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
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.
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.
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
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...
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....
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.
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....
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...
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
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.
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.
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.
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
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.
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...
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
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.
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...
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
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.
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.
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.
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.
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.
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.
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.
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.
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.
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.
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...
CONSISTENT USE OF THE KALMAN FILTER IN CHEMICAL TRANSPORT MODELS (CTMS) FOR DEDUCING EMISSIONS
Past research has shown that emissions can be deduced using observed concentrations of a chemical, a Chemical Transport Model (CTM), and the Kalman filter in an inverse modeling application. An expression was derived for the relationship between the "observable" (i.e., the con...
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.
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).
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.
Kalman-filter model for determining block and trickle SNM losses
International Nuclear Information System (INIS)
Barlow, R.E.; Durst, M.J.; Smiriga, N.G.
1982-07-01
This paper describes an integrated decision procedure for deciding whether a diversion of SNM has occurred. Two possible types of diversion are considered: a block loss during a single time period and a cumulative trickle loss over several time periods. The methodology used is based on a compound Kalman filter model. Numerical examples illustrate our approach
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.
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...
El Gharamti, Mohamad
2012-04-01
Accurate knowledge of the movement of contaminants in porous media is essential to track their trajectory and later extract them from the aquifer. A two-dimensional flow model is implemented and then applied on a linear contaminant transport model in the same porous medium. Because of different sources of uncertainties, this coupled model might not be able to accurately track the contaminant state. Incorporating observations through the process of data assimilation can guide the model toward the true trajectory of the system. The Kalman filter (KF), or its nonlinear invariants, can be used to tackle this problem. To overcome the prohibitive computational cost of the KF, the singular evolutive Kalman filter (SEKF) and the singular fixed Kalman filter (SFKF) are used, which are variants of the KF operating with low-rank covariance matrices. Experimental results suggest that under perfect and imperfect model setups, the low-rank filters can provide estimates as accurate as the full KF but at much lower computational effort. Low-rank filters are demonstrated to significantly reduce the computational effort of the KF to almost 3%. © 2012 American Society of Civil Engineers.
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.
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
Virtual microphone sensing through vibro-acoustic modelling and Kalman filtering
van de Walle, A.; Naets, F.; Desmet, W.
2018-05-01
This work proposes a virtual microphone methodology which enables full field acoustic measurements for vibro-acoustic systems. The methodology employs a Kalman filtering framework in order to combine a reduced high-fidelity vibro-acoustic model with a structural excitation measurement and small set of real microphone measurements on the system under investigation. By employing model order reduction techniques, a high order finite element model can be converted in a much smaller model which preserves the desired accuracy and maintains the main physical properties of the original model. Due to the low order of the reduced-order model, it can be effectively employed in a Kalman filter. The proposed methodology is validated experimentally on a strongly coupled vibro-acoustic system. The virtual sensor vastly improves the accuracy with respect to regular forward simulation. The virtual sensor also allows to recreate the full sound field of the system, which is very difficult/impossible to do through classical measurements.
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.
Institute of Scientific and Technical Information of China (English)
FENG Bo; MA Hong-Bin; FU Meng-Yin; WANG Shun-Ting
2013-01-01
Kalman filtering techniques have been widely used in many applications,however,standard Kalman filters for linear Gaussian systems usually cannot work well or even diverge in the presence of large model uncertainty.In practical applications,it is expensive to have large number of high-cost experiments or even impossible to obtain an exact system model.Motivated by our previous pioneering work on finite-model adaptive control,a framework of finite-model Kalman filtering is introduced in this paper.This framework presumes that large model uncertainty may be restricted by a finite set of known models which can be very different from each other.Moreover,the number of known models in the set can be flexibly chosen so that the uncertain model may always be approximated by one of the known models,in other words,the large model uncertainty is "covered" by the "convex hull" of the known models.Within the presented framework according to the idea of adaptive switching via the minimizing vector distance principle,a simple finite-model Kalman filter,MVDP-FMKF,is mathematically formulated and illustrated by extensive simulations.An experiment of MEMS gyroscope drift has verified the effectiveness of the proposed algorithm,indicating that the mechanism of finite-model Kalman filter is useful and efficient in practical applications of Kalman filters,especially in inertial navigation systems.
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.
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
Kalman filtering and smoothing for linear wave equations with model error
International Nuclear Information System (INIS)
Lee, Wonjung; McDougall, D; Stuart, A M
2011-01-01
Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data are acquired sequentially. The Kalman filter plays a central role in many applications because it is exact for linear systems subject to Gaussian noise, and because it forms the basis for many approximate filters which are used in high-dimensional systems. The aim of this paper is to study the effect of model error on the Kalman filter, in the context of linear wave propagation problems. A consistency result is proved when no model error is present, showing recovery of the true signal in the large data limit. This result, however, is not robust: it is also proved that arbitrarily small model error can lead to inconsistent recovery of the signal in the large data limit. If the model error is in the form of a constant shift to the velocity, the filtering and smoothing distributions only recover a partial Fourier expansion, a phenomenon related to aliasing. On the other hand, for a class of wave velocity model errors which are time dependent, it is possible to recover the filtering distribution exactly, but not the smoothing distribution. Numerical results are presented which corroborate the theory, and also propose a computational approach which overcomes the inconsistency in the presence of model error, by relaxing the model
Sky-Hook Control and Kalman Filtering in Nonlinear Model of Tracked Vehicle Suspension System
Directory of Open Access Journals (Sweden)
Jurkiewicz Andrzej
2017-09-01
Full Text Available The essence of the undertaken topic is application of the continuous sky-hook control strategy and the Extended Kalman Filter as the state observer in the 2S1 tracked vehicle suspension system. The half-car model of this suspension system consists of seven logarithmic spiral springs and two magnetorheological dampers which has been described by the Bingham model. The applied continuous sky-hook control strategy considers nonlinear stiffness characteristic of the logarithmic spiral springs. The control is determined on estimates generated by the Extended Kalman Filter. Improve of ride comfort is verified by comparing simulation results, under the same driving conditions, of controlled and passive vehicle suspension systems.
El Gharamti, Mohamad; Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2015-01-01
The ensemble Kalman filter (EnKF) recursively integrates field data into simulation models to obtain a better characterization of the model’s state and parameters. These are generally estimated following a state-parameters joint augmentation
State-Space Dynamic Model for Estimation of Radon Entry Rate, based on Kalman Filtering
Czech Academy of Sciences Publication Activity Database
Brabec, Marek; Jílek, K.
2007-01-01
Roč. 98, - (2007), s. 285-297 ISSN 0265-931X Grant - others:GA SÚJB JC_11/2006 Institutional research plan: CEZ:AV0Z10300504 Keywords : air ventilation rate * radon entry rate * state-space modeling * extended Kalman filter * maximum likelihood estimation * prediction error decomposition Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.963, year: 2007
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.
Model Predictive Control Based on Kalman Filter for Constrained Hammerstein-Wiener Systems
Directory of Open Access Journals (Sweden)
Man Hong
2013-01-01
Full Text Available To precisely track the reactor temperature in the entire working condition, the constrained Hammerstein-Wiener model describing nonlinear chemical processes such as in the continuous stirred tank reactor (CSTR is proposed. A predictive control algorithm based on the Kalman filter for constrained Hammerstein-Wiener systems is designed. An output feedback control law regarding the linear subsystem is derived by state observation. The size of reaction heat produced and its influence on the output are evaluated by the Kalman filter. The observation and evaluation results are calculated by the multistep predictive approach. Actual control variables are computed while considering the constraints of the optimal control problem in a finite horizon through the receding horizon. The simulation example of the CSTR tester shows the effectiveness and feasibility of the proposed algorithm.
Liu, Hua; Wu, Wen
2017-06-13
For improving the tracking accuracy and model switching speed of maneuvering target tracking in nonlinear systems, a new algorithm named the interacting multiple model fifth-degree spherical simplex-radial cubature Kalman filter (IMM5thSSRCKF) is proposed in this paper. The new algorithm is a combination of the interacting multiple model (IMM) filter and the fifth-degree spherical simplex-radial cubature Kalman filter (5thSSRCKF). The proposed algorithm makes use of Markov process to describe the switching probability among the models, and uses 5thSSRCKF to deal with the state estimation of each model. The 5thSSRCKF is an improved filter algorithm, which utilizes the fifth-degree spherical simplex-radial rule to improve the filtering accuracy. Finally, the tracking performance of the IMM5thSSRCKF is evaluated by simulation in a typical maneuvering target tracking scenario. Simulation results show that the proposed algorithm has better tracking performance and quicker model switching speed when disposing maneuver models compared with the interacting multiple model unscented Kalman filter (IMMUKF), the interacting multiple model cubature Kalman filter (IMMCKF) and the interacting multiple model fifth-degree cubature Kalman filter (IMM5thCKF).
Directory of Open Access Journals (Sweden)
Hua Liu
2017-06-01
Full Text Available For improving the tracking accuracy and model switching speed of maneuvering target tracking in nonlinear systems, a new algorithm named the interacting multiple model fifth-degree spherical simplex-radial cubature Kalman filter (IMM5thSSRCKF is proposed in this paper. The new algorithm is a combination of the interacting multiple model (IMM filter and the fifth-degree spherical simplex-radial cubature Kalman filter (5thSSRCKF. The proposed algorithm makes use of Markov process to describe the switching probability among the models, and uses 5thSSRCKF to deal with the state estimation of each model. The 5thSSRCKF is an improved filter algorithm, which utilizes the fifth-degree spherical simplex-radial rule to improve the filtering accuracy. Finally, the tracking performance of the IMM5thSSRCKF is evaluated by simulation in a typical maneuvering target tracking scenario. Simulation results show that the proposed algorithm has better tracking performance and quicker model switching speed when disposing maneuver models compared with the interacting multiple model unscented Kalman filter (IMMUKF, the interacting multiple model cubature Kalman filter (IMMCKF and the interacting multiple model fifth-degree cubature Kalman filter (IMM5thCKF.
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....
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.
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.
Galvan, Jose Ramon; Saxena, Abhinav; Goebel, Kai Frank
2012-01-01
This article discusses several aspects of uncertainty representation and management for model-based prognostics methodologies based on our experience with Kalman Filters when applied to prognostics for electronics components. In particular, it explores the implications of modeling remaining useful life prediction as a stochastic process, and how it relates to uncertainty representation, management and the role of prognostics in decision-making. A distinction between the interpretations of estimated remaining useful life probability density function is explained and a cautionary argument is provided against mixing interpretations for two while considering prognostics in making critical decisions.
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.
Extended Kalman filtering for model-based sensor fusion in robotics
International Nuclear Information System (INIS)
Fujii, Yuji; Wehe, D.K.; Lee, J.C.
1990-01-01
Remote surveillance and maintenance in advanced nuclear power plants will benefit from the increased utilization of mobile robotic systems. For these robotic systems to function most effectively in hazardous environments, they should be able to make decisions and take necessary actions with minimal human supervision. To accomplish this, the robot must be able to construct an accurate model of the power plant environment from diverse sensory data and a priori maps. In this paper, the authors demonstrate how a recursive parameter estimation technique known as Kalman filtering can integrate noisy data from various sensors to construct a consistent representation of the sensed environment
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.
Directory of Open Access Journals (Sweden)
Nita H. SHAH
2010-07-01
Full Text Available This paper deals with the rigorous photogrammetric solution to model the uncertainty in the orientation parameters of Indian Remote Sensing Satellite IRS-P5 (Cartosat-1. Cartosat-1 is a three axis stabilized spacecraft launched into polar sun-synchronous circular orbit at an altitude of 618 km. The satellite has two panchromatic (PAN cameras with nominal resolution of ~2.5 m. The camera looking ahead is called FORE mounted with +26 deg angle and the other looking near nadir is called AFT mounted with -5 deg, in along track direction. Data Product Generation Software (DPGS system uses the rigorous photogrammetric Collinearity model in order to utilize the full system information, together with payload geometry & control points, for estimating the uncertainty in attitude parameters. The initial orbit, attitude knowledge is obtained from GPS bound orbit measurement, star tracker and gyros. The variations in satellite attitude with time are modelled using simple linear polynomial model. Also, based on this model, Kalman filter approach is studied and applied to improve the uncertainty in the orientation of spacecraft with high quality ground control points (GCPs. The sequential estimator (Kalman filter is used in an iterative process which corrects the parameters at each time of observation rather than at epoch time. Results are presented for three stereo data sets. The accuracy of model depends on the accuracy of the control points.
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.
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.
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.
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
The role of model dynamics in ensemble Kalman filter performance for chaotic systems
Ng, G.-H.C.; McLaughlin, D.; Entekhabi, D.; Ahanin, A.
2011-01-01
The ensemble Kalman filter (EnKF) is susceptible to losing track of observations, or 'diverging', when applied to large chaotic systems such as atmospheric and ocean models. Past studies have demonstrated the adverse impact of sampling error during the filter's update step. We examine how system dynamics affect EnKF performance, and whether the absence of certain dynamic features in the ensemble may lead to divergence. The EnKF is applied to a simple chaotic model, and ensembles are checked against singular vectors of the tangent linear model, corresponding to short-term growth and Lyapunov vectors, corresponding to long-term growth. Results show that the ensemble strongly aligns itself with the subspace spanned by unstable Lyapunov vectors. Furthermore, the filter avoids divergence only if the full linearized long-term unstable subspace is spanned. However, short-term dynamics also become important as non-linearity in the system increases. Non-linear movement prevents errors in the long-term stable subspace from decaying indefinitely. If these errors then undergo linear intermittent growth, a small ensemble may fail to properly represent all important modes, causing filter divergence. A combination of long and short-term growth dynamics are thus critical to EnKF performance. These findings can help in developing practical robust filters based on model dynamics. ?? 2011 The Authors Tellus A ?? 2011 John Wiley & Sons A/S.
A 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.
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.
An Optimal Enhanced Kalman Filter for a ZUPT-Aided Pedestrian Positioning Coupling Model.
Fan, Qigao; Zhang, Hai; Sun, Yan; Zhu, Yixin; Zhuang, Xiangpeng; Jia, Jie; Zhang, Pengsong
2018-05-02
Aimed at overcoming the problems of cumulative errors and low positioning accuracy in single Inertial Navigation Systems (INS), an Optimal Enhanced Kalman Filter (OEKF) is proposed in this paper to achieve accurate positioning of pedestrians within an enclosed environment. Firstly, the errors of the inertial sensors are analyzed, modeled, and reconstructed. Secondly, the cumulative errors in attitude and velocity are corrected using the attitude fusion filtering algorithm and Zero Velocity Update algorithm (ZUPT), respectively. Then, the OEKF algorithm is described in detail. Finally, a pedestrian indoor positioning experimental platform is established to verify the performance of the proposed positioning system. Experimental results show that the accuracy of the pedestrian indoor positioning system can reach 0.243 m, giving it a high practical value.
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.
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.
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.
Prediction of L70 lumen maintenance and chromaticity for LEDs using extended Kalman filter models
Energy Technology Data Exchange (ETDEWEB)
Lall, Pradeep; Wei, Junchao; Davis, Lynn
2013-09-30
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
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.
Lenartz, F.; Raick, C.; Soetaert, K.E.R.; Grégoire, M.
2007-01-01
The Ensemble Kalman filter (EnKF) has been applied to a 1-D complex ecosystem model coupled with a hydrodynamic model of the Ligurian Sea. In order to improve the performance of the EnKF, an ensemble subsampling strategy has been used to better represent the covariance matrices and a pre-analysis
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.
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...
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.
Calibration of a Land Subsidence Model Using InSAR Data via the Ensemble Kalman Filter.
Li, Liangping; Zhang, Meijing; Katzenstein, Kurt
2017-11-01
The application of interferometric synthetic aperture radar (InSAR) has been increasingly used to improve capabilities to model land subsidence in hydrogeologic studies. A number of investigations over the last decade show how spatially detailed time-lapse images of ground displacements could be utilized to advance our understanding for better predictions. In this work, we use simulated land subsidences as observed measurements, mimicking InSAR data to inversely infer inelastic specific storage in a stochastic framework. The inelastic specific storage is assumed as a random variable and modeled using a geostatistical method such that the detailed variations in space could be represented and also that the uncertainties of both characterization of specific storage and prediction of land subsidence can be assessed. The ensemble Kalman filter (EnKF), a real-time data assimilation algorithm, is used to inversely calibrate a land subsidence model by matching simulated subsidences with InSAR data. The performance of the EnKF is demonstrated in a synthetic example in which simulated surface deformations using a reference field are assumed as InSAR data for inverse modeling. The results indicate: (1) the EnKF can be used successfully to calibrate a land subsidence model with InSAR data; the estimation of inelastic specific storage is improved, and uncertainty of prediction is reduced, when all the data are accounted for; and (2) if the same ensemble is used to estimate Kalman gain, the analysis errors could cause filter divergence; thus, it is essential to include localization in the EnKF for InSAR data assimilation. © 2017, National Ground Water Association.
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.
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
Fast Kalman-like filtering for large-dimensional linear and Gaussian state-space models
Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2015-01-01
This paper considers the filtering problem for linear and Gaussian state-space models with large dimensions, a setup in which the optimal Kalman Filter (KF) might not be applicable owing to the excessive cost of manipulating huge covariance matrices. Among the most popular alternatives that enable cheaper and reasonable computation is the Ensemble KF (EnKF), a Monte Carlo-based approximation. In this paper, we consider a class of a posteriori distributions with diagonal covariance matrices and propose fast approximate deterministic-based algorithms based on the Variational Bayesian (VB) approach. More specifically, we derive two iterative KF-like algorithms that differ in the way they operate between two successive filtering estimates; one involves a smoothing estimate and the other involves a prediction estimate. Despite its iterative nature, the prediction-based algorithm provides a computational cost that is, on the one hand, independent of the number of iterations in the limit of very large state dimensions, and on the other hand, always much smaller than the cost of the EnKF. The cost of the smoothing-based algorithm depends on the number of iterations that may, in some situations, make this algorithm slower than the EnKF. The performances of the proposed filters are studied and compared to those of the KF and EnKF through a numerical example.
Fast Kalman-like filtering for large-dimensional linear and Gaussian state-space models
Ait-El-Fquih, Boujemaa
2015-08-13
This paper considers the filtering problem for linear and Gaussian state-space models with large dimensions, a setup in which the optimal Kalman Filter (KF) might not be applicable owing to the excessive cost of manipulating huge covariance matrices. Among the most popular alternatives that enable cheaper and reasonable computation is the Ensemble KF (EnKF), a Monte Carlo-based approximation. In this paper, we consider a class of a posteriori distributions with diagonal covariance matrices and propose fast approximate deterministic-based algorithms based on the Variational Bayesian (VB) approach. More specifically, we derive two iterative KF-like algorithms that differ in the way they operate between two successive filtering estimates; one involves a smoothing estimate and the other involves a prediction estimate. Despite its iterative nature, the prediction-based algorithm provides a computational cost that is, on the one hand, independent of the number of iterations in the limit of very large state dimensions, and on the other hand, always much smaller than the cost of the EnKF. The cost of the smoothing-based algorithm depends on the number of iterations that may, in some situations, make this algorithm slower than the EnKF. The performances of the proposed filters are studied and compared to those of the KF and EnKF through a numerical example.
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.
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.
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
Szczęsna, Agnieszka; Pruszowski, Przemysław
2016-01-01
Inertial orientation tracking is still an area of active research, especially in the context of out-door, real-time, human motion capture. Existing systems either propose loosely coupled tracking approaches where each segment is considered independently, taking the resulting drawbacks into account, or tightly coupled solutions that are limited to a fixed chain with few segments. Such solutions have no flexibility to change the skeleton structure, are dedicated to a specific set of joints, and have high computational complexity. This paper describes the proposal of a new model-based extended quaternion Kalman filter that allows for estimation of orientation based on outputs from the inertial measurements unit sensors. The filter considers interdependencies resulting from the construction of the kinematic chain so that the orientation estimation is more accurate. The proposed solution is a universal filter that does not predetermine the degree of freedom at the connections between segments of the model. To validation the motion of 3-segments single link pendulum captured by optical motion capture system is used. The next step in the research will be to use this method for inertial motion capture with a human skeleton model.
Development and validation of a Kalman filter-based model for vehicle slip angle estimation
Gadola, M.; Chindamo, D.; Romano, M.; Padula, F.
2014-01-01
It is well known that vehicle slip angle is one of the most difficult parameters to measure on a vehicle during testing or racing activities. Moreover, the appropriate sensor is very expensive and it is often difficult to fit to a car, especially on race cars. We propose here a strategy to eliminate the need for this sensor by using a mathematical tool which gives a good estimation of the vehicle slip angle. A single-track car model, coupled with an extended Kalman filter, was used in order to achieve the result. Moreover, a tuning procedure is proposed that takes into consideration both nonlinear and saturation characteristics typical of vehicle lateral dynamics. The effectiveness of the proposed algorithm has been proven by both simulation results and real-world data.
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
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...
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
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.
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 ...
Madi, Mahmoud K; Karameh, Fadi N
2017-01-01
Kalman filtering methods have long been regarded as efficient adaptive Bayesian techniques for estimating hidden states in models of linear dynamical systems under Gaussian uncertainty. Recent advents of the Cubature Kalman filter (CKF) have extended this efficient estimation property to nonlinear systems, and also to hybrid nonlinear problems where by the processes are continuous and the observations are discrete (continuous-discrete CD-CKF). Employing CKF techniques, therefore, carries high promise for modeling many biological phenomena where the underlying processes exhibit inherently nonlinear, continuous, and noisy dynamics and the associated measurements are uncertain and time-sampled. This paper investigates the performance of cubature filtering (CKF and CD-CKF) in two flagship problems arising in the field of neuroscience upon relating brain functionality to aggregate neurophysiological recordings: (i) estimation of the firing dynamics and the neural circuit model parameters from electric potentials (EP) observations, and (ii) estimation of the hemodynamic model parameters and the underlying neural drive from BOLD (fMRI) signals. First, in simulated neural circuit models, estimation accuracy was investigated under varying levels of observation noise (SNR), process noise structures, and observation sampling intervals (dt). When compared to the CKF, the CD-CKF consistently exhibited better accuracy for a given SNR, sharp accuracy increase with higher SNR, and persistent error reduction with smaller dt. Remarkably, CD-CKF accuracy shows only a mild deterioration for non-Gaussian process noise, specifically with Poisson noise, a commonly assumed form of background fluctuations in neuronal systems. Second, in simulated hemodynamic models, parametric estimates were consistently improved under CD-CKF. Critically, time-localization of the underlying neural drive, a determinant factor in fMRI-based functional connectivity studies, was significantly more accurate
2017-01-01
Kalman filtering methods have long been regarded as efficient adaptive Bayesian techniques for estimating hidden states in models of linear dynamical systems under Gaussian uncertainty. Recent advents of the Cubature Kalman filter (CKF) have extended this efficient estimation property to nonlinear systems, and also to hybrid nonlinear problems where by the processes are continuous and the observations are discrete (continuous-discrete CD-CKF). Employing CKF techniques, therefore, carries high promise for modeling many biological phenomena where the underlying processes exhibit inherently nonlinear, continuous, and noisy dynamics and the associated measurements are uncertain and time-sampled. This paper investigates the performance of cubature filtering (CKF and CD-CKF) in two flagship problems arising in the field of neuroscience upon relating brain functionality to aggregate neurophysiological recordings: (i) estimation of the firing dynamics and the neural circuit model parameters from electric potentials (EP) observations, and (ii) estimation of the hemodynamic model parameters and the underlying neural drive from BOLD (fMRI) signals. First, in simulated neural circuit models, estimation accuracy was investigated under varying levels of observation noise (SNR), process noise structures, and observation sampling intervals (dt). When compared to the CKF, the CD-CKF consistently exhibited better accuracy for a given SNR, sharp accuracy increase with higher SNR, and persistent error reduction with smaller dt. Remarkably, CD-CKF accuracy shows only a mild deterioration for non-Gaussian process noise, specifically with Poisson noise, a commonly assumed form of background fluctuations in neuronal systems. Second, in simulated hemodynamic models, parametric estimates were consistently improved under CD-CKF. Critically, time-localization of the underlying neural drive, a determinant factor in fMRI-based functional connectivity studies, was significantly more accurate
A Bioinspired Neural Model Based Extended Kalman Filter for Robot SLAM
Directory of Open Access Journals (Sweden)
Jianjun Ni
2014-01-01
Full Text Available Robot simultaneous localization and mapping (SLAM problem is a very important and challenging issue in the robotic field. The main tasks of SLAM include how to reduce the localization error and the estimated error of the landmarks and improve the robustness and accuracy of the algorithms. The extended Kalman filter (EKF based method is one of the most popular methods for SLAM. However, the accuracy of the EKF based SLAM algorithm will be reduced when the noise model is inaccurate. To solve this problem, a novel bioinspired neural model based SLAM approach is proposed in this paper. In the proposed approach, an adaptive EKF based SLAM structure is proposed, and a bioinspired neural model is used to adjust the weights of system noise and observation noise adaptively, which can guarantee the stability of the filter and the accuracy of the SLAM algorithm. The proposed approach can deal with the SLAM problem in various situations, for example, the noise is in abnormal conditions. Finally, some simulation experiments are carried out to validate and demonstrate the efficiency of the proposed approach.
Dual states estimation of a subsurface flow-transport coupled model using ensemble Kalman filtering
El Gharamti, Mohamad
2013-10-01
Modeling the spread of subsurface contaminants requires coupling a groundwater flow model with a contaminant transport model. Such coupling may provide accurate estimates of future subsurface hydrologic states if essential flow and contaminant data are assimilated in the model. Assuming perfect flow, an ensemble Kalman filter (EnKF) can be used for direct data assimilation into the transport model. This is, however, a crude assumption as flow models can be subject to many sources of uncertainty. If the flow is not accurately simulated, contaminant predictions will likely be inaccurate even after successive Kalman updates of the contaminant model with the data. The problem is better handled when both flow and contaminant states are concurrently estimated using the traditional joint state augmentation approach. In this paper, we introduce a dual estimation strategy for data assimilation into a one-way coupled system by treating the flow and the contaminant models separately while intertwining a pair of distinct EnKFs, one for each model. The presented strategy only deals with the estimation of state variables but it can also be used for state and parameter estimation problems. This EnKF-based dual state-state estimation procedure presents a number of novel features: (i) it allows for simultaneous estimation of both flow and contaminant states in parallel; (ii) it provides a time consistent sequential updating scheme between the two models (first flow, then transport); (iii) it simplifies the implementation of the filtering system; and (iv) it yields more stable and accurate solutions than does the standard joint approach. We conducted synthetic numerical experiments based on various time stepping and observation strategies to evaluate the dual EnKF approach and compare its performance with the joint state augmentation approach. Experimental results show that on average, the dual strategy could reduce the estimation error of the coupled states by 15% compared with the
Briseño, Jessica; Herrera, Graciela S.
2010-05-01
Herrera (1998) proposed a method for the optimal design of groundwater quality monitoring networks that involves space and time in a combined form. The method was applied later by Herrera et al (2001) and by Herrera and Pinder (2005). To get the estimates of the contaminant concentration being analyzed, this method uses a space-time ensemble Kalman filter, based on a stochastic flow and transport model. When the method is applied, it is important that the characteristics of the stochastic model be congruent with field data, but, in general, it is laborious to manually achieve a good match between them. For this reason, the main objective of this work is to extend the space-time ensemble Kalman filter proposed by Herrera, to estimate the hydraulic conductivity, together with hydraulic head and contaminant concentration, and its application in a synthetic example. The method has three steps: 1) Given the mean and the semivariogram of the natural logarithm of hydraulic conductivity (ln K), random realizations of this parameter are obtained through two alternatives: Gaussian simulation (SGSim) and Latin Hypercube Sampling method (LHC). 2) The stochastic model is used to produce hydraulic head (h) and contaminant (C) realizations, for each one of the conductivity realizations. With these realization the mean of ln K, h and C are obtained, for h and C, the mean is calculated in space and time, and also the cross covariance matrix h-ln K-C in space and time. The covariance matrix is obtained averaging products of the ln K, h and C realizations on the estimation points and times, and the positions and times with data of the analyzed variables. The estimation points are the positions at which estimates of ln K, h or C are gathered. In an analogous way, the estimation times are those at which estimates of any of the three variables are gathered. 3) Finally the ln K, h and C estimate are obtained using the space-time ensemble Kalman filter. The realization mean for each one
International Nuclear Information System (INIS)
Harlim, John; Mahdi, Adam; Majda, Andrew J.
2014-01-01
A central issue in contemporary science is the development of nonlinear data driven statistical–dynamical models for time series of noisy partial observations from nature or a complex model. It has been established recently that ad-hoc quadratic multi-level regression models can have finite-time blow-up of statistical solutions and/or pathological behavior of their invariant measure. Recently, a new class of physics constrained nonlinear regression models were developed to ameliorate this pathological behavior. Here a new finite ensemble Kalman filtering algorithm is developed for estimating the state, the linear and nonlinear model coefficients, the model and the observation noise covariances from available partial noisy observations of the state. Several stringent tests and applications of the method are developed here. In the most complex application, the perfect model has 57 degrees of freedom involving a zonal (east–west) jet, two topographic Rossby waves, and 54 nonlinearly interacting Rossby waves; the perfect model has significant non-Gaussian statistics in the zonal jet with blocked and unblocked regimes and a non-Gaussian skewed distribution due to interaction with the other 56 modes. We only observe the zonal jet contaminated by noise and apply the ensemble filter algorithm for estimation. Numerically, we find that a three dimensional nonlinear stochastic model with one level of memory mimics the statistical effect of the other 56 modes on the zonal jet in an accurate fashion, including the skew non-Gaussian distribution and autocorrelation decay. On the other hand, a similar stochastic model with zero memory levels fails to capture the crucial non-Gaussian behavior of the zonal jet from the perfect 57-mode model
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.
Actuator Fault Diagnosis in a Boeing 747 Model via Adaptive Modified Two-Stage Kalman Filter
Directory of Open Access Journals (Sweden)
Fikret Caliskan
2014-01-01
Full Text Available An adaptive modified two-stage linear Kalman filtering algorithm is utilized to identify the loss of control effectiveness and the magnitude of low degree of stuck faults in a closed-loop nonlinear B747 aircraft. Control effectiveness factors and stuck magnitudes are used to quantify faults entering control systems through actuators. Pseudorandom excitation inputs are used to help distinguish partial loss and stuck faults. The partial loss and stuck faults in the stabilizer are isolated and identified successfully.
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)
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.
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.
State-space dynamic model for estimation of radon entry rate, based on Kalman filtering
International Nuclear Information System (INIS)
Brabec, Marek; Jilek, Karel
2007-01-01
To predict the radon concentration in a house environment and to understand the role of all factors affecting its behavior, it is necessary to recognize time variation in both air exchange rate and radon entry rate into a house. This paper describes a new approach to the separation of their effects, which effectively allows continuous estimation of both radon entry rate and air exchange rate from simultaneous tracer gas (carbon monoxide) and radon gas measurement data. It is based on a state-space statistical model which permits quick and efficient calculations. Underlying computations are based on (extended) Kalman filtering, whose practical software implementation is easy. Key property is the model's flexibility, so that it can be easily adjusted to handle various artificial regimens of both radon gas and CO gas level manipulation. After introducing the statistical model formally, its performance will be demonstrated on real data from measurements conducted in our experimental, naturally ventilated and unoccupied room. To verify our method, radon entry rate calculated via proposed statistical model was compared with its known reference value. The results from several days of measurement indicated fairly good agreement (up to 5% between reference value radon entry rate and its value calculated continuously via proposed method, in average). Measured radon concentration moved around the level approximately 600 Bq m -3 , whereas the range of air exchange rate was 0.3-0.8 (h -1 )
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....
Ettlinger, Andreas; Neuner, Hans; Burgess, Thomas
2018-01-31
The topic of indoor positioning and indoor navigation by using observations from smartphone sensors is very challenging as the determined trajectories can be subject to significant deviations compared to the route travelled in reality. Especially the calculation of the direction of movement is the critical part of pedestrian positioning approaches such as Pedestrian Dead Reckoning ("PDR"). Due to distinct systematic effects in filtered trajectories, it can be assumed that there are systematic deviations present in the observations from smartphone sensors. This article has two aims: one is to enable the estimation of partial redundancies for each observation as well as for observation groups. Partial redundancies are a measure for the reliability indicating how well systematic deviations can be detected in single observations used in PDR. The second aim is to analyze the behavior of partial redundancy by modifying the stochastic and functional model of the Kalman filter. The equations relating the observations to the orientation are condition equations, which do not exhibit the typical structure of the Gauss-Markov model ("GMM"), wherein the observations are linear and can be formulated as functions of the states. To calculate and analyze the partial redundancy of the observations from smartphone-sensors used in PDR, the system equation and the measurement equation of a Kalman filter as well as the redundancy matrix need to be derived in the Gauss-Helmert model ("GHM"). These derivations are introduced in this article and lead to a novel Kalman filter structure based on condition equations, enabling reliability assessment of each observation.
Petersen, Øyvind Wiig
2014-01-01
Force identification in structural dynamics is an inverse problem concerned with finding loads from measured structural response. The main objective of this thesis is to perform and study state (displacement and velocity) and force estimation by Kalman filtering. Theory on optimal control and state-space models are presented, adapted to linear structural dynamics. Accommodation for measurement noise and model inaccuracies are attained by stochastic-deterministic coupling. Explicit requirem...
Potocki, J K; Tharp, H S
1993-01-01
The success of treating cancerous tissue with heat depends on the temperature elevation, the amount of tissue elevated to that temperature, and the length of time that the tissue temperature is elevated. In clinical situations the temperature of most of the treated tissue volume is unknown, because only a small number of temperature sensors can be inserted into the tissue. A state space model based on a finite difference approximation of the bioheat transfer equation (BHTE) is developed for identification purposes. A full-order extended Kalman filter (EKF) is designed to estimate both the unknown blood perfusion parameters and the temperature at unmeasured locations. Two reduced-order estimators are designed as computationally less intensive alternatives to the full-order EKF. Simulation results show that the success of the estimation scheme depends strongly on the number and location of the temperature sensors. Superior results occur when a temperature sensor exists in each unknown blood perfusion zone, and the number of sensors is at least as large as the number of unknown perfusion zones. Unacceptable results occur when there are more unknown perfusion parameters than temperature sensors, or when the sensors are placed in locations that do not sample the unknown perfusion information.
Hadwin, Paul J; Peterson, Sean D
2017-04-01
The Bayesian framework for parameter inference provides a basis from which subject-specific reduced-order vocal fold models can be generated. Previously, it has been shown that a particle filter technique is capable of producing estimates and associated credibility intervals of time-varying reduced-order vocal fold model parameters. However, the particle filter approach is difficult to implement and has a high computational cost, which can be barriers to clinical adoption. This work presents an alternative estimation strategy based upon Kalman filtering aimed at reducing the computational cost of subject-specific model development. The robustness of this approach to Gaussian and non-Gaussian noise is discussed. The extended Kalman filter (EKF) approach is found to perform very well in comparison with the particle filter technique at dramatically lower computational cost. Based upon the test cases explored, the EKF is comparable in terms of accuracy to the particle filter technique when greater than 6000 particles are employed; if less particles are employed, the EKF actually performs better. For comparable levels of accuracy, the solution time is reduced by 2 orders of magnitude when employing the EKF. By virtue of the approximations used in the EKF, however, the credibility intervals tend to be slightly underpredicted.
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.
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 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
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.
International Nuclear Information System (INIS)
Gonçalves, L D; Rocco, E M; De Moraes, R V; Kuga, H K
2015-01-01
This paper aims to simulate part of the orbital trajectory of Lunar Prospector mission to analyze the relevance of using a Kalman filter to estimate the trajectory. For this study it is considered the disturbance due to the lunar gravitational potential using one of the most recent models, the LP100K model, which is based on spherical harmonics, and considers the maximum degree and order up to the value 100. In order to simplify the expression of the gravitational potential and, consequently, to reduce the computational effort required in the simulation, in some cases, lower values for degree and order are used. Following this aim, it is made an analysis of the inserted error in the simulations when using such values of degree and order to propagate the spacecraft trajectory and control. This analysis was done using the standard deviation that characterizes the uncertainty for each one of the values of the degree and order used in LP100K model for the satellite orbit. With knowledge of the uncertainty of the gravity model adopted, lunar orbital trajectory simulations may be accomplished considering these values of uncertainty. Furthermore, it was also used a Kalman filter, where is considered the sensor's uncertainty that defines the satellite position at each step of the simulation and the uncertainty of the model, by means of the characteristic variance of the truncated gravity model. Thus, this procedure represents an effort to approximate the results obtained using lower values for the degree and order of the spherical harmonics, to the results that would be attained if the maximum accuracy of the model LP100K were adopted. Also a comparison is made between the error in the satellite position in the situation in which the Kalman filter is used and the situation in which the filter is not used. The data for the comparison were obtained from the standard deviation in the velocity increment of the space vehicle. (paper)
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.
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
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.
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....
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.
Belkhatir, Zehor
2015-11-23
This paper discusses the estimation of distributed Cerebral Blood Flow (CBF) using spatiotemporal traveling wave model. We consider a damped wave partial differential equation that describes a physiological relationship between the blood mass density and the CBF. The spatiotemporal model is reduced to a finite dimensional system using a cubic b-spline continuous Galerkin method. A Kalman Filter with Unknown Inputs without Direct Feedthrough (KF-UI-WDF) is applied on the obtained reduced differential model to estimate the source term which is the CBF scaled by a factor. Numerical results showing the performances of the adopted estimator are provided.
Performance of unscented Kalman filter tractography in edema: Analysis of the two-tensor model.
Liao, Ruizhi; Ning, Lipeng; Chen, Zhenrui; Rigolo, Laura; Gong, Shun; Pasternak, Ofer; Golby, Alexandra J; Rathi, Yogesh; O'Donnell, Lauren J
2017-01-01
Diffusion MRI tractography is increasingly used in pre-operative neurosurgical planning to visualize critical fiber tracts. However, a major challenge for conventional tractography, especially in patients with brain tumors, is tracing fiber tracts that are affected by vasogenic edema, which increases water content in the tissue and lowers diffusion anisotropy. One strategy for improving fiber tracking is to use a tractography method that is more sensitive than the traditional single-tensor streamline tractography. We performed experiments to assess the performance of two-tensor unscented Kalman filter (UKF) tractography in edema. UKF tractography fits a diffusion model to the data during fiber tracking, taking advantage of prior information from the previous step along the fiber. We studied UKF performance in a synthetic diffusion MRI digital phantom with simulated edema and in retrospective data from two neurosurgical patients with edema affecting the arcuate fasciculus and corticospinal tracts. We compared the performance of several tractography methods including traditional streamline, UKF single-tensor, and UKF two-tensor. To provide practical guidance on how the UKF method could be employed, we evaluated the impact of using various seed regions both inside and outside the edematous regions, as well as the impact of parameter settings on the tractography sensitivity. We quantified the sensitivity of different methods by measuring the percentage of the patient-specific fMRI activation that was reached by the tractography. We expected that diffusion anisotropy threshold parameters, as well as the inclusion of a free water model, would significantly influence the reconstruction of edematous WM fiber tracts, because edema increases water content in the tissue and lowers anisotropy. Contrary to our initial expectations, varying the fractional anisotropy threshold and including a free water model did not affect the UKF two-tensor tractography output appreciably in
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...
El Gharamti, Mohamad
2015-11-26
The ensemble Kalman filter (EnKF) recursively integrates field data into simulation models to obtain a better characterization of the model’s state and parameters. These are generally estimated following a state-parameters joint augmentation strategy. In this study, we introduce a new smoothing-based joint EnKF scheme, in which we introduce a one-step-ahead smoothing of the state before updating the parameters. Numerical experiments are performed with a two-dimensional synthetic subsurface contaminant transport model. The improved performance of the proposed joint EnKF scheme compared to the standard joint EnKF compensates for the modest increase in the computational cost.
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
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...
Directory of Open Access Journals (Sweden)
Hongjie Wu
2013-01-01
Full Text Available State of charge (SOC is a critical factor to guarantee that a battery system is operating in a safe and reliable manner. Many uncertainties and noises, such as fluctuating current, sensor measurement accuracy and bias, temperature effects, calibration errors or even sensor failure, etc. pose a challenge to the accurate estimation of SOC in real applications. This paper adds two contributions to the existing literature. First, the auto regressive exogenous (ARX model is proposed here to simulate the battery nonlinear dynamics. Due to its discrete form and ease of implemention, this straightforward approach could be more suitable for real applications. Second, its order selection principle and parameter identification method is illustrated in detail in this paper. The hybrid pulse power characterization (HPPC cycles are implemented on the 60AH LiFePO4 battery module for the model identification and validation. Based on the proposed ARX model, SOC estimation is pursued using the extended Kalman filter. Evaluation of the adaptability of the battery models and robustness of the SOC estimation algorithm are also verified. The results indicate that the SOC estimation method using the Kalman filter based on the ARX model shows great performance. It increases the model output voltage accuracy, thereby having the potential to be used in real applications, such as EVs and HEVs.
International Nuclear Information System (INIS)
Tylee, J.L.
1980-01-01
A low-order, nonlinear model of the Loss-of-Fluid Test (LOFT) reactor plant, for use in Kalman filter estimators, is developed, described, and evaluated. This model consists of 31 differential equations and represents all major subsystems of both the primary and secondary sides of the LOFT plant. Comparisons between model calculations and available LOFT power range testing transients demonstrate the accuracy of the low-order model. The nonlinear model is numerically linearized for future implementation in Kalman filter and optimal control algorithms. The linearized model is shown to be an adequate representation of the nonlinear plant dynamics
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.
Keppenne, Christian L.
2013-01-01
A two-step ensemble recentering Kalman filter (ERKF) analysis scheme is introduced. The algorithm consists of a recentering step followed by an ensemble Kalman filter (EnKF) analysis step. The recentering step is formulated such as to adjust the prior distribution of an ensemble of model states so that the deviations of individual samples from the sample mean are unchanged but the original sample mean is shifted to the prior position of the most likely particle, where the likelihood of each particle is measured in terms of closeness to a chosen subset of the observations. The computational cost of the ERKF is essentially the same as that of a same size EnKF. The ERKF is applied to the assimilation of Argo temperature profiles into the OGCM component of an ensemble of NASA GEOS-5 coupled models. Unassimilated Argo salt data are used for validation. A surprisingly small number (16) of model trajectories is sufficient to significantly improve model estimates of salinity over estimates from an ensemble run without assimilation. The two-step algorithm also performs better than the EnKF although its performance is degraded in poorly observed regions.
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.
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.
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.)
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
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.
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...
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...
Wang, Zidong; Liu, Xiaohui; Liu, Yurong; Liang, Jinling; Vinciotti, Veronica
2009-01-01
In this paper, the extended Kalman filter (EKF) algorithm is applied to model the gene regulatory network from gene time series data. The gene regulatory network is considered as a nonlinear dynamic stochastic model that consists of the gene measurement equation and the gene regulation equation. After specifying the model structure, we apply the EKF algorithm for identifying both the model parameters and the actual value of gene expression levels. It is shown that the EKF algorithm is an online estimation algorithm that can identify a large number of parameters (including parameters of nonlinear functions) through iterative procedure by using a small number of observations. Four real-world gene expression data sets are employed to demonstrate the effectiveness of the EKF algorithm, and the obtained models are evaluated from the viewpoint of bioinformatics.
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....
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)
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)
Phan, Anh Tuan; Ho, Duc Du; Hermann, Gilles; Wira, Patrice
2015-12-01
For power quality issues like reducing harmonic pollution, reactive power and load unbalance, the estimation of the fundamental frequency of a power lines in a fast and precise way is essential. This paper introduces a new state-space model to be used with an extended Kalman filter (EKF) for estimating the frequency of distorted power system signals in real-time. The proposed model takes into account all the characteristics of a general three-phase power system and mainly the unbalance. Therefore, the symmetrical components of the power system, i.e., their amplitude and phase angle values, can also be deduced at each iteration from the proposed state-space model. The effectiveness of the method has been evaluated. Results and comparisons of online frequency estimation and symmetrical components identification show the efficiency of the proposed method for disturbed and time-varying signals.
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....
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.
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.
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,
Calibration of sea ice dynamic parameters in an ocean-sea ice model using an ensemble Kalman filter
Massonnet, F.; Goosse, H.; Fichefet, T.; Counillon, F.
2014-07-01
The choice of parameter values is crucial in the course of sea ice model development, since parameters largely affect the modeled mean sea ice state. Manual tuning of parameters will soon become impractical, as sea ice models will likely include more parameters to calibrate, leading to an exponential increase of the number of possible combinations to test. Objective and automatic methods for parameter calibration are thus progressively called on to replace the traditional heuristic, "trial-and-error" recipes. Here a method for calibration of parameters based on the ensemble Kalman filter is implemented, tested and validated in the ocean-sea ice model NEMO-LIM3. Three dynamic parameters are calibrated: the ice strength parameter P*, the ocean-sea ice drag parameter Cw, and the atmosphere-sea ice drag parameter Ca. In twin, perfect-model experiments, the default parameter values are retrieved within 1 year of simulation. Using 2007-2012 real sea ice drift data, the calibration of the ice strength parameter P* and the oceanic drag parameter Cw improves clearly the Arctic sea ice drift properties. It is found that the estimation of the atmospheric drag Ca is not necessary if P* and Cw are already estimated. The large reduction in the sea ice speed bias with calibrated parameters comes with a slight overestimation of the winter sea ice areal export through Fram Strait and a slight improvement in the sea ice thickness distribution. Overall, the estimation of parameters with the ensemble Kalman filter represents an encouraging alternative to manual tuning for ocean-sea ice models.
Sun, Jin; Xu, Xiaosu; Liu, Yiting; Zhang, Tao; Li, Yao
2016-07-12
In order to reduce the influence of fiber optic gyroscope (FOG) random drift error on inertial navigation systems, an improved auto regressive (AR) model is put forward in this paper. First, based on real-time observations at each restart of the gyroscope, the model of FOG random drift can be established online. In the improved AR model, the FOG measured signal is employed instead of the zero mean signals. Then, the modified Sage-Husa adaptive Kalman filter (SHAKF) is introduced, which can directly carry out real-time filtering on the FOG signals. Finally, static and dynamic experiments are done to verify the effectiveness. The filtering results are analyzed with Allan variance. The analysis results show that the improved AR model has high fitting accuracy and strong adaptability, and the minimum fitting accuracy of single noise is 93.2%. Based on the improved AR(3) model, the denoising method of SHAKF is more effective than traditional methods, and its effect is better than 30%. The random drift error of FOG is reduced effectively, and the precision of the FOG is improved.
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.
Gharamti, M. E.
2015-05-11
The ensemble Kalman filter (EnKF) is a popular method for state-parameters estimation of subsurface flow and transport models based on field measurements. The common filtering procedure is to directly update the state and parameters as one single vector, which is known as the Joint-EnKF. In this study, we follow the one-step-ahead smoothing formulation of the filtering problem, to derive a new joint-based EnKF which involves a smoothing step of the state between two successive analysis steps. The new state-parameters estimation scheme is derived in a consistent Bayesian filtering framework and results in separate update steps for the state and the parameters. This new algorithm bears strong resemblance with the Dual-EnKF, but unlike the latter which first propagates the state with the model then updates it with the new observation, the proposed scheme starts by an update step, followed by a model integration step. We exploit this new formulation of the joint filtering problem and propose an efficient model-integration-free iterative procedure on the update step of the parameters only for further improved performances. Numerical experiments are conducted with a two-dimensional synthetic subsurface transport model simulating the migration of a contaminant plume in a heterogenous aquifer domain. Contaminant concentration data are assimilated to estimate both the contaminant state and the hydraulic conductivity field. Assimilation runs are performed under imperfect modeling conditions and various observational scenarios. Simulation results suggest that the proposed scheme efficiently recovers both the contaminant state and the aquifer conductivity, providing more accurate estimates than the standard Joint and Dual EnKFs in all tested scenarios. Iterating on the update step of the new scheme further enhances the proposed filter’s behavior. In term of computational cost, the new Joint-EnKF is almost equivalent to that of the Dual-EnKF, but requires twice more model
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.
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.
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
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 ...
Fire spread estimation on forest wildfire using ensemble kalman filter
Syarifah, Wardatus; Apriliani, Erna
2018-04-01
Wildfire is one of the most frequent disasters in the world, for example forest wildfire, causing population of forest decrease. Forest wildfire, whether naturally occurring or prescribed, are potential risks for ecosystems and human settlements. These risks can be managed by monitoring the weather, prescribing fires to limit available fuel, and creating firebreaks. With computer simulations we can predict and explore how fires may spread. The model of fire spread on forest wildfire was established to determine the fire properties. The fire spread model is prepared based on the equation of the diffusion reaction model. There are many methods to estimate the spread of fire. The Kalman Filter Ensemble Method is a modified estimation method of the Kalman Filter algorithm that can be used to estimate linear and non-linear system models. In this research will apply Ensemble Kalman Filter (EnKF) method to estimate the spread of fire on forest wildfire. Before applying the EnKF method, the fire spread model will be discreted using finite difference method. At the end, the analysis obtained illustrated by numerical simulation using software. The simulation results show that the Ensemble Kalman Filter method is closer to the system model when the ensemble value is greater, while the covariance value of the system model and the smaller the measurement.
Directory of Open Access Journals (Sweden)
I. Hoteit
2003-01-01
Full Text Available A singular evolutive extended Kalman (SEEK filter is used to assimilate real in situ data in a water column marine ecosystem model. The biogeochemistry of the ecosystem is described by the European Regional Sea Ecosystem Model (ERSEM, while the physical forcing is described by the Princeton Ocean Model (POM. In the SEEK filter, the error statistics are parameterized by means of a suitable basis of empirical orthogonal functions (EOFs. The purpose of this contribution is to track the possibility of using data assimilation techniques for state estimation in marine ecosystem models. In the experiments, real oxygen and nitrate data are used and the results evaluated against independent chlorophyll data. These data were collected from an offshore station at three different depths for the needs of the MFSPP project. The assimilation results show a continuous decrease in the estimation error and a clear improvement in the model behavior. Key words. Oceanography: general (ocean prediction; numerical modelling – Oceanography: biological and chemical (ecosystems and ecology
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.
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.
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
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.
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.
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.
Fukumori, Ichiro; Malanotte-Rizzoli, Paola
1995-04-01
A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kaiman filter based on approximations of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudomeasurements are examined, including velocity, density, and volume transport at localized arrays and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform an empirical nudging scheme used in a previous study. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.
Caiazzo, A; Caforio, Federica; Montecinos, Gino; Muller, Lucas O; Blanco, Pablo J; Toro, Eluterio F
2016-10-25
This work presents a detailed investigation of a parameter estimation approach on the basis of the reduced-order unscented Kalman filter (ROUKF) in the context of 1-dimensional blood flow models. In particular, the main aims of this study are (1) to investigate the effects of using real measurements versus synthetic data for the estimation procedure (i.e., numerical results of the same in silico model, perturbed with noise) and (2) to identify potential difficulties and limitations of the approach in clinically realistic applications to assess the applicability of the filter to such setups. For these purposes, the present numerical study is based on a recently published in vitro model of the arterial network, for which experimental flow and pressure measurements are available at few selected locations. To mimic clinically relevant situations, we focus on the estimation of terminal resistances and arterial wall parameters related to vessel mechanics (Young's modulus and wall thickness) using few experimental observations (at most a single pressure or flow measurement per vessel). In all cases, we first perform a theoretical identifiability analysis on the basis of the generalized sensitivity function, comparing then the results owith the ROUKF, using either synthetic or experimental data, to results obtained using reference parameters and to available measurements. Copyright © 2016 John Wiley & Sons, Ltd.
International Nuclear Information System (INIS)
Truong, Dinh Quang; Ahn, Kyoung Kwan
2014-01-01
An ion polymer metal composite (IPMC) is an electroactive polymer that bends in response to a small applied electric field as a result of mobility of cations in the polymer network and vice versa. This paper presents an innovative and accurate nonlinear black-box model (NBBM) for estimating the bending behavior of IPMC actuators. The model is constructed via a general multilayer perceptron neural network (GMLPNN) integrated with a smart learning mechanism (SLM) that is based on an extended Kalman filter with self-decoupling ability (SDEKF). Here the GMLPNN is built with an ability to autoadjust its structure based on its characteristic vector. Furthermore, by using the SLM based on the SDEKF, the GMLPNN parameters are optimized with small computational effort, and the modeling accuracy is improved. An apparatus employing an IPMC actuator is first set up to investigate the IPMC characteristics and to generate the data for training and validating the model. The advanced NBBM model for the IPMC system is then created with the proper inputs to estimate IPMC tip displacement. Next, the model is optimized using the SLM mechanism with the training data. Finally, the optimized NBBM model is verified with the validating data. A comparison between this model and the previously developed model is also carried out to prove the effectiveness of the proposed modeling technique. (paper)
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 ...
Directory of Open Access Journals (Sweden)
Ines Baccouche
2017-05-01
Full Text Available Accurate modeling of the nonlinear relationship between the open circuit voltage (OCV and the state of charge (SOC is required for adaptive SOC estimation during the lithium-ion (Li-ion battery operation. Online SOC estimation should meet several constraints, such as the computational cost, the number of parameters, as well as the accuracy of the model. In this paper, these challenges are considered by proposing an improved simplified and accurate OCV model of a nickel manganese cobalt (NMC Li-ion battery, based on an empirical analytical characterization approach. In fact, composed of double exponential and simple quadratic functions containing only five parameters, the proposed model accurately follows the experimental curve with a minor fitting error of 1 mV. The model is also valid at a wide temperature range and takes into account the voltage hysteresis of the OCV. Using this model in SOC estimation by the extended Kalman filter (EKF contributes to minimizing the execution time and to reducing the SOC estimation error to only 3% compared to other existing models where the estimation error is about 5%. Experiments are also performed to prove that the proposed OCV model incorporated in the EKF estimator exhibits good reliability and precision under various loading profiles and temperatures.
International Nuclear Information System (INIS)
Moura, Fernando S; Aya, Julio C C; Lima, Raul G; Fleury, Agenor T
2008-01-01
One of the electrical impedance tomography objectives is to estimate the electrical resistivity distribution in a domain based only on contour electrical potential measurements caused by an imposed electrical current distribution into the boundary. In biomedical applications, the random walk model is frequently used as evolution model and, under this conditions, it is observed poor tracking ability of the Extended Kalman Filter (EKF). An analytically developed evolution model is not feasible at this moment. The present work investigates the possibility of identifying the evolution model in parallel to the EKF and updating the evolution model with certain periodicity. The evolution model is identified using the history of resistivity distribution obtained by a sensitivity matrix based algorithm. To numerically identify the linear evolution model, it is used the Ibrahim Time Domain Method, normally used to identify the transition matrix on structural dynamics. The investigation was performed by numerical simulations of a time varying domain with the addition of noise. Numerical dificulties to compute the transition matrix were solved using a Tikhonov regularization. The EKF numerical simulations suggest that the tracking ability is significantly improved.
Rastetter, Edward B; Williams, Mathew; Griffin, Kevin L; Kwiatkowski, Bonnie L; Tomasky, Gabrielle; Potosnak, Mark J; Stoy, Paul C; Shaver, Gaius R; Stieglitz, Marc; Hobbie, John E; Kling, George W
2010-07-01
Continuous time-series estimates of net ecosystem carbon exchange (NEE) are routinely made using eddy covariance techniques. Identifying and compensating for errors in the NEE time series can be automated using a signal processing filter like the ensemble Kalman filter (EnKF). The EnKF compares each measurement in the time series to a model prediction and updates the NEE estimate by weighting the measurement and model prediction relative to a specified measurement error estimate and an estimate of the model-prediction error that is continuously updated based on model predictions of earlier measurements in the time series. Because of the covariance among model variables, the EnKF can also update estimates of variables for which there is no direct measurement. The resulting estimates evolve through time, enabling the EnKF to be used to estimate dynamic variables like changes in leaf phenology. The evolving estimates can also serve as a means to test the embedded model and reconcile persistent deviations between observations and model predictions. We embedded a simple arctic NEE model into the EnKF and filtered data from an eddy covariance tower located in tussock tundra on the northern foothills of the Brooks Range in northern Alaska, USA. The model predicts NEE based only on leaf area, irradiance, and temperature and has been well corroborated for all the major vegetation types in the Low Arctic using chamber-based data. This is the first application of the model to eddy covariance data. We modified the EnKF by adding an adaptive noise estimator that provides a feedback between persistent model data deviations and the noise added to the ensemble of Monte Carlo simulations in the EnKF. We also ran the EnKF with both a specified leaf-area trajectory and with the EnKF sequentially recalibrating leaf-area estimates to compensate for persistent model-data deviations. When used together, adaptive noise estimation and sequential recalibration substantially improved 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.
Connolly, Joseph W.; Csank, Jeffrey Thomas; Chicatelli, Amy; Kilver, Jacob
2013-01-01
This paper covers the development of a model-based engine control (MBEC) methodology featuring a self tuning on-board model applied to an aircraft turbofan engine simulation. Here, the Commercial Modular Aero-Propulsion System Simulation 40,000 (CMAPSS40k) serves as the MBEC application engine. CMAPSS40k is capable of modeling realistic engine performance, allowing for a verification of the MBEC over a wide range of operating points. The on-board model is a piece-wise linear model derived from CMAPSS40k and updated using an optimal tuner Kalman Filter (OTKF) estimation routine, which enables the on-board model to self-tune to account for engine performance variations. The focus here is on developing a methodology for MBEC with direct control of estimated parameters of interest such as thrust and stall margins. Investigations using the MBEC to provide a stall margin limit for the controller protection logic are presented that could provide benefits over a simple acceleration schedule that is currently used in traditional engine control architectures.
Directory of Open Access Journals (Sweden)
Hongxiao Yu
2015-05-01
Full Text Available Trajectory tracking and state estimation are significant in the motion planning and intelligent vehicle control. This article focuses on the model predictive control approach for the trajectory tracking of the intelligent vehicles and state estimation of the nonlinear vehicle system. The constraints of the system states are considered when applying the model predictive control method to the practical problem, while 4-degree-of-freedom vehicle model and unscented Kalman filter are proposed to estimate the vehicle states. The estimated states of the vehicle are used to provide model predictive control with real-time control and judge vehicle stability. Furthermore, in order to decrease the cost of solving the nonlinear optimization, the linear time-varying model predictive control is used at each time step. The effectiveness of the proposed vehicle state estimation and model predictive control method is tested by driving simulator. The results of simulations and experiments show that great and robust performance is achieved for trajectory tracking and state estimation in different scenarios.
Ballabrera-Poy, Joaquim; Busalacchi, Antonio J.; Murtugudde, Ragu
2000-01-01
A reduced order Kalman Filter, based on a simplification of the Singular Evolutive Extended Kalman (SEEK) filter equations, is used to assimilate observed fields of the surface wind stress, sea surface temperature and sea level into the nonlinear coupled ocean-atmosphere model. The SEEK filter projects the Kalman Filter equations onto a subspace defined by the eigenvalue decomposition of the error forecast matrix, allowing its application to high dimensional systems. The Zebiak and Cane model couples a linear reduced gravity ocean model with a single vertical mode atmospheric model of Zebiak. The compatibility between the simplified physics of the model and each observed variable is studied separately and together. The results show the ability of the model to represent the simultaneous value of the wind stress, SST and sea level, when the fields are limited to the latitude band 10 deg S - 10 deg N. In this first application of the Kalman Filter to a coupled ocean-atmosphere prediction model, the sea level fields are assimilated in terms of the Kelvin and Rossby modes of the thermocline depth anomaly. An estimation of the error of these modes is derived from the projection of an estimation of the sea level error over such modes. This method gives a value of 12 for the error of the Kelvin amplitude, and 6 m of error for the Rossby component of the thermocline depth. The ability of the method to reconstruct the state of the equatorial Pacific and predict its time evolution is demonstrated. The method is shown to be quite robust for predictions I up to six months, and able to predict the onset of the 1997 warm event fifteen months before its occurrence.
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.
Keppenne, Christian L.; Rienecker, Michele; Borovikov, Anna Y.; Suarez, Max
1999-01-01
A massively parallel ensemble Kalman filter (EnKF)is used to assimilate temperature data from the TOGA/TAO array and altimetry from TOPEX/POSEIDON into a Pacific basin version of the NASA Seasonal to Interannual Prediction Project (NSIPP)ls quasi-isopycnal ocean general circulation model. The EnKF is an approximate Kalman filter in which the error-covariance propagation step is modeled by the integration of multiple instances of a numerical model. An estimate of the true error covariances is then inferred from the distribution of the ensemble of model state vectors. This inplementation of the filter takes advantage of the inherent parallelism in the EnKF algorithm by running all the model instances concurrently. The Kalman filter update step also occurs in parallel by having each processor process the observations that occur in the region of physical space for which it is responsible. The massively parallel data assimilation system is validated by withholding some of the data and then quantifying the extent to which the withheld information can be inferred from the assimilation of the remaining data. The distributions of the forecast and analysis error covariances predicted by the ENKF are also examined.
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
Gharamti, M. E.; Kadoura, A.; Valstar, J.; Sun, S.; Hoteit, Ibrahim
2014-01-01
Isothermal compositional flow models require coupling transient compressible flows and advective transport systems of various chemical species in subsurface porous media. Building such numerical models is quite challenging and may be subject to many sources of uncertainties because of possible incomplete representation of some geological parameters that characterize the system's processes. Advanced data assimilation methods, such as the ensemble Kalman filter (EnKF), can be used to calibrate these models by incorporating available data. In this work, we consider the problem of estimating reservoir permeability using information about phase pressure as well as the chemical properties of fluid components. We carry out state-parameter estimation experiments using joint and dual updating schemes in the context of the EnKF with a two-dimensional single-phase compositional flow model (CFM). Quantitative and statistical analyses are performed to evaluate and compare the performance of the assimilation schemes. Our results indicate that including chemical composition data significantly enhances the accuracy of the permeability estimates. In addition, composition data provide more information to estimate system states and parameters than do standard pressure data. The dual state-parameter estimation scheme provides about 10% more accurate permeability estimates on average than the joint scheme when implemented with the same ensemble members, at the cost of twice more forward model integrations. At similar computational cost, the dual approach becomes only beneficial after using large enough ensembles.
Gharamti, M. E.
2014-03-01
Isothermal compositional flow models require coupling transient compressible flows and advective transport systems of various chemical species in subsurface porous media. Building such numerical models is quite challenging and may be subject to many sources of uncertainties because of possible incomplete representation of some geological parameters that characterize the system\\'s processes. Advanced data assimilation methods, such as the ensemble Kalman filter (EnKF), can be used to calibrate these models by incorporating available data. In this work, we consider the problem of estimating reservoir permeability using information about phase pressure as well as the chemical properties of fluid components. We carry out state-parameter estimation experiments using joint and dual updating schemes in the context of the EnKF with a two-dimensional single-phase compositional flow model (CFM). Quantitative and statistical analyses are performed to evaluate and compare the performance of the assimilation schemes. Our results indicate that including chemical composition data significantly enhances the accuracy of the permeability estimates. In addition, composition data provide more information to estimate system states and parameters than do standard pressure data. The dual state-parameter estimation scheme provides about 10% more accurate permeability estimates on average than the joint scheme when implemented with the same ensemble members, at the cost of twice more forward model integrations. At similar computational cost, the dual approach becomes only beneficial after using large enough ensembles.
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
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].
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.
Luo, Yong; Wu, Wenqi; Babu, Ravindra; Tang, Kanghua; Luo, Bing
2012-01-01
COMPASS is an indigenously developed Chinese global navigation satellite system and will share many features in common with GPS (Global Positioning System). Since the ultra-tight GPS/INS (Inertial Navigation System) integration shows its advantage over independent GPS receivers in many scenarios, the federated ultra-tight COMPASS/INS integration has been investigated in this paper, particularly, by proposing a simplified prefilter model. Compared with a traditional prefilter model, the state space of this simplified system contains only carrier phase, carrier frequency and carrier frequency rate tracking errors. A two-quadrant arctangent discriminator output is used as a measurement. Since the code tracking error related parameters were excluded from the state space of traditional prefilter models, the code/carrier divergence would destroy the carrier tracking process, and therefore an adaptive Kalman filter algorithm tuning process noise covariance matrix based on state correction sequence was incorporated to compensate for the divergence. The federated ultra-tight COMPASS/INS integration was implemented with a hardware COMPASS intermediate frequency (IF), and INS's accelerometers and gyroscopes signal sampling system. Field and simulation test results showed almost similar tracking and navigation performances for both the traditional prefilter model and the proposed system; however, the latter largely decreased the computational load. PMID:23012564
Directory of Open Access Journals (Sweden)
MEHDI AMIAN
2013-10-01
Full Text Available Functional near infrared spectroscopy (fNIRS is a technique that is used for noninvasive measurement of the oxyhemoglobin (HbO2 and deoxyhemoglobin (HHb concentrations in the brain tissue. Since the ratio of the concentration of these two agents is correlated with the neuronal activity, fNIRS can be used for the monitoring and quantifying the cortical activity. The portability of fNIRS makes it a good candidate for studies involving subject's movement. The fNIRS measurements, however, are sensitive to artifacts generated by subject's head motion. This makes fNIRS signals less effective in such applications. In this paper, the autoregressive moving average (ARMA modeling of the fNIRS signal is proposed for state-space representation of the signal which is then fed to the Kalman filter for estimating the motionless signal from motion corrupted signal. Results are compared to the autoregressive model (AR based approach, which has been done previously, and show that the ARMA models outperform AR models. We attribute it to the richer structure, containing more terms indeed, of ARMA than AR. We show that the signal to noise ratio (SNR is about 2 dB higher for ARMA based method.
Directory of Open Access Journals (Sweden)
Bing Luo
2012-07-01
Full Text Available COMPASS is an indigenously developed Chinese global navigation satellite system and will share many features in common with GPS (Global Positioning System. Since the ultra-tight GPS/INS (Inertial Navigation System integration shows its advantage over independent GPS receivers in many scenarios, the federated ultra-tight COMPASS/INS integration has been investigated in this paper, particularly, by proposing a simplified prefilter model. Compared with a traditional prefilter model, the state space of this simplified system contains only carrier phase, carrier frequency and carrier frequency rate tracking errors. A two-quadrant arctangent discriminator output is used as a measurement. Since the code tracking error related parameters were excluded from the state space of traditional prefilter models, the code/carrier divergence would destroy the carrier tracking process, and therefore an adaptive Kalman filter algorithm tuning process noise covariance matrix based on state correction sequence was incorporated to compensate for the divergence. The federated ultra-tight COMPASS/INS integration was implemented with a hardware COMPASS intermediate frequency (IF, and INS’s accelerometers and gyroscopes signal sampling system. Field and simulation test results showed almost similar tracking and navigation performances for both the traditional prefilter model and the proposed system; however, the latter largely decreased the computational load.
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
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.
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.
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Mónica A Silva
Full Text Available Argos recently implemented a new algorithm to calculate locations of satellite-tracked animals that uses a Kalman filter (KF. The KF algorithm is reported to increase the number and accuracy of estimated positions over the traditional Least Squares (LS algorithm, with potential advantages to the application of state-space methods to model animal movement data. We tested the performance of two Bayesian state-space models (SSMs fitted to satellite tracking data processed with KF algorithm. Tracks from 7 harbour seals (Phoca vitulina tagged with ARGOS satellite transmitters equipped with Fastloc GPS loggers were used to calculate the error of locations estimated from SSMs fitted to KF and LS data, by comparing those to "true" GPS locations. Data on 6 fin whales (Balaenoptera physalus were used to investigate consistency in movement parameters, location and behavioural states estimated by switching state-space models (SSSM fitted to data derived from KF and LS methods. The model fit to KF locations improved the accuracy of seal trips by 27% over the LS model. 82% of locations predicted from the KF model and 73% of locations from the LS model were <5 km from the corresponding interpolated GPS position. Uncertainty in KF model estimates (5.6 ± 5.6 km was nearly half that of LS estimates (11.6 ± 8.4 km. Accuracy of KF and LS modelled locations was sensitive to precision but not to observation frequency or temporal resolution of raw Argos data. On average, 88% of whale locations estimated by KF models fell within the 95% probability ellipse of paired locations from LS models. Precision of KF locations for whales was generally higher. Whales' behavioural mode inferred by KF models matched the classification from LS models in 94% of the cases. State-space models fit to KF data can improve spatial accuracy of location estimates over LS models and produce equally reliable behavioural estimates.
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.
Leroux, Romain; Chatellier, Ludovic; David, Laurent
2018-01-01
This article is devoted to the estimation of time-resolved particle image velocimetry (TR-PIV) flow fields using a time-resolved point measurements of a voltage signal obtained by hot-film anemometry. A multiple linear regression model is first defined to map the TR-PIV flow fields onto the voltage signal. Due to the high temporal resolution of the signal acquired by the hot-film sensor, the estimates of the TR-PIV flow fields are obtained with a multiple linear regression method called orthonormalized partial least squares regression (OPLSR). Subsequently, this model is incorporated as the observation equation in an ensemble Kalman filter (EnKF) applied on a proper orthogonal decomposition reduced-order model to stabilize it while reducing the effects of the hot-film sensor noise. This method is assessed for the reconstruction of the flow around a NACA0012 airfoil at a Reynolds number of 1000 and an angle of attack of {20}°. Comparisons with multi-time delay-modified linear stochastic estimation show that both the OPLSR and EnKF combined with OPLSR are more accurate as they produce a much lower relative estimation error, and provide a faithful reconstruction of the time evolution of the velocity flow fields.
Reservoir History Matching Using Ensemble Kalman Filters with Anamorphosis Transforms
Aman, Beshir M.
2012-12-01
This work aims to enhance the Ensemble Kalman Filter performance by transforming the non-Gaussian state variables into Gaussian variables to be a step closer to optimality. This is done by using univariate and multivariate Box-Cox transformation. Some History matching methods such as Kalman filter, particle filter and the ensemble Kalman filter are reviewed and applied to a test case in the reservoir application. The key idea is to apply the transformation before the update step and then transform back after applying the Kalman correction. In general, the results of the multivariate method was promising, despite the fact it over-estimated some variables.
Kalman 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.
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
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.
Weighted ensemble transform Kalman filter for image assimilation
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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.
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Véronique Bouzaglou
2018-03-01
Full Text Available Seawater intrusion in coastal aquifers is a worldwide problem exacerbated by aquifer overexploitation and climate changes. To limit the deterioration of water quality caused by saline intrusion, research studies are needed to identify and assess the performance of possible countermeasures, e.g., underground barriers. Within this context, numerical models are fundamental to fully understand the process and for evaluating the effectiveness of the proposed solutions to contain the saltwater wedge; on the other hand, they are typically affected by uncertainty on hydrogeological parameters, as well as initial and boundary conditions. Data assimilation methods such as the ensemble Kalman filter (EnKF represent promising tools that can reduce such uncertainties. Here, we present an application of the EnKF to the numerical modeling of a laboratory experiment where seawater intrusion was reproduced in a specifically designed sandbox and continuously monitored with electrical resistivity tomography (ERT. Combining EnKF and the SUTRA model for the simulation of density-dependent flow and transport in porous media, we assimilated the collected ERT data by means of joint and sequential assimilation approaches. In the joint approach, raw ERT data (electrical resistances are assimilated to update both salt concentration and soil parameters, without the need for an electrical inversion. In the sequential approach, we assimilated electrical conductivities computed from a previously performed electrical inversion. Within both approaches, we suggest dual-step update strategies to minimize the effects of spurious correlations in parameter estimation. The results show that, in both cases, ERT data assimilation can reduce the uncertainty not only on the system state in terms of salt concentration, but also on the most relevant soil parameters, i.e., saturated hydraulic conductivity and longitudinal dispersivity. However, the sequential approach is more prone to
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...
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.
Series load induction heating inverter state estimator using Kalman filter
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Szelitzky T.
2011-12-01
Full Text Available LQR and H2 controllers require access to the states of the controlled system. The method based on description function with Fourier series results in a model with immeasurable states. For this reason, we proposed a Kalman filter based state estimator, which not only filters the input signals, but also computes the unobservable states of the system. The algorithm of the filter was implemented in LabVIEW v8.6 and tested on recorded data obtained from a 10-40 kHz series load frequency controlled induction heating inverter.
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.
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...
Localization of Wheeled Mobile Robot Based on Extended Kalman Filtering
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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.
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).
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.
Williams, J. L.; Maxwell, R. M.; Delle Monache, L.
2012-12-01
Wind power is rapidly gaining prominence as a major source of renewable energy. Harnessing this promising energy source is challenging because of the chaotic nature of wind and its propensity to change speed and direction over short time scales. Accurate forecasting tools are critical to support the integration of wind energy into power grids and to maximize its impact on renewable energy portfolios. Numerous studies have shown that soil moisture distribution and land surface vegetative processes profoundly influence atmospheric boundary layer development and weather processes on local and regional scales. Using the PF.WRF model, a fully-coupled hydrologic and atmospheric model employing the ParFlow hydrologic model with the Weather Research and Forecasting model coupled via mass and energy fluxes across the land surface, we have explored the connections between the land surface and the atmosphere in terms of land surface energy flux partitioning and coupled variable fields including hydraulic conductivity, soil moisture and wind speed, and demonstrated that reductions in uncertainty in these coupled fields propagate through the hydrologic and atmospheric system. We have adapted the Data Assimilation Research Testbed (DART), an implementation of the robust Ensemble Kalman Filter data assimilation algorithm, to expand our capability to nudge forecasts produced with the PF.WRF model using observational data. Using a semi-idealized simulation domain, we examine the effects of assimilating observations of variables such as wind speed and temperature collected in the atmosphere, and land surface and subsurface observations such as soil moisture on the quality of forecast outputs. The sensitivities we find in this study will enable further studies to optimize observation collection to maximize the utility of the PF.WRF-DART forecasting system.
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
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.
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...
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
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
Mixed-Degree Spherical Simplex-Radial Cubature Kalman Filter
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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.
Barber, Jared; Tanase, Roxana; Yotov, Ivan
2016-06-01
Several Kalman filter algorithms are presented for data assimilation and parameter estimation for a nonlinear diffusion model of epithelial cell migration. These include the ensemble Kalman filter with Monte Carlo sampling and a stochastic collocation (SC) Kalman filter with structured sampling. Further, two types of noise are considered -uncorrelated noise resulting in one stochastic dimension for each element of the spatial grid and correlated noise parameterized by the Karhunen-Loeve (KL) expansion resulting in one stochastic dimension for each KL term. The efficiency and accuracy of the four methods are investigated for two cases with synthetic data with and without noise, as well as data from a laboratory experiment. While it is observed that all algorithms perform reasonably well in matching the target solution and estimating the diffusion coefficient and the growth rate, it is illustrated that the algorithms that employ SC and KL expansion are computationally more efficient, as they require fewer ensemble members for comparable accuracy. In the case of SC methods, this is due to improved approximation in stochastic space compared to Monte Carlo sampling. In the case of KL methods, the parameterization of the noise results in a stochastic space of smaller dimension. The most efficient method is the one combining SC and KL expansion. Copyright © 2016 Elsevier Inc. All rights reserved.
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...
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.
The Kalman Filter Revisited Using Maximum Relative Entropy
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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.
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.
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.
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
Dual states estimation of a subsurface flow-transport coupled model using ensemble Kalman filtering
El Gharamti, Mohamad; Hoteit, Ibrahim; Valstar, Johan R.
2013-01-01
Modeling the spread of subsurface contaminants requires coupling a groundwater flow model with a contaminant transport model. Such coupling may provide accurate estimates of future subsurface hydrologic states if essential flow and contaminant data
El Gharamti, Mohamad; Hoteit, Ibrahim; Sun, Shuyu
2012-01-01
Accurate knowledge of the movement of contaminants in porous media is essential to track their trajectory and later extract them from the aquifer. A two-dimensional flow model is implemented and then applied on a linear contaminant transport model
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.
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.
Directory of Open Access Journals (Sweden)
Francois Counillon
2014-03-01
Full Text Available Here, we firstly demonstrate the potential of an advanced flow dependent data assimilation method for performing seasonal-to-decadal prediction and secondly, reassess the use of sea surface temperature (SST for initialisation of these forecasts. We use the Norwegian Climate Prediction Model (NorCPM, which is based on the Norwegian Earth System Model (NorESM and uses the deterministic ensemble Kalman filter to assimilate observations. NorESM is a fully coupled system based on the Community Earth System Model version 1, which includes an ocean, an atmosphere, a sea ice and a land model. A numerically efficient coarse resolution version of NorESM is used. We employ a twin experiment methodology to provide an upper estimate of predictability in our model framework (i.e. without considering model bias of NorCPM that assimilates synthetic monthly SST data (EnKF-SST. The accuracy of EnKF-SST is compared to an unconstrained ensemble run (FREE and ensemble predictions made with near perfect (i.e. microscopic SST perturbation initial conditions (PERFECT. We perform 10 cycles, each consisting of a 10-yr assimilation phase, followed by a 10-yr prediction. The results indicate that EnKF-SST improves sea level, ice concentration, 2 m atmospheric temperature, precipitation and 3-D hydrography compared to FREE. Improvements for the hydrography are largest near the surface and are retained for longer periods at depth. Benefits in salinity are retained for longer periods compared to temperature. Near-surface improvements are largest in the tropics, while improvements at intermediate depths are found in regions of large-scale currents, regions of deep convection, and at the Mediterranean Sea outflow. However, the benefits are often small compared to PERFECT, in particular, at depth suggesting that more observations should be assimilated in addition to SST. The EnKF-SST system is also tested for standard ocean circulation indices and demonstrates decadal
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.
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.
Performance of unscented Kalman filter tractography in edema: Analysis of the two-tensor model
Directory of Open Access Journals (Sweden)
Ruizhi Liao
2017-01-01
Overall, the main contribution of this study is to provide insight into how UKF tractography can work, using a two-tensor model, to begin to address the challenge of fiber tract reconstruction in edematous regions near brain tumors.
Celaya, Jose R.; Saxen, Abhinav; Goebel, Kai
2012-01-01
This article discusses several aspects of uncertainty representation and management for model-based prognostics methodologies based on our experience with Kalman Filters when applied to prognostics for electronics components. In particular, it explores the implications of modeling remaining useful life prediction as a stochastic process and how it relates to uncertainty representation, management, and the role of prognostics in decision-making. A distinction between the interpretations of estimated remaining useful life probability density function and the true remaining useful life probability density function is explained and a cautionary argument is provided against mixing interpretations for the two while considering prognostics in making critical decisions.
Applying Kalman filtering to investigate tropospheric effects in VLBI
Soja, Benedikt; Nilsson, Tobias; Karbon, Maria; Heinkelmann, Robert; Liu, Li; Lu, Cuixian; Andres Mora-Diaz, Julian; Raposo-Pulido, Virginia; Xu, Minghui; Schuh, Harald
2014-05-01
Very Long Baseline Interferometry (VLBI) currently provides results, e.g., estimates of the tropospheric delays, with a delay of more than two weeks. In the future, with the coming VLBI2010 Global Observing System (VGOS) and increased usage of electronic data transfer, it is planned that the time between observations and results is decreased. This may, for instance, allow the integration of VLBI-derived tropospheric delays into numerical weather prediction models. Therefore, future VLBI analysis software packages need to be able to process the observational data autonomously in near real-time. For this purpose, we have extended the Vienna VLBI Software (VieVS) by a Kalman filter module. This presentation describes the filter and discusses its application for tropospheric studies. Instead of estimating zenith wet delays as piece-wise linear functions in a least-squares adjustment, the Kalman filter allows for more sophisticated stochastic modeling. We start with a random walk process to model the time-dependent behavior of the zenith wet delays. Other possible approaches include the stochastic model described by turbulence theory, e.g. the model by Treuhaft and Lanyi (1987). Different variance-covariance matrices of the prediction error, depending on the time of the year and the geographic latitude, have been tested. In winter and closer to the poles, lower variances and covariances are appropriate. The horizontal variations in tropospheric delays have been investigated by comparing three different strategies: assumption of a horizontally stratified troposphere, using north and south gradients modeled, e.g., as Gauss-Markov processes, and applying a turbulence model assuming correlations between observations in different azimuths. By conducting Monte-Carlo simulations of current standard VLBI networks and of future VGOS networks, the different tropospheric modeling strategies are investigated. For this purpose, we use the simulator module of VieVS which takes into
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%.
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.
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…
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.
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.
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.
Directory of Open Access Journals (Sweden)
H. Zhang
2017-09-01
Full Text Available Land surface models (LSMs use a large cohort of parameters and state variables to simulate the water and energy balance at the soil–atmosphere interface. Many of these model parameters cannot be measured directly in the field, and require calibration against measured fluxes of carbon dioxide, sensible and/or latent heat, and/or observations of the thermal and/or moisture state of the soil. Here, we evaluate the usefulness and applicability of four different data assimilation methods for joint parameter and state estimation of the Variable Infiltration Capacity Model (VIC-3L and the Community Land Model (CLM using a 5-month calibration (assimilation period (March–July 2012 of areal-averaged SPADE soil moisture measurements at 5, 20, and 50 cm depths in the Rollesbroich experimental test site in the Eifel mountain range in western Germany. We used the EnKF with state augmentation or dual estimation, respectively, and the residual resampling PF with a simple, statistically deficient, or more sophisticated, MCMC-based parameter resampling method. The performance of the calibrated LSM models was investigated using SPADE water content measurements of a 5-month evaluation period (August–December 2012. As expected, all DA methods enhance the ability of the VIC and CLM models to describe spatiotemporal patterns of moisture storage within the vadose zone of the Rollesbroich site, particularly if the maximum baseflow velocity (VIC or fractions of sand, clay, and organic matter of each layer (CLM are estimated jointly with the model states of each soil layer. The differences between the soil moisture simulations of VIC-3L and CLM are much larger than the discrepancies among the four data assimilation methods. The EnKF with state augmentation or dual estimation yields the best performance of VIC-3L and CLM during the calibration and evaluation period, yet results are in close agreement with the PF using MCMC resampling. Overall, CLM demonstrated the
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.
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.
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.
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.
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.
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...
Chowdhury, Amor; Sarjaš, Andrej
2016-09-15
The presented paper describes accurate distance measurement for a field-sensed magnetic suspension system. The proximity measurement is based on a Hall effect sensor. The proximity sensor is installed directly on the lower surface of the electro-magnet, which means that it is very sensitive to external magnetic influences and disturbances. External disturbances interfere with the information signal and reduce the usability and reliability of the proximity measurements and, consequently, the whole application operation. A sensor fusion algorithm is deployed for the aforementioned reasons. The sensor fusion algorithm is based on the Unscented Kalman Filter, where a nonlinear dynamic model was derived with the Finite Element Modelling approach. The advantage of such modelling is a more accurate dynamic model parameter estimation, especially in the case when the real structure, materials and dimensions of the real-time application are known. The novelty of the paper is the design of a compact electro-magnetic actuator with a built-in low cost proximity sensor for accurate proximity measurement of the magnetic object. The paper successively presents a modelling procedure with the finite element method, design and parameter settings of a sensor fusion algorithm with Unscented Kalman Filter and, finally, the implementation procedure and results of real-time operation.
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.
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
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...
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.
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.
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.
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...
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.
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.
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
He, L.; Chen, J. M.; Liu, J.; Mo, G.; Zhen, T.; Chen, B.; Wang, R.; Arain, M.
2013-12-01
Terrestrial ecosystem models have been widely used to simulate carbon, water and energy fluxes and climate-ecosystem interactions. In these models, some vegetation and soil parameters are determined based on limited studies from literatures without consideration of their seasonal variations. Data assimilation (DA) provides an effective way to optimize these parameters at different time scales . In this study, an ensemble Kalman filter (EnKF) is developed and applied to optimize two key parameters of an ecosystem model, namely the Boreal Ecosystem Productivity Simulator (BEPS): (1) the maximum photosynthetic carboxylation rate (Vcmax) at 25 °C, and (2) the soil water stress factor (fw) for stomatal conductance formulation. These parameters are optimized through assimilating observations of gross primary productivity (GPP) and latent heat (LE) fluxes measured in a 74 year-old pine forest, which is part of the Turkey Point Flux Station's age-sequence sites. Vcmax is related to leaf nitrogen concentration and varies slowly over the season and from year to year. In contrast, fw varies rapidly in response to soil moisture dynamics in the root-zone. Earlier studies suggested that DA of vegetation parameters at daily time steps leads to Vcmax values that are unrealistic. To overcome the problem, we developed a three-step scheme to optimize Vcmax and fw. First, the EnKF is applied daily to obtain precursor estimates of Vcmax and fw. Then Vcmax is optimized at different time scales assuming fw is unchanged from first step. The best temporal period or window size is then determined by analyzing the magnitude of the minimized cost-function, and the coefficient of determination (R2) and Root-mean-square deviation (RMSE) of GPP and LE between simulation and observation. Finally, the daily fw value is optimized for rain free days corresponding to the Vcmax curve from the best window size. The optimized fw is then used to model its relationship with soil moisture. We found that
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.
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.
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)
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.
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
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.
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.
International Nuclear Information System (INIS)
Kao, Jim; Flicker, Dawn; Ide, Kayo; Ghil, Michael
2006-01-01
This paper builds upon our recent data assimilation work with the extended Kalman filter (EKF) method [J. Kao, D. Flicker, R. Henninger, S. Frey, M. Ghil, K. Ide, Data assimilation with an extended Kalman filter for an impact-produced shock-wave study, J. Comp. Phys. 196 (2004) 705-723.]. The purpose is to test the capability of EKF in optimizing a model's physical parameters. The problem is to simulate the evolution of a shock produced through a high-speed flyer plate. In the earlier work, we have showed that the EKF allows one to estimate the evolving state of the shock wave from a single pressure measurement, assuming that all model parameters are known. In the present paper, we show that imperfectly known model parameters can also be estimated accordingly, along with the evolving model state, from the same single measurement. The model parameter optimization using the EKF can be achieved through a simple modification of the original EKF formalism by including the model parameters into an augmented state variable vector. While the regular state variables are governed by both deterministic and stochastic forcing mechanisms, the parameters are only subject to the latter. The optimally estimated model parameters are thus obtained through a unified assimilation operation. We show that improving the accuracy of the model parameters also improves the state estimate. The time variation of the optimized model parameters results from blending the data and the corresponding values generated from the model and lies within a small range, of less than 2%, from the parameter values of the original model. The solution computed with the optimized parameters performs considerably better and has a smaller total variance than its counterpart using the original time-constant parameters. These results indicate that the model parameters play a dominant role in the performance of the shock-wave hydrodynamic code at hand
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.
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.
Wang, Qian; Molenaar, Peter; Harsh, Saurabh; Freeman, Kenneth; Xie, Jinyu; Gold, Carol; Rovine, Mike; Ulbrecht, Jan
2014-03-01
An essential component of any artificial pancreas is on the prediction of blood glucose levels as a function of exogenous and endogenous perturbations such as insulin dose, meal intake, and physical activity and emotional tone under natural living conditions. In this article, we present a new data-driven state-space dynamic model with time-varying coefficients that are used to explicitly quantify the time-varying patient-specific effects of insulin dose and meal intake on blood glucose fluctuations. Using the 3-variate time series of glucose level, insulin dose, and meal intake of an individual type 1 diabetic subject, we apply an extended Kalman filter (EKF) to estimate time-varying coefficients of the patient-specific state-space model. We evaluate our empirical modeling using (1) the FDA-approved UVa/Padova simulator with 30 virtual patients and (2) clinical data of 5 type 1 diabetic patients under natural living conditions. Compared to a forgetting-factor-based recursive ARX model of the same order, the EKF model predictions have higher fit, and significantly better temporal gain and J index and thus are superior in early detection of upward and downward trends in glucose. The EKF based state-space model developed in this article is particularly suitable for model-based state-feedback control designs since the Kalman filter estimates the state variable of the glucose dynamics based on the measured glucose time series. In addition, since the model parameters are estimated in real time, this model is also suitable for adaptive control. © 2014 Diabetes Technology Society.
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
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
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.
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)
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.
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.
Li, Xue Jian; Mao, Fang Jie; Du, Hua Qiang; Zhou, Guo Mo; Xu, Xiao Jun; Li, Ping Heng; Liu, Yu Li; Cui, Lu
2016-12-01
LAI is one of the most important observation data in the research of carbon cycle of forest ecosystem, and it is also an important parameter to drive process-based ecosystem model. The Moso bamboo forest (MBF) and Lei bamboo forest (LBF) were selected as the study targets. Firstly, the MODIS LAI time series data during 2014-2015 was assimilated with Dual Ensemble Kalman Filter method. Secondly, the high quality assimilated MBF LAI and LBF LAI were used as input dataset to drive BEPS model for simulating the gross primary productivity (GPP), net ecosystem exchange (NEE) and total ecosystem respiration (TER) of the two types of bamboo forest ecosystem, respectively. The modeled carbon fluxes were evaluated by the observed carbon fluxes data, and the effects of different quality LAI inputs on carbon cycle simulation were also studied. The LAI assimilated using Dual Ensemble Kalman Filter of MBF and LBF were significantly correlated with the observed LAI, with high R 2 of 0.81 and 0.91 respectively, and lower RMSE and absolute bias, which represented the great improvement of the accuracy of MODIS LAI products. With the driving of assimilated LAI, the modeled GPP, NEE, and TER were also highly correlated with the flux observation data, with the R 2 of 0.66, 0.47, and 0.64 for MBF, respectively, and 0.66, 0.45, and 0.73 for LBF, respectively. The accuracy of carbon fluxes modeled with assimilated LAI was higher than that acquired by the locally adjusted cubic-spline capping method, in which, the accuracy of mo-deled NEE for MBF and LBF increased by 11.2% and 11.8% at the most degrees, respectively.
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...
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.
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
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.
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.
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.
Wei, Jingwen; Dong, Guangzhong; Chen, Zonghai
2017-10-01
With the rapid development of battery-powered electric vehicles, the lithium-ion battery plays a critical role in the reliability of vehicle system. In order to provide timely management and protection for battery systems, it is necessary to develop a reliable battery model and accurate battery parameters estimation to describe battery dynamic behaviors. Therefore, this paper focuses on an on-board adaptive model for state-of-charge (SOC) estimation of lithium-ion batteries. Firstly, a first-order equivalent circuit battery model is employed to describe battery dynamic characteristics. Then, the recursive least square algorithm and the off-line identification method are used to provide good initial values of model parameters to ensure filter stability and reduce the convergence time. Thirdly, an extended-Kalman-filter (EKF) is applied to on-line estimate battery SOC and model parameters. Considering that the EKF is essentially a first-order Taylor approximation of battery model, which contains inevitable model errors, thus, a proportional integral-based error adjustment technique is employed to improve the performance of EKF method and correct model parameters. Finally, the experimental results on lithium-ion batteries indicate that the proposed EKF with proportional integral-based error adjustment method can provide robust and accurate battery model and on-line parameter estimation.
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...
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
Kalaroni, Sofia; Tsiaras, Kostas; Economou-Amilli, Athena; Petihakis, George; Politikos, Dimitrios; Triantafyllou, George
2013-04-01
Within the framework of the European project OPEC (Operational Ecology), a data assimilation system was implemented to describe chlorophyll-a concentrations of the North Aegean, as well the impact on the European anchovy (Engraulis encrasicolus) biomass distribution provided by a bioenergetics model, related to the density of three low trophic level functional groups of zooplankton (heterotrophic flagellates, microzooplankton and mesozooplankton). The three-dimensional hydrodynamic-biogeochemical model comprises two on-line coupled sub-models: the Princeton Ocean Model (POM) and the European Regional Seas Ecosystem Model (ERSEM). The assimilation scheme is based on the Singular Evolutive Extended Kalman (SEEK) filter and its variant that uses a fixed correction base (SFEK). For the initialization, SEEK filter uses a reduced order error covariance matrix provided by the dominant Empirical Orthogonal Functions (EOF) of model. The assimilation experiments were performed for year 2003 using SeaWiFS chlorophyll-a data during which the physical model uses the atmospheric forcing obtained from the regional climate model HIRHAM5. The assimilation system is validated by assessing the relevance of the system in fitting the data, the impact of the assimilation on non-observed biochemical parameters and the overall quality of the forecasts.
Energy Technology Data Exchange (ETDEWEB)
Stetzel, KD; Aldrich, LL; Trimboli, MS; Plett, GL
2015-03-15
This paper addresses the problem of estimating the present value of electrochemical internal variables in a lithium-ion cell in real time, using readily available measurements of cell voltage, current, and temperature. The variables that can be estimated include any desired set of reaction flux and solid and electrolyte potentials and concentrations at any set of one-dimensional spatial locations, in addition to more standard quantities such as state of charge. The method uses an extended Kalman filter along with a one-dimensional physics-based reduced-order model of cell dynamics. Simulations show excellent and robust predictions having dependable error bounds for most internal variables. (C) 2014 Elsevier B.V. All rights reserved.
Directory of Open Access Journals (Sweden)
Yuanyuan Liu
2013-08-01
Full Text Available Accurate estimation of the state of charge (SOC of batteries is one of the key problems in a battery management system. This paper proposes an adaptive SOC estimation method based on unscented Kalman filter algorithms for lithium (Li-ion batteries. First, an enhanced battery model is proposed to include the impacts due to different discharge rates and temperatures. An adaptive joint estimation of the battery SOC and battery internal resistance is then presented to enhance system robustness with battery aging. The SOC estimation algorithm has been developed and verified through experiments on different types of Li-ion batteries. The results indicate that the proposed method provides an accurate SOC estimation and is computationally efficient, making it suitable for embedded system implementation.
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.
Signal reconstruction in wireless sensor networks based on a cubature Kalman particle filter
International Nuclear Information System (INIS)
Huang Jin-Wang; Feng Jiu-Chao
2014-01-01
For solving the issues of the signal reconstruction of nonlinear non-Gaussian signals in wireless sensor networks (WSNs), a new signal reconstruction algorithm based on a cubature Kalman particle filter (CKPF) is proposed in this paper. We model the reconstruction signal first and then use the CKPF to estimate the signal. The CKPF uses a cubature Kalman filter (CKF) to generate the importance proposal distribution of the particle filter and integrates the latest observation, which can approximate the true posterior distribution better. It can improve the estimation accuracy. CKPF uses fewer cubature points than the unscented Kalman particle filter (UKPF) and has less computational overheads. Meanwhile, CKPF uses the square root of the error covariance for iterating and is more stable and accurate than the UKPF counterpart. Simulation results show that the algorithm can reconstruct the observed signals quickly and effectively, at the same time consuming less computational time and with more accuracy than the method based on UKPF. (general)
Gauterin, Eckhard; Kammerer, Philipp; Kühn, Martin; Schulte, Horst
2016-05-01
Advanced model-based control of wind turbines requires knowledge of the states and the wind speed. This paper benchmarks a nonlinear Takagi-Sugeno observer for wind speed estimation with enhanced Kalman Filter techniques: The performance and robustness towards model-structure uncertainties of the Takagi-Sugeno observer, a Linear, Extended and Unscented Kalman Filter are assessed. Hence the Takagi-Sugeno observer and enhanced Kalman Filter techniques are compared based on reduced-order models of a reference wind turbine with different modelling details. The objective is the systematic comparison with different design assumptions and requirements and the numerical evaluation of the reconstruction quality of the wind speed. Exemplified by a feedforward loop employing the reconstructed wind speed, the benefit of wind speed estimation within wind turbine control is illustrated. Copyright © 2015 ISA. Published by Elsevier Ltd. All rights reserved.
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.
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.
Directory of Open Access Journals (Sweden)
O. Rakovec
2012-09-01
Full Text Available This paper presents a study on the optimal setup for discharge assimilation within a spatially distributed hydrological model. The Ensemble Kalman filter (EnKF is employed to update the grid-based distributed states of such an hourly spatially distributed version of the HBV-96 model. By using a physically based model for the routing, the time delay and attenuation are modelled more realistically. The discharge and states at a given time step are assumed to be dependent on the previous time step only (Markov property.
Synthetic and real world experiments are carried out for the Upper Ourthe (1600 km^{2}, a relatively quickly responding catchment in the Belgian Ardennes. We assess the impact on the forecasted discharge of (1 various sets of the spatially distributed discharge gauges and (2 the filtering frequency. The results show that the hydrological forecast at the catchment outlet is improved by assimilating interior gauges. This augmentation of the observation vector improves the forecast more than increasing the updating frequency. In terms of the model states, the EnKF procedure is found to mainly change the pdfs of the two routing model storages, even when the uncertainty in the discharge simulations is smaller than the defined observation uncertainty.
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)
Rakovec, O.; Weerts, A.; Hazenberg, P.; Torfs, P.; Uijlenhoet, R.
2012-12-01
This paper presents a study on the optimal setup for discharge assimilation within a spatially distributed hydrological model (Rakovec et al., 2012a). The Ensemble Kalman filter (EnKF) is employed to update the grid-based distributed states of such an hourly spatially distributed version of the HBV-96 model. By using a physically based model for the routing, the time delay and attenuation are modelled more realistically. The discharge and states at a given time step are assumed to be dependent on the previous time step only (Markov property). Synthetic and real world experiments are carried out for the Upper Ourthe (1600 km2), a relatively quickly responding catchment in the Belgian Ardennes. The uncertain precipitation model forcings were obtained using a time-dependent multivariate spatial conditional simulation method (Rakovec et al., 2012b), which is further made conditional on preceding simulations. We assess the impact on the forecasted discharge of (1) various sets of the spatially distributed discharge gauges and (2) the filtering frequency. The results show that the hydrological forecast at the catchment outlet is improved by assimilating interior gauges. This augmentation of the observation vector improves the forecast more than increasing the updating frequency. In terms of the model states, the EnKF procedure is found to mainly change the pdfs of the two routing model storages, even when the uncertainty in the discharge simulations is smaller than the defined observation uncertainty. Rakovec, O., Weerts, A. H., Hazenberg, P., Torfs, P. J. J. F., and Uijlenhoet, R.: State updating of a distributed hydrological model with Ensemble Kalman Filtering: effects of updating frequency and observation network density on forecast accuracy, Hydrol. Earth Syst. Sci. Discuss., 9, 3961-3999, doi:10.5194/hessd-9-3961-2012, 2012a. Rakovec, O., Hazenberg, P., Torfs, P. J. J. F., Weerts, A. H., and Uijlenhoet, R.: Generating spatial precipitation ensembles: impact of
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.
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.
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.
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)
Tsiaras, Kostas P.
2017-04-20
A hybrid ensemble data assimilation scheme (HYBRID), combining a flow-dependent with a static background covariance, was developed and implemented for assimilating satellite (SeaWiFS) Chl-a data into a marine ecosystem model of the Mediterranean. The performance of HYBRID was assessed against a model free-run, the ensemble-based singular evolutive interpolated Kalman (SEIK) and its variant with static covariance (SFEK), with regard to the assimilated variable (Chl-a) and non-assimilated variables (dissolved inorganic nutrients). HYBRID was found more efficient than both SEIK and SFEK, reducing the Chl-a error by more than 40% in most areas, as compared to the free-run. Data assimilation had a positive overall impact on nutrients, except for a deterioration of nitrates simulation by SEIK in the most productive area (Adriatic). This was related to SEIK pronounced update in this area and the phytoplankton limitation on phosphate that lead to a built up of excess nitrates. SEIK was found more efficient in productive and variable areas, where its ensemble exhibited important spread. SFEK had an effect mostly on Chl-a, performing better than SEIK in less dynamic areas, adequately described by the dominant modes of its static covariance. HYBRID performed well in all areas, due to its “blended” covariance. Its flow-dependent component appears to track changes in the system dynamics, while its static covariance helps maintaining sufficient spread in the forecast. HYBRID sensitivity experiments showed that an increased contribution from the flow-dependent covariance results in a deterioration of nitrates, similar to SEIK, while the improvement of HYBRID with increasing flow-dependent ensemble size quickly levels off.
Tsiaras, Kostas P.; Hoteit, Ibrahim; Kalaroni, Sofia; Petihakis, George; Triantafyllou, George
2017-06-01
A hybrid ensemble data assimilation scheme (HYBRID), combining a flow-dependent with a static background covariance, was developed and implemented for assimilating satellite (SeaWiFS) Chl-a data into a marine ecosystem model of the Mediterranean. The performance of HYBRID was assessed against a model free-run, the ensemble-based singular evolutive interpolated Kalman (SEIK) and its variant with static covariance (SFEK), with regard to the assimilated variable (Chl-a) and non-assimilated variables (dissolved inorganic nutrients). HYBRID was found more efficient than both SEIK and SFEK, reducing the Chl-a error by more than 40% in most areas, as compared to the free-run. Data assimilation had a positive overall impact on nutrients, except for a deterioration of nitrates simulation by SEIK in the most productive area (Adriatic). This was related to SEIK pronounced update in this area and the phytoplankton limitation on phosphate that lead to a built up of excess nitrates. SEIK was found more efficient in productive and variable areas, where its ensemble exhibited important spread. SFEK had an effect mostly on Chl-a, performing better than SEIK in less dynamic areas, adequately described by the dominant modes of its static covariance. HYBRID performed well in all areas, due to its "blended" covariance. Its flow-dependent component appears to track changes in the system dynamics, while its static covariance helps maintaining sufficient spread in the forecast. HYBRID sensitivity experiments showed that an increased contribution from the flow-dependent covariance results in a deterioration of nitrates, similar to SEIK, while the improvement of HYBRID with increasing flow-dependent ensemble size quickly levels off.
Tsiaras, Kostas P.; Hoteit, Ibrahim; Kalaroni, Sofia; Petihakis, George; Triantafyllou, George
2017-01-01
A hybrid ensemble data assimilation scheme (HYBRID), combining a flow-dependent with a static background covariance, was developed and implemented for assimilating satellite (SeaWiFS) Chl-a data into a marine ecosystem model of the Mediterranean. The performance of HYBRID was assessed against a model free-run, the ensemble-based singular evolutive interpolated Kalman (SEIK) and its variant with static covariance (SFEK), with regard to the assimilated variable (Chl-a) and non-assimilated variables (dissolved inorganic nutrients). HYBRID was found more efficient than both SEIK and SFEK, reducing the Chl-a error by more than 40% in most areas, as compared to the free-run. Data assimilation had a positive overall impact on nutrients, except for a deterioration of nitrates simulation by SEIK in the most productive area (Adriatic). This was related to SEIK pronounced update in this area and the phytoplankton limitation on phosphate that lead to a built up of excess nitrates. SEIK was found more efficient in productive and variable areas, where its ensemble exhibited important spread. SFEK had an effect mostly on Chl-a, performing better than SEIK in less dynamic areas, adequately described by the dominant modes of its static covariance. HYBRID performed well in all areas, due to its “blended” covariance. Its flow-dependent component appears to track changes in the system dynamics, while its static covariance helps maintaining sufficient spread in the forecast. HYBRID sensitivity experiments showed that an increased contribution from the flow-dependent covariance results in a deterioration of nitrates, similar to SEIK, while the improvement of HYBRID with increasing flow-dependent ensemble size quickly levels off.
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
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.
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...
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....
Vergara, H. J.; Kirstetter, P.; Hong, Y.; Gourley, J. J.; Wang, X.
2013-12-01
The Ensemble Kalman Filter (EnKF) is arguably the assimilation approach that has found the widest application in hydrologic modeling. Its relatively easy implementation and computational efficiency makes it an attractive method for research and operational purposes. However, the scientific literature featuring this approach lacks guidance on how the errors in the forecast need to be characterized so as to get the required corrections from the assimilation process. Moreover, several studies have indicated that the performance of the EnKF is 'sub-optimal' when assimilating certain hydrologic observations. Likewise, some authors have suggested that the underlying assumptions of the Kalman Filter and its dependence on linear dynamics make the EnKF unsuitable for hydrologic modeling. Such assertions are often based on ineffectiveness and poor robustness of EnKF implementations resulting from restrictive specification of error characteristics and the absence of a-priori information of error magnitudes. Therefore, understanding the capabilities and limitations of the EnKF to improve hydrologic forecasts require studying its sensitivity to the manner in which errors in the hydrologic modeling system are represented through ensembles. This study presents a methodology that explores various uncertainty representation configurations to characterize the errors in the hydrologic forecasts in a data assimilation context. The uncertainty in rainfall inputs is represented through a Generalized Additive Model for Location, Scale, and Shape (GAMLSS), which provides information about second-order statistics of quantitative precipitation estimates (QPE) error. The uncertainty in model parameters is described adding perturbations based on parameters covariance information. The method allows for the identification of rainfall and parameter perturbation combinations for which the performance of the EnKF is 'optimal' given a set of objective functions. In this process, information about
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.
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].
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.
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
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....
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.
Amezcua, Javier
This dissertation deals with aspects of sequential data assimilation (in particular ensemble Kalman filtering) and numerical weather forecasting. In the first part, the recently formulated Ensemble Kalman-Bucy (EnKBF) filter is revisited. It is shown that the previously used numerical integration scheme fails when the magnitude of the background error covariance grows beyond that of the observational error covariance in the forecast window. Therefore, we present a suitable integration scheme that handles the stiffening of the differential equations involved and doesn't represent further computational expense. Moreover, a transform-based alternative to the EnKBF is developed: under this scheme, the operations are performed in the ensemble space instead of in the state space. Advantages of this formulation are explained. For the first time, the EnKBF is implemented in an atmospheric model. The second part of this work deals with ensemble clustering, a phenomenon that arises when performing data assimilation using of deterministic ensemble square root filters in highly nonlinear forecast models. Namely, an M-member ensemble detaches into an outlier and a cluster of M-1 members. Previous works may suggest that this issue represents a failure of EnSRFs; this work dispels that notion. It is shown that ensemble clustering can be reverted also due to nonlinear processes, in particular the alternation between nonlinear expansion and compression of the ensemble for different regions of the attractor. Some EnSRFs that use random rotations have been developed to overcome this issue; these formulations are analyzed and their advantages and disadvantages with respect to common EnSRFs are discussed. The third and last part contains the implementation of the Robert-Asselin-Williams (RAW) filter in an atmospheric model. The RAW filter is an improvement to the widely popular Robert-Asselin filter that successfully suppresses spurious computational waves while avoiding any distortion
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.
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.
Zheng, Yuejiu; Gao, Wenkai; Ouyang, Minggao; Lu, Languang; Zhou, Long; Han, Xuebing
2018-04-01
State-of-charge (SOC) inconsistency impacts the power, durability and safety of the battery pack. Therefore, it is necessary to measure the SOC inconsistency of the battery pack with good accuracy. We explore a novel method for modeling and estimating the SOC inconsistency of lithium-ion (Li-ion) battery pack with low computation effort. In this method, a second-order RC model is selected as the cell mean model (CMM) to represent the overall performance of the battery pack. A hypothetical Rint model is employed as the cell difference model (CDM) to evaluate the SOC difference. The parameters of mean-difference model (MDM) are identified with particle swarm optimization (PSO). Subsequently, the mean SOC and the cell SOC differences are estimated by using extended Kalman filter (EKF). Finally, we conduct an experiment on a small Li-ion battery pack with twelve cells connected in series. The results show that the evaluated SOC difference is capable of tracking the changing of actual value after a quick convergence.
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.
Research on Kalman-filter based multisensor data fusion
Institute of Scientific and Technical Information of China (English)
无
2007-01-01
Multisensor data fusion has played a significant role in diverse areas ranging from local robot guidance to global military theatre defense etc.Various multisensor data fusion methods have been extensively investigated by researchers,of which Klaman filtering is one of the most important.Kalman filtering is the best-known recursive least mean-square algorithm to optimally estimate the unknown.states of a dynamic system,which has found widespread application in many areas.The scope of the work is restricted to investigate the various data fusion and track fusion techniques based on the Kalman Filter methods.then a new method of state fusion is proposed.Finally the simulation results demonstrate the effectiveness of the introduced method.
An adaptive Kalman filter for speckle reductions in ultrasound images
International Nuclear Information System (INIS)
Castellini, G.; Labate, D.; Masotti, L.; Mannini, E.; Rocchi, S.
1988-01-01
Speckle is the term used to describe the granular appearance found in ultrasound images. The presence of speckle reduces the diagnostic potential of the echographic technique because it tends to mask small inhomogeneities of the investigated tissue. We developed a new method of speckle reductions that utilizes an adaptive one-dimensional Kalman filter based on the assumption that the observed image can be considered as a superimposition of speckle on a ''true images''. The filter adaptivity, necessary to avoid loss of resolution, has been obtained by statistical considerations on the local signal variations. The results of the applications of this particular Kalman filter, both on A-Mode and B-MODE images, show a significant speckle reduction
Williams, John L.; Maxwell, Reed M.; Monache, Luca Delle
2013-12-01
Wind power is rapidly gaining prominence as a major source of renewable energy. Harnessing this promising energy source is challenging because of the chaotic nature of wind and its inherently intermittent nature. Accurate forecasting tools are critical to support the integration of wind energy into power grids and to maximize its impact on renewable energy portfolios. We have adapted the Data Assimilation Research Testbed (DART), a community software facility which includes the ensemble Kalman filter (EnKF) algorithm, to expand our capability to use observational data to improve forecasts produced with a fully coupled hydrologic and atmospheric modeling system, the ParFlow (PF) hydrologic model and the Weather Research and Forecasting (WRF) mesoscale atmospheric model, coupled via mass and energy fluxes across the land surface, and resulting in the PF.WRF model. Numerous studies have shown that soil moisture distribution and land surface vegetative processes profoundly influence atmospheric boundary layer development and weather processes on local and regional scales. We have used the PF.WRF model to explore the connections between the land surface and the atmosphere in terms of land surface energy flux partitioning and coupled variable fields including hydraulic conductivity, soil moisture, and wind speed and demonstrated that reductions in uncertainty in these coupled fields realized through assimilation of soil moisture observations propagate through the hydrologic and atmospheric system. The sensitivities found in this study will enable further studies to optimize observation strategies to maximize the utility of the PF.WRF-DART forecasting system.
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
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.
Visser, H.; Molenaar, J.
1995-05-01
The detection of trends in climatological data has become central to the discussion on climate change due to the enhanced greenhouse effect. To prove detection, a method is needed (i) to make inferences on significant rises or declines in trends, (ii) to take into account natural variability in climate series, and (iii) to compare output from GCMs with the trends in observed climate data. To meet these requirements, flexible mathematical tools are needed. A structural time series model is proposed with which a stochastic trend, a deterministic trend, and regression coefficients can be estimated simultaneously. The stochastic trend component is described using the class of ARIMA models. The regression component is assumed to be linear. However, the regression coefficients corresponding with the explanatory variables may be time dependent to validate this assumption. The mathematical technique used to estimate this trend-regression model is the Kaiman filter. The main features of the filter are discussed.Examples of trend estimation are given using annual mean temperatures at a single station in the Netherlands (1706-1990) and annual mean temperatures at Northern Hemisphere land stations (1851-1990). The inclusion of explanatory variables is shown by regressing the latter temperature series on four variables: Southern Oscillation index (SOI), volcanic dust index (VDI), sunspot numbers (SSN), and a simulated temperature signal, induced by increasing greenhouse gases (GHG). In all analyses, the influence of SSN on global temperatures is found to be negligible. The correlations between temperatures and SOI and VDI appear to be negative. For SOI, this correlation is significant, but for VDI it is not, probably because of a lack of volcanic eruptions during the sample period. The relation between temperatures and GHG is positive, which is in agreement with the hypothesis of a warming climate because of increasing levels of greenhouse gases. The prediction performance of
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.
Simon, Ehouarn; Samuelsen, Annette; Bertino, Laurent; Mouysset, Sandrine
2015-12-01
A sequence of one-year combined state-parameter estimation experiments has been conducted in a North Atlantic and Arctic Ocean configuration of the coupled physical-biogeochemical model HYCOM-NORWECOM over the period 2007-2010. The aim is to evaluate the ability of an ensemble-based data assimilation method to calibrate ecosystem model parameters in a pre-operational setting, namely the production of the MyOcean pilot reanalysis of the Arctic biology. For that purpose, four biological parameters (two phyto- and two zooplankton mortality rates) are estimated by assimilating weekly data such as, satellite-derived Sea Surface Temperature, along-track Sea Level Anomalies, ice concentrations and chlorophyll-a concentrations with an Ensemble Kalman Filter. The set of optimized parameters locally exhibits seasonal variations suggesting that time-dependent parameters should be used in ocean ecosystem models. A clustering analysis of the optimized parameters is performed in order to identify consistent ecosystem regions. In the north part of the domain, where the ecosystem model is the most reliable, most of them can be associated with Longhurst provinces and new provinces emerge in the Arctic Ocean. However, the clusters do not coincide anymore with the Longhurst provinces in the Tropics due to large model errors. Regarding the ecosystem state variables, the assimilation of satellite-derived chlorophyll concentration leads to significant reduction of the RMS errors in the observed variables during the first year, i.e. 2008, compared to a free run simulation. However, local filter divergences of the parameter component occur in 2009 and result in an increase in the RMS error at the time of the spring bloom.
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.
Advantages of Square-Root Extended Kalman Filter for Sensorless Control of AC Drives
Czech Academy of Sciences Publication Activity Database
Šmídl, Václav; Peroutka, Z.
2012-01-01
Roč. 59, č. 11 (2012), s. 4189-4196 ISSN 0278-0046 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : Kalman filters * Mathematical model * AC motors Subject RIV: BC - Control Systems Theory Impact factor: 5.165, year: 2012 http://library.utia.cas.cz/separaty/2012/AS/smidl-0436868.pdf
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...
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
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).
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)
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.
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.
Erna Apriliani; Dieky Adzkiya; Arief Baihaqi
2011-01-01
Kalman filter is an algorithm to estimate the state variable of dynamical stochastic system. The square root ensemble Kalman filter is an modification of Kalman filter. The square root ensemble Kalman filter is proposed to keep the computational stability and reduce the computational time. In this paper we study the efficiency of the reduced rank ensemble Kalman filter. We apply this algorithm to the non isothermal continue stirred tank reactor problem. We decompose the covariance of the ense...
A new 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....
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...
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.
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.
Bonnet, Vincent; Richard, Vincent; Camomilla, Valentina; Venture, Gentiane; Cappozzo, Aurelio; Dumas, Raphaël
2017-09-06
To reduce the impact of the soft tissue artefact (STA) on the estimate of skeletal movement using stereophotogrammetric and skin-marker data, multi-body kinematics optimisation (MKO) and extended Kalman filters (EKF) have been proposed. This paper assessed the feasibility and efficiency of these methods when they embed a mathematical model of the STA and simultaneously estimate the ankle, knee and hip joint kinematics and the model parameters. A STA model was used that provides an estimate of the STA affecting the marker-cluster located on a body segment as a function of the kinematics of the adjacent joints. The MKO and the EKF were implemented with and without the STA model. To assess these methods, intra-cortical pin and skin markers located on the thigh, shank, and foot of three subjects and tracked during the stance phase of running were used. Embedding the STA model in MKO and EKF reduced the average RMS of marker tracking from 12.6 to 1.6mm and from 4.3 to 1.9mm, respectively, showing that a STA model trial-specific calibration is feasible. Nevertheless, with the STA model embedded in MKO, the RMS difference between the estimated and the reference joint kinematics determined from the pin markers slightly increased (from 2.0 to 2.1deg) On the contrary, when the STA model was embedded in the EKF, this RMS difference was slightly reduced (from 2.0 to 1.7deg) thus showing a better potentiality of this method to attenuate STA effects and improve the accuracy of joint kinematics estimate. Copyright © 2017 Elsevier Ltd. All rights reserved.
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.
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.
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.
Directory of Open Access Journals (Sweden)
W. Ju
2010-03-01
Full Text Available Soil and atmospheric water deficits have significant influences on CO_{2} and energy exchanges between the atmosphere and terrestrial ecosystems. Model parameterization significantly affects the ability of a model to simulate carbon, water, and energy fluxes. In this study, an ensemble Kalman filter (EnKF and observations of gross primary productivity (GPP and latent heat (LE fluxes were used to optimize model parameters significantly affecting the calculation of these fluxes for a subtropical coniferous plantation in southeastern China. The optimized parameters include the maximum carboxylation rate (Vc_{max}, the slope in the modified Ball-Berry model (M and the coefficient determining the sensitivity of stomatal conductance to atmospheric water vapor deficit (D_{0}. Optimized Vc_{max} and M showed larger variations than D_{0}. Seasonal variations of Vc_{max} and M were more pronounced than the variations between the two years. Vc_{max} and M were associated with soil water content (SWC. During dry periods, SWC at the 20 cm depth explained 61% and 64% of variations of Vc_{max} and M, respectively. EnKF parameter optimization improved the simulations of GPP, LE and SH, mainly during dry periods. After parameter optimization using EnKF, the variations of GPP, LE and SH explained by the model increased by 1% to 4% at half-hourly steps and by 3% to 5% at daily time steps. Further efforts are needed to differentiate the real causes of parameter variations and improve the ability of models to describe the change of stomatal conductance with net photosynthesis rate and the sensitivity of photosynthesis capacity to soil water stress under different environmental conditions.
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.
Directory of Open Access Journals (Sweden)
Ngoc-Tham Tran
2017-01-01
Full Text Available State of charge (SOC and state of health (SOH are key issues for the application of batteries, especially the absorbent glass mat valve regulated lead-acid (AGM VRLA type batteries used in the idle stop start systems (ISSs that are popularly integrated into conventional engine-based vehicles. This is due to the fact that SOC and SOH estimation accuracy is crucial for optimizing battery energy utilization, ensuring safety and extending battery life cycles. The dual extended Kalman filter (DEKF, which provides an elegant and powerful solution, is widely applied in SOC and SOH estimation based on a battery parameter model. However, the battery parameters are strongly dependent on operation conditions such as the SOC, current rate and temperature. In addition, battery parameters change significantly over the life cycle of a battery. As a result, many experimental pretests investigating the effects of the internal and external conditions of a battery on its parameters are required, since the accuracy of state estimation depends on the quality of the information regarding battery parameter changes. In this paper, a novel method for SOC and SOH estimation that combines a DEKF algorithm, which considers hysteresis and diffusion effects, and an auto regressive exogenous (ARX model for online parameters estimation is proposed. The DEKF provides precise information concerning the battery open circuit voltage (OCV to the ARX model. Meanwhile, the ARX model continues monitoring parameter variations and supplies information on them to the DEKF. In this way, the estimation accuracy can be maintained despite the changing parameters of a battery. Moreover, online parameter estimation from the ARX model can save the time and effort used for parameter pretests. The validation of the proposed algorithm is given by simulation and experimental results.
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.
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...
Blyverket, J.; Hamer, P.; Bertino, L.; Lahoz, W. A.
2017-12-01
The European Space Agency Climate Change Initiative for soil moisture (ESA CCI SM) was initiated in 2012 for a period of six years, the objective for this period was to produce the most complete and consistent global soil moisture data record based on both active and passive sensors. The ESA CCI SM products consist of three surface soil moisture datasets: The ACTIVE product and the PASSIVE product were created by fusing scatterometer and radiometer soil moisture data, respectively. The COMBINED product is a blended product based on the former two datasets. In this study we assimilate globally both the ACTIVE and PASSIVE product at a 25 km spatial resolution. The different satellite platforms have different overpass times, an observation is mapped to the hours 00.00, 06.00, 12.00 or 18.00 if it falls within a 3 hour window centred at these times. We use the SURFEX land surface model with the ISBA diffusion scheme for the soil hydrology. For the assimilation routine we apply the Ensemble Transform Kalman Filter (ETKF). The land surface model is driven by perturbed MERRA-2 atmospheric forcing data, which has a temporal resolution of one hour and is mapped to the SURFEX model grid. Bias between the land surface model and the ESA CCI product is removed by cumulative distribution function (CDF) matching. This work is a step towards creating a global root zone soil moisture product from the most comprehensive satellite surface soil moisture product available. As a first step we consider the period from 2010 - 2016. This allows for comparison against other global root zone soil moisture products (SMAP Level 4, which is independent of the ESA CCI SM product).
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
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.
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.
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.
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.
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
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
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.
Bds/gps Integrated Positioning Method Research Based on Nonlinear Kalman Filtering
Ma, Y.; Yuan, W.; Sun, H.
2017-09-01
In order to realize fast and accurate BDS/GPS integrated positioning, it is necessary to overcome the adverse effects of signal attenuation, multipath effect and echo interference to ensure the result of continuous and accurate navigation and positioning. In this paper, pseudo-range positioning is used as the mathematical model. In the stage of data preprocessing, using precise and smooth carrier phase measurement value to promote the rough pseudo-range measurement value without ambiguity. At last, the Extended Kalman Filter(EKF), the Unscented Kalman Filter(UKF) and the Particle Filter(PF) algorithm are applied in the integrated positioning method for higher positioning accuracy. The experimental results show that the positioning accuracy of PF is the highest, and UKF is better than EKF.
Nonlinear 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
An Adjoint-Based Adaptive Ensemble Kalman Filter
Song, Hajoon
2013-10-01
A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.
An Adjoint-Based Adaptive Ensemble Kalman Filter
Song, Hajoon; Hoteit, Ibrahim; Cornuelle, Bruce D.; Luo, Xiaodong; Subramanian, Aneesh C.
2013-01-01
A new hybrid ensemble Kalman filter/four-dimensional variational data assimilation (EnKF/4D-VAR) approach is introduced to mitigate background covariance limitations in the EnKF. The work is based on the adaptive EnKF (AEnKF) method, which bears a strong resemblance to the hybrid EnKF/three-dimensional variational data assimilation (3D-VAR) method. In the AEnKF, the representativeness of the EnKF ensemble is regularly enhanced with new members generated after back projection of the EnKF analysis residuals to state space using a 3D-VAR [or optimal interpolation (OI)] scheme with a preselected background covariance matrix. The idea here is to reformulate the transformation of the residuals as a 4D-VAR problem, constraining the new member with model dynamics and the previous observations. This should provide more information for the estimation of the new member and reduce dependence of the AEnKF on the assumed stationary background covariance matrix. This is done by integrating the analysis residuals backward in time with the adjoint model. Numerical experiments are performed with the Lorenz-96 model under different scenarios to test the new approach and to evaluate its performance with respect to the EnKF and the hybrid EnKF/3D-VAR. The new method leads to the least root-mean-square estimation errors as long as the linear assumption guaranteeing the stability of the adjoint model holds. It is also found to be less sensitive to choices of the assimilation system inputs and parameters.
Mass Conservation and Positivity Preservation with Ensemble-type Kalman Filter Algorithms
Janjic, Tijana; McLaughlin, Dennis B.; Cohn, Stephen E.; Verlaan, Martin
2013-01-01
Maintaining conservative physical laws numerically has long been recognized as being important in the development of numerical weather prediction (NWP) models. In the broader context of data assimilation, concerted efforts to maintain conservation laws numerically and to understand the significance of doing so have begun only recently. In order to enforce physically based conservation laws of total mass and positivity in the ensemble Kalman filter, we incorporate constraints to ensure that the filter ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. We show that the analysis steps of ensemble transform Kalman filter (ETKF) algorithm and ensemble Kalman filter algorithm (EnKF) can conserve the mass integral, but do not preserve positivity. Further, if localization is applied or if negative values are simply set to zero, then the total mass is not conserved either. In order to ensure mass conservation, a projection matrix that corrects for localization effects is constructed. In order to maintain both mass conservation and positivity preservation through the analysis step, we construct a data assimilation algorithms based on quadratic programming and ensemble Kalman filtering. Mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate constraints. Some simple numerical experiments indicate that this approach can have a significant positive impact on the posterior ensemble distribution, giving results that are more physically plausible both for individual ensemble members and for the ensemble mean. The results show clear improvements in both analyses and forecasts, particularly in the presence of localized features. Behavior of the algorithm is also tested in presence of model error.
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...
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.
An example of utilization of Kalman filters in time series analysis
International Nuclear Information System (INIS)
Marseguerra, M.; Porceddu, C.M.
1987-01-01
In reactor noise analysis the fluctuation of many interesting signals may be described by linear models such as the AR, ARMA or ARMAX ones. Another interesting approach of increasing importance is the Kalman filter methodology. In the this paper a linear system described by an autoregressive AR(2) model is considered and it is investigated whether the Kalman filter is capable of correctly estimating parameters together with their accuracies both in the stationary state and in the case of sudden variation of the parameters. In addition a more complex situation in which a stationary system under investigation feeds the sensor which delivers the observed signal. Assuming the system obeying on AR(2) model and the sensor a simpler AR(1) model, the problem is that of recovering the system output from the measured signal
Mean-field Ensemble Kalman Filter
Law, Kody; Tembine, Hamidou; Tempone, Raul
2015-01-01
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
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.
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.
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.
Recursive B-spline approximation using the Kalman filter
Directory of Open Access Journals (Sweden)
Jens Jauch
2017-02-01
Full Text Available This paper proposes a novel recursive B-spline approximation (RBA algorithm which approximates an unbounded number of data points with a B-spline function and achieves lower computational effort compared with previous algorithms. Conventional recursive algorithms based on the Kalman filter (KF restrict the approximation to a bounded and predefined interval. Conversely RBA includes a novel shift operation that enables to shift estimated B-spline coefficients in the state vector of a KF. This allows to adapt the interval in which the B-spline function can approximate data points during run-time.
Vision-Based Position Estimation Utilizing an Extended Kalman Filter
2016-12-01
establishing the calibration mapping. A version of Kalman Filter was developed to minimize the impact of inaccuracies in the angle measurement as well...project error covariance ahead Z = [Ang_In; Alt_In]; % Measurements % Update Jacobian h11 = -XY_est(3,1)/(XY_est(1,1)^2+XY_est(3,1)^2); h13 ...XY_est(1,1)/(XY_est(1,1)^2+XY_est(3,1)^2); H = [h11 0 h13 0; 0 0 1 0]; Z_proj(1) = atan2(XY_proj(3),XY_proj(1)); % theta - predicted Z_proj(2
Adaptive training of feedforward neural networks by Kalman filtering
International Nuclear Information System (INIS)
Ciftcioglu, Oe.
1995-02-01
Adaptive training of feedforward neural networks by Kalman filtering is described. Adaptive training is particularly important in estimation by neural network in real-time environmental where the trained network is used for system estimation while the network is further trained by means of the information provided by the experienced/exercised ongoing operation. As result of this, neural network adapts itself to a changing environment to perform its mission without recourse to re-training. The performance of the training method is demonstrated by means of actual process signals from a nuclear power plant. (orig.)
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.
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.
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
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...
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.
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)
Optimal Tuner Selection for Kalman-Filter-Based Aircraft Engine Performance Estimation
Simon, Donald L.; Garg, Sanjay
2011-01-01
An emerging approach in the field of aircraft engine controls and system health management is the inclusion of real-time, onboard models for the inflight estimation of engine performance variations. This technology, typically based on Kalman-filter concepts, enables the estimation of unmeasured engine performance parameters that can be directly utilized by controls, prognostics, and health-management applications. A challenge that complicates this practice is the fact that an aircraft engine s performance is affected by its level of degradation, generally described in terms of unmeasurable health parameters such as efficiencies and flow capacities related to each major engine module. Through Kalman-filter-based estimation techniques, the level of engine performance degradation can be estimated, given that there are at least as many sensors as health parameters to be estimated. However, in an aircraft engine, the number of sensors available is typically less than the number of health parameters, presenting an under-determined estimation problem. A common approach to address this shortcoming is to estimate a subset of the health parameters, referred to as model tuning parameters. The problem/objective is to optimally select the model tuning parameters to minimize Kalman-filterbased estimation error. A tuner selection technique has been developed that specifically addresses the under-determined estimation problem, where there are more unknown parameters than available sensor measurements. A systematic approach is applied to produce a model tuning parameter vector of appropriate dimension to enable estimation by a Kalman filter, while minimizing the estimation error in the parameters of interest. Tuning parameter selection is performed using a multi-variable iterative search routine that seeks to minimize the theoretical mean-squared estimation error of the Kalman filter. This approach can significantly reduce the error in onboard aircraft engine parameter estimation
Dual Extended Kalman Filter for the Identification of Time-Varying Human Manual Control Behavior
Popovici, Alexandru; Zaal, Peter M. T.; Pool, Daan M.
2017-01-01
A Dual Extended Kalman Filter was implemented for the identification of time-varying human manual control behavior. Two filters that run concurrently were used, a state filter that estimates the equalization dynamics, and a parameter filter that estimates the neuromuscular parameters and time delay. Time-varying parameters were modeled as a random walk. The filter successfully estimated time-varying human control behavior in both simulated and experimental data. Simple guidelines are proposed for the tuning of the process and measurement covariance matrices and the initial parameter estimates. The tuning was performed on simulation data, and when applied on experimental data, only an increase in measurement process noise power was required in order for the filter to converge and estimate all parameters. A sensitivity analysis to initial parameter estimates showed that the filter is more sensitive to poor initial choices of neuromuscular parameters than equalization parameters, and bad choices for initial parameters can result in divergence, slow convergence, or parameter estimates that do not have a real physical interpretation. The promising results when applied to experimental data, together with its simple tuning and low dimension of the state-space, make the use of the Dual Extended Kalman Filter a viable option for identifying time-varying human control parameters in manual tracking tasks, which could be used in real-time human state monitoring and adaptive human-vehicle haptic interfaces.
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)
López-Cruz, I.L.; Beveren, Van P.J.M.; Mourik, Van S.; Henten, Van E.J.
2017-01-01
In dynamic modeling of the greenhouse climate, prediction errors are a significant issue due to uncertainties in initial state values, input variables, model parameters and model structure, all propagating in time in a nonlinear way. We investigated a data assimilation approach using two non-linear
Detecting an atomic clock frequency anomaly using an adaptive Kalman filter algorithm
Song, Huijie; Dong, Shaowu; Wu, Wenjun; Jiang, Meng; Wang, Weixiong
2018-06-01
The abnormal frequencies of an atomic clock mainly include frequency jump and frequency drift jump. Atomic clock frequency anomaly detection is a key technique in time-keeping. The Kalman filter algorithm, as a linear optimal algorithm, has been widely used in real-time detection for abnormal frequency. In order to obtain an optimal state estimation, the observation model and dynamic model of the Kalman filter algorithm should satisfy Gaussian white noise conditions. The detection performance is degraded if anomalies affect the observation model or dynamic model. The idea of the adaptive Kalman filter algorithm, applied to clock frequency anomaly detection, uses the residuals given by the prediction for building ‘an adaptive factor’ the prediction state covariance matrix is real-time corrected by the adaptive factor. The results show that the model error is reduced and the detection performance is improved. The effectiveness of the algorithm is verified by the frequency jump simulation, the frequency drift jump simulation and the measured data of the atomic clock by using the chi-square test.
A square root ensemble Kalman filter application to a motor-imagery brain-computer interface.
Kamrunnahar, M; Schiff, S J
2011-01-01
We here investigated a non-linear ensemble Kalman filter (SPKF) application to a motor imagery brain computer interface (BCI). A square root central difference Kalman filter (SR-CDKF) was used as an approach for brain state estimation in motor imagery task performance, using scalp electroencephalography (EEG) signals. Healthy human subjects imagined left vs. right hand movements and tongue vs. bilateral toe movements while scalp EEG signals were recorded. Offline data analysis was conducted for training the model as well as for decoding the imagery movements. Preliminary results indicate the feasibility of this approach with a decoding accuracy of 78%-90% for the hand movements and 70%-90% for the tongue-toes movements. Ongoing research includes online BCI applications of this approach as well as combined state and parameter estimation using this algorithm with different system dynamic models.
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.
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.
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.
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.
Stock price estimation using ensemble Kalman Filter square root method
Karya, D. F.; Katias, P.; Herlambang, T.
2018-04-01
Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.
ERP Estimation using a Kalman Filter in VLBI
Karbon, M.; Soja, B.; Nilsson, T.; Heinkelmann, R.; Liu, L.; Lu, C.; Mora-Diaz, J. A.; Raposo-Pulido, V.; Xu, M.; Schuh, H.
2014-12-01
Geodetic Very Long Baseline Interferometry (VLBI) is one of the primary space geodetic techniques, providing the full set of Earth Orientation Parameters (EOP), and it is unique for observing long term Universal Time (UT1). For applications such as satellite-based navigation and positioning, accurate and continuous ERP obtained in near real-time are essential. They also allow the precise tracking of interplanetary spacecraft. One of the goals of VGOS (VLBI Global Observing System) is to provide such near real-time ERP. With the launch of this next generation VLBI system, the International VLBI Service for Geodesy and Astrometry (IVS) increased its efforts not only to reach 1 mm accuracy on a global scale but also to reduce the time span between the collection of VLBI observations and the availability of the final results substantially. Project VLBI-ART contributes to these objectives by implementing an elaborate Kalman filter, which represents a perfect tool for analyzing VLBI data in quasi real-time. The goal is to implement it in the GFZ version of the Vienna VLBI Software (VieVS) as a completely automated tool, i.e., with no need for human interaction. Here we present the methodology and first results of Kalman filtered EOP from VLBI data.
Gharamti, M. E.; Ait-El-Fquih, Boujemaa; Hoteit, Ibrahim
2015-01-01
Numerical experiments are conducted with a two-dimensional synthetic subsurface transport model simulating the migration of a contaminant plume in a heterogenous aquifer domain. Contaminant concentration data are assimilated to estimate both the contaminant state and the hydraulic conductivity field. Assimilation runs are performed under imperfect modeling conditions and various observational scenarios. Simulation results suggest that the proposed scheme efficiently recovers both the contaminant state and the aquifer conductivity, providing more accurate estimates than the standard Joint and Dual EnKFs in all tested scenarios. Iterating on the update step of the new scheme further enhances the proposed filter’s behavior. In term of computational cost, the new Joint-EnKF is almost equivalent to that of the Dual-EnKF, but requires twice more model integrations than the standard Joint-EnKF.
Distance Estimation by Fusing Radar and Monocular Camera with Kalman Filter
Feng, Yuxiang; Pickering, Simon; Chappell, Edward; Iravani, Pejman; Brace, Christian
2017-01-01
The major contribution of this paper is to propose a low-cost accurate distance estimation approach. It can potentially be used in driver modelling, accident avoidance and autonomous driving. Based on MATLAB and Python, sensory data from a Continental radar and a monocular dashcam were fused using a Kalman filter. Both sensors were mounted on a Volkswagen Sharan, performing repeated driving on a same route. The established system consists of three components, radar data processing, camera dat...
System of the sensor failure detection and isolation system using Kalman filter
International Nuclear Information System (INIS)
Assumpcao Filho, E.O.; Nakata, H.
1991-01-01
The present work work summarizes the development of the sensor failure detection and isolation system (FDIS) suitable to be implemented in nuclear plant control systems. The methodology is based on the extended Kalman filter applied to a PWR pressurizer simplified model. The simulation of the most representative failure types showed the great reliability and fast response capability of the FDIS developed allowing the sizable savings in computational and economic expenditures. (author)
Keppenne, Christian; Vernieres, Guillaume; Rienecker, Michele; Jacob, Jossy; Kovach, Robin
2011-01-01
Satellite altimetry measurements have provided global, evenly distributed observations of the ocean surface since 1993. However, the difficulties introduced by the presence of model biases and the requirement that data assimilation systems extrapolate the sea surface height (SSH) information to the subsurface in order to estimate the temperature, salinity and currents make it difficult to optimally exploit these measurements. This talk investigates the potential of the altimetry data assimilation once the biases are accounted for with an ad hoc bias estimation scheme. Either steady-state or state-dependent multivariate background-error covariances from an ensemble of model integrations are used to address the problem of extrapolating the information to the sub-surface. The GMAO ocean data assimilation system applied to an ensemble of coupled model instances using the GEOS-5 AGCM coupled to MOM4 is used in the investigation. To model the background error covariances, the system relies on a hybrid ensemble approach in which a small number of dynamically evolved model trajectories is augmented on the one hand with past instances of the state vector along each trajectory and, on the other, with a steady state ensemble of error estimates from a time series of short-term model forecasts. A state-dependent adaptive error-covariance localization and inflation algorithm controls how the SSH information is extrapolated to the sub-surface. A two-step predictor corrector approach is used to assimilate future information. Independent (not-assimilated) temperature and salinity observations from Argo floats are used to validate the assimilation. A two-step projection method in which the system first calculates a SSH increment and then projects this increment vertically onto the temperature, salt and current fields is found to be most effective in reconstructing the sub-surface information. The performance of the system in reconstructing the sub-surface fields is particularly
DEFF Research Database (Denmark)
Matzuka, Brett; Mehlsen, Jesper; Tran, Hien
2015-01-01
are sparse, typical studies only include measurements of heart rate and blood pressure, as a result it is difficult to determine what mechanisms that are impaired. It is known, that blood pressure regulation is mediated by changes in heart rate, vascular resistance, cardiac contractility and a number...... of other factors. Given that numerous factors contribute to changing these quantities it is difficult to devise a physiological model describing how they change in time. One way is to build a model that allows these controlled quantities to change and to compare dynamics between subject groups. To do so...
Improved Kalman Filter Method for Measurement Noise Reduction in Multi Sensor RFID Systems
Directory of Open Access Journals (Sweden)
Min Chul Kim
2011-10-01
Full Text Available Recently, the range of available Radio Frequency Identification (RFID tags has been widened to include smart RFID tags which can monitor their varying surroundings. One of the most important factors for better performance of smart RFID system is accurate measurement from various sensors. In the multi-sensing environment, some noisy signals are obtained because of the changing surroundings. We propose in this paper an improved Kalman filter method to reduce noise and obtain correct data. Performance of Kalman filter is determined by a measurement and system noise covariance which are usually called the R and Q variables in the Kalman filter algorithm. Choosing a correct R and Q variable is one of the most important design factors for better performance of the Kalman filter. For this reason, we proposed an improved Kalman filter to advance an ability of noise reduction of the Kalman filter. The measurement noise covariance was only considered because the system architecture is simple and can be adjusted by the neural network. With this method, more accurate data can be obtained with smart RFID tags. In a simulation the proposed improved Kalman filter has 40.1%, 60.4% and 87.5% less Mean Squared Error (MSE than the conventional Kalman filter method for a temperature sensor, humidity sensor and oxygen sensor, respectively. The performance of the proposed method was also verified with some experiments.
Autonomous underwater vehicle motion tracking using a Kalman filter for sensor fusion
CSIR Research Space (South Africa)
Holtzhausen, S
2008-11-01
Full Text Available it will be shown how a Kalman Filter is used to estimate the position of an autonomous vehicle in a three dimensional space. The Kalman filter is used to estimate movement and position using measurements from multiple sensors...
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.
Directory of Open Access Journals (Sweden)
Yunsick Sung
2016-11-01
Full Text Available Given that location information is the key to providing a variety of services in sustainable indoor computing environments, it is required to obtain accurate locations. Locations can be estimated by three distances from three fixed points. Therefore, if the distance between two points can be measured or estimated accurately, the location in indoor environments can be estimated. To increase the accuracy of the measured distance, noise filtering, signal revision, and distance estimation processes are generally performed. This paper proposes a novel framework for estimating the distance between a beacon and an access point (AP in a sustainable indoor computing environment. Diverse types of received strength signal indications (RSSIs are used for WiFi, Bluetooth, and radio signals, and the proposed distance estimation framework is unique in that it is independent of the specific wireless signal involved, being based on the Bluetooth signal of the beacon. Generally, RSSI measurement, noise filtering, and revision are required for distance estimation using RSSIs. The employed RSSIs are first measured from an AP, with multiple APs sometimes used to increase the accuracy of the distance estimation. Owing to the inevitable presence of noise in the measured RSSIs, the application of noise filtering is essential, and further revision is used to address the inaccuracy and instability that characterizes RSSIs measured in an indoor environment. The revised RSSIs are then used to estimate the distance. The proposed distance estimation framework uses one AP to measure the RSSIs, a Kalman filter to eliminate noise, and a log-distance path loss model to revise the measured RSSIs. In the experimental implementation of the framework, both a RSSI filter and a Kalman filter were respectively used for noise elimination to comparatively evaluate the performance of the latter for the specific application. The Kalman filter was found to reduce the accumulated errors by 8
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
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)
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.
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.
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 .
Inexpensive CubeSat attitude estimation using COTS components and Unscented Kalman Filtering
DEFF Research Database (Denmark)
Larsen, Jesper Abildgaard; Vinther, Kasper
2011-01-01
computational cost of estimating bias in measurements is worthwhile. The simulations where performed in a simulation environment for the CubeSat AAUSAT3, where robustness has been an important factor during tuning of the attitude estimators. The results indicate that it is possible to achieve acceptable Cube......This paper describes a quaternion implementation of an Unscented Kalman Filter for attitude estimation on CubeSats using measurements of a sun vector, a magnetic field vector and angular velocity. Using unit quaternions provides a singularity free attitude parameterization. However, the unity...... constraint requires a redesign of the Unscented Kalman Filter. Therefore, a quaternion error state is introduced. Emphasis has been put in making the implementation accessible to other CubeSat by using realistic models of COTS components used for attitude sensing and simulations have shown that the extra...
Directory of Open Access Journals (Sweden)
Andrew D Lowther
Full Text Available Understanding how an animal utilises its surroundings requires its movements through space to be described accurately. Satellite telemetry is the only means of acquiring movement data for many species however data are prone to varying amounts of spatial error; the recent application of state-space models (SSMs to the location estimation problem have provided a means to incorporate spatial errors when characterising animal movements. The predominant platform for collecting satellite telemetry data on free-ranging animals, Service Argos, recently provided an alternative Doppler location estimation algorithm that is purported to be more accurate and generate a greater number of locations that its predecessor. We provide a comprehensive assessment of this new estimation process performance on data from free-ranging animals relative to concurrently collected Fastloc GPS data. Additionally, we test the efficacy of three readily-available SSM in predicting the movement of two focal animals. Raw Argos location estimates generated by the new algorithm were greatly improved compared to the old system. Approximately twice as many Argos locations were derived compared to GPS on the devices used. Root Mean Square Errors (RMSE for each optimal SSM were less than 4.25 km with some producing RMSE of less than 2.50 km. Differences in the biological plausibility of the tracks between the two focal animals used to investigate the utility of SSM highlights the importance of considering animal behaviour in movement studies. The ability to reprocess Argos data collected since 2008 with the new algorithm should permit questions of animal movement to be revisited at a finer resolution.
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.
Low-dimensional recurrent neural network-based Kalman filter for speech enhancement.
Xia, Youshen; Wang, Jun
2015-07-01
This paper proposes a new recurrent neural network-based Kalman filter for speech enhancement, based on a noise-constrained least squares estimate. The parameters of speech signal modeled as autoregressive process are first estimated by using the proposed recurrent neural network and the speech signal is then recovered from Kalman filtering. The proposed recurrent neural network is globally asymptomatically stable to the noise-constrained estimate. Because the noise-constrained estimate has a robust performance against non-Gaussian noise, the proposed recurrent neural network-based speech enhancement algorithm can minimize the estimation error of Kalman filter parameters in non-Gaussian noise. Furthermore, having a low-dimensional model feature, the proposed neural network-based speech enhancement algorithm has a much faster speed than two existing recurrent neural networks-based speech enhancement algorithms. Simulation results show that the proposed recurrent neural network-based speech enhancement algorithm can produce a good performance with fast computation and noise reduction. Copyright © 2015 Elsevier Ltd. All rights reserved.
Chen, Xiyuan; Wang, Xiying; Xu, Yuan
2014-12-09
This paper deals with the problem of state estimation for the vector-tracking loop of a software-defined Global Positioning System (GPS) receiver. For a nonlinear system that has the model error and white Gaussian noise, a noise statistics estimator is used to estimate the model error, and based on this, a modified iterated extended Kalman filter (IEKF) named adaptive iterated Kalman filter (AIEKF) is proposed. A vector-tracking GPS receiver utilizing AIEKF is implemented to evaluate the performance of the proposed method. Through road tests, it is shown that the proposed method has an obvious accuracy advantage over the IEKF and Adaptive Extended Kalman filter (AEKF) in position determination. The results show that the proposed method is effective to reduce the root-mean-square error (RMSE) of position (including longitude, latitude and altitude). Comparing with EKF, the position RMSE values of AIEKF are reduced by about 45.1%, 40.9% and 54.6% in the east, north and up directions, respectively. Comparing with IEKF, the position RMSE values of AIEKF are reduced by about 25.7%, 19.3% and 35.7% in the east, north and up directions, respectively. Compared with AEKF, the position RMSE values of AIEKF are reduced by about 21.6%, 15.5% and 30.7% in the east, north and up directions, respectively.
Kalman filter approach for uncertainty quantification in time-resolved laser-induced incandescence.
Hadwin, Paul J; Sipkens, Timothy A; Thomson, Kevin A; Liu, Fengshan; Daun, Kyle J
2018-03-01
Time-resolved laser-induced incandescence (TiRe-LII) data can be used to infer spatially and temporally resolved volume fractions and primary particle size distributions of soot-laden aerosols, but these estimates are corrupted by measurement noise as well as uncertainties in the spectroscopic and heat transfer submodels used to interpret the data. Estimates of the temperature, concentration, and size distribution of soot primary particles within a sample aerosol are typically made by nonlinear regression of modeled spectral incandescence decay, or effective temperature decay, to experimental data. In this work, we employ nonstationary Bayesian estimation techniques to infer aerosol properties from simulated and experimental LII signals, specifically the extended Kalman filter and Schmidt-Kalman filter. These techniques exploit the time-varying nature of both the measurements and the models, and they reveal how uncertainty in the estimates computed from TiRe-LII data evolves over time. Both techniques perform better when compared with standard deterministic estimates; however, we demonstrate that the Schmidt-Kalman filter produces more realistic uncertainty estimates.
Kalman Filter for Calibrating a Telescope Focal Plane
Kang, Bryan; Bayard, David
2006-01-01
The instrument-pointing frame (IPF) Kalman filter, and an algorithm that implements this filter, have been devised for calibrating the focal plane of a telescope. As used here, calibration signifies, more specifically, a combination of measurements and calculations directed toward ensuring accuracy in aiming the telescope and determining the locations of objects imaged in various arrays of photodetectors in instruments located on the focal plane. The IPF Kalman filter was originally intended for application to a spaceborne infrared astronomical telescope, but can also be applied to other spaceborne and ground-based telescopes. In the traditional approach to calibration of a telescope, (1) one team of experts concentrates on estimating parameters (e.g., pointing alignments and gyroscope drifts) that are classified as being of primarily an engineering nature, (2) another team of experts concentrates on estimating calibration parameters (e.g., plate scales and optical distortions) that are classified as being primarily of a scientific nature, and (3) the two teams repeatedly exchange data in an iterative process in which each team refines its estimates with the help of the data provided by the other team. This iterative process is inefficient and uneconomical because it is time-consuming and entails the maintenance of two survey teams and the development of computer programs specific to the requirements of each team. Moreover, theoretical analysis reveals that the engineering/ science iterative approach is not optimal in that it does not yield the best estimates of focal-plane parameters and, depending on the application, may not even enable convergence toward a set of estimates.
An Improved Unscented Kalman Filter Based Decoder for Cortical Brain-Machine Interfaces.
Li, Simin; Li, Jie; Li, Zheng
2016-01-01
Brain-machine interfaces (BMIs) seek to connect brains with machines or computers directly, for application in areas such as prosthesis control. For this application, the accuracy of the decoding of movement intentions is crucial. We aim to improve accuracy by designing a better encoding model of primary motor cortical activity during hand movements and combining this with decoder engineering refinements, resulting in a new unscented Kalman filter based decoder, UKF2, which improves upon our previous unscented Kalman filter decoder, UKF1. The new encoding model includes novel acceleration magnitude, position-velocity interaction, and target-cursor-distance features (the decoder does not require target position as input, it is decoded). We add a novel probabilistic velocity threshold to better determine the user's intent to move. We combine these improvements with several other refinements suggested by others in the field. Data from two Rhesus monkeys indicate that the UKF2 generates offline reconstructions of hand movements (mean CC 0.851) significantly more accurately than the UKF1 (0.833) and the popular position-velocity Kalman filter (0.812). The encoding model of the UKF2 could predict the instantaneous firing rate of neurons (mean CC 0.210), given kinematic variables and past spiking, better than the encoding models of these two decoders (UKF1: 0.138, p-v Kalman: 0.098). In closed-loop experiments where each monkey controlled a computer cursor with each decoder in turn, the UKF2 facilitated faster task completion (mean 1.56 s vs. 2.05 s) and higher Fitts's Law bit rate (mean 0.738 bit/s vs. 0.584 bit/s) than the UKF1. These results suggest that the modeling and decoder engineering refinements of the UKF2 improve decoding performance. We believe they can be used to enhance other decoders as well.
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)
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.
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
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.
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.
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...
Optimal Tuner Selection for Kalman Filter-Based Aircraft Engine Performance Estimation
Simon, Donald L.; Garg, Sanjay
2010-01-01
A linear point design methodology for minimizing the error in on-line Kalman filter-based aircraft engine performance estimation applications is presented. This technique specifically addresses the underdetermined estimation problem, where there are more unknown parameters than available sensor measurements. A systematic approach is applied to produce a model tuning parameter vector of appropriate dimension to enable estimation by a Kalman filter, while minimizing the estimation error in the parameters of interest. Tuning parameter selection is performed using a multi-variable iterative search routine which seeks to minimize the theoretical mean-squared estimation error. This paper derives theoretical Kalman filter estimation error bias and variance values at steady-state operating conditions, and presents the tuner selection routine applied to minimize these values. Results from the application of the technique to an aircraft engine simulation are presented and compared to the conventional approach of tuner selection. Experimental simulation results are found to be in agreement with theoretical predictions. The new methodology is shown to yield a significant improvement in on-line engine performance estimation accuracy
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.
On the Kalman Filter error covariance collapse into the unstable subspace
Directory of Open Access Journals (Sweden)
A. Trevisan
2011-03-01
Full Text Available When the Extended Kalman Filter is applied to a chaotic system, the rank of the error covariance matrices, after a sufficiently large number of iterations, reduces to N^{+} + N^{0} where N^{+} and N^{0} are the number of positive and null Lyapunov exponents. This is due to the collapse into the unstable and neutral tangent subspace of the solution of the full Extended Kalman Filter. Therefore the solution is the same as the solution obtained by confining the assimilation to the space spanned by the Lyapunov vectors with non-negative Lyapunov exponents. Theoretical arguments and numerical verification are provided to show that the asymptotic state and covariance estimates of the full EKF and of its reduced form, with assimilation in the unstable and neutral subspace (EKF-AUS are the same. The consequences of these findings on applications of Kalman type Filters to chaotic models are discussed.
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
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.
Kalman Filter Track Fits and Track Breakpoint Analysis
Astier, Pierre; Cousins, R D; Letessier-Selvon, A A; Popov, B A; Vinogradova, T G; Astier, Pierre; Cardini, Alessandro; Cousins, Robert D.; Letessier-Selvon, Antoine; Popov, Boris A.; Vinogradova, Tatiana
2000-01-01
We give an overview of track fitting using the Kalman filter method in the NOMAD detector at CERN, and emphasize how the wealth of by-product information can be used to analyze track breakpoints (discontinuities in track parameters caused by scattering, decay, etc.). After reviewing how this information has been previously exploited by others, we describe extensions which add power to breakpoint detection and characterization. We show how complete fits to the entire track, with breakpoint parameters added, can be easily obtained from the information from unbroken fits. Tests inspired by the Fisher F-test can then be used to judge breakpoints. Signed quantities (such as change in momentum at the breakpoint) can supplement unsigned quantities such as the various chisquares. We illustrate the method with electrons from real data, and with Monte Carlo simulations of pion decays.
Quantum Kalman filtering and the Heisenberg limit in atomic magnetometry
Energy Technology Data Exchange (ETDEWEB)
Geremia, J M; Stockton, John K; Doherty, Andrew C; Mabuchi, Hideo [Norman Bridge Laboratory of Physics, California Institute of Technology, Pasadena, California, 91125 (United States)
2003-12-19
The shot-noise detection limit in current high-precision magnetometry [I. Kominis, T. Kornack, J. Allred, and M. Romalis, Nature (London) 422, 596 (2003)]10.1038/nature01484 is a manifestation of quantum fluctuations that scale as 1/{radical}(N) in an ensemble of N atoms. Here, we develop a procedure that combines continuous measurement and quantum Kalman filtering [V. Belavkin, Rep. Math. Phys. 43, 405 (1999)] to surpass this conventional limit by exploiting conditional spin squeezing to achieve 1/N field sensitivity. Our analysis demonstrates the importance of optimal estimation for high bandwidth precision magnetometry at the Heisenberg limit and also identifies an approximate estimator based on linear regression.
Kalman Filter for Mass Property and Thrust Identification (MMS)
Queen, Steven
2015-01-01
The Magnetospheric Multiscale (MMS) mission consists of four identically instrumented, spin-stabilized observatories, elliptically orbiting the Earth in a tetrahedron formation. For the operational success of the mission, on-board systems must be able to deliver high-precision orbital adjustment maneuvers. On MMS, this is accomplished using feedback from on-board star sensors in tandem with accelerometers whose measurements are dynamically corrected for errors associated with a spinning platform. In order to determine the required corrections to the measured acceleration, precise estimates of attitude, rate, and mass-properties is necessary. To this end, both an on-board and ground-based Multiplicative Extended Kalman Filter (MEKF) were formulated and implemented in order to estimate the dynamic and quasi-static properties of the spacecraft.
Solving Assembly Sequence Planning using Angle Modulated Simulated Kalman Filter
Mustapa, Ainizar; Yusof, Zulkifli Md.; Adam, Asrul; Muhammad, Badaruddin; Ibrahim, Zuwairie
2018-03-01
This paper presents an implementation of Simulated Kalman Filter (SKF) algorithm for optimizing an Assembly Sequence Planning (ASP) problem. The SKF search strategy contains three simple steps; predict-measure-estimate. The main objective of the ASP is to determine the sequence of component installation to shorten assembly time or save assembly costs. Initially, permutation sequence is generated to represent each agent. Each agent is then subjected to a precedence matrix constraint to produce feasible assembly sequence. Next, the Angle Modulated SKF (AMSKF) is proposed for solving ASP problem. The main idea of the angle modulated approach in solving combinatorial optimization problem is to use a function, g(x), to create a continuous signal. The performance of the proposed AMSKF is compared against previous works in solving ASP by applying BGSA, BPSO, and MSPSO. Using a case study of ASP, the results show that AMSKF outperformed all the algorithms in obtaining the best solution.
Kalman filtering of self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1992-01-01
Pressurized water reactors employ a wide variety of in-core detectors to determine the neutronic behavior within the core. Among the detectors used are rhodium and vanadium self-powered detectors (SPDs), which are very accurate, but respond slowly to changes in neutron flux. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which converts delayed-responding rhodium and vanadium SPDs into prompt-responding detectors by reconstructing the dynamic flux signal sensed by the detectors from the prompt and delayed components. This conversion offers the possibility of utilizing current fixed in-core detector systems based on these delayed-responding detectors for core control and/or core protection functions without the need for fixed in-core detectors which are prompt-responding. As a result, the capabilities of current fixed in-core detector systems could be expanded significantly without a major hardware investment
Kalman filtering for rhodium self-powered neutron detectors
International Nuclear Information System (INIS)
Kantrowitz, M.L.
1988-01-01
Rhodium self-powered neutron detectors are utilized in many pressurized water reactors to determine the neutronic behavior within the core. In order to compensate for the inherent time delay associated with the response of these detectors, a dynamic compensation algorithm is currently used in Combustion Engineering plants to reconstruct the dynamic flux signal which is being sensed by the rhodium detectors. This paper describes a new dynamic compensation algorithm, based on Kalman filtering, which improves on the noise gain and response time characteristics of the algorithm currently used, and offers the possibility of utilizing the proven rhodium detector based fixed in-core detector system as an integral part of advanced core control and/or protection systems
Institute of Scientific and Technical Information of China (English)
常国宾; 柳明
2015-01-01
In inertial navigation system (INS) and global positioning system (GPS) integrated system, GPS antennas are usually not located at the same location as the inertial measurement unit (IMU) of the INS, so the lever arm effect exists, which makes the observation equation highly nonlinear. The INS/GPS integration with constant lever arm effect is studied. The position relation of IMU and GPS’s antenna is represented in the earth centered earth fixed frame, while the velocity relation of these two systems is represented in local horizontal frame. Due to the small integration time interval of INS, i.e. 0.1 s in this work, the nonlinearity in the INS error equation is trivial, so the linear INS error model is constructed and addressed by Kalman filter’s prediction step. On the other hand, the high nonlinearity in the observation equation due to lever arm effect is addressed by unscented Kalman filter’s update step to attain higher accuracy and better applicability. Simulation is designed and the performance of the hybrid filter is validated.
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.
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.
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)
Multi-Sensor Optimal Data Fusion Based on the Adaptive Fading Unscented Kalman Filter.
Gao, Bingbing; Hu, Gaoge; Gao, Shesheng; Zhong, Yongmin; Gu, Chengfan
2018-02-06
This paper presents a new optimal data fusion methodology based on the adaptive fading unscented Kalman filter for multi-sensor nonlinear stochastic systems. This methodology has a two-level fusion structure: at the bottom level, an adaptive fading unscented Kalman filter based on the Mahalanobis distance is developed and serves as local filters to improve the adaptability and robustness of local state estimations against process-modeling error; at the top level, an unscented transformation-based multi-sensor optimal data fusion for the case of N local filters is established according to the principle of linear minimum variance to calculate globally optimal state estimation by fusion of local estimations. The proposed methodology effectively refrains from the influence of process-modeling error on the fusion solution, leading to improved adaptability and robustness of data fusion for multi-sensor nonlinear stochastic systems. It also achieves globally optimal fusion results based on the principle of linear minimum variance. Simulation and experimental results demonstrate the efficacy of the proposed methodology for INS/GNSS/CNS (inertial navigation system/global navigation satellite system/celestial navigation system) integrated navigation.
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.
Extended Kalman filter (EKF) application in vitamin C two-step fermentation process.
Wei, D; Yuan, W; Yuan, Z; Yin, G; Chen, M
1993-01-01
Based on kinetic model study of vitamin C two-step fermentation, the extended Kalman filter (EKF) theory is conducted for studying the process which is disturbed by white noise to some extent caused by the model, the fermentation system and operation fluctuation. EKF shows that calculated results from estimated process parameters agree with the experimental results considerably better than model prediction without using estimated parameters. Parameter analysis gives a better understanding of the kinetics and provides a basis for state estimation and state prediction.
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.
A Network of Kalman Filters for MAI and ISI Compensation in a Non-Gaussian Environment
Directory of Open Access Journals (Sweden)
Sayadi Bessem
2005-01-01
Full Text Available This paper develops a new multiuser detector based on a network of kalman filters (NKF dealing with multiple access-interference (MAI, intersymbol Interference (ISI, and an impulsive observation noise. The two proposed schemes are based on the modeling of the DS-CDMA system by a discrete-time linear system that has non-Gaussian state and measurement noises. By approximating the non-Gaussian densities of the noises by a weighted sum of Gaussian terms and under the common MMSE estimation criterion, we first derive an NKF detector. This version is further optimized by introducing a feedback exploiting the ISI interference structure. The resulting scheme is an NKF detector based on a likelihood ratio test (LRT. Monte-Carlo simulations have shown that the NKF and the NKF based on LRT detectors significantly improve the efficiency and the performance of the classical Kalman algorithm.
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.
Interaction of Lyapunov vectors in the formulation of the nonlinear extension of the Kalman filter.
Palatella, Luigi; Trevisan, Anna
2015-04-01
When applied to strongly nonlinear chaotic dynamics the extended Kalman filter (EKF) is prone to divergence due to the difficulty of correctly forecasting the forecast error probability density function. In operational forecasting applications ensemble Kalman filters circumvent this problem with empirical procedures such as covariance inflation. This paper presents an extension of the EKF that includes nonlinear terms in the evolution of the forecast error estimate. This is achieved starting from a particular square-root implementation of the EKF with assimilation confined in the unstable subspace (EKF-AUS), that is, the span of the Lyapunov vectors with non-negative exponents. When the error evolution is nonlinear, the space where it is confined is no more restricted to the unstable and neutral subspace causing filter divergence. The algorithm presented here, denominated EKF-AUS-NL, includes the nonlinear terms in the error dynamics: These result from the nonlinear interaction among the leading Lyapunov vectors and account for all directions where the error growth may take place. Numerical results show that with the nonlinear terms included, filter divergence can be avoided. We test the algorithm on the Lorenz96 model, showing very promising results.
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.
DEFF Research Database (Denmark)
Jørgensen, John Bagterp; Thomsen, Per Grove; Madsen, Henrik
2007-01-01
for nonlinear stochastic continuous-discrete time systems is more than two orders of magnitude faster than a conventional implementation. This is of significance in nonlinear model predictive control applications, statistical process monitoring as well as grey-box modelling of systems described by stochastic......We present a novel numerically robust and computationally efficient extended Kalman filter for state estimation in nonlinear continuous-discrete stochastic systems. The resulting differential equations for the mean-covariance evolution of the nonlinear stochastic continuous-discrete time systems...
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.
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.
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...
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.
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.
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
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%.
Detection of broken rotor bars in induction motors using nonlinear Kalman filters.
Karami, Farzaneh; Poshtan, Javad; Poshtan, Majid
2010-04-01
This paper presents a model-based fault detection approach for induction motors. A new filtering technique using Unscented Kalman Filter (UKF) and Extended Kalman Filter (EKF) is utilized as a state estimation tool for on-line detection of broken bars in induction motors based on rotor parameter value estimation from stator current and voltage processing. The hypothesis on which the detection is based is that the failure events are detected by jumps in the estimated parameter values of the model. Both UKF and EKF are used to estimate the value of rotor resistance. Upon breaking a bar the estimated rotor resistance is increased instantly, thus providing two values of resistance after and before bar breakage. In order to compare the estimation performance of the EKF and UKF, both observers are designed for the same motor model and run with the same covariance matrices under the same conditions. Computer simulations are carried out for a squirrel cage induction motor. The results show the superiority of UKF over EKF in nonlinear system (such as induction motors) as it provides better estimates for rotor fault detection. Copyright 2010. Published by Elsevier Ltd.
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.
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
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.
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.
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)
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.
State Estimation of Induction Motor Drives Using the Unscented Kalman Filter
DEFF Research Database (Denmark)
Lascu, Cristian; Jafarzadeh, Saeed; Fadali, M.Sami
2012-01-01
This paper investigates the application, design, and implementation of unscented Kalman filters (KFs) (UKFs) for induction motor (IM) sensorless drives. UKFs use nonlinear unscented transforms (UTs) in the prediction step in order to preserve the stochastic characteristics of a nonlinear system....... The advantage of using UTs is their ability to capture the nonlinear behavior of the system, unlike extended KFs (EKFs) that use linearized models. Four original variants of the UKF for IM state estimation, based on different UTs, are described, analyzed, and compared. The four transforms are basic, general...
Removal of jitter noise in 3D shape recovery from image focus by using Kalman filter.
Jang, Hoon-Seok; Muhammad, Mannan Saeed; Choi, Tae-Sun
2018-02-01
In regard to Shape from Focus, one critical factor impacting system application is mechanical vibration of the translational stage causing jitter noise along the optical axis. This noise is not detectable by simply observing the image. However, when focus measures are applied, inaccuracies in the depth occur. In this article, jitter noise and focus curves are modeled by Gaussian distribution and quadratic function, respectively. Then Kalman filter is designed and applied to eliminate this noise in the focus curves, as a post-processing step after the focus measure application. Experiments are implemented with simulated objects and real objects to show usefulness of proposed algorithm. © 2017 Wiley Periodicals, Inc.
Kalman filter based data fusion for neutral axis tracking in wind turbine towers
DEFF Research Database (Denmark)
Soman, Rohan; Malinowski, Pawel; Ostachowicz, Wieslaw
2015-01-01
downtime, hence increasing the availability of the system. The present work is based on the use of neutral axis (NA) for SHM of the structure. The NA is tracked by data fusion of measured yaw angle and strain through the use of Extended Kalman Filter (EKF). The EKF allows accurate tracking even...... in the NA position may be used for detecting and locating the damage. The wind turbine tower has been modelled with FE software ABAQUS and validated on data from load measurements carried out on the 34m high tower of the Nordtank, NTK 500/41 wind turbine....
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.
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.
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.