Modern control concepts in hydrology

Two approaches to an identification problem in hydrology are presented based upon concepts from modern control and estimation theory. The first approach treats the identification of unknown parameters in a hydrologic system subject to noisy inputs as an adaptive linear stochastic control problem; the second approach alters the model equation to account for the random part in the inputs, and then uses a nonlinear estimation scheme to estimate the unknown parameters. Both approaches use state-space concepts. The identification schemes are sequential and adaptive and can handle either time invariant or time dependent parameters. They are used to identify parameters in the Prasad model of rainfall-runoff. The results obtained are encouraging and conform with results from two previous studies; the first using numerical integration of the model equation along with a trial-and-error procedure, and the second, by using a quasi-linearization technique. The proposed approaches offer a systematic way of analyzing the rainfall-runoff process when the input data are imbedded in noise

Nonlinear and adaptive estimation techniques in reentry

The development and testing of nonlinear and adaptive estimators for reentry (e.g. space shuttle) navigation and model parameter estimation or identification are reported. Of particular interest is the identifcation of vehicle lift and drag characteristics in real time. Several nonlinear filters were developed and simulated. Adaptive filters for the real time identification of vehicle lift and drag characteristics, and unmodelable acceleration, were also developed and tested by simulation. The simulations feature an uncertain system environment with rather arbitrary model errors, thus providing a definitive test of estimator performance. It was found that nonlinear effects are indeed significant in reentry trajectory estimation and a nonlinear filter is demonstrated which successfully tracks through nonlinearities without degrading the information content of the data. Under the same conditions the usual extended Kalman filter diverges and is useless. The J-adaptive filter is shown to successfully track errors in the modeled vehicle lift and drag characteristics. The same filter concept is also shown to track successfully through rather arbitrary model errors, including lift and drag errors, vehicle mass errors, atmospheric density errors, and wind gust errors

Approximate Gaussian conjugacy: parametric recursive filtering under nonlinearity, multimodality, uncertainty, and constraint, and beyond

Since the landmark work of R. E. Kalman in the 1960s, considerable efforts have been devoted to time series state space models for a large variety of dynamic estimation problems. In particular, parametric filters that seek analytical estimates based on a closed-form Markov–Bayes recursion, e.g., recursion from a Gaussian or Gaussian mixture (GM) prior to a Gaussian/GM posterior (termed ‘Gaussian conjugacy’ in this paper), form the backbone for a general time series filter design. Due to challenges arising from nonlinearity, multimodality (including target maneuver), intractable uncertainties (such as unknown inputs and/or non-Gaussian noises) and constraints (including circular quantities), etc., new theories, algorithms, and technologies have been developed continuously to maintain such a conjugacy, or to approximate it as close as possible. They had contributed in large part to the prospective developments of time series parametric filters in the last six decades. In this paper, we review the state of the art in distinctive categories and highlight some insights that may otherwise be easily overlooked. In particular, specific attention is paid to nonlinear systems with an informative observation, multimodal systems including Gaussian mixture posterior and maneuvers, and intractable unknown inputs and constraints, to fill some gaps in existing reviews and surveys. In addition, we provide some new thoughts on alternatives to the first-order Markov transition model and on filter evaluation with regard to computing complexity

Detection of abrupt changes in dynamic systems

Some of the basic ideas associated with the detection of abrupt changes in dynamic systems are presented. Multiple filter-based techniques and residual-based method and the multiple model and generalized likelihood ratio methods are considered. Issues such as the effect of unknown onset time on algorithm complexity and structure and robustness to model uncertainty are discussed