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Empirical Bayes filter for use in trajectory estimation and comparison of performance with Kalman filter
The research reported here extends the mathematical formulation of nonlinear, sigma-point estimators to enable consider covariance analysis for dynamical systems. This paper presents a novel sigma-point consider filter algorithm, for consider-parameterized nonlinear estimation, following the unscented Kalman filter (UKF) variation on the sigma-point filter formulation, which requires no partial derivatives of dynamics models or measurement models with respect to the parameter list. It is shown that, consistent with the attributes of sigma-point estimators, a consider-parameterized sigma-point estimator can be developed entirely without requiring the derivation of any partial-derivative matrices related to the dynamical system, the measurements, or the considered parameters, which appears to be an advantage over the formulation of a linear-theory sequential consider estimator. It is also demonstrated that a consider covariance analysis performed with this 'partial-derivative-free' formulation yields equivalent results to the linear-theory consider filter, for purely linear problems.
This paper presents a covariance analysis of the performance and sensitivity of the attitude determination Extended Kalman Filter (EKF) used by the On Board Computer (OBC) of the Extreme Ultra Violet Explorer (EUVE) spacecraft. The linearized dynamics and measurement equations of the error states are used in formulating the 'truth model' describing the real behavior of the systems involved. The 'design model' used by the OBC EKF is then obtained by reducing the order of the truth model. The covariance matrix of the EKF which uses the reduced order model is not the correct covariance of the EKF estimation error. A 'true covariance analysis' has to be carried out in order to evaluate the correct accuracy of the OBC generated estimates. The results of such analysis are presented which indicate both the performance and the sensitivity of the OBC EKF.
This paper presents a covariance analysis of the performance and sensitivity of the attitude determination Extended Kalman Filter (EKF) used by the onboard computer (OBC) of the Extreme Ultra Violet Explorer (EUVE) spacecraft. The linearized dynamics and measurement equations of the error states are used in formulating the 'truth model' describing the order of the systems involved. The 'design model' used by the OBC EKF is then obtained by reducing the order of the truth model. The covariance matrix of the EKF which uses the reduced order model is not the correct covariance of the EKF estimation error. A 'true covariance analysis' has to be carried out in order to evaluate the correct accuracy of the OBC generated estimates. The results of such analysis are presented which indicate both the performance and the sensitivity of the OBC EKF.
Recent advances in data assimilation (DA) have focused on developing more flexible approaches that can better accommodate nonlinearities in models and observations. However, it remains unclear how the performance of these advanced methods depends on the observation network characteristics. In this study, we present initial experiments with the surface quasi‐geostrophic model, in which we compare a recently developed ensemble filter using score‐based diffusion models with the standard Local Ensemble Transform Kalman Filter (LETKF). Our results show that the analysis solutions respond differently to the number, spatial distribution, and nonlinear fraction of assimilated observations. We also find notable changes in the multiscale characteristics of the analysis errors. Given that standard DA techniques will eventually be replaced by more advanced methods, we hope this study sets the ground for future efforts to reassess the value of Earth observing systems in the context of newly emerging algorithms.
Assimilating recent observations improves model outcomes for real-time assessments of groundwater processes. This is demonstrated in estimating time-varying recharge to a shallow fractured-rock aquifer in response to precipitation. Results from estimating the time-varying water-table altitude (h) and recharge, and their error covariances, are compared for forecasting, filtering, and fixed-lag smoothing (FLS), which are implemented using the Kalman Filter as applied to a data-driven, mechanistic model of recharge. Forecasting uses past observations to predict future states and is the current paradigm in most groundwater modeling investigations; filtering assimilates observations up to the current time to estimate current states; and FLS estimates states following a time lag over which additional observations are collected. Results for forecasting yield a large error covariance relative to the magnitude of the expected recharge. With assimilating recent observations of h, filtering and FLS produce estimates of recharge that better represent time-varying observations of h and reduce uncertainty in comparison to forecasting. Although model outcomes from applying data assimilation through filtering or FLS reduce model uncertainty, they are not necessarily mass conservative, whereas forecasting outcomes are mass conservative. Mass conservative outcomes from forecasting are not necessarily more accurate, because process errors are inherent in any model. Improvements in estimating real-time groundwater conditions that better represent observations need to be weighed for the model application against outcomes with inherent process deficiencies. In conclusion, results from data assimilation strategies discussed in this investigation are anticipated to be relevant to other groundwater processes models where system states are sensitive to system inputs.
Adaptive filter for estimating system noise inputs from actual residuals developed to control Kalman filter in satellite orbit estimation
The study involves the bank of filters approach to analytical redundancy management since this is amenable to microelectronic implementation. Attention is given to a study of the UD factorized filter to determine if it gives more accurate estimates than the standard Kalman filter when data processing word size is reduced. It is reported that, as the word size is reduced, the effect of modeling error dominates the filter performance of the two filters. However, the UD filter is shown to maintain a slight advantage in tracking performance. It is concluded that because of the UD filter's stability in the serial processing mode, it remains the leading candidate for microelectronic implementation.
Passive depth and displacement map determinations have become an important part of computer vision processing. Applications that make use of this type of information include autonomous navigation, robotic assembly, image sequence compression, structure identification, and 3-D motion estimation. With the reliance of such systems on visual image characteristics, a need to overcome image degradations, such as random image-capture noise, motion, and quantization effects, is clearly necessary. Many depth and displacement estimation algorithms also introduce additional distortions due to the gradient operations performed on the noisy intensity images. These degradations can limit the accuracy and reliability of the displacement or depth information extracted from such sequences. Recognizing the previously stated conditions, a new method to model and estimate a restored depth or displacement field is presented. Once a model has been established, the field can be filtered using currently established multidimensional algorithms. In particular, the reduced order model Kalman filter (ROMKF), which has been shown to be an effective tool in the reduction of image intensity distortions, was applied to the computed displacement fields. Results of the application of this model show significant improvements on the restored field. Previous attempts at restoring the depth or displacement fields assumed homogeneous characteristics which resulted in the smoothing of discontinuities. In these situations, edges were lost. An adaptive model parameter selection method is provided that maintains sharp edge boundaries in the restored field. This has been successfully applied to images representative of robotic scenarios. In order to accommodate image sequences, the standard 2-D ROMKF model is extended into 3-D by the incorporation of a deterministic component based on previously restored fields. The inclusion of past depth and displacement fields allows a means of incorporating the temporal information into the restoration process. A summary on the conditions that indicate which type of filtering should be applied to a field is provided.
The anomalous gravity field of Venus shows high correlation with surface features revealed by radar. We extract gravity models from the Doppler tracking data from the Pioneer Venus Orbiter by means of a two-step process. In the first step, we solve the nonlinear spacecraft state estimation problem using a Kalman filter-smoother. The Kalman filter has been evaluated through simulations. This evaluation and some unusual features of the filter are discussed. In the second step, we perform a geophysical inversion using a linear Bayesian estimator. To allow an unbiased comparison between gravity and topography, we use a simulation technique to smooth and distort the radar topographic data so as to yield maps having the same characteristics as our gravity maps. The maps presented cover 2/3 of the surface of Venus and display the strong topography-gravity correlation previously reported. The topography-gravity scatter plots show two distinct trends.
The anomalous gravity field of Venus shows high correlation with surface features revealed by radar. We extract gravity models from the Doppler tracking data from the Pioneer Venus Orbiter (PVO) by means of a two-step process. In the first step, we solve the nonlinear spacecraft state estimation problem using a Kalman filter-smoother. The Kalman filter was evaluated through simulations. This evaluation and some unusual features of the filter are discussed. In the second step, we perform a geophysical inversion using a linear Bayesian estimator. To allow an unbiased comparison between gravity and topography, we use a simulation technique to smooth and distort the radar topographic data so as to yield maps having the same characteristics as our gravity maps. The maps presented cover 2/3 of the surface of Venus and display the strong topography-gravity correlation previously reported. The topography-gravity scatter plots show two distinct trends.
An efficiently hybrid approach to exploit hyperspectral imagery and unmix spectral pixels. This hybrid approach uses a genetic algorithm to solve the abundance vector for the first pixel of a hyperspectral image cube. This abundance vector is used as initial state in a robust filter to derive the abundance estimate for the next pixel. By using Kalman filter, the abundance estimate for a pixel can be obtained in one iteration procedure which is much fast than genetic algorithm. The output of the robust filter is fed to genetic algorithm again to derive accurate abundance estimate for the current pixel. The using of robust filter solution as starting point of the genetic algorithm speeds up the evolution of the genetic algorithm. After obtaining the accurate abundance estimate, the procedure goes to next pixel, and uses the output of genetic algorithm as the previous state estimate to derive abundance estimate for this pixel using robust filter. And again use the genetic algorithm to derive accurate abundance estimate efficiently based on the robust filter solution. This iteration continues until pixels in a hyperspectral image cube end.
Abstract. The ability to monitor, understand, and predict the dynamics of the terrestrial carbon cycle requires the capacity to robustly and coherently synthesize multiple streams of information that each provide partial information about different pools and fluxes. In this study, we introduce a new terrestrial carbon cycle data assimilation system, built on the PEcAn model–data eco-informatics system, and its application for the development of a proof-of-concept carbon “reanalysis” product that harmonizes carbon pools (leaf, wood, soil) and fluxes (GPP, Ra, Rh, NEE) across the contiguous United States from 1986–2019. We first calibrated this system against plant trait and flux tower net ecosystem exchange (NEE) using a novel emulated hierarchical Bayesian approach. Next, we extended the Tobit–Wishart ensemble filter (TWEnF) state data assimilation (SDA) framework, a generalization of the common ensemble Kalman filter which accounts for censored data and provides a fully Bayesian estimate of model process error, to a regional-scale system with a calibrated localization. Combined with additional workflows for propagating parameter, initial condition, and driver uncertainty, this represents the most complete and robust uncertainty accounting available for terrestrial carbon models. Our initial reanalysis was run on an irregular grid of ∼ 500 points selected using a stratified sampling method to efficiently capture environmental heterogeneity. Remotely sensed observations of aboveground biomass (Landsat LandTrendr) and leaf area index (LAI) (MODIS MOD15) were sequentially assimilated into the SIPNET model. Reanalysis soil carbon, which was indirectly constrained based on modeled covariances, showed general agreement with SoilGrids, an independent soil carbon data product. Reanalysis NEE, which was constrained based on posterior ensemble weights, also showed good agreement with eddy flux tower NEE and reduced root mean square error (RMSE) compared to the calibrated forecast. Ultimately, PEcAn's new open-source regional data assimilation framework provides a scalable workflow for harmonizing multiple data constraints and providing a uniform synthetic platform for carbon monitoring, reporting, and verification (MRV) as well as accelerating terrestrial carbon cycle research.
In a previous paper Schaechter proposes using an extended Kalman filter to estimate adaptively the (slowly varying) frequencies and damping ratios of a large space structure. The time varying gains for estimating the frequencies and damping ratios can be determined in closed form so it is not necessary to integrate the matrix Riccati equations. After certain approximations, the time varying adaptive gain can be written as the product of a constant matrix times a matrix derived from the components of the estimated state vector. This is an important savings of computer resources and allows the adaptive filter to be implemented with approximately the same effort as the nonadaptive filter. The success of this new approach for adaptive filtering was demonstrated using synthetic data from a two mode system.
The absence of a globally nonsingular three-parameter representation of rotations forces attitude Kalman filters to estimate either a singular or a redundant attitude representation. We compare two filtering strategies using simplified kinematics and measurement models. Our favored strategy estimates a three-parameter representation of attitude deviations from a reference attitude specified by a higher- dimensional nonsingular parameterization. The deviations from the reference are assumed to be small enough to avoid any singularity or discontinuity of the three-dimensional parameterization. We point out some disadvantages of the other strategy, which directly estimates the four-parameter quaternion representation.
Numerical analyses of error covariance matrix in linear filtering problem, computational errors in Kalman filtering, and coasting flight equations
Ground speed is one of the radar observables which is obtained along with position and heading from NASA Ames Center radar. Within the Center TRACON Automation System (CTAS), groundspeed is converted into airspeed using the wind speeds which CTAS obtains from the NOAA weather grid. This airspeed is then used in the trajectory synthesis logic which computes the trajectory for each individual aircraft. The time history of the typical radar groundspeed data is generally quite noisy, with high frequency variations on the order of five knots, and occasional 'outliers' which can be significantly different from the probable true speed. To try to smooth out these speeds and make the ETA estimate less erratic, filtering of the ground speed is done within CTAS. In its base form, the CTAS filter is a 'moving average' filter which averages the last ten radar values. In addition, there is separate logic to detect and correct for 'outliers', and acceleration logic which limits the groundspeed change in adjacent time samples. As will be shown, these additional modifications do cause significant changes in the actual groundspeed filter output. The conclusion is that the current ground speed filter logic is unable to track accurately the speed variations observed on many aircraft. The Kalman filter logic however, appears to be an improvement to the current algorithm used to smooth ground speed variations, while being simpler and more efficient to implement. Additional logic which can test for true 'outliers' can easily be added by looking at the difference in the a priori and post priori Kalman estimates, and not updating if the difference in these quantities is too large.
Much of the work that the Space Shuttle will perform requires a capability to rendezvous with other orbiting objects. The formulation and design philosophy behind the Space Shuttle Orbiter rendezvous navigation system are the subjects of this paper. The current rendezvous navigation design incorporates a Kalman filter to estimate the relative position and velocity. The filter is augmented with state elements for the estimation of colored measurement noise and acceleration modeling errors. Several measurement types are available to the filter: a manual optical sighting device, an automatic optical tracking instrument, and a rendezvous radar which provides range and range rate measurements as well as the line of sight direction. The filter also includes a technique for detecting highly improbable measurements and excluding them from Kalman processing.