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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.

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.

Empirical State Error Covariance Matrix for Batch Estimation

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their abilities to describe the true uncertainty in the estimated states. By a reinterpretation of the equations involved in the weighted least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. This proposed empirical state error covariance matrix will contain the effect of all error sources, known or unknown. Results are presented for a simple, two observer, measurement error only problem.

Estimation

Empirical State Error Covariance Matrix for Batch Estimation

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their ability to describe the uncertainty in the estimated states. By a reinterpretation of the equations involved in the weighted batch least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. The proposed empirical state error covariance matrix will contain the effect of all error sources, known or not. This empirical error covariance matrix may be calculated as a side computation for each unique batch solution. Results based on the proposed technique will be presented for a simple, two observer and measurement error only problem.

Frisbee, Joe

An Empirical State Error Covariance Matrix for the Weighted Least Squares Estimation Method

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their ability to describe the un-certainty in the estimated states. By a reinterpretation of the equations involved in the weighted least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. This proposed empirical state error covariance matrix will contain the effect of all error sources, known or not. Results based on the proposed technique will be presented for a simple, two observer, measurement error only problem.

Frisbee, Joseph H., Jr.

An Empirical State Error Covariance Matrix for the Weighted Least Squares Estimation Method

State estimation techniques effectively provide mean state estimates. However, the theoretical state error covariance matrices provided as part of these techniques often suffer from a lack of confidence in their ability to describe the uncertainty in the estimated states. By a reinterpretation of the equations involved in the weighted least squares algorithm, it is possible to directly arrive at an empirical state error covariance matrix. This proposed empirical state error covariance matrix will contain the effect of all error sources, known or not. Results based on the proposed technique will be presented for a simple, two observer, measurement error only problem.

Joseph Henry Frisbee

An algorithm for propagating the square-root covariance matrix in triangular form

A method for propagating the square root of the state error covariance matrix in lower triangular form is described. The algorithm can be combined with any triangular square-root measurement update algorithm to obtain a triangular square-root sequential estimation algorithm. The triangular square-root algorithm compares favorably with the conventional sequential estimation algorithm with regard to computation time.

Tapley, B. D.

New method for propagating the square root covariance matrix in triangular form

A method proposed by Potter of applying the Kalman-Bucy filter to the problem of estimating the state of a dynamic system is described, in which the square root of the state error covariance matrix is used to process the observations. A new technique which propagates the covariance square root matrix in lower triangular form is given for the discrete observation case. The technique is faster than previously proposed algorithms and is well-adapted for use with the Carlson square root measurement algorithm.

Choe, C. Y.

An approximate Kalman filter for ocean data assimilation: An example with an idealized Gulf Stream model

A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kalman filter based on approximation of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudomeasurements are examined, including velocity, density, and volume transport at localized arrays and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform an empirical nudging scheme used in a previous study. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.

Fukumori, Ichiro

An Approximate Kalman Filter for Ocean Data Assimilation; An Example with an Idealized Gulf Stream Model

A practical method of data assimilation for use with large, nonlinear, ocean general circulation models is explored. A Kalman filter based on approximations of the state error covariance matrix is presented, employing a reduction of the effective model dimension, the error's asymptotic steady-state limit, and a time-invariant linearization of the dynamic model for the error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. We examine the utility of the approximate filter in assimilating different measurement types using a twin experiment of an idealized Gulf Stream. A nonlinear primitive equation model of an unstable east-west jet is studied with a state dimension exceeding 170,000 elements. Assimilation of various pseudo measurements is examined, including velocity, density, and volume transport at localized arrays, and realistic distributions of satellite altimetry and acoustic tomography observations. Results are compared in terms of their effects on the accuracies of the estimation. The approximate filter is shown to outperform a previous study that used an empirical nudging scheme. The examples demonstrate that useful approximate estimation errors can be computed in a practical manner for general circulation models.

['Kalman

A triangular covariance factorization for sequential filtering algorithms

A method for propagating the square-root of the state error covariance matrix in lower triangular UDU form is described. This update method can be combined with the UDU transformation used by Bierman to obtain the equations of a square-root free triangular estimation algorithm. The method is compared with the state transition matrix time update algorithm on the basis of integration accuracy, computational efficiency and storage requirements.

Tapley, B. D.

Shuttle program: Ground tracking data program document shuttle OFT launch/landing

The equations for processing ground tracking data during a space shuttle ascent or entry, or any nonfree flight phase of a shuttle mission are given. The resulting computer program processes data from up to three stations simultaneously: C-band station number 1; C-band station number 2; and an S-band station. The C-band data consists of range, azimuth, and elevation angle measurements. The S-band data consists of range, two angles, and integrated Doppler data in the form of cycle counts. A nineteen element state vector is used in Kalman filter to process the measurements. The acceleration components of the shuttle are taken to be independent exponentially-correlated random variables. Nine elements of the state vector are the measurement bias errors associated with range and two angles for each tracking station. The biases are all modeled as exponentially-correlated random variables with a typical time constant of 108 seconds. All time constants are taken to be the same for all nine state variables. This simplifies the logic in propagating the state error covariance matrix ahead in time.

Lear, W. M.

Impact of Non-Gaussian Error Volumes on Conjunction Assessment Risk Analysis

An understanding of how an initially Gaussian error volume becomes non-Gaussian over time is an important consideration for space-vehicle conjunction assessment. Traditional assumptions applied to the error volume artificially suppress the true non-Gaussian nature of the space-vehicle position uncertainties. For typical conjunction assessment objects, representation of the error volume by a state error covariance matrix in a Cartesian reference frame is a more significant limitation than is the assumption of linearized dynamics for propagating the error volume. In this study, the impact of each assumption is examined and isolated for each point in the volume. Limitations arising from representing the error volume in a Cartesian reference frame is corrected by employing a Monte Carlo approach to probability of collision (Pc), using equinoctial samples from the Cartesian position covariance at the time of closest approach (TCA) between the pair of space objects. A set of actual, higher risk (Pc >= 10 (exp -4)+) conjunction events in various low-Earth orbits using Monte Carlo methods are analyzed. The impact of non-Gaussian error volumes on Pc for these cases is minimal, even when the deviation from a Gaussian distribution is significant.

Ghrist, Richard W.

A prefiltering version of the Kalman filter with new numerical integration formulas for Riccati equations

A prefiltering version of the Kalman filter is derived for both discrete and continuous measurements. The derivation consists of determining a single discrete measurement that is equivalent to either a time segment of continuous measurements or a set of discrete measurements. This prefiltering version of the Kalman filter easily handles numerical problems associated with rapid transients and ill-conditioned Riccati matrices. Therefore, the derived technique for extrapolating the Riccati matrix from one time to the next constitutes a new set of integration formulas which alleviate ill-conditioning problems associated with continuous Riccati equations. Furthermore, since a time segment of continuous measurements is converted into a single discrete measurement, Potter's square root formulas can be used to update the state estimate and its error covariance matrix. Therefore, if having the state estimate and its error covariance matrix at discrete times is acceptable, the prefilter extends square root filtering with all its advantages, to continuous measurement problems.

Womble, M. E.

A Reduced Dimension Static, Linearized Kalman Filter and Smoother

An approximate Kalman filter and smoother, based on approximations of the state estimation error covariance matrix, is described. Approximations include a reduction of the effective state dimension, use of a static asymptotic error limit, and a time-invariant linearization of the dynamic model for error integration. The approximations lead to dramatic computational savings in applying estimation theory to large complex systems. Examples of use come from TOPEX/POSEIDON.

Kalman filter smoother modeling ocean simulation

Low-dimensional Representation of Error Covariance

Ensemble and reduced-rank approaches to prediction and assimilation rely on low-dimensional approximations of the estimation error covariances. Here stability properties of the forecast/analysis cycle for linear, time-independent systems are used to identify factors that cause the steady-state analysis error covariance to admit a low-dimensional representation. A useful measure of forecast/analysis cycle stability is the bound matrix, a function of the dynamics, observation operator and assimilation method. Upper and lower estimates for the steady-state analysis error covariance matrix eigenvalues are derived from the bound matrix. The estimates generalize to time-dependent systems. If much of the steady-state analysis error variance is due to a few dominant modes, the leading eigenvectors of the bound matrix approximate those of the steady-state analysis error covariance matrix. The analytical results are illustrated in two numerical examples where the Kalman filter is carried to steady state. The first example uses the dynamics of a generalized advection equation exhibiting nonmodal transient growth. Failure to observe growing modes leads to increased steady-state analysis error variances. Leading eigenvectors of the steady-state analysis error covariance matrix are well approximated by leading eigenvectors of the bound matrix. The second example uses the dynamics of a damped baroclinic wave model. The leading eigenvectors of a lowest-order approximation of the bound matrix are shown to approximate well the leading eigenvectors of the steady-state analysis error covariance matrix.

Tippett, Michael K.