Parameter Estimation in Chaotic Systems

This report examines how to estimate the parameters of a chaotic system given noisy observations of the state behavior of the system. Investigating parameter estimation for chaotic systems is interesting because of possible applications for high-precision measurement and for use in other signal processing, communication, and control applications involving chaotic systems. In this report, we examine theoretical issues regarding parameter estimation in chaotic systems and develop an efficient algorithm to perform parameter estimation. We discover two properties that are helpful for performing parameter estimation on non-structurally stable systems. First, it turns out that most data in a time series of state observations contribute very little information about the underlying parameters of a system, while a few sections of data may be extraordinarily sensitive to parameter changes. Second, for one-parameter families of systems, we demonstrate that there is often a preferred direction in parameter space governing how easily trajectories of one system can "shadow'" trajectories of nearby systems. This asymmetry of shadowing behavior in parameter space is proved for certain families of maps of the interval. Numerical evidence indicates that similar results may be true for a wide variety of other systems. Using the two properties cited above, we devise an algorithm for performing parameter estimation. Standard parameter estimation techniques such as the extended Kalman filter perform poorly on chaotic systems because of divergence problems. The proposed algorithm achieves accuracies several orders of magnitude better than the Kalman filter and has good convergence properties for large data sets.

Selecting Relevant Genes with a Spectral Approach

Array technologies have made it possible to record simultaneously the expression pattern of thousands of genes. A fundamental problem in the analysis of gene expression data is the identification of highly relevant genes that either discriminate between phenotypic labels or are important with respect to the cellular process studied in the experiment: for example cell cycle or heat shock in yeast experiments, chemical or genetic perturbations of mammalian cell lines, and genes involved in class discovery for human tumors. In this paper we focus on the task of unsupervised gene selection. The problem of selecting a small subset of genes is particularly challenging as the datasets involved are typically characterized by a very small sample size ?? the order of few tens of tissue samples ??d by a very large feature space as the number of genes tend to be in the high thousands. We propose a model independent approach which scores candidate gene selections using spectral properties of the candidate affinity matrix. The algorithm is very straightforward to implement yet contains a number of remarkable properties which guarantee consistent sparse selections. To illustrate the value of our approach we applied our algorithm on five different datasets. The first consists of time course data from four well studied Hematopoietic cell lines (HL-60, Jurkat, NB4, and U937). The other four datasets include three well studied treatment outcomes (large cell lymphoma, childhood medulloblastomas, breast tumors) and one unpublished dataset (lymph status). We compared our approach both with other unsupervised methods (SOM,PCA,GS) and with supervised methods (SNR,RMB,RFE). The results clearly show that our approach considerably outperforms all the other unsupervised approaches in our study, is competitive with supervised methods and in some case even outperforms supervised approaches.

Certified Rapid Solution of Parametrized Linear Elliptic Equations: Application to Parameter Estimation

We present a technique for the rapid and reliable evaluation of linear-functional output of elliptic partial differential equations with affine parameter dependence. The essential components are (i) rapidly uniformly convergent reduced-basis approximations — Galerkin projection onto a space WN spanned by solutions of the governing partial differential equation at N (optimally) selected points in parameter space; (ii) a posteriori error estimation — relaxations of the residual equation that provide inexpensive yet sharp and rigorous bounds for the error in the outputs; and (iii) offline/online computational procedures — stratagems that exploit affine parameter dependence to de-couple the generation and projection stages of the approximation process. The operation count for the online stage — in which, given a new parameter value, we calculate the output and associated error bound — depends only on N (typically small) and the parametric complexity of the problem. The method is thus ideally suited to the many-query and real-time contexts. In this paper, based on the technique we develop a robust inverse computational method for very fast solution of inverse problems characterized by parametrized partial differential equations. The essential ideas are in three-fold: first, we apply the technique to the forward problem for the rapid certified evaluation of PDE input-output relations and associated rigorous error bounds; second, we incorporate the reduced-basis approximation and error bounds into the inverse problem formulation; and third, rather than regularize the goodness-of-fit objective, we may instead identify all (or almost all, in the probabilistic sense) system configurations consistent with the available experimental data — well-posedness is reflected in a bounded "possibility region" that furthermore shrinks as the experimental error is decreased.