Robust approach to dynamic statistical process control

Statistical Process Control (SPC) technique are well established across a wide range of industries. In particular, the plotting of key steady state variables with their statistical limit against time (Shewart charting) is a common approach for monitoring the normality of production. This paper aims with extending Shewart charting techniques to the quality monitoring of variables driven by uncertain dynamic processes, which has particular application in the process industries where it is desirable to monitor process variables on-line as well as final product. The robust approach to dynamic SPC is based on previous work on guaranteed cost filtering for linear systems and is intended to provide a basis for both a wide application of SPC monitoring and also motivate unstructured fault detection.

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.

Transient growth and triggering in the horizontal Rijke tube Matthew

This theoretical paper examines a non-normal and non-linear model of a horizontal Rijke tube. Linear and non-linear optimal initial states, which maximize acoustic energy growth over a given time from a given energy, are calculated. It is found that non-linearity and non-normality both contribute to transient growth and that, for this model, linear optimal states are only a good predictor of non-linear optimal states for low initial energies. Two types of non-linear optimal initial state are found. The first has strong energy growth during the first period of the fundamental mode but loses energy thereafter. The second has weaker energy growth during the first period but retains high energy for longer. The second type causes triggering to self-sustained oscillations from lower energy than the first and has higher energy in the fundamental mode. This suggests, for instance, that low frequency noise will be more effective at causing triggering than high frequency noise.

Large scale heterogeneous networks, the Davis-Wielandt shell, and graph separation

We consider a large scale network of interconnected heterogeneous dynamical components. Scalable stability conditions are derived that involve the input/output properties of individual subsystems and the interconnection matrix. The analysis is based on the Davis-Wielandt shell, a higher dimensional version of the numerical range with important convexity properties. This can be used to allow heterogeneity in the agent dynamics while relaxing normality and symmetry assumptions on the interconnection matrix. The results include small gain and passivity approaches as special cases, with the three dimensional shell shown to be inherently connected with corresponding graph separation arguments. © 2012 Society for Industrial and Applied Mathematics.