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Results for “State Error Covariance Matrix”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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At least 73 records · Page 4
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NASA NTRS1988

New insights in the numerical reliability properties of existing Kalman filter implementations

The convergence properties of Kalman filter algorithms are investigated analytically. A theoretical error analysis is performed on four types of algorithms, as defined by Anderson and Moore (1979): (1) a conventional Kalman filter, (2) a square-root (SR) covariance filter, (3) the Chandrasekhar SR filter, and (4) an SR information filter. The derivations are given in detail, and numerical results for the flight-path reconstruction problem studied by Verhaegen (1987) are presented in tables and graphs. It is shown that error propagation in algorithms (1) and (2) is sensitive to the condition number of the innovation-signal covariance matrix and the spectral norm of the filter state-transition matrix, whereas other parameters are dominant in (3) and (4). Filter (2) is found to be the most reliable for the class of problems studied.

Verhaegen, M. H.↗
NASA NTRS1977

The epoch state navigation filter

The formulation of a recursive maximum likelihood navigation system employing reference position and velocity vectors as state variables is presented. Convenient forms of the required variational equations of motion are developed together with an explicit form of the associated state transition matrix needed to refer measurement data from the measurement time to the epoch time. Computational advantages accrue from this design in that the usual forward extrapolation of the covariance matrix of estimation errors can be avoided without incurring unacceptable system errors. Simulation data for earth orbiting satellites are provided to substantiate this assertion.

Battin, R. H.↗
NASA NTRS2024

Aircraft Parameter Estimation Considering Process and Measurement Noise

A practical formulation is proposed for parameter estimation using the filter-error method, which is a maximum-likelihood estimator for dynamic systems having both process and measurement noise inputs. The novelty of the proposed formulation is that by accurately estimating the measurement noise covariance matrix using a time series analysis method, the remaining unknowns (which include the unknown parameters in the state-space matrices and the process noise covariance matrix) become decorrelated and can be estimated simultaneously in a straightforward manner. The approach is demonstrated using simulation data and flight test data from a subscale airplane. Results indicate that proposed algorithm can obtain accurate modeling results when both measurement noise and process noise are present in the data.

Kalman filter↗
NASA NTRS2012

A review of reduced Kalman filters for clock ensembles

This paper reviews the author’s previous work on free-running timescales based on Kalman filters that act upon clock comparisons. The natural Kalman clock ensemble algorithm tends to optimize long-term timescale stability at the expense of short-term stability. By subjecting each postmeasurement error covariance matrix to a non-transparent reduction operation, one obtains corrected clocks with improved short-term stability and little sacrifice of long-term stability. A new result on covariance matrix reduction is also stated.

Greenhall, Charles A.↗
NASA NTRS1977

Updated dispersion analysis for the first Orbital Flight Test (OFT-1) mission

A dispersion analysis considering 3-sigma uncertainties (or perturbations) in platform, vehicle, and environmental parameters was performed for the first orbital flight test (OFT-1) mission. The dispersion analysis is based on the nominal trajectory for the OFT-1 reference flight profile and was performed to determine state vector and performance dispersions (or variations) which result from the indicated 3 sigma uncertainties. The dispersions are determined at major mission events and fixed times from liftoff (time slices). Principal error contributors to the covariance matrix are listed. The dispersion data indicates that the largest position error occurs in the down range component. At main engine cutoff and circularization, the vehicle performance uncertainties are the major contributors to down range error.

Snow, L. S.↗
NASA NTRS2004

Multivariate Error Covariance Estimates by Monte-Carlo Simulation for Assimilation Studies in the Pacific Ocean

One of the most difficult aspects of ocean state estimation is the prescription of the model forecast error covariances. The paucity of ocean observations limits our ability to estimate the covariance structures from model-observation differences. In most practical applications, simple covariances are usually prescribed. Rarely are cross-covariances between different model variables used. Here a comparison is made between a univariate Optimal Interpolation (UOI) scheme and a multivariate OI algorithm (MvOI) in the assimilation of ocean temperature. In the UOI case only temperature is updated using a Gaussian covariance function and in the MvOI salinity, zonal and meridional velocities as well as temperature, are updated using an empirically estimated multivariate covariance matrix. Earlier studies have shown that a univariate OI has a detrimental effect on the salinity and velocity fields of the model. Apparently, in a sequential framework it is important to analyze temperature and salinity together. For the MvOI an estimation of the model error statistics is made by Monte-Carlo techniques from an ensemble of model integrations. An important advantage of using an ensemble of ocean states is that it provides a natural way to estimate cross-covariances between the fields of different physical variables constituting the model state vector, at the same time incorporating the model's dynamical and thermodynamical constraints as well as the effects of physical boundaries. Only temperature observations from the Tropical Atmosphere-Ocean array have been assimilated in this study. In order to investigate the efficacy of the multivariate scheme two data assimilation experiments are validated with a large independent set of recently published subsurface observations of salinity, zonal velocity and temperature. For reference, a third control run with no data assimilation is used to check how the data assimilation affects systematic model errors. While the performance of the UOI and MvOI is similar with respect to the temperature field, the salinity and velocity fields are greatly improved when multivariate correction is used, as evident from the analyses of the rms differences of these fields and independent observations. The MvOI assimilation is found to improve upon the control run in generating the water masses with properties close to the observed, while the UOI failed to maintain the temperature and salinity structure.

Borovikov, Anna↗
NASA NTRS2001

Design and Implementation of a Parallel Multivariate Ensemble Kalman Filter for the Poseidon Ocean General Circulation Model

A multivariate ensemble Kalman filter (MvEnKF) implemented on a massively parallel computer architecture has been implemented for the Poseidon ocean circulation model and tested with a Pacific Basin model configuration. There are about two million prognostic state-vector variables. Parallelism for the data assimilation step is achieved by regionalization of the background-error covariances that are calculated from the phase-space distribution of the ensemble. Each processing element (PE) collects elements of a matrix measurement functional from nearby PEs. To avoid the introduction of spurious long-range covariances associated with finite ensemble sizes, the background-error covariances are given compact support by means of a Hadamard (element by element) product with a three-dimensional canonical correlation function. The methodology and the MvEnKF configuration are discussed. It is shown that the regionalization of the background covariances; has a negligible impact on the quality of the analyses. The parallel algorithm is very efficient for large numbers of observations but does not scale well beyond 100 PEs at the current model resolution. On a platform with distributed memory, memory rather than speed is the limiting factor.

Keppenne, Christian L.↗
NASA NTRS1991

The Ohio State 1991 geopotential and sea surface topography harmonic coefficient models

The computation is described of a geopotential model to deg 360, a sea surface topography model to deg 10/15, and adjusted Geosat orbits for the first year of the exact repeat mission (ERM). This study started from the GEM-T2 potential coefficient model and it's error covariance matrix and Geosat orbits (for 22 ERMs) computed by Haines et al. using the GEM-T2 model. The first step followed the general procedures which use a radial orbit error theory originally developed by English. The Geosat data was processed to find corrections to the a priori geopotential model, corrections to a radial orbit error model for 76 Geosat arcs, and coefficients of a harmonic representation of the sea surface topography. The second stage of the analysis took place by doing a combination of the GEM-T2 coefficients with 30 deg gravity data derived from surface gravity data and anomalies obtained from altimeter data. The analysis has shown how a high degree spherical harmonic model can be determined combining the best aspects of two different analysis techniques. The error analysis was described that has led to the accuracy estimates for all the coefficients to deg 360. Significant work is needed to improve the modeling effort.

Rapp, Richard H.↗
NASA NTRS1972

Adaptive filtering with correlated state noise

An adaptive filter which uses a minimum variance criteria to estimate state noise covariance is presented. It is not necessary to assume white state noise in order to implement the filter. Simulation results are given which demonstrate that the filter tracks a satellite in the presence of modeling errors better than a conventional minimum variance filter with state noise. It is also shown that the propagated convariance matrix of the filter is an accurate indicator of the filter's performance.

Argentiero, P.↗
NASA NTRS2022

Deep Interacting Multiple Model Filtering

In this paper, a deep learning-based multiple model estimation framework is presented for the state estimation of hybrid dynamical systems from high dimensional observations such as camera images. A low dimensional vector which represents the measurement of the latent dynamical system and its corresponding variance are learned using a deep encoder neural network. An Interacting Multiple Model (IMM) filter is used to generate the latent state estimates and covariances using multiple dynamical models, which can be learned using backpropagation through time. The state estimates of the dynamical system and the corresponding covariance matrix are generated from the latent state estimates and covariance using a deep decoder neural network. The whole network is trained in an end-to-end manner using a loss function which minimizes the negative log-likelihood of the neural network parameters. Simulation results are presented using a 2D bouncing ball example and estimation error statistics are computed which demonstrates the accuracy and consistency of the estimation.

Ghananeel Rotithor↗
NASA NTRS1977

Identification of state variables and dynamic inflow from rotor model dynamic tests

The paper describes methods for extracting unknown state variables and parameters from dynamic rotor model tests given transient cyclic pitch stirring inputs, blade root flap-bending measurements, and the form of the dynamic rotor equations, including a rotor dynamic inflow description, when none of the physical parameters are known. A simplified version of the maximum likelihood method seems best suited for this purpose. The measurement equation error covariance matrix is assumed constant during each iteration, but updated for the subsequent iteration. A detailed analysis of the suitability of the derived techniques for studying various rotor dynamic inflow effects is provided.

Banerjee, D.↗
NASA NTRS1972

Recursive filter initialization.

Description of an initialization technique which partially accounts for the interrelation between the true-state vector errors when recursive filtering is applied in space navigation systems. The technique reduces the undesirable transient effects of the first few measurements and inhibits filter divergence when the interval between measurements is inordinately large. The key feature of this technique is the inclusion of the effect of a number of pseudo-measurements of certain orbital parameters into the initial covariance matrix. The pseudo-measurement technique has been shown to be useful when reinitialization of the error covariance matrix is required to prevent filter divergence.

Battin, R. H.↗
NASA NTRS1984

State estimation Kalman filter using optical processings Noise statistics known

Reference is made to a study by Casasent et al. (1983), which gave a description of a frequency-multiplexed acoustooptic processor and showed how it was capable of performing all the individual operations required in Kalman filtering. The data flow and organization of all required operations however, were not detailed in that study. Consideration is given here to a simpler Kalman filter state estimation problem. Equally spaced time-sampled intervals (k times T sub s, with k the iterative time index) are assumed. It is further assumed that the system noise vector w and the measurement noise vector v are uncorrelated and Gaussian distributed and that the noise statistics (Q and R) and the system model (Phi, Gamma, H) are known. The error covariance matrix P and the extrapolated error covariance matrix M can thus be precomputed and the Kalman gain matrix K sub k can be precomputed and stored for each input time sample.

Jackson, J.↗
NASA NTRS1976

Rotor dynamic state and parameter identification from simulated forward flight transients, part 1

State and parameter identifications from simulated forward flight blade flapping measurements are presented. The transients were excited by progressing cyclic pitch stirring or by hub stirring with constant stirring acceleration. Rotor dynamic inflow models of varying degree of sophistication were used from a one parameter inflow model (equivalent Lock number) to an eight parameter inflow model. The maximum likelihood method with assumed fixed measurement error covariance matrix was applied. The rotor system equations for both fixed hub and tilting hub are given. The identified models were verified by comparing true responses with predicted responses. An optimum utilization of the simulated measurement data can be defined. From the numerical results it can be anticipated that brief periods of either accelerated cyclic pitch stirring or of hub stirring are sufficient to extract with adequate accuracy up to 8 rotor dynamic inflow parameters plus the blade Lock number from the transients.

Hohenemser, K. H.↗
DOE OSTI2025

Gate-Based Quantum Simulation of Gaussian Bosonic Circuits on Exponentially Many Modes

We introduce a framework for simulating, on an ( n + 1 )-qubit quantum computer, the action of a Gaussian bosonic (GB) circuit on a state over 2 n modes. Specifically, we encode the initial bosonic state’s expectation values over quadrature operators (and their covariance matrix) as an input qubit state. This is then evolved by a quantum circuit that effectively implements the symplectic propagators induced by the GB gates. We find families of GB circuits and initial states leading to efficient quantum simulations. For this purpose, we introduce a dictionary that maps between GB and qubit gates such that particle- (non-particle-) preserving GB gates lead to real- (imaginary-) time evolutions at the qubit level. For the special case of particle-preserving circuits, we present a bounded-error-quantum-polynomial time (BQP)-complete GB decision problem, indicating that GB evolutions of Gaussian states on exponentially many modes are as powerful as universal quantum computers. We also perform numerical simulations of an interferometer on ∼ 8 × 10 9 modes, illustrating the power of our framework. Published by the American Physical Society 2025

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
DOE OSTI2025

Gaussian Process Regression under Computational and Epistemic Misspecification

Gaussian process regression is a classical kernel method for function estimation and data interpolation. In large data applications, computational costs can be reduced using low-rank or sparse approximations of the kernel. This paper investigates the effect of such kernel approximations on the interpolation error. We introduce a unified framework to analyze Gaussian process regression under important classes of computational misspecification: Karhunen-Loève expansions that result in low-rank kernel approximations, multiscale wavelet expansions that induce sparsity in the covariance matrix, and finite element representations that induce sparsity in the precision matrix. Furthermore, our theory also accounts for epistemic misspecification in the choice of kernel parameters.

Gaussian process regression↗
NASA NTRS2002

Retrieval of Atmospheric and Surface Parameters from AIRS/AMSU/HSB Data Under Cloudy Conditions

New state of the art methodology is described to analyze AIRS/AMSU/HSB data in the presence of multiple cloud formations. The methodology forms the basis for the AIRS Science Team algorithm which will be used to analyze AIRS/AMSU/HSB data on EOS Aqua. The cloud clearing methodology requires no knowledge of the spectral properties of the clouds. The basic retrieval methodology is general and extracts the maximum information from the radiances, consistent with the channel noise covariance matrix. The retrieval methodology minimizes the dependence of the solution on the first guess field and the first guess error characteristics. Results are shown for AIRS Science Team simulation studies with multiple cloud formations. These simulation studies imply that clear column radiances can be reconstructed under partial cloud cover with an accuracy comparable to single spot channel noise in the temperature and water vapor sounding regions, temperature soundings can be produced under partial cloud cover with RMS errors on the order of, or better than, 1deg K in 1 km thick layers from the surface to 700 mb, 1 km layers from 700 mb to 300 mb, 3 km layers from 300 mb to 30 mb, and 5 km layers from 30 mb to 1 mb, and moisture profiles can be obtained with an accuracy better than 20% absolute errors in 1 km layers from the surface to nearly 200 mb.

Susskind, Joel↗
NASA NTRS1971

Optimal filtering in the presence of unmodeled time correlated driving disturbances.

In many realistic data filtering problems, the cross correlation of the state estimation error and the state forcing function is unknown due to the poor knowledge of the time history of the forcing function. In this paper, the conservative and minimal approximation to the cross correlation terms is presented. It requires only the knowledge of the estimation error covariance and the forcing function covariance, with the choice of an associated free parameter left to the user. If the estimation error covariance and/or the forcing function covariance are bounded from above but not known exactly, the cross correlation approximation using those upper bounds remains conservative. This cross correlation approximation leads to a conservative approximation to the estimation error covariance matrix differential equation between measurement times. The free parameter is determined as the analytic solution to an associated optimal control problem. The procedure is expanded to include discrete linear measurement incorporation.

Fraser, D. C.↗