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.

Monte Carlo-Based Bayesian group object tracking and causal reasoning

We present algorithms for tracking and reasoning of local traits in the subsystem level based on the observed emergent behavior of multiple coordinated groups in potentially cluttered environments. Our proposed Bayesian inference schemes, which are primarily based on (Markov chain) Monte Carlo sequential methods, include: 1) an evolving network-based multiple object tracking algorithm that is capable of categorizing objects into groups, 2) a multiple cluster tracking algorithm for dealing with prohibitively large number of objects, and 3) a causality inference framework for identifying dominant agents based exclusively on their observed trajectories.We use these as building blocks for developing a unified tracking and behavioral reasoning paradigm. Both synthetic and realistic examples are provided for demonstrating the derived concepts. © 2013 Springer-Verlag Berlin Heidelberg.

Linear gaussian computations for near-exact Bayesian Monte Carlo inference in skewed alpha-stable time series models

In this paper we study parameter estimation for time series with asymmetric α-stable innovations. The proposed methods use a Poisson sum series representation (PSSR) for the asymmetric α-stable noise to express the process in a conditionally Gaussian framework. That allows us to implement Bayesian parameter estimation using Markov chain Monte Carlo (MCMC) methods. We further enhance the series representation by introducing a novel approximation of the series residual terms in which we are able to characterise the mean and variance of the approximation. Simulations illustrate the proposed framework applied to linear time series, estimating the model parameter values and model order P for an autoregressive (AR(P)) model driven by asymmetric α-stable innovations. © 2012 IEEE.

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.