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NASA NTRS1989

Improved understanding of the loss-of-symmetry phenomenon in the conventional Kalman filter

This paper corrects an unclear statement of the conventional Kalman filter implementation as presented by M. H. Verhaegen and P. van Dooren in Numerical aspects of different Kalman filter implementations, IEEE Trans. Automat. Contr., v. AC-31, no. 10, pp. 907-917, 1986. It is shown that the habitual, incorrect implementation of the Kalman filter has been the major cause of its insensitivity to the so-called loss-of-symmetry phenomenon.

Verhaegen, M. H.↗

NASA NTRS1990

The Navstar GPS master control station's Kalman filter experience

The Navstar Global Positioning System (GPS) is a highly accurate space based navigation system providing all weather, 24 hour a day service to both military and civilian users. The system provides a Gaussian position solution with four satellites, each providing its ephemeris and clock offset with respect to GPS time. The GPS Master Clock Station (MCS) is charged with tracking each Navstar spacecraft and precisely defining the ephemeris and clock parameters for upload into the vehicle's navigation message. Briefly described here are the Navstar system and the Kalman filter estimation process used by MCS to determine, predict, and ensure quality control for each of the satellite's ephemeris and clock states. Routine performance is shown. Kalman filter reaction and response is discussed for anomalous clock behavior and trajectory perturbations. Particular attention is given to MCS efforts to improve orbital adjust modeling. The satellite out of service time due to orbital maneuvering has been reduced in the past year from four days to under twelve hours. The planning, reference trajectory model, and Kalman filter management improvements are explained.

Scardera, Michael P.↗

NASA NTRS1991

The behavior of forecast error covariances for a Kalman filter in two dimensions

The behavior of forecast error covariances in a fairly realistic setting is demonstrated via a Kalman filter algorithm. It is used to assimilate simulated data from the existing radiosonde network, from the demonstration network of 31 Doppler wind profilers in the central U.S., and from hypothetical radiometers located at five of the profiler sites. Some theoretical justification of the hypothesis advanced by Phillips (1982), and the hypothesis is used to formulate the model error covariance matrix required by the Kalman filter. The results show that assimilating the profiler wind data leads to a large reduction of forecast/analysis error in heights as well as in winds, over the profiler region and also downstream, when compared with the results of assimilating the radiosonde data alone. The forecast error covariance matrices that the Kalman filter calculates to obtain this error reduction differ considerably from those prescribed by the optimal interpolation schemes that are employed for data assimilation at operational centers.

Cohn, Stephen E.↗

NASA NTRS1999

An Adaptive Kalman Filter Using a Simple Residual Tuning Method

One difficulty in using Kalman filters in real world situations is the selection of the correct process noise, measurement noise, and initial state estimate and covariance. These parameters are commonly referred to as tuning parameters. Multiple methods have been developed to estimate these parameters. Most of those methods such as maximum likelihood, subspace, and observer Kalman Identification require extensive offline processing and are not suitable for real time processing. One technique, which is suitable for real time processing, is the residual tuning method. Any mismodeling of the filter tuning parameters will result in a non-white sequence for the filter measurement residuals. The residual tuning technique uses this information to estimate corrections to those tuning parameters. The actual implementation results in a set of sequential equations that run in parallel with the Kalman filter. A. H. Jazwinski developed a specialized version of this technique for estimation of process noise. Equations for the estimation of the measurement noise have also been developed. These algorithms are used to estimate the process noise and measurement noise for the Wide Field Infrared Explorer star tracker and gyro.

Harman, Richard R.↗

NASA NTRS1998

Stratospheric Assimilation of Chemical Tracer Observations Using a Kalman Filter: Chi-Square Validated Results and Analysis of Variance and Correlation Dynamics - Pt. 2

A Kalman filter system designed for the assimilation of limb-sounding observations of stratospheric chemical tracers, which has four tunable covariance parameters, was developed in Part I (Menard et al. 1998) The assimilation results of CH4 observations from the Cryogenic Limb Array Etalon Sounder instrument (CLAES) and the Halogen Observation Experiment instrument (HALOE) on board of the Upper Atmosphere Research Satellite are described in this paper. A robust (chi)(sup 2) criterion, which provides a statistical validation of the forecast and observational error covariances, was used to estimate the tunable variance parameters of the system. In particular, an estimate of the model error variance was obtained. The effect of model error on the forecast error variance became critical after only three days of assimilation of CLAES observations, although it took 14 days of forecast to double the initial error variance. We further found that the model error due to numerical discretization as arising in the standard Kalman filter algorithm, is comparable in size to the physical model error due to wind and transport modeling errors together. Separate assimilations of CLAES and HALOE observations were compared to validate the state estimate away from the observed locations. A wave-breaking event that took place several thousands of kilometers away from the HALOE observation locations was well captured by the Kalman filter due to highly anisotropic forecast error correlations. The forecast error correlation in the assimilation of the CLAES observations was found to have a structure similar to that in pure forecast mode except for smaller length scales. Finally, we have conducted an analysis of the variance and correlation dynamics to determine their relative importance in chemical tracer assimilation problems. Results show that the optimality of a tracer assimilation system depends, for the most part, on having flow-dependent error correlation rather than on evolving the error variance.

Menard, Richard↗

NASA NTRS1999

An Adaptive Kalman Filter using a Simple Residual Tuning Method

One difficulty in using Kalman filters in real world situations is the selection of the correct process noise, measurement noise, and initial state estimate and covariance. These parameters are commonly referred to as tuning parameters. Multiple methods have been developed to estimate these parameters. Most of those methods such as maximum likelihood, subspace, and observer Kalman Identification require extensive offline processing and are not suitable for real time processing. One technique, which is suitable for real time processing, is the residual tuning method. Any mismodeling of the filter tuning parameters will result in a non-white sequence for the filter measurement residuals. The residual tuning technique uses this information to estimate corrections to those tuning parameters. The actual implementation results in a set of sequential equations that run in parallel with the Kalman filter. Equations for the estimation of the measurement noise have also been developed. These algorithms are used to estimate the process noise and measurement noise for the Wide Field Infrared Explorer star tracker and gyro.

Harman, Richard R.↗

NASA NTRS1999

Massively Parallel Assimilation of TOGA/TAO and Topex/Poseidon Measurements into a Quasi Isopycnal Ocean General Circulation Model Using an Ensemble Kalman Filter

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.

Keppenne, Christian L.↗

NASA NTRS1998

A Self-Tuning Kalman Filter for Autonomous Spacecraft Navigation

Most navigation systems currently operated by NASA are ground-based, and require extensive support to produce accurate results. Recently developed systems that use Kalman Filter and Global Positioning System (GPS) data for orbit determination greatly reduce dependency on ground support, and have potential to provide significant economies for NASA spacecraft navigation. Current techniques of Kalman filtering, however, still rely on manual tuning from analysts, and cannot help in optimizing autonomy without compromising accuracy and performance. This paper presents an approach to produce a high accuracy autonomous navigation system fully integrated with the flight system. The resulting system performs real-time state estimation by using an Extended Kalman Filter (EKF) implemented with high-fidelity state dynamics model, as does the GPS Enhanced Orbit Determination Experiment (GEODE) system developed by the NASA Goddard Space Flight Center. Augmented to the EKF is a sophisticated neural-fuzzy system, which combines the explicit knowledge representation of fuzzy logic with the learning power of neural networks. The fuzzy-neural system performs most of the self-tuning capability and helps the navigation system recover from estimation errors. The core requirement is a method of state estimation that handles uncertainties robustly, capable of identifying estimation problems, flexible enough to make decisions and adjustments to recover from these problems, and compact enough to run on flight hardware. The resulting system can be extended to support geosynchronous spacecraft and high-eccentricity orbits. Mathematical methodology, systems and operations concepts, and implementation of a system prototype are presented in this paper. Results from the use of the prototype to evaluate optimal control algorithms implemented are discussed. Test data and major control issues (e.g., how to define specific roles for fuzzy logic to support the self-learning capability) are also discussed. In addition, architecture of a complete end-to-end candidate flight system that provides navigation with highly autonomous control using data from GPS is presented.

Truong, Son H.↗

NASA NTRS1999

Developing a Fundamental Model for an Integrated GPS/INS State Estimation System with Kalman Filtering

This work will demonstrate the integration of sensor and system dynamic data and their appropriate models using an optimal filter to create a robust, adaptable, easily reconfigurable state (motion) estimation system. This state estimation system will clearly show the application of fundamental modeling and filtering techniques. These techniques are presented at a general, first principles level, that can easily be adapted to specific applications. An example of such an application is demonstrated through the development of an integrated GPS/INS navigation system. This system acquires both global position data and inertial body data, to provide optimal estimates of current position and attitude states. The optimal states are estimated using a Kalman filter. The state estimation system will include appropriate error models for the measurement hardware. The results of this work will lead to the development of a "black-box" state estimation system that supplies current motion information (position and attitude states) that can be used to carry out guidance and control strategies. This black-box state estimation system is developed independent of the vehicle dynamics and therefore is directly applicable to a variety of vehicles. Issues in system modeling and application of Kalman filtering techniques are investigated and presented. These issues include linearized models of equations of state, models of the measurement sensors, and appropriate application and parameter setting (tuning) of the Kalman filter. The general model and subsequent algorithm is developed in Matlab for numerical testing. The results of this system are demonstrated through application to data from the X-33 Michael's 9A8 mission and are presented in plots and simple animations.

Canfield, Stephen↗

NASA NTRS1997

Implicit Kalman filtering

For an implicitly defined discrete system, a new algorithm for Kalman filtering is developed and an efficient numerical implementation scheme is proposed. Unlike the traditional explicit approach, the implicit filter can be readily applied to ill-conditioned systems and allows for generalization to descriptor systems. The implementation of the implicit filter depends on the solution of the congruence matrix equation (A1)(Px)(AT1) = Py. We develop a general iterative method for the solution of this equation, and prove necessary and sufficient conditions for convergence. It is shown that when the system matrices of an implicit system are sparse, the implicit Kalman filter requires significantly less computer time and storage to implement as compared to the traditional explicit Kalman filter. Simulation results are presented to illustrate and substantiate the theoretical developments.

Non-NASA Center↗

NASA NTRS2005

Enhanced Bank of Kalman Filters Developed and Demonstrated for In-Flight Aircraft Engine Sensor Fault Diagnostics

In-flight sensor fault detection and isolation (FDI) is critical to maintaining reliable engine operation during flight. The aircraft engine control system, which computes control commands on the basis of sensor measurements, operates the propulsion systems at the demanded conditions. Any undetected sensor faults, therefore, may cause the control system to drive the engine into an undesirable operating condition. It is critical to detect and isolate failed sensors as soon as possible so that such scenarios can be avoided. A challenging issue in developing reliable sensor FDI systems is to make them robust to changes in engine operating characteristics due to degradation with usage and other faults that can occur during flight. A sensor FDI system that cannot appropriately account for such scenarios may result in false alarms, missed detections, or misclassifications when such faults do occur. To address this issue, an enhanced bank of Kalman filters was developed, and its performance and robustness were demonstrated in a simulation environment. The bank of filters is composed of m + 1 Kalman filters, where m is the number of sensors being used by the control system and, thus, in need of monitoring. Each Kalman filter is designed on the basis of a unique fault hypothesis so that it will be able to maintain its performance if a particular fault scenario, hypothesized by that particular filter, takes place.

Kobayashi, Takahisa↗

NASA NTRS2007

Zero Gyro Kalman Filtering in the Presence of a Reaction Wheel Failure

Typical implementation of Kalman filters for spacecraft attitude estimation involves the use of gyros for three-axis rate measurements. When there are less than three axes of information available, the accuracy of the Kalman filter depends highly on the accuracy of the dynamics model. This is particularly significant during the transient period when a reaction wheel with a high momentum fails, is taken off-line, and spins down. This paper looks at how a reaction wheel failure can affect the zero-gyro Kalman filter performance for the Hubble Space Telescope and what steps are taken to minimize its impact.

Hur-Diaz, Sun↗

NASA NTRS2007

Zero Gyro Kalman Filtering in the presence of a Reaction Wheel Failure

Hur-Diaz, Sun↗

NASA NTRS2010

Optimal Tuner Selection for Kalman Filter-Based Aircraft Engine Performance Estimation

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

Simon, Donald L.↗

NASA NTRS2014

Adaptable Iterative and Recursive Kalman Filter Schemes

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.

Zanetti, Renato↗

NASA NTRS2014

Conservation of Mass and Preservation of Positivity with Ensemble-Type Kalman Filter Algorithms

This paper considers the incorporation of constraints to enforce physically based conservation laws in the ensemble Kalman filter. In particular, constraints are used to ensure that the ensemble members and the ensemble mean conserve mass and remain nonnegative through measurement updates. In certain situations filtering algorithms such as the ensemble Kalman filter (EnKF) and ensemble transform Kalman filter (ETKF) yield updated ensembles that conserve mass but are negative, even though the actual states must be nonnegative. In such situations if negative values are set to zero, or a log transform is introduced, the total mass will not be conserved. In this study, mass and positivity are both preserved by formulating the filter update as a set of quadratic programming problems that incorporate non-negativity constraints. 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. In two examples, an update that includes a non-negativity constraint is able to properly describe the transport of a sharp feature (e.g., a triangle or cone). A number of implementation questions still need to be addressed, particularly the need to develop a computationally efficient quadratic programming update for large ensemble.

EnKF↗

NASA NTRSDate not supplied

Estimating Sonic Boom Metrics Across a Community Using a Kalman Filter

As part of the Quesst mission, NASA will fly the X‑59 aircraft over selected communities to evaluate community responses to low-intensity sonic booms. The purpose of these community tests is to determine the dose-response relationship between the noise exposure metrics and the community response. The independent variables for the dose-response relationship are the noise exposure metrics experienced by survey respondents within the community. Two sources of noise exposure metrics are available in each community: measurements at sparse locations throughout the community, and calculations from propagation models across the community. Both the measurements and calculations are subject to uncertainty. A Kalman filter is proposed to combine the measured and calculated noise exposure metrics to obtain the best estimate of the true noise exposure metrics across the community. The noise exposure metrics estimated by the Kalman filter have lower uncertainty than either the measured or calculated noise exposure metrics alone. Simulations demonstrate that the Kalman filter produces a more accurate estimate of the true noise exposure metrics than other noise estimation methods.

Sonic boom↗

NASA NTRS2024

Iterated Sigma-Point Kalman Filtering for Trajectory Reconstruction

Two second-order Kalman ﬁltering methods are added to the New Statistical Trajec-tory Estimation Program (NewSTEP). The two ﬁlters are of the class of Sigma-Point Kalman Filters, namely the Unscented Kalman Filter and the Divided Diﬀerence Filter. Both ﬁlters are implemented with an iterative measurement update step. Results from simulation test case and a ﬂight data test case are provided to show the ﬁlter performance. The results indicate that the new second-order ﬁlters pro-duce trajectory estimates with reduced uncertainties when compared to the existing ﬁrst-order ﬁltering method.

Sophia Vedvik↗