An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard SMC methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed to perform static parameter estimation in general state-space models. We discuss the advantages and limitations of these methods. © 2009 IFAC.

Monte Carlo optimization strategies for air-traffic control

The safety of the flights, and in particular conflict resolution for separation assurance, is one of the main tasks of Air Traffic Control. Conflict resolution requires decision making in the face of the considerable levels of uncertainty inherent in the motion of aircraft. We present a Monte Carlo framework for conflict resolution which allows one to take into account such levels of uncertainty through the use of a stochastic simulator. A simulation example inspired by current air traffic control practice illustrates the proposed conflict resolution strategy. Copyright © 2005 by the American Institute of Aeronautics and Astronautics, Inc. All rights reserved.

Adaptive sequential Monte Carlo approach for real-time applications

This paper presents an adaptive Sequential Monte Carlo approach for real-time applications. Sequential Monte Carlo method is employed to estimate the states of dynamic systems using weighted particles. The proposed approach reduces the run-time computation complexity by adapting the size of the particle set. Multiple processing elements on FPGAs are dynamically allocated for improved energy efficiency without violating real-time constraints. A robot localisation application is developed based on the proposed approach. Compared to a non-adaptive implementation, the dynamic energy consumption is reduced by up to 70% without affecting the quality of solutions. © 2012 IEEE.

On the use of predictor-corrector method for coupled Monte Carlo burnup codes

This paper investigates the effect of the burnup coupling scheme on the numerical stability and accuracy of coupled Monte-Carlo depletion calculations. We show that in some cases, even the Predictor Corrector method with relatively short time steps can be numerically unstable. In addition, we present two possible extensions to the Euler predictor-corrector (PC) method, which is typically used in coupled burnup calculations. These modifications allow using longer time steps, while maintaining numerical stability and accuracy. © 2013 Elsevier Ltd. All rights reserved.

Numerical stability of the predictor-corrector method in Monte Carlo burnup calculations of critical reactors

Monte Carlo burnup codes use various schemes to solve the coupled criticality and burnup equations. Previous studies have shown that the simplest methods, such as the beginning-of-step and middle-of-step constant flux approximations, are numerically unstable in fuel cycle calculations of critical reactors. Here we show that even the predictor-corrector methods that are implemented in established Monte Carlo burnup codes can be numerically unstable in cycle calculations of large systems. © 2013 Elsevier Ltd. All rights reserved.

Coupled neutronic thermo-hydraulic analysis of full PWR core with Monte-Carlo based BGCore system

BGCore reactor analysis system was recently developed at Ben-Gurion University for calculating in-core fuel composition and spent fuel emissions following discharge. It couples the Monte Carlo transport code MCNP with an independently developed burnup and decay module SARAF. Most of the existing MCNP based depletion codes (e.g. MOCUP, Monteburns, MCODE) tally directly the one-group fluxes and reaction rates in order to prepare one-group cross sections necessary for the fuel depletion analysis. BGCore, on the other hand, uses a multi-group (MG) approach for generation of one group cross-sections. This coupling approach significantly reduces the code execution time without compromising the accuracy of the results. Substantial reduction in the BGCore code execution time allows consideration of problems with much higher degree of complexity, such as introduction of thermal hydraulic (TH) feedback into the calculation scheme. Recently, a simplified TH feedback module, THERMO, was developed and integrated into the BGCore system. To demonstrate the capabilities of the upgraded BGCore system, a coupled neutronic TH analysis of a full PWR core was performed. The BGCore results were compared with those of the state of the art 3D deterministic nodal diffusion code DYN3D (Grundmann et al.; 2000). Very good agreement in major core operational parameters including k-eff eigenvalue, axial and radial power profiles, and temperature distributions between the BGCore and DYN3D results was observed. This agreement confirms the consistency of the implementation of the TH feedback module. Although the upgraded BGCore system is capable of performing both, depletion and TH analyses, the calculations in this study were performed for the beginning of cycle state with pre-generated fuel compositions. © 2011 Published by Elsevier B.V.

Efficient generation of one-group cross sections for coupled Monte Carlo depletion calculations

Coupled Monte Carlo depletion systems provide a versatile and an accurate tool for analyzing advanced thermal and fast reactor designs for a variety of fuel compositions and geometries. The main drawback of Monte Carlo-based systems is a long calculation time imposing significant restrictions on the complexity and amount of design-oriented calculations. This paper presents an alternative approach to interfacing the Monte Carlo and depletion modules aimed at addressing this problem. The main idea is to calculate the one-group cross sections for all relevant isotopes required by the depletion module in a separate module external to Monte Carlo calculations. Thus, the Monte Carlo module will produce the criticality and neutron spectrum only, without tallying of the individual isotope reaction rates. The onegroup cross section for all isotopes will be generated in a separate module by collapsing a universal multigroup (MG) cross-section library using the Monte Carlo calculated flux. Here, the term "universal" means that a single MG cross-section set will be applicable for all reactor systems and is independent of reactor characteristics such as a neutron spectrum; fuel composition; and fuel cell, assembly, and core geometries. This approach was originally proposed by Haeck et al. and implemented in the ALEPH code. Implementation of the proposed approach to Monte Carlo burnup interfacing was carried out through the BGCORE system. One-group cross sections generated by the BGCORE system were compared with those tallied directly by the MCNP code. Analysis of this comparison was carried out and led to the conclusion that in order to achieve the accuracy required for a reliable core and fuel cycle analysis, accounting for the background cross section (σ0) in the unresolved resonance energy region is essential. An extension of the one-group cross-section generation model was implemented and tested by tabulating and interpolating by a simplified σ0 model. A significant improvement of the one-group cross-section accuracy was demonstrated.

The stochastic implicit Euler method - A stable coupling scheme for Monte Carlo burnup calculations

Existing Monte Carlo burnup codes use various schemes to solve the coupled criticality and burnup equations. Previous studies have shown that the coupling schemes of the existing Monte Carlo burnup codes can be numerically unstable. Here we develop the Stochastic Implicit Euler method - a stable and efficient new coupling scheme. The implicit solution is obtained by the stochastic approximation at each time step. Our test calculations demonstrate that the Stochastic Implicit Euler method can provide an accurate solution to problems where the methods in the existing Monte Carlo burnup codes fail. © 2013 Elsevier Ltd. All rights reserved.

Communication: energy benchmarking with quantum Monte Carlo for water nano-droplets and bulk liquid water.

We show the feasibility of using quantum Monte Carlo (QMC) to compute benchmark energies for configuration samples of thermal-equilibrium water clusters and the bulk liquid containing up to 64 molecules. Evidence that the accuracy of these benchmarks approaches that of basis-set converged coupled-cluster calculations is noted. We illustrate the usefulness of the benchmarks by using them to analyze the errors of the popular BLYP approximation of density functional theory (DFT). The results indicate the possibility of using QMC as a routine tool for analyzing DFT errors for non-covalent bonding in many types of condensed-phase molecular system.

Numerically stable Monte Carlo-burnup-thermal hydraulic coupling schemes

This paper presents stochastic implicit coupling method intended for use in Monte-Carlo (MC) based reactor analysis systems that include burnup and thermal hydraulic (TH) feedbacks. Both feedbacks are essential for accurate modeling of advanced reactor designs and analyses of associated fuel cycles. In particular, we investigate the effect of different burnup-TH coupling schemes on the numerical stability and accuracy of coupled MC calculations. First, we present the beginning of time step method which is the most commonly used. The accuracy of this method depends on the time step length and it is only conditionally stable. This work demonstrates that even for relatively short time steps, this method can be numerically unstable. Namely, the spatial distribution of neutronic and thermal hydraulic parameters, such as nuclide densities and temperatures, exhibit oscillatory behavior. To address the numerical stability issue, new implicit stochastic methods are proposed. The methods solve the depletion and TH problems simultaneously and use under-relaxation to speed up convergence. These methods are numerically stable and accurate even for relatively large time steps and require less computation time than the existing methods. © 2013 Elsevier Ltd. All rights reserved.