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UDU/T/ covariance factorization for Kalman filtering

There has been strong motivation to produce numerically stable formulations of the Kalman filter algorithms because it has long been known that the original discrete-time Kalman formulas are numerically unreliable. Numerical instability can be avoided by propagating certain factors of the estimate error covariance matrix rather than the covariance matrix itself. This paper documents filter algorithms that correspond to the covariance factorization P = UDU(T), where U is a unit upper triangular matrix and D is diagonal. Emphasis is on computational efficiency and numerical stability, since these properties are of key importance in real-time filter applications. The history of square-root and U-D covariance filters is reviewed. Simple examples are given to illustrate the numerical inadequacy of the Kalman covariance filter algorithms; these examples show how factorization techniques can give improved computational reliability.

Thornton, C. L.↗

A Kalman filter for a two-dimensional shallow-water model

A two-dimensional Kalman filter is described for data assimilation for making weather forecasts. The filter is regarded as superior to the optimal interpolation method because the filter determines the forecast error covariance matrix exactly instead of using an approximation. A generalized time step is defined which includes expressions for one time step of the forecast model, the error covariance matrix, the gain matrix, and the evolution of the covariance matrix. Subsequent time steps are achieved by quantifying the forecast variables or employing a linear extrapolation from a current variable set, assuming the forecast dynamics are linear. Calculations for the evolution of the error covariance matrix are banded, i.e., are performed only with the elements significantly different from zero. Experimental results are provided from an application of the filter to a shallow-water simulation covering a 6000 x 6000 km grid.

Parrish, D. F.↗

Polarimetric radar data decomposition and interpretation

Significant efforts have been made to decompose polarimetric radar data into several simple scattering components. The components which are selected because of their physical significance can be used to classify SAR (Synthetic Aperture Radar) image data. If particular components can be related to forest parameters, inversion procedures may be developed to estimate these parameters from the scattering components. Several methods have been used to decompose an averaged Stoke's matrix or covariance matrix into three components representing odd (surface), even (double-bounce) and diffuse (volume) scatterings. With these decomposition techniques, phenomena, such as canopy-ground interactions, randomness of orientation, and size of scatters can be examined from SAR data. In this study we applied the method recently reported by van Zyl (1992) to decompose averaged backscattering covariance matrices extracted from JPL SAR images over forest stands in Maine, USA. These stands are mostly mixed stands of coniferous and deciduous trees. Biomass data have been derived from field measurements of DBH and tree density using allometric equations. The interpretation of the decompositions and relationships with measured stand biomass are presented in this paper.

Sun, Guoqing↗

Triangular covariance factorizations for

An improved computational form of the discrete Kalman filter is derived using an upper triangular factorization of the error covariance matrix. The covariance P is factored such that P = UDUT where U is unit upper triangular and D is diagonal. Recursions are developed for propagating the U-D covariance factors together with the corresponding state estimate. The resulting algorithm, referred to as the U-D filter, combines the superior numerical precision of square root filtering techniques with an efficiency comparable to that of Kalman's original formula. Moreover, this method is easily implemented and involves no more computer storage than the Kalman algorithm. These characteristics make the U-D method an attractive realtime filtering technique. A new covariance error analysis technique is obtained from an extension of the U-D filter equations. This evaluation method is flexible and efficient and may provide significantly improved numerical results. Cost comparisons show that for a large class of problems the U-D evaluation algorithm is noticeably less expensive than conventional error analysis methods.

Thornton, C. L.↗

Space shuttle launch era spacecraft injection errors and DSN initial acquisition

The initial acquisition of a spacecraft by the Deep Space Network (DSN) is a critical mission event. This results from the importance of rapidly evaluating the health and trajectory of a spacecraft in the event that immediate corrective action might be required. Further, the DSN initial acquisition is always complicated by the most extreme tracking rates of the mission. The DSN initial acquisition characteristics will change considerably in the upcoming space shuttle launch era. How given injection errors at spacecraft separation from the upper stage launch vehicle (carried into orbit by the space shuttle) impact the DSN initial acquisition, and how this information can be factored into injection accuracy requirements to be levied on the Space Transportation System (STS) is addressed. The approach developed begins with the DSN initial acquisition parameters, generates a covariance matrix, and maps this covariance matrix backward to the spacecraft injection, thereby greatly simplifying the task of levying accuracy requirements on the STS, by providing such requirements in a format both familiar and convenient to STS.

Khatib, A. R.↗

Polarization effects and multipolarization SAR

Imaging radar polarimeters are usually implemented using a Synthetic Aperture Radar (SAR) approach to give a high resolution image in two dimensions: range and azimuth. For each pixel in the image a polarimetric SAR gives sufficient information to characterize the polarimetric scattering properties of the imaged area (or target) as seen by the radar. Using a polarimetric SAR system as opposed to a single-polarization SAR system provides significantly more information about the target scattering mechanisms and allows better discrimination between different types of surfaces. In these notes a brief overview of SAR polarimetry is offered. The notes are intended as a text to accompany a lecture on SAR polarimetry as part of an AGARD-NATO course. Covered in the notes are the following: the polarization properties of electromagnetic waves; the concepts of radar scattering and measuring radar backscatter with a SAR; polarization synthesis; scattering matrix, Stokes matrix, and covariance matrix representations of polarimetric SAR data; polarization signature plots; design and calibration of polarimetric SAR systems; polarization filtering for target detection; fitting a simple model to polarimetric SAR measurements of naturally occurring features; and supervised classification of polarimetric SAR data.

Freeman, Anthony↗

Adapting Covariance Propagation to Account for the Presence of Modeled and Unmodeled Maneuvers

This paper explores techniques that can be used to adapt the standard linearized propagation of an orbital covariance matrix to the case where there is a maneuver and an associated execution uncertainty. A Monte Carlo technique is used to construct a final orbital covariance matrix for a 'prop-burn-prop' process that takes into account initial state uncertainty and execution uncertainties in the maneuver magnitude. This final orbital covariance matrix is regarded as 'truth' and comparisons are made with three methods using modified linearized covariance propagation. The first method accounts for the maneuver by modeling its nominal effect within the state transition matrix but excludes the execution uncertainty by omitting a process noise matrix from the computation. The second method does not model the maneuver but includes a process noise matrix to account for the uncertainty in its magnitude. The third method, which is essentially a hybrid of the first two, includes the nominal portion of the maneuver via the state transition matrix and uses a process noise matrix to account for the magnitude uncertainty. The first method is unable to produce the final orbit covariance except in the case of zero maneuver uncertainty. The second method yields good accuracy for the final covariance matrix but fails to model the final orbital state accurately. Agreement between the simulated covariance data produced by this method and the Monte Carlo truth data fell within 0.5-2.5 percent over a range of maneuver sizes that span two orders of magnitude (0.1-20 m/s). The third method, which yields a combination of good accuracy in the computation of the final covariance matrix and correct accounting for the presence of the maneuver in the nominal orbit, is the best method for applications involving the computation of times of closest approach and the corresponding probability of collision, PC. However, applications for the two other methods exist and are briefly discussed. Although the process model ("prop-burn-prop") that was studied is very simple - point-mass gravitational effects due to the Earth combined with an impulsive delta-V in the velocity direction for the maneuver - generalizations to more complex scenarios, including high fidelity force models, finite duration maneuvers, and maneuver pointing errors, are straightforward and are discussed in the conclusion.

Schiff, Conrad↗

A Framework for Propagation of Uncertainties in the Kepler Data Analysis Pipeline

The Kepler space telescope is designed to detect Earth-like planets around Sun-like stars using transit photometry by simultaneously observing 100,000 stellar targets nearly continuously over a three and a half year period. The 96-megapixel focal plane consists of 42 charge-coupled devices (CCD) each containing two 1024 x 1100 pixel arrays. Cross-correlations between calibrated pixels are introduced by common calibrations performed on each CCD requiring downstream data products access to the calibrated pixel covariance matrix in order to properly estimate uncertainties. The prohibitively large covariance matrices corresponding to the ~75,000 calibrated pixels per CCD preclude calculating and storing the covariance in standard lock-step fashion. We present a novel framework used to implement standard propagation of uncertainties (POU) in the Kepler Science Operations Center (SOC) data processing pipeline. The POU framework captures the variance of the raw pixel data and the kernel of each subsequent calibration transformation allowing the full covariance matrix of any subset of calibrated pixels to be recalled on-the-fly at any step in the calibration process. Singular value decomposition (SVD) is used to compress and low-pass filter the raw uncertainty data as well as any data dependent kernels. The combination of POU framework and SVD compression provide downstream consumers of the calibrated pixel data access to the full covariance matrix of any subset of the calibrated pixels traceable to pixel level measurement uncertainties without having to store, retrieve and operate on prohibitively large covariance matrices. We describe the POU Framework and SVD compression scheme and its implementation in the Kepler SOC pipeline.

Clarke, Bruce D.↗

On the Singularity in the Estimation of the Quaternion-of-Rotation

It has been claimed in the archival literature that the covariance matrix of a Kalman filter, which is designed to estimate the quaternion-of-rotation, is necessarily rank deficient because the normality constraint of the quaternion produces dependence between the quaternion elements. In reality, though, this phenomenon does not occur. The covariance matrix is not singular, and the filter is well behaved. Several simple examples are presented that demonstrate the regularity of the covariance matrix. First, estimation cases are presented where a relationship exists between the estimated variables, and yet the covariance matrix is not singular. Then the particular problem of quaternion estimation is analyzed. It is shown that the discrepancy stems from the fact that a functional relationship exists between the elements of the true quaternion but not between its estimated elements.

Bar-Itzhack, Itzhack Y.↗

Estimation of Smoothing Error in SBUV Profile and Total Ozone Retrieval

Data from the Nimbus-4, Nimbus-7 Solar Backscatter Ultra Violet (SBUV) and seven of the NOAA series of SBUV/2 instruments spanning 41 years are being reprocessed using V8.6 algorithm. The data are scheduled to be released by the end of August 2011. An important focus of the new algorithm is to estimate various sources of errors in the SBUV profiles and total ozone retrievals. We discuss here the smoothing errors that describe the components of the profile variability that the SBUV observing system can not measure. The SBUV(/2) instruments have a vertical resolution of 5 km in the middle stratosphere, decreasing to 8 to 10 km below the ozone peak and above 0.5 hPa. To estimate the smoothing effect of the SBUV algorithm, the actual statistics of the fine vertical structure of ozone profiles must be known. The covariance matrix of the ensemble of measured ozone profiles with the high vertical resolution would be a formal representation of the actual ozone variability. We merged the MLS (version 3) and sonde ozone profiles to calculate the covariance matrix, which in general case, for single profile retrieval, might be a function of the latitude and month. Using the averaging kernels of the SBUV(/2) measurements and calculated total covariance matrix one can estimate the smoothing errors for the SBUV ozone profiles. A method to estimate the smoothing effect of the SBUV algorithm is described and the covariance matrixes and averaging kernels are provided along with the SBUV(/2) ozone profiles. The magnitude of the smoothing error varies with altitude, latitude, season and solar zenith angle. The analysis of the smoothing errors, based on the SBUV(/2) monthly zonal mean time series, shows that the largest smoothing errors were detected in the troposphere and might be as large as 15-20% and rapidly decrease with the altitude. In the stratosphere above 40 hPa the smoothing errors are less than 5% and between 10 and 1 hPa the smoothing errors are on the order of 1%. We validate our estimated smoothing errors by comparing the SBUV ozone profiles with other ozone profiling sensors.

Kramarova, N. A.↗

The Influence of Correlated Crustal Signals in Modelling the Main Geomagnetic Field

Algorithms used in geomagnetic main-field modelling have for the most part treated the noise in the field measurements as if it were white. A major component of the noise consists of the field due to magnetization in the crust and it has been realized for some time that such signals are highly correlated at satellite altitude. Hence approximation by white noise, while of undoubted utility, is of unknown validity. In this paper we study two plausible statistical models for the crustal magnetization, in which the magnetization is a realization of a stationary, isotropic, random process. At a typical satellite altitude the associated fields exhibit significant correlation over ranges as great as 15 deg. or more, which introduces off-diagonal elements into the covariance matrix, elements that have usually been neglected in modelling procedures. Dealing with a full covariance matrix for a large data set would present a formidable computational challenge, but fortunately most of the entries in the covariance matrix are so small that they can be replaced by zeros. The resultant matrix comprises only about 3 per cent non-zero entries and thus we can take advantage of efficient sparse matrix techniques to solve the numerical system. We construct several main-field models based on vertical-component data from a selected 5 deg. by 5 deg. data set derived from the Magsat mission. Models with and without off-diagonal terms are compared.

Rygaard-Hjalsted, C.↗

Efficient Implementation of an Optimal Interpolator for Large Spatial Data Sets

Scattered data interpolation is a problem of interest in numerous areas such as electronic imaging, smooth surface modeling, and computational geometry. Our motivation arises from applications in geology and mining, which often involve large scattered data sets and a demand for high accuracy. The method of choice is ordinary kriging. This is because it is a best unbiased estimator. Unfortunately, this interpolant is computationally very expensive to compute exactly. For n scattered data points, computing the value of a single interpolant involves solving a dense linear system of size roughly n x n. This is infeasible for large n. In practice, kriging is solved approximately by local approaches that are based on considering only a relatively small'number of points that lie close to the query point. There are many problems with this local approach, however. The first is that determining the proper neighborhood size is tricky, and is usually solved by ad hoc methods such as selecting a fixed number of nearest neighbors or all the points lying within a fixed radius. Such fixed neighborhood sizes may not work well for all query points, depending on local density of the point distribution. Local methods also suffer from the problem that the resulting interpolant is not continuous. Meyer showed that while kriging produces smooth continues surfaces, it has zero order continuity along its borders. Thus, at interface boundaries where the neighborhood changes, the interpolant behaves discontinuously. Therefore, it is important to consider and solve the global system for each interpolant. However, solving such large dense systems for each query point is impractical. Recently a more principled approach to approximating kriging has been proposed based on a technique called covariance tapering. The problems arise from the fact that the covariance functions that are used in kriging have global support. Our implementations combine, utilize, and enhance a number of different approaches that have been introduced in literature for solving large linear systems for interpolation of scattered data points. For very large systems, exact methods such as Gaussian elimination are impractical since they require 0(n(exp 3)) time and 0(n(exp 2)) storage. As Billings et al. suggested, we use an iterative approach. In particular, we use the SYMMLQ method, for solving the large but sparse ordinary kriging systems that result from tapering. The main technical issue that need to be overcome in our algorithmic solution is that the points' covariance matrix for kriging should be symmetric positive definite. The goal of tapering is to obtain a sparse approximate representation of the covariance matrix while maintaining its positive definiteness. Furrer et al. used tapering to obtain a sparse linear system of the form Ax = b, where A is the tapered symmetric positive definite covariance matrix. Thus, Cholesky factorization could be used to solve their linear systems. They implemented an efficient sparse Cholesky decomposition method. They also showed if these tapers are used for a limited class of covariance models, the solution of the system converges to the solution of the original system. Matrix A in the ordinary kriging system, while symmetric, is not positive definite. Thus, their approach is not applicable to the ordinary kriging system. Therefore, we use tapering only to obtain a sparse linear system. Then, we use SYMMLQ to solve the ordinary kriging system. We show that solving large kriging systems becomes practical via tapering and iterative methods, and results in lower estimation errors compared to traditional local approaches, and significant memory savings compared to the original global system. We also developed a more efficient variant of the sparse SYMMLQ method for large ordinary kriging systems. This approach adaptively finds the correct local neighborhood for each query point in the interpolation process.

Memarsadeghi, Nargess↗

Adapting Covariance Propagation to Account for the Presence of Modeled and Unmodeled Maneuvers

This paper explores techniques that can be used to adapt the standard linearized propagation of an orbital covariance matrix to the case where there is a maneuver and an associated execution uncertainty. A Monte Carlo technique is used to construct a final orbital covariance matrix for a 'propagate-burn-propagate' process that takes into account initial state uncertainty and execution uncertainties in the maneuver magnitude. This final orbital covariance matrix is regarded as 'truth' and comparisons between it and three methods using modified linearized covariance propagation are made. The first method accounts for the maneuver by modeling its nominal effect within the state transition matrix but excludes the execution uncertainty by omitting a process noise matrix from the computation. In the second method, the maneuver is not modeled but the uncertainty in its magnitude is accounted for by the inclusion of a process noise matrix. In the third method, which is essentially a hybrid of the first two, the nominal portion of the maneuver is included via the state transition matrix while a process noise matrix is used to account for the magnitude uncertainty. Since this method also correctly accounts for the presence of the maneuver in the nominal orbit, it is the best method for applications involving the computation of times of closest approach and the corresponding probability of collision, Pc. However, applications for the two other methods exist and are briefly discussed. Despite the fact that the process model ('propagate-burn-propagate') that was studied was very simple - point-mass gravitational effects due to the Earth combined with an impulsive delta-V in the velocity direction for the maneuver - generalizations to more complex scenarios, including high fidelity force models, finite duration maneuvers, and maneuver pointing errors, are straightforward and are discussed in the conclusion.

Schiff, Conrad↗

The Principle of Energetic Consistency

A basic result in estimation theory is that the minimum variance estimate of the dynamical state, given the observations, is the conditional mean estimate. This result holds independently of the specifics of any dynamical or observation nonlinearity or stochasticity, requiring only that the probability density function of the state, conditioned on the observations, has two moments. For nonlinear dynamics that conserve a total energy, this general result implies the principle of energetic consistency: if the dynamical variables are taken to be the natural energy variables, then the sum of the total energy of the conditional mean and the trace of the conditional covariance matrix (the total variance) is constant between observations. Ensemble Kalman filtering methods are designed to approximate the evolution of the conditional mean and covariance matrix. For them the principle of energetic consistency holds independently of ensemble size, even with covariance localization. However, full Kalman filter experiments with advection dynamics have shown that a small amount of numerical dissipation can cause a large, state-dependent loss of total variance, to the detriment of filter performance. The principle of energetic consistency offers a simple way to test whether this spurious loss of variance limits ensemble filter performance in full-blown applications. The classical second-moment closure (third-moment discard) equations also satisfy the principle of energetic consistency, independently of the rank of the conditional covariance matrix. Low-rank approximation of these equations offers an energetically consistent, computationally viable alternative to ensemble filtering. Current formulations of long-window, weak-constraint, four-dimensional variational methods are designed to approximate the conditional mode rather than the conditional mean. Thus they neglect the nonlinear bias term in the second-moment closure equation for the conditional mean. The principle of energetic consistency implies that, to precisely the extent that growing modes are important in data assimilation, this term is also important.

Cohn, Stephen E.↗

Evaluation of orbits with incomplete knowledge of the mathematical expectancy and the matrix of covariation of errors

The problem of selecting the optimal algorithm of filtration and the optimal composition of the measurements is examined assuming that the precise values of the mathematical expectancy and the matrix of covariation of errors are unknown. It is demonstrated that the optimal algorithm of filtration may be utilized for making some parameters more precise (for example, the parameters of the gravitational fields) after preliminary determination of the elements of the orbit by a simpler method of processing (for example, the method of least squares).

Bakhshiyan, B. T.↗

State estimation Kalman filter using optical processings Noise statistics known

Reference is made to a study by Casasent et al. (1983), which gave a description of a frequency-multiplexed acoustooptic processor and showed how it was capable of performing all the individual operations required in Kalman filtering. The data flow and organization of all required operations however, were not detailed in that study. Consideration is given here to a simpler Kalman filter state estimation problem. Equally spaced time-sampled intervals (k times T sub s, with k the iterative time index) are assumed. It is further assumed that the system noise vector w and the measurement noise vector v are uncorrelated and Gaussian distributed and that the noise statistics (Q and R) and the system model (Phi, Gamma, H) are known. The error covariance matrix P and the extrapolated error covariance matrix M can thus be precomputed and the Kalman gain matrix K sub k can be precomputed and stored for each input time sample.

Jackson, J.↗

Energetic Consistency and Coupling of the Mean and Covariance Dynamics

The dynamical state of the ocean and atmosphere is taken to be a large dimensional random vector in a range of large-scale computational applications, including data assimilation, ensemble prediction, sensitivity analysis, and predictability studies. In each of these applications, numerical evolution of the covariance matrix of the random state plays a central role, because this matrix is used to quantify uncertainty in the state of the dynamical system. Since atmospheric and ocean dynamics are nonlinear, there is no closed evolution equation for the covariance matrix, nor for the mean state. Therefore approximate evolution equations must be used. This article studies theoretical properties of the evolution equations for the mean state and covariance matrix that arise in the second-moment closure approximation (third- and higher-order moment discard). This approximation was introduced by EPSTEIN [1969] in an early effort to introduce a stochastic element into deterministic weather forecasting, and was studied further by FLEMING [1971a,b], EPSTEIN and PITCHER [1972], and PITCHER [1977], also in the context of atmospheric predictability. It has since fallen into disuse, with a simpler one being used in current large-scale applications. The theoretical results of this article make a case that this approximation should be reconsidered for use in large-scale applications, however, because the second moment closure equations possess a property of energetic consistency that the approximate equations now in common use do not possess. A number of properties of solutions of the second-moment closure equations that result from this energetic consistency will be established.

Cohn, Stephen E.↗

On the Singularity in the Estimation of the Quaternion-of-Rotation

It has been claimed in the archival literature that the covariance matrix of a Kalman filter, which is designed to estimate the quaternion-of-rotation, is necessarily rank, deficient because the normality constraint of the quaternion produces dependence between the quaternion elements. In reality, though, this phenomenon does not occur. The covariance matrix is not singular, and the filter is well behaved. Several simple examples are presented th at demonstrate the regularity of the covariance matrix. First, a Kalman filter is designed to estimate variables subject to a functional relationship. Then the particular problem of quaternion estimation is analyzed. It is shown that the discrepancy stems from the fact that the functional relationship exists between the elements of the quaternion but not between its estimate elements.

Bar-Itzhack, Itzhack Y.↗