Underwater SLAM in a marina environment

This paper describes a navigation system for autonomous underwater vehicles (AUVs) in partially structured environments, such as dams, harbors, marinas or marine platforms. A mechanical scanning imaging sonar is used to obtain information about the location of planar structures present in such environments. A modified version of the Hough transform has been developed to extract line features, together with their uncertainty, from the continuous sonar dataflow. The information obtained is incorporated into a feature-based SLAM algorithm running an Extended Kalman Filter (EKF). Simultaneously, the AUV's position estimate is provided to the feature extraction algorithm to correct the distortions that the vehicle motion produces in the acoustic images. Experiments carried out in a marina located in the Costa Brava (Spain) with the Ictineu AUV show the viability of the proposed approach

Visual SLAM for 3D large-scale seabed acquisition employing underwater vehicles

This paper presents a novel technique to align partial 3D reconstructions of the seabed acquired by a stereo camera mounted on an autonomous underwater vehicle. Vehicle localization and seabed mapping is performed simultaneously by means of an Extended Kalman Filter. Passive landmarks are detected on the images and characterized considering 2D and 3D features. Landmarks are re-observed while the robot is navigating and data association becomes easier but robust. Once the survey is completed, vehicle trajectory is smoothed by a Rauch-Tung-Striebel filter obtaining an even better alignment of the 3D views and yet a large-scale acquisition of the seabed

Visual SLAM for underwater vehicles using video velocity log and natural landmarks

A visual SLAM system has been implemented and optimised for real-time deployment on an AUV equipped with calibrated stereo cameras. The system incorporates a novel approach to landmark description in which landmarks are local sub maps that consist of a cloud of 3D points and their associated SIFT/SURF descriptors. Landmarks are also sparsely distributed which simplifies and accelerates data association and map updates. In addition to landmark-based localisation the system utilises visual odometry to estimate the pose of the vehicle in 6 degrees of freedom by identifying temporal matches between consecutive local sub maps and computing the motion. Both the extended Kalman filter and unscented Kalman filter have been considered for filtering the observations. The output of the filter is also smoothed using the Rauch-Tung-Striebel (RTS) method to obtain a better alignment of the sequence of local sub maps and to deliver a large-scale 3D acquisition of the surveyed area. Synthetic experiments have been performed using a simulation environment in which ray tracing is used to generate synthetic images for the stereo system

Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

La estructura a plazos del riesgo interbancario

Este documento propone un modelo para la estructura a plazos del riesgo interbancario a partir del spread entre los Interest Rate Swap (IRS) y los Overnight Indexed Swaps (OIS) en dólares durante la crisis financiera 2007-08 y la crisis del euro en 2010. Adicionalmente hace la descomposición del riesgo interbancario entre riesgo de default y no-default (liquidez). Los resultados sugieren que la crisis financiera tuvo importantes repercusiones en la estructura a plazos del riesgo interbancario y sus componentes: en los años previos a la crisis, el riesgo de no-default explicaba la mayor parte del riesgo interbancario; durante la crisis y posterior a ella, el riesgo de default conducía el comportamiento del riesgo interbancario. Adicionalmente, se encuentra que, a partir de la estructura a plazos de cada componente del riesgo interbancario, la crisis financiera se caracterizó por ser un problema más de corto que de largo plazo, en contraste con la crisis del euro de 2010. Estos resultados siguen lo propuesto por Filipovic & Trolle (2012) y dejan importantes implicaciones sobre el riesgo interbancario durante los periodos de stress financiero.

Contribució al posicionament dinàmic de robots mòbils per mitjà d'un sistema làser

Aquesta tesi tracta el problema del posicionament de robots mòbils quan, en el decurs del moviment, es realitzen mesures angulars relatives al robot de l'orientació de la recta entre un dels seus punts i punts de l'entorn de posició coneguda. Es considera que les mesures angulars són fetes per un sensor làser giratori que detecta diferents reflectors catadiòptrics fixos. La contribució principal és el desenvolupament d'un algorisme dinàmic, basat en un filtre de Kalman estès (EKF), que estima a cada instant de temps l'estat format pels angles associats als reflectors. La simulació hodomètrica dels angles entre mesures directes del sensor làser garanteix l'ús consistent i continuat dels mètodes de triangulació per a determinar la posició i l'orientació del robot. Inclou simulacions informàtiques i experiments per a validar la precisió del mètode de posicionament proposat. En l'experimentació s'utilitza un robot mòbil omnidireccional amb tres rodes de lliscament direccional de corrons esfèrics.

A proposal to estimate the motion of an underwater vehicle through visual mosaicking

This thesis proposes a solution to the problem of estimating the motion of an Unmanned Underwater Vehicle (UUV). Our approach is based on the integration of the incremental measurements which are provided by a vision system. When the vehicle is close to the underwater terrain, it constructs a visual map (so called "mosaic") of the area where the mission takes place while, at the same time, it localizes itself on this map, following the Concurrent Mapping and Localization strategy. The proposed methodology to achieve this goal is based on a feature-based mosaicking algorithm. A down-looking camera is attached to the underwater vehicle. As the vehicle moves, a sequence of images of the sea-floor is acquired by the camera. For every image of the sequence, a set of characteristic features is detected by means of a corner detector. Then, their correspondences are found in the next image of the sequence. Solving the correspondence problem in an accurate and reliable way is a difficult task in computer vision. We consider different alternatives to solve this problem by introducing a detailed analysis of the textural characteristics of the image. This is done in two phases: first comparing different texture operators individually, and next selecting those that best characterize the point/matching pair and using them together to obtain a more robust characterization. Various alternatives are also studied to merge the information provided by the individual texture operators. Finally, the best approach in terms of robustness and efficiency is proposed. After the correspondences have been solved, for every pair of consecutive images we obtain a list of image features in the first image and their matchings in the next frame. Our aim is now to recover the apparent motion of the camera from these features. Although an accurate texture analysis is devoted to the matching pro-cedure, some false matches (known as outliers) could still appear among the right correspon-dences. For this reason, a robust estimation technique is used to estimate the planar transformation (homography) which explains the dominant motion of the image. Next, this homography is used to warp the processed image to the common mosaic frame, constructing a composite image formed by every frame of the sequence. With the aim of estimating the position of the vehicle as the mosaic is being constructed, the 3D motion of the vehicle can be computed from the measurements obtained by a sonar altimeter and the incremental motion computed from the homography. Unfortunately, as the mosaic increases in size, image local alignment errors increase the inaccuracies associated to the position of the vehicle. Occasionally, the trajectory described by the vehicle may cross over itself. In this situation new information is available, and the system can readjust the position estimates. Our proposal consists not only in localizing the vehicle, but also in readjusting the trajectory described by the vehicle when crossover information is obtained. This is achieved by implementing an Augmented State Kalman Filter (ASKF). Kalman filtering appears as an adequate framework to deal with position estimates and their associated covariances. Finally, some experimental results are shown. A laboratory setup has been used to analyze and evaluate the accuracy of the mosaicking system. This setup enables a quantitative measurement of the accumulated errors of the mosaics created in the lab. Then, the results obtained from real sea trials using the URIS underwater vehicle are shown.

Data assimilation: From photon counts to Earth System forecasts

Data assimilation – the set of techniques whereby information from observing systems and models is combined optimally – is rapidly becoming prominent in endeavours to exploit Earth Observation for Earth sciences, including climate prediction. This paper explains the broad principles of data assimilation, outlining different approaches (optimal interpolation, three-dimensional and four-dimensional variational methods, the Kalman Filter), together with the approximations that are often necessary to make them practicable. After pointing out a variety of benefits of data assimilation, the paper then outlines some practical applications of the exploitation of Earth Observation by data assimilation in the areas of operational oceanography, chemical weather forecasting and carbon cycle modelling. Finally, some challenges for the future are noted.

Variational data assimilation for parameter estimation: application to a simple morphodynamic model

Data assimilation is a sophisticated mathematical technique for combining observational data with model predictions to produce state and parameter estimates that most accurately approximate the current and future states of the true system. The technique is commonly used in atmospheric and oceanic modelling, combining empirical observations with model predictions to produce more accurate and well-calibrated forecasts. Here, we consider a novel application within a coastal environment and describe how the method can also be used to deliver improved estimates of uncertain morphodynamic model parameters. This is achieved using a technique known as state augmentation. Earlier applications of state augmentation have typically employed the 4D-Var, Kalman filter or ensemble Kalman filter assimilation schemes. Our new method is based on a computationally inexpensive 3D-Var scheme, where the specification of the error covariance matrices is crucial for success. A simple 1D model of bed-form propagation is used to demonstrate the method. The scheme is capable of recovering near-perfect parameter values and, therefore, improves the capability of our model to predict future bathymetry. Such positive results suggest the potential for application to more complex morphodynamic models.

The impact of targeted observations made during the Greenland Flow Distortion Experiment

The impact of targeted sonde observations on the 1-3 day forecasts for northern Europe is evaluated using the Met Office four-dimensional variational data assimilation scheme and a 24 km gridlength limited-area version of the Unified Model (MetUM). The targeted observations were carried out during February and March 2007 as part of the Greenland Flow Distortion Experiment, using a research aircraft based in Iceland. Sensitive area predictions using either total energy singular vectors or an ensemble transform Kalman filter were used to predict where additional observations should be made to reduce errors in the initial conditions of forecasts for northern Europe. Targeted sonde data was assimilated operationally into the MetUM. Hindcasts show that the impact of the sondes was mixed. Only two out of the five cases showed clear forecast improvement; the maximum forecast improvement seen over the verifying region was approximately 5% of the forecast error 24 hours into the forecast. These two cases are presented in more detail: in the first the improvement propagates into the verification region with a developing polar low; and in the second the improvement is associated with an upper-level trough. The impact of cycling targeted data in the background of the forecast (including the memory of previous targeted observations) is investigated. This is shown to cause a greater forecast impact, but does not necessarily lead to a greater forecast improvement. Finally, the robustness of the results is assessed using a small ensemble of forecasts.

The ASSET intercomparison of ozone analyses: method and first results

This paper aims to summarise the current performance of ozone data assimilation (DA) systems, to show where they can be improved, and to quantify their errors. It examines 11 sets of ozone analyses from 7 different DA systems. Two are numerical weather prediction (NWP) systems based on general circulation models (GCMs); the other five use chemistry transport models (CTMs). The systems examined contain either linearised or detailed ozone chemistry, or no chemistry at all. In most analyses, MIPAS (Michelson Interferometer for Passive Atmospheric Sounding) ozone data are assimilated; two assimilate SCIAMACHY (Scanning Imaging Absorption Spectrometer for Atmospheric Chartography) observations instead. Analyses are compared to independent ozone observations covering the troposphere, stratosphere and lower mesosphere during the period July to November 2003. Biases and standard deviations are largest, and show the largest divergence between systems, in the troposphere, in the upper-troposphere/lower-stratosphere, in the upper-stratosphere and mesosphere, and the Antarctic ozone hole region. However, in any particular area, apart from the troposphere, at least one system can be found that agrees well with independent data. In general, none of the differences can be linked to the assimilation technique (Kalman filter, three or four dimensional variational methods, direct inversion) or the system (CTM or NWP system). Where results diverge, a main explanation is the way ozone is modelled. It is important to correctly model transport at the tropical tropopause, to avoid positive biases and excessive structure in the ozone field. In the southern hemisphere ozone hole, only the analyses which correctly model heterogeneous ozone depletion are able to reproduce the near-complete ozone destruction over the pole. In the upper-stratosphere and mesosphere (above 5 hPa), some ozone photochemistry schemes caused large but easily remedied biases. The diurnal cycle of ozone in the mesosphere is not captured, except by the one system that includes a detailed treatment of mesospheric chemistry. These results indicate that when good observations are available for assimilation, the first priority for improving ozone DA systems is to improve the models. The analyses benefit strongly from the good quality of the MIPAS ozone observations. Using the analyses as a transfer standard, it is seen that MIPAS is similar to 5% higher than HALOE (Halogen Occultation Experiment) in the mid and upper stratosphere and mesosphere (above 30 hPa), and of order 10% higher than ozonesonde and HALOE in the lower stratosphere (100 hPa to 30 hPa). Analyses based on SCIAMACHY total column are almost as good as the MIPAS analyses; analyses based on SCIAMACHY limb profiles are worse in some areas, due to problems in the SCIAMACHY retrievals.

Data assimilation for marine monitoring and prediction: The MERCATOR operational assimilation systems and the MERSEA developments

During the past 15 years, a number of initiatives have been undertaken at national level to develop ocean forecasting systems operating at regional and/or global scales. The co-ordination between these efforts has been organized internationally through the Global Ocean Data Assimilation Experiment (GODAE). The French MERCATOR project is one of the leading participants in GODAE. The MERCATOR systems routinely assimilate a variety of observations such as multi-satellite altimeter data, sea-surface temperature and in situ temperature and salinity profiles, focusing on high-resolution scales of the ocean dynamics. The assimilation strategy in MERCATOR is based on a hierarchy of methods of increasing sophistication including optimal interpolation, Kalman filtering and variational methods, which are progressively deployed through the Syst`eme d’Assimilation MERCATOR (SAM) series. SAM-1 is based on a reduced-order optimal interpolation which can be operated using ‘altimetry-only’ or ‘multi-data’ set-ups; it relies on the concept of separability, assuming that the correlations can be separated into a product of horizontal and vertical contributions. The second release, SAM-2, is being developed to include new features from the singular evolutive extended Kalman (SEEK) filter, such as three-dimensional, multivariate error modes and adaptivity schemes. The third one, SAM-3, considers variational methods such as the incremental four-dimensional variational algorithm. Most operational forecasting systems evaluated during GODAE are based on least-squares statistical estimation assuming Gaussian errors. In the framework of the EU MERSEA (Marine EnviRonment and Security for the European Area) project, research is being conducted to prepare the next-generation operational ocean monitoring and forecasting systems. The research effort will explore nonlinear assimilation formulations to overcome limitations of the current systems. This paper provides an overview of the developments conducted in MERSEA with the SEEK filter, the Ensemble Kalman filter and the sequential importance re-sampling filter.

Estimating discharge from inundation imagery

Remote sensing from space-borne platforms is often seen as an appealing method of monitoring components of the hydrological cycle, including river discharge, due to its spatial coverage. However, data from these platforms is often less than ideal because the geophysical properties of interest are rarely measured directly and the measurements that are taken can be subject to significant errors. This study assimilated water levels derived from a TerraSAR-X synthetic aperture radar image and digital aerial photography with simulations from a two dimensional hydraulic model to estimate discharge, inundation extent, depths and velocities at the confluence of the rivers Severn and Avon, UK. An ensemble Kalman filter was used to assimilate spot heights water levels derived by intersecting shorelines from the imagery with a digital elevation model. Discharge was estimated from the ensemble of simulations using state augmentation and then compared with gauge data. Assimilating the real data reduced the error between analyzed mean water levels and levels from three gauging stations to less than 0.3 m, which is less than typically found in post event water marks data from the field at these scales. Measurement bias was evident, but the method still provided a means of improving estimates of discharge for high flows where gauge data are unavailable or of poor quality. Posterior estimates of discharge had standard deviations between 63.3 m3s-1 and 52.7 m3s-1, which were below 15% of the gauged flows along the reach. Therefore, assuming a roughness uncertainty of 0.03-0.05 and no model structural errors discharge could be estimated by the EnKF with accuracy similar to that arguably expected from gauging stations during flood events. Quality control prior to assimilation, where measurements were rejected for being in areas of high topographic slope or close to tall vegetation and trees, was found to be essential. The study demonstrates the potential, but also the significant limitations of currently available imagery to reduce discharge uncertainty in un-gauged or poorly gauged basins when combined with model simulations in a data assimilation framework.

An on-line algorithm of uncertain time delay estimation in a continuous system

In this paper, we present an on-line estimation algorithm for an uncertain time delay in a continuous system based on the observational input-output data, subject to observational noise. The first order Pade approximation is used to approximate the time delay. At each time step, the algorithm combines the well known Kalman filter algorithm and the recursive instrumental variable least squares (RIVLS) algorithm in cascade form. The instrumental variable least squares algorithm is used in order to achieve the consistency of the delay parameter estimate, since an error-in-the-variable model is involved. An illustrative example is utilized to demonstrate the efficacy of the proposed approach.