4,985 research outputs found
The geometry of low-rank Kalman filters
An important property of the Kalman filter is that the underlying Riccati
flow is a contraction for the natural metric of the cone of symmetric positive
definite matrices. The present paper studies the geometry of a low-rank version
of the Kalman filter. The underlying Riccati flow evolves on the manifold of
fixed rank symmetric positive semidefinite matrices. Contraction properties of
the low-rank flow are studied by means of a suitable metric recently introduced
by the authors.Comment: Final version published in Matrix Information Geometry, pp53-68,
Springer Verlag, 201
Geometrically Intrinsic Nonlinear Recursive Filters I: Algorithms
The Geometrically Intrinsic Nonlinear Recursive Filter, or GI Filter, is
designed to estimate an arbitrary continuous-time Markov diffusion process X
subject to nonlinear discrete-time observations. The GI Filter is fundamentally
different from the much-used Extended Kalman Filter (EKF), and its second-order
variants, even in the simplest nonlinear case, in that: (i) It uses a quadratic
function of a vector observation to update the state, instead of the linear
function used by the EKF. (ii) It is based on deeper geometric principles,
which make the GI Filter coordinate-invariant. This implies, for example, that
if a linear system were subjected to a nonlinear transformation f of the
state-space and analyzed using the GI Filter, the resulting state estimates and
conditional variances would be the push-forward under f of the Kalman Filter
estimates for the untransformed system - a property which is not shared by the
EKF or its second-order variants.
The noise covariance of X and the observation covariance themselves induce
geometries on state space and observation space, respectively, and associated
canonical connections. A sequel to this paper develops stochastic differential
geometry results - based on "intrinsic location parameters", a notion derived
from the heat flow of harmonic mappings - from which we derive the
coordinate-free filter update formula. The present article presents the
algorithm with reference to a specific example - the problem of tracking and
intercepting a target, using sensors based on a moving missile. Computational
experiments show that, when the observation function is highly nonlinear, there
exist choices of the noise parameters at which the GI Filter significantly
outperforms the EKF.Comment: 22 pages, 4 figure
Displacement Data Assimilation
We show that modifying a Bayesian data assimilation scheme by incorporating
kinematically-consistent displacement corrections produces a scheme that is
demonstrably better at estimating partially observed state vectors in a setting
where feature information important. While the displacement transformation is
not tied to any particular assimilation scheme, here we implement it within an
ensemble Kalman Filter and demonstrate its effectiveness in tracking
stochastically perturbed vortices.Comment: 26 Pages, 9 figures, 5 table
State-space solutions to the dynamic magnetoencephalography inverse problem using high performance computing
Determining the magnitude and location of neural sources within the brain
that are responsible for generating magnetoencephalography (MEG) signals
measured on the surface of the head is a challenging problem in functional
neuroimaging. The number of potential sources within the brain exceeds by an
order of magnitude the number of recording sites. As a consequence, the
estimates for the magnitude and location of the neural sources will be
ill-conditioned because of the underdetermined nature of the problem. One
well-known technique designed to address this imbalance is the minimum norm
estimator (MNE). This approach imposes an regularization constraint that
serves to stabilize and condition the source parameter estimates. However,
these classes of regularizer are static in time and do not consider the
temporal constraints inherent to the biophysics of the MEG experiment. In this
paper we propose a dynamic state-space model that accounts for both spatial and
temporal correlations within and across candidate intracortical sources. In our
model, the observation model is derived from the steady-state solution to
Maxwell's equations while the latent model representing neural dynamics is
given by a random walk process.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS483 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Atmospheric tomography with separate minimum variance laser and natural guide star mode control
This paper introduces a novel, computationally efficient, and practical atmospheric tomography wavefront control architecture with separate minimum variance laser and natural guide star mode estimation. The architecture is applicable to all laser tomography systems, including multi conjugate adaptive optics (MCAO), laser tomography adaptive optics (LTAO), and multi object adaptive optics (MOAO) systems. Monte Carlo simulation results for the Thirty Meter Telescope (TMT) MCAO system demonstrate its benefit over a previously introduced “ad hoc” split MCAO architecture, calling for further in-depth analysis and simulations over a representative ensemble of natural guide star (NGS) asterisms with optimized loop frame rates and modal gains
Challenges with bearings only tracking for missile guidance systems and how to cope with them.
This paper addresses the problem of closed loop missile guidance using bearings and target angular extent information. Comparison is performed between particle filtering methods and derivative free methods. The extent information characterizes target size and we show how this can help compensate for observability problems. We demonstrate that exploiting angular extent information improves filter estimation accuracy. The performance of the filters has been studied over a testing scenario with a static target, with respect to accuracy, sensitivity to perturbations in initial conditions and in different seeker modes (active, passive and semi-active)
Evaluating Data Assimilation Algorithms
Data assimilation leads naturally to a Bayesian formulation in which the
posterior probability distribution of the system state, given the observations,
plays a central conceptual role. The aim of this paper is to use this Bayesian
posterior probability distribution as a gold standard against which to evaluate
various commonly used data assimilation algorithms.
A key aspect of geophysical data assimilation is the high dimensionality and
low predictability of the computational model. With this in mind, yet with the
goal of allowing an explicit and accurate computation of the posterior
distribution, we study the 2D Navier-Stokes equations in a periodic geometry.
We compute the posterior probability distribution by state-of-the-art
statistical sampling techniques. The commonly used algorithms that we evaluate
against this accurate gold standard, as quantified by comparing the relative
error in reproducing its moments, are 4DVAR and a variety of sequential
filtering approximations based on 3DVAR and on extended and ensemble Kalman
filters.
The primary conclusions are that: (i) with appropriate parameter choices,
approximate filters can perform well in reproducing the mean of the desired
probability distribution; (ii) however they typically perform poorly when
attempting to reproduce the covariance; (iii) this poor performance is
compounded by the need to modify the covariance, in order to induce stability.
Thus, whilst filters can be a useful tool in predicting mean behavior, they
should be viewed with caution as predictors of uncertainty. These conclusions
are intrinsic to the algorithms and will not change if the model complexity is
increased, for example by employing a smaller viscosity, or by using a detailed
NWP model
Online Object Tracking with Proposal Selection
Tracking-by-detection approaches are some of the most successful object
trackers in recent years. Their success is largely determined by the detector
model they learn initially and then update over time. However, under
challenging conditions where an object can undergo transformations, e.g.,
severe rotation, these methods are found to be lacking. In this paper, we
address this problem by formulating it as a proposal selection task and making
two contributions. The first one is introducing novel proposals estimated from
the geometric transformations undergone by the object, and building a rich
candidate set for predicting the object location. The second one is devising a
novel selection strategy using multiple cues, i.e., detection score and
edgeness score computed from state-of-the-art object edges and motion
boundaries. We extensively evaluate our approach on the visual object tracking
2014 challenge and online tracking benchmark datasets, and show the best
performance.Comment: ICCV 201
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