Recursive Bayesian inference on stochastic differential equations

This thesis is concerned with recursive Bayesian estimation of non-linear dynamical systems, which can be modeled as discretely observed stochastic differential equations. The recursive real-time estimation algorithms for these continuous-discrete filtering problems are traditionally called optimal filters and the algorithms for recursively computing the estimates based on batches of observations are called optimal smoothers. In this thesis, new practical algorithms for approximate and asymptotically optimal continuous-discrete filtering and smoothing are presented. The mathematical approach of this thesis is probabilistic and the estimation algorithms are formulated in terms of Bayesian inference. This means that the unknown parameters, the unknown functions and the physical noise processes are treated as random processes in the same joint probability space. The Bayesian approach provides a consistent way of computing the optimal filtering and smoothing estimates, which are optimal given the model assumptions and a consistent way of analyzing their uncertainties. The formal equations of the optimal Bayesian continuous-discrete filtering and smoothing solutions are well known, but the exact analytical solutions are available only for linear Gaussian models and for a few other restricted special cases. The main contributions of this thesis are to show how the recently developed discrete-time unscented Kalman filter, particle filter, and the corresponding smoothers can be applied in the continuous-discrete setting. The equations for the continuous-time unscented Kalman-Bucy filter are also derived. The estimation performance of the new filters and smoothers is tested using simulated data. Continuous-discrete filtering based solutions are also presented to the problems of tracking an unknown number of targets, estimating the spread of an infectious disease and to prediction of an unknown time series.reviewe

Orbit Estimation of Non-Cooperative Maneuvering Spacecraft

Due to the ever increasing congestion of the space environment, there is an increased demand for real-time situation awareness of all objects in space. An unknown spacecraft maneuver changes the predicted orbit, complicates tracking, and degrades estimate accuracies. Traditional orbit estimation routines are implemented, tested, and compared to a multiple model format that adaptively handles unknown maneuvers. Multiple Model Adaptive Estimation is implemented in an original way to track a non-cooperative satellite by covariance inflation and filtering-through a maneuver. Parameters for successful instantaneous maneuver reconstruction are analyzed. Variable State Dimension estimation of a continuously maneuvering spacecraft is investigated. A requirements based analysis is performed on short arc orbital solutions. Large covariance propagation of potential maneuvers is explored. Using ground-based radars, several thousand simulations are run to develop new techniques to estimate orbits during and after both instantaneous and continuous maneuvers. The new methods discovered are more accurate by a factor of 700 after only a single pass when compared to non-adaptive methods. The algorithms, tactics, and analysis complement on-going efforts to improve Space Situational Awareness and dynamic modeling

Improvement of operational flood forecasting through the assimilation of satellite observations and multiple river flow data

Abstract. Data assimilation has the potential to improve flood forecasting. However, it is rarely employed in distributed hydrologic models for operational predictions. In this study, we present variational assimilation of river flow data at multiple locations and of land surface temperature (LST) from satellite in a distributed hydrologic model that is part of the operational forecasting chain for the Arno river, in central Italy. LST is used to estimate initial condition of soil moisture through a coupled surface energy/water balance scheme. We present here several hindcast experiments to assess the performances of the assimilation system. The results show that assimilation can significantly improve flood forecasting, although in the limit of data error and model structure