation analysis for the systems with instantaneous and double time-delayed measurements. It is shown that the derived estimator involves solving three different standard Kalman filtering with the same dimension as the original system. The obtained results form the basis for solving some complicated problems such as H∞ fixed-lag smoothing, preview control, H∞ filtering and control with time delays.
Kalman Filter for Generalized 2-D Roesser Models
Institute of Scientific and Technical Information of China (English)
SHENG Mei; ZOU Yun
2007-01-01
The design problem of the state filter for the generalized stochastic 2-D Roesser models, which appears when both the state and measurement are simultaneously subjected to the interference from white noise, is discussed. The wellknown Kalman filter design is extended to the generalized 2-D Roesser models. Based on the method of "scanning line by line", the filtering problem of generalized 2-D Roesser models with mode-energy reconstruction is solved. The formula of the optimal filtering, which minimizes the variance of the estimation error of the state vectors, is derived. The validity of the designed filter is verified by the calculation steps and the examples are introduced.
Recursive B-spline approximation using the Kalman filter
Directory of Open Access Journals (Sweden)
Jens Jauch
2017-02-01
Full Text Available This paper proposes a novel recursive B-spline approximation (RBA algorithm which approximates an unbounded number of data points with a B-spline function and achieves lower computational effort compared with previous algorithms. Conventional recursive algorithms based on the Kalman filter (KF restrict the approximation to a bounded and predefined interval. Conversely RBA includes a novel shift operation that enables to shift estimated B-spline coefficients in the state vector of a KF. This allows to adapt the interval in which the B-spline function can approximate data points during run-time.
Vision-Based Position Estimation Utilizing an Extended Kalman Filter
2016-12-01
establishing the calibration mapping. A version of Kalman Filter was developed to minimize the impact of inaccuracies in the angle measurement as well...project error covariance ahead Z = [Ang_In; Alt_In]; % Measurements % Update Jacobian h11 = -XY_est(3,1)/(XY_est(1,1)^2+XY_est(3,1)^2); h13 ...XY_est(1,1)/(XY_est(1,1)^2+XY_est(3,1)^2); H = [h11 0 h13 0; 0 0 1 0]; Z_proj(1) = atan2(XY_proj(3),XY_proj(1)); % theta - predicted Z_proj(2
Adaptive training of feedforward neural networks by Kalman filtering
International Nuclear Information System (INIS)
Ciftcioglu, Oe.
1995-02-01
Adaptive training of feedforward neural networks by Kalman filtering is described. Adaptive training is particularly important in estimation by neural network in real-time environmental where the trained network is used for system estimation while the network is further trained by means of the information provided by the experienced/exercised ongoing operation. As result of this, neural network adapts itself to a changing environment to perform its mission without recourse to re-training. The performance of the training method is demonstrated by means of actual process signals from a nuclear power plant. (orig.)
Data assimilation in integrated hydrological modeling using ensemble Kalman filtering
DEFF Research Database (Denmark)
Rasmussen, Jørn; Madsen, H.; Jensen, Karsten Høgh
2015-01-01
Groundwater head and stream discharge is assimilated using the ensemble transform Kalman filter in an integrated hydrological model with the aim of studying the relationship between the filter performance and the ensemble size. In an attempt to reduce the required number of ensemble members...... and estimating parameters requires a much larger ensemble size than just assimilating groundwater head observations. However, the required ensemble size can be greatly reduced with the use of adaptive localization, which by far outperforms distance-based localization. The study is conducted using synthetic data...
Distributed Dynamic State Estimation with Extended Kalman Filter
Energy Technology Data Exchange (ETDEWEB)
Du, Pengwei; Huang, Zhenyu; Sun, Yannan; Diao, Ruisheng; Kalsi, Karanjit; Anderson, Kevin K.; Li, Yulan; Lee, Barry
2011-08-04
Increasing complexity associated with large-scale renewable resources and novel smart-grid technologies necessitates real-time monitoring and control. Our previous work applied the extended Kalman filter (EKF) with the use of phasor measurement data (PMU) for dynamic state estimation. However, high computation complexity creates significant challenges for real-time applications. In this paper, the problem of distributed dynamic state estimation is investigated. One domain decomposition method is proposed to utilize decentralized computing resources. The performance of distributed dynamic state estimation is tested on a 16-machine, 68-bus test system.
Swarm Underwater Acoustic 3D Localization: Kalman vs Monte Carlo
Directory of Open Access Journals (Sweden)
Sergio Taraglio
2015-07-01
Full Text Available Two three-dimensional localization algorithms for a swarm of underwater vehicles are presented. The first is grounded on an extended Kalman filter (EKF scheme used to fuse some proprioceptive data such as the vessel's speed and some exteroceptive measurements such as the time of flight (TOF sonar distance of the companion vessels. The second is a Monte Carlo particle filter localization processing the same sensory data suite. The results of several simulations using the two approaches are presented, with comparison. The case of a supporting surface vessel is also considered. An analysis of the robustness of the two approaches against some system parameters is given.
Application of extended Kalman filter to identification of enzymatic deactivation.
Caminal, G; Lafuente, J; López-Santín, J; Poch, M; Solà, C
1987-02-01
A recursive estimation scheme, the Extended Kalman Filter (EKF) technique, was applied to study enzymatic deactivation in the enzymatic hydrolysis of pretreated cellulose using a model previously developed by the authors. When no deactivation model was assumed, the results showed no variation with time for all the model parameters except for the maximum rate of cellobiose-to-glucose conversion (r'(m)).The r'(m) variation occurred in two zones with a grace period. A new model of enzymatic hydrolysis of pretreated cellulose deactivation was proposed and validated showing better behavior than the old deactivation model. This approach allows one to study enzyme deactivation without additional experiments and within operational conditions.
Nonlinear (super)symmetries and amplitudes
Energy Technology Data Exchange (ETDEWEB)
Kallosh, Renata [Physics Department, Stanford University,382 Via Pueblo Mall, Stanford, CA 94305-4060 (United States)
2017-03-07
There is an increasing interest in nonlinear supersymmetries in cosmological model building. Independently, elegant expressions for the all-tree amplitudes in models with nonlinear symmetries, like D3 brane Dirac-Born-Infeld-Volkov-Akulov theory, were recently discovered. Using the generalized background field method we show how, in general, nonlinear symmetries of the action, bosonic and fermionic, constrain amplitudes beyond soft limits. The same identities control, for example, bosonic E{sub 7(7)} scalar sector symmetries as well as the fermionic goldstino symmetries. We present a universal derivation of the vanishing amplitudes in the single (bosonic or fermionic) soft limit. We explain why, universally, the double-soft limit probes the coset space algebra. We also provide identities describing the multiple-soft limit. We discuss loop corrections to N≥5 supergravity, to the D3 brane, and the UV completion of constrained multiplets in string theory.
Deep Kalman Filter: Simultaneous Multi-Sensor Integration and Modelling; A GNSS/IMU Case Study
Directory of Open Access Journals (Sweden)
Siavash Hosseinyalamdary
2018-04-01
Full Text Available Bayes filters, such as the Kalman and particle filters, have been used in sensor fusion to integrate two sources of information and obtain the best estimate of unknowns. The efficient integration of multiple sensors requires deep knowledge of their error sources. Some sensors, such as Inertial Measurement Unit (IMU, have complicated error sources. Therefore, IMU error modelling and the efficient integration of IMU and Global Navigation Satellite System (GNSS observations has remained a challenge. In this paper, we developed deep Kalman filter to model and remove IMU errors and, consequently, improve the accuracy of IMU positioning. To achieve this, we added a modelling step to the prediction and update steps of the Kalman filter, so that the IMU error model is learned during integration. The results showed our deep Kalman filter outperformed the conventional Kalman filter and reached a higher level of accuracy.
Deep Kalman Filter: Simultaneous Multi-Sensor Integration and Modelling; A GNSS/IMU Case Study.
Hosseinyalamdary, Siavash
2018-04-24
Bayes filters, such as the Kalman and particle filters, have been used in sensor fusion to integrate two sources of information and obtain the best estimate of unknowns. The efficient integration of multiple sensors requires deep knowledge of their error sources. Some sensors, such as Inertial Measurement Unit (IMU), have complicated error sources. Therefore, IMU error modelling and the efficient integration of IMU and Global Navigation Satellite System (GNSS) observations has remained a challenge. In this paper, we developed deep Kalman filter to model and remove IMU errors and, consequently, improve the accuracy of IMU positioning. To achieve this, we added a modelling step to the prediction and update steps of the Kalman filter, so that the IMU error model is learned during integration. The results showed our deep Kalman filter outperformed the conventional Kalman filter and reached a higher level of accuracy.
Wang, Yiwei; Binaud, Nicolas; Gogu, Christian; Bes, Christian; Fu, Jian
2016-12-01
Prediction of fatigue crack length in aircraft fuselage panels is one of the key issues for aircraft structural safety since it helps prevent catastrophic failures. Accurate estimation of crack length propagation is also meaningful for helping develop aircraft maintenance strategies. Paris' law is often used to capture the dynamics of fatigue crack propagation in metallic material. However, uncertainties are often present in the crack growth model, measured crack size and pressure differential in each flight and need to be accounted for accurate prediction. The aim of this paper is to estimate the two unknown Paris' law constants m and C as well as the crack length evolution by taking into account these uncertainties. Due to the nonlinear nature of the Paris' law, we propose here an on-line estimation algorithm based on two widespread nonlinear filtering techniques, Extended Kalman filter (EKF) and Unscented Kalman filter (UKF). The numerical experiments indicate that both EKF and UKF estimated the crack length well and accurately identified the unknown parameters. Although UKF is theoretical superior to EKF, in this Paris' law application EKF is comparable in accuracy to UKF and requires less computational expense.
Attitude Estimation Using Kalman Filtering: External Acceleration Compensation Considerations
Directory of Open Access Journals (Sweden)
Romy Budhi Widodo
2016-01-01
Full Text Available Attitude estimation is often inaccurate during highly dynamic motion due to the external acceleration. This paper proposes extended Kalman filter-based attitude estimation using a new algorithm to overcome the external acceleration. This algorithm is based on an external acceleration compensation model to be used as a modifying parameter in adjusting the measurement noise covariance matrix of the extended Kalman filter. The experiment was conducted to verify the estimation accuracy, that is, one-axis and multiple axes sensor movement. Five approaches were used to test the estimation of the attitude: (1 the KF-based model without compensating for external acceleration, (2 the proposed KF-based model which employs the external acceleration compensation model, (3 the two-step KF using weighted-based switching approach, (4 the KF-based model which uses the threshold-based approach, and (5 the KF-based model which uses the threshold-based approach combined with a softened part approach. The proposed algorithm showed high effectiveness during the one-axis test. When the testing conditions employed multiple axes, the estimation accuracy increased using the proposed approach and exhibited external acceleration rejection at the right timing. The proposed algorithm has fewer parameters that need to be set at the expense of the sharpness of signal edge transition.
Gossip and Distributed Kalman Filtering: Weak Consensus Under Weak Detectability
Kar, Soummya; Moura, José M. F.
2011-04-01
The paper presents the gossip interactive Kalman filter (GIKF) for distributed Kalman filtering for networked systems and sensor networks, where inter-sensor communication and observations occur at the same time-scale. The communication among sensors is random; each sensor occasionally exchanges its filtering state information with a neighbor depending on the availability of the appropriate network link. We show that under a weak distributed detectability condition: 1. the GIKF error process remains stochastically bounded, irrespective of the instability properties of the random process dynamics; and 2. the network achieves \\emph{weak consensus}, i.e., the conditional estimation error covariance at a (uniformly) randomly selected sensor converges in distribution to a unique invariant measure on the space of positive semi-definite matrices (independent of the initial state.) To prove these results, we interpret the filtered states (estimates and error covariances) at each node in the GIKF as stochastic particles with local interactions. We analyze the asymptotic properties of the error process by studying as a random dynamical system the associated switched (random) Riccati equation, the switching being dictated by a non-stationary Markov chain on the network graph.
Ensemble Kalman filtering with one-step-ahead smoothing
Raboudi, Naila F.
2018-01-11
The ensemble Kalman filter (EnKF) is widely used for sequential data assimilation. It operates as a succession of forecast and analysis steps. In realistic large-scale applications, EnKFs are implemented with small ensembles and poorly known model error statistics. This limits their representativeness of the background error covariances and, thus, their performance. This work explores the efficiency of the one-step-ahead (OSA) smoothing formulation of the Bayesian filtering problem to enhance the data assimilation performance of EnKFs. Filtering with OSA smoothing introduces an updated step with future observations, conditioning the ensemble sampling with more information. This should provide an improved background ensemble in the analysis step, which may help to mitigate the suboptimal character of EnKF-based methods. Here, the authors demonstrate the efficiency of a stochastic EnKF with OSA smoothing for state estimation. They then introduce a deterministic-like EnKF-OSA based on the singular evolutive interpolated ensemble Kalman (SEIK) filter. The authors show that the proposed SEIK-OSA outperforms both SEIK, as it efficiently exploits the data twice, and the stochastic EnKF-OSA, as it avoids observational error undersampling. They present extensive assimilation results from numerical experiments conducted with the Lorenz-96 model to demonstrate SEIK-OSA’s capabilities.
Skew redundant MEMS IMU calibration using a Kalman filter
International Nuclear Information System (INIS)
Jafari, M; Sahebjameyan, M; Moshiri, B; Najafabadi, T A
2015-01-01
In this paper, a novel calibration procedure for skew redundant inertial measurement units (SRIMUs) based on micro-electro mechanical systems (MEMS) is proposed. A general model of the SRIMU measurements is derived which contains the effects of bias, scale factor error and misalignments. For more accuracy, the effect of lever arms of the accelerometers to the center of the table are modeled and compensated in the calibration procedure. Two separate Kalman filters (KFs) are proposed to perform the estimation of error parameters for gyroscopes and accelerometers. The predictive error minimization (PEM) stochastic modeling method is used to simultaneously model the effect of bias instability and random walk noise on the calibration Kalman filters to diminish the biased estimations. The proposed procedure is simulated numerically and has expected experimental results. The calibration maneuvers are applied using a two-axis angle turntable in a way that the persistency of excitation (PE) condition for parameter estimation is met. For this purpose, a trapezoidal calibration profile is utilized to excite different deterministic error parameters of the accelerometers and a pulse profile is used for the gyroscopes. Furthermore, to evaluate the performance of the proposed KF calibration method, a conventional least squares (LS) calibration procedure is derived for the SRIMUs and the simulation and experimental results compare the functionality of the two proposed methods with each other. (paper)
Implicit Kalman filter algorithm for nuclear reactor analysis
International Nuclear Information System (INIS)
Hassberger, J.A.; Lee, J.C.
1986-01-01
Artificial intelligence (AI) is currently the hot topic in nuclear power plant diagnostics and control. Recently, researchers have considered the use of simulation as knowledge in which faster than real-time best-estimate simulations based on first principles are tightly coupled with AI systems for analyzing power plant transients on-line. On-line simulations can be improved through a Kalman filter, a mathematical technique for obtaining the optimal estimate of a system state given the information contained in the equations of system dynamics and measurements made on the system. Filtering can be used to systemically adjust parameters of a low-order simulation model to obtain reasonable agreement between the model and actual plant dynamics. The authors present here a general Kalman filtering algorithm that derives its information of system dynamics implicitly and naturally from the discrete time step-series of state estimates available from a simulation program. Previous research has demonstrated that models adjusted on past data can be coupled with an intelligent controller to predict the future time-course of plant transients
Extracting Steady State Components from Synchrophasor Data Using Kalman Filters
Directory of Open Access Journals (Sweden)
Farhan Mahmood
2016-04-01
Full Text Available Data from phasor measurement units (PMUs may be exploited to provide steady state information to the applications which require it. As PMU measurements may contain errors and missing data, the paper presents the application of a Kalman Filter technique for real-time data processing. PMU data captures the power system’s response at different time-scales, which are generated by different types of power system events; the presented Kalman Filter methods have been applied to extract the steady state components of PMU measurements that can be fed to steady state applications. Two KF-based methods have been proposed, i.e., a windowing-based KF method and “the modified KF”. Both methods are capable of reducing noise, compensating for missing data and filtering outliers from input PMU signals. A comparison of proposed methods has been carried out using the PMU data generated from a hardware-in-the-loop (HIL experimental setup. In addition, a performance analysis of the proposed methods is performed using an evaluation metric.
Stock price estimation using ensemble Kalman Filter square root method
Karya, D. F.; Katias, P.; Herlambang, T.
2018-04-01
Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.
ERP Estimation using a Kalman Filter in VLBI
Karbon, M.; Soja, B.; Nilsson, T.; Heinkelmann, R.; Liu, L.; Lu, C.; Mora-Diaz, J. A.; Raposo-Pulido, V.; Xu, M.; Schuh, H.
2014-12-01
Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques, providing the full set of Earth Orientation Parameters (EOP), and it is unique for observing long term Universal Time (UT1). For applications such as satellite-based navigation and positioning, accurate and continuous ERP obtained in near real-time are essential. They also allow the precise tracking of interplanetary spacecraft. One of the goals of VGOS (VLBI Global Observing System) is to provide such near real-time ERP. With the launch of this next generation VLBI system, the International VLBI Service for Geodesy and Astrometry (IVS) increased its efforts not only to reach 1 mm accuracy on a global scale but also to reduce the time span between the collection of VLBI observations and the availability of the final results substantially. Project VLBI-ART contributes to these objectives by implementing an elaborate Kalman filter, which represents a perfect tool for analyzing VLBI data in quasi real-time. The goal is to implement it in the GFZ version of the Vienna VLBI Software (VieVS) as a completely automated tool, i.e., with no need for human interaction. Here we present the methodology and first results of Kalman filtered EOP from VLBI data.
Adaptive Kalman filtering for diagnosis of multiple component degradations
International Nuclear Information System (INIS)
Aumeier, S. E.; Alpay, B.; Lee, J. C.
2005-01-01
We have developed an adaptive Kalman filtering algorithm for the diagnosis of faults or degradations of multiple components in nuclear power plants. We propose to detect the presence and magnitude of the fault(s) through noisy system observations when the measurements indicate significant deviations from predictions. Our diagnostic algorithm uses the measurement residuals, i.e., the difference between the measurements and predictions, to generate a noise input to the uncertain component state in an adaptive Kalman filtering algorithm so that various postulated component transitions or degradations may be statistically represented. The diagnostic algorithm has been tested with a balance of plant (BOP) model of a boiling water reactor (BWR). We have presented a set of algorithms for the detection and diagnosis of component faults of arbitrary magnitude and type within a multi-component system. By analyzing a number of transients including the one example illustrated in the paper, we find that these algorithms are not only capable of determining the correct component fault and magnitude for single components but also they can be used to determine binary faults satisfactorily. Additional study is under way to evaluate the performance of the proposed algorithm including the sensitivity of the diagnostic time to adaptive noise matrix introduced (see equations 7 and 8 illustrated in the paper)
ECG fiducial point extraction using switching Kalman filter.
Akhbari, Mahsa; Ghahjaverestan, Nasim Montazeri; Shamsollahi, Mohammad B; Jutten, Christian
2018-04-01
In this paper, we propose a novel method for extracting fiducial points (FPs) of the beats in electrocardiogram (ECG) signals using switching Kalman filter (SKF). In this method, according to McSharry's model, ECG waveforms (P-wave, QRS complex and T-wave) are modeled with Gaussian functions and ECG baselines are modeled with first order auto regressive models. In the proposed method, a discrete state variable called "switch" is considered that affects only the observation equations. We denote a mode as a specific observation equation and switch changes between 7 modes and corresponds to different segments of an ECG beat. At each time instant, the probability of each mode is calculated and compared among two consecutive modes and a path is estimated, which shows the relation of each part of the ECG signal to the mode with the maximum probability. ECG FPs are found from the estimated path. For performance evaluation, the Physionet QT database is used and the proposed method is compared with methods based on wavelet transform, partially collapsed Gibbs sampler (PCGS) and extended Kalman filter. For our proposed method, the mean error and the root mean square error across all FPs are 2 ms (i.e. less than one sample) and 14 ms, respectively. These errors are significantly smaller than those obtained using other methods. The proposed method achieves lesser RMSE and smaller variability with respect to others. Copyright © 2018 Elsevier B.V. All rights reserved.
Medina, H.; Romano, N.; Chirico, G. B.
2014-07-01
This study presents a dual Kalman filter (DSUKF - dual standard-unscented Kalman filter) for retrieving states and parameters controlling the soil water dynamics in a homogeneous soil column, by assimilating near-surface state observations. The DSUKF couples a standard Kalman filter for retrieving the states of a linear solver of the Richards equation, and an unscented Kalman filter for retrieving the parameters of the soil hydraulic functions, which are defined according to the van Genuchten-Mualem closed-form model. The accuracy and the computational expense of the DSUKF are compared with those of the dual ensemble Kalman filter (DEnKF) implemented with a nonlinear solver of the Richards equation. Both the DSUKF and the DEnKF are applied with two alternative state-space formulations of the Richards equation, respectively differentiated by the type of variable employed for representing the states: either the soil water content (θ) or the soil water matric pressure head (h). The comparison analyses are conducted with reference to synthetic time series of the true states, noise corrupted observations, and synthetic time series of the meteorological forcing. The performance of the retrieval algorithms are examined accounting for the effects exerted on the output by the input parameters, the observation depth and assimilation frequency, as well as by the relationship between retrieved states and assimilated variables. The uncertainty of the states retrieved with DSUKF is considerably reduced, for any initial wrong parameterization, with similar accuracy but less computational effort than the DEnKF, when this is implemented with ensembles of 25 members. For ensemble sizes of the same order of those involved in the DSUKF, the DEnKF fails to provide reliable posterior estimates of states and parameters. The retrieval performance of the soil hydraulic parameters is strongly affected by several factors, such as the initial guess of the unknown parameters, the wet or dry
Constraining walking and custodial technicolor
DEFF Research Database (Denmark)
Foadi, Roshan; Frandsen, Mads Toudal; Sannino, Francesco
2008-01-01
We show how to constrain the physical spectrum of walking technicolor models via precision measurements and modified Weinberg sum rules. We also study models possessing a custodial symmetry for the S parameter at the effective Lagrangian level-custodial technicolor-and argue that these models...
Hollywood log-homotopy: movies of particle flow for nonlinear filters
Daum, Fred; Huang, Jim
2011-06-01
In this paper we show five movies of particle flow to provide insight and intuition about this new algorithm. The particles flow solves the well known and important problem of particle degeneracy. Bayes' rule is implemented by particle flow rather than as a pointwise multiplication. This theory is roughly seven orders of magnitude faster than standard particle filters, and it often beats the extended Kalman filter by two orders of magnitude in accuracy for difficult nonlinear problems.
A Disentangled Recognition and Nonlinear Dynamics Model for Unsupervised Learning
DEFF Research Database (Denmark)
Fraccaro, Marco; Kamronn, Simon Due; Paquet, Ulrich
2017-01-01
This paper takes a step towards temporal reasoning in a dynamically changing video, not in the pixel space that constitutes its frames, but in a latent space that describes the non-linear dynamics of the objects in its world. We introduce the Kalman variational auto-encoder, a framework...... for unsupervised learning of sequential data that disentangles two latent representations: an object’s representation, coming from a recognition model, and a latent state describing its dynamics. As a result, the evolution of the world can be imagined and missing data imputed, both without the need to generate...
Fillion, Anthony; Bocquet, Marc; Gratton, Serge
2018-04-01
The analysis in nonlinear variational data assimilation is the solution of a non-quadratic minimization. Thus, the analysis efficiency relies on its ability to locate a global minimum of the cost function. If this minimization uses a Gauss-Newton (GN) method, it is critical for the starting point to be in the attraction basin of a global minimum. Otherwise the method may converge to a local extremum, which degrades the analysis. With chaotic models, the number of local extrema often increases with the temporal extent of the data assimilation window, making the former condition harder to satisfy. This is unfortunate because the assimilation performance also increases with this temporal extent. However, a quasi-static (QS) minimization may overcome these local extrema. It accomplishes this by gradually injecting the observations in the cost function. This method was introduced by Pires et al. (1996) in a 4D-Var context. We generalize this approach to four-dimensional strong-constraint nonlinear ensemble variational (EnVar) methods, which are based on both a nonlinear variational analysis and the propagation of dynamical error statistics via an ensemble. This forces one to consider the cost function minimizations in the broader context of cycled data assimilation algorithms. We adapt this QS approach to the iterative ensemble Kalman smoother (IEnKS), an exemplar of nonlinear deterministic four-dimensional EnVar methods. Using low-order models, we quantify the positive impact of the QS approach on the IEnKS, especially for long data assimilation windows. We also examine the computational cost of QS implementations and suggest cheaper algorithms.
Khaki, M.; Ait-El-Fquih, B.; Hoteit, I.; Forootan, E.; Awange, J.; Kuhn, M.
2017-12-01
Assimilating Gravity Recovery And Climate Experiment (GRACE) data into land hydrological models provides a valuable opportunity to improve the models' forecasts and increases our knowledge of terrestrial water storages (TWS). The assimilation, however, may harm the consistency between hydrological water fluxes, namely precipitation, evaporation, discharge, and water storage changes. To address this issue, we propose a weak constrained ensemble Kalman filter (WCEnKF) that maintains estimated water budgets in balance with other water fluxes. Therefore, in this study, GRACE terrestrial water storages data are assimilated into the World-Wide Water Resources Assessment (W3RA) hydrological model over the Earth's land areas covering 2002-2012. Multi-mission remotely sensed precipitation measurements from the Tropical Rainfall Measuring Mission (TRMM) and evaporation products from the Moderate Resolution Imaging Spectroradiometer (MODIS), as well as ground-based water discharge measurements are applied to close the water balance equation. The proposed WCEnKF contains two update steps; first, it incorporates observations from GRACE to improve model simulations of water storages, and second, uses the additional observations of precipitation, evaporation, and water discharge to establish the water budget closure. These steps are designed to account for error information associated with the included observation sets during the assimilation process. In order to evaluate the assimilation results, in addition to monitoring the water budget closure errors, in situ groundwater measurements over the Mississippi River Basin in the US and the Murray-Darling Basin in Australia are used. Our results indicate approximately 24% improvement in the WCEnKF groundwater estimates over both basins compared to the use of (constraint-free) EnKF. WCEnKF also further reduces imbalance errors by approximately 82.53% (on average) and at the same time increases the correlations between the
Khaki, M.
2017-10-25
Assimilating Gravity Recovery And Climate Experiment (GRACE) data into land hydrological models provides a valuable opportunity to improve the models’ forecasts and increases our knowledge of terrestrial water storages (TWS). The assimilation, however, may harm the consistency between hydrological water fluxes, namely precipitation, evaporation, discharge, and water storage changes. To address this issue, we propose a weak constrained ensemble Kalman filter (WCEnKF) that maintains estimated water budgets in balance with other water fluxes. Therefore, in this study, GRACE terrestrial water storages data are assimilated into the World-Wide Water Resources Assessment (W3RA) hydrological model over the Earth’s land areas covering 2002 – 2012. Multi-mission remotely sensed precipitation measurements from the Tropical Rainfall Measuring Mission (TRMM) and evaporation products from the Moderate Resolution Imaging Spectroradiometer (MODIS), as well as ground-based water discharge measurements are applied to close the water balance equation. The proposed WCEnKF contains two update steps; first, it incorporates observations from GRACE to improve model simulations of water storages, and second, uses the additional observations of precipitation, evaporation, and water discharge to establish the water budget closure. These steps are designed to account for error information associated with the included observation sets during the assimilation process. In order to evaluate the assimilation results, in addition to monitoring the water budget closure errors, in-situ groundwater measurements over the Mississippi River Basin in the US and the Murray-Darling Basin in Australia are used. Our results indicate approximately 24% improvement in the WCEnKF groundwater estimates over both basins compared to the use of (constraint-free) EnKF. WCEnKF also further reduces imbalance errors by approximately 82.53% (on average) and at the same time increases the correlations between the
Energy Technology Data Exchange (ETDEWEB)
Viskari, T.
2012-07-01
Atmospheric aerosol particles have several important effects on the environment and human society. The exact impact of aerosol particles is largely determined by their particle size distributions. However, no single instrument is able to measure the whole range of the particle size distribution. Estimating a particle size distribution from multiple simultaneous measurements remains a challenge in aerosol physical research. Current methods to combine different measurements require assumptions concerning the overlapping measurement ranges and have difficulties in accounting for measurement uncertainties. In this thesis, Extended Kalman Filter (EKF) is presented as a promising method to estimate particle number size distributions from multiple simultaneous measurements. The particle number size distribution estimated by EKF includes information from prior particle number size distributions as propagated by a dynamical model and is based on the reliabilities of the applied information sources. Known physical processes and dynamically evolving error covariances constrain the estimate both over time and particle size. The method was tested with measurements from Differential Mobility Particle Sizer (DMPS), Aerodynamic Particle Sizer (APS) and nephelometer. The particle number concentration was chosen as the state of interest. The initial EKF implementation presented here includes simplifications, yet the results are positive and the estimate successfully incorporated information from the chosen instruments. For particle sizes smaller than 4 micrometers, the estimate fits the available measurements and smooths the particle number size distribution over both time and particle diameter. The estimate has difficulties with particles larger than 4 micrometers due to issues with both measurements and the dynamical model in that particle size range. The EKF implementation appears to reduce the impact of measurement noise on the estimate, but has a delayed reaction to sudden
Directory of Open Access Journals (Sweden)
Hongxiao Yu
2015-05-01
Full Text Available Trajectory tracking and state estimation are significant in the motion planning and intelligent vehicle control. This article focuses on the model predictive control approach for the trajectory tracking of the intelligent vehicles and state estimation of the nonlinear vehicle system. The constraints of the system states are considered when applying the model predictive control method to the practical problem, while 4-degree-of-freedom vehicle model and unscented Kalman filter are proposed to estimate the vehicle states. The estimated states of the vehicle are used to provide model predictive control with real-time control and judge vehicle stability. Furthermore, in order to decrease the cost of solving the nonlinear optimization, the linear time-varying model predictive control is used at each time step. The effectiveness of the proposed vehicle state estimation and model predictive control method is tested by driving simulator. The results of simulations and experiments show that great and robust performance is achieved for trajectory tracking and state estimation in different scenarios.
Nonlinear Elliptic Differential Equations with Multivalued Nonlinearities
Indian Academy of Sciences (India)
In this paper we study nonlinear elliptic boundary value problems with monotone and nonmonotone multivalued nonlinearities. First we consider the case of monotone nonlinearities. In the first result we assume that the multivalued nonlinearity is defined on all R R . Assuming the existence of an upper and of a lower ...
Ensemble Kalman Filter Inference of Spatially-varying Manning’s n coefficients in the Coastal Ocean
Siripatana, Adil
2018-05-16
Ensemble Kalman (EnKF) filtering is an established framework for large scale state estimation problems. EnKFs can also be used for state-parameter estimation, using the so-called “Joint-EnKF” approach. The idea is simply to augment the state vector with the parameters to be estimated and assign invariant dynamics for the time evolution of the parameters. In this contribution, we investigate the efficiency of the Joint-EnKF for estimating spatially-varying Manning’s n coefficients used to define the bottom roughness in the Shallow Water Equations (SWEs) of a coastal ocean model.Observation System Simulation Experiments (OSSEs) are conducted using the ADvanced CIRCulation (ADCIRC) model, which solves a modified form of the Shallow Water Equations. A deterministic EnKF, the Singular Evolutive Interpolated Kalman (SEIK) filter, is used to estimate a vector of Manning’s n coefficients defined at the model nodal points by assimilating synthetic water elevation data. It is found that with reasonable ensemble size (O(10)), the filter’s estimate converges to the reference Manning’s field. To enhance performance, we have further reduced the dimension of the parameter search space through a Karhunen-Loéve (KL) expansion. We have also iterated on the filter update step to better account for the nonlinearity of the parameter estimation problem. We study the sensitivity of the system to the ensemble size, localization scale, dimension of retained KL modes, and number of iterations. The performance of the proposed framework in term of estimation accuracy suggests that a well-tuned Joint-EnKF provides a promising robust approach to infer spatially varying seabed roughness parameters in the context of coastal ocean modeling.
Fundamental aspects of the Kalman filter with examples regarding load forecasting and acid rain
Energy Technology Data Exchange (ETDEWEB)
Molenaar, J.; Visser, H.
1989-02-01
Time-series analysis has become an important tool in research fields such as econometrics, medicine, environmental sciences etc. The Kalman filter is a powerful algorithm for estimation of a wide variety of time-series models. A detailed derivation of the Kalman filter formulae is presented in this contribution. It is also shown how a class of time-series models, the so-called structural models, can be estimated by the Kalman filter. Two examples related to electricity generation are described. 5 figs., 22 refs.
Improved Kalman Filter-Based Speech Enhancement with Perceptual Post-Filtering
Institute of Scientific and Technical Information of China (English)
WEIJianqiang; DULimin; YANZhaoli; ZENGHui
2004-01-01
In this paper, a Kalman filter-based speech enhancement algorithm with some improvements of previous work is presented. A new technique based on spectral subtraction is used for separation speech and noise characteristics from noisy speech and for the computation of speech and noise Autoregressive (AR) parameters. In order to obtain a Kalman filter output with high audible quality, a perceptual post-filter is placed at the output of the Kalman filter to smooth the enhanced speech spectra.Extensive experiments indicate that this newly proposed method works well.
Constrained Optimization and Optimal Control for Partial Differential Equations
Leugering, Günter; Griewank, Andreas
2012-01-01
This special volume focuses on optimization and control of processes governed by partial differential equations. The contributors are mostly participants of the DFG-priority program 1253: Optimization with PDE-constraints which is active since 2006. The book is organized in sections which cover almost the entire spectrum of modern research in this emerging field. Indeed, even though the field of optimal control and optimization for PDE-constrained problems has undergone a dramatic increase of interest during the last four decades, a full theory for nonlinear problems is still lacking. The cont
SPARSE ELECTROMAGNETIC IMAGING USING NONLINEAR LANDWEBER ITERATIONS
Desmal, Abdulla
2015-07-29
A scheme for efficiently solving the nonlinear electromagnetic inverse scattering problem on sparse investigation domains is described. The proposed scheme reconstructs the (complex) dielectric permittivity of an investigation domain from fields measured away from the domain itself. Least-squares data misfit between the computed scattered fields, which are expressed as a nonlinear function of the permittivity, and the measured fields is constrained by the L0/L1-norm of the solution. The resulting minimization problem is solved using nonlinear Landweber iterations, where at each iteration a thresholding function is applied to enforce the sparseness-promoting L0/L1-norm constraint. The thresholded nonlinear Landweber iterations are applied to several two-dimensional problems, where the ``measured\\'\\' fields are synthetically generated or obtained from actual experiments. These numerical experiments demonstrate the accuracy, efficiency, and applicability of the proposed scheme in reconstructing sparse profiles with high permittivity values.
Trends in PDE constrained optimization
Benner, Peter; Engell, Sebastian; Griewank, Andreas; Harbrecht, Helmut; Hinze, Michael; Rannacher, Rolf; Ulbrich, Stefan
2014-01-01
Optimization problems subject to constraints governed by partial differential equations (PDEs) are among the most challenging problems in the context of industrial, economical and medical applications. Almost the entire range of problems in this field of research was studied and further explored as part of the Deutsche Forschungsgemeinschaft (DFG) priority program 1253 on “Optimization with Partial Differential Equations” from 2006 to 2013. The investigations were motivated by the fascinating potential applications and challenging mathematical problems that arise in the field of PDE constrained optimization. New analytic and algorithmic paradigms have been developed, implemented and validated in the context of real-world applications. In this special volume, contributions from more than fifteen German universities combine the results of this interdisciplinary program with a focus on applied mathematics. The book is divided into five sections on “Constrained Optimization, Identification and Control”...
Performance reliability prediction for thermal aging based on kalman filtering
International Nuclear Information System (INIS)
Ren Shuhong; Wen Zhenhua; Xue Fei; Zhao Wensheng
2015-01-01
The performance reliability of the nuclear power plant main pipeline that failed due to thermal aging was studied by the performance degradation theory. Firstly, through the data obtained from the accelerated thermal aging experiments, the degradation process of the impact strength and fracture toughness of austenitic stainless steel material of the main pipeline was analyzed. The time-varying performance degradation model based on the state space method was built, and the performance trends were predicted by using Kalman filtering. Then, the multi-parameter and real-time performance reliability prediction model for the main pipeline thermal aging was developed by considering the correlation between the impact properties and fracture toughness, and by using the stochastic process theory. Thus, the thermal aging performance reliability and reliability life of the main pipeline with multi-parameter were obtained, which provides the scientific basis for the optimization management of the aging maintenance decision making for nuclear power plant main pipelines. (authors)
Kalman Filter Track Fits and Track Breakpoint Analysis
Astier, Pierre; Cousins, R D; Letessier-Selvon, A A; Popov, B A; Vinogradova, T G; Astier, Pierre; Cardini, Alessandro; Cousins, Robert D.; Letessier-Selvon, Antoine; Popov, Boris A.; Vinogradova, Tatiana
2000-01-01
We give an overview of track fitting using the Kalman filter method in the NOMAD detector at CERN, and emphasize how the wealth of by-product information can be used to analyze track breakpoints (discontinuities in track parameters caused by scattering, decay, etc.). After reviewing how this information has been previously exploited by others, we describe extensions which add power to breakpoint detection and characterization. We show how complete fits to the entire track, with breakpoint parameters added, can be easily obtained from the information from unbroken fits. Tests inspired by the Fisher F-test can then be used to judge breakpoints. Signed quantities (such as change in momentum at the breakpoint) can supplement unsigned quantities such as the various chisquares. We illustrate the method with electrons from real data, and with Monte Carlo simulations of pion decays.
Quantum Kalman filtering and the Heisenberg limit in atomic magnetometry
Energy Technology Data Exchange (ETDEWEB)
Geremia, J M; Stockton, John K; Doherty, Andrew C; Mabuchi, Hideo [Norman Bridge Laboratory of Physics, California Institute of Technology, Pasadena, California, 91125 (United States)
2003-12-19
The shot-noise detection limit in current high-precision magnetometry [I. Kominis, T. Kornack, J. Allred, and M. Romalis, Nature (London) 422, 596 (2003)]10.1038/nature01484 is a manifestation of quantum fluctuations that scale as 1/{radical}(N) in an ensemble of N atoms. Here, we develop a procedure that combines continuous measurement and quantum Kalman filtering [V. Belavkin, Rep. Math. Phys. 43, 405 (1999)] to surpass this conventional limit by exploiting conditional spin squeezing to achieve 1/N field sensitivity. Our analysis demonstrates the importance of optimal estimation for high bandwidth precision magnetometry at the Heisenberg limit and also identifies an approximate estimator based on linear regression.
Kalman Filter for Mass Property and Thrust Identification (MMS)
Queen, Steven
2015-01-01
The Magnetospheric Multiscale (MMS) mission consists of four identically instrumented, spin-stabilized observatories, elliptically orbiting the Earth in a tetrahedron formation. For the operational success of the mission, on-board systems must be able to deliver high-precision orbital adjustment maneuvers. On MMS, this is accomplished using feedback from on-board star sensors in tandem with accelerometers whose measurements are dynamically corrected for errors associated with a spinning platform. In order to determine the required corrections to the measured acceleration, precise estimates of attitude, rate, and mass-properties is necessary. To this end, both an on-board and ground-based Multiplicative Extended Kalman Filter (MEKF) were formulated and implemented in order to estimate the dynamic and quasi-static properties of the spacecraft.
Solving Assembly Sequence Planning using Angle Modulated Simulated Kalman Filter
Mustapa, Ainizar; Yusof, Zulkifli Md.; Adam, Asrul; Muhammad, Badaruddin; Ibrahim, Zuwairie
2018-03-01
This paper presents an implementation of Simulated Kalman Filter (SKF) algorithm for optimizing an Assembly Sequence Planning (ASP) problem. The SKF search strategy contains three simple steps; predict-measure-estimate. The main objective of the ASP is to determine the sequence of component installation to shorten assembly time or save assembly costs. Initially, permutation sequence is generated to represent each agent. Each agent is then subjected to a precedence matrix constraint to produce feasible assembly sequence. Next, the Angle Modulated SKF (AMSKF) is proposed for solving ASP problem. The main idea of the angle modulated approach in solving combinatorial optimization problem is to use a function, g(x), to create a continuous signal. The performance of the proposed AMSKF is compared against previous works in solving ASP by applying BGSA, BPSO, and MSPSO. Using a case study of ASP, the results show that AMSKF outperformed all the algorithms in obtaining the best solution.
Kalman filtering of self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1992-01-01
Pressurized water reactors employ a wide variety of in-core detectors to determine the neutronic behavior within the core. Among the detectors used are rhodium and vanadium self-powered detectors (SPDs), which are very accurate, but respond slowly to changes in neutron flux. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which converts delayed-responding rhodium and vanadium SPDs into prompt-responding detectors by reconstructing the dynamic flux signal sensed by the detectors from the prompt and delayed components. This conversion offers the possibility of utilizing current fixed in-core detector systems based on these delayed-responding detectors for core control and/or core protection functions without the need for fixed in-core detectors which are prompt-responding. As a result, the capabilities of current fixed in-core detector systems could be expanded significantly without a major hardware investment
Kalman filtering for rhodium self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1988-01-01
Rhodium self-powered neutron detectors are utilized in many pressurized water reactors to determine the neutronic behavior within the core. In order to compensate for the inherent time delay associated with the response of these detectors, a dynamic compensation algorithm is currently used in Combustion Engineering plants to reconstruct the dynamic flux signal which is being sensed by the rhodium detectors. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which improves on the noise gain and response time characteristics of the algorithm currently used, and offers the possibility of utilizing the proven rhodium detector based fixed in-core detector system as an integral part of advanced core control and/or protection systems
Fusion Kalman filtration with k-step delay sharing pattern
Directory of Open Access Journals (Sweden)
Duda Zdzisław
2015-09-01
Full Text Available A fusion hierarchical state filtration with k−step delay sharing pattern for a multisensor system is considered. A global state estimate depends on local state estimates determined by local nodes using local information. Local available information consists of local measurements and k−step delay global information - global estimate sent from a central node. Local estimates are transmitted to the central node to be fused. The synthesis of local and global filters is presented. It is shown that a fusion filtration with k−step delay sharing pattern is equivalent to the optimal centralized classical Kalman filtration when local measurements are transmitted to the center node and used to determine a global state estimate. It is proved that the k−step delay sharing pattern can reduce covariances of local state errors.
A Kalman-filter estimate of the tidal harmonic constants
International Nuclear Information System (INIS)
Morsetti, R.
1983-01-01
A Kalman-filter estimate of the tidal harmonic constants is proposed in order to take into account their stochastic behaviour. The filter algorithm has been applied to a state-space model of a stochastic system in which the state is defined by the harmonic constants themselves. The results, analysing Trieste sea-level data, have demonstrated that this approach is very suitable for such a purpose, since good estimates and excellent resolution capabilities have been obtained. Furthermore, this method can be very useful also from a practical point of view because real-time computation of the harmonic constants can be developed where an opportune sea-level data acquisition system is available. In conclusion, this paper has emphasized that tidal harmonic constants have to be treated like random variables and, in consequence, new method of analysis can be used
Model Calibration of Exciter and PSS Using Extended Kalman Filter
Energy Technology Data Exchange (ETDEWEB)
Kalsi, Karanjit; Du, Pengwei; Huang, Zhenyu
2012-07-26
Power system modeling and controls continue to become more complex with the advent of smart grid technologies and large-scale deployment of renewable energy resources. As demonstrated in recent studies, inaccurate system models could lead to large-scale blackouts, thereby motivating the need for model calibration. Current methods of model calibration rely on manual tuning based on engineering experience, are time consuming and could yield inaccurate parameter estimates. In this paper, the Extended Kalman Filter (EKF) is used as a tool to calibrate exciter and Power System Stabilizer (PSS) models of a particular type of machine in the Western Electricity Coordinating Council (WECC). The EKF-based parameter estimation is a recursive prediction-correction process which uses the mismatch between simulation and measurement to adjust the model parameters at every time step. Numerical simulations using actual field test data demonstrate the effectiveness of the proposed approach in calibrating the parameters.
Analysis of neutron and x-ray reflectivity data by constrained least-squares methods
DEFF Research Database (Denmark)
Pedersen, J.S.; Hamley, I.W.
1994-01-01
. The coefficients in the series are determined by constrained nonlinear least-squares methods, in which the smoothest solution that agrees with the data is chosen. In the second approach the profile is expressed as a series of sine and cosine terms. A smoothness constraint is used which reduces the coefficients...
Minimizers of a Class of Constrained Vectorial Variational Problems: Part I
Hajaiej, Hichem
2014-04-18
In this paper, we prove the existence of minimizers of a class of multiconstrained variational problems. We consider systems involving a nonlinearity that does not satisfy compactness, monotonicity, neither symmetry properties. Our approach hinges on the concentration-compactness approach. In the second part, we will treat orthogonal constrained problems for another class of integrands using density matrices method. © 2014 Springer Basel.
Unscented Kalman filtering in the additive noise case
Institute of Scientific and Technical Information of China (English)
无
2010-01-01
The unscented Kalman filter(UKF) has four implementations in the additive noise case,according to whether the state is augmented with noise vectors and whether a new set of sigma points is redrawn from the predicted state(which is so-called resampling) for the observation prediction.This paper concerns the differences of performances for those implementations,such as accuracy,adaptability,computational complexity,etc.The conditionally equivalent relationships between the augmented and non-augmented unscented transforms(UTs) are proved for several sampling strategies that are commonly used.Then,we find that the augmented and non-augmented UKFs have the same filter results with the additive measurement noise,but only have the same state predictions with the additive process noise.Resampling is not believed to be necessary in some researches.However,we find out that resampling can be helpful for an adaptive Kalman gain.This will improve the convergence and accuracy of the filter when the large scale state modeling bias or unknown maneuvers occur.Finally,some universal designing principles for a practical UKF are given as follows:1) for the additive observation noise case,it’s better to use the non-augmented UKF;2) for the additive process noise case,when the small state modeling bias or maneuvers are involved,the non-resampling algorithms with state whether augmented or not are candidates for filters;3) the resampling and non-augmented algorithm is the only choice while the large state modeling bias or maneuvers are latent.
Kalman Filter for Calibrating a Telescope Focal Plane
Kang, Bryan; Bayard, David
2006-01-01
The instrument-pointing frame (IPF) Kalman filter, and an algorithm that implements this filter, have been devised for calibrating the focal plane of a telescope. As used here, calibration signifies, more specifically, a combination of measurements and calculations directed toward ensuring accuracy in aiming the telescope and determining the locations of objects imaged in various arrays of photodetectors in instruments located on the focal plane. The IPF Kalman filter was originally intended for application to a spaceborne infrared astronomical telescope, but can also be applied to other spaceborne and ground-based telescopes. In the traditional approach to calibration of a telescope, (1) one team of experts concentrates on estimating parameters (e.g., pointing alignments and gyroscope drifts) that are classified as being of primarily an engineering nature, (2) another team of experts concentrates on estimating calibration parameters (e.g., plate scales and optical distortions) that are classified as being primarily of a scientific nature, and (3) the two teams repeatedly exchange data in an iterative process in which each team refines its estimates with the help of the data provided by the other team. This iterative process is inefficient and uneconomical because it is time-consuming and entails the maintenance of two survey teams and the development of computer programs specific to the requirements of each team. Moreover, theoretical analysis reveals that the engineering/ science iterative approach is not optimal in that it does not yield the best estimates of focal-plane parameters and, depending on the application, may not even enable convergence toward a set of estimates.
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep; Wei, Junchao; Davis, Lynn
2013-08-08
Solid-state lighting (SSL) luminaires containing light emitting diodes (LEDs) have the potential of seeing excessive temperatures when being transported across country or being stored in non-climate controlled warehouses. They are also being used in outdoor applications in desert environments that see little or no humidity but will experience extremely high temperatures during the day. This makes it important to increase our understanding of what effects high temperature exposure for a prolonged period of time will have on the usability and survivability of these devices. Traditional light sources “burn out” at end-of-life. For an incandescent bulb, the lamp life is defined by B50 life. However, the LEDs have no filament to “burn”. The LEDs continually degrade and the light output decreases eventually below useful levels causing failure. Presently, the TM-21 test standard is used to predict the L70 life of LEDs from LM-80 test data. Several failure mechanisms may be active in a LED at a single time causing lumen depreciation. The underlying TM-21 Model may not capture the failure physics in presence of multiple failure mechanisms. Correlation of lumen maintenance with underlying physics of degradation at system-level is needed. In this paper, Kalman Filter (KF) and Extended Kalman Filters (EKF) have been used to develop a 70-percent Lumen Maintenance Life Prediction Model for LEDs used in SSL luminaires. Ten-thousand hour LM-80 test data for various LEDs have been used for model development. System state at each future time has been computed based on the state space at preceding time step, system dynamics matrix, control vector, control matrix, measurement matrix, measured vector, process noise and measurement noise. The future state of the lumen depreciation has been estimated based on a second order Kalman Filter model and a Bayesian Framework. The measured state variable has been related to the underlying damage using physics-based models. Life
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep; Wei, Junchao; Davis, J Lynn
2014-06-24
Abstract— Solid-state lighting (SSL) luminaires containing light emitting diodes (LEDs) have the potential of seeing excessive temperatures when being transported across country or being stored in non-climate controlled warehouses. They are also being used in outdoor applications in desert environments that see little or no humidity but will experience extremely high temperatures during the day. This makes it important to increase our understanding of what effects high temperature exposure for a prolonged period of time will have on the usability and survivability of these devices. Traditional light sources “burn out” at end-of-life. For an incandescent bulb, the lamp life is defined by B50 life. However, the LEDs have no filament to “burn”. The LEDs continually degrade and the light output decreases eventually below useful levels causing failure. Presently, the TM-21 test standard is used to predict the L70 life of LEDs from LM-80 test data. Several failure mechanisms may be active in a LED at a single time causing lumen depreciation. The underlying TM-21 Model may not capture the failure physics in presence of multiple failure mechanisms. Correlation of lumen maintenance with underlying physics of degradation at system-level is needed. In this paper, Kalman Filter (KF) and Extended Kalman Filters (EKF) have been used to develop a 70-percent Lumen Maintenance Life Prediction Model for LEDs used in SSL luminaires. Ten-thousand hour LM-80 test data for various LEDs have been used for model development. System state at each future time has been computed based on the state space at preceding time step, system dynamics matrix, control vector, control matrix, measurement matrix, measured vector, process noise and measurement noise. The future state of the lumen depreciation has been estimated based on a second order Kalman Filter model and a Bayesian Framework. Life prediction of L70 life for the LEDs used in SSL luminaires from KF and EKF based models have
Novel Hybrid of LS-SVM and Kalman Filter for GPS/INS Integration
Xu, Zhenkai; Li, Yong; Rizos, Chris; Xu, Xiaosu
Integration of Global Positioning System (GPS) and Inertial Navigation System (INS) technologies can overcome the drawbacks of the individual systems. One of the advantages is that the integrated solution can provide continuous navigation capability even during GPS outages. However, bridging the GPS outages is still a challenge when Micro-Electro-Mechanical System (MEMS) inertial sensors are used. Methods being currently explored by the research community include applying vehicle motion constraints, optimal smoother, and artificial intelligence (AI) techniques. In the research area of AI, the neural network (NN) approach has been extensively utilised up to the present. In an NN-based integrated system, a Kalman filter (KF) estimates position, velocity and attitude errors, as well as the inertial sensor errors, to output navigation solutions while GPS signals are available. At the same time, an NN is trained to map the vehicle dynamics with corresponding KF states, and to correct INS measurements when GPS measurements are unavailable. To achieve good performance it is critical to select suitable quality and an optimal number of samples for the NN. This is sometimes too rigorous a requirement which limits real world application of NN-based methods.The support vector machine (SVM) approach is based on the structural risk minimisation principle, instead of the minimised empirical error principle that is commonly implemented in an NN. The SVM can avoid local minimisation and over-fitting problems in an NN, and therefore potentially can achieve a higher level of global performance. This paper focuses on the least squares support vector machine (LS-SVM), which can solve highly nonlinear and noisy black-box modelling problems. This paper explores the application of the LS-SVM to aid the GPS/INS integrated system, especially during GPS outages. The paper describes the principles of the LS-SVM and of the KF hybrid method, and introduces the LS-SVM regression algorithm. Field
Study of the Jacobian of an extended Kalman filter for soil analysis in SURFEXv5
Directory of Open Access Journals (Sweden)
A. Duerinckx
2015-03-01
Full Text Available An externalised surface scheme like SURFEX allows computationally cheap offline runs. This is a major advantage for surface assimilation techniques such as the extended Kalman filter (EKF, where the offline runs allow a cheaper numerical estimation of the observation operator Jacobian. In the recent past an EKF has been developed within SURFEX for the initialisation of soil water content and soil temperature based on screen-level temperature and relative humidity observations. In this paper we make a comparison of the Jacobian calculated with offline SURFEX runs and with runs coupled to the atmospheric ALARO model. Comparisons are made with respect to spatial structure and average value of the Jacobian, gain values and increments. We determine the optimal perturbation size of the Jacobian for the offline and coupled approaches and compare the linearity of the Jacobian for these cases. Results show that the offline Jacobian approach gives similar results to the coupled approach and that it allows for smaller perturbation sizes that better approximate this linearity assumption. We document a new case of non-linearities that can hamper this linearity assumption and cause spurious 2Δ t oscillations in small parts of the domain for the coupled as well as offline runs. While these oscillations do not have a detrimental effect on the model run, they can introduce some noise in the Jacobian at the affected locations. The oscillations influence both the surface fluxes and the screen-level variables. The oscillations occur in the late afternoon in summer when a stable boundary layer starts to form near the surface. We propose a filter to remove the oscillations and show that this filter works accordingly.
Menegaldo, Luciano L
2017-12-01
State-space control of myoelectric devices and real-time visualization of muscle forces in virtual rehabilitation require measuring or estimating muscle dynamic states: neuromuscular activation, tendon force and muscle length. This paper investigates whether regular (KF) and extended Kalman filters (eKF), derived directly from Hill-type muscle mechanics equations, can be used as real-time muscle state estimators for isometric contractions using raw electromyography signals (EMG) as the only available measurement. The estimators' amplitude error, computational cost, filtering lags and smoothness are compared with usual EMG-driven analysis, performed offline, by integrating the nonlinear Hill-type muscle model differential equations (offline simulations-OS). EMG activity of the three triceps surae components (soleus, gastrocnemius medialis and gastrocnemius lateralis), in three torque levels, was collected for ten subjects. The actualization interval (AI) between two updates of the KF and eKF was also varied. The results show that computational costs are significantly reduced (70x for KF and 17[Formula: see text] for eKF). The filtering lags presented sharp linear relationships with the AI (0-300 ms), depending on the state and activation level. Under maximum excitation, amplitude errors varied in the range 10-24% for activation, 5-8% for tendon force and 1.4-1.8% for muscle length, reducing linearly with the excitation level. Smoothness, measured by the ratio between the average standard variations of KF/eKF and OS estimations, was greatly reduced for activation but converged exponentially to 1 for the other states by increasing AI. Compared to regular KF, extended KF does not seem to improve estimation accuracy significantly. Depending on the particular application requirements, the most appropriate KF actualization interval can be selected.