RumEnKF: running very large Ensembles Kalman Filter by forgetting what you just did.
Hut, R.; Amisigo, B. A.; Steele-Dunne, S. C.; Van De Giesen, N.
2014-12-01
The eWaterCycle project works towards running an operational hyper-resolution hydrological global model, assimilating incoming satellite data in real time, and making 14 day predictions of floods and droughts. A problem encountered in the eWatercycle project is that the computer memory needed to store a single ensemble member becomes so large that storing enough ensembles to run the EnKF is impossible, even when using mitigating strategies such as covariance inflation or localization. Reduction of Used Memory Ensemble Kalman Filtering (RumEnKF) is introduced as a variant on the Ensemble Kalman Filter (EnKF). RumEnKF differs from EnKF in that it does not store the entire ensemble, but rather only saves the first two moments of the ensemble distribution. In this way, the number of ensemble members that can be calculated is less dependent on available memory, and mainly on available computing power (CPU). RumEnKF is developed to make optimal use of current generation super computer architecture, where the number of available floating point operations (flops) increases more rapidly than the available memory and where inter-node communication can quickly become a bottleneck. In this presentation, two simple models are used (auto-regressive and Lorenz) to show that RumEnKF performs similar to the EnKF. Furthermore, it is also shown that increasing the ensemble size has a similar impact on the estimation error from the two algorithms In this preliminary results, RumEnKF reduces the used memory compared to the EnKF when the number of ensemble members is greater than half the number of state variables. Future research will focus on strategies to further reduce the memory burden of running non-linear data assimilation on very large models.
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.
Institute of Scientific and Technical Information of China (English)
无
2005-01-01
The paper investigates the ability to retrieve the true soil moisture profile by assimilating near-surface soil moisture into a soil moisture model with an ensemble Kalman filter (EnKF) assimilation scheme,including the effect of ensemble size, update interval and nonlinearities in the profile retrieval, the required time for full retrieval of the soil moisture profiles, and the possible influence of the depth of the soil moisture observation. These questions are addressed by a desktop study using synthetic data. The "true"soil moisture profiles are generated from the soil moisture model under the boundary condition of 0.5 cm d-1 evaporation. To test the assimilation schemes, the model is initialized with a poor initial guess of the soil moisture profile, and different ensemble sizes are tested showing that an ensemble of 40 members is enough to represent the covariance of the model forecasts. Also compared are the results with those from the direct insertion assimilation scheme, showing that the EnKF is superior to the direct insertion assimilation scheme, for hourly observations, with retrieval of the soil moisture profile being achieved in 16 h as compared to 12 days or more. For daily observations, the true soil moisture profile is achieved in about 15 days with the EnKF, but it is impossible to approximate the true moisture within 18 days by using direct insertion. It is also found that observation depth does not have a significant effect on profile retrieval time for the EnKF. The nonlinearities have some negative influence on the optimal estimates of soil moisture profile but not very seriously.
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, 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.
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.
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
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 distributi
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.
Generic Kalman Filter Software
Lisano, Michael E., II; Crues, Edwin Z.
2005-01-01
The Generic Kalman Filter (GKF) software provides a standard basis for the development of application-specific Kalman-filter programs. Historically, Kalman filters have been implemented by customized programs that must be written, coded, and debugged anew for each unique application, then tested and tuned with simulated or actual measurement data. Total development times for typical Kalman-filter application programs have ranged from months to weeks. The GKF software can simplify the development process and reduce the development time by eliminating the need to re-create the fundamental implementation of the Kalman filter for each new application. The GKF software is written in the ANSI C programming language. It contains a generic Kalman-filter-development directory that, in turn, contains a code for a generic Kalman filter function; more specifically, it contains a generically designed and generically coded implementation of linear, linearized, and extended Kalman filtering algorithms, including algorithms for state- and covariance-update and -propagation functions. The mathematical theory that underlies the algorithms is well known and has been reported extensively in the open technical literature. Also contained in the directory are a header file that defines generic Kalman-filter data structures and prototype functions and template versions of application-specific subfunction and calling navigation/estimation routine code and headers. Once the user has provided a calling routine and the required application-specific subfunctions, the application-specific Kalman-filter software can be compiled and executed immediately. During execution, the generic Kalman-filter function is called from a higher-level navigation or estimation routine that preprocesses measurement data and post-processes output data. The generic Kalman-filter function uses the aforementioned data structures and five implementation- specific subfunctions, which have been developed by the user on
Stubberud, Allen R.
2017-01-01
When considering problems of linear sequential estimation, two versions of the Kalman filter, the continuous-time version and the discrete-time version, are often used. (A hybrid filter also exists.) In many applications in which the Kalman filter is used, the system to which the filter is applied is a linear continuous-time system, but the Kalman filter is implemented on a digital computer, a discrete-time device. The two general approaches for developing a discrete-time filter for implementation on a digital computer are: (1) approximate the continuous-time system by a discrete-time system (called discretization of the continuous-time system) and develop a filter for the discrete-time approximation; and (2) develop a continuous-time filter for the system and then discretize the continuous-time filter. Generally, the two discrete-time filters will be different, that is, it can be said that discretization and filter generation are not, in general, commutative operations. As a result, any relationship between the discrete-time and continuous-time versions of the filter for the same continuous-time system is often obfuscated. This is particularly true when an attempt is made to generate the continuous-time version of the Kalman filter through a simple limiting process (the sample period going to zero) applied to the discrete-time version. The correct result is, generally, not obtained. In a 1961 research report, Kalman showed that the continuous-time Kalman filter can be obtained from the discrete-time Kalman filter by taking limits as the sample period goes to zero if the white noise process for the continuous-time version is appropriately defined. Using this basic concept, a discrete-time Kalman filter can be developed for a continuous-time system as follows: (1) discretize the continuous-time system using Kalman's technique; and (2) develop a discrete-time Kalman filter for that discrete-time system. Kalman's results show that the discrete-time filter generated in
Brad Baxter; Liam Graham; Stephen Wright
2007-01-01
We relax the assumption of full information that underlies most dynamic general equilibrium models, and instead assume agents optimally form estimates of the states from an incomplete information set. We derive a version of the Kalman filter that is endogenous to agents' optimising decisions, and state conditions for its convergence. We show the (restrictive) conditions under which the endogenous Kalman filter will at least asymptotically reveal the true states. In general we show that incomp...
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody J. H.
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.
Multilevel Mixture Kalman Filter
Directory of Open Access Journals (Sweden)
Xiaodong Wang
2004-11-01
Full Text Available The mixture Kalman filter is a general sequential Monte Carlo technique for conditional linear dynamic systems. It generates samples of some indicator variables recursively based on sequential importance sampling (SIS and integrates out the linear and Gaussian state variables conditioned on these indicators. Due to the marginalization process, the complexity of the mixture Kalman filter is quite high if the dimension of the indicator sampling space is high. In this paper, we address this difficulty by developing a new Monte Carlo sampling scheme, namely, the multilevel mixture Kalman filter. The basic idea is to make use of the multilevel or hierarchical structure of the space from which the indicator variables take values. That is, we draw samples in a multilevel fashion, beginning with sampling from the highest-level sampling space and then draw samples from the associate subspace of the newly drawn samples in a lower-level sampling space, until reaching the desired sampling space. Such a multilevel sampling scheme can be used in conjunction with the delayed estimation method, such as the delayed-sample method, resulting in delayed multilevel mixture Kalman filter. Examples in wireless communication, specifically the coherent and noncoherent 16-QAM over flat-fading channels, are provided to demonstrate the performance of the proposed multilevel mixture Kalman filter.
DEFF Research Database (Denmark)
Drecourt, J.-P.; Madsen, H.; Rosbjerg, Dan
2006-01-01
. 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....
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.
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.
Robust Kriged Kalman Filtering
Energy Technology Data Exchange (ETDEWEB)
Baingana, Brian; Dall' Anese, Emiliano; Mateos, Gonzalo; Giannakis, Georgios B.
2015-11-11
Although the kriged Kalman filter (KKF) has well-documented merits for prediction of spatial-temporal processes, its performance degrades in the presence of outliers due to anomalous events, or measurement equipment failures. This paper proposes a robust KKF model that explicitly accounts for presence of measurement outliers. Exploiting outlier sparsity, a novel l1-regularized estimator that jointly predicts the spatial-temporal process at unmonitored locations, while identifying measurement outliers is put forth. Numerical tests are conducted on a synthetic Internet protocol (IP) network, and real transformer load data. Test results corroborate the effectiveness of the novel estimator in joint spatial prediction and outlier identification.
Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter
Luo, Xiaodong
2011-12-01
A robust ensemble filtering scheme based on the H∞ filtering theory is proposed. The optimal H∞ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the minimum variance used in the Kalman filter. By design, the H∞ filter is more robust than the Kalman filter, in the sense that the estimation error in the H∞ filter in general has a finite growth rate with respect to the uncertainties in assimilation, except for a special case that corresponds to the Kalman filter. The original form of the H∞ filter contains global constraints in time, which may be inconvenient for sequential data assimilation problems. Therefore a variant is introduced that solves some time-local constraints instead, and hence it is called the time-local H∞ filter (TLHF). By analogy to the ensemble Kalman filter (EnKF), the concept of ensemble time-local H∞ filter (EnTLHF) is also proposed. The general form of the EnTLHF is outlined, and some of its special cases are discussed. In particular, it is shown that an EnKF with certain covariance inflation is essentially an EnTLHF. In this sense, the EnTLHF provides a general framework for conducting covariance inflation in the EnKF-based methods. Some numerical examples are used to assess the relative robustness of the TLHF–EnTLHF in comparison with the corresponding KF–EnKF method.
Hierarchical Bayes Ensemble Kalman Filtering
Tsyrulnikov, Michael
2015-01-01
Ensemble Kalman filtering (EnKF), when applied to high-dimensional systems, suffers from an inevitably small affordable ensemble size, which results in poor estimates of the background error covariance matrix ${\\bf B}$. The common remedy is a kind of regularization, usually an ad-hoc spatial covariance localization (tapering) combined with artificial covariance inflation. Instead of using an ad-hoc regularization, we adopt the idea by Myrseth and Omre (2010) and explicitly admit that the ${\\bf B}$ matrix is unknown and random and estimate it along with the state (${\\bf x}$) in an optimal hierarchical Bayes analysis scheme. We separate forecast errors into predictability errors (i.e. forecast errors due to uncertainties in the initial data) and model errors (forecast errors due to imperfections in the forecast model) and include the two respective components ${\\bf P}$ and ${\\bf Q}$ of the ${\\bf B}$ matrix into the extended control vector $({\\bf x},{\\bf P},{\\bf Q})$. Similarly, we break the traditional backgrou...
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.
Bridging the ensemble Kalman filter and particle filters: the adaptive Gaussian mixture filter
Stordal, Andreas Størksen; Karlsen, Hans A.; Nævdal, Geir; Hans J. Skaug; Vallès, Brice
2010-01-01
The nonlinear filtering problem occurs in many scientific areas. Sequential Monte Carlo solutions with the correct asymptotic behavior such as particle filters exist, but they are computationally too expensive when working with high-dimensional systems. The ensemble Kalman filter (EnKF) is a more robust method that has shown promising results with a small sample size, but the samples are not guaranteed to come from the true posterior distribution. By approximating the model error with a Gauss...
4-D-Var or ensemble Kalman filter?
Kalnay, Eugenia; LI, HONG; Miyoshi, Takemasa; Yang, Shu-Chih; Ballabrera-Poy, Joaquim
2007-01-01
We consider the relative advantages of two advanced data assimilation systems, 4-D-Var and ensemble Kalman filter (EnKF), currently in use or under consideration for operational implementation. With the Lorenz model, we explore the impact of tuning assimilation parameters such as the assimilation window length and background error covariance in 4-D-Var, variance inflation in EnKF, and the effect of model errors and reduced observation coverage. For short assimilation windows EnKF gives more a...
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.
Predicting breeding values in animals by kalman filter
DEFF Research Database (Denmark)
Karacaören, Burak; Janss, Luc; Kadarmideen, Haja
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...... May 2004-March 2005 for 7 times approximately at monthly intervals from dairy cows (n=80) stationed at the Chamau research farm of Eidgenössische Technische Hochschule (ETH), Switzerland. Benefits of KF were demonstrated using random walk models via simulations. Breeding values were predicted over...... for variance components were found (with standard errors) 0.03 (0.006) for animal genetic variance 0.04 (0.007) for permanent environmental variance and 0.21 (0.02) for error variance. Since KF gives online estimation of breeding values and does not need to store or invert matrices, this methodology could...
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.
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.
Kalman filtering implementation with Matlab
Kleinbauer, Rachel
2004-01-01
1960 und 1961 veröffentlichte Rudolf Emil Kalmen seine Arbeiten über einen rekursiven prädiktiven Filter, der auf dem Gebrauch von rekursiven Algorithmen basiert. Damit revolutionierte er das Feld der Schätzverfahren. Seitdem ist der sogenannte Kalman Filter Gegenstand ausführlicher Forschung und findet bis heute Anwendung in zahlreichen Gebieten. Der Kalman Filter schätzt den Zustand eines dynamischen Systems, auch wenn die exakte Form dieses Systems unbekannt ist. Der Filter ist sehr lei...
Ensemble Kalman filtering with residual nudging
Luo, Xiaodong; 10.3402/tellusa.v64i0.17130
2012-01-01
Covariance inflation and localization 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/o...
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.
Fuzzy adaptive Kalman filter for indoor mobile target positioning with INS/WSN integrated method
Institute of Scientific and Technical Information of China (English)
杨海; 李威; 罗成名
2015-01-01
Pure inertial navigation system (INS) has divergent localization errors after a long time. In order to compensate the disadvantage, wireless sensor network (WSN) associated with the INS was applied to estimate the mobile target positioning. Taking traditional Kalman filter (KF) as the framework, the system equation of KF was established by the INS and the observation equation of position errors was built by the WSN. Meanwhile, the observation equation of velocity errors was established by the velocity difference between the INS and WSN, then the covariance matrix of Kalman filter measurement noise was adjusted with fuzzy inference system (FIS), and the fuzzy adaptive Kalman filter (FAKF) based on the INS/WSN was proposed. The simulation results show that the FAKF method has better accuracy and robustness than KF and EKF methods and shows good adaptive capacity with time-varying system noise. Finally, experimental results further prove that FAKF has the fast convergence error, in comparison with KF and EKF methods.
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.
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.
DEFF Research Database (Denmark)
Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, H.
2006-01-01
sensitivity study of three well known Kalman filter approaches for the assimilation of water levels in a three dimensional hydrodynamic modelling system. The filters considered are the ensemble Kalman filter (EnKF), the reduced rank square root Kalman filter (RRSQRT) and the steady Kalman filter...... is to be encouraged in this perspective. However, the predicted uncertainty of the assimilation results are sensitive to the parameters and hence must be applied with care. The sensitivity study further demonstrates the effectiveness of the steady Kalman filter in the given system as well as the great impact...
A mollified Ensemble Kalman filter
Bergemann, Kay
2010-01-01
It is well recognized that discontinuous analysis increments of sequential data assimilation systems, such as ensemble Kalman filters, might lead to spurious high frequency adjustment processes in the model dynamics. Various methods have been devised to continuously spread out the analysis increments over a fixed time interval centered about analysis time. Among these techniques are nudging and incremental analysis updates (IAU). Here we propose another alternative, which may be viewed as a hybrid of nudging and IAU and which arises naturally from a recently proposed continuous formulation of the ensemble Kalman analysis step. A new slow-fast extension of the popular Lorenz-96 model is introduced to demonstrate the properties of the proposed mollified ensemble Kalman filter.
Indirect Kalman Filter in Mobile Robot Application
Directory of Open Access Journals (Sweden)
Surachai Panich
2010-01-01
Full Text Available Problem statement: The most successful applications of Kalman filtering are to linearize about some nominal trajectory in state space that does not depend on the measurement data. The resulting filter is usually referred to as simply a linearized Kalman filter. Approach: This study introduced mainly indirect Kalman filter to estimate robots position. A developed differential encoder system integrated accelerometer is experimental tested in square shape. Results: Experimental results confirmed that indirect Kalman filter improves the accuracy and confidence of position estimation. Conclusion: In summary, we concluded that indirect Kalman filter has good potential to reduce error of measurement data.
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.
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].
Local Ensemble Kalman Particle Filters for efficient data assimilation
Robert, Sylvain
2016-01-01
Ensemble methods such as the Ensemble Kalman Filter (EnKF) are widely used for data assimilation in large-scale geophysical applications, as for example in numerical weather prediction (NWP). There is a growing interest for physical models with higher and higher resolution, which brings new challenges for data assimilation techniques because of the presence of non-linear and non-Gaussian features that are not adequately treated by the EnKF. We propose two new localized algorithms based on the Ensemble Kalman Particle Filter (EnKPF), a hybrid method combining the EnKF and the Particle Filter (PF) in a way that maintains scalability and sample diversity. Localization is a key element of the success of EnKFs in practice, but it is much more challenging to apply to PFs. The algorithms that we introduce in the present paper provide a compromise between the EnKF and the PF while avoiding some of the problems of localization for pure PFs. Numerical experiments with a simplified model of cumulus convection based on a...
Performance enhancement for GPS positioning using constrained Kalman filtering
Guo, Fei; Zhang, Xiaohong; Wang, Fuhong
2015-08-01
Over the past decades Kalman filtering (KF) algorithms have been extensively investigated and applied in the area of kinematic positioning. In the application of KF in kinematic precise point positioning (PPP), it is often the case where some known functional or theoretical relations exist among the unknown state parameters, which can be and should be made use of to enhance the performance of kinematic PPP, especially in an urban and forest environment. The central task of this paper is to effectively blend the commonly used GNSS data and internal/external additional constrained information to generate an optimal PPP solution. This paper first investigates the basic algorithm of constrained Kalman filtering. Then two types of PPP model with speed constraints and trajectory constraints, respectively, are proposed. Further validation tests based on a variety of situations show that the positioning performances (positioning accuracy, reliability and continuity) from the constrained Kalman filter are significantly superior to those from the conventional Kalman filter, particularly under extremely poor observation conditions.
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.
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.
Multivariate localization methods for ensemble Kalman filtering
Directory of Open Access Journals (Sweden)
S. Roh
2015-05-01
Full Text Available 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.
Expanding the validity of the ensemble Kalman filter without the intrinsic need for inflation
Directory of Open Access Journals (Sweden)
M. Bocquet
2015-07-01
Full Text Available The ensemble Kalman filter (EnKF is a powerful data assimilation method meant for high-dimensional nonlinear systems. But its implementation requires fixes such as localization and inflation. The recently developed finite-size ensemble Kalman filter (EnKF-N does not require multiplicative inflation meant to counteract sampling errors. Aside from the practical interest of avoiding the tuning of inflation in perfect model data assimilation experiments, it also offers theoretical insights and a unique perspective on the EnKF. Here, we revisit, clarify and correct several key points of the EnKF-N derivation. This simplifies the use of the method, and expands its validity. The EnKF is shown to not only rely on the observations and the forecast ensemble but also on an implicit prior assumption, termed hyperprior, that fills in the gap of missing information. In the EnKF-N framework, this assumption is made explicit through a Bayesian hierarchy. This hyperprior has been so far chosen to be the uninformative Jeffreys' prior. Here, this choice is revisited to improve the performance of the EnKF-N in the regime where the analysis strongly relaxes to the prior. Moreover, it is shown that the EnKF-N can be extended with a normal-inverse-Wishart informative hyperprior that additionally introduces climatological error statistics. This can be identified as a hybrid 3D-Var/EnKF counterpart to the EnKF-N.
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...
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.
Ensemble Kalman filtering without the intrinsic need for inflation
Directory of Open Access Journals (Sweden)
M. Bocquet
2011-10-01
Full Text Available The main intrinsic source of error in the ensemble Kalman filter (EnKF is sampling error. External sources of error, such as model error or deviations from Gaussianity, depend on the dynamical properties of the model. Sampling errors can lead to instability of the filter which, as a consequence, often requires inflation and localization. The goal of this article is to derive an ensemble Kalman filter which is less sensitive to sampling errors. A prior probability density function conditional on the forecast ensemble is derived using Bayesian principles. Even though this prior is built upon the assumption that the ensemble is Gaussian-distributed, it is different from the Gaussian probability density function defined by the empirical mean and the empirical error covariance matrix of the ensemble, which is implicitly used in traditional EnKFs. This new prior generates a new class of ensemble Kalman filters, called finite-size ensemble Kalman filter (EnKF-N. One deterministic variant, the finite-size ensemble transform Kalman filter (ETKF-N, is derived. It is tested on the Lorenz '63 and Lorenz '95 models. In this context, ETKF-N is shown to be stable without inflation for ensemble size greater than the model unstable subspace dimension, at the same numerical cost as the ensemble transform Kalman filter (ETKF. One variant of ETKF-N seems to systematically outperform the ETKF with optimally tuned inflation. However it is shown that ETKF-N does not account for all sampling errors, and necessitates localization like any EnKF, whenever the ensemble size is too small. In order to explore the need for inflation in this small ensemble size regime, a local version of the new class of filters is defined (LETKF-N and tested on the Lorenz '95 toy model. Whatever the size of the ensemble, the filter is stable. Its performance without inflation is slightly inferior to that of LETKF with optimally tuned inflation for small interval between updates, and
Streamflow Data Assimilation in SWAT Model Using Extended Kalman Filter
Sun, L.; Nistor, I.; Seidou, O.
2014-12-01
Although Extended Kalman Filter (EKF) is regarded as the de facto method for the application of Kalman Filter in non-linear system, it's application to complex distributed hydrological models faces a lot of challenges. Ensemble Kalman Filter (EnKF) is often preferred because it avoids the calculation of the linearization Jacobian Matrix and the propagation of estimation error covariance. EnKF is however difficult to apply to large models because of the huge computation demand needed for parallel propagation of ensemble members. This paper deals with the application of EKF in stream flow prediction using the SWAT model in the watershed of Senegal River, West Africa. In the Jacobian Matrix calculation, SWAT is regarded as a black box model and the derivatives are calculated in the form of differential equations. The state vector is the combination of runoff, soil, shallow aquifer and deep aquifer water contents. As an initial attempt, only stream flow observations are assimilated. Despite the fact that EKF is a sub-optimal filter, the coupling of EKF significantly improves the estimation of daily streamflow. The results of SWAT+EKF are also compared to those of a simpler quasi linear streamflow prediction model where both state and parameters are updated with the EKF.
Implementation of Kalman Filter with Python Language
Laaraiedh, Mohamed
2012-01-01
In this paper, we investigate the implementation of a Python code for a Kalman Filter using the Numpy package. A Kalman Filtering is carried out in two steps: Prediction and Update. Each step is investigated and coded as a function with matrix input and output. These different functions are explained and an example of a Kalman Filter application for the localization of mobile in wireless networks is given.
Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters
Hoteit, Ibrahim; Pham, Dinh-Tuan
2011-01-01
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. We 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, we consider the construction of the PKF through an "ensemble" of ensemble Kalman filters (EnKFs) instead, ...
Lenartz, F.; Raick, C.; Soetaert, K.E.R.; Grégoire, M.
2007-01-01
The Ensemble Kalman filter (EnKF) has been applied to a 1-D complex ecosystem model coupled with a hydrodynamic model of the Ligurian Sea. In order to improve the performance of the EnKF, an ensemble subsampling strategy has been used to better represent the covariance matrices and a pre-analysis st
Comparison of robust H∞ filter and Kalman filter for initial alignment of inertial navigation system
Institute of Scientific and Technical Information of China (English)
HAO Yan-ling; CHEN Ming-hui; LI Liang-jun; XU Bo
2008-01-01
There are many filtering methods that can be used for the initial alignment of an integrated inertial navigation system.This paper discussed the use of GPS,but focused on two kinds of filters for the initial alignment of an integrated strapdown inertial navigation system (SINS).One method is based on the Kalman filter (KF),and the other is based on the robust filter.Simulation results showed that the filter provides a quick transient response and a little more accurate estimate than KF,given substantial process noise or unknown noise statistics.So the robust filter is an effective and useful method for initial alignment of SINS.This research should make the use of SINS more popular,and is also a step for further research.
Kullback-Leibler Divergence Approach to Partitioned Update Kalman Filter
Raitoharju, Matti; García-Fernández, Ángel F.; Piché, Robert
2016-01-01
Kalman filtering is a widely used framework for Bayesian estimation. The partitioned update Kalman filter applies a Kalman filter update in parts so that the most linear parts of measurements are applied first. In this paper, we generalize partitioned update Kalman filter, which requires the use oft the second order extended Kalman filter, so that it can be used with any Kalman filter extension. To do so, we use a Kullback-Leibler divergence approach to measure the nonlinearity of the measure...
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.
Statistical Process Control of a Kalman Filter Model
Gamse, Sonja; Nobakht-Ersi, Fereydoun; Sharifi, Mohammad A.
2014-01-01
For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF) algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations. PMID:25264959
Statistical Process Control of a Kalman Filter Model
Directory of Open Access Journals (Sweden)
Sonja Gamse
2014-09-01
Full Text Available For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations.
Statistical process control of a Kalman filter model.
Gamse, Sonja; Nobakht-Ersi, Fereydoun; Sharifi, Mohammad A
2014-09-26
For the evaluation of measurement data, different functional and stochastic models can be used. In the case of time series, a Kalman filtering (KF) algorithm can be implemented. In this case, a very well-known stochastic model, which includes statistical tests in the domain of measurements and in the system state domain, is used. Because the output results depend strongly on input model parameters and the normal distribution of residuals is not always fulfilled, it is very important to perform all possible tests on output results. In this contribution, we give a detailed description of the evaluation of the Kalman filter model. We describe indicators of inner confidence, such as controllability and observability, the determinant of state transition matrix and observing the properties of the a posteriori system state covariance matrix and the properties of the Kalman gain matrix. The statistical tests include the convergence of standard deviations of the system state components and normal distribution beside standard tests. Especially, computing controllability and observability matrices and controlling the normal distribution of residuals are not the standard procedures in the implementation of KF. Practical implementation is done on geodetic kinematic observations.
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.
Mean-field Ensemble Kalman Filter
Law, Kody
2015-01-07
A proof of convergence of the standard EnKF generalized to non-Gaussian state space models is provided. A density-based deterministic approximation of the mean-field limiting EnKF (MFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for d < 2 . The fidelity of approximation of the true distribution is also established using an extension of total variation metric to random measures. This is limited by a Gaussian bias term arising from non-linearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Spectral diagonal ensemble Kalman filters
Kasanický, Ivan; Vejmelka, Martin
2015-01-01
A new type of ensemble Kalman filter is developed, which is based on replacing the sample covariance in the analysis step by its diagonal in a spectral basis. It is proved that this technique improves the aproximation of the covariance when the covariance itself is diagonal in the spectral basis, as is the case, e.g., for a second-order stationary random field and the Fourier basis. The method is extended by wavelets to the case when the state variables are random fields, which are not spatially homogeneous. Efficient implementations by the fast Fourier transform (FFT) and discrete wavelet transform (DWT) are presented for several types of observations, including high-dimensional data given on a part of the domain, such as radar and satellite images. Computational experiments confirm that the method performs well on the Lorenz 96 problem and the shallow water equations with very small ensembles and over multiple analysis cycles.
Damping strapdown inertial navigation system based on a Kalman filter
Zhao, Lin; Li, Jiushun; Cheng, Jianhua; Hao, Yong
2016-11-01
A damping strapdown inertial navigation system (DSINS) can effectively suppress oscillation errors of strapdown inertial navigation systems (SINSs) and improve the navigation accuracy of SINSs. Aiming at overcoming the disadvantages of traditional damping methods, a DSINS, based on a Kalman filter (KF), is proposed in this paper. Using the measurement data of accelerometers and calculated navigation parameters during the navigation process, the expression of the observation equation is derived. The calculation process of the observation in both the internal damping state and the external damping state is presented. Finally, system oscillation errors are compensated by a KF. Simulation and test results show that, compared with traditional damping methods, the proposed method can reduce system overshoot errors and shorten the convergence time of oscillation errors effectively.
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.
Distance parameterization for efficient seismic history matching with the ensemble Kalman Filter
Leeuwenburgh, O.; Arts, R.
2012-01-01
The Ensemble Kalman Filter (EnKF), in combination with travel-time parameterization, provides a robust and flexible method for quantitative multi-model history matching to time-lapse seismic data. A disadvantage of the parameterization in terms of travel-times is that it requires simulation of model
A partial ensemble Kalman filtering approach to enable use of range limited observations
DEFF Research Database (Denmark)
Borup, Morten; Grum, Morten; Madsen, Henrik;
2015-01-01
The ensemble Kalman filter (EnKF) relies on the assumption that an observed quantity can be regarded as a stochastic variable that is Gaussian distributed with mean and variance that equals the measurement and the measurement noise, respectively. When a gauge has a minimum and/or maximum detection...
Recent advances in hydrologic data assimilation have demonstrated the value of remotely sensed surface soil moisture in improving forecasts of key hydrologic variables such as root-zone soil moisture and surface runoff. In hydrologic data assimilation, the ensemble Kalman filter (EnKF) provides a ro...
Hydrologic data assimilation has become an important tool for improving hydrologic model predictions by utilizing observations from ground, aircraft, and satellite sensors. Among existing data assimilation methods, the ensemble Kalman filter (EnKF) provides a robust framework for optimally updating ...
Wit, de A.J.W.; Diepen, van C.A.
2007-01-01
Uncertainty in spatial and temporal distribution of rainfall in regional crop yield simulations comprises a major fraction of the error on crop model simulation results. In this paper we used an Ensemble Kalman filter (EnKF) to assimilate coarse resolution satellite microwave sensor derived soil
Fast Kalman-like filtering for large-dimensional linear and Gaussian state-space models
Ait-El-Fquih, Boujemaa
2015-08-13
This paper considers the filtering problem for linear and Gaussian state-space models with large dimensions, a setup in which the optimal Kalman Filter (KF) might not be applicable owing to the excessive cost of manipulating huge covariance matrices. Among the most popular alternatives that enable cheaper and reasonable computation is the Ensemble KF (EnKF), a Monte Carlo-based approximation. In this paper, we consider a class of a posteriori distributions with diagonal covariance matrices and propose fast approximate deterministic-based algorithms based on the Variational Bayesian (VB) approach. More specifically, we derive two iterative KF-like algorithms that differ in the way they operate between two successive filtering estimates; one involves a smoothing estimate and the other involves a prediction estimate. Despite its iterative nature, the prediction-based algorithm provides a computational cost that is, on the one hand, independent of the number of iterations in the limit of very large state dimensions, and on the other hand, always much smaller than the cost of the EnKF. The cost of the smoothing-based algorithm depends on the number of iterations that may, in some situations, make this algorithm slower than the EnKF. The performances of the proposed filters are studied and compared to those of the KF and EnKF through a numerical example.
Kalman filtering theory and practice with MATLAB
Grewal, M
2015-01-01
The definitive textbook and professional reference on Kalman Filtering fully updated, revised, and expanded This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.
El Gharamti, Mohamad
2015-11-26
The ensemble Kalman filter (EnKF) recursively integrates field data into simulation models to obtain a better characterization of the model’s state and parameters. These are generally estimated following a state-parameters joint augmentation strategy. In this study, we introduce a new smoothing-based joint EnKF scheme, in which we introduce a one-step-ahead smoothing of the state before updating the parameters. Numerical experiments are performed with a two-dimensional synthetic subsurface contaminant transport model. The improved performance of the proposed joint EnKF scheme compared to the standard joint EnKF compensates for the modest increase in the computational cost.
Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2015-01-01
Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The Joint-EnKF directly updates the augmented state-parameter vector while the Dual-EnKF employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. In this paper, we reverse the order of the forecast-update steps following the one-step-ahead (OSA) smoothing formulation of the Bayesian filtering problem, based on which we propose a new dual EnKF scheme, the Dual-EnKF$_{\\rm OSA}$. Compared to the Dual-EnKF, this introduces a new update step to the state in a fully consistent Bayesian framework...
Harmonic Detection at Initialization With Kalman Filter
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar; Imran, Raja Muhammad; Shoro, Ghulam Mustafa
2014-01-01
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......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...
COVARIANCE CORRECTION FOR ESTIMATING GROUNDWATER LEVEL USING DETERMINISTIC ENSEMBLE KALMAN FILTER
Directory of Open Access Journals (Sweden)
J. Behmanesh
2015-01-01
Full Text Available The main problem in developing a groundwater model is to determine model parameters, particularly hydrogeologic coefficients, in a precise way. In this research, Deterministic Ensemble Kalman Filter (DEnKF is described as a modern sequential method for data assimilation and a localization scheme within the framework of DEnKF is applied. Najafabad aquifer (in Iran with area of 1150 km2, is modeled in the time window of Oct. 2000 to Sept. 2007 to obtain water table level data when its values of hydrogeologic coefficients calibrated and verified. DEnKF assimilated 45 observations of true run into the model with 2, 5, and 10 times of calibrated values of hydraulic conductivity and specific yield. This filter has been run both with and without use of localization. Results show easily-implemented localized DEnKF is favorably robust in groundwater flow modeling.
Menegaldo, Luciano L
2017-08-01
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.
Hierarchical Bayes Ensemble Kalman Filter for geophysical data assimilation
Tsyrulnikov, Michael; Rakitko, Alexander
2016-04-01
In the Ensemble Kalman Filter (EnKF), the forecast error covariance matrix B is estimated from a sample (ensemble), which inevitably implies a degree of uncertainty. This uncertainty is especially large in high dimensions, where the affordable ensemble size is orders of magnitude less than the dimensionality of the system. Common remedies include ad-hoc devices like variance inflation and covariance localization. The goal of this study is to optimize the account for the inherent uncertainty of the B matrix in EnKF. Following the idea by Myrseth and Omre (2010), we explicitly admit that the B matrix is unknown and random and estimate it along with the state (x) in an optimal hierarchical Bayes analysis scheme. We separate forecast errors into predictability errors (i.e. forecast errors due to uncertainties in the initial data) and model errors (forecast errors due to imperfections in the forecast model) and include the two respective components P and Q of the B matrix into the extended control vector (x,P,Q). Similarly, we break the traditional forecast ensemble into the predictability-error related ensemble and model-error related ensemble. The reason for the separation of model errors from predictability errors is the fundamental difference between the two sources of error. Model error are external (i.e. do not depend on the filter's performance) whereas predictability errors are internal to a filter (i.e. are determined by the filter's behavior). At the analysis step, we specify Inverse Wishart based priors for the random matrices P and Q and conditionally Gaussian prior for the state x. Then, we update the prior distribution of (x,P,Q) using both observation and ensemble data, so that ensemble members are used as generalized observations and ordinary observations are allowed to influence the covariances. We show that for linear dynamics and linear observation operators, conditional Gaussianity of the state is preserved in the course of filtering. At the forecast
Quantifying Monte Carlo uncertainty in ensemble Kalman filter
Energy Technology Data Exchange (ETDEWEB)
Thulin, Kristian; Naevdal, Geir; Skaug, Hans Julius; Aanonsen, Sigurd Ivar
2009-01-15
This report is presenting results obtained during Kristian Thulin PhD study, and is a slightly modified form of a paper submitted to SPE Journal. Kristian Thulin did most of his portion of the work while being a PhD student at CIPR, University of Bergen. The ensemble Kalman filter (EnKF) is currently considered one of the most promising methods for conditioning reservoir simulation models to production data. The EnKF is a sequential Monte Carlo method based on a low rank approximation of the system covariance matrix. The posterior probability distribution of model variables may be estimated fram the updated ensemble, but because of the low rank covariance approximation, the updated ensemble members become correlated samples from the posterior distribution. We suggest using multiple EnKF runs, each with smaller ensemble size to obtain truly independent samples from the posterior distribution. This allows a point-wise confidence interval for the posterior cumulative distribution function (CDF) to be constructed. We present a methodology for finding an optimal combination of ensemble batch size (n) and number of EnKF runs (m) while keeping the total number of ensemble members ( m x n) constant. The optimal combination of n and m is found through minimizing the integrated mean square error (MSE) for the CDFs and we choose to define an EnKF run with 10.000 ensemble members as having zero Monte Carlo error. The methodology is tested on a simplistic, synthetic 2D model, but should be applicable also to larger, more realistic models. (author). 12 refs., figs.,tabs
DEFF Research Database (Denmark)
Sørensen, Jacob Viborg Tornfeldt; Madsen, Henrik; Madsen, H.
2006-01-01
sensitivity study of three well known Kalman filter approaches for the assimilation of water levels in a three dimensional hydrodynamic modelling system. The filters considered are the ensemble Kalman filter (EnKF), the reduced rank square root Kalman filter (RRSQRT) and the steady Kalman filter....... A sensitivity analysis of key parameters in the schemes is undertaken for a setup in an idealised bay. The sensitivity of the resulting root mean square error (RMSE) is shown to be low to moderate. Hence the schemes are robust within an acceptable range and their application even with misspecified parameters...... is to be encouraged in this perspective. However, the predicted uncertainty of the assimilation results are sensitive to the parameters and hence must be applied with care. The sensitivity study further demonstrates the effectiveness of the steady Kalman filter in the given system as well as the great impact...
Deterministic Kalman filtering in a behavioral framework
Fagnani, F; Willems, JC
1997-01-01
The purpose of this paper is to obtain a deterministic version of the Kalman filtering equations. We will use a behavioral description of the plant, specifically, an image representation. The resulting algorithm requires a matrix spectral factorization. We also show that the filter can be implemente
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.
A "Dressed" Ensemble Kalman Filter Using the Hybrid Coordinate Ocean Model in the Pacific
Institute of Scientific and Technical Information of China (English)
WAN Liying; ZHU Jiang; WANG Hui; YAN Changxiang; Laurent BERTINO
2009-01-01
The computational cost required by the Ensemble Kalman Filter (EnKF) is much larger than that of some simpler assimilation schemes,such as Optimal Interpolation (OI) or three-dimension variational assimilation (3DVAR).Ensemble optimal interpolation (EnOI),a crudely simplified implementation of EnKF,is sometimes used as a substitute in some oceanic applications and requires much less computational time than EnKF.In this paper,to compromise between computational cost and dynamic covaxiance,we use the idea of "dressing" a small size dynamical ensemble with a larger number of static ensembles in order to form an approximate dynamic covaxiance.The term "dressing" means that a dynamical ensemble seed from model runs is perturbed by adding the anomalies of some static ensembles.This dressing EnKF (DrEnKF for short) scheme is tested in assimilation of real altimetry data in the Pacific using the HYbrid Coordinate Ocean Model (HYCOM) over a four-year period.Ten dynamical ensemble seeds are each dressed by 10 static ensemble members selected from a 100-member static ensemble.Results are compared to two EnKF assimilation runs that use 10 and 100 dynamical ensemble members.Both temperature and salinity fields from the DrEnKF and the EnKF are compared to observations from Argo floats and an OI SST dataset.The results show that the DrEnKF and the 100-member EnKF yield similar root mean square errors (RMSE)at every model level. Error covariance matrices from the DrEnKF and the 100-member EnKF are also compared and show good agreement.
A class of quaternion Kalman filters.
Jahanchahi, Cyrus; Mandic, Danilo P
2014-03-01
The existing Kalman filters for quaternion-valued signals do not operate fully in the quaternion domain, and are combined with the real Kalman filter to enable the tracking in 3-D spaces. Using the recently introduced HR-calculus, we develop the fully quaternion-valued Kalman filter (QKF) and quaternion-extended Kalman filter (QEKF), allowing for the tracking of 3-D and 4-D signals directly in the quaternion domain. To consider the second-order noncircularity of signals, we employ the recently developed augmented quaternion statistics to derive the widely linear QKF (WL-QKF) and widely linear QEKF (WL-QEKF). To reduce computational requirements of the widely linear algorithms, their efficient implementation are proposed and it is shown that the quaternion widely linear model can be simplified when processing 3-D data, further reducing the computational requirements. Simulations using both synthetic and real-world circular and noncircular signals illustrate the advantages offered by widely linear over strictly linear quaternion Kalman filters.
Design of Kalman filters for mobile robots
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Hansen, Karsten L.; Andersen, Nils Axel
1999-01-01
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...... 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....... If additional kinematic assumptions are made, for instance regarding the velocity of the robot, an augmented model can be used instead. This kinematic filter has some advantages when used intelligently, and it is shown how this type of filter can be used to suppress noise on encoder readings and velocity...
Distributed Kalman Filter via Gaussian Belief Propagation
Bickson, Danny; Dolev, Danny
2008-01-01
Recent result shows how to compute distributively and efficiently the linear MMSE for the multiuser detection problem, using the Gaussian BP algorithm. In the current work, we extend this construction, and show that operating this algorithm twice on the matching inputs, has several interesting interpretations. First, we show equivalence to computing one iteration of the Kalman filter. Second, we show that the Kalman filter is a special case of the Gaussian information bottleneck algorithm, when the weight parameter $\\beta = 1$. Third, we discuss the relation to the Affine-scaling interior-point method and show it is a special case of Kalman filter. Besides of the theoretical interest of this linking estimation, compression/clustering and optimization, we allow a single distributed implementation of those algorithms, which is a highly practical and important task in sensor and mobile ad-hoc networks. Application to numerous problem domains includes collaborative signal processing and distributed allocation of ...
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
Kalman filter estimation model in flood forecasting
Husain, Tahir
Elementary precipitation and runoff estimation problems associated with hydrologic data collection networks are formulated in conjunction with the Kalman Filter Estimation Model. Examples involve the estimation of runoff using data from a single precipitation station and also from a number of precipitation stations. The formulations demonstrate the role of state-space, measurement, and estimation equations of the Kalman Filter Model in flood forecasting. To facilitate the formulation, the unit hydrograph concept and antecedent precipitation index is adopted in the estimation model. The methodology is then applied to estimate various flood events in the Carnation Creek of British Columbia.
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...
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.
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.
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....
Constraining the Ensemble Kalman Filter for improved streamflow forecasting
Maxwell, Deborah; Jackson, Bethanna; McGregor, James
2016-04-01
Data assimilation techniques such as the Kalman Filter and its variants are often applied to hydrological models with minimal state volume/capacity constraints. 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 presentation, we investigate the effect of constraining the Ensemble Kalman Filter (EnKF) on forecast performance. An EnKF implementation with no constraints is compared to model output with no assimilation, followed by 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 a more tightly constrained implementation where flux as well as mass constraints are imposed to limit the rate of water movement within a state. A three year period (2008-2010) with no significant data gaps and representative of the range of flows observed over the fuller 1976-2010 record was selected for analysis. 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. Overall, neither the unconstrained nor the "typically" mass-constrained forecasts were significantly better than the non-filtered forecasts; in fact several were significantly degraded. Flux constraints (in conjunction with mass constraints) significantly improved the forecast performance of six events relative to all other implementations, while the remaining two events showed no significant difference in performance. We conclude that placing flux as well as mass constraints on the data assimilation framework encourages physically consistent state updating and results in more accurate and reliable forward predictions of streamflow for robust decision-making. We also experiment with the observation error, and find that this
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.
Czaplewski, Raymond L
2015-09-17
Wall-to-wall remotely sensed data are increasingly available to monitor landscape dynamics over large geographic areas. However, statistical monitoring programs that use post-stratification cannot fully utilize those sensor data. The Kalman filter (KF) is an alternative statistical estimator. I develop a new KF algorithm that is numerically robust with large numbers of study variables and auxiliary sensor variables. A National Forest Inventory (NFI) illustrates application within an official statistics program. Practical recommendations regarding remote sensing and statistical issues are offered. This algorithm has the potential to increase the value of synoptic sensor data for statistical monitoring of large geographic areas.
Reduced-order Kalman filtering with incomplete observability
Yonezawa, K.
1980-01-01
Kalman filtering is considered with reference to linear stochastic dynamic systems without complete observability. It is shown that the canonical decomposition theorem can be extended to the stochastic case and the matrix Riccati equation of the Kalman filter is order-reducible if some states are not observable. The inclusion of unobservable states in Kalman filtering makes the unobservable states 'asymptotically' observable in the filter if these unobservable states are dynamically connected to observable states and asymptotically stable. The reduced-order Kalman filter saves computation time when compared to the conventional Kalman filter.
Wet Refractivity Tomography with an hnproved Kalman-Filter Method
Institute of Scientific and Technical Information of China (English)
无
2006-01-01
An improved retrieval method, which uses the solution with a Gaussian constraint as the initial state variables for the Kalman Filtering (KF) method, was developed to retrieve the wet refractivity profiles from slant wet delays (SWD) extracted by the double-differenced (DD) GPS method. The accuracy of the GPS-derived SWDs is also tested in this study against the measurements of a water vapor radiometer (WVR) and a weather model. It is concluded that the GPS-derived SWDs have similar accuracy to those measured with WVR and are much higher in quality than those derived from the weather model used. The developed method is used to retrieve the 3D wet refractivity distribution in the Hong Kong region. The retrieved profiles agree well with the radiosonde observations, with a difference of about 4 mm km-1 in the low levels. The accurate profiles obtained with this method are applicable in a number of meteorological applications.
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...
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, communica
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...
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.
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.
A distributed Kalman filter with global covariance
Sijs, J.; Lazar, M.
2011-01-01
Most distributed Kalman filtering (DKF) algorithms for sensor networks calculate a local estimate of the global state-vector in each node. An important challenge within distributed estimation is that all sensors in the network contribute to the local estimate in each node. In this paper, a novel DKF
Morzfeld, Matthias
2015-01-01
In data assimilation one updates the state of a numerical model with information from sparse and noisy observations of the model's state. A popular approach to data assimilation in geophysical applications is the ensemble Kalman filter (EnKF). An alternative approach is particle filtering and, recently, much theoretical work has been done to understand the abilities and limitations of particle filters. Here we extend this work to EnKF. First we explain that EnKF and particle filters solve different problems: the EnKF approximates a specific marginal of the joint posterior of particle filters. We then perform a linear analysis of the EnKF as a sequential sampling algorithm for the joint posterior (i.e. as a particle filter), and show that the EnKF collapses on this problem in the exact same way and under similar conditions as particle filters. However, it is critical to realize that the collapse of the EnKF on the joint posterior does not imply its collapse on the marginal posterior. This raises the question, ...
A Hierarchical Bayes Ensemble Kalman Filter
Tsyrulnikov, Michael; Rakitko, Alexander
2017-01-01
A new ensemble filter that allows for the uncertainty in the prior distribution is proposed and tested. The filter relies on the conditional Gaussian distribution of the state given the model-error and predictability-error covariance matrices. The latter are treated as random matrices and updated in a hierarchical Bayes scheme along with the state. The (hyper)prior distribution of the covariance matrices is assumed to be inverse Wishart. The new Hierarchical Bayes Ensemble Filter (HBEF) assimilates ensemble members as generalized observations and allows ordinary observations to influence the covariances. The actual probability distribution of the ensemble members is allowed to be different from the true one. An approximation that leads to a practicable analysis algorithm is proposed. The new filter is studied in numerical experiments with a doubly stochastic one-variable model of "truth". The model permits the assessment of the variance of the truth and the true filtering error variance at each time instance. The HBEF is shown to outperform the EnKF and the HEnKF by Myrseth and Omre (2010) in a wide range of filtering regimes in terms of performance of its primary and secondary filters.
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.
Emulation of an ensemble Kalman filter algorithm on a flood wave propagation model
Barthélémy, S.; Ricci, S.; Pannekoucke, O.; Thual, O.; Malaterre, P.O.
2013-01-01
This study describes the emulation of an Ensemble Kalman Filter (EnKF) algorithm on a 1-D flood wave propagation model. This model is forced at the upstream boundary with a random variable with gaussian statistics and a correlation function in time with gaussian shape. This allows for, in the case without assimilation, the analytical study of the covariance functions of the propagated signal anomaly. This study is validated numerically wit...
Kalman filtering for neural prediction of response spectra from mining tremors
Energy Technology Data Exchange (ETDEWEB)
Krok, A.; Waszczyszyn, Z. [Cracow University of Technology, Krakow (Poland)
2007-08-15
Acceleration response spectra (ARS) for mining tremors in the Upper Silesian Coalfield, Poland are generated using neural networks trained by means of Kalman filtering. The target ARS were computed on the base of measured accelerograms. It was proved that the standard feed-forward, layered neural network, trained by the DEFK (decoupled extended Kalman filter) algorithm is numerically much less efficient than the standard recurrent NN learnt by Recurrent DEKF, cf. (Haykin S, (editor). Kalman filtering and neural networks. New York: John Wiley & Sons; 2001). It is also shown that the studied KF algorithms are better than the traditional Resilient-Propagation learning method. The improvement of the training process and neural prediction due to introduction of an autoregressive input is also discussed in the paper.
Quaternion-based pseudo kalman filter for wearable inertial/magnetic sensor applications
Directory of Open Access Journals (Sweden)
Lee Jung Keun
2016-01-01
Full Text Available This paper deals with orientation estimation using miniature inertial/magnetic sensor comprised of a tri-axial rate gyro, a tri-axial accelerometer, and a tri-axial magnetometer. Particularly, a novel quaternion-based pseudo Kalman filter (KF is proposed by modifying an indirect KF, in order to maximize the computational efficiency and implementation simplicity. In the proposed pseudo KF, time-update process for prediction is based on the quaternion itself, while measurement-update process for correction is performed through the quaternion error. Experimental tests were conducted to verify performance of the proposed algorithm in various dynamic conditions. By designing the pseudo KF structure, matrix operations required in a typical KF are simplified. For instance, the proposed KF does not require the evaluation of the a priori and a posteriori error covariance matrices. Thus, the proposed algorithm achieves higher computational efficiency even than a typical indirect KF, without sacrificing estimation accuracy. Due to its high efficiency, the proposed algorithm can be suitable for battery-powered and low cost processor-based wearable inertial/magnetic sensor applications.
Skew redundant MEMS IMU calibration using a Kalman filter
Jafari, M.; Sahebjameyan, M.; Moshiri, B.; Najafabadi, T. A.
2015-10-01
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.
A New Adaptive Square-Root Unscented Kalman Filter for Nonlinear Systems with Additive Noise
Directory of Open Access Journals (Sweden)
Yong Zhou
2015-01-01
Full Text Available The Kalman filter (KF, extended KF, and unscented KF all lack a self-adaptive capacity to deal with system noise. This paper describes a new adaptive filtering approach for nonlinear systems with additive noise. Based on the square-root unscented KF (SRUKF, traditional Maybeck’s estimator is modified and extended to nonlinear systems. The square root of the process noise covariance matrix Q or that of the measurement noise covariance matrix R is estimated straightforwardly. Because positive semidefiniteness of Q or R is guaranteed, several shortcomings of traditional Maybeck’s algorithm are overcome. Thus, the stability and accuracy of the filter are greatly improved. In addition, based on three different nonlinear systems, a new adaptive filtering technique is described in detail. Specifically, simulation results are presented, where the new filter was applied to a highly nonlinear model (i.e., the univariate nonstationary growth model (UNGM. The UNGM is compared with the standard SRUKF to demonstrate its superior filtering performance. The adaptive SRUKF (ASRUKF algorithm can complete direct recursion and calculate the square roots of the variance matrixes of the system state and noise, which ensures the symmetry and nonnegative definiteness of the matrixes and greatly improves the accuracy, stability, and self-adaptability of the filter.
Shen, Zheqi; Tang, Youmin
2016-04-01
The ensemble Kalman particle filter (EnKPF) is a combination of two Bayesian-based algorithms, namely, the ensemble Kalman filter (EnKF) and the sequential importance resampling particle filter(SIR-PF). It was recently introduced to address non-Gaussian features in data assimilation for highly nonlinear systems, by providing a continuous interpolation between the EnKF and SIR-PF analysis schemes. In this paper, we first extend the EnKPF algorithm by modifying the formula for the computation of the covariancematrix, making it suitable for nonlinear measurement functions (we will call this extended algorithm nEnKPF). Further, a general form of the Kalman gain is introduced to the EnKPF to improve the performance of the nEnKPF when the measurement function is highly nonlinear (this improved algorithm is called mEnKPF). The Lorenz '63 model and Lorenz '96 model are used to test the two modified EnKPF algorithms. The experiments show that the mEnKPF and nEnKPF, given an affordable ensemble size, can perform better than the EnKF for the nonlinear systems with nonlinear observations. These results suggest a promising opportunity to develop a non-Gaussian scheme for realistic numerical models.
Penalized Ensemble Kalman Filters for High Dimensional Non-linear Systems
Hou, Elizabeth; Hero, Alfred O
2016-01-01
The ensemble Kalman filter (EnKF) is a data assimilation technique that uses an ensemble of models, updated with data, to track the time evolution of a non-linear system. It does so by using an empirical approximation to the well-known Kalman filter. Unfortunately, its performance suffers when the ensemble size is smaller than the state space, as is often the case for computationally burdensome models. This scenario means that the empirical estimate of the state covariance is not full rank and possibly quite noisy. To solve this problem in this high dimensional regime, a computationally fast and easy to implement algorithm called the penalized ensemble Kalman filter (PEnKF) is proposed. Under certain conditions, it can be proved that the PEnKF does not require more ensemble members than state dimensions in order to have good performance. Further, the proposed approach does not require special knowledge of the system such as is used by localization methods. These theoretical results are supported with superior...
Energy Technology Data Exchange (ETDEWEB)
Man, Jun; Li, Weixuan; Zeng, Lingzao; Wu, Laosheng
2016-06-01
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 "curse of dimensionality". When the system nonlinearity is strong and number of parameters is large, PCKF could be even more computationally expensive than EnKF. Motivated by most recent developments in uncertainty quantification, we propose a restart adaptive probabilistic collocation based Kalman filter (RAPCKF) for data assimilation in unsaturated flow problems. During the implementation of RAPCKF, the important parameters are identified and active PCE basis functions are adaptively selected. The "restart" technology is used to eliminate the inconsistency between model parameters and states. The performance of RAPCKF is tested with numerical cases of unsaturated flow models. 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.
Analysis of the efficiency of the Ensemble Kalman Filter for Marginal and Joint Posteriors
Morzfeld, M.; Hodyss, D.; Snyder, C.
2015-12-01
The ensemble Kalman filter (EnKF) is widely used to sample a probability density function (pdf) generated by a stochastic model conditioned by noisy data. This pdf can be either a joint posterior that describes the evolution of the state of the system in time, conditioned on all the data up to the present, or a particular marginal of this posterior that describes the state at the current time conditioned on all past data. We show that the EnKF collapses in the same way and under even broader conditions as a particle filter when it samples the joint posterior. However, this does not imply that EnKF collapses when it samples the marginal posterior. We we show that a localized and inflated EnKF can efficiently sample this marginal, and argue that the marginal posterior is often the more useful pdf in geophysics. This explains the wide applicability of EnKF in this field. We further investigate the typical tuning of EnKF, in which one attempts to match the mean square error (MSE) to the marginal posterior variance, and show that sampling error may be huge, even if the MSE is moderate.
Evolutionary Dynamic Multiobjective Optimization Via Kalman Filter Prediction.
Muruganantham, Arrchana; Tan, Kay Chen; Vadakkepat, Prahlad
2016-12-01
Evolutionary algorithms are effective in solving static multiobjective optimization problems resulting in the emergence of a number of state-of-the-art multiobjective evolutionary algorithms (MOEAs). Nevertheless, the interest in applying them to solve dynamic multiobjective optimization problems has only been tepid. Benchmark problems, appropriate performance metrics, as well as efficient algorithms are required to further the research in this field. One or more objectives may change with time in dynamic optimization problems. The optimization algorithm must be able to track the moving optima efficiently. A prediction model can learn the patterns from past experience and predict future changes. In this paper, a new dynamic MOEA using Kalman filter (KF) predictions in decision space is proposed to solve the aforementioned problems. The predictions help to guide the search toward the changed optima, thereby accelerating convergence. A scoring scheme is devised to hybridize the KF prediction with a random reinitialization method. Experimental results and performance comparisons with other state-of-the-art algorithms demonstrate that the proposed algorithm is capable of significantly improving the dynamic optimization performance.
Erdal, Daniel; Cirpka, Olaf A.
2017-02-01
Groundwater resources management requires operational, regional-scale groundwater models accounting for dominant spatial variability of aquifer properties and spatiotemporal variability of groundwater recharge. We test the Ensemble Kalman filter (EnKF) to estimate transient hydraulic heads and groundwater recharge, as well as the hydraulic conductivity and specific-yield distributions of a virtual phreatic aquifer. To speed up computation time, we use a coarsened spatial grid in the filter simulations, and reconstruct head measurements at observation points by a local model in the vicinity of the piezometer as part of the observation operator. We show that the EnKF can adequately estimate both the mean and spatial patterns of hydraulic conductivity when assimilating daily values of hydraulic heads from a highly variable initial sample. The filter can also estimate temporally variable recharge to a satisfactory level, as long as the ensemble size is large enough. Constraining the parameters on concentrations of groundwater-age tracers (here: tritium) and transient hydraulic-head observations cannot reasonably be done by the EnKF because the concentrations depend on the recharge history over longer times while the head observations have much shorter temporal support. We thus use a different method, the Kalman Ensemble Generator (KEG), to precondition the initial ensemble of the EnKF on the groundwater-age tracer data and time-averaged hydraulic-head values. The preconditioned initial ensemble exhibits a smaller spread as well as improved means and spatial patterns. The preconditioning improves the EnKF particularly for smaller ensemble sizes, allowing operational data assimilation with reduced computational effort. In a validation scenario of delineating groundwater protection zones, the preconditioned filter performs clearly better than the filter using the original initial ensemble.
Identification of hydrological model parameter variation using ensemble Kalman filter
Deng, Chao; Liu, Pan; Guo, Shenglian; Li, Zejun; Wang, Dingbao
2016-12-01
Hydrological model parameters play an important role in the ability of model prediction. In a stationary context, parameters of hydrological models are treated as constants; however, model parameters may vary with time under climate change and anthropogenic activities. The technique of ensemble Kalman filter (EnKF) is proposed to identify the temporal variation of parameters for a two-parameter monthly water balance model (TWBM) by assimilating the runoff observations. Through a synthetic experiment, the proposed method is evaluated with time-invariant (i.e., constant) parameters and different types of parameter variations, including trend, abrupt change and periodicity. Various levels of observation uncertainty are designed to examine the performance of the EnKF. The results show that the EnKF can successfully capture the temporal variations of the model parameters. The application to the Wudinghe basin shows that the water storage capacity (SC) of the TWBM model has an apparent increasing trend during the period from 1958 to 2000. The identified temporal variation of SC is explained by land use and land cover changes due to soil and water conservation measures. In contrast, the application to the Tongtianhe basin shows that the estimated SC has no significant variation during the simulation period of 1982-2013, corresponding to the relatively stationary catchment properties. The evapotranspiration parameter (C) has temporal variations while no obvious change patterns exist. The proposed method provides an effective tool for quantifying the temporal variations of the model parameters, thereby improving the accuracy and reliability of model simulations and forecasts.
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
Neural Network Aided Kalman Filtering For Integrated GPS/INS Navigation System
Directory of Open Access Journals (Sweden)
Haidong GUO
2013-01-01
Full Text Available Kalman filter (KF uses measurement updates to correct system states error and to limit the errors in navigation solutions. However, only when the system dynamic and measurement models are correctly defined, and the noise statistics for the process are completely known, KF can optimally estimate a system’s states. Without measurement updates, Kalman filter’s prediction diverges; therefore the performance of an integrated GPS/INS navigation system may degrade rapidly when GPS signals are unavailable. This paper presents a neural network (NN aided Kalman filtering method to improve navigation solutions of integrated GPS/INS navigation system. In the proposed loosely coupled GPS/INS navigation system, extended KF (EKF estimates the INS measurement errors, plus position, velocity and attitude errors, and provides precise navigation solutions while GPS signals are available. At the same time, multi-layer NN is trained to map the vehicle manoeuvre with INS prediction errors during each GPS epoch, which is the input of the EKF. During GPS signal blockages, the NN can be used to predict the INS errors for EKF measurement updates, and in this way to improve navigation solutions. The principle of this hybrid method and the NN design are presented. Land vehicle based field test data are processed to evaluate the performance of the proposed method.
Ait-El-Fquih, Boujemaa
2016-08-12
Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface ground-water models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model\\'s state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The joint EnKF directly updates the augmented state-parameter vector, whereas the dual EnKF empirically employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. To develop a Bayesian consistent dual approach and improve the state-parameter estimates and their consistency, we propose in this paper a one-step-ahead (OSA) smoothing formulation of the state-parameter Bayesian filtering problem from which we derive a new dual-type EnKF, the dual EnKF(OSA). Compared with the standard dual EnKF, it imposes a new update step to the state, which is shown to enhance the performance of the dual approach with almost no increase in the computational cost. Numerical experiments are conducted with a two-dimensional (2-D) synthetic groundwater aquifer model to investigate the performance and robustness of the proposed dual EnKFOSA, and to evaluate its results against those of the joint and dual EnKFs. The proposed scheme is able to successfully recover both the hydraulic head and the aquifer conductivity, providing further reliable estimates of their uncertainties. Furthermore, it is found to be more robust to different assimilation settings, such as the spatial and temporal distribution of the observations, and the level of noise in the data. Based on our experimental setups, it yields up to 25% more accurate state and parameter estimations than the joint and dual approaches.
A Recursive Kalman Filter Forecasting Approach
Douglas R. Kahl; Johannes Ledolter
1983-01-01
This paper examines the forecasting accuracy and the cost effectiveness of time series models with time-varying coefficients. A simulation study investigates the potential forecasting benefits of a proposed Kalman filter type adaptive estimation and forecasting approach. It is found that: (1) When appropriate, the time-varying coefficient approach leads to better forecasts than the constant coefficient procedures. (2) A simple decision rule, which indicates whether time-varying coefficient mo...
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
Dynamic State Estimation and Parameter Calibration of DFIG based on Ensemble Kalman Filter
Energy Technology Data Exchange (ETDEWEB)
Fan, Rui; Huang, Zhenyu; Wang, Shaobu; Diao, Ruisheng; Meng, Da
2015-07-30
With the growing interest in the application of wind energy, doubly fed induction generator (DFIG) plays an essential role in the industry nowadays. To deal with the increasing stochastic variations introduced by intermittent wind resource and responsive loads, dynamic state estimation (DSE) are introduced in any power system associated with DFIGs. However, sometimes this dynamic analysis canould not work because the parameters of DFIGs are not accurate enough. To solve the problem, an ensemble Kalman filter (EnKF) method is proposed for the state estimation and parameter calibration tasks. In this paper, a DFIG is modeled and implemented with the EnKF method. Sensitivity analysis is demonstrated regarding the measurement noise, initial state errors and parameter errors. The results indicate this EnKF method has a robust performance on the state estimation and parameter calibration of DFIGs.
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.
A Kalman Filtering Perspective for Multiatlas Segmentation.
Gao, Yi; Zhu, Liangjia; Cates, Joshua; MacLeod, Rob S; Bouix, Sylvain; Tannenbaum, Allen
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.
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.
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.
An introduction to Kalman filtering with Matlab examples
Kovvali, Narayan; Spanias, Andreas
2013-01-01
The Kalman filter is the Bayesian optimum solution to the problem of sequentially estimating the states of a dynamical system in which the state evolution and measurement processes are both linear and Gaussian. Given the ubiquity of such systems, the Kalman filter finds use in a variety of applications, e.g., target tracking, guidance and navigation, and communications systems. The purpose of this book is to present a brief introduction to Kalman filtering. The theoretical framework of the Kalman filter is first presented, followed by examples showing its use in practical applications. Extensi
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.
AMA- and RWE- Based Adaptive Kalman Filter for Denoising Fiber Optic Gyroscope Drift Signal.
Yang, Gongliu; Liu, Yuanyuan; Li, Ming; Song, Shunguang
2015-10-23
An improved double-factor adaptive Kalman filter called AMA-RWE-DFAKF is proposed to denoise fiber optic gyroscope (FOG) drift signal in both static and dynamic conditions. The first factor is Kalman gain updated by random weighting estimation (RWE) of the covariance matrix of innovation sequence at any time to ensure the lowest noise level of output, but the inertia of KF response increases in dynamic condition. To decrease the inertia, the second factor is the covariance matrix of predicted state vector adjusted by RWE only when discontinuities are detected by adaptive moving average (AMA).The AMA-RWE-DFAKF is applied for denoising FOG static and dynamic signals, its performance is compared with conventional KF (CKF), RWE-based adaptive KF with gain correction (RWE-AKFG), AMA- and RWE- based dual mode adaptive KF (AMA-RWE-DMAKF). Results of Allan variance on static signal and root mean square error (RMSE) on dynamic signal show that this proposed algorithm outperforms all the considered methods in denoising FOG signal.
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.
Ait-El-Fquih, Boujemaa; El Gharamti, Mohamad; Hoteit, Ibrahim
2016-08-01
Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The joint EnKF directly updates the augmented state-parameter vector, whereas the dual EnKF empirically employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. To develop a Bayesian consistent dual approach and improve the state-parameter estimates and their consistency, we propose in this paper a one-step-ahead (OSA) smoothing formulation of the state-parameter Bayesian filtering problem from which we derive a new dual-type EnKF, the dual EnKFOSA. Compared with the standard dual EnKF, it imposes a new update step to the state, which is shown to enhance the performance of the dual approach with almost no increase in the computational cost. Numerical experiments are conducted with a two-dimensional (2-D) synthetic groundwater aquifer model to investigate the performance and robustness of the proposed dual EnKFOSA, and to evaluate its results against those of the joint and dual EnKFs. The proposed scheme is able to successfully recover both the hydraulic head and the aquifer conductivity, providing further reliable estimates of their uncertainties. Furthermore, it is found to be more robust to different assimilation settings, such as the spatial and temporal distribution of the observations, and the level of noise in the data. Based on our experimental setups, it yields up to 25 % more accurate state and parameter estimations than the joint and dual approaches.
Detection of Harmonic Occurring using Kalman Filtering
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar; Shoro, Ghulam Mustafa; Imran, Raja Muhammed
2014-01-01
As long as the load to a power system is linear which has been the case before 80's, typically no harmonics are produced. However, the modern power electronic equipment for controlled power consumption produces harmonic disturbances, these devices/equipment possess nonlinear voltage/current chara...... using Kalman filter. This may be very useful for example to quickly switching on certain filters based on the harmonic present. We are using a unique technique to detect the occurrence of harmonics......./current characteristic. These harmonics are not to be allowed to grow beyond a certain limit to avoid any grave consequence to the customer’s main supply. Filters can be implemented at the power source or utility location to eliminate these harmonics. In this paper we detect the instance at which these harmonics occur...
Robust double gain unscented Kalman filter for small satellite attitude estimation
Cao, Lu; Yang, Weiwei; Li, Hengnian; Zhang, Zhidong; Shi, Jianjun
2017-08-01
Limited by the low precision of small satellite sensors, the estimation theories with high performance remains the most popular research topic for the attitude estimation. The Kalman filter (KF) and its extensions have been widely applied in the satellite attitude estimation and achieved plenty of achievements. However, most of the existing methods just take use of the current time-step's priori measurement residuals to complete the measurement update and state estimation, which always ignores the extraction and utilization of the previous time-step's posteriori measurement residuals. In addition, the uncertainty model errors always exist in the attitude dynamic system, which also put forward the higher performance requirements for the classical KF in attitude estimation problem. Therefore, the novel robust double gain unscented Kalman filter (RDG-UKF) is presented in this paper to satisfy the above requirements for the small satellite attitude estimation with the low precision sensors. It is assumed that the system state estimation errors can be exhibited in the measurement residual; therefore, the new method is to derive the second Kalman gain Kk2 for making full use of the previous time-step's measurement residual to improve the utilization efficiency of the measurement data. Moreover, the sequence orthogonal principle and unscented transform (UT) strategy are introduced to robust and enhance the performance of the novel Kalman Filter in order to reduce the influence of existing uncertainty model errors. Numerical simulations show that the proposed RDG-UKF is more effective and robustness in dealing with the model errors and low precision sensors for the attitude estimation of small satellite by comparing with the classical unscented Kalman Filter (UKF).
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.
Silva, Mónica A; Jonsen, Ian; Russell, Deborah J F; Prieto, Rui; Thompson, Dave; Baumgartner, Mark F
2014-01-01
Argos recently implemented a new algorithm to calculate locations of satellite-tracked animals that uses a Kalman filter (KF). The KF algorithm is reported to increase the number and accuracy of estimated positions over the traditional Least Squares (LS) algorithm, with potential advantages to the application of state-space methods to model animal movement data. We tested the performance of two Bayesian state-space models (SSMs) fitted to satellite tracking data processed with KF algorithm. Tracks from 7 harbour seals (Phoca vitulina) tagged with ARGOS satellite transmitters equipped with Fastloc GPS loggers were used to calculate the error of locations estimated from SSMs fitted to KF and LS data, by comparing those to "true" GPS locations. Data on 6 fin whales (Balaenoptera physalus) were used to investigate consistency in movement parameters, location and behavioural states estimated by switching state-space models (SSSM) fitted to data derived from KF and LS methods. The model fit to KF locations improved the accuracy of seal trips by 27% over the LS model. 82% of locations predicted from the KF model and 73% of locations from the LS model were model estimates (5.6 ± 5.6 km) was nearly half that of LS estimates (11.6 ± 8.4 km). Accuracy of KF and LS modelled locations was sensitive to precision but not to observation frequency or temporal resolution of raw Argos data. On average, 88% of whale locations estimated by KF models fell within the 95% probability ellipse of paired locations from LS models. Precision of KF locations for whales was generally higher. Whales' behavioural mode inferred by KF models matched the classification from LS models in 94% of the cases. State-space models fit to KF data can improve spatial accuracy of location estimates over LS models and produce equally reliable behavioural estimates.
Directory of Open Access Journals (Sweden)
D. R. Allen
2015-02-01
Full Text Available The feasibility of extracting wind information from stratospheric ozone observations is tested using ensemble Kalman filter (EnKF data assimilation (DA and a global shallow water model that includes advection of an ozone-like tracer. Simulated observations are created from a truth run (TR that resembles the Northern Hemisphere winter stratosphere with a polar vortex disturbed by planetary-scale wave forcing. Ozone observations mimic sampling of a polar-orbiting satellite, while geopotential height observations are randomly placed in space and time. EnKF experiments are performed assimilating ozone, height, or both over a 10 day period. The DA is also implemented using two different pairs of flow variables: zonal and meridional wind (EnKF-uv and streamfunction and velocity potential (EnKF-ψ χ. Each experiment is tuned for optimal localization length, while the ensemble spread is adaptively inflated using the TR. The experiments are evaluated using the maximum wind extraction potential (WEP. Ozone-only assimilation improves winds (WEP = 46% for EnKF-uv, and 58% for EnKF-ψ χ, but suffers from spurious gravity wave generation. Application of nonlinear normal mode initialization (NMI greatly reduces the unwanted imbalance and increases the WEP for EnKF-uv (84% and EnKF-ψ χ (81%. Assimilation of only height observations also improved the winds (WEP = 59% for EnKF-uv, and 67% for EnKF-ψ χ, with much less imbalance compared to the ozone experiment. The assimilation of both height and ozone performed the best, with WEP increasing to ~ 87% (~ 90% with NMI for both EnKF-uv and EnKF-ψ χ, demonstrating that wind extraction from ozone assimilation can be beneficial even in a data-rich environment. Ozone assimilation particularly improves the tropical winds, which are not well constrained by height observations due to lack of geostrophy.
Allen, D. R.; Hoppel, K. W.; Kuhl, D. D.
2015-05-01
The feasibility of extracting wind information from stratospheric ozone observations is tested using ensemble Kalman filter (EnKF) data assimilation (DA) and a global shallow water model that includes advection of an ozone-like tracer. Simulated observations are created from a truth run (TR) that resembles the Northern Hemisphere winter stratosphere with a polar vortex disturbed by planetary-scale wave forcing. Ozone observations mimic sampling of a polar-orbiting satellite, while geopotential height observations are randomly placed in space and time. EnKF experiments are performed assimilating ozone, height, or both, over a 10-day period. The DA is also implemented using two different pairs of flow variables: zonal and meridional wind (EnKF-uv) and stream function and velocity potential (EnKF-ψχ). Each experiment is tuned for optimal localization length, while the ensemble spread is adaptively inflated using the TR. The experiments are evaluated using the maximum wind extraction potential (WEP). Ozone only assimilation improves winds (WEP = 46% for EnKF-uv, and 58% for EnKF-ψχ), but suffers from spurious gravity wave generation. Application of nonlinear normal mode initialization (NMI) greatly reduces the unwanted imbalance and increases the WEP for EnKF-uv (84%) and EnKF-ψχ (81%). Assimilation of only height observations also improved the winds (WEP = 60% for EnKF-uv, and 69% for EnKF-ψχ), with much less imbalance compared to the ozone experiment. The assimilation of both height and ozone performed the best, with WEP increasing to ~87% (~90% with NMI) for both EnKF-uv and EnKF-ψχ, demonstrating that wind extraction from ozone assimilation can be beneficial even in a data-rich environment. Ozone assimilation particularly improves the tropical winds, which are not well constrained by height observations due to lack of geostrophy.
Tests of an ensemble Kalman filter for mesoscale and regional-scale data assimilation
Meng, Zhiyong
This dissertation examines the performance of an ensemble Kalman filter (EnKF) implemented in a mesoscale model in increasingly realistic contexts from under a perfect model assumption and in the presence of significant model error with synthetic observations to real-world data assimilation in comparison to the three-dimensional variational (3DVar) method via both case study and month-long experiments. The EnKF is shown to be promising for future application in operational data assimilation practice. The EnKF with synthetic observations, which is implemented in the mesoscale model MM5, is very effective in keeping the analysis close to the truth under the perfect model assumption. The EnKF is most effective in reducing larger-scale errors but less effective in reducing errors at smaller, marginally resolvable scales. In the presence of significant model errors from physical parameterization schemes, the EnKF performs reasonably well though sometimes it can be significantly degraded compared to its performance under the perfect model assumption. Using a combination of different physical parameterization schemes in the ensemble (the so-called "multi-scheme" ensemble) can significantly improve filter performance due to the resulting better background error covariance and a smaller ensemble bias. The EnKF performs differently for different flow regimes possibly due to scale- and flow-dependent error growth dynamics and predictability. Real-data (including soundings, profilers and surface observations) are assimilated by directly comparing the EnKF and 3DVar and both are implemented in the Weather Research and Forecasting model. A case study and month-long experiments show that the EnKF is efficient in tracking observations in terms of both prior forecast and posterior analysis. The EnKF performs consistently better than 3DVar for the time period of interest due to the benefit of the EnKF from both using ensemble mean for state estimation and using a flow
Sen, Subhamoy; Crinière, Antoine; Mevel, Laurent; Cerou, Frederic; Dumoulin, Jean
2017-04-01
Keywords: Parameter estimation; Kalman filter; Particle filter; Particle-Kalman filter; Correlated noise Although Kalman filter (KF) was originally proposed for system control i.e. steering a system as desired by monitoring the system states, its application for parameter estimation problems is widespread because of the excellent similarity between these two apparently different problem types in state space description. In standard Kalman filter, system dynamics is described through the dynamics of certain internal variable, termed as states, evolving over time as defined by an assumed process model, while a measurement model maps these states to measurements. In some parameter estimation problems, the system is replaced by a state space formulation of the dynamic model with parameters appended in the unobserved states and collectively observed through the response measurements. Filtering based parameter estimation problems are thus inherently nonlinear due to the required nonlinear mapping of parameters to the corresponding observations. Being a linear estimator, Kalman Filter (KF) cannot be employed for such nonlinear system estimation and alternative filtering algorithms (eg. Particle filter) are therefore generally used. However, being model based, these filters optimally estimate the parameters of a quasi-static model of the real dynamic system. Consequently, any time variation in the system dynamics may completely diverge the estimation yielding a false or infeasible solution. By decoupling the estimation of system states and parameters, and applying concurrent filtering strategy that attempts conditional estimation of states based on parameters and vice versa, time varying systems can be estimated. This article attempts to combine KF with Particle filter (PF) and apply them for estimation of states and system parameters respectively on a system with correlated noise in process and measurement. The idea is to nest a bank of linear KFs for state estimation
Directory of Open Access Journals (Sweden)
E. Crestani
2013-04-01
Full Text Available Estimating the spatial variability of hydraulic conductivity K in natural aquifers is important for predicting the transport of dissolved compounds. Especially in the nonreactive case, the plume evolution is mainly controlled by the heterogeneity of K. At the local scale, the spatial distribution of K can be inferred by combining the Lagrangian formulation of the transport with a Kalman-filter-based technique and assimilating a sequence of time-lapse concentration C measurements, which, for example, can be evaluated on site through the application of a geophysical method. The objective of this work is to compare the ensemble Kalman filter (EnKF and the ensemble smoother (ES capabilities to retrieve the hydraulic conductivity spatial distribution in a groundwater flow and transport modeling framework. The application refers to a two-dimensional synthetic aquifer in which a tracer test is simulated. Moreover, since Kalman-filter-based methods are optimal only if each of the involved variables fit to a Gaussian probability density function (pdf and since this condition may not be met by some of the flow and transport state variables, issues related to the non-Gaussianity of the variables are analyzed and different transformation of the pdfs are considered in order to evaluate their influence on the performance of the methods. The results show that the EnKF reproduces with good accuracy the hydraulic conductivity field, outperforming the ES regardless of the pdf of the concentrations.
Suboptimal distributed Kalman filtering fusion with feedback
Institute of Scientific and Technical Information of China (English)
Zhao Minhua; Zhu Zhuanmin; Shi Meng; Peng Qinke; Huang Yongxuan
2005-01-01
In order to improve the accuracy of fusion algorithm, feedback is introduced into Kalman filtering fusion. Fusion center broadcasts its latest estimated states to the local sensors, which can improve the performance of local tracking error through reducing the covariance of each local error, and only needs calculating the trace of error variance matrices without calculating the inverse of error variance matrices. Simulation results show that it can reduce the computational complexity and the covariance of error, and it is convenient for engineering applications.
Radio Channel State Prediction by Kalman Filter
Directory of Open Access Journals (Sweden)
Peter Ziacik
2005-01-01
Full Text Available In this article there is the description Kalman filter using as a radio channel state predictor. Simulator of prediction has been created in MATLAB environment and it is capable to simulate the prediction of radio signal envelope by Clark’s model of radio channel, which is implemented to the simulator. Simulations were realized for prediction range 0.41 ms and 6.24 ms and as comparing criterion we used the prediction error. It is clear from simulations, that with the duration of prediction the prediction error is enlarging, which may cause the erroneous decision of adaptation algorithms.
Enhanced Kalman Filtering for a 2D CFD NS Wind Farm Flow Model
Doekemeijer, B. M.; van Wingerden, J. W.; Boersma, S.; Pao, L. Y.
2016-09-01
Wind turbines are often grouped together for financial reasons, but due to wake development this usually results in decreased turbine lifetimes and power capture, and thereby an increased levelized cost of energy (LCOE). Wind farm control aims to minimize this cost by operating turbines at their optimal control settings. Most state-of-the-art control algorithms are open-loop and rely on low fidelity, static flow models. Closed-loop control relying on a dynamic model and state observer has real potential to further decrease wind's LCOE, but is often too computationally expensive for practical use. In this paper two time-efficient Kalman filter (KF) variants are outlined incorporating the medium fidelity, dynamic flow model “WindFarmSimulator” (WFSim). This model relies on a discretized set of Navier-Stokes equations in two dimensions to predict the flow in wind farms at low computational cost. The filters implemented are an Ensemble KF and an Approximate KF. Simulations in which a high fidelity simulation model represents the true wind farm show that these filters are 101 —102 times faster than a regular KF with comparable or better performance, correcting for wake dynamics that are not modeled in WFSim (noticeably, wake meandering and turbine hub effects). This is a first big step towards real-time closed-loop control for wind farms.
Vehicle Sideslip Angle Estimation Based on Hybrid Kalman Filter
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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.
SIMULASI FILTER KALMAN UNTUK ESTIMASI SUDUT DENGAN MENGGUNAKAN SENSOR GYROSCOPE
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Wahyudi Wahyudi
2012-02-01
Full Text Available The Kalman filter is a recursive solution to the process linear filtering problem that can remove the noisefrom signal and then the information can useful. The process that use Kalman filter must be approximatedas two equations of linear system, state equation and output equation. Computation of Kalman filter isminimizes the mean of the square error. This paper explore the basic consepts of the Kalman filteralgorithm and simulate its to filter data of gyroscope to get a rotation. The measurement noise covariancedetermines how much information from the sample is used. If measurement noise covariance is high showthat the measurement isn’t very accurate. The process noise covariance contributes to the overalluncertainty of the estimate as it is added to the error covariance matrix in each time step. If the errorcovariance matrix is small the Kalman filter incorporates a lot less of the measurement into estimate ofrotation.
Liquid Level Estimation in Dynamic Condition using Kalman Filter
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Sagar Kapale
2016-08-01
Full Text Available The aim of this paper is to estimate true liquid level of tank from noisy measurements due to dynamic conditions using kalman filter algorithm. We proposed kalman filter based approach to reduce noise in liquid level measurement system due to effect like sloshing. The function of kalman filter is to reduce error in liquid level measurement that produced from sensor resulting from effect like sloshing in dynamic environment. A prototype model was constructed and placed in dynamic condition, level data was acquired using ultrasonic sensor to verify the effectiveness of kalman filter. The tabulated data are shown for comparison of accuracy and error analysis between both measurements with Kalman filter and statistical averaging filter. After several test with different liquid levels and analysis of the recorded data, the technique shows the usefulness in liquid level measurement application in dynamic condition.
VLBI TRF determination via Kalman filtering
Soja, Benedikt; Karbon, Maria; Nilsson, Tobias; Glaser, Susanne; Balidakis, Kyriakos; Heinkelmann, Robert; Schuh, Harald
2015-04-01
The determination of station positions is one of the primary tasks for space geodetic techniques. Station coordinate offsets are usually determined with respect to a linear coordinate model after removing elastic displacements caused by mass redistributions within the Earth's system. In operational VLBI analysis, the coordinate offsets are estimated in a least-squares adjustment as a constant over the duration of a 24-hour VLBI experiment. Terrestrial reference frames (TRF) are usually derived by adjusting the normal equations that contain the 24-hour constant offsets in order to estimate a linear model, possibly including breaks, for the station positions. We have created a VLBI TRF solution without the assumption of negligible subdaily motion and of linear behavior on longer time scales by applying a Kalman filter. As a preparation for the upcoming VLBI Global Observing System (VGOS), which aims for continuous observations that are available in real-time, a Kalman filter has been implemented into the VLBI software VieVS@GFZ. In addition to the real-time capability, the filter offers the possibility of stochastically modeling the parameters of interest. For station coordinates, changes in a subdaily time frame occur, for instance, from un- or mismodeled geophysical effects. The models for tidal and non-tidal ocean, atmosphere, and hydrology loading are known to have deficiencies and inconsistencies which propagate into the estimated station coordinates. The stochastic model of the Kalman filter can be adapted to take these subdaily effects into account. Comparing the resulting station coordinate time series with daily values from a least squares fit, we have investigated to what extent and in which regions the loading models currently have deficiencies. Due to the high correlation between station height and tropospheric delays, it is possible that errors in one group of parameters are partly absorbed by the other group. To detect problems with correlations and to
An Adaptive Approach to Mitigate Background Covariance Limitations in the Ensemble Kalman Filter
Song, Hajoon
2010-07-01
A new approach is proposed to address the background covariance limitations arising from undersampled ensembles and unaccounted model errors in the ensemble Kalman filter (EnKF). The method enhances the representativeness of the EnKF ensemble by augmenting it with new members chosen adaptively to add missing information that prevents the EnKF from fully fitting the data to the ensemble. The vectors to be added are obtained by back projecting the residuals of the observation misfits from the EnKF analysis step onto the state space. The back projection is done using an optimal interpolation (OI) scheme based on an estimated covariance of the subspace missing from the ensemble. In the experiments reported here, the OI uses a preselected stationary background covariance matrix, as in the hybrid EnKF–three-dimensional variational data assimilation (3DVAR) approach, but the resulting correction is included as a new ensemble member instead of being added to all existing ensemble members. The adaptive approach is tested with the Lorenz-96 model. The hybrid EnKF–3DVAR is used as a benchmark to evaluate the performance of the adaptive approach. Assimilation experiments suggest that the new adaptive scheme significantly improves the EnKF behavior when it suffers from small size ensembles and neglected model errors. It was further found to be competitive with the hybrid EnKF–3DVAR approach, depending on ensemble size and data coverage.
Kalman Filter Tracking on Parallel Architectures
Directory of Open Access Journals (Sweden)
Cerati Giuseppe
2016-01-01
Full Text Available 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 Filter Tracking on Parallel Architectures
Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2016-11-01
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 Filter Tracking on Parallel Architectures
Cerati, Giuseppe; Elmer, Peter; Lantz, Steven; McDermott, Kevin; Riley, Dan; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2015-12-01
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, but the future will be even more exciting. In order to stay within the power density limits but still obtain Moore's Law performance/price gains, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Example technologies today include Intel's Xeon Phi and GPGPUs. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High Luminosity 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 including Cellular Automata or returning to Hough Transform. The most common track finding techniques in use today are however those based on the Kalman Filter [2]. 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 exactly those being used today for the design of the tracking system for HL-LHC. Our previous investigations showed that, using optimized data structures, track fitting with Kalman Filter can achieve large speedup both with Intel Xeon and Xeon Phi. We report here our further progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a realistic simulation setup.
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...
On sequential observation processing in localized ensemble Kalman filters
Nerger, Lars
2014-01-01
The different variants of current ensemble square-root Kalman filters assimilate either all observations at once or perform a sequence in which batches of observations or each single observation is assimilated. The sequential observation processing is used in filter algorithms like the ensemble adjustment Kalman filter (EAKF) and the ensemble square-root filter (EnSRF) and can result in computationally efficient algorithms because matrix inversions in the observation space are reduced to the ...
Rapid Transfer Alignment of MEMS SINS Based on Adaptive Incremental Kalman Filter
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Hairong Chu
2017-01-01
Full Text Available In airborne MEMS SINS transfer alignment, the error of MEMS IMU is highly environment-dependent and the parameters of the system model are also uncertain, which may lead to large error and bad convergence of the Kalman filter. In order to solve this problem, an improved adaptive incremental Kalman filter (AIKF algorithm is proposed. First, the model of SINS transfer alignment is defined based on the “Velocity and Attitude” matching method. Then the detailed algorithm progress of AIKF and its recurrence formulas are presented. The performance and calculation amount of AKF and AIKF are also compared. Finally, a simulation test is designed to verify the accuracy and the rapidity of the AIKF algorithm by comparing it with KF and AKF. The results show that the AIKF algorithm has better estimation accuracy and shorter convergence time, especially for the bias of the gyroscope and the accelerometer, which can meet the accuracy and rapidity requirement of transfer alignment.
Rapid Transfer Alignment of MEMS SINS Based on Adaptive Incremental Kalman Filter.
Chu, Hairong; Sun, Tingting; Zhang, Baiqiang; Zhang, Hongwei; Chen, Yang
2017-01-14
In airborne MEMS SINS transfer alignment, the error of MEMS IMU is highly environment-dependent and the parameters of the system model are also uncertain, which may lead to large error and bad convergence of the Kalman filter. In order to solve this problem, an improved adaptive incremental Kalman filter (AIKF) algorithm is proposed. First, the model of SINS transfer alignment is defined based on the "Velocity and Attitude" matching method. Then the detailed algorithm progress of AIKF and its recurrence formulas are presented. The performance and calculation amount of AKF and AIKF are also compared. Finally, a simulation test is designed to verify the accuracy and the rapidity of the AIKF algorithm by comparing it with KF and AKF. The results show that the AIKF algorithm has better estimation accuracy and shorter convergence time, especially for the bias of the gyroscope and the accelerometer, which can meet the accuracy and rapidity requirement of transfer alignment.
Analysis of Dynamic Performance of a Kalman Filter for Combining Multiple MEMS Gyroscopes
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Liang Xue
2014-11-01
Full Text Available In this paper, the dynamic performance of a Kalman filter (KF was analyzed, which is used to combine multiple measurements of a gyroscopes array to reduce the noise and improve the accuracy of the individual sensors. A principle for accuracy improvement by the KF was briefly presented to obtain an optimal estimate of input rate signal. In particular, the influences of some crucial factors on the KF dynamic performance were analyzed by simulations such as the factors input signal frequency, signal sampling, and KF filtering rate. Finally, a system that was comprised of a six-gyroscope array was designed and implemented to test the dynamic performance. Experimental results indicated that the 1σ error for the combined rate signal was reduced to about 0.2°/s in the constant rate test, which was a reduction by a factor of more than eight compared to the single gyroscope. The 1σ error was also reduced from 1.6°/s to 0.48°/s in the swing test. It showed that the estimated angular rate signal could well reflect the dynamic characteristic of the input signal in dynamic conditions.
Coupling Ensemble Kalman Filter with Four-dimensional Variational Data Assimilation
Institute of Scientific and Technical Information of China (English)
Fuqing ZHANG; Meng ZHANG; James A. HANSEN
2009-01-01
This study examines the performance of coupling the deterministic four-dimensional variational assimilation system (4DVAR) with an ensemble Kalman filter (EnKF) to produce a superior hybrid approach for data assimilation. The coupled assimilation scheme (E4DVAR) benefits from using the state-dependent uncertainty provided by EnKF while taking advantage of 4DVAR in preventing filter divergence: the 4DVAR analysis produces posterior maximum likelihood solutions through minimization of a cost function about which the ensemble perturbations are transformed, and the resulting ensemble analysis can be propagated forward both for the next assimilation cycle and as a basis for ensemble forecasting. The feasibility and effectiveness of this coupled approach are demonstrated in an idealized model with simulated observations. It is found that the E4DVAR is capable of outperforming both 4DVAR and the EnKF under both perfect-and imperfect-model scenarios. The performance of the coupled scheme is also less sensitive to either the ensemble size or the assimilation window length than those for standard EnKF or 4DVAR implementations.
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.
FUZZY OPTIMIZATION USING EXTENDED KALMAN FILTER
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M.DIVYA
2013-01-01
Full Text Available Fuzzy Logic is based on the idea that in fuzzy sets each element in the set can assume a value from 0 to 1, not only 0 or 1, as in crisp set theory. The degree of membership function is defined as the gradation in the extent to which an element is belonging to the relevant sets. Optimizing the membership functions of a fuzzy system can be viewed as a system identification problem for nonlinear dynamic system. In this paper two input and one output fuzzy controller is designed for the dynamic process of aircraft. The addition of an EKF in the feedback loop improved the system response by blocking possible effects of measurement error based on Predictor-Corrector algorithm. An Extended Kalman Filter approach to optimize the membership functions of the inputs and outputs of the fuzzy controller. The performance of the fuzzy system before and after the optimization are compared, as well as the membership functions.
Kalman Filter Tracking on Parallel Architectures
Cerati, Giuseppe; Lantz, Steven; McDermott, Kevin; Riley, Dan; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2015-01-01
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, but the future will be even more exciting. In order to stay within the power density limits but still obtain Moore's Law performance/price gains, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Example technologies today include Intel's Xeon Phi and GPGPUs. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High Luminosity 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 including Cellular Automata or returning to Hough Transform. The most common track finding techniques in use today are however those based on the Kalman Filter. Significant experience has...
Kalman Filter Tracking on Parallel Architectures
Cerati, Giuseppe; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevz; Wittich, Peter; Wuerthwein, 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. To stay within the power density limits but still obtain Moore's Law performance/price gains, 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 the Kalman Filter. Significant experience has been accumulated with these techniques on real tracking detector sy...
Vehicle Tracking Using Kalman Filter and Features
Directory of Open Access Journals (Sweden)
Amir Salarpour
2011-09-01
Full Text Available Vehicle tracking has a wide variety of applications. The image resolution of the video available from most traffic camera system is low. In many cases for tracking multi object, distinguishing them from another isn’t easy because of their similarity. In this paper we describe a method, for tracking multiple objects, where the objects are vehicles. The number of vehicles is unknown and varies. We detect all moving objects, and for tracking of vehicle we use the kalman filter and color feature and distance of it from one frame to the next. So the method can distinguish and tracking all vehicles individually. The proposed algorithm can be applied to multiple moving objects.
Kalman filtering approach to blind equalization
Kutlu, Mehmet
1993-12-01
Digital communication systems suffer from the channel distortion problem which introduces errors due to intersymbol interference. The solution to this problem is provided by equalizers which use a training sequence to adapt to the channel. However in many cases in which a training sequence is unfeasible, the channel must be adapted blindly. Most of the blind equalization algorithms known so far have problems of convergence to local minima. Our intention is to offer an alternative approach by using extended Kalman filtering and hidden Markov models. They seem to yield more efficient algorithms which take the statistics of the transmitted sequence into consideration. The theoretical development of these new algorithms is discussed in this thesis. Also these algorithms have been simulated under different conditions. The results of simulations and comparisons with existing systems are provided. The models for simulations are presented as MATLAB codes.
Optimized object tracking technique using Kalman filter
Directory of Open Access Journals (Sweden)
Liana Ellen Taylor
2016-07-01
Full Text Available This paper focused on the design of an optimized object tracking technique which would minimize the processing time required in the object detection process while maintaining accuracy in detecting the desired moving object in a cluttered scene. A Kalman filter based cropped image is used for the image detection process as the processing time is significantly less to detect the object when a search window is used that is smaller than the entire video frame. This technique was tested with various sizes of the window in the cropping process. MATLAB® was used to design and test the proposed method. This paper found that using a cropped image with 2.16 multiplied by the largest dimension of the object resulted in significantly faster processing time while still providing a high success rate of detection and a detected center of the object that was reasonably close to the actual center.
Yao, Yu; Cheng, Kai; Zhou, Zhi-Jie; Zhang, Bang-Cheng; Dong, Chao; Zheng, Sen
2015-11-01
A tracked vehicle has been widely used in exploring unknown environments and military fields. In current methods for suiting soil conditions, soil parameters need to be given and the traction performance cannot always be satisfied on soft soil. To solve the problem, it is essential to estimate track-soil parameters in real-time. Therefore, a detailed mathematical model is proposed for the first time. Furthermore, a novel algorithm which is composed of Kalman filter (KF) and improved strong tracking filter (STF) is developed for online track-soil estimation and named as KF-ISTF. By this method, the KF is used to estimate slip parameters, and the ISTF is used to estimate motion states. Then the key soil parameters can be estimated by using a suitable soil model. The experimental results show that equipped with the estimation algorithm, the proposed model can be used to estimate the track-soil parameters, and make the traction performance satisfied with soil conditions.
Emulation of an ensemble Kalman filter algorithm on a flood wave propagation model
Barthélémy, S.; Ricci, S.; Pannekoucke, O.; Thual, O.; Malaterre, P. O.
2013-06-01
This study describes the emulation of an Ensemble Kalman Filter (EnKF) algorithm on a 1-D flood wave propagation model. This model is forced at the upstream boundary with a random variable with gaussian statistics and a correlation function in time with gaussian shape. This allows for, in the case without assimilation, the analytical study of the covariance functions of the propagated signal anomaly. This study is validated numerically with an ensemble method. In the case with assimilation with one observation point, where synthetical observations are generated by adding an error to a true state, the dynamic of the background error covariance functions is not straightforward and a numerical approach using an EnKF algorithm is prefered. First, those numerical experiments show that both background error variance and correlation length scale are reduced at the observation point. This reduction of variance and correlation length scale is propagated downstream by the dynamics of the model. Then, it is shown that the application of a Best Linear Unbiased Estimator (BLUE) algorithm using the background error covariance matrix converged from the EnKF algorithm, provides the same results as the EnKF but with a cheaper computational cost, thus allowing for the use of data assimilation in the context of real time flood forecasting. Moreover it was demonstrated that the reduction of background error correlation length scale and variance at the observation point depends on the error observation statistics. This feature is quantified by abacus built from linear regressions over a limited set of EnKF experiments. These abacus that describe the background error variance and the correlation length scale in the neighboring of the observation point combined with analytical expressions that describe the background error variance and the correlation length scale away from the observation point provide parametrized models for the variance and the correlation length scale. Using this
Emulation of an ensemble Kalman filter algorithm on a flood wave propagation model
Directory of Open Access Journals (Sweden)
S. Barthélémy
2013-06-01
Full Text Available This study describes the emulation of an Ensemble Kalman Filter (EnKF algorithm on a 1-D flood wave propagation model. This model is forced at the upstream boundary with a random variable with gaussian statistics and a correlation function in time with gaussian shape. This allows for, in the case without assimilation, the analytical study of the covariance functions of the propagated signal anomaly. This study is validated numerically with an ensemble method. In the case with assimilation with one observation point, where synthetical observations are generated by adding an error to a true state, the dynamic of the background error covariance functions is not straightforward and a numerical approach using an EnKF algorithm is prefered. First, those numerical experiments show that both background error variance and correlation length scale are reduced at the observation point. This reduction of variance and correlation length scale is propagated downstream by the dynamics of the model. Then, it is shown that the application of a Best Linear Unbiased Estimator (BLUE algorithm using the background error covariance matrix converged from the EnKF algorithm, provides the same results as the EnKF but with a cheaper computational cost, thus allowing for the use of data assimilation in the context of real time flood forecasting. Moreover it was demonstrated that the reduction of background error correlation length scale and variance at the observation point depends on the error observation statistics. This feature is quantified by abacus built from linear regressions over a limited set of EnKF experiments. These abacus that describe the background error variance and the correlation length scale in the neighboring of the observation point combined with analytical expressions that describe the background error variance and the correlation length scale away from the observation point provide parametrized models for the variance and the correlation length
Conservation of Mass and Preservation of Positivity with Ensemble-Type Kalman Filter Algorithms
Janjic, Tijana; Mclaughlin, Dennis; Cohn, Stephen E.; Verlaan, Martin
2014-01-01
This paper considers the incorporation of constraints to enforce physically based conservation laws in the ensemble Kalman filter. In particular, constraints are used to ensure that the ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. In certain situations filtering algorithms such as the ensemble Kalman filter (EnKF) and ensemble transform Kalman filter (ETKF) yield updated ensembles that conserve mass but are negative, even though the actual states must be nonnegative. In such situations if negative values are set to zero, or a log transform is introduced, the total mass will not be conserved. In this study, mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate non-negativity constraints. Simple numerical experiments indicate that this approach can have a significant positive impact on the posterior ensemble distribution, giving results that are more physically plausible both for individual ensemble members and for the ensemble mean. In two examples, an update that includes a non-negativity constraint is able to properly describe the transport of a sharp feature (e.g., a triangle or cone). A number of implementation questions still need to be addressed, particularly the need to develop a computationally efficient quadratic programming update for large ensemble.
Inversion of Tsunamis Characteristics from Sediment Deposits Based on Ensemble Kalman Filtering
Wang, Jian-Xun; Xiao, Heng; Weiss, Robert
2015-01-01
Sediment deposits are the only leftover records from paleo tsunami events. Therefore, inverse modeling method based on the information contained in the deposit is an indispensable way of deciphering the quantitative characteristics of the tsunamis, e.g., the flow speed and the flow depth. While several models have been proposed to perform tsunami inversion, i.e., to infer the tsunami characteristics based on the sediment deposits, the existing methods lack mathematical rigorousness and are not able to account for uncertainties in the inferred quantities. In this work, we propose an inversion scheme based on Ensemble Kalman Filtering (EnKF) to infer tsunami characteristics from sediment deposits. In contrast to traditional data assimilation methods using EnKF, a novelty of the current work is that we augment the system state to include both the physical variables (sediment fluxes) that are observable and the unknown parameters (flow speed and flow depth) to be inferred. Based on the rigorous Bayesian inference...
Fuzzy State Transition and Kalman Filter Applied in Short-Term Traffic Flow Forecasting.
Deng, Ming-jun; Qu, Shi-ru
2015-01-01
Traffic flow is widely recognized as an important parameter for road traffic state forecasting. Fuzzy state transform and Kalman filter (KF) have been applied in this field separately. But the studies show that the former method has good performance on the trend forecasting of traffic state variation but always involves several numerical errors. The latter model is good at numerical forecasting but is deficient in the expression of time hysteretically. This paper proposed an approach that combining fuzzy state transform and KF forecasting model. In considering the advantage of the two models, a weight combination model is proposed. The minimum of the sum forecasting error squared is regarded as a goal in optimizing the combined weight dynamically. Real detection data are used to test the efficiency. Results indicate that the method has a good performance in terms of short-term traffic forecasting.
Yoon, Paul K; Zihajehzadeh, Shaghayegh; Bong-Soo Kang; Park, Edward J
2015-08-01
This paper proposes a novel indoor localization method using the Bluetooth Low Energy (BLE) and an inertial measurement unit (IMU). The multipath and non-line-of-sight errors from low-power wireless localization systems commonly result in outliers, affecting the positioning accuracy. We address this problem by adaptively weighting the estimates from the IMU and BLE in our proposed cascaded Kalman filter (KF). The positioning accuracy is further improved with the Rauch-Tung-Striebel smoother. The performance of the proposed algorithm is compared against that of the standard KF experimentally. The results show that the proposed algorithm can maintain high accuracy for position tracking the sensor in the presence of the outliers.
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.
Dai, Haifeng; Zhu, Letao; Zhu, Jiangong; Wei, Xuezhe; Sun, Zechang
2015-10-01
The accurate monitoring of battery cell temperature is indispensible to the design of battery thermal management system. To obtain the internal temperature of a battery cell online, an adaptive temperature estimation method based on Kalman filtering and an equivalent time-variant electrical network thermal (EENT) model is proposed. The EENT model uses electrical components to simulate the battery thermodynamics, and the model parameters are obtained with a least square algorithm. With a discrete state-space description of the EENT model, a Kalman filtering (KF) based internal temperature estimator is developed. Moreover, considering the possible time-varying external heat exchange coefficient, a joint Kalman filtering (JKF) based estimator is designed to simultaneously estimate the internal temperature and the external thermal resistance. Several experiments using the hard-cased LiFePO4 cells with embedded temperature sensors have been conducted to validate the proposed method. Validation results show that, the EENT model expresses the battery thermodynamics well, the KF based temperature estimator tracks the real central temperature accurately even with a poor initialization, and the JKF based estimator can simultaneously estimate both central temperature and external thermal resistance precisely. The maximum estimation errors of the KF- and JKF-based estimators are less than 1.8 °C and 1 °C respectively.
Performance analysis of improved iterated cubature Kalman filter and its application to GNSS/INS.
Cui, Bingbo; Chen, Xiyuan; Xu, Yuan; Huang, Haoqian; Liu, Xiao
2017-01-01
In order to improve the accuracy and robustness of GNSS/INS navigation system, an improved iterated cubature Kalman filter (IICKF) is proposed by considering the state-dependent noise and system uncertainty. First, a simplified framework of iterated Gaussian filter is derived by using damped Newton-Raphson algorithm and online noise estimator. Then the effect of state-dependent noise coming from iterated update is analyzed theoretically, and an augmented form of CKF algorithm is applied to improve the estimation accuracy. The performance of IICKF is verified by field test and numerical simulation, and results reveal that, compared with non-iterated filter, iterated filter is less sensitive to the system uncertainty, and IICKF improves the accuracy of yaw, roll and pitch by 48.9%, 73.1% and 83.3%, respectively, compared with traditional iterated KF.
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…
Sana, Furrukh
2016-02-23
Estimating the locations and the structures of subsurface channels holds significant importance for forecasting the subsurface flow and reservoir productivity. These channels exhibit high permeability and are easily contrasted from the low-permeability rock formations in their surroundings. This enables formulating the flow channels estimation problem as a sparse field recovery problem. The ensemble Kalman filter (EnKF) is a widely used technique for the estimation and calibration of subsurface reservoir model parameters, such as permeability. However, the conventional EnKF framework does not provide an efficient mechanism to incorporate prior information on the wide varieties of subsurface geological structures, and often fails to recover and preserve flow channel structures. Recent works in the area of compressed sensing (CS) have shown that estimating in a sparse domain, using algorithms such as the orthogonal matching pursuit (OMP), may significantly improve the estimation quality when dealing with such problems. We propose two new, and computationally efficient, algorithms combining OMP with the EnKF to improve the estimation and recovery of the subsurface geological channels. Numerical experiments suggest that the proposed algorithms provide efficient mechanisms to incorporate and preserve structural information in the EnKF and result in significant improvements in recovering flow channel structures.
Directory of Open Access Journals (Sweden)
Yi-Ming Chen
2017-01-01
Full Text Available Noninvasive medical procedures are usually preferable to their invasive counterparts in the medical community. Anemia examining through the palpebral conjunctiva is a convenient noninvasive procedure. The procedure can be automated to reduce the medical cost. We propose an anemia examining approach by using a Kalman filter (KF and a regression method. The traditional KF is often used in time-dependent applications. Here, we modified the traditional KF for the time-independent data in medical applications. We simply compute the mean value of the red component of the palpebral conjunctiva image as our recognition feature and use a penalty regression algorithm to find a nonlinear curve that best fits the data of feature values and the corresponding levels of hemoglobin (Hb concentration. To evaluate the proposed approach and several relevant approaches, we propose a risk evaluation scheme, where the entire Hb spectrum is divided into high-risk, low-risk, and doubtful intervals for anemia. The doubtful interval contains the Hb threshold, say 11 g/dL, separating anemia and nonanemia. A suspect sample is the sample falling in the doubtful interval. For the anemia screening purpose, we would like to have as less suspect samples as possible. The experimental results show that the modified KF reduces the number of suspect samples significantly for all the approaches considered here.
Kalman Filtering with Inequality Constraints for Turbofan Engine Health Estimation
Simon, Dan; Simon, Donald L.
2003-01-01
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 (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops two analytic methods of incorporating state variable inequality constraints in the Kalman filter. The first method is a general technique of using hard constraints to enforce inequalities on the state variable estimates. The resultant filter is a combination of a standard Kalman filter and a quadratic programming problem. The second method uses soft constraints to estimate state variables that are known to vary slowly with time. (Soft constraints are constraints that are required to be approximately satisfied rather than exactly satisfied.) The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is proven theoretically and shown via simulation results. The use of the algorithm is demonstrated on a linearized simulation of a turbofan engine to estimate health parameters. The turbofan engine model contains 16 state variables, 12 measurements, and 8 component health parameters. It is shown that the new algorithms provide improved performance in this example over unconstrained Kalman filtering.
Gharamti, M. E.
2015-05-11
The ensemble Kalman filter (EnKF) is a popular method for state-parameters estimation of subsurface flow and transport models based on field measurements. The common filtering procedure is to directly update the state and parameters as one single vector, which is known as the Joint-EnKF. In this study, we follow the one-step-ahead smoothing formulation of the filtering problem, to derive a new joint-based EnKF which involves a smoothing step of the state between two successive analysis steps. The new state-parameters estimation scheme is derived in a consistent Bayesian filtering framework and results in separate update steps for the state and the parameters. This new algorithm bears strong resemblance with the Dual-EnKF, but unlike the latter which first propagates the state with the model then updates it with the new observation, the proposed scheme starts by an update step, followed by a model integration step. We exploit this new formulation of the joint filtering problem and propose an efficient model-integration-free iterative procedure on the update step of the parameters only for further improved performances. Numerical experiments are conducted with a two-dimensional synthetic subsurface transport model simulating the migration of a contaminant plume in a heterogenous aquifer domain. Contaminant concentration data are assimilated to estimate both the contaminant state and the hydraulic conductivity field. Assimilation runs are performed under imperfect modeling conditions and various observational scenarios. Simulation results suggest that the proposed scheme efficiently recovers both the contaminant state and the aquifer conductivity, providing more accurate estimates than the standard Joint and Dual EnKFs in all tested scenarios. Iterating on the update step of the new scheme further enhances the proposed filter’s behavior. In term of computational cost, the new Joint-EnKF is almost equivalent to that of the Dual-EnKF, but requires twice more model
Eldirdiri, Abubakr; Courivaud, Frédéric; Palomar, Rafael; Hol, Per Kristian; Elle, Ole Jakob
2014-03-01
This paper presents and evaluates stochastic computer algorithms used to automatically detect and track marked catheter tip during MR-guided catheterization. The algorithms developed employ extraction and matching of regional features of the catheter tip to perform the localization. To perform the tracking, a probability map that indicates the possible locations of the catheter tip in the MR images is first generated. This map is generated from the similarity to a given marker template. The method to assess the similarity between the marker template image and the different positions on each MR frame is based on speeded-up robust features extracted from the gradient image. The probability map is then used in two different stochastic localization frameworks mean shift (MS) localization and Kalman filter (KF) to track the position of the catheter using pairs of orthogonal projection of 2D MR images. The algorithm developed was tested on catheter tip marked with LC resonant circuit (of size 2 mm x 2 cm) tuned to the Larmor frequency of the MRI scanner and for different image resolutions (1, 3, 5 and 7 mm squared pixel). The tracking performance was very robust for the two algorithms MS and KF with image resolution as low as 3 mm where the localization error was about 1 mm for KF and 0.9 mm for MS. For the 5-mm resolution images, the error was 2.2 mm for both KF and MS, and for the 7-mm resolution images, the error was 3.6 and 3.7 mm for KF and MS, respectively. Both KF and MS gave comparable results when it comes to accuracy for the different image resolutions. The results showed that the two tracking algorithms tracked the catheter tip with high robustness for image resolution of 3 mm and with acceptable reliability for image resolution as poor as 5 mm with the resonant marker configuration used.
Subspace System Identification of the Kalman Filter
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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.
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.
Concrete ensemble Kalman filters with rigorous catastrophic filter divergence
Kelly, David; Majda, Andrew J.; Tong, Xin T.
2015-01-01
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. PMID:26261335
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.
El Gharamti, Mohamad
2014-02-01
The accuracy of groundwater flow and transport model predictions highly depends on our knowledge of subsurface physical parameters. Assimilation of contaminant concentration data from shallow dug wells could help improving model behavior, eventually resulting in better forecasts. In this paper, we propose a joint state-parameter estimation scheme which efficiently integrates a low-rank extended Kalman filtering technique, namely the Singular Evolutive Extended Kalman (SEEK) filter, with the prominent complex-step method (CSM). The SEEK filter avoids the prohibitive computational burden of the Extended Kalman filter by updating the forecast along the directions of error growth only, called filter correction directions. CSM is used within the SEEK filter to efficiently compute model derivatives with respect to the state and parameters along the filter correction directions. CSM is derived using complex Taylor expansion and is second order accurate. It is proven to guarantee accurate gradient computations with zero numerical round-off errors, but requires complexifying the numerical code. We perform twin-experiments to test the performance of the CSM-based SEEK for estimating the state and parameters of a subsurface contaminant transport model. We compare the efficiency and the accuracy of the proposed scheme with two standard finite difference-based SEEK filters as well as with the ensemble Kalman filter (EnKF). Assimilation results suggest that the use of the CSM in the context of the SEEK filter may provide up to 80% more accurate solutions when compared to standard finite difference schemes and is competitive with the EnKF, even providing more accurate results in certain situations. We analyze the results based on two different observation strategies. We also discuss the complexification of the numerical code and show that this could be efficiently implemented in the context of subsurface flow models. © 2013 Elsevier B.V.
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.
Mass Conservation and Positivity Preservation with Ensemble-type Kalman Filter Algorithms
Janjic, Tijana; McLaughlin, Dennis B.; Cohn, Stephen E.; Verlaan, Martin
2013-01-01
Maintaining conservative physical laws numerically has long been recognized as being important in the development of numerical weather prediction (NWP) models. In the broader context of data assimilation, concerted efforts to maintain conservation laws numerically and to understand the significance of doing so have begun only recently. In order to enforce physically based conservation laws of total mass and positivity in the ensemble Kalman filter, we incorporate constraints to ensure that the filter ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. We show that the analysis steps of ensemble transform Kalman filter (ETKF) algorithm and ensemble Kalman filter algorithm (EnKF) can conserve the mass integral, but do not preserve positivity. Further, if localization is applied or if negative values are simply set to zero, then the total mass is not conserved either. In order to ensure mass conservation, a projection matrix that corrects for localization effects is constructed. In order to maintain both mass conservation and positivity preservation through the analysis step, we construct a data assimilation algorithms based on quadratic programming and ensemble Kalman filtering. Mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate constraints. Some simple numerical experiments indicate that this approach can have a significant positive impact on the posterior ensemble distribution, giving results that are more physically plausible both for individual ensemble members and for the ensemble mean. The results show clear improvements in both analyses and forecasts, particularly in the presence of localized features. Behavior of the algorithm is also tested in presence of model error.
Application of the Multimodel Ensemble Kalman Filter Method in Groundwater System
Directory of Open Access Journals (Sweden)
Liang Xue
2015-02-01
Full Text Available With the development of in-situ monitoring techniques, the ensemble Kalman filter (EnKF has become a popular data assimilation method due to its capability to jointly update model parameters and state variables in a sequential way, and to assess the uncertainty associated with estimation and prediction. To take the conceptual model uncertainty into account during the data assimilation process, a novel multimodel ensemble Kalman filter method has been proposed by incorporating the standard EnKF with Bayesian model averaging framework. In this paper, this method is applied to analyze the dataset obtained from the Hailiutu River Basin located in the northwest part of China. Multiple conceptual models are created by considering two important factors that control groundwater dynamics in semi-arid areas: the zonation pattern of the hydraulic conductivity field and the relationship between evapotranspiration and groundwater level. The results show that the posterior model weights of the postulated models can be dynamically adjusted according to the mismatch between the measurements and the ensemble predictions, and the multimodel ensemble estimation and the corresponding uncertainty can be quantified.
Directory of Open Access Journals (Sweden)
Amina Noor
2013-01-01
Full Text Available This paper proposes a novel algorithm for inferring gene regulatory networks which makes use of cubature Kalman filter (CKF and Kalman filter (KF techniques in conjunction with compressed sensing methods. The gene network is described using a state-space model. A nonlinear model for the evolution of gene expression is considered, while the gene expression data is assumed to follow a linear Gaussian model. The hidden states are estimated using CKF. The system parameters are modeled as a Gauss-Markov process and are estimated using compressed sensing-based KF. These parameters provide insight into the regulatory relations among the genes. The Cramér-Rao lower bound of the parameter estimates is calculated for the system model and used as a benchmark to assess the estimation accuracy. The proposed algorithm is evaluated rigorously using synthetic data in different scenarios which include different number of genes and varying number of sample points. In addition, the algorithm is tested on the DREAM4 in silico data sets as well as the in vivo data sets from IRMA network. The proposed algorithm shows superior performance in terms of accuracy, robustness, and scalability.
Khaki, Mehdi; Forootan, Ehsan; Kuhn, Michael; Awange, Joseph; Pattiaratchi, Charitha
2016-04-01
Quantifying large-scale (basin/global) water storage changes is essential to understand the Earth's hydrological water cycle. Hydrological models have usually been used to simulate variations in storage compartments resulting from changes in water fluxes (i.e., precipitation, evapotranspiration and runoff) considering physical or conceptual frameworks. Models however represent limited skills in accurately simulating the storage compartments that could be the result of e.g., the uncertainty of forcing parameters, model structure, etc. In this regards, data assimilation provides a great chance to combine observational data with a prior forecast state to improve both the accuracy of model parameters and to improve the estimation of model states at the same time. Various methods exist that can be used to perform data assimilation into hydrological models. The one more frequently used particle-based algorithms suitable for non-linear systems high-dimensional systems is the Ensemble Kalman Filtering (EnKF). Despite efficiency and simplicity (especially in EnKF), this method indicate some drawbacks. To implement EnKF, one should use the sample covariance of observations and model state variables to update a priori estimates of the state variables. The sample covariance can be suboptimal as a result of small ensemble size, model errors, model nonlinearity, and other factors. Small ensemble can also lead to the development of correlations between state components that are at a significant distance from one another where there is no physical relation. To investigate the under-sampling issue raise by EnKF, covariance inflation technique in conjunction with localization was implemented. In this study, a comparison between latest methods used in the data assimilation framework, to overcome the mentioned problem, is performed. For this, in addition to implementing EnKF, we introduce and apply the Local Ensemble Kalman Filter (LEnKF) utilizing covariance localization to remove
An Adaptive Kalman Filter Excisor for Suppressing Narrowband Interference
1993-11-01
interferences in- connues. Le filtre de Kalman doit alors "apprendre" ý ajuster un de ses param~tres pour effectuer le meilleur traitement. L’erreur est...4"L l B"• -- -- - - -.- ,_, . An~. A)7cQ 0 -QGOP II liii 111111 IIa( Naional 06fenso I ’ I Deence nitonals I "It AN ADAPTIVE KALMAN FILTER EXCISOR...Ottawa 0 A o~ oO Best Available COpy 4INational Defense Defence nationals AN ADAPTIVE KALMAN FILTER EXCISOR FOR SUPPRESSING NARROWBAND INTERFERENCE by
Bauser, H. H.; Jaumann, S.; Roth, K.
2015-12-01
The Ensemble Kalman Filter (EnKF) is a widely used data assimilation method in soil hydrology to estimate states and parameters, incorporating uncertainties in measurements and all model components.Of these components not only states and parameters, but also the representation of small scale heterogeneities of different soil layers suffers from large uncertainties. This is particularly severe when measuring soil water content, which reflects the soil's local texture and is typically discontinuous across heterogeneity boundaries. To address this challenge we enhance the EnKF to simultaneously also estimate a Miller scaling field for each soil layer.The enhanced EnKF is tested with a one-dimensional water content data set based on time domain reflectometry (TDR) measurements and leads to an improved consistency of model and measurements.
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...... the stability of power system. State estimation with EKF and UKF methods can be used for monitoring and estimating the dynamic state variables of multi-machine power systems, which are generator rotor speed and rotor angle. This paper uses Powerfactory to solve power flow analysis of simulations, then a non......-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...
Kinematic landslide monitoring with Kalman filtering
Directory of Open Access Journals (Sweden)
M. Acar
2008-03-01
Full Text Available Landslides are serious geologic disasters that threat human life and property in every country. In addition, landslides are one of the most important natural phenomena, which directly or indirectly affect countries' economy. Turkey is also the country that is under the threat of landslides. Landslides frequently occur in all of the Black Sea region as well as in many parts of Marmara, East Anatolia, and Mediterranean regions. Since these landslides resulted in destruction, they are ranked as the second important natural phenomenon that comes after earthquake in Turkey. In recent years several landslides happened after heavy rains and the resulting floods. This makes the landslide monitoring and mitigation techniques an important study subject for the related professional disciplines in Turkey. The investigations on surface deformations are conducted to define the boundaries of the landslide, size, level of activity and direction(s of the movement, and to determine individual moving blocks of the main slide.
This study focuses on the use of a kinematic deformation analysis based on Kalman Filtering at a landslide area near Istanbul. Kinematic deformation analysis has been applied in a landslide area, which is located to the north of Istanbul city. Positional data were collected using GPS technique. As part of the study, conventional static deformation analysis methodology has also been applied on the same data. The results and comparisons are discussed in this paper.
Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
Kelly, D. T B
2014-09-22
The ensemble Kalman filter (EnKF) is a method for combining a dynamical model with data in a sequential fashion. Despite its widespread use, there has been little analysis of its theoretical properties. Many of the algorithmic innovations associated with the filter, which are required to make a useable algorithm in practice, are derived in an ad hoc fashion. The aim of this paper is to initiate the development of a systematic analysis of the EnKF, in particular to do so for small ensemble size. The perspective is to view the method as a state estimator, and not as an algorithm which approximates the true filtering distribution. The perturbed observation version of the algorithm is studied, without and with variance inflation. Without variance inflation well-posedness of the filter is established; with variance inflation accuracy of the filter, with respect to the true signal underlying the data, is established. The algorithm is considered in discrete time, and also for a continuous time limit arising when observations are frequent and subject to large noise. The underlying dynamical model, and assumptions about it, is sufficiently general to include the Lorenz \\'63 and \\'96 models, together with the incompressible Navier-Stokes equation on a two-dimensional torus. The analysis is limited to the case of complete observation of the signal with additive white noise. Numerical results are presented for the Navier-Stokes equation on a two-dimensional torus for both complete and partial observations of the signal with additive white noise.
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
Kalman-Takens filtering in the presence of dynamical noise
Hamilton, Franz; Sauer, Timothy
2016-01-01
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. We find that this hybrid approach results in comparable efficiency to parametric methods in identifying underlying dynamics, even in the presence of dynamical noise. 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 w...
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.
Impulse control in Kalman-like filtering problems
Directory of Open Access Journals (Sweden)
Michael V. Basin
1998-01-01
Full Text Available This paper develops the impulse control approach to the observation process in Kalman-like filtering problems, which is based on impulsive modeling of the transition matrix in an observation equation. The impulse control generates the jumps of the estimate variance from its current position down to zero and, as a result, enables us to obtain the filtering equations for the Kalman estimate with zero variance for all post-jump time moments. The filtering equations for the estimates with zero variances are obtained in the conventional linear filtering problem and in the case of scalar nonlinear state and nonlinear observation equations.
Directory of Open Access Journals (Sweden)
E. Crestani
2012-11-01
Full Text Available The significance of estimating the spatial variability of the hydraulic conductivity K in natural aquifers is relevant to the possibility of defining the space and time evolution of a non-reactive plume, since the transport of a solute is mainly controlled by the heterogeneity of K. At the local scale, the spatial distribution of K can be inferred by combining the Lagrangian formulation of the transport with a Kalman filter-based technique and assimilating a sequence of time-lapse concentration C measurements, which, for example, can be evaluated on-site through the application of a geophysical method. The objective of this work is to compare the ensemble Kalman filter (EnKF and the ensemble smoother (ES capabilities to retrieve the hydraulic conductivity spatial distribution in a groundwater flow and transport modeling framework. The application refers to a two-dimensional synthetic aquifer in which a tracer test is simulated. Moreover, since Kalman filter-based methods are optimal only if each of the involved variables fit to a Gaussian probability density function (pdf and since this condition may not be met by some of the flow and transport state variables, issues related to the non-Gaussianity of the variables are analyzed and different transformation of the pdfs are considered in order to evaluate their influence on the performance of the methods. The results show that the EnKF reproduces with good accuracy the hydraulic conductivity field, outperforming the ES regardless of the pdf of the concentrations.
Gao, Xiangdong; Chen, Yuquan; You, Deyong; Xiao, Zhenlin; Chen, Xiaohui
2017-02-01
An approach for seam tracking of micro gap weld whose width is less than 0.1 mm based on magneto optical (MO) imaging technique during butt-joint laser welding of steel plates is investigated. Kalman filtering(KF) technology with radial basis function(RBF) neural network for weld detection by an MO sensor was applied to track the weld center position. Because the laser welding system process noises and the MO sensor measurement noises were colored noises, the estimation accuracy of traditional KF for seam tracking was degraded by the system model with extreme nonlinearities and could not be solved by the linear state-space model. Also, the statistics characteristics of noises could not be accurately obtained in actual welding. Thus, a RBF neural network was applied to the KF technique to compensate for the weld tracking errors. The neural network can restrain divergence filter and improve the system robustness. In comparison of traditional KF algorithm, the RBF with KF was not only more effectively in improving the weld tracking accuracy but also reduced noise disturbance. Experimental results showed that magneto optical imaging technique could be applied to detect micro gap weld accurately, which provides a novel approach for micro gap seam tracking.
Reduced-Order Kalman Filtering for Processing Relative Measurements
Bayard, David S.
2008-01-01
A study in Kalman-filter theory has led to a method of processing relative measurements to estimate the current state of a physical system, using less computation than has previously been thought necessary. As used here, relative measurements signifies measurements that yield information on the relationship between a later and an earlier state of the system. An important example of relative measurements arises in computer vision: Information on relative motion is extracted by comparing images taken at two different times. Relative measurements do not directly fit into standard Kalman filter theory, in which measurements are restricted to those indicative of only the current state of the system. One approach heretofore followed in utilizing relative measurements in Kalman filtering, denoted state augmentation, involves augmenting the state of the system at the earlier of two time instants and then propagating the state to the later time instant.While state augmentation is conceptually simple, it can also be computationally prohibitive because it doubles the number of states in the Kalman filter. When processing a relative measurement, if one were to follow the state-augmentation approach as practiced heretofore, one would find it necessary to propagate the full augmented state Kalman filter from the earlier time to the later time and then select out the reduced-order components. The main result of the study reported here is proof of a property called reduced-order equivalence (ROE). The main consequence of ROE is that it is not necessary to augment with the full state, but, rather, only the portion of the state that is explicitly used in the partial relative measurement. In other words, it suffices to select the reduced-order components first and then propagate the partial augmented state Kalman filter from the earlier time to the later time; the amount of computation needed to do this can be substantially less than that needed for propagating the full augmented
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.
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.
Estimation of Kalman filter gain from output residuals
Juang, Jer-Nan; Chen, Chung-Wen; Phan, Minh
1993-01-01
This paper presents a procedure to estimate the Kalman filter gain from input-output measurement data with a given system model. The system model can be a finite element model or an experimental model from any identification method. The procedure consists of three basic steps. First, the stochastic portion related to the residuals of the response is computed. Second, the coefficients of a linear difference model for the stochastic portion are estimated by a least-squares solution that minimizes the filter residual. Third, the Kalman filter gain is computed from these model coefficients. Experimental results are presented to illustrate the usefulness of the developed procedure.
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...
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...
On-Orbit Multi-Field Wavefront Control with a Kalman Filter
Lou, John; Sigrist, Norbert; Basinger, Scott; Redding, David
2008-01-01
A document describes a multi-field wavefront control (WFC) procedure for the James Webb Space Telescope (JWST) on-orbit optical telescope element (OTE) fine-phasing using wavefront measurements at the NIRCam pupil. The control is applied to JWST primary mirror (PM) segments and secondary mirror (SM) simultaneously with a carefully selected ordering. Through computer simulations, the multi-field WFC procedure shows that it can reduce the initial system wavefront error (WFE), as caused by random initial system misalignments within the JWST fine-phasing error budget, from a few dozen micrometers to below 50 nm across the entire NIRCam Field of View, and the WFC procedure is also computationally stable as the Monte-Carlo simulations indicate. With the incorporation of a Kalman Filter (KF) as an optical state estimator into the WFC process, the robustness of the JWST OTE alignment process can be further improved. In the presence of some large optical misalignments, the Kalman state estimator can provide a reasonable estimate of the optical state, especially for those degrees of freedom that have a significant impact on the system WFE. The state estimate allows for a few corrections to the optical state to push the system towards its nominal state, and the result is that a large part of the WFE can be eliminated in this step. When the multi-field WFC procedure is applied after Kalman state estimate and correction, the stability of fine-phasing control is much more certain. Kalman Filter has been successfully applied to diverse applications as a robust and optimal state estimator. In the context of space-based optical system alignment based on wavefront measurements, a KF state estimator can combine all available wavefront measurements, past and present, as well as measurement and actuation error statistics to generate a Maximum-Likelihood optimal state estimator. The strength and flexibility of the KF algorithm make it attractive for use in real-time optical system
A modified iterative ensemble Kalman filter data assimilation method
Xu, Baoxiong; Bai, Yulong; Wang, Yizhao; Li, Zhe; Ma, Boyang
2017-08-01
High nonlinearity is a typical characteristic associated with data assimilation systems. Additionally, iterative ensemble based methods have attracted a large amount of research attention, which has been focused on dealing with nonlinearity problems. To solve the local convergence problem of the iterative ensemble Kalman filter, a modified iterative ensemble Kalman filter algorithm was put forward, which was based on a global convergence strategy from the perspective of a Gauss-Newton iteration. Through self-adaption, the step factor was adjusted to enable every iteration to approach expected values during the process of the data assimilation. A sensitivity experiment was carried out in a low dimensional Lorenz-63 chaotic system, as well as a Lorenz-96 model. The new method was tested via ensemble size, observation variance, and inflation factor changes, along with other aspects. Meanwhile, comparative research was conducted with both a traditional ensemble Kalman filter and an iterative ensemble Kalman filter. The results showed that the modified iterative ensemble Kalman filter algorithm was a data assimilation method that was able to effectively estimate a strongly nonlinear system state.
Augmented Kalman Filter and Map Matching for 3D RISS/GPS Integration for Land Vehicles
Directory of Open Access Journals (Sweden)
Matthew Cossaboom
2012-01-01
Full Text Available Owing to their complimentary characteristics, global positioning system (GPS and inertial navigation system (INS are integrated, traditionally through Kalman filter (KF, to obtain improved navigational solution. To reduce the overall cost of the system, microelectromechanical system- (MEMS- based INS is utilized. One of the approaches is to reduce the number of low-cost inertial sensors, decreasing their error contribution which leads to a reduced inertial sensor system (RISS. This paper uses KF to integrate GPS and 3D RISS in a loosely coupled fashion to enhance navigational solution while further improvement is achieved by augmenting it with map matching (MM. The 3D RISS consists of only one gyroscope and two accelerometers along with the vehicle’s built-in odometer. MM limits the error growth during GPS outages by restricting the predicted positions to the road networks. The performance of proposed method is compared with KF-only 3D RISS/GPS integration to demonstrate the efficacy of the proposed technique.
Wang, Xuan; Tandeo, Pierre; Fablet, Ronan; Husson, Romain; Guan, Lei; Chen, Ge
2016-01-01
The swell propagation model built on geometric optics is known to work well when simulating radiated swells from a far located storm. Based on this simple approximation, satellites have acquired plenty of large samples on basin-traversing swells induced by fierce storms situated in mid-latitudes. How to routinely reconstruct swell fields with these irregularly sampled observations from space via known swell propagation principle requires more examination. In this study, we apply 3-h interval pseudo SAR observations in the ensemble Kalman filter (EnKF) to reconstruct a swell field in ocean basin, and compare it with buoy swell partitions and polynomial regression results. As validated against in situ measurements, EnKF works well in terms of spatial–temporal consistency in far-field swell propagation scenarios. Using this framework, we further address the influence of EnKF parameters, and perform a sensitivity analysis to evaluate estimations made under different sets of parameters. Such analysis is of key interest with respect to future multiple-source routinely recorded swell field data. Satellite-derived swell data can serve as a valuable complementary dataset to in situ or wave re-analysis datasets. PMID:27898005
Ensemble Kalman Filtering with a Divided State-Space Strategy for Coupled Data Assimilation Problems
Luo, Xiaodong
2014-12-01
This study considers the data assimilation problem in coupled systems, which consists of two components (subsystems) interacting with each other through certain coupling terms. A straightforward way to tackle the assimilation problem in such systems is to concatenate the states of the subsystems into one augmented state vector, so that a standard ensemble Kalman filter (EnKF) can be directly applied. This work presents a divided state-space estimation strategy, in which data assimilation is carried out with respect to each individual subsystem, involving quantities from the subsystem itself and correlated quantities from other coupled subsystems. On top of the divided state-space estimation strategy, the authors also consider the possibility of running the subsystems separately. Combining these two ideas, a few variants of the EnKF are derived. The introduction of these variants is mainly inspired by the current status and challenges in coupled data assimilation problems and thus might be of interest from a practical point of view. Numerical experiments with a multiscale Lorenz 96 model are conducted to evaluate the performance of these variants against that of the conventional EnKF. In addition, specific for coupled data assimilation problems, two prototypes of extensions of the presented methods are also developed in order to achieve a trade-offbetween efficiency and accuracy.
Wang, Xuan; Tandeo, Pierre; Fablet, Ronan; Husson, Romain; Guan, Lei; Chen, Ge
2016-11-25
The swell propagation model built on geometric optics is known to work well when simulating radiated swells from a far located storm. Based on this simple approximation, satellites have acquired plenty of large samples on basin-traversing swells induced by fierce storms situated in mid-latitudes. How to routinely reconstruct swell fields with these irregularly sampled observations from space via known swell propagation principle requires more examination. In this study, we apply 3-h interval pseudo SAR observations in the ensemble Kalman filter (EnKF) to reconstruct a swell field in ocean basin, and compare it with buoy swell partitions and polynomial regression results. As validated against in situ measurements, EnKF works well in terms of spatial-temporal consistency in far-field swell propagation scenarios. Using this framework, we further address the influence of EnKF parameters, and perform a sensitivity analysis to evaluate estimations made under different sets of parameters. Such analysis is of key interest with respect to future multiple-source routinely recorded swell field data. Satellite-derived swell data can serve as a valuable complementary dataset to in situ or wave re-analysis datasets.
Sana, Furrukh
2015-07-26
Recovering information on subsurface geological features, such as flow channels, holds significant importance for optimizing the productivity of oil reservoirs. The flow channels exhibit high permeability in contrast to low permeability rock formations in their surroundings, enabling formulation of a sparse field recovery problem. The Ensemble Kalman filter (EnKF) is a widely used technique for the estimation of subsurface parameters, such as permeability. However, the EnKF often fails to recover and preserve the channel structures during the estimation process. Compressed Sensing (CS) has shown to significantly improve the reconstruction quality when dealing with such problems. We propose a new scheme based on CS principles to enhance the reconstruction of subsurface geological features by transforming the EnKF estimation process to a sparse domain representing diverse geological structures. Numerical experiments suggest that the proposed scheme provides an efficient mechanism to incorporate and preserve structural information in the estimation process and results in significant enhancement in the recovery of flow channel structures.
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...... of the observed signal strengths and gives interpolated values at specific timestamps. Information from the first filter is transferred to the second filter which estimates the positions. Methods for estimating the parameters of the filters are given and these provide a straightforward calibration of the system...
Deconvolution Kalman filtering for force measurements of revolving wings
Vester, R.; Percin, M.; van Oudheusden, B.
2016-09-01
The applicability of a deconvolution Kalman filtering approach is assessed for the force measurements on a flat plate undergoing a revolving motion, as an alternative procedure to correct for test setup vibrations. The system identification process required for the correct implementation of the deconvolution Kalman filter is explained in detail. It is found that in the presence of a relatively complex forcing history, the DK filter is better suited to filter out structural test rig vibrations than conventional filtering techniques that are based on, for example, low-pass or moving-average filtering. The improvement is especially found in the characterization of the generated force peaks. Consequently, more reliable force data is obtained, which is vital to validate semi-empirical estimation models, but is also relevant to correlate identified flow phenomena to the force production.
Recursive three-dimensional model reconstruction based on Kalman filtering.
Yu, Ying Kin; Wong, Kin Hong; Chang, Michael Ming Yuen
2005-06-01
A recursive two-step method to recover structure and motion from image sequences based on Kalman filtering is described in this paper. The algorithm consists of two major steps. The first step is an extended Kalman filter (EKF) for the estimation of the object's pose. The second step is a set of EKFs, one for each model point, for the refinement of the positions of the model features in the three-dimensional (3-D) space. These two steps alternate from frame to frame. The initial model converges to the final structure as the image sequence is scanned sequentially. The performance of the algorithm is demonstrated with both synthetic data and real-world objects. Analytical and empirical comparisons are made among our approach, the interleaved bundle adjustment method, and the Kalman filtering-based recursive algorithm by Azarbayejani and Pentland. Our approach outperformed the other two algorithms in terms of computation speed without loss in the quality of model reconstruction.
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.
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 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.
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.
Deterministic Methods for Filtering, part I: Mean-field Ensemble Kalman Filtering
Law, Kody J H; Tempone, Raul
2014-01-01
This paper provides a proof of convergence of the standard EnKF generalized to non-Gaussian state space models, based on the indistinguishability property of the joint distribution on the ensemble. A density-based deterministic approximation of the mean-field EnKF (MFEnKF) 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 d<2k. The fidelity of approximation of the true distribution is also established using an extension of total variation metric to random measures. This is limited by a Gaussian bias term arising from non-linearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Ting, T O; Man, Ka Lok; Lim, Eng Gee; Leach, Mark
2014-01-01
In this work, a state-space battery model is derived mathematically to estimate the state-of-charge (SoC) of a battery system. Subsequently, Kalman filter (KF) is applied to predict the dynamical behavior of the battery model. Results show an accurate prediction as the accumulated error, in terms of root-mean-square (RMS), is a very small value. From this work, it is found that different sets of Q and R values (KF's parameters) can be applied for better performance and hence lower RMS error. This is the motivation for the application of a metaheuristic algorithm. Hence, the result is further improved by applying a genetic algorithm (GA) to tune Q and R parameters of the KF. In an online application, a GA can be applied to obtain the optimal parameters of the KF before its application to a real plant (system). This simply means that the instantaneous response of the KF is not affected by the time consuming GA as this approach is applied only once to obtain the optimal parameters. The relevant workable MATLAB source codes are given in the appendix to ease future work and analysis in this area.
The path prediction of cyclones with Kalman filters
Taskin, Dogan
1990-01-01
Approved for public release; distribution unlimited. The Kalman filter is used to provide estimates of the position and velocity of a storm based upon observation of the storm's longitude and latitude. Nonstationary noise is shown to degrade the performance of the filter and cause tracking divergence. Time varying values for the noise covariance matricies R and Q, and the addition of an external forcing function to the filter, effectively compensated for this tracking error. Results for th...
Keppenne, Christian L.
2013-01-01
A two-step ensemble recentering Kalman filter (ERKF) analysis scheme is introduced. The algorithm consists of a recentering step followed by an ensemble Kalman filter (EnKF) analysis step. The recentering step is formulated such as to adjust the prior distribution of an ensemble of model states so that the deviations of individual samples from the sample mean are unchanged but the original sample mean is shifted to the prior position of the most likely particle, where the likelihood of each particle is measured in terms of closeness to a chosen subset of the observations. The computational cost of the ERKF is essentially the same as that of a same size EnKF. The ERKF is applied to the assimilation of Argo temperature profiles into the OGCM component of an ensemble of NASA GEOS-5 coupled models. Unassimilated Argo salt data are used for validation. A surprisingly small number (16) of model trajectories is sufficient to significantly improve model estimates of salinity over estimates from an ensemble run without assimilation. The two-step algorithm also performs better than the EnKF although its performance is degraded in poorly observed regions.
Adaptive robust Kalman filtering for precise point positioning
Guo, Fei; Zhang, Xiaohong
2014-10-01
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.
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.
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.
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.
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.
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 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.
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.
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.
Berardi, Marco; Andrisani, Andrea; Lopez, Luciano; Vurro, Michele
2016-11-01
In this paper a new data assimilation technique is proposed which is based on the ensemble Kalman filter (EnKF). Such a technique will be effective if few observations of a dynamical system are available and a large model error occurs. The idea is to acquire a fine grid of synthetic observations in two steps: (1) first we interpolate the real observations with suitable polynomial curves; (2) then we estimate the relative measurement errors by means of Brownian bridges. This technique has been tested on the Richards' equation, which governs the water flow in unsaturated soils, where a large model error has been introduced by solving the Richards' equation by means of an explicit numerical scheme. The application of this technique to some synthetic experiments has shown improvements with respect to the classical ensemble Kalman filter, in particular for problems with a large model error.
Data Assimilation for Vadose Zone Flow Modeling Using the Ensemble Kalman Filter
Zhang, Y.; Schaap, M. G.; Zha, Y.; Xue, L.
2015-12-01
The natural system is open and complex and the hydraulic parameters needed for describing flow and transport in the vadose zone are often poorly known, making it prone to multiple interpretations, mathematical descriptions and uncertainty. Quite often a reasonable "handle" on a sites flow characteristics can be gained only through direct observation of the flow processes itself, determination of the spatial- and probability distributions of material properties combined with computationally expensive inversions of the Richards equation. In groundwater systems, the ensemble Kalman filter (EnKF) has proven to be an effective alternative to model inversions by assimilating observations directly into an ensemble of groundwater models from which time and/or space-variable variable probabilistic quantities of the flow process can be derived. Application of EnKF to Richards equation-type unsaturated flow problems, however, is more challenging than in groundwater systems because the relation of state and model parameters is strongly nonlinear. In addition, the type of functional dependence of moisture content and hydraulic conductivity on matric potential leads to high-dimensional (in the parameter space) problems even under conditions where closed-form expressions of these models such as van Genuchten-Mualem formulations are used. In this study, we updated soil water retention parameters and hydraulic conductivity together and used Restart EnKF, which rerun the nonlinear model from the initial time to obtain the updated state variables, in synthetic cases to explore the factors that may influence estimation results, including the initial estimate, the ensemble size, the observation error, and the assimilation interval. We embedded the EnKF into the Bayesian model averaging framework to enhance the model reliability and reduce predictive uncertainties. This approach is evaluated from a 15 m deep semi-arid highly heterogeneous and anisotropic vadose zone site at the
Institute of Scientific and Technical Information of China (English)
LAI Rui-xun; FANG Hong-wei; HE Guo-jian; YU Xin; YANG Ming; WANG Ming
2013-01-01
In this paper,both state variables and parameters of one-dimensional open channel model are estimated using a framework of the Ensemble Kalman Filter (EnKF).Compared with observation,the predicted accuracy of water level and discharge are improved while the parameters of the model are identified simultaneously.With the principles of the EnKF,a state-space description of the Saint-Venant equation is constructed by perturbing the measurements with Gaussian error distribution.At the same time,the roughness,one of the key parameters in one-dimensional open channel,is also considered as a state variable to identify its value dynamically.The updated state variables and the parameters are then used as the initial values of the next time step to continue the assimilation process.The usefulness and the capability of the dual EnKF are demonstrated in the lower Yellow River during the water-sediment regulation in 2009.In the optimization process,the errors between the prediction and the observation are analyzed,and the rationale of inverse roughness is discussed.It is believed that (1) the flexible approach of the dual EnKF can improve the accuracy of predicting water level and discharge,(2) it provides a probabilistic way to identify the model error which is feasible to implement but hard to handle in other filter systems,and (3) it is practicable for river engineering and management.
Directory of Open Access Journals (Sweden)
Tzu-Wei Kuo
2011-09-01
Full Text Available Recently, the Exponentially Weighted Moving Average (EWMA controller has become a popular control method in Run-to-Run (RtR process control, but the issue of measurement noise from metrology tools has not been addressed in RtR EWMA controllers yet. This paper utilizes a Kalman Filter (KF controller to deal with measurement noise in RtR process control and investigates the output properties for steady-state mean and variance, and for closed-loop stability. Five disturbance models modeling semiconductor process disturbances are investigated. These disturbance models consist of Deterministic Trend (DT, Random Walk with Drift (RWD, Integrated Moving Average process (IMA(1,1, AutoRegressive Moving Average (ARMA(1,1, and Autoregressive Integrated Moving Average (ARIMA(1,1,1. Analytical results show that a KF controller can be considered as an extended version of a RtR EWMA controller. In particular, the EWMA controller is a special case of KF in a filtering form without the capability of measuring noise. Simulation results also show that the KF has a better ability to deal with measurement noise than the EWMA controller.
Dual extended Kalman filtering in recurrent neural networks(1).
Leung, Chi-Sing; Chan, Lai-Wan
2003-03-01
In the classical deterministic Elman model, the estimation of parameters must be very accurate. Otherwise, the system performance is very poor. To improve the system performance, we can use a Kalman filtering algorithm to guide the operation of a trained recurrent neural network (RNN). In this case, during training, we need to estimate the state of hidden layer, as well as the weights of the RNN. This paper discusses how to use the dual extended Kalman filtering (DEKF) for this dual estimation and how to use our proposing DEKF for removing some unimportant weights from a trained RNN. In our approach, one Kalman algorithm is used for estimating the state of the hidden layer, and one recursive least square (RLS) algorithm is used for estimating the weights. After training, we use the error covariance matrix of the RLS algorithm to remove unimportant weights. Simulation showed that our approach is an effective joint-learning-pruning method for RNNs under the online operation.
Parallelized unscented Kalman filters for carrier recovery in coherent optical communication.
Jignesh, Jokhakar; Corcoran, Bill; Lowery, Arthur
2016-07-15
We show that unscented Kalman filters can be used to mitigate local oscillator phase noise and to compensate carrier frequency offset in coherent single-carrier optical communication systems. A parallel processing architecture implementing the unscented Kalman filter is proposed, improving upon a previous parallelized linear Kalman filter (LKF) implementation.
Meng, S.; Xie, X.
2014-12-01
Hydrological model performance is usually not as acceptable as expected due to limited measurements and imperfect parameterization which is attributable to the uncertainties from model parameters and model structures. In applications, a general assumption is hold that model parameters are constant in a stationary condition during the simulation period, and the parameters are generally prescribed though calibration with observed data. In reality, but the model parameters related to the physical or conceptual characteristics of a catchment will travel in nonstationary conditions in response to climate transition and land use alteration. The travels or changes of parameters are especially evident for long-term hydrological simulations. Therefore, the assumption of using constant parameters under nonstationary condition is inappropriate, and it will deliver errors from the parameters to the outputs during the simulation and prediction. Even though a few of studies have acknowledged the parameter travel or change, little attention has been paid on the estimation of changing parameters. In this study, we employ an ensemble Kalman filter (EnKF) based method to trace parameter changes in real time. Through synthetic experiments, the capability of the EnKF-based is demonstrated by assimilating runoff observations into a rainfall-runoff model, i.e., the Xinanjing Model. In addition to the stationary condition, three typical nonstationary conditions are considered, i.e., the leap, linear and Ω-shaped transitions. To examine the robustness of the method, different errors from rainfall input, modelling and observations are investigated. The shuffled complex evolution (SCE-UA) algorithm is applied under the same conditions to make a comparison. The results show that the EnKF-based method is capable of capturing the general pattern of the parameter travels even for high levels of uncertainties. It provides better estimates than the SCE-UA method does by taking advantages of real
Kalman filter-based microphone array signal processing using the equivalent source model
Bai, Mingsian R.; Chen, Ching-Cheng
2012-10-01
This paper demonstrates that microphone array signal processing can be implemented by using adaptive model-based filtering approaches. Nearfield and farfield sound propagation models are formulated into state-space forms in light of the Equivalent Source Method (ESM). In the model, the unknown source amplitudes of the virtual sources are adaptively estimated by using Kalman filters (KFs). The nearfield array aimed at noise source identification is based on a Multiple-Input-Multiple-Output (MIMO) state-space model with minimal realization, whereas the farfield array technique aimed at speech quality enhancement is based on a Single-Input-Multiple-Output (SIMO) state-space model. Performance of the nearfield array is evaluated in terms of relative error of the velocity reconstructed on the actual source surface. Numerical simulations for the nearfield array were conducted with a baffled planar piston source. From the error metric, the proposed KF algorithm proved effective in identifying noise sources. Objective simulations and subjective experiments are undertaken to validate the proposed farfield arrays in comparison with two conventional methods. The results of objective tests indicated that the farfield arrays significantly enhanced the speech quality and word recognition rate. The results of subjective tests post-processed with the analysis of variance (ANOVA) and a post-hoc Fisher's least significant difference (LSD) test have shown great promise in the KF-based microphone array signal processing techniques.
Keppenne, Christian L.; Rienecker, Michele; Borovikov, Anna Y.; Suarez, Max
1999-01-01
A massively parallel ensemble Kalman filter (EnKF)is used to assimilate temperature data from the TOGA/TAO array and altimetry from TOPEX/POSEIDON into a Pacific basin version of the NASA Seasonal to Interannual Prediction Project (NSIPP)ls quasi-isopycnal ocean general circulation model. The EnKF is an approximate Kalman filter in which the error-covariance propagation step is modeled by the integration of multiple instances of a numerical model. An estimate of the true error covariances is then inferred from the distribution of the ensemble of model state vectors. This inplementation of the filter takes advantage of the inherent parallelism in the EnKF algorithm by running all the model instances concurrently. The Kalman filter update step also occurs in parallel by having each processor process the observations that occur in the region of physical space for which it is responsible. The massively parallel data assimilation system is validated by withholding some of the data and then quantifying the extent to which the withheld information can be inferred from the assimilation of the remaining data. The distributions of the forecast and analysis error covariances predicted by the ENKF are also examined.
Kalman Filter Based Data Fusion for Bi-Axial Neutral Axis Tracking in Wind Turbine Towers
DEFF Research Database (Denmark)
Soman, Rohan; Malinowski, Pawel; Schmidt Paulsen, Uwe
2015-01-01
demonstrates a methodology for the selection of threshold for damage detection based on qualitative data acquired from several damage scenarios of a 10 MW wind turbine. The damage indicator is the change of neutral axis (NA) which is tracked using Kalman Filter (KF). Based on the level of damage to be detected...... in the structure is reflected by a change in this feature. If this change is above a threshold the structure is said to be damaged. In most applications the determination of this threshold is based on engineering judgment and the previous experience of the operator. These practices are highly subjective...... and the probability of occurrence of false positive and false negative detections, a threshold value is selected. This threshold is then applied to strain data from the Nordtank NTK500/41 wind turbine for validation....
Godinez, Humberto C; Fierro, Alexandre O; Guimond, Stephen R; Kao, Jim
2011-01-01
In this work we present the assimilation of dual-Doppler radar observations for rapidly intensifying hurricane Guillermo (1997) using the Ensemble Kalman Filter (EnKF) to determine key model parameters. A unique aspect of Guillermo was that during the period of radar observations strong convective bursts, attributable to wind shear, formed primarily within the eastern semicircle of the eyewall. To reproduce this observed structure within a hurricane model, background wind shear of some magnitude must be specified; as well as turbulence and surface parameters appropriately specified so that the impact of the shear on the simulated hurricane vortex can be realized. To first illustrate the complex nonlinear interactions induced by changes in these parameters, an ensemble of 120 simulations have been conducted in which individual members were formulated by sampling the parameters within a certain range via a Latin hypercube approach. Next, data from the 120 simulations and two distinct derived fields of observati...
Kalman Filter Based Data Fusion for Bi-Axial Neutral Axis Tracking in Wind Turbine Towers
DEFF Research Database (Denmark)
Soman, Rohan; Malinowski, Pawel; Schmidt Paulsen, Uwe
2015-01-01
Structural Health Monitoring (SHM) systems allow early detection of damage which allows maintenance planning and reduces the maintenance cost. So there is a lot of active research in the area for SHM of civil and mechanical structures. The SHM system uses a damage sensitive feature, and any change...... in the structure is reflected by a change in this feature. If this change is above a threshold the structure is said to be damaged. In most applications the determination of this threshold is based on engineering judgment and the previous experience of the operator. These practices are highly subjective...... demonstrates a methodology for the selection of threshold for damage detection based on qualitative data acquired from several damage scenarios of a 10 MW wind turbine. The damage indicator is the change of neutral axis (NA) which is tracked using Kalman Filter (KF). Based on the level of damage to be detected...
[Simulation of cropland soil moisture based on an ensemble Kalman filter].
Liu, Zhao; Zhou, Yan-Lian; Ju, Wei-Min; Gao, Ping
2011-11-01
By using an ensemble Kalman filter (EnKF) to assimilate the observed soil moisture data, the modified boreal ecosystem productivity simulator (BEPS) model was adopted to simulate the dynamics of soil moisture in winter wheat root zones at Xuzhou Agro-meteorological Station, Jiangsu Province of China during the growth seasons in 2000-2004. After the assimilation of observed data, the determination coefficient, root mean square error, and average absolute error of simulated soil moisture were in the ranges of 0.626-0.943, 0.018-0.042, and 0.021-0.041, respectively, with the simulation precision improved significantly, as compared with that before assimilation, indicating the applicability of data assimilation in improving the simulation of soil moisture. The experimental results at single point showed that the errors in the forcing data and observations and the frequency and soil depth of the assimilation of observed data all had obvious effects on the simulated soil moisture.
Kalman filtering and Standard Quantum Limits for broadband measurement
Mabuchi, H
1998-01-01
I utilize the Caves-Milburn model for continuous position measurements to formulate a broadband version of the Standard Quantum Limit (SQL) for monitoring the position of a free mass, and illustrate the use of Kalman filtering to recover the SQL for estimating a weak classical force that acts on a quantum-mechanical test particle under continuous observation.
Forecasting with the Standardized Self-Perturbed Kalman Filter
DEFF Research Database (Denmark)
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
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....
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.
Reducing Support Vector Machine Classification Error by Implementing Kalman Filter
Directory of Open Access Journals (Sweden)
Muhsin Hassan
2013-08-01
Full Text Available The aim of this is to demonstrate the capability of Kalman Filter to reduce Support Vector Machine classification errors in classifying pipeline corrosion depth. In pipeline defect classification, it is important to increase the accuracy of the SVM classification so that one can avoid misclassification which can lead to greater problems in monitoring pipeline defect and prediction of pipeline leakage. In this paper, it is found that noisy data can greatly affect the performance of SVM. Hence, Kalman Filter + SVM hybrid technique has been proposed as a solution to reduce SVM classification errors. The datasets has been added with Additive White Gaussian Noise in several stages to study the effect of noise on SVM classification accuracy. Three techniques have been studied in this experiment, namely SVM, hybrid of Discrete Wavelet Transform + SVM and hybrid of Kalman Filter + SVM. Experiment results have been compared to find the most promising techniques among them. MATLAB simulations show Kalman Filter and Support Vector Machine combination in a single system produced higher accuracy compared to the other two techniques.
Nonlinear Kalman filtering in the presence of additive noise
Kraszewski, Tomasz; Czopik, Grzegorz
2017-04-01
Each modern navigation or localization system designed for ground, water or air objects should provide information on the estimated parameters continuously and as accurately as possible. The implementation of such a process requires the application to operate on non-linear transformations. The defined expectations necessitate the use of nonlinear filtering elements with particular emphasis on the extended Kalman filter. The article presents the simulation research elements of this filter type in the aspect of the possibility of its practical implementation. In the initial phase of the study the conclusion was based on nonlinear one-dimensional model. The possibility of improving the precision of the output through the use of unscented Kalman filters was also analyzed.
Belkhatir, Zehor
2015-11-23
This paper discusses the estimation of distributed Cerebral Blood Flow (CBF) using spatiotemporal traveling wave model. We consider a damped wave partial differential equation that describes a physiological relationship between the blood mass density and the CBF. The spatiotemporal model is reduced to a finite dimensional system using a cubic b-spline continuous Galerkin method. A Kalman Filter with Unknown Inputs without Direct Feedthrough (KF-UI-WDF) is applied on the obtained reduced differential model to estimate the source term which is the CBF scaled by a factor. Numerical results showing the performances of the adopted estimator are provided.
Autonomous orbit determination via Kalman filtering of gravity gradients
Sun; Chen,De; Macabiau, Christophe; Han
2016-01-01
International audience; Spaceborne gravity gradients are proposed in this paper to provide autonomous orbit determination capabilities for near Earth satellites. The gravity gradients contain useful position information which can be extracted by matching the observations with a precise gravity model. The extended Kalman filter is investigated as the principal estimator. The stochastic model of orbital motion, the measurement equation and the model configuration are discussed for the filter de...
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.
Switching Kalman filter based methods for apnea bradycardia detection from ECG signals.
Montazeri Ghahjaverestan, Nasim; Shamsollahi, Mohammad B; Ge, Di; Hernández, Alfredo I
2015-09-01
Apnea bradycardia (AB) is an outcome of apnea occurrence in preterm infants and is an observable phenomenon in cardiovascular signals. Early detection of apnea in infants under monitoring is a critical challenge for the early intervention of nurses. In this paper, we introduce two switching Kalman filter (SKF) based methods for AB detection using electrocardiogram (ECG) signal.The first SKF model uses McSharry's ECG dynamical model integrated in two Kalman filter (KF) models trained for normal and AB intervals. Whereas the second SKF model is established by using only the RR sequence extracted from ECG and two AR models to be fitted in normal and AB intervals. In both SKF approaches, a discrete state variable called a switch is considered that chooses one of the models (corresponding to normal and AB) during the inference phase. According to the probability of each model indicated by this switch, the model with larger probability determines the observation label at each time instant.It is shown that the method based on ECG dynamical model can be effectively used for AB detection. The detection performance is evaluated by comparing statistical metrics and the amount of time taken to detect AB compared with the annotated onset. The results demonstrate the superiority of this method, with sensitivity and specificity 94.74[Formula: see text] and 94.17[Formula: see text], respectively. The presented approaches may therefore serve as an effective algorithm for monitoring neonates suffering from AB.
Development of Real-Time Error Ellipses as an Indicator of Kalman Filter Performance.
1984-03-01
S q often than 3 to 5 seconds. However, before the HP-86 can e considered feasible for real-time Kalman filtr procssinz, more investigaz ion i: needi...Subtitle) S. TYPE OF REPORT & PERIOD COVERED Development of Real-Time Error Master’s Thesis; Ellipses as an Indicator of Kalman March 1984 Filter...SUPP.LEETARY NOTES 19. KEY WORDS (Cmntine on reveo ole, It ndeeaey md Identil by block number) Error Ellipsoids; Kalman Filter; Extended Kalman Filter
Yuan, Guangmin; Yuan, Weizheng; Xue, Liang; Xie, Jianbing; Chang, Honglong
2015-10-30
In this paper, the performance of two Kalman filter (KF) schemes based on the direct estimated model and differencing estimated model for input rate signal was thoroughly analyzed and compared for combining measurements of a sensor array to improve the accuracy of microelectromechanical system (MEMS) gyroscopes. The principles for noise reduction were presented and KF algorithms were designed to obtain the optimal rate signal estimates. The input rate signal in the direct estimated KF model was modeled with a random walk process and treated as the estimated system state. In the differencing estimated KF model, a differencing operation was established between outputs of the gyroscope array, and then the optimal estimation of input rate signal was achieved by compensating for the estimations of bias drifts for the component gyroscopes. Finally, dynamic simulations and experiments with a six-gyroscope array were implemented to compare the dynamic performance of the two KF models. The 1σ error of the gyroscopes was reduced from 1.4558°/s to 0.1203°/s by the direct estimated KF model in a constant rate test and to 0.5974°/s by the differencing estimated KF model. The estimated rate signal filtered by both models could reflect the amplitude variation of the input signal in the swing rate test and displayed a reduction factor of about three for the 1σ noise. Results illustrate that the performance of the direct estimated KF model is much higher than that of the differencing estimated KF model, with a constant input signal or lower dynamic variation. A similarity in the two KFs' performance is observed if the input signal has a high dynamic variation.
Directory of Open Access Journals (Sweden)
Guangmin Yuan
2015-10-01
Full Text Available In this paper, the performance of two Kalman filter (KF schemes based on the direct estimated model and differencing estimated model for input rate signal was thoroughly analyzed and compared for combining measurements of a sensor array to improve the accuracy of microelectromechanical system (MEMS gyroscopes. The principles for noise reduction were presented and KF algorithms were designed to obtain the optimal rate signal estimates. The input rate signal in the direct estimated KF model was modeled with a random walk process and treated as the estimated system state. In the differencing estimated KF model, a differencing operation was established between outputs of the gyroscope array, and then the optimal estimation of input rate signal was achieved by compensating for the estimations of bias drifts for the component gyroscopes. Finally, dynamic simulations and experiments with a six-gyroscope array were implemented to compare the dynamic performance of the two KF models. The 1σ error of the gyroscopes was reduced from 1.4558°/s to 0.1203°/s by the direct estimated KF model in a constant rate test and to 0.5974°/s by the differencing estimated KF model. The estimated rate signal filtered by both models could reflect the amplitude variation of the input signal in the swing rate test and displayed a reduction factor of about three for the 1σ noise. Results illustrate that the performance of the direct estimated KF model is much higher than that of the differencing estimated KF model, with a constant input signal or lower dynamic variation. A similarity in the two KFs’ performance is observed if the input signal has a high dynamic variation.
Maximum Correntropy Unscented Kalman Filter for Spacecraft Relative State Estimation.
Liu, Xi; Qu, Hua; Zhao, Jihong; Yue, Pengcheng; Wang, Meng
2016-09-20
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.
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 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.
A Novel Robust Interval Kalman Filter Algorithm for GPS/INS Integrated Navigation
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Chen Jiang
2016-01-01
Full Text Available Kalman filter is widely applied in data fusion of dynamic systems under the assumption that the system and measurement noises are Gaussian distributed. In literature, the interval Kalman filter was proposed aiming at controlling the influences of the system model uncertainties. The robust Kalman filter has also been proposed to control the effects of outliers. In this paper, a new interval Kalman filter algorithm is proposed by integrating the robust estimation and the interval Kalman filter in which the system noise and the observation noise terms are considered simultaneously. The noise data reduction and the robust estimation methods are both introduced into the proposed interval Kalman filter algorithm. The new algorithm is equal to the standard Kalman filter in terms of computation, but superior for managing with outliers. The advantage of the proposed algorithm is demonstrated experimentally using the integrated navigation of Global Positioning System (GPS and the Inertial Navigation System (INS.
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Umar Iqbal
2010-01-01
Full Text Available Present land vehicle navigation relies mostly on the Global Positioning System (GPS that may be interrupted or deteriorated in urban areas. In order to obtain continuous positioning services in all environments, GPS can be integrated with inertial sensors and vehicle odometer using Kalman filtering (KF. For car navigation, low-cost positioning solutions based on MEMS-based inertial sensors are utilized. To further reduce the cost, a reduced inertial sensor system (RISS consisting of only one gyroscope and speed measurement (obtained from the car odometer is integrated with GPS. The MEMS-based gyroscope measurement deteriorates over time due to different errors like the bias drift. These errors may lead to large azimuth errors and mitigating the azimuth errors requires robust modeling of both linear and nonlinear effects. Therefore, this paper presents a solution based on Parallel Cascade Identification (PCI module that models the azimuth errors and is augmented to KF. The proposed augmented KF-PCI method can handle both linear and nonlinear system errors as the linear parts of the errors are modeled inside the KF and the nonlinear and residual parts of the azimuth errors are modeled by PCI. The performance of this method is examined using road test experiments in a land vehicle.
Liu, Di; Mishra, Ashok K.; Yu, Zhongbo
2016-07-01
This paper examines the combination of support vector machines (SVM) and the dual ensemble Kalman filter (EnKF) technique to estimate root zone soil moisture at different soil layers up to 100 cm depth. Multiple experiments are conducted in a data rich environment to construct and validate the SVM model and to explore the effectiveness and robustness of the EnKF technique. It was observed that the performance of SVM relies more on the initial length of training set than other factors (e.g., cost function, regularization parameter, and kernel parameters). The dual EnKF technique proved to be efficient to improve SVM with observed data either at each time step or at a flexible time steps. The EnKF technique can reach its maximum efficiency when the updating ensemble size approaches a certain threshold. It was observed that the SVM model performance for the multi-layer soil moisture estimation can be influenced by the rainfall magnitude (e.g., dry and wet spells).
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T. O. Ting
2014-01-01
Full Text Available In this work, a state-space battery model is derived mathematically to estimate the state-of-charge (SoC of a battery system. Subsequently, Kalman filter (KF is applied to predict the dynamical behavior of the battery model. Results show an accurate prediction as the accumulated error, in terms of root-mean-square (RMS, is a very small value. From this work, it is found that different sets of Q and R values (KF’s parameters can be applied for better performance and hence lower RMS error. This is the motivation for the application of a metaheuristic algorithm. Hence, the result is further improved by applying a genetic algorithm (GA to tune Q and R parameters of the KF. In an online application, a GA can be applied to obtain the optimal parameters of the KF before its application to a real plant (system. This simply means that the instantaneous response of the KF is not affected by the time consuming GA as this approach is applied only once to obtain the optimal parameters. The relevant workable MATLAB source codes are given in the appendix to ease future work and analysis in this area.
Weak constrained localized ensemble transform Kalman filter for radar data assimilation
Janjic, Tijana; Lange, Heiner
2015-04-01
The applications on convective scales require data assimilation with a numerical model with single digit horizontal resolution in km and time evolving error covariances. The ensemble Kalman filter (EnKF) algorithm incorporates these two requirements. However, some challenges for the convective scale applications remain unresolved when using the EnKF approach. These include a need on convective scale to estimate fields that are nonnegative (as rain, graupel, snow) and use of data sets as radar reflectivity or cloud products that have the same property. What underlines these examples are errors that are non-Gaussian in nature causing a problem with EnKF, which uses Gaussian error assumptions to produce the estimates from the previous forecast and the incoming data. Since the proper estimates of hydrometeors are crucial for prediction on convective scales, question arises whether EnKF method can be modified to improve these estimates and whether there is a way of optimizing use of radar observations to initialize NWP models due to importance of this data set for prediction of connective storms. In order to deal with non-Gaussian errors different approaches can be taken in the EnKF framework. For example, variables can be transformed by assuming the relevant state variables follow an appropriate pre-specified non-Gaussian distribution, such as the lognormal and truncated Gaussian distribution or, more generally, by carrying out a parameterized change of state variables known as Gaussian anamorphosis. In a recent work by Janjic et al. 2014, it was shown on a simple example how conservation of mass could be beneficial for assimilation of positive variables. The method developed in the paper outperformed the EnKF as well as the EnKF with the lognormal change of variables. As argued in the paper the reason for this, is that each of these methods preserves mass (EnKF) or positivity (lognormal EnKF) but not both. Only once both positivity and mass were preserved in a new
Series load induction heating inverter state estimator using Kalman filter
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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.
Ping, Jing
2017-05-19
Optimal management of subsurface processes requires the characterization of the uncertainty in reservoir description and reservoir performance prediction. For fractured reservoirs, the location and orientation of fractures are crucial for predicting production characteristics. With the help of accurate and comprehensive knowledge of fracture distributions, early water/CO 2 breakthrough can be prevented and sweep efficiency can be improved. However, since the rock property fields are highly non-Gaussian in this case, it is a challenge to estimate fracture distributions by conventional history matching approaches. In this work, a method that combines vector-based level-set parameterization technique and ensemble Kalman filter (EnKF) for estimating fracture distributions is presented. Performing the necessary forward modeling is particularly challenging. In addition to the large number of forward models needed, each model is used for sampling of randomly located fractures. Conventional mesh generation for such systems would be time consuming if possible at all. For these reasons, we rely on a novel polyhedral mesh method using the mimetic finite difference (MFD) method. A discrete fracture model is adopted that maintains the full geometry of the fracture network. By using a cut-cell paradigm, a computational mesh for the matrix can be generated quickly and reliably. In this research, we apply this workflow on 2D two-phase fractured reservoirs. The combination of MFD approach, level-set parameterization, and EnKF provides an effective solution to address the challenges in the history matching problem of highly non-Gaussian fractured reservoirs.
Zhang, X L; Su, G F; Chen, J G; Raskob, W; Yuan, H Y; Huang, Q Y
2015-10-30
Information about atmospheric dispersion of radionuclides is vitally important for planning effective countermeasures during nuclear accidents. Results of dispersion models have high spatial and temporal resolutions, but they are not accurate enough due to the uncertain source term and the errors in meteorological data. Environmental measurements are more reliable, but they are scarce and unable to give forecasts. In this study, our newly proposed iterative ensemble Kalman filter (EnKF) data assimilation scheme is used to combine model results and environmental measurements. The system is thoroughly validated against the observations in the Kincaid tracer experiment. The initial first-guess emissions are assumed to be six magnitudes underestimated. The iterative EnKF system rapidly corrects the errors in the emission rate and wind data, thereby significantly improving the model results (>80% reduction of the normalized mean square error, r=0.71). Sensitivity tests are conducted to investigate the influence of meteorological parameters. The results indicate that the system is sensitive to boundary layer height. When the heights from the numerical weather prediction model are used, only 62.5% of reconstructed emission rates are within a factor two of the actual emissions. This increases to 87.5% when the heights derived from the on-site observations are used.
Orchard navigation using derivative free Kalman filtering
DEFF Research Database (Denmark)
Hansen, Søren; Bayramoglu, Enis; Andersen, Jens Christian
2011-01-01
This paper describes the use of derivative free filters for mobile robot localization and navigation in an orchard. The localization algorithm fuses odometry and gyro measurements with line features representing the surrounding fruit trees of the orchard. The line features are created on basis of 2......D laser scanner data by a least square algorithm. The three derivative free filters are compared to an EKF based localization method on a typical run covering four rows in the orchard. The Matlab R toolbox Kalmtool is used for easy switching between different filter implementations without the need...
Multiple Fading Factors Kalman Filter for SINS Static Alignment Application
Institute of Scientific and Technical Information of China (English)
GAO Weixi; MIAO Lingjuan; NI Maolin
2011-01-01
To solve the problem that the standard Kalman filter cannot give the optimal solution when the system model and stochastic information are unknown accurately,single fading factor Kalman filter is suitable for simple systems.But for complex systems with multi-variable,it may not be sufficient to use single fading factor as a multiplier for the covariance matrices.In this paper,a new multiple fading factors Kalman filtering algorithm is presented.By calculating the unbiased estimate of the innovation sequence covariance using fenestration,the fading factor matrix is obtained.Adjusting the covariance matrix of prediction error Pk|k-1 using fading factor matrix,the algorithm provides different rates of fading for different filter channels.The proposed algorithm is applied to strapdown inertial navigation system(SINS) initial alignment,and simulation and experimental results demonstrate that,the alignment accuracy can be upgraded dramatically when the actual system noise characteristics are different from the pre-set values.The new algorithm is less sensitive to uncertainty noise and has better estimation effect of the parameters.Therefore,it is of significant value in practical applications.
Acoustic cardiac signals analysis: a Kalman filter-based approach.
Salleh, Sheik Hussain; Hussain, Hadrina Sheik; Swee, Tan Tian; Ting, Chee-Ming; Noor, Alias Mohd; Pipatsart, Surasak; Ali, Jalil; Yupapin, Preecha P
2012-01-01
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 for the given measurement. The model is formulated into state-space form to enable use of a Kalman filter to estimate the clean cycles of heart sounds. The estimates obtained by Kalman filtering are optimal in mean squared sense.
Dual states estimation of a subsurface flow-transport coupled model using ensemble Kalman filtering
El Gharamti, Mohamad
2013-10-01
Modeling the spread of subsurface contaminants requires coupling a groundwater flow model with a contaminant transport model. Such coupling may provide accurate estimates of future subsurface hydrologic states if essential flow and contaminant data are assimilated in the model. Assuming perfect flow, an ensemble Kalman filter (EnKF) can be used for direct data assimilation into the transport model. This is, however, a crude assumption as flow models can be subject to many sources of uncertainty. If the flow is not accurately simulated, contaminant predictions will likely be inaccurate even after successive Kalman updates of the contaminant model with the data. The problem is better handled when both flow and contaminant states are concurrently estimated using the traditional joint state augmentation approach. In this paper, we introduce a dual estimation strategy for data assimilation into a one-way coupled system by treating the flow and the contaminant models separately while intertwining a pair of distinct EnKFs, one for each model. The presented strategy only deals with the estimation of state variables but it can also be used for state and parameter estimation problems. This EnKF-based dual state-state estimation procedure presents a number of novel features: (i) it allows for simultaneous estimation of both flow and contaminant states in parallel; (ii) it provides a time consistent sequential updating scheme between the two models (first flow, then transport); (iii) it simplifies the implementation of the filtering system; and (iv) it yields more stable and accurate solutions than does the standard joint approach. We conducted synthetic numerical experiments based on various time stepping and observation strategies to evaluate the dual EnKF approach and compare its performance with the joint state augmentation approach. Experimental results show that on average, the dual strategy could reduce the estimation error of the coupled states by 15% compared with the
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).
3D soil water nowcasting using electromagnetic conductivity imaging and the ensemble Kalman filter
Huang, Jingyi; McBratney, Alex B.; Minasny, Budiman; Triantafilis, John
2017-06-01
Mapping and immediate forecasting of soil water content (θ) and its movement can be challenging. Although inversion of apparent electrical conductivity (ECa) measured by electromagnetic induction to calculate depth-specific electrical conductivity (σ) has been used, it is difficult to apply it across a field. In this paper we use a calibration established along a transect, across a 3.94-ha field with varying soil texture, using an ensemble Kalman filter (EnKF) to monitor and nowcast the 3-dimensional θ dynamics on 16 separate days over a period of 38 days. The EnKF combined a physical model fitted with θ measured by soil moisture sensors and an Artificial Neural Network model comprising σ generated by quasi-3d inversions of DUALEM-421S ECa data. Results showed that the distribution of θ was controlled by soil texture, topography, and vegetation. Soil water dried fastest at the beginning after the initial irrigation event and decreased with time and soil depth, which was consistent with classical soil drying theory and experiments. It was also found that the soil dried fastest in the loamy and duplex soils present in the field, which was attributable to deep drainage and preferential flow. It was concluded that the EnKF approach can be used to improve the irrigation efficiency by applying variable irrigation rates across the field. In addition, soil water status can be nowcasted across large spatial extents using this method with weather forecast information, which will provide guidance to farmers for real-time irrigation management.
Energy Technology Data Exchange (ETDEWEB)
Zhang, X.L.; Su, G.F.; Chen, J.G. [Institute of Public Safety Research, Department of Engineering Physics, Tsinghua University, Beijing 100084 (China); Raskob, W. [Institute for Nuclear and Energy Technologies, Karlsruhe Institute of Technology, Karlsruhe, D-76021 (Germany); Yuan, H.Y., E-mail: hy-yuan@outlook.com [Institute of Public Safety Research, Department of Engineering Physics, Tsinghua University, Beijing 100084 (China); Huang, Q.Y. [Institute of Public Safety Research, Department of Engineering Physics, Tsinghua University, Beijing 100084 (China)
2015-10-30
Highlights: • We integrate the iterative EnKF method into the POLYPHEMUS platform. • We thoroughly evaluate the data assimilation system against the Kincaid dataset. • The data assimilation system substantially improves the model predictions. • More than 60% of the retrieved emissions are within a factor two of actual values. • The results reveal that the boundary layer height is the key influential factor. - Abstract: Information about atmospheric dispersion of radionuclides is vitally important for planning effective countermeasures during nuclear accidents. Results of dispersion models have high spatial and temporal resolutions, but they are not accurate enough due to the uncertain source term and the errors in meteorological data. Environmental measurements are more reliable, but they are scarce and unable to give forecasts. In this study, our newly proposed iterative ensemble Kalman filter (EnKF) data assimilation scheme is used to combine model results and environmental measurements. The system is thoroughly validated against the observations in the Kincaid tracer experiment. The initial first-guess emissions are assumed to be six magnitudes underestimated. The iterative EnKF system rapidly corrects the errors in the emission rate and wind data, thereby significantly improving the model results (>80% reduction of the normalized mean square error, r = 0.71). Sensitivity tests are conducted to investigate the influence of meteorological parameters. The results indicate that the system is sensitive to boundary layer height. When the heights from the numerical weather prediction model are used, only 62.5% of reconstructed emission rates are within a factor two of the actual emissions. This increases to 87.5% when the heights derived from the on-site observations are used.
Investigation of flow and transport processes at the MADE site using ensemble Kalman filter
Liu, Gaisheng; Chen, Y.; Zhang, Dongxiao
2008-01-01
In this work the ensemble Kalman filter (EnKF) is applied to investigate the flow and transport processes at the macro-dispersion experiment (MADE) site in Columbus, MS. The EnKF is a sequential data assimilation approach that adjusts the unknown model parameter values based on the observed data with time. The classic advection-dispersion (AD) and the dual-domain mass transfer (DDMT) models are employed to analyze the tritium plume during the second MADE tracer experiment. The hydraulic conductivity (K), longitudinal dispersivity in the AD model, and mass transfer rate coefficient and mobile porosity ratio in the DDMT model, are estimated in this investigation. Because of its sequential feature, the EnKF allows for the temporal scaling of transport parameters during the tritium concentration analysis. Inverse simulation results indicate that for the AD model to reproduce the extensive spatial spreading of the tritium observed in the field, the K in the downgradient area needs to be increased significantly. The estimated K in the AD model becomes an order of magnitude higher than the in situ flowmeter measurements over a large portion of media. On the other hand, the DDMT model gives an estimation of K that is much more comparable with the flowmeter values. In addition, the simulated concentrations by the DDMT model show a better agreement with the observed values. The root mean square (RMS) between the observed and simulated tritium plumes is 0.77 for the AD model and 0.45 for the DDMT model at 328 days. Unlike the AD model, which gives inconsistent K estimates at different times, the DDMT model is able to invert the K values that consistently reproduce the observed tritium concentrations through all times. ?? 2008 Elsevier Ltd. All rights reserved.
Handling Out-of-Sequence Data: Kalman Filter Methods or Statistical Imputation?
Directory of Open Access Journals (Sweden)
Bhekisipho Twala
2010-01-01
Full Text Available The issue of handling sensor measurements data over single and multiple lag delays also known as outof-sequence measurement (OOSM has been considered. It is argued that this problem can also be addressed using model-based imputation strategies and their application in comparison to Kalman filter (KF-based approaches for a multi-sensor tracking prediction problem has also been demonstrated. The effectiveness of two model-based imputation procedures against five OOSM methods was investigated in Monte Carlo simulation experiments. The delayed measurements were either incorporated (or fused at the time these were finally available (using OOSM methods or imputed in a random way with higher probability of delays for multiple lags and lower probability of delays for a single lag (using single or multiple imputation. For single lag, estimates of target tracking computed from the observed data and those based on a data set in which the delayed measurements were imputed were equally unbiased; however, the KF estimates obtained using the Bayesian framework (BF-KF were more precise. When the measurements were delayed in a multiple lag fashion, there were significant differences in bias or precision between multiple imputation (MI and OOSM methods, with the former exhibiting a superior performance at nearly all levels of probability of measurement delay and range of manoeuvring indices. Researchers working on sensor data are encouraged to take advantage of software to implement delayed measurements using MI, as estimates of tracking are more precise and less biased in the presence of delayed multi-sensor data than those derived from an observed data analysis approach.Defence Science Journal, 2010, 60(1, pp.87-99, DOI:http://dx.doi.org/10.14429/dsj.60.115
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...
Robust tracking with spatio-velocity snakes: Kalman filtering approach
Energy Technology Data Exchange (ETDEWEB)
Peterfreund, N.
1998-12-31
Using results from robust Kalman filtering, we present a new Kalman filter-based snake model for tracking of nonrigid objects in combined spatio-velocity space. The proposed model is the stochastic version of the velocity snake, an active contour model for combined tracking of position and velocity of nonrigid boundaries. The proposed model uses image gradient and optical flow measurements along the contour as system measurements. An optical-flow based measurement error is used to detect and reject image measurements which correspond to image clutter or to other objects. The method was applied to object tracking of both rigid and nonrigid objects, resulting in good tracking results and robustness to image clutter, occlusions and numerical noise. 19 refs., 3 figs.
Robust tracking with spatio-velocity snakes: Kalman filtering approach
Energy Technology Data Exchange (ETDEWEB)
Peterfreund, N.
1997-06-01
Using results from robust Kalman filtering, the author presents a new Kalman filter-based snake model for tracking of nonrigid objects in combined spatio-velocity space. The proposed model is the stochastic version of the velocity snake, an active contour model for combined tracking of position and velocity of nonrigid boundaries. The proposed model uses image gradient and optical flow measurements along the contour as system measurements. An optical-flow based measurement error is used to detect and reject image measurements which correspond to image clutter or to other objects. The method was applied to object tracking of both rigid and nonrigid objects, resulting in good tracking results and robustness to image clutter, occlusions and numerical noise.
A Multiresolution Ensemble Kalman Filter using Wavelet Decomposition
Hickmann, Kyle S
2015-01-01
We present a method of using classical wavelet based multiresolution analysis to separate scales in model and observations during data assimilation with the ensemble Kalman filter. In many applications, the underlying physics of a phenomena involve the interaction of features at multiple scales. Blending of observational and model error across scales can result in large forecast inaccuracies since large errors at one scale are interpreted as inexact data at all scales. Our method uses a transformation of the observation operator in order to separate the information from different scales of the observations. This naturally induces a transformation of the observation covariance and we put forward several algorithms to efficiently compute the transformed covariance. Another advantage of our multiresolution ensemble Kalman filter is that scales can be weighted independently to adjust each scale's effect on the forecast. To demonstrate feasibility we present applications to a one dimensional Kuramoto-Sivashinsky (...
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.
Multiplicative Quaternion Extended Kalman Filtering for Nonspinning Guided Projectiles
2013-07-01
micro- electromechanical system ( MEMS ) gyroscopes have been able to measure the spin-rates of fin- stabilized projectiles such as mortars, which...model, the statistics of the gyroscope and accelerometer noise are measureable, and can be easily incorporated into an extended Kalman filtering...tradeoff between affordability, durability, and performance. Automotive-grade MEMS components have been used in the harsh gun-launch environment for
Unscented Kalman Filter for Autonomous Warship Attitude Determination
Institute of Scientific and Technical Information of China (English)
FU Jian-guo; WANG Xiao-tong; JIN Lian-gan; MA Ye
2005-01-01
To address a problem of autonomous attitude determination algorithm using gravitational field and geomagnetic field observation, a new recursive optimization autonomous attitude estimation algorithm is proposed. The algorithm is based on unscented Kalman filter(UKF), and can synchronously provide the attitude rate information. The simulated results show that the measurement precision of the method could be increased by 2 times compared to that of the common methods.
Robust Optical User Motion Tracking Using a Kalman Filter
Dorfmüller-Ulhaas, Klaus
2007-01-01
Optical tracking has a great future in applications of virtual and augmented reality. It will assist to enhance the acceptance of virtual reality user interfaces, since optical tracking allows wireless interaction and precise tracking. Existing commercial motion capture systems are neither working reliably in real-time. Additionally, only few optical trackers can smooth and predict motion and include a motion estimator supplying similar results to the presented approach. A Kalman filter formu...
Adaptive high-gain extended kalman filter and applications
Boizot, Nicolas Richard
2010-01-01
The work concerns the ``observability problem” --- the reconstruction of a dynamic process's full state from a partially measured state--- for nonlinear dynamic systems. The Extended Kalman Filter (EKF) is a widely-used observer for such nonlinear systems. However it suffers from a lack of theoretical justifications and displays poor performance when the estimated state is far from the real state, e.g. due to large perturbations, a poor initial state estimate, etc… We propose a solution to...
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.
Improvements of Analog Neural Networks Based on Kalman Filter
Directory of Open Access Journals (Sweden)
Z. Raida
2002-04-01
Full Text Available In the paper, original improvements of recurrent analog neuralnetworks, which are based on Kalman filter, are presented. Theseimprovements eliminate some disadvantages of the classical Kalmanneural network and enable a real time processing of quickly changingsignals, which appear in adaptive antennas and similar applications.This goal is reached using such circuit elements, which increase theconvergence rate of the network and decrease the dependence ofconvergence rate on the ratio of eigenvalues of the correlation matrixof input signals.
Kalman Filter Based Tracking in an Video Surveillance System
SULIMAN, C.; CRUCERU, C.; Moldoveanu, F.
2010-01-01
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 obtaine...
SUBSTANTIATION OF THE PUBLIC DEBT SUSTAINABILITY USING KALMAN FILTER
Directory of Open Access Journals (Sweden)
Bolos Marcel
2011-12-01
Full Text Available Global economic conditions have pushed many countries into the delicate situation of contracting foreign loans, leading overnight at alarming volumes of public debt. The need for control and relevant analysis for the sustainability of a country's public debt has led us to use the Kalman filter in predicting future values of the key indicators of public debt. The development of a mathematical model of analysis for public services and the budget deficit was necessary to objectively assess the level of the public debt sustainability.Knowing future values of the public debt or the future evolutions of the revenues for the operational budget, offers the posibility of a better handling of the operational expenditures and finally a better balance for the public budget deficit.Using the mathematical mechanism of Kalman filters implemented in Matlab programming language, we generated the estimated future values of the proposed model proposed and key indicators, the results confirming the fears of a low public debt sustainability for Romania.We predicted the future values for the debt service, the public external debt and the operational public revenues,expenditures and deficit, and compared them, to obtain an image of the future evolution and position of the sustainability of the public debt. The work in this paper is an innovative one for the public science sector, and the results obtained are promising for future researches. The values estimated by the Kalman filter are an orientation for the future public policies, and indicate a rather stable but negative evolution for the public debt service. The sustainability of the public debt depends on the decisions taken for the correction of the estimated values, in changing the negative evolution of the budgetary indicators into a positive one.Taking all this into consideration we will conclude that the mathematical mecanism of the Kalman filters offers valuable informations for Government and future
Directory of Open Access Journals (Sweden)
G. Wu
2014-04-01
Full Text Available The Ensemble Transform Kalman Filter (ETKF assimilation scheme has recently seen rapid development and wide application. As a specific implementation of the Ensemble Kalman Filter (EnKF, the ETKF is computationally more efficient than the conventional EnKF. However, the current implementation of the ETKF still has some limitations when the observation operator is strongly nonlinear. One problem is that the nonlinear operator and its tangent-linear operator are iteratively calculated in the minimization of a nonlinear objective function similar to 4DVAR, which may be computationally expensive. Another problem is that it uses the tangent-linear approximation of the observation operator to estimate the multiplicative inflation factor of the forecast errors, which may not be sufficiently accurate. This study seeks a way to avoid these problems. First, we apply the second-order Taylor approximation of the nonlinear observation operator to avoid iteratively calculating the operator and its tangent-linear operator. The related computational cost is also discussed. Second, we propose a scheme to estimate the inflation factor when the observation operator is strongly nonlinear. Experimentation with the Lorenz-96 model shows that using the second-order Taylor approximation of the nonlinear observation operator leads to a reduction of the analysis error compared with the traditional linear approximation. Similarly, the proposed inflation scheme leads to a reduction of the analysis error compared with the procedure using the traditional inflation scheme.
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.
Orchard navigation using derivative free Kalman filtering
DEFF Research Database (Denmark)
Hansen, Søren; Bayramoglu, Enis; Andersen, Jens Christian
2011-01-01
This paper describes the use of derivative free filters for mobile robot localization and navigation in an orchard. The localization algorithm fuses odometry and gyro measurements with line features representing the surrounding fruit trees of the orchard. The line features are created on basis of 2...
Three-dimensional motion tracking by Kalman filtering
Gao, Jean; Kosaka, Akio; Kak, Avinash C.
2000-10-01
In this paper, a 3D semantic object motion tracking method based on Kalman filtering is proposed. First, we use a specially designed Color Image Segmentation Editor (CISE) to devise shapes that more accurately describe the object to be tracked. CISE is an integration of edge and region detection, which is based on edge-linking, split-and-merge and the energy minimization for active contour detection. An ROI is further segmented into single motion blobs by considering the constancy of the motion parameters in each blob. Over short time intervals, each blob can be tracked separately and, over longer times, the blobs can be allowed to fragment and coalesce into new blobs as motion evolves. The tracking of each blob is based on a Kalman filter derived from linearization of a constraint equation satisfied by the pinhole model of a camera. The Kalman filter allows the tracker to project the uncertainties associated with a blob center (or with the coordinates of any other features) into the next frame. This projected uncertainty region can then be searched rot eh pixels belonging to the blob. Future work includes investigation of the effects of illumination changes and simultaneous tracking of multiple targets.
Relationship between Allan variances and Kalman Filter parameters
Vandierendonck, A. J.; Mcgraw, J. B.; Brown, R. G.
1984-01-01
A relationship was constructed between the Allan variance parameters (H sub z, H sub 1, H sub 0, H sub -1 and H sub -2) and a Kalman Filter model that would be used to estimate and predict clock phase, frequency and frequency drift. To start with the meaning of those Allan Variance parameters and how they are arrived at for a given frequency source is reviewed. Although a subset of these parameters is arrived at by measuring phase as a function of time rather than as a spectral density, they all represent phase noise spectral density coefficients, though not necessarily that of a rational spectral density. The phase noise spectral density is then transformed into a time domain covariance model which can then be used to derive the Kalman Filter model parameters. Simulation results of that covariance model are presented and compared to clock uncertainties predicted by Allan variance parameters. A two state Kalman Filter model is then derived and the significance of each state is explained.
Autonomous Orbit Determination via Kalman Filtering of Gravity Gradients
Sun, Xiucong; Macabiau, Christophe; Han, Chao
2016-01-01
Spaceborne gravity gradients are proposed in this paper to provide autonomous orbit determination capabilities for near Earth satellites. The gravity gradients contain useful position information which can be extracted by matching the observations with a precise gravity model. The extended Kalman filter is investigated as the principal estimator. The stochastic model of orbital motion, the measurement equation and the model configuration are discussed for the filter design. An augmented state filter is also developed to deal with unknown significant measurement biases. Simulations are conducted to analyze the effects of initial errors, data-sampling periods, orbital heights, attitude and gradiometer noise levels, and measurement biases. Results show that the filter performs well with additive white noise observation errors. Degraded observability for the along-track position is found for the augmented state filter. Real flight data from the GOCE satellite are used to test the algorithm. Radial and cross-track...
Chen, Jie; Li, Jiahong; Yang, Shuanghua; Deng, Fang
2016-07-21
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.
Energy Technology Data Exchange (ETDEWEB)
Juxiu Tong; Bill X. Hu; Hai Huang; Luanjin Guo; Jinzhong Yang
2014-03-01
With growing importance of water resources in the world, remediations of anthropogenic contaminations due to reactive solute transport become even more important. A good understanding of reactive rate parameters such as kinetic parameters is the key to accurately predicting reactive solute transport processes and designing corresponding remediation schemes. For modeling reactive solute transport, it is very difficult to estimate chemical reaction rate parameters due to complex processes of chemical reactions and limited available data. To find a method to get the reactive rate parameters for the reactive urea hydrolysis transport modeling and obtain more accurate prediction for the chemical concentrations, we developed a data assimilation method based on an ensemble Kalman filter (EnKF) method to calibrate reactive rate parameters for modeling urea hydrolysis transport in a synthetic one-dimensional column at laboratory scale and to update modeling prediction. We applied a constrained EnKF method to pose constraints to the updated reactive rate parameters and the predicted solute concentrations based on their physical meanings after the data assimilation calibration. From the study results we concluded that we could efficiently improve the chemical reactive rate parameters with the data assimilation method via the EnKF, and at the same time we could improve solute concentration prediction. The more data we assimilated, the more accurate the reactive rate parameters and concentration prediction. The filter divergence problem was also solved in this study.
An adaptive Kalman filter for ECG signal enhancement.
Vullings, Rik; de Vries, Bert; Bergmans, Jan W M
2011-04-01
The ongoing trend of ECG monitoring techniques to become more ambulatory and less obtrusive generally comes at the expense of decreased signal quality. To enhance this quality, consecutive ECG complexes can be averaged triggered on the heartbeat, exploiting the quasi-periodicity of the ECG. However, this averaging constitutes a tradeoff between improvement of the SNR and loss of clinically relevant physiological signal dynamics. Using a bayesian framework, in this paper, a sequential averaging filter is developed that, in essence, adaptively varies the number of complexes included in the averaging based on the characteristics of the ECG signal. The filter has the form of an adaptive Kalman filter. The adaptive estimation of the process and measurement noise covariances is performed by maximizing the bayesian evidence function of the sequential ECG estimation and by exploiting the spatial correlation between several simultaneously recorded ECG signals, respectively. The noise covariance estimates thus obtained render the filter capable of ascribing more weight to newly arriving data when these data contain morphological variability, and of reducing this weight in cases of no morphological variability. The filter is evaluated by applying it to a variety of ECG signals. To gauge the relevance of the adaptive noise-covariance estimation, the performance of the filter is compared to that of a Kalman filter with fixed, (a posteriori) optimized noise covariance. This comparison demonstrates that, without using a priori knowledge on signal characteristics, the filter with adaptive noise estimation performs similar to the filter with optimized fixed noise covariance, favoring the adaptive filter in cases where no a priori information is available or where signal characteristics are expected to fluctuate.
Directory of Open Access Journals (Sweden)
Cahit Tağı ÇELİK
2004-01-01
Full Text Available Monitoring the Crustal Movement in Geodesy is performed by the deformation survey and analysis. If monitoring the crustal movements involves more than two epochs of survey campaign then from the plate tectonic theory, stations do not move randomly from one epoch to the other, therefore Kalman Filter may be suitable to use. However, if sudden movements happened in the crust in particular earthquake happened, the crust moves very fast in a very short period of time. When Kalman Filter used for monitoring these movements, from associated epoch, for a number of epochs the results may be biased. In the paper, comparison of two methods for elimination of the above mentioned biases have been performed. These methods are Fading Memory Filter and Adaptive Kalman Filter for an unknown bias.
A new iterative speech enhancement scheme based on Kalman filtering
DEFF Research Database (Denmark)
Li, Chunjian; Andersen, Søren Vang
2005-01-01
Subtraction filter is introduced as an initialization procedure. Iterations are then made sequential inter-frame, exploiting the fact that the AR model changes slowly between neighboring frames. The proposed algorithm is computationally more efficient than a baseline EM algorithm due to its fast convergence...... 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...
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.
2014-09-01
attitude estimate. 1. INTRODUCTION The utility of using brightness ( radiometric flux intensity) measurements to determine a space object (SO)’s...a penalty for failing to comply with a collection of information if it does not display a currently valid OMB control number. 1. REPORT DATE SEP...2014 2. REPORT TYPE 3. DATES COVERED 00-00-2014 to 00-00-2014 4. TITLE AND SUBTITLE Comparison of Unscented Kalman Filter and Unscented Schmidt
Software Would Largely Automate Design of Kalman Filter
Chuang, Jason C. H.; Negast, William J.
2005-01-01
Embedded Navigation Filter Automatic Designer (ENFAD) is a computer program being developed to automate the most difficult tasks in designing embedded software to implement a Kalman filter in a navigation system. The most difficult tasks are selection of error states of the filter and tuning of filter parameters, which are timeconsuming trial-and-error tasks that require expertise and rarely yield optimum results. An optimum selection of error states and filter parameters depends on navigation-sensor and vehicle characteristics, and on filter processing time. ENFAD would include a simulation module that would incorporate all possible error states with respect to a given set of vehicle and sensor characteristics. The first of two iterative optimization loops would vary the selection of error states until the best filter performance was achieved in Monte Carlo simulations. For a fixed selection of error states, the second loop would vary the filter parameter values until an optimal performance value was obtained. Design constraints would be satisfied in the optimization loops. Users would supply vehicle and sensor test data that would be used to refine digital models in ENFAD. Filter processing time and filter accuracy would be computed by ENFAD.
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.
VLBI real-time analysis by Kalman Filtering
Karbon, Maria; Soja, Benedikt; Nilson, Tobias; Heinkelmann, Robert; Liu, Li; Lu, Ciuxian; Xu, Minghui; Raposo-Pulido, Virginia; Mora-Diaz, Julian; Schuh, Harald
2014-05-01
Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques. It provides the full set of Earth Orientation Parameter (EOP) and is unique for observing long term Universal Time (UT1) and precession/nutation. Currently the VLBI products are delivered with a delay of about two weeks from the moment of the observation. However, the need for near-real time estimates of the parameters is increasing, e.g. for satellite based navigation and positioning or for enabling precise tracking of interplanetary spacecraft. The goal is thus to reduce the time span between observation and the final result to less than one day. This can be archived by replacing the classical least squares method with an adaptive Kalman filter. We have developed a Kalman filter for VLBI data analysis. This method has the advantage that it is simultaneously possible to estimate stationary parameters, e.g. station positions, and to model the highly variable stochastic behavior of non-stationary parameters like clocks or atmospheric parameters. The filter is able to perform without any human interaction, making it a completely autonomous tool. In this work we describe the filter and discuss its application for EOP determination and prediction. We discuss the implementation of the stochastic models to statistically account for unpredictable changes in EOP. Furthermore, additional data like results from other techniques can be included to improve the performance. For example, atmospheric angular momentum calculated from numerical weather models can be introduced to supplement the short-term prediction of UT1 and polar motion. This Kalman filter will be extended and embedded in the newly developed Vienna VLBI Software (VieVS) as a completely autonomous tool enabling the VLBI analysis in near real-time and providing all the parameters of interest with the highest possible accuracy.
Data assimilation the ensemble Kalman filter
Evensen, Geir
2007-01-01
Data Assimilation comprehensively covers data assimilation and inverse methods, including both traditional state estimation and parameter estimation. This text and reference focuses on various popular data assimilation methods, such as weak and strong constraint variational methods and ensemble filters and smoothers. It is demonstrated how the different methods can be derived from a common theoretical basis, as well as how they differ and/or are related to each other, and which properties characterize them, using several examples. Rather than emphasize a particular discipline such as oceanography or meteorology, it presents the mathematical framework and derivations in a way which is common for any discipline where dynamics is merged with measurements. The mathematics level is modest, although it requires knowledge of basic spatial statistics, Bayesian statistics, and calculus of variations. Readers will also appreciate the introduction to the mathematical methods used and detailed derivations, which should b...
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.
Unscented Kalman filters for polarization state tracking and phase noise mitigation.
Jignesh, Jokhakar; Corcoran, Bill; Zhu, Chen; Lowery, Arthur
2016-09-19
Simultaneous polarization and phase noise tracking and compensation is proposed based on an unscented Kalman filter (UKF). We experimentally demonstrate the tracking under noise-loading and after 800-km single-mode fiber transmission with 20-Gbaud QPSK and 16-QAM signals. These experiments show that the proposed UKF outperforms both conventional blind tracing algorithms and a previously proposed extended Kalman filter, at the cost of higher complexity. Additionally, we propose and test modified Kalman filter algorithms to reduce computational complexity.
Enhancement of Spanish Oesophageal Speech vowels using coherent subband modulator Kalman filtering.
Ishaq, Rizwan; Zapirain, Begoña García
2016-01-01
This paper proposes an Oesophageal Speech (OES) enhancement method, based on Kalman filtering. The Kalman filter is applied to modulators of OES frequency subbands instead of the fullband signal. The OES frequency subbands are decomposed into modulators and carriers components using coherent demodulation. In comparison with fullband Kalman filtering and pole stabilization, the proposed technique shows better results. The system performance is evaluated objectively and subjectively using the Harmonic to Noise Ratio (HNR) and Mean Opinion Score (MOS) respectively. Results have shown that Kalman filter in subband modulators processing is robust and efficient, improving the HNR by 4 to 5 dB for all Spanish vowels.
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
Kalman filtering to suppress spurious signals in Adaptive Optics control
Energy Technology Data Exchange (ETDEWEB)
Poyneer, L; Veran, J P
2010-03-29
In many scenarios, an Adaptive Optics (AO) control system operates in the presence of temporally non-white noise. We use a Kalman filter with a state space formulation that allows suppression of this colored noise, hence improving residual error over the case where the noise is assumed to be white. We demonstrate the effectiveness of this new filter in the case of the estimated Gemini Planet Imager tip-tilt environment, where there are both common-path and non-common path vibrations. We discuss how this same framework can also be used to suppress spatial aliasing during predictive wavefront control assuming frozen flow in a low-order AO system without a spatially filtered wavefront sensor, and present experimental measurements from Altair that clearly reveal these aliased components.
Non-linear Kalman filters for calibration in radio interferometry
Tasse, Cyril
2014-01-01
We present a new calibration scheme based on a non-linear version of Kalman filter that aims at estimating the physical terms appearing in the Radio Interferometry Measurement Equation (RIME). We enrich the filter's structure with a tunable data representation model, together with an augmented measurement model for regularization. We show using simulations 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 cheap algorithm that we believe to be robust, especially in low signal-to-noise regime. Potentially the use of filters and other similar methods can represent an improvement for calibration in radio interferometry, under the condition that the effects corrupting visib...
Kalman filtering to suppress spurious signals in Adaptive Optics control
Energy Technology Data Exchange (ETDEWEB)
Poyneer, L; Veran, J P
2010-03-29
In many scenarios, an Adaptive Optics (AO) control system operates in the presence of temporally non-white noise. We use a Kalman filter with a state space formulation that allows suppression of this colored noise, hence improving residual error over the case where the noise is assumed to be white. We demonstrate the effectiveness of this new filter in the case of the estimated Gemini Planet Imager tip-tilt environment, where there are both common-path and non-common path vibrations. We discuss how this same framework can also be used to suppress spatial aliasing during predictive wavefront control assuming frozen flow in a low-order AO system without a spatially filtered wavefront sensor, and present experimental measurements from Altair that clearly reveal these aliased components.
Kalman Filter Estimation of Spinning Spacecraft Attitude using Markley Variables
Sedlak, Joseph E.; Harman, Richard
2004-01-01
There are several different ways to represent spacecraft attitude and its time rate of change. For spinning or momentum-biased spacecraft, one particular representation has been put forward as a superior parameterization for numerical integration. Markley has demonstrated that these new variables have fewer rapidly varying elements for spinning spacecraft than other commonly used representations and provide advantages when integrating the equations of motion. The current work demonstrates how a Kalman filter can be devised to estimate the attitude using these new variables. The seven Markley variables are subject to one constraint condition, making the error covariance matrix singular. The filter design presented here explicitly accounts for this constraint by using a six-component error state in the filter update step. The reduced dimension error state is unconstrained and its covariance matrix is nonsingular.
A balanced Kalman filter ocean data assimilation system with application to the South Australian Sea
Li, Yi; Toumi, Ralf
2017-08-01
In this paper, an Ensemble Kalman Filter (EnKF) based regional ocean data assimilation system has been developed and applied to the South Australian Sea. This system consists of the data assimilation algorithm provided by the NCAR Data Assimilation Research Testbed (DART) and the Regional Ocean Modelling System (ROMS). We describe the first implementation of the physical balance operator (temperature-salinity, hydrostatic and geostrophic balance) to DART, to reduce the spurious waves which may be introduced during the data assimilation process. The effect of the balance operator is validated in both an idealised shallow water model and the ROMS model real case study. In the shallow water model, the geostrophic balance operator eliminates spurious ageostrophic waves and produces a better sea surface height (SSH) and velocity analysis and forecast. Its impact increases as the sea surface height and wind stress increase. In the real case, satellite-observed sea surface temperature (SST) and SSH are assimilated in the South Australian Sea with 50 ensembles using the Ensemble Adjustment Kalman Filter (EAKF). Assimilating SSH and SST enhances the estimation of SSH and SST in the entire domain, respectively. Assimilation with the balance operator produces a more realistic simulation of surface currents and subsurface temperature profile. The best improvement is obtained when only SSH is assimilated with the balance operator. A case study with a storm suggests that the benefit of the balance operator is of particular importance under high wind stress conditions. Implementing the balance operator could be a general benefit to ocean data assimilation systems.
Huang, Chengcheng; Newman, Andrew J.; Clark, Martyn P.; Wood, Andrew W.; Zheng, Xiaogu
2017-01-01
In this study, we examine the potential of snow water equivalent data assimilation (DA) using the ensemble Kalman filter (EnKF) to improve seasonal streamflow predictions. There are several goals of this study. First, we aim to examine some empirical aspects of the EnKF, namely the observational uncertainty estimates and the observation transformation operator. Second, we use a newly created ensemble forcing dataset to develop ensemble model states that provide an estimate of model state uncertainty. Third, we examine the impact of varying the observation and model state uncertainty on forecast skill. We use basins from the Pacific Northwest, Rocky Mountains, and California in the western United States with the coupled Snow-17 and Sacramento Soil Moisture Accounting (SAC-SMA) models. We find that most EnKF implementation variations result in improved streamflow prediction, but the methodological choices in the examined components impact predictive performance in a non-uniform way across the basins. Finally, basins with relatively higher calibrated model performance (> 0.80 NSE) without DA generally have lesser improvement with DA, while basins with poorer historical model performance show greater improvements.
Directory of Open Access Journals (Sweden)
Xungao Zhong
2013-10-01
Full Text Available In this paper, a global-state-space visual servoing scheme is proposed for uncalibrated model-independent robotic manipulation. The scheme is based on robust Kalman filtering (KF, in conjunction with Elman neural network (ENN learning techniques. The global map relationship between the vision space and the robotic workspace is learned using an ENN. This learned mapping is shown to be an approximate estimate of the Jacobian in global space. In the testing phase, the desired Jacobian is arrived at using a robust KF to improve the ENN learning result so as to achieve robotic precise convergence of the desired pose. Meanwhile, the ENN weights are updated (re-trained using a new input-output data pair vector (obtained from the KF cycle to ensure robot global stability manipulation. Thus, our method, without requiring either camera or model parameters, avoids the corrupted performances caused by camera calibration and modeling errors. To demonstrate the proposed scheme’s performance, various simulation and experimental results have been presented using a six-degree-of-freedom robotic manipulator with eye-in-hand configurations.
Kalman filter based algorithms for PANDA rate at FAIR
Energy Technology Data Exchange (ETDEWEB)
Prencipe, Elisabetta; Ritman, James [IKP, Forschungszentrum Juelich (Germany); Rauch, Johannes [E18, Technische Universitaet Muenchen (Germany); Collaboration: PANDA-Collaboration
2015-07-01
PANDA at the future FAIR facility in Darmstadt is an experiment with a cooled antiproton beam in a range between 1.5 and 15 GeV/c, allowing a wide physics program in nuclear and particle physics. High average reaction rates up to 2.10{sup 7} interactions/s are expected. PANDA is the only experiment worldwide, which combines a solenoid field and a dipole field in an experiment with a fixed target topology. The tracking system must be able to reconstruct high momenta in the laboratory frame. The tracking system of PANDA involves the presence of a high performance silicon vertex detector, a GEM detector, a Straw-Tubes central tracker, a forward tracking system, and a luminosity monitor. The first three of those, are inserted in a solenoid homogeneous magnetic field (B=2 T), the latter two are inside a dipole magnetic field (B=2 Tm), The offline tracking algorithm is developed within the PandaRoot framework, which is a part of the FAIRRoot project. The algorithm is based on a tool containing the Kalman Filter equations and a deterministic annealing filter (GENFIT). The Kalman-Filter-based routines can perform extrapolations of track parameters and covariance matrices. In GENFIT2, the Runge-Kutta track representation is available. First results of an implementation of GENFIT2 in PandaRoot are presented. Resolutions and efficiencies for different beam momenta and different track hypotheses are shown.
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.
Consensus+Innovations Distributed Kalman Filter With Optimized Gains
Das, Subhro; Moura, Jose M. F.
2017-01-01
In this paper, we address the distributed filtering and prediction of time-varying random fields represented by linear time-invariant (LTI) dynamical systems. The field is observed by a sparsely connected network of agents/sensors collaborating among themselves. We develop a Kalman filter type consensus+innovations distributed linear estimator of the dynamic field termed as Consensus+Innovations Kalman Filter. We analyze the convergence properties of this distributed estimator. We prove that the mean-squared error of the estimator asymptotically converges if the degree of instability of the field dynamics is within a pre-specified threshold defined as tracking capacity of the estimator. The tracking capacity is a function of the local observation models and the agent communication network. We design the optimal consensus and innovation gain matrices yielding distributed estimates with minimized mean-squared error. Through numerical evaluations, we show that, the distributed estimator with optimal gains converges faster and with approximately 3dB better mean-squared error performance than previous distributed estimators.
An Extended Kalman Filter with a Computed Mean Square Error Bound
Hexner, Gyorgy; Weiss, Haim
2014-01-01
The paper proposes a new recursive filter for non-linear systems that inherently computes a valid bound on the mean square estimation error. The proposed filter, bound based extended Kalman, (BEKF) is in the form of an extended Kalman filter. The main difference of the proposed filter from the conventional extended Kalman filter is in the use of a computed mean square error bound matrix, to calculate the filter gain, and to serve as bound on the actual mean square error. The paper shows that ...
Application of Kalman Filter on modelling interest rates
Directory of Open Access Journals (Sweden)
Long H. Vo
2014-03-01
Full Text Available This study aims to test the feasibility of using a data set of 90-day bank bill forward rates from the Australian market to predict spot interest rates. To achieve this goal I utilized the application of Kalman Filter in a state space model with time-varying state variable. It is documented that in the case of short-term interest rates,the state space model yields robust predictive power. In addition, this predictive power of implied forward rate is heavily impacted by the existence of a time-varying risk premium in the term structure.
Adaptive training of feedforward neural networks by Kalman filtering
Energy Technology Data Exchange (ETDEWEB)
Ciftcioglu, Oe. [Istanbul Technical Univ. (Turkey). Dept. of Electrical Engineering; Tuerkcan, E. [Netherlands Energy Research Foundation (ECN), Petten (Netherlands)
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.).
Optimal subband Kalman filter for normal and oesophageal speech enhancement.
Ishaq, Rizwan; García Zapirain, Begoña
2014-01-01
This paper presents the single channel speech enhancement system using subband Kalman filtering by estimating optimal Autoregressive (AR) coefficients and variance for speech and noise, using Weighted Linear Prediction (WLP) and Noise Weighting Function (NWF). The system is applied for normal and Oesophageal speech signals. The method is evaluated by Perceptual Evaluation of Speech Quality (PESQ) score and Signal to Noise Ratio (SNR) improvement for normal speech and Harmonic to Noise Ratio (HNR) for Oesophageal Speech (OES). Compared with previous systems, the normal speech indicates 30% increase in PESQ score, 4 dB SNR improvement and OES shows 3 dB HNR improvement.
Telescope Multi-Field Wavefront Control with a Kalman Filter
Lou, John Z.; Redding, David; Sigrist, Norbert; Basinger, Scott
2008-01-01
An effective multi-field wavefront control (WFC) approach is demonstrated for an actuated, segmented space telescope using wavefront measurements at the exit pupil, and the optical and computational implications of this approach are discussed. The integration of a Kalman Filter as an optical state estimator into the wavefront control process to further improve the robustness of the optical alignment of the telescope will also be discussed. Through a comparison of WFC performances between on-orbit and ground-test optical system configurations, the connection (and a possible disconnection) between WFC and optical system alignment under these circumstances are analyzed. Our MACOS-based computer simulation results will be presented and discussed.
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.
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.
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.
Rigatos, Gerasimos
2016-07-01
The Derivative-free nonlinear Kalman Filter is used for developing a communication system that is based on a chaotic modulator such as the Duffing system. In the transmitter's side, the source of information undergoes modulation (encryption) in which a chaotic signal generated by the Duffing system is the carrier. The modulated signal is transmitted through a communication channel and at the receiver's side demodulation takes place, after exploiting the estimation provided about the state vector of the chaotic oscillator by the Derivative-free nonlinear Kalman Filter. Evaluation tests confirm that the proposed filtering method has improved performance over the Extended Kalman Filter and reduces significantly the rate of transmission errors. Moreover, it is shown that the proposed Derivative-free nonlinear Kalman Filter can work within a dual Kalman Filtering scheme, for performing simultaneously transmitter-receiver synchronisation and estimation of unknown coefficients of the communication channel.
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. T...
Shi, Yuning; Davis, Kenneth J.; Zhang, Fuqing; Duffy, Christopher J.; Yu, Xuan
2015-09-01
The capability of an ensemble Kalman filter (EnKF) to simultaneously estimate multiple parameters in a physically-based land surface hydrologic model using multivariate field observations is tested at a small watershed (0.08 km2). Multivariate, high temporal resolution, in situ measurements of discharge, water table depth, soil moisture, and sensible and latent heat fluxes encompassing five months of 2009 are assimilated. It is found that, for five out of the six parameters, the EnKF estimated parameter values from different test cases converge strongly, and the estimates after convergence are close to the manually calibrated parameter values. The EnKF estimated parameters and manually calibrated parameters yield similar model performance, but the EnKF sequential method significantly decreases the time and labor required for calibration. The results demonstrate that, given a limited number of multi-state, site-specific observations, an automated sequential calibration method (EnKF) can be used to optimize physically-based land surface hydrologic models.
A Tensor Network Kalman filter with an application in recursive MIMO Volterra system identification
Batselier, Kim; Chen, Zhongming; Wong, Ngai
2016-01-01
This article introduces a Tensor Network Kalman filter, which can estimate state vectors that are exponentially large without ever having to explicitly construct them. The Tensor Network Kalman filter also easily accommodates the case where several different state vectors need to be estimated simultaneously. The key lies in rewriting the standard Kalman equations as tensor equations and then implementing them using Tensor Networks, which effectively transforms the exponential storage cost and...
Tracking the Kasatochi SO2 plume using the Ensemble Kalman Filter and OMI observations
Vira, Julius; Theys, Nicolas; Sofiev, Mikhail
2016-04-01
This paper discusses an application of the Ensemble Kalman Filter (EnKF) data assimilation method in improving prediction of volcanic plumes. Column retrievals of SO2 from the OMI instrument are assimilated into the SILAM chemistry transport model during 8 days following the 2008 eruption of Kasatochi. The analysis ensemble is shown to accurately capture the observed horizontal distribution of the plume, and moreover, comparison with backscatter profiles from the CALIOP instrument indicates that the analysis recovers the vertical distribution of SO2 realistically. The total SO2 burden following the eruption converges to about 2 Tg, which is within the range of previous estimates. The assimilation scheme uses an 80-member ensemble generated by perturbing the source term and the meteorological input data. The SO2 emission flux is sampled from a log-normal probability distribution resulting in large initial spread in the ensemble. A prescribed umbrella profile and a power law relation between the injection height and mass flux are assumed. However, despite the assumptions in the source term perturbations, the analysis ensemble is shown to be capable of reproducing complex, multi-layer SO2 profiles consistent with previous modeling studies on the Kasatochi eruption. The meteorological perturbations are introduced in the form of random time shifts in the input data, which ensures that the input data for each ensemble member remain physically consistent. Including the meteorological perturbations prevents the ensemble spread from decreasing unrealistically as the simulation proceeds, and consequently, the assimilation remains effective in correcting the predictions throughout the simulated period. In conclusion, EnKF is a promising approach for assimilating satellite observations in volcanic plume forecasts. An advantage of the ensemble approach is that model uncertainty, which is often difficult to handle in other schemes, can be included by perturbing the ensemble. A
Reconstruction of spacecraft rotational motion using a Kalman filter
Pankratov, V. A.; Sazonov, V. V.
2016-05-01
Quasi-static microaccelerations of four satellites of the Foton series (nos. 11, 12, M-2, M-3) were monitored as follows. First, according to measurements of onboard sensors obtained in a certain time interval, spacecraft rotational motion was reconstructed in this interval. Then, along the found motion, microacceleration at a given onboard point was calculated according to the known formula as a function of time. The motion was reconstructed by the least squares method using the solutions to the equations of satellite rotational motion. The time intervals in which these equations make reconstruction possible were from one to five orbital revolutions. This length is increased with the modulus of the satellite angular velocity. To get an idea on microaccelerations and satellite motion during an entire flight, the motion was reconstructed in several tens of such intervals. This paper proposes a method for motion reconstruction suitable for an interval of arbitrary length. The method is based on the Kalman filter. We preliminary describe a new version of the method for reconstructing uncontrolled satellite rotational motion from magnetic measurements using the least squares method, which is essentially used to construct the Kalman filter. The results of comparison of both methods are presented using the data obtained on a flight of the Foton M-3.
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.
3D hand tracking using Kalman filter in depth space
Park, Sangheon; Yu, Sunjin; Kim, Joongrock; Kim, Sungjin; Lee, Sangyoun
2012-12-01
Hand gestures are an important type of natural language used in many research areas such as human-computer interaction and computer vision. Hand gestures recognition requires the prior determination of the hand position through detection and tracking. One of the most efficient strategies for hand tracking is to use 2D visual information such as color and shape. However, visual-sensor-based hand tracking methods are very sensitive when tracking is performed under variable light conditions. Also, as hand movements are made in 3D space, the recognition performance of hand gestures using 2D information is inherently limited. In this article, we propose a novel real-time 3D hand tracking method in depth space using a 3D depth sensor and employing Kalman filter. We detect hand candidates using motion clusters and predefined wave motion, and track hand locations using Kalman filter. To verify the effectiveness of the proposed method, we compare the performance of the proposed method with the visual-based method. Experimental results show that the performance of the proposed method out performs visual-based method.
Multimodal Degradation Prognostics Based on Switching Kalman Filter Ensemble.
Lim, Pin; Goh, Chi Keong; Tan, Kay Chen; Dutta, Partha
2017-01-01
For accurate prognostics, users have to determine the current health of the system and predict future degradation pattern of the system. An increasingly popular approach toward tackling prognostic problems involves the use of switching models to represent various degradation phases, which the system undergoes. Such approaches have the advantage of determining the exact degradation phase of the system and being able to handle nonlinear degradation models through piecewise linear approximation. However, limitations of such existing methods include, limited applicability due to the discretization of predicted remaining useful life, insufficient robustness due to the use of single models and others. This paper circumvents these limitations by proposing a hybrid of ensemble methods with switching methods. The proposed method first implements a switching Kalman filter (SKF) to classify between various linear degradation phases, then predict the future propagation of fault dimension using appropriate Kalman filters for each phase. This proposed method achieves both continuous and discrete prediction values representing the remaining life and degradation phase of the system, respectively. The proposed framework is shown via a case study on benchmark simulated aeroengine data sets. The evaluation of the proposed framework shows that the proposed method achieves better accuracy and robustness against noise compared with other methods reported in the literature. The results also indicate the effectiveness of the SKF in detecting the switching point between various degradation modes.
Tractography from HARDI using an intrinsic unscented Kalman filter.
Cheng, Guang; Salehian, Hesamoddin; Forder, John R; Vemuri, Baba C
2015-01-01
A novel adaptation of the unscented Kalman filter (UKF) was recently introduced in literature for simultaneous multitensor estimation and fiber tractography from diffusion MRI. This technique has the advantage over other tractography methods in terms of computational efficiency, due to the fact that the UKF simultaneously estimates the diffusion tensors and propagates the most consistent direction to track along. This UKF and its variants reported later in literature however are not intrinsic to the space of diffusion tensors. Lack of this key property can possibly lead to inaccuracies in the multitensor estimation as well as in the tractography. In this paper, we propose a novel intrinsic unscented Kalman filter (IUKF) in the space of diffusion tensors which are symmetric positive definite matrices, that can be used for simultaneous recursive estimation of multitensors and propagation of directional information for use in fiber tractography from diffusion weighted MR data. In addition to being more accurate, IUKF retains all the advantages of UKF mentioned above. We demonstrate the accuracy and effectiveness of the proposed method via experiments publicly available phantom data from the fiber cup-challenge (MICCAI 2009) and diffusion weighted MR scans acquired from human brains and rat spinal cords.
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.
Secure Tracking in Sensor Networks using Adaptive Extended Kalman Filter
Fard, Ali P
2012-01-01
Location information of sensor nodes has become an essential part of many applications in Wireless Sensor Networks (WSN). The importance of location estimation and object tracking has made them the target of many security attacks. Various methods have tried to provide location information with high accuracy, while lots of them have neglected the fact that WSNs may be deployed in hostile environments. In this paper, we address the problem of securely tracking a Mobile Node (MN) which has been noticed very little previously. A novel secure tracking algorithm is proposed based on Extended Kalman Filter (EKF) that is capable of tracking a Mobile Node (MN) with high resolution in the presence of compromised or colluding malicious beacon nodes. It filters out and identifies the malicious beacon data in the process of tracking. The proposed method considerably outperforms the previously proposed secure algorithms in terms of either detection rate or MSE. The experimental data based on different settings for the netw...
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.
CSIR Research Space (South Africa)
Salmon, BP
2012-07-01
Full Text Available In this paper, the internal operations of an Extended Kalman Filter is investigated to see if any useful information can be derived to detect land cover change in a MODIS time series. The Extended Kalman Filter expands its internal covariance if a...
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
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.
Application of Kalman Filtering Techniques for Microseismic Event Detection
Baziw, E.; Weir-Jones, I.
- Microseismic monitoring systems are generally installed in areas of induced seismicity caused by human activity. Induced seismicity results from changes in the state of stress which may occur as a result of excavation within the rock mass in mining (i.e., rockbursts), and changes in hydrostatic pressures and rock temperatures (e.g., during fluid injection or extraction) in oil exploitation, dam construction or fluid disposal. Microseismic monitoring systems determine event locations and important source parameters such as attenuation, seismic moment, source radius, static stress drop, peak particle velocity and seismic energy. An essential part of the operation of a microseismic monitoring system is the reliable detection of microseismic events. In the absence of reliable, automated picking techniques, operators rely upon manual picking. This is time-consuming, costly and, in the presence of background noise, very prone to error. The techniques described in this paper not only permit the reliable identification of events in cluttered signal environments they have also enabled the authors to develop reliable automated event picking procedures. This opens the way to use microseismic monitoring as a cost-effective production/operations procedure. It has been the experience of the authors that in certain noisy environments, the seismic monitoring system may trigger on and subsequently acquire substantial quantities of erroneous data, due to the high energy content of the ambient noise. Digital filtering techniques need to be applied on the microseismic data so that the ambient noise is removed and event detection simplified. The monitoring of seismic acoustic emissions is a continuous, real-time process and it is desirable to implement digital filters which can also be designed in the time domain and in real-time such as the Kalman Filter. This paper presents a real-time Kalman Filter which removes the statistically describable background noise from the recorded
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.
Identifying Bearing Rotordynamic Coefficients using an Extended Kalman Filter
Miller, Bard A.; Howard, Samuel A.
2008-01-01
An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor-dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter s performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor-bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.
Identifying Bearing Rotodynamic Coefficients Using an Extended Kalman Filter
Miller, Brad A.; Howard, Samuel A.
2008-01-01
An Extended Kalman Filter is developed to estimate the linearized direct and indirect stiffness and damping force coefficients for bearings in rotor dynamic applications from noisy measurements of the shaft displacement in response to imbalance and impact excitation. The bearing properties are modeled as stochastic random variables using a Gauss-Markov model. Noise terms are introduced into the system model to account for all of the estimation error, including modeling errors and uncertainties and the propagation of measurement errors into the parameter estimates. The system model contains two user-defined parameters that can be tuned to improve the filter's performance; these parameters correspond to the covariance of the system and measurement noise variables. The filter is also strongly influenced by the initial values of the states and the error covariance matrix. The filter is demonstrated using numerically simulated data for a rotor bearing system with two identical bearings, which reduces the number of unknown linear dynamic coefficients to eight. The filter estimates for the direct damping coefficients and all four stiffness coefficients correlated well with actual values, whereas the estimates for the cross-coupled damping coefficients were the least accurate.
Alternatives to an extended Kalman Filter for target image tracking
Leuthauser, P. R.
1981-12-01
Four alternative filters are compared to an extended Kalman filter (EKF) algorithm for tracking a distributed (elliptical) source target in a closed loop tracking problem, using outputs from a forward looking (FLIR) sensor as measurements. These were (1) an EKF with (second order) bias correction term, (2) a constant gain EKF, (3) a constant gain EKF with bias correction term, and (4) a statistically linearized filter. Estimates are made of both actual target motion and of apparent motion due to atmospheric jitter. These alternative designs are considered specifically to address some of the significant biases exhibited by an EKF due to initial acquisition difficulties, unmodelled maneuvering by the target, low signal-to-noise ratio, and real world conditions varying significantly from those assumed in the filter design (robustness). Filter performance was determined with a Monte Carlo study under both ideal and non ideal conditions for tracking targets on a constant velocity cross range path, and during constant acceleration turns of 5G, 10G, and 20G.
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.
Thiboult, A.; Anctil, F.
2015-10-01
Forecast reliability and accuracy is a prerequisite for successful hydrological applications. This aim may be attained by using data assimilation techniques such as the popular Ensemble Kalman filter (EnKF). Despite its recognized capacity to enhance forecasting by creating a new set of initial conditions, implementation tests have been mostly carried out with a single model and few catchments leading to case specific conclusions. This paper performs an extensive testing to assess ensemble bias and reliability on 20 conceptual lumped models and 38 catchments in the Province of Québec with perfect meteorological forecast forcing. The study confirms that EnKF is a powerful tool for short range forecasting but also that it requires a more subtle setting than it is frequently recommended. The success of the updating procedure depends to a great extent on the specification of the hyper-parameters. In the implementation of the EnKF, the identification of the hyper-parameters is very unintuitive if the model error is not explicitly accounted for and best estimates of forcing and observation error lead to overconfident forecasts. It is shown that performance are also related to the choice of updated state variables and that all states variables should not systematically be updated. Additionally, the improvement over the open loop scheme depends on the watershed and hydrological model structure, as some models exhibit a poor compatibility with EnKF updating. Thus, it is not possible to conclude in detail on a single ideal manner to identify an optimal implementation; conclusions drawn from a unique event, catchment, or model are likely to be misleading since transferring hyper-parameters from a case to another may be hazardous. Finally, achieving reliability and bias jointly is a daunting challenge as the optimization of one score is done at the cost of the other.
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.
An operational high resolution ensemble kalman filter data assimilation cycle over South America
Cossetin, Camila; Goncalves, Luis; Silveira, Bruna; Vendrasco, Eder; Khamis, Eduardo; Sapucci, Luiz
2016-04-01
The brazilian Center for Weather Forecast and Climate Studies (CPTEC/INPE) has recently initiated an effort to develop operationally a high resolution probabilistic mesoscale analysis over the continental South America and portions of the surrounding south Pacific and Atlantic oceans. This work presents a high resolution regional ensemble Kalman filter (EnKF) system with the WRF model. It uses the gridpoint statistical interpolation (GSI) mantained by the Developmental Testbed Center (DTC) for observational data processing and observation operators. The initial tests were run at approximately 9 Km of spatial resolution and 20 members with 6-hourly data assimilation cycles using all regional observations and selected satellite radiances (AMSU-A, MHS and HIRS). The impact of the choice of covariance localization and covariance inflation in the model performance is assessed to demonstrate the sensitive to the tunning. A two-weeks simulation is performed to illustrate the system adjustment (spin up) and how the model errors and innovation respond during the first days of run. Furthermore, the relative contribution of satellite brightness temperature assimilation to the analysis increments is also evaluated.
Nie, Suping; Zhu, Jiang; Luo, Yong
2010-05-01
The purpose of this study is to explore the performances of different model error scheme in soil moisture data assimilation. Based on the ensemble Kalman filter (EnKF) and the atmosphere-vegetation interaction model (AVIM), point-scale analysis results for three schemes, 1) covariance inflation (CI), 2) direct random disturbance (DRD), and 3) error source random disturbance (ESRD), are combined under conditions of different observational error estimations, different observation layers, and different observation intervals using a series of idealized experiments. The results shows that all these schemes obtain good assimilation results when the assumed observational error is an accurate statistical representation of the actual error used to perturb the original truth value, and the ESRD scheme has the least root mean square error (RMSE). Overestimation or underestimation of the observational errors can affect the assimilation results of CI and DRD schemes sensitively. The performances of these two schemes deteriorate obviously while the ESRD scheme keeps its capability well. When the observation layers or observation interval increase, the performances of both CI and DRD schemes decline evidently. But for the ESRD scheme, as it can assimilate multi-layer observations coordinately, the increased observations improve the assimilation results further. Moreover, as the ESRD scheme contains a certain amount of model error estimation functions in its assimilation process, it also has a good performance in assimilating sparse-time observations.
Zhang, Hongjuan; Hendricks-Franssen, Harrie-Jan; Han, Xujun; Vrugt, Jasper A.; Vereecken, Harry
2016-04-01
Land surface models (LSMs) resolve the water and energy balance with different parameters and state variables. Many of the parameters of these models cannot be measured directly in the field, and require calibration against flux and soil moisture data. Two LSMs are used in our work: Variable Infiltration Capacity Hydrologic Model (VIC) and the Community Land Model (CLM). Temporal variations in soil moisture content at 5, 20 and 50 cm depth in the Rollesbroich experimental watershed in Germany are simulated in both LSMs. Data assimilation (DA) provides a good way to jointly estimate soil moisture content and soil properties of the resolved soil domain. Four DA methods combined with the two LSMs are used in our work: the Ensemble Kalman Filter (EnKF) using state augmentation or dual estimation, the Residual Resampling Particle Filter (RRPF) and Markov chain Monte Carlo Particle Filter (MCMCPF). These four DA methods are tuned and calibrated for a five month period, and subsequently evaluated for another five month period. Performances of the two LSMs and the four DA methods are compared. Our results show that all DA methods improve the estimation of soil moisture content of the VIC and CLM models, especially if the soil hydraulic properties (VIC), the maximum baseflow velocity (VIC) and/or soil texture (CLM) are jointly estimated with soil moisture content. The augmentation and dual estimation methods performed slightly better than RRPF and MCMCPF in the evaluation period. The differences in simulated soil moisture content between CLM and VIC were larger than variations among the DA methods. The CLM performed better than the VIC model. The strong underestimation of soil moisture content in the third layer of the VIC model is likely related to an inadequate parameterization of groundwater drainage.
Final Technical Report [Carbon Data Assimilation with a Coupled Ensemble Kalman Filter
Energy Technology Data Exchange (ETDEWEB)
Kalnay, Eugenia
2013-08-30
We proposed (and accomplished) the development of an Ensemble Kalman Filter (EnKF) approach for the estimation of surface carbon fluxes as if they were parameters, augmenting the model with them. Our system is quite different from previous approaches, such as carbon flux inversions, 4D-Var, and EnKF with approximate background error covariance (Peters et al., 2008). We showed (using observing system simulation experiments, OSSEs) that these differences lead to a more accurate estimation of the evolving surface carbon fluxes at model grid-scale resolution. The main properties of the LETKF-C are: a) The carbon cycle LETKF is coupled with the simultaneous assimilation of the standard atmospheric variables, so that the ensemble wind transport of the CO2 provides an estimation of the carbon transport uncertainty. b) The use of an assimilation window (6hr) much shorter than the months-long windows used in other methods. This avoids the inevitable “blurring” of the signal that takes place in long windows due to turbulent mixing since the CO2 does not have time to mix before the next window. In this development we introduced new, advanced techniques that have since been adopted by the EnKF community (Kang, 2009, Kang et al., 2011, Kang et al. 2012). These advances include “variable localization” that reduces sampling errors in the estimation of the forecast error covariance, more advanced adaptive multiplicative and additive inflations, and vertical localization based on the time scale of the processes. The main result has been obtained using the LETKF-C with all these advances, and assimilating simulated atmospheric CO2 observations from different observing systems (surface flask observations of CO2 but no surface carbon fluxes observations, total column CO2 from GoSAT/OCO-2, and upper troposphere AIRS retrievals). After a spin-up of about one month, the LETKF-C succeeded in reconstructing the true evolving surface fluxes of carbon at a model grid
Final report on "Carbon Data Assimilation with a Coupled Ensemble Kalman Filter"
Energy Technology Data Exchange (ETDEWEB)
Kalnay, Eugenia; Kang, Ji-Sun; Fung, Inez
2014-07-23
We proposed (and accomplished) the development of an Ensemble Kalman Filter (EnKF) approach for the estimation of surface carbon fluxes as if they were parameters, augmenting the model with them. Our system is quite different from previous approaches, such as carbon flux inversions, 4D-Var, and EnKF with approximate background error covariance (Peters et al., 2008). We showed (using observing system simulation experiments, OSSEs) that these differences lead to a more accurate estimation of the evolving surface carbon fluxes at model grid-scale resolution. The main properties of the LETKF-C are: a) The carbon cycle LETKF is coupled with the simultaneous assimilation of the standard atmospheric variables, so that the ensemble wind transport of the CO2 provides an estimation of the carbon transport uncertainty. b) The use of an assimilation window (6hr) much shorter than the months-long windows used in other methods. This avoids the inevitable “blurring” of the signal that takes place in long windows due to turbulent mixing since the CO2 does not have time to mix before the next window. In this development we introduced new, advanced techniques that have since been adopted by the EnKF community (Kang, 2009, Kang et al., 2011, Kang et al. 2012). These advances include “variable localization” that reduces sampling errors in the estimation of the forecast error covariance, more advanced adaptive multiplicative and additive inflations, and vertical localization based on the time scale of the processes. The main result has been obtained using the LETKF-C with all these advances, and assimilating simulated atmospheric CO2 observations from different observing systems (surface flask observations of CO2 but no surface carbon fluxes observations, total column CO2 from GoSAT/OCO-2, and upper troposphere AIRS retrievals). After a spin-up of about one month, the LETKF-C succeeded in reconstructing the true evolving surface fluxes of carbon at a model grid resolution. When
Directory of Open Access Journals (Sweden)
J. H. Lee
2012-11-01
Full Text Available Aerodynamic roughness height (Z_{om} is a key parameter required in several land surface hydrological models, since errors in heat flux estimation are largely dependent on optimization of this input. Despite its significance, it remains an uncertain parameter which is not readily determined. This is mostly because of non-linear relationship in Monin-Obukhov similarity (MOS equations and uncertainty of vertical characteristic of vegetation in a large scale. Previous studies often determined aerodynamic roughness using a minimization of cost function over MOS relationship or linear regression over it, traditional wind profile method, or remotely sensed vegetation index. However, these are complicated procedures that require a high accuracy for several other related parameters embedded in serveral equations including MOS. In order to simplify this procedure and reduce the number of parameters in need, this study suggests a new approach to extract aerodynamic roughness parameter from single or two heat flux measurements analyzed via Ensemble Kalman Filter (EnKF that affords non-linearity. So far, to our knowledge, no previous study has applied EnKF to aerodynamic roughness estimation, while the majority of data assimilation study have paid attention to updates of other land surface state variables such as soil moisture or land surface temperature. The approach of this study was applied to grassland in semi-arid Tibetan Plateau and maize on moderately wet condition in Italy. It was demonstrated that aerodynamic roughness parameter can be inversely tracked from heat flux EnKF final analysis. The aerodynamic roughness height estimated in this approach was consistent with eddy covariance method and literature value. Through a calibration of this parameter, this adjusted the sensible heat previously overestimated and latent heat flux previously underestimated by the original Surface Energy Balance System (SEBS model. It was considered that
Estimating ice-affected streamflow by extended Kalman filtering
Holtschlag, D.J.; Grewal, M.S.
1998-01-01
An extended Kalman filter was developed to automate the real-time estimation of ice-affected streamflow on the basis of routine measurements of stream stage and air temperature and on the relation between stage and streamflow during open-water (ice-free) conditions. The filter accommodates three dynamic modes of ice effects: sudden formation/ablation, stable ice conditions, and eventual elimination. The utility of the filter was evaluated by applying it to historical data from two long-term streamflow-gauging stations, St. John River at Dickey, Maine and Platte River at North Bend, Nebr. Results indicate that the filter was stable and that parameters converged for both stations, producing streamflow estimates that are highly correlated with published values. For the Maine station, logarithms of estimated streamflows are within 8% of the logarithms of published values 87.2% of the time during periods of ice effects and within 15% 96.6% of the time. Similarly, for the Nebraska station, logarithms of estimated streamflows are within 8% of the logarithms of published values 90.7% of the time and within 15% 97.7% of the time. In addition, the correlation between temporal updates and published streamflows on days of direct measurements at the Maine station was 0.777 and 0.998 for ice-affected and open-water periods, respectively; for the Nebraska station, corresponding correlations were 0.864 and 0.997.
Using Kalman filters to reduce noise from RFID location system.
Abreu, Pedro Henriques; Xavier, José; Silva, Daniel Castro; Reis, Luís Paulo; Petry, Marcelo
2014-01-01
Nowadays, there are many technologies that support location systems involving intrusive and nonintrusive equipment and also varying in terms of precision, range, and cost. However, the developers some time neglect the noise introduced by these systems, which prevents these systems from reaching their full potential. Focused on this problem, in this research work a comparison study between three different filters was performed in order to reduce the noise introduced by a location system based on RFID UWB technology with an associated error of approximately 18 cm. To achieve this goal, a set of experiments was devised and executed using a miniature train moving at constant velocity in a scenario with two distinct shapes-linear and oval. Also, this train was equipped with a varying number of active tags. The obtained results proved that the Kalman Filter achieved better results when compared to the other two filters. Also, this filter increases the performance of the location system by 15% and 12% for the linear and oval paths respectively, when using one tag. For a multiple tags and oval shape similar results were obtained (11-13% of improvement).
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.
Loizu, Javier; Massari, Christian; Álvarez-Mozos, Jesús; Casalí, Javier; Goñi, Mikel
2016-04-01
Assimilation of Surface Soil Moisture (SSM) observations obtained from remote sensing techniques have been shown to improve streamflow prediction at different time scales of hydrological modeling. Different sensors and methods have been tested for their application in SSM estimation, especially in the microwave region of the electromagnetic spectrum. The available observation devices include passive microwave sensors such as the Advanced Microwave Scanning Radiometer - Earth Observation System (AMSR-E) onboard the Aqua satellite and the Soil Moisture and Ocean Salinity (SMOS) mission. On the other hand, active microwave systems include Scatterometers (SCAT) onboard the European Remote Sensing satellites (ERS-1/2) and the Advanced Scatterometer (ASCAT) onboard MetOp-A satellite. Data assimilation (DA) include different techniques that have been applied in hydrology and other fields for decades. These techniques include, among others, Kalman Filtering (KF), Variational Assimilation or Particle Filtering. From the initial KF method, different techniques were developed to suit its application to different systems. The Ensemble Kalman Filter (EnKF), extensively applied in hydrological modeling improvement, shows its capability to deal with nonlinear model dynamics without linearizing model equations, as its main advantage. The objective of this study was to investigate whether data assimilation of SSM ASCAT observations, through the EnKF method, could improve streamflow simulation of mediterranean catchments with TOPLATS hydrological complex model. The DA technique was programmed in FORTRAN, and applied to hourly simulations of TOPLATS catchment model. TOPLATS (TOPMODEL-based Land-Atmosphere Transfer Scheme) was applied on its lumped version for two mediterranean catchments of similar size, located in northern Spain (Arga, 741 km2) and central Italy (Nestore, 720 km2). The model performs a separated computation of energy and water balances. In those balances, the soil
Constrained Kalman Filtering Via Density Function Truncation for Turbofan Engine Health Estimation
Simon, Dan; Simon, Donald L.
2006-01-01
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 (which may be based on physical considerations) are often neglected because they do not fit easily into the structure of the Kalman filter. This paper develops an analytic method of incorporating state variable inequality constraints in the Kalman filter. The resultant filter truncates the PDF (probability density function) of the Kalman filter estimate at the known constraints and then computes the constrained filter estimate as the mean of the truncated PDF. The incorporation of state variable constraints increases the computational effort of the filter but significantly improves its estimation accuracy. The improvement is demonstrated via simulation results obtained from a turbofan engine model. The turbofan engine model contains 3 state variables, 11 measurements, and 10 component health parameters. It is also shown that the truncated Kalman filter may be a more accurate way of incorporating inequality constraints than other constrained filters (e.g., the projection approach to constrained filtering).
Kalman Filtering with Intermittent Observations: Weak Convergence and Moderate Deviations
Kar, Soummya
2009-01-01
The paper considers the problem of Kalman filtering with intermittent observations, where the observation packet arrival process is modeled as a Bernoulli process. We start by extending the results of \\cite{Riccati-weakconv} to show that the sequence of random conditional error covariance matrices converges in distribution to a unique invariant distribution $\\mathbb{\\mu}^{\\bar{\\gamma}}$, as long as the packet arrival probability $\\bar{\\gamma}>0$. We completely characterize the sequence ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ of invariant distributions as $\\bar{\\gamma}\\uparrow 1$, by showing that the sequence ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ satisfies a moderate deviations principle (MDP) with a good rate function $I$, which is explicitly characterized. We then study the sequence of invariant distributions ${\\mathbb{\\mu}^{\\bar{\\gamma}}}$ as $\\bar{\\gamma}\\uparrow 1$. We show that, as $\\bar{\\gamma}\\uparrow 1$, ...
Tracking whole hand kinematics using extended Kalman filter.
Fu, Qiushi; Santello, Marco
2010-01-01
This paper describes the general procedure, model construction, and experimental results of tracking whole hand kinematics using extended Kalman filter (EKF) based on data recorded from active surface markers. We used a hand model with 29 degrees of freedom that consists of hand global posture, wrist, and digits. The marker protocol had 4 markers on the distal forearm and 20 markers on the dorsal surface of the joints of the digits. To reduce computational load, we divided the state space into four sub-spaces, each of which were estimated with an EKF in a specific order. We tested our framework and found reasonably accurate results (2-4 mm tip position error) when sampling tip to tip pinch at 120 Hz.
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.
Alignment of the LHCb detector with Kalman filter fitted tracks
Amoraal, J M
2009-01-01
The LHCb detector, operating at the Large Hadron Collider at CERN, is a single arm spectrometer optimised for the detection of forward b and anti-b production for b physics studies. The reconstruction of vertices and tracks is done by silicon micro-strip and gaseous straw-tube based detectors. To obtain excellent momentum, mass and vertex resolutions, the detectors need to be aligned well within the hit resolution for a given detector. We present a general and easy to configure alignment framework which uses the closed from method of alignment with Kalman filter fitted tracks to determine the alignment parameters. This allows us to use the standard LHCb track model and fit, and correctly take complexities such as multiple scattering and energy loss corrections into account. With this framework it is possible to align any detector for any degree of freedom.
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.
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.
Directory of Open Access Journals (Sweden)
Malinowski Marcin
2015-02-01
Full Text Available In navigation practice, there are various navigational architecture and integration strategies of measuring instruments that affect the choice of the Kalman filtering algorithm. The analysis of different methods of Kalman filtration and associated smoothers applied in object tracing was made on the grounds of simulation tests of algorithms designed and presented in this paper. EKF (Extended Kalman Filter filter based on approximation with (jacobians partial derivations and derivative-free filters like UKF (Unscented Kalman Filter and CDKF (Central Difference Kalman Filter were implemented in comparison. For each method of filtration, appropriate smoothers EKS (Extended Kalman Smoother, UKS (Unscented Kalman Smoother and CDKS (Central Difference Kalman Smoother were presented as well. Algorithms performance is discussed on the theoretical base and simulation results of two cases are presented.
Estimation of noise parameters in dynamical system identification with Kalman filters.
Kwasniok, Frank
2012-09-01
A method is proposed for determining dynamical and observational noise parameters in state and parameter identification from time series using Kalman filters. The noise covariances are estimated in a secondary optimization by maximizing the predictive likelihood of the data. The approach is based on internal consistency; for the correct noise parameters, the uncertainty projected by the Kalman filter matches the actual predictive uncertainty. The method is able to disentangle dynamical and observational noise. The algorithm is demonstrated for the linear, extended, and unscented Kalman filters using an Ornstein-Uhlenbeck process, the noise-driven Lorenz system, and van der Pol oscillator as well as a paleoclimatic ice-core record as examples. The approach is also applicable to the ensemble Kalman filter and can be readily extended to non-Gaussian estimation frameworks such as Gaussian-sum filters and particle filters.
Time-frequency analysis of band-limited EEG with BMFLC and Kalman filter for BCI applications.
Wang, Yubo; Veluvolu, Kalyana C; Lee, Minho
2013-11-25
Time-Frequency analysis of electroencephalogram (EEG) during different mental tasks received significant attention. As EEG is non-stationary, time-frequency analysis is essential to analyze brain states during different mental tasks. Further, the time-frequency information of EEG signal can be used as a feature for classification in brain-computer interface (BCI) applications. To accurately model the EEG, band-limited multiple Fourier linear combiner (BMFLC), a linear combination of truncated multiple Fourier series models is employed. A state-space model for BMFLC in combination with Kalman filter/smoother is developed to obtain accurate adaptive estimation. By virtue of construction, BMFLC with Kalman filter/smoother provides accurate time-frequency decomposition of the bandlimited signal. The proposed method is computationally fast and is suitable for real-time BCI applications. To evaluate the proposed algorithm, a comparison with short-time Fourier transform (STFT) and continuous wavelet transform (CWT) for both synthesized and real EEG data is performed in this paper. The proposed method is applied to BCI Competition data IV for ERD detection in comparison with existing methods. Results show that the proposed algorithm can provide optimal time-frequency resolution as compared to STFT and CWT. For ERD detection, BMFLC-KF outperforms STFT and BMFLC-KS in real-time applicability with low computational requirement.
Attitude Determination for MAVs Using a Kalman Filter
Institute of Scientific and Technical Information of China (English)
LIU Cheng; ZHOU Zhaoying; FU Xu
2008-01-01
This paper presents a Kalman filter to effectively and economically determine the Euler angles for micro aerial vehicles(MAVs),whose size and payload are severely limited.The filter uses data from a series of micro-electro mechanical system sensors to determine the selected 3 vanables of the direction cosine matrix and the bias of the rata gyro sensors as state elements in a dynamic model,with the gravitational acceleration to build a measurement model.For high speed maneuvers,rigid motion equations are used to correct the measurements of the gravitational acceleration.The filter is designed to automatically tune its gain based on the dynamic system state.Simulations indicate that the Euler angles can be determined with standard deviations less than 3.The algorithm was successfully implemented in a miniature attitude measurement system suitable for MAVs.Aerobatic flights show that the attitude determination algorithm works effectively.The attitude determination algorithm is effective and economical,and can also be applied to bionic rebofishs and land vehicles,whose size and payload are also greatly limited.
Dikpati, Mausumi; Mitra, Dhrubaditya
2014-01-01
Accurate knowledge of time-variation in meridional flow-speed and profile is crucial for estimating a solar cycle's features, which are ultimately responsible for causing space climate variations. However, no consensus has been reached yet about the Sun's meridional circulation pattern observations and theories. By implementing an Ensemble Kalman Filter (EnKF) data assimilation in a Babcock-Leighton solar dynamo model using Data Assimilation Research Testbed (DART) framework, we find that the best reconstruction of time-variation in meridional flow-speed can be obtained when ten or more observations are used with an updating time of 15 days and a $\\le 10\\%$ observational error. Increasing ensemble-size from 16 to 160 improves reconstruction. Comparison of reconstructed flow-speed with "true-state" reveals that EnKF data assimilation is very powerful for reconstructing meridional flow-speeds and suggests that it can be implemented for reconstructing spatio-temporal patterns of meridional circulation.
Institute of Scientific and Technical Information of China (English)
QIN Jun; YAN Guangjian; LIU Shaomin; LIANG Shunlin; ZHANG Hao; WANG Jindi; LI Xiaowen
2006-01-01
The use of a priori knowledge in remote sensing inversion has great implications for ensuring the stability of inversion process and reducing uncertainties in retrieved results, especially under the condition of insufficient observations. Common optimization algorithms have difficulties in providing posterior distribution and thus cannot directly acquire uncertainties in inversion results, which is of no benefit to remote sensing application. In this article, ensemble Kalman filter (EnKF) has been introduced to retrieve surface geophysical parameters from remote sensing observations, which has the capability of not merely obtaining inversion results but also giving its posterior distribution. To show the advantage of EnKF, it is compared to standard MODIS AMBRALS algorithm and highly efficient global optimization method SCE-UA. The inversion abilities of kernel-driven BRDF models with different kernel combinations at several main cover types are emphatically discussed when observations are deficient and a priori knowledge is introduced into inversion.
Kalman-median Compound Filter for Gaussian and Impulse Noise Reduction on Digital Images
山森, 一人; 山田, 義治; 相川, 勝
2013-01-01
This paper proposes an image restoration method from degraded images which include additive gaussian noise and impulse noise. This method tries to achieve image restoration by using combination of canonical state space model kalman filter and median filter. Kalman filter estimates internal state of a dynamic system based on system model. The canonical state space models are described by two equations; state equation that expresses a transition process of the region including the focusing pixe...
Institute of Scientific and Technical Information of China (English)
Changyun Liu; Penglang Shui; Gang Wei; Song Li
2014-01-01
To improve the low tracking precision caused by lagged filter gain or imprecise state noise when the target highly maneu-vers, a modified unscented Kalman filter algorithm based on the improved filter gain and adaptive scale factor of state noise is pre-sented. In every filter process, the estimated scale factor is used to update the state noise covariance Qk, and the improved filter gain is obtained in the filter process of unscented Kalman filter (UKF) via predicted variance Pk|k-1, which is similar to the standard Kalman filter. Simulation results show that the proposed algorithm provides better accuracy and ability to adapt to the highly maneu-vering target compared with the standard UKF.
Zero Gyro Kalman Filtering in the Presence of a Reaction Wheel Failure
Hur-Diaz, Sun; Wirzburger, John; Smith, Dan; Myslinski, Mike
2007-01-01
Typical implementation of Kalman filters for spacecraft attitude estimation involves the use of gyros for three-axis rate measurements. When there are less than three axes of information available, the accuracy of the Kalman filter depends highly on the accuracy of the dynamics model. This is particularly significant during the transient period when a reaction wheel with a high momentum fails, is taken off-line, and spins down. This paper looks at how a reaction wheel failure can affect the zero-gyro Kalman filter performance for the Hubble Space Telescope and what steps are taken to minimize its impact.
DEFF Research Database (Denmark)
Jørgensen, John Bagterp; Thomsen, Per Grove; Madsen, Henrik;
2007-01-01
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...... are solved efficiently using an ESDIRK integrator with sensitivity analysis capabilities. This ESDIRK integrator for the mean- covariance evolution is implemented as part of an extended Kalman filter and tested on a PDE system. For moderate to large sized systems, the ESDIRK based extended Kalman filter...
Hypersonic entry vehicle state estimation using nonlinearity-based adaptive cubature Kalman filters
Sun, Tao; Xin, Ming
2017-05-01
Guidance, navigation, and control of a hypersonic vehicle landing on the Mars rely on precise state feedback information, which is obtained from state estimation. The high uncertainty and nonlinearity of the entry dynamics make the estimation a very challenging problem. In this paper, a new adaptive cubature Kalman filter is proposed for state trajectory estimation of a hypersonic entry vehicle. This new adaptive estimation strategy is based on the measure of nonlinearity of the stochastic system. According to the severity of nonlinearity along the trajectory, the high degree cubature rule or the conventional third degree cubature rule is adaptively used in the cubature Kalman filter. This strategy has the benefit of attaining higher estimation accuracy only when necessary without causing excessive computation load. The simulation results demonstrate that the proposed adaptive filter exhibits better performance than the conventional third-degree cubature Kalman filter while maintaining the same performance as the uniform high degree cubature Kalman filter but with lower computation complexity.
Global Systems for Mobile Position Tracking Using Kalman and Lainiotis Filters
Directory of Open Access Journals (Sweden)
Nicholas Assimakis
2014-01-01
Full Text Available We present two time invariant models for Global Systems for Mobile (GSM position tracking, which describe the movement in x-axis and y-axis simultaneously or separately. We present the time invariant filters as well as the steady state filters: the classical Kalman filter and Lainiotis Filter and the Join Kalman Lainiotis Filter, which consists of the parallel usage of the two classical filters. Various implementations are proposed and compared with respect to their behavior and to their computational burden: all time invariant and steady state filters have the same behavior using both proposed models but have different computational burden. Finally, we propose a Finite Impulse Response (FIR implementation of the Steady State Kalman, and Lainiotis filters, which does not require previous estimations but requires a well-defined set of previous measurements.
IAE-adaptive Kalman filter for INS/GPS integrated navigation system
Institute of Scientific and Technical Information of China (English)
Bian Hongwei; Jin Zhihua; Tian Weifeng
2006-01-01
A marine INS/GPS adaptive navigation system is presented in this paper. GPS with two antenna providing vessel's altitude is selected as the auxiliary system fusing with INS to improve the performance of the hybrid system. The Kalman filter is the most frequently used algorithm in the integrated navigation system, which is capable of estimating INS errors online based on the measured errors between INS and GPS. The standard Kalman filter (SKF) assumes that the statistics of the noise on each sensor are given. As long as the noise distributions do not change, the Kalman filter will give the optimal estimation. However GPS receiver will be disturbed easily and thus temporally changing measurement noise will join into the outputs of GPS, which will lead to performance degradation of the Kalman filter. Many researchers introduce fuzzy logic control method into innovation-based adaptive estimation adaptive Kalman filtering (IAE-AKF) algorithm, and accordingly propose various adaptive Kalman filters. However how to design the fuzzy logic controller is a very complicated problem still without a convincing solution. A novel IAE-AKF is proposed herein, which is based on the maximum likelihood criterion for the proper computation of the filter innovation covariance and hence of the filter gain. The approach is direct and simple without having to establish fuzzy inference rules. After having deduced the proposed IAE-AKF algorithm theoretically in detail, the approach is tested by the simulation based on the system error model of the developed INS/GPS integrated marine navigation system. Simulation results show that the adaptive Kalman filter outperforms the SKF with higher accuracy, robustness and less computation. It is demonstrated that this proposed approach is a valid solution for the unknown changing measurement noise exited in the Kalman filter.
Institute of Scientific and Technical Information of China (English)
Kailei Liu; Zhijia Li; Cheng Yao; Ji Chen; Ke Zhang; Muhammad Saifullah
2016-01-01
The Kalman filter (KF) updating method has been widely used as an efficient measure to assimilate real-time hydrological variables for reducing forecast uncertainty and providing improved forecasts. However, the accuracy of the KF relies much on the estimates of the state transition matrix and is limited due to the errors inherit from parameters and variables of the flood forecasting models. A new real-time updating approach (named KN2K) is produced by coupling the k-nearest neighbor (KNN) procedure with the KF for flood forecasting models. The nonparametric KNN algorithm, which can be utilized to predict the response of a system on the basis of the k most representative predictors, is still efficient when the descriptions for input-output mapping are insufficient. In this study, the KNN procedure is used to provide more accurate estimates of the state transition matrix to extend the applicability of the KF. The updating performance of KN2K is investigated in the middle reach of the Huai River based on a one-dimensional hydraulic model with the lead times ranging from 2 to 12 h. The forecasts from the KN2K are compared with the observations, the original forecasts and the KF-updated forecasts. The results indicate that the KN2K method, with the Nash-Sutcliffe efficiency larger than 0.85 in the 12-h-ahead forecasts, has a significant advantage in accuracy and robustness compared to the KF method. It is demonstrated that improved updating results can be obtained through the use of KNN procedure. The tests show that the KN2K method can be used as an effective tool for real-time flood forecasting.
Keppenne, Christian L.; Rienecker, Michele M.; Koblinsky, Chester (Technical Monitor)
2001-01-01
A multivariate ensemble Kalman filter (MvEnKF) implemented on a massively parallel computer architecture has been implemented for the Poseidon ocean circulation model and tested with a Pacific Basin model configuration. There are about two million prognostic state-vector variables. Parallelism for the data assimilation step is achieved by regionalization of the background-error covariances that are calculated from the phase-space distribution of the ensemble. Each processing element (PE) collects elements of a matrix measurement functional from nearby PEs. To avoid the introduction of spurious long-range covariances associated with finite ensemble sizes, the background-error covariances are given compact support by means of a Hadamard (element by element) product with a three-dimensional canonical correlation function. The methodology and the MvEnKF configuration are discussed. It is shown that the regionalization of the background covariances; has a negligible impact on the quality of the analyses. The parallel algorithm is very efficient for large numbers of observations but does not scale well beyond 100 PEs at the current model resolution. On a platform with distributed memory, memory rather than speed is the limiting factor.
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.
Dong, Guangzhong; Wei, Jingwen; Chen, Zonghai
2016-10-01
To evaluate the continuous and instantaneous load capability of a battery, this paper describes a joint estimator for state-of-charge (SOC) and state-of-function (SOF) of lithium-ion batteries (LIB) based on Kalman filter (KF). The SOC is a widely used index for remain useful capacity left in a battery. The SOF represents the peak power capability of the battery. It can be determined by real-time SOC estimation and terminal voltage prediction, which can be derived from impedance parameters. However, the open-circuit-voltage (OCV) of LiFePO4 is highly nonlinear with SOC, which leads to the difficulties in SOC estimation. To solve these problems, this paper proposed an onboard SOC estimation method. Firstly, a simplified linearized equivalent-circuit-model is developed to simulate the dynamic characteristics of a battery, where the OCV is regarded as a linearized function of SOC. Then, the system states are estimated based on the KF. Besides, the factors that influence peak power capability are analyzed according to statistical data. Finally, the performance of the proposed methodology is demonstrated by experiments conducted on a LiFePO4 LIBs under different operating currents and temperatures. Experimental results indicate that the proposed approach is suitable for battery onboard SOC and SOF estimation.
Gharamti, M. E.; Kadoura, A.; Valstar, J.; Sun, S.; Hoteit, I.
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.
Directory of Open Access Journals (Sweden)
Wei Zhu
2016-06-01
Full Text Available In order to improve the tracking accuracy, model estimation accuracy and quick response of multiple model maneuvering target tracking, the interacting multiple models five degree cubature Kalman filter (IMM5CKF is proposed in this paper. In the proposed algorithm, the interacting multiple models (IMM algorithm processes all the models through a Markov Chain to simultaneously enhance the model tracking accuracy of target tracking. Then a five degree cubature Kalman filter (5CKF evaluates the surface integral by a higher but deterministic odd ordered spherical cubature rule to improve the tracking accuracy and the model switch sensitivity of the IMM algorithm. Finally, the simulation results demonstrate that the proposed algorithm exhibits quick and smooth switching when disposing different maneuver models, and it also performs better than the interacting multiple models cubature Kalman filter (IMMCKF, interacting multiple models unscented Kalman filter (IMMUKF, 5CKF and the optimal mode transition matrix IMM (OMTM-IMM.
Zhu, Wei; Wang, Wei; Yuan, Gannan
2016-06-01
In order to improve the tracking accuracy, model estimation accuracy and quick response of multiple model maneuvering target tracking, the interacting multiple models five degree cubature Kalman filter (IMM5CKF) is proposed in this paper. In the proposed algorithm, the interacting multiple models (IMM) algorithm processes all the models through a Markov Chain to simultaneously enhance the model tracking accuracy of target tracking. Then a five degree cubature Kalman filter (5CKF) evaluates the surface integral by a higher but deterministic odd ordered spherical cubature rule to improve the tracking accuracy and the model switch sensitivity of the IMM algorithm. Finally, the simulation results demonstrate that the proposed algorithm exhibits quick and smooth switching when disposing different maneuver models, and it also performs better than the interacting multiple models cubature Kalman filter (IMMCKF), interacting multiple models unscented Kalman filter (IMMUKF), 5CKF and the optimal mode transition matrix IMM (OMTM-IMM).
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.
Directory of Open Access Journals (Sweden)
S. Skachko
2014-01-01
Full Text Available The Ensemble Kalman filter (EnKF assimilation method is applied to the tracer transport using the same stratospheric transport model as in the 4D-Var assimilation system BASCOE. This EnKF version of BASCOE was built primarily to avoid the large costs associated with the maintenance of an adjoint model. The EnKF developed in BASCOE accounts for two adjustable parameters: a parameter α controlling the model error term and a parameter r controlling the observational error. The EnKF system is shown to be markedly sensitive to these two parameters, which are adjusted based on the monitoring of a χ2-test measuring the misfit between the control variable and the observations. The performance of the EnKF and 4D-Var versions was estimated through the assimilation of Aura-MLS ozone observations during an 8 month period which includes the formation of the 2008 Antarctic ozone hole. To ensure a proper comparison, despite the fundamental differences between the two assimilation methods, both systems use identical and carefully calibrated input error statistics. We provide the detailed procedure for these calibrations, and compare the two sets of analyses with a focus on the lower and middle stratosphere where the ozone lifetime is much larger than the observational update frequency. Based on the Observation-minus-Forecast statistics, we show that the analyses provided by the two systems are markedly similar, with biases smaller than 5% and standard deviation errors smaller than 10% in most of the stratosphere. Since the biases are markedly similar, they have most probably the same causes: these can be deficiencies in the model and in the observation dataset, but not in the assimilation algorithm nor in the error calibration. The remarkably similar performance also shows that in the context of stratospheric transport, the choice of the assimilation method can be based on application-dependent factors, such as CPU cost or the ability to generate an ensemble
Adaptive Kalman Filter of Transfer Alignment with Un-modeled Wing Flexure of Aircraft
Institute of Scientific and Technical Information of China (English)
无
2008-01-01
The alignment accuracy of the strap-down inertial navigation system (SINS) of airborne weapon is greatly degraded by the dynamic wing flexure of the aircraft. An adaptive Kalman filter uses innovation sequences based on the maximum likelihood estimated criterion to adapt the system noise covariance matrix and the measurement noise covariance matrix on line, which is used to estimate the misalignment if the model of wing flexure of the aircraft is unknown. From a number of simulations, it is shown that the accuracy of the adaptive Kalman filter is better than the conventional Kalman filter, and the erroneous misalignment models of the wing flexure of aircraft will cause bad estimation results of Kalman filter using attitude match method.
A new approach to UTC calculation by means of the Kalman filter
Parisi, Federica; Panfilo, Gianna
2016-10-01
In this paper a new approach to Coordinated Universal Time (UTC) calculation is presented by means of the Kalman filter. An ensemble of atomic clocks participating in UTC is selected for analyzing and testing the potentiality of this new method.
National Research Council Canada - National Science Library
Saad, George; Azizi, Fouad
... the sweep efficiency inside the reservoir. Controlling the flood front dynamics is achieved by coupling an ensemble Kalman filter scheme with a two-phase immiscible flow reservoir simulator and thus relying on a set of observational data...
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.
Ghumare, Eshwar; Schrooten, Maarten; Vandenberghe, Rik; Dupont, Patrick
2015-08-01
Kalman filter approaches are widely applied to derive time varying effective connectivity from electroencephalographic (EEG) data. For multi-trial data, a classical Kalman filter (CKF) designed for the estimation of single trial data, can be implemented by trial-averaging the data or by averaging single trial estimates. A general linear Kalman filter (GLKF) provides an extension for multi-trial data. In this work, we studied the performance of the different Kalman filtering approaches for different values of signal-to-noise ratio (SNR), number of trials and number of EEG channels. We used a simulated model from which we calculated scalp recordings. From these recordings, we estimated cortical sources. Multivariate autoregressive model parameters and partial directed coherence was calculated for these estimated sources and compared with the ground-truth. The results showed an overall superior performance of GLKF except for low levels of SNR and number of trials.
INFLUENCE OF STOCHASTIC NOISE STATISTICS ON KALMAN FILTER PERFORMANCE BASED ON VIDEO TARGET TRACKING
Institute of Scientific and Technical Information of China (English)
Chen Ken; Napolitano; Zhang Yun; Li Dong
2010-01-01
The system stochastic noises involved in Kalman filtering are preconditioned on being ideally white and Gaussian distributed. In this research,efforts are exerted on exploring the influence of the noise statistics on Kalman filtering from the perspective of video target tracking quality. The correlation of tracking precision to both the process and measurement noise covariance is investigated; the signal-to-noise power density ratio is defined; the contribution of predicted states and measured outputs to Kalman filter behavior is discussed; the tracking precision relative sensitivity is derived and applied in this study case. The findings are expected to pave the way for future study on how the actual noise statistics deviating from the assumed ones impacts on the Kalman filter optimality and degradation in the application of video tracking.
Wang, Rui; Li, Yanxiao; Sun, Hui; Chen, Zengqiang
2017-07-11
The modern civil aircrafts use air ventilation pressurized cabins subject to the limited space. In order to monitor multiple contaminants and overcome the hypersensitivity of the single sensor, the paper constructs an output correction integrated sensor configuration using sensors with different measurement theories after comparing to other two different configurations. This proposed configuration works as a node in the contaminant distributed wireless sensor monitoring network. The corresponding measurement error models of integrated sensors are also proposed by using the Kalman consensus filter to estimate states and conduct data fusion in order to regulate the single sensor measurement results. The paper develops the sufficient proof of the Kalman consensus filter stability when considering the system and the observation noises and compares the mean estimation and the mean consensus errors between Kalman consensus filter and local Kalman filter. The numerical example analyses show the effectiveness of the algorithm. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
Borodachev, S. M.
2016-06-01
The simple derivation of recursive least squares (RLS) method equations is given as special case of Kalman filter estimation of a constant system state under changing observation conditions. A numerical example illustrates application of RLS to multicollinearity problem.
Directory of Open Access Journals (Sweden)
Qiguang Zhu
2014-05-01
Full Text Available To resolve the difficulty in establishing accurate priori noise model for the extended Kalman filtering algorithm, propose the fractional-order Darwinian particle swarm optimization (PSO algorithm has been proposed and introduced into the fuzzy adaptive extended Kalman filtering algorithm. The natural selection method has been adopted to improve the standard particle swarm optimization algorithm, which enhanced the diversity of particles and avoided the premature. In addition, the fractional calculus has been used to improve the evolution speed of particles. The PSO algorithm after improved has been applied to train fuzzy adaptive extended Kalman filter and achieve the simultaneous localization and mapping. The simulation results have shown that compared with the geese particle swarm optimization training of fuzzy adaptive extended Kalman filter localization and mapping algorithm, has been greatly improved in terms of localization and mapping.
Directory of Open Access Journals (Sweden)
Kazuo Saito
2012-01-01
Full Text Available The effect of lateral boundary perturbations (LBPs on the mesoscale breeding (MBD method and the local ensemble transform Kalman filter (LETKF as the initial perturbations generators for mesoscale ensemble prediction systems (EPSs was examined. A LBPs method using the Japan Meteorological Agency's (JMA's operational one-week global ensemble prediction was developed and applied to the mesoscale EPS of the Meteorological Research Institute for the World Weather Research Programme, Beijing 2008 Olympics Research and Development Project. The amplitude of the LBPs was adjusted based on the ensemble spread statistics considering the difference of the forecast times of the JMA's one-week EPS and the associated breeding/ensemble Kalman filter (EnKF cycles. LBPs in the ensemble forecast increase the ensemble spread and improve the accuracy of the ensemble mean forecast. In the MBD method, if LBPs were introduced in its breeding cycles, the growth rate of the generated bred vectors is increased, and the ensemble spread and the root mean square errors (RMSEs of the ensemble mean are further improved in the ensemble forecast. With LBPs in the breeding cycles, positional correspondences to the meteorological disturbances and the orthogonality of the bred vectors are improved. Brier Skill Scores (BSSs also showed a remarkable effect of LBPs in the breeding cycles. LBPs showed a similar effect with the LETKF. If LBPs were introduced in the EnKF data assimilation cycles, the ensemble spread, ensemble mean accuracy, and BSSs for precipitation were improved, although the relative advantage of LETKF as the initial perturbations generator against MDB was not necessarily clear. LBPs in the EnKF cycles contribute not to the orthogonalisation but to prevent the underestimation of the forecast error near the lateral boundary.The accuracy of the LETKF analyses was compared with that of the mesoscale 4D-VAR analyses. With LBPs in the LETKF cycles, the RMSEs of the
A new Recommender system based on target tracking: a Kalman Filter approach
Nowakowski, Samuel; Boyer, Anne
2010-01-01
In this paper, we propose a new approach for recommender systems based on target tracking by Kalman filtering. We assume that users and their seen resources are vectors in the multidimensional space of the categories of the resources. Knowing this space, we propose an algorithm based on a Kalman filter to track users and to predict the best prediction of their future position in the recommendation space.
Target tracking in the recommender space: Toward a new recommender system based on Kalman filtering
Nowakowski, Samuel; Boyer, Anne
2010-01-01
In this paper, we propose a new approach for recommender systems based on target tracking by Kalman filtering. We assume that users and their seen resources are vectors in the multidimensional space of the categories of the resources. Knowing this space, we propose an algorithm based on a Kalman filter to track users and to predict the best prediction of their future position in the recommendation space.
Institute of Scientific and Technical Information of China (English)
L(U) Wei-cai; XU Shao-quan
2004-01-01
Using similar single-difference methodology(SSDM) to solve the deformation values of the monitoring points, there is unstability of the deformation information series, at sometimes.In order to overcome this shortcoming, Kalman filtering algorithm for this series is established,and its correctness and validity are verified with the test data obtained on the movable platform in plane. The results show that Kalman filtering can improve the correctness, reliability and stability of the deformation information series.
Kalman filtering techniques for reducing variance of digital speckle displacement measurement noise
Institute of Scientific and Technical Information of China (English)
Donghui Li; Li Guo
2006-01-01
@@ Target dynamics are assumed to be known in measuring digital speckle displacement. Use is made of a simple measurement equation, where measurement noise represents the effect of disturbances introduced in measurement process. From these assumptions, Kalman filter can be designed to reduce variance of measurement noise. An optical and analysis system was set up, by which object motion with constant displacement and constant velocity is experimented with to verify validity of Kalman filtering techniques for reduction of measurement noise variance.
Institute of Scientific and Technical Information of China (English)
Li Shu; Zhuo Jiashou; Ren Qingwen
2000-01-01
In this paper, an optimal criterion is presented for adaptive Kalman filter in a control sys tem with unknown variances of stochastic vibration by constructing a function of noise variances and minimizing the function. We solve the model and measure variances by using DFP optimal method to guarantee the results of Kalman filter to be optimized. Finally, the control of vibration can be implemented by LQG method.
2011-01-01
Modeling phase is fundamental both in the analysis process of a dynamic system and the design of a control system. If this phase is in-line is even more critical and the only information of the system comes from input/output data. Some adaptation algorithms for fuzzy system based on extended Kalman filter are presented in this paper, which allows obtaining accurate models without renounce the computational efficiency that characterizes the Kalman filter, and allows ...
Hybrid Kalman Filter: A New Approach for Aircraft Engine In-Flight Diagnostics
Kobayashi, Takahisa; Simon, Donald L.
2006-01-01
In this paper, a uniquely structured Kalman filter is developed for its application to in-flight diagnostics of aircraft gas turbine engines. The Kalman filter is a hybrid of a nonlinear on-board engine model (OBEM) and piecewise linear models. The utilization of the nonlinear OBEM allows the reference health baseline of the in-flight diagnostic system to be updated to the degraded health condition of the engines through a relatively simple process. Through this health baseline update, the effectiveness of the in-flight diagnostic algorithm can be maintained as the health of the engine degrades over time. Another significant aspect of the hybrid Kalman filter methodology is its capability to take advantage of conventional linear and nonlinear Kalman filter approaches. Based on the hybrid Kalman filter, an in-flight fault detection system is developed, and its diagnostic capability is evaluated in a simulation environment. Through the evaluation, the suitability of the hybrid Kalman filter technique for aircraft engine in-flight diagnostics is demonstrated.
Directory of Open Access Journals (Sweden)
J. H. Lee
2012-04-01
Full Text Available Aerodynamic roughness height (Z_{om} is a key parameter required in land surface hydrological model, since errors in heat flux estimations are largely dependent on accurate optimization of this parameter. Despite its significance, it remains an uncertain parameter that is not easily determined. This is mostly because of non-linear relationship in Monin-Obukhov Similarity (MOS and unknown vertical characteristic of vegetation. Previous studies determined aerodynamic roughness using traditional wind profile method, remotely sensed vegetation index, minimization of cost function over MOS relationship or linear regression. However, these are complicated procedures that presume high accuracy for several other related parameters embedded in MOS equations. In order to simplify a procedure and reduce the number of parameters in need, this study suggests a new approach to extract aerodynamic roughness parameter via Ensemble Kalman Filter (EnKF that affords non-linearity and that requires only single or two heat flux measurement. So far, to our knowledge, no previous study has applied EnKF to aerodynamic roughness estimation, while a majority of data assimilation study has paid attention to land surface state variables such as soil moisture or land surface temperature. This approach was applied to grassland in semi-arid Tibetan area and maize on moderately wet condition in Italy. It was demonstrated that aerodynamic roughness parameter can inversely be tracked from data assimilated heat flux analysis. The aerodynamic roughness height estimated in this approach was consistent with eddy covariance result and literature value. Consequently, this newly estimated input adjusted the sensible heat overestimated and latent heat flux underestimated by the original Surface Energy Balance System (SEBS model, suggesting better heat flux estimation especially during the summer Monsoon period. The advantage of this approach over other methodologies is
Discrete Kalman Filter based Sensor Fusion for Robust Accessibility Interfaces
Ghersi, I.; Mariño, M.; Miralles, M. T.
2016-04-01
Human-machine interfaces have evolved, benefiting from the growing access to devices with superior, embedded signal-processing capabilities, as well as through new sensors that allow the estimation of movements and gestures, resulting in increasingly intuitive interfaces. In this context, sensor fusion for the estimation of the spatial orientation of body segments allows to achieve more robust solutions, overcoming specific disadvantages derived from the use of isolated sensors, such as the sensitivity of magnetic-field sensors to external influences, when used in uncontrolled environments. In this work, a method for the combination of image-processing data and angular-velocity registers from a 3D MEMS gyroscope, through a Discrete-time Kalman Filter, is proposed and deployed as an alternate user interface for mobile devices, in which an on-screen pointer is controlled with head movements. Results concerning general performance of the method are presented, as well as a comparative analysis, under a dedicated test application, with results from a previous version of this system, in which the relative-orientation information was acquired directly from MEMS sensors (3D magnetometer-accelerometer). These results show an improved response for this new version of the pointer, both in terms of precision and response time, while keeping many of the benefits that were highlighted for its predecessor, giving place to a complementary method for signal acquisition that can be used as an alternative-input device, as well as for accessibility solutions.
Fuzzy Logic Based Autonomous Parallel Parking System with Kalman Filtering
Panomruttanarug, Benjamas; Higuchi, Kohji
This paper presents an emulation of fuzzy logic control schemes for an autonomous parallel parking system in a backward maneuver. There are four infrared sensors sending the distance data to a microcontroller for generating an obstacle-free parking path. Two of them mounted on the front and rear wheels on the parking side are used as the inputs to the fuzzy rules to calculate a proper steering angle while backing. The other two attached to the front and rear ends serve for avoiding collision with other cars along the parking space. At the end of parking processes, the vehicle will be in line with other parked cars and positioned in the middle of the free space. Fuzzy rules are designed based upon a wall following process. Performance of the infrared sensors is improved using Kalman filtering. The design method needs extra information from ultrasonic sensors. Starting from modeling the ultrasonic sensor in 1-D state space forms, one makes use of the infrared sensor as a measurement to update the predicted values. Experimental results demonstrate the effectiveness of sensor improvement.
IASI Radiance Data Assimilation in Local Ensemble Transform Kalman Filter
Cho, K.; Hyoung-Wook, C.; Jo, Y.
2016-12-01
Korea institute of Atmospheric Prediction Systems (KIAPS) is developing NWP model with data assimilation systems. Local Ensemble Transform Kalman Filter (LETKF) system, one of the data assimilation systems, has been developed for KIAPS Integrated Model (KIM) based on cubed-sphere grid and has successfully assimilated real data. LETKF data assimilation system has been extended to 4D- LETKF which considers time-evolving error covariance within assimilation window and IASI radiance data assimilation using KPOP (KIAPS package for observation processing) with RTTOV (Radiative Transfer for TOVS). The LETKF system is implementing semi operational prediction including conventional (sonde, aircraft) observation and AMSU-A (Advanced Microwave Sounding Unit-A) radiance data from April. Recently, the semi operational prediction system updated radiance observations including GPS-RO, AMV, IASI (Infrared Atmospheric Sounding Interferometer) data at July. A set of simulation of KIM with ne30np4 and 50 vertical levels (of top 0.3hPa) were carried out for short range forecast (10days) within semi operation prediction LETKF system with ensemble forecast 50 members. In order to only IASI impact, our experiments used only conventional and IAIS radiance data to same semi operational prediction set. We carried out sensitivity test for IAIS thinning method (3D and 4D). IASI observation number was increased by temporal (4D) thinning and the improvement of IASI radiance data impact on the forecast skill of model will expect.
Adaptive error covariances estimation methods for ensemble Kalman filters
Energy Technology Data Exchange (ETDEWEB)
Zhen, Yicun, E-mail: zhen@math.psu.edu [Department of Mathematics, The Pennsylvania State University, University Park, PA 16802 (United States); Harlim, John, E-mail: jharlim@psu.edu [Department of Mathematics and Department of Meteorology, The Pennsylvania State University, University Park, PA 16802 (United States)
2015-08-01
This paper presents a computationally fast algorithm for estimating, both, the system and observation noise covariances of nonlinear dynamics, that can be used in an ensemble Kalman filtering framework. The new method is a modification of Belanger's recursive method, to avoid an expensive computational cost in inverting error covariance matrices of product of innovation processes of different lags when the number of observations becomes large. When we use only product of innovation processes up to one-lag, the computational cost is indeed comparable to a recently proposed method by Berry–Sauer's. However, our method is more flexible since it allows for using information from product of innovation processes of more than one-lag. Extensive numerical comparisons between the proposed method and both the original Belanger's and Berry–Sauer's schemes are shown in various examples, ranging from low-dimensional linear and nonlinear systems of SDEs and 40-dimensional stochastically forced Lorenz-96 model. Our numerical results suggest that the proposed scheme is as accurate as the original Belanger's scheme on low-dimensional problems and has a wider range of more accurate estimates compared to Berry–Sauer's method on L-96 example.
Face Tracking in Video by Using Kalman Filter
Directory of Open Access Journals (Sweden)
Saranya M
2014-06-01
Full Text Available Face Tracking has been one of the most studied topics in computer vision literature. Facial feature extraction has some problems which must be researched. Small variations of face size and orientation can affect the result of face tracking. Since the input image is captured from a surveillance camera, certain conditions have to be considered - like different levels of brightness, shadows and clearness - which are challenges for detection and tracking purpose. Most facial feature extraction methods are sensitive to various non-ideal such as variation in illumination, noise, orientation, time-consumption and color space used. So there is a need for a good feature extraction method that will enhance the quality and performance of face recognition system. First, segmentation of foreground and background object is the one by using histogram equalization. By this method we are able to segment face based on skin color. After segmenting, Kalman filter is used to track the faces under several conditions. This feature is helpful for the development of a real-time visual tracking control system.
Paris law parameter identification based on the Extended Kalman Filter
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Melgar M.
2016-01-01
Full Text Available Aircraft structures are commonly subjected to repeated loading cycles leading to fatigue damage. Fatigue data can be extrapolated by fatigue models which are adopted to describe the fatigue damage behaviour. Such models depend on their parameters for accurate prediction of the fatigue life. Therefore, several methods have been developed for estimating the model parameters for both linear and nonlinear systems. It is useful for a broad class of parameter identification problems when the dynamic model is not known. In this paper, the Paris law is used as fatigue-crack-length growth model on a metallic component under loading cycles. The Extended Kalman Filter (EKF is proposed as estimation method. Simulated crack length data is used to validate the estimation method. Based on experimental data obtained from fatigue experiment, the crack length and model parameters are estimated. Accurate model parameters allow a more realistic prediction of the fatigue life, consequently, the remaining useful life (RUL of component can be accurately computed. In this sense, maintenance performance could be improved.
Vehicle State Information Estimation with the Unscented Kalman Filter
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Hongbin Ren
2014-01-01
Full Text Available The vehicle state information plays an important role in the vehicle active safety systems; this paper proposed a new concept to estimate the instantaneous vehicle speed, yaw rate, tire forces, and tire kinemics information in real time. The estimator is based on the 3DoF vehicle model combined with the piecewise linear tire model. The estimator is realized using the unscented Kalman filter (UKF, since it is based on the unscented transfer technique and considers high order terms during the measurement and update stage. The numerical simulations are carried out to further investigate the performance of the estimator under high friction and low friction road conditions in the MATLAB/Simulink combined with the Carsim environment. The simulation results are compared with the numerical results from Carsim software, which indicate that UKF can estimate the vehicle state information accurately and in real time; the proposed estimation will provide the necessary and reliable state information to the vehicle controller in the future.
Automated septum thickness measurement--a Kalman filter approach.
Snare, Sten Roar; Mjølstad, Ole Christian; Orderud, Fredrik; Dalen, Håvard; Torp, Hans
2012-11-01
Interventricular septum thickness in end-diastole (IVSd) is one of the key parameters in cardiology. This paper presents a fast algorithm, suitable for pocket-sized ultrasound devices, for measurement of IVSd using 2D B-mode parasternal long axis images. The algorithm is based on a deformable model of the septum and the mitral valve. The model shape is estimated using an extended Kalman filter. A feasibility study using 32 unselected recordings is presented. The recordings originate from a database consisting of subjects from a normal healthy population. Five patients with suspected hypertrophy were included in the study. Reference B-mode measurements were made by two cardiologists. A paired t-test revealed a non-significant mean difference, compared to the B-mode reference, of (mean±SD) 0.14±1.36 mm (p=0.532). Pearson's correlation coefficient was 0.79 (p<0.001). The results are comparable to the variability between the two cardiologists, which was found to be 1.29±1.23 mm (p<0.001). The results indicate that the method has potential as a tool for rapid assessment of IVSd. Copyright © 2011 Elsevier Ireland Ltd. All rights reserved.
Dynamics of Electricity Demand in Lesotho: A Kalman Filter Approach
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Thamae Retselisitsoe Isaiah
2015-04-01
Full Text Available This study provides an empirical analysis of the time-varying price and income elasticities of electricity demand in Lesotho for the period 1995-2012 using the Kalman filter approach. The results reveal that economic growth has been one of the main drivers of electricity consumption in Lesotho while electricity prices are found to play a less significant role since they are monopoly-driven and relatively low when compared to international standards. These findings imply that increases in electricity prices in Lesotho might not have a significant impact on consumption in the short-run. However, if the real electricity prices become too high over time, consumers might change their behavior and sensitivity to price and hence, energy policymakers will need to reconsider their impact in the long-run. Furthermore, several exogenous shocks seem to have affected the sensitivity of electricity demand during the period prior to regulation, which made individuals, businesses and agencies to be more sensitive to electricity costs. On the other hand, the period after regulation has been characterized by more stable and declining sensitivity of electricity demand. Therefore, factors such as regulation and changes in the country’s economic activities appear to have affected both price and income elasticities of electricity demand in Lesotho.
Optimal Nonlinear Filter for INS Alignment
Institute of Scientific and Technical Information of China (English)
赵瑞; 顾启泰
2002-01-01
All the methods to handle the inertial navigation system (INS) alignment were sub-optimal in the past. In this paper, particle filtering (PF) as an optimal method is used for solving the problem of INS alignment. A sub-optimal two-step filtering algorithm is presented to improve the real-time performance of PF. The approach combines particle filtering with Kalman filtering (KF). Simulation results illustrate the superior performance of these approaches when compared with extended Kalman filtering (EKF).
Kalman filter based fault diagnosis of networked control system with white noise
Institute of Scientific and Technical Information of China (English)
Yanwei WANG; Ying ZHENG
2005-01-01
The networked control system NCS is regarded as a sampled control system with output time-variant delay.White noise is considered in the model construction of NCS.By using the Kalman filter theory to compute the filter parameters,a Kalman filter is constructed for this NCS.By comparing the output of the filter and the practical system,a residual is generated to diagnose the sensor faults and the actuator faults.Finally,an example is given to show the feasibility of the approach.
Assimilation de données: les propriétés asymptotiques du filtre de Kalman d'ensemble
Tran, Vu Duc
2009-01-01
This thesis is concerned with the data assimilation methods which combine the dynamical model with the observations. We present the well-known methods: statistical interpolation, variational data assimilation methods and sequential data assimilation methods. We are particularly interested in the Ensemble Kalman Filter (EnKF) which is more and more used in the oceanographic applications. The Ensemble Kalman Filter has been initially proposed as approximation of the Kalman filter in the case of...
Directory of Open Access Journals (Sweden)
Nataliya Chukhrova
2017-05-01
Full Text Available This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to facilitate the implementation of state space models in practice, we present a scalar state space model for cumulative payments, which is an extension of the well-known chain ladder (CL method. The presented model is distribution-free, forms a basis for determining the entire unobservable lower and upper run-off triangles and can easily be applied in practice using the Kalman-filter for prediction, filtering and smoothing of cumulative payments. In addition, the model provides an easy way to find outliers in the data and to determine outlier effects. Finally, an empirical comparison of the scalar state space model, promising prior state space models and some popular stochastic claims reserving methods is performed.
On the evaluation of uncertainties for state estimation with the Kalman filter
Eichstädt, S.; Makarava, N.; Elster, C.
2016-12-01
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.
Highway traffic estimation of improved precision using the derivative-free nonlinear Kalman Filter
Rigatos, Gerasimos; Siano, Pierluigi; Zervos, Nikolaos; Melkikh, Alexey
2015-12-01
The paper proves that the PDE dynamic model of the highway traffic is a differentially flat one and by applying spatial discretization its shows that the model's transformation into an equivalent linear canonical state-space form is possible. For the latter representation of the traffic's dynamics, state estimation is performed with the use of the Derivative-free nonlinear Kalman Filter. The proposed filter consists of the Kalman Filter recursion applied on the transformed state-space model of the highway traffic. Moreover, it makes use of an inverse transformation, based again on differential flatness theory which enables to obtain estimates of the state variables of the initial nonlinear PDE model. By avoiding approximate linearizations and the truncation of nonlinear terms from the PDE model of the traffic's dynamics the proposed filtering methods outperforms, in terms of accuracy, other nonlinear estimators such as the Extended Kalman Filter. The article's theoretical findings are confirmed through simulation experiments.
Ensemble Kalman filters for dynamical systems with unresolved turbulence
Energy Technology Data Exchange (ETDEWEB)
Grooms, Ian, E-mail: grooms@cims.nyu.edu [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Lee, Yoonsang [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Majda, Andrew J. [Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences, New York University, 251 Mercer St., New York, NY 10012 (United States); Center for Prototype Climate Modelling, NYU Abu Dhabi, Abu Dhabi (United Arab Emirates)
2014-09-15
Ensemble Kalman filters are developed for turbulent dynamical systems where the forecast model does not resolve all the active scales of motion. Coarse-resolution models are intended to predict the large-scale part of the true dynamics, but observations invariably include contributions from both the resolved large scales and the unresolved small scales. The error due to the contribution of unresolved scales to the observations, called ‘representation’ or ‘representativeness’ error, is often included as part of the observation error, in addition to the raw measurement error, when estimating the large-scale part of the system. It is here shown how stochastic superparameterization (a multiscale method for subgridscale parameterization) can be used to provide estimates of the statistics of the unresolved scales. In addition, a new framework is developed wherein small-scale statistics can be used to estimate both the resolved and unresolved components of the solution. The one-dimensional test problem from dispersive wave turbulence used here is computationally tractable yet is particularly difficult for filtering because of the non-Gaussian extreme event statistics and substantial small scale turbulence: a shallow energy spectrum proportional to k{sup −5/6} (where k is the wavenumber) results in two-thirds of the climatological variance being carried by the unresolved small scales. Because the unresolved scales contain so much energy, filters that ignore the representation error fail utterly to provide meaningful estimates of the system state. Inclusion of a time-independent climatological estimate of the representation error in a standard framework leads to inaccurate estimates of the large-scale part of the signal; accurate estimates of the large scales are only achieved by using stochastic superparameterization to provide evolving, large-scale dependent predictions of the small-scale statistics. Again, because the unresolved scales contain so much energy
Wellbore Surveying While Drilling Based on Kalman Filtering
Directory of Open Access Journals (Sweden)
Mahmoud ElGizawy
2010-01-01
by designing a reliable real-time low cost MWD surveying system based on MEMS inertial sensors miniaturized inside the RSS housing installed directly behind the drill bit. A continuous borehole surveying module based on MEMS inertial sensors integrated with other drilling measurements was developed using Kalman filtering.
Analysis of dynamic deformation processes with adaptive KALMAN-filtering
Eichhorn, Andreas
2007-05-01
In this paper the approach of a full system analysis is shown quantifying a dynamic structural ("white-box"-) model for the calculation of thermal deformations of bar-shaped machine elements. The task was motivated from mechanical engineering searching new methods for the precise prediction and computational compensation of thermal influences in the heating and cooling phases of machine tools (i.e. robot arms, etc.). The quantification of thermal deformations under variable dynamic loads requires the modelling of the non-stationary spatial temperature distribution inside the object. Based upon FOURIERS law of heat flow the high-grade non-linear temperature gradient is represented by a system of partial differential equations within the framework of a dynamic Finite Element topology. It is shown that adaptive KALMAN-filtering is suitable to quantify relevant disturbance influences and to identify thermal parameters (i.e. thermal diffusivity) with a deviation of only 0,2%. As result an identified (and verified) parametric model for the realistic prediction respectively simulation of dynamic temperature processes is presented. Classifying the thermal bend as the main deformation quantity of bar-shaped machine tools, the temperature model is extended to a temperature deformation model. In lab tests thermal load steps are applied to an aluminum column. Independent control measurements show that the identified model can be used to predict the columns bend with a mean deviation (r.m.s.) smaller than 10 mgon. These results show that the deformation model is a precise predictor and suitable for realistic simulations of thermal deformations. Experiments with modified heat sources will be necessary to verify the model in further frequency spectra of dynamic thermal loads.
Directory of Open Access Journals (Sweden)
Francois Counillon
2014-03-01
Full Text Available Here, we firstly demonstrate the potential of an advanced flow dependent data assimilation method for performing seasonal-to-decadal prediction and secondly, reassess the use of sea surface temperature (SST for initialisation of these forecasts. We use the Norwegian Climate Prediction Model (NorCPM, which is based on the Norwegian Earth System Model (NorESM and uses the deterministic ensemble Kalman filter to assimilate observations. NorESM is a fully coupled system based on the Community Earth System Model version 1, which includes an ocean, an atmosphere, a sea ice and a land model. A numerically efficient coarse resolution version of NorESM is used. We employ a twin experiment methodology to provide an upper estimate of predictability in our model framework (i.e. without considering model bias of NorCPM that assimilates synthetic monthly SST data (EnKF-SST. The accuracy of EnKF-SST is compared to an unconstrained ensemble run (FREE and ensemble predictions made with near perfect (i.e. microscopic SST perturbation initial conditions (PERFECT. We perform 10 cycles, each consisting of a 10-yr assimilation phase, followed by a 10-yr prediction. The results indicate that EnKF-SST improves sea level, ice concentration, 2 m atmospheric temperature, precipitation and 3-D hydrography compared to FREE. Improvements for the hydrography are largest near the surface and are retained for longer periods at depth. Benefits in salinity are retained for longer periods compared to temperature. Near-surface improvements are largest in the tropics, while improvements at intermediate depths are found in regions of large-scale currents, regions of deep convection, and at the Mediterranean Sea outflow. However, the benefits are often small compared to PERFECT, in particular, at depth suggesting that more observations should be assimilated in addition to SST. The EnKF-SST system is also tested for standard ocean circulation indices and demonstrates decadal
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
Self-tuning decoupled fusion Kalman filter based on the Riccati equation
Institute of Scientific and Technical Information of China (English)
Xiaojun SUN; Peng ZHANG; Zili DENG
2008-01-01
An online noise variance estimator for multi-sensor systems with unknown noise variances is proposed by using the correlation method. Based on the Riccati equa-tion and optimal fusion rule "weighted by scalars for state components, a self-tuning component decoupled informa-tion fusion Kalman filter is presented. It is proved that the filter converges to the optimal fusion Kalman filter in a realization by dynamic error system analysis method, so that it has asymptotic optimality. Its effectiveness is demon-strated by simulation for a tracking system with 3 sensors.
Modified Extended Kalman Filtering for Tracking with Insufficient and Intermittent Observations
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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.
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.
Penggunaan Extended Kalman Filter Sebagai Estimator Sikap pada Sistem Kendali Servo Visual Robot
Directory of Open Access Journals (Sweden)
Noor Cholis Basjaruddin
2012-03-01
Full Text Available Extended Kalman Filter (EKF is the non-linear version of Kalman filter and the said filter is usually used in nonlinear state estimation. In this study EKF is applied to process the image features of a single camera mounted on the end effector of a robot. Data generated by the EKF then is to be processed to obtain the motion parameters. Simulation of visual servo control system was built with the aim to examine the use of the EKF as a pose estimator. The simulation results using Matlab show that the EKF is able to well estimate the robot pose.
Penggunaan Extended Kalman Filter Sebagai Estimator Sikap pada Sistem Kendali Servo Visual Robot
Noor Cholis Basjaruddin
2012-01-01
Extended Kalman Filter (EKF) is the non-linear version of Kalman filter and the said filter is usually used in nonlinear state estimation. In this study EKF is applied to process the image features of a single camera mounted on the end effector of a robot. Data generated by the EKF then is to be processed to obtain the motion parameters. Simulation of visual servo control system was built with the aim to examine the use of the EKF as a pose estimator. The simulation results using Matlab show ...
Control of underactuated robotic systems with the use of the derivative-free nonlinear Kalman filter
Rigatos, Gerasimos G.; Siano, Pierluigi
2013-10-01
The Derivative-free nonlinear Kalman Filter is used for developing a robust controller which can be applied to underactuated MIMO robotic systems. Using differential flatness theory it is shown that the model of a closed-chain 2-DOF robotic manipulator can be transformed to linear canonical form. For the linearized equivalent of the robotic system it is shown that a state feedback controller can be designed. Since certain elements of the state vector of the linearized system can not be measured directly, it is proposed to estimate them with the use of a novel filtering method, the so-called Derivative-free nonlinear Kalman Filter. Moreover, by redesigning the Kalman Filter as a disturbance observer, it is is shown that one can estimate simultaneously external disturbances terms that affect the robotic model or disturbance terms which are associated with parametric uncertainty.
Directory of Open Access Journals (Sweden)
Dongyan Chen
2015-01-01
Full Text Available This paper is concerned with the optimal Kalman filtering problem for a class of discrete stochastic systems with multiplicative noises and random two-step sensor delays. Three Bernoulli distributed random variables with known conditional probabilities are introduced to characterize the phenomena of the random two-step sensor delays which may happen during the data transmission. By using the state augmentation approach and innovation analysis technique, an optimal Kalman filter is constructed for the augmented system in the sense of the minimum mean square error (MMSE. Subsequently, the optimal Kalman filtering is derived for corresponding augmented system in initial instants. Finally, a simulation example is provided to demonstrate the feasibility and effectiveness of the proposed filtering method.
State-Of-Charge Estimation of Li-Ion Battery Using Extended Kalman Filter
Directory of Open Access Journals (Sweden)
Feng Jin
2013-07-01
Full Text Available The Li-ion battery is studied base on its equivalent circuit PNGV model. The model parameters are identified by HPPC test. The discrete state space equation is established according to the model. The basic theory of extended Kalman filter algorithm is studied and then the filtering algorithm is set up under the noisy environments. Finally, a kind of electric car is used for testing under the UDDS driving condition. The difference between the simulation value using extended Kalman filter under the noisy environment and the theoretical value is compared. The result indicated that the extended Kalman filter keeps an excellent precision in state of charge estimation of Li-ion battery and performs well when disturbance happens.
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Bak, Martin; Andersen, Nils Axel
1998-01-01
A Kalman filter using encoder readings as inputs and vision measurements as observations is designed as a location estimator for an autonomously guided vehicle (AGV). To reduce the effect of modelling errors an augmented filter that estimates the true system parameters is designed. The traditional...
DEFF Research Database (Denmark)
Høilund, Carsten; Moeslund, Thomas B.; Madsen, Claus B.
2010-01-01
This paper presents a method for determining the free space in a scene as viewed by a vehicle-mounted camera. Using disparity maps from a stereo camera and known camera motion, the disparity maps are first filtered by an iconic Kalman filter, operating on each pixel individually, thereby reducing...
Efficient decoding with steady-state Kalman filter in neural interface systems.
Malik, Wasim Q; Truccolo, Wilson; Brown, Emery N; Hochberg, Leigh R
2011-02-01
The Kalman filter is commonly used in neural interface systems to decode neural activity and estimate the desired movement kinematics. We analyze a low-complexity Kalman filter implementation in which the filter gain is approximated by its steady-state form, computed offline before real-time decoding commences. We evaluate its performance using human motor cortical spike train data obtained from an intracortical recording array as part of an ongoing pilot clinical trial. We demonstrate that the standard Kalman filter gain converges to within 95% of the steady-state filter gain in 1.5±0.5 s (mean ±s.d.). The difference in the intended movement velocity decoded by the two filters vanishes within 5 s, with a correlation coefficient of 0.99 between the two decoded velocities over the session length. We also find that the steady-state Kalman filter reduces the computational load (algorithm execution time) for decoding the firing rates of 25±3 single units by a factor of 7.0±0.9. We expect that the gain in computational efficiency will be much higher in systems with larger neural ensembles. The steady-state filter can thus provide substantial runtime efficiency at little cost in terms of estimation accuracy. This far more efficient neural decoding approach will facilitate the practical implementation of future large-dimensional, multisignal neural interface systems.
Estimation of Sonobuoy Position Relative to an Aircraft Using Extended Kalman Filters
1979-09-01
SECURITY CLASS. (a# this swot ) Naval Postgraduate School Ucasfe Monterey, California 93940 UnDcl assi F AIeNDONRDG SCHEDULE 1B. DISTRIBUTION...22 C. TEE SIX-STATE SYSTEM-----------------23 I). TEE TWO-STATE SYSTEM- ---------------- IV. ANAYLSIS ---------------------------- Z A. THE...simplifing techniques used in Kalman filters include precomputed gains. Although forfeiting the optimal Kalman gains, this has the advantage of reducing
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.
Design and Simulation of the Integrated Navigation System based on Extended Kalman Filter
Directory of Open Access Journals (Sweden)
Zhou Weidong
2017-04-01
Full Text Available The integrated navigation system is used to estimate the position, velocity, and attitude of a vehicle with the output of inertial sensors. This paper concentrates on the problem of the INS/GPS integrated navigation system design and simulation. The structure of the INS/GPS integrated navigation system is made up of four parts: 1 GPS receiver, 2 Inertial Navigation System, 3 Extended Kalman filter, and 4 Integrated navigation scheme. Afterwards, we illustrate how to simulate the integrated navigation system with the extended Kalman filter by measuring position, velocity and attitude. Particularly, the extended Kalman filter can estimate states of the nonlinear system in the noisy environment. In extended Kalman filter, the estimation of the state vector and the error covariance matrix are computed by steps: 1 time update and 2 measurement update. Finally, the simulation process is implemented by Matlab, and simulation results prove that the error rate of statement measuring is lower when applying the extended Kalman filter in the INS/GPS integrated navigation system.
Esteban, Segundo; Girón-Sierra, Jose M; Polo, Óscar R; Angulo, Manuel
2016-10-31
Most satellites use an on-board attitude estimation system, based on available sensors. In the case of low-cost satellites, which are of increasing interest, it is usual to use magnetometers and Sun sensors. A Kalman filter is commonly recommended for the estimation, to simultaneously exploit the information from sensors and from a mathematical model of the satellite motion. It would be also convenient to adhere to a quaternion representation. This article focuses on some problems linked to this context. The state of the system should be represented in observable form. Singularities due to alignment of measured vectors cause estimation problems. Accommodation of the Kalman filter originates convergence difficulties. The article includes a new proposal that solves these problems, not needing changes in the Kalman filter algorithm. In addition, the article includes assessment of different errors, initialization values for the Kalman filter; and considers the influence of the magnetic dipole moment perturbation, showing how to handle it as part of the Kalman filter framework.
Directory of Open Access Journals (Sweden)
Shujie Yang
2016-01-01
Full Text Available Network virtualization has become pervasive and is used in many applications. Through the combination of network virtualization and wireless sensor networks, it can greatly improve the multiple applications of traditional wireless sensor networks. However, because of the dynamic reconfiguration of topologies in the physical layer of virtualized sensor networks (VSNs, it requires a mechanism to guarantee the accuracy of estimate values by sensors. In this paper, we focus on the distributed Kalman filter algorithm with dynamic topologies to support this requirement. As one strategy of distributed Kalman filter algorithms, diffusion Kalman filter algorithm has a better performance on the state estimation. However, the existing diffusion Kalman filter algorithms all focus on the fixed topologies. Considering the dynamic topologies in the physical layer of VSNs mentioned above, we present a diffusion Kalman filter algorithm with dynamic topologies (DKFdt. Then, we emphatically derive the theoretical expressions of the mean and mean-square performance. From the expressions, the feasibility of the algorithm is verified. Finally, simulations confirm that the proposed algorithm achieves a greatly improved performance as compared with a noncooperative manner.
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Segundo Esteban
2016-10-01
Full Text Available Most satellites use an on-board attitude estimation system, based on available sensors. In the case of low-cost satellites, which are of increasing interest, it is usual to use magnetometers and Sun sensors. A Kalman filter is commonly recommended for the estimation, to simultaneously exploit the information from sensors and from a mathematical model of the satellite motion. It would be also convenient to adhere to a quaternion representation. This article focuses on some problems linked to this context. The state of the system should be represented in observable form. Singularities due to alignment of measured vectors cause estimation problems. Accommodation of the Kalman filter originates convergence difficulties. The article includes a new proposal that solves these problems, not needing changes in the Kalman filter algorithm. In addition, the article includes assessment of different errors, initialization values for the Kalman filter; and considers the influence of the magnetic dipole moment perturbation, showing how to handle it as part of the Kalman filter framework.
Yue, Jian; Meng, Zhiyong; Yu, Cheng-Ku; Cheng, Lin-Wen
2017-01-01
This study explored the impact of coastal radar observability on the forecast of the track and rainfall of Typhoon Morakot (2009) using a WRF-based ensemble Kalman filter (EnKF) data assimilation (DA) system. The results showed that the performance of radar EnKF DA was quite sensitive to the number of radars being assimilated and the DA timing relative to the landfall of the tropical cyclone (TC). It was found that assimilating radial velocity (Vr) data from all the four operational radars during the 6 h immediately before TC landfall was quite important for the track and rainfall forecasts after the TC made landfall. The TC track forecast error could be decreased by about 43% and the 24-h rainfall forecast skill could be almost tripled. Assimilating Vr data from a single radar outperformed the experiment without DA, though with less improvement compared to the multiple-radar DA experiment. Different forecast performances were obtained by assimilating different radars, which was closely related to the first-time wind analysis increment, the location of moisture transport, the quasi-stationary rainband, and the local convergence line. However, only assimilating Vr data when the TC was farther away from making landfall might worsen TC track and rainfall forecasts. Besides, this work also demonstrated that Vr data from multiple radars, instead of a single radar, should be used for verification to obtain a more reliable assessment of the EnKF performance.
The Joint Adaptive Kalman Filter (JAKF) for Vehicle Motion State Estimation.
Gao, Siwei; Liu, Yanheng; Wang, Jian; Deng, Weiwen; Oh, Heekuck
2016-07-16
This paper proposes a multi-sensory Joint Adaptive Kalman Filter (JAKF) through extending innovation-based adaptive estimation (IAE) to estimate the motion state of the moving vehicles ahead. JAKF views Lidar and Radar data as the source of the local filters, which aims to adaptively adjust the measurement noise variance-covariance (V-C) matrix 'R' and the system noise V-C matrix 'Q'. Then, the global filter uses R to calculate the information allocation factor 'β' for data fusion. Finally, the global filter completes optimal data fusion and feeds back to the local filters to improve the measurement accuracy of the local filters. Extensive simulation and experimental results show that the JAKF has better adaptive ability and fault tolerance. JAKF enables one to bridge the gap of the accuracy difference of various sensors to improve the integral filtering effectivity. If any sensor breaks down, the filtered results of JAKF still can maintain a stable convergence rate. Moreover, the JAKF outperforms the conventional Kalman filter (CKF) and the innovation-based adaptive Kalman filter (IAKF) with respect to the accuracy of displacement, velocity, and acceleration, respectively.
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.
Kalman Filter Realization for Orientation and Position Estimation on Dedicated Processor
Directory of Open Access Journals (Sweden)
Romaniuk Sławomir
2014-08-01
Full Text Available This paper presents Kalman filter design which has been programmed and evaluated in dedicated STM32 platform. The main aim of the work performed was to achieve proper estimation of attitude and position signals which could be further used in unmanned aeri-al vehicle autopilots. Inertial measurement unit and GPS receiver have been used as measurement devices in order to achieve needed raw sensor data. Results of Kalman filter estimation were recorded for signals measurements and compared with raw data. Position actualization frequency was increased from 1 Hz which is characteristic to GPS receivers, to values close to 50 Hz. Furthermore it is shown how Kalman filter deals with GPS accuracy decreases and magnetometer measurement noise.
Cuff-less blood pressure measurement using pulse arrival time and a Kalman filter
Zhang, Qiang; Chen, Xianxiang; Fang, Zhen; Xue, Yongjiao; Zhan, Qingyuan; Yang, Ting; Xia, Shanhong
2017-02-01
The present study designs an algorithm to increase the accuracy of continuous blood pressure (BP) estimation. Pulse arrival time (PAT) has been widely used for continuous BP estimation. However, because of motion artifact and physiological activities, PAT-based methods are often troubled with low BP estimation accuracy. This paper used a signal quality modified Kalman filter to track blood pressure changes. A Kalman filter guarantees that BP estimation value is optimal in the sense of minimizing the mean square error. We propose a joint signal quality indice to adjust the measurement noise covariance, pushing the Kalman filter to weigh more heavily on measurements from cleaner data. Twenty 2 h physiological data segments selected from the MIMIC II database were used to evaluate the performance. Compared with straightforward use of the PAT-based linear regression model, the proposed model achieved higher measurement accuracy. Due to low computation complexity, the proposed algorithm can be easily transplanted into wearable sensor devices.
A Hybrid Extended Kalman Filter as an Observer for a Pot-Electro-Magnetic Actuator
Schmidt, Simon; Mercorelli, Paolo
2017-01-01
This paper deals with an application in which a hybrid extended Kalman Filter (HEKF) is used to estimate state variables in a U-shaped electro-magnetic actuator to be used in mechanical systems. In this context a hybrid Kalman Filter is the one which switches between different models. The paper proposes a hybrid model for an extended Kalman Filter to be used as an observer to estimate the state and to control the force of the actuator. Applications include position, velocity and force control in automotive, engine and manufacturing systems. This work is focused on the estimation of state variables of the actuator. Simulated results show the effectiveness of the proposed approach.
On the Kalman Filter error covariance collapse into the unstable subspace
Trevisan, A.; Palatella, L.
2011-03-01
When the Extended Kalman Filter is applied to a chaotic system, the rank of the error covariance matrices, after a sufficiently large number of iterations, reduces to N+ + N0 where N+ and N0 are the number of positive and null Lyapunov exponents. This is due to the collapse into the unstable and neutral tangent subspace of the solution of the full Extended Kalman Filter. Therefore the solution is the same as the solution obtained by confining the assimilation to the space spanned by the Lyapunov vectors with non-negative Lyapunov exponents. Theoretical arguments and numerical verification are provided to show that the asymptotic state and covariance estimates of the full EKF and of its reduced form, with assimilation in the unstable and neutral subspace (EKF-AUS) are the same. The consequences of these findings on applications of Kalman type Filters to chaotic models are discussed.
On the equivalence of Kalman filtering and least-squares estimation
Mysen, E.
2016-07-01
The Kalman filter is derived directly from the least-squares estimator, and generalized to accommodate stochastic processes with time variable memory. To complete the link between least-squares estimation and Kalman filtering of first-order Markov processes, a recursive algorithm is presented for the computation of the off-diagonal elements of the a posteriori least-squares error covariance. As a result of the algebraic equivalence of the two estimators, both approaches can fully benefit from the advantages implied by their individual perspectives. In particular, it is shown how Kalman filter solutions can be integrated into the normal equation formalism that is used for intra- and inter-technique combination of space geodetic data.
Direct Torque Control of Sensorless Induction Machine Drives: A Two-Stage Kalman Filter Approach
Directory of Open Access Journals (Sweden)
Jinliang Zhang
2015-01-01
Full Text Available Extended Kalman filter (EKF has been widely applied for sensorless direct torque control (DTC in induction machines (IMs. One key problem associated with EKF is that the estimator suffers from computational burden and numerical problems resulting from high order mathematical models. To reduce the computational cost, a two-stage extended Kalman filter (TEKF based solution is presented for closed-loop stator flux, speed, and torque estimation of IM to achieve sensorless DTC-SVM operations in this paper. The novel observer can be similarly derived as the optimal two-stage Kalman filter (TKF which has been proposed by several researchers. Compared to a straightforward implementation of a conventional EKF, the TEKF estimator can reduce the number of arithmetic operations. Simulation and experimental results verify the performance of the proposed TEKF estimator for DTC of IMs.
Convergence study in extended Kalman filter-based training of recurrent neural networks.
Wang, Xiaoyu; Huang, Yong
2011-04-01
Recurrent neural network (RNN) has emerged as a promising tool in modeling nonlinear dynamical systems, but the training convergence is still of concern. This paper aims to develop an effective extended Kalman filter-based RNN training approach with a controllable training convergence. The training convergence problem during extended Kalman filter-based RNN training has been proposed and studied by adapting two artificial training noise parameters: the covariance of measurement noise (R) and the covariance of process noise (Q) of Kalman filter. The R and Q adaption laws have been developed using the Lyapunov method and the maximum likelihood method, respectively. The effectiveness of the proposed adaption laws has been tested using a nonlinear dynamical benchmark system and further applied in cutting tool wear modeling. The results show that the R adaption law can effectively avoid the divergence problem and ensure the training convergence, whereas the Q adaption law helps improve the training convergence speed.
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.
On the equivalence of Kalman filtering and least-squares estimation
Mysen, E.
2017-01-01
The Kalman filter is derived directly from the least-squares estimator, and generalized to accommodate stochastic processes with time variable memory. To complete the link between least-squares estimation and Kalman filtering of first-order Markov processes, a recursive algorithm is presented for the computation of the off-diagonal elements of the a posteriori least-squares error covariance. As a result of the algebraic equivalence of the two estimators, both approaches can fully benefit from the advantages implied by their individual perspectives. In particular, it is shown how Kalman filter solutions can be integrated into the normal equation formalism that is used for intra- and inter-technique combination of space geodetic data.
Event-triggered Kalman-consensus filter for two-target tracking sensor networks.
Su, Housheng; Li, Zhenghao; Ye, Yanyan
2017-06-24
This paper is concerned with the problem of event-triggered Kalman-consensus filter for two-target tracking sensor networks. According to the event-triggered protocol and the mean-square analysis, a suboptimal Kalman gain matrix is derived and a suboptimal event-triggered distributed filter is obtained. Based on the Kalman-consensus filter protocol, all sensors which only depend on its neighbors' information can track their corresponding targets. Furthermore, utilizing Lyapunov method and matrix theory, some sufficient conditions are presented for ensuring the stability of the system. Finally, a simulation example is presented to verify the effectiveness of the proposed event-triggered protocol. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
OPTIMASI LEARNING RADIAL BASIS FUNCTION NEURAL NETWORK DENGAN EXTENDED KALMAN FILTER
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Oni Soesanto
2015-09-01
Full Text Available Dalam paper ini dibahas mengenai optimasi Radial Basis Function Neural Network (RBFNN dengan Extended Kalman Filter. Proses learning RBF dengan Extended Kalman Filter menggunakan parameter bobot pada hidden center RBF yaitu noise proses pada perhitungan bobot hidden center dan noise pengukuran pada data output. Extended Kalman Filter pada jaringan syaraf RBF berfungsi mengoptimalkan bobot pada hidden center dengan meminimalkan error pada output RBF dengan parameter proses pada unit center RBF dan parameter bobot output pada output layer. Bobot output optimal diperoleh pada saat error output pada training RBF telah konvergen, selanjutnya digunakan untuk proses testing. Algoritma Extended Kalman Filter dan Radial Basis Fuction (EKF-RBF memungkinkan proses learning memungkinkan center dan variansi pada hidden layer tidak perlu dihitung sebelum bobot output optimum ditemukan. Hasil simulasi menunjukkan bahwa pada training, performansi klasifikasi algoritma EKF-RBF mampu mengenali rata-rata 92.42% dan untuk prediksi didapatkan MAE sebesar 5,3846 dan RMSE sebesar 16,2398 dengan CPU time 24,4146 detik dengan iterasi rata-rata 68,8 iterasi, testing in sample rata-rata MAE sebesar 4,3388, rata-rata RMSE sebesar 13,2230 dan rata-rata CPU time sebesar 0,1123 detik sedangkan pada testing out sample didapatkan rata-rata MAE sebesar 4,1065, RMSE sebesar 11,0126 dan CPU time sebesar 0,0265 detik. Kata kunci : Extended Kalman Filter, Extended Kalman Filter â€“ Radial Basis Function (EKF-RBF, Optimasi Jaringan Syaraf RBF
Adaptive system noise covariance for performance enhancement of Kalman filter-based algorithms
Lee, Vika; Chan, Keith C. C.; Leung, Henry
1996-06-01
Several designs of Kalman filters and the interacting multiple models algorithm were used in real tracking tasks involving high dynamic targets. The data were obtained through the joint effort of the defense departments of Canada and the US. Their performance, measured in terms of positional deviation and the number of track losses, are rather unsatisfactory even though they perform particularly well when using simulated data. To identify the reasons behind, we compared and analyzed the differences between the model assumptions behind the design of these Kalman filters and the model required for accurate tracking of these targets. In this paper, we discussed our findings. Moreover, based on the characteristics of real tracking data, we present an alternative methodology for measuring the effectiveness of various Kalman filter based trackers in stressful environmental. It can also be used to explain the well known characteristics of Kalman filter. A lower bound for the deviation, obtained from this equation, shows that deviation could be too large to manage if noise bandwidth is as high as the real data instead of a pre-assumed magnitude. Instead of having to redesign many existing Kalman filters to suit for stressful environment, we developed a design-independent module that can be added to different types of Kalman filters based trackers to enhance their performance in the tracking high dynamic targets. The module is called adaptive systems noise covariance estimation. It is not only safe (i.e. almost no negative effect) but it can sometimes even double the performance of trackers in stressful environment.
Directory of Open Access Journals (Sweden)
C. L. Keppenne
2005-01-01
Full Text Available To compensate for a poorly known geoid, satellite altimeter data is usually analyzed in terms of anomalies from the time mean record. When such anomalies are assimilated into an ocean model, the bias between the climatologies of the model and data is problematic. An ensemble Kalman filter (EnKF is modified to account for the presence of a forecast-model bias and applied to the assimilation of TOPEX/Poseidon (T/P altimeter data. The online bias correction (OBC algorithm uses the same ensemble of model state vectors to estimate biased-error and unbiased-error covariance matrices. Covariance localization is used but the bias covariances have different localization scales from the unbiased-error covariances, thereby accounting for the fact that the bias in a global ocean model could have much larger spatial scales than the random error.The method is applied to a 27-layer version of the Poseidon global ocean general circulation model with about 30-million state variables. Experiments in which T/P altimeter anomalies are assimilated show that the OBC reduces the RMS observation minus forecast difference for sea-surface height (SSH over a similar EnKF run in which OBC is not used. Independent in situ temperature observations show that the temperature field is also improved. When the T/P data and in situ temperature data are assimilated in the same run and the configuration of the ensemble at the end of the run is used to initialize the ocean component of the GMAO coupled forecast model, seasonal SSH hindcasts made with the coupled model are generally better than those initialized with optimal interpolation of temperature observations without altimeter data. The analysis of the corresponding sea-surface temperature hindcasts is not as conclusive.
Operational aspects of a synchronous filtering for flood forecasting
Rakovec, O.; Weerts, A.H.; Sumihar, J.; Uijlenhoet, R.
2015-01-01
This study investigates the suitability of the asynchronous ensemble Kalman filter (AEnKF) and a partitioned updating scheme for hydrological forecasting. The AEnKF requires forward integration of the model for the analysis and enables assimilation of current and past observations simultaneously at
Attitude Estimation Based on the Spherical Simplex Transformation Modified Unscented Kalman Filter
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Jianwei Zhao
2014-01-01
Full Text Available An antenna attitude estimation algorithm is proposed to improve the antenna pointing accuracy for the satellite communication on-the-move. The extrapolated angular acceleration is adopted to improve the performance of the time response. The states of the system are modified according to the modification rules. The spherical simplex transformation unscented Kalman filter is used to improve the precision of the estimated attitude and decrease the calculation of the unscented Kalman filter. The experiment results show that the proposed algorithm can improve the instantaneity of the estimated attitude and the precision of the antenna pointing, which meets the requirement of the antenna pointing.
Speed Estimation of Induction Motor Using Model Reference Adaptive System with Kalman Filter
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Pavel Brandstetter
2013-01-01
Full Text Available The paper deals with a speed estimation of the induction motor using observer with Model Reference Adaptive System and Kalman Filter. For simulation, Hardware in Loop Simulation method is used. The first part of the paper includes the mathematical description of the observer for the speed estimation of the induction motor. The second part describes Kalman filter. The third part describes Hardware in Loop Simulation method and its realization using multifunction card MF 624. In the last section of the paper, simulation results are shown for different changes of the induction motor speed which confirm high dynamic properties of the induction motor drive with sensorless control.
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.
DEFF Research Database (Denmark)
Pierobon, Leonardo; Schlanbusch, Rune; Kandepu, Rambabu
2014-01-01
for this project. Considering the plant dynamics, it is of paramount importance to monitor the peak temperatures within the once-through boiler serving the bottoming unit to prevent the decomposition of the working fluid. This paper accordingly aims at applying the unscented Kalman filter to estimate...... the temperature distribution inside the primary heat exchanger by engaging a detailed and distributed model of the system and available measurements. Simulation results prove the robustness of the unscented Kalman filter with respect to process noise, measurement disturbances and initial conditions....
Souza, André L. G.; Ishihara, João Y.; Ferreira, Henrique C.; Borges, Renato A.; Borges, Geovany A.
2016-12-01
The present work proposes a new approach for an antenna pointing system for satellite tracking. Such a system uses the received signal to estimate the beam pointing deviation and then adjusts the antenna pointing. The present work has two contributions. First, the estimation is performed by a Kalman filter based conical scan technique. This technique uses the Kalman filter avoiding the batch estimator and applies a mathematical manipulation avoiding the linearization approximations. Secondly, a control technique based on the model predictive control together with an explicit state feedback solution are obtained in order to reduce the computational burden. Numerical examples illustrate the results.
Pérez-Ortiz, Juan Antonio; Gers, Felix A; Eck, Douglas; Schmidhuber, Jürgen
2003-03-01
The long short-term memory (LSTM) network trained by gradient descent solves difficult problems which traditional recurrent neural networks in general cannot. We have recently observed that the decoupled extended Kalman filter training algorithm allows for even better performance, reducing significantly the number of training steps when compared to the original gradient descent training algorithm. In this paper we present a set of experiments which are unsolvable by classical recurrent networks but which are solved elegantly and robustly and quickly by LSTM combined with Kalman filters.
Extended Kalman Filter Based Neural Networks Controller For Hot Strip Rolling mill
Moussaoui, A. K.; Abbassi, H. A.; Bouazza, S.
2008-06-01
The present paper deals with the application of an Extended Kalman filter based adaptive Neural-Network control scheme to improve the performance of a hot strip rolling mill. The suggested Neural Network model was implemented using Bayesian Evidence based training algorithm. The control input was estimated iteratively by an on-line extended Kalman filter updating scheme basing on the inversion of the learned neural networks model. The performance of the controller is evaluated using an accurate model estimated from real rolling mill input/output data, and the usefulness of the suggested method is proved.
Application of Extended Kalman Filter to Tactical Ballistic Missile Re-entry Problem
Bhowmik, Subrata
2007-01-01
The objective is to investigate the advantages and performance of Extended Kalman Filter for the estimation of non-linear system where linearization takes place about a trajectory that was continually updated with the state estimates resulting from the measurement. Here tactile ballistic missile Re-entry problem is taken as a nonlinear system model and Extended Kalman Filter technique is used to estimate the positions and velocities at the X and Y direction at different values of ballistic coefficients. The result shows that the method gives better estimation with the increase of ballistic coefficient.
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.
Object Tracking System Using Approximate Median Filter, Kalman Filter and Dynamic Template Matching
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G. Mallikarjuna Rao
2014-04-01
Full Text Available In this work, we dealt with the tracking of single object in a sequence of frames either from a live camera or a previously saved video. A moving object is detected frame-by-frame with high accuracy and efficiency using Median approximation technique. As soon as the object has been detected, the same is tracked by kalman filter estimation technique along with a more accurate Template Matching algorithm. The templates are dynamically generated for this purpose. This guarantees any change in object pose which does not be hindered from tracking procedure. The system is capable of handling entry and exit of an object. Such a tracking scheme is cost effective and it can be used as an automated video conferencing system and also has application as a surveillance tool. Several trials of the tracking show that the approach is correct and extremely fast, and it's a more robust performance throughout the experiments.
Directory of Open Access Journals (Sweden)
Erna Apriliani
2011-01-01
Full Text Available 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 ensemble estimation by using the singular value decomposition (the SVD, and then we reduced the rank of the diagonal matrix of those singular values. We make a simulation by using Matlab program. We took some the number of ensemble such as 100, 200 and 500. We compared the computational time and the accuracy between the square root ensemble Kalman filter and the ensemble Kalman filter. The reduced rank ensemble Kalman filter can’t be applied in this problem because the dimension of state variable is too less.
Rucci, Michael; Hardie, Russell C; Barnard, Kenneth J
2014-05-01
In this paper, we present a computationally efficient video restoration algorithm to address both blur and noise for a Nyquist sampled imaging system. The proposed method utilizes a temporal Kalman filter followed by a correlation-model based spatial adaptive Wiener filter (AWF). The Kalman filter employs an affine background motion model and novel process-noise variance estimate. We also propose and demonstrate a new multidelay temporal Kalman filter designed to more robustly treat local motion. The AWF is a spatial operation that performs deconvolution and adapts to the spatially varying residual noise left in the Kalman filter stage. In image areas where the temporal Kalman filter is able to provide significant noise reduction, the AWF can be aggressive in its deconvolution. In other areas, where less noise reduction is achieved with the Kalman filter, the AWF balances the deconvolution with spatial noise reduction. In this way, the Kalman filter and AWF work together effectively, but without the computational burden of full joint spatiotemporal processing. We also propose a novel hybrid system that combines a temporal Kalman filter and BM3D processing. To illustrate the efficacy of the proposed methods, we test the algorithms on both simulated imagery and video collected with a visible camera.
Energy Technology Data Exchange (ETDEWEB)
Sebastien Massart [CERFACS / URA 1875, 42 Avenue Gaspard Coriolis, 31057 Toulouse Cedex 01, (France)
2005-07-01
Imperviousness of French nuclear power plants containments has to secure radioactive products confinement during incident or accident. Temporal evolution of containments is obtained through the numerical model Code Aster that purpose is to detect if some fissure could appear and as a consequence, imperviousness lost. In parallel, sensors are placed all around the containments to follow real time deformations. In this paper, Kalman filter analysis of an extensometer data is used to optimize eight parameters of the numerical model Code Aster. This method allows us to improve the concrete delayed behaviors modelization and supplies uncertainties to the forecast of the containment evolution. (author)
Meng, Yang; Gao, Shesheng; Zhong, Yongmin; Hu, Gaoge; Subic, Aleksandar
2016-03-01
The use of the direct filtering approach for INS/GNSS integrated navigation introduces nonlinearity into the system state equation. As the unscented Kalman filter (UKF) is a promising method for nonlinear problems, an obvious solution is to incorporate the UKF concept in the direct filtering approach to address the nonlinearity involved in INS/GNSS integrated navigation. However, the performance of the standard UKF is dependent on the accurate statistical characterizations of system noise. If the noise distributions of inertial instruments and GNSS receivers are not appropriately described, the standard UKF will produce deteriorated or even divergent navigation solutions. This paper presents an adaptive UKF with noise statistic estimator to overcome the limitation of the standard UKF. According to the covariance matching technique, the innovation and residual sequences are used to determine the covariance matrices of the process and measurement noises. The proposed algorithm can estimate and adjust the system noise statistics online, and thus enhance the adaptive capability of the standard UKF. Simulation and experimental results demonstrate that the performance of the proposed algorithm is significantly superior to that of the standard UKF and adaptive-robust UKF under the condition without accurate knowledge on system noise, leading to improved navigation precision.
Directory of Open Access Journals (Sweden)
Jenita Subash
2011-12-01
Full Text Available Users of geospatial data in government, military, industry, research, and other sectors have need foraccurate display of roads and other terrain information in areas where there are ongoing operations orlocations of interest. Hence, road extraction that is significantly more automated than the employment ofcostly and scarce human resources has become a challenging technical issue for the geospatialcommunity. An automatic road extraction based on Extended Kalman Filtering (EKF and variablestructured multiple model particle filter (VS-MMPF from satellite images is addressed. EKF traces themedian axis of a single road segment while VS-MMPF traces all road branches initializing at theintersection. In case of Local Linearization Particle filter (LLPF, a large number of particles are usedand therefore high computational expense is usually required in order to attain certain accuracy androbustness. The basic idea is to reduce the whole sampling space of the multiple model system to the modesubspace by marginalization over the target subspace and choose better importance function for modestate sampling. The core of the system is based on profile matching. During the estimation, new referenceprofiles were generated and stored in the road template memory for future correlation analysis, thuscovering the space of road profiles. .
Detecting Power Voltage Dips using Tracking Filters - A Comparison against Kalman
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STANCIU, I.-R.
2012-11-01
Full Text Available Due of its significant economical impact, Power-Quality (PQ analysis is an important domain today. Severe voltage distortions affect the consumers and disturb their activity. They may be caused by short circuits (in this case the voltage drops significantly or by varying loads (with a smaller drop. These two types are the PQ currently issues. Monitoring these phenomena (called dips or sags require powerful techniques. Digital Signal Processing (DSP algorithms are currently employed to fulfill this task. Discrete Wavelet Transforms, (and variants, Kalman filters, and S-Transform are currently proposed by researchers to detect voltage dips. This paper introduces and examines a new tool to detect voltage dips: the so-called tracking filters. Discovered and tested during the cold war, they can estimate a parameter of interest one-step-ahead based on the previously observed values. Two filters are implemented. Their performance is assessed by comparison against the Kalman filter?s results.
Adaptive distributed Kalman filtering with wind estimation for astronomical adaptive optics.
Massioni, Paolo; Gilles, Luc; Ellerbroek, Brent
2015-12-01
In the framework of adaptive optics (AO) for astronomy, it is a common assumption to consider the atmospheric turbulent layers as "frozen flows" sliding according to the wind velocity profile. For this reason, having knowledge of such a velocity profile is beneficial in terms of AO control system performance. In this paper we show that it is possible to exploit the phase estimate from a Kalman filter running on an AO system in order to estimate wind velocity. This allows the update of the Kalman filter itself with such knowledge, making it adaptive. We have implemented such an adaptive controller based on the distributed version of the Kalman filter, for a realistic simulation of a multi-conjugate AO system with laser guide stars on a 30 m telescope. Simulation results show that this approach is effective and promising and the additional computational cost with respect to the distributed filter is negligible. Comparisons with a previously published slope detection and ranging wind profiler are made and the impact of turbulence profile quantization is assessed. One of the main findings of the paper is that all flavors of the adaptive distributed Kalman filter are impacted more significantly by turbulence profile quantization than the static minimum mean square estimator which does not incorporate wind profile information.
Two-level Robust Measurement Fusion Kalman Filter for Clustering Sensor Networks
Institute of Scientific and Technical Information of China (English)
ZHANG Peng; QI Wen-Juan; DENG Zi-Li
2014-01-01
This paper investigates the distributed fusion Kalman filtering over clustering sensor networks. The sensor network is partitioned as clusters by the nearest neighbor rule and each cluster consists of sensing nodes and cluster-head. Using the minimax robust estimation principle, based on the worst-case conservative system with the conservative upper bounds of noise variances, two-level robust measurement fusion Kalman filter is presented for the clustering sensor network systems with uncertain noise variances. It can significantly reduce the communication load and save energy when the number of sensors is very large. A Lyapunov equation approach for the robustness analysis is presented, by which the robustness of the local and fused Kalman filters is proved. The concept of the robust accuracy is presented, and the robust accuracy relations among the local and fused robust Kalman filters are proved. It is proved that the robust accuracy of the two-level weighted measurement fuser is equal to that of the global centralized robust fuser and is higher than those of each local robust filter and each local weighted measurement fuser. A simulation example shows the correctness and effectiveness of the proposed results.
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.
GPS/UWB/MEMS-IMU tightly coupled navigation with improved robust Kalman filter
Li, Zengke; Chang, Guobin; Gao, Jingxiang; Wang, Jian; Hernandez, Alberto
2016-12-01
The integration of Global Positioning System (GPS) with Inertial Navigation System (INS) has been very intensively developed and widely applied in multiple areas. To further enhance the reliability and availability of GPS/INS integrated navigation in GPS challenging environment, range observation through ultra-wideband (UWB) is introduced in GPS/INS tightly coupled navigation. An improved robust Kalman filter is proposed and used to resist the influence of gross error from UWB observation in GPS/UWB/IMU tightly coupled navigation. The variance of the squared Mahalanobis distance in moving window is calculated, which brings as new judgement factor for gross errors in order to decrease the rate of false outlier identification. A simulation analysis shows that the improved robust Kalman filter is able to correctly identify gross errors and the rate of false judgment as zero. In order to validate the new robust filter, a real experiment is conducted. The results indicate that the improved robust Kalman filter used in GPS/UWB/INS tightly coupled navigation is able to remove the harmful effect of gross error in UWB observation. It clearly illustrates that the improved robust Kalman filter is very effective, and all the simulated small and large gross errors added to UWB distance observation are successfully identified.
Unscented Kalman Filter Applied to the Spacecraft Attitude Estimation with Euler Angles
Directory of Open Access Journals (Sweden)
Roberta Veloso Garcia
2012-01-01
Full Text Available The aim of this work is to test an algorithm to estimate, in real time, the attitude of an artificial satellite using real data supplied by attitude sensors that are on board of the CBERS-2 satellite (China Brazil Earth Resources Satellite. The real-time estimator used in this work for attitude determination is the Unscented Kalman Filter. This filter is a new alternative to the extended Kalman filter usually applied to the estimation and control problems of attitude and orbit. This algorithm is capable of carrying out estimation of the states of nonlinear systems, without the necessity of linearization of the nonlinear functions present in the model. This estimation is possible due to a transformation that generates a set of vectors that, suffering a nonlinear transformation, preserves the same mean and covariance of the random variables before the transformation. The performance will be evaluated and analyzed through the comparison between the Unscented Kalman filter and the extended Kalman filter results, by using real onboard data.
History Matching of 4D Seismic Data Attributes using the Ensemble Kalman Filter
Ravanelli, Fabio M.
2013-05-01
One of the most challenging tasks in the oil industry is the production of reliable reservoir forecast models. Because of different sources of uncertainties the numerical models employed are often only crude approximations of the reality. This problem is tackled by the conditioning of the model with production data through data assimilation. This process is known in the oil industry as history matching. Several recent advances are being used to improve history matching reliability, notably the use of time-lapse seismic data and automated history matching software tools. One of the most promising data assimilation techniques employed in the oil industry is the ensemble Kalman filter (EnKF) because its ability to deal with highly non-linear models, low computational cost and easy computational implementation when compared with other methods. A synthetic reservoir model was used in a history matching study designed to predict the peak production allowing decision makers to properly plan field development actions. If only production data is assimilated, a total of 12 years of historical data is required to properly characterize the production uncertainty and consequently the correct moment to take actions and decommission the field. However if time-lapse seismic data is available this conclusion can be reached 4 years in advance due to the additional fluid displacement information obtained with the seismic data. Production data provides geographically sparse data in contrast with seismic data which are sparse in time. Several types of seismic attributes were tested in this study. Poisson’s ratio proved to be the most sensitive attribute to fluid displacement. In practical applications, however the use of this attribute is usually avoided due to poor quality of the data. Seismic impedance tends to be more reliable. Finally, a new conceptual idea was proposed to obtain time-lapse information for a history matching study. The use of crosswell time-lapse seismic
Crestani, E.; Camporese, M.; Salandin, P.
2011-12-01
Hydraulic properties of natural aquifers, such as porosity, hydraulic conductivity, and storativity, exhibit an erratic spatial variability at different scales that is difficult to recognize without expensive in situ sampling campaigns, laboratory analyses, and, when available, spatially distributed pumping tests. Nevertheless, the importance of the heterogeneous structure of natural formations on solute transport is well recognized, being the non-Fickian evolution of contaminant plumes and the relevant dispersive phenomena controlled by the variability of the hydraulic conductivity K at the local scale. Tracer test analyses have been widely adopted to identify the complex distribution of in situ hydraulic properties. In particular, the use of geophysical methods like the borehole Electrical Resistivity Tomography (ERT) have been in rapid increase, due to their potential to accurately describe the spatio-temporal evolution of the injected solute. Under the assumptions that the solute spreads as a passive tracer and with high values of the Peclet number, the plume evolution is controlled by the porosity and the spatial distribution of hydraulic conductivity. Combining the Lagrangian formulation of transport and the ensemble Kalman filter (EnKF) data assimilation technique, the purpose of this study is to infer the spatial distribution of K at the local scale from a sequence of time-lapse concentration imaging. The capabilities of the proposed approach are investigated simulating various assimilation experiments via synthetic tracer tests in a three-dimensional finite domain reproducing a heterogeneous aquifer. In a first scenario, all the available concentration measurements are assimilated and the entire hydraulic conductivity field is updated, while in the remaining scenarios the K values are updated only in a limited number of nodes by assimilating the concentrations in these same nodes, the hydraulic conductivity in the rest of the domain being the result of a
Acoustic tomography of the atmosphere using iterated unscented Kalman filter
Kolouri, Soheil
Tomography approaches are of great interests because of their non-intrusive nature and their ability to generate a significantly larger amount of data in comparison to the in-situ measurement method. Acoustic tomography is an approach which reconstructs the unknown parameters that affect the propagation of acoustic rays in a field of interest by studying the temporal characteristics of the propagation. Acoustic tomography has been used in several different disciplines such as biomedical imaging, oceanographic studies and atmospheric studies. The focus of this thesis is to study acoustic tomography of the atmosphere in order to reconstruct the temperature and wind velocity fields in the atmospheric surface layer using the travel-times collected from several pairs of transmitter and receiver sensors distributed in the field. Our work consists of three main parts. The first part of this thesis is dedicated to reviewing the existing methods for acoustic tomography of the atmosphere, namely statistical inversion (SI), time dependent statistical inversion (TDSI), simultaneous iterative reconstruction technique (SIRT), and sparse recovery framework. The properties of these methods are then explained extensively and their shortcomings are also mentioned. In the second part of this thesis, a new acoustic tomography method based on Unscented Kalman Filter (UKF) is introduced in order to address some of the shortcomings of the existing methods. Using the UKF, the problem is cast as a state estimation problem in which the temperature and wind velocity fields are the desired states to be reconstructed. The field is discretized into several grids in which the temperature and wind velocity fields are assumed to be constant. Different models, namely random walk, first order 3-D autoregressive (AR) model, and 1-D temporal AR model are used to capture the state evolution in time-space. Given the time of arrival (TOA) equation for acoustic propagation as the observation equation, the
Bootstrapping Nonlinear Least Squares Estimates in the Kalman Filter Model.
1986-01-01
Bias Bootstrapa 3.933 x 103 0.651 x 103 -0.166 x 10-- b b Newton - Rapshon 1.380 x 10- 0.479 x 10- 10_c 0_ c , e -.., Emperical 3.605 x 10 -0.026 x 10...most cases, parameter estimation for the KF model has been accomplished by maximum likelihood techniques involving the use of scoring or Newton ...is well behaved, the Newton -Raphson and scoring procedures enjoy quadratic convergence in the neighborhood of the maximum and one has a ready-made
Improved Kalman Filtering Algorithm in Non-Uniformity Correction%改进的卡尔曼滤波非均匀性校正算法
Institute of Scientific and Technical Information of China (English)
李晶; 朱斌; 郭立新; 龙波; 王小珂
2012-01-01
针对基于卡尔曼滤波(Kalman filtering,KF)的红外焦平面非均匀性校正算法的计算量和存储量较大,不利于实时性校正的缺点,提出一种改进的卡尔曼滤波非均匀性校正算法.该算法通过线性递归滤波器修正了观测方程,用每一帧块图像的统计均值来代替卡尔曼滤波校正算法中的观测矩阵,使增益矩阵得到简化.Matlab仿真实验结果证明:该算法的校正效果与传统的卡尔曼滤波校正算法相当,但大大减少了计算量和存储空间.%Aiming at the big computational complexity and memory requirement of infrared focal plane non-uniformity correction algorithm based on Kalman filtering, it cannot realize real-time correction shortage, an improved Kalman filtering non-uniformity correction algorithm is given. The proposed algorithm modified the observation model by applying linear recursion filter that the observation was instead of the mean value of every block image, then the matrix will be simplified. The simulation of Matlab proves that the computational complexity and memory requirements are significantly reduced, while the correction result is similar.
Identification of observer/Kalman filter Markov parameters: Theory and experiments
Juang, Jer-Nan; Phan, Minh; Horta, Lucas G.; Longman, Richard W.
1991-01-01
An algorithm to compute Markov parameters of an observer or Kalman filter from experimental input and output data is discussed. The Markov parameters can then be used for identification of a state space representation, with associated Kalman gain or observer gain, for the purpose of controller design. The algorithm is a non-recursive matrix version of two recursive algorithms developed in previous works for different purposes. The relationship between these other algorithms is developed. The new matrix formulation here gives insight into the existence and uniqueness of solutions of certain equations and gives bounds on the proper choice of observer order. It is shown that if one uses data containing noise, and seeks the fastest possible deterministic observer, the deadbeat observer, one instead obtains the Kalman filter, which is the fastest possible observer in the stochastic environment. Results are demonstrated in numerical studies and in experiments on an ten-bay truss structure.
A Two-stage Kalman Filter for Sensorless Direct Torque Controlled PM Synchronous Motor Drive
Directory of Open Access Journals (Sweden)
Boyu Yi
2013-01-01
Full Text Available This paper presents an optimal two-stage extended Kalman filter (OTSEKF for closed-loop flux, torque, and speed estimation of a permanent magnet synchronous motor (PMSM to achieve sensorless DTC-SVPWM operation of drive system. The novel observer is obtained by using the same transformation as in a linear Kalman observer, which is proposed by C.-S. Hsieh and F.-C. Chen in 1999. The OTSEKF is an effective implementation of the extended Kalman filter (EKF and provides a recursive optimum state estimation for PMSMs using terminal signals that may be polluted by noise. Compared to a conventional EKF, the OTSEKF reduces the number of arithmetic operations. Simulation and experimental results verify the effectiveness of the proposed OTSEKF observer for DTC of PMSMs.
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...... Monte Carlo experiment demonstrates that the unscented Kalman fi…lter is much more accurate than its extended counterpart in fi…ltering the states and forecasting swap rates and caps. Our fi…ndings suggest that the unscented Kalman fi…lter may prove to be a good approach for a number of other problems...... in fi…xed income pricing with nonlinear relationships between the state vector and the observations, such as the estimation of term structure models using coupon bonds and the estimation of quadratic term structure models....
Directory of Open Access Journals (Sweden)
Yibo Feng
2015-05-01
Full Text Available We present an adaptive algorithm for a system integrated with micro-electro-mechanical systems (MEMS gyroscopes and a compass to eliminate the influence from the environment, compensate the temperature drift precisely, and improve the accuracy of the MEMS gyroscope. We use a simplified drift model and changing but appropriate model parameters to implement this algorithm. The model of MEMS gyroscope temperature drift is constructed mostly on the basis of the temperature sensitivity of the gyroscope. As the state variables of a strong tracking Kalman filter (STKF, the parameters of the temperature drift model can be calculated to adapt to the environment under the support of the compass. These parameters change intelligently with the environment to maintain the precision of the MEMS gyroscope in the changing temperature. The heading error is less than 0.6° in the static temperature experiment, and also is kept in the range from 5° to −2° in the dynamic outdoor experiment. This demonstrates that the proposed algorithm exhibits strong adaptability to a changing temperature, and performs significantly better than KF and MLR to compensate the temperature drift of a gyroscope and eliminate the influence of temperature variation.
Institute of Scientific and Technical Information of China (English)
ZHENG Fei; ZHU Jiang
2010-01-01
The initial ensemble perturbations for an ensemble data assimilation system are expected to reasonably sample model uncertainty at the time of analysis to further reduce analysis uncertainty.Therefore,the careful choice of an initial ensemble perturbation method that dynamically cycles ensemble perturbations is required for the optimal performance of the system.Based on the multivariate empirical onhogonal function(MEOF)method,a new ensemble initialization scheme is developed to generate balanced initial perturbations for the ensemble Kalman filter(EnKF)data assimilation,with a reasonable consideration of the physical relationships between different model variables.The scheme is applied in assimilation experiments with a global spectral atmospheric model and with real observations.The proposed perturbation method is compared to the commonly used method of spatially-correlated random perturbations.The comparisons show that the model uncertainties prior to the first analysis time,which are forecasted from the balanced ensemble initial fields,maintain a much more reasonable spread and a more accurate forecast error covariance than those from the randomly perturbed initial fields.The analysis results are further improved by the balanced ensemble initialization scheme due to more accurate background information.Also,a 20-day continuous assimilation experiment shows that the ensemble spreads for each model variable are still retained in reasonable ranges without considering additional perturbations or inflations during the assimilation cycles,while the ensemble spreads from the randomly perturbed initialization scheme decrease and collapse rapidly.
Feng, Yibo; Li, Xisheng; Zhang, Xiaojuan
2015-05-13
We present an adaptive algorithm for a system integrated with micro-electro-mechanical systems (MEMS) gyroscopes and a compass to eliminate the influence from the environment, compensate the temperature drift precisely, and improve the accuracy of the MEMS gyroscope. We use a simplified drift model and changing but appropriate model parameters to implement this algorithm. The model of MEMS gyroscope temperature drift is constructed mostly on the basis of the temperature sensitivity of the gyroscope. As the state variables of a strong tracking Kalman filter (STKF), the parameters of the temperature drift model can be calculated to adapt to the environment under the support of the compass. These parameters change intelligently with the environment to maintain the precision of the MEMS gyroscope in the changing temperature. The heading error is less than 0.6° in the static temperature experiment, and also is kept in the range from 5° to -2° in the dynamic outdoor experiment. This demonstrates that the proposed algorithm exhibits strong adaptability to a changing temperature, and performs significantly better than KF and MLR to compensate the temperature drift of a gyroscope and eliminate the influence of temperature variation.
Methodology for adapting the parameters of a fuzzy system using the extended Kalman filter
2011-01-01
When we try to analyze and to control a system whose model was obtained only based on input/output data, accuracy is essential in the model. On the other hand, to make the procedure practical, the modeling stage must be computationally efficient. In this regard, this paper presents the application of extended Kalman filter for the parametric adaptation of a fuzzy model.
Implementation of a Parallel Kalman Filter for Stratospheric Chemical Tracer Assimilation
Chang, Lang-Ping; Lyster, Peter M.; Menard, R.; Cohn, S. E.
1998-01-01
A Kalman filter for the assimilation of long-lived atmospheric chemical constituents has been developed for two-dimensional transport models on isentropic surfaces over the globe. An important attribute of the Kalman filter is that it calculates error covariances of the constituent fields using the tracer dynamics. Consequently, the current Kalman-filter assimilation is a five-dimensional problem (coordinates of two points and time), and it can only be handled on computers with large memory and high floating point speed. In this paper, an implementation of the Kalman filter for distributed-memory, message-passing parallel computers is discussed. Two approaches were studied: an operator decomposition and a covariance decomposition. The latter was found to be more scalable than the former, and it possesses the property that the dynamical model does not need to be parallelized, which is of considerable practical advantage. This code is currently used to assimilate constituent data retrieved by limb sounders on the Upper Atmosphere Research Satellite. Tests of the code examined the variance transport and observability properties. Aspects of the parallel implementation, some timing results, and a brief discussion of the physical results will be presented.