Data-Driven Wildfire Propagation Modeling with FARSITE-EnKF

The goal of this study is to provide a framework for future researchers to understand and use the FARSITE wildfire-forecasting model with data assimilation. Current wildfire models lack the ability to provide accurate prediction of fire front position faster than real-time. When FARSITE is coupled with a recursive ensemble filter, the data assimilation forecast method improves. The scope includes an explanation of the standalone FARSITE application, technical details on FARSITE integration with a parallel program coupler called OpenPALM, and a model demonstration of the FARSITE-Ensemble Kalman Filter software using the FireFlux I experiment by Craig Clements. The results show that the fire front forecast is improved with the proposed data-driven methodology than with the standalone FARSITE model.

Evaluating tests for convergence of economic series using Monte Carlo methods with an application to real GDP's per head.

Doutoramento em Economia.

DYNAMIC MODEL BASED STATE ESTIMATION IN A HEAVY DUTY DIESEL AFTERTREATMENT SYSTEM FOR ONBOARD DIAGNOSTICS AND CONTROLS

Estimating un-measurable states is an important component for onboard diagnostics (OBD) and control strategy development in diesel exhaust aftertreatment systems. This research focuses on the development of an Extended Kalman Filter (EKF) based state estimator for two of the main components in a diesel engine aftertreatment system: the Diesel Oxidation Catalyst (DOC) and the Selective Catalytic Reduction (SCR) catalyst. One of the key areas of interest is the performance of these estimators when the catalyzed particulate filter (CPF) is being actively regenerated. In this study, model reduction techniques were developed and used to develop reduced order models from the 1D models used to simulate the DOC and SCR. As a result of order reduction, the number of states in the estimator is reduced from 12 to 1 per element for the DOC and 12 to 2 per element for the SCR. The reduced order models were simulated on the experimental data and compared to the high fidelity model and the experimental data. The results show that the effect of eliminating the heat transfer and mass transfer coefficients are not significant on the performance of the reduced order models. This is shown by an insignificant change in the kinetic parameters between the reduced order and 1D model for simulating the experimental data. An EKF based estimator to estimate the internal states of the DOC and SCR was developed. The DOC and SCR estimators were simulated on the experimental data to show that the estimator provides improved estimation of states compared to a reduced order model. The results showed that using the temperature measurement at the DOC outlet improved the estimates of the CO , NO , NO2 and HC concentrations from the DOC. The SCR estimator was used to evaluate the effect of NH3 and NOX sensors on state estimation quality. Three sensor combinations of NOX sensor only, NH3 sensor only and both NOX and NH3 sensors were evaluated. The NOX only configuration had the worst performance, the NH3 sensor only configuration was in the middle and both the NOX and NH3 sensor combination provided the best performance.

Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Design and implementation of motorbike lean angle observers

This thesis focuses on the investigation and the implementation of different observers for the estimation of the roll angle of a motorbike. The central core of the activity is applying a Model-Based design in order to outline, simulate and implement the filters with the aim of a final comparison of the performances. This approach is crucially underlined among the chapters that articulate this document: first the design and tuning of an Extended Kalman Filter and a Complementary Filter in a pure simulation environment emphasize the most accurate choice for the particular problem. After this, several steps were performed in order to move from the aforementioned simulation environment to a real hardware application. In conclusion, several sensor configurations were tested and compared in order to highlight which sensor suite gives the best performances.

Embedding Video Object Detection Capabilities on Low-Power Nano-Drones

Our objective for this thesis work was the deployment of a Neural Network based approach for video object detection on board a nano-drone. Furthermore, we have studied some possible extensions to exploit the temporal nature of videos to improve the detection capabilities of our algorithm. For our project, we have utilized the Mobilenetv2/v3SSDLite due to their limited computational and memory requirements. We have trained our networks on the IMAGENET VID 2015 dataset and to deploy it onto the nano-drone we have used the NNtool and Autotiler tools by GreenWaves. To exploit the temporal nature of video data we have tried different approaches: the introduction of an LSTM based convolutional layer in our architecture, the introduction of a Kalman filter based tracker as a postprocessing step to augment the results of our base architecture. We have obtain a total improvement in our performances of about 2.5 mAP with the Kalman filter based method(BYTE). Our detector run on a microcontroller class processor on board the nano-drone at 1.63 fps.

Methodologies for attitude determination from MEMS sensors in vehicles

The focus of the thesis is the application of different attitude’s determination algorithms on data evaluated with MEMS sensor using a board provided by University of Bologna. MEMS sensors are a very cheap options to obtain acceleration, and angular velocity. The use of magnetometers based on Hall effect can provide further data. The disadvantage is that they have a lot of noise and drift which can affects the results. The different algorithms that have been used are: pitch and roll from accelerometer, yaw from magnetometer, attitude from gyroscope, TRIAD, QUEST, Magdwick, Mahony, Extended Kalman filter, Kalman GPS aided INS. In this work the algorithms have been rewritten to fit perfectly with the data provided from the MEMS sensor. The data collected by the board are acceleration on the three axis, angular velocity on the three axis, magnetic fields on the three axis, and latitude, longitude, and altitude from the GPS. Several tests and comparisons have been carried out installing the electric board on different vehicles operating in the air and on ground. The conclusion that can be drawn from this study is that the Magdwich filter is the best trade-off between computational capabilities required and results obtained. If attitude angles are obtained from accelerometers, gyroscopes, and magnetometer, inconsistent data are obtained for cases where high vibrations levels are noticed. On the other hand, Kalman filter based algorithms requires a high computational burden. TRIAD and QUEST algorithms doesn’t perform as well as filters.

On the Kalman-Bucy filter with specified input

In a recent paper, Vathsal suggested that a new configuration had been obtained for linear filtering problems, which was distinctly different from the Kalman-Bucy filter. It is shown that this in fact is merely a special case of the filter with a specified input.

Advances in sequential data assimilation and numerical weather forecasting: an Ensemble Transform Kalman-Bucy Filter, a study on clustering in deterministic Ensemble Square Root Filters, and a test of a new time stepping scheme in an atmospheric model

This dissertation deals with aspects of sequential data assimilation (in particular ensemble Kalman filtering) and numerical weather forecasting. In the first part, the recently formulated Ensemble Kalman-Bucy (EnKBF) filter is revisited. It is shown that the previously used numerical integration scheme fails when the magnitude of the background error covariance grows beyond that of the observational error covariance in the forecast window. Therefore, we present a suitable integration scheme that handles the stiffening of the differential equations involved and doesn’t represent further computational expense. Moreover, a transform-based alternative to the EnKBF is developed: under this scheme, the operations are performed in the ensemble space instead of in the state space. Advantages of this formulation are explained. For the first time, the EnKBF is implemented in an atmospheric model. The second part of this work deals with ensemble clustering, a phenomenon that arises when performing data assimilation using of deterministic ensemble square root filters in highly nonlinear forecast models. Namely, an M-member ensemble detaches into an outlier and a cluster of M-1 members. Previous works may suggest that this issue represents a failure of EnSRFs; this work dispels that notion. It is shown that ensemble clustering can be reverted also due to nonlinear processes, in particular the alternation between nonlinear expansion and compression of the ensemble for different regions of the attractor. Some EnSRFs that use random rotations have been developed to overcome this issue; these formulations are analyzed and their advantages and disadvantages with respect to common EnSRFs are discussed. The third and last part contains the implementation of the Robert-Asselin-Williams (RAW) filter in an atmospheric model. The RAW filter is an improvement to the widely popular Robert-Asselin filter that successfully suppresses spurious computational waves while avoiding any distortion in the mean value of the function. Using statistical significance tests both at the local and field level, it is shown that the climatology of the SPEEDY model is not modified by the changed time stepping scheme; hence, no retuning of the parameterizations is required. It is found the accuracy of the medium-term forecasts is increased by using the RAW filter.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Complementary filter design with three frequency bands: robot attitude estimation

This paper extents the by now classic sensor fusion complementary filter (CF) design, involving two sensors, to the case where three sensors that provide measurements in different bands are available. This paper shows that the use of classical CF techniques to tackle a generic three sensors fusion problem, based solely on their frequency domain characteristics, leads to a minimal realization, stable, sub-optimal solution, denoted as Complementary Filters3 (CF3). Then, a new approach for the estimation problem at hand is used, based on optimal linear Kalman filtering techniques. Moreover, the solution is shown to preserve the complementary property, i.e. the sum of the three transfer functions of the respective sensors add up to one, both in continuous and discrete time domains. This new class of filters are denoted as Complementary Kalman Filters3 (CKF3). The attitude estimation of a mobile robot is addressed, based on data from a rate gyroscope, a digital compass, and odometry. The experimental results obtained are reported.

Estudi comparatiu dels filtres de Kalman i IMM per a navegació

Els sistemes híbrids de navegació integren mesures de posició i velocitat provinents de satèl·lits (GPS) i d’unitats de mesura inercials (IMU).Les dades d’aquests sensors s’han de fusionar i suavitzar, i per a aquest propòsit existeixen diversos algorismes de filtratge, que tracten les dades conjuntament o per separat. En aquest treball s’han codificat en Matlab els algorismes dels filtres de Kalman i IMM, i s’han comparat les seves prestacions en diverses trajectòries d’un vehicle. S’han avaluat quantitativament els errors dels dos filtres, i s’han sintonitzat els seus paràmetres per a minimitzar aquests errors. Amb una correcta sintonia dels filtres, s’ha comprovat que el filtre IMM és superior al filtre de Kalman, tant per maniobres brusques com per maniobres suaus, malgrat que la complexitat i el temps de càlcul requerit són majors.

A Variance-Minimizing Filter for Large-Scale Applications

A truly variance-minimizing filter is introduced and its per for mance is demonstrated with the Korteweg– DeV ries (KdV) equation and with a multilayer quasigeostrophic model of the ocean area around South Africa. It is recalled that Kalman-like filters are not variance minimizing for nonlinear model dynamics and that four - dimensional variational data assimilation (4DV AR)-like methods relying on per fect model dynamics have dif- ficulty with providing error estimates. The new method does not have these drawbacks. In fact, it combines advantages from both methods in that it does provide error estimates while automatically having balanced states after analysis, without extra computations. It is based on ensemble or Monte Carlo integrations to simulate the probability density of the model evolution. When obser vations are available, the so-called importance resampling algorithm is applied. From Bayes’ s theorem it follows that each ensemble member receives a new weight dependent on its ‘ ‘distance’ ’ t o the obser vations. Because the weights are strongly var ying, a resampling of the ensemble is necessar y. This resampling is done such that members with high weights are duplicated according to their weights, while low-weight members are largely ignored. In passing, it is noted that data assimilation is not an inverse problem by nature, although it can be for mulated that way . Also, it is shown that the posterior variance can be larger than the prior if the usual Gaussian framework is set aside. However , i n the examples presented here, the entropy of the probability densities is decreasing. The application to the ocean area around South Africa, gover ned by strongly nonlinear dynamics, shows that the method is working satisfactorily . The strong and weak points of the method are discussed and possible improvements are proposed.

Atenuação de múltiplas e compressão do pulso fonte em dados de sísmica de reflexão utilizando o filtro Kalman-Bucy

O objetivo central deste trabalho é o estudo e a aplicação do método Kalman-Bucy no processo de deconvolução ao impulso e de deconvolução com predição, onde é considerado que os dados observados são classificados como não-estacionários. Os dados utilizados neste trabalho são sintéticos e, com isto, esta Tese tem características de um exercício numérico e investigativo. O operador de deconvolução ao impulso é obtido a partir da teoria de CRUMP (1974) fazendo uso das soluções das equações Wiener-Hopf apresentadas por KALMAN-BUCY (1961) nas formas contínuas e discretas considerando o processo como não estacionário. O operador de predição (KBCP) está baseado nas teorias de CRUMP (1974) e MENDEL ET AL (1979). Sua estrutura assemelha-se ao filtro Wiener-Hopf onde os coeficientes do operador (WHLP) são obtidos através da autocorrelação, e no caso (KBCP) são obtidos a partir da função b_i(k). o problema é definido em duas etapas: a primeira consta da geração do sinal, e a segunda da sua avaliação. A deconvolução realizada aqui é classificada como estatística, e é um modelo fortemente baseado nas propriedades do sinal registrado e de sua representação. Os métodos foram aplicados apenas em dados sintéticos de seção fonte-comum obtida a partir dos modelos com interfaces contínuas e camadas homogêneas.

Hardware-Based Particle Filter with Evolutionary Resampling Stage

Autonomous systems require, in most of the cases, reasoning and decision-making capabilities. Moreover, the decision process has to occur in real time. Real-time computing means that every situation or event has to have an answer before a temporal deadline. In complex applications, these deadlines are usually in the order of milliseconds or even microseconds if the application is very demanding. In order to comply with these timing requirements, computing tasks have to be performed as fast as possible. The problem arises when computations are no longer simple, but very time-consuming operations. A good example can be found in autonomous navigation systems with visual-tracking submodules where Kalman filtering is the most extended solution. However, in recent years, some interesting new approaches have been developed. Particle filtering, given its more general problem-solving features, has reached an important position in the field. The aim of this thesis is to design, implement and validate a hardware platform that constitutes itself an embedded intelligent system. The proposed system would combine particle filtering and evolutionary computation algorithms to generate intelligent behavior. Traditional approaches to particle filtering or evolutionary computation have been developed in software platforms, including parallel capabilities to some extent. In this work, an additional goal is fully exploiting hardware implementation advantages. By using the computational resources available in a FPGA device, better performance results in terms of computation time are expected. These hardware resources will be in charge of extensive repetitive computations. With this hardware-based implementation, real-time features are also expected.