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Results for “noise covariance estimation”

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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All sourcesNASA NTRSDOE OSTI
NASA NTRS2021

Multi-Pass Sequential Mini-Batch Stochastic Gradient Descent Algorithms for Noise Covariance Estimation in Adaptive Kalman Filtering

Estimation of unknown noise covariances in a Kalman filter is a problem of significant practical interest in a wide array of applications. Although this problem has a long history, reliable algorithms for their estimation were scant, and necessary and sufficient conditions for identifiability of the covariances were in dispute until recently. Necessary and sufficient conditions for covariance estimation and a batch estimation algorithm were presented in our previous study. This paper presents stochastic gradient descent algorithms for noise covariance estimation in adaptive Kalman filters that are an order of magnitude faster than the batch method for similar or better root mean square error. More significantly, these algorithms are applicable to non-stationary systems where the noise covariances can occasionally jump up or down by an unknown magnitude. The computational efficiency of the new algorithms stems from adaptive thresholds for convergence, recursive fading memory estimation of the sample cross-correlations of the innovations, and accelerated stochastic gradient descent algorithms. The comparative evaluation of the proposed methods on a number of test cases demonstrates their computational efficiency and accuracy.

Adaptive Kalman filtering↗
NASA NTRS1985

An efficient algorithm for estimating noise covariances in distributed systems

An efficient computational algorithm for estimating the noise covariance matrices of large linear discrete stochatic-dynamic systems is presented. Such systems arise typically by discretizing distributed-parameter systems, and their size renders computational efficiency a major consideration. The proposed adaptive filtering algorithm is based on the ideas of Belanger, and is algebraically equivalent to his algorithm. The earlier algorithm, however, has computational complexity proportional to p to the 6th, where p is the number of observations of the system state, while the new algorithm has complexity proportional to only p-cubed. Further, the formulation of noise covariance estimation as a secondary filter, analogous to state estimation as a primary filter, suggests several generalizations of the earlier algorithm. The performance of the proposed algorithm is demonstrated for a distributed system arising in numerical weather prediction.

Dee, D. P.↗
NASA NTRS1988

Development of a technique for estimating noise covariances using multiple observers

Friedland's technique for estimating the unknown noise variances of a linear system using multiple observers has been extended by developing a general solution for the estimates of the variances, developing the statistics (mean and standard deviation) of these estimates, and demonstrating the solution on two examples.

Bundick, W. Thomas↗
NASA NTRS1995

Using dark current data to estimate AVIRIS noise covariance and improve spectral analyses

Starting in 1994, all AVIRIS data distributions include a new product useful for quantification and modeling of the noise in the reported radiance data. The 'postcal' file contains approximately 100 lines of dark current data collected at the end of each data acquisition run. In essence this is a regular spectral-image cube, with 614 samples, 100 lines and 224 channels, collected with a closed shutter. Since there is no incident radiance signal, the recorded DN measure only the DC signal level and the noise in the system. Similar dark current measurements, made at the end of each line are used, with a 100 line moving average, to remove the DC signal offset. Therefore, the pixel-by-pixel fluctuations about the mean of this dark current image provide an excellent model for the additive noise that is present in AVIRIS reported radiance data. The 61,400 dark current spectra can be used to calculate the noise levels in each channel and the noise covariance matrix. Both of these noise parameters should be used to improve spectral processing techniques. Some processing techniques, such as spectral curve fitting, will benefit from a robust estimate of the channel-dependent noise levels. Other techniques, such as automated unmixing and classification, will be improved by the stable and scene-independence noise covariance estimate. Future imaging spectrometry systems should have a similar ability to record dark current data, permitting this noise characterization and modeling.

Boardman, Joseph W.↗
NASA NTRS1995

An automated method of tuning an attitude estimator

Attitude determination is a major element of the operation and maintenance of a spacecraft. There are several existing methods of determining the attitude of a spacecraft. One of the most commonly used methods utilizes the Kalman filter to estimate the attitude of the spacecraft. Given an accurate model of a system and adequate observations, a Kalman filter can produce accurate estimates of the attitude. If the system model, filter parameters, or observations are inaccurate, the attitude estimates may be degraded. Therefore, it is advantageous to develop a method of automatically tuning the Kalman filter to produce the accurate estimates. In this paper, a three-axis attitude determination Kalman filter, which uses only magnetometer measurements, is developed and tested using real data. The appropriate filter parameters are found via the Process Noise Covariance Estimator (PNCE). The PNCE provides an optimal criterion for determining the best filter parameters.

Mason, Paul A. C.↗
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 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 NTRS2017

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↗
DOE OSTI2025

Evaluation of a generalized least squares algorithm for infrasound beamforming with coherent background noise

Infrasonic signals of interest can occur during periods with persistent, coherent, background noise, which may be natural or anthropogenic. For high signal-to-noise (SNR) ratio transient signals, an ‘overprinting’ of the coherent background may occur, and the signal may still be detected. However, this approach fails for low SNR signals of interest, which may be obscured by coherent noise. An infrasound beamforming method based on generalized least squares (GLS) is investigated for detecting transient signals of interest in the presence of coherent and incoherent background noise. This approach relies on an estimate of the noise covariance, captured in a covariance matrix, to effectively null contributions to the array response from noisy directions of arrival. Synthetic array data is used to investigate the performance of the GLS beamformer compared to the Bartlett beamformer when coherent and incoherent backgrounds are present. Additionally, the effects of array element number and relative strength of the interfering signal on the GLS estimates is investigated. GLS empirical area under the curve estimates suggest that the beamformer can recover coherent power for a signal of interest lower in amplitude than the coherent background, but this effectiveness degrades more quickly with SNR for a four element array compared to a six or eight element infrasound array. Finally, infrasound from the Forensic Surface Experiment, a bolide signal observed at IMS array I37NO, and a volcanic signal recorded at the Alaska Volcano Observatory array ADKI are used to evaluate GLS performance on recorded data. A ten minute window was used to capture the background noise, and the coherent background signal was nulled in all three examples.

58 GEOSCIENCES↗
NASA NTRS2015

A New Formulation of the Filter-Error Method for Aerodynamic Parameter Estimation in Turbulence

A new formulation of the filter-error method for estimating aerodynamic parameters in nonlinear aircraft dynamic models during turbulence was developed and demonstrated. The approach uses an estimate of the measurement noise covariance to identify the model parameters, their uncertainties, and the process noise covariance, in a relaxation method analogous to the output-error method. Prior information on the model parameters and uncertainties can be supplied, and a post-estimation correction to the uncertainty was included to account for colored residuals not considered in the theory. No tuning parameters, needing adjustment by the analyst, are used in the estimation. The method was demonstrated in simulation using the NASA Generic Transport Model, then applied to the subscale T-2 jet-engine transport aircraft flight. Modeling results in different levels of turbulence were compared with results from time-domain output error and frequency- domain equation error methods to demonstrate the effectiveness of the approach.

Grauer, Jared A.↗
NASA NTRS2002

Linear-Quadratic-Gaussian Regulator Developed for a Magnetic Bearing

Linear-Quadratic-Gaussian (LQG) control is a modern state-space technique for designing optimal dynamic regulators. It enables us to trade off regulation performance and control effort, and to take into account process and measurement noise. The Structural Mechanics and Dynamics Branch at the NASA Glenn Research Center has developed an LQG control for a fault-tolerant magnetic bearing suspension rig to optimize system performance and to reduce the sensor and processing noise. The LQG regulator consists of an optimal state-feedback gain and a Kalman state estimator. The first design step is to seek a state-feedback law that minimizes the cost function of regulation performance, which is measured by a quadratic performance criterion with user-specified weighting matrices, and to define the tradeoff between regulation performance and control effort. The next design step is to derive a state estimator using a Kalman filter because the optimal state feedback cannot be implemented without full state measurement. Since the Kalman filter is an optimal estimator when dealing with Gaussian white noise, it minimizes the asymptotic covariance of the estimation error.

Choi, Benjamin B.↗
NASA NTRS1983

Identification of helicopter rotor dynamic models

A recursive, extended Kalman-filter approach is applied to the identifiction of rotor damping levels of representative helicopter dynamic systems. The general formulation of the approach is presented in the context of a typically posed stochastic estimation problem, and the method is analytically applied to determining the damping levels of a coupled rotor-body system. The identified damping covergence characteristics are studied for sensitivity to both constant-coefficient and periodic-coefficient measurement models, process-noise covariance levels, and specified initial estimates of the rotor-system damping. A second application of the method to identifying the plant model for a highly damped, isolated flapping blade with a constant-coefficient state model (hover) and a periodic-coefficient state model (forward flight) is also investigated. The parameter-identification capability is evaluated for the effect of periodicity on the plant model coefficients and the influence of different measurement noise levels.

Molusis, J. A.↗
NASA NTRS1999

An Adaptive Kalman Filter using a Simple Residual Tuning Method

One difficulty in using Kalman filters in real world situations is the selection of the correct process noise, measurement noise, and initial state estimate and covariance. These parameters are commonly referred to as tuning parameters. Multiple methods have been developed to estimate these parameters. Most of those methods such as maximum likelihood, subspace, and observer Kalman Identification require extensive offline processing and are not suitable for real time processing. One technique, which is suitable for real time processing, is the residual tuning method. Any mismodeling of the filter tuning parameters will result in a non-white sequence for the filter measurement residuals. The residual tuning technique uses this information to estimate corrections to those tuning parameters. The actual implementation results in a set of sequential equations that run in parallel with the Kalman filter. Equations for the estimation of the measurement noise have also been developed. These algorithms are used to estimate the process noise and measurement noise for the Wide Field Infrared Explorer star tracker and gyro.

Harman, Richard R.↗
NASA NTRS1999

An Adaptive Kalman Filter Using a Simple Residual Tuning Method

One difficulty in using Kalman filters in real world situations is the selection of the correct process noise, measurement noise, and initial state estimate and covariance. These parameters are commonly referred to as tuning parameters. Multiple methods have been developed to estimate these parameters. Most of those methods such as maximum likelihood, subspace, and observer Kalman Identification require extensive offline processing and are not suitable for real time processing. One technique, which is suitable for real time processing, is the residual tuning method. Any mismodeling of the filter tuning parameters will result in a non-white sequence for the filter measurement residuals. The residual tuning technique uses this information to estimate corrections to those tuning parameters. The actual implementation results in a set of sequential equations that run in parallel with the Kalman filter. A. H. Jazwinski developed a specialized version of this technique for estimation of process noise. Equations for the estimation of the measurement noise have also been developed. These algorithms are used to estimate the process noise and measurement noise for the Wide Field Infrared Explorer star tracker and gyro.

Harman, Richard R.↗