An Image-Based Ensemble Kalman Filter for Motion Estimation

International audienceThis paper designs an Image-based Ensemble Kalman Filter (IEnKF), whose components are defined only from image properties, to estimate motion on image sequences. The key elements of this filter are, first, the construction of the initial ensemble, and second, the propagation in time of this ensemble on the studied temporal interval. Both are analyzed in the paper and their impact on results is discussed with synthetic and real data experiments. The initial ensemble is obtained by adding a Gaussian vector field to an estimate of motion on the first two frames. The standard deviation of this normal law is computed from motion results given by a set of optical flow methods of the literature. It describes the uncertainty on the motion value at initial date. The propagation in time of the ensemble members relies on the following evolution laws: transport by velocity of the image brightness function and Euler equations for the motion function. Shrinking of the ensemble is avoided thanks to a localization method and the use of observation ensembles, both techniques being defined from image characteristics. This Image-based Ensemble Kalman Filter is quantified on synthetic experiments and applied on traffic and meteorological images

A particle filter to reconstruct a free-surface flow from a depth camera

We investigate the combined use of a Kinect depth sensor and of a stochastic data assimilation method to recover free-surface flows. More specifically, we use a Weighted ensemble Kalman filter method to reconstruct the complete state of free-surface flows from a sequence of depth images only. This particle filter accounts for model and observations errors. This data assimilation scheme is enhanced with the use of two observations instead of one classically. We evaluate the developed approach on two numerical test cases: a collapse of a water column as a toy-example and a flow in an suddenly expanding flume as a more realistic flow. The robustness of the method to depth data errors and also to initial and inflow conditions is considered. We illustrate the interest of using two observations instead of one observation into the correction step, especially for unknown inflow boundary conditions. Then, the performance of the Kinect sensor to capture temporal sequences of depth observations is investigated. Finally, the efficiency of the algorithm is qualified for a wave in a real rectangular flat bottom tank. It is shown that for basic initial conditions, the particle filter rapidly and remarkably reconstructs velocity and height of the free surface flow based on noisy measurements of the elevation alone

Tracking interacting dust: comparison of tracking and state estimation techniques for dusty plasmas

When tracking a target particle that is interacting with nearest neighbors in a known way, positional data of the neighbors can be used to improve the state estimate. Effects of the accuracy of such positional data on the target track accuracy are investigated in this paper, in the context of dusty plasmas. In kinematic simulations, notable improvement in the target track accuracy was found when including all nearest neighbors in the state estimation filter and tracking algorithm, whereas the track accuracy was not significantly improved by higher-accuracy measurement techniques. The state estimation algorithm, involving an extended Kalman filter, was shown to either remove or significantly reduce errors due to "pixel locking". It is concluded that the significant extra complexity and computational expense to achieve these relatively small improvements are likely to be unwarranted for many situations. For the purposes of determining the precise particle locations, it is concluded that the simplified state estimation algorithm can be a viable alternative to using more computationally-intensive measurement techniques.Comment: 11 pages, 6 figures, Conference paper: Signal and Data Processing of Small Targets 2010 (SPIE

Data assimilation using bayesian filters and B-spline geological models

This paper proposes a new approach to problems of data assimilation, also known as history matching, of oilfield production data by adjustment of the location and sharpness of patterns of geological facies. Traditionally, this problem has been addressed using gradient based approaches with a level set parameterization of the geology. Gradient-based methods are robust, but computationally demanding with real-world reservoir problems and insufficient for reservoir management uncertainty assessment. Recently, the ensemble filter approach has been used to tackle this problem because of its high efficiency from the standpoint of implementation, computational cost, and performance. Incorporation of level set parameterization in this approach could further deal with the lack of differentiability with respect to facies type, but its practical implementation is based on some assumptions that are not easily satisfied in real problems. In this work, we propose to describe the geometry of the permeability field using B-spline curves. This transforms history matching of the discrete facies type to the estimation of continuous B-spline control points. As filtering scheme, we use the ensemble square-root filter (EnSRF). The efficacy of the EnSRF with the B-spline parameterization is investigated through three numerical experiments, in which the reservoir contains a curved channel, a disconnected channel or a 2-dimensional closed feature. It is found that the application of the proposed method to the problem of adjusting facies edges to match production data is relatively straightforward and provides statistical estimates of the distribution of geological facies and of the state of the reservoir

Estimating the uncertainty of areal precipitation using data assimilation

We present a method to estimate spatially and temporally variable uncertainty of areal precipitation data. The aim of the method is to merge measurements from different sources, remote sensing and in situ, into a combined precipitation product and to provide an associated dynamic uncertainty estimate. This estimate should provide an accurate representation of uncertainty both in time and space, an adjustment to additional observations merged into the product through data assimilation, and flow dependency. Such a detailed uncertainty description is important for example to generate precipitation ensembles for probabilistic hydrological modelling or to specify accurate error covariances when using precipitation observations for data assimilation into numerical weather prediction models. The presented method uses the Local Ensemble Transform Kalman Filter and an ensemble nowcasting model. The model provides information about the precipitation displacement over time and is continuously updated by assimilation of observations. In this way, the precipitation product and its uncertainty estimate provided by the nowcasting ensemble evolve consistently in time and become flow-dependent. The method is evaluated in a proof of concept study focusing on weather radar data of four precipitation events. The study demonstrates that the dynamic areal uncertainty estimate outperforms a constant benchmark uncertainty value in all cases for one of the evaluated scores, and in half the number of cases for the other score. Thus, the flow dependency introduced by the coupling of data assimilation and nowcasting enables a more accurate spatial and temporal distribution of uncertainty. The mixed results achieved in the second score point out the importance of a good probabilistic nowcasting scheme for the performance of the method

Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models

We propose a new class of filtering and smoothing methods for inference in high-dimensional, nonlinear, non-Gaussian, spatio-temporal state-space models. The main idea is to combine the ensemble Kalman filter and smoother, developed in the geophysics literature, with state-space algorithms from the statistics literature. Our algorithms address a variety of estimation scenarios, including on-line and off-line state and parameter estimation. We take a Bayesian perspective, for which the goal is to generate samples from the joint posterior distribution of states and parameters. The key benefit of our approach is the use of ensemble Kalman methods for dimension reduction, which allows inference for high-dimensional state vectors. We compare our methods to existing ones, including ensemble Kalman filters, particle filters, and particle MCMC. Using a real data example of cloud motion and data simulated under a number of nonlinear and non-Gaussian scenarios, we show that our approaches outperform these existing methods

Fluid flow estimation with multiscale ensemble filters based on motion measurements under location uncertainty

International audienceThis paper proposes a novel multi-scale fluid flow data assimilation approach, which integrates and complements the advantages of a Bayesian sequential assimilation technique, the Weighted Ensemble Kalman filter (WEnKF). The data assimilation proposed in this work incorporates measurement brought by an efficient multiscale stochastic formulation of the well-known Lucas-Kanade (LK) estimator. This estimator has the great advantage to provide uncertainties associated to the motion measurements at different scales. The proposed assimilation scheme benefits from this multiscale uncertainty information and enables to enforce a physically plausible dynamical consistency of the estimated motion fields along the image sequence. Experimental evaluations are presented on synthetic and real fluid flow sequences

Realtime Multilevel Crowd Tracking using Reciprocal Velocity Obstacles

We present a novel, realtime algorithm to compute the trajectory of each pedestrian in moderately dense crowd scenes. Our formulation is based on an adaptive particle filtering scheme that uses a multi-agent motion model based on velocity-obstacles, and takes into account local interactions as well as physical and personal constraints of each pedestrian. Our method dynamically changes the number of particles allocated to each pedestrian based on different confidence metrics. Additionally, we use a new high-definition crowd video dataset, which is used to evaluate the performance of different pedestrian tracking algorithms. This dataset consists of videos of indoor and outdoor scenes, recorded at different locations with 30-80 pedestrians. We highlight the performance benefits of our algorithm over prior techniques using this dataset. In practice, our algorithm can compute trajectories of tens of pedestrians on a multi-core desktop CPU at interactive rates (27-30 frames per second). To the best of our knowledge, our approach is 4-5 times faster than prior methods, which provide similar accuracy