12,378 research outputs found
A Nonparametric Adaptive Nonlinear Statistical Filter
We use statistical learning methods to construct an adaptive state estimator
for nonlinear stochastic systems. Optimal state estimation, in the form of a
Kalman filter, requires knowledge of the system's process and measurement
uncertainty. We propose that these uncertainties can be estimated from
(conditioned on) past observed data, and without making any assumptions of the
system's prior distribution. The system's prior distribution at each time step
is constructed from an ensemble of least-squares estimates on sub-sampled sets
of the data via jackknife sampling. As new data is acquired, the state
estimates, process uncertainty, and measurement uncertainty are updated
accordingly, as described in this manuscript.Comment: Accepted at the 2014 IEEE Conference on Decision and Contro
Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
The Ensemble Kalman filter and Ensemble square root filters are data
assimilation methods used to combine high dimensional nonlinear models with
observed data. These methods have proved to be indispensable tools in science
and engineering as they allow computationally cheap, low dimensional ensemble
state approximation for extremely high dimensional turbulent forecast models.
From a theoretical perspective, these methods are poorly understood, with the
exception of a recently established but still incomplete nonlinear stability
theory. Moreover, recent numerical and theoretical studies of catastrophic
filter divergence have indicated that stability is a genuine mathematical
concern and can not be taken for granted in implementation. In this article we
propose a simple modification of ensemble based methods which resolves these
stability issues entirely. The method involves a new type of adaptive
covariance inflation, which comes with minimal additional cost. We develop a
complete nonlinear stability theory for the adaptive method, yielding Lyapunov
functions and geometric ergodicity under weak assumptions. We present numerical
evidence which suggests the adaptive methods have improved accuracy over
standard methods and completely eliminate catastrophic filter divergence. This
enhanced stability allows for the use of extremely cheap, unstable forecast
integrators, which would otherwise lead to widespread filter malfunction.Comment: 34 pages. 4 figure
The Ensemble Kalman Filter: A Signal Processing Perspective
The ensemble Kalman filter (EnKF) is a Monte Carlo based implementation of
the Kalman filter (KF) for extremely high-dimensional, possibly nonlinear and
non-Gaussian state estimation problems. Its ability to handle state dimensions
in the order of millions has made the EnKF a popular algorithm in different
geoscientific disciplines. Despite a similarly vital need for scalable
algorithms in signal processing, e.g., to make sense of the ever increasing
amount of sensor data, the EnKF is hardly discussed in our field.
This self-contained review paper is aimed at signal processing researchers
and provides all the knowledge to get started with the EnKF. The algorithm is
derived in a KF framework, without the often encountered geoscientific
terminology. Algorithmic challenges and required extensions of the EnKF are
provided, as well as relations to sigma-point KF and particle filters. The
relevant EnKF literature is summarized in an extensive survey and unique
simulation examples, including popular benchmark problems, complement the
theory with practical insights. The signal processing perspective highlights
new directions of research and facilitates the exchange of potentially
beneficial ideas, both for the EnKF and high-dimensional nonlinear and
non-Gaussian filtering in general
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