An efficient fixed-lag smoothing algorithm for discrete linear systems
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Bierman, G. J.↗
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Performances Of Fixed-Lag Phase-Smoothing Algorithms
Report discusses performances of fixed-lag nonlinear smoothing algorithms applied to estimation of phase and frequency of sinusoidal carrier signal with process phase noise and additive observation phase noise. Algorithm of type considered functions as suboptimal filter operating on received signal. Algorithm developed for system in which signal sampled at discrete times. Process noise assumed to be Gaussian with zero mean and independent of observation noise. Nonlinear smoothing equations derived in customary matrix-and-vector forms.
Kumar, Rajendra↗
Benefits and Cautions in Data Assimilation Strategies: An Example of Modeling Groundwater Recharge
Assimilating recent observations improves model outcomes for real-time assessments of groundwater processes. This is demonstrated in estimating time-varying recharge to a shallow fractured-rock aquifer in response to precipitation. Results from estimating the time-varying water-table altitude (h) and recharge, and their error covariances, are compared for forecasting, filtering, and fixed-lag smoothing (FLS), which are implemented using the Kalman Filter as applied to a data-driven, mechanistic model of recharge. Forecasting uses past observations to predict future states and is the current paradigm in most groundwater modeling investigations; filtering assimilates observations up to the current time to estimate current states; and FLS estimates states following a time lag over which additional observations are collected. Results for forecasting yield a large error covariance relative to the magnitude of the expected recharge. With assimilating recent observations of h, filtering and FLS produce estimates of recharge that better represent time-varying observations of h and reduce uncertainty in comparison to forecasting. Although model outcomes from applying data assimilation through filtering or FLS reduce model uncertainty, they are not necessarily mass conservative, whereas forecasting outcomes are mass conservative. Mass conservative outcomes from forecasting are not necessarily more accurate, because process errors are inherent in any model. Improvements in estimating real-time groundwater conditions that better represent observations need to be weighed for the model application against outcomes with inherent process deficiencies. In conclusion, results from data assimilation strategies discussed in this investigation are anticipated to be relevant to other groundwater processes models where system states are sensitive to system inputs.
aquifer recharge↗
Bounded state space
This investigation is divided functionally into three different areas: (1) study of bounded state space, (2) nonlinear smoothing theory, and (3) system identification. (1) Study of bounded state space: necessary and sufficient conditions for an optimal control are obtained for a bounded state space optimal control problem. The difficulty of determining the so-called jump conditions is eliminated; however, the problem of determining the points where the response either enters or leaves the boundary still remains unsolved. (2) Nonlinear smoothing theory: nonlinear fixed-interval, fixed-point and fixed-lag smoothing of a random signal generated by a stochastic differential equation are investigated. Results on the asymptotic stability of a linear constant-parameter fixed-interval smoothing filter are obtained. (3) System identification: a particular stochastic modelling problem is solved. An Ito stochastic integral equation is used to mathematically model a black box having multiple inputs and multiple outputs. A new method for identifying system parameters is presented.
Eyman, E. D.↗
Some estimation formulae for continuous time-invariant linear systems
In this brief paper we examine a Riccati equation decomposition due to Reid and Lainiotis and apply the result to the continuous time-invariant linear filtering problem. Exploitation of the time-invariant structure leads to integration-free covariance recursions which are of use in covariance analyses and in filter implementations. A super-linearly convergent iterative solution to the algebraic Riccati equation (ARE) is developed. The resulting algorithm, arranged in a square-root form, is thought to be numerically stable and competitive with other ARE solution methods. Certain covariance relations that are relevant to the fixed-point and fixed-lag smoothing problems are also discussed.
Bierman, G. J.↗
More About Fixed-Lag Smoothers For Tracking Carriers
Performance in presence of fades improved. Report amplifies and extends subject matter of "Performance of Fixed-Lag Phase-Smoothing Algorithms" (NPO-17202). Fixed-lag smoothers also used to mitigate effects of short, deep fades, including multipath effects, in mobile or fixed terrestrial receivers of frequency- or phase-modulated signals.
Kumar, Rajendra↗
A Complementary Note to 'A Lag-1 Smoother Approach to System-Error Estimation': The Intrinsic Limitations of Residual Diagnostics
Recently, this author studied an approach to the estimation of system error based on combining observation residuals derived from a sequential filter and fixed lag-1 smoother. While extending the methodology to a variational formulation, experimenting with simple models and making sure consistency was found between the sequential and variational formulations, the limitations of the residual-based approach came clearly to the surface. This note uses the sequential assimilation application to simple nonlinear dynamics to highlight the issue. Only when some of the underlying error statistics are assumed known is it possible to estimate the unknown component. In general, when considerable uncertainties exist in the underlying statistics as a whole, attempts to obtain separate estimates of the various error covariances are bound to lead to misrepresentation of errors. The conclusions are particularly relevant to present-day attempts to estimate observation-error correlations from observation residual statistics. A brief illustration of the issue is also provided by comparing estimates of error correlations derived from a quasi-operational assimilation system and a corresponding Observing System Simulation Experiments framework.
Fixed-lag smoothing↗