Covariant Noether identities in covariant field theories
Covariant Noether identities in covariant field theories
FIELD THEORY↗
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Covariant noether identities in covariant field theories
Covariant Noether identities in covariant field theories
DIFFERENTIAL GEOMETRY↗
A likelihood ratio test for shrinkage covariance estimators
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Anderson, Dylan Zachary↗
Three CA-Related Covariance Issues and Their Solutions
This presentation addresses three issues that arise in the use of DoD-produced satellite state estimate covariances in the conjunction assessment process: the realism of the provided covariances, how to address correlated error between two satellites' covariance matrices, and how to proceed when a furnished covariance is non-positive-definite. To address the first, DoD has implemented a set of two "consider parameters" with which to alter/expand the covariance to account for atmospheric density forecast error and satellite frontal area uncertainty, the two largest sources of unmodeled position prediction error for LEO orbits; these values are governed by a satellite's orbital parameters and ballistic coefficient histories, as well as the current and predicted space weather situation. This approach substantially improves the realism of the covariance by accounting for expected prediction errors that are not part of the fit process that generates the covariance. The second issue of covariance correlation is a complicated one, but the main shared error source—global atmospheric density error that is common to both satellites can be characterized and, through sensitivity vectors, quantified at the conjunction's time of closest approach and removed from the joint covariance, which is used in the CA probability of collision (Pc) calculation. Finally, while according to the orbit determination theory a non-positive-definite (NPD) covariance is not possible, numerical truncation and covariance interpolation can conspire to produce NPD results, which render the covariance unusable for certain CA risk assessment calculations, such as Monte Carlo Pc determination. Three similar techniques are profiled and the simplest of them recommended as a reasonable remediation technique when NPD covariances are encountered by CA practitioners.
Dynamic Consider Parameter↗
Construction of Covariance Functions with Variable Length Fields
This article focuses on construction, directly in physical space, of three-dimensional covariance functions parametrized by a tunable length field, and on an application of this theory to reproduce the Quasi-Biennial Oscillation (QBO) in the Goddard Earth Observing System, Version 4 (GEOS-4) data assimilation system. These Covariance models are referred to as multi-level or nonseparable, to associate them with the application where a multi-level covariance with a large troposphere to stratosphere length field gradient is used to reproduce the QBO from sparse radiosonde observations in the tropical lower stratosphere. The multi-level covariance functions extend well-known single level covariance functions depending only on a length scale. Generalizations of the first- and third-order autoregressive covariances in three dimensions are given, providing multi-level covariances with zero and three derivatives at zero separation, respectively. Multi-level piecewise rational covariances with two continuous derivatives at zero separation are also provided. Multi-level powerlaw covariances are constructed with continuous derivatives of all orders. Additional multi-level covariance functions are constructed using the Schur product of single and multi-level covariance functions. A multi-level powerlaw covariance used to reproduce the QBO in GEOS-4 is described along with details of the assimilation experiments. The new covariance model is shown to represent the vertical wind shear associated with the QBO much more effectively than in the baseline GEOS-4 system.
Gaspari, Gregory↗
An Empirical State Error Covariance Matrix for Batch State Estimation
State estimation techniques serve effectively to provide mean state estimates. However, the state error covariance matrices provided as part of these techniques suffer from some degree of lack of confidence in their ability to adequately describe the uncertainty in the estimated states. A specific problem with the traditional form of state error covariance matrices is that they represent only a mapping of the assumed observation error characteristics into the state space. Any errors that arise from other sources (environment modeling, precision, etc.) are not directly represented in a traditional, theoretical state error covariance matrix. Consider that an actual observation contains only measurement error and that an estimated observation contains all other errors, known and unknown. It then follows that a measurement residual (the difference between expected and observed measurements) contains all errors for that measurement. Therefore, a direct and appropriate inclusion of the actual measurement residuals in the state error covariance matrix will result in an empirical state error covariance matrix. This empirical state error covariance matrix will fully account for the error in the state estimate. By way of a literal reinterpretation of the equations involved in the weighted least squares estimation algorithm, it is possible to arrive at an appropriate, and formally correct, empirical state error covariance matrix. The first specific step of the method is to use the average form of the weighted measurement residual variance performance index rather than its usual total weighted residual form. Next it is helpful to interpret the solution to the normal equations as the average of a collection of sample vectors drawn from a hypothetical parent population. From here, using a standard statistical analysis approach, it directly follows as to how to determine the standard empirical state error covariance matrix. This matrix will contain the total uncertainty in the state estimate, regardless as to the source of the uncertainty. Also, in its most straight forward form, the technique only requires supplemental calculations to be added to existing batch algorithms. The generation of this direct, empirical form of the state error covariance matrix is independent of the dimensionality of the observations. Mixed degrees of freedom for an observation set are allowed. As is the case with any simple, empirical sample variance problems, the presented approach offers an opportunity (at least in the case of weighted least squares) to investigate confidence interval estimates for the error covariance matrix elements. The diagonal or variance terms of the error covariance matrix have a particularly simple form to associate with either a multiple degree of freedom chi-square distribution (more approximate) or with a gamma distribution (less approximate). The off diagonal or covariance terms of the matrix are less clear in their statistical behavior. However, the off diagonal covariance matrix elements still lend themselves to standard confidence interval error analysis. The distributional forms associated with the off diagonal terms are more varied and, perhaps, more approximate than those associated with the diagonal terms. Using a simple weighted least squares sample problem, results obtained through use of the proposed technique are presented. The example consists of a simple, two observer, triangulation problem with range only measurements. Variations of this problem reflect an ideal case (perfect knowledge of the range errors) and a mismodeled case (incorrect knowledge of the range errors).
Frisbee, Joseph H., Jr.↗
Earth Observing System Covariance Realism
The purpose of covariance realism is to properly size a primary object's covariance in order to add validity to the calculation of the probability of collision. The covariance realism technique in this paper consists of three parts: collection/calculation of definitive state estimates through orbit determination, calculation of covariance realism test statistics at each covariance propagation point, and proper assessment of those test statistics. An empirical cumulative distribution function (ECDF) Goodness-of-Fit (GOF) method is employed to determine if a covariance is properly sized by comparing the empirical distribution of Mahalanobis distance calculations to the hypothesized parent 3-DoF chi-squared distribution. To realistically size a covariance for collision probability calculations, this study uses a state noise compensation algorithm that adds process noise to the definitive epoch covariance to account for uncertainty in the force model. Process noise is added until the GOF tests pass a group significance level threshold. The results of this study indicate that when outliers attributed to persistently high or extreme levels of solar activity are removed, the aforementioned covariance realism compensation method produces a tuned covariance with up to 80 to 90% of the covariance propagation timespan passing (against a 60% minimum passing threshold) the GOF tests-a quite satisfactory and useful result.
Realism↗
Continuum Covariance Propagation for Understanding Variance Loss in Advective Systems
Motivated by the spurious variance loss encountered during covariance propagation in atmospheric and other large-scale data assimilation systems, we consider the problem for state dynamics governed by the continuity and related hyperbolic partial differential equations. This loss of variance has been attributed to reduced-rank representations of the covariance matrix, as in ensemble methods for example, or else to the use of dissipative numerical methods. Through a combination of analytical work and numerical experiments, we demonstrate that significant variance loss, as well as gain, typically occurs during covariance propagation, even at full rank. The cause of this unusual behavior is a discontinuous change in the continuum covariance dynamics as correlation lengths become small, for instance in the vicinity of sharp gradients in the velocity field. This discontinuity in the covariance dynamics arises from hyperbolicity: the diagonal of the kernel of the covariance operator is a characteristic surface for advective dynamics. Our numerical experiments demonstrate that standard numerical methods for evolving the state are not adequate for propagating the covariance, because16they do not capture the discontinuity in the continuum covariance dynamics as correlations lengths tend to zero. Our analytical and numerical results show that this leads to significant, spurious variance loss in certain regions, and gain in others. The results suggest that developing local covariance propagation methods designed specifically to capture covariance evolution near the diagonal may prove a useful alternative to current methods of covariance propagation.
covariance propagation↗
An Empirical State Error Covariance Matrix Orbit Determination Example
State estimation techniques serve effectively to provide mean state estimates. However, the state error covariance matrices provided as part of these techniques suffer from some degree of lack of confidence in their ability to adequately describe the uncertainty in the estimated states. A specific problem with the traditional form of state error covariance matrices is that they represent only a mapping of the assumed observation error characteristics into the state space. Any errors that arise from other sources (environment modeling, precision, etc.) are not directly represented in a traditional, theoretical state error covariance matrix. First, consider that an actual observation contains only measurement error and that an estimated observation contains all other errors, known and unknown. Then it follows that a measurement residual (the difference between expected and observed measurements) contains all errors for that measurement. Therefore, a direct and appropriate inclusion of the actual measurement residuals in the state error covariance matrix of the estimate will result in an empirical state error covariance matrix. This empirical state error covariance matrix will fully include all of the errors in the state estimate. The empirical error covariance matrix is determined from a literal reinterpretation of the equations involved in the weighted least squares estimation algorithm. It is a formally correct, empirical state error covariance matrix obtained through use of the average form of the weighted measurement residual variance performance index rather than the usual total weighted residual form. Based on its formulation, this matrix will contain the total uncertainty in the state estimate, regardless as to the source of the uncertainty and whether the source is anticipated or not. It is expected that the empirical error covariance matrix will give a better, statistical representation of the state error in poorly modeled systems or when sensor performance is suspect. In its most straight forward form, the technique only requires supplemental calculations to be added to existing batch estimation algorithms. In the current problem being studied a truth model making use of gravity with spherical, J2 and J4 terms plus a standard exponential type atmosphere with simple diurnal and random walk components is used. The ability of the empirical state error covariance matrix to account for errors is investigated under four scenarios during orbit estimation. These scenarios are: exact modeling under known measurement errors, exact modeling under corrupted measurement errors, inexact modeling under known measurement errors, and inexact modeling under corrupted measurement errors. For this problem a simple analog of a distributed space surveillance network is used. The sensors in this network make only range measurements and with simple normally distributed measurement errors. The sensors are assumed to have full horizon to horizon viewing at any azimuth. For definiteness, an orbit at the approximate altitude and inclination of the International Space Station is used for the study. The comparison analyses of the data involve only total vectors. No investigation of specific orbital elements is undertaken. The total vector analyses will look at the chisquare values of the error in the difference between the estimated state and the true modeled state using both the empirical and theoretical error covariance matrices for each of scenario.
Frisbee, Joseph H., Jr.↗
Precomputing Process Noise Covariance for Onboard Sequential Filters
Process noise is often used in estimation filters to account for unmodeled and mismodeled accelerations in the dynamics. The process noise covariance acts to inflate the state covariance over propagation intervals, increasing the uncertainty in the state. In scenarios where the acceleration errors change significantly over time, the standard process noise covariance approach can fail to provide effective representation of the state and its uncertainty. Consider covariance analysis techniques provide a method to precompute a process noise covariance profile along a reference trajectory using known model parameter uncertainties. The process noise covariance profile allows significantly improved state estimation and uncertainty representation over the traditional formulation. As a result, estimation performance on par with the consider filter is achieved for trajectories near the reference trajectory without the additional computational cost of the consider filter. The new formulation also has the potential to significantly reduce the trial-and-error tuning currently required of navigation analysts. A linear estimation problem as described in several previous consider covariance analysis studies is used to demonstrate the effectiveness of the precomputed process noise covariance, as well as a nonlinear descent scenario at the asteroid Bennu with optical navigation.
onboard↗
Adapting Covariance Propagation to Account for the Presence of Modeled and Unmodeled Maneuvers
This paper explores techniques that can be used to adapt the standard linearized propagation of an orbital covariance matrix to the case where there is a maneuver and an associated execution uncertainty. A Monte Carlo technique is used to construct a final orbital covariance matrix for a 'prop-burn-prop' process that takes into account initial state uncertainty and execution uncertainties in the maneuver magnitude. This final orbital covariance matrix is regarded as 'truth' and comparisons are made with three methods using modified linearized covariance propagation. The first method accounts for the maneuver by modeling its nominal effect within the state transition matrix but excludes the execution uncertainty by omitting a process noise matrix from the computation. The second method does not model the maneuver but includes a process noise matrix to account for the uncertainty in its magnitude. The third method, which is essentially a hybrid of the first two, includes the nominal portion of the maneuver via the state transition matrix and uses a process noise matrix to account for the magnitude uncertainty. The first method is unable to produce the final orbit covariance except in the case of zero maneuver uncertainty. The second method yields good accuracy for the final covariance matrix but fails to model the final orbital state accurately. Agreement between the simulated covariance data produced by this method and the Monte Carlo truth data fell within 0.5-2.5 percent over a range of maneuver sizes that span two orders of magnitude (0.1-20 m/s). The third method, which yields a combination of good accuracy in the computation of the final covariance matrix and correct accounting for the presence of the maneuver in the nominal orbit, is the best method for applications involving the computation of times of closest approach and the corresponding probability of collision, PC. However, applications for the two other methods exist and are briefly discussed. Although the process model ("prop-burn-prop") that was studied is very simple - point-mass gravitational effects due to the Earth combined with an impulsive delta-V in the velocity direction for the maneuver - generalizations to more complex scenarios, including high fidelity force models, finite duration maneuvers, and maneuver pointing errors, are straightforward and are discussed in the conclusion.
Schiff, Conrad↗
Covariance Manipulation for Conjunction Assessment
The manipulation of space object covariances to try to provide additional or improved information to conjunction risk assessment is not an uncommon practice. Types of manipulation include fabricating a covariance when it is missing or unreliable to force the probability of collision (Pc) to a maximum value ('PcMax'), scaling a covariance to try to improve its realism or see the effect of covariance volatility on the calculated Pc, and constructing the equivalent of an epoch covariance at a convenient future point in the event ('covariance forecasting'). In bringing these methods to bear for Conjunction Assessment (CA) operations, however, some do not remain fully consistent with best practices for conducting risk management, some seem to be of relatively low utility, and some require additional information before they can contribute fully to risk analysis. This study describes some basic principles of modern risk management (following the Kaplan construct) and then examines the PcMax and covariance forecasting paradigms for alignment with these principles; it then further examines the expected utility of these methods in the modern CA framework. Both paradigms are found to be not without utility, but only in situations that are somewhat carefully circumscribed.
Conjunction↗
Continuum covariance propagation for understanding variance loss in advective systems
At the heart of modern data assimilation schemes is covariance propagation.Loss of variance experienced in large-scale applications such as numerical weather prediction is problematic, and the development of auxiliary methods to mitigate this issue is an active research area. The focus of this work is to understand the root causes of variance loss and show that for advective dynamics, the covariance propagation by itself typically causes significant, spurious loss of variance, even at full rank. To demonstrate this, we first study continuum covariance propagation by analyzing the covariance evolution equation for advective dynamics. The behavior of this evolution equation changes abruptly as the correlation length tends to zero, for example in the vicinity of sharp gradients in the advection field. This happens because the diagonal of the kernel of the covariance operator is a characteristic surface for advective dynamics. Our numerical experiments then confirm that the variance lost during numerical propagation greatly exceeds that due to numerical dissipation alone. The variance loss is driven primarily by inaccurate variance propagation resulting from standard, full-rank covariance propagation schemes, which have difficulty capturing the abrupt change in dynamics as the correlation length tends to zero. These results suggest that developing local covariance propagation methods may prove useful in ameliorating the variance loss observed in data assimilation schemes
Covariance Propagation↗
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↗
Realistic Covariance Generation for the GPM Spacecraft
We present several different methods for generating realistic predictive covariance, including Monte-Carlo simulations and more direct linear methods which require the addition of process noise. The Monte-Carlo simulation starts with an epoch uncertainty sample basis and propagates each trial to a time of interest in the future. The variance-covariance of the state elements as well as other higher order sample statistics can be readily computed from the propagated sample. While this method preserves the nonlinear effects on the propagated uncertainty, it is computationally intensive as a statistically significant sample size must be considered in the propagation process. Moreover, if the epoch covariance is optimistic, this can result in an underestimation of the prediction error. Another method is to propagate a state sensitivity matrix simultaneously with the satellite state, which allows the epoch covariances to be propagated forward in a linear fashion. This method does not preserve the non-linearity of the satellite state uncertainty but is much less computationally intensive. The propagated state covariance is the scaled to represent the realistic level of GPM state uncertainty via a "e-tuning process." The tuning process generates an inflation factor based on the observed error statistics of the predictive satellite trajectories when compared to the definitive ones. Difference tuning strategies are considered and compared via Goodness-of-Fit method testing for the Gaussian properties of the scaled covariance.
prediction error↗
An analytic approximation to the covariance between pre- and post-reconstruction galaxy two-point statistics
We present a simple analytic approximation for the covariance between pre-reconstruction galaxy power spectrum measurements and post-reconstruction two-point correlation functions. This cross-covariance is essential for joint analyses that combine full-shape clustering information with baryon acoustic oscillation (BAO) measurements, as commonly performed in modern spectroscopic surveys. Our model builds on the disconnected contribution to the covariance and accounts for the damping of correlations due to the BAO reconstruction process. We validate our analytic prescription against numerical simulations from the Dark Energy Spectroscopic Instrument (DESI), testing both idealized cubic geometries and realistic survey configurations including complex footprints and fiber assignment effects. Despite neglecting survey window functions in the analytic calculation, we find excellent agreement with simulation-based covariances and demonstrate that cosmological parameter constraints are virtually unchanged when using our approximation. Our results show that the pre-post cross-covariance is sufficiently small that even approximate treatments are adequate for cosmological inference, opening a pathway toward fully analytic covariance matrices for next-generation galaxy surveys.
baryon acoustic oscillations↗
Neural network based emulation of galaxy power spectrum covariances: A reanalysis of BOSS DR12 data
We train neural networks to quickly generate redshift-space galaxy power spectrum covariances from a given parameter set (cosmology and galaxy bias). This covariance emulator utilizes a combination of traditional fully connected network layers and transformer architecture to accurately predict covariance matrices for the high redshift, north galactic cap sample of the BOSS DR12 galaxy catalog. We run simulated likelihood analyses with emulated and brute-force computed covariances, and we quantify the network’s performance via two different metrics: (1) difference in Χ 2 and (2) likelihood contours for simulated BOSS DR 12 analyses. We find that the emulator returns excellent results over a large parameter range. We then use our emulator to perform a reanalysis of the BOSS HighZ NGC galaxy power spectrum, and find that varying covariance with cosmology along with the model vector produces Ω m = $0.276$$^{+0.013}_{–0.015}$, H 0 = 70.2 ± 1.9 km/s/Mpc, and σ 8 = $0.674$$^{+0.058}_{–0.077}$. These constraints represent an average 0.46σ shift in best-fit values and a 5% increase in constraining power compared to fixing the covariance matrix (Ω m = 0.293 ± 0.017, H 0 = 70.3 ± 2.0 km/s/Mpc, σ 8 = $0.702$$^{+0.063}_{–0.075}$). As a result, this work demonstrates that emulators for more complex cosmological quantities than second-order statistics can be trained over a wide parameter range at sufficiently high accuracy to be implemented in realistic likelihood analyses.
79 ASTRONOMY AND ASTROPHYSICS↗
Stochastic process approximation for recursive estimation with guaranteed bound on the error covariance
An approach, is proposed for the design of approximate, fixed order, discrete time realizations of stochastic processes from the output covariance over a finite time interval, was proposed. No restrictive assumptions are imposed on the process; it can be nonstationary and lead to a high dimension realization. Classes of fixed order models are defined, having the joint covariance matrix of the combined vector of the outputs in the interval of definition greater or equal than the process covariance; (the difference matrix is nonnegative definite). The design is achieved by minimizing, in one of those classes, a measure of the approximation between the model and the process evaluated by the trace of the difference of the respective covariance matrices. Models belonging to these classes have the notable property that, under the same measurement system and estimator structure, the output estimation error covariance matrix computed on the model is an upper bound of the corresponding covariance on the real process. An application of the approach is illustrated by the modeling of random meteorological wind profiles from the statistical analysis of historical data.
Menga, G.↗