Filtering skill for turbulent signals for a suite of nonlinear and linear extended Kalman filters

The filtering skill for turbulent signals from nature is often limited by errors due to utilizing an imperfect forecast model. In particular, real-time filtering and prediction when very limited or no a posteriori analysis is possible (e.g. spread of pollutants, storm surges, tsunami detection, etc.) introduces a number of additional challenges to the problem. Here, a suite of filters implementing stochastic parameter estimation for mitigating model error through additive and multiplicative bias correction is examined on a nonlinear, exactly solvable, stochastic test model mimicking turbulent signals in regimes ranging from configurations with strongly intermittent, transient instabilities associated with positive finite-time Lyapunov exponents to laminar behavior. Stochastic Parameterization Extended Kalman Filter (SPEKF), used as a benchmark here, involves exact formulas for propagating the mean and covariance of the augmented forecast model including the unresolved parameters. The remaining filters use the same nonlinear forecast model but they introduce model error through different moment closure approximations and/or linear tangent approximation used for computing the second-order statistics of the augmented stochastic forecast model. A comprehensive study of filter performance is carried out in the presence of various moment closure errors which are enhanced by additional model errors due to incorrect parameters inducing additive and multiplicative stochastic biases. The estimation skill of the unresolved stochastic parameters is also discussed and it is shown that the linear tangent filter, despite its popularity, is completely unreliable in many turbulent regimes for both parameter estimation and filtering; moreover, regimes of filter divergence for the linear tangent filter are identified. The results presented here provide useful guidelines for filtering turbulent, high-dimensional, spatially extended systems with more general model errors, as well as for designing more skillful methods for superparameterization of unresolved intermittent processes in complex multi-scale models. They also provide unambiguous benchmarks for the capabilities of linear and nonlinear extended Kalman filters using incorrect statistics on an exactly solvable test bed with rich and realistic dynamics.     

Improving filtering and prediction of spatially extended turbulent systems with model errors through stochastic parameter estimation

The filtering and predictive skill for turbulent signals is often limited by the lack of information about the true dynamics of the system and by our inability to resolve the assumed dynamics with sufficiently high resolution using the current computing power. The standard approach is to use a simple yet rich family of constant parameters to account for model errors through parameterization. This approach can have significant skill by fitting the parameters to some statistical feature of the true signal; however in the context of real-time prediction, such a strategy performs poorly when intermittent transitions to instability occur. Alternatively, we need a set of dynamic parameters. One strategy for estimating parameters on the fly is a stochastic parameter estimation through partial observations of the true signal. In this paper, we extend our newly developed stochastic parameter estimation strategy, the Stochastic Parameterization Extended Kalman Filter (SPEKF), to filtering sparsely observed spatially extended turbulent systems which exhibit abrupt stability transition from time to time despite a stable average behavior. For our primary numerical example, we consider a turbulent system of externally forced barotropic Rossby waves with instability introduced through intermittent negative damping. We find high filtering skill of SPEKF applied to this toy model even in the case of very sparse observations (with only 15 out of the 105 grid points observed) and with unspecified external forcing and damping. Additive and multiplicative bias corrections are used to learn the unknown features of the true dynamics from observations. We also present a comprehensive study of predictive skill in the one-mode context including the robustness toward variation of stochastic parameters, imperfect initial conditions and finite ensemble effect. Furthermore, the proposed stochastic parameter estimation scheme applied to the same spatially extended Rossby wave system demonstrates high predictive skill, comparable with the skill of the perfect model for a duration of many eddy turnover times especially in the unstable regime.     

Mathematical test criteria for filtering complex systems: Plentiful observations

An important emerging scientific issue is the real time filtering through observations of noisy turbulent signals for complex systems as well as the statistical accuracy of spatio-temporal discretizations for such systems. These issues are addressed here in detail for the setting with plentiful observations for a scalar field through explicit mathematical test criteria utilizing a recent theory [A.J. Majda, M.J. Grote, Explicit off-line criteria for stable accurate time filtering of strongly unstable spatially extended systems, Proceedings of the National Academy of Sciences 104 (4) (2007) 1124–1129]. For plentiful observations, the number of observations equals the number of mesh points. These test criteria involve much simpler decoupled complex scalar filtering test problems with explicit formulas and elementary numerical experiments which are developed here as guidelines for filter performance. The theory includes information criteria to avoid filter divergence with large model errors, asymptotic Kalman gain, filter stability, and accurate filtering with small ensemble size as well as rigorous results delineating the role of various turbulent spectra for filtering under mesh refinement. These guidelines are also applied to discrete approximations for filtering the stochastically forced dissipative advection equation with very turbulent and noisy signals with either an equipartition of energy or ?5/3 turbulent spectrum with infrequent observations as severe test problems. The theory and companion simulations demonstrate accurate statistical filtering in this context with implicit schemes with large time step with very small ensemble sizes and even with unstable explicit schemes under appropriate circumstances provided the filtering strategies are guided by the off-line theoretical criteria. The surprising failure of other strongly stable filtering strategies is also explained through these off-line criteria.     

Exploiting dynamical coherence: A geometric approach to parameter estimation in nonlinear models

Parameter estimation in nonlinear models is a common task, and one for which there is no general solution at present. In the case of linear models, the distribution of forecast errors provides a reliable guide to parameter estimation, but in nonlinear models the facts that predictability may vary with location in state space, and that the distribution of forecast errors is expected not to be Normal, means that parameter estimation based on least squares methods will result in systematic errors. A new approach to parameter estimation is presented which focuses on the geometry of trajectories of the model rather than the distribution of distances between model forecast and the observation at a given lead time. Specifically, we test a number of candidate trajectories to determine the duration for which they can shadow the observations, rather than evaluating a forecast error statistic at any specific lead time(s). This yields insights into both the parameters of the dynamical model and those of the observational noise model. The advances reported here are made possible by extracting more information from the dynamical equations, and thus improving the balance between information gleaned from the structural form of the equations and that from the observations. The technique is illustrated for both flows and maps, applied in 2-, 3-, and 8-dimensional dynamical systems, and shown to be effective in a case of incomplete observation where some components of the state are not observed at all. While the demonstration of effectiveness is strong, there remain fundamental challenges in the problem of estimating model parameters when the system that generated the observations is not a member of the model class. Parameter estimation appears ill defined in this case.     

基于粒子滤波的单通道正弦调频混合信号分离与参数估计

以单通道正弦调频(SFM)混合信号为研究对象,提出了基于粒子滤波的正弦调频混合信号分离与参数提取方法.针对正弦调频混合信号频率无跳变的特征,提出了一种基于粒子滤波的相位差解混叠算法,并通过源信号相位差解决了本算法中粒子滤波高维状态空间降维问题,提出了一种适合高维状态空间的似然函数模型,比较固定长度粒子估计值和真实值误差,进而准确衡量粒子权重.通过在重采样后引入MCMC转移,解决了静止参数下粒子多样性降低问题,有效提高粒子滤波迭代收敛速度.从而在先验知识仅已知信号调制方式的情况下,完成对单通道正弦调频混合信号的参数提取,并通过重构信号完成正弦调频混合信号分离.最后通过仿真分析发现,该方法能够有效的实现正弦调频混合信号的分离与参数估计.     

On stochastic parameter estimation using data assimilation

Data assimilation-based parameter estimation can be used to deterministically tune forecast models. This work demonstrates that it can also be used to provide parameter distributions for use by stochastic parameterization schemes. While parameter estimation is (theoretically) straightforward to perform, it is not clear how one should physically interpret the parameter values obtained. Structural model inadequacy implies that one should not search for a deterministic “best” set of parameter values, but rather allow the parameter values to change as a function of state; different parameter values will be needed to compensate for the state-dependent variations of realistic model inadequacy. Over time, a distribution of parameter values will be generated and this distribution can be sampled during forecasts. The current work addresses the ability of ensemble-based parameter estimation techniques utilizing a deterministic model to estimate the moments of stochastic parameters. It is shown that when the system of interest is stochastic the expected variability of a stochastic parameter is biased when a deterministic model is employed for parameter estimation. However, this bias is ameliorated through application of the Central Limit Theorem, and good estimates of both the first and second moments of the stochastic parameter can be obtained. It is also shown that the biased variability information can be utilized to construct a hybrid stochastic/deterministic integration scheme that is able to accurately approximate the evolution of the true stochastic system.     

穿越深海会聚区的声源定位方法研究

基于WKBZ近似深海会聚区预报模型和方位滤波方法建立了穿越会聚区声源运动参数的估计模型，模拟结果表明，方位误差较小时，在前三个会聚区内，目标运动参数估计结果与模拟设定参数符合较好。     

A Girsanov particle filter in nonlinear engineering dynamics

In this Letter, we propose a novel variant of the particle filter (PF) for state and parameter estimations of nonlinear engineering dynamical systems, modelled through stochastic differential equations (SDEs). The aim is to address a possible loss of accuracy in the estimates due to the discretization errors, which are inevitable during numerical integration of the SDEs. In particular, we adopt an explicit local linearization of the governing nonlinear SDEs and the resulting linearization errors in the estimates are corrected using Girsanov transformation of measures. Indeed, the linearization scheme via transformation of measures provides a weak framework for computing moments and this fits in well with any stochastic filtering strategy wherein estimates are themselves statistical moments. We presently implement the strategy using a bootstrap PF and numerically illustrate its performance for state and parameter estimations of the Duffing oscillator with linear and nonlinear measurement equations.     

运动目标激光微多普勒效应平动补偿和微动参数估计

利用激光探测微多普勒效应可以精确估计微动参数,有利于实现目标的准确分类和精细识别.运动目标的微多普勒效应是一种由多项式相位信号模型与正弦调频模型组成的混合信号.对于这类混合信号中的微动参数估计目前还未提出有效的方法.对此,本文提出一种基于分数阶傅里叶变换(Fr FT)的平动补偿方法,通过设计对Fr FT参数域的带宽搜索方法,可以从混合信号中精确估计平动参数,实现平动和微动的分离;通过设计静态参数粒子滤波器,从补偿后的信号中准确估计了微动参数;针对静态参数模型,采用马尔可夫-蒙特卡罗方法增加粒子多样性,并利用累积残差定义新的粒子权重计算函数,保证了算法在对多维参数估计时的快速有效收敛,避免了参数分别估计时误差传递的影响.通过仿真分析对比和实验数据,验证了本文所提补偿和参数估计算法的有效性.     

基于集员估计的混沌通信窄带干扰抑制技术

基于混沌载波的有界性和最优定界椭球(OBE)准则,推导出了已知干扰信号模型参数的状态估计和未知干扰信号模型参数的自适应状态估计的干扰对消算法.与基于最小相空间体积(MPSV)的Kalman滤波和传统的递归最小二乘(RLS)算法相比,本算法具有选择更新特性,能在仅有少量数据参与更新的情况下达到与前者接近的性能,降低了计算量.该方法的性能通过在混沌参数调制(CPM)和差分混沌相移键控(DCSK)两种通信方式下对自回归(AR)型和单音两种窄带干扰的有效抑制得到了验证. 关键词： 最优定界椭球 混沌通信 干扰抑制 集员估计     

等价权修正的Kalman抗野值滤波算法

水声工程实际数据中野点的存在影响标准Kalman滤波精度。借鉴抗差惯性导航定位中等价权思想,构造反映观测值误差的统计量,以其协方差矩阵作为判断滤波精度的指标,依据莱特准则设计了三种不同权重因子,充分利用正确观测,限制利用可用观测,排除有害粗差。仿真结果表明,这种等价权修正Kalman抗差算法,抗差性可媲美中位数滤波,证明当模型正确时,其在抑制零星和斑点型野值方面,效果很好。     

Filtering for partially observed diffusion and its applications

This paper provides an analytic method of filtering for partially observed diffusions, which can be also used for parameter estimation with the quasi-maximum likelihood method. The filtering is shown to have consistency in a weak sense. In addition, using the stochastic volatility models, a comparative simulation study is carried out to see how well the proposed method numerically works. The performance of the proposed method is basically better than that of the extended Kalman filtering.     

大气环境下基于目标照明回光的视轴误差校正实验研究

理论分析了激光瞄准系统中视轴误差与目标照明回光的关系. 介绍了同时具备激光束发射与瞄准偏差校正功能的自适应光学器件––自适应光纤准直器的原理. 搭建了光束经200 m水平大气传输的激光瞄准实验平台. 基于二维目标和三维目标的照明回光, 利用随机并行梯度下降算法分别实现了不同初始视轴误差下的瞄准闭环校正. 实验结果表明, 闭环后二维目标和三维目标的视轴校正残差评价参数分别小于6%和10.8%, 校正精度均在理论范围内. 最后, 分析了算法参数对动目标瞄准的影响.     

基于倒谱分析的单水听器目标运动参数估计

基于浅海射线声学多途结构,提出了一种具有高稳健性、高精度的单水听器目标运动参估计方法.针对匀速直线运动目标,综合多途时延差和运动学几何关系,构建了目标三维多途时延模型,进而获得目标运动参数与多途时延差的非线性时间映射.研究了典型水声信道的倒谱表达式,提出了利用倒谱提取多途时延差的策略.采用差分进化综合优化手段估计目标运动参数,提高了算法的稳健性.理论及仿真结果表明,倒谱的时间分辨率不受信号带宽的限制,而主要取决于信号类型和信噪比;CW信号的倒谱对多普勒不敏感;参数估计精度主要取决于时延差估计精度和参与差分进化运算的信息量,当包含有最近点信息时参数估计性能较好.水池实验结果进一步验证了方法的正确性和有效性.     

Algorithm for optimal filtering of random Markov signals with pulse-disturbance-amplitude estimation

Optimal filtering problem of random Markov signals with simultaneous estimation of pulse disturbance amplitudes is considered. Linear models of stochastic difference equations in discrete time are used to describe signals, observed processes, and pulse disturbances. Pulse disturbances occur at random times with random amplitudes. A real-time calculation procedure is obtained for the joint a posteriori probability density function of random signals and pulse disturbance amplitudes. A quasioptimal filtering algorithm is derived in the case of scalar signals and scalar observed processes by a partition method. Computer simulation results are presented.Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 39, No. 4, pp. 496–513, April, 1996.     

Infrared small target tracking based on sample constrained particle filtering and sparse representation

Infrared search and track technology for small target plays an important role in infrared warning and guidance. In view of the tacking randomness and uncertainty caused by background clutter and noise interference, a robust tracking method for infrared small target based on sample constrained particle filtering and sparse representation is proposed in this paper. Firstly, to distinguish the normal region and interference region in target sub-blocks, we introduce a binary support vector, and combine it with the target sparse representation model, after which a particle filtering observation model based on sparse reconstruction error differences between sample targets is developed. Secondly, we utilize saliency extraction to obtain the high frequency area in infrared image, and make it as a priori knowledge of the transition probability model to limit the particle filtering sampling process. Lastly, the tracking result is brought about via target state estimation and the Bayesian posteriori probability calculation. Theoretical analyses and experimental results show that our method can enhance the state estimation ability of stochastic particles, improve the sparse representation adaptabilities for infrared small targets, and optimize the tracking accuracy for infrared small moving targets.     

State and parameter estimation in stochastic dynamical models

This paper derives generalized maximum likelihood estimates of state and model parameters of a stochastic dynamical model. In contrast to previous studies, the change in background distribution due to changes in model parameters is taken into account. An ensemble approach to solving the maximum likelihood estimates is proposed. An exact solution for the ensemble update based on a square root Kalman Filter is derived. This solution involves a two step procedure in which an ensemble is first produced by a standard ensemble Kalman Filter, and then “corrected” to account for parameter estimation, thereby allowing a user to take advantage of an existing ensemble filter. The solution is illustrated with simple, low-dimensional stochastic dynamical models and shown to work well and outperform augmentation methods for estimating stochastic parameters.     

Uncertainty analysis in matched-field geoacoustic inversions

Quantifying uncertainty for parameter estimates obtained from matched-field geoacoustic inversions using a Bayesian approach requires estimation of the uncertainties in the data due to ambient noise as well as modeling errors. In this study, the variance parameter of the Gaussian error model, hereafter called error variance, is assumed to describe the data uncertainty. In practice, this parameter is not known a priori, and choosing a particular value is often difficult. Hence, to account for the uncertainty in error variance, several methods are introduced for implementing both the full and empirical Bayesian approaches. A full Bayesian approach that permits uncertainty of the error variance to propagate through the parameter estimation processes is a natural way of incorporating the uncertainty of error variance. Due to the large number of unknown parameters in the full Bayesian uncertainty analysis, an alternative, the empirical Bayesian approach, is developed, in which the posterior distributions of model parameters are conditioned on a point estimate of the error variance. Comparisons between the full and empirical Bayesian inferences of model parameters are presented using both synthetic and experimental data.     

SIM--simultaneous inverse filtering and matching of a glottal flow model for acoustic speech signals

A new method "simultaneous inverse filtering and model matching" (SIM) is proposed that allows one to calculate voice source measures without any user interaction. It is based on the discrete all-pole modeling (DAP) technique for inverse filtering (IF), which is modified to include a model of the glottal flow as integral part [LF model, Fant et al., STL-QPSR (Stockholm) 4/1985, 1-13 (1986)]. As the correct LF parameters are initially unknown, they are estimated in an iterative procedure using multi-dimensional optimization techniques that are initialized according to the results of an exhaustive search. The error criteria applied reflect how well the IF is performed after the spectral contribution of the glottal flow has been removed. The resulting optimal LF parameter constellation serves as the basis to calculate 11 voice source measures. The performance was evaluated using synthesized signals and recordings of natural utterances. For the synthesized signals, the accuracy to reproduce the original parameters was high (correlations exceeding 0.88) for measures where the starting point of the glottal cycle did not enter explicitly. Errors were smaller compared to conventional estimation methods where the measures were estimated from the IF signal. The analysis of natural utterances indicates that problems still exist with regard to robustness, but that under advantageous conditions the open quotient, the speed quotient, the closing quotient, the parabolic spectral parameter, and the negative peak amplitude of the glottal flow derivative can indeed be determined automatically by the SIM method.