Distributed maximum likelihood for self-localization in sensor networks

We show that the sensor localization problem can be cast as a static parameter estimation problem for Hidden Markov Models and we develop fully decentralized versions of the Recursive Maximum Likelihood and the Expectation-Maximization algorithms to localize the network. For linear Gaussian models, our algorithms can be implemented exactly using a distributed version of the Kalman filter and a message passing algorithm to propagate the derivatives of the likelihood. In the non-linear case, a solution based on local linearization in the spirit of the Extended Kalman Filter is proposed. In numerical examples we show that the developed algorithms are able to learn the localization parameters well.

Distributed maximum likelihood for simultaneous self-localization and tracking in sensor networks

We show that the sensor self-localization problem can be cast as a static parameter estimation problem for Hidden Markov Models and we implement fully decentralized versions of the Recursive Maximum Likelihood and on-line Expectation-Maximization algorithms to localize the sensor network simultaneously with target tracking. For linear Gaussian models, our algorithms can be implemented exactly using a distributed version of the Kalman filter and a novel message passing algorithm. The latter allows each node to compute the local derivatives of the likelihood or the sufficient statistics needed for Expectation-Maximization. In the non-linear case, a solution based on local linearization in the spirit of the Extended Kalman Filter is proposed. In numerical examples we demonstrate that the developed algorithms are able to learn the localization parameters. © 2012 IEEE.

Fixed-lag blind equalization and sequence estimation in digital communications systems using sequential importance sampling

We present methods for fixed-lag smoothing using Sequential Importance sampling (SIS) on a discrete non-linear, non-Gaussian state space system with unknown parameters. Our particular application is in the field of digital communication systems. Each input data point is taken from a finite set of symbols. We represent transmission media as a fixed filter with a finite impulse response (FIR), hence a discrete state-space system is formed. Conventional Markov chain Monte Carlo (MCMC) techniques such as the Gibbs sampler are unsuitable for this task because they can only perform processing on a batch of data. Data arrives sequentially, so it would seem sensible to process it in this way. In addition, many communication systems are interactive, so there is a maximum level of latency that can be tolerated before a symbol is decoded. We will demonstrate this method by simulation and compare its performance to existing techniques.

Sequential Monte Carlo computation of the score and observed information matrix in state-space models with application to parameter estimation

Sequential Monte Carlo (SMC) methods are popular computational tools for Bayesian inference in non-linear non-Gaussian state-space models. For this class of models, we propose SMC algorithms to compute the score vector and observed information matrix recursively in time. We propose two different SMC implementations, one with computational complexity $\mathcal{O}(N)$ and the other with complexity $\mathcal{O}(N^{2})$ where $N$ is the number of importance sampling draws. Although cheaper, the performance of the $\mathcal{O}(N)$ method degrades quickly in time as it inherently relies on the SMC approximation of a sequence of probability distributions whose dimension is increasing linearly with time. In particular, even under strong \textit{mixing} assumptions, the variance of the estimates computed with the $\mathcal{O}(N)$ method increases at least quadratically in time. The $\mathcal{O}(N^{2})$ is a non-standard SMC implementation that does not suffer from this rapid degrade. We then show how both methods can be used to perform batch and recursive parameter estimation.

Evaluating the impacts of iteration on PD processes by transforming task network models into System Dynamics models

Iteration is unavoidable in the design process and should be incorporated when planning and managing projects in order to minimize surprises and reduce schedule distortions. However, planning and managing iteration is challenging because the relationships between its causes and effects are complex. Most approaches which use mathematical models to analyze the impact of iteration on the design process focus on a relatively small number of its causes and effects. Therefore, insights derived from these analytical models may not be robust under a broader consideration of potential influencing factors. In this article, we synthesize an explanatory framework which describes the network of causes and effects of iteration identified from the literature, and introduce an analytic approach which combines a task network modeling approach with System Dynamics simulation. Our approach models the network of causes and effects of iteration alongside the process architecture which is required to analyze the impact of iteration on design process performance. We show how this allows managers to assess the impact of changes to process architecture and to management levers which influence iterative behavior, accounting for the fact that these changes can occur simultaneously and can accumulate in non-linear ways. We also discuss how the insights resulting from this analysis can be visualized for easier consumption by project participants not familiar with simulation methods. Copyright © 2010 by ASME.

Monte Carlo filtering and smoothing with application to time-varying spectral estimation

We develop methods for performing filtering and smoothing in non-linear non-Gaussian dynamical models. The methods rely on a particle cloud representation of the filtering distribution which evolves through time using importance sampling and resampling ideas. In particular, novel techniques are presented for generation of random realisations from the joint smoothing distribution and for MAP estimation of the state sequence. Realisations of the smoothing distribution are generated in a forward-backward procedure, while the MAP estimation procedure can be performed in a single forward pass of the Viterbi algorithm applied to a discretised version of the state space. An application to spectral estimation for time-varying autoregressions is described.

Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

Nucleated polymerization with secondary pathways. I. Time evolution of the principal moments.

Self-assembly processes resulting in linear structures are often observed in molecular biology, and include the formation of functional filaments such as actin and tubulin, as well as generally dysfunctional ones such as amyloid aggregates. Although the basic kinetic equations describing these phenomena are well-established, it has proved to be challenging, due to their non-linear nature, to derive solutions to these equations except for special cases. The availability of general analytical solutions provides a route for determining the rates of molecular level processes from the analysis of macroscopic experimental measurements of the growth kinetics, in addition to the phenomenological parameters, such as lag times and maximal growth rates that are already obtainable from standard fitting procedures. We describe here an analytical approach based on fixed-point analysis, which provides self-consistent solutions for the growth of filamentous structures that can, in addition to elongation, undergo internal fracturing and monomer-dependent nucleation as mechanisms for generating new free ends acting as growth sites. Our results generalise the analytical expression for sigmoidal growth kinetics from the Oosawa theory for nucleated polymerisation to the case of fragmenting filaments. We determine the corresponding growth laws in closed form and derive from first principles a number of relationships which have been empirically established for the kinetics of the self-assembly of amyloid fibrils.

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.

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.

A backward particle interpretation of Feynman-Kac formulae

We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals "on-the-fly" as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We provide uniform convergence results with respect to the time horizon parameter as well as functional central limit theorems and exponential concentration estimates. Our results have important consequences for online parameter estimation for non-linear non-Gaussian state-space models. We show how the forward filtering backward smoothing estimates of additive functionals can be computed using a forward only recursion.

Optimal control predicts human performance on objects with internal degrees of freedom.

On a daily basis, humans interact with a vast range of objects and tools. A class of tasks, which can pose a serious challenge to our motor skills, are those that involve manipulating objects with internal degrees of freedom, such as when folding laundry or using a lasso. Here, we use the framework of optimal feedback control to make predictions of how humans should interact with such objects. We confirm the predictions experimentally in a two-dimensional object manipulation task, in which subjects learned to control six different objects with complex dynamics. We show that the non-intuitive behavior observed when controlling objects with internal degrees of freedom can be accounted for by a simple cost function representing a trade-off between effort and accuracy. In addition to using a simple linear, point-mass optimal control model, we also used an optimal control model, which considers the non-linear dynamics of the human arm. We find that the more realistic optimal control model captures aspects of the data that cannot be accounted for by the linear model or other previous theories of motor control. The results suggest that our everyday interactions with objects can be understood by optimality principles and advocate the use of more realistic optimal control models for the study of human motor neuroscience.

The elastic-plastic indentation response of a columnar thermal barrier coating

Thermal barrier coatings with a columnar microstructure are prone to erosion damage by a mechanism of surface cracking upon impact by small foreign particles. In order to explore this erosion mechanism, the elastic indentation and the elastic-plastic indentation responses of a columnar thermal barrier coating to a spherical indenter were determined by the finite element method and by analytical models. It was shown that the indentation response is intermediate between that of a homogeneous half-space and that given by an elastic-plastic mattress model (with the columns behaving as independent non-linear springs). The sensitivity of the indentation behaviour to geometry and to the material parameters was explored: the diameter of the columns, the gap width between columns, the coefficient of Coulomb friction between columns and the layer height of the thermal barrier coating. The calculations revealed that the level of induced tensile stress is sufficient to lead to cracking of the columns at a depth of about the column radius. It was also demonstrated that the underlying soft bond coat can undergo plastic indentation when the coating comprises parallel columns, but this is less likely for the more realistic case of a random arrangement of tapered columns. © 2009 Elsevier B.V.

Modelling non-linearities in a MEMS square wave oscillator

The modelling of the non-linear behaviour of MEMS oscillators is of interest to understand the effects of non-linearities on start-up, limit cycle behaviour and performance metrics such as output frequency and phase noise. This paper proposes an approach to integrate the non-linear modelling of the resonator, transducer and sustaining amplifier in a single numerical modelling environment so that their combined effects may be investigated simultaneously. The paper validates the proposed electrical model of the resonator through open-loop frequency response measurements on an electrically addressed flexural silicon MEMS resonator driven to large motional amplitudes. A square wave oscillator is constructed by embedding the same resonator as the primary frequency determining element. Measurements of output power and output frequency of the square wave oscillator as a function of resonator bias and driving voltage are consistent with model predictions ensuring that the model captures the essential non-linear behaviour of the resonator and the sustaining amplifier in a single mathematical equation. © 2012 IEEE.

Shock propagation and MPT noise from a transonic rotor in non-uniform flow

One of the major challenges in hig4h-speed fan stages used in compact, embedded propulsion systems is inlet distortion noise. A body-force-based approach for the prediction of multiple-pure-tone (MPT) noise was previously introduced and validated. In this paper, it is employed with the objective of quantifying the effects of non-uniform flow on the generation and propagation of MPT noise. First-of-their-kind back-to-back coupled aero-acoustic computations were carried out using the new approach for conventional and serpentine inlets. Both inlets delivered flow to the same NASA/GE R4 fan rotor at equal corrected mass flow rates. Although the source strength at the fan is increased by 45 dB in sound power level due to the non-uniform inflow, farfield noise for the serpentine inlet duct is increased on average by only 3.1 dBA overall sound pressure level in the forward arc. This is due to the redistribution of acoustic energy to frequencies below 11 times the shaft frequency and the apparent cut-off of tones at higher frequencies including blade-passing tones. The circumferential extent of the inlet swirl distortion at the fan was found to be 2 blade pitches, or 1/11th of the circumference, suggesting a relationship between the circumferential extent of the inlet distortion and the apparent cut-off frequency perceived in the far field. A first-principles-based model of the generation of shock waves from a transonic rotor in non-uniform flow showed that the effects of non-uniform flow on acoustic wave propagation, which cannot be captured by the simplified model, are more dominant than those of inlet flow distortion on source noise. It demonstrated that non-linear, coupled aerodynamic and aeroacoustic computations, such as those presented in this paper, are necessary to assess the propagation through non-uniform mean flow. A parametric study of serpentine inlet designs is underway to quantify these propagation effects. Copyright © 2011 by ASME.