TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

c lng sai s m hnh trong b lc Kalman bng

phng php lc nhiu ng
Kiu Quc Chnh*
Khoa Kh tng Thy vn v Hi dng hc, Trng i hc Khoa hc T nhin, HQGHN,
334 Nguyn Tri, H Ni, Vit Nam
Nhn ngy 11 thng 8 nm 2010

Tm tt. Trong bi bo ny, mt phng php xc nh sai s m hnh trong b lc

ng ha Kalman s c trnh by. Kim nh phng php ny trn m hnh Lorenz 40 bin ch
ra rng phng php mi c nhiu u im so vi phng php tng cp nhn n thun. M rng
ca phng php ny cho cc h vi bc t do ln nh trong cc m hnh d bo thi tit nghip
v cng s c tho lun.
T kha: ng ha s liu, lc Kalman, m hnh Lorenz, m hnh d bo s

1. M u

ti, bi ton ng ha s khng cn l mt bi

ton ni suy ti u n thun v khi iu
kin ban u chnh xc s khng cn lun c
trng i (thm ch ngay c khi php ni suy l
chnh xc) do cc d liu quan st c th tim
n cc thnh phn khng cn bng m m hnh
khng cho php tch phn. V d cc sng trng
trng c th c kch thch v lan truyn rt
nhanh, dn n s ph hu tnh n nh ca m
hnh. Nu c m hnh v quan trc l khng
hon ho th r rng s bt nh ny phi c
tnh n trong m hnh mt cch thch hp.
Trong nghin cu ny, chng ti s tp trung ch
yu vo sai s ni ti ca m hnh, gi tt l sai
s m hnh. Vn sai s ca d liu quan trc
thin v bi ton kim nh cht lng quan trc
nghip v v s khng c xem xt y.

ng ho s liu v bn cht l mt qu
trnh trong s liu quan trc v mt trng
phng on nn c kt hp vi nhau mt
cch thng k thu c iu kin ban u t
u cho m hnh s (trong bi ny thut ng m
hnh ng mt phng trnh biu din di
dng sai phn dng gii mt bi ton phng
trnh o hm ring mt cch xp x vi iu
kin bin v iu kin ban u cho trc). c
trng thng k ca bi ton ng ha s liu
chnh l ct li ca tt cc thut ton ng ho
hin ti. Nu m hnh v cc d liu quan st l
hon ho, bi ton ng ha s liu khi s
n thun ch l mt bi ton ni suy (hay
ngoi suy) ti u nhiu chiu. Nu quan trc l
tuyt i nhng m hnh n cha cc sai s ni

Trong thc t, c lng sai s m hnh l

mt vn rt kh ca bi ton ng ho s liu
do ngun ln nht ca sai s m hnh li chnh l
cc qu trnh vt l khng c hiu bit y .

_______

T: 84-4-38584943.
E-mail: kieucq@atmos.umd.edu

310

K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

V d nh cc lc ri, lc ma st hay tham s

ho khng y cc qu trnh vt l vi m ca
m hnh. Thm vo , cc xp x s hc ca m
hnh cng c th l mt ngun sai s ng k ca
do cc thut ton sai phn hu hn c th cha
cc nghim phi vt l hoc tr nn mt n nh
khi vi phm cc iu kin tch phn.
Cc k thut x l sai s m hnh trong cc
thut ton ng ha s liu hin i bao gm k
thut tng cp nhn [1], k thut tng cp cng
tnh [2], hay phng php hiu chnh sai s h
thng [3]. Mt s gii thiu tng quan y v
cc k thut x l sai s m hnh c th c tm
thy trong nghin cu [4]. Trong nghin cu
ny, mt phng php khc da trn gi thit
rng ngun ca sai s m hnh ch yu l do s
biu din khng y ca cc qu trnh vt l
s c trnh by, tm gi l phng php lc
nhiu ng. Trong phn tip theo, s thit lp c
s l thuyt ca phng php lc nhiu ng s
c tho lun. Phn 3 m t cc ng dng ca
phng php ny i vi m hnh Lorenz 40bin. S m rng ca phng php ny cho mt
h vi bc t do ln hn nh l m hnh d bo
thi tit s s c xem xt trong phn 4, v mt
vi kt lun s c a ra trong phn cui cng.

2. C s l thuyt
Xem xt mt phng trnh m t s tin
trin ca mt trng thi x c dng tng qut nh
sau:
dx
= M (x) + F (t )
dt

(1)

trong x(t) n l mt vector trng thi nchiu ph thuc vo thi gian c phn b xc
sut ban u c trng bi ma trn hip bin Pf,
M l mt m hnh phi tuyn m t s tin trin
ca trng thi, v F(t) n l vector lc1. Gi

_______
1

n gin cc k hiu, khng gian Eulerian vi metric

n gin s c ngm hiu sao cho x v cc php tnh

311

thit mt tp hp s liu quan st y io p pchiu c cho trc ti cc thi im gin

on {tiI }vi mt phn b xc sut c trng
bi ma trn sai s hip bin R. Khi , lc
Kalman ton phn cho php ng ho tp s
liu quan st y io ny s c cho bi cc phng
trnh di y (xem [5])
Pi f = L i 1 Pia1LTi1 + Q i
K = Pi f 1 H T ( HPi f 1 H T + R ) 1

x ia = x if + K ( y io H ( x if ))
Pia = (I KH ) Pi f 1

(2)

trong Pi f 1 v Pi f l ma trn sai s hip bin

nn (hay d bo) ti thi im i-1 v i, L l m
hnh tip tuyn ca m hnh M, Pia1 v Pia l
ma trn sai s hip bin phn tch ti thi im
i-1 v i, K l ma trn trng s, Qi l ma trn sai
s m hnh, v H l ton t bin i t khng
gian m hnh sang khng gian quan trc. Lc
Kalman s c p dng ti tng thi im i
cho mi chu trnh ng ha v sau c tch
phn tip theo n thi im th i+1 ti qu
trnh phn tch vi b lc Kalman li c lp
li. Nh c tho lun trong phn gii thiu,
hai ngun sai s chnh ca m hnh c trng
bi ma trn Q l cc xp x s hc ca phng
trnh (1) v cc lc cng bc khng c hiu
bit y F. Mc d loi sai s u tin lin
quan n thut ton tch phn m hnh c th
c khc phc bng cch thit k cc thut
ton tnh ton hp l, loi sai s th hai lin
quan n tnh cht vt l rt kh kim sot v
c ng gp ln nht n sai s m hnh tng
cng, c bit trong cc h phc tp nh l h
thng kh quyn-i dng. bi ton c
thit lp mt cch tng minh, gi thit rng
cc thut ton sai phn hu hn ca phng
trnh (1) l chnh xc sao cho sai s ca m
hnh do cc xp x s hc c th c tm b
qua v chng ta do c th tp trung hon vo
vector c th c thc hin vi topo tng ng. Cc k
t in m ng cc vector trong cc khng gian m hnh
hay khng gian quan trc mt cch tng ng.

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K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

loi sai s m hnh vt l. Gi thit rng lc F(t)

l mt bin ngu nhin vi mt phn b xc
sut cho trc, nhim v ca chng ta by gi
l tm mt biu din cho ma trn sai s m hnh
Q vi gi thit ny. T phng trnh m hnh
(1), dng bin phn ca n c dng
d (x)
(3)
= J (x)x + F(t )
dt
trong gradient J(x) c nh ngha bi
M/x. Trong trng hp tng qut nghim
chnh xc ca phng trnh (3) l khng kh
tch, v vi F(t) ph thuc tng minh vo thi
gian, nghim chnh xc s lin quan n vic
tha s ho cc ma trn khng kh nghch. Tuy
nhin, ch rng mc d F(t) ph thuc vo
thi gian, phn b thng k ca nhiu lc li c
th c gi thit l khng ph thuc vo thi
gian vi mt phn b xc xut c bin cho
trc, ngha l F khng ph thuc vo thi
gian. Trong trng hp ny, nghim thun nht
ca phng trnh (3) s c dng
ti

ti

ti 1

ti

ti

ti 1

ti 1

)J (x(t 3 ) + ...)x 0

ti 1

(4)
trong xo l nhiu ng ban u do iu kin
ban u khng chnh xc ti t = 0. Vi nghim
thun nht (4), nghim cui cng ca phng
trnh (3) s c cho bi
(5)
x (t ) = x h (t ) J 1 ( x (t ))F
Nghim ny c th c vit ngn gn hn
bng vic a vo ton t sp xp thi gian T,
c nh ngha nh l [6]
T {H (t )...H (t )} = (t t )... (t
t ) H ( (1))...H ( ( n))

(1)

( 2)

x(t ) = T [exp{ dJ (x( )}]x 0 J 1F

(7)

ti 1

trong hm m ca ma trn c nh ngha

nh l
An .
n = 0 n!

exp( A) =

(8)

Nghim (7) c th c kim tra mt cch

d dng bng cch thay n trc tip vo phng
trnh (3). Vi nghim (7), m hnh tip tuyn L
c nh ngha trong lc Kalman s c dng
t

L = T [exp{

d J ( x ( )}]

(9)

t i 1

t 21

dt dt dt J (x(t )J (x(t

ti 1

ti t j
ti < t j

Mt cch thc cht, ton t sp xp thi gian

s sp xp li tt c cc ma trn sao cho cc ma
trn vi thi gian tr nht s ng pha ngoi
cng bn tri. y l mt k thut rt quen
thuc trong bi ton l thuyt trng lng t
[6]. Vi ton t sp xp thi gian T, nghim (5)
c th c vit li mt cch c ng nh sau

t1

x h = (I + dt1 J (x(t1 ) + dt1 dt 2 J (x(t1 )J (x(t 2 )

ti 1

1
0

(ti t j ) =

( n 1)

(n)

(6)
trong tng chy trn tt c cc giao hon
ca (1....n), (tng cng c n! cc giao hon) v
hm Heaviside c nh ngha bi

v sai s m hnh by gi s c cho bi

(10)
Q E{( J 1F )( J 1F ) T }
tnh ton sai s m hnh Q ch rng
nu chng ta c mt tp mu n php th vi
cng mt iu kin ban u sao cho xo = 0, r
rng l khi t phng trnh (7) tt c cc sai
s s c to ra ch bi lc nhiu ng F,
ngha l x = xh. Nh vy, chng ta c th thu
c ma trn Q theo hai cch khc nhau.
1. Tnh ton trc tip ma trn Q bng cch
thng k cc vector (J-1F). iu ny c
thc hin bng phng php ly mu n php
th F to ra mt mu n cc vector (J-1F).
T , ma trn sai s m hnh Q c th thu
c mt cch d dng t phng trnh (10).
2. Cch tip cn th hai l thc hin n php
tch phn m hnh vi cc lc F c lm nhiu
mt cch ngu nhin. Cc tch phn m hnh

K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

tuy nhin s c tin hnh vi cng mt iu

kin ban u sao cho tt c cc sai s m hnh
trong cc u ra c th c gn cho cc lc b
lm nhiu. u ra ca cc php chy ny by
gi c th c tnh ton thng k thu c
ma trn Q.
Phng php tip cn th hai s c chn
trong nghin cu ny bi v n c th c m
rng mt cch d dng i vi cc m hnh
nghip v hoc trong cc trng hp tng qut
hn, v d nh cc iu kin bin b lm nhiu
nh c tho lun trong phn 4.
3. Thit k th nghim
xem xt mt cch y nht c th
hiu qu ca thut ton lc nhiu ng, m hnh
Lorenz 40 bin s c s dng nh l mt m
hnh mu trong nghin cu ny sao cho lc
Kalman ton phn c th c s dng. Cng
vi im ni bt ca vic s dng lc Kalman
ton phn, m hnh ny c th c tch phn
mt cch rt chnh xc bng vic s dng thut
ton Runge-Kutta bc 4. iu ny s lm ti
thiu ho sai s m hnh do cc phng php
tnh ton s v do cho php xem xt mt
cch y phng php lc nhiu ng.
so snh phng php mi vi cc cch tip cn
khc, k thut tha s tng cp nhn s c
thc hin song song vi phng php lc nhiu
ng c trnh by trong phn 2. Mt s so
snh y hn vi cc k thut x l khc
bao gm tng cp cng tnh hay kh sai s h
thng s c cp n trong cc nghin cu
tip theo.
3.1. M hnh
M hnh Lorenz 40-bin c cho bi
(xem [7])
dxi
= xi 1 ( xi +1 xi 2 ) xi + F M ( xi ) + F (11)
dt

313

Trong F c ly chnh xc F = 8.0 cho

trng thi thc. iu kin ban u ca trng thi
thc s c chn mt cch ngu nhin. Mt
khi chn, iu kin ban u ny tuy nhin s
c gi khng i trong tt c cc th nghim
tip theo. Trng thi thc trn s c tch
phn 1000 bc thi gian v in ra ti tng
bc. iu kin bin tun hon cho xi c p
dng ti i = 0 sao cho x0 = xN. M hnh ny c
s tin trin hn lon sau mt thi gian chuyn
tip khong 50 bc tch phn. Bc thi gian
t = 0.01 s c s dng trong tt c cc th
nghim.
3.2. M hnh tip tuyn
M hnh tip tuyn cho m hnh Lorenz c
th thu c trc tip t phng trnh (9). Do
khi lng tnh ton ln v cc sai s lm trn
ca tch phn ma trn, chng ti ch gii hn
cc tnh ton ti cc xp x bc mt v bc hai
ca phng trnh (9). Vi xp x bc mt,
chng ta thu c dng quen thuc
M

(12)

L I + t J ( x(t i ))
i =1

M l s bc tch phn m ti quan trc

s c ng ha. V d, M = 1 tng ng vi
vic ng ha ti tt c cc bc tch phn, M =
2 s thc hin ng ha ti tng 2 bc tch
phn mt. Vi xp x bc hai, L c cho bi
M

i =1

j =1

L I + t J ( x(t i ))[I + t J ( x(t j ))]

(13)

V chng ta lm vic tng minh trong khng

gian 40, m hnh lin hp n gin l chuyn
v ca m hnh tip tuyn (13).
3.3. Lc nhiu ng
Ngoi tr trng thi thc trong lc tc
dng c bit chnh xc vi F = 8.0, mt t
hp gm n thnh phn cc tch phn m hnh s
khng c gi tr lc tc dng chnh xc m
c ly t mt tp hp gm n php ly ngu
nhin c phn b chun vi lch chun F =
1.0 c cng ti tng bc tch phn. Nh

314

K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

c tho lun trong phn 2, tt c cc php th

phi c cng mt iu kin ban u trong qu
trnh tch phn t hp. Ma trn sai s hip bin
m hnh Q s thu c bng cch ly mu n
u ra ca tch phn ti cc thi im ng ha.
i vi s liu quan trc cn thit cho vic
ng ha, cc nhiu ng vi phn b Gauss v
lch chun bng 1.0 s c cng vo thnh
phn trng thi thc ca m hnh.
3.4. Kt qu
nh gi chnh xc ca cc phng
php khc nhau, sai s cn qun phng (rms)
ca sai s gia trng thi phn tch v trng thi
thc ti cc thi im ng ha s c s
dng vi nh ngha nh sau:
1/ 2

1 40

RMS = ( xka xkt ) 2

40 k =1

Hnh 1 ch ra mt s so snh ca s tin trin

theo thi gian ca rms cho cc trng hp
khng c hiu chnh sai s m hnh (NOC),
hiu chnh sai s bng phng php lc nhiu
ng (PF20) vi 20 thnh phn, v phng
php tng cp nhn in hnh (INF). Chng ta
c th nhn thy d dng rng i vi tt c cc
ca s ng ha M t 1 n 8 bc tch phn,
PF20 cho mt kt qu tt hn v rt n nh so
vi INF. C PF20 v INF u cho kt qu tt
hn so vi trng hp sai s m hnh khng
c tnh n trong m hnh nh nhn thy
trong trng hp NOC. Do cc m hnh tip
tuyn c sai lch tch lu tng theo khong
ng ha M, c th nhn thy t Hnh 1 l vi
gi tr M ln th rms cng tng nhanh. Vi M >
15, lc Kalman s phn k trong tt c cc
phng php. S n nh ca phng php
PF20 so vi INF l c th hiu c nu chng
ta ch l PF20 cho php tnh n sai s ni ti
ca m hnh trong khi INF ch ph thuc vo
tn s ng ha. Ni mt cch khc, INF s gi
thit l sai s m hnh t l vi sai s ca ma
trn hip bin phn tch.

Hnh 1. S tin trin theo thi gian ca rms gia

trng thi phn tch v trng thi thc cho cc th
nghim NOC (ng lin nht), INF vi tha s
nhn 0.03 (ng chm), v PF20 (ng lin m)
vi M = 1, 2, 4, v 8.

xem xt thm nhy ca phng php

lc nhiu ng, mt lot cc th nghim
c tin hnh trong s lng cc thnh
phn t hp tng dn t 10 n 100 vi M c
nh bng 14 nh c ch ra trong Hnh 2.
Mc d cc th nghim vi nhiu thnh phn t

K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

hp cho rms nh hn nh mong i (Hnh 2),

c th nhn thy rng s gim ca rms dng
nh bo ha rt nhanh ch vi 20 thnh phn t
hp.

315

Hnh 2. Sai s rms ly trung bnh trong khong 1000

bc tch phn cho phng php lc nhiu ng vi
s thnh phn t hp l 10, 30, 50, 100 (xm), hiu
chnh tng cp (xm nht), v khng c hiu chnh
sai s m hnh (xm m).

s m hnh vi phng php lc nhiu ng

ny l lm th no c th to ra mt b nhiu
thch hp. y l mt cu hi m ph thuc rt
nhiu vo m hnh m chng ta c v bi ton
chng ta cn thit phi gii quyt. Mt cch c
th, gi thit rng chng ta c mt m hnh bo
khu vc m chng ta mun nghin cu tnh d
bo ca cc bn tin d bo ng i ca bo.
Cc nghin cu trc ch ra rng ng i
ca bo ph thuc rt nhiu vo cc yu t mi
trng khng tnh c trong m hnh s v d
cc s tham s ha i lu hay lp bin.
Trong trng hp ny, mt cch r rng nht
to ra trng lc nhiu ng l s dng ngay
cc s tham s khc nhau to ra b nhiu.
Cc tnh ton lin tc ca trng sai s m hnh
vi cc s tham s ha ny khng i hi
cc m hnh tip tuyn hay m hnh lin hp v
do s c ngha thc t hn. Vi sai s m
hnh c lng c bng cch ny, b lc
Kalman t hp c th c kt hp to ra
b nhiu trn cng mt t hp thay v chy 2 t
hp ring r cho iu kin ban u v cho sai s
m hnh.

4. ng dng m rng

5. Kt lun

Nh c tho lun trong phn 2, khun

kh l thuyt trong phng php lc nhiu ng
ch c ngha i vi cc h nh c cho bi
phng trnh (1) vi mt s bc t do nh. i
vi cc h phc tp hn nh l h tri t-kh
quyn, s gn nh khng th s dng phng
php lc Kalman ton phn do s chiu ca m
hnh l qu ln. Do , lc Kalman t hp phi
c s dng [8]. i vi cc h nh vy, mt
s m rng t nhin ca phng php lc nhiu
ng l ly mu mt cch trc tip cc u ra
ca mt tch phn t hp m c cng iu kin
ban u nh c xem xt trong phn 3. Vn
duy nht phi ch l khi tnh ton cc sai

Trong bi nghin cu ny, phng php xc

nh sai s m hnh bng cch to ra b nhiu
ngu nhin ca lc tc dng c kho st l
thuyt mt cch tng minh. Phng php
nhiu lc c da trn gi thit rng ngun
gc ln nht ca sai s m hnh l do cc hiu
bit khng y ca cc qu trnh vt l trong
m hnh, c bit trong cc h phc tp nh kh
quyn i dng. Phng php lc nhiu ng
trn c kim nghim trn m hnh Lorenz
v ch ra mt vi tnh cht ni bt bao gm
1) s n nh ca thut ton i vi mt khong
rng ca ca s ng ha, 2) chnh xc cao
hn phng php tng cp bi thun tu, v 3)

iu ny ch ra rng ch cn vi mt s t
cc thnh phn t hp cng c th nm bt tt
cu trc v c trng ca trng sai s m hnh,
mt u im rt c ngha i vi cc tnh ton
thc t trong khi lng tnh ton ln ca
m hnh khng cho php chng ta c nhiu
thnh phn t hp.
1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
NO

PF10

PF20

PF40

PF60

PF80

PF100

MF

316

K.Q.Chnh/TpchKhoahcHQGHN,KhoahcTnhinvCngngh26,S3S(2010)310316

chnh xc c duy tr tt ngay c vi mt

s t cc thnh phn t hp. iu ny rt c
trng i cho cc ng dng thc t trong
khi lng tnh ton rt ln ca m hnh nghip
v khng cho php chng ta c nhiu thnh
phn t hp. M rng ca phng php lc
nhiu ng cho h thng vi nhiu bc t do
cng c tho lun. Nghin cu v ng
dng chi tit hn ca phng php lc nhiu
ng s c trnh by trong nghin cu ti.

Li cm n
Tc gi mun gi li cm n n TS Craig
Bishop v nhng trao i v gi cho tc gi
v cc vn lin quan n sai s m hnh v
cn bng ha trong bi ton lc Kalman trong
thi gian tc gi n thm phng th nghin cu
hi qun Hoa K NRL. Tc gi cng cm n
sinh vin Nguyn Th Hnh K52 gip
chnh sa bn tho.

Ti liu tham kho

[1] J. L. Anderson, and S. L. Anderson, A Monte
Carlo implementation of the non-linear filtering
problem to produce ensemble assimilations and
forecasts. Mon. Wea. Rev., 127 (1999) 2741.
[2] H. L. Mitchell, and P. L. Houtekamer An
adaptive ensemble Kalman filter. Mon. Wea.
Rev, 128 (2000) 416.
[3] D. P. Dee, and A. M. da Silva, Data assimilation
in the presence of forecast bias. Quart. J. Roy.
Meteor. Soc., 124 (1998) 269.
[4] H. Li, Local ensemble transform Kalman filter
with realistic observations. Ph.D. dissertation.
University of Maryland (2007) 131p.
[5] E. Kalnay, Atmospheric Modeling, Data
Assimilation and Predictability, Cambridge
University Press (2003) 512p.
[6] M. E. Peskin, and D. V. Schroeder Quantum
field theory. Westview Publisher, (1995) 842p.
[7] E.N. Lorenz, and K.A. Emanuel, Optimal Sites
for Supplementary Weather Observations:
Simulation with a Small Model. J. Atmos. Sci.,
55 (1998) 399.
[8] G. Evensen, Sequential data assimilation with a
nonlinear quasigeostrophic model using Monte
Carlo methods to forecast error statistics. J.
Geophys. Res., 99 (1994) 10143.

Estimation of Model Error in the Kalman Filter

by Perturbed Forcing
Kieu Quoc Chanh
Faculty of Hydro-Meteorology & Oceanography, Hanoi University of Science, VNU
334 Nguyen Trai, Hanoi, Vietnam

In this report, a technique to estimate model errors for the Kalman filter is presented.
Implementation of the technique in the Lorenz 40-variable model shows significant improvement as
compared to the multiplicative inflation approach in terms of both root mean square error and stability.
Potential extension of the technique to more complicated systems such as numerical weather
prediction models is also discussed.
Keywords: ensemble data assimilation, Kalman filter, numerical weather prediction.