A Rao-Blackwellised type algorithm for passive seismic

event detection
Erick Baziw and Tadeusz J. Ulrych

Abstract

Passive seismic monitoring (PSM) systems are generally installed in areas of in-
duced seismicity caused by human activity. Induced seismicity results from changes in
the state of stress which may occur as a result of excavation within the rock mass in
mining (ie., rockbursts), and changes in hydrostatic pressures and rock temperatures
(eg., during fluid injection or extraction) in oil exploitation, dam construction or fluid
disposal. Passive seismic monitoring system are general classified as microseismic sys-
tems if they are designed to measure moment magnitudes less then 0.0 Mn. Systems
which record events of stronger magnitude are referred to as macroseismic monitoring
systems.An essential part of the operation of a passive monitoring system is the reliable
detection of seismic events and the phase identification (P, SV, and SH) of the source
wavelets. Since the monitoring of seismic acoustic emissions is a continuous, real-time
process which can have nonlinear mathematical representations, it is important that
the algorithms utilized for the identification of seismic events can handle the nonlinear-
ities and are also formulated for real time implementation. To meet these requirements,
a Bayesian recursive estimation (BRE) algorithm is outlined in this paper. The BRE
technique utilized is a Rao-Blackwellised event detection (RBED) algorithm which is
a hybrid Kalman and grid-based particle filter formulation. The RBED filter fits the
passive seismic event detection governing equations into a linear and nonlinear state-
space representation. The state system equations are defined to be linear (Kalman
filter), while the measurement equation is nonlinear and a grid-based particle filter is
implemented to address this nonlinearity.

1 Introduction

A passive monitoring system is an assembly of hardware and software components designed

to acquire and analyse, in real time, the acoustic signals collected by an array of appropri-
ate seismic transducers. Systems are generally installed in areas where seismicity has been

135
136

induced by human activity. Seismic activity is often observed in the vicinity of underground
excavations, deep open pits and quarries, around and below large reservoirs where fluids are
being injected into, or removed from, permeable subsurface formations, and adjacent to the
sites of large underground explosions (Gibowicz and Kijko, 1994).

Extreme examples of energy release can cause violent rockbursts resulting in fatalities and
injuries among underground personnel and damage to mine structures (eg., drifts, stopes,
shafts, etc.). Passive seismic systems are capable of detecting rock failures in the vicinity of
underground excavations caused by the sudden release of strain energy resulting from the
redistribution of stresses around openings.

Various hydrocarbon production sites also benefit from seismic monitoring systems during
certain phases of production. Primary or secondary extraction or the injection of material
into the reservoir to enhance production can cause significant stress changes. These stress
changes can result in failures of the overlying strata and the migration of hydrocarbons to
aquifers or to the ground surface. Thus PSM can be used to satisfy environmental concerns,
meet regulatory requirements and assess the development of induced fracturing within the
reservoir. In addition, the passive seismic monitoring systems have been successful in iden-
tifying and locating casing failures due to steam stimulation in oil sands (Talebi et. al, 1998).

During filling of hydroelectric or large irrigation reservoirs, changes in regional loading and
pore pressures cause significant stress variations within the surrounding rock mass. These
can induce a wide range of micro and macroseismic events, some of which are capable of
causing damage to adjacent structures or to the dam itself. PSM can locate and characterize
these potentially hazardous induced events.

Irrespective of the cause of seismic events, their reliable detection and placement on a com-
mon time base is of critical importance. This is because the arrival times and phase identi-
fication of the source wavelets (P and S-wave) at various detector packages within a three-
dimensional array provide the basis for the calculation of the location of the seismic event
(Baziw et al., 2004). Imprecision or uncertainty in arrival time and phase determination
reduces the precision of the source location operation. In many passive seismic monitoring
situations - for example where there is interest in the behaviour of specific geological features
or where events must be related to specific structures in a mining or hydrocarbon extraction
environment - the accurate determination of event arrival times is the primary rationale for
7 – Rao-Blackwellised event detection 137

the installation of the system.

In regions where the level of induced seismicity is high and it is accompanied by significant
ambient noise, it is essential that the passive monitoring systems possess the capability of
automatically identifying the P- and S-waves generated by seismic events within the noise
contaminated raw seismic time series. Reliable automated identification allows for the timely
analysis of a large volume of data and the delivery of results to the end user in a useful man-
ner. The ability to locate passive seismic events accurately is directly dependent upon the
ability to identify the P- and S-wave responses (phase association) and determine subsequent
arrival times (phase picking) (Ge and Kaiser, 1990).

Since the monitoring of seismic acoustic emissions is a continuous, real-time process it can
be adversely effected by ambient noise which can lead to the recording of a vast amount of
useless data. To mitigate this effect real-time event detection and phase identification digital
filters should be incorporated into the PSM system. This paper outlines a real-time event
detection filter which builds upon previous designs (Baziw and Weir-Jones (2002) and Baziw
et al. (2004))in fitting the PSM event detection filter into a Kalman filter (KF) formulation.
In general terms, the event detection filter is designed to identify frequency anomalies within
a complicated noise model in real-time. These anomalies are compared to a user specified
P-wave and S-wave frequency window to assess whether the identified frequency transient is
a P-wave, S-wave, or transient noise.

In Baziw’s (2002 and 2004) previous Kalman filter designs, the dominant frequency compo-
nent of the transient was preset so that the system and measurement equations remained
linear. In the event detection filter outlined in this paper the assumption of a constant
frequency anomaly is no longer required due to the implementation of a Rao-Blackwellised
algorithm. The Rao-Blackwellised event detection (RBED) utilizes a Kalman filter for the
portion of the filter which is linear (system equations) and a grid-based particle filter for the
highly nonlinear measurement equation. The RBED filter essentially provides for a real-time
frequency-amplitude-time transform on the recorded seismic time series.

Similar to the Kalman filter passive seismic event detection (KFED) algorithm, the Rao-
Blackwellised event detection (RBED) system equations also define the dynamics behind the
assumed Gauss-Markov noise and the amplitude of the transient frequency anomalies. The
Gauss-Markov ambient noise has the following continuous system representation:
138

p
ṅ(t) = −βn(t) + 2σ 2 βw(t) (1)

In eq. (1), E[w(t)w(τ )] = δ(t − τ ), where δ(t − τ ) is the Dirac delta function and σ 2 and
Tc (i.e., β = 1/Tc ) define the variance and time constant of the process. The discrete form of
eq. (1) is written as

nk+1 = an nk + bn wk (2)
p
In eq. (2), an = e−β∆ , bn = σ (1 − e−2β∆ ), and wk is a zero-mean, timewise-uncorrelated,
unit-variance sequence with a Gaussian probability distribution function. nk is therefore a
zero-mean, exponentially-correlated random variable whose standard deviation is σ. The
constant an can have a range of values from -1 to +1. For a stable variable, we restrict an
to values between 0 and +1. For an → 0, n(t) changes rapidly and tends to be uncorrelated
from sample to sample. For an → 1, the behaviour of n(t) becomes more sluggish and it
tends to change little from sample to sample.

In both the KFED and RBED filter formulations the seismic source wavelet is modelled
as an amplitude modulated cyclic waveform which is defined as

A(t − t0 ) = A/ (t − t0 ) sin[ω(t − t0 )], t ≥ t0 (3)

In eq. (3), t0 ≡ wavelet arrival time, A/ (t − t0 ) is the source wavelet’s amplitude response
which is to be modulated by the periodic sinusoidal with dominant angular frequency ω(t −
t0 ) (i.e., ω(t − t0 ) = 2πf (t − t0 )). In state-space representation the amplitude modulated
periodic process is defined as:

x1 (t) = x2 (t) sin(ω(t)t + δ(t)) (4)

In eq. (4), x1 (t) is an approximation to the P-wave or S-wave seismic wavelet (the frequency
anomaly), x2 (t) is the seismic wavelet’s amplitude response (A/ (t−t0 )), ω(t) is the dominant
frequency of the wavelet, and δ(t) is the corresponding phase. In the KFED filter state x2 (t)
was approximated as a random walk process. To allow for greater flexibility the RBED
models state x2 (t) as a Gauss-Markov process similar to that outlined for the ambient noise
model. More sophisticated amplitude models can be implemented such as the formulation
of a Taylor series on the amplitude dynamics carried out to a third term. The third term
7 – Rao-Blackwellised event detection 139

(acceleration) is then modelled as a Gauss-Markov process. This approach is standardly

applied when modelling nondeterministic forces such as the kinematics of a moving vehicle
(Baziw (1994)). Similar to eq. (2), the discrete form of the amplitude Gauss-Markov process
is given as

x2(k+1) = ax2 x2(k) + bx2 wk (5)

In eq. (5), parameters ax2 and bx2 are specified in a manner similar to the technique utilized
by Lear (1985) when modelling nondeterministic forces such as the acceleration of a fighter
plane in a dog fight with another plane. In this case, the acceleration standard deviation is
chosen to be about 1/3 of the expected maximum acceleration. In general terms, both ax2
and bx2 are chosen based on simulation studies to find optimum values.

In the KFED filter formulation it was assumed that ω(t) and δ(t) are known and constant.
The time variation of ω(t) and δ(t) result in a highly non-linear measurement equation and
thus the required Kalman filter assumption of linear system and measurement equations
with Gaussian white process and measurement noise is not met. In order to handle the
non-linear measurement equations a hybrid Kalman and grid-based particle filter is utilized
which is referred to as a Rao-Blackwellised formulation.

The Rao-Blackwellised algorithm allows for the reduction in number of states required to
be estimated via a grid-based particle filter. As the number of states to be estimated is
increased the particle filter requires a considerable greater number of particles to reflect the
posterior pdf which can make the problem extremely cpu intensive and unwieldy. If one can
formulate a portion of the system and measurement equations as linear with additive Gaus-
sian measurement and process noise then a Kalman Filter can be utilized for these states
while the remaining states are represented by a particle filter. This considerably reduces the
required number of particles to obtain a true reflection of the posterior pdf.

In the RBED filter formulation the system equation is defined as

" # " #" # " #" #

x1(k) aw 0 x1(k−1) bw 0 w1(k−1)
x= = + (6)
x2(k) 0 ax2 x2(k−1) 0 bx2 w2(k−1)

In eq. (6) x1(k) is the Gauss-Markov ambient noise (i.e., state n in eq. (2))) at time index
k, x2(k) is the Gauss-Markov amplitude (i.e., state x2 in eq. (5)) of the frequency anomaly
140

at time index k, ∆ is the sampling rate, and w1(k) and w2(k) are zero mean, unity variance,
Gaussian white noise processes.

The RBED measurement equation contains the non-linear relationship between the frequency
anomaly amplitude and dominant frequency and phase and it is given as

" #
h i x1(k)
zk = 1 sin(ωk k∆ + δk ) + vk (7)
x2(k)

In eq. (7), the variance of the white Gaussian measurement noise vk is assumed to be a very
small percentage of that of state x2(k) . This is due to the fact that it is assumed that x2(k)
sufficiently represents the ambient measurement noise. As stated previously, if it is assumed
that ωk and δk are known and constant then the system and measurement equations defined
by eqs. (6) and(7), respectively, fit into the optimal Kalman filter formulation.

In the Rao-Blackwellised algorithm, a particle filter is introduced into the standard KF so

that the case for time variant ω(t) and δ(t) is addressed. Both the particle and Kalman filter
are a form of Bayesian recursive estimation.

2 Bayesian Recursive Estimation

In the Bayesian approach to optimal estimation it is attempted to construct the posterior

estimate of the state given all available measurements (Doucet et al., 2003). In general
terms, it is desired to obtain estimates of the discretized system equation states xk based on
all available measurements up to time k1 by constructing the posterior p(xk |z1:k ) and having
the initial (prior) pdf of the state p(x0 ) specified as an initial condition.

Since the posterior density function embodies all available statistical information, it can be
termed a complete solution to the estimation problem. In general, p(x|z) (ignoring time
indexing notation) is evaluated as (Bayes’ theorem)

p(z|x)p(x)
p(x|z) = (8)
p(z)
1
denoted as z1:k
7 – Rao-Blackwellised event detection 141

where p(x) is the prior probability density function of x, and p(z) is the probability density
function of the measurements. Depending on the criterion of optimality (Gelb, 1974), one
can compute an estimate of state vector, x̂, from p(x|z). For example, if it is desired to
maximize the probability that x̂ = x, the solution is x̂ = mode p(x|z)2 . When the a priori
density function p(x) is uniform (which implies no knowledge of x between its allowable
limits), this estimate is equal to the maximum likelihood estimate. If it is desired to obtain
a minimum variance Bayes’ estimate then the following cost function is minimized

Z ∞ Z ∞ Z ∞
J= ··· (x̂ − x)T S(x̂ − x)p(x|z) dx1 dx2 · · · dxn (9)
−∞ −∞ −∞

where S is an arbitrary, positive semidefinite matrix. The estimate is obtain by calculating

∂J/∂ x̂ = 0. The solution to this partial, independent of S, is given as

Z ∞ Z ∞ Z ∞
x̂ = ··· xp(x|z) dx1 dx2 · · · dxn = E[x|z] (10)
−∞ −∞ −∞

which is the conditional mean estimate.

BRE is a two step process consisting of prediction and update (Arulampalam et al., 2002).
The prediction step involves using the system equation (e.g., eq. (6)) to obtain the prior pdf
of the state at time k via the Chapman-Kolmogorov equation which is given as

Z
p(xk |z1:k−1 ) = p(xk |xk−1 )p(xk−1 |z1:k−1 ) dxk−1 (11)

The Chapman-Kolmogorov is derived based upon the transitional densities of a Markov se-
quence (Papoulis, 1965). The probabilistic model of the state evolution p(xk |xk−1 ) in eq.
(11) is defined by the system equation (e.g., eq. (6)) and the known statistics of the process
noise wk . The prediction step generally deforms, translates, and spreads the state pdf due
to noise (Mhlich, 2003).

The update step computes the posterior pdf from the predicted prior pdf and a newly
available measurement. The posterior pdf is updated via Bayes’ rule as follows:

p(zk |xk )p(xk |z1:k−1 )

p(xk |z1:k ) = (12)
p(zk |z1:k−1 )
2
The peak value of p(x|z)
142

where the normalizing constant

Z
p(zk |z1:k−1 ) = p(zk |xk )p(xk |z1:k−1 ) dxk (13)

depends on the likelihood function p(zk |xk ) defined by the measurement equation (e.g., eq.
(7)) and known statistics of vk . In the update step, the measurement zk is used to modify
the prior density to obtain the desired posterior density of the current state vector. Equation
(12) can also be represented as follows:

likelihood × prior
posterior = (14)
evidence

where the prior is given by the prediction equation, the likelihood is given by the observation
model, and the evidence is the normalizing constant in the denominator. The update step
usually concentrates the state pdf by the action of combining the likelihood of the current
measurement with the predicted state. The recurrence equations defined by eqs. (11), (12),
and (13) form the basis for the optimal Bayesian solution (Arulampalam et al., 2002). The
BRE of the posterior density can be solved in closed form when the state-space equations
fit into a Kalman filter formulation or a Hidden Markov Model (HMM). The KF requires
that the system and measurement equations be linear and the process and measurement be
defined as Gaussian white noise processes which are independent.

2.1 Kalman Filter Formulation

The KF is a method for estimating a state vector x from a measurement z. The state vector
may be corrupted by a noise vector w and the measurement vector is corrupted by a noise
vector v. The KF filter is applicable for systems that can be described by a first order
differential equation in x and a linear (matrix) equation in z. The KF can be described in
both continuous and discrete form. The discrete state and measurement equations are given
by

xk = Φk−1 xk−1 + wk−1 , wk ∼ N (0, Qk ) (15)

zk = Hk xk + vk , vk ∼ N (0, Rk ) (16)
7 – Rao-Blackwellised event detection 143

where x is an n-vector, w is a p-vector, and z and v are m-vectors. The random (vector)
processes w and v are assumed to be statistically independent zero mean, white noise pro-
cesses. In equations (15) and (16), symbol N denotes a normal distribution with mean 0
and variance Qk and Rk , respectively. The discrete Kalman Filter estimation equations are
outlined as follows:

State Estimate Extrapolation: x̂k|k−1 = Φk−1 x̂k−1|k−1 (17)

T
Error Covariance Extrapolation: Pk|k−1 = Φk−1 Pk−1|k−1 Φk−1 + Qk−1 (18)
Measurement Extrapolation: ẑk = Hk x̂k|k−1 (19)
Innovation: Ik = zk − ẑk (20)
Variance of Innovation: Sk = Hk Pk|k−1 Hk T + Rk (21)
Kalman Gain Matrix: Kk = Pk|k−1 Hk T Sk −1 (22)
State Estimate Update: x̂k|k = x̂k|k−1 + Kk Ik (23)
Error Covariance Update: Pk|k = [I − Kk Hk ] Pk|k−1 (24)

I is the identity matrix in equation (24).

Initial Conditions: E[x0 ] = x̂0 , E[(x0 − x̂0 )(x0 − x̂0 )T ] = P0 (25)

The computational sequence for the discrete KF is outlined as follows:

A. At time index k = 0, specify initial conditions x̂0 and P0 , and compute Φ0 and Q0 .

B. At time index k=1, compute x̂1|0 , P1|0 , H1 , R1 , and the gain matrix K1 .

C. Using the measurement z1 at time index k=1, the best estimate of the state at k=1 is
given by

x̂1|1 = x̂1|0 + K1 I1 (26)

144

D. Update the error covariance matrix P1|1 .

E. At time index k=2, a new measurement z2 is obtained and the computational cycle is
repeated.

In terms of BRE, the Kalman Filter can viewed as the following recursive relationship (Aru-
lampalam et al., 2002):

p(xk−1 |z1:k−1 ) = N (xk−1 ; x̂k−1|k−1 , Pk−1|k−1 ) (27)

p(xk |z1:k−1 ) = N (xk ; x̂k|k−1 , Pk|k−1 ) (28)
p(xk |z1:k ) = N (xk ; x̂k|k , Pk|k ) (29)
(30)

The KF has the sufficient finite dimensional statistics of mean and error covariance.

2.2 Particle Filter Formulation

For the case where the system and/or measurement equations are nonlinear or there is non
Gaussian process or measurement noise, the BRE requires a numerical estimation approach
to approximate the optimal Bayesian solution. To solve the BRE numerically a new family
of filters which rely upon sequential Monte Carlo (SMC) methods have been made popular
within the last decade (Arulampalam et al., 2002). This family of new filters are called:

• condensation algorithms

• bootstrap filtering

• particle filters

• interacting particle approximations

• survival of the fittest

7 – Rao-Blackwellised event detection 145

In SMC the required posterior density function is represented by a set of random samples
with associated weights where state estimates are computed based on these samples and
weights. The desired state estimate is defined to be the conditional mean or minimum vari-
ance estimate (i.e., x̂k = E[xk |z1:k ]) as was outlined in eq. (10).

The particle filters are a class of SMC algorithms which are designed to provide sub-optimal
estimates for estimates of states which have non-linear system and measurement dynamics.
In the following formulation of the particle filter (PF) algorithm it is assumed that the
white (not necessarily Gaussian) process and measurement noise is additive3 resulting in the
following system equations4 :

xk = fk−1 (xk−1 ) + uk−1 (31)

zk = hk (xk ) + vk (32)

From the likelihood formula we have

p(xk |xk−1 ) = pu (xk − fk−1 (xk−1 )) (33)

p(zk |xk ) = pv (zk − hk (xk )) (34)

The basic idea behind the particle filter is to represent the posterior density function by the
delta function approximation

Ns
X
i
p(xk |z1:k ) ≈ wk:k δ(xk − xik ) (35)
i=1

In eq.(35) {xik , wki } denotes a random measure that characterizes the posterior pdf p(xk |z1:k ),
where {xik , i = 1, · · · , Ns } is a set of support points (particles) with associated weights
{wki , i = 1, · · · , Ns } and {xk } is the set of states at time k. Equation (35) defines a
3
This not a requirement for PF. This assumption is valid for the subsequently outlined PSM event detec-
tion filter because the associated state-space formulation assumes additive white process and measurement
noise.
4
Change in notation (w → u) of process noise so that confusion with subsequently described particle
filter weights is avoided.
146

randomized grid estimation for where if there was perfect Monte Carlo sampling (i.e.,
xik ∼ p(xk |z1:k ) iid) then5

N
1 X i
lim xk = E[xk |z1:k ] a.s. (SLLN) (36)
N →∞ N
i=1

2.2.1 Standard Particle Filter Formulation

For nonlinear sub-optimal estimation problems it becomes nearly impossible to sample from
p(xk |z1:k ). Therefore the weights in eq. (36) are obtained using Bayesian importance sam-
pling (Arulampalam et al., 2002). A typical numerical solution to the BRE problem is
outlined in the following particle filtering algorithm (Gustafsson et al., 2002):

1. Initialization (k = 0): Generate sample particles xik ∼ px0 , i = 1, · · · , Ns . Set particle

weights to the uniform distribution (i.e., wki = 1/Ns , where Ns defines the number of parti-
cles).

2. Update and normalize important weights of particles:

w̃ki = w̃k−1
i
p(zk |xik ) = w̃k−1
i
pv (zk − hk (xik ))
w̃i
wki = PNsk i
i=1 w̃k

3. Obtain optimal minimum variance estimate of the state vector and corresponding error
covariance:

Ns
X
x̂k = E[xk |z1:k ] ≈ wki xik (37)
i=1
Ns
X
Px̂k ≈ wki (xik − x̂k )(xik − x̂k )T (38)
i=1

5
Strong law of large numbers
7 – Rao-Blackwellised event detection 147

4. Sampling Importance Re-sampling (SIR): Re-sample the particles utilizing a Bayesian

bootstrap technique if the effective number of samples is less than a specified threshold (e.g.
NT = (0.6 to 0.8)Ns ):

Ns
N̂ef f = PNs i < NT (39)
2
i=1 (wk )

5. Prediction: take uik ∼ puk and propagate and simulate the state particles via eq. (31):

xik+1 = fki (xik ) + uik (40)

6. Let k = k + 1 and iterate to step 2.

2.2.2 Grid-Based Particle Filter Formulation

In the RBED filter formulation it is not possible to formulate a system equation to describe
the propagation of the frequency anomaly particles in real-time. The dominant frequency
anomalies are transient and they can occur within the recorded seismic time series at any
time. For these reasons, a fixed grid-based method of particle filtering is utilized as opposed
to the previously described randomized grid.

The governing equations for the grid-based particle filter are derived by substituting eq.(35)
into the Chapman-Kolmogorov equation (eq. (11)) and the posterior pdf update equation(eq.
(12)). This substitution results in the grid-based particle filter prediction and update equa-
tions, respectively, which are outlined as follows:

Ns
X
i
p(xk |z1:k−1 ) = wk|k−1 δ(xk − xik ) (41)
i=1

Ns
X
i
p(xk |z1:k ) = wk|k δ(xk − xik ) (42)
i=1

where

Ns
X j
i
wk|k−1 = wk−1|k−1 p(xik |xjk−1 ) (43)
j=1
148

i
i
wk|k−1 p(zk |xik )
wk|k = PNs j
(44)
j=1 wk|k−1 p(zk |xjk )

In the above equations it is required that pdfs p(zk |xik ) and p(xik |xjk−1 ) be known and speci-
fied.

3 Rao-Blackwellised Event Detection Filter

As previously stated, despite the theoretical independence of accuracy on the particle dimen-
sion, it is well-known that the number of particles needs to be quite high for high dimensional
systems (Gustafsson et al., 2002). To circumvent this, the Rao-Blackwellised algorithm is
utilized where the Kalman filter is used for the part of the state-space model which is linear
and the particle filter for the other part. For RBED, the system equation defined by eq. (6)
is linear and fits nicely into the KF formulation, while the measurement equation defined by
eq. (7) is highly non-linear with respect to state x2(k) and time variant parameters ωk and
δk . The time-variant change in the system and/or measurement equation formulation is also
referred to as a jump Markov linear system (Doucet et al., 2003).

In RBED algorithm the phase shift term δk in the measurement equation (eq. (7)) can be
ignored if a sufficient amount of particles (Ns ) are utilized to represent the time varying
angular frequency ωk . The ability to ignore term δk considerably reduces (by factor Np ,
where Np = number of phases) the number of overall particles (Ns ) required in the RBED
algorithm. The effect of ignoring the phase term may result in a loss of precision6 in esti-
mating the angular frequency.

The Rao-Blackwellised event detection algorithm is outlined as follows:

1. At time t0 initialize a set of fixed grid frequency values from which particles for the term
sin(ωki k∆) in the measurement equation (7) will be derived. For example, if the investigator
were to specify the frequency window of 40 Hz to 340 Hz at resolution of 0.5Hz this would
result in 600 frequency components (i.e., Ns = 600) spanning from 40 Hz to 340 Hz and
offset from one another by 0.5 Hz. An additional frequency component of 0 Hz should be
6
Approximately on the same order of the particle resolution representing the angular frequency term ωk .
7 – Rao-Blackwellised event detection 149

incorporated into the set of frequency grid-based particles to account for the case when a
frequency anomaly is not present at a certain time index within the recorded time series
data7 .

j
2. Specify the transition pdf p(yki |yk−1 )8 for the frequency values outlined in step one. The
most appropriate transition pdf values for this particular problem were determined via sim-
ulation results and based upon the physical system which is being modelled. It was found
that in general terms the value of p(yki |yk−1
i
) should be set quite high (e.g., 0.996) and the
i j
remaining values of p(yk |yk−1 ) where i 6= j can be set to have a uniform distribution or
Gaussian distribution with a relatively high variance9 .

3. Specify specify seismic wavelet amplitude model parameters ax2 and bx2 . In general terms,
both ax2 and bx2 were chosen based on simulation studies to find optimum values. To meet
the Observability Condition (Gelb, 1978) it is important that ax2 and aw are not equal. For
ambient noise of low correlation (e.g., aw ≤ 0.4) there is high Observability (i.e., ax2 ≥ 0.98).
As the ambient noise becomes more correlated, the investigator is required to find optimal
values for ax2 and aw through simulation test.

4. Adaptively derive the Gauss-Markov noise parameters σ 2 and Tc (ie., β = 1/Tc ) from
the autocorrelation of the noise portion of the recorded time series data. The autocorrela-
tion function of a Gauss-Markov process is defined to be φ(τ ) = σ 2 e−β|τ | . The value of the
autocorrelation function at zero shift gives σ 2 . The time constant Tc is defined to be the
time index where φ(Tc ) = σ 2 e−1 . Once the values of the Gauss-Markov noise parameters σ 2
and Tc are adaptively derived, the parameters of aw and bw can be set within the system
equation (eq. (6)).

5. Obtain the first data measurement (z0 ) and initialize the Kalman filter where x1(0) = z0
and x2(0) = 0. The error covariance matrix is set to the null matrix except for the diagonal
elements which are all set to the variance, R, of the measurement noise.

7
This should be the prevalent situation.
8
Change in notation (xik → yki ) so that confusion with Kalman filter states (x) and grid-based particle
filter frequency state (y) is avoided.
9
PNs j
It should be noted that that for each yki value j=1 p(yki |yk−1 ) = 1.0.
150

6. At time step k = 1, utilizing eqs. (6), (17), and (18) propagate the state vector and error
covariance matrix ahead by one time step.

7. Calculate particles (yki ) for i = 1 to Ns for the term sin(ωki k∆) based upon the frequency
grid initialized in step 1. Calculate the measurement extrapolation term, ẑki , and variance
of the innovation term, Ŝik , for each of the particles by implementing eqs. (19) and (21),
respectively.

8. Nando de Freitas (2002) demonstrates that the pdf p(zk |yki ) is given by the predictive
density

i
p(zk |yki ) = p(zk |z1:k−1 , y1:k ) = N (zk ; ẑki , Sik ) (45)

Using eqs. (43), (44), and (45) calculate the normalized importance weights wki .

9. Obtain an optimal minimum variance estimate of ŷk by

Ns
X
ŷk = E[yk |z1:k ] ≈ wki yki (46)
i=1

10. The updated measurement matrix is given as

h i
Hk = 1 ŷk (47)

11. Recalculate the measurement extrapolation equation and variance of innovation by

utilizing eqs. (19), (21), and (47). Calculate the Kalman gain matrix via eq. (22) and ob-
tain updated estimates of the state and error covariance by utilizing eqs. (20), (23) and (24).

12. Let k = k + 1 and iterate to step 6. The ambient noise Gauss-Markov parameters can
be automatically updated by implementing Step 4 at a user specified rate.

The standard particle filtering degeneracy check is not required for the RBED because a
fixed frequency grid is utilized.
7 – Rao-Blackwellised event detection 151

4 Results

4.1 Data Simulation

Prior to implementing the previously outlined RBED filter formulation on real data, testing
was carried out on synthetic data. This section presents a portion of the test bed results.
The first step in this analysis was to simulate source wavelets which were defined to be
zero-phase Ricker wavelets (Sheriff and Geldart, 1982). The Ricker wavelet is mathematical
represented in the time-domain as

2 υ 2 (t−t )2
f (t) = A0 (1 − 2π 2 υM
2
(t − t0 )2 ) exp−π M 0
, t ≥ t0 (48)

In eq. (48), A0 ≡ wavelet maximum amplitude10 , t0 ≡ wavelet arrival time of the maximum
amplitude, and υM ≡ dominant or peak frequency of Ricker wavelet. The P-wave was
simulated with a peak frequency of 200 Hz and an initial amplitude of 10011 . The S-wave
was simulated with a peak frequency of 70 Hz and an initial amplitude of 100. The sampling
rate was set at 0.05 ms. Figure 1 illustrates the source wavelets generated with the previously
specified parameters.

The next step in data simulation was to specify different Gauss-Markov ambient noise pro-
cesses. Figure 2 illustrates simulation results when the wavelets shown in Figure 1 have
added ambient Gauss-Markov background noise superimposed. The time series data shown
in Figure 2 have the Gauss-Markov parameters specified (from top to bottom) as outlined
in Table 1.

The RBED filter was implemented on the simulated data illustrated in Figure 2 with a fre-
quency window of 40 Hz to 340 Hz at resolution of 0.5 Hz specified resulting in a total of
600 particles. The output for state x2(k) (seismic amplitude) is illustrated in Figure 3. As
is shown in Figure 3, there is a very impressive real-time signal to noise ratio improvement
after implementation of the RBED algorithm on the raw-data. The RBED filter also did an
excellent job in identifying frequency transients when the ambient noise contains spectral
characteristics very similar those of the seismic wavelet. This property of the RBED is made
evident for the simulated wavelet with superimposed Gauss-Markov noise with parameters
10
Centered between to flanking side lobes
11
The units of the time series data amplitudes (e.g., m/s or m/s2 ) are not of importance when evaluating
the performance of the RBED filter
152

Table 1: Gauss-Markov simulation parameters

Time Constant (ms) Variance

0.000001 10
0.00001 200
0.01 200
0.01 400
0.1 200
0.5 500
1.0 300

of σ 2 = 500 and Tc = 0.5 ms.

Figure 4 illustrates the RBED output results for the reconstructed wavelet (ŷk × x2(k) ) after
processing the simulated data shown in Figure 2. As is shown, the RBED filter did an im-
pressive job in reconstructing the simulated P-wave and S-wave signals with resulting high
signal to noise ratios.

The real-time frequency values were determined by automating the calculation of the peak to
peak period for ŷk where the ratio of the current amplitude of state x2(k) exceeded the long
term average by a user specified amount. This value was set to four in the results presented
in this section. Figure 5 illustrates the identification of the peak to peak values for the ŷk
estimate for the simulated wavelet with superimposed Gauss-Markov noise with parameters
of σ 2 = 200 and Tc = 0.000001 ms. The frequency transients of 200 Hz (P-wave) and 70 Hz
(S-wave) were approximately recovered for all the test bed cases outlined in Figure 2.

4.2 Processing Real Data

The data presented in this paper was obtained from some of the microseismic installations
Weir-Jones Engineering Consultants has commissioned at heavy oil extraction operations in
Northern Alberta. Earlier work on this region has been described by other authors (Talebi
at al., 1998).
7 – Rao-Blackwellised event detection 153

Table 2: Cold Lake Pancake Stratigraphic Formations

Formation top Depth (m)

Surface 0
Colorado Shales 149
Grand Rapids 319
Clearwater 432
McMurray 485

The Cold Lake area is located in Northern Alberta, Canada. Extensive, heavy oil reserves
underlie the area. The oil sands occur in the Mannville Group of Lower Cretaceous age and
range from 305 m to 610 m below surface. The primary reservoir is the Clearwater forma-
tion at an average depth of 457 m. The sand in the Clearwater is laterally and vertically
continuous and pay thickness ranges from 15 m to 49 m. The reservoir has 11 billion m3 of
bitumen in place.

The Clearwater sand is an unconsolidated clean sand with porosities between 30% and
35% and an average bitumen saturation of 70%. The absolute permeability ranges from
0.5 × 10−12 m2 to 2 × 10−12 m2 and viscosity is up to 150, 000 cp. Initial reservoir conditions
are 3◦ C and 3 M P a. Figure 6 illustrates a typical steam injection mechanism where there
is pancake stratigraphy which is defined in Table 2.

Overlying the Clearwater formation is the Grand Rapids formation, which consists of sands
and shales. Above this is the Colorado Group of Upper Cretaceous age. It consists of ma-
rine shales that are impervious and separates the oil sands from the glacial tills near surface.
Since most of the oil sands are immobile, additional heat and pressure are required to recover
the bitumen. Three main processes used are cyclic steam stimulation, steam drive and steam
assisted gravity drainage. A detailed technical description of the microseismic monitoring
equipment and geophone snodes installation is presented by Talebi (1998).

The data analysed in this paper was obtained using geophone arrays consisting of multiple
sensing elements arranged on triaxial orthogonal axes. The arrays have a natural frequency of
10 Hz, are damped at 70% of critical, and have a bandwidth from 8 Hz to 900 Hz. The data
subsequently presented is identical to that presented by Baziw and Weir-Jones (2002) so that
comparisons can be made between the Kalman filter formulation and the Rao-Blackwellised
154

filter outlined in this paper.

Figure 7(a) illustrates a passive seismic time series data file recorded from the previously
described downhole triaxial seismic array. The autocorrelation of the ambient noise was
automatically calculated so that the Gauss-Markov noise parameters σ 2 and Tc could be
adaptively derived. Parameters σ 2 and Tc were determined to be 306 m2 /s2 and 8.3 ms, re-
spectively. Figure 7(b) illustrates the RBED algorithm’s estimates of the seismic amplitude
anomalies (state x2(k) ) within the trace presented in Figure 7(a). As is shown in Figure 7(b),
the RBED filter correctly identified the P-wave and S-wave responses and provided for a
significant improvement in the signal to noise ratio.

There are faster and more distinct response characteristics of state x2(k) for the events il-
lustrated in Figure 7(a) compared to the previously outlined Ricker wavelets. This is due
to the fact that the wavelets shown in Figure 7(b) are minimum-phase and mixed-phase as
opposed to the zero-phase Ricker wavelet. Figure 7(c) illustrates the reconstructed responses
(ŷk × x2(k) ) after processing the data shown in Figure 7(a). The estimated P-wave anomaly
had a dominant frequency response of 167 Hz. It was difficult to determine the dominant
frequency of the S-wave due to the fact that there was only 1/3 period response for the
S-wave.

Figure 8(a) illustrates a time series where it is very difficult to identify the P-wavelet visually,
let alone automatically. The Gauss-Markov noise parameters σ 2 and Tc were determined to
be 5 m2 /s2 and 5.0 ms, respectively. Figure 8(b) illustrates the RBED algorithm’s estimates
of the seismic amplitude anomaly (state x2(k) ) within the trace presented in Figure 8(a).
As is shown in Figure 8(b), the RBED filter correctly identified the P-wave response and
provided for a significant improvement in the signal to noise ratio. In addition, the P-wave
dominant frequency was determined to be 125 Hz.

After reviewing extentsive sets of passive seismic data, it is believed by the authors that a
more sophisticated noise model such as a periodic Gauss-Markov process may provide for
even better RBED filter results. The autocorrelation function of a periodic Gauss-Markov
is given as (Gelb, 1978)

ϕx1 x1 (τ ) = σ 2 e−β|τ | cos ω|τ | (49)

7 – Rao-Blackwellised event detection 155

The following differential equations obey this autocorrelation function

ẋ1 = x2 + w (50)

ẋ2 = −α2 x1 − 2βx2 + (α − 2β)w (51)

where

α = (β 2 + ω 2 )1/2 (52)

The spectral density of the white noise w is 2βσ 2 δ(τ ).

5 Conclusions

In microseismic monitoring programs it is important to have reliable event triggering and

source parameter characterization. Poorly defined passive microseismic triggering algorithms
tend to acquire substantial amounts of data which demand extensive post-processing ma-
nipulation; they also increase the work and reduce the efficiency of the personnel operating
the systems. Since the monitoring of seismic acoustic emissions is a continuous, real-time
process which can have nonlinear mathematical representations, it is important that the
algorithms utilized for the identification of seismic events can handle the nonlinearities and
are also formulated for real time implementation.

This paper presented a Bayesian recursive estimation algorithm which utilized a Rao-Blackwellised
formulation for passive seismic event detection. The RBED algorithm is a hybrid Kalman
and grid-based particle filter formulation. The RBED filter fits the passive seismic event
detection governing equations into a linear and nonlinear state-space representation. The
state system equations are defined to be linear (Kalman filter), while the measurement equa-
tion is nonlinear and a grid-based particle filter is implemented to address this nonlinearity.
The RBED filter modelled the background noise as a Gauss-Markov process and the seismic
wavelet as a periodic process with a Gauss-Markov amplitude response.
156

Both simulated signals and seismic data acquired from passive microseismic installations
in Northern Alberta were analysed and the results evaluated in terms of the improvement
in signal to noise ratio and the ability to identify and quantify frequency anomalies within
the ambient noise. The results are very encouraging; there is a substantial improvement in
signal to noise ratio after implementation of the RBED Filter. In addition, the dominant
frequency anomalies were identified and quantified in real-time.

It is believed by the authors that there is still significant room for improvement in estimating
and quantifying the amplitude and frequency anomalies in real-time. For example, the
ambient noise model could be approximated by a periodic Gauss-Markov process. It is also
believed by the authors that the RBED algorithm has tremendous potential in providing
real-time amplitude-frequency-time estimation for a variety of applications and ambient
noise models.

References

Arulampalam, M.S., Maskell, S., and Clapp, T. (2002), A Tutorial on Particle Filters for
Online Nonlinear/Non-Gaussian Bayesian Tracking, IEEE Transactions on Signal Process-
ing, V. 50, No. 2, 174-188.

Baziw, E.J., and Weir-Jones, I. (2002), Application of Kalman Filtering Techniques for Mi-
croseismic Event Detection, Pure Appl. Geophys. 159, 449-473.

Baziw, E.J., Nedilko, B, and Weir-Jones, I (2004), Microseismic Event Detection Kalman
Filter: Derivation of the Noise Covariance Matrix and Automated First Break Determina-
tion for Accurate Source Location Estimation, Pure Appl. Geophys. 161, 303-329.

Baziw, E.J. (1994), Dead Reckoning/Target Tracking in an ECDIS Environment, In Pro-

ceedings of the Institute of Navigation’s National Technical Meeting, San Diego, Calif., 24-26
January 1994. Institute of Navigation. pp. 747-756.

Doucet, A., Gordon, N.J., and Krishnamurthy, V. (2003), Particle Filters for State Estima-
tion of Jump Markov Linear Systems, IEEE Transactions on Signal Processing, Vol. 49, No.
7 – Rao-Blackwellised event detection 157

3, 613-624.

Ge, M., and Kaiser, P. K. (1992), Interpretation of Physical Status of Arrival Picks for Mi-
croseismic Source Location, Bul. Seism. Soc. Am. 80, 1643-1660.

Gelb, A., Applied Optimal Estimation, (4th Edition, MIT Press, Cambridge, Mass. 1978).

Gibowicz, S.J.,and Kijko, A., An Introduction to Mining Seismology, (Academic Press, 1994).

Gustafsson F., Gunnarsson F., Bergman N., Forssell U., Jansson J., Karlsson R., and Nord-
lund P. (2002), Particle filters for positioning, navigation, and tracking, IEEE Transactions
on Signal Processing, vol. 50, 425- 435.

Lear, W.M. (1985), Kalman Filtering Techniques, ( National Aeronautics and Space Admin-
istration Publication, Mission Planning and Analysis Division, No. JSC-20688 1985), pp.
172-176, 321-335.

Mhlich, M. (2003), Particle Filters a tutorial, Bucure ti Filter-Workshop, Institut fr Ange-

wandte Physik, J.W. Goethe-Universitt Frankfurt.

Nando de Freitas. (2002), Rao-Blackwellised Particle Filtering for Fault Diagnosis, IEEE
Aerospace.

Papoulis, A., Probability, Random Variables, and Stochastic Process, (1st Edition, McGraw-
Hill, New York, 1965), pp. 233-238.

Sheriff, RE..,and Geldart, L.P., Exploration Seismology Volume 1 (2nd Edition, Cambridge
University Press, Cambridge, UK. 1982), 126.

Talebi, S., and Boone, T.J. (1998), Source Parameters of Injection-induced Microseismicity,
Pure Appl. Geophys. 153, 113-130.
 158

Talebi, S., Nechtschein, S., and Boone, T.J. (1998), Seismicity and Casing Failures Due to
Steam Stimulation in Oil Sands, Pure Appl. Geophys. 153, 219-233.

120

100

80

60

40

20

-20

-40

-60

0 10 20 30 40 50 60 70 80 90 100 110 120 130 140 150 160 170 180 190 200

Time (msec)

Figure 1: Simulating P and S wavelets by implementing eq. (48).

 7 – Rao-Blackwellised event detection 159

20 30 40 50 60 70 80 90 100 110 120 130 140 150 160 170 180 190 200

Time [ms]

Figure 2: Superposition of wavelets illustrated in Figure 1 with varying Gauss-Markov back-

ground noise.
 160

20 30 40 50 60 70 80 90 100 110 120 130 140 150 160 170 180 190 200

Time [ms]

Figure 3: RBED output results after processing the simulated data shown in Figure 2. The
seismic amplitudes (x2(k) ) illustrated show excellent signal to noise ratio for the P-wave and
S-wave events.
 7 – Rao-Blackwellised event detection 161

20 30 40 50 60 70 80 90 100 110 120 130 140 150 160 170 180 190 200

Time [ms]

Figure 4: RBED output results for the reconstructed wavelet (ŷk × x2(k) ) after processing the
simulated data shown in Figure 2.
162

0.5

-0.5

-1

40 50 60 70 80 90 100 110 120 130 140 150 160

Time [ms]

Figure 5: Illustration of the real-time calculation of the frequencies anomalies from the peak
to peak period for ŷk where the ratio of the state x2(k) exceeded the long term average by a
user specified amount.

Figure 6: Typical steam injection mechanism in Northern Alberta.

 7 – Rao-Blackwellised event detection 163

S-wave

(a)

P-wave

(b)

(c)

0 100 200 300 400 500 600 700 800 900 1,000 1,100 1,200

Time [ms]

Figure 7: Input seismic trace (a), RBED filter estimates for the seismic wavelet anomalies
(x2(k) ) (b), and RBED results for the reconstructed waveforms (ŷk × x2(k) ) (c).
 164

(a)

P-wave

(b)

0 100 200 300 400 500 600 700 800 900 1,000 1,100 1,200

Time [ms]

Figure 8: Input seismic trace (a), and RBED filter P-wave arrival time estimation results
(x2(k) ) (b).