Controlled particle systems for nonlinear filtering and global optimization

This thesis is concerned with the development and applications of controlled interacting particle systems for nonlinear filtering and global optimization problems. These problems are important in a number of engineering domains. In nonlinear filtering, there is a growing interest to develop geometric approaches for systems that evolve on matrix Lie groups. Examples include the problem of attitude estimation and motion tracking in aerospace engineering, robotics and computer vision. In global optimization, the challenges typically arise from the presence of a large number of local minimizers as well as the computational scalability of the solution. Gradient-free algorithms are attractive because in many practical situations, evaluating the gradient of the objective function may be computationally prohibitive. The thesis comprises two parts that are devoted to theory and applications, respectively. The theoretical part consists of three chapters that describe methods and algorithms for nonlinear filtering, global optimization, and numerical solutions of the Poisson equation that arise in both filtering and optimization. For the nonlinear filtering problem, the main contribution is to extend the feedback particle filter (FPF) algorithm to connected matrix Lie groups. In its general form, the FPF is shown to provide an intrinsic coordinate-free description of the filter that automatically satisfies the manifold constraint. The properties of the original (Euclidean) FPF, especially the gain-times-error feedback structure, are preserved in the generalization. For the global optimization problem, a controlled particle filter algorithm is introduced to numerically approximate a solution of the global optimization problem. The theoretical significance of this work comes from its variational aspects: (i) the proposed particle filter is a controlled interacting particle system where the control input represents the solution of a mean-field type optimal control problem; and (ii) the associated density transport is shown to be a gradient flow (steepest descent) for the optimal value function, with respect to the Kullback--Leibler divergence. For both the nonlinear filtering and optimization problems, the numerical implementation of the proposed algorithms require a solution of a Poisson equation. Two numerical algorithms are described for this purpose. In the Galerkin scheme, the gain function is approximated using a set of pre-defined basis functions; In the kernel-based scheme, a numerical solution is obtained by solving a certain fixed-point equation. Well-posedness results for the Poisson equation are also discussed. The second part of the thesis contains applications of the proposed algorithms to specific nonlinear filtering and optimization problems. The FPF is applied to the problem of attitude estimation - a nonlinear filtering problem on the Lie group SO(3). The formulae of the filter are described using both the rotation matrix and the quaternion coordinates. A comparison is provided between FPF and the several popular attitude filters including the multiplicative EKF, the invariant EKF, the unscented Kalman filter, the invariant ensemble Kalman filter and the bootstrap particle filter. Numerical simulations are presented to illustrate the comparison. As a practical application, experimental results for a motion tracking problem are presented. The objective is to estimate the attitude of a wrist-worn motion sensor based on the motion of the arm. In the presence of motion, considered here as the swinging motion of the arm, the observability of the sensor attitude is shown to improve. The estimation problem is mathematically formulated as a nonlinear filtering problem on the product Lie group SO(3)XSO(2), and experimental results are described using data from the gyroscope and the accelerometer installed on the sensor. For the global optimization problem, the proposed controlled particle filter is compared with several model-based algorithms that also employ probabilistic models to inform the search of the global minimizer. Examples of the model-based algorithms include the model reference adaptive search, the cross entropy, the model-based evolutionary optimization, and two algorithms based on bootstrap particle filtering. Performance comparisons are provided between the control-based and the sampling-based implementation. Results of Monte-Carlo simulations are described for several benchmark optimization problems

On sensor fusion for airborne wind energy systems

A study on filtering aspects of airborne wind energy generators is presented. This class of renewable energy systems aims to convert the aerodynamic forces generated by tethered wings, flying in closed paths transverse to the wind flow, into electricity. The accurate reconstruction of the wing's position, velocity and heading is of fundamental importance for the automatic control of these kinds of systems. The difficulty of the estimation problem arises from the nonlinear dynamics, wide speed range, large accelerations and fast changes of direction that the wing experiences during operation. It is shown that the overall nonlinear system has a specific structure allowing its partitioning into sub-systems, hence leading to a series of simpler filtering problems. Different sensor setups are then considered, and the related sensor fusion algorithms are presented. The results of experimental tests carried out with a small-scale prototype and wings of different sizes are discussed. The designed filtering algorithms rely purely on kinematic laws, hence they are independent from features like wing area, aerodynamic efficiency, mass, etc. Therefore, the presented results are representative also of systems with larger size and different wing design, different number of tethers and/or rigid wings.Comment: This manuscript is a preprint of a paper accepted for publication on the IEEE Transactions on Control Systems Technology and is subject to IEEE Copyright. The copy of record is available at IEEEXplore library: http://ieeexplore.ieee.org

Gradient-like observer design on the Special Euclidean group SE(3) with system outputs on the real projective space

A nonlinear observer on the Special Euclidean group $\mathrm{SE(3)}$ for full pose estimation, that takes the system outputs on the real projective space directly as inputs, is proposed. The observer derivation is based on a recent advanced theory on nonlinear observer design. A key advantage with respect to existing pose observers on $\mathrm{SE(3)}$ is that we can now incorporate in a unique observer different types of measurements such as vectorial measurements of known inertial vectors and position measurements of known feature points. The proposed observer is extended allowing for the compensation of unknown constant bias present in the velocity measurements. Rigorous stability analyses are equally provided. Excellent performance of the proposed observers are shown by means of simulations

The Invariant Unscented Kalman Filter

International audienceThis article proposes a novel approach for nonlinear state estimation. It combines both invariant observers theory and unscented filtering principles whitout requiring any compatibility condition such as proposed in the -IUKF algorithm. The resulting algorithm, named IUKF (Invariant Unscented Kalman Filter), relies on a geometrical-based constructive method for designing filters dedicated to nonlinear state estimation problems while preserving the physical invariances and systems symmetries. Within an invariant framework, this algorithm suggests a systematic approach to determine all the symmetry- preserving terms without requiring any linearization and highlighting remarkable invariant properties. As a result, the estimated covariance matrices of the IUKF converge to quasi-constant values due to the symmetry-preserving property provided by the invariant framework. This result enables the development of less conservative robust control strategies. The designed IUKF method has been successfully applied to some relevant practical problems such as the estimation of attitude for aerial vehicles using low-cost sensors reference systems. Typical experimental results using a Parrot quadrotor are provided in this pape

How to cope with climate's complexity

Climate exhibits a vast range of dissipative structures. Some have characteristic times of a few days; others evolve on thousands of years. All these structures are interdependent; in other words, they communicate. It is often considered that the only way to cope with climate complexity is to integrate the equations of atmospheric and oceanic motion with the finer possible mesh. Is this the sole strategy? Aren't we missing another characteristic of the climate system: its ability to destroy and generate information at the macroscopic scale? Paleoclimatologists consider that much of this information is present in palaeoclimate archives. It is therefore natural to build climate models such as to get the most of these archives. The strategy proposed here is based on Bayesian statistics and low-order non-linear dynamical systems, in a modelling approach that explicitly includes the effects of uncertainties. Its practical interest is illustrated through the problem of the timing of the next great glaciation. Is glacial inception overdue, or do we need to wait for another 50,000 years before ice caps grow again? Our results indicate a glaciation inception in 50,000 years.Comment: proceedings of a talk given at the "Complexity Workshop", Academia Europeae, Heidelberg, May 2008, to be submitted to European Review

Relative Pose Uncertainty Quantification Using Lie Group Variational Filtering

The applications of visual sensing techniques have revolutionized the way autonomous systems perceive their environment on Earth. In space, the challenge of accurate perception has proven to be a difficult task. Due to adverse lighting conditions, high-noise images are common and degrade the performance of traditional feature-based estimation and perception algorithms. This work explores the applications of a variational filtering scheme founded in Lie Group theory to an autonomous rendezvous, proximity operations and docking problem. Two methodologies, a Monte Carlo approach and an Unscented Transform, for propagating uncertainty using a Lie Group Variational Filter are introduced and developed