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
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.
Multivariate localization methods for ensemble Kalman filtering
S. Roh; M. Jun; I. Szunyogh; M. G. Genton
2015-01-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of ...
Robotic fish tracking method based on suboptimal interval Kalman filter
Tong, Xiaohong; Tang, Chao
2017-11-01
Autonomous Underwater Vehicle (AUV) research focused on tracking and positioning, precise guidance and return to dock and other fields. The robotic fish of AUV has become a hot application in intelligent education, civil and military etc. In nonlinear tracking analysis of robotic fish, which was found that the interval Kalman filter algorithm contains all possible filter results, but the range is wide, relatively conservative, and the interval data vector is uncertain before implementation. This paper proposes a ptimization algorithm of suboptimal interval Kalman filter. Suboptimal interval Kalman filter scheme used the interval inverse matrix with its worst inverse instead, is more approximate nonlinear state equation and measurement equation than the standard interval Kalman filter, increases the accuracy of the nominal dynamic system model, improves the speed and precision of tracking system. Monte-Carlo simulation results show that the optimal trajectory of sub optimal interval Kalman filter algorithm is better than that of the interval Kalman filter method and the standard method of the filter.
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
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
Roh, S.
2015-05-08
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Multivariate localization methods for ensemble Kalman filtering
Roh, S.; Jun, M.; Szunyogh, I.; Genton, M. G.
2015-12-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (element-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables that exist at the same locations has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Multivariate localization methods for ensemble Kalman filtering
Roh, S.; Jun, M.; Szunyogh, I.; Genton, Marc G.
2015-01-01
In ensemble Kalman filtering (EnKF), the small number of ensemble members that is feasible to use in a practical data assimilation application leads to sampling variability of the estimates of the background error covariances. The standard approach to reducing the effects of this sampling variability, which has also been found to be highly efficient in improving the performance of EnKF, is the localization of the estimates of the covariances. One family of localization techniques is based on taking the Schur (entry-wise) product of the ensemble-based sample covariance matrix and a correlation matrix whose entries are obtained by the discretization of a distance-dependent correlation function. While the proper definition of the localization function for a single state variable has been extensively investigated, a rigorous definition of the localization function for multiple state variables has been seldom considered. This paper introduces two strategies for the construction of localization functions for multiple state variables. The proposed localization functions are tested by assimilating simulated observations experiments into the bivariate Lorenz 95 model with their help.
Stock price estimation using ensemble Kalman Filter square root method
Karya, D. F.; Katias, P.; Herlambang, T.
2018-04-01
Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.
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.
Multilevel ensemble Kalman filtering
Hoel, Haakon
2016-01-08
The ensemble Kalman filter (EnKF) is a sequential filtering method that uses an ensemble of particle paths to estimate the means and covariances required by the Kalman filter by the use of sample moments, i.e., the Monte Carlo method. EnKF is often both robust and efficient, but its performance may suffer in settings where the computational cost of accurate simulations of particles is high. The multilevel Monte Carlo method (MLMC) is an extension of classical Monte Carlo methods which by sampling stochastic realizations on a hierarchy of resolutions may reduce the computational cost of moment approximations by orders of magnitude. In this work we have combined the ideas of MLMC and EnKF to construct the multilevel ensemble Kalman filter (MLEnKF) for the setting of finite dimensional state and observation spaces. The main ideas of this method is to compute particle paths on a hierarchy of resolutions and to apply multilevel estimators on the ensemble hierarchy of particles to compute Kalman filter means and covariances. Theoretical results and a numerical study of the performance gains of MLEnKF over EnKF will be presented. Some ideas on the extension of MLEnKF to settings with infinite dimensional state spaces will also be presented.
Multilevel ensemble Kalman filtering
Hoel, Haakon; Chernov, Alexey; Law, Kody; Nobile, Fabio; Tempone, Raul
2016-01-01
The ensemble Kalman filter (EnKF) is a sequential filtering method that uses an ensemble of particle paths to estimate the means and covariances required by the Kalman filter by the use of sample moments, i.e., the Monte Carlo method. EnKF is often both robust and efficient, but its performance may suffer in settings where the computational cost of accurate simulations of particles is high. The multilevel Monte Carlo method (MLMC) is an extension of classical Monte Carlo methods which by sampling stochastic realizations on a hierarchy of resolutions may reduce the computational cost of moment approximations by orders of magnitude. In this work we have combined the ideas of MLMC and EnKF to construct the multilevel ensemble Kalman filter (MLEnKF) for the setting of finite dimensional state and observation spaces. The main ideas of this method is to compute particle paths on a hierarchy of resolutions and to apply multilevel estimators on the ensemble hierarchy of particles to compute Kalman filter means and covariances. Theoretical results and a numerical study of the performance gains of MLEnKF over EnKF will be presented. Some ideas on the extension of MLEnKF to settings with infinite dimensional state spaces will also be presented.
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.
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.
Diaz, Orlando X.
2010-01-01
Approved for public release; distribution is unlimited Two methods of estimating the attitude position of a spacecraft are examined in this thesis: the extended Kalman filter (EKF) and the unscented Kalman filter (UKF). In particular, the UnScented QUaternion Estimator (USQUE) derived from [4] is implemented into a spacecraft model. For generalizations about the each of the filters, a simple problem is initially solved. These solutions display typical characteristics of each filter type. T...
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.
Kalman and particle filtering methods for full vehicle and tyre identification
Bogdanski, Karol; Best, Matthew C.
2018-05-01
This paper considers identification of all significant vehicle handling dynamics of a test vehicle, including identification of a combined-slip tyre model, using only those sensors currently available on most vehicle controller area network buses. Using an appropriately simple but efficient model structure, all of the independent parameters are found from test vehicle data, with the resulting model accuracy demonstrated on independent validation data. The paper extends previous work on augmented Kalman Filter state estimators to concentrate wholly on parameter identification. It also serves as a review of three alternative filtering methods; identifying forms of the unscented Kalman filter, extended Kalman filter and particle filter are proposed and compared for effectiveness, complexity and computational efficiency. All three filters are suited to applications of system identification and the Kalman Filters can also operate in real-time in on-line model predictive controllers or estimators.
Multilevel ensemble Kalman filter
Chernov, Alexey; Hoel, Haakon; Law, Kody; Nobile, Fabio; Tempone, Raul
2016-01-01
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.
Multilevel ensemble Kalman filter
Chernov, Alexey
2016-01-06
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.
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.
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.
DEFF Research Database (Denmark)
Drecourt, J.-P.; Madsen, H.; Rosbjerg, Dan
2006-01-01
This paper reviews two different approaches that have been proposed to tackle the problems of model bias with the Kalman filter: the use of a colored noise model and the implementation of a separate bias filter. Both filters are implemented with and without feedback of the bias into the model state....... The colored noise filter formulation is extended to correct both time correlated and uncorrelated model error components. A more stable version of the separate filter without feedback is presented. The filters are implemented in an ensemble framework using Latin hypercube sampling. The techniques...... are illustrated on a simple one-dimensional groundwater problem. The results show that the presented filters outperform the standard Kalman filter and that the implementations with bias feedback work in more general conditions than the implementations without feedback. 2005 Elsevier Ltd. All rights reserved....
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...
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.
The development rainfall forecasting using kalman filter
Zulfi, Mohammad; Hasan, Moh.; Dwidja Purnomo, Kosala
2018-04-01
Rainfall forecasting is very interesting for agricultural planing. Rainfall information is useful to make decisions about the plan planting certain commodities. In this studies, the rainfall forecasting by ARIMA and Kalman Filter method. Kalman Filter method is used to declare a time series model of which is shown in the form of linear state space to determine the future forecast. This method used a recursive solution to minimize error. The rainfall data in this research clustered by K-means clustering. Implementation of Kalman Filter method is for modelling and forecasting rainfall in each cluster. We used ARIMA (p,d,q) to construct a state space for KalmanFilter model. So, we have four group of the data and one model in each group. In conclusions, Kalman Filter method is better than ARIMA model for rainfall forecasting in each group. It can be showed from error of Kalman Filter method that smaller than error of ARIMA model.
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.
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.
Ping, Jing; Al-Hinai, Omar; Wheeler, Mary F.
2017-01-01
-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
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.
A Tool for Kalman Filter Tuning
DEFF Research Database (Denmark)
Åkesson, Bernt Magnus; Jørgensen, John Bagterp; Poulsen, Niels Kjølstad
2007-01-01
The Kalman filter requires knowledge about the noise statistics. In practical applications, however, the noise covariances are generally not known. A method for estimating noise covariances from process data has been investigated. The method gives a least-squares estimate of the noise covariances......, which can be used to compute the Kalman filter gain....
Reservoir History Matching Using Ensemble Kalman Filters with Anamorphosis Transforms
Aman, Beshir M.
2012-01-01
Some History matching methods such as Kalman filter, particle filter and the ensemble Kalman filter are reviewed and applied to a test case in the reservoir application. The key idea is to apply the transformation before the update step
Rajabioun, Mehdi; Nasrabadi, Ali Motie; Shamsollahi, Mohammad Bagher
2017-09-01
Effective connectivity is one of the most important considerations in brain functional mapping via EEG. It demonstrates the effects of a particular active brain region on others. In this paper, a new method is proposed which is based on dual Kalman filter. In this method, firstly by using a brain active localization method (standardized low resolution brain electromagnetic tomography) and applying it to EEG signal, active regions are extracted, and appropriate time model (multivariate autoregressive model) is fitted to extracted brain active sources for evaluating the activity and time dependence between sources. Then, dual Kalman filter is used to estimate model parameters or effective connectivity between active regions. The advantage of this method is the estimation of different brain parts activity simultaneously with the calculation of effective connectivity between active regions. By combining dual Kalman filter with brain source localization methods, in addition to the connectivity estimation between parts, source activity is updated during the time. The proposed method performance has been evaluated firstly by applying it to simulated EEG signals with interacting connectivity simulation between active parts. Noisy simulated signals with different signal to noise ratios are used for evaluating method sensitivity to noise and comparing proposed method performance with other methods. Then the method is applied to real signals and the estimation error during a sweeping window is calculated. By comparing proposed method results in different simulation (simulated and real signals), proposed method gives acceptable results with least mean square error in noisy or real conditions.
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.
Bds/gps Integrated Positioning Method Research Based on Nonlinear Kalman Filtering
Ma, Y.; Yuan, W.; Sun, H.
2017-09-01
In order to realize fast and accurate BDS/GPS integrated positioning, it is necessary to overcome the adverse effects of signal attenuation, multipath effect and echo interference to ensure the result of continuous and accurate navigation and positioning. In this paper, pseudo-range positioning is used as the mathematical model. In the stage of data preprocessing, using precise and smooth carrier phase measurement value to promote the rough pseudo-range measurement value without ambiguity. At last, the Extended Kalman Filter(EKF), the Unscented Kalman Filter(UKF) and the Particle Filter(PF) algorithm are applied in the integrated positioning method for higher positioning accuracy. The experimental results show that the positioning accuracy of PF is the highest, and UKF is better than EKF.
Huang, Lei
2015-01-01
To solve the problem in which the conventional ARMA modeling methods for gyro random noise require a large number of samples and converge slowly, an ARMA modeling method using a robust Kalman filtering is developed. The ARMA model parameters are employed as state arguments. Unknown time-varying estimators of observation noise are used to achieve the estimated mean and variance of the observation noise. Using the robust Kalman filtering, the ARMA model parameters are estimated accurately. The developed ARMA modeling method has the advantages of a rapid convergence and high accuracy. Thus, the required sample size is reduced. It can be applied to modeling applications for gyro random noise in which a fast and accurate ARMA modeling method is required. PMID:26437409
Particle Kalman Filtering: A Nonlinear Framework for Ensemble Kalman Filters
Hoteit, Ibrahim; Luo, Xiaodong; Pham, Dinh-Tuan; Moroz, Irene M.
2010-01-01
In this contribution, we present a Gaussian mixture‐based framework, called the particle Kalman filter (PKF), and discuss how the different EnKF methods can be derived as simplified variants of the PKF. We also discuss approaches to reducing the computational burden of the PKF in order to make it suitable for complex geosciences applications. We use the strongly nonlinear Lorenz‐96 model to illustrate the performance of the PKF.
Multilevel ensemble Kalman filtering
Hoel, Hakon
2016-06-14
This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.
Multilevel ensemble Kalman filtering
Hoel, Hakon; Law, Kody J. H.; Tempone, Raul
2016-01-01
This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.
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. Perf...
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.
Mixtures of skewed Kalman filters
Kim, Hyoungmoon; Ryu, Duchwan; Mallick, Bani K.; Genton, Marc G.
2014-01-01
Normal state-space models are prevalent, but to increase the applicability of the Kalman filter, we propose mixtures of skewed, and extended skewed, Kalman filters. To do so, the closed skew-normal distribution is extended to a scale mixture class
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....
A coupling method for a cardiovascular simulation model which includes the Kalman filter.
Hasegawa, Yuki; Shimayoshi, Takao; Amano, Akira; Matsuda, Tetsuya
2012-01-01
Multi-scale models of the cardiovascular system provide new insight that was unavailable with in vivo and in vitro experiments. For the cardiovascular system, multi-scale simulations provide a valuable perspective in analyzing the interaction of three phenomenons occurring at different spatial scales: circulatory hemodynamics, ventricular structural dynamics, and myocardial excitation-contraction. In order to simulate these interactions, multiscale cardiovascular simulation systems couple models that simulate different phenomena. However, coupling methods require a significant amount of calculation, since a system of non-linear equations must be solved for each timestep. Therefore, we proposed a coupling method which decreases the amount of calculation by using the Kalman filter. In our method, the Kalman filter calculates approximations for the solution to the system of non-linear equations at each timestep. The approximations are then used as initial values for solving the system of non-linear equations. The proposed method decreases the number of iterations required by 94.0% compared to the conventional strong coupling method. When compared with a smoothing spline predictor, the proposed method required 49.4% fewer iterations.
Design of Kalman filters for mobile robots
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Hansen, Karsten L.; Andersen, Nils Axel
1999-01-01
the mobile robot is equipped with a dual encoder system supported by some additional absolute measurements. A common filter type for this setup is the odometric filter, where readings from the odometry system on the robot are used together with the geometry of the robot movement as a model of the robot......Kalman filters have for a long time been widely used on mobile robots as a location estimator. Many different Kalman filter designs have been proposed, using models of various complexity. In this paper, two different design methods are evaluated and compared. Focus is put on the common setup where...... estimates. The Kalman filter normally consists of a time update followed by one or more data updates. However, it is shown that when using the kinematic filter, the encoder measurements should be fused prior to the time update for better performance....
DEFF Research Database (Denmark)
Drews, Martin; Lauritzen, Bent; Madsen, Henrik
2005-01-01
A Kalman filter method is discussed for on-line estimation of radioactive release and atmospheric dispersion from a time series of off-site radiation monitoring data. The method is based on a state space approach, where a stochastic system equation describes the dynamics of the plume model...... parameters, and the observables are linked to the state variables through a static measurement equation. The method is analysed for three simple state space models using experimental data obtained at a nuclear research reactor. Compared to direct measurements of the atmospheric dispersion, the Kalman filter...... estimates are found to agree well with the measured parameters, provided that the radiation measurements are spread out in the cross-wind direction. For less optimal detector placement it proves difficult to distinguish variations in the source term and plume height; yet the Kalman filter yields consistent...
Soft tissue deformation estimation by spatio-temporal Kalman filter finite element method.
Yarahmadian, Mehran; Zhong, Yongmin; Gu, Chengfan; Shin, Jaehyun
2018-01-01
Soft tissue modeling plays an important role in the development of surgical training simulators as well as in robot-assisted minimally invasive surgeries. It has been known that while the traditional Finite Element Method (FEM) promises the accurate modeling of soft tissue deformation, it still suffers from a slow computational process. This paper presents a Kalman filter finite element method to model soft tissue deformation in real time without sacrificing the traditional FEM accuracy. The proposed method employs the FEM equilibrium equation and formulates it as a filtering process to estimate soft tissue behavior using real-time measurement data. The model is temporally discretized using the Newmark method and further formulated as the system state equation. Simulation results demonstrate that the computational time of KF-FEM is approximately 10 times shorter than the traditional FEM and it is still as accurate as the traditional FEM. The normalized root-mean-square error of the proposed KF-FEM in reference to the traditional FEM is computed as 0.0116. It is concluded that the proposed method significantly improves the computational performance of the traditional FEM without sacrificing FEM accuracy. The proposed method also filters noises involved in system state and measurement data.
Output regularization of SVM seizure predictors: Kalman Filter versus the "Firing Power" method.
Teixeira, Cesar; Direito, Bruno; Bandarabadi, Mojtaba; Dourado, António
2012-01-01
Two methods for output regularization of support vector machines (SVMs) classifiers were applied for seizure prediction in 10 patients with long-term annotated data. The output of the classifiers were regularized by two methods: one based on the Kalman Filter (KF) and other based on a measure called the "Firing Power" (FP). The FP is a quantification of the rate of the classification in the preictal class in a past time window. In order to enable the application of the KF, the classification problem was subdivided in a two two-class problem, and the real-valued output of SVMs was considered. The results point that the FP method raise less false alarms than the KF approach. However, the KF approach presents an higher sensitivity, but the high number of false alarms turns their applicability negligible in some situations.
Simultaneous pattern recognition and track fitting by the Kalman filtering method
International Nuclear Information System (INIS)
Billoir, P.
1990-01-01
A progressive pattern recognition algorithm based on the Kalman filtering method has been tested. The algorithm starts from a small track segment or from a fitted track of a neighbouring detector, then extends the candidate tracks by adding measured points one by one. The fitted parameters and weight matrix of the candidate track are updated when adding a point, and give an increasing precision on prediction of the next point. Thus, pattern recognition and track fitting can be accomplished simultaneously. The method has been implemented and tested for track reconstruction for the vertex detector of the ZEUS experiment at DESY. Detailed procedures of the method and its performance are presented. Its flexibility is described as well. (orig.)
Use of Kalman filter methods in analysis of in-pile LMFBR accident simulations
International Nuclear Information System (INIS)
Meek, C.C.; Doerner, R.C.
1983-01-01
Kalman filter methodology has been applied to inpile liquid-metal fast breeder reactor simulation experiments to obtain estimates of the fuel-clad thermal gap conductance. A transient lumped parameter model of the experiment is developed. An optimal estimate of the state vector chosen to characterize the experiment is obtained through the use of the Kalman filter. From this estimate, the fuel-clad thermal gap conductance is calculated as a function of time into the test and axial position along the length of the fuel pin
A Generalized Autocovariance Least-Squares Method for Kalman Filter Tuning
DEFF Research Database (Denmark)
Åkesson, Bernt Magnus; Jørgensen, John Bagterp; Poulsen, Niels Kjølstad
2008-01-01
This paper discusses a method for estimating noise covariances from process data. In linear stochastic state-space representations the true noise covariances are generally unknown in practical applications. Using estimated covariances a Kalman filter can be tuned in order to increase the accuracy...... of the state estimates. There is a linear relationship between covariances and autocovariance. Therefore, the covariance estimation problem can be stated as a least-squares problem, which can be solved as a symmetric semidefinite least-squares problem. This problem is convex and can be solved efficiently...... by interior-point methods. A numerical algorithm for solving the symmetric is able to handle systems with mutually correlated process noise and measurement noise. (c) 2007 Elsevier Ltd. All rights reserved....
Directory of Open Access Journals (Sweden)
Xixiang Liu
2014-01-01
Full Text Available In the initial alignment process of strapdown inertial navigation system (SINS, large initial misalignment angles always bring nonlinear problem, which causes alignment failure when the classical linear error model and standard Kalman filter are used. In this paper, the problem of large misalignment angles in SINS initial alignment is investigated, and the key reason for alignment failure is given as the state covariance from Kalman filter cannot represent the true one during the steady filtering process. According to the analysis, an alignment method for SINS based on multiresetting the state covariance matrix of Kalman filter is designed to deal with large initial misalignment angles, in which classical linear error model and standard Kalman filter are used, but the state covariance matrix should be multireset before the steady process until large misalignment angles are decreased to small ones. The performance of the proposed method is evaluated by simulation and car test, and the results indicate that the proposed method can fulfill initial alignment with large misalignment angles effectively and the alignment accuracy of the proposed method is as precise as that of alignment with small misalignment angles.
MR fingerprinting reconstruction with Kalman filter.
Zhang, Xiaodi; Zhou, Zechen; Chen, Shiyang; Chen, Shuo; Li, Rui; Hu, Xiaoping
2017-09-01
Magnetic resonance fingerprinting (MR fingerprinting or MRF) is a newly introduced quantitative magnetic resonance imaging technique, which enables simultaneous multi-parameter mapping in a single acquisition with improved time efficiency. The current MRF reconstruction method is based on dictionary matching, which may be limited by the discrete and finite nature of the dictionary and the computational cost associated with dictionary construction, storage and matching. In this paper, we describe a reconstruction method based on Kalman filter for MRF, which avoids the use of dictionary to obtain continuous MR parameter measurements. With this Kalman filter framework, the Bloch equation of inversion-recovery balanced steady state free-precession (IR-bSSFP) MRF sequence was derived to predict signal evolution, and acquired signal was entered to update the prediction. The algorithm can gradually estimate the accurate MR parameters during the recursive calculation. Single pixel and numeric brain phantom simulation were implemented with Kalman filter and the results were compared with those from dictionary matching reconstruction algorithm to demonstrate the feasibility and assess the performance of Kalman filter algorithm. The results demonstrated that Kalman filter algorithm is applicable for MRF reconstruction, eliminating the need for a pre-define dictionary and obtaining continuous MR parameter in contrast to the dictionary matching algorithm. Copyright © 2017 Elsevier Inc. All rights reserved.
Modeling of HVDC in Dynamic State Estimation Using Unscented Kalman Filter Method
DEFF Research Database (Denmark)
Khazraj, Hesam; Silva, Filipe Miguel Faria da; Bak, Claus Leth
2016-01-01
HVDC transmission is an integral part of various power system networks. This article presents an Unscented Kalman Filter dynamic state estimator algorithm that considers the presence of HVDC links. The AC - DC power flow analysis, which is implemented as power flow solver for Dynamic State...
Spectral Diagonal Ensemble Kalman Filters
Czech Academy of Sciences Publication Activity Database
Kasanický, Ivan; Mandel, Jan; Vejmelka, Martin
2015-01-01
Roč. 22, č. 4 (2015), s. 485-497 ISSN 1023-5809 R&D Projects: GA ČR GA13-34856S Grant - others:NSF(US) DMS-1216481 Institutional support: RVO:67985807 Keywords : data assimilation * ensemble Kalman filter * spectral representation Subject RIV: DG - Athmosphere Sciences, Meteorology Impact factor: 1.321, year: 2015
Directory of Open Access Journals (Sweden)
C. Guo
2017-07-01
Full Text Available Determining the attitude of satellite at the time of imaging then establishing the mathematical relationship between image points and ground points is essential in high-resolution remote sensing image mapping. Star tracker is insensitive to the high frequency attitude variation due to the measure noise and satellite jitter, but the low frequency attitude motion can be determined with high accuracy. Gyro, as a short-term reference to the satellite’s attitude, is sensitive to high frequency attitude change, but due to the existence of gyro drift and integral error, the attitude determination error increases with time. Based on the opposite noise frequency characteristics of two kinds of attitude sensors, this paper proposes an on-orbit attitude estimation method of star sensors and gyro based on Complementary Filter (CF and Unscented Kalman Filter (UKF. In this study, the principle and implementation of the proposed method are described. First, gyro attitude quaternions are acquired based on the attitude kinematics equation. An attitude information fusion method is then introduced, which applies high-pass filtering and low-pass filtering to the gyro and star tracker, respectively. Second, the attitude fusion data based on CF are introduced as the observed values of UKF system in the process of measurement updating. The accuracy and effectiveness of the method are validated based on the simulated sensors attitude data. The obtained results indicate that the proposed method can suppress the gyro drift and measure noise of attitude sensors, improving the accuracy of the attitude determination significantly, comparing with the simulated on-orbit attitude and the attitude estimation results of the UKF defined by the same simulation parameters.
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.
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,
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.
Spectral Ensemble Kalman Filters
Czech Academy of Sciences Publication Activity Database
Mandel, Jan; Kasanický, Ivan; Vejmelka, Martin; Fuglík, Viktor; Turčičová, Marie; Eben, Kryštof; Resler, Jaroslav; Juruš, Pavel
2014-01-01
Roč. 11, - (2014), EMS2014-446 [EMS Annual Meeting /14./ & European Conference on Applied Climatology (ECAC) /10./. 06.10.2014-10.10.2014, Prague] R&D Projects: GA ČR GA13-34856S Grant - others:NSF DMS-1216481 Institutional support: RVO:67985807 Keywords : data assimilation * spectral filter Subject RIV: DG - Athmosphere Sciences, Meteorology
Algoritma Filter Kalman untuk Menghaluskan Data Pengukuran
Rudiyanto; Setiawan, Budi Indra; Saptomo, Satyanto Krido
2006-01-01
The objective of this paper is to apply a simple algorithm of Kalman Filter, wich is know as noise data filtering. The computer program was written in Macro Visual Basic in MS Exel. Testings were carried out on available temperature, Water level and force data and then were comared with the mooving average method. The result shows that the algorithm performed better and lesser deviation than the mooving average.
Algoritma Filter Kalman untuk Menghaluskan Data Pengukuran
Directory of Open Access Journals (Sweden)
Rudiyanto
2006-12-01
Full Text Available The objective of this paper is to apply a simple algorithm of Kalman Filter, wich is know as noise data filtering. The computer program was written in Macro Visual Basic in MS Exel. Testings were carried out on available temperature, Water level and force data and then were comared with the mooving average method. The result shows that the algorithm performed better and lesser deviation than the mooving average.
DEFF Research Database (Denmark)
Khazraj, Hesam; Silva, Filipe Miguel Faria da; Bak, Claus Leth
2016-01-01
Dynamic State Estimation (DSE) is a critical tool for analysis, monitoring and planning of a power system. The concept of DSE involves designing state estimation with Extended Kalman Filter (EKF) or Unscented Kalman Filter (UKF) methods, which can be used by wide area monitoring to improve......-linear state estimator is developed in MatLab to solve states by applying the unscented Kalman filter (UKF) and Extended Kalman Filter (EKF) algorithm. Finally, a DSE model is built for a 14 bus power system network to evaluate the proposed algorithm for the networks.This article will focus on comparing...
A quantum extended Kalman filter
International Nuclear Information System (INIS)
Emzir, Muhammad F; Woolley, Matthew J; Petersen, Ian R
2017-01-01
In quantum physics, a stochastic master equation (SME) estimates the state (density operator) of a quantum system in the Schrödinger picture based on a record of measurements made on the system. In the Heisenberg picture, the SME is a quantum filter. For a linear quantum system subject to linear measurements and Gaussian noise, the dynamics may be described by quantum stochastic differential equations (QSDEs), also known as quantum Langevin equations, and the quantum filter reduces to a so-called quantum Kalman filter. In this article, we introduce a quantum extended Kalman filter (quantum EKF), which applies a commutative approximation and a time-varying linearization to systems of nonlinear QSDEs. We will show that there are conditions under which a filter similar to a classical EKF can be implemented for quantum systems. The boundedness of estimation errors and the filtering problem with ‘state-dependent’ covariances for process and measurement noises are also discussed. We demonstrate the effectiveness of the quantum EKF by applying it to systems that involve multiple modes, nonlinear Hamiltonians, and simultaneous jump-diffusive measurements. (paper)
A quantum extended Kalman filter
Emzir, Muhammad F.; Woolley, Matthew J.; Petersen, Ian R.
2017-06-01
In quantum physics, a stochastic master equation (SME) estimates the state (density operator) of a quantum system in the Schrödinger picture based on a record of measurements made on the system. In the Heisenberg picture, the SME is a quantum filter. For a linear quantum system subject to linear measurements and Gaussian noise, the dynamics may be described by quantum stochastic differential equations (QSDEs), also known as quantum Langevin equations, and the quantum filter reduces to a so-called quantum Kalman filter. In this article, we introduce a quantum extended Kalman filter (quantum EKF), which applies a commutative approximation and a time-varying linearization to systems of nonlinear QSDEs. We will show that there are conditions under which a filter similar to a classical EKF can be implemented for quantum systems. The boundedness of estimation errors and the filtering problem with ‘state-dependent’ covariances for process and measurement noises are also discussed. We demonstrate the effectiveness of the quantum EKF by applying it to systems that involve multiple modes, nonlinear Hamiltonians, and simultaneous jump-diffusive measurements.
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 dynamic load estimation method for nonlinear structures with unscented Kalman filter
Guo, L. N.; Ding, Y.; Wang, Z.; Xu, G. S.; Wu, B.
2018-02-01
A force estimation method is proposed for hysteretic nonlinear structures. The equation of motion for the nonlinear structure is represented in state space and the state variable is augmented by the unknown the time history of external force. Unscented Kalman filter (UKF) is improved for the force identification in state space considering the ill-condition characteristic in the computation of square roots for the covariance matrix. The proposed method is firstly validated by a numerical simulation study of a 3-storey nonlinear hysteretic frame excited by periodic force. Each storey is supposed to follow a nonlinear hysteretic model. The external force is identified and the measurement noise is considered in this case. Then a case of a seismically isolated building subjected to earthquake excitation and impact force is studied. The isolation layer performs nonlinearly during the earthquake excitation. Impact force between the seismically isolated structure and the retaining wall is estimated with the proposed method. Uncertainties such as measurement noise, model error in storey stiffness and unexpected environmental disturbances are considered. A real-time substructure testing of an isolated structure is conducted to verify the proposed method. In the experimental study, the linear main structure is taken as numerical substructure while the one of the isolations with additional mass is taken as the nonlinear physical substructure. The force applied by the actuator on the physical substructure is identified and compared with the measured value from the force transducer. The method proposed in this paper is also validated by shaking table test of a seismically isolated steel frame. The acceleration of the ground motion as the unknowns is identified by the proposed method. Results from both numerical simulation and experimental studies indicate that the UKF based force identification method can be used to identify external excitations effectively for the nonlinear
International Nuclear Information System (INIS)
Shimazu, Y.; Rooijen, W.F.G. van
2014-01-01
Highlights: • Estimation of the reactivity of nuclear reactor based on neutron flux measurements. • Comparison of the traditional method, and the new approach based on Extended Kalman Filtering (EKF). • Estimation accuracy depends on filter parameters, the selection of which is described in this paper. • The EKF algorithm is preferred if the signal to noise ratio is low (low flux situation). • The accuracy of the EKF depends on the ratio of the filter coefficients. - Abstract: The Extended Kalman Filtering (EKF) technique has been applied for estimation of subcriticality with a good noise filtering and accuracy. The Inverse Point Kinetic (IPK) method has also been widely used for reactivity estimation. The important parameters for the EKF estimation are the process noise covariance, and the measurement noise covariance. However the optimal selection is quite difficult. On the other hand, there is only one parameter in the IPK method, namely the time constant for the first order delay filter. Thus, the selection of this parameter is quite easy. Thus, it is required to give certain idea for the selection of which method should be selected and how to select the required parameters. From this point of view, a qualitative performance comparison is carried out
Directory of Open Access Journals (Sweden)
Bizhong Xia
2015-11-01
Full Text Available The estimation of state of charge (SOC is a crucial evaluation index in a battery management system (BMS. The value of SOC indicates the remaining capacity of a battery, which provides a good guarantee of safety and reliability of battery operation. It is difficult to get an accurate value of the SOC, being one of the inner states. In this paper, a strong tracking cubature Kalman filter (STCKF based on the cubature Kalman filter is presented to perform accurate and reliable SOC estimation. The STCKF algorithm can adjust gain matrix online by introducing fading factor to the state estimation covariance matrix. The typical second-order resistor-capacitor model is used as the battery’s equivalent circuit model to dynamically simulate characteristics of the battery. The exponential-function fitting method accomplishes the task of relevant parameters identification. Then, the developed STCKF algorithm has been introduced in detail and verified under different operation current profiles such as Dynamic Stress Test (DST and New European Driving Cycle (NEDC. Making a comparison with extended Kalman filter (EKF and CKF algorithm, the experimental results show the merits of the STCKF algorithm in SOC estimation accuracy and robustness.
Neutron flux filtration using Kalman filter
International Nuclear Information System (INIS)
Urcikan, Marian
2005-01-01
In the course of the WWER-440 start-up procedure the time dependent reactivity is determined from the measured ionization chamber signal by inverse kinetic method. Due to the random nature of the fission process and random nature the detection process the measured ionization chamber signal contains certain noise content. To minimize the unwonted noise on measured reactivity one of the possibility method is utilization Kalman filter, based on a stochastic model of reactor system (Author)
Kalman filter estimation of RLC parameters for UMP transmission line
Directory of Open Access Journals (Sweden)
Mohd Amin Siti Nur Aishah
2018-01-01
Full Text Available This paper present the development of Kalman filter that allows evaluation in the estimation of resistance (R, inductance (L, and capacitance (C values for Universiti Malaysia Pahang (UMP short transmission line. To overcome the weaknesses of existing system such as power losses in the transmission line, Kalman Filter can be a better solution to estimate the parameters. The aim of this paper is to estimate RLC values by using Kalman filter that in the end can increase the system efficiency in UMP. In this research, matlab simulink model is developed to analyse the UMP short transmission line by considering different noise conditions to reprint certain unknown parameters which are difficult to predict. The data is then used for comparison purposes between calculated and estimated values. The results have illustrated that the Kalman Filter estimate accurately the RLC parameters with less error. The comparison of accuracy between Kalman Filter and Least Square method is also presented to evaluate their performances.
The Kalman Filter Revisited Using Maximum Relative Entropy
Directory of Open Access Journals (Sweden)
Adom Giffin
2014-02-01
Full Text Available In 1960, Rudolf E. Kalman created what is known as the Kalman filter, which is a way to estimate unknown variables from noisy measurements. The algorithm follows the logic that if the previous state of the system is known, it could be used as the best guess for the current state. This information is first applied a priori to any measurement by using it in the underlying dynamics of the system. Second, measurements of the unknown variables are taken. These two pieces of information are taken into account to determine the current state of the system. Bayesian inference is specifically designed to accommodate the problem of updating what we think of the world based on partial or uncertain information. In this paper, we present a derivation of the general Bayesian filter, then adapt it for Markov systems. A simple example is shown for pedagogical purposes. We also show that by using the Kalman assumptions or “constraints”, we can arrive at the Kalman filter using the method of maximum (relative entropy (MrE, which goes beyond Bayesian methods. Finally, we derive a generalized, nonlinear filter using MrE, where the original Kalman Filter is a special case. We further show that the variable relationship can be any function, and thus, approximations, such as the extended Kalman filter, the unscented Kalman filter and other Kalman variants are special cases as well.
Directory of Open Access Journals (Sweden)
M. Akhoondzadeh
2011-04-01
Full Text Available Thermal anomaly is known as a significant precursor of strong earthquakes, therefore Land Surface Temperature (LST time series have been analyzed in this study to locate relevant anomalous variations prior to the Bam (26 December 2003, Zarand (22 February 2005 and Borujerd (31 March 2006 earthquakes. The duration of the three datasets which are comprised of MODIS LST images is 44, 28 and 46 days for the Bam, Zarand and Borujerd earthquakes, respectively. In order to exclude variations of LST from temperature seasonal effects, Air Temperature (AT data derived from the meteorological stations close to the earthquakes epicenters have been taken into account. The detection of thermal anomalies has been assessed using interquartile, wavelet transform and Kalman filter methods, each presenting its own independent property in anomaly detection. The interquartile method has been used to construct the higher and lower bounds in LST data to detect disturbed states outside the bounds which might be associated with impending earthquakes. The wavelet transform method has been used to locate local maxima within each time series of LST data for identifying earthquake anomalies by a predefined threshold. Also, the prediction property of the Kalman filter has been used in the detection process of prominent LST anomalies. The results concerning the methodology indicate that the interquartile method is capable of detecting the highest intensity anomaly values, the wavelet transform is sensitive to sudden changes, and the Kalman filter method significantly detects the highest unpredictable variations of LST. The three methods detected anomalous occurrences during 1 to 20 days prior to the earthquakes showing close agreement in results found between the different applied methods on LST data in the detection of pre-seismic anomalies. The proposed method for anomaly detection was also applied on regions irrelevant to earthquakes for which no anomaly was detected
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.
Liu, Yahui; Fan, Xiaoqian; Lv, Chen; Wu, Jian; Li, Liang; Ding, Dawei
2018-02-01
Information fusion method of INS/GPS navigation system based on filtering technology is a research focus at present. In order to improve the precision of navigation information, a navigation technology based on Adaptive Kalman Filter with attenuation factor is proposed to restrain noise in this paper. The algorithm continuously updates the measurement noise variance and processes noise variance of the system by collecting the estimated and measured values, and this method can suppress white noise. Because a measured value closer to the current time would more accurately reflect the characteristics of the noise, an attenuation factor is introduced to increase the weight of the current value, in order to deal with the noise variance caused by environment disturbance. To validate the effectiveness of the proposed algorithm, a series of road tests are carried out in urban environment. The GPS and IMU data of the experiments were collected and processed by dSPACE and MATLAB/Simulink. Based on the test results, the accuracy of the proposed algorithm is 20% higher than that of a traditional Adaptive Kalman Filter. It also shows that the precision of the integrated navigation can be improved due to the reduction of the influence of environment noise.
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.
Cheng, Xuemin; Hao, Qun; Xie, Mengdi
2016-04-07
Video stabilization is an important technology for removing undesired motion in videos. This paper presents a comprehensive motion estimation method for electronic image stabilization techniques, integrating the speeded up robust features (SURF) algorithm, modified random sample consensus (RANSAC), and the Kalman filter, and also taking camera scaling and conventional camera translation and rotation into full consideration. Using SURF in sub-pixel space, feature points were located and then matched. The false matched points were removed by modified RANSAC. Global motion was estimated by using the feature points and modified cascading parameters, which reduced the accumulated errors in a series of frames and improved the peak signal to noise ratio (PSNR) by 8.2 dB. A specific Kalman filter model was established by considering the movement and scaling of scenes. Finally, video stabilization was achieved with filtered motion parameters using the modified adjacent frame compensation. The experimental results proved that the target images were stabilized even when the vibrating amplitudes of the video become increasingly large.
Boundary Value Problems Arising in Kalman Filtering
Directory of Open Access Journals (Sweden)
Sinem Ertürk
2009-01-01
Full Text Available The classic Kalman filtering equations for independent and correlated white noises are ordinary differential equations (deterministic or stochastic with the respective initial conditions. Changing the noise processes by taking them to be more realistic wide band noises or delayed white noises creates challenging partial differential equations with initial and boundary conditions. In this paper, we are aimed to give a survey of this connection between Kalman filtering and boundary value problems, bringing them into the attention of mathematicians as well as engineers dealing with Kalman filtering and boundary value problems.
Boundary Value Problems Arising in Kalman Filtering
Directory of Open Access Journals (Sweden)
Bashirov Agamirza
2008-01-01
Full Text Available The classic Kalman filtering equations for independent and correlated white noises are ordinary differential equations (deterministic or stochastic with the respective initial conditions. Changing the noise processes by taking them to be more realistic wide band noises or delayed white noises creates challenging partial differential equations with initial and boundary conditions. In this paper, we are aimed to give a survey of this connection between Kalman filtering and boundary value problems, bringing them into the attention of mathematicians as well as engineers dealing with Kalman filtering and boundary value problems.
Kalman filter-based gap conductance modeling
International Nuclear Information System (INIS)
Tylee, J.L.
1983-01-01
Geometric and thermal property uncertainties contribute greatly to the problem of determining conductance within the fuel-clad gas gap of a nuclear fuel pin. Accurate conductance values are needed for power plant licensing transient analysis and for test analyses at research facilities. Recent work by Meek, Doerner, and Adams has shown that use of Kalman filters to estimate gap conductance is a promising approach. A Kalman filter is simply a mathematical algorithm that employs available system measurements and assumed dynamic models to generate optimal system state vector estimates. This summary addresses another Kalman filter approach to gap conductance estimation and subsequent identification of an empirical conductance model
The AGILE on-board Kalman filter
International Nuclear Information System (INIS)
Giuliani, A.; Cocco, V.; Mereghetti, S.; Pittori, C.; Tavani, M.
2006-01-01
On-board reduction of particle background is one of the main challenges of space instruments dedicated to gamma-ray astrophysics. We present in this paper a discussion of the method and main simulation results of the on-board background filter of the Gamma-Ray Imaging Detector (GRID) of the AGILE mission. The GRID is capable of detecting and imaging with optimal point spread function gamma-ray photons in the range 30MeV-30GeV. The AGILE planned orbit is equatorial, with an altitude of 550km. This is an optimal orbit from the point of view of the expected particle background. For this orbit, electrons and positrons of kinetic energies between 20MeV and hundreds of MeV dominate the particle background, with significant contributions from high-energy (primary) and low-energy protons, and gamma-ray albedo-photons. We present here the main results obtained by extensive simulations of the on-board AGILE-GRID particle/photon background rejection algorithms based on a special application of Kalman filter techniques. This filter is applied (Level-2) sequentially after other data processing techniques characterizing the Level-1 processing. We show that, in conjunction with the Level-1 processing, the adopted Kalman filtering is expected to reduce the total particle/albedo-photon background rate to a value (=<10-30Hz) that is compatible with the AGILE telemetry. The AGILE on-board Kalman filter is also effective in reducing the Earth-albedo-photon background rate, and therefore contributes to substantially increase the AGILE exposure for celestial gamma-ray sources
Kalman filter to update forest cover estimates
Raymond L. Czaplewski
1990-01-01
The Kalman filter is a statistical estimator that combines a time-series of independent estimates, using a prediction model that describes expected changes in the state of a system over time. An expensive inventory can be updated using model predictions that are adjusted with more recent, but less expensive and precise, monitoring data. The concepts of the Kalman...
Ensemble Kalman filtering with residual nudging
Luo, X.; Hoteit, Ibrahim
2012-01-01
Covariance inflation and localisation are two important techniques that are used to improve the performance of the ensemble Kalman filter (EnKF) by (in effect) adjusting the sample covariances of the estimates in the state space. In this work
Industrial applications of the Kalman filter
DEFF Research Database (Denmark)
Auger, François; Hilairet, Mickael; Guerrero, Josep M.
2013-01-01
The Kalman filter has received a huge interest from the industrial electronics community and has played a key role in many engineering fields since the 70s, ranging, without being exhaustive, trajectory estimation, state and parameter estimation for control or diagnosis, data merging, signal...... processing and so on. This paper provides a brief overview of the industrial applications and implementation issues of the Kalman filter in six topics of the industrial electronics community, highlighting some relevant reference papers and giving future research trends....
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.
Kalman filter data assimilation: targeting observations and parameter estimation.
Bellsky, Thomas; Kostelich, Eric J; Mahalov, Alex
2014-06-01
This paper studies the effect of targeted observations on state and parameter estimates determined with Kalman filter data assimilation (DA) techniques. We first provide an analytical result demonstrating that targeting observations within the Kalman filter for a linear model can significantly reduce state estimation error as opposed to fixed or randomly located observations. We next conduct observing system simulation experiments for a chaotic model of meteorological interest, where we demonstrate that the local ensemble transform Kalman filter (LETKF) with targeted observations based on largest ensemble variance is skillful in providing more accurate state estimates than the LETKF with randomly located observations. Additionally, we find that a hybrid ensemble Kalman filter parameter estimation method accurately updates model parameters within the targeted observation context to further improve state estimation.
Kalman filter data assimilation: Targeting observations and parameter estimation
International Nuclear Information System (INIS)
Bellsky, Thomas; Kostelich, Eric J.; Mahalov, Alex
2014-01-01
This paper studies the effect of targeted observations on state and parameter estimates determined with Kalman filter data assimilation (DA) techniques. We first provide an analytical result demonstrating that targeting observations within the Kalman filter for a linear model can significantly reduce state estimation error as opposed to fixed or randomly located observations. We next conduct observing system simulation experiments for a chaotic model of meteorological interest, where we demonstrate that the local ensemble transform Kalman filter (LETKF) with targeted observations based on largest ensemble variance is skillful in providing more accurate state estimates than the LETKF with randomly located observations. Additionally, we find that a hybrid ensemble Kalman filter parameter estimation method accurately updates model parameters within the targeted observation context to further improve state estimation
Kalman-Takens filtering in the presence of dynamical noise
Hamilton, Franz; Berry, Tyrus; Sauer, Timothy
2017-12-01
The use of data assimilation for the merging of observed data with dynamical models is becoming standard in modern physics. If a parametric model is known, methods such as Kalman filtering have been developed for this purpose. If no model is known, a hybrid Kalman-Takens method has been recently introduced, in order to exploit the advantages of optimal filtering in a nonparametric setting. This procedure replaces the parametric model with dynamics reconstructed from delay coordinates, while using the Kalman update formulation to assimilate new observations. In this article, we study the efficacy of this method for identifying underlying dynamics in the presence of dynamical noise. Furthermore, by combining the Kalman-Takens method with an adaptive filtering procedure we are able to estimate the statistics of the observational and dynamical noise. This solves a long-standing problem of separating dynamical and observational noise in time series data, which is especially challenging when no dynamical model is specified.
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.
Harmonic Detection at Initialization With Kalman Filter
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar; Imran, Raja Muhammad; Shoro, Ghulam Mustafa
2014-01-01
Most power electronic equipment these days generate harmonic disturbances, these devices hold nonlinear voltage/current characteristic. The harmonics generated can potentially be harmful to the consumer supply. Typically, filters are integrated at the power source or utility location to filter out...... the affect of harmonics on the supply. For the detection of these harmonics various techniques are available and one of that technique is the Kalman filter. In this paper we investigate that what are the consequences when harmonic detection system based on Kalman Filtering is initialized...
Lai, Ting-Yu; Chen, Hsiao-I; Shih, Cho-Chiang; Kuo, Li-Chieh; Hsu, Hsiu-Yun; Huang, Chih-Chung
2016-01-01
Information about tendon displacement is important for allowing clinicians to not only quantify preoperative tendon injuries but also to identify any adhesive scaring between tendon and adjacent tissue. The Fisher-Tippett (FT) similarity measure has recently been shown to be more accurate than the Laplacian sum of absolute differences (SAD) and Gaussian sum of squared differences (SSD) similarity measures for tracking tendon displacement in ultrasound B-mode images. However, all of these similarity measures can easily be influenced by the quality of the ultrasound image, particularly its signal-to-noise ratio. Ultrasound images of injured hands are unfortunately often of poor quality due to the presence of adhesive scars. The present study investigated a novel Kalman-filter scheme for overcoming this problem. Three state-of-the-art tracking methods (FT, SAD, and SSD) were used to track the displacements of phantom and cadaver tendons, while FT was used to track human tendons. These three tracking methods were combined individually with the proposed Kalman-filter (K1) scheme and another Kalman-filter scheme used in a previous study to optimize the displacement trajectories of the phantom and cadaver tendons. The motion of the human extensor digitorum communis tendon was measured in the present study using the FT-K1 scheme. The experimental results indicated that SSD exhibited better accuracy in the phantom experiments, whereas FT exhibited better performance for tracking real tendon motion in the cadaver experiments. All three tracking methods were influenced by the signal-to-noise ratio of the images. On the other hand, the K1 scheme was able to optimize the tracking trajectory of displacement in all experiments, even from a location with a poor image quality. The human experimental data indicated that the normal tendons were displaced more than the injured tendons, and that the motion ability of the injured tendon was restored after appropriate rehabilitation
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.
Directory of Open Access Journals (Sweden)
Wanli Liu
2015-07-01
Full Text Available Differential interferometric synthetic aperture radar has been shown to be effective for monitoring subsidence in coal mining areas. Phase unwrapping can have a dramatic influence on the monitoring result. In this paper, a filtering-based phase unwrapping algorithm in combination with path-following is introduced to unwrap differential interferograms with high noise in mining areas. It can perform simultaneous noise filtering and phase unwrapping so that the pre-filtering steps can be omitted, thus usually retaining more details and improving the detectable deformation. For the method, the nonlinear measurement model of phase unwrapping is processed using a simplified Cubature Kalman filtering, which is an effective and efficient tool used in many nonlinear fields. Three case studies are designed to evaluate the performance of the method. In Case 1, two tests are designed to evaluate the performance of the method under different factors including the number of multi-looks and path-guiding indexes. The result demonstrates that the unwrapped results are sensitive to the number of multi-looks and that the Fisher Distance is the most suitable path-guiding index for our study. Two case studies are then designed to evaluate the feasibility of the proposed phase unwrapping method based on Cubature Kalman filtering. The results indicate that, compared with the popular Minimum Cost Flow method, the Cubature Kalman filtering-based phase unwrapping can achieve promising results without pre-filtering and is an appropriate method for coal mining areas with high noise.
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.
Directory of Open Access Journals (Sweden)
Lei Wang
2017-01-01
Full Text Available For meeting the demands of cost and size for micronavigation system, a combined attitude determination approach with sensor fusion algorithm and intelligent Kalman filter (IKF on low cost Micro-Electro-Mechanical System (MEMS gyroscope, accelerometer, and magnetometer and single antenna Global Positioning System (GPS is proposed. The effective calibration method is performed to compensate the effect of errors in low cost MEMS Inertial Measurement Unit (IMU. The different control strategies fusing the MEMS multisensors are designed. The yaw angle fusing gyroscope, accelerometer, and magnetometer algorithm is estimated accurately under GPS failure and unavailable sideslip situations. For resolving robust control and characters of the uncertain noise statistics influence, the high gain scale of IKF is adjusted by fuzzy controller in the transition process and steady state to achieve faster convergence and accurate estimation. The experiments comparing different MEMS sensors and fusion algorithms are implemented to verify the validity of the proposed approach.
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.
Ligorio, Gabriele; Sabatini, Angelo Maria
2013-02-04
In this paper measurements from a monocular vision system are fused with inertial/magnetic measurements from an Inertial Measurement Unit (IMU) rigidly connected to the camera. Two Extended Kalman filters (EKFs) were developed to estimate the pose of the IMU/camera sensor moving relative to a rigid scene (ego-motion), based on a set of fiducials. The two filters were identical as for the state equation and the measurement equations of the inertial/magnetic sensors. The DLT-based EKF exploited visual estimates of the ego-motion using a variant of the Direct Linear Transformation (DLT) method; the error-driven EKF exploited pseudo-measurements based on the projection errors from measured two-dimensional point features to the corresponding three-dimensional fiducials. The two filters were off-line analyzed in different experimental conditions and compared to a purely IMU-based EKF used for estimating the orientation of the IMU/camera sensor. The DLT-based EKF was more accurate than the error-driven EKF, less robust against loss of visual features, and equivalent in terms of computational complexity. Orientation root mean square errors (RMSEs) of 1° (1.5°), and position RMSEs of 3.5 mm (10 mm) were achieved in our experiments by the DLT-based EKF (error-driven EKF); by contrast, orientation RMSEs of 1.6° were achieved by the purely IMU-based EKF.
Kalman Filter Predictor and Initialization Algorithm for PRI Tracking
National Research Council Canada - National Science Library
Hock, Melinda
1998-01-01
.... The algorithm uses a Kalman filter for prediction combined with a preprocessing routine to determine the period of the stagger sequence and to construct an uncorrupted data set for Kalman filter initialization...
A Kalman Filter-Based Method to Generate Continuous Time Series of Medium-Resolution NDVI Images
Directory of Open Access Journals (Sweden)
Fernando Sedano
2014-12-01
Full Text Available A data assimilation method to produce complete temporal sequences of synthetic medium-resolution images is presented. The method implements a Kalman filter recursive algorithm that integrates medium and moderate resolution imagery. To demonstrate the approach, time series of 30-m spatial resolution NDVI images at 16-day time steps were generated using Landsat NDVI images and MODIS NDVI products at four sites with different ecosystems and land cover-land use dynamics. The results show that the time series of synthetic NDVI images captured seasonal land surface dynamics and maintained the spatial structure of the landscape at higher spatial resolution. The time series of synthetic medium-resolution NDVI images were validated within a Monte Carlo simulation framework. Normalized residuals decreased as the number of available observations increased, ranging from 0.2 to below 0.1. Residuals were also significantly lower for time series of synthetic NDVI images generated at combined recursion (smoothing than individually at forward and backward recursions (filtering. Conversely, the uncertainties of the synthetic images also decreased when the number of available observations increased and combined recursions were implemented.
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.
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.
Estimation of Sideslip Angle Based on Extended Kalman Filter
Directory of Open Access Journals (Sweden)
Yupeng Huang
2017-01-01
Full Text Available The sideslip angle plays an extremely important role in vehicle stability control, but the sideslip angle in production car cannot be obtained from sensor directly in consideration of the cost of the sensor; it is essential to estimate the sideslip angle indirectly by means of other vehicle motion parameters; therefore, an estimation algorithm with real-time performance and accuracy is critical. Traditional estimation method based on Kalman filter algorithm is correct in vehicle linear control area; however, on low adhesion road, vehicles have obvious nonlinear characteristics. In this paper, extended Kalman filtering algorithm had been put forward in consideration of the nonlinear characteristic of the tire and was verified by the Carsim and Simulink joint simulation, such as the simulation on the wet cement road and the ice and snow road with double lane change. To test and verify the effect of extended Kalman filtering estimation algorithm, the real vehicle test was carried out on the limit test field. The experimental results show that the accuracy of vehicle sideslip angle acquired by extended Kalman filtering algorithm is obviously higher than that acquired by Kalman filtering in the area of the nonlinearity.
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.
Design considerations for a suboptimal Kalman filter
Difilippo, D. J.
1995-06-01
In designing a suboptimal Kalman filter, the designer must decide how to simplify the system error model without causing the filter estimation errors to increase to unacceptable levels. Deletion of certain error states and decoupling of error state dynamics are the two principal model simplifications that are commonly used in suboptimal filter design. For the most part, the decisions as to which error states can be deleted or decoupled are based on the designer's understanding of the physics of the particular system. Consequently, the details of a suboptimal design are usually unique to the specific application. In this paper, the process of designing a suboptimal Kalman filter is illustrated for the case of an airborne transfer-of-alignment (TOA) system used for synthetic aperture radar (SAR) motion compensation. In this application, the filter must continuously transfer the alignment of an onboard Doppler-damped master inertial navigation system (INS) to a strapdown navigator that processes information from a less accurate inertial measurement unit (IMU) mounted on the radar antenna. The IMU is used to measure spurious antenna motion during the SAR imaging interval, so that compensating phase corrections can be computed and applied to the radar returns, thereby presenting image degradation that would otherwise result from such motions. The principles of SAR are described in many references, for instance. The primary function of the TOA Kalman filter in a SAR motion compensation system is to control strapdown navigator attitude errors, and to a less degree, velocity and heading errors. Unlike a classical navigation application, absolute positional accuracy is not important. The motion compensation requirements for SAR imaging are discussed in some detail. This TOA application is particularly appropriate as a vehicle for discussing suboptimal filter design, because the system contains features that can be exploited to allow both deletion and decoupling of error
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.
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.
Performance Analysis of Local Ensemble Kalman Filter
Tong, Xin T.
2018-03-01
Ensemble Kalman filter (EnKF) is an important data assimilation method for high-dimensional geophysical systems. Efficient implementation of EnKF in practice often involves the localization technique, which updates each component using only information within a local radius. This paper rigorously analyzes the local EnKF (LEnKF) for linear systems and shows that the filter error can be dominated by the ensemble covariance, as long as (1) the sample size exceeds the logarithmic of state dimension and a constant that depends only on the local radius; (2) the forecast covariance matrix admits a stable localized structure. In particular, this indicates that with small system and observation noises, the filter error will be accurate in long time even if the initialization is not. The analysis also reveals an intrinsic inconsistency caused by the localization technique, and a stable localized structure is necessary to control this inconsistency. While this structure is usually taken for granted for the operation of LEnKF, it can also be rigorously proved for linear systems with sparse local observations and weak local interactions. These theoretical results are also validated by numerical implementation of LEnKF on a simple stochastic turbulence in two dynamical regimes.
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.
Hao, Qiushi; Shen, Yi; Wang, Yan; Zhang, Xin
2018-01-01
Nondestructive test (NDT) of rails has been carried out intermittently in traditional approaches, which highly restricts the detection efficiency under rapid development of high speed railway nowadays. It is necessary to put forward a dynamic rail defect detection method for rail health monitoring. Acoustic emission (AE) as a practical real-time detection technology takes advantage of dynamic AE signal emitted from plastic deformation of material. Detection capacities of AE on rail defects have been verified due to its sensitivity and dynamic merits. Whereas the application under normal train service circumstance has been impeded by synchronous background noises, which are directly linked to the wheel speed. In this paper, surveys on a wheel-rail rolling rig are performed to investigate defect AE signals with varying speed. A dynamic denoising method based on Kalman filter is proposed and its detection effectiveness and flexibility are demonstrated by theory and computational results. Moreover, after comparative analysis of modelling precision at different speeds, it is predicted that the method is also applicable for high speed condition beyond experiments.
Forecasting with the Standardized Self-Perturbed Kalman Filter
DEFF Research Database (Denmark)
Grassi, Stefano; Nonejad, Nima; Santucci de Magistris, Paolo
We propose and study the finite-sample properties of a modified version of the self-perturbed Kalman filter of Park and Jun (1992) for the on-line estimation of models subject to parameter instability. The perturbation term in the updating equation of the state covariance matrix is now weighted...... compared to other on-line, classical and Bayesian methods. The standardized self-perturbed Kalman filter is adopted to forecast the equity premium on the S&P500 index under several model specifications, and to investigate to what extent and how realized variance can be exploited to predict excess returns....
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.
An improved fuzzy Kalman filter for state estimation of nonlinear systems
International Nuclear Information System (INIS)
Zhou, Z-J; Hu, C-H; Chen, L; Zhang, B-C
2008-01-01
The extended fuzzy Kalman filter (EFKF) is developed recently and used for state estimation of the nonlinear systems with uncertainty. Based on extension of the orthogonality principle and the extended fuzzy Kalman filter, an improved fuzzy Kalman filters (IFKF) is proposed in this paper, which is more applicable and can deal with the state estimation of the nonlinear systems better than the EFKF. A simulation study is provided to verify the efficiency of the proposed method
Fire spread estimation on forest wildfire using ensemble kalman filter
Syarifah, Wardatus; Apriliani, Erna
2018-04-01
Wildfire is one of the most frequent disasters in the world, for example forest wildfire, causing population of forest decrease. Forest wildfire, whether naturally occurring or prescribed, are potential risks for ecosystems and human settlements. These risks can be managed by monitoring the weather, prescribing fires to limit available fuel, and creating firebreaks. With computer simulations we can predict and explore how fires may spread. The model of fire spread on forest wildfire was established to determine the fire properties. The fire spread model is prepared based on the equation of the diffusion reaction model. There are many methods to estimate the spread of fire. The Kalman Filter Ensemble Method is a modified estimation method of the Kalman Filter algorithm that can be used to estimate linear and non-linear system models. In this research will apply Ensemble Kalman Filter (EnKF) method to estimate the spread of fire on forest wildfire. Before applying the EnKF method, the fire spread model will be discreted using finite difference method. At the end, the analysis obtained illustrated by numerical simulation using software. The simulation results show that the Ensemble Kalman Filter method is closer to the system model when the ensemble value is greater, while the covariance value of the system model and the smaller the measurement.
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.
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.
Nonlinear Kalman filtering in affine term structure models
DEFF Research Database (Denmark)
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris
2014-01-01
The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed-income applications. We investigate whether the unscented Kalman filter should be used to capture nonlinearities and compare the performance of the Kalman filter...... with that of the particle filter. We analyze the cross section of swap rates, which are mildly nonlinear in the states, and cap prices, which are highly nonlinear. When caps are used to filter the states, the unscented Kalman filter significantly outperforms its extended counterpart. The unscented Kalman filter also...... performs well when compared with the much more computationally intensive particle filter. These findings suggest that the unscented Kalman filter may be a good approach for a variety of problems in fixed-income pricing....
LHCb Kalman Filter cross architecture studies
Hugo, Daniel; Pérez, Cámpora
2017-10-01
The 2020 upgrade of the LHCb detector will vastly increase the rate of collisions the Online system needs to process in software, in order to filter events in real time. 30 million collisions per second will pass through a selection chain, where each step is executed conditional to its prior acceptance. The Kalman Filter is a fit applied to all reconstructed tracks which, due to its time characteristics and early execution in the selection chain, consumes 40% of the whole reconstruction time in the current trigger software. This makes the Kalman Filter a time-critical component as the LHCb trigger evolves into a full software trigger in the Upgrade. I present a new Kalman Filter algorithm for LHCb that can efficiently make use of any kind of SIMD processor, and its design is explained in depth. Performance benchmarks are compared between a variety of hardware architectures, including x86_64 and Power8, and the Intel Xeon Phi accelerator, and the suitability of said architectures to efficiently perform the LHCb Reconstruction process is determined.
Subspace System Identification of the Kalman Filter
Directory of Open Access Journals (Sweden)
David Di Ruscio
2003-07-01
Full Text Available Some proofs concerning a subspace identification algorithm are presented. It is proved that the Kalman filter gain and the noise innovations process can be identified directly from known input and output data without explicitly solving the Riccati equation. Furthermore, it is in general and for colored inputs, proved that the subspace identification of the states only is possible if the deterministic part of the system is known or identified beforehand. However, if the inputs are white, then, it is proved that the states can be identified directly. Some alternative projection matrices which can be used to compute the extended observability matrix directly from the data are presented. Furthermore, an efficient method for computing the deterministic part of the system is presented. The closed loop subspace identification problem is also addressed and it is shown that this problem is solved and unbiased estimates are obtained by simply including a filter in the feedback. Furthermore, an algorithm for consistent closed loop subspace estimation is presented. This algorithm is using the controller parameters in order to overcome the bias problem.
Autonomous mobile robot localization using Kalman filter
Directory of Open Access Journals (Sweden)
Mohd Nasir Nabil Zhafri
2017-01-01
Full Text Available Autonomous mobile robot field has gain interest among researchers in recent years. The ability of a mobile robot to locate its current position and surrounding environment is the fundamental in order for it to operate autonomously, which commonly known as localization. Localization of mobile robot are commonly affected by the inaccuracy of the sensors. These inaccuracies are caused by various factors which includes internal interferences of the sensor and external environment noises. In order to overcome these noises, a filtering method is required in order to improve the mobile robot’s localization. In this research, a 2- wheeled-drive (2WD mobile robot will be used as platform. The odometers, inertial measurement unit (IMU, and ultrasonic sensors are used for data collection. Data collected is processed using Kalman filter to predict and correct the error from these sensors reading. The differential drive model and measurement model which estimates the environmental noises and predict a correction are used in this research. Based on the simulation and experimental results, the x, y and heading was corrected by converging the error to10 mm, 10 mm and 0.06 rad respectively.
Adaptive Unscented Kalman Filter using Maximum Likelihood Estimation
DEFF Research Database (Denmark)
Mahmoudi, Zeinab; Poulsen, Niels Kjølstad; Madsen, Henrik
2017-01-01
The purpose of this study is to develop an adaptive unscented Kalman filter (UKF) by tuning the measurement noise covariance. We use the maximum likelihood estimation (MLE) and the covariance matching (CM) method to estimate the noise covariance. The multi-step prediction errors generated...
Earth orientation parameters from VLBI determined with a Kalman filter
Directory of Open Access Journals (Sweden)
Maria Karbon
2017-11-01
We prove that the Kalman filter is more than on par with the classical least squares method and that it is a valuable alternative, especially on the advent of the VLBI2010 Global Observing System and within the GGOS frame work.
Improving Artificial Neural Network Forecasts with Kalman Filtering ...
African Journals Online (AJOL)
In this paper, we examine the use of the artificial neural network method as a forecasting technique in financial time series and the application of a Kalman filter algorithm to improve the accuracy of the model. Forecasting accuracy criteria are used to compare the two models over different set of data from different companies ...
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.
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.
HOKF: High Order Kalman Filter for Epilepsy Forecasting Modeling.
Nguyen, Ngoc Anh Thi; Yang, Hyung-Jeong; Kim, Sunhee
2017-08-01
Epilepsy forecasting has been extensively studied using high-order time series obtained from scalp-recorded electroencephalography (EEG). An accurate seizure prediction system would not only help significantly improve patients' quality of life, but would also facilitate new therapeutic strategies to manage epilepsy. This paper thus proposes an improved Kalman Filter (KF) algorithm to mine seizure forecasts from neural activity by modeling three properties in the high-order EEG time series: noise, temporal smoothness, and tensor structure. The proposed High-Order Kalman Filter (HOKF) is an extension of the standard Kalman filter, for which higher-order modeling is limited. The efficient dynamic of HOKF system preserves the tensor structure of the observations and latent states. As such, the proposed method offers two main advantages: (i) effectiveness with HOKF results in hidden variables that capture major evolving trends suitable to predict neural activity, even in the presence of missing values; and (ii) scalability in that the wall clock time of the HOKF is linear with respect to the number of time-slices of the sequence. The HOKF algorithm is examined in terms of its effectiveness and scalability by conducting forecasting and scalability experiments with a real epilepsy EEG dataset. The results of the simulation demonstrate the superiority of the proposed method over the original Kalman Filter and other existing methods. Copyright © 2017 Elsevier B.V. All rights reserved.
Directory of Open Access Journals (Sweden)
Yong Wang
2013-06-01
Full Text Available Solar radiation is an important input for various land-surface energy balance models. Global solar radiation data retrieved from the Japanese Geostationary Meteorological Satellite 5 (GMS-5/Visible and Infrared Spin Scan Radiometer (VISSR has been widely used in recent years. However, due to the impact of clouds, aerosols, solar elevation angle and bidirectional reflection, spatial or temporal deficiencies often exist in solar radiation datasets that are derived from satellite remote sensing, which can seriously affect the accuracy of application models of land-surface energy balance. The goal of reconstructing radiation data is to simulate the seasonal variation patterns of solar radiation, using various statistical and numerical analysis methods to interpolate the missing observations and optimize the whole time-series dataset. In the current study, a reconstruction method based on data assimilation is proposed. Using a Kalman filter as the assimilation algorithm, the retrieved radiation values are corrected through the continuous introduction of local in-situ global solar radiation (GSR provided by the China Meteorological Data Sharing Service System (Daily radiation dataset_Version 3 which were collected from 122 radiation data collection stations over China. A complete and optimal set of time-series data is ultimately obtained. This method is applied and verified in China’s northern agricultural areas (humid regions, semi-humid regions and semi-arid regions in a warm temperate zone. The results show that the mean value and standard deviation of the reconstructed solar radiation data series are significantly improved, with greater consistency with ground-based observations than the series before reconstruction. The method implemented in this study provides a new solution for the time-series reconstruction of surface energy parameters, which can provide more reliable data for scientific research and regional renewable-energy planning.
Kalman filter techniques for accelerated Cartesian dynamic cardiac imaging.
Feng, Xue; Salerno, Michael; Kramer, Christopher M; Meyer, Craig H
2013-05-01
In dynamic MRI, spatial and temporal parallel imaging can be exploited to reduce scan time. Real-time reconstruction enables immediate visualization during the scan. Commonly used view-sharing techniques suffer from limited temporal resolution, and many of the more advanced reconstruction methods are either retrospective, time-consuming, or both. A Kalman filter model capable of real-time reconstruction can be used to increase the spatial and temporal resolution in dynamic MRI reconstruction. The original study describing the use of the Kalman filter in dynamic MRI was limited to non-Cartesian trajectories because of a limitation intrinsic to the dynamic model used in that study. Here the limitation is overcome, and the model is applied to the more commonly used Cartesian trajectory with fast reconstruction. Furthermore, a combination of the Kalman filter model with Cartesian parallel imaging is presented to further increase the spatial and temporal resolution and signal-to-noise ratio. Simulations and experiments were conducted to demonstrate that the Kalman filter model can increase the temporal resolution of the image series compared with view-sharing techniques and decrease the spatial aliasing compared with TGRAPPA. The method requires relatively little computation, and thus is suitable for real-time reconstruction. Copyright © 2012 Wiley Periodicals, Inc.
Guo, Xiaoting; Sun, Changku; Wang, Peng
2017-08-01
This paper investigates the multi-rate inertial and vision data fusion problem in nonlinear attitude measurement systems, where the sampling rate of the inertial sensor is much faster than that of the vision sensor. To fully exploit the high frequency inertial data and obtain favorable fusion results, a multi-rate CKF (Cubature Kalman Filter) algorithm with estimated residual compensation is proposed in order to adapt to the problem of sampling rate discrepancy. During inter-sampling of slow observation data, observation noise can be regarded as infinite. The Kalman gain is unknown and approaches zero. The residual is also unknown. Therefore, the filter estimated state cannot be compensated. To obtain compensation at these moments, state error and residual formulas are modified when compared with the observation data available moments. Self-propagation equation of the state error is established to propagate the quantity from the moments with observation to the moments without observation. Besides, a multiplicative adjustment factor is introduced as Kalman gain, which acts on the residual. Then the filter estimated state can be compensated even when there are no visual observation data. The proposed method is tested and verified in a practical setup. Compared with multi-rate CKF without residual compensation and single-rate CKF, a significant improvement is obtained on attitude measurement by using the proposed multi-rate CKF with inter-sampling residual compensation. The experiment results with superior precision and reliability show the effectiveness of the proposed method.
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].
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.
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.
Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Institute of Scientific and Technical Information of China (English)
Xiao Lu; Linglong Wang; Haixia Wang; Xianghua Wang
2016-01-01
Kalman filtering problem for singular systems is dealt with, where the measurements consist of instantaneous measurements and delayed ones, and the plant includes multiplicative noise. By utilizing standard singular value decomposition, the restricted equivalent delayed system is presented, and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma. The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations, and a numerical example is presented to show the validity and efficiency of the proposed approach, where the comparison between the filter and predictor is also given.
On Ensemble Nonlinear Kalman Filtering with Symmetric Analysis Ensembles
Luo, Xiaodong; Hoteit, Ibrahim; Moroz, Irene M.
2010-01-01
However, by adopting the Monte Carlo method, the EnSRF also incurs certain sampling errors. One way to alleviate this problem is to introduce certain symmetry to the ensembles, which can reduce the sampling errors and spurious modes in evaluation of the means and covariances of the ensembles [7]. In this contribution, we present two methods to produce symmetric ensembles. One is based on the unscented transform [8, 9], which leads to the unscented Kalman filter (UKF) [8, 9] and its variant, the ensemble unscented Kalman filter (EnUKF) [7]. The other is based on Stirling’s interpolation formula (SIF), which results in the divided difference filter (DDF) [10]. Here we propose a simplified divided difference filter (sDDF) in the context of ensemble filtering. The similarity and difference between the sDDF and the EnUKF will be discussed. Numerical experiments will also be conducted to investigate the performance of the sDDF and the EnUKF, and compare them to a well‐established EnSRF, the ensemble transform Kalman filter (ETKF) [2].
A Kalman Filtering Perspective for Multiatlas Segmentation*
Gao, Yi; Zhu, Liangjia; Cates, Joshua; MacLeod, Rob S.; Bouix, Sylvain; Tannenbaum, Allen
2016-01-01
In multiatlas segmentation, one typically registers several atlases to the novel image, and their respective segmented label images are transformed and fused to form the final segmentation. In this work, we provide a new dynamical system perspective for multiatlas segmentation, inspired by the following fact: The transformation that aligns the current atlas to the novel image can be not only computed by direct registration but also inferred from the transformation that aligns the previous atlas to the image together with the transformation between the two atlases. This process is similar to the global positioning system on a vehicle, which gets position by inquiring from the satellite and by employing the previous location and velocity—neither answer in isolation being perfect. To solve this problem, a dynamical system scheme is crucial to combine the two pieces of information; for example, a Kalman filtering scheme is used. Accordingly, in this work, a Kalman multiatlas segmentation is proposed to stabilize the global/affine registration step. The contributions of this work are twofold. First, it provides a new dynamical systematic perspective for standard independent multiatlas registrations, and it is solved by Kalman filtering. Second, with very little extra computation, it can be combined with most existing multiatlas segmentation schemes for better registration/segmentation accuracy. PMID:26807162
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody
2016-05-03
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
Deterministic Mean-Field Ensemble Kalman Filtering
Law, Kody; Tembine, Hamidou; Tempone, Raul
2016-01-01
The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. A density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence k between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d<2k. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. This is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.
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.
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.
Sensor failure detection in dynamical systems by Kalman filtering methodology
International Nuclear Information System (INIS)
Ciftcioglu, O.
1991-03-01
Design of a sensor failure detection system by Kalman filtering methodology is described. The method models the process systems in state-space form, the information on each state being provided by relevant sensors present in the process system. Since the measured states are usually subject to noise, the estimation of the states optimally is an essential requirement. To this end the detection system comprises Kalman estimation filters, the number of which is equal to the number of states concerned. The estimated state of a particular signal in each filter is compared with the corresponding measured signal and difference beyond a predetermined bound is identified as failure, the sensor being identified/isolated as faulty. (author). 19 refs.; 8 figs.; 1 tab
An adaptive Kalman filter for speckle reductions in ultrasound images
International Nuclear Information System (INIS)
Castellini, G.; Labate, D.; Masotti, L.; Mannini, E.; Rocchi, S.
1988-01-01
Speckle is the term used to describe the granular appearance found in ultrasound images. The presence of speckle reduces the diagnostic potential of the echographic technique because it tends to mask small inhomogeneities of the investigated tissue. We developed a new method of speckle reductions that utilizes an adaptive one-dimensional Kalman filter based on the assumption that the observed image can be considered as a superimposition of speckle on a ''true images''. The filter adaptivity, necessary to avoid loss of resolution, has been obtained by statistical considerations on the local signal variations. The results of the applications of this particular Kalman filter, both on A-Mode and B-MODE images, show a significant speckle reduction
Observation Quality Control with a Robust Ensemble Kalman Filter
Roh, Soojin; Genton, Marc G.; Jun, Mikyoung; Szunyogh, Istvan; Hoteit, Ibrahim
2013-01-01
Current ensemble-based Kalman filter (EnKF) algorithms are not robust to gross observation errors caused by technical or human errors during the data collection process. In this paper, the authors consider two types of gross observational errors, additive statistical outliers and innovation outliers, and introduce a method to make EnKF robust to gross observation errors. Using both a one-dimensional linear system of dynamics and a 40-variable Lorenz model, the performance of the proposed robust ensemble Kalman filter (REnKF) was tested and it was found that the new approach greatly improves the performance of the filter in the presence of gross observation errors and leads to only a modest loss of accuracy with clean, outlier-free, observations.
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.
Series load induction heating inverter state estimator using Kalman filter
Directory of Open Access Journals (Sweden)
Szelitzky T.
2011-12-01
Full Text Available LQR and H2 controllers require access to the states of the controlled system. The method based on description function with Fourier series results in a model with immeasurable states. For this reason, we proposed a Kalman filter based state estimator, which not only filters the input signals, but also computes the unobservable states of the system. The algorithm of the filter was implemented in LabVIEW v8.6 and tested on recorded data obtained from a 10-40 kHz series load frequency controlled induction heating inverter.
Kalman filter tracking on parallel architectures
Cerati, G.; Elmer, P.; Krutelyov, S.; Lantz, S.; Lefebvre, M.; McDermott, K.; Riley, D.; Tadel, M.; Wittich, P.; Wurthwein, F.; Yagil, A.
2017-10-01
We report on the progress of our studies towards a Kalman filter track reconstruction algorithm with optimal performance on manycore architectures. The combinatorial structure of these algorithms is not immediately compatible with an efficient SIMD (or SIMT) implementation; the challenge for us is to recast the existing software so it can readily generate hundreds of shared-memory threads that exploit the underlying instruction set of modern processors. We show how the data and associated tasks can be organized in a way that is conducive to both multithreading and vectorization. We demonstrate very good performance on Intel Xeon and Xeon Phi architectures, as well as promising first results on Nvidia GPUs.
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.
Sampling strong tracking nonlinear unscented Kalman filter and its application in eye tracking
International Nuclear Information System (INIS)
Zu-Tao, Zhang; Jia-Shu, Zhang
2010-01-01
The unscented Kalman filter is a developed well-known method for nonlinear motion estimation and tracking. However, the standard unscented Kalman filter has the inherent drawbacks, such as numerical instability and much more time spent on calculation in practical applications. In this paper, we present a novel sampling strong tracking nonlinear unscented Kalman filter, aiming to overcome the difficulty in nonlinear eye tracking. In the above proposed filter, the simplified unscented transform sampling strategy with n + 2 sigma points leads to the computational efficiency, and suboptimal fading factor of strong tracking filtering is introduced to improve robustness and accuracy of eye tracking. Compared with the related unscented Kalman filter for eye tracking, the proposed filter has potential advantages in robustness, convergence speed, and tracking accuracy. The final experimental results show the validity of our method for eye tracking under realistic conditions. (classical areas of phenomenology)
Vehicle Sideslip Angle Estimation Based on Hybrid Kalman Filter
Directory of Open Access Journals (Sweden)
Jing Li
2016-01-01
Full Text Available Vehicle sideslip angle is essential for active safety control systems. This paper presents a new hybrid Kalman filter to estimate vehicle sideslip angle based on the 3-DoF nonlinear vehicle dynamic model combined with Magic Formula tire model. The hybrid Kalman filter is realized by combining square-root cubature Kalman filter (SCKF, which has quick convergence and numerical stability, with square-root cubature based receding horizon Kalman FIR filter (SCRHKF, which has robustness against model uncertainty and temporary noise. Moreover, SCKF and SCRHKF work in parallel, and the estimation outputs of two filters are merged by interacting multiple model (IMM approach. Experimental results show the accuracy and robustness of the hybrid Kalman filter.
Kalman Filter Tracking on Parallel Architectures
International Nuclear Information System (INIS)
Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2016-01-01
Power density constraints are limiting the performance improvements of modern CPUs. To address this we have seen the introduction of lower-power, multi-core processors such as GPGPU, ARM and Intel MIC. In order to achieve the theoretical performance gains of these processors, it will be necessary to parallelize algorithms to exploit larger numbers of lightweight cores and specialized functions like large vector units. Track finding and fitting is one of the most computationally challenging problems for event reconstruction in particle physics. At the High-Luminosity Large Hadron Collider (HL-LHC), for example, this will be by far the dominant problem. The need for greater parallelism has driven investigations of very different track finding techniques such as Cellular Automata or Hough Transforms. The most common track finding techniques in use today, however, are those based on a Kalman filter approach. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. They are known to provide high physics performance, are robust, and are in use today at the LHC. Given the utility of the Kalman filter in track finding, we have begun to port these algorithms to parallel architectures, namely Intel Xeon and Xeon Phi. We report here on our progress towards an end-to-end track reconstruction algorithm fully exploiting vectorization and parallelization techniques in a simplified experimental environment
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.
Objective judgement by Kalman filtering in the generalized Landsbergian scheme
International Nuclear Information System (INIS)
Lukacs, B.; Racz, A.
1992-08-01
A method is suggested to check if a non-equilibrium thermodynamic description of a system is complete. Exploring Landsberg's idea of the role of third person, a scheme is proposed for treating non-equilibrium systems as well. In order to suppress irrelevant information carried by measurement noise or for very fast phenomena, Kalman filter can act as the objective spectator. The idea is illustrated via a thermodynamic model of non-relativistic heavy ion collisions. (author) 12 refs.; 3 figs
On tempo tracking: Tempogram representation and Kalman filtering
Cemgil, A.T.; Kappen, H.J.; Desain, P.W.M.; Honing, H.J.
2001-01-01
We formulate tempo tracking in a Bayesian framework where a tempo tracker is modeled as a stochastic dynamical system. The tempo is modeled as a hidden state variable of the system and is estimated by a Kalman filter. The Kalman filter operates on a Tempogram, a wavelet-like multiscale expansion of
An iterative ensemble Kalman filter for reservoir engineering applications
Krymskaya, M.V.; Hanea, R.G.; Verlaan, M.
2009-01-01
The study has been focused on examining the usage and the applicability of ensemble Kalman filtering techniques to the history matching procedures. The ensemble Kalman filter (EnKF) is often applied nowadays to solving such a problem. Meanwhile, traditional EnKF requires assumption of the
Improving Artificial eural etwork Forecasts with Kalman Filtering
African Journals Online (AJOL)
Nafiisah
technique in financial time series and the application of a Kalman filter ... networks (ANN) model using a Kalman filter leads to significant improvements in .... 3-rd order polynomial (Galanis et al. (2006)): 1 t p. 2 t p. 3 t p. 4 t p. 1 t h. 2 t h tr t r ...
Mixed-Degree Spherical Simplex-Radial Cubature Kalman Filter
Directory of Open Access Journals (Sweden)
Shiyuan Wang
2017-01-01
Full Text Available Conventional low degree spherical simplex-radial cubature Kalman filters often generate low filtering accuracy or even diverge for handling highly nonlinear systems. The high-degree Kalman filters can improve filtering accuracy at the cost of increasing computational complexity; nevertheless their stability will be influenced by the negative weights existing in the high-dimensional systems. To efficiently improve filtering accuracy and stability, a novel mixed-degree spherical simplex-radial cubature Kalman filter (MSSRCKF is proposed in this paper. The accuracy analysis shows that the true posterior mean and covariance calculated by the proposed MSSRCKF can agree accurately with the third-order moment and the second-order moment, respectively. Simulation results show that, in comparison with the conventional spherical simplex-radial cubature Kalman filters that are based on the same degrees, the proposed MSSRCKF can perform superior results from the aspects of filtering accuracy and computational complexity.
Applications of Kalman Filtering to nuclear material control
International Nuclear Information System (INIS)
Pike, D.H.; Morrison, G.W.; Westley, G.W.
1977-10-01
The feasibility of using modern state estimation techniques (specifically Kalman Filtering and Linear Smoothing) to detect losses of material from material balance areas is evaluated. It is shown that state estimation techniques are not only feasible but in most situations are superior to existing methods of analysis. The various techniques compared include Kalman Filtering, linear smoothing, standard control charts, and average cumulative summation (CUSUM) charts. Analysis results indicated that the standard control chart is the least effective method for detecting regularly occurring losses. An improvement in the detection capability over the standard control chart can be realized by use of the CUSUM chart. Even more sensitivity in the ability to detect losses can be realized by use of the Kalman Filter and the linear smoother. It was found that the error-covariance matrix can be used to establish limits of error for state estimates. It is shown that state estimation techniques represent a feasible and desirable method of theft detection. The technique is usually more sensitive than the CUSUM chart in detecting losses. One kind of loss which is difficult to detect using state estimation techniques is a single isolated loss. State estimation procedures are predicated on dynamic models and are well-suited for detecting losses which occur regularly over several accounting periods. A single isolated loss does not conform to this basic assumption and is more difficult to detect
Bayesian fault detection and isolation using Field Kalman Filter
Baranowski, Jerzy; Bania, Piotr; Prasad, Indrajeet; Cong, Tian
2017-12-01
Fault detection and isolation is crucial for the efficient operation and safety of any industrial process. There is a variety of methods from all areas of data analysis employed to solve this kind of task, such as Bayesian reasoning and Kalman filter. In this paper, the authors use a discrete Field Kalman Filter (FKF) to detect and recognize faulty conditions in a system. The proposed approach, devised for stochastic linear systems, allows for analysis of faults that can be expressed both as parameter and disturbance variations. This approach is formulated for the situations when the fault catalog is known, resulting in the algorithm allowing estimation of probability values. Additionally, a variant of algorithm with greater numerical robustness is presented, based on computation of logarithmic odds. Proposed algorithm operation is illustrated with numerical examples, and both its merits and limitations are critically discussed and compared with traditional EKF.
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...
Fractional kalman filter to estimate the concentration of air pollution
Vita Oktaviana, Yessy; Apriliani, Erna; Khusnul Arif, Didik
2018-04-01
Air pollution problem gives important effect in quality environment and quality of human’s life. Air pollution can be caused by nature sources or human activities. Pollutant for example Ozone, a harmful gas formed by NOx and volatile organic compounds (VOCs) emitted from various sources. The air pollution problem can be modeled by TAPM-CTM (The Air Pollution Model with Chemical Transport Model). The model shows concentration of pollutant in the air. Therefore, it is important to estimate concentration of air pollutant. Estimation method can be used for forecast pollutant concentration in future and keep stability of air quality. In this research, an algorithm is developed, based on Fractional Kalman Filter to solve the model of air pollution’s problem. The model will be discretized first and then it will be estimated by the method. The result shows that estimation of Fractional Kalman Filter has better accuracy than estimation of Kalman Filter. The accuracy was tested by applying RMSE (Root Mean Square Error).
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.
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.
Rachmawati, Vimala; Khusnul Arif, Didik; Adzkiya, Dieky
2018-03-01
The systems contained in the universe often have a large order. Thus, the mathematical model has many state variables that affect the computation time. In addition, generally not all variables are known, so estimations are needed to measure the magnitude of the system that cannot be measured directly. In this paper, we discuss the model reduction and estimation of state variables in the river system to measure the water level. The model reduction of a system is an approximation method of a system with a lower order without significant errors but has a dynamic behaviour that is similar to the original system. The Singular Perturbation Approximation method is one of the model reduction methods where all state variables of the equilibrium system are partitioned into fast and slow modes. Then, The Kalman filter algorithm is used to estimate state variables of stochastic dynamic systems where estimations are computed by predicting state variables based on system dynamics and measurement data. Kalman filters are used to estimate state variables in the original system and reduced system. Then, we compare the estimation results of the state and computational time between the original and reduced system.
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.
Adaptive probabilistic collocation based Kalman filter for unsaturated flow problem
Man, J.; Li, W.; Zeng, L.; Wu, L.
2015-12-01
The ensemble Kalman filter (EnKF) has gained popularity in hydrological data assimilation problems. As a Monte Carlo based method, a relatively large ensemble size is usually required to guarantee the accuracy. As an alternative approach, the probabilistic collocation based Kalman filter (PCKF) employs the Polynomial Chaos to approximate the original system. In this way, the sampling error can be reduced. However, PCKF suffers from the so called "cure of dimensionality". When the system nonlinearity is strong and number of parameters is large, PCKF is even more computationally expensive than EnKF. Motivated by recent developments in uncertainty quantification, we propose a restart adaptive probabilistic collocation based Kalman filter (RAPCKF) for data assimilation in unsaturated flow problem. During the implementation of RAPCKF, the important parameters are identified and active PCE basis functions are adaptively selected. The "restart" technology is used to alleviate the inconsistency between model parameters and states. The performance of RAPCKF is tested by unsaturated flow numerical cases. It is shown that RAPCKF is more efficient than EnKF with the same computational cost. Compared with the traditional PCKF, the RAPCKF is more applicable in strongly nonlinear and high dimensional problems.
Estimation of three-dimensional radar tracking using modified extended kalman filter
Aditya, Prima; Apriliani, Erna; Khusnul Arif, Didik; Baihaqi, Komar
2018-03-01
Kalman filter is an estimation method by combining data and mathematical models then developed be extended Kalman filter to handle nonlinear systems. Three-dimensional radar tracking is one of example of nonlinear system. In this paper developed a modification method of extended Kalman filter from the direct decline of the three-dimensional radar tracking case. The development of this filter algorithm can solve the three-dimensional radar measurements in the case proposed in this case the target measured by radar with distance r, azimuth angle θ, and the elevation angle ϕ. Artificial covariance and mean adjusted directly on the three-dimensional radar system. Simulations result show that the proposed formulation is effective in the calculation of nonlinear measurement compared with extended Kalman filter with the value error at 0.77% until 1.15%.
Jia, Xingyu; Liu, Zhigang; Tao, Long; Deng, Zhongwen
2017-10-16
Frequency scanning interferometry (FSI) with a single external cavity diode laser (ECDL) and time-invariant Kalman filtering is an effective technique for measuring the distance of a dynamic target. However, due to the hysteresis of the piezoelectric ceramic transducer (PZT) actuator in the ECDL, the optical frequency sweeps of the ECDL exhibit different behaviors, depending on whether the frequency is increasing or decreasing. Consequently, the model parameters of Kalman filter appear time varying in each iteration, which produces state estimation errors with time-invariant filtering. To address this, in this paper, a time-varying Kalman filter is proposed to model the instantaneous movement of a target relative to the different optical frequency tuning durations of the ECDL. The combination of the FSI method with the time-varying Kalman filter was theoretically analyzed, and the simulation and experimental results show the proposed method greatly improves the performance of dynamic FSI measurements.
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.
Directory of Open Access Journals (Sweden)
Xiaoyu Li
2015-07-01
Full Text Available This paper presents a novel grouping method for lithium iron phosphate batteries. In this method, a simplified electrochemical impedance spectroscopy (EIS model is utilized to describe the battery characteristics. Dynamic stress test (DST and fractional joint Kalman filter (FJKF are used to extract battery model parameters. In order to realize equal-number grouping of batteries, a new modified K-means clustering algorithm is proposed. Two rules are designed to equalize the numbers of elements in each group and exchange samples among groups. In this paper, the principles of battery model selection, physical meaning and identification method of model parameters, data preprocessing and equal-number clustering method for battery grouping are comprehensively described. Additionally, experiments for battery grouping and method validation are designed. This method is meaningful to application involving the grouping of fresh batteries for electric vehicles (EVs and screening of aged batteries for recycling.
Directory of Open Access Journals (Sweden)
Junhua Wu
2017-01-01
Full Text Available Carbon fibre composites have a promising application future of the vehicle, due to its excellent physical properties. Debonding is a major defect of the material. Analyses of wave packets are critical for identification of the defect on ultrasonic nondestructive evaluation and testing. In order to isolate different components of ultrasonic guided waves (GWs, a signal decomposition algorithm combining Smoothed Pseudo Wigner-Ville distribution and Vold–Kalman filter order tracking is presented. In the algorithm, the time-frequency distribution of GW is first obtained by using Smoothed Pseudo Wigner-Ville distribution. The frequencies of different modes are computed based on summation of the time-frequency coefficients in the frequency direction. On the basis of these frequencies, isolation of different modes is done by Vold–Kalman filter order tracking. The results of the simulation signal and the experimental signal reveal that the presented algorithm succeeds in decomposing the multicomponent signal into monocomponents. Even though components overlap in corresponding Fourier spectrum, they can be isolated by using the presented algorithm. So the frequency resolution of the presented method is promising. Based on this, we can do research about defect identification, calculation of the defect size, and locating the position of the defect.
Sun, Yong; Ma, Zilin; Tang, Gongyou; Chen, Zheng; Zhang, Nong
2016-07-01
Since the main power source of hybrid electric vehicle(HEV) is supplied by the power battery, the predicted performance of power battery, especially the state-of-charge(SOC) estimation has attracted great attention in the area of HEV. However, the value of SOC estimation could not be greatly precise so that the running performance of HEV is greatly affected. A variable structure extended kalman filter(VSEKF)-based estimation method, which could be used to analyze the SOC of lithium-ion battery in the fixed driving condition, is presented. First, the general lower-order battery equivalent circuit model(GLM), which includes column accumulation model, open circuit voltage model and the SOC output model, is established, and the off-line and online model parameters are calculated with hybrid pulse power characteristics(HPPC) test data. Next, a VSEKF estimation method of SOC, which integrates the ampere-hour(Ah) integration method and the extended Kalman filter(EKF) method, is executed with different adaptive weighting coefficients, which are determined according to the different values of open-circuit voltage obtained in the corresponding charging or discharging processes. According to the experimental analysis, the faster convergence speed and more accurate simulating results could be obtained using the VSEKF method in the running performance of HEV. The error rate of SOC estimation with the VSEKF method is focused in the range of 5% to 10% comparing with the range of 20% to 30% using the EKF method and the Ah integration method. In Summary, the accuracy of the SOC estimation in the lithium-ion battery cell and the pack of lithium-ion battery system, which is obtained utilizing the VSEKF method has been significantly improved comparing with the Ah integration method and the EKF method. The VSEKF method utilizing in the SOC estimation in the lithium-ion pack of HEV can be widely used in practical driving conditions.
Enhancement of kalman filter single loss detection capability
International Nuclear Information System (INIS)
Morrison, G.W.; Downing, D.J.; Pike, D.H.
1980-01-01
A new technique to significantly increase the sensitivity of the Kalman filter to detect one-time losses for nuclear marterial accountability and control has been developed. The technique uses the innovations sequence obtained from a Kalman filter analysis of a material balance area. The innovations are distributed as zero mean independent Gaussion random variables with known variance. This property enables an estimator to be formed with enhanced one time loss detection capabilities. Simulation studies of a material balance area indicate the new estimator greatly enhances the one time loss detection capability of the Kalman filter
Kalman Filtering for Delayed Singular Systems with Multiplicative Noise
Institute of Scientific and Technical Information of China (English)
Xiao Lu; Linglong Wang; Haixia Wang; Xianghua Wang
2016-01-01
Kalman filtering problem for singular systems is dealt with,where the measurements consist of instantaneous measurements and delayed ones,and the plant includes multiplicative noise.By utilizing standard singular value decomposition,the restricted equivalent delayed system is presented,and the Kalman filters for the restricted equivalent system are given by using the well-known re-organization of innovation analysis lemma.The optimal Kalman filter for the original system is given based on the above Kalman filter by recursive Riccati equations,and a numerical example is presented to show the validity and efficiency of the proposed approach,where the comparison between the filter and predictor is also given.
The discrete Kalman filtering approach for seismic signals deconvolution
International Nuclear Information System (INIS)
Kurniadi, Rizal; Nurhandoko, Bagus Endar B.
2012-01-01
Seismic signals are a convolution of reflectivity and seismic wavelet. One of the most important stages in seismic data processing is deconvolution process; the process of deconvolution is inverse filters based on Wiener filter theory. This theory is limited by certain modelling assumptions, which may not always valid. The discrete form of the Kalman filter is then used to generate an estimate of the reflectivity function. The main advantage of Kalman filtering is capability of technique to handling continually time varying models and has high resolution capabilities. In this work, we use discrete Kalman filter that it was combined with primitive deconvolution. Filtering process works on reflectivity function, hence the work flow of filtering is started with primitive deconvolution using inverse of wavelet. The seismic signals then are obtained by convoluting of filtered reflectivity function with energy waveform which is referred to as the seismic wavelet. The higher frequency of wavelet gives smaller wave length, the graphs of these results are presented.
Accounting for model error due to unresolved scales within ensemble Kalman filtering
Mitchell, Lewis; Carrassi, Alberto
2014-01-01
We propose a method to account for model error due to unresolved scales in the context of the ensemble transform Kalman filter (ETKF). The approach extends to this class of algorithms the deterministic model error formulation recently explored for variational schemes and extended Kalman filter. The model error statistic required in the analysis update is estimated using historical reanalysis increments and a suitable model error evolution law. Two different versions of the method are describe...
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.
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…
Extracting Steady State Components from Synchrophasor Data Using Kalman Filters
Directory of Open Access Journals (Sweden)
Farhan Mahmood
2016-04-01
Full Text Available Data from phasor measurement units (PMUs may be exploited to provide steady state information to the applications which require it. As PMU measurements may contain errors and missing data, the paper presents the application of a Kalman Filter technique for real-time data processing. PMU data captures the power system’s response at different time-scales, which are generated by different types of power system events; the presented Kalman Filter methods have been applied to extract the steady state components of PMU measurements that can be fed to steady state applications. Two KF-based methods have been proposed, i.e., a windowing-based KF method and “the modified KF”. Both methods are capable of reducing noise, compensating for missing data and filtering outliers from input PMU signals. A comparison of proposed methods has been carried out using the PMU data generated from a hardware-in-the-loop (HIL experimental setup. In addition, a performance analysis of the proposed methods is performed using an evaluation metric.
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.
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.
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.
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.
Zhang, Qiuzhao; Yang, Wei; Zhang, Shubi; Liu, Xin
2018-01-12
Global Navigation Satellite System (GNSS) carrier phase measurement for short baseline meets the requirements of deformation monitoring of large structures. However, the carrier phase multipath effect is the main error source with double difference (DD) processing. There are lots of methods to deal with the multipath errors of Global Position System (GPS) carrier phase data. The BeiDou navigation satellite System (BDS) multipath mitigation is still a research hotspot because the unique constellation design of BDS makes it different to mitigate multipath effects compared to GPS. Multipath error periodically repeats for its strong correlation to geometry of satellites, reflective surface and antenna which is also repetitive. We analyzed the characteristics of orbital periods of BDS satellites which are consistent with multipath repeat periods of corresponding satellites. The results show that the orbital periods and multipath periods for BDS geostationary earth orbit (GEO) and inclined geosynchronous orbit (IGSO) satellites are about one day but the periods of MEO satellites are about seven days. The Kalman filter (KF) and Rauch-Tung-Striebel Smoother (RTSS) was introduced to extract the multipath models from single difference (SD) residuals with traditional sidereal filter (SF). Wavelet filter and Empirical mode decomposition (EMD) were also used to mitigate multipath effects. The experimental results show that the three filters methods all have obvious effect on improvement of baseline accuracy and the performance of KT-RTSS method is slightly better than that of wavelet filter and EMD filter. The baseline vector accuracy on east, north and up (E, N, U) components with KF-RTSS method were improved by 62.8%, 63.6%, 62.5% on day of year 280 and 57.3%, 53.4%, 55.9% on day of year 281, respectively.
Directory of Open Access Journals (Sweden)
Qiuzhao Zhang
2018-01-01
Full Text Available Global Navigation Satellite System (GNSS carrier phase measurement for short baseline meets the requirements of deformation monitoring of large structures. However, the carrier phase multipath effect is the main error source with double difference (DD processing. There are lots of methods to deal with the multipath errors of Global Position System (GPS carrier phase data. The BeiDou navigation satellite System (BDS multipath mitigation is still a research hotspot because the unique constellation design of BDS makes it different to mitigate multipath effects compared to GPS. Multipath error periodically repeats for its strong correlation to geometry of satellites, reflective surface and antenna which is also repetitive. We analyzed the characteristics of orbital periods of BDS satellites which are consistent with multipath repeat periods of corresponding satellites. The results show that the orbital periods and multipath periods for BDS geostationary earth orbit (GEO and inclined geosynchronous orbit (IGSO satellites are about one day but the periods of MEO satellites are about seven days. The Kalman filter (KF and Rauch-Tung-Striebel Smoother (RTSS was introduced to extract the multipath models from single difference (SD residuals with traditional sidereal filter (SF. Wavelet filter and Empirical mode decomposition (EMD were also used to mitigate multipath effects. The experimental results show that the three filters methods all have obvious effect on improvement of baseline accuracy and the performance of KT-RTSS method is slightly better than that of wavelet filter and EMD filter. The baseline vector accuracy on east, north and up (E, N, U components with KF-RTSS method were improved by 62.8%, 63.6%, 62.5% on day of year 280 and 57.3%, 53.4%, 55.9% on day of year 281, respectively.
Ensemble Kalman filtering with one-step-ahead smoothing
Raboudi, Naila F.
2018-01-11
The ensemble Kalman filter (EnKF) is widely used for sequential data assimilation. It operates as a succession of forecast and analysis steps. In realistic large-scale applications, EnKFs are implemented with small ensembles and poorly known model error statistics. This limits their representativeness of the background error covariances and, thus, their performance. This work explores the efficiency of the one-step-ahead (OSA) smoothing formulation of the Bayesian filtering problem to enhance the data assimilation performance of EnKFs. Filtering with OSA smoothing introduces an updated step with future observations, conditioning the ensemble sampling with more information. This should provide an improved background ensemble in the analysis step, which may help to mitigate the suboptimal character of EnKF-based methods. Here, the authors demonstrate the efficiency of a stochastic EnKF with OSA smoothing for state estimation. They then introduce a deterministic-like EnKF-OSA based on the singular evolutive interpolated ensemble Kalman (SEIK) filter. The authors show that the proposed SEIK-OSA outperforms both SEIK, as it efficiently exploits the data twice, and the stochastic EnKF-OSA, as it avoids observational error undersampling. They present extensive assimilation results from numerical experiments conducted with the Lorenz-96 model to demonstrate SEIK-OSA’s capabilities.
Proofs and Techniques Useful for Deriving the Kalman Filter
National Research Council Canada - National Science Library
Koks, Don
2008-01-01
This note is a tutorial in matrix manipulation and the normal distribution of statistics, concepts that are important for deriving and analysing the Kalman Filter, a basic tool of signal processing...
Extended Kalman Filter Modifications Based on an Optimization View Point
Skoglund, Martin; Hendeby, Gustaf; Axehill, Daniel
2015-01-01
The extended Kalman filter (EKF) has been animportant tool for state estimation of nonlinear systems sinceits introduction. However, the EKF does not possess the same optimality properties as the Kalman filter, and may perform poorly. By viewing the EKF as an optimization problem it is possible to, in many cases, improve its performance and robustness. The paper derives three variations of the EKF by applying different optimisation algorithms to the EKF costfunction and relate these to the it...
A Comparison of Ensemble Kalman Filters for Storm Surge Assimilation
Altaf, Muhammad
2014-08-01
This study evaluates and compares the performances of several variants of the popular ensembleKalman filter for the assimilation of storm surge data with the advanced circulation (ADCIRC) model. Using meteorological data from Hurricane Ike to force the ADCIRC model on a domain including the Gulf ofMexico coastline, the authors implement and compare the standard stochastic ensembleKalman filter (EnKF) and three deterministic square root EnKFs: the singular evolutive interpolated Kalman (SEIK) filter, the ensemble transform Kalman filter (ETKF), and the ensemble adjustment Kalman filter (EAKF). Covariance inflation and localization are implemented in all of these filters. The results from twin experiments suggest that the square root ensemble filters could lead to very comparable performances with appropriate tuning of inflation and localization, suggesting that practical implementation details are at least as important as the choice of the square root ensemble filter itself. These filters also perform reasonably well with a relatively small ensemble size, whereas the stochastic EnKF requires larger ensemble sizes to provide similar accuracy for forecasts of storm surge.
A Comparison of Ensemble Kalman Filters for Storm Surge Assimilation
Altaf, Muhammad; Butler, T.; Mayo, T.; Luo, X.; Dawson, C.; Heemink, A. W.; Hoteit, Ibrahim
2014-01-01
This study evaluates and compares the performances of several variants of the popular ensembleKalman filter for the assimilation of storm surge data with the advanced circulation (ADCIRC) model. Using meteorological data from Hurricane Ike to force the ADCIRC model on a domain including the Gulf ofMexico coastline, the authors implement and compare the standard stochastic ensembleKalman filter (EnKF) and three deterministic square root EnKFs: the singular evolutive interpolated Kalman (SEIK) filter, the ensemble transform Kalman filter (ETKF), and the ensemble adjustment Kalman filter (EAKF). Covariance inflation and localization are implemented in all of these filters. The results from twin experiments suggest that the square root ensemble filters could lead to very comparable performances with appropriate tuning of inflation and localization, suggesting that practical implementation details are at least as important as the choice of the square root ensemble filter itself. These filters also perform reasonably well with a relatively small ensemble size, whereas the stochastic EnKF requires larger ensemble sizes to provide similar accuracy for forecasts of storm surge.
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.
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.
Application of Kalman Filter for Estimating a Process Disturbance in a Building Space
Directory of Open Access Journals (Sweden)
Deuk-Woo Kim
2017-10-01
Full Text Available This paper addresses an application of the Kalman filter for estimating a time-varying process disturbance in a building space. The process disturbance means a synthetic composite of heat gains and losses caused by internal heat sources e.g., people, lights, equipment, and airflows. It is difficult to measure and quantify the internal heat sources and airflows due to their dynamic nature and time-lag impact on indoor environment. To address this issue, a Kalman filter estimation method was used in this study. The Kalman filtering is well suited for situations when state variables of interest cannot be measured. Based on virtual and real experiments conducted in this study, it was found that the Kalman filter can be used to estimate the time-varying process disturbance in a building space.
Ledsham, W. H.; Staelin, D. H.
1978-01-01
An extended Kalman-Bucy filter has been implemented for atmospheric temperature profile retrievals from observations made using the Scanned Microwave Spectrometer (SCAMS) instrument carried on the Nimbus 6 satellite. This filter has the advantage that it requires neither stationary statistics in the underlying processes nor linear production of the observed variables from the variables to be estimated. This extended Kalman-Bucy filter has yielded significant performance improvement relative to multiple regression retrieval methods. A multi-spot extended Kalman-Bucy filter has also been developed in which the temperature profiles at a number of scan angles in a scanning instrument are retrieved simultaneously. These multi-spot retrievals are shown to outperform the single-spot Kalman retrievals.
ECG fiducial point extraction using switching Kalman filter.
Akhbari, Mahsa; Ghahjaverestan, Nasim Montazeri; Shamsollahi, Mohammad B; Jutten, Christian
2018-04-01
In this paper, we propose a novel method for extracting fiducial points (FPs) of the beats in electrocardiogram (ECG) signals using switching Kalman filter (SKF). In this method, according to McSharry's model, ECG waveforms (P-wave, QRS complex and T-wave) are modeled with Gaussian functions and ECG baselines are modeled with first order auto regressive models. In the proposed method, a discrete state variable called "switch" is considered that affects only the observation equations. We denote a mode as a specific observation equation and switch changes between 7 modes and corresponds to different segments of an ECG beat. At each time instant, the probability of each mode is calculated and compared among two consecutive modes and a path is estimated, which shows the relation of each part of the ECG signal to the mode with the maximum probability. ECG FPs are found from the estimated path. For performance evaluation, the Physionet QT database is used and the proposed method is compared with methods based on wavelet transform, partially collapsed Gibbs sampler (PCGS) and extended Kalman filter. For our proposed method, the mean error and the root mean square error across all FPs are 2 ms (i.e. less than one sample) and 14 ms, respectively. These errors are significantly smaller than those obtained using other methods. The proposed method achieves lesser RMSE and smaller variability with respect to others. Copyright © 2018 Elsevier B.V. All rights reserved.
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...
Ensemble Kalman methods for inverse problems
International Nuclear Information System (INIS)
Iglesias, Marco A; Law, Kody J H; Stuart, Andrew M
2013-01-01
The ensemble Kalman filter (EnKF) was introduced by Evensen in 1994 (Evensen 1994 J. Geophys. Res. 99 10143–62) as a novel method for data assimilation: state estimation for noisily observed time-dependent problems. Since that time it has had enormous impact in many application domains because of its robustness and ease of implementation, and numerical evidence of its accuracy. In this paper we propose the application of an iterative ensemble Kalman method for the solution of a wide class of inverse problems. In this context we show that the estimate of the unknown function that we obtain with the ensemble Kalman method lies in a subspace A spanned by the initial ensemble. Hence the resulting error may be bounded above by the error found from the best approximation in this subspace. We provide numerical experiments which compare the error incurred by the ensemble Kalman method for inverse problems with the error of the best approximation in A, and with variants on traditional least-squares approaches, restricted to the subspace A. In so doing we demonstrate that the ensemble Kalman method for inverse problems provides a derivative-free optimization method with comparable accuracy to that achieved by traditional least-squares approaches. Furthermore, we also demonstrate that the accuracy is of the same order of magnitude as that achieved by the best approximation. Three examples are used to demonstrate these assertions: inversion of a compact linear operator; inversion of piezometric head to determine hydraulic conductivity in a Darcy model of groundwater flow; and inversion of Eulerian velocity measurements at positive times to determine the initial condition in an incompressible fluid. (paper)
BWR level estimation using Kalman Filtering approach
International Nuclear Information System (INIS)
Garner, G.; Divakaruni, S.M.; Meyer, J.E.
1986-01-01
Work is in progress on development of a system for Boiling Water Reactor (BWR) vessel level validation and failure detection. The levels validated include the liquid level both inside and outside the core shroud. This work is a major part of a larger effort to develop a complete system for BWR signal validation. The demonstration plant is the Oyster Creek BWR. Liquid level inside the core shroud is not directly measured during full power operation. This level must be validated using measurements of other quantities and analytic models. Given the available sensors, analytic models for level that are based on mass and energy balances can contain open integrators. When such a model is driven by noisy measurements, the model predicted level will deviate from the true level over time. To validate the level properly and to avoid false alarms, the open integrator must be stabilized. In addition, plant parameters will change slowly with time. The respective model must either account for these plant changes or be insensitive to them to avoid false alarms and maintain sensitivity to true failures of level instrumentation. Problems are addressed here by combining the extended Kalman Filter and Parity Space Decision/Estimator. The open integrator is stabilized by integrating from the validated estimate at the beginning of each sampling interval, rather than from the model predicted value. The model is adapted to slow plant/sensor changes by updating model parameters on-line
Adaptive training of feedforward neural networks by Kalman filtering
International Nuclear Information System (INIS)
Ciftcioglu, Oe.
1995-02-01
Adaptive training of feedforward neural networks by Kalman filtering is described. Adaptive training is particularly important in estimation by neural network in real-time environmental where the trained network is used for system estimation while the network is further trained by means of the information provided by the experienced/exercised ongoing operation. As result of this, neural network adapts itself to a changing environment to perform its mission without recourse to re-training. The performance of the training method is demonstrated by means of actual process signals from a nuclear power plant. (orig.)
Distributed Dynamic State Estimation with Extended Kalman Filter
Energy Technology Data Exchange (ETDEWEB)
Du, Pengwei; Huang, Zhenyu; Sun, Yannan; Diao, Ruisheng; Kalsi, Karanjit; Anderson, Kevin K.; Li, Yulan; Lee, Barry
2011-08-04
Increasing complexity associated with large-scale renewable resources and novel smart-grid technologies necessitates real-time monitoring and control. Our previous work applied the extended Kalman filter (EKF) with the use of phasor measurement data (PMU) for dynamic state estimation. However, high computation complexity creates significant challenges for real-time applications. In this paper, the problem of distributed dynamic state estimation is investigated. One domain decomposition method is proposed to utilize decentralized computing resources. The performance of distributed dynamic state estimation is tested on a 16-machine, 68-bus test system.
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
account the errors due to the atomic clocks at the stations, the troposphere, and white noise processes. The simulated data as well as actual observational data from the two-week CONT11 campaign are analyzed using the Kalman filter, focusing on the tropospheric effects. The results of the different strategies are compared with solutions applying the classical least-squares method. An advantage of the Kalman filter is the possibility of easily integrating additional external information. It is expected that by including tropospheric delays from GNSS, water vapor radiometers, or ray-traced delays from numerical weather prediction models, the accuracy of the VLBI solution could be improved.
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.
State and parameter estimation in a nuclear fuel pin using the extended Kalman filter
International Nuclear Information System (INIS)
Feeley, J.J.
1979-03-01
The Kalman filter is a powerful tool for the design and analysis of stochastic systems. The general nature of the method permits such diverse applications as on-line state estimation in optimal control systems, as well as state and parameter estimation applications in data analysis and system identification. However, while there have been a large number of Kalman filter applications in the aerospace industry, there have been relatively few in the nuclear industry. The report describes some initial efforts made at the Idaho National Engineering Laboratory to gain experience with the methods of Kalman filtering and to test their applicability to nuclear engineering problems. Two specific cases were considered: first, a real-time state estimation problem using a hybrid computer where the process was simulated on the analog portion of the computer, and the Kalman filter was programmed on the digital portion; second, a system identification problem where a digital extended Kalman filter program was used to estimate states and parameters in a nuclear fuel pin using data generated both by actual experiments and computer simulations. The report contains a derivation of the Kalman filter equations, a development of the mathematical model of the nuclear fuel pin, a description of the computer programs used in the analysis, and a discussion of the results obtained
A Brief Tutorial on the Ensemble Kalman Filter
Mandel, Jan
2009-01-01
The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting. EnKF is related to the particle filter (in this context, a particle is the s...
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.
Kalman filters for real-time magnetic island phase tracking
International Nuclear Information System (INIS)
Borgers, D.P.; Lauret, M.; Baar, M.R. de
2013-01-01
Highlights: • We propose two Kalman filters for tracking of NTMs on ASDEX Upgrade. • The Kalman filters can track NTMs in a much larger frequency range than PLLs. • The filters are tested on synthetic and experimental data from TEXTOR and TCV. • We conclude that the unscented Kalman filter can be useful for NTM control. -- Abstract: For control of neoclassical tearing modes (NTMs) and the resulting rotating magnetic islands in tokamak plasmas, the frequency and phase of the magnetic islands need to be accurately tracked in real-time. In previous experiments on TEXTOR, this was achieved using a phase-locked loop (PLL). For ASDEX Upgrade however, the desired frequency range in which the islands are to be tracked (100 Hz–10 kHz) is much larger than is possible with a PLL. In this contribution, an extended Kalman filter (EKF) and an unscented Kalman filter (UKF) are proposed for real-time frequency, phase and amplitude tracking of sinusoidal signals, based on noisy measurements. Compared to PLLs, the EKF and UKF are able to track sinusoidal signals in a much larger frequency range. The filters are applied on synthetic data and on experimental data from the TEXTOR and TCV tokamaks, from which we conclude that the UKF can be useful for real-time control of magnetic islands on ASDEX Upgrade
Kalman filters for real-time magnetic island phase tracking
Energy Technology Data Exchange (ETDEWEB)
Borgers, D.P. [Hybrid and Networked Systems, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands); Lauret, M., E-mail: M.Lauret@tue.nl [FOM Institute DIFFER – Dutch Institute for Fundamental Energy Research, Association EURATOM-FOM, Trilateral Euregio Cluster, P.O. Box 1207, Nieuwegein (Netherlands); Control Systems Technology, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands); Baar, M.R. de [FOM Institute DIFFER – Dutch Institute for Fundamental Energy Research, Association EURATOM-FOM, Trilateral Euregio Cluster, P.O. Box 1207, Nieuwegein (Netherlands); Control Systems Technology, Department of Mechanical Engineering – Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven (Netherlands)
2013-11-15
Highlights: • We propose two Kalman filters for tracking of NTMs on ASDEX Upgrade. • The Kalman filters can track NTMs in a much larger frequency range than PLLs. • The filters are tested on synthetic and experimental data from TEXTOR and TCV. • We conclude that the unscented Kalman filter can be useful for NTM control. -- Abstract: For control of neoclassical tearing modes (NTMs) and the resulting rotating magnetic islands in tokamak plasmas, the frequency and phase of the magnetic islands need to be accurately tracked in real-time. In previous experiments on TEXTOR, this was achieved using a phase-locked loop (PLL). For ASDEX Upgrade however, the desired frequency range in which the islands are to be tracked (100 Hz–10 kHz) is much larger than is possible with a PLL. In this contribution, an extended Kalman filter (EKF) and an unscented Kalman filter (UKF) are proposed for real-time frequency, phase and amplitude tracking of sinusoidal signals, based on noisy measurements. Compared to PLLs, the EKF and UKF are able to track sinusoidal signals in a much larger frequency range. The filters are applied on synthetic data and on experimental data from the TEXTOR and TCV tokamaks, from which we conclude that the UKF can be useful for real-time control of magnetic islands on ASDEX Upgrade.
Direct and accelerated parameter mapping using the unscented Kalman filter.
Zhao, Li; Feng, Xue; Meyer, Craig H
2016-05-01
To accelerate parameter mapping using a new paradigm that combines image reconstruction and model regression as a parameter state-tracking problem. In T2 mapping, the T2 map is first encoded in parameter space by multi-TE measurements and then encoded by Fourier transformation with readout/phase encoding gradients. Using a state transition function and a measurement function, the unscented Kalman filter can describe T2 mapping as a dynamic system and directly estimate the T2 map from the k-space data. The proposed method was validated with a numerical brain phantom and volunteer experiments with a multiple-contrast spin echo sequence. Its performance was compared with a conjugate-gradient nonlinear inversion method at undersampling factors of 2 to 8. An accelerated pulse sequence was developed based on this method to achieve prospective undersampling. Compared with the nonlinear inversion reconstruction, the proposed method had higher precision, improved structural similarity and reduced normalized root mean squared error, with acceleration factors up to 8 in numerical phantom and volunteer studies. This work describes a new perspective on parameter mapping by state tracking. The unscented Kalman filter provides a highly accelerated and efficient paradigm for T2 mapping. © 2015 Wiley Periodicals, Inc.
International Nuclear Information System (INIS)
Sun, Fengchun; Hu, Xiaosong; Zou, Yuan; Li, Siguang
2011-01-01
An accurate battery State of Charge estimation is of great significance for battery electric vehicles and hybrid electric vehicles. This paper presents an adaptive unscented Kalman filtering method to estimate State of Charge of a lithium-ion battery for battery electric vehicles. The adaptive adjustment of the noise covariances in the State of Charge estimation process is implemented by an idea of covariance matching in the unscented Kalman filter context. Experimental results indicate that the adaptive unscented Kalman filter-based algorithm has a good performance in estimating the battery State of Charge. A comparison with the adaptive extended Kalman filter, extended Kalman filter, and unscented Kalman filter-based algorithms shows that the proposed State of Charge estimation method has a better accuracy. -- Highlights: → Adaptive unscented Kalman filtering is proposed to estimate State of Charge of a lithium-ion battery for electric vehicles. → The proposed method has a good performance in estimating the battery State of Charge. → A comparison with three other Kalman filtering algorithms shows that the proposed method has a better accuracy.
Skew redundant MEMS IMU calibration using a Kalman filter
International Nuclear Information System (INIS)
Jafari, M; Sahebjameyan, M; Moshiri, B; Najafabadi, T A
2015-01-01
In this paper, a novel calibration procedure for skew redundant inertial measurement units (SRIMUs) based on micro-electro mechanical systems (MEMS) is proposed. A general model of the SRIMU measurements is derived which contains the effects of bias, scale factor error and misalignments. For more accuracy, the effect of lever arms of the accelerometers to the center of the table are modeled and compensated in the calibration procedure. Two separate Kalman filters (KFs) are proposed to perform the estimation of error parameters for gyroscopes and accelerometers. The predictive error minimization (PEM) stochastic modeling method is used to simultaneously model the effect of bias instability and random walk noise on the calibration Kalman filters to diminish the biased estimations. The proposed procedure is simulated numerically and has expected experimental results. The calibration maneuvers are applied using a two-axis angle turntable in a way that the persistency of excitation (PE) condition for parameter estimation is met. For this purpose, a trapezoidal calibration profile is utilized to excite different deterministic error parameters of the accelerometers and a pulse profile is used for the gyroscopes. Furthermore, to evaluate the performance of the proposed KF calibration method, a conventional least squares (LS) calibration procedure is derived for the SRIMUs and the simulation and experimental results compare the functionality of the two proposed methods with each other. (paper)
A Kalman-filter estimate of the tidal harmonic constants
International Nuclear Information System (INIS)
Morsetti, R.
1983-01-01
A Kalman-filter estimate of the tidal harmonic constants is proposed in order to take into account their stochastic behaviour. The filter algorithm has been applied to a state-space model of a stochastic system in which the state is defined by the harmonic constants themselves. The results, analysing Trieste sea-level data, have demonstrated that this approach is very suitable for such a purpose, since good estimates and excellent resolution capabilities have been obtained. Furthermore, this method can be very useful also from a practical point of view because real-time computation of the harmonic constants can be developed where an opportune sea-level data acquisition system is available. In conclusion, this paper has emphasized that tidal harmonic constants have to be treated like random variables and, in consequence, new method of analysis can be used
A Fixed-Lag Kalman Smoother to Filter Power Line Interference in Electrocardiogram Recordings.
Warmerdam, G J J; Vullings, R; Schmitt, L; Van Laar, J O E H; Bergmans, J W M
2017-08-01
Filtering power line interference (PLI) from electrocardiogram (ECG) recordings can lead to significant distortions of the ECG and mask clinically relevant features in ECG waveform morphology. The objective of this study is to filter PLI from ECG recordings with minimal distortion of the ECG waveform. In this paper, we propose a fixed-lag Kalman smoother with adaptive noise estimation. The performance of this Kalman smoother in filtering PLI is compared to that of a fixed-bandwidth notch filter and several adaptive PLI filters that have been proposed in the literature. To evaluate the performance, we corrupted clean neonatal ECG recordings with various simulated PLI. Furthermore, examples are shown of filtering real PLI from an adult and a fetal ECG recording. The fixed-lag Kalman smoother outperforms other PLI filters in terms of step response settling time (improvements that range from 0.1 to 1 s) and signal-to-noise ratio (improvements that range from 17 to 23 dB). Our fixed-lag Kalman smoother can be used for semi real-time applications with a limited delay of 0.4 s. The fixed-lag Kalman smoother presented in this study outperforms other methods for filtering PLI and leads to minimal distortion of the ECG waveform.
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.
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.
Kalman filtering applied to a reagent feed system
International Nuclear Information System (INIS)
Griffin, C.D.; Croson, D.V.; Feeley, J.J.
1988-01-01
Using a Kalman filter solves a troublesome measurement noise problem and, at the same time, improves nuclear safety by detecting leaks to the process' feed tanks. To demonstrate how this technology of optimal estimation can be exploited, this article presents a systematic plan and example of how a Kalman filter was proven in industrial use on a reagent analyzer. A process to recycle uranium from spent fuel elements uses a reagent stream containing boron to dissolve the fuel. The boron is the neutron poison that prevents a nuclear chain reaction during the uranium dissolution. The purpose of the Kalman filter for this system is to reduce the uncertainty in the boron concentration measurement. The filter also provides incipient fault detection by estimating the unmeasured state of any unpoisoned solution, which would dilute the boron solution, entering the feed vessel
Neural network training by Kalman filtering in process system monitoring
International Nuclear Information System (INIS)
Ciftcioglu, Oe.
1996-03-01
Kalman filtering approach for neural network training is described. Its extended form is used as an adaptive filter in a nonlinear environment of the form a feedforward neural network. Kalman filtering approach generally provides fast training as well as avoiding excessive learning which results in enhanced generalization capability. The network is used in a process monitoring application where the inputs are measurement signals. Since the measurement errors are also modelled in Kalman filter the approach yields accurate training with the implication of accurate neural network model representing the input and output relationships in the application. As the process of concern is a dynamic system, the input source of information to neural network is time dependent so that the training algorithm presents an adaptive form for real-time operation for the monitoring task. (orig.)
Data assimilation in the early phase: Kalman filtering RIMPUFF
International Nuclear Information System (INIS)
Astrup, P.; Turcanu, C.; Puch, R.O.; Palma, C.R.; Mikkelsen, T.
2004-09-01
In the framework of the DAONEM project (Data Assimilation for Off-site Nuclear Emergency Management), a data assimilation module, ADUM (Atmospheric Dispersion Updating Module), for the mesoscale atmospheric dispersion program RIMPUFF (Risoe Mesoscale Puff model) part of the early-phase programs of RODOS (Realtime Online DecisiOn Support system for nuclear emergencies) has been developed. It is built on the Kalman filtering algorithm and it assimilates 10-minute averaged gamma dose rates measured at ground level stations. Since the gamma rates are non-linear functions of the state vector variables, the applied Kalman filter is the so-called Extended Kalman filter. In more ways the implementation is non standard: 1) the number of state vector variables varies with time, and 2) the state vector variables are prediction updated with 1-minute time steps but only Kalman filtered every 10 minutes, and this based on time averaged measurements. Given reasonable conditions, i.e. a spatially dense distribution of gamma monitors and a realistic wind field, the developed ADUM module is found to be able to enhance the prediction of the gamma dose field. Based on some of the Kalman filtering parameters, another module, ToDeMM, has been developed for providing the late-phase DeMM (Deposition Monitoring Module) of RODOS with an ensemble of fields of ground level air concentrations and wet deposited material. This accounts for the uncertainty estimation of this kind of quantities as calculated by RIMPUFF for use by DeMM. (au)
Rotation speed measurement for turbine governor: torsion filtering by using Kalman filter
International Nuclear Information System (INIS)
Houry, M.P.; Bourles, H.
1995-11-01
The rotation speed of a turbogenerator is disturbed by its shaft torsion. Obtaining a filtered measure of this sped a problem of a great practical importance for turbine governor. A good filtering of this speed must meet two requirements: it must cut frequencies of the shaft torsion oscillation and it must not reduce or delay the signal in the pass-band. i.e. at lower frequencies. At Electricite de France, the speed measure is used to set in motion the fast valving system as quickly as possible, after a short circuit close to the unit (to contribute to the stability) or after an islanding (to quickly reach a balance with the house load). It is difficult to satisfy these two requirements by using conventional filtering methods. The standard solution consists in a first order filter: at Electricite de France, its time constant is equal to 80 ms; We have decided to improve this filtering by designing a new filter which cuts the frequencies of the shaft torsion oscillation without reducing the bandwidth of the speed measure. If one uses conventional methods to obtain a band-stop filter (for instance a Butterworth, a Chebyshev or an elliptic band-stop filter),it is easy to obtain the desired magnitude but not a phase near zero in the whole pass-band. Therefore, we have chosen to design the filter by using Kalman's theory. The measurement noise is modeled as a colored one, generated by a very lightly damped system driven by a white noise. The resulting Kalman filter is an effective band-stop filter, whose phase nicely remains near zero in the whole pass-band. (authors). 13 refs., 12 figs
On the evaluation of uncertainties for state estimation with the Kalman filter
International Nuclear Information System (INIS)
Eichstädt, S; Makarava, N; Elster, C
2016-01-01
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous areas. It provides sequentially calculated estimates of the system states along with a corresponding covariance matrix. For nonlinear systems, the extended Kalman filter is often used. This is derived from the Kalman filter by linearization around the current estimate. A key issue in metrology is the evaluation of the uncertainty associated with the Kalman filter state estimates. The ‘Guide to the Expression of Uncertainty in Measurement’ (GUM) and its supplements serve as the de facto standard for uncertainty evaluation in metrology. We explore the relationship between the covariance matrix produced by the Kalman filter and a GUM-compliant uncertainty analysis. In addition, the results of a Bayesian analysis are considered. For the case of linear systems with known system matrices, we show that all three approaches are compatible. When the system matrices are not precisely known, however, or when the system is nonlinear, this equivalence breaks down and different results can then be reached. For precisely known nonlinear systems, though, the result of the extended Kalman filter still corresponds to the linearized uncertainty propagation of the GUM. The extended Kalman filter can suffer from linearization and convergence errors. These disadvantages can be avoided to some extent by applying Monte Carlo procedures, and we propose such a method which is GUM-compliant and can also be applied online during the estimation. We illustrate all procedures in terms of a 2D dynamic system and compare the results with those obtained by particle filtering, which has been proposed for the approximate calculation of a Bayesian solution. Finally, we give some recommendations based on our findings. (paper)
A new Approach for Kalman filtering on Mobile Robots in the presence of uncertainties
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Andersen, Nils Axel; Ravn, Ole
1999-01-01
In many practical Kalman filter applications, the quantity of most significance for the estimation error is the process noise matrix. When filters are stabilized or performance is sought to be improved, tuning of this matrix is the most common method. This tuning process cannot be done before the...
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...
State and force observers based on multibody models and the indirect Kalman filter
Sanjurjo, Emilio; Dopico, Daniel; Luaces, Alberto; Naya, Miguel Ángel
2018-06-01
The aim of this work is to present two new methods to provide state observers by combining multibody simulations with indirect extended Kalman filters. One of the methods presented provides also input force estimation. The observers have been applied to two mechanism with four different sensor configurations, and compared to other multibody-based observers found in the literature to evaluate their behavior, namely, the unscented Kalman filter (UKF), and the indirect extended Kalman filter with simplified Jacobians (errorEKF). The new methods have some more computational cost than the errorEKF, but still much less than the UKF. Regarding their accuracy, both are better than the errorEKF. The method with input force estimation outperforms also the UKF, while the method without force estimation achieves results almost identical to those of the UKF. All the methods have been implemented as a reusable MATLAB® toolkit which has been released as Open Source in https://github.com/MBDS/mbde-matlab.
Rotation speed measurement for turbine governor: torsion filtering by using Kalman filter
International Nuclear Information System (INIS)
Houry, M.P.; Bourles, H.
1996-01-01
The rotation speed of a turbogenerator is disturbed by its shaft torsion. Obtaining a filtered measure of this speed is a problem of a great practical importance for turbine governor. A good filtering of this speed must meet two requirements: it must cut frequencies of the shaft torsion oscillation and it must not reduce or delay the signal in the pass-band, i.e. at lower frequencies. At Electricite de France, the speed measure is used to set in motion the fast valving system as quickly as possible, after a short circuit close to the unit or rather an islanding. It is difficult to satisfy these two requirements by using conventional filtering methods. The standard solution consists in a first order filter: at Electricite de France, its time constant is equal to 80 ms. We have decided to improve this filtering by designing a new filter which cuts the frequencies of the shaft torsion oscillation without reducing the bandwidth to the speed measure. If one uses conventional methods to obtain a band stop filter, it is easy to obtain the desired magnitude but not a phase near zero in the whole pass-band. Therefore, we have chosen to design the filter by using Kalman'a theory. The measurement noise is modeled as a colored one, generated by a very lightly damped system driven by a while noise. The resulting Kalman filter is an effective band stop filter, whose phase nicely remains near zero in the whole pass-band. The digital simulations we made and the tests we carried out with the Electricite de France Micro Network laboratory show the advantages of the rotation speed filter we designed using Kalman's theory. With the proposed filter, the speed measure filtering is better in terms of reduction and phase shift. the result is that there are less untimely solicitations of the fast valving system. Consequently, this device improves the power systems stability by minimizing the risks of deep perturbations due to a temporary lack of generation and the risks of under-speed loss
Tao, Dongwang; Li, Hui; Ma, Qiang
2016-04-01
Complete structure identification of complicate nonlinear system using extend Kalman filter (EKF) or unscented Kalman filter (UKF) may have the problems of divergence, huge computation and low estimation precision due to the large dimension of the extended state space for the system. In this article, a decentralized identification method of hysteretic system based on the joint EKF and UKF is proposed. The complete structure is divided into linear substructures and nonlinear substructures. The substructures are identified from the top to the bottom. For the linear substructure, EKF is used to identify the extended space including the displacements, velocities, stiffness and damping coefficients of the substructures, using the limited absolute accelerations and the identified interface force above the substructure. Similarly, for the nonlinear substructure, UKF is used to identify the extended space including the displacements, velocities, stiffness, damping coefficients and control parameters for the hysteretic Bouc-Wen model and the force at the interface of substructures. Finally a 10-story shear-type structure with multiple inter-story hysteresis is used for numerical simulation and is identified using the decentralized approach, and the identified results are compared with those using only EKF or UKF for the complete structure identification. The results show that the decentralized approach has the advantage of more stability, relative less computation and higher estimation precision.
Comparison of several Kalman filter models for establishing MUF
International Nuclear Information System (INIS)
Pike, D.H.; Morrison, G.W.; Holland, C.W.
1976-01-01
Detection of MUF in a material balance area is a problem in nuclear material control. It has been shown that the Kalman filter can detect a MUF in situations which could not be detected by the traditional control chart approach using LEMUF. The Kalman filter is extended in this paper to cover two additional scenarios: (1) the case where a random quantity with a mean of M(t) is removed per period, and (2) the case where MUF is a fraction of the on-hand inventory each period. The Kalman filter is robust, sensitive, produces estimates of the error covariance matrix, and is an iterative technique which is suited for on-line-direct-input information systems
A numerical storm surge forecast model with Kalman filter
Institute of Scientific and Technical Information of China (English)
Yu Fujiang; Zhang Zhanhai; Lin Yihua
2001-01-01
Kalman filter data assimilation technique is incorporated into a standard two-dimensional linear storm surge model. Imperfect model equation and imperfect meteorological forcimg are accounted for by adding noise terms to the momentum equations. The deterministic model output is corrected by using the available tidal gauge station data. The stationary Kalman filter algorithm for the model domain is calculated by an iterative procedure using specified information on the inaccuracies in the momentum equations and specified error information for the observations. An application to a real storm surge that occurred in the summer of 1956 in the East China Sea is performed by means of this data assimilation technique. The result shows that Kalman filter is useful for storm surge forecast and hindcast.
Application of wavelet-based multi-model Kalman filters to real-time flood forecasting
Chou, Chien-Ming; Wang, Ru-Yih
2004-04-01
This paper presents the application of a multimodel method using a wavelet-based Kalman filter (WKF) bank to simultaneously estimate decomposed state variables and unknown parameters for real-time flood forecasting. Applying the Haar wavelet transform alters the state vector and input vector of the state space. In this way, an overall detail plus approximation describes each new state vector and input vector, which allows the WKF to simultaneously estimate and decompose state variables. The wavelet-based multimodel Kalman filter (WMKF) is a multimodel Kalman filter (MKF), in which the Kalman filter has been substituted for a WKF. The WMKF then obtains M estimated state vectors. Next, the M state-estimates, each of which is weighted by its possibility that is also determined on-line, are combined to form an optimal estimate. Validations conducted for the Wu-Tu watershed, a small watershed in Taiwan, have demonstrated that the method is effective because of the decomposition of wavelet transform, the adaptation of the time-varying Kalman filter and the characteristics of the multimodel method. Validation results also reveal that the resulting method enhances the accuracy of the runoff prediction of the rainfall-runoff process in the Wu-Tu watershed.
Low-Rank Kalman Filtering in Subsurface Contaminant Transport Models
El Gharamti, Mohamad
2010-12-01
Understanding the geology and the hydrology of the subsurface is important to model the fluid flow and the behavior of the contaminant. It is essential to have an accurate knowledge of the movement of the contaminants in the porous media in order to track them and later extract them from the aquifer. A two-dimensional flow model is studied and then applied on a linear contaminant transport model in the same porous medium. Because of possible different sources of uncertainties, the deterministic model by itself cannot give exact estimations for the future contaminant state. Incorporating observations in the model can guide it to the true state. This is usually done using the Kalman filter (KF) when the system is linear and the extended Kalman filter (EKF) when the system is nonlinear. To overcome the high computational cost required by the KF, we use the singular evolutive Kalman filter (SEKF) and the singular evolutive extended Kalman filter (SEEKF) approximations of the KF operating with low-rank covariance matrices. The SEKF can be implemented on large dimensional contaminant problems while the usage of the KF is not possible. Experimental results show that with perfect and imperfect models, the low rank filters can provide as much accurate estimates as the full KF but at much less computational cost. Localization can help the filter analysis as long as there are enough neighborhood data to the point being analyzed. Estimating the permeabilities of the aquifer is successfully tackled using both the EKF and the SEEKF.
Low-Rank Kalman Filtering in Subsurface Contaminant Transport Models
El Gharamti, Mohamad
2010-01-01
Understanding the geology and the hydrology of the subsurface is important to model the fluid flow and the behavior of the contaminant. It is essential to have an accurate knowledge of the movement of the contaminants in the porous media in order to track them and later extract them from the aquifer. A two-dimensional flow model is studied and then applied on a linear contaminant transport model in the same porous medium. Because of possible different sources of uncertainties, the deterministic model by itself cannot give exact estimations for the future contaminant state. Incorporating observations in the model can guide it to the true state. This is usually done using the Kalman filter (KF) when the system is linear and the extended Kalman filter (EKF) when the system is nonlinear. To overcome the high computational cost required by the KF, we use the singular evolutive Kalman filter (SEKF) and the singular evolutive extended Kalman filter (SEEKF) approximations of the KF operating with low-rank covariance matrices. The SEKF can be implemented on large dimensional contaminant problems while the usage of the KF is not possible. Experimental results show that with perfect and imperfect models, the low rank filters can provide as much accurate estimates as the full KF but at much less computational cost. Localization can help the filter analysis as long as there are enough neighborhood data to the point being analyzed. Estimating the permeabilities of the aquifer is successfully tackled using both the EKF and the SEEKF.
Adaptive robust Kalman filtering for precise point positioning
International Nuclear Information System (INIS)
Guo, Fei; Zhang, Xiaohong
2014-01-01
The optimality of precise point postioning (PPP) solution using a Kalman filter is closely connected to the quality of the a priori information about the process noise and the updated mesurement noise, which are sometimes difficult to obtain. Also, the estimation enviroment in the case of dynamic or kinematic applications is not always fixed but is subject to change. To overcome these problems, an adaptive robust Kalman filtering algorithm, the main feature of which introduces an equivalent covariance matrix to resist the unexpected outliers and an adaptive factor to balance the contribution of observational information and predicted information from the system dynamic model, is applied for PPP processing. The basic models of PPP including the observation model, dynamic model and stochastic model are provided first. Then an adaptive robust Kalmam filter is developed for PPP. Compared with the conventional robust estimator, only the observation with largest standardized residual will be operated by the IGG III function in each iteration to avoid reducing the contribution of the normal observations or even filter divergence. Finally, tests carried out in both static and kinematic modes have confirmed that the adaptive robust Kalman filter outperforms the classic Kalman filter by turning either the equivalent variance matrix or the adaptive factor or both of them. This becomes evident when analyzing the positioning errors in flight tests at the turns due to the target maneuvering and unknown process/measurement noises. (paper)
An iterated cubature unscented Kalman filter for large-DoF systems identification with noisy data
Ghorbani, Esmaeil; Cha, Young-Jin
2018-04-01
Structural and mechanical system identification under dynamic loading has been an important research topic over the last three or four decades. Many Kalman-filtering-based approaches have been developed for linear and nonlinear systems. For example, to predict nonlinear systems, an unscented Kalman filter was applied. However, from extensive literature reviews, the unscented Kalman filter still showed weak performance on systems with large degrees of freedom. In this research, a modified unscented Kalman filter is proposed by integration of a cubature Kalman filter to improve the system identification performance of systems with large degrees of freedom. The novelty of this work lies on conjugating the unscented transform with the cubature integration concept to find a more accurate output from the transformation of the state vector and its related covariance matrix. To evaluate the proposed method, three different numerical models (i.e., the single degree-of-freedom Bouc-Wen model, the linear 3-degrees-of-freedom system, and the 10-degrees-of-freedom system) are investigated. To evaluate the robustness of the proposed method, high levels of noise in the measured response data are considered. The results show that the proposed method is significantly superior to the traditional UKF for noisy measured data in systems with large degrees of freedom.
Prior knowledge processing for initial state of Kalman filter
Czech Academy of Sciences Publication Activity Database
Suzdaleva, Evgenia
2010-01-01
Roč. 24, č. 3 (2010), s. 188-202 ISSN 0890-6327 R&D Projects: GA ČR(CZ) GP201/06/P434 Institutional research plan: CEZ:AV0Z10750506 Keywords : Kalman filtering * prior knowledge * state-space model * initial state distribution Subject RIV: BC - Control Systems Theory Impact factor: 0.729, year: 2010 http://library.utia.cas.cz/separaty/2009/AS/suzdaleva-prior knowledge processing for initial state of kalman filter.pdf
Nonlinear Kalman Filtering in Affine Term Structure Models
DEFF Research Database (Denmark)
Christoffersen, Peter; Dorion, Christian; Jacobs, Kris
When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi…ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze...... the potential of the unscented Kalman …filter to properly capture nonlinearities. To illustrate the advantages of the unscented Kalman …filter, we analyze the cross section of swap rates, which are relatively simple non-linear instruments, and cap prices, which are highly nonlinear in the states. An extensive...
Signal reconstruction in wireless sensor networks based on a cubature Kalman particle filter
International Nuclear Information System (INIS)
Huang Jin-Wang; Feng Jiu-Chao
2014-01-01
For solving the issues of the signal reconstruction of nonlinear non-Gaussian signals in wireless sensor networks (WSNs), a new signal reconstruction algorithm based on a cubature Kalman particle filter (CKPF) is proposed in this paper. We model the reconstruction signal first and then use the CKPF to estimate the signal. The CKPF uses a cubature Kalman filter (CKF) to generate the importance proposal distribution of the particle filter and integrates the latest observation, which can approximate the true posterior distribution better. It can improve the estimation accuracy. CKPF uses fewer cubature points than the unscented Kalman particle filter (UKPF) and has less computational overheads. Meanwhile, CKPF uses the square root of the error covariance for iterating and is more stable and accurate than the UKPF counterpart. Simulation results show that the algorithm can reconstruct the observed signals quickly and effectively, at the same time consuming less computational time and with more accuracy than the method based on UKPF. (general)
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.
Demodulation of moire fringes in digital holographic interferometry using an extended Kalman filter.
Ramaiah, Jagadesh; Rastogi, Pramod; Rajshekhar, Gannavarpu
2018-03-10
This paper presents a method for extracting multiple phases from a single moire fringe pattern in digital holographic interferometry. The method relies on component separation using singular value decomposition and an extended Kalman filter for demodulating the moire fringes. The Kalman filter is applied by modeling the interference field locally as a multi-component polynomial phase signal and extracting the associated multiple polynomial coefficients using the state space approach. In addition to phase, the corresponding multiple phase derivatives can be simultaneously extracted using the proposed method. The applicability of the proposed method is demonstrated using simulation and experimental results.
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.
International Nuclear Information System (INIS)
Tamboli, P.K.; Duttagupta, Siddhartha P.; Roy, Kallol
2016-01-01
Highlights: • Derivation for delay compensation algorithm using recursive Kalman filter. • Derivation for delay compensation algorithm using Linear Matrix Inequality based H infinity filter. • Process modeling suitable for delay compensation. • Dynamic tuning of the delay compensation algorithm for both Kalman and H infinity filter. • Simulations and trade-off curve for Kalman and H infinity filter. - Abstract: This paper deals with delay compensation of vanadium Self Powered Neutron Detectors (SPNDs) using Linear Matrix Inequality (LMI) based H-infinity filtering method and compares the results with Kalman filtering method. The entire study is established upon the framework of neutron flux estimation in large core Pressurized Heavy Water Reactor (PHWR) in which delayed SPNDs such as vanadium SPNDs are used as in-core flux monitoring detectors. The use of vanadium SPNDs are limited to 3-D flux mapping despite of providing better Signal to Noise Ratio as compared to other prompt SPNDs, due to their small prompt component in the signal. The use of an appropriate delay compensation technique has been always considered to be an effective strategy to build a prompt and accurate estimate of the neutron flux. We also indicate the noise-response trade-off curve for both the techniques. Since all the delay compensation algorithms always suffer from noise amplification, we propose an efficient adaptive parameter tuning technique for improving performance of the filtering algorithm against noise in the measurement.
On a nonlinear Kalman filter with simplified divided difference approximation
Luo, Xiaodong; Hoteit, Ibrahim; Moroz, Irene M.
2012-01-01
We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling's interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling's interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the analysis. In this sense, the sDDF is a hybrid of Stirling's interpolation formula and the EnSRF method, while the computational cost of the sDDF is less than that of the EnSRF. Numerical comparison between the sDDF and the EnSRF, with the ensemble transform Kalman filter (ETKF) as the representative, is conducted. The experiment results suggest that the sDDF outperforms the ETKF with a relatively large ensemble size, and thus is a good candidate for data assimilation in systems with moderate dimensions. © 2011 Elsevier B.V. All rights reserved.
On a nonlinear Kalman filter with simplified divided difference approximation
Luo, Xiaodong
2012-03-01
We present a new ensemble-based approach that handles nonlinearity based on a simplified divided difference approximation through Stirling\\'s interpolation formula, which is hence called the simplified divided difference filter (sDDF). The sDDF uses Stirling\\'s interpolation formula to evaluate the statistics of the background ensemble during the prediction step, while at the filtering step the sDDF employs the formulae in an ensemble square root filter (EnSRF) to update the background to the analysis. In this sense, the sDDF is a hybrid of Stirling\\'s interpolation formula and the EnSRF method, while the computational cost of the sDDF is less than that of the EnSRF. Numerical comparison between the sDDF and the EnSRF, with the ensemble transform Kalman filter (ETKF) as the representative, is conducted. The experiment results suggest that the sDDF outperforms the ETKF with a relatively large ensemble size, and thus is a good candidate for data assimilation in systems with moderate dimensions. © 2011 Elsevier B.V. All rights reserved.
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.
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.
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...
An Improved Strong Tracking Cubature Kalman Filter for GPS/INS Integrated Navigation Systems.
Feng, Kaiqiang; Li, Jie; Zhang, Xi; Zhang, Xiaoming; Shen, Chong; Cao, Huiliang; Yang, Yanyu; Liu, Jun
2018-06-12
The cubature Kalman filter (CKF) is widely used in the application of GPS/INS integrated navigation systems. However, its performance may decline in accuracy and even diverge in the presence of process uncertainties. To solve the problem, a new algorithm named improved strong tracking seventh-degree spherical simplex-radial cubature Kalman filter (IST-7thSSRCKF) is proposed in this paper. In the proposed algorithm, the effect of process uncertainty is mitigated by using the improved strong tracking Kalman filter technique, in which the hypothesis testing method is adopted to identify the process uncertainty and the prior state estimate covariance in the CKF is further modified online according to the change in vehicle dynamics. In addition, a new seventh-degree spherical simplex-radial rule is employed to further improve the estimation accuracy of the strong tracking cubature Kalman filter. In this way, the proposed comprehensive algorithm integrates the advantage of 7thSSRCKF’s high accuracy and strong tracking filter’s strong robustness against process uncertainties. The GPS/INS integrated navigation problem with significant dynamic model errors is utilized to validate the performance of proposed IST-7thSSRCKF. Results demonstrate that the improved strong tracking cubature Kalman filter can achieve higher accuracy than the existing CKF and ST-CKF, and is more robust for the GPS/INS integrated navigation system.
Performance reliability prediction for thermal aging based on kalman filtering
International Nuclear Information System (INIS)
Ren Shuhong; Wen Zhenhua; Xue Fei; Zhao Wensheng
2015-01-01
The performance reliability of the nuclear power plant main pipeline that failed due to thermal aging was studied by the performance degradation theory. Firstly, through the data obtained from the accelerated thermal aging experiments, the degradation process of the impact strength and fracture toughness of austenitic stainless steel material of the main pipeline was analyzed. The time-varying performance degradation model based on the state space method was built, and the performance trends were predicted by using Kalman filtering. Then, the multi-parameter and real-time performance reliability prediction model for the main pipeline thermal aging was developed by considering the correlation between the impact properties and fracture toughness, and by using the stochastic process theory. Thus, the thermal aging performance reliability and reliability life of the main pipeline with multi-parameter were obtained, which provides the scientific basis for the optimization management of the aging maintenance decision making for nuclear power plant main pipelines. (authors)
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.
Directory of Open Access Journals (Sweden)
Xiangwei Guo
2016-02-01
Full Text Available An estimation of the power battery state of charge (SOC is related to the energy management, the battery cycle life and the use cost of electric vehicles. When a lithium-ion power battery is used in an electric vehicle, the SOC displays a very strong time-dependent nonlinearity under the influence of random factors, such as the working conditions and the environment. Hence, research on estimating the SOC of a power battery for an electric vehicle is of great theoretical significance and application value. In this paper, according to the dynamic response of the power battery terminal voltage during a discharging process, the second-order RC circuit is first used as the equivalent model of the power battery. Subsequently, on the basis of this model, the least squares method (LS with a forgetting factor and the adaptive unscented Kalman filter (AUKF algorithm are used jointly in the estimation of the power battery SOC. Simulation experiments show that the joint estimation algorithm proposed in this paper has higher precision and convergence of the initial value error than a single AUKF algorithm.
Speed Estimation of Induction Motor Using Model Reference Adaptive System with Kalman Filter
Directory of Open Access Journals (Sweden)
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.
Application Of Kalman Filter In Navigation Process Of Automated Guided Vehicles
Directory of Open Access Journals (Sweden)
Śmieszek Mirosław
2015-09-01
Full Text Available In the paper an example of application of the Kalman filtering in the navigation process of automatically guided vehicles was presented. The basis for determining the position of automatically guided vehicles is odometry – the navigation calculation. This method of determining the position of a vehicle is affected by many errors. In order to eliminate these errors, in modern vehicles additional systems to increase accuracy in determining the position of a vehicle are used. In the latest navigation systems during route and position adjustments the probabilistic methods are used. The most frequently applied are Kalman filters.
The Kalman filter for the pedologist's tool kit
Webster, R.; Heuvelink, G.B.M.
2006-01-01
The Kalman filter is a tool designed primarily to estimate the values of the `state¿ of a dynamic system in time. There are two main equations. These are the state equation, which describes the behaviour of the state over time, and the measurement equation, which describes at what times and in what
Predicting Breeding Values in Animals by Kalman Filter
DEFF Research Database (Denmark)
Karacaoren, B; Janss, L L G; Kadarmideen, H N
2012-01-01
The aim of this study was to investigate usefulness of Kalman Filter (KF) Random Walk methodology (KF-RW) for prediction of breeding values in animals. We used body condition score (BCS) from dairy cattle for illustrating use of KF-RW. BCS was measured by Swiss Holstein Breeding Association during...
Event-triggered Kalman-consensus filter for two-target tracking sensor networks.
Su, Housheng; Li, Zhenghao; Ye, Yanyan
2017-11-01
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.
DEFF Research Database (Denmark)
Mohd. Azam, Sazuan Nazrah
2017-01-01
In this paper, we used the modified quadruple tank system that represents a multi-input-multi-output (MIMO) system as an example to present the realization of a linear discrete-time state space model and to obtain the state estimation using Kalman filter in a methodical mannered. First, an existing...... part of the Kalman filter is used to estimates the current state, based on the model and the measurements. The static and dynamic Kalman filter is compared and all results is demonstrated through simulations....
A Quantised State Systems Approach for Jacobian Free Extended Kalman Filtering
DEFF Research Database (Denmark)
Alminde, Lars; Bendtsen, Jan Dimon; Stoustrup, Jakob
2007-01-01
Model based methods for control of intelligent autonomous systems rely on a state estimate being available. One of the most common methods to obtain a state estimate for non-linear systems is the Extended Kalman Filter (EKF) algorithm. In order to apply the EKF an expression must be available...
An 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.
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.
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.
International Nuclear Information System (INIS)
Ermolaev, P; Volynsky, M
2014-01-01
Recurrent stochastic data processing algorithms using representation of interferometric signal as output of a dynamic system, which state is described by vector of parameters, in some cases are more effective, compared with conventional algorithms. Interferometric signals depend on phase nonlinearly. Consequently it is expedient to apply algorithms of nonlinear stochastic filtering, such as Kalman type filters. An application of the second order extended Kalman filter and Markov nonlinear filter that allows to minimize estimation error is described. Experimental results of signals processing are illustrated. Comparison of the algorithms is presented and discussed.
Application of adaptive Kalman filter in vehicle laser Doppler velocimetry
Fan, Zhe; Sun, Qiao; Du, Lei; Bai, Jie; Liu, Jingyun
2018-03-01
Due to the variation of road conditions and motor characteristics of vehicle, great root-mean-square (rms) error and outliers would be caused. Application of Kalman filter in laser Doppler velocimetry(LDV) is important to improve the velocity measurement accuracy. In this paper, the state-space model is built by using current statistical model. A strategy containing two steps is adopted to make the filter adaptive and robust. First, the acceleration variance is adaptively adjusted by using the difference of predictive observation and measured observation. Second, the outliers would be identified and the measured noise variance would be adjusted according to the orthogonal property of innovation to reduce the impaction of outliers. The laboratory rotating table experiments show that adaptive Kalman filter greatly reduces the rms error from 0.59 cm/s to 0.22 cm/s and has eliminated all the outliers. Road experiments compared with a microwave radar show that the rms error of LDV is 0.0218 m/s, and it proves that the adaptive Kalman filtering is suitable for vehicle speed signal processing.
Pengenal Gerakan dengan Joystick Akselerometer Menggunakan Filter Kalman
Directory of Open Access Journals (Sweden)
Khoirudin Fathoni
2017-12-01
Full Text Available Human Machine Interaction keeps growing and developing, one of development is through gesture recognition that detects acceleration in a movement. This technology has been applied in joystick Wiimote and Wii-nunchuk by Nintendo that is widely used all over the world. Two main challenges in using accelerometer are to eliminate the noise of the sensor and to cancel the detected gravity acceleration when the joystick is tilted. The noise and gravity acceleration may influence the data reading and create error accumulation, respectively. This work proposes an implementation of Kalman Filter and also a simple technique to eliminate the influence of the gravity acceleration as a solution to solve above problems in using accelerometer of Wii-Nunchuk joystick in Board Arduino Mega 2560. The experimental results in motionless position show that the filter can reduce the gravity acceleration. We have to set the initial value of q and R parameters in the estimation of position, speed, and acceleration using Kalman filter. Once R is decided, the change of q will determine Kk gain, and it will locate the poles of the observer that influence the stability and the estimation result. With R=0.00005 and q=1, the poles of Kalman filter are located in the unit circle so that the estimation is stable and appropriate with the data from the sensor and even cancel the noise.
Superimposed chirped pulse parameter estimation based on the extended Kalman filter (EKF)
CSIR Research Space (South Africa)
Olivier, JC
2009-05-01
Full Text Available An extended Kalman filter (EKF) is proposed to estimate the frequencies and chirp rate of multiple superimposed chirped pulses. The estimation problem is a difficult one, where maximum likelyhood methods are very complex especially if more than two...
Institute of Scientific and Technical Information of China (English)
王铁成; 李伟力; 孙建伟
2003-01-01
A mathematical model has been built up for compound cage rotor induction machine with the rotor re-sistance and leakage inductance in the model identified through Kalman filtering method. Using the identifiedparameters, simulation studies are performed, and simulation results are compared with testing results.
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
Sebacher, B.; Hanea, R.G.; Heemink, A.
2013-01-01
In the past years, many applications of historymatching methods in general and ensemble Kalman filter in particular have been proposed, especially in order to estimate fields that provide uncertainty in the stochastic process defined by the dynamical system of hydrocarbon recovery. Such fields can
Maximum Correntropy Criterion Kalman Filter for α-Jerk Tracking Model with Non-Gaussian Noise
Directory of Open Access Journals (Sweden)
Bowen Hou
2017-11-01
Full Text Available As one of the most critical issues for target track, α -jerk model is an effective maneuver target track model. Non-Gaussian noises always exist in the track process, which usually lead to inconsistency and divergence of the track filter. A novel Kalman filter is derived and applied on α -jerk tracking model to handle non-Gaussian noise. The weighted least square solution is presented and the standard Kalman filter is deduced firstly. A novel Kalman filter with the weighted least square based on the maximum correntropy criterion is deduced. The robustness of the maximum correntropy criterion is also analyzed with the influence function and compared with the Huber-based filter, and, moreover, the kernel size of Gaussian kernel plays an important role in the filter algorithm. A new adaptive kernel method is proposed in this paper to adjust the parameter in real time. Finally, simulation results indicate the validity and the efficiency of the proposed filter. The comparison study shows that the proposed filter can significantly reduce the noise influence for α -jerk model.
International Nuclear Information System (INIS)
Boulfelfel, D.; Rangayyan, R.M.; Kuduvalli, G.R.; Hahn, L.J.; Kloiber, R.
1994-01-01
The discrete filtered backprojection (DFBP) algorithm used for the reconstruction of single photon emission computed tomography (SPECT) images affects image quality because of the operations of filtering and discretization. The discretization of the filtered backprojection process can cause the modulation transfer function (MTF) of the SPECT imaging system to be anisotropic and nonstationary, especially near the edges of the camera's field of view. The use of shift-invariant restoration techniques fails to restore large images because these techniques do not account for such variations in the MTF. This study presents the application of a two-dimensional (2-D) shift-variant Kalman filter for post-reconstruction restoration of SPECT slices. This filter was applied to SPECT images of a hollow cylinder phantom; a resolution phantom; and a large, truncated cone phantom containing two types of cold spots, a sphere, and a triangular prism. The images were acquired on an ADAC GENESYS camera. A comparison was performed between results obtained by the Kalman filter and those obtained by shift-invariant filters. Quantitative analysis of the restored images performed through measurement of root mean squared errors shows a considerable reduction in error of Kalman-filtered images over images restored using shift-invariant methods
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).
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.
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...
Estimation of aircraft aerodynamic derivatives using Extended Kalman Filter
Curvo, M.
2000-01-01
Design of flight control laws, verification of performance predictions, and the implementation of flight simulations are tasks that require a mathematical model of the aircraft dynamics. The dynamical models are characterized by coefficients (aerodynamic derivatives) whose values must be determined from flight tests. This work outlines the use of the Extended Kalman Filter (EKF) in obtaining the aerodynamic derivatives of an aircraft. The EKF shows several advantages over the more traditional...
A new iterative speech enhancement scheme based on Kalman filtering
DEFF Research Database (Denmark)
Li, Chunjian; Andersen, Søren Vang
2005-01-01
for a high temporal resolution estimation of this variance. A Local Variance Estimator based on a Prediction Error Kalman Filter is designed for this high temporal resolution variance estimation. To achieve fast convergence and avoid local maxima of the likelihood function, a Weighted Power Spectral....... Performance comparison shows significant improvement over the baseline EM algorithm in terms of three objective measures. Listening test indicates an improvement in subjective quality due to a significant reduction of musical noise compared to the baseline EM algorithm....
Kalman Filtered MR Temperature Imaging for Laser Induced Thermal Therapies
Fuentes, D.; Yung, J.; Hazle, J. D.; Weinberg, J. S.; Stafford, R. J.
2011-01-01
The feasibility of using a stochastic form of Pennes bioheat model within a 3D finite element based Kalman filter (KF) algorithm is critically evaluated for the ability to provide temperature field estimates in the event of magnetic resonance temperature imaging (MRTI) data loss during laser induced thermal therapy (LITT). The ability to recover missing MRTI data was analyzed by systematically removing spatiotemporal information from a clinical MR-guided LITT procedure in human brain and comp...
Cubature/ Unscented/ Sigma Point Kalman Filtering with Angular Measurement Models
2015-07-06
similarly transformed to work with the Laplace distribution. Cubature formulae for w(x) = 1 over regions of various shapes could be used for evaluating...measurement and process non- linearities, such as the cubature Kalman filter, can perform ex- tremely poorly in many applications involving angular...in the form of the “unscented transform ”) consider just converting such measurements into Cartesian coordinates and feeding the converted measurements
ANALYSIS OF SST IMAGES BY WEIGHTED ENSEMBLE TRANSFORM KALMAN FILTER
Sai , Gorthi; Beyou , Sébastien; Memin , Etienne
2011-01-01
International audience; This paper presents a novel, efficient scheme for the analysis of Sea Surface Temperature (SST) ocean images. We consider the estimation of the velocity fields and vorticity values from a sequence of oceanic images. The contribution of this paper lies in proposing a novel, robust and simple approach based onWeighted Ensemble Transform Kalman filter (WETKF) data assimilation technique for the analysis of real SST images, that may contain coast regions or large areas of ...
Detection of Harmonic Occurring using Kalman Filtering
DEFF Research Database (Denmark)
Hussain, Dil Muhammad Akbar; Shoro, Ghulam Mustafa; Imran, Raja Muhammed
2014-01-01
/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...
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...
Machine learning of radial basis function neural network based on Kalman filter: Introduction
Directory of Open Access Journals (Sweden)
Vuković Najdan L.
2014-01-01
Full Text Available This paper analyzes machine learning of radial basis function neural network based on Kalman filtering. Three algorithms are derived: linearized Kalman filter, linearized information filter and unscented Kalman filter. We emphasize basic properties of these estimation algorithms, demonstrate how their advantages can be used for optimization of network parameters, derive mathematical models and show how they can be applied to model problems in engineering practice.
Practical feasibility of Kalman filters for the state estimation of lithium-ion batteries
Campestrini, Christian
2018-01-01
This work investigates the feasibility of the Kalman filter for the state estimation of lithium-ion cells and modules under real conditions. Therefore, the dependencies of the cells during ageing are shown and various Kalman filter types are compared. The strongly varying model parameters, as well as the temperature and ageing dependent open circuit voltage, require an empirical adaptation of the inconstant and non-linear filter tuning parameters. The performance of the Kalman filter in a rea...
Rigatos, Gerasimos G; Rigatou, Efthymia G; Djida, Jean Daniel
2015-10-01
A method for early diagnosis of parametric changes in intracellular protein synthesis models (e.g. the p53 protein - mdm2 inhibitor model) is developed with the use of a nonlinear Kalman Filtering approach (Derivative-free nonlinear Kalman Filter) and of statistical change detection methods. The intracellular protein synthesis dynamic model is described by a set of coupled nonlinear differential equations. It is shown that such a dynamical system satisfies differential flatness properties and this allows to transform it, through a change of variables (diffeomorphism), to the so-called linear canonical form. For the linearized equivalent of the dynamical system, state estimation can be performed using the Kalman Filter recursion. Moreover, by applying an inverse transformation based on the previous diffeomorphism it becomes also possible to obtain estimates of the state variables of the initial nonlinear model. By comparing the output of the Kalman Filter (which is assumed to correspond to the undistorted dynamical model) with measurements obtained from the monitored protein synthesis system, a sequence of differences (residuals) is obtained. The statistical processing of the residuals with the use of x2 change detection tests, can provide indication within specific confidence intervals about parametric changes in the considered biological system and consequently indications about the appearance of specific diseases (e.g. malignancies).
The use of the Kalman filter in the automated segmentation of EIT lung images
International Nuclear Information System (INIS)
Zifan, A; Chapman, B E; Liatsis, P
2013-01-01
In this paper, we present a new pipeline for the fast and accurate segmentation of impedance images of the lungs using electrical impedance tomography (EIT). EIT is an emerging, promising, non-invasive imaging modality that produces real-time, low spatial but high temporal resolution images of impedance inside a body. Recovering impedance itself constitutes a nonlinear ill-posed inverse problem, therefore the problem is usually linearized, which produces impedance-change images, rather than static impedance ones. Such images are highly blurry and fuzzy along object boundaries. We provide a mathematical reasoning behind the high suitability of the Kalman filter when it comes to segmenting and tracking conductivity changes in EIT lung images. Next, we use a two-fold approach to tackle the segmentation problem. First, we construct a global lung shape to restrict the search region of the Kalman filter. Next, we proceed with augmenting the Kalman filter by incorporating an adaptive foreground detection system to provide the boundary contours for the Kalman filter to carry out the tracking of the conductivity changes as the lungs undergo deformation in a respiratory cycle. The proposed method has been validated by using performance statistics such as misclassified area, and false positive rate, and compared to previous approaches. The results show that the proposed automated method can be a fast and reliable segmentation tool for EIT imaging. (paper)
State of Charge Estimation of Lithium-Ion Batteries Using an Adaptive Cubature Kalman Filter
Directory of Open Access Journals (Sweden)
Bizhong Xia
2015-06-01
Full Text Available Accurate state of charge (SOC estimation is of great significance for a lithium-ion battery to ensure its safe operation and to prevent it from over-charging or over-discharging. However, it is difficult to get an accurate value of SOC since it is an inner sate of a battery cell, which cannot be directly measured. This paper presents an Adaptive Cubature Kalman filter (ACKF-based SOC estimation algorithm for lithium-ion batteries in electric vehicles. Firstly, the lithium-ion battery is modeled using the second-order resistor-capacitor (RC equivalent circuit and parameters of the battery model are determined by the forgetting factor least-squares method. Then, the Adaptive Cubature Kalman filter for battery SOC estimation is introduced and the estimated process is presented. Finally, two typical driving cycles, including the Dynamic Stress Test (DST and New European Driving Cycle (NEDC are applied to evaluate the performance of the proposed method by comparing with the traditional extended Kalman filter (EKF and cubature Kalman filter (CKF algorithms. Experimental results show that the ACKF algorithm has better performance in terms of SOC estimation accuracy, convergence to different initial SOC errors and robustness against voltage measurement noise as compared with the traditional EKF and CKF algorithms.
The use of the Kalman filter in the automated segmentation of EIT lung images.
Zifan, A; Liatsis, P; Chapman, B E
2013-06-01
In this paper, we present a new pipeline for the fast and accurate segmentation of impedance images of the lungs using electrical impedance tomography (EIT). EIT is an emerging, promising, non-invasive imaging modality that produces real-time, low spatial but high temporal resolution images of impedance inside a body. Recovering impedance itself constitutes a nonlinear ill-posed inverse problem, therefore the problem is usually linearized, which produces impedance-change images, rather than static impedance ones. Such images are highly blurry and fuzzy along object boundaries. We provide a mathematical reasoning behind the high suitability of the Kalman filter when it comes to segmenting and tracking conductivity changes in EIT lung images. Next, we use a two-fold approach to tackle the segmentation problem. First, we construct a global lung shape to restrict the search region of the Kalman filter. Next, we proceed with augmenting the Kalman filter by incorporating an adaptive foreground detection system to provide the boundary contours for the Kalman filter to carry out the tracking of the conductivity changes as the lungs undergo deformation in a respiratory cycle. The proposed method has been validated by using performance statistics such as misclassified area, and false positive rate, and compared to previous approaches. The results show that the proposed automated method can be a fast and reliable segmentation tool for EIT imaging.
Kalman filter analysis of delayed neutron nondestructive assay measurements
International Nuclear Information System (INIS)
Aumeier, S. E.
1998-01-01
The ability to nondestructively determine the presence and quantity of fissile and fertile nuclei in various matrices is important in several nuclear applications including international and domestics safeguards, radioactive waste characterization and nuclear facility operations. Material irradiation followed by delayed neutron counting is a well known and useful nondestructive assay technique used to determine the fissile-effective content of assay samples. Previous studies have demonstrated the feasibility of using Kalman filters to unfold individual isotopic contributions to delayed neutron measurements resulting from the assay of mixes of uranium and plutonium isotopes. However, the studies in question used simulated measurement data and idealized parameters. We present the results of the Kalman filter analysis of several measurements of U/Pu mixes taken using Argonne National Laboratory's delayed neutron nondestructive assay device. The results demonstrate the use of Kalman filters as a signal processing tool to determine the fissile and fertile isotopic content of an assay sample from the aggregate delayed neutron response following neutron irradiation
Parallel Kalman filter track fit based on vector classes
Energy Technology Data Exchange (ETDEWEB)
Kisel, Ivan [GSI Helmholtzzentrum fuer Schwerionenforschung GmbH (Germany); Kretz, Matthias [Kirchhoff-Institut fuer Physik, Ruprecht-Karls Universitaet, Heidelberg (Germany); Kulakov, Igor [Goethe-Universitaet, Frankfurt am Main (Germany); National Taras Shevchenko University, Kyiv (Ukraine)
2010-07-01
Modern high energy physics experiments have to process terabytes of input data produced in particle collisions. The core of the data reconstruction in high energy physics is the Kalman filter. Therefore, developing the fast Kalman filter algorithm, which uses maximum available power of modern processors, is important, in particular for initial selection of events interesting for the new physics. One of processors features, which can speed up the algorithm, is a SIMD instruction set, which allows to pack several data items in one register and operate on all of them in one go, thus achieving more operations per clock cycle. Therefore a flexible and useful interface, which uses the SIMD instruction set on different CPU and GPU processors architectures, has been realized as a vector classes library. The Kalman filter based track fitting algorithm has been implemented with use of the vector classes. Fitting quality tests show good results with the residuals equal to 49 {mu}m and 44 {mu}m for x and y track parameters and relative momentum resolution of 0.7%. The fitting time of 0.053 {mu}s per track has been achieved on Intel Xeon X5550 with 8 cores at 2.6 GHz by using in addition Intel Threading Building Blocks.
Discrete Kalman Filter based Sensor Fusion for Robust Accessibility Interfaces
International Nuclear Information System (INIS)
Ghersi, I; Miralles, M T; Mariño, M
2016-01-01
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. (paper)
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.
Temperature profile retrievals with extended Kalman-Bucy filters
Ledsham, W. H.; Staelin, D. H.
1979-01-01
The Extended Kalman-Bucy Filter is a powerful technique for estimating non-stationary random parameters in situations where the received signal is a noisy non-linear function of those parameters. A practical causal filter for retrieving atmospheric temperature profiles from radiances observed at a single scan angle by the Scanning Microwave Spectrometer (SCAMS) carried on the Nimbus 6 satellite typically shows approximately a 10-30% reduction in rms error about the mean at almost all levels below 70 mb when compared with a regression inversion.
Data assimilation in integrated hydrological modeling using ensemble Kalman filtering
DEFF Research Database (Denmark)
Rasmussen, Jørn; Madsen, H.; Jensen, Karsten Høgh
2015-01-01
Groundwater head and stream discharge is assimilated using the ensemble transform Kalman filter in an integrated hydrological model with the aim of studying the relationship between the filter performance and the ensemble size. In an attempt to reduce the required number of ensemble members...... and estimating parameters requires a much larger ensemble size than just assimilating groundwater head observations. However, the required ensemble size can be greatly reduced with the use of adaptive localization, which by far outperforms distance-based localization. The study is conducted using synthetic data...
Radionuclide release rate inversion of nuclear accidents in nuclear facility based on Kalman filter
International Nuclear Information System (INIS)
Tang Xiuhuan; Bao Lihong; Li Hua; Wan Junsheng
2014-01-01
The rapidly and continually back-calculating source term is important for nuclear emergency response. The Gaussian multi-puff atmospheric dispersion model was used to produce regional environment monitoring data virtually, and then a Kalman filter was designed to inverse radionuclide release rate of nuclear accidents in nuclear facility and the release rate tracking in real time was achieved. The results show that the Kalman filter combined with Gaussian multi-puff atmospheric dispersion model can successfully track the virtually stable, linear or nonlinear release rate after being iterated about 10 times. The standard error of inversion results increases with the true value. Meanwhile extended Kalman filter cannot inverse the height parameter of accident release as interceptive error is too large to converge. Kalman filter constructed from environment monitoring data and Gaussian multi-puff atmospheric dispersion model can be applied to source inversion in nuclear accident which is characterized by static height and position, short and continual release in nuclear facility. Hence it turns out to be an alternative source inversion method in nuclear emergency response. (authors)
Incorporation of Time Delayed Measurements in a Discrete-time Kalman Filter
DEFF Research Database (Denmark)
Larsen, Thomas Dall; Andersen, Nils Axel; Ravn, Ole
1998-01-01
In many practical systems there is a delay in some of the sensor devices, for instance vision measurements that may have a long processing time. How to fuse these measurements in a Kalman filter is not a trivial problem if the computational delay is critical. Depending on how much time...... using past and present estimates of the Kalman filter and calculating an optimal gain for this extrapolated measurement...... there is at hand, the designer has to make trade offs between optimality and computational burden of the filter. In this paper various methods in the literature along with a new method proposed by the authors will be presented and compared. The new method is based on “extrapolating” the measurement to present time...
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.
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.
Rainfall estimation with TFR model using Ensemble Kalman filter
Asyiqotur Rohmah, Nabila; Apriliani, Erna
2018-03-01
Rainfall fluctuation can affect condition of other environment, correlated with economic activity and public health. The increasing of global average temperature is influenced by the increasing of CO2 in the atmosphere, which caused climate change. Meanwhile, the forests as carbon sinks that help keep the carbon cycle and climate change mitigation. Climate change caused by rainfall intensity deviations can affect the economy of a region, and even countries. It encourages research on rainfall associated with an area of forest. In this study, the mathematics model that used is a model which describes the global temperatures, forest cover, and seasonal rainfall called the TFR (temperature, forest cover, and rainfall) model. The model will be discretized first, and then it will be estimated by the method of Ensemble Kalman Filter (EnKF). The result shows that the more ensembles used in estimation, the better the result is. Also, the accurateness of simulation result is influenced by measurement variable. If a variable is measurement data, the result of simulation is better.
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.
Kalman filtered MR temperature imaging for laser induced thermal therapies.
Fuentes, D; Yung, J; Hazle, J D; Weinberg, J S; Stafford, R J
2012-04-01
The feasibility of using a stochastic form of Pennes bioheat model within a 3-D finite element based Kalman filter (KF) algorithm is critically evaluated for the ability to provide temperature field estimates in the event of magnetic resonance temperature imaging (MRTI) data loss during laser induced thermal therapy (LITT). The ability to recover missing MRTI data was analyzed by systematically removing spatiotemporal information from a clinical MR-guided LITT procedure in human brain and comparing predictions in these regions to the original measurements. Performance was quantitatively evaluated in terms of a dimensionless L(2) (RMS) norm of the temperature error weighted by acquisition uncertainty. During periods of no data corruption, observed error histories demonstrate that the Kalman algorithm does not alter the high quality temperature measurement provided by MR thermal imaging. The KF-MRTI implementation considered is seen to predict the bioheat transfer with RMS error 10 sec.
Gossip and Distributed Kalman Filtering: Weak Consensus Under Weak Detectability
Kar, Soummya; Moura, José M. F.
2011-04-01
The paper presents the gossip interactive Kalman filter (GIKF) for distributed Kalman filtering for networked systems and sensor networks, where inter-sensor communication and observations occur at the same time-scale. The communication among sensors is random; each sensor occasionally exchanges its filtering state information with a neighbor depending on the availability of the appropriate network link. We show that under a weak distributed detectability condition: 1. the GIKF error process remains stochastically bounded, irrespective of the instability properties of the random process dynamics; and 2. the network achieves \\emph{weak consensus}, i.e., the conditional estimation error covariance at a (uniformly) randomly selected sensor converges in distribution to a unique invariant measure on the space of positive semi-definite matrices (independent of the initial state.) To prove these results, we interpret the filtered states (estimates and error covariances) at each node in the GIKF as stochastic particles with local interactions. We analyze the asymptotic properties of the error process by studying as a random dynamical system the associated switched (random) Riccati equation, the switching being dictated by a non-stationary Markov chain on the network graph.
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.
Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Processors and GPUs
Cerati, Giuseppe; Elmer, Peter; Krutelyov, Slava; Lantz, Steven; Lefebvre, Matthieu; Masciovecchio, Mario; McDermott, Kevin; Riley, Daniel; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2017-08-01
For over a decade now, physical and energy constraints have limited clock speed improvements in commodity microprocessors. Instead, chipmakers have been pushed into producing lower-power, multi-core processors such as Graphical Processing Units (GPU), ARM CPUs, and Intel MICs. Broad-based efforts from manufacturers and developers have been devoted to making these processors user-friendly enough to perform general computations. However, extracting performance from a larger number of cores, as well as specialized vector or SIMD units, requires special care in algorithm design and code optimization. One of the most computationally challenging problems in high-energy particle experiments is finding and fitting the charged-particle tracks during event reconstruction. This is expected to become by far the dominant problem at the High-Luminosity Large Hadron Collider (HL-LHC), for example. Today the most common track finding methods are those based on the Kalman filter. Experience with Kalman techniques on real tracking detector systems has shown that they are robust and provide high physics performance. This is why they are currently in use at the LHC, both in the trigger and offine. Previously we reported on the significant parallel speedups that resulted from our investigations to adapt Kalman filters to track fitting and track building on Intel Xeon and Xeon Phi. Here, we discuss our progresses toward the understanding of these processors and the new developments to port the Kalman filter to NVIDIA GPUs.
Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Processors and GPUs
Directory of Open Access Journals (Sweden)
Cerati Giuseppe
2017-01-01
Full Text Available For over a decade now, physical and energy constraints have limited clock speed improvements in commodity microprocessors. Instead, chipmakers have been pushed into producing lower-power, multi-core processors such as Graphical Processing Units (GPU, ARM CPUs, and Intel MICs. Broad-based efforts from manufacturers and developers have been devoted to making these processors user-friendly enough to perform general computations. However, extracting performance from a larger number of cores, as well as specialized vector or SIMD units, requires special care in algorithm design and code optimization. One of the most computationally challenging problems in high-energy particle experiments is finding and fitting the charged-particle tracks during event reconstruction. This is expected to become by far the dominant problem at the High-Luminosity Large Hadron Collider (HL-LHC, for example. Today the most common track finding methods are those based on the Kalman filter. Experience with Kalman techniques on real tracking detector systems has shown that they are robust and provide high physics performance. This is why they are currently in use at the LHC, both in the trigger and offine. Previously we reported on the significant parallel speedups that resulted from our investigations to adapt Kalman filters to track fitting and track building on Intel Xeon and Xeon Phi. Here, we discuss our progresses toward the understanding of these processors and the new developments to port the Kalman filter to NVIDIA GPUs.
Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Processors and GPUs
Energy Technology Data Exchange (ETDEWEB)
Cerati, Giuseppe [Fermilab; Elmer, Peter [Princeton U.; Krutelyov, Slava [UC, San Diego; Lantz, Steven [Cornell U.; Lefebvre, Matthieu [Princeton U.; Masciovecchio, Mario [UC, San Diego; McDermott, Kevin [Cornell U.; Riley, Daniel [Cornell U., LNS; Tadel, Matevž [UC, San Diego; Wittich, Peter [Cornell U.; Würthwein, Frank [UC, San Diego; Yagil, Avi [UC, San Diego
2017-01-01
For over a decade now, physical and energy constraints have limited clock speed improvements in commodity microprocessors. Instead, chipmakers have been pushed into producing lower-power, multi-core processors such as Graphical Processing Units (GPU), ARM CPUs, and Intel MICs. Broad-based efforts from manufacturers and developers have been devoted to making these processors user-friendly enough to perform general computations. However, extracting performance from a larger number of cores, as well as specialized vector or SIMD units, requires special care in algorithm design and code optimization. One of the most computationally challenging problems in high-energy particle experiments is finding and fitting the charged-particle tracks during event reconstruction. This is expected to become by far the dominant problem at the High-Luminosity Large Hadron Collider (HL-LHC), for example. Today the most common track finding methods are those based on the Kalman filter. Experience with Kalman techniques on real tracking detector systems has shown that they are robust and provide high physics performance. This is why they are currently in use at the LHC, both in the trigger and offine. Previously we reported on the significant parallel speedups that resulted from our investigations to adapt Kalman filters to track fitting and track building on Intel Xeon and Xeon Phi. Here, we discuss our progresses toward the understanding of these processors and the new developments to port the Kalman filter to NVIDIA GPUs.
Signal Tracking Beyond the Time Resolution of an Atomic Sensor by Kalman Filtering
Jiménez-Martínez, Ricardo; Kołodyński, Jan; Troullinou, Charikleia; Lucivero, Vito Giovanni; Kong, Jia; Mitchell, Morgan W.
2018-01-01
We study causal waveform estimation (tracking) of time-varying signals in a paradigmatic atomic sensor, an alkali vapor monitored by Faraday rotation probing. We use Kalman filtering, which optimally tracks known linear Gaussian stochastic processes, to estimate stochastic input signals that we generate by optical pumping. Comparing the known input to the estimates, we confirm the accuracy of the atomic statistical model and the reliability of the Kalman filter, allowing recovery of waveform details far briefer than the sensor's intrinsic time resolution. With proper filter choice, we obtain similar benefits when tracking partially known and non-Gaussian signal processes, as are found in most practical sensing applications. The method evades the trade-off between sensitivity and time resolution in coherent sensing.
Rahimi, Afshin; Kumar, Krishna Dev; Alighanbari, Hekmat
2017-05-01
Reaction wheels, as one of the most commonly used actuators in satellite attitude control systems, are prone to malfunction which could lead to catastrophic failures. Such malfunctions can be detected and addressed in time if proper analytical redundancy algorithms such as parameter estimation and control reconfiguration are employed. Major challenges in parameter estimation include speed and accuracy of the employed algorithm. This paper presents a new approach for improving parameter estimation with adaptive unscented Kalman filter. The enhancement in tracking speed of unscented Kalman filter is achieved by systematically adapting the covariance matrix to the faulty estimates using innovation and residual sequences combined with an adaptive fault annunciation scheme. The proposed approach provides the filter with the advantage of tracking sudden changes in the system non-measurable parameters accurately. Results showed successful detection of reaction wheel malfunctions without requiring a priori knowledge about system performance in the presence of abrupt, transient, intermittent, and incipient faults. Furthermore, the proposed approach resulted in superior filter performance with less mean squared errors for residuals compared to generic and adaptive unscented Kalman filters, and thus, it can be a promising method for the development of fail-safe satellites.
Directory of Open Access Journals (Sweden)
Ming Liu
2015-01-01
Full Text Available This paper is concerned with the topic of gravity matching aided inertial navigation technology using Kalman filter. The dynamic state space model for Kalman filter is constructed as follows: the error equation of the inertial navigation system is employed as the process equation while the local gravity model based on 9-point surface interpolation is employed as the observation equation. The unscented Kalman filter is employed to address the nonlinearity of the observation equation. The filter is refined in two ways as follows. The marginalization technique is employed to explore the conditionally linear substructure to reduce the computational load; specifically, the number of the needed sigma points is reduced from 15 to 5 after this technique is used. A robust technique based on Chi-square test is employed to make the filter insensitive to the uncertainties in the above constructed observation model. Numerical simulation is carried out, and the efficacy of the proposed method is validated by the simulation results.
Valdes-Abellan, Javier; Pachepsky, Yakov; Martinez, Gonzalo
2018-01-01
Data assimilation is becoming a promising technique in hydrologic modelling to update not only model states but also to infer model parameters, specifically to infer soil hydraulic properties in Richard-equation-based soil water models. The Ensemble Kalman Filter method is one of the most widely employed method among the different data assimilation alternatives. In this study the complete Matlab© code used to study soil data assimilation efficiency under different soil and climatic conditions is shown. The code shows the method how data assimilation through EnKF was implemented. Richards equation was solved by the used of Hydrus-1D software which was run from Matlab. •MATLAB routines are released to be used/modified without restrictions for other researchers•Data assimilation Ensemble Kalman Filter method code.•Soil water Richard equation flow solved by Hydrus-1D.
Implicit Kalman filter algorithm for nuclear reactor analysis
International Nuclear Information System (INIS)
Hassberger, J.A.; Lee, J.C.
1986-01-01
Artificial intelligence (AI) is currently the hot topic in nuclear power plant diagnostics and control. Recently, researchers have considered the use of simulation as knowledge in which faster than real-time best-estimate simulations based on first principles are tightly coupled with AI systems for analyzing power plant transients on-line. On-line simulations can be improved through a Kalman filter, a mathematical technique for obtaining the optimal estimate of a system state given the information contained in the equations of system dynamics and measurements made on the system. Filtering can be used to systemically adjust parameters of a low-order simulation model to obtain reasonable agreement between the model and actual plant dynamics. The authors present here a general Kalman filtering algorithm that derives its information of system dynamics implicitly and naturally from the discrete time step-series of state estimates available from a simulation program. Previous research has demonstrated that models adjusted on past data can be coupled with an intelligent controller to predict the future time-course of plant transients
Recursive B-spline approximation using the Kalman filter
Directory of Open Access Journals (Sweden)
Jens Jauch
2017-02-01
Full Text Available This paper proposes a novel recursive B-spline approximation (RBA algorithm which approximates an unbounded number of data points with a B-spline function and achieves lower computational effort compared with previous algorithms. Conventional recursive algorithms based on the Kalman filter (KF restrict the approximation to a bounded and predefined interval. Conversely RBA includes a novel shift operation that enables to shift estimated B-spline coefficients in the state vector of a KF. This allows to adapt the interval in which the B-spline function can approximate data points during run-time.
Vision-Based Position Estimation Utilizing an Extended Kalman Filter
2016-12-01
establishing the calibration mapping. A version of Kalman Filter was developed to minimize the impact of inaccuracies in the angle measurement as well...project error covariance ahead Z = [Ang_In; Alt_In]; % Measurements % Update Jacobian h11 = -XY_est(3,1)/(XY_est(1,1)^2+XY_est(3,1)^2); h13 ...XY_est(1,1)/(XY_est(1,1)^2+XY_est(3,1)^2); H = [h11 0 h13 0; 0 0 1 0]; Z_proj(1) = atan2(XY_proj(3),XY_proj(1)); % theta - predicted Z_proj(2
Application of extended Kalman filter to identification of enzymatic deactivation.
Caminal, G; Lafuente, J; López-Santín, J; Poch, M; Solà, C
1987-02-01
A recursive estimation scheme, the Extended Kalman Filter (EKF) technique, was applied to study enzymatic deactivation in the enzymatic hydrolysis of pretreated cellulose using a model previously developed by the authors. When no deactivation model was assumed, the results showed no variation with time for all the model parameters except for the maximum rate of cellobiose-to-glucose conversion (r'(m)).The r'(m) variation occurred in two zones with a grace period. A new model of enzymatic hydrolysis of pretreated cellulose deactivation was proposed and validated showing better behavior than the old deactivation model. This approach allows one to study enzyme deactivation without additional experiments and within operational conditions.
A Novel Kalman Filter for Human Motion Tracking With an Inertial-Based Dynamic Inclinometer.
Ligorio, Gabriele; Sabatini, Angelo M
2015-08-01
Design and development of a linear Kalman filter to create an inertial-based inclinometer targeted to dynamic conditions of motion. The estimation of the body attitude (i.e., the inclination with respect to the vertical) was treated as a source separation problem to discriminate the gravity and the body acceleration from the specific force measured by a triaxial accelerometer. The sensor fusion between triaxial gyroscope and triaxial accelerometer data was performed using a linear Kalman filter. Wrist-worn inertial measurement unit data from ten participants were acquired while performing two dynamic tasks: 60-s sequence of seven manual activities and 90 s of walking at natural speed. Stereophotogrammetric data were used as a reference. A statistical analysis was performed to assess the significance of the accuracy improvement over state-of-the-art approaches. The proposed method achieved, on an average, a root mean square attitude error of 3.6° and 1.8° in manual activities and locomotion tasks (respectively). The statistical analysis showed that, when compared to few competing methods, the proposed method improved the attitude estimation accuracy. A novel Kalman filter for inertial-based attitude estimation was presented in this study. A significant accuracy improvement was achieved over state-of-the-art approaches, due to a filter design that better matched the basic optimality assumptions of Kalman filtering. Human motion tracking is the main application field of the proposed method. Accurately discriminating the two components present in the triaxial accelerometer signal is well suited for studying both the rotational and the linear body kinematics.
When long memory meets the Kalman filter
DEFF Research Database (Denmark)
Grassi, Stefano; Santucci de Magistris, Paolo
2014-01-01
The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...... shifts. Missing values and several alternative sources of misspecification are also considered. It emerges that the state space methodology provides a valuable alternative for the estimation of the long memory models, under different data generating processes, which are common in financial and economic...
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.
Statistical analysis and Kalman filtering applied to nuclear materials accountancy
International Nuclear Information System (INIS)
Annibal, P.S.
1990-08-01
Much theoretical research has been carried out on the development of statistical methods for nuclear material accountancy. In practice, physical, financial and time constraints mean that the techniques must be adapted to give an optimal performance in plant conditions. This thesis aims to bridge the gap between theory and practice, to show the benefits to be gained from a knowledge of the facility operation. Four different aspects are considered; firstly, the use of redundant measurements to reduce the error on the estimate of the mass of heavy metal in an 'accountancy tank' is investigated. Secondly, an analysis of the calibration data for the same tank is presented, establishing bounds for the error and suggesting a means of reducing them. Thirdly, a plant-specific method of producing an optimal statistic from the input, output and inventory data, to help decide between 'material loss' and 'no loss' hypotheses, is developed and compared with existing general techniques. Finally, an application of the Kalman Filter to materials accountancy is developed, to demonstrate the advantages of state-estimation techniques. The results of the analyses and comparisons illustrate the importance of taking into account a complete and accurate knowledge of the plant operation, measurement system, and calibration methods, to derive meaningful results from statistical tests on materials accountancy data, and to give a better understanding of critical random and systematic error sources. The analyses were carried out on the head-end of the Fast Reactor Reprocessing Plant, where fuel from the prototype fast reactor is cut up and dissolved. However, the techniques described are general in their application. (author)
An Adjoint-Based Adaptive Ensemble Kalman Filter
Song, Hajoon; Hoteit, Ibrahim; Cornuelle, Bruce D.; Luo, Xiaodong; Subramanian, Aneesh C.
2013-01-01
A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.
Extended Kalman filtering for continuous volumetric MR-temperature imaging.
Denis de Senneville, Baudouin; Roujol, Sébastien; Hey, Silke; Moonen, Chrit; Ries, Mario
2013-04-01
Real time magnetic resonance (MR) thermometry has evolved into the method of choice for the guidance of high-intensity focused ultrasound (HIFU) interventions. For this role, MR-thermometry should preferably have a high temporal and spatial resolution and allow observing the temperature over the entire targeted area and its vicinity with a high accuracy. In addition, the precision of real time MR-thermometry for therapy guidance is generally limited by the available signal-to-noise ratio (SNR) and the influence of physiological noise. MR-guided HIFU would benefit of the large coverage volumetric temperature maps, including characterization of volumetric heating trajectories as well as near- and far-field heating. In this paper, continuous volumetric MR-temperature monitoring was obtained as follows. The targeted area was continuously scanned during the heating process by a multi-slice sequence. Measured data and a priori knowledge of 3-D data derived from a forecast based on a physical model were combined using an extended Kalman filter (EKF). The proposed reconstruction improved the temperature measurement resolution and precision while maintaining guaranteed output accuracy. The method was evaluated experimentally ex vivo on a phantom, and in vivo on a porcine kidney, using HIFU heating. On the in vivo experiment, it allowed the reconstruction from a spatio-temporally under-sampled data set (with an update rate for each voxel of 1.143 s) to a 3-D dataset covering a field of view of 142.5×285×54 mm(3) with a voxel size of 3×3×6 mm(3) and a temporal resolution of 0.127 s. The method also provided noise reduction, while having a minimal impact on accuracy and latency.
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.
Nonlinear Kalman filters for calibration in radio interferometry
Tasse, C.
2014-06-01
The data produced by the new generation of interferometers are affected by a wide variety of partially unknown complex effects such as pointing errors, phased array beams, ionosphere, troposphere, Faraday rotation, or clock drifts. Most algorithms addressing direction-dependent calibration solve for the effective Jones matrices, and cannot constrain the underlying physical quantities of the radio interferometry measurement equation (RIME). A related difficulty is that they lack robustness in the presence of low signal-to-noise ratios, and when solving for moderate to large numbers of parameters they can be subject to ill-conditioning. These effects can have dramatic consequences in the image plane such as source or even thermal noise suppression. The advantage of solvers directly estimating the physical terms appearing in the RIME is that they can potentially reduce the number of free parameters by orders of magnitudes while dramatically increasing the size of usable data, thereby improving conditioning. We present here a new calibration scheme based on a nonlinear version of the Kalman filter that aims at estimating the physical terms appearing in the RIME. We enrich the filter's structure with a tunable data representation model, together with an augmented measurement model for regularization. Using simulations we show that it can properly estimate the physical effects appearing in the RIME. We found that this approach is particularly useful in the most extreme cases such as when ionospheric and clock effects are simultaneously present. Combined with the ability to provide prior knowledge on the expected structure of the physical instrumental effects (expected physical state and dynamics), we obtain a fairly computationally cheap algorithm that we believe to be robust, especially in low signal-to-noise regimes. Potentially, the use of filters and other similar methods can represent an improvement for calibration in radio interferometry, under the condition that
Kalman Filter or VAR Models to Predict Unemployment Rate in Romania?
Directory of Open Access Journals (Sweden)
Simionescu Mihaela
2015-06-01
Full Text Available This paper brings to light an economic problem that frequently appears in practice: For the same variable, more alternative forecasts are proposed, yet the decision-making process requires the use of a single prediction. Therefore, a forecast assessment is necessary to select the best prediction. The aim of this research is to propose some strategies for improving the unemployment rate forecast in Romania by conducting a comparative accuracy analysis of unemployment rate forecasts based on two quantitative methods: Kalman filter and vector-auto-regressive (VAR models. The first method considers the evolution of unemployment components, while the VAR model takes into account the interdependencies between the unemployment rate and the inflation rate. According to the Granger causality test, the inflation rate in the first difference is a cause of the unemployment rate in the first difference, these data sets being stationary. For the unemployment rate forecasts for 2010-2012 in Romania, the VAR models (in all variants of VAR simulations determined more accurate predictions than Kalman filter based on two state space models for all accuracy measures. According to mean absolute scaled error, the dynamic-stochastic simulations used in predicting unemployment based on the VAR model are the most accurate. Another strategy for improving the initial forecasts based on the Kalman filter used the adjusted unemployment data transformed by the application of the Hodrick-Prescott filter. However, the use of VAR models rather than different variants of the Kalman filter methods remains the best strategy in improving the quality of the unemployment rate forecast in Romania. The explanation of these results is related to the fact that the interaction of unemployment with inflation provides useful information for predictions of the evolution of unemployment related to its components (i.e., natural unemployment and cyclical component.
An Unscented Kalman-Particle Hybrid Filter for Space Object Tracking
Raihan A. V, Dilshad; Chakravorty, Suman
2018-03-01
Optimal and consistent estimation of the state of space objects is pivotal to surveillance and tracking applications. However, probabilistic estimation of space objects is made difficult by the non-Gaussianity and nonlinearity associated with orbital mechanics. In this paper, we present an unscented Kalman-particle hybrid filtering framework for recursive Bayesian estimation of space objects. The hybrid filtering scheme is designed to provide accurate and consistent estimates when measurements are sparse without incurring a large computational cost. It employs an unscented Kalman filter (UKF) for estimation when measurements are available. When the target is outside the field of view (FOV) of the sensor, it updates the state probability density function (PDF) via a sequential Monte Carlo method. The hybrid filter addresses the problem of particle depletion through a suitably designed filter transition scheme. To assess the performance of the hybrid filtering approach, we consider two test cases of space objects that are assumed to undergo full three dimensional orbital motion under the effects of J 2 and atmospheric drag perturbations. It is demonstrated that the hybrid filters can furnish fast, accurate and consistent estimates outperforming standard UKF and particle filter (PF) implementations.
Deep Kalman Filter: Simultaneous Multi-Sensor Integration and Modelling; A GNSS/IMU Case Study
Directory of Open Access Journals (Sweden)
Siavash Hosseinyalamdary
2018-04-01
Full Text Available Bayes filters, such as the Kalman and particle filters, have been used in sensor fusion to integrate two sources of information and obtain the best estimate of unknowns. The efficient integration of multiple sensors requires deep knowledge of their error sources. Some sensors, such as Inertial Measurement Unit (IMU, have complicated error sources. Therefore, IMU error modelling and the efficient integration of IMU and Global Navigation Satellite System (GNSS observations has remained a challenge. In this paper, we developed deep Kalman filter to model and remove IMU errors and, consequently, improve the accuracy of IMU positioning. To achieve this, we added a modelling step to the prediction and update steps of the Kalman filter, so that the IMU error model is learned during integration. The results showed our deep Kalman filter outperformed the conventional Kalman filter and reached a higher level of accuracy.
Deep Kalman Filter: Simultaneous Multi-Sensor Integration and Modelling; A GNSS/IMU Case Study.
Hosseinyalamdary, Siavash
2018-04-24
Bayes filters, such as the Kalman and particle filters, have been used in sensor fusion to integrate two sources of information and obtain the best estimate of unknowns. The efficient integration of multiple sensors requires deep knowledge of their error sources. Some sensors, such as Inertial Measurement Unit (IMU), have complicated error sources. Therefore, IMU error modelling and the efficient integration of IMU and Global Navigation Satellite System (GNSS) observations has remained a challenge. In this paper, we developed deep Kalman filter to model and remove IMU errors and, consequently, improve the accuracy of IMU positioning. To achieve this, we added a modelling step to the prediction and update steps of the Kalman filter, so that the IMU error model is learned during integration. The results showed our deep Kalman filter outperformed the conventional Kalman filter and reached a higher level of accuracy.
Kinematic Localization for Global Navigation Satellite Systems: A Kalman Filtering Approach
Tabatabaee, Mohammad Hadi
Use of the Global Positioning System (GNSS) has expanded significantly in the past decade, especially with advances in embedded systems and the emergence of smartphones and the Internet of Things (IoT). The growing demand has stimulated research on development of GNSS techniques and programming tools. The focus of much of the research efforts have been on high-level algorithms and augmentations. This dissertation focuses on the low-level methods at the heart of GNSS systems and proposes a new methods for GNSS positioning problems based on concepts of distance geometry and the use of Kalman filters. The methods presented in this dissertation provide algebraic solutions to problems that have predominantly been solved using iterative methods. The proposed methods are highly efficient, provide accurate estimates, and exhibit a degree of robustness in the presence of unfavorable satellite geometry. The algorithm operates in two stages; an estimation of the receiver clock bias and removal of the bias from the pseudorange observables, followed by the localization of the GNSS receiver. The use of a Kalman filter in between the two stages allows for an improvement of the clock bias estimate with a noticeable impact on the position estimates. The receiver localization step has also been formulated in a linear manner allowing for the direct application of a Kalman filter without any need for linearization. The methodology has also been extended to double differential observables for high accuracy pseudorange and carrier phase position estimates.
Institute of Scientific and Technical Information of China (English)
QI Wen-Juan; ZHANG Peng; DENG Zi-Li
2014-01-01
This paper deals with the problem of designing robust sequential covariance intersection (SCI) fusion Kalman filter for the clustering multi-agent sensor network system with measurement delays and uncertain noise variances. The sensor network is partitioned into clusters by the nearest neighbor rule. Using the minimax robust estimation principle, based on the worst-case conservative sensor network system with conservative upper bounds of noise variances, and applying the unbiased linear minimum variance (ULMV) optimal estimation rule, we present the two-layer SCI fusion robust steady-state Kalman filter which can reduce communication and computation burdens and save energy sources, and guarantee that the actual filtering error variances have a less-conservative upper-bound. A Lyapunov equation method for robustness analysis is proposed, 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 of the local and fused robust Kalman filters are proved. It is proved that the robust accuracy of the global SCI fuser is higher than those of the local SCI fusers and the robust accuracies of all SCI fusers are higher than that of each local robust Kalman filter. A simulation example for a tracking system verifies the robustness and robust accuracy relations.
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.
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.
ERP Estimation using a Kalman Filter in VLBI
Karbon, M.; Soja, B.; Nilsson, T.; Heinkelmann, R.; Liu, L.; Lu, C.; Mora-Diaz, J. A.; Raposo-Pulido, V.; Xu, M.; Schuh, H.
2014-12-01
Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques, providing the full set of Earth Orientation Parameters (EOP), and it is unique for observing long term Universal Time (UT1). For applications such as satellite-based navigation and positioning, accurate and continuous ERP obtained in near real-time are essential. They also allow the precise tracking of interplanetary spacecraft. One of the goals of VGOS (VLBI Global Observing System) is to provide such near real-time ERP. With the launch of this next generation VLBI system, the International VLBI Service for Geodesy and Astrometry (IVS) increased its efforts not only to reach 1 mm accuracy on a global scale but also to reduce the time span between the collection of VLBI observations and the availability of the final results substantially. Project VLBI-ART contributes to these objectives by implementing an elaborate Kalman filter, which represents a perfect tool for analyzing VLBI data in quasi real-time. The goal is to implement it in the GFZ version of the Vienna VLBI Software (VieVS) as a completely automated tool, i.e., with no need for human interaction. Here we present the methodology and first results of Kalman filtered EOP from VLBI data.
Adaptive Kalman filtering for diagnosis of multiple component degradations
International Nuclear Information System (INIS)
Aumeier, S. E.; Alpay, B.; Lee, J. C.
2005-01-01
We have developed an adaptive Kalman filtering algorithm for the diagnosis of faults or degradations of multiple components in nuclear power plants. We propose to detect the presence and magnitude of the fault(s) through noisy system observations when the measurements indicate significant deviations from predictions. Our diagnostic algorithm uses the measurement residuals, i.e., the difference between the measurements and predictions, to generate a noise input to the uncertain component state in an adaptive Kalman filtering algorithm so that various postulated component transitions or degradations may be statistically represented. The diagnostic algorithm has been tested with a balance of plant (BOP) model of a boiling water reactor (BWR). We have presented a set of algorithms for the detection and diagnosis of component faults of arbitrary magnitude and type within a multi-component system. By analyzing a number of transients including the one example illustrated in the paper, we find that these algorithms are not only capable of determining the correct component fault and magnitude for single components but also they can be used to determine binary faults satisfactorily. Additional study is under way to evaluate the performance of the proposed algorithm including the sensitivity of the diagnostic time to adaptive noise matrix introduced (see equations 7 and 8 illustrated in the paper)
Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper shows how non-linear DSGE models with potential non-normal shocks can be estimated by Quasi-Maximum Likelihood based on the Central Difference Kalman Filter (CDKF). The advantage of this estimator is that evaluating the quasi log-likelihood function only takes a fraction of a second....... The second contribution of this paper is to derive a new particle filter which we term the Mean Shifted Particle Filter (MSPFb). We show that the MSPFb outperforms the standard Particle Filter by delivering more precise state estimates, and in general the MSPFb has lower Monte Carlo variation in the reported...
Control of motion stability of the line tracer robot using fuzzy logic and kalman filter
Novelan, M. S.; Tulus; Zamzami, E. M.
2018-03-01
Setting of motion and balance line tracer robot two wheels is actually a combination of a two-wheeled robot balance concept and the concept of line follower robot. The main objective of this research is to maintain the robot in an upright and can move to follow the line of the Wizard while maintaining balance. In this study the motion balance system on line tracer robot by considering the presence of a noise, so that it takes the estimator is used to mengestimasi the line tracer robot motion. The estimation is done by the method of Kalman Filter and the combination of Fuzzy logic-Fuzzy Kalman Filter called Kalman Filter, as well as optimal smooting. Based on the results of the study, the value of the output of the fuzzy results obtained from the sensor input value has been filtered before entering the calculation of the fuzzy. The results of the output of the fuzzy logic hasn’t been able to control dc motors are well balanced at the moment to be able to run. The results of the fuzzy logic by using membership function of triangular membership function or yet can control with good dc motor movement in order to be balanced
Detection of Sensor Faults in Small Helicopter UAVs Using Observer/Kalman Filter Identification
Directory of Open Access Journals (Sweden)
Guillermo Heredia
2011-01-01
Full Text Available Reliability is a critical issue in navigation of unmanned aerial vehicles (UAVs since there is no human pilot that can react to any abnormal situation. Due to size and cost limitations, redundant sensor schemes and aeronautical-grade navigation sensors used in large aircrafts cannot be installed in small UAVs. Therefore, other approaches like analytical redundancy should be used to detect faults in navigation sensors and increase reliability. This paper presents a sensor fault detection and diagnosis system for small autonomous helicopters based on analytical redundancy. Fault detection is accomplished by evaluating any significant change in the behaviour of the vehicle with respect to the fault-free behaviour, which is estimated by using an observer. The observer is obtained from input-output experimental data with the Observer/Kalman Filter Identification (OKID method. The OKID method is able to identify the system and an observer with properties similar to a Kalman filter, directly from input-output experimental data. Results are similar to the Kalman filter, but, with the proposed method, there is no need to estimate neither system matrices nor sensor and process noise covariance matrices. The system has been tested with real helicopter flight data, and the results compared with other methods.
Application of Kalman filter in detecting pre-earthquake ionospheric TEC anomaly
Directory of Open Access Journals (Sweden)
Zhu Fuying
2011-05-01
Full Text Available : As an attempt, the Kalman filter was used to study the anomalous variations of ionospheric Total Electron Content (TEC before and after Wenchuan Ms8.0 earthquake, these TEC data were calculated from the GPS data observed by the Crustal Movement Observation Network of China. The result indicates that this method is reasonable and reliable in detecting TEC anomalies associated with large earthquakes.
Online Internal Temperature Estimation for Lithium-Ion Batteries Based on Kalman Filter
Jinlei Sun; Guo Wei; Lei Pei; Rengui Lu; Kai Song; Chao Wu; Chunbo Zhu
2015-01-01
The battery internal temperature estimation is important for the thermal safety in applications, because the internal temperature is hard to measure directly. In this work, an online internal temperature estimation method based on a simplified thermal model using a Kalman filter is proposed. As an improvement, the influences of entropy change and overpotential on heat generation are analyzed quantitatively. The model parameters are identified through a current pulse test. The charge/discharg...
Unscented Kalman filtering in the additive noise case
Institute of Scientific and Technical Information of China (English)
无
2010-01-01
The unscented Kalman filter(UKF) has four implementations in the additive noise case,according to whether the state is augmented with noise vectors and whether a new set of sigma points is redrawn from the predicted state(which is so-called resampling) for the observation prediction.This paper concerns the differences of performances for those implementations,such as accuracy,adaptability,computational complexity,etc.The conditionally equivalent relationships between the augmented and non-augmented unscented transforms(UTs) are proved for several sampling strategies that are commonly used.Then,we find that the augmented and non-augmented UKFs have the same filter results with the additive measurement noise,but only have the same state predictions with the additive process noise.Resampling is not believed to be necessary in some researches.However,we find out that resampling can be helpful for an adaptive Kalman gain.This will improve the convergence and accuracy of the filter when the large scale state modeling bias or unknown maneuvers occur.Finally,some universal designing principles for a practical UKF are given as follows:1) for the additive observation noise case,it’s better to use the non-augmented UKF;2) for the additive process noise case,when the small state modeling bias or maneuvers are involved,the non-resampling algorithms with state whether augmented or not are candidates for filters;3) the resampling and non-augmented algorithm is the only choice while the large state modeling bias or maneuvers are latent.
Kalman filter for statistical monitoring of forest cover across sub-continental regions
Raymond L. Czaplewski
1991-01-01
The Kalman filter is a multivariate generalization of the composite estimator which recursively combines a current direct estimate with a past estimate that is updated for expected change over time with a prediction model. The Kalman filter can estimate proportions of different cover types for sub-continental regions each year. A random sample of high-resolution...
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
Autonomous underwater vehicle motion tracking using a Kalman filter for sensor fusion
CSIR Research Space (South Africa)
Holtzhausen, S
2008-11-01
Full Text Available it will be shown how a Kalman Filter is used to estimate the position of an autonomous vehicle in a three dimensional space. The Kalman filter is used to estimate movement and position using measurements from multiple sensors...
State and parameter estimation of the heat shock response system using Kalman and particle filters.
Liu, Xin; Niranjan, Mahesan
2012-06-01
Traditional models of systems biology describe dynamic biological phenomena as solutions to ordinary differential equations, which, when parameters in them are set to correct values, faithfully mimic observations. Often parameter values are tweaked by hand until desired results are achieved, or computed from biochemical experiments carried out in vitro. Of interest in this article, is the use of probabilistic modelling tools with which parameters and unobserved variables, modelled as hidden states, can be estimated from limited noisy observations of parts of a dynamical system. Here we focus on sequential filtering methods and take a detailed look at the capabilities of three members of this family: (i) extended Kalman filter (EKF), (ii) unscented Kalman filter (UKF) and (iii) the particle filter, in estimating parameters and unobserved states of cellular response to sudden temperature elevation of the bacterium Escherichia coli. While previous literature has studied this system with the EKF, we show that parameter estimation is only possible with this method when the initial guesses are sufficiently close to the true values. The same turns out to be true for the UKF. In this thorough empirical exploration, we show that the non-parametric method of particle filtering is able to reliably estimate parameters and states, converging from initial distributions relatively far away from the underlying true values. Software implementation of the three filters on this problem can be freely downloaded from http://users.ecs.soton.ac.uk/mn/HeatShock
Sengupta, Aritra; Foster, Scott D.; Patterson, Toby A.; Bravington, Mark
2012-01-01
Data assimilation is a crucial aspect of modern oceanography. It allows the future forecasting and backward smoothing of ocean state from the noisy observations. Statistical methods are employed to perform these tasks and are often based on or related to the Kalman filter. Typically Kalman filters assumes that the locations associated with observations are known with certainty. This is reasonable for typical oceanographic measurement methods. Recently, however an alternative and abundant source of data comes from the deployment of ocean sensors on marine animals. This source of data has some attractive properties: unlike traditional oceanographic collection platforms, it is relatively cheap to collect, plentiful, has multiple scientific uses and users, and samples areas of the ocean that are often difficult of costly to sample. However, inherent uncertainty in the location of the observations is a barrier to full utilisation of animal-borne sensor data in data-assimilation schemes. In this article we examine this issue and suggest a simple approximation to explicitly incorporate the location uncertainty, while staying in the scope of Kalman-filter-like methods. The approximation stems from a Taylor-series approximation to elements of the updating equation. PMID:22900005
Parallelized Kalman-Filter-Based Reconstruction of Particle Tracks on Many-Core Architectures
Energy Technology Data Exchange (ETDEWEB)
Cerati, Giuseppe [Fermilab; Elmer, Peter [Princeton U.; Krutelyov, Slava [UC, San Diego; Lantz, Steven [Cornell U., Phys. Dept.; Lefebvre, Matthieu [Princeton U.; Masciovecchio, Mario [UC, San Diego; McDermott, Kevin [Cornell U., Phys. Dept.; Riley, Daniel [Cornell U., Phys. Dept.; Tadel, Matevž [UC, San Diego; Wittich, Peter [Cornell U., Phys. Dept.; Würthwein, Frank [UC, San Diego; Yagil, Avi [UC, San Diego
2017-11-16
Faced with physical and energy density limitations on clock speed, contemporary microprocessor designers have increasingly turned to on-chip parallelism for performance gains. Examples include the Intel Xeon Phi, GPGPUs, and similar technologies. Algorithms should accordingly be designed with ample amounts of fine-grained parallelism if they are to realize the full performance of the hardware. This requirement can be challenging for algorithms that are naturally expressed as a sequence of small-matrix operations, such as the Kalman filter methods widely in use in high-energy physics experiments. In the High-Luminosity Large Hadron Collider (HL-LHC), for example, one of the dominant computational problems is expected to be finding and fitting charged-particle tracks during event reconstruction; today, the most common track-finding methods are those based on the Kalman filter. Experience at the LHC, both in the trigger and offline, has shown that these methods are robust and provide high physics performance. Previously we reported the significant parallel speedups that resulted from our efforts to adapt Kalman-filter-based tracking to many-core architectures such as Intel Xeon Phi. Here we report on how effectively those techniques can be applied to more realistic detector configurations and event complexity.
Chen, Xiyuan; Wang, Xiying; Xu, Yuan
2014-12-09
This paper deals with the problem of state estimation for the vector-tracking loop of a software-defined Global Positioning System (GPS) receiver. For a nonlinear system that has the model error and white Gaussian noise, a noise statistics estimator is used to estimate the model error, and based on this, a modified iterated extended Kalman filter (IEKF) named adaptive iterated Kalman filter (AIEKF) is proposed. A vector-tracking GPS receiver utilizing AIEKF is implemented to evaluate the performance of the proposed method. Through road tests, it is shown that the proposed method has an obvious accuracy advantage over the IEKF and Adaptive Extended Kalman filter (AEKF) in position determination. The results show that the proposed method is effective to reduce the root-mean-square error (RMSE) of position (including longitude, latitude and altitude). Comparing with EKF, the position RMSE values of AIEKF are reduced by about 45.1%, 40.9% and 54.6% in the east, north and up directions, respectively. Comparing with IEKF, the position RMSE values of AIEKF are reduced by about 25.7%, 19.3% and 35.7% in the east, north and up directions, respectively. Compared with AEKF, the position RMSE values of AIEKF are reduced by about 21.6%, 15.5% and 30.7% in the east, north and up directions, respectively.
Flatness-based control and Kalman filtering for a continuous-time macroeconomic model
Rigatos, G.; Siano, P.; Ghosh, T.; Busawon, K.; Binns, R.
2017-11-01
The article proposes flatness-based control for a nonlinear macro-economic model of the UK economy. The differential flatness properties of the model are proven. This enables to introduce a transformation (diffeomorphism) of the system's state variables and to express the state-space description of the model in the linear canonical (Brunowsky) form in which both the feedback control and the state estimation problem can be solved. For the linearized equivalent model of the macroeconomic system, stabilizing feedback control can be achieved using pole placement methods. Moreover, to implement stabilizing feedback control of the system by measuring only a subset of its state vector elements the Derivative-free nonlinear Kalman Filter is used. This consists of the Kalman Filter recursion applied on the linearized equivalent model of the financial system and of an inverse transformation that is based again on differential flatness theory. The asymptotic stability properties of the control scheme are confirmed.
Using Kalman Filter to Guarantee QoS Robustness of Web Server
Institute of Scientific and Technical Information of China (English)
无
2006-01-01
The exponential growth of the Internet coupled with the increasing popularity of dynamically generated content on the World Wide Web, has created the need for more and faster Web servers capable of serving the over 100 million Internet users. To converge the control method has emerged as a promising technique to solve the Web QoS problem. In this paper, a model of adaptive session is presented and a session flow self-regulating algorism based on Kalman Filter are proposed towards Web Server. And a Web QoS self-regulating scheme is advanced. To attain the goal of on-line system identification, the optimized estimation of QoS parameters is fulfilled by utilizing Kalman Filter in full domain. The simulation results shows that the proposed scheme can guarantee the QoS with both robustness and stability .
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.
Unscented Kalman Filter-Trained Neural Networks for Slip Model Prediction
Li, Zhencai; Wang, Yang; Liu, Zhen
2016-01-01
The purpose of this work is to investigate the accurate trajectory tracking control of a wheeled mobile robot (WMR) based on the slip model prediction. Generally, a nonholonomic WMR may increase the slippage risk, when traveling on outdoor unstructured terrain (such as longitudinal and lateral slippage of wheels). In order to control a WMR stably and accurately under the effect of slippage, an unscented Kalman filter and neural networks (NNs) are applied to estimate the slip model in real time. This method exploits the model approximating capabilities of nonlinear state–space NN, and the unscented Kalman filter is used to train NN’s weights online. The slip parameters can be estimated and used to predict the time series of deviation velocity, which can be used to compensate control inputs of a WMR. The results of numerical simulation show that the desired trajectory tracking control can be performed by predicting the nonlinear slip model. PMID:27467703
Adaptive Kalman filter based state of charge estimation algorithm for lithium-ion battery
International Nuclear Information System (INIS)
Zheng Hong; Liu Xu; Wei Min
2015-01-01
In order to improve the accuracy of the battery state of charge (SOC) estimation, in this paper we take a lithium-ion battery as an example to study the adaptive Kalman filter based SOC estimation algorithm. Firstly, the second-order battery system model is introduced. Meanwhile, the temperature and charge rate are introduced into the model. Then, the temperature and the charge rate are adopted to estimate the battery SOC, with the help of the parameters of an adaptive Kalman filter based estimation algorithm model. Afterwards, it is verified by the numerical simulation that in the ideal case, the accuracy of SOC estimation can be enhanced by adding two elements, namely, the temperature and charge rate. Finally, the actual road conditions are simulated with ADVISOR, and the simulation results show that the proposed method improves the accuracy of battery SOC estimation under actual road conditions. Thus, its application scope in engineering is greatly expanded. (paper)
Rapid Transfer Alignment of MEMS SINS Based on Adaptive Incremental Kalman Filter
Directory of Open Access Journals (Sweden)
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.
A generalized polynomial chaos based ensemble Kalman filter with high accuracy
International Nuclear Information System (INIS)
Li Jia; Xiu Dongbin
2009-01-01
As one of the most adopted sequential data assimilation methods in many areas, especially those involving complex nonlinear dynamics, the ensemble Kalman filter (EnKF) has been under extensive investigation regarding its properties and efficiency. Compared to other variants of the Kalman filter (KF), EnKF is straightforward to implement, as it employs random ensembles to represent solution states. This, however, introduces sampling errors that affect the accuracy of EnKF in a negative manner. Though sampling errors can be easily reduced by using a large number of samples, in practice this is undesirable as each ensemble member is a solution of the system of state equations and can be time consuming to compute for large-scale problems. In this paper we present an efficient EnKF implementation via generalized polynomial chaos (gPC) expansion. The key ingredients of the proposed approach involve (1) solving the system of stochastic state equations via the gPC methodology to gain efficiency; and (2) sampling the gPC approximation of the stochastic solution with an arbitrarily large number of samples, at virtually no additional computational cost, to drastically reduce the sampling errors. The resulting algorithm thus achieves a high accuracy at reduced computational cost, compared to the classical implementations of EnKF. Numerical examples are provided to verify the convergence property and accuracy improvement of the new algorithm. We also prove that for linear systems with Gaussian noise, the first-order gPC Kalman filter method is equivalent to the exact Kalman filter.
Directory of Open Access Journals (Sweden)
Elias D. Nino-Ruiz
2017-07-01
Full Text Available In this paper, a matrix-free posterior ensemble Kalman filter implementation based on a modified Cholesky decomposition is proposed. The method works as follows: the precision matrix of the background error distribution is estimated based on a modified Cholesky decomposition. The resulting estimator can be expressed in terms of Cholesky factors which can be updated based on a series of rank-one matrices in order to approximate the precision matrix of the analysis distribution. By using this matrix, the posterior ensemble can be built by either sampling from the posterior distribution or using synthetic observations. Furthermore, the computational effort of the proposed method is linear with regard to the model dimension and the number of observed components from the model domain. Experimental tests are performed making use of the Lorenz-96 model. The results reveal that, the accuracy of the proposed implementation in terms of root-mean-square-error is similar, and in some cases better, to that of a well-known ensemble Kalman filter (EnKF implementation: the local ensemble transform Kalman filter. In addition, the results are comparable to those obtained by the EnKF with large ensemble sizes.
Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*
Hoteit, Ibrahim; Luo, Xiaodong; Pham, Dinh-Tuan
2012-01-01
introduce a resampling step to the PEnKF in order to reduce the risk of weights collapse and improve the performance of the filter. Numerical experiments with the strongly nonlinear Lorenz-96 model are presented and discussed.
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.
Application of Consider Covariance to the Extended Kalman Filter
Lundberg, John B.
1996-01-01
The extended Kalman filter (EKF) is the basis for many applications of filtering theory to real-time problems where estimates of the state of a dynamical system are to be computed based upon some set of observations. The form of the EKF may vary somewhat from one application to another, but the fundamental principles are typically unchanged among these various applications. As is the case in many filtering applications, models of the dynamical system (differential equations describing the state variables) and models of the relationship between the observations and the state variables are created. These models typically employ a set of constants whose values are established my means of theory or experimental procedure. Since the estimates of the state are formed assuming that the models are perfect, any modeling errors will affect the accuracy of the computed estimates. Note that the modeling errors may be errors of commission (errors in terms included in the model) or omission (errors in terms excluded from the model). Consequently, it becomes imperative when evaluating the performance of real-time filters to evaluate the effect of modeling errors on the estimates of the state.
Using Kalman Filters to Reduce Noise from RFID Location System
Xavier, José; 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). PMID:24592186
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.
International Nuclear Information System (INIS)
Xu Long; Wang Junping; Chen Quanshi
2012-01-01
Highlights: ► A novel extended Kalman Filtering SOC estimation method based on a stochastic fuzzy neural network (SFNN) battery model is proposed. ► The SFNN which has filtering effect on noisy input can model the battery nonlinear dynamic with high accuracy. ► A robust parameter learning algorithm for SFNN is studied so that the parameters can converge to its true value with noisy data. ► The maximum SOC estimation error based on the proposed method is 0.6%. - Abstract: Extended Kalman filtering is an intelligent and optimal means for estimating the state of a dynamic system. In order to use extended Kalman filtering to estimate the state of charge (SOC), we require a mathematical model that can accurately capture the dynamics of battery pack. In this paper, we propose a stochastic fuzzy neural network (SFNN) instead of the traditional neural network that has filtering effect on noisy input to model the battery nonlinear dynamic. Then, the paper studies the extended Kalman filtering SOC estimation method based on a SFNN model. The modeling test is realized on an 80 Ah Ni/MH battery pack and the Federal Urban Driving Schedule (FUDS) cycle is used to verify the SOC estimation method. The maximum SOC estimation error is 0.6% compared with the real SOC obtained from the discharging test.
Identification and simulation for steam generator water level based on Kalman Filter
International Nuclear Information System (INIS)
Deng Chen; Zhang Qinshun
2008-01-01
In order to effectively control the water level of the steam generator (SG), this paper has set about the state-observer theory in modern control and put forward a method to detect the 'false water level' based on Kalman Filter. Kalman Filter is a efficient tool to estimate state-variable by measured value including noise. For heavy measurement noise of steam flow, constructing a 'false water level' observer by Kalman Filter could availably obtain state variable of 'false water level'. The simulation computing for the dynamics characteristic of nuclear SG water level process under several typically running power was implemented by employing the simulation model. The result shows that the simulation model accurately identifies the 'false water level' produced in the reverse thermal-dynamic effects of nuclear SG water level process. The simulation model can realize the precise analysis of dynamics characteristic for the nuclear SG water level process. It can provide a kind of new ideas for the 'false water level' detecting of SG. (authors)
The Ensemble Kalman Filter for Groundwater Plume Characterization: A Case Study.
Ross, James L; Andersen, Peter F
2018-04-17
The Kalman filter is an efficient data assimilation tool to refine an estimate of a state variable using measured data and the variable's correlations in space and/or time. The ensemble Kalman filter (EnKF) (Evensen, 2004, 2009) is a Kalman filter variant that employs Monte Carlo analysis to define the correlations that help to refine the updated state. While use of EnKF in hydrology is somewhat limited, it has been successfully applied in other fields of engineering (e.g. oil reservoir modeling, weather forecasting). Here, EnKF is used to refine a simulated groundwater TCE plume that underlies the Tooele Army Depot-North (TEAD-N) in Utah, based on observations of TCE in the aquifer. The resulting EnKF-based assimilated plume is simulated forward in time to predict future plume migration. The correlations that underpin EnKF updating implicitly contain information about how the plume developed over time under the influence of complex site hydrology and variable source history, as they are predicated on multiple realizations of a well-calibrated numerical groundwater flow and transport model. The EnKF methodology is compared to an ordinary kriging-based assimilation method with respect to the accurate representation of plume concentrations in order to determine the relative efficacy of EnKF for water quality data assimilation. This article is protected by copyright. All rights reserved.
Real-time MR diffusion tensor and Q-ball imaging using Kalman filtering
International Nuclear Information System (INIS)
Poupon, C.; Roche, A.; Dubois, J.; Mangin, J.F.; Poupon, F.
2008-01-01
Diffusion magnetic resonance imaging (dMRI) has become an established research tool for the investigation of tissue structure and orientation. In this paper, we present a method for real-time processing of diffusion tensor and Q-ball imaging. The basic idea is to use Kalman filtering framework to fit either the linear tensor or Q-ball model. Because the Kalman filter is designed to be an incremental algorithm, it naturally enables updating the model estimate after the acquisition of any new diffusion-weighted volume. Processing diffusion models and maps during ongoing scans provides a new useful tool for clinicians, especially when it is not possible to predict how long a subject may remain still in the magnet. First, we introduce the general linear models corresponding to the two diffusion tensor and analytical Q-ball models of interest. Then, we present the Kalman filtering framework and we focus on the optimization of the diffusion orientation sets in order to speed up the convergence of the online processing. Last, we give some results on a healthy volunteer for the online tensor and the Q-ball model, and we make some comparisons with the conventional offline techniques used in the literature. We could achieve full real-time for diffusion tensor imaging and deferred time for Q-ball imaging, using a single workstation. (authors)
Incremental Activation Detection for Real-Time fMRI Series Using Robust Kalman Filter
Directory of Open Access Journals (Sweden)
Liang Li
2014-01-01
Full Text Available Real-time functional magnetic resonance imaging (rt-fMRI is a technique that enables us to observe human brain activations in real time. However, some unexpected noises that emerged in fMRI data collecting, such as acute swallowing, head moving and human manipulations, will cause much confusion and unrobustness for the activation analysis. In this paper, a new activation detection method for rt-fMRI data is proposed based on robust Kalman filter. The idea is to add a variation to the extended kalman filter to handle the additional sparse measurement noise and a sparse noise term to the measurement update step. Hence, the robust Kalman filter is designed to improve the robustness for the outliers and can be computed separately for each voxel. The algorithm can compute activation maps on each scan within a repetition time, which meets the requirement for real-time analysis. Experimental results show that this new algorithm can bring out high performance in robustness and in real-time activation detection.
Schmidt-Kalman Filter with Polynomial Chaos Expansion for Orbit Determination of Space Objects
Yang, Y.; Cai, H.; Zhang, K.
2016-09-01
Parameter errors in orbital models can result in poor orbit determination (OD) using a traditional Kalman filter. One approach to account for these errors is to consider them in the so-called Schmidt-Kalman filter (SKF), by augmenting the state covariance matrix (CM) with additional parameter covariance rather than additively estimating these so-called "consider" parameters. This paper introduces a new SKF algorithm with polynomial chaos expansion (PCE-SKF). The PCE approach has been proved to be more efficient than Monte Carlo method for propagating the input uncertainties onto the system response without experiencing any constraints of linear dynamics, or Gaussian distributions of the uncertainty sources. The state and covariance needed in the orbit prediction step are propagated using PCE. An inclined geosynchronous orbit scenario is set up to test the proposed PCE-SKF based OD algorithm. The satellite orbit is propagated based on numerical integration, with the uncertain coefficient of solar radiation pressure considered. The PCE-SKF solutions are compared with extended Kalman filter (EKF), SKF and PCE-EKF (EKF with PCE) solutions. It is implied that the covariance propagation using PCE leads to more precise OD solutions in comparison with those based on linear propagation of covariance.
Robust cubature Kalman filter for GNSS/INS with missing observations and colored measurement noise.
Cui, Bingbo; Chen, Xiyuan; Tang, Xihua; Huang, Haoqian; Liu, Xiao
2018-01-01
In order to improve the accuracy of GNSS/INS working in GNSS-denied environment, a robust cubature Kalman filter (RCKF) is developed by considering colored measurement noise and missing observations. First, an improved cubature Kalman filter (CKF) is derived by considering colored measurement noise, where the time-differencing approach is applied to yield new observations. Then, after analyzing the disadvantages of existing methods, the measurement augment in processing colored noise is translated into processing the uncertainties of CKF, and new sigma point update framework is utilized to account for the bounded model uncertainties. By reusing the diffused sigma points and approximation residual in the prediction stage of CKF, the RCKF is developed and its error performance is analyzed theoretically. Results of numerical experiment and field test reveal that RCKF is more robust than CKF and extended Kalman filter (EKF), and compared with EKF, the heading error of land vehicle is reduced by about 72.4%. Copyright © 2017 ISA. Published by Elsevier Ltd. All rights reserved.
A novel strong tracking finite-difference extended Kalman filter for nonlinear eye tracking
Institute of Scientific and Technical Information of China (English)
ZHANG ZuTao; ZHANG JiaShu
2009-01-01
Non-Intrusive methods for eye tracking are Important for many applications of vision-based human computer interaction. However, due to the high nonlinearity of eye motion, how to ensure the robust-ness of external interference and accuracy of eye tracking poses the primary obstacle to the integration of eye movements into today's interfaces. In this paper, we present a strong tracking finite-difference extended Kalman filter algorithm, aiming to overcome the difficulty In modeling nonlinear eye tracking. In filtering calculation, strong tracking factor is introduced to modify a priori covariance matrix and im-prove the accuracy of the filter. The filter uses finite-difference method to calculate partial derivatives of nonlinear functions for eye tracking. The latest experimental results show the validity of our method for eye tracking under realistic conditions.
Oaida, C. M.; Andreadis, K.; Reager, J. T., II; Famiglietti, J. S.; Levoe, S.
2017-12-01
Accurately estimating how much snow water equivalent (SWE) is stored in mountainous regions characterized by complex terrain and snowmelt-driven hydrologic cycles is not only greatly desirable, but also a big challenge. Mountain snowpack exhibits high spatial variability across a broad range of spatial and temporal scales due to a multitude of physical and climatic factors, making it difficult to observe or estimate in its entirety. Combing remotely sensed data and high resolution hydrologic modeling through data assimilation (DA) has the potential to provide a spatially and temporally continuous SWE dataset at horizontal scales that capture sub-grid snow spatial variability and are also relevant to stakeholders such as water resource managers. Here, we present the evaluation of a new snow DA approach that uses a Local Ensemble Transform Kalman Filter (LETKF) in tandem with the Variable Infiltration Capacity macro-scale hydrologic model across the Western United States, at a daily temporal resolution, and a horizontal resolution of 1.75 km x 1.75 km. The LETKF is chosen for its relative simplicity, ease of implementation, and computational efficiency and scalability. The modeling/DA system assimilates daily MODIS Snow Covered Area and Grain Size (MODSCAG) fractional snow cover over, and has been developed to efficiently calculate SWE estimates over extended periods of time and covering large regional-scale areas at relatively high spatial resolution, ultimately producing a snow reanalysis-type dataset. Here we focus on the assessment of SWE produced by the DA scheme over several basins in California's Sierra Nevada Mountain range where Airborne Snow Observatory data is available, during the last five water years (2013-2017), which include both one of the driest and one of the wettest years. Comparison against such a spatially distributed SWE observational product provides a greater understanding of the model's ability to estimate SWE and SWE spatial variability
Quantum Kalman filtering and the Heisenberg limit in atomic magnetometry
Energy Technology Data Exchange (ETDEWEB)
Geremia, J M; Stockton, John K; Doherty, Andrew C; Mabuchi, Hideo [Norman Bridge Laboratory of Physics, California Institute of Technology, Pasadena, California, 91125 (United States)
2003-12-19
The shot-noise detection limit in current high-precision magnetometry [I. Kominis, T. Kornack, J. Allred, and M. Romalis, Nature (London) 422, 596 (2003)]10.1038/nature01484 is a manifestation of quantum fluctuations that scale as 1/{radical}(N) in an ensemble of N atoms. Here, we develop a procedure that combines continuous measurement and quantum Kalman filtering [V. Belavkin, Rep. Math. Phys. 43, 405 (1999)] to surpass this conventional limit by exploiting conditional spin squeezing to achieve 1/N field sensitivity. Our analysis demonstrates the importance of optimal estimation for high bandwidth precision magnetometry at the Heisenberg limit and also identifies an approximate estimator based on linear regression.
Kalman Filter for Mass Property and Thrust Identification (MMS)
Queen, Steven
2015-01-01
The Magnetospheric Multiscale (MMS) mission consists of four identically instrumented, spin-stabilized observatories, elliptically orbiting the Earth in a tetrahedron formation. For the operational success of the mission, on-board systems must be able to deliver high-precision orbital adjustment maneuvers. On MMS, this is accomplished using feedback from on-board star sensors in tandem with accelerometers whose measurements are dynamically corrected for errors associated with a spinning platform. In order to determine the required corrections to the measured acceleration, precise estimates of attitude, rate, and mass-properties is necessary. To this end, both an on-board and ground-based Multiplicative Extended Kalman Filter (MEKF) were formulated and implemented in order to estimate the dynamic and quasi-static properties of the spacecraft.
Solving Assembly Sequence Planning using Angle Modulated Simulated Kalman Filter
Mustapa, Ainizar; Yusof, Zulkifli Md.; Adam, Asrul; Muhammad, Badaruddin; Ibrahim, Zuwairie
2018-03-01
This paper presents an implementation of Simulated Kalman Filter (SKF) algorithm for optimizing an Assembly Sequence Planning (ASP) problem. The SKF search strategy contains three simple steps; predict-measure-estimate. The main objective of the ASP is to determine the sequence of component installation to shorten assembly time or save assembly costs. Initially, permutation sequence is generated to represent each agent. Each agent is then subjected to a precedence matrix constraint to produce feasible assembly sequence. Next, the Angle Modulated SKF (AMSKF) is proposed for solving ASP problem. The main idea of the angle modulated approach in solving combinatorial optimization problem is to use a function, g(x), to create a continuous signal. The performance of the proposed AMSKF is compared against previous works in solving ASP by applying BGSA, BPSO, and MSPSO. Using a case study of ASP, the results show that AMSKF outperformed all the algorithms in obtaining the best solution.
Kalman filtering of self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1992-01-01
Pressurized water reactors employ a wide variety of in-core detectors to determine the neutronic behavior within the core. Among the detectors used are rhodium and vanadium self-powered detectors (SPDs), which are very accurate, but respond slowly to changes in neutron flux. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which converts delayed-responding rhodium and vanadium SPDs into prompt-responding detectors by reconstructing the dynamic flux signal sensed by the detectors from the prompt and delayed components. This conversion offers the possibility of utilizing current fixed in-core detector systems based on these delayed-responding detectors for core control and/or core protection functions without the need for fixed in-core detectors which are prompt-responding. As a result, the capabilities of current fixed in-core detector systems could be expanded significantly without a major hardware investment
Kalman filtering for rhodium self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1988-01-01
Rhodium self-powered neutron detectors are utilized in many pressurized water reactors to determine the neutronic behavior within the core. In order to compensate for the inherent time delay associated with the response of these detectors, a dynamic compensation algorithm is currently used in Combustion Engineering plants to reconstruct the dynamic flux signal which is being sensed by the rhodium detectors. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which improves on the noise gain and response time characteristics of the algorithm currently used, and offers the possibility of utilizing the proven rhodium detector based fixed in-core detector system as an integral part of advanced core control and/or protection systems
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep; Wei, Junchao; Davis, Lynn
2013-08-08
Solid-state lighting (SSL) luminaires containing light emitting diodes (LEDs) have the potential of seeing excessive temperatures when being transported across country or being stored in non-climate controlled warehouses. They are also being used in outdoor applications in desert environments that see little or no humidity but will experience extremely high temperatures during the day. This makes it important to increase our understanding of what effects high temperature exposure for a prolonged period of time will have on the usability and survivability of these devices. Traditional light sources “burn out” at end-of-life. For an incandescent bulb, the lamp life is defined by B50 life. However, the LEDs have no filament to “burn”. The LEDs continually degrade and the light output decreases eventually below useful levels causing failure. Presently, the TM-21 test standard is used to predict the L70 life of LEDs from LM-80 test data. Several failure mechanisms may be active in a LED at a single time causing lumen depreciation. The underlying TM-21 Model may not capture the failure physics in presence of multiple failure mechanisms. Correlation of lumen maintenance with underlying physics of degradation at system-level is needed. In this paper, Kalman Filter (KF) and Extended Kalman Filters (EKF) have been used to develop a 70-percent Lumen Maintenance Life Prediction Model for LEDs used in SSL luminaires. Ten-thousand hour LM-80 test data for various LEDs have been used for model development. System state at each future time has been computed based on the state space at preceding time step, system dynamics matrix, control vector, control matrix, measurement matrix, measured vector, process noise and measurement noise. The future state of the lumen depreciation has been estimated based on a second order Kalman Filter model and a Bayesian Framework. The measured state variable has been related to the underlying damage using physics-based models. Life
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep; Wei, Junchao; Davis, J Lynn
2014-06-24
Abstract— Solid-state lighting (SSL) luminaires containing light emitting diodes (LEDs) have the potential of seeing excessive temperatures when being transported across country or being stored in non-climate controlled warehouses. They are also being used in outdoor applications in desert environments that see little or no humidity but will experience extremely high temperatures during the day. This makes it important to increase our understanding of what effects high temperature exposure for a prolonged period of time will have on the usability and survivability of these devices. Traditional light sources “burn out” at end-of-life. For an incandescent bulb, the lamp life is defined by B50 life. However, the LEDs have no filament to “burn”. The LEDs continually degrade and the light output decreases eventually below useful levels causing failure. Presently, the TM-21 test standard is used to predict the L70 life of LEDs from LM-80 test data. Several failure mechanisms may be active in a LED at a single time causing lumen depreciation. The underlying TM-21 Model may not capture the failure physics in presence of multiple failure mechanisms. Correlation of lumen maintenance with underlying physics of degradation at system-level is needed. In this paper, Kalman Filter (KF) and Extended Kalman Filters (EKF) have been used to develop a 70-percent Lumen Maintenance Life Prediction Model for LEDs used in SSL luminaires. Ten-thousand hour LM-80 test data for various LEDs have been used for model development. System state at each future time has been computed based on the state space at preceding time step, system dynamics matrix, control vector, control matrix, measurement matrix, measured vector, process noise and measurement noise. The future state of the lumen depreciation has been estimated based on a second order Kalman Filter model and a Bayesian Framework. Life prediction of L70 life for the LEDs used in SSL luminaires from KF and EKF based models have
High precision estimation of inertial rotation via the extended Kalman filter
Liu, Lijun; Qi, Bo; Cheng, Shuming; Xi, Zairong
2015-11-01
Recent developments in technology have enabled atomic gyroscopes to become the most sensitive inertial sensors. Atomic spin gyroscopes essentially output an estimate of the inertial rotation rate to be measured. In this paper, we present a simple yet efficient estimation method, the extended Kalman filter (EKF), for the atomic spin gyroscope. Numerical results show that the EKF method is much more accurate than the steady-state estimation method, which is used in the most sensitive atomic gyroscopes at present. Specifically, the root-mean-squared errors obtained by the EKF method are at least 103 times smaller than those obtained by the steady-state estimation method under the same response time.
Monitoring hydraulic fractures: state estimation using an extended Kalman filter
International Nuclear Information System (INIS)
Rochinha, Fernando Alves; Peirce, Anthony
2010-01-01
There is considerable interest in using remote elastostatic deformations to identify the evolving geometry of underground fractures that are forced to propagate by the injection of high pressure viscous fluids. These so-called hydraulic fractures are used to increase the permeability in oil and gas reservoirs as well as to pre-fracture ore-bodies for enhanced mineral extraction. The undesirable intrusion of these hydraulic fractures into environmentally sensitive areas or into regions in mines which might pose safety hazards has stimulated the search for techniques to enable the evolving hydraulic fracture geometries to be monitored. Previous approaches to this problem have involved the inversion of the elastostatic data at isolated time steps in the time series provided by tiltmeter measurements of the displacement gradient field at selected points in the elastic medium. At each time step, parameters in simple static models of the fracture (e.g. a single displacement discontinuity) are identified. The approach adopted in this paper is not to regard the sequence of sampled elastostatic data as independent, but rather to treat the data as linked by the coupled elastic-lubrication equations that govern the propagation of the evolving hydraulic fracture. We combine the Extended Kalman Filter (EKF) with features of a recently developed implicit numerical scheme to solve the coupled free boundary problem in order to form a novel algorithm to identify the evolving fracture geometry. Numerical experiments demonstrate that, despite excluding significant physical processes in the forward numerical model, the EKF-numerical algorithm is able to compensate for the un-modeled dynamics by using the information fed back from tiltmeter data. Indeed the proposed algorithm is able to provide reasonably faithful estimates of the fracture geometry, which are shown to converge to the actual hydraulic fracture geometry as the number of tiltmeters is increased. Since the location of
International Nuclear Information System (INIS)
Seegmiller, D.S.
1984-01-01
The usefulness of a nuclear power plant training simulator for developing and testing modern estimation and control applications for nuclear power plants is demonstrated. A Kalman filter based instrument failure detection technique for a pressurized water reactor pressurizer is implemented on the Department of Energy N Reactor Training Simulator. This real-time failure detection method computes the first two moments (mean and variance) of each element of a normalized filter innovations vector. Failed pressurizer instrumentation can be detected by comparing these moments to the known statistical properties of the steady state, linear Kalman fitler innovations sequence. The capabilities of the detection system are evaluated using simulated plant transients and instrument failures
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.
International Nuclear Information System (INIS)
Li, Yanwen; Wang, Chao; Gong, Jinfeng
2016-01-01
An accurate battery State of Charge estimation plays an important role in battery electric vehicles. This paper makes two contributions to the existing literature. (1) A recursive least squares method with fuzzy adaptive forgetting factor has been presented to update the model parameters close to the real value more quickly. (2) The statistical information of the innovation sequence obeying chi-square distribution has been introduced to identify model uncertainty, and a novel combination algorithm of strong tracking unscented Kalman filter and adaptive unscented Kalman filter has been developed to estimate SOC (State of Charge). Experimental results indicate that the novel algorithm has a good performance in estimating the battery SOC against initial SOC errors and voltage sensor drift. A comparison with the unscented Kalman filter-based algorithms and adaptive unscented Kalman filter-based algorithms shows that the proposed SOC estimation method has better accuracy, robustness and convergence behavior. - Highlights: • Recursive least squares method with fuzzy adaptive forgetting factor is presented. • The innovation obeying chi-square distribution is used to identify uncertainty. • A combination Karman filter approach for State of Charge estimation is presented. • The performance of the proposed method is verified by comparison results.
Robust extended Kalman filter of discrete-time Markovian jump nonlinear system under uncertain noise
International Nuclear Information System (INIS)
Zhu, Jin; Park, Jun Hong; Lee, Kwan Soo; Spiryagin, Maksym
2008-01-01
This paper examines the problem of robust extended Kalman filter design for discrete -time Markovian jump nonlinear systems with noise uncertainty. Because of the existence of stochastic Markovian switching, the state and measurement equations of underlying system are subject to uncertain noise whose covariance matrices are time-varying or un-measurable instead of stationary. First, based on the expression of filtering performance deviation, admissible uncertainty of noise covariance matrix is given. Secondly, two forms of noise uncertainty are taken into account: Non- Structural and Structural. It is proved by applying game theory that this filter design is a robust mini-max filter. A numerical example shows the validity of the method
Hu, Shaoxing; Xu, Shike; Wang, Duhu; Zhang, Aiwu
2015-11-11
Aiming at addressing the problem of high computational cost of the traditional Kalman filter in SINS/GPS, a practical optimization algorithm with offline-derivation and parallel processing methods based on the numerical characteristics of the system is presented in this paper. The algorithm exploits the sparseness and/or symmetry of matrices to simplify the computational procedure. Thus plenty of invalid operations can be avoided by offline derivation using a block matrix technique. For enhanced efficiency, a new parallel computational mechanism is established by subdividing and restructuring calculation processes after analyzing the extracted "useful" data. As a result, the algorithm saves about 90% of the CPU processing time and 66% of the memory usage needed in a classical Kalman filter. Meanwhile, the method as a numerical approach needs no precise-loss transformation/approximation of system modules and the accuracy suffers little in comparison with the filter before computational optimization. Furthermore, since no complicated matrix theories are needed, the algorithm can be easily transplanted into other modified filters as a secondary optimization method to achieve further efficiency.
Parameter estimation for stiff deterministic dynamical systems via ensemble Kalman filter
International Nuclear Information System (INIS)
Arnold, Andrea; Calvetti, Daniela; Somersalo, Erkki
2014-01-01
A commonly encountered problem in numerous areas of applications is to estimate the unknown coefficients of a dynamical system from direct or indirect observations at discrete times of some of the components of the state vector. A related problem is to estimate unobserved components of the state. An egregious example of such a problem is provided by metabolic models, in which the numerous model parameters and the concentrations of the metabolites in tissue are to be estimated from concentration data in the blood. A popular method for addressing similar questions in stochastic and turbulent dynamics is the ensemble Kalman filter (EnKF), a particle-based filtering method that generalizes classical Kalman filtering. In this work, we adapt the EnKF algorithm for deterministic systems in which the numerical approximation error is interpreted as a stochastic drift with variance based on classical error estimates of numerical integrators. This approach, which is particularly suitable for stiff systems where the stiffness may depend on the parameters, allows us to effectively exploit the parallel nature of particle methods. Moreover, we demonstrate how spatial prior information about the state vector, which helps the stability of the computed solution, can be incorporated into the filter. The viability of the approach is shown by computed examples, including a metabolic system modeling an ischemic episode in skeletal muscle, with a high number of unknown parameters. (paper)
Fundamental aspects of the Kalman filter with examples regarding load forecasting and acid rain
Energy Technology Data Exchange (ETDEWEB)
Molenaar, J.; Visser, H.
1989-02-01
Time-series analysis has become an important tool in research fields such as econometrics, medicine, environmental sciences etc. The Kalman filter is a powerful algorithm for estimation of a wide variety of time-series models. A detailed derivation of the Kalman filter formulae is presented in this contribution. It is also shown how a class of time-series models, the so-called structural models, can be estimated by the Kalman filter. Two examples related to electricity generation are described. 5 figs., 22 refs.
Nonlinear system identification based on Takagi-Sugeno fuzzy modeling and unscented Kalman filter.
Vafamand, Navid; Arefi, Mohammad Mehdi; Khayatian, Alireza
2018-03-01
This paper proposes two novel Kalman-based learning algorithms for an online Takagi-Sugeno (TS) fuzzy model identification. The proposed approaches are designed based on the unscented Kalman filter (UKF) and the concept of dual estimation. Contrary to the extended Kalman filter (EKF) which utilizes derivatives of nonlinear functions, the UKF employs the unscented transformation. Consequently, non-differentiable membership functions can be considered in the structure of the TS models. This makes the proposed algorithms to be applicable for the online parameter calculation of wider classes of TS models compared to the recently published papers concerning the same issue. Furthermore, because of the great capability of the UKF in handling severe nonlinear dynamics, the proposed approaches can effectively approximate the nonlinear systems. Finally, numerical and practical examples are provided to show the advantages of the proposed approaches. Simulation results reveal the effectiveness of the proposed methods and performance improvement based on the root mean square (RMS) of the estimation error compared to the existing results. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.
A Kalman filter technique applied for medical image reconstruction
International Nuclear Information System (INIS)
Goliaei, S.; Ghorshi, S.; Manzuri, M. T.; Mortazavi, M.
2011-01-01
Medical images contain information about vital organic tissues inside of human body and are widely used for diagnoses of disease or for surgical purposes. Image reconstruction is essential for medical images for some applications such as suppression of noise or de-blurring the image in order to provide images with better quality and contrast. Due to vital rule of image reconstruction in medical sciences the corresponding algorithms with better efficiency and higher speed is desirable. Most algorithms in image reconstruction are operated on frequency domain such as the most popular one known as filtered back projection. In this paper we introduce a Kalman filter technique which is operated in time domain for medical image reconstruction. Results indicated that as the number of projection increases in both normal collected ray sum and the collected ray sum corrupted by noise the quality of reconstructed image becomes better in terms of contract and transparency. It is also seen that as the number of projection increases the error index decreases.
International Nuclear Information System (INIS)
Son, Junbo; Zhou, Shiyu; Sankavaram, Chaitanya; Du, Xinyu; Zhang, Yilu
2016-01-01
In this paper, a statistical prognostic method to predict the remaining useful life (RUL) of individual units based on noisy condition monitoring signals is proposed. The prediction accuracy of existing data-driven prognostic methods depends on the capability of accurately modeling the evolution of condition monitoring (CM) signals. Therefore, it is inevitable that the RUL prediction accuracy depends on the amount of random noise in CM signals. When signals are contaminated by a large amount of random noise, RUL prediction even becomes infeasible in some cases. To mitigate this issue, a robust RUL prediction method based on constrained Kalman filter is proposed. The proposed method models the CM signals subject to a set of inequality constraints so that satisfactory prediction accuracy can be achieved regardless of the noise level of signal evolution. The advantageous features of the proposed RUL prediction method is demonstrated by both numerical study and case study with real world data from automotive lead-acid batteries. - Highlights: • A computationally efficient constrained Kalman filter is proposed. • Proposed filter is integrated into an online failure prognosis framework. • A set of proper constraints significantly improves the failure prediction accuracy. • Promising results are reported in the application of battery failure prognosis.
Tsunami Modeling and Prediction Using a Data Assimilation Technique with Kalman Filters
Barnier, G.; Dunham, E. M.
2016-12-01
Earthquake-induced tsunamis cause dramatic damages along densely populated coastlines. It is difficult to predict and anticipate tsunami waves in advance, but if the earthquake occurs far enough from the coast, there may be enough time to evacuate the zones at risk. Therefore, any real-time information on the tsunami wavefield (as it propagates towards the coast) is extremely valuable for early warning systems. After the 2011 Tohoku earthquake, a dense tsunami-monitoring network (S-net) based on cabled ocean-bottom pressure sensors has been deployed along the Pacific coast in Northeastern Japan. Maeda et al. (GRL, 2015) introduced a data assimilation technique to reconstruct the tsunami wavefield in real time by combining numerical solution of the shallow water wave equations with additional terms penalizing the numerical solution for not matching observations. The penalty or gain matrix is determined though optimal interpolation and is independent of time. Here we explore a related data assimilation approach using the Kalman filter method to evolve the gain matrix. While more computationally expensive, the Kalman filter approach potentially provides more accurate reconstructions. We test our method on a 1D tsunami model derived from the Kozdon and Dunham (EPSL, 2014) dynamic rupture simulations of the 2011 Tohoku earthquake. For appropriate choices of model and data covariance matrices, the method reconstructs the tsunami wavefield prior to wave arrival at the coast. We plan to compare the Kalman filter method to the optimal interpolation method developed by Maeda et al. (GRL, 2015) and then to implement the method for 2D.
DEFF Research Database (Denmark)
Wang, Yanbo; Tian, Yanjun; Wang, Xiongfei
2014-01-01
State monitoring and analysis of distribution systems has become an urgent issue, and state estimation serves as an important tool to deal with it. In this paper, a Kalman-Filter-based state estimation method for a multi-bus islanded microgrid is presented. First, an overall small signal model wi...
Application and Optimization of Kalman Filter for Baseband Signal Processing of GPS Receivers
Directory of Open Access Journals (Sweden)
He Yanpin
2016-01-01
Full Text Available High sensitivity tracking in GPS receiver is required in many weak signal circumstances. The key of improving sensitivity is the optimization of the loop filter in tracking. As Kalman filter is the most optimized linear filter, it is used in many engineering fields. This article introduced the application of Kalman filter as the loop filter of the carrier tracking loop in GPS receiver, to improve tracking sensitivity. The traditional loop filter is replaced. Simulation results show that the new structure improves the tracking sensitivity by 6dB and can make the tracking loop more robust when the navigation signal is languishing. The optimization of theKalman filter is also analysed, which further improves the sensitivity by 4dB.
Solid-state lighting life prediction using extended Kalman filter
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep [Auburn Univ., AL (United States); Wei, Junchao [Auburn Univ., AL (United States); Davis, Lynn [RTI International, Durham, NC (United States)
2013-07-16
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. The U.S. Department of Energy has made a long term commitment to advance the efficiency, understanding and development of solid-state lighting (SSL) and is making a strong push for the acceptance and use of SSL products to reduce overall energy consumption attributable to lighting. 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 SSL Luminaires from LM-80 test data. The TM-21 model uses an Arrhenius Equation with an Activation Energy, Pre-decay factor and Decay Rates. Several failure mechanisms may be active in a luminaire at a single time causing lumen depreciation. The underlying TM-21 Arrhenius 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, a Kalman Filter and Extended Kalman Filters have been used to develop a 70% Lumen Maintenance Life Prediction Model for a LEDs used in SSL luminaires. This model can be used to calculate acceleration factors, evaluate failure-probability and identify ALT methodologies for reducing test time. Ten-thousand hour LM
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.
Wang, Rui; Li, Yanxiao; Sun, Hui; Chen, Zengqiang
2017-11-01
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.
Extended Kalman filtering applied to a two-axis robotic arm with flexible links
Energy Technology Data Exchange (ETDEWEB)
Lertpiriyasuwat, V.; Berg, M.C.; Buffinton, K.W.
2000-03-01
An industrial robot today uses measurements of its joint positions and models of its kinematics and dynamics to estimate and control its end-effector position. Substantially better end-effector position estimation and control performance would be obtainable if direct measurements of its end-effector position were also used. The subject of this paper is extended Kalman filtering for precise estimation of the position of the end-effector of a robot using, in addition to the usual measurements of the joint positions, direct measurements of the end-effector position. The estimation performances of extended Kalman filters are compared in applications to a planar two-axis robotic arm with very flexible links. The comparisons shed new light on the dependence of extended Kalman filter estimation performance on the quality of the model of the arm dynamics that the extended Kalman filter operates with.
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.
GPS Signal Offset Detection and Noise Strength Estimation in a Parallel Kalman Filter Algorithm
National Research Council Canada - National Science Library
Vanek, Barry
1999-01-01
.... The variance of the noise process is estimated and provided to the second algorithm, a parallel Kalman filter structure, which then adapts to changes in the real-world measurement noise strength...
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.
National Research Council Canada - National Science Library
Erwin, R. S; Bernstein, Dennis S
2005-01-01
.... In this paper we use a sampled-data extended Kalman Filter to estimate the trajectory or a target satellite when only range measurements are available from a constellation or orbiting spacecraft...
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.
On a New Family of Kalman Filter Algorithms for Integrated Navigation
Mahboub, V.; Saadatseresht, M.; Ardalan, A. A.
2017-09-01
Here we present a review on a new family of Kalman filter algorithms which recently developed for integrated navigation. In particular it is useful for vision based navigation due to the type of data. Here we mainly focus on three algorithms namely weighted Total Kalman filter (WTKF), integrated Kalman filter (IKF) and constrained integrated Kalman filter (CIKF). The common characteristic of these algorithms is that they can consider the neglected random observed quantities which may appear in the dynamic model. Moreover, our approach makes use of condition equations and straightforward variance propagation rules. The WTKF algorithm can deal with problems with arbitrary weight matrixes. Both of the observation equations and system equations can be dynamic-errors-in-variables (DEIV) models in the IKF algorithms. In some problems a quadratic constraint may exist. They can be solved by CIKF algorithm. Finally, we compare four algorithms WTKF, IKF, CIKF and EKF in numerical examples.
Hesar, Hamed Danandeh; Mohebbi, Maryam
2017-05-01
In this paper, a model-based Bayesian filtering framework called the "marginalized particle-extended Kalman filter (MP-EKF) algorithm" is proposed for electrocardiogram (ECG) denoising. This algorithm does not have the extended Kalman filter (EKF) shortcoming in handling non-Gaussian nonstationary situations because of its nonlinear framework. In addition, it has less computational complexity compared with particle filter. This filter improves ECG denoising performance by implementing marginalized particle filter framework while reducing its computational complexity using EKF framework. An automatic particle weighting strategy is also proposed here that controls the reliance of our framework to the acquired measurements. We evaluated the proposed filter on several normal ECGs selected from MIT-BIH normal sinus rhythm database. To do so, artificial white Gaussian and colored noises as well as nonstationary real muscle artifact (MA) noise over a range of low SNRs from 10 to -5 dB were added to these normal ECG segments. The benchmark methods were the EKF and extended Kalman smoother (EKS) algorithms which are the first model-based Bayesian algorithms introduced in the field of ECG denoising. From SNR viewpoint, the experiments showed that in the presence of Gaussian white noise, the proposed framework outperforms the EKF and EKS algorithms in lower input SNRs where the measurements and state model are not reliable. Owing to its nonlinear framework and particle weighting strategy, the proposed algorithm attained better results at all input SNRs in non-Gaussian nonstationary situations (such as presence of pink noise, brown noise, and real MA). In addition, the impact of the proposed filtering method on the distortion of diagnostic features of the ECG was investigated and compared with EKF/EKS methods using an ECG diagnostic distortion measure called the "Multi-Scale Entropy Based Weighted Distortion Measure" or MSEWPRD. The results revealed that our proposed
El Gharamti, Mohamad; Hoteit, Ibrahim
2014-01-01
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.
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.
Sadaghzadeh N, Nargess; Poshtan, Javad; Wagner, Achim; Nordheimer, Eugen; Badreddin, Essameddin
2014-03-01
Based on a cascaded Kalman-Particle Filtering, gyroscope drift and robot attitude estimation method is proposed in this paper. Due to noisy and erroneous measurements of MEMS gyroscope, it is combined with Photogrammetry based vision navigation scenario. Quaternions kinematics and robot angular velocity dynamics with augmented drift dynamics of gyroscope are employed as system state space model. Nonlinear attitude kinematics, drift and robot angular movement dynamics each in 3 dimensions result in a nonlinear high dimensional system. To reduce the complexity, we propose a decomposition of system to cascaded subsystems and then design separate cascaded observers. This design leads to an easier tuning and more precise debugging from the perspective of programming and such a setting is well suited for a cooperative modular system with noticeably reduced computation time. Kalman Filtering (KF) is employed for the linear and Gaussian subsystem consisting of angular velocity and drift dynamics together with gyroscope measurement. The estimated angular velocity is utilized as input of the second Particle Filtering (PF) based observer in two scenarios of stochastic and deterministic inputs. Simulation results are provided to show the efficiency of the proposed method. Moreover, the experimental results based on data from a 3D MEMS IMU and a 3D camera system are used to demonstrate the efficiency of the method. © 2013 ISA Published by ISA All rights reserved.
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)
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.
Pauwels, V. R. N.; DeLannoy, G. J. M.; Hendricks Franssen, H.-J.; Vereecken, H.
2013-01-01
In this paper, we present a two-stage hybrid Kalman filter to estimate both observation and forecast bias in hydrologic models, in addition to state variables. The biases are estimated using the discrete Kalman filter, and the state variables using the ensemble Kalman filter. A key issue in this multi-component assimilation scheme is the exact partitioning of the difference between observation and forecasts into state, forecast bias and observation bias updates. Here, the error covariances of the forecast bias and the unbiased states are calculated as constant fractions of the biased state error covariance, and the observation bias error covariance is a function of the observation prediction error covariance. In a series of synthetic experiments, focusing on the assimilation of discharge into a rainfall-runoff model, it is shown that both static and dynamic observation and forecast biases can be successfully estimated. The results indicate a strong improvement in the estimation of the state variables and resulting discharge as opposed to the use of a bias-unaware ensemble Kalman filter. Furthermore, minimal code modification in existing data assimilation software is needed to implement the method. The results suggest that a better performance of data assimilation methods should be possible if both forecast and observation biases are taken into account.
Directory of Open Access Journals (Sweden)
V. R. N. Pauwels
2013-09-01
Full Text Available In this paper, we present a two-stage hybrid Kalman filter to estimate both observation and forecast bias in hydrologic models, in addition to state variables. The biases are estimated using the discrete Kalman filter, and the state variables using the ensemble Kalman filter. A key issue in this multi-component assimilation scheme is the exact partitioning of the difference between observation and forecasts into state, forecast bias and observation bias updates. Here, the error covariances of the forecast bias and the unbiased states are calculated as constant fractions of the biased state error covariance, and the observation bias error covariance is a function of the observation prediction error covariance. In a series of synthetic experiments, focusing on the assimilation of discharge into a rainfall-runoff model, it is shown that both static and dynamic observation and forecast biases can be successfully estimated. The results indicate a strong improvement in the estimation of the state variables and resulting discharge as opposed to the use of a bias-unaware ensemble Kalman filter. Furthermore, minimal code modification in existing data assimilation software is needed to implement the method. The results suggest that a better performance of data assimilation methods should be possible if both forecast and observation biases are taken into account.
Directory of Open Access Journals (Sweden)
Gerasimos G. Rigatos
2011-12-01
Full Text Available The paper studies sensorless control for DC and induction motors, using Kalman Filtering techniques. First the case of a DC motor is considered and Kalman Filter-based control is implemented. Next the nonlinear model of a field-oriented induction motor is examined and the motor's angular velocity is estimated by an Extended Kalman Filter which processes measurements of the rotor's angle. Sensorless control of the induction motor is again implemented through feedback of the estimated state vector. Additionally, a state estimation-based control loop is implemented using the Unscented Kalman Filter. Moreover, state estimation-based control is developed for the induction motor model using a nonlinear flatness-based controller and the state estimation that is provided by the Extended Kalman Filter. Unlike field oriented control, in the latter approach there is no assumption about decoupling between the rotor speed dynamics and the magnetic flux dynamics. The efficiency of the Kalman Filter-based control schemes, for both the DC and induction motor models, is evaluated through simulation experiments.
International Nuclear Information System (INIS)
Noda, S.; Sasashige, K.; Katagami, D.; Ushio, T.; Kubota, T.; Okamoto, K.; Iida, Y.; Kida, S.; Shige, S.; Shimomura, S.; Aonashi, K.; Inoue, T.; Morimoto, T.; Kawasaki, Z.
2007-01-01
Estimates of precipitation at a high time and space resolution are required for many important applications. In this paper, a new global precipitation map with high spatial (0.1 degree) and temporal (1 hour) resolution using Kalman filter technique is presented and evaluated. Infrared radiometer data, which are available globally nearly everywhere and nearly all the time from geostationary orbit, are used with the several microwave radiometers aboard the LEO satellites. IR data is used as a means to move the precipitation estimates from microwave observation during periods when microwave data are not available at a given location. Moving vector is produced by computing correlations on successive images of IR data. When precipitation is moved, the Kalman filter is applied for improving the moving technique in this research. The new approach showed a better score than the technique without Kalman filter. The correlation coefficient was 0.1 better than without the Kalman filter about 6 hours after the last microwave overpasses, and the RMS error was improved about 0.1 mm/h with the Kalman filter technique. This approach is unique in that 1) the precipitation estimates from the microwave radiometer is mainly used, 2) the IR temperature in every hour is also used for the precipitation estimates based on the Kalman filter theory
Directory of Open Access Journals (Sweden)
P. A. Ermolaev
2014-03-01
Full Text Available Data processing in the interferometer systems requires high-resolution and high-speed algorithms. Recurrence algorithms based on parametric representation of signals execute consequent processing of signal samples. In some cases recurrence algorithms make it possible to increase speed and quality of data processing as compared with classic processing methods. Dependence of the measured interferometer signal on parameters of its model and stochastic nature of noise formation in the system is, in general, nonlinear. The usage of nonlinear stochastic filtering algorithms is expedient for such signals processing. Extended Kalman filter with linearization of state and output equations by the first vector parameters derivatives is an example of these algorithms. To decrease approximation error of this method the second order extended Kalman filtering is suggested with additionally usage of the second vector parameters derivatives of model equations. Examples of algorithm implementation with the different sets of estimated parameters are described. The proposed algorithm gives the possibility to increase the quality of data processing in interferometer systems in which signals are forming according to considered models. Obtained standard deviation of estimated amplitude envelope does not exceed 4% of the maximum. It is shown that signal-to-noise ratio of reconstructed signal is increased by 60%.
Vehicle State Information Estimation with the Unscented Kalman Filter
Directory of Open Access Journals (Sweden)
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.
Traditional Tracking with Kalman Filter on Parallel Architectures
Cerati, Giuseppe; Elmer, Peter; Lantz, Steven; MacNeill, Ian; McDermott, Kevin; Riley, Dan; Tadel, Matevž; Wittich, Peter; Würthwein, Frank; Yagil, Avi
2015-05-01
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 most common track finding techniques in use today are however those based on the Kalman Filter. Significant experience has been accumulated with these techniques on real tracking detector systems, both in the trigger and offline. We report the results of our investigations into the potential and limitations of these algorithms on the new parallel hardware.
Dynamics of Electricity Demand in Lesotho: A Kalman Filter Approach
Directory of Open Access Journals (Sweden)
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.
Kalman filter implementation for small satellites using constraint GPS data
Wesam, Elmahy M.; Zhang, Xiang; Lu, Zhengliang; Liao, Wenhe
2017-06-01
Due to the increased need for autonomy, an Extended Kalman Filter (EKF) has been designed to autonomously estimate the orbit using GPS data. A propagation step models the satellite dynamics as a two body with J2 (second zonal effect) perturbations being suitable for orbits in altitudes higher than 600 km. An onboard GPS receiver provides continuous measurement inputs. The continuity of measurements decreases the errors of the orbit determination algorithm. Power restrictions are imposed on small satellites in general and nanosatellites in particular. In cubesats, the GPS is forced to be shut down most of the mission’s life time. GPS is turned on when experiments like atmospheric ones are carried out and meter level accuracy for positioning is required. This accuracy can’t be obtained by other autonomous sensors like magnetometer and sun sensor as they provide kilometer level accuracy. Through simulation using Matlab and satellite tool kit (STK) the position accuracy is analyzed after imposing constrained conditions suitable for small satellites and a very tight one suitable for nanosatellite missions.
Streamflow data assimilation in SWAT model using Extended Kalman Filter
Sun, Leqiang; Nistor, Ioan; Seidou, Ousmane
2015-12-01
The Extended Kalman Filter (EKF) is coupled with the Soil and Water Assessment Tools (SWAT) model in the streamflow assimilation of the upstream Senegal River in West Africa. Given the large number of distributed variables in SWAT, only the average watershed scale variables are included in the state vector and the Hydrological Response Unit (HRU) scale variables are updated with the a posteriori/a priori ratio of their watershed scale counterparts. The Jacobian matrix is calculated numerically by perturbing the state variables. Both the soil moisture and CN2 are significantly updated in the wet season, yet they have opposite update patterns. A case study for a large flood forecast shows that for up to seven days, the streamflow forecast is moderately improved using the EKF-subsequent open loop scheme but significantly improved with a newly designed quasi-error update scheme. The former has better performances in the flood rising period while the latter has better performances in the recession period. For both schemes, the streamflow forecast is improved more significantly when the lead time is shorter.
Hybrid vs Adaptive Ensemble Kalman Filtering for Storm Surge Forecasting
Altaf, M. U.; Raboudi, N.; Gharamti, M. E.; Dawson, C.; McCabe, M. F.; Hoteit, I.
2014-12-01
Recent storm surge events due to Hurricanes in the Gulf of Mexico have motivated the efforts to accurately forecast water levels. Toward this goal, a parallel architecture has been implemented based on a high resolution storm surge model, ADCIRC. However the accuracy of the model notably depends on the quality and the recentness of the input data (mainly winds and bathymetry), model parameters (e.g. wind and bottom drag coefficients), and the resolution of the model grid. Given all these uncertainties in the system, the challenge is to build an efficient prediction system capable of providing accurate forecasts enough ahead of time for the authorities to evacuate the areas at risk. We have developed an ensemble-based data assimilation system to frequently assimilate available data into the ADCIRC model in order to improve the accuracy of the model. In this contribution we study and analyze the performances of different ensemble Kalman filter methodologies for efficient short-range storm surge forecasting, the aim being to produce the most accurate forecasts at the lowest possible computing time. Using Hurricane Ike meteorological data to force the ADCIRC model over a domain including the Gulf of Mexico coastline, we implement and compare the forecasts of the standard EnKF, the hybrid EnKF and an adaptive EnKF. The last two schemes have been introduced as efficient tools for enhancing the behavior of the EnKF when implemented with small ensembles by exploiting information from a static background covariance matrix. Covariance inflation and localization are implemented in all these filters. Our results suggest that both the hybrid and the adaptive approach provide significantly better forecasts than those resulting from the standard EnKF, even when implemented with much smaller ensembles.
Directory of Open Access Journals (Sweden)
Restu Tresnawati
2014-06-01
Full Text Available Prediksi curah hujan bulanan menggunakan prediktor SST (Sea Surface Temperature Nino 3.4 harus diketahui apakah secara langsung dalam waktu bersamaan mempengaruhi curah hujan. Pada penelitian ini, skenario tenggang waktu (time lag diujicobakan untuk meningkatkan akurasi prediksi curah hujan bulanan dengan Kalman Filter. Pada tahap pertama, SST Nino 3.4 pada lag 0, lag 1, lag 2 diprediksi menggunakan ARIMA. Kemudian hasil ini digunakan sebagai salah satu prediktor dalam Kalman Filter. Penelitian diujicobakan terhadap validasi prediksi curah hujan bulanan di daerah Purbalingga selama periode tiga tahun kebelakang (hindcast 2006, 2007, 2008. Dari hasil penelitian diperoleh bahwa tenggang waktu diperlukan dalam prediksi. Monthly rainfall forecasting using Sea Surface Temperature (SST Nino 3.4 as predictor must be known of how directly effect on rainfall. In this paper, time lag scenarios are proposed for increase prediction accurately of Kalman Filter. First, SST Nino 3.4 on lag 0, lag 1, and lag 2 are predicted by ARIMA. Then, this result is used as one of predictor in the Kalman Filter Prediction. This method is attempted for validation of monthly rainfall forecasting in Purbalingga by three-year period (2006,2007,2009 of hind cast. Experimental results show that time lag are needed in Monthly rainfall forecasting.
Directory of Open Access Journals (Sweden)
Feng Lian
2012-01-01
Full Text Available The convergence of the Gaussian mixture extended-target probability hypothesis density (GM-EPHD filter and its extended Kalman (EK filtering approximation in mildly nonlinear condition, namely, the EK-GM-EPHD filter, is studied here. This paper proves that both the GM-EPHD filter and the EK-GM-EPHD filter converge uniformly to the true EPHD filter. The significance of this paper is in theory to present the convergence results of the GM-EPHD and EK-GM-EPHD filters and the conditions under which the two filters satisfy uniform convergence.
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.
GPS Interference Mitigation Using Derivative-free Kalman Filter-based RNN
Directory of Open Access Journals (Sweden)
W. L. Mao
2016-09-01
Full Text Available The global positioning system (GPS with accurate positioning and timing properties has become integral part of all applications around the world. Radio frequency interference can significantly decrease the performance of GPS receivers or even completely prohibit the acquisition or tracking of satellites. The approaches of system performances that can be further enhanced by preprocessing to reject the jamming signal will be investigated. A recurrent neural network (RNN predictor for the GPS anti-jamming applications will be proposed. The adaptive RNN predictor is utilized to accurately predict the narrowband waveform based on an unscented Kalman filter (UKF-based algorithm. The UKF algorithm as a derivative-free alternative to the extended Kalman filter (EKF in the framework of state-estimation is adopted to achieve better performance in terms of convergence rate and quality of solution. The adaptive RNN filter can be successfully applied for the suppression of interference with a number of different narrowband formats, i.e. continuous wave interference (CWI, multi-tone CWI, swept CWI and pulsed CWI, to emulate realistic circumstances. Simulation results show that the proposed UKF-based scheme can offer the superior performances to suppress the interference over the conventional methods by computing mean squared prediction error (MSPE and signal-to-noise ratio (SNR improvements.
Dreano, Denis
2015-04-27
A statistical model is proposed to filter satellite-derived chlorophyll concentration from the Red Sea, and to predict future chlorophyll concentrations. The seasonal trend is first estimated after filling missing chlorophyll data using an Empirical Orthogonal Function (EOF)-based algorithm (Data Interpolation EOF). The anomalies are then modeled as a stationary Gaussian process. A method proposed by Gneiting (2002) is used to construct positive-definite space-time covariance models for this process. After choosing an appropriate statistical model and identifying its parameters, Kriging is applied in the space-time domain to make a one step ahead prediction of the anomalies. The latter serves as the prediction model of a reduced-order Kalman filter, which is applied to assimilate and predict future chlorophyll concentrations. The proposed method decreases the root mean square (RMS) prediction error by about 11% compared with the seasonal average.
Dreano, Denis; Mallick, Bani; Hoteit, Ibrahim
2015-01-01
A statistical model is proposed to filter satellite-derived chlorophyll concentration from the Red Sea, and to predict future chlorophyll concentrations. The seasonal trend is first estimated after filling missing chlorophyll data using an Empirical Orthogonal Function (EOF)-based algorithm (Data Interpolation EOF). The anomalies are then modeled as a stationary Gaussian process. A method proposed by Gneiting (2002) is used to construct positive-definite space-time covariance models for this process. After choosing an appropriate statistical model and identifying its parameters, Kriging is applied in the space-time domain to make a one step ahead prediction of the anomalies. The latter serves as the prediction model of a reduced-order Kalman filter, which is applied to assimilate and predict future chlorophyll concentrations. The proposed method decreases the root mean square (RMS) prediction error by about 11% compared with the seasonal average.
Dual extended Kalman filter for combined estimation of vehicle state and road friction
Zong, Changfu; Hu, Dan; Zheng, Hongyu
2013-03-01
Vehicle state and tire-road adhesion are of great use and importance to vehicle active safety control systems. However, it is always not easy to obtain the information with high accuracy and low expense. Recently, many estimation methods have been put forward to solve such problems, in which Kalman filter becomes one of the most popular techniques. Nevertheless, the use of complicated model always leads to poor real-time estimation while the role of road friction coefficient is often ignored. For the purpose of enhancing the real time performance of the algorithm and pursuing precise estimation of vehicle states, a model-based estimator is proposed to conduct combined estimation of vehicle states and road friction coefficients. The estimator is designed based on a three-DOF vehicle model coupled with the Highway Safety Research Institute(HSRI) tire model; the dual extended Kalman filter (DEKF) technique is employed, which can be regarded as two extended Kalman filters operating and communicating simultaneously. Effectiveness of the estimation is firstly examined by comparing the outputs of the estimator with the responses of the vehicle model in CarSim under three typical road adhesion conditions(high-friction, low-friction, and joint-friction). On this basis, driving simulator experiments are carried out to further investigate the practical application of the estimator. Numerical results from CarSim and driving simulator both demonstrate that the estimator designed is capable of estimating the vehicle states and road friction coefficient with reasonable accuracy. The DEKF-based estimator proposed provides the essential information for the vehicle active control system with low expense and decent precision, and offers the possibility of real car application in future.
Ensemble Kalman filter for the reconstruction of the Earth's mantle circulation
Bocher, Marie; Fournier, Alexandre; Coltice, Nicolas
2018-02-01
Recent advances in mantle convection modeling led to the release of a new generation of convection codes, able to self-consistently generate plate-like tectonics at their surface. Those models physically link mantle dynamics to surface tectonics. Combined with plate tectonic reconstructions, they have the potential to produce a new generation of mantle circulation models that use data assimilation methods and where uncertainties in plate tectonic reconstructions are taken into account. We provided a proof of this concept by applying a suboptimal Kalman filter to the reconstruction of mantle circulation (Bocher et al., 2016). Here, we propose to go one step further and apply the ensemble Kalman filter (EnKF) to this problem. The EnKF is a sequential Monte Carlo method particularly adapted to solve high-dimensional data assimilation problems with nonlinear dynamics. We tested the EnKF using synthetic observations consisting of surface velocity and heat flow measurements on a 2-D-spherical annulus model and compared it with the method developed previously. The EnKF performs on average better and is more stable than the former method. Less than 300 ensemble members are sufficient to reconstruct an evolution. We use covariance adaptive inflation and localization to correct for sampling errors. We show that the EnKF results are robust over a wide range of covariance localization parameters. The reconstruction is associated with an estimation of the error, and provides valuable information on where the reconstruction is to be trusted or not.
Computation of nuclear reactor parameters using a stretch Kalman filtering
International Nuclear Information System (INIS)
Zwingelstein, G.; Poujol, A.
1976-01-01
A method of nonlinear stochastic filtering, the stretched Karman filter, is used for the estimation of two basic parameters involved in the control of nuclear reactor start-up. The corresponding algorithm is stored in a small Multi-8 computer and tested with data recorded for the Ulysse reactor (I.N.S.T.N.). The various practical problems involved in using the algorithm are examined: filtering initialization, influence of the model... The quality and time saving obtained in the computation make it possible for a real time operation, the computer being connected with the reactor [fr
International Nuclear Information System (INIS)
Chen, Kuilin; Yu, Jie
2014-01-01
Highlights: • A novel hybrid modeling method is proposed for short-term wind speed forecasting. • Support vector regression model is constructed to formulate nonlinear state-space framework. • Unscented Kalman filter is adopted to recursively update states under random uncertainty. • The new SVR–UKF approach is compared to several conventional methods for short-term wind speed prediction. • The proposed method demonstrates higher prediction accuracy and reliability. - Abstract: Accurate wind speed forecasting is becoming increasingly important to improve and optimize renewable wind power generation. Particularly, reliable short-term wind speed prediction can enable model predictive control of wind turbines and real-time optimization of wind farm operation. However, this task remains challenging due to the strong stochastic nature and dynamic uncertainty of wind speed. In this study, unscented Kalman filter (UKF) is integrated with support vector regression (SVR) based state-space model in order to precisely update the short-term estimation of wind speed sequence. In the proposed SVR–UKF approach, support vector regression is first employed to formulate a nonlinear state-space model and then unscented Kalman filter is adopted to perform dynamic state estimation recursively on wind sequence with stochastic uncertainty. The novel SVR–UKF method is compared with artificial neural networks (ANNs), SVR, autoregressive (AR) and autoregressive integrated with Kalman filter (AR-Kalman) approaches for predicting short-term wind speed sequences collected from three sites in Massachusetts, USA. The forecasting results indicate that the proposed method has much better performance in both one-step-ahead and multi-step-ahead wind speed predictions than the other approaches across all the locations
Constraining the ensemble Kalman filter for improved streamflow forecasting
Maxwell, Deborah H.; Jackson, Bethanna M.; McGregor, James
2018-05-01
Data assimilation techniques such as the Ensemble Kalman Filter (EnKF) are often applied to hydrological models with minimal state volume/capacity constraints enforced during ensemble generation. Flux constraints are rarely, if ever, applied. Consequently, model states can be adjusted beyond physically reasonable limits, compromising the integrity of model output. In this paper, we investigate the effect of constraining the EnKF on forecast performance. A "free run" in which no assimilation is applied is compared to a completely unconstrained EnKF implementation, a 'typical' hydrological implementation (in which mass constraints are enforced to ensure non-negativity and capacity thresholds of model states are not exceeded), and then to a more tightly constrained implementation where flux as well as mass constraints are imposed to force the rate of water movement to/from ensemble states to be within physically consistent boundaries. A three year period (2008-2010) was selected from the available data record (1976-2010). This was specifically chosen as it had no significant data gaps and represented well the range of flows observed in the longer dataset. Over this period, the standard implementation of the EnKF (no constraints) contained eight hydrological events where (multiple) physically inconsistent state adjustments were made. All were selected for analysis. Mass constraints alone did little to improve forecast performance; in fact, several were significantly degraded compared to the free run. In contrast, the combined use of mass and flux constraints significantly improved forecast performance in six events relative to all other implementations, while the remaining two events showed no significant difference in performance. Placing flux as well as mass constraints on the data assimilation framework encourages physically consistent state estimation and results in more accurate and reliable forward predictions of streamflow for robust decision-making. We also
Enhanced Pedestrian Navigation Based on Course Angle Error Estimation Using Cascaded Kalman Filters.
Song, Jin Woo; Park, Chan Gook
2018-04-21
An enhanced pedestrian dead reckoning (PDR) based navigation algorithm, which uses two cascaded Kalman filters (TCKF) for the estimation of course angle and navigation errors, is proposed. The proposed algorithm uses a foot-mounted inertial measurement unit (IMU), waist-mounted magnetic sensors, and a zero velocity update (ZUPT) based inertial navigation technique with TCKF. The first stage filter estimates the course angle error of a human, which is closely related to the heading error of the IMU. In order to obtain the course measurements, the filter uses magnetic sensors and a position-trace based course angle. For preventing magnetic disturbance from contaminating the estimation, the magnetic sensors are attached to the waistband. Because the course angle error is mainly due to the heading error of the IMU, and the characteristic error of the heading angle is highly dependent on that of the course angle, the estimated course angle error is used as a measurement for estimating the heading error in the second stage filter. At the second stage, an inertial navigation system-extended Kalman filter-ZUPT (INS-EKF-ZUPT) method is adopted. As the heading error is estimated directly by using course-angle error measurements, the estimation accuracy for the heading and yaw gyro bias can be enhanced, compared with the ZUPT-only case, which eventually enhances the position accuracy more efficiently. The performance enhancements are verified via experiments, and the way-point position error for the proposed method is compared with those for the ZUPT-only case and with other cases that use ZUPT and various types of magnetic heading measurements. The results show that the position errors are reduced by a maximum of 90% compared with the conventional ZUPT based PDR algorithms.
Hou, Bowen; He, Zhangming; Li, Dong; Zhou, Haiyin; Wang, Jiongqi
2018-05-27
Strap-down inertial navigation system/celestial navigation system ( SINS/CNS) integrated navigation is a high precision navigation technique for ballistic missiles. The traditional navigation method has a divergence in the position error. A deeply integrated mode for SINS/CNS navigation system is proposed to improve the navigation accuracy of ballistic missile. The deeply integrated navigation principle is described and the observability of the navigation system is analyzed. The nonlinearity, as well as the large outliers and the Gaussian mixture noises, often exists during the actual navigation process, leading to the divergence phenomenon of the navigation filter. The new nonlinear Kalman filter on the basis of the maximum correntropy theory and unscented transformation, named the maximum correntropy unscented Kalman filter, is deduced, and the computational complexity is analyzed. The unscented transformation is used for restricting the nonlinearity of the system equation, and the maximum correntropy theory is used to deal with the non-Gaussian noises. Finally, numerical simulation illustrates the superiority of the proposed filter compared with the traditional unscented Kalman filter. The comparison results show that the large outliers and the influence of non-Gaussian noises for SINS/CNS deeply integrated navigation is significantly reduced through the proposed filter.
Directory of Open Access Journals (Sweden)
Bowen Hou
2018-05-01
Full Text Available Strap-down inertial navigation system/celestial navigation system ( SINS/CNS integrated navigation is a high precision navigation technique for ballistic missiles. The traditional navigation method has a divergence in the position error. A deeply integrated mode for SINS/CNS navigation system is proposed to improve the navigation accuracy of ballistic missile. The deeply integrated navigation principle is described and the observability of the navigation system is analyzed. The nonlinearity, as well as the large outliers and the Gaussian mixture noises, often exists during the actual navigation process, leading to the divergence phenomenon of the navigation filter. The new nonlinear Kalman filter on the basis of the maximum correntropy theory and unscented transformation, named the maximum correntropy unscented Kalman filter, is deduced, and the computational complexity is analyzed. The unscented transformation is used for restricting the nonlinearity of the system equation, and the maximum correntropy theory is used to deal with the non-Gaussian noises. Finally, numerical simulation illustrates the superiority of the proposed filter compared with the traditional unscented Kalman filter. The comparison results show that the large outliers and the influence of non-Gaussian noises for SINS/CNS deeply integrated navigation is significantly reduced through the proposed filter.
Shrivastava, Akash; Mohanty, A. R.
2018-03-01
This paper proposes a model-based method to estimate single plane unbalance parameters (amplitude and phase angle) in a rotor using Kalman filter and recursive least square based input force estimation technique. Kalman filter based input force estimation technique requires state-space model and response measurements. A modified system equivalent reduction expansion process (SEREP) technique is employed to obtain a reduced-order model of the rotor system so that limited response measurements can be used. The method is demonstrated using numerical simulations on a rotor-disk-bearing system. Results are presented for different measurement sets including displacement, velocity, and rotational response. Effects of measurement noise level, filter parameters (process noise covariance and forgetting factor), and modeling error are also presented and it is observed that the unbalance parameter estimation is robust with respect to measurement noise.
Zhang, X L; Su, G F; Yuan, H Y; Chen, J G; Huang, Q Y
2014-09-15
Atmospheric dispersion models play an important role in nuclear power plant accident management. A reliable estimation of radioactive material distribution in short range (about 50 km) is in urgent need for population sheltering and evacuation planning. However, the meteorological data and the source term which greatly influence the accuracy of the atmospheric dispersion models are usually poorly known at the early phase of the emergency. In this study, a modified ensemble Kalman filter data assimilation method in conjunction with a Lagrangian puff-model is proposed to simultaneously improve the model prediction and reconstruct the source terms for short range atmospheric dispersion using the off-site environmental monitoring data. Four main uncertainty parameters are considered: source release rate, plume rise height, wind speed and wind direction. Twin experiments show that the method effectively improves the predicted concentration distribution, and the temporal profiles of source release rate and plume rise height are also successfully reconstructed. Moreover, the time lag in the response of ensemble Kalman filter is shortened. The method proposed here can be a useful tool not only in the nuclear power plant accident emergency management but also in other similar situation where hazardous material is released into the atmosphere. Copyright © 2014 Elsevier B.V. All rights reserved.
Durantin, Gautier; Scannella, Sébastien; Gateau, Thibault; Delorme, Arnaud; Dehais, Frédéric
2015-01-01
Working memory (WM) is a key executive function for operating aircraft, especially when pilots have to recall series of air traffic control instructions. There is a need to implement tools to monitor WM as its limitation may jeopardize flight safety. An innovative way to address this issue is to adopt a Neuroergonomics approach that merges knowledge and methods from Human Factors, System Engineering, and Neuroscience. A challenge of great importance for Neuroergonomics is to implement efficient brain imaging techniques to measure the brain at work and to design Brain Computer Interfaces (BCI). We used functional near infrared spectroscopy as it has been already successfully tested to measure WM capacity in complex environment with air traffic controllers (ATC), pilots, or unmanned vehicle operators. However, the extraction of relevant features from the raw signal in ecological environment is still a critical issue due to the complexity of implementing real-time signal processing techniques without a priori knowledge. We proposed to implement the Kalman filtering approach, a signal processing technique that is efficient when the dynamics of the signal can be modeled. We based our approach on the Boynton model of hemodynamic response. We conducted a first experiment with nine participants involving a basic WM task to estimate the noise covariances of the Kalman filter. We then conducted a more ecological experiment in our flight simulator with 18 pilots who interacted with ATC instructions (two levels of difficulty). The data was processed with the same Kalman filter settings implemented in the first experiment. This filter was benchmarked with a classical pass-band IIR filter and a Moving Average Convergence Divergence (MACD) filter. Statistical analysis revealed that the Kalman filter was the most efficient to separate the two levels of load, by increasing the observed effect size in prefrontal areas involved in WM. In addition, the use of a Kalman filter increased
Directory of Open Access Journals (Sweden)
Gautier eDurantin
2016-01-01
Full Text Available Working memory is a key executive function for operating aircraft, especially when pilots have to recall series of air traffic control instructions. There is a need to implement tools to monitor working memory as its limitation may jeopardize flight safety. An innovative way to address this issue is to adopt a Neuroergonomics approach that merges knowledge and methods from Human Factors, System Engineering and Neuroscience. A challenge of great importance for Neuroergonomics is to implement efficient brain imaging techniques to measure the brain at work and to design Brain Computer Interfaces. We used functional near infrared spectroscopy as it has been already successfully tested to measure working memory capacity in complex environment with air traffic controllers, pilots or unmanned vehicle operators. However, the extraction of relevant features from the raw signal in ecological environment is still a critical issue due to the complexity of implementing real-time signal processing techniques without a priori knowledge. We proposed to implement the Kalman filtering approach, a signal processing technique that is efficient when the dynamics of the signal can be modeled. We based our approach on the Boynton model of hemodynamic response. We conducted a first experiment with 9 participants involving a basic working memory task to estimate the noise covariances of the Kalman filter. We then conducted a more ecological experiment in our flight simulator with 18 pilots who interacted with air traffic controller instructions (two levels of difficulty. The data was processed with the same Kalman filter settings implemented in the first experiment. This filter was benchmarked with a classical pass-band IIR filter and a Moving Average Convergence Divergence filter. Statistical analysis revealed that the Kalman filter was the most efficient to separate the two levels of load, by increasing the observed effect size in prefrontal areas involved in working
Raitoharju, Matti; Nurminen, Henri; Piché, Robert
2015-12-01
Indoor positioning based on wireless local area network (WLAN) signals is often enhanced using pedestrian dead reckoning (PDR) based on an inertial measurement unit. The state evolution model in PDR is usually nonlinear. We present a new linear state evolution model for PDR. In simulated-data and real-data tests of tightly coupled WLAN-PDR positioning, the positioning accuracy with this linear model is better than with the traditional models when the initial heading is not known, which is a common situation. The proposed method is computationally light and is also suitable for smoothing. Furthermore, we present modifications to WLAN positioning based on Gaussian coverage areas and show how a Kalman filter using the proposed model can be used for integrity monitoring and (re)initialization of a particle filter.
Physics-based coastal current tomographic tracking using a Kalman filter.
Wang, Tongchen; Zhang, Ying; Yang, T C; Chen, Huifang; Xu, Wen
2018-05-01
Ocean acoustic tomography can be used based on measurements of two-way travel-time differences between the nodes deployed on the perimeter of the surveying area to invert/map the ocean current inside the area. Data at different times can be related using a Kalman filter, and given an ocean circulation model, one can in principle now cast and even forecast current distribution given an initial distribution and/or the travel-time difference data on the boundary. However, an ocean circulation model requires many inputs (many of them often not available) and is unpractical for estimation of the current field. A simplified form of the discretized Navier-Stokes equation is used to show that the future velocity state is just a weighted spatial average of the current state. These weights could be obtained from an ocean circulation model, but here in a data driven approach, auto-regressive methods are used to obtain the time and space dependent weights from the data. It is shown, based on simulated data, that the current field tracked using a Kalman filter (with an arbitrary initial condition) is more accurate than that estimated by the standard methods where data at different times are treated independently. Real data are also examined.
Kalman Filters in Geotechnical Monitoring of Ground Subsidence Using Data from MEMS Sensors
Li, Cheng; Azzam, Rafig; Fernández-Steeger, Tomás M.
2016-01-01
The fast development of wireless sensor networks and MEMS make it possible to set up today real-time wireless geotechnical monitoring. To handle interferences and noises from the output data, Kalman filter can be selected as a method to achieve a more realistic estimate of the observations. In this paper, a one-day wireless measurement using accelerometers and inclinometers was deployed on top of a tunnel section under construction in order to monitor ground subsidence. The normal vectors of the sensors were firstly obtained with the help of rotation matrices, and then be projected to the plane of longitudinal section, by which the dip angles over time would be obtained via a trigonometric function. Finally, a centralized Kalman filter was applied to estimate the tilt angles of the sensor nodes based on the data from the embedded accelerometer and the inclinometer. Comparing the results from two sensor nodes deployed away and on the track respectively, the passing of the tunnel boring machine can be identified from unusual performances. Using this method, the ground settlement due to excavation can be measured and a real-time monitoring of ground subsidence can be realized. PMID:27447630
Kalman Filters in Geotechnical Monitoring of Ground Subsidence Using Data from MEMS Sensors
Directory of Open Access Journals (Sweden)
Cheng Li
2016-07-01
Full Text Available The fast development of wireless sensor networks and MEMS make it possible to set up today real-time wireless geotechnical monitoring. To handle interferences and noises from the output data, Kalman filter can be selected as a method to achieve a more realistic estimate of the observations. In this paper, a one-day wireless measurement using accelerometers and inclinometers was deployed on top of a tunnel section under construction in order to monitor ground subsidence. The normal vectors of the sensors were firstly obtained with the help of rotation matrices, and then be projected to the plane of longitudinal section, by which the dip angles over time would be obtained via a trigonometric function. Finally, a centralized Kalman filter was applied to estimate the tilt angles of the sensor nodes based on the data from the embedded accelerometer and the inclinometer. Comparing the results from two sensor nodes deployed away and on the track respectively, the passing of the tunnel boring machine can be identified from unusual performances. Using this method, the ground settlement due to excavation can be measured and a real-time monitoring of ground subsidence can be realized.
Kalman Filters in Geotechnical Monitoring of Ground Subsidence Using Data from MEMS Sensors.
Li, Cheng; Azzam, Rafig; Fernández-Steeger, Tomás M
2016-07-19
The fast development of wireless sensor networks and MEMS make it possible to set up today real-time wireless geotechnical monitoring. To handle interferences and noises from the output data, Kalman filter can be selected as a method to achieve a more realistic estimate of the observations. In this paper, a one-day wireless measurement using accelerometers and inclinometers was deployed on top of a tunnel section under construction in order to monitor ground subsidence. The normal vectors of the sensors were firstly obtained with the help of rotation matrices, and then be projected to the plane of longitudinal section, by which the dip angles over time would be obtained via a trigonometric function. Finally, a centralized Kalman filter was applied to estimate the tilt angles of the sensor nodes based on the data from the embedded accelerometer and the inclinometer. Comparing the results from two sensor nodes deployed away and on the track respectively, the passing of the tunnel boring machine can be identified from unusual performances. Using this method, the ground settlement due to excavation can be measured and a real-time monitoring of ground subsidence can be realized.
Li, Linqian; Feng, Yiqiao; Zhang, Wenbo; Cui, Nan; Xu, Hengying; Tang, Xianfeng; Xi, Lixia; Zhang, Xiaoguang
2017-07-01
A joint carrier recovery scheme for polarization division multiplexing (PDM) coherent optical transmission system is proposed and demonstrated, in which the extended Kalman filter (EKF) is exploited to estimate and equalize the carrier frequency offset (CFO) and carrier phase noise (CPN) simultaneously. The proposed method is implemented and verified in the PDM-QPSK system and the PDM-16QAM system with the comparisons to conventional improved Mth-power (IMP) algorithm for CFO estimation, blind phase search (BPS) algorithm or Viterbi-Viterbi (V-V) algorithm for CPN recovery. It is demonstrated that the proposed scheme shows high CFO estimation accuracy, with absolute mean estimation error below 1.5 MHz. Meanwhile, the proposed method has the CFO tolerance of [±3 GHz] for PDM-QPSK system and [±0.9 GHz] for PDM-16QAM system. Compare with IMP/BPS and IMP/V-V, the proposed scheme can enhance the linewidth symbol duration product from 3 × 10-4 (IMP/BPS) and 2 × 10-4 (IMP/V-V) to 1 × 10-3 for PDM-QPSK, and from 1 × 10-4 (IMP/BPS) to 3 × 10-4 for PDM-16QAM, respectively, at the 1 dB optical signal-to-noise ratio (OSNR) penalty. The proposed Kalman filter also shows a fast convergence with only 100 symbols and much lower computational complexity.
Advanced Kalman Filter for Real-Time Responsiveness in Complex Systems
Energy Technology Data Exchange (ETDEWEB)
Welch, Gregory Francis [UNC-Chapel Hill/University of Central Florida; Zhang, Jinghe [UNC-Chapel Hill/Virginia Tech
2014-06-10
Complex engineering systems pose fundamental challenges in real-time operations and control because they are highly dynamic systems consisting of a large number of elements with severe nonlinearities and discontinuities. Today’s tools for real-time complex system operations are mostly based on steady state models, unable to capture the dynamic nature and too slow to prevent system failures. We developed advanced Kalman filtering techniques and the formulation of dynamic state estimation using Kalman filtering techniques to capture complex system dynamics in aiding real-time operations and control. In this work, we looked at complex system issues including severe nonlinearity of system equations, discontinuities caused by system controls and network switches, sparse measurements in space and time, and real-time requirements of power grid operations. We sought to bridge the disciplinary boundaries between Computer Science and Power Systems Engineering, by introducing methods that leverage both existing and new techniques. While our methods were developed in the context of electrical power systems, they should generalize to other large-scale scientific and engineering applications.
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
Square Root Unscented Kalman Filters for State Estimation of Induction Motor Drives
DEFF Research Database (Denmark)
Lascu, Cristian; Jafarzadeh, Saeed; Fadali, M.Sami
2013-01-01
This paper investigates the application, design, and implementation of the square root unscented Kalman filter (UKF) (SRUKF) for induction motor (IM) sensorless drives. The UKF uses nonlinear unscented transforms (UTs) in the prediction step in order to preserve the stochastic characteristics...... of a nonlinear system. The advantage of using the UT is its ability to capture the nonlinear behavior of the system, unlike the extended Kalman filter (EKF) that uses linearized models. The SRUKF implements the UKF using square root filtering to reduce computational errors. We discuss the theoretical aspects...
Dynamic Optimization of Feedforward Automatic Gauge Control Based on Extended Kalman Filter
Institute of Scientific and Technical Information of China (English)
YANG Bin-hu; YANG Wei-dong; CHEN Lian-gui; QU Lei
2008-01-01
Automatic gauge control is an essentially nonlinear process varying with time delay, and stochastically varying input and process noise always influence the target gauge control accuracy. To improve the control capability of feedforward automatic gauge control, Kalman filter was employed to filter the noise signal transferred from one stand to another. The linearized matrix that the Kalman filter algorithm needed was concluded; thus, the feedforward automatic gauge control architecture was dynamically optimized. The theoretical analyses and simulation show that the proposed algorithm is reasonable and effective.
Modified Extended Kalman Filtering for Tracking with Insufficient and Intermittent Observations
Directory of Open Access Journals (Sweden)
Pengpeng Chen
2015-01-01
Full Text Available This paper is concerned with the Kalman filtering problem for tracking a single target on the fixed-topology wireless sensor networks (WSNs. Both the insufficient anchor coverage and the packet dropouts have been taken into consideration in the filter design. The resulting tracking system is modeled as a multichannel nonlinear system with multiplicative noise. Noting that the channels may be correlated with each other, we use a general matrix to express the multiplicative noise. Then, a modified extended Kalman filtering algorithm is presented based on the obtained model to achieve high tracking accuracy. In particular, we evaluate the effect of various parameters on the tracking performance through simulation studies.
Robust Distributed Kalman Filter for Wireless Sensor Networks with Uncertain Communication Channels
Directory of Open Access Journals (Sweden)
Du Yong Kim
2012-01-01
Full Text Available We address a state estimation problem over a large-scale sensor network with uncertain communication channel. Consensus protocol is usually used to adapt a large-scale sensor network. However, when certain parts of communication channels are broken down, the accuracy performance is seriously degraded. Specifically, outliers in the channel or temporal disconnection are avoided via proposed method for the practical implementation of the distributed estimation over large-scale sensor networks. We handle this practical challenge by using adaptive channel status estimator and robust L1-norm Kalman filter in design of the processor of the individual sensor node. Then, they are incorporated into the consensus algorithm in order to achieve the robust distributed state estimation. The robust property of the proposed algorithm enables the sensor network to selectively weight sensors of normal conditions so that the filter can be practically useful.
Joint polarization tracking and channel equalization based on radius-directed linear Kalman filter
Zhang, Qun; Yang, Yanfu; Zhong, Kangping; Liu, Jie; Wu, Xiong; Yao, Yong
2018-01-01
We propose a joint polarization tracking and channel equalization scheme based on radius-directed linear Kalman filter (RD-LKF) by introducing the butterfly finite-impulse-response (FIR) filter in our previously proposed RD-LKF method. Along with the fast polarization tracking, it can also simultaneously compensate the inter-symbol interference (ISI) effects including residual chromatic dispersion and polarization mode dispersion. Compared with the conventional radius-directed equalizer (RDE) algorithm, it is demonstrated experimentally that three times faster convergence speed, one order of magnitude better tracking capability, and better BER performance is obtained in polarization division multiplexing 16 quadrature amplitude modulation system. Besides, the influences of the algorithm parameters on the convergence and the tracking performance are investigated by numerical simulation.
An Efficient State–Parameter Filtering Scheme Combining Ensemble Kalman and Particle Filters
Ait-El-Fquih, Boujemaa
2017-12-11
This work addresses the state-parameter filtering problem for dynamical systems with relatively large-dimensional state and low-dimensional parameters\\' vector. A Bayesian filtering algorithm combining the strengths of the particle filter (PF) and the ensemble Kalman filter (EnKF) is proposed. At each assimilation cycle of the proposed EnKF-PF, the PF is first used to sample the parameters\\' ensemble followed by the EnKF to compute the state ensemble conditional on the resulting parameters\\' ensemble. The proposed scheme is expected to be more efficient than the traditional state augmentation techniques, which suffer from the curse of dimensionality and inconsistency that is particularly pronounced when the state is a strongly nonlinear function of the parameters. In the new scheme, the EnKF and PF interact via their ensembles\\' members, in contrast with the recently introduced two-stage EnKF-PF (TS-EnKF-PF), which exchanges point estimates between EnKF and PF while requiring almost double the computational load. Numerical experiments are conducted with the Lorenz-96 model to assess the behavior of the proposed filter and to evaluate its performances against the joint PF, joint EnKF, and TS-EnKF-PF. Numerical results suggest that the EnKF-PF performs best in all tested scenarios. It was further found to be more robust, successfully estimating both state and parameters in different sensitivity experiments.
An Efficient State–Parameter Filtering Scheme Combining Ensemble Kalman and Particle Filters
Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2017-01-01
This work addresses the state-parameter filtering problem for dynamical systems with relatively large-dimensional state and low-dimensional parameters' vector. A Bayesian filtering algorithm combining the strengths of the particle filter (PF) and the ensemble Kalman filter (EnKF) is proposed. At each assimilation cycle of the proposed EnKF-PF, the PF is first used to sample the parameters' ensemble followed by the EnKF to compute the state ensemble conditional on the resulting parameters' ensemble. The proposed scheme is expected to be more efficient than the traditional state augmentation techniques, which suffer from the curse of dimensionality and inconsistency that is particularly pronounced when the state is a strongly nonlinear function of the parameters. In the new scheme, the EnKF and PF interact via their ensembles' members, in contrast with the recently introduced two-stage EnKF-PF (TS-EnKF-PF), which exchanges point estimates between EnKF and PF while requiring almost double the computational load. Numerical experiments are conducted with the Lorenz-96 model to assess the behavior of the proposed filter and to evaluate its performances against the joint PF, joint EnKF, and TS-EnKF-PF. Numerical results suggest that the EnKF-PF performs best in all tested scenarios. It was further found to be more robust, successfully estimating both state and parameters in different sensitivity experiments.
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.
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...
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.
Lognormal Kalman filter for assimilating phase space density data in the radiation belts
Kondrashov, D.; Ghil, M.; Shprits, Y.
2011-11-01
Data assimilation combines a physical model with sparse observations and has become an increasingly important tool for scientists and engineers in the design, operation, and use of satellites and other high-technology systems in the near-Earth space environment. Of particular importance is predicting fluxes of high-energy particles in the Van Allen radiation belts, since these fluxes can damage spaceborne platforms and instruments during strong geomagnetic storms. In transiting from a research setting to operational prediction of these fluxes, improved data assimilation is of the essence. The present study is motivated by the fact that phase space densities (PSDs) of high-energy electrons in the outer radiation belt—both simulated and observed—are subject to spatiotemporal variations that span several orders of magnitude. Standard data assimilation methods that are based on least squares minimization of normally distributed errors may not be adequate for handling the range of these variations. We propose herein a modification of Kalman filtering that uses a log-transformed, one-dimensional radial diffusion model for the PSDs and includes parameterized losses. The proposed methodology is first verified on model-simulated, synthetic data and then applied to actual satellite measurements. When the model errors are sufficiently smaller then observational errors, our methodology can significantly improve analysis and prediction skill for the PSDs compared to those of the standard Kalman filter formulation. This improvement is documented by monitoring the variance of the innovation sequence.
Kalman Filter Sensor Fusion for Mecanum Wheeled Automated Guided Vehicle Localization
Directory of Open Access Journals (Sweden)
Sang Won Yoon
2015-01-01
Full Text Available The Mecanum automated guided vehicle (AGV, which can move in any direction by using a special wheel structure with a LIM-wheel and a diagonally positioned roller, holds considerable promise for the field of industrial electronics. A conventional method for Mecanum AGV localization has certain limitations, such as slip phenomena, because there are variations in the surface of the road and ground friction. Therefore, precise localization is a very important issue for the inevitable slip phenomenon situation. So a sensor fusion technique is developed to cope with this drawback by using the Kalman filter. ENCODER and StarGazer were used for sensor fusion. StarGazer is a position sensor for an image recognition device and always generates some errors due to the limitations of the image recognition device. ENCODER has also errors accumulating over time. On the other hand, there are no moving errors. In this study, we developed a Mecanum AGV prototype system and showed by simulation that we can eliminate the disadvantages of each sensor. We obtained the precise localization of the Mecanum AGV in a slip phenomenon situation via sensor fusion using a Kalman filter.
Neuromorphic Kalman filter implementation in IBM’s TrueNorth
Carney, R.; Bouchard, K.; Calafiura, P.; Clark, D.; Donofrio, D.; Garcia-Sciveres, M.; Livezey, J.
2017-10-01
Following the advent of a post-Moore’s law field of computation, novel architectures continue to emerge. With composite, multi-million connection neuromorphic chips like IBM’s TrueNorth, neural engineering has now become a feasible technology in this novel computing paradigm. High Energy Physics experiments are continuously exploring new methods of computation and data handling, including neuromorphic, to support the growing challenges of the field and be prepared for future commodity computing trends. This work details the first instance of a Kalman filter implementation in IBM’s neuromorphic architecture, TrueNorth, for both parallel and serial spike trains. The implementation is tested on multiple simulated systems and its performance is evaluated with respect to an equivalent non-spiking Kalman filter. The limits of the implementation are explored whilst varying the size of weight and threshold registers, the number of spikes used to encode a state, size of neuron block for spatial encoding, and neuron potential reset schemes.
Li, Shengbo Eben; Li, Guofa; Yu, Jiaying; Liu, Chang; Cheng, Bo; Wang, Jianqiang; Li, Keqiang
2018-01-01
Detection and tracking of objects in the side-near-field has attracted much attention for the development of advanced driver assistance systems. This paper presents a cost-effective approach to track moving objects around vehicles using linearly arrayed ultrasonic sensors. To understand the detection characteristics of a single sensor, an empirical detection model was developed considering the shapes and surface materials of various detected objects. Eight sensors were arrayed linearly to expand the detection range for further application in traffic environment recognition. Two types of tracking algorithms, including an Extended Kalman filter (EKF) and an Unscented Kalman filter (UKF), for the sensor array were designed for dynamic object tracking. The ultrasonic sensor array was designed to have two types of fire sequences: mutual firing or serial firing. The effectiveness of the designed algorithms were verified in two typical driving scenarios: passing intersections with traffic sign poles or street lights, and overtaking another vehicle. Experimental results showed that both EKF and UKF had more precise tracking position and smaller RMSE (root mean square error) than a traditional triangular positioning method. The effectiveness also encourages the application of cost-effective ultrasonic sensors in the near-field environment perception in autonomous driving systems.
Kalman filter-based EM-optical sensor fusion for needle deflection estimation.
Jiang, Baichuan; Gao, Wenpeng; Kacher, Daniel; Nevo, Erez; Fetics, Barry; Lee, Thomas C; Jayender, Jagadeesan
2018-04-01
In many clinical procedures such as cryoablation that involves needle insertion, accurate placement of the needle's tip at the desired target is the major issue for optimizing the treatment and minimizing damage to the neighboring anatomy. However, due to the interaction force between the needle and tissue, considerable error in intraoperative tracking of the needle tip can be observed as needle deflects. In this paper, measurements data from an optical sensor at the needle base and a magnetic resonance (MR) gradient field-driven electromagnetic (EM) sensor placed 10 cm from the needle tip are used within a model-integrated Kalman filter-based sensor fusion scheme. Bending model-based estimations and EM-based direct estimation are used as the measurement vectors in the Kalman filter, thus establishing an online estimation approach. Static tip bending experiments show that the fusion method can reduce the mean error of the tip position estimation from 29.23 mm of the optical sensor-based approach to 3.15 mm of the fusion-based approach and from 39.96 to 6.90 mm, at the MRI isocenter and the MRI entrance, respectively. This work established a novel sensor fusion scheme that incorporates model information, which enables real-time tracking of needle deflection with MRI compatibility, in a free-hand operating setup.
Phase unwrapping algorithm using polynomial phase approximation and linear Kalman filter.
Kulkarni, Rishikesh; Rastogi, Pramod
2018-02-01
A noise-robust phase unwrapping algorithm is proposed based on state space analysis and polynomial phase approximation using wrapped phase measurement. The true phase is approximated as a two-dimensional first order polynomial function within a small sized window around each pixel. The estimates of polynomial coefficients provide the measurement of phase and local fringe frequencies. A state space representation of spatial phase evolution and the wrapped phase measurement is considered with the state vector consisting of polynomial coefficients as its elements. Instead of using the traditional nonlinear Kalman filter for the purpose of state estimation, we propose to use the linear Kalman filter operating directly with the wrapped phase measurement. The adaptive window width is selected at each pixel based on the local fringe density to strike a balance between the computation time and the noise robustness. In order to retrieve the unwrapped phase, either a line-scanning approach or a quality guided strategy of pixel selection is used depending on the underlying continuous or discontinuous phase distribution, respectively. Simulation and experimental results are provided to demonstrate the applicability of the proposed method.
Rigatos, Gerasimos
2014-12-01
A synchronizing control scheme for coupled neural oscillators of the FitzHugh-Nagumo type is proposed. Using differential flatness theory the dynamical model of two coupled neural oscillators is transformed into an equivalent model in the linear canonical (Brunovsky) form. A similar linearized description is succeeded using differential geometry methods and the computation of Lie derivatives. For such a model it becomes possible to design a state feedback controller that assures the synchronization of the membrane's voltage variations for the two neurons. To compensate for disturbances that affect the neurons' model as well as for parametric uncertainties and variations a disturbance observer is designed based on Kalman Filtering. This consists of implementation of the standard Kalman Filter recursion on the linearized equivalent model of the coupled neurons and computation of state and disturbance estimates using the diffeomorphism (relations about state variables transformation) provided by differential flatness theory. After estimating the disturbance terms in the neurons' model their compensation becomes possible. The performance of the synchronization control loop is tested through simulation experiments.
Directory of Open Access Journals (Sweden)
O. Jakubov
2013-09-01
Full Text Available Common techniques for position-velocity-time estimation in satellite navigation, iterative least squares and the extended Kalman filter, involve matrix operations. The matrix inversion and inclusion of a matrix library pose requirements on a computational power and operating platform of the navigation processor. In this paper, we introduce a novel distributed algorithm suitable for implementation in simple parallel processing units each for a tracked satellite. Such a unit performs only scalar sum, subtraction, multiplication, and division. The algorithm can be efficiently implemented in hardware logic. Given the fast position-velocity-time estimator, frequent estimates can foster dynamic performance of a vector tracking receiver. The algorithm has been designed from a factor graph representing the extended Kalman filter by splitting vector nodes into scalar ones resulting in a cyclic graph with few iterations needed. Monte Carlo simulations have been conducted to investigate convergence and accuracy. Simulation case studies for a vector tracking architecture and experimental measurements with a real-time software receiver developed at CTU in Prague were conducted. The algorithm offers compromises in stability, accuracy, and complexity depending on the number of iterations. In scenarios with a large number of tracked satellites, it can outperform the traditional methods at low complexity.
Jesussek, Mathias; Ellermann, Katrin
2014-12-01
Reliability and dependability in complex mechanical systems can be improved by fault detection and isolation (FDI) methods. These techniques are key elements for maintenance on demand, which could decrease service cost and time significantly. This paper addresses FDI for a railway vehicle: the mechanical model is described as a multibody system, which is excited randomly due to track irregularities. Various parameters, like masses, spring- and damper-characteristics, influence the dynamics of the vehicle. Often, the exact values of the parameters are unknown and might even change over time. Some of these changes are considered critical with respect to the operation of the system and they require immediate maintenance. The aim of this work is to detect faults in the suspension system of the vehicle. A Kalman filter is used in order to estimate the states. To detect and isolate faults the detection error is minimised with multiple Kalman filters. A full-scale train model with nonlinear wheel/rail contact serves as an example for the described techniques. Numerical results for different test cases are presented. The analysis shows that for the given system it is possible not only to detect a failure of the suspension system from the system's dynamic response, but also to distinguish clearly between different possible causes for the changes in the dynamical behaviour.
Rhythmic Extended Kalman Filter for Gait Rehabilitation Motion Estimation and Segmentation.
Joukov, Vladimir; Bonnet, Vincent; Karg, Michelle; Venture, Gentiane; Kulic, Dana
2018-02-01
This paper proposes a method to enable the use of non-intrusive, small, wearable, and wireless sensors to estimate the pose of the lower body during gait and other periodic motions and to extract objective performance measures useful for physiotherapy. The Rhythmic Extended Kalman Filter (Rhythmic-EKF) algorithm is developed to estimate the pose, learn an individualized model of periodic movement over time, and use the learned model to improve pose estimation. The proposed approach learns a canonical dynamical system model of the movement during online observation, which is used to accurately model the acceleration during pose estimation. The canonical dynamical system models the motion as a periodic signal. The estimated phase and frequency of the motion also allow the proposed approach to segment the motion into repetitions and extract useful features, such as gait symmetry, step length, and mean joint movement and variance. The algorithm is shown to outperform the extended Kalman filter in simulation, on healthy participant data, and stroke patient data. For the healthy participant marching dataset, the Rhythmic-EKF improves joint acceleration and velocity estimates over regular EKF by 40% and 37%, respectively, estimates joint angles with 2.4° root mean squared error, and segments the motion into repetitions with 96% accuracy.
Foussier, Jerome; Teichmann, Daniel; Jia, Jing; Misgeld, Berno; Leonhardt, Steffen
2014-05-09
Extracting cardiorespiratory signals from non-invasive and non-contacting sensor arrangements, i.e. magnetic induction sensors, is a challenging task. The respiratory and cardiac signals are mixed on top of a large and time-varying offset and are likely to be disturbed by measurement noise. Basic filtering techniques fail to extract relevant information for monitoring purposes. We present a real-time filtering system based on an adaptive Kalman filter approach that separates signal offsets, respiratory and heart signals from three different sensor channels. It continuously estimates respiration and heart rates, which are fed back into the system model to enhance performance. Sensor and system noise covariance matrices are automatically adapted to the aimed application, thus improving the signal separation capabilities. We apply the filtering to two different subjects with different heart rates and sensor properties and compare the results to the non-adaptive version of the same Kalman filter. Also, the performance, depending on the initialization of the filters, is analyzed using three different configurations ranging from best to worst case. Extracted data are compared with reference heart rates derived from a standard pulse-photoplethysmographic sensor and respiration rates from a flowmeter. In the worst case for one of the subjects the adaptive filter obtains mean errors (standard deviations) of -0.2 min(-1) (0.3 min(-1)) and -0.7 bpm (1.7 bpm) (compared to -0.2 min(-1) (0.4 min(-1)) and 42.0 bpm (6.1 bpm) for the non-adaptive filter) for respiration and heart rate, respectively. In bad conditions the heart rate is only correctly measurable when the Kalman matrices are adapted to the target sensor signals. Also, the reduced mean error between the extracted offset and the raw sensor signal shows that adapting the Kalman filter continuously improves the ability to separate the desired signals from the raw sensor data. The average total computational time needed
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)
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.
Liu, Xin; Wang, Hongkai; Yan, Zhuangzhi
2016-11-01
Dynamic fluorescence molecular tomography (FMT) plays an important role in drug delivery research. However, the majority of current reconstruction methods focus on solving the stationary FMT problems. If the stationary reconstruction methods are applied to the time-varying fluorescence measurements, the reconstructed results may suffer from a high level of artifacts. In addition, based on the stationary methods, only one tomographic image can be obtained after scanning one circle projection data. As a result, the movement of fluorophore in imaged object may not be detected due to the relative long data acquisition time (typically >1 min). In this paper, we apply extended kalman filter (EKF) technique to solve the non-stationary fluorescence tomography problem. Especially, to improve the EKF reconstruction performance, the generalized inverse of kalman gain is calculated by a second-order iterative method. The numerical simulation, phantom, and in vivo experiments are performed to evaluate the performance of the method. The experimental results indicate that by using the proposed EKF-based second-order iterative (EKF-SOI) method, we cannot only clearly resolve the time-varying distributions of fluorophore within imaged object, but also greatly improve the reconstruction time resolution (~2.5 sec/frame) which makes it possible to detect the movement of fluorophore during the imaging processes.
International Nuclear Information System (INIS)
Racz, A.
1991-12-01
A new method is outlined for detection of soft reactor failures. The procedure is applicable when the failure can be described by an additive term (failure vector) in the measurement process of an observable dynamic system. A dedicated Kalman filter generates the innovation process for further testing. The innovation is investigated by a sequential hypothesis testing method. In order to avoid the computational difficulties related to sophisticated multiple hypothesis testing methods, an extended version of Walds's classical binary Sequential Probability Ratio Testing (SPRT) has been developed. The procedure is applied for the problem of (small) leakage detection in the feedwater system of nuclear power plants. Computer simulation results show that the method can recognize less than 1% relative water loss reliably. (author) 10 refs.; 5 figs.; 5 tabs
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.
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.
Comparison between GSTAR and GSTAR-Kalman Filter models on inflation rate forecasting in East Java
Rahma Prillantika, Jessica; Apriliani, Erna; Wahyuningsih, Nuri
2018-03-01
Up to now, we often find data which have correlation between time and location. This data also known as spatial data. Inflation rate is one type of spatial data because it is not only related to the events of the previous time, but also has relevance to the other location or elsewhere. In this research, we do comparison between GSTAR model and GSTAR-Kalman Filter to get prediction which have small error rate. Kalman Filter is one estimator that estimates state changes due to noise from white noise. The final result shows that Kalman Filter is able to improve the GSTAR forecast result. This is shown through simulation results in the form of graphs and clarified with smaller RMSE values.
Adaptive Kalman Filter Applied to Vision Based Head Gesture Tracking for Playing Video Games
Directory of Open Access Journals (Sweden)
Mohammadreza Asghari Oskoei
2017-11-01
Full Text Available This paper proposes an adaptive Kalman filter (AKF to improve the performance of a vision-based human machine interface (HMI applied to a video game. The HMI identifies head gestures and decodes them into corresponding commands. Face detection and feature tracking algorithms are used to detect optical flow produced by head gestures. Such approaches often fail due to changes in head posture, occlusion and varying illumination. The adaptive Kalman filter is applied to estimate motion information and reduce the effect of missing frames in a real-time application. Failure in head gesture tracking eventually leads to malfunctioning game control, reducing the scores achieved, so the performance of the proposed vision-based HMI is examined using a game scoring mechanism. The experimental results show that the proposed interface has a good response time, and the adaptive Kalman filter improves the game scores by ten percent.
Gauterin, Eckhard; Kammerer, Philipp; Kühn, Martin; Schulte, Horst
2016-05-01
Advanced model-based control of wind turbines requires knowledge of the states and the wind speed. This paper benchmarks a nonlinear Takagi-Sugeno observer for wind speed estimation with enhanced Kalman Filter techniques: The performance and robustness towards model-structure uncertainties of the Takagi-Sugeno observer, a Linear, Extended and Unscented Kalman Filter are assessed. Hence the Takagi-Sugeno observer and enhanced Kalman Filter techniques are compared based on reduced-order models of a reference wind turbine with different modelling details. The objective is the systematic comparison with different design assumptions and requirements and the numerical evaluation of the reconstruction quality of the wind speed. Exemplified by a feedforward loop employing the reconstructed wind speed, the benefit of wind speed estimation within wind turbine control is illustrated. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.
A Hybrid Extended Kalman Filter as an Observer for a Pot-Electro-Magnetic Actuator
International Nuclear Information System (INIS)
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. (paper)
Energy Technology Data Exchange (ETDEWEB)
Qi, Junjian; Sun, Kai; Wang, Jianhui; Liu, Hui
2018-03-01
In this paper, in order to enhance the numerical stability of the unscented Kalman filter (UKF) used for power system dynamic state estimation, a new UKF with guaranteed positive semidifinite estimation error covariance (UKFGPS) is proposed and compared with five existing approaches, including UKFschol, UKF-kappa, UKFmodified, UKF-Delta Q, and the squareroot UKF (SRUKF). These methods and the extended Kalman filter (EKF) are tested by performing dynamic state estimation on WSCC 3-machine 9-bus system and NPCC 48-machine 140-bus system. For WSCC system, all methods obtain good estimates. However, for NPCC system, both EKF and the classic UKF fail. It is found that UKFschol, UKF-kappa, and UKF-Delta Q do not work well in some estimations while UKFGPS works well in most cases. UKFmodified and SRUKF can always work well, indicating their better scalability mainly due to the enhanced numerical stability.
Attitude Estimation Based on the Spherical Simplex Transformation Modified Unscented Kalman Filter
Directory of Open Access Journals (Sweden)
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.
A Self-Tuning Kalman Filter for Autonomous Navigation using the Global Positioning System (GPS)
Truong, S. H.
1999-01-01
Most navigation systems currently operated by NASA are ground-based, and require extensive support to produce accurate results. Recently developed systems that use Kalman filter and GPS data for orbit determination greatly reduce dependency on ground support, and have potential to provide significant economies for NASA spacecraft navigation. These systems, however, still rely on manual tuning from analysts. A sophisticated neuro-fuzzy component fully integrated with the flight navigation system can perform the self-tuning capability for the Kalman filter and help the navigation system recover from estimation errors in real time.
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.
Park, K. C.; Belvin, W. Keith
1990-01-01
A general form for the first-order representation of the continuous second-order linear structural-dynamics equations is introduced to derive a corresponding form of first-order continuous Kalman filtering equations. Time integration of the resulting equations is carried out via a set of linear multistep integration formulas. It is shown that a judicious combined selection of computational paths and the undetermined matrices introduced in the general form of the first-order linear structural systems leads to a class of second-order discrete Kalman filtering equations involving only symmetric sparse N x N solution matrices.
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....
Hybrid Levenberg–Marquardt and Weak-Constraint Ensemble Kalman Smoother Method
Czech Academy of Sciences Publication Activity Database
Mandel, Jan; Bergou, E.; Gürol, S.; Gratton, S.; Kasanický, Ivan
2016-01-01
Roč. 23, č. 2 (2016), s. 59-73 ISSN 1023-5809 R&D Projects: GA ČR GA13-34856S Institutional support: RVO:67985807 Keywords : data assimilation * numerical methods * Kalman filter Subject RIV: IN - Informatics, Computer Science Impact factor: 1.329, year: 2016
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.
Extended Kalman filtering for the detection of damage in linear mechanical structures
Liu, X.; Escamilla-Ambrosio, P. J.; Lieven, N. A. J.
2009-09-01
This paper addresses the problem of assessing the location and extent of damage in a vibrating structure by means of vibration measurements. Frequency domain identification methods (e.g. finite element model updating) have been widely used in this area while time domain methods such as the extended Kalman filter (EKF) method, are more sparsely represented. The difficulty of applying EKF in mechanical system damage identification and localisation lies in: the high computational cost, the dependence of estimation results on the initial estimation error covariance matrix P(0), the initial value of parameters to be estimated, and on the statistics of measurement noise R and process noise Q. To resolve these problems in the EKF, a multiple model adaptive estimator consisting of a bank of EKF in modal domain was designed, each filter in the bank is based on different P(0). The algorithm was iterated by using the weighted global iteration method. A fuzzy logic model was incorporated in each filter to estimate the variance of the measurement noise R. The application of the method is illustrated by simulated and real examples.
A hybrid robust fault tolerant control based on adaptive joint unscented Kalman filter.
Shabbouei Hagh, Yashar; Mohammadi Asl, Reza; Cocquempot, Vincent
2017-01-01
In this paper, a new hybrid robust fault tolerant control scheme is proposed. A robust H ∞ control law is used in non-faulty situation, while a Non-Singular Terminal Sliding Mode (NTSM) controller is activated as soon as an actuator fault is detected. Since a linear robust controller is designed, the system is first linearized through the feedback linearization method. To switch from one controller to the other, a fuzzy based switching system is used. An Adaptive Joint Unscented Kalman Filter (AJUKF) is used for fault detection and diagnosis. The proposed method is based on the simultaneous estimation of the system states and parameters. In order to show the efficiency of the proposed scheme, a simulated 3-DOF robotic manipulator is used. Copyright © 2016 ISA. Published by Elsevier Ltd. All rights reserved.
Detecting Power Voltage Dips using Tracking Filters - A Comparison against Kalman
Directory of Open Access Journals (Sweden)
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.
International Nuclear Information System (INIS)
Quencer, B.M.; Crouch, S.R.
1994-01-01
The application of the extended Kalman filter to multicomponent kinetic data is described. The method is based on obtaining data at multiple wavelengths over time using a linear photodiode array detector. The extended Kalman filter is used to process the data obtained. It is shown that accurate results can be obtained even if the estimated value of the rate constant is not completely accurate or reproducible. No pH, ionic strength, or temperature controls were used in testing the chemical system. A system of three lanthanides reacting with 4-(2-pyridylazo)resorcinol (PAR) was used. Accurate estimates of concentrations were obtained even though the relative rate constants for the reactions of La, Pr, and Nd with PAR were 1:1.7:1.9, and a high degree of spectral overlap is present. 23 refs., 4 figs., 4 tabs
Directory of Open Access Journals (Sweden)
Lijun Song
2018-01-01
Full Text Available The centralized Kalman filter is always applied in the velocity and attitude matching of Transfer Alignment (TA. But the centralized Kalman has many disadvantages, such as large amount of calculation, poor real-time performance, and low reliability. In the paper, the federal Kalman filter (FKF based on neural networks is used in the velocity and attitude matching of TA, the Kalman filter is adjusted by the neural networks in the two subfilters, the federal filter is used to fuse the information of the two subfilters, and the global suboptimal state estimation is obtained. The result of simulation shows that the federal Kalman filter based on neural networks is better in estimating the initial attitude misalignment angle of inertial navigation system (INS when the system dynamic model and noise statistics characteristics of inertial navigation system are unclear, and the estimation error is smaller and the accuracy is higher.
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
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. Copyright © 2010 Elsevier Ireland Ltd. All rights reserved.
Ensemble Kalman filter for the reconstruction of the Earth's mantle circulation
Directory of Open Access Journals (Sweden)
M. Bocher
2018-02-01
Full Text Available Recent advances in mantle convection modeling led to the release of a new generation of convection codes, able to self-consistently generate plate-like tectonics at their surface. Those models physically link mantle dynamics to surface tectonics. Combined with plate tectonic reconstructions, they have the potential to produce a new generation of mantle circulation models that use data assimilation methods and where uncertainties in plate tectonic reconstructions are taken into account. We provided a proof of this concept by applying a suboptimal Kalman filter to the reconstruction of mantle circulation (Bocher et al., 2016. Here, we propose to go one step further and apply the ensemble Kalman filter (EnKF to this problem. The EnKF is a sequential Monte Carlo method particularly adapted to solve high-dimensional data assimilation problems with nonlinear dynamics. We tested the EnKF using synthetic observations consisting of surface velocity and heat flow measurements on a 2-D-spherical annulus model and compared it with the method developed previously. The EnKF performs on average better and is more stable than the former method. Less than 300 ensemble members are sufficient to reconstruct an evolution. We use covariance adaptive inflation and localization to correct for sampling errors. We show that the EnKF results are robust over a wide range of covariance localization parameters. The reconstruction is associated with an estimation of the error, and provides valuable information on where the reconstruction is to be trusted or not.
A Kalman Filter for SINS Self-Alignment Based on Vector Observation.
Xu, Xiang; Xu, Xiaosu; Zhang, Tao; Li, Yao; Tong, Jinwu
2017-01-29
In this paper, a self-alignment method for strapdown inertial navigation systems based on the q -method is studied. In addition, an improved method based on integrating gravitational apparent motion to form apparent velocity is designed, which can reduce the random noises of the observation vectors. For further analysis, a novel self-alignment method using a Kalman filter based on adaptive filter technology is proposed, which transforms the self-alignment procedure into an attitude estimation using the observation vectors. In the proposed method, a linear psuedo-measurement equation is adopted by employing the transfer method between the quaternion and the observation vectors. Analysis and simulation indicate that the accuracy of the self-alignment is improved. Meanwhile, to improve the convergence rate of the proposed method, a new method based on parameter recognition and a reconstruction algorithm for apparent gravitation is devised, which can reduce the influence of the random noises of the observation vectors. Simulations and turntable tests are carried out, and the results indicate that the proposed method can acquire sound alignment results with lower standard variances, and can obtain higher alignment accuracy and a faster convergence rate.
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 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.
In Situ Monitoring of Groundwater Contamination Using the Kalman Filter For Sustainable Remediation
Schmidt, F.; Wainwright, H. M.; Faybishenko, B.; Denham, M. E.; Eddy-Dilek, C. A.
2017-12-01
Sustainable remediation - based on less intensive passive remediation and natural attenuation - has become a desirable remediation alternative at contaminated sites. Although it has a number of benefits, such as reduced waste and water/energy usage, it carries a significant burden of proof to verify plume stability and to ensure insignificant increase of risk to public health. Modeling of contaminant transport is still challenging despite recent advances in numerical methods. Long-term monitoring has, therefore, become a critical component in sustainable remediation. However, the current approach, which relies on sparse groundwater sampling, is problematic, since it could miss sudden significant changes in plume behavior. A new method is needed to combine existing knowledge about contaminant behavior and latest advances in in situ groundwater sensors. This study presents an example of the effective use of the Kalman filter approach to estimate contaminant concentrations, based on in situ measured water quality parameters (e.g. electrical conductivity and pH) along with the results of sparse groundwater sampling. The Kalman filter can effectively couple physical models and data correlations between the contaminant concentrations and in situ measured variables. We aim (1) to develop a framework capable of integrating different data types to provide accurate contaminant concentration estimates, (2) to demonstrate that these results remain reliable, even when the groundwater sampling frequency is reduced, and (3) to evaluate the future efficacy of this strategy using reactive transport simulations. This framework can also serve as an early warning system for detecting unexpected plume migration. We demonstrate our approach using historical and current groundwater data from the Savannah River Site (SRS) F-Area Seepage Basins to estimate uranium and tritium concentrations. The results show that the developed method can provide reliable estimates of contaminant
Kalman Filtered Bio Heat Transfer Model Based Self-adaptive Hybrid Magnetic Resonance Thermometry.
Zhang, Yuxin; Chen, Shuo; Deng, Kexin; Chen, Bingyao; Wei, Xing; Yang, Jiafei; Wang, Shi; Ying, Kui
2017-01-01
To develop a self-adaptive and fast thermometry method by combining the original hybrid magnetic resonance thermometry method and the bio heat transfer equation (BHTE) model. The proposed Kalman filtered Bio Heat Transfer Model Based Self-adaptive Hybrid Magnetic Resonance Thermometry, abbreviated as KalBHT hybrid method, introduced the BHTE model to synthesize a window on the regularization term of the hybrid algorithm, which leads to a self-adaptive regularization both spatially and temporally with change of temperature. Further, to decrease the sensitivity to accuracy of the BHTE model, Kalman filter is utilized to update the window at each iteration time. To investigate the effect of the proposed model, computer heating simulation, phantom microwave heating experiment and dynamic in-vivo model validation of liver and thoracic tumor were conducted in this study. The heating simulation indicates that the KalBHT hybrid algorithm achieves more accurate results without adjusting λ to a proper value in comparison to the hybrid algorithm. The results of the phantom heating experiment illustrate that the proposed model is able to follow temperature changes in the presence of motion and the temperature estimated also shows less noise in the background and surrounding the hot spot. The dynamic in-vivo model validation with heating simulation demonstrates that the proposed model has a higher convergence rate, more robustness to susceptibility problem surrounding the hot spot and more accuracy of temperature estimation. In the healthy liver experiment with heating simulation, the RMSE of the hot spot of the proposed model is reduced to about 50% compared to the RMSE of the original hybrid model and the convergence time becomes only about one fifth of the hybrid model. The proposed model is able to improve the accuracy of the original hybrid algorithm and accelerate the convergence rate of MR temperature estimation.
Input Forces Estimation for Nonlinear Systems by Applying a Square-Root Cubature Kalman Filter.
Song, Xuegang; Zhang, Yuexin; Liang, Dakai
2017-10-10
This work presents a novel inverse algorithm to estimate time-varying input forces in nonlinear beam systems. With the system parameters determined, the input forces can be estimated in real-time from dynamic responses, which can be used for structural health monitoring. In the process of input forces estimation, the Runge-Kutta fourth-order algorithm was employed to discretize the state equations; a square-root cubature Kalman filter (SRCKF) was employed to suppress white noise; the residual innovation sequences, a priori state estimate, gain matrix, and innovation covariance generated by SRCKF were employed to estimate the magnitude and location of input forces by using a nonlinear estimator. The nonlinear estimator was based on the least squares method. Numerical simulations of a large deflection beam and an experiment of a linear beam constrained by a nonlinear spring were employed. The results demonstrated accuracy of the nonlinear algorithm.
International Nuclear Information System (INIS)
Ciftcioglu, O.
1991-03-01
Detection of failure in the operational status of a NPP is described. The method uses lattice form of the signal modelling established by means of Kalman filtering methodology. In this approach each lattice parameter is considered to be a state and the minimum variance estimate of the states is performed adaptively by optimal parameter estimation together with fast convergence and favourable statistical properties. In particular, the state covariance is also the covariance of the error committed by that estimate of the state value and the Mahalanobis distance formed for pattern comparison takes x 2 distribution for normally distributed signals. The failure detection is performed after a decision making process by probabilistic assessments based on the statistical information provided. The failure detection system is implemented in multi-channel signal environment of Borssele NPP and its favourable features are demonstrated. (author). 29 refs.; 7 figs
Online Internal Temperature Estimation for Lithium-Ion Batteries Based on Kalman Filter
Directory of Open Access Journals (Sweden)
Jinlei Sun
2015-05-01
Full Text Available The battery internal temperature estimation is important for the thermal safety in applications, because the internal temperature is hard to measure directly. In this work, an online internal temperature estimation method based on a simplified thermal model using a Kalman filter is proposed. As an improvement, the influences of entropy change and overpotential on heat generation are analyzed quantitatively. The model parameters are identified through a current pulse test. The charge/discharge experiments under different current rates are carried out on the same battery to verify the estimation results. The internal and surface temperatures are measured with thermocouples for result validation and model construction. The accuracy of the estimated result is validated with a maximum estimation error of around 1 K.
An Extended Kalman Filter-Based Attitude Tracking Algorithm for Star Sensors.
Li, Jian; Wei, Xinguo; Zhang, Guangjun
2017-08-21
Efficiency and reliability are key issues when a star sensor operates in tracking mode. In the case of high attitude dynamics, the performance of existing attitude tracking algorithms degenerates rapidly. In this paper an extended Kalman filtering-based attitude tracking algorithm is presented. The star sensor is modeled as a nonlinear stochastic system with the state estimate providing the three degree-of-freedom attitude quaternion and angular velocity. The star positions in the star image are predicted and measured to estimate the optimal attitude. Furthermore, all the cataloged stars observed in the sensor field-of-view according the predicted image motion are accessed using a catalog partition table to speed up the tracking, called star mapping. Software simulation and night-sky experiment are performed to validate the efficiency and reliability of the proposed method.
Input Forces Estimation for Nonlinear Systems by Applying a Square-Root Cubature Kalman Filter
Directory of Open Access Journals (Sweden)
Xuegang Song
2017-10-01
Full Text Available This work presents a novel inverse algorithm to estimate time-varying input forces in nonlinear beam systems. With the system parameters determined, the input forces can be estimated in real-time from dynamic responses, which can be used for structural health monitoring. In the process of input forces estimation, the Runge-Kutta fourth-order algorithm was employed to discretize the state equations; a square-root cubature Kalman filter (SRCKF was employed to suppress white noise; the residual innovation sequences, a priori state estimate, gain matrix, and innovation covariance generated by SRCKF were employed to estimate the magnitude and location of input forces by using a nonlinear estimator. The nonlinear estimator was based on the least squares method. Numerical simulations of a large deflection beam and an experiment of a linear beam constrained by a nonlinear spring were employed. The results demonstrated accuracy of the nonlinear algorithm.
Watanabe, Takashi
2013-01-01
The wearable sensor system developed by our group, which measured lower limb angles using Kalman-filtering-based method, was suggested to be useful in evaluation of gait function for rehabilitation support. However, it was expected to reduce variations of measurement errors. In this paper, a variable-Kalman-gain method based on angle error that was calculated from acceleration signals was proposed to improve measurement accuracy. The proposed method was tested comparing to fixed-gain Kalman filter and a variable-Kalman-gain method that was based on acceleration magnitude used in previous studies. First, in angle measurement in treadmill walking, the proposed method measured lower limb angles with the highest measurement accuracy and improved significantly foot inclination angle measurement, while it improved slightly shank and thigh inclination angles. The variable-gain method based on acceleration magnitude was not effective for our Kalman filter system. Then, in angle measurement of a rigid body model, it was shown that the proposed method had measurement accuracy similar to or higher than results seen in other studies that used markers of camera-based motion measurement system fixing on a rigid plate together with a sensor or on the sensor directly. The proposed method was found to be effective in angle measurement with inertial sensors. PMID:24282442
Podladchikova, T.; Shprits, Y.; Kellerman, A. C.
2015-12-01
The Kalman filter technique combines the strengths of new physical models of the Earth's radiation belts with long-term spacecraft observations of electron fluxes and therefore provide an extremely useful method for the analysis of the state and evolution of the electron radiation belts. However, to get the reliable data assimilation output, the Kalman filter application is confronted with a set of fundamental problems. E.g., satellite measurements are usually limited to a single location in space, which confines the reconstruction of the global evolution of the radiation environment. The uncertainties arise from the imperfect description of the process dynamics and the presence of observation errors, which may cause the failure of data assimilation solution. The development of adaptive Kalman filter that combines the Van Allen Probes data and 3-D VERB code, its accurate customizations in the reconstruction of model describing the phase space density (PSD) evolution, extension of the possibilities to use measurement information, and the model adjustment by developing the identification techniques of model and measurement errors allowed us to reveal hidden and implicit regularities of the PSD dynamics and obtain quantitative and qualitative estimates of radial, energy and pitch angle diffusion characteristics from satellite observations. In this study we propose an approach to estimate radial, energy and pitch angle diffusion rates, as well as the direction of their propagation.
Soft sensing for two-phase flow using an ensemble Kalman filter
Gryzlov, A.; Leskens, M.; Mudde, R.F.
2009-01-01
A new approach for real-time monitoring of horizontal wells, which is based on data assimilation concepts, is presented. Such methodology can be used when the direct measurement of multiphase flow rates is unfeasible or even unavailable. The real-time estimator proposed is an ensemble Kalman filter
Target Centroid Position Estimation of Phase-Path Volume Kalman Filtering
Directory of Open Access Journals (Sweden)
Fengjun Hu
2016-01-01
Full Text Available For the problem of easily losing track target when obstacles appear in intelligent robot target tracking, this paper proposes a target tracking algorithm integrating reduced dimension optimal Kalman filtering algorithm based on phase-path volume integral with Camshift algorithm. After analyzing the defects of Camshift algorithm, compare the performance with the SIFT algorithm and Mean Shift algorithm, and Kalman filtering algorithm is used for fusion optimization aiming at the defects. Then aiming at the increasing amount of calculation in integrated algorithm, reduce dimension with the phase-path volume integral instead of the Gaussian integral in Kalman algorithm and reduce the number of sampling points in the filtering process without influencing the operational precision of the original algorithm. Finally set the target centroid position from the Camshift algorithm iteration as the observation value of the improved Kalman filtering algorithm to fix predictive value; thus to make optimal estimation of target centroid position and keep the target tracking so that the robot can understand the environmental scene and react in time correctly according to the changes. The experiments show that the improved algorithm proposed in this paper shows good performance in target tracking with obstructions and reduces the computational complexity of the algorithm through the dimension reduction.
Kalman filter for speech enhancement in cocktail party scenarios using a codebook-based approach
DEFF Research Database (Denmark)
Kavalekalam, Mathew Shaji; Christensen, Mads Græsbøll; Gran, Fredrik
2016-01-01
Enhancement of speech in non-stationary background noise is a challenging task, and conventional single channel speech enhancement algorithms have not been able to improve the speech intelligibility in such scenarios. The work proposed in this paper investigates a single channel Kalman filter based...... trained codebook over a generic speech codebook in relation to the performance of the speech enhancement system....
Kalman filter for statistical monitoring of forest cover across sub-continental regions [Symposium
Raymond L. Czaplewski
1991-01-01
The Kalman filter is a generalization of the composite estimator. The univariate composite estimate combines 2 prior estimates of population parameter with a weighted average where the scalar weight is inversely proportional to the variances. The composite estimator is a minimum variance estimator that requires no distributional assumptions other than estimates of the...
Model-Based Engine Control Architecture with an Extended Kalman Filter
Csank, Jeffrey T.; Connolly, Joseph W.
2016-01-01
This paper discusses the design and implementation of an extended Kalman filter (EKF) for model-based engine control (MBEC). Previously proposed MBEC architectures feature an optimal tuner Kalman Filter (OTKF) to produce estimates of both unmeasured engine parameters and estimates for the health of the engine. The success of this approach relies on the accuracy of the linear model and the ability of the optimal tuner to update its tuner estimates based on only a few sensors. Advances in computer processing are making it possible to replace the piece-wise linear model, developed off-line, with an on-board nonlinear model running in real-time. This will reduce the estimation errors associated with the linearization process, and is typically referred to as an extended Kalman filter. The nonlinear extended Kalman filter approach is applied to the Commercial Modular Aero-Propulsion System Simulation 40,000 (C-MAPSS40k) and compared to the previously proposed MBEC architecture. The results show that the EKF reduces the estimation error, especially during transient operation.
Non-linear DSGE Models and The Central Difference Kalman Filter
DEFF Research Database (Denmark)
Andreasen, Martin Møller
This paper introduces a Quasi Maximum Likelihood (QML) approach based on the Cen- tral Difference Kalman Filter (CDKF) to estimate non-linear DSGE models with potentially non-Gaussian shocks. We argue that this estimator can be expected to be consistent and asymptotically normal for DSGE models...