30,858 research outputs found
Fast recursive filters for simulating nonlinear dynamic systems
A fast and accurate computational scheme for simulating nonlinear dynamic
systems is presented. The scheme assumes that the system can be represented by
a combination of components of only two different types: first-order low-pass
filters and static nonlinearities. The parameters of these filters and
nonlinearities may depend on system variables, and the topology of the system
may be complex, including feedback. Several examples taken from neuroscience
are given: phototransduction, photopigment bleaching, and spike generation
according to the Hodgkin-Huxley equations. The scheme uses two slightly
different forms of autoregressive filters, with an implicit delay of zero for
feedforward control and an implicit delay of half a sample distance for
feedback control. On a fairly complex model of the macaque retinal horizontal
cell it computes, for a given level of accuracy, 1-2 orders of magnitude faster
than 4th-order Runge-Kutta. The computational scheme has minimal memory
requirements, and is also suited for computation on a stream processor, such as
a GPU (Graphical Processing Unit).Comment: 20 pages, 8 figures, 1 table. A comparison with 4th-order Runge-Kutta
integration shows that the new algorithm is 1-2 orders of magnitude faster.
The paper is in press now at Neural Computatio
Higher order sigma point filter: A new heuristic for nonlinear time series filtering
In this paper we present some new results related to the higher order sigma point filter (HOSPoF), introduced in [1] for filtering nonlinear multivariate time series. This paper makes two distinct contributions. Firstly, we propose a new algorithm to generate a discrete statistical distribution to match exactly a specified mean vector, a specified covariance matrix, the average of specified marginal skewness and the average of specified marginal kurtosis. Both the sigma points and the probability weights are given in closed-form and no numerical optimization is required. Combined with HOSPoF, this random sigma point generation algorithm provides a new method for generating proposal density which propagates the information about higher order moments. A numerical example on nonlinear, multivariate time series involving real financial market data demonstrates the utility of this new algorithm. Secondly, we show that HOSPoF achieves a higher order estimation accuracy as compared to UKF for smooth scalar nonlinearities. We believe that this new filter provides a new and powerful alternative heuristic to existing filtering algorithms and is useful especially in econometrics and in engineering applications
Comparison of a linear and a nonlinear washout for motion simulators utilizing objective and subjective data from CTOL transport landing approaches
Objective and subjective data gathered in the processes of comparing a linear and a nonlinear washout for motion simulators reveal that there is no difference in the pilot performance measurements used during instrument landing system (ILS) approaches with a Boeing 737 conventional takeoff and landing (CTOL) airplane between fixed base, linear washout, and nonlinear washout operations. However, the subjective opinions of the pilots reveal an important advance in motion cue presentation. The advance is not in the increased cue available over a linear filter for the same amount of motion base travel but rather in the elimination of false rotational rate cues presented by linear filters
Controlling overestimation of error covariance in ensemble Kalman filters with sparse observations: A variance limiting Kalman filter
We consider the problem of an ensemble Kalman filter when only partial
observations are available. In particular we consider the situation where the
observational space consists of variables which are directly observable with
known observational error, and of variables of which only their climatic
variance and mean are given. To limit the variance of the latter poorly
resolved variables we derive a variance limiting Kalman filter (VLKF) in a
variational setting. We analyze the variance limiting Kalman filter for a
simple linear toy model and determine its range of optimal performance. We
explore the variance limiting Kalman filter in an ensemble transform setting
for the Lorenz-96 system, and show that incorporating the information of the
variance of some un-observable variables can improve the skill and also
increase the stability of the data assimilation procedure.Comment: 32 pages, 11 figure
The application of parameter sensitivity analysis methods to inverse simulation models
Knowledge of the sensitivity of inverse solutions to variation of parameters of a model can be very useful in making engineering design decisions. This paper describes how parameter sensitivity analysis can be carried out for
inverse simulations generated through approximate transfer function inversion methods and also by the use of feedback principles. Emphasis is placed on the use of sensitivity models and the paper includes examples and a case study involving a model of an underwater vehicle. It is shown that the use of sensitivity models can provide physical understanding of inverse simulation solutions that is not directly available using parameter sensitivity analysis methods that involve parameter perturbations and response
differencing
Nonlinear stability and ergodicity of ensemble based Kalman filters
The ensemble Kalman filter (EnKF) and ensemble square root filter (ESRF) are
data assimilation methods used to combine high dimensional, nonlinear dynamical
models with observed data. Despite their widespread usage in climate science
and oil reservoir simulation, very little is known about the long-time behavior
of these methods and why they are effective when applied with modest ensemble
sizes in large dimensional turbulent dynamical systems. By following the basic
principles of energy dissipation and controllability of filters, this paper
establishes a simple, systematic and rigorous framework for the nonlinear
analysis of EnKF and ESRF with arbitrary ensemble size, focusing on the
dynamical properties of boundedness and geometric ergodicity. The time uniform
boundedness guarantees that the filter estimate will not diverge to machine
infinity in finite time, which is a potential threat for EnKF and ESQF known as
the catastrophic filter divergence. Geometric ergodicity ensures in addition
that the filter has a unique invariant measure and that initialization errors
will dissipate exponentially in time. We establish these results by introducing
a natural notion of observable energy dissipation. The time uniform bound is
achieved through a simple Lyapunov function argument, this result applies to
systems with complete observations and strong kinetic energy dissipation, but
also to concrete examples with incomplete observations. With the Lyapunov
function argument established, the geometric ergodicity is obtained by
verifying the controllability of the filter processes; in particular, such
analysis for ESQF relies on a careful multivariate perturbation analysis of the
covariance eigen-structure.Comment: 38 page
Deterministic Mean-field Ensemble Kalman Filtering
The proof of convergence of the standard ensemble Kalman filter (EnKF) from
Legland etal. (2011) is extended to non-Gaussian state space models. A
density-based deterministic approximation of the mean-field limit EnKF
(DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given
a certain minimal order of convergence between the two, this extends
to the deterministic filter approximation, which is therefore asymptotically
superior to standard EnKF when the dimension . The fidelity of
approximation of the true distribution is also established using an extension
of total variation metric to random measures. This is limited by a Gaussian
bias term arising from non-linearity/non-Gaussianity of the model, which exists
for both DMFEnKF and standard EnKF. Numerical results support and extend the
theory
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