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, are numerical techniques based on Importance Sampling for solving the optimal state estimation problem. The task of calibrating the state-space model is an important problem frequently faced by practitioners and the observed data may be used to estimate the parameters of the model. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed for this task accompanied with a discussion of their advantages and limitations.

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.

Assessing seasonal precipitation trends in India using parametric and non-parametric statistical techniques

This paper provides an insight into the long-term trends of the four seasonal and annual precipitations in various climatological regions and sub-regions in India. The trends were useful to investigate whether Indian seasonal rainfall is changing in terms of magnitude or location-wise. Trends were assessed over the period of 1954-2003 using parametric ordinary least square fits and non-parametric Mann-Kendall technique. The trend significance was tested at the 95% confidence level. Apart from the trends for individual climatological regions in India and the average for the whole of India, trends were also specifically determined for the possible smaller geographical areas in order to understand how different the trends would be from the bigger spatial scales. The smaller geographical regions consist of the whole southwestern continental state of Kerala. It was shown that there are decreasing trends in the spring and monsoon rainfall and increasing trends in the autumn and winter rainfalls. These changes are not always homogeneous over various regions, even in the very short scales implying a careful regional analysis would be necessary for drawing conclusions regarding agro-ecological or other local projects requiring change in rainfall information. Furthermore, the differences between the trend magnitudes and directions from the two different methods are significantly small and fall well within the significance limit for all the cases investigated in Indian regions (except where noted). © 2010 Springer-Verlag.

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.

Energy scattering in weakly non-linear systems.

The Chinese Tam-Tam exhibits non-linear behavior in its vibro-acoustic response. The frequency content of the response during free, unforced vibration smoothly changes, with energy being progressively smeared out over a greater bandwidth with time. This is used as a motivating case for the general study of the phenomenon of energy cascading through weak nonlinearity. Numerical models based upon the Fermi-Pasta-Ulam system of non-linearly coupled oscillators, modified with the addition of damping, have been developed. These were used to study the response of ensembles of systems with randomized natural frequencies. Results from simulations will be presented here. For un-damped systems, individual ensemble members exhibit cyclical energy exchange between linear modes, but the ensemble average displays a steady state. For the ensemble response of damped systems, lightly damped modes can exhibit an effective damping which is higher than predicated by linear theory. The presence of a non-linearity provides a path for energy flow to other modes, increasing the apparent damping spectrum at some frequencies and reducing it at others. The target of this work is a model revealing the governing parameters of a generic system of this type and leading to predictions of the ensemble response.

Solid-state memories based on ferroelectric tunnel junctions.

Ferroic-order parameters are useful as state variables in non-volatile information storage media because they show a hysteretic dependence on their electric or magnetic field. Coupling ferroics with quantum-mechanical tunnelling allows a simple and fast readout of the stored information through the influence of ferroic orders on the tunnel current. For example, data in magnetic random-access memories are stored in the relative alignment of two ferromagnetic electrodes separated by a non-magnetic tunnel barrier, and data readout is accomplished by a tunnel current measurement. However, such devices based on tunnel magnetoresistance typically exhibit OFF/ON ratios of less than 4, and require high powers for write operations (>1 × 10(6) A cm(-2)). Here, we report non-volatile memories with OFF/ON ratios as high as 100 and write powers as low as ∼1 × 10(4) A cm(-2) at room temperature by storing data in the electric polarization direction of a ferroelectric tunnel barrier. The junctions show large, stable, reproducible and reliable tunnel electroresistance, with resistance switching occurring at the coercive voltage of ferroelectric switching. These ferroelectric devices emerge as an alternative to other resistive memories, and have the advantage of not being based on voltage-induced migration of matter at the nanoscale, but on a purely electronic mechanism.

Solid-state memories based on ferroelectric tunnel junctions

Ferroic-order parameters are useful as state variables in non-volatile information storage media because they show a hysteretic dependence on their electric or magnetic field. Coupling ferroics with quantum-mechanical tunnelling allows a simple and fast readout of the stored information through the influence of ferroic orders on the tunnel current. For example, data in magnetic random-access memories are stored in the relative alignment of two ferromagnetic electrodes separated by a non-magnetic tunnel barrier, and data readout is accomplished by a tunnel current measurement. However, such devices based on tunnel magnetoresistance typically exhibit OFF/ON ratios of less than 4, and require high powers for write operations (>1 × 10 6 A cm -2). Here, we report non-volatile memories with OFF/ON ratios as high as 100 and write powers as low as ∼1 × 10 4A cm -2 at room temperature by storing data in the electric polarization direction of a ferroelectric tunnel barrier. The junctions show large, stable, reproducible and reliable tunnel electroresistance, with resistance switching occurring at the coercive voltage of ferroelectric switching. These ferroelectric devices emerge as an alternative to other resistive memories, and have the advantage of not being based on voltage-induced migration of matter at the nanoscale, but on a purely electronic mechanism. © 2012 Macmillan Publishers Limited. All rights reserved.

State-space inference and learning with Gaussian processes

State-space inference and learning with Gaussian processes (GPs) is an unsolved problem. We propose a new, general methodology for inference and learning in nonlinear state-space models that are described probabilistically by non-parametric GP models. We apply the expectation maximization algorithm to iterate between inference in the latent state-space and learning the parameters of the underlying GP dynamics model. Copyright 2010 by the authors.

Linear quadratic game and non-cooperative predictive methods for potential application to modelling driver-AFS interactive steering control

This paper is concerned with the modelling of strategic interactions between the human driver and the vehicle active front steering (AFS) controller in a path-following task where the two controllers hold different target paths. The work is aimed at extending the use of mathematical models in representing driver steering behaviour in complicated driving situations. Two game theoretic approaches, namely linear quadratic game and non-cooperative model predictive control (non-cooperative MPC), are used for developing the driver-AFS interactive steering control model. For each approach, the open-loop Nash steering control solution is derived; the influences of the path-following weights, preview and control horizons, driver time delay and arm neuromuscular system (NMS) dynamics are investigated, and the CPU time consumed is recorded. It is found that the two approaches give identical time histories as well as control gains, while the non-cooperative MPC method uses much less CPU time. Specifically, it is observed that the introduction of weight on the integral of vehicle lateral displacement error helps to eliminate the steady-state path-following error; the increase in preview horizon and NMS natural frequency and the decline in time delay and NMS damping ratio improve the path-following accuracy. © 2013 Copyright Taylor and Francis Group, LLC.

Characterization of vertical Mo/diamond Schottky barrier diode from non-ideal I-V and C-V measurements based on MIS model

In this study, we investigated non-ideal characteristics of a diamond Schottky barrier diode with Molybdenum (Mo) Schottky metal fabricated by Microwave Plasma Chemical Vapour Deposition (MPCVD) technique. Extraction from forward bias I-V and reverse bias C- 2-V measurements yields ideality factor of 1.3, Schottky barrier height of 1.872 eV, and on-resistance of 32.63 mö·cm2. The deviation of extracted Schottky barrier height from an ideal value of 2.24 eV (considering Mo workfunction of 4.53 eV) indicates Fermi level pinning at the interface. We attributed such non-ideal behavior to the existence of thin interfacial layer and interface states between metal and diamond which forms Metal-Interfacial layer-Semiconductor (MIS) structure. Oxygen surface treatment during fabrication process might have induced them. From forward bias C-V characteristics, the minimum thickness of the interfacial layer is approximately 0.248 nm. Energy distribution profile of the interface state density is then evaluated from the forward bias I-V characteristics based on the MIS model. The interface state density is found to be uniformly distributed with values around 1013 eV - 1·cm- 2. © 2013 Elsevier B.V.

Development of accurate, robust liquid equations of state for multi-phase CFD simulations with a modified AUSM+-up scheme

Eight equations of state (EOS) have been evaluated for the simulation of compressible liquid water properties, based on empirical correlations, the principle of corresponding states and thermodynamic relations. The IAPWS-IF97 EOS for water was employed as the reference case. These EOSs were coupled to a modified AUSM+-up convective flux solver to determine flow profiles for three test cases of differing flow conditions. The impact of the non-viscous interaction term discretisation scheme, interfacial pressure method and selection of low-Mach number diffusion were also compared. It was shown that a consistent discretisation scheme using the AUSM+-up solver for both the convective flux and the non-viscous interfacial term demonstrated both robustness and accuracy whilst facilitating a computationally cheaper solution than discretisation of the interfacial term independently by a central scheme. The simple empirical correlations gave excellent results in comparison to the reference IAPWS-IF97 EOS and were recommended for developmental work involving water as a cheaper and more accurate EOS than the more commonly used stiffened-gas model. The correlations based on the principles of corresponding-states and the modified Peng-Robinson cubic EOS also demonstrated a high degree of accuracy, which is promising for future work with generic fluids. Further work will encompass extension of the solver to multiple dimensions and to account for other source terms such as surface tension, along with the incorporation of phase changes. © 2013.