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.

Eccentricity effects on acoustic radiation from a spherical source suspended within a thermoviscous fluid sphere.

Acoustic radiation from a spherical source undergoing angularly periodic axisymmetric harmonic surface vibrations while eccentrically suspended within a thermoviscous fluid sphere, which is immersed in a viscous thermally conducting unbounded fluid medium, is analyzed in an exact fashion. The formulation uses the appropriate wave-harmonic field expansions along with the translational addition theorem for spherical wave functions and the relevant boundary conditions to develop a closed-form solution in form of infinite series. The analytical results are illustrated with a numerical example in which the vibrating source is eccentrically positioned within a chemical fluid sphere submerged in water. The modal acoustic radiation impedance load on the source and the radiated far-field pressure are evaluated and discussed for representative values of the parameters characterizing the system. The proposed model can lead to a better understanding of dynamic response of an underwater acoustic lens. It is equally applicable in miniature transducer analysis and design with applications in medical ultrasonics.

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.

Global state synchronization in networks of cyclic feedback systems

This technical note studies global asymptotic state synchronization in networks of identical systems. Conditions on the coupling strength required for the synchronization of nodes having a cyclic feedback structure are deduced using incremental dissipativity theory. The method takes advantage of the incremental passivity properties of the constituent subsystems of the network nodes to reformulate the synchronization problem as one of achieving incremental passivity by coupling. The method can be used in the framework of contraction theory to constructively build a contracting metric for the incremental system. The result is illustrated for a network of biochemical oscillators. © 2011 IEEE.

An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

An Online Expectation-Maximization Algorithm for Changepoint Models

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online Expectation-Maximization (EM) algorithm for estimating the static parameters of such models. The SMC online EM algorithm has a cost per time which is linear in the number of particles and could be particularly important when the data is representable as a long sequence of observations, since it drastically reduces the computational requirements for implementation. We present an asymptotic analysis for the stability of the SMC estimates used in the online EM algorithm and demonstrate the performance of this scheme using both simulated and real data originating from DNA analysis.

Impact of heterogeneous link qualities and network connectivity on binary consensus

In this paper we consider a network that is trying to reach consensus over the occurrence of an event while communicating over Additive White Gaussian Noise (AWGN) channels. We characterize the impact of different link qualities and network connectivity on consensus performance by analyzing both the asymptotic and transient behaviors. More specifically, we derive a tight approximation for the second largest eigenvalue of the probability transition matrix. We furthermore characterize the dynamics of each individual node. © 2009 AACC.

Progress towards the design and numerical analysis of a 3D microchannel biochip separator

This paper reports the design and numerical analysis of a three-dimensional biochip plasma blood separator using computational fluid dynamics techniques. Based on the initial configuration of a two-dimensional (2D) separator, five three-dimensional (3D) microchannel biochip designs are categorically developed through axial and plenary symmetrical expansions. These include the geometric variations of three types of the branch side channels (circular, rectangular, disc) and two types of the main channel (solid and concentric). Ignoring the initial transient behaviour and assuming that steady-state flow has been established, the behaviour of the blood fluid in the devices is algebraically analysed and numerically modelled. The roles of the relevant microchannel mechanisms, i.e. bifurcation, constriction and bending channel, on promoting the separation process are analysed based on modelling results. The differences among the different 3D implementations are compared and discussed. The advantages of 3D over 2D separator in increasing separation volume and effectively depleting cell-free layer fluid from the whole cross section circumference are addressed and illustrated. © 2011 John Wiley & Sons, Ltd.

Effects of turbulent reynolds number on the performance of algebraic flame surface density models for large eddy simulation in the thin reaction zones regime: A direct numerical simulation analysis

A direct numerical simulation (DNS) database of freely propagating statistically planar turbulent premixed flames with a range of different turbulent Reynolds numbers has been used to assess the performance of algebraic flame surface density (FSD) models based on a fractal representation of the flame wrinkling factor. The turbulent Reynolds number Ret has been varied by modifying the Karlovitz number Ka and the Damköhler number Da independently of each other in such a way that the flames remain within the thin reaction zones regime. It has been found that the turbulent Reynolds number and the Karlovitz number both have a significant influence on the fractal dimension, which is found to increase with increasing Ret and Ka before reaching an asymptotic value for large values of Ret and Ka. A parameterisation of the fractal dimension is presented in which the effects of the Reynolds and the Karlovitz numbers are explicitly taken into account. By contrast, the inner cut-off scale normalised by the Zel'dovich flame thickness ηi/δz does not exhibit any significant dependence on Ret for the cases considered here. The performance of several algebraic FSD models has been assessed based on various criteria. Most of the algebraic models show a deterioration in performance with increasing the LES filter width. © 2012 Mohit Katragadda et al.

Classical plume theory: 1937-2010 and beyond

Developing a theoretical description of turbulent plumes, the likes of which may be seen rising above industrial chimneys, is a daunting thought. Plumes are ubiquitous on a wide range of scales in both the natural and the man-made environments. Examples that immediately come to mind are the vapour plumes above industrial smoke stacks or the ash plumes forming particle-laden clouds above an erupting volcano. However, plumes also occur where they are less visually apparent, such as the rising stream of warmair above a domestic radiator, of oil from a subsea blowout or, at a larger scale, of air above the so-called urban heat island. In many instances, not only the plume itself is of interest but also its influence on the environment as a whole through the process of entrainment. Zeldovich (1937, The asymptotic laws of freely-ascending convective flows. Zh. Eksp. Teor. Fiz., 7, 1463-1465 (in Russian)), Batchelor (1954, Heat convection and buoyancy effects in fluids. Q. J. R. Meteor. Soc., 80, 339-358) and Morton et al. (1956, Turbulent gravitational convection from maintained and instantaneous sources. Proc. R. Soc. Lond. A, 234, 1-23) laid the foundations for classical plume theory, a theoretical description that is elegant in its simplicity and yet encapsulates the complex turbulent engulfment of ambient fluid into the plume. Testament to the insight and approach developed in these early models of plumes is that the essential theory remains unchanged and is widely applied today. We describe the foundations of plume theory and link the theoretical developments with the measurements made in experiments necessary to close these models before discussing some recent developments in plume theory, including an approach which generalizes results obtained separately for the Boussinesq and the non-Boussinesq plume cases. The theory presented - despite its simplicity - has been very successful at describing and explaining the behaviour of plumes across the wide range of scales they are observed. We present solutions to the coupled set of ordinary differential equations (the plume conservation equations) that Morton et al. (1956) derived from the Navier-Stokes equations which govern fluid motion. In order to describe and contrast the bulk behaviour of rising plumes from general area sources, we present closed-form solutions to the plume conservation equations that were achieved by solving for the variation with height of Morton's non-dimensional flux parameter Γ - this single flux parameter gives a unique representation of the behaviour of steady plumes and enables a characterization of the different types of plume. We discuss advantages of solutions in this form before describing extensions to plume theory and suggesting directions for new research. © 2010 The Author. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.

Laminar and turbulent radial jets

In this paper the radial free jet which is produced by a continuous discharge of fluid from the space between two identical, parallel, circular, concentric discs into an infinite region of stagnant fluid of the same density and viscosity is investigated. Both laminar and turbulent jets are considered with analytical solutions being obtained near to the origin of the jet and at large distances along the jet. These asymptotic solutions are matched using a computational technique, and the numerical predictions show very good agreement with all the available experimental data.