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Continuous nonlinear recursive filtering based on Markov processes and state-variable concepts for application to optimum analog demodulation
Book on stochastic processes and filtering theory covering probability theory, Markov processes, linear and nonlinear filters, etc
This paper compares theoretical and experimental picture compression designs, for images processed in 8 x 8 blocks using the Walsh-Hadamard transform (WHT). The optimum picture compression design is well known, if the mean-square error (mse) is used as the measure of distortion, and if it is assumed that the video process is a stationary first-order Markov process with a Gaussian distribution. This theoretical design gives useful results when the transform processing is done on full pictures, but gives inferior results (relative to empirical design) when transform processing is done on small 8 x 8 blocks. The use of non-Gaussian distributions for the transform components fails to improve this poor performance, which is due to the nonstationary nature of the video process. An experimentally based design procedure, which considers nonstationarity, yields significantly improved mse and subjective performance.
This paper presents a summary of the results to date of a Jet Propulsion Laboratory internally funded research task to study the costing process and parameters used by internally recognized software cost estimating experts. Protocol Analysis and Markov process modeling were used to capture software engineer's forecasting mental models. While there is significant variation between the mental models that were studied, it was nevertheless possible to identify a core set of cost forecasting activities, and it was also found that the mental models cluster around three forecasting techniques. Further partitioning of the mental models revealed clustering of activities, that is very suggestive of a forecasting lifecycle. The different forecasting methods identified were based on the use of multiple-decomposition steps or multiple forecasting steps. The multiple forecasting steps involved either forecasting software size or an additional effort forecast. Virtually no subject used risk reduction steps in combination. The results of the analysis include: the identification of a core set of well defined costing activities, a proposed software forecasting life cycle, and the identification of several basic software forecasting mental models. The paper concludes with a discussion of the implications of the results for current individual and institutional practices.
A model that is sufficiently general to describe the predominant statistical characteristics of the output of many real optical detectors is formulated. This model is used to study the optimum receiver processing for direct-detection optical communication systems. In particular, the structures of detectors and estimators for filtered doubly stochastic Poisson processes (DSPP) observed in additive white Gaussian noise are considered. Representations for the posterior statistics of a vector Markov process that modulates the intensity of the DSPP are obtained.
The first-excursion probability of a stationary narrow-band Gaussian process with mean zero has been studied. Within the framework of point process approach, series approximations derived from the theory of random points and approximations based on the maximum entropy principle have been developed. With the aid of numerical examples, merits of the approximations proposed previously as well as of those developed in this paper have been compared. The results indicate that the maximum entropy principle has not produced satisfactory approximations but the approximation based on nonapproaching random points is found to be the best among all the approximations proposed herein. A conclusion drawn from the present and the previous studies is that the point process approach produces a number of useful approximations for the first-excursion probability, particularly those based on the concepts of the Markov process, the clump-size, and the nonapproaching random points.
The enhancement of images that are characterized only by statistical data where the picture contains additive noise is considered. The random process representing the output of the scanner is characterized by the output of a dynamic system with white noise input. The dynamic system describes a first-order vector-Markov process. The procedure of Kalman filtering is then utilized to recursively determine the minimum mean-square error estimate of the image. The result is then extended to obtain the smoothing of the data.
Minimum variance estimation requires that the statistics of random observation errors be modeled properly. If measurements are derived through the use of atomic frequency standards, then one source of error affecting the observable is random fluctuation in frequency. This is the case, for example, with range and integrated Doppler measurements from satellites of the Global Positioning and baseline determination for geodynamic applications. An analytic method is presented which approximates the statistics of this random process. The procedure starts with a model of the Allan variance for a particular oscillator and develops the statistics of range and integrated Doppler measurements. A series of five first order Markov processes is used to approximate the power spectral density obtained from the Allan variance.
An intermediate model was used to represent the probabilistic nature of a total system at a level which is higher than the base model and thus closer to the performance variable. A class of intermediate models, which are generally referred to as functionals of a Markov process, were considered. A closed form solution of performability for the case where performance is identified with the minimum value of a functional was developed.
The Orion spacecraft is being designed as NASA's next-generation exploration vehicle for crewed missions beyond Low-Earth Orbit. The navigation system for the Orion spacecraft is being designed in a Multi-Organizational Design Environment (MODE) team including contractor and NASA personnel. The system uses an Extended Kalman Filter to process measurements and determine the state. The design of the navigation system has undergone several iterations and modifications since its inception, and continues as a work-in-progress. This paper seeks to benchmark the current state of the design and some of the rationale and analysis behind it. There are specific challenges to address when preparing a timely and effective design for the Exploration Flight Test (EFT-1), while still looking ahead and providing software extensibility for future exploration missions. The primary measurements in a Near-Earth or Mid-Earth environment consist of GPS pseudorange and deltarange, but for future explorations missions the use of star-tracker and optical navigation sources need to be considered. Discussions are presented for state size and composition, processing techniques, and consider states. A presentation is given for the processing technique using the computationally stable and robust UDU formulation with an Agee-Turner Rank-One update. This allows for computational savings when dealing with many parameters which are modeled as slowly varying Gauss-Markov processes. Preliminary analysis shows up to a 50% reduction in computation versus a more traditional formulation. Several state elements are discussed and evaluated, including position, velocity, attitude, clock bias/drift, and GPS measurement biases in addition to bias, scale factor, misalignment, and non-orthogonalities of the accelerometers and gyroscopes. Another consideration is the initialization of the EKF in various scenarios. Scenarios such as single-event upset, ground command, pad alignment, cold start are discussed as are strategies for whole and partial state updates as well as covariance considerations. Strategies are given for dealing with latent measurements and high-rate propagation using multi-rate architecture. The details of the rate groups and the data ow between the elements is discussed and evaluated.
The absolute navigation design of NASA's Orion vehicle is described. It has undergone several iterations and modifications since its inception, and continues as a work-in-progress. This paper seeks to benchmark the current state of the design and some of the rationale and analysis behind it. There are specific challenges to address when preparing a timely and effective design for the Exploration Flight Test (EFT-1), while still looking ahead and providing software extensibility for future exploration missions. The primary onboard measurements in a Near-Earth or Mid-Earth environment consist of GPS pseudo-range and delta-range, but for future explorations missions the use of star-tracker and optical navigation sources need to be considered. Discussions are presented for state size and composition, processing techniques, and consider states. A presentation is given for the processing technique using the computationally stable and robust UDU formulation with an Agee-Turner Rank-One update. This allows for computational savings when dealing with many parameters which are modeled as slowly varying Gauss-Markov processes. Preliminary analysis shows up to a 50% reduction in computation versus a more traditional formulation. Several state elements are discussed and evaluated, including position, velocity, attitude, clock bias/drift, and GPS measurement biases in addition to bias, scale factor, misalignment, and non-orthogonalities of the accelerometers and gyroscopes. Another consideration is the initialization of the EKF in various scenarios. Scenarios such as single-event upset, ground command, and cold start are discussed as are strategies for whole and partial state updates as well as covariance considerations. Strategies are given for dealing with latent measurements and high-rate propagation using multi-rate architecture. The details of the rate groups and the data ow between the elements is discussed and evaluated.
ALTKAL is a computer program designed to smooth sea surface height data obtained from the GEOS 3 altimeter, and to produce minimum variance estimates of sea surface height and sea surface slopes, along with their standard derivations. The program operates by processing the data through a Kalman filter in both the forward and backward directions, and optimally combining the results. The sea surface height signal is considered to have a geoid signal, modeled by a third order Gauss-Markov process, corrupted by additive white noise. The governing parameters for the signal and noise processes are the signal correlation length and the signal-to-noise ratio. Mathematical derivations of the filtering and smoothing algorithms are presented. The smoother characteristics are illustrated by giving the frequency response, the data weighting sequence and the transfer function of a realistic steady-state smoother example. Based on nominal estimates for geoidal undulation amplitude and correlation length, standard deviations for the estimated sea surface height and slope are 12 cm and 3 arc seconds, respectively.
A new stochastic adaptive control structure is developed for the problem of combined parameter estimation and control of aerospace vehicles with changing parameters. Parameter uncertainties are modeled as first-order Gauss-Markov processes, and are introduced to the system dynamics through a small parameter. It is assumed that an accurate inertial measurement unit gives perfect measurements of the state variables. Since the stochastic system is assumed to be Gauss-Markov, the density function of the parameters given these measurements is conditionally Gaussian. Based on this conditionally Gaussian density, the problem of minimizing a quadratic cost over an infinite time horizon can be set up within the framework of stochastic optimal control theory. The optimal feedback control law is derived from a straightforward expansion of the Hamilton-Jacobi-Bellman equation, based on the LQG solution. The resulting nonlinear controller is applied to the pitch axis control of a space platform with uncertain moments of inertia and is shown to produce marked improvement over a fixed controller.
A stochastic leaf radiation model based upon physical and physiological properties of dicot leaves has been developed. The model accurately predicts the absorbed, reflected, and transmitted radiation of normal incidence as a function of wavelength resulting from the leaf-irradiance interaction over the spectral interval of 0.40-2.50 micron. The leaf optical system has been represented as Markov process with a unique transition matrix at each 0.01-micron increment between 0.40 micron and 2.50 micron. Probabilities are calculated at every wavelength interval from leaf thickness, structure, pigment composition, and water content. Simulation results indicate that this approach gives accurate estimations of actual measured values for dicot leaf absorption, reflection, and transmission as a function of wavelength.
Human behavior often consists of a series of distinct activities, each characterized by a unique pattern of interaction with the visual environment. This is true even in a restricted domain, such as a piloting an aircraft, where activities with distinct visual signatures might be things like communicating, navigating, and monitoring. We propose a novel analysis method for gaze-tracking data, to perform blind discovery of these hypothetical activities. The method is in some respects similar to recurrence analysis, but here we compare not individual fixations, but groups of fixations aggregated over a fixed time interval. The duration of this interval is a parameter that we will refer to as delta. We assume that the environment has been divided into a set of N different areas-of-interest (AOIs). For a given interval of time of duration delta, we compute the proportion of time spent fixating each AOI, resulting in an N-dimensional vector. These proportions can be converted to integer counts by multiplying by delta divided by the average fixation duration (another parameter that we fix at 280 milliseconds). We compare different intervals by computing the chi-square statistic. The p-value associated with the statistic is the likelihood of observing the data under the hypothesis that the data in the two intervals were generated by a single process with a single set of probabilities governing the fixation of each AOI. The method has been applied to approximately 100 hours of eye movement data collected from pilots in a high-fidelity B747 flight simulator, and the results have been compared to synthetic data in which the each activity is represented as first-order Markov process with random probabilities assigned to the AOIs. Randomly-generated synthetic activities can require thousands of fixations to be discriminated with statistical significance, while the human data can be clustered using averaging windows of some 10's of seconds, suggesting that the actual activities are much more narrowly focused than random Markov models.
The major goals of the project were to develop and analyze new ensemble simulation techniques, including trajectory stratification and preconditioned MCMC techniques, as well as develop fast numerical linear algebra techniques closely related to ensemble simulation ideas. The trajectory stratification techniques involve simulating in parallel short trajectory fragments of a Markov process confined to a specific region of space‐time and then patching together the statistics gathered to assemble estimates of very general dynamical properties. We have also developed this approach for rare event simulation and extended the techniques to applications requiring a more general framework (such as electronic structure calculations). The preconditioned MCMC techniques involve simulating multiple Markov chains in parallel and then using information from the ensemble to speed the mixing of each individual chain. The fast randomized linear algebra methods are motivated by the diffusion Monte Carlo technique, but are applicable to finding the dominant eigenvalue of (almost) general matrices. For most non‐negative matrices, the schemes result in an error (compared to the power method) that is constant in the dimension of the problem. For more general matrices, we see a very clear sublinear cost trend in computational tests.
We present a method for reweighting flavor selection in the Lund string fragmentation model. This is the process of calculating and applying event weights enabling fast and exact variation of hadronization parameters on pre-generated event samples. The procedure is post hoc, requiring only a small amount of additional information stored per event, and allowing for efficient estimation of hadronization uncertainties without repeated simulation. Weight expressions are derived from the hadronization algorithm itself, and validated against direct simulation for a wide range of observables and parameter shifts. The hadronization algorithm can be viewed as a hierarchical Markov process with stochastic rejections, a structure common to many complex simulations outside of high-energy physics. This perspective makes the method modular, extensible, and potentially transferable to other domains. We demonstrate the approach in Pythia, including both coverage considerations and timing benefits. For the purpose of this paper, our goal is to develop and demonstrate the the formalism, and we therefore exclude several model variations for baryon production (popcorn model, junction production) needed for proton collisions. These will be the topic of a future paper.
A procedure for recursively estimating images that are characterized statistically by the mean and correlation functions associated with the random process representing the brightness level is proposed for the case where the images are corrupted by additive noise. First, a dynamic model is developed with a response characteristic which matches that of the scanner output (the input of the estimator is the output of a horizontal line scanner) in a statistical sense. Such models have the form of an ordinary differential or difference equation with white noise input. An insignificant approximation is introduced by using a constant-coefficient model. The appropriate model is a vector valued difference equation with the solution representing a vector Markov process. The next step is to obtain the minimum mean square estimate of the image by using a Kalman filter. Since the image estimation is an interpolation problem, two successive runs over the observation are performed in opposite directions and the resultant estimates are averaged. Examples are included for illustration.