A semi-analytical particle filter for identification of nonlinear oscillators

Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

A Nearly Exact Reformulation of the Girsanov Linearization for Stochastically Driven Nonlinear Oscillators

The Girsanov linearization method (GLM), proposed earlier in Saha, N., and Roy, D., 2007, ``The Girsanov Linearisation Method for Stochastically Driven Nonlinear Oscillators,'' J. Appl. Mech., 74, pp. 885-897, is reformulated to arrive at a nearly exact, semianalytical, weak and explicit scheme for nonlinear mechanical oscillators under additive stochastic excitations. At the heart of the reformulated linearization is a temporally localized rejection sampling strategy that, combined with a resampling scheme, enables selecting from and appropriately modifying an ensemble of locally linearized trajectories while weakly applying the Girsanov correction (the Radon-Nikodym derivative) for the linearization errors. The semianalyticity is due to an explicit linearization of the nonlinear drift terms and it plays a crucial role in keeping the Radon-Nikodym derivative ``nearly bounded'' above by the inverse of the linearization time step (which means that only a subset of linearized trajectories with low, yet finite, probability exceeds this bound). Drift linearization is conveniently accomplished via the first few (lower order) terms in the associated stochastic (Ito) Taylor expansion to exclude (multiple) stochastic integrals from the numerical treatment. Similarly, the Radon-Nikodym derivative, which is a strictly positive, exponential (super-) martingale, is converted to a canonical form and evaluated over each time step without directly computing the stochastic integrals appearing in its argument. Through their numeric implementations for a few low-dimensional nonlinear oscillators, the proposed variants of the scheme, presently referred to as the Girsanov corrected linearization method (GCLM), are shown to exhibit remarkably higher numerical accuracy over a much larger range of the time step size than is possible with the local drift-linearization schemes on their own.

Two-Stage Extended Kalman Filters with Derivative-Free Local Linearizations

This paper proposes a derivative-free two-stage extended Kalman filter (2-EKF) especially suited for state and parameter identification of mechanical oscillators under Gaussian white noise. Two sources of modeling uncertainties are considered: (1) errors in linearization, and (2) an inadequate system model. The state vector is presently composed of the original dynamical/parameter states plus the so-called bias states accounting for the unmodeled dynamics. An extended Kalman estimation concept is applied within a framework predicated on explicit and derivative-free local linearizations (DLL) of nonlinear drift terms in the governing stochastic differential equations (SDEs). The original and bias states are estimated by two separate filters; the bias filter improves the estimates of the original states. Measurements are artificially generated by corrupting the numerical solutions of the SDEs with noise through an implicit form of a higher-order linearization. Numerical illustrations are provided for a few single- and multidegree-of-freedom nonlinear oscillators, demonstrating the remarkable promise that 2-EKF holds over its more conventional EKF-based counterparts. DOI: 10.1061/(ASCE)EM.1943-7889.0000255. (C) 2011 American Society of Civil Engineers.

A perturbed martingale approach to global optimization

A new global stochastic search, guided mainly through derivative-free directional information computable from the sample statistical moments of the design variables within a Monte Carlo setup, is proposed. The search is aided by imparting to the directional update term additional layers of random perturbations referred to as `coalescence' and `scrambling'. A selection step, constituting yet another avenue for random perturbation, completes the global search. The direction-driven nature of the search is manifest in the local extremization and coalescence components, which are posed as martingale problems that yield gain-like update terms upon discretization. As anticipated and numerically demonstrated, to a limited extent, against the problem of parameter recovery given the chaotic response histories of a couple of nonlinear oscillators, the proposed method appears to offer a more rational, more accurate and faster alternative to most available evolutionary schemes, prominently the particle swarm optimization. (C) 2014 Elsevier B.V. All rights reserved.

Synchronization of globally coupled two-state stochastic oscillators with a state-dependent refractory period

We present a model of identical coupled two-state stochastic units, each of which in isolation is governed by a fixed refractory period. The nonlinear coupling between units directly affects the refractory period, which now depends on the global state of the system and can therefore itself become time dependent. At weak coupling the array settles into a quiescent stationary state. Increasing coupling strength leads to a saddle node bifurcation, beyond which the quiescent state coexists with a stable limit cycle of nonlinear coherent oscillations. We explicitly determine the critical coupling constant for this transition.

Weakly corrected numerical solutions to stochastically driven nonlinear dynamical systems

A method to weakly correct the solutions of stochastically driven nonlinear dynamical systems, herein numerically approximated through the Eule-Maruyama (EM) time-marching map, is proposed. An essential feature of the method is a change of measures that aims at rendering the EM-approximated solution measurable with respect to the filtration generated by an appropriately defined error process. Using Ito's formula and adopting a Monte Carlo (MC) setup, it is shown that the correction term may be additively applied to the realizations of the numerically integrated trajectories. Numerical evidence, presently gathered via applications of the proposed method to a few nonlinear mechanical oscillators and a semi-discrete form of a 1-D Burger's equation, lends credence to the remarkably improved numerical accuracy of the corrected solutions even with relatively large time step sizes. (C) 2015 Elsevier Inc. All rights reserved.

Nonlinear Enzyme Kinetics Can Lead to High Metabolic Flux Control Coefficients: Implications for the Evolution of Dominance

In a classic study, Kacser & Burns (1981, Genetics 97, 639-666) demonstrated that given certain plausible assumptions, the flux in a metabolic pathway was more or less indifferent to the activity of any of the enzymes in the pathway taken singly. It was inferred from this that the observed dominance of most wild-type alleles with respect to loss-of-function mutations did not require an adaptive, meaning selectionist, explanation. Cornish-Bowden (1987, J. theor. Biol. 125, 333-338) showed that the Kacser-Burns inference was not valid when substrate concentrations were large relative to the relevant Michaelis constants. We find that in a randomly constructed functional pathway, even when substrate levels are small, one can expect high values of control coefficients for metabolic flux in the presence of significant nonlinearities as exemplified by enzymes with Hill coefficients ranging from two to six, or by the existence of oscillatory loops. Under these conditions the flux can be quite sensitive to changes in enzyme activity as might be caused by inactivating one of the two alleles in a diploid. Therefore, the phenomenon of dominance cannot be a trivial ''default'' consequence of physiology but must be intimately linked to the manner in which metabolic networks have been moulded by natural selection.

Einstein Relation in n-Channel Inversion Layers of Nonlinear Optical, Optoelectronic and Related Materials: Simplified Theory, Relative Comparison and Suggestion for an Experimental Determination

In this paper, we study the Einstein relation for the diffusivity to mobility ratio (DMR) in n-channel inversion layers of non-linear optical materials on the basis of a newly formulated electron dispersion relation by considering their special properties within the frame work of k.p formalism. The results for the n-channel inversion layers of III-V, ternary and quaternary materials form a special case of our generalized analysis. The DMR for n-channel inversion layers of II-VI, IV-VI and stressed materials has been investigated by formulating the respective 2D electron dispersion laws. It has been found, taking n-channel inversion layers of CdGeAs2, Cd(3)AS(2), InAs, InSb, Hg1-xCdxTe, In1-xGaxAsyP1-y lattice matched to InP, CdS, PbTe, PbSnTe, Pb1-xSnxSe and stressed InSb as examples, that the DMR increases with the increasing surface electric field with different numerical values and the nature of the variations are totally band structure dependent. The well-known expression of the DMR for wide gap materials has been obtained as a special case under certain limiting conditions and this compatibility is an indirect test for our generalized formalism. Besides, an experimental method of determining the 2D DMR for n-channel inversion layers having arbitrary dispersion laws has been suggested.

Field imperfection induced axial secular frequency shifts in nonlinear ion traps

This article develops a simple analytical expression that relates ion axial secular frequency to field aberration in ion trap mass spectrometers. Hexapole and octopole aberrations have been considered in the present computations. The equation of motion of the ions in a pseudopotential well with these superpositions has the form of a Duffing-like equation and a perturbation method has been used to obtain the expression for ion secular frequency as a function of field imperfections. The expression indicates that the frequency shift is sensitive to the sign of the octopole superposition and insensitive to the sign of the hexapole superposition. Further, for weak multipole superposition of the same magnitude, octopole superposition causes a larger frequency shift in comparison to hexapole superposition.

A probabilistic constrained nonlinear optimization framework to optimize RED parameters

The random early detection (RED) technique has seen a lot of research over the years. However, the functional relationship between RED performance and its parameters viz,, queue weight (omega(q)), marking probability (max(p)), minimum threshold (min(th)) and maximum threshold (max(th)) is not analytically availa ble. In this paper, we formulate a probabilistic constrained optimization problem by assuming a nonlinear relationship between the RED average queue length and its parameters. This problem involves all the RED parameters as the variables of the optimization problem. We use the barrier and the penalty function approaches for its Solution. However (as above), the exact functional relationship between the barrier and penalty objective functions and the optimization variable is not known, but noisy samples of these are available for different parameter values. Thus, for obtaining the gradient and Hessian of the objective, we use certain recently developed simultaneous perturbation stochastic approximation (SPSA) based estimates of these. We propose two four-timescale stochastic approximation algorithms based oil certain modified second-order SPSA updates for finding the optimum RED parameters. We present the results of detailed simulation experiments conducted over different network topologies and network/traffic conditions/settings, comparing the performance of Our algorithms with variants of RED and a few other well known adaptive queue management (AQM) techniques discussed in the literature.

Higher-Order Nonlinearity In Accretion Disks: Quasi-Periodic Oscillations Of Black Hole And Neutron Star Sources And Their Spin

We propose a unified model to explain Quasi-Periodic Oscillation (QPO), particularly of high frequency, observed from black hole and neutron star systems globally. We consider accreting systems to be damped harmonic oscillators exhibiting epicyclic oscillations with higher-order nonlinear resonance to explain QPO. The resonance is expected to be driven by the disturbance from the compact object at its spin frequency. The model explains various properties parallelly for both types of the compact object. It describes QPOs successfully for ten different compact sources. Based on this, we predict the spin frequency of the neutron star Sco X-1 and specific angular momentum of black holes GRO J1655–40, XTE J1550–564, H1743–322, and GRS 1915+105.

In search of inorganic nonlinear optical materials for second harmonic generation

In a search for inorganic oxide materials showing second-order nonlinear optical (NLO) susceptibility, we investigated several berates, silicates, and a phosphate containing trans-connected MO6, octahedral chains or MO5 square pyramids, where, M = d(0): Ti(IV), Nb(V), or Ta(V), Our investigations identified two new NLO structures: batisite, Na2Ba(TiO)(2)Si4O12, containing trans-connected TiO5 octahedral chains, and fresnoite, Ba2TiOSi2O7, containing square-pyramidal TiO5. Investigation of two other materials containing square-pyramidal TiO5 viz,, Cs2TiOP2O7 and Na4Ti2Si8O22. 4H(2)O, revealed that isolated TiO5, square pyramids alone do not cause a second harmonic generation (SHG) response; rather, the orientation of TiO5 units to produce -Ti-O-Ti-O- chains with alternating long and short Ti-O distances in the fresnoite structure is most likely the origin of a strong SHG response in fresnoite,

Energy-momentum conserving algorithm for nonlinear transient analysis within the framework of hybrid elements

This work deals with the formulation and implementation of an energy-momentum conserving algorithm for conducting the nonlinear transient analysis of structures, within the framework of stress-based hybrid elements. Hybrid elements, which are based on a two-field variational formulation, are much less susceptible to locking than conventional displacement-based elements within the static framework. We show that this advantage carries over to the transient case, so that not only are the solutions obtained more accurate, but they are obtained in fewer iterations. We demonstrate the efficacy of the algorithm on a wide range of problems such as ones involving dynamic buckling, complicated three-dimensional motions, et cetera.

Influence of non-stoichiometric defects on nonlinear absorption and refraction in Nd:Zn co-doped lithium niobate

Nonlinear absorption and refraction phenomena in stoichiometric lithium niobate (SLN) pure and co-doped with Zn and Nd, and congruent lithium niobate (CLN) were investigated using Z-scan technique. Femtosecond laser pulses from Ti:Sapphire laser (800 nm, 110 fs pulse width and 1 kHz repetition rate) were utilized for the experiment. The process responsible for nonlinear behavior of the samples was identified to be three photon absorption (3PA). This is in agreement with the band gap energies of the samples obtained from the linear absorption cut off and the slope of the plot of Ln(1 − TOA) vs. Ln(I0) using Sutherland’s theory (s = 2.1, for 3PA). The nonlinear refractive index (n2) of Zn doped samples was found to be lower than that of pure samples. Our experiments show that there exists a correlation between the nonlinear properties and the stoichiometry of the samples. The values of n2 fall into the same range as those obtained for the materials of similar band gap.

A comment on the consistency of truncated nonlinear integral equation based theories of freezing

We report the results of two studies of aspects of the consistency of truncated nonlinear integral equation based theories of freezing: (i) We show that the self-consistent solutions to these nonlinear equations are unfortunately sensitive to the level of truncation. For the hard sphere system, if the Wertheim–Thiele representation of the pair direct correlation function is used, the inclusion of part but not all of the triplet direct correlation function contribution, as has been common, worsens the predictions considerably. We also show that the convergence of the solutions found, with respect to number of reciprocal lattice vectors kept in the Fourier expansion of the crystal singlet density, is slow. These conclusions imply great sensitivity to the quality of the pair direct correlation function employed in the theory. (ii) We show the direct correlation function based and the pair correlation function based theories of freezing can be cast into a form which requires solution of isomorphous nonlinear integral equations. However, in the pair correlation function theory the usual neglect of the influence of inhomogeneity of the density distribution on the pair correlation function is shown to be inconsistent to the lowest order in the change of density on freezing, and to lead to erroneous predictions. The Journal of Chemical Physics is copyrighted by The American Institute of Physics.