Identification of nonlinear systems using generalized kernel models

Nonlinear system identification is considered using a generalized kernel regression model. Unlike the standard kernel model, which employs a fixed common variance for all the kernel regressors, each kernel regressor in the generalized kernel model has an individually tuned diagonal covariance matrix that is determined by maximizing the correlation between the training data and the regressor using a repeated guided random search based on boosting optimization. An efficient construction algorithm based on orthogonal forward regression with leave-one-out (LOO) test statistic and local regularization (LR) is then used to select a parsimonious generalized kernel regression model from the resulting full regression matrix. The proposed modeling algorithm is fully automatic and the user is not required to specify any criterion to terminate the construction procedure. Experimental results involving two real data sets demonstrate the effectiveness of the proposed nonlinear system identification approach.

Construction of tunable radial basis function networks using orthogonal forward selection

An orthogonal forward selection (OFS) algorithm based on leave-one-out (LOO) criteria is proposed for the construction of radial basis function (RBF) networks with tunable nodes. Each stage of the construction process determines an RBF node, namely, its center vector and diagonal covariance matrix, by minimizing the LOO statistics. For regression application, the LOO criterion is chosen to be the LOO mean-square error, while the LOO misclassification rate is adopted in two-class classification application. This OFS-LOO algorithm is computationally efficient, and it is capable of constructing parsimonious RBF networks that generalize well. Moreover, the proposed algorithm is fully automatic, and the user does not need to specify a termination criterion for the construction process. The effectiveness of the proposed RBF network construction procedure is demonstrated using examples taken from both regression and classification applications.

Kernel classifier construction using orthogonal forward selection and boosting with Fisher ratio class separability measure

A greedy technique is proposed to construct parsimonious kernel classifiers using the orthogonal forward selection method and boosting based on Fisher ratio for class separability measure. Unlike most kernel classification methods, which restrict kernel means to the training input data and use a fixed common variance for all the kernel terms, the proposed technique can tune both the mean vector and diagonal covariance matrix of individual kernel by incrementally maximizing Fisher ratio for class separability measure. An efficient weighted optimization method is developed based on boosting to append kernels one by one in an orthogonal forward selection procedure. Experimental results obtained using this construction technique demonstrate that it offers a viable alternative to the existing state-of-the-art kernel modeling methods for constructing sparse Gaussian radial basis function network classifiers. that generalize well.

Particle swarm optimization aided orthogonal forward regression for unified data modeling

We propose a unified data modeling approach that is equally applicable to supervised regression and classification applications, as well as to unsupervised probability density function estimation. A particle swarm optimization (PSO) aided orthogonal forward regression (OFR) algorithm based on leave-one-out (LOO) criteria is developed to construct parsimonious radial basis function (RBF) networks with tunable nodes. Each stage of the construction process determines the center vector and diagonal covariance matrix of one RBF node by minimizing the LOO statistics. For regression applications, the LOO criterion is chosen to be the LOO mean square error, while the LOO misclassification rate is adopted in two-class classification applications. By adopting the Parzen window estimate as the desired response, the unsupervised density estimation problem is transformed into a constrained regression problem. This PSO aided OFR algorithm for tunable-node RBF networks is capable of constructing very parsimonious RBF models that generalize well, and our analysis and experimental results demonstrate that the algorithm is computationally even simpler than the efficient regularization assisted orthogonal least square algorithm based on LOO criteria for selecting fixed-node RBF models. Another significant advantage of the proposed learning procedure is that it does not have learning hyperparameters that have to be tuned using costly cross validation. The effectiveness of the proposed PSO aided OFR construction procedure is illustrated using several examples taken from regression and classification, as well as density estimation applications.

Probability density estimation with tunable kernels using orthogonal forward regression

A generalized or tunable-kernel model is proposed for probability density function estimation based on an orthogonal forward regression procedure. Each stage of the density estimation process determines a tunable kernel, namely, its center vector and diagonal covariance matrix, by minimizing a leave-one-out test criterion. The kernel mixing weights of the constructed sparse density estimate are finally updated using the multiplicative nonnegative quadratic programming algorithm to ensure the nonnegative and unity constraints, and this weight-updating process additionally has the desired ability to further reduce the model size. The proposed tunable-kernel model has advantages, in terms of model generalization capability and model sparsity, over the standard fixed-kernel model that restricts kernel centers to the training data points and employs a single common kernel variance for every kernel. On the other hand, it does not optimize all the model parameters together and thus avoids the problems of high-dimensional ill-conditioned nonlinear optimization associated with the conventional finite mixture model. Several examples are included to demonstrate the ability of the proposed novel tunable-kernel model to effectively construct a very compact density estimate accurately.

Radial basis function classifier construction using particle swarm optimisation aided orthogonal forward regression

We develop a particle swarm optimisation (PSO) aided orthogonal forward regression (OFR) approach for constructing radial basis function (RBF) classifiers with tunable nodes. At each stage of the OFR construction process, the centre vector and diagonal covariance matrix of one RBF node is determined efficiently by minimising the leave-one-out (LOO) misclassification rate (MR) using a PSO algorithm. Compared with the state-of-the-art regularisation assisted orthogonal least square algorithm based on the LOO MR for selecting fixednode RBF classifiers, the proposed PSO aided OFR algorithm for constructing tunable-node RBF classifiers offers significant advantages in terms of better generalisation performance and smaller model size as well as imposes lower computational complexity in classifier construction process. Moreover, the proposed algorithm does not have any hyperparameter that requires costly tuning based on cross validation.

Simplified recursive identifier for ARMA processes

Symmetrical behaviour of the covariance matrix and the positive-definite criterion are used to simplify identification of single-input/single-output systems using recursive least squares. Simulation results are obtained and these are compared with ordinary recursive least squares. The adaptive nature of the identifier is verified by varying the system parameters on convergence.

A linear CDMA detector based on minimum variance distortionless response (MVDR)

A bit-level processing (BLP) based linear CDMA detector is derived following the principle of minimum variance distortionless response (MVDR). The combining taps for the MVDR detector are determined from (1) the covariance matrix of the matched filter output, and (2) the corresponding row (or column) of the user correlation matrix. Due to the interference suppression capability of MVDR and the fact that no inversion of the user correlation matrix is involved, the influence of the synchronisation errors is greatly reduced. The detector performance is demonstrated via computer simulations (both synchronisation errors and intercell interference are considered).

Detecting the number of signals using antenna array: a single threshold solution

A new approach is presented to identify the number of incoming signals in antenna array processing. The new method exploits the inherent properties existing in the noise eigenvalues of the covariance matrix of the array output. A single threshold has been established concerning information about the signal and noise strength, data length, and array size. When the subspace-based algorithms are adopted the computation cost of the signal number detector can almost be neglected. The performance of the threshold is robust against low SNR and short data length.

A method for merging flow-dependent forecast error statistics from an ensemble with static statistics for use in high resolution variational data assimilation

The background error covariance matrix, B, is often used in variational data assimilation for numerical weather prediction as a static and hence poor approximation to the fully dynamic forecast error covariance matrix, Pf. In this paper the concept of an Ensemble Reduced Rank Kalman Filter (EnRRKF) is outlined. In the EnRRKF the forecast error statistics in a subspace defined by an ensemble of states forecast by the dynamic model are found. These statistics are merged in a formal way with the static statistics, which apply in the remainder of the space. The combined statistics may then be used in a variational data assimilation setting. It is hoped that the nonlinear error growth of small-scale weather systems will be accurately captured by the EnRRKF, to produce accurate analyses and ultimately improved forecasts of extreme events.

Conditioning of incremental variational data assimilation, with application to the Met Office system

Implementations of incremental variational data assimilation require the iterative minimization of a series of linear least-squares cost functions. The accuracy and speed with which these linear minimization problems can be solved is determined by the condition number of the Hessian of the problem. In this study, we examine how different components of the assimilation system influence this condition number. Theoretical bounds on the condition number for a single parameter system are presented and used to predict how the condition number is affected by the observation distribution and accuracy and by the specified lengthscales in the background error covariance matrix. The theoretical results are verified in the Met Office variational data assimilation system, using both pseudo-observations and real data.

Ensemble data assimilation in the presence of cloud

In numerical weather prediction (NWP) data assimilation (DA) methods are used to combine available observations with numerical model estimates. This is done by minimising measures of error on both observations and model estimates with more weight given to data that can be more trusted. For any DA method an estimate of the initial forecast error covariance matrix is required. For convective scale data assimilation, however, the properties of the error covariances are not well understood. An effective way to investigate covariance properties in the presence of convection is to use an ensemble-based method for which an estimate of the error covariance is readily available at each time step. In this work, we investigate the performance of the ensemble square root filter (EnSRF) in the presence of cloud growth applied to an idealised 1D convective column model of the atmosphere. We show that the EnSRF performs well in capturing cloud growth, but the ensemble does not cope well with discontinuities introduced into the system by parameterised rain. The state estimates lose accuracy, and more importantly the ensemble is unable to capture the spread (variance) of the estimates correctly. We also find, counter-intuitively, that by reducing the spatial frequency of observations and/or the accuracy of the observations, the ensemble is able to capture the states and their variability successfully across all regimes.

Breakdown of hydrostatic balance at convective scales in the forecast errors in the Met Office Unified Model

For data assimilation in numerical weather prediction, the initial forecast-error covariance matrix Pf is required. For variational assimilation it is particularly important to prescribe an accurate initial matrix Pf, since Pf is either static (in the 3D-Var case) or constant at the beginning of each assimilation window (in the 4D-Var case). At large scales the atmospheric flow is well approximated by hydrostatic balance and this balance is strongly enforced in the initial matrix Pf used in operational variational assimilation systems such as that of the Met Office. However, at convective scales this balance does not necessarily hold any more. Here we examine the extent to which hydrostatic balance is valid in the vertical forecast-error covariances for high-resolution models in order to determine whether there is a need to relax this balance constraint in convective-scale data assimilation. We use the Met Office Global and Regional Ensemble Prediction System (MOGREPS) and a 1.5 km resolution version of the Unified Model for a case study characterized by the presence of convective activity. An ensemble of high-resolution forecasts valid up to three hours after the onset of convection is produced. We show that at 1.5 km resolution hydrostatic balance does not hold for forecast errors in regions of convection. This indicates that in the presence of convection hydrostatic balance should not be enforced in the covariance matrix used for variational data assimilation at this scale. The results show the need to investigate covariance models that may be better suited for convective-scale data assimilation. Finally, we give a measure of the balance present in the forecast perturbations as a function of the horizontal scale (from 3–90 km) using a set of diagnostics. Copyright © 2012 Royal Meteorological Society and British Crown Copyright, the Met Office

Integration of a 3D Variational data assimilation scheme with a coastal area morphodynamic model of Morecambe Bay

This paper describes the implementation of a 3D variational (3D-Var) data assimilation scheme for a morphodynamic model applied to Morecambe Bay, UK. A simple decoupled hydrodynamic and sediment transport model is combined with a data assimilation scheme to investigate the ability of such methods to improve the accuracy of the predicted bathymetry. The inverse forecast error covariance matrix is modelled using a Laplacian approximation which is calibrated for the length scale parameter required. Calibration is also performed for the Soulsby-van Rijn sediment transport equations. The data used for assimilation purposes comprises waterlines derived from SAR imagery covering the entire period of the model run, and swath bathymetry data collected by a ship-borne survey for one date towards the end of the model run. A LiDAR survey of the entire bay carried out in November 2005 is used for validation purposes. The comparison of the predictive ability of the model alone with the model-forecast-assimilation system demonstrates that using data assimilation significantly improves the forecast skill. An investigation of the assimilation of the swath bathymetry as well as the waterlines demonstrates that the overall improvement is initially large, but decreases over time as the bathymetry evolves away from that observed by the survey. The result of combining the calibration runs into a pseudo-ensemble provides a higher skill score than for a single optimized model run. A brief comparison of the Optimal Interpolation assimilation method with the 3D-Var method shows that the two schemes give similar results.

Resolution of sharp fronts in the presence of model error in variational data assimilation

We show that the four-dimensional variational data assimilation method (4DVar) can be interpreted as a form of Tikhonov regularization, a very familiar method for solving ill-posed inverse problems. It is known from image restoration problems that L1-norm penalty regularization recovers sharp edges in the image more accurately than Tikhonov, or L2-norm, penalty regularization. We apply this idea from stationary inverse problems to 4DVar, a dynamical inverse problem, and give examples for an L1-norm penalty approach and a mixed total variation (TV) L1–L2-norm penalty approach. For problems with model error where sharp fronts are present and the background and observation error covariances are known, the mixed TV L1–L2-norm penalty performs better than either the L1-norm method or the strong constraint 4DVar (L2-norm)method. A strength of the mixed TV L1–L2-norm regularization is that in the case where a simplified form of the background error covariance matrix is used it produces a much more accurate analysis than 4DVar. The method thus has the potential in numerical weather prediction to overcome operational problems with poorly tuned background error covariance matrices.