Moment asymptotic stability of stochastic hybrid delay systems

in this paper we investigate the moment asymptotic stability for the nonlinear stochastic hybrid delay systems. Sufficient criteria on the stabilization and robust stability are also established for linear stochastic hybrid delay systems. Copyright © 2005 IFAC.

Asymptotic stability for time-variant systems and observability: Uniform and nonuniform criteria

This paper presents some new criteria for uniform and nonuniform asymptotic stability of equilibria for time-variant differential equations and this within a Lyapunov approach. The stability criteria are formulated in terms of certain observability conditions with the output derived from the Lyapunov function. For some classes of systems, this system theoretic interpretation proves to be fruitful since - after establishing the invariance of observability under output injection - this enables us to check the stability criteria on a simpler system. This procedure is illustrated for some classical examples.

A derivation of the asymptotic random-coding prefactor

This paper studies the subexponential prefactor to the random-coding bound for a given rate. Using a refinement of Gallager's bounding techniques, an alternative proof of a recent result by Altuǧ and Wagner is given, and the result is extended to the setting of mismatched decoding. © 2013 IEEE.

On applications of high-frequency asymptotics in aeroacoustics.

The aim of this paper is to survey a range of applications of high-frequency asymptotic methods in aeroacoustics. Specifically, we are concerned with problems associated with noise generation, propagation and scattering as found in large modern aeroengines. With regard to noise generation, we consider the interaction between high-frequency vortical waves and thin aerofoils, with particular emphasis being placed on the way in which the vortical waves act on the non-uniform mean flow around the aerofoil. A ray-theoretic description of the resulting sound as it propagates along the engine intake is then presented, followed by consideration of the diffraction of these rays by the (possibly asymmetric) intake lip to produce sound in the far field. A range of more detailed possible extensions is also presented.

Influence of insoluble surfactant on the deformation and breakup of a bubble or thread in a viscous fluid

The influence of surfactant on the breakup of a prestretched bubble in a quiescent viscous surrounding is studied by a combination of direct numerical simulation and the solution of a long-wave asymptotic model. The direct numerical simulations describe the evolution toward breakup of an inviscid bubble, while the effects of small but non-zero interior viscosity are readily included in the long-wave model for a fluid thread in the Stokes flow limit. The direct numerical simulations use a specific but realizable and representative initial bubble shape to compare the evolution toward breakup of a clean or surfactant-free bubble and a bubble that is coated with insoluble surfactant. A distinguishing feature of the evolution in the presence of surfactant is the interruption of bubble breakup by formation of a slender quasi-steady thread of the interior fluid. This forms because the decrease in surface area causes a decrease in the surface tension and capillary pressure, until at a small but non-zero radius, equilibrium occurs between the capillary pressure and interior fluid pressure. The long-wave asymptotic model, for a thread with periodic boundary conditions, explains the principal mechanism of the slender thread's formation and confirms, for example, the relatively minor role played by the Marangoni stress. The large-time evolution of the slender thread and the precise location of its breakup are, however, influenced by effects such as the Marangoni stress and surface diffusion of surfactant. © 2008 Cambridge University Press.

Sound transmission in strongly-curved slowly-varying cylindrical and annular lined ducts with flow

In this paper we consider the propagation of acoustic waves along a curved hollow or annular duct with lined walls. The curvature of the duct centreline and the wall radii vary slowly along the duct, allowing application of an asymptotic multiple scales analysis. This generalises Rienstra's analysis of a straight duct of varying cross-sectional radius. The result of the analysis is that the modal wavenumbers and mode shapes are determined locally as modes of a torus with the same local curvature, while the amplitude of the modes evolves as the mode propagates along the duct. The duct modes are found numerically at each axial location using a pseudo-spectral method. Unlike the case of a straight duct, there is a fundamental asymmetry between upstream and downstream propagating modes, with some mode shapes tending to be concentrated on either the inside or outside of the bend depending on the direction of propagation. The interaction between the presence of wall lining and curvature is investigated in particular; for instance, in a representative case it is found that the curvature causes the first few acoustic modes to be more heavily damped by the duct boundary than would be expected for a straight duct. Analytical progress can be made in the limit of very high mode order, in which case well-known 'whispering gallery' modes, localised close to the wall, can be identified.

Analytically-based approach to rotor-stator interaction noise in mean swirling flow

A method for modelling and predicting the noise generated by the interaction between the unsteady wake shed from the rotor and a downstream row of stators in a modern ultra-high bypass ducted turbofan engine is described. An analytically-based model is developed to account for three main features of the problem. First, the way in which a typical unsteady wake disturbance from the rotor interacts and is distorted by the mean swirling flow as it propagates downstream. The analysis allows for the inclusion of mean entropy gradients and entropy perturbations. Second, the effects of real stator-blade geometry and proper representation of the genuinely three-dimensional nature of the problem. Third, to model the propagation of the resulting noise back upstream in mean swirling flow. The analytical nature of the problem allows for the inclusion of all wake harmonics and enables the response at all blade passing frequencies to be determined. Example results are presented for an initial wake distribution corresponding to a genuine rotor configuration. Comparisons between numerical data and the asymptotic model for the wake evolution are made. Copyright © 2004 by the American Institute of Aeronautics and Astronautics, Inc. All rights reserved.

Uniform stability of a particle approximation of the optimal filter derivative

Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity, or derivative, of the optimal filter with respect to the static parameters of the state-space model; for instance, in order to obtain maximum likelihood model parameters of interest, or to compute the optimal controller in an optimal control problem. In Poyiadjis et al. [2011] an original particle algorithm to compute the filter derivative was proposed and it was shown using numerical examples that the particle estimate was numerically stable in the sense that it did not deteriorate over time. In this paper we substantiate this claim with a detailed theoretical study. Lp bounds and a central limit theorem for this particle approximation of the filter derivative are presented. It is further shown that under mixing conditions these Lp bounds and the asymptotic variance characterized by the central limit theorem are uniformly bounded with respect to the time index. We demon- strate the performance predicted by theory with several numerical examples. We also use the particle approximation of the filter derivative to perform online maximum likelihood parameter estimation for a stochastic volatility model.

Parameter Estimation for Hidden Markov Models with Intractable Likelihoods

Approximate Bayesian computation (ABC) is a popular technique for analysing data for complex models where the likelihood function is intractable. It involves using simulation from the model to approximate the likelihood, with this approximate likelihood then being used to construct an approximate posterior. In this paper, we consider methods that estimate the parameters by maximizing the approximate likelihood used in ABC. We give a theoretical analysis of the asymptotic properties of the resulting estimator. In particular, we derive results analogous to those of consistency and asymptotic normality for standard maximum likelihood estimation. We also discuss how sequential Monte Carlo methods provide a natural method for implementing our likelihood-based ABC procedures.

Forward Smoothing Using Sequential Monte Carlo

Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively. Essentially, it is an on-line or "forward only" implementation of a forward filtering backward smoothing SMC algorithm proposed by Doucet, Godsill and Andrieu (2000). Compared to the standard \emph{path space} SMC estimator whose asymptotic variance increases quadratically with time even under favorable mixing assumptions, the non asymptotic variance of the proposed SMC estimator only increases linearly with time. We show how this allows us to perform recursive parameter estimation using an SMC implementation of an on-line version of the Expectation-Maximization algorithm which does not suffer from the particle path degeneracy problem.

Multimode radiation from an unflanged, semi-infinite circular duct with uniform flow.

Multimode sound radiation from an unflanged, semi-infinite, rigid-walled circular duct with uniform subsonic mean flow everywhere is investigated theoretically. The multimode directivity depends on the amplitude and directivity function of each individual cut-on mode. The amplitude of each mode is expressed as a function of cut-on ratio for a uniform distribution of incoherent monopoles, a uniform distribution of incoherent axial dipoles, and for equal power per mode. The directivity function of each mode is obtained by applying a Lorentz transformation to the zero-flow directivity function, which is given by a Wiener-Hopf solution. This exact numerical result is compared to an analytic solution, valid in the high-frequency limit, for multimode directivity with uniform flow. The high-frequency asymptotic solution is derived assuming total transmission of power at the open end of the duct, and gives the multimode directivity function with flow in the forward arc for a general family of mode amplitude distribution functions. At high frequencies the agreement between the exact and asymptotic solutions is shown to be excellent.

Finite element solution of Navier Stokes equations adapted to a priori error estimates

The paper is based on qualitative properties of the solution of the Navier-Stokes equations for incompressible fluid, and on properties of their finite element solution. In problems with corner-like singularities (e.g. on the well-known L-shaped domain) usually some adaptive strategy is used. In this paper we present an alternative approach. For flow problems on domains with corner singularities we use the a priori error estimates and asymptotic expansion of the solution to derive an algorithm for refining the mesh near the corner. It gives very precise solution in a cheap way. We present some numerical results.

Eigenmodes of lined flow ducts with rigid splices

This paper presents an analytic expression for the acoustic eigenmodes of a cylindrical lined duct with rigid axially running splices in the presence of flow. The cylindrical duct is considered to be uniformly lined except for two symmetrically positioned axially running rigid liner splices. An exact analytic expression for the acoustic pressure eigenmodes is given in terms of an azimuthal Fourier sum, with the Fourier coefficients given by a recurrence relation. Since this expression is derived using a Greens function method, the completeness of the expansion is guaranteed. A numerical procedure is described for solving this recurrence relation, which is found to converge exponentially with respect to number of Fourier terms used and is in practice quick to compute; this is then used to give several numerical examples for both uniform and sheared mean flow. An asymptotic expression is derived to directly calculate the pressure eigenmodes for thin splices. This asymptotic expression is shown to be quantitatively accurate for ducts with very thin splices of less than 1 % unlined area and qualitatively helpful for thicker splices of the order of 6 % unlined area. A thin splice is in some cases shown to increase the damping of certain acoustic modes. The influences of thin splices and thin boundary layers are compared and found to be of comparable magnitude for the parameters considered. Trapped modes at the splices are also identified and investigated. © 2011 Cambridge University Press.

FIRST PASSAGE APPROXIMATION FOR NORMAL STATIONARY RANDOM PROCESSES.

A new approximate solution for the first passage probability of a stationary Gaussian random process is presented which is based on the estimation of the mean clump size. A simple expression for the mean clump size is derived in terms of the cumulative normal distribution function, which avoids the lengthy numerical integrations which are required by similar existing techniques. The method is applied to a linear oscillator and an ideal bandpass process and good agreement with published results is obtained. By making a slight modification to an existing analysis it is shown that a widely used empirical result for the asymptotic form of the first passage probability can be deduced theoretically.