A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

Using a Girsanov change of measures, we propose novel variations within a particle-filtering algorithm, as applied to the inverse problem of state and parameter estimations of nonlinear dynamical systems of engineering interest, toward weakly correcting for the linearization or integration errors that almost invariably occur whilst numerically propagating the process dynamics, typically governed by nonlinear stochastic differential equations (SDEs). Specifically, the correction for linearization, provided by the likelihood or the Radon-Nikodym derivative, is incorporated within the evolving flow in two steps. Once the likelihood, an exponential martingale, is split into a product of two factors, correction owing to the first factor is implemented via rejection sampling in the first step. The second factor, which is directly computable, is accounted for via two different schemes, one employing resampling and the other using a gain-weighted innovation term added to the drift field of the process dynamics thereby overcoming the problem of sample dispersion posed by resampling. The proposed strategies, employed as add-ons to existing particle filters, the bootstrap and auxiliary SIR filters in this work, are found to non-trivially improve the convergence and accuracy of the estimates and also yield reduced mean square errors of such estimates vis-a-vis those obtained through the parent-filtering schemes.

Optimal Forwarding in Delay-Tolerant Networks With Multiple Destinations

We study the tradeoff between delivery delay and energy consumption in a delay-tolerant network in which a message (or a file) has to be delivered to each of several destinations by epidemic relaying. In addition to the destinations, there are several other nodes in the network that can assist in relaying the message. We first assume that, at every instant, all the nodes know the number of relays carrying the message and the number of destinations that have received the message. We formulate the problem as a controlled continuous-time Markov chain and derive the optimal closed-loop control (i.e., forwarding policy). However, in practice, the intermittent connectivity in the network implies that the nodes may not have the required perfect knowledge of the system state. To address this issue, we obtain an ordinary differential equation (ODE) (i.e., a deterministic fluid) approximation for the optimally controlled Markov chain. This fluid approximation also yields an asymptotically optimal open-loop policy. Finally, we evaluate the performance of the deterministic policy over finite networks. Numerical results show that this policy performs close to the optimal closed-loop policy.

Analytical test functions for free vibration analysis of rotating non-homogeneous Timoshenko beams

In this paper, the governing equations for free vibration of a non-homogeneous rotating Timoshenko beam, having uniform cross-section, is studied using an inverse problem approach, for both cantilever and pinned-free boundary conditions. The bending displacement and the rotation due to bending are assumed to be simple polynomials which satisfy all four boundary conditions. It is found that for certain polynomial variations of the material mass density, elastic modulus and shear modulus, along the length of the beam, the assumed polynomials serve as simple closed form solutions to the coupled second order governing differential equations with variable coefficients. It is found that there are an infinite number of analytical polynomial functions possible for material mass density, shear modulus and elastic modulus distributions, which share the same frequency and mode shape for a particular mode. The derived results are intended to serve as benchmark solutions for testing approximate or numerical methods used for the vibration analysis of rotating non-homogeneous Timoshenko beams.

TRANSIENT NATURAL CONVECTION FLOW IN A RECTANGULAR CAVITY FILLED WITH A POROUS MATERIAL WITH LOCALIZED HEATING FROM BELOW AND THERMAL STRATIFICATION

The transient natural convection flow with thermal stratification in a rectangular cavity filled with fluid saturated porous medium obeying Darcy's law has been studied. Prior to the time t* = 0, the flow in the cavity is assumed to be motionless and all four walls of the cavity are at the same constant temperature. At time t* = 0, the temperatures of the vertical walls are suddenly increased which vary linearly with the distance y and at the same time on the bottom wall an isothermal heat source is placed centrally. This sudden change in the wall temperatures gives rise to unsteadiness in the problem. The horizontal temperature difference induces and sustains a buoyancy driven flow in the cavity which is then controlled by the vertical temperature difference. The partial differential equations governing the transient natural convection flow have been solved numerically. The local and average Nusselt numbers decrease rapidly in a small time interval after the start of the impulsive change in the wall temperatures and the steady state is reached quickly. The time required to reach the steady state depends on the Rayleigh number and the thermal stratification parameter.

Effect of surfactants on the instability of a two-layer film flow down an inclined plane

The effect of insoluble surfactants on the instability of a two-layer film flow down an inclined plane is investigated based on the Orr-Sommerfeld boundary value problem. The study, focusing on Stokes flow P. Gao and X.-Y. Lu, ``Effect of surfactants on the inertialess instability of a two-layer film flow,'' J. Fluid Mech. 591, 495-507 (2007)], is further extended by including the inertial effect. The surface mode is recognized along with the interface mode. The initial growth rate corresponding to the interface mode accelerates at sufficiently long-wave regime in the presence of surface surfactant. However, the maximum growth rate corresponding to both interface and surface modes decelerates in the presence of surface surfactant when the upper layer is more viscous than the lower layer. On the other hand, when the upper layer is less viscous than the lower layer, a new interfacial instability develops due to the inertial effect and becomes weaker in the presence of interfacial surfactant. In the limit of negligible surface and interfacial tensions, respectively, two successive peaks of temporal growth rate appear in the long-wave and short-wave regimes when the interface mode is analyzed. However, in the case of the surface mode, only the long-wave peak appears. (C) 2014 AIP Publishing LLC.

Variational approach to homogenization of doubly-nonlinear flow in a periodic structure

This work deals with the homogenization of an initial- and boundary-value problem for the doubly-nonlinear system D(t)w - del.(z) over right arrow = g(x, t, x/epsilon) (0.1) w is an element of alpha(u, x/epsilon) (0.2) (z) over right arrow is an element of (gamma) over right arrow (del u, x/epsilon) (0.3) Here epsilon is a positive parameter; alpha and (gamma) over right arrow are maximal monotone with respect to the first variable and periodic with respect to the second one. The inclusions (0.2) and (0.3) are here formulated as null-minimization principles, via the theory of Fitzpatrick MR 1009594]. As epsilon -> 0, a two-scale formulation is derived via Nguetseng's notion of two-scale convergence, and a (single-scale) homogenized problem is then retrieved. (C) 2015 Elsevier Ltd. All rights reserved.

Variational approach to homogenization of doubly-nonlinear flow in a periodic structure

This work deals with the homogenization of an initial- and boundary-value problem for the doubly-nonlinear system D(t)w - del.(z) over right arrow = g(x, t, x/epsilon) (0.1) w is an element of alpha(u, x/epsilon) (0.2) (z) over right arrow is an element of (gamma) over right arrow (del u, x/epsilon) (0.3) Here epsilon is a positive parameter; alpha and (gamma) over right arrow are maximal monotone with respect to the first variable and periodic with respect to the second one. The inclusions (0.2) and (0.3) are here formulated as null-minimization principles, via the theory of Fitzpatrick MR 1009594]. As epsilon -> 0, a two-scale formulation is derived via Nguetseng's notion of two-scale convergence, and a (single-scale) homogenized problem is then retrieved. (C) 2015 Elsevier Ltd. All rights reserved.

System reliability of randomly vibrating structures: Computational modeling and laboratory testing

The problem of determination of system reliability of randomly vibrating structures arises in many application areas of engineering. We discuss in this paper approaches based on Monte Carlo simulations and laboratory testing to tackle problems of time variant system reliability estimation. The strategy we adopt is based on the application of Girsanov's transformation to the governing stochastic differential equations which enables estimation of probability of failure with significantly reduced number of samples than what is needed in a direct simulation study. Notably, we show that the ideas from Girsanov's transformation based Monte Carlo simulations can be extended to conduct laboratory testing to assess system reliability of engineering structures with reduced number of samples and hence with reduced testing times. Illustrative examples include computational studies on a 10 degree of freedom nonlinear system model and laboratory/computational investigations on road load response of an automotive system tested on a four post Lest rig. (C) 2015 Elsevier Ltd. All rights reserved.

An alternative approach to study nonlinear inviscid flow over arbitrary bottom topography

This paper deals with a new approach to study the nonlinear inviscid flow over arbitrary bottom topography. The problem is formulated as a nonlinear boundary value problem which is reduced to a Dirichlet problem using certain transformations. The Dirichlet problem is solved by applying Plemelj-Sokhotski formulae and it is noticed that the solution of the Dirichlet problem depends on the solution of a coupled Fredholm integral equation of the second kind. These integral equations are solved numerically by using a modified method. The free-surface profile which is unknown at the outset is determined. Different kinds of bottom topographies are considered here to study the influence of bottom topography on the free-surface profile. The effects of the Froude number and the arbitrary bottom topography on the free-surface profile are demonstrated in graphical forms for the subcritical flow. Further, the nonlinear results are validated with the results available in the literature and compared with the results obtained by using linear theory. (C) 2015 Elsevier Inc. All rights reserved.

A C-0 Interior Penalty Method for a Fourth-order Variational Inequality of the Second Kind

In this article, we propose a C-0 interior penalty ((CIP)-I-0) method for the frictional plate contact problem and derive both a priori and a posteriori error estimates. We derive an abstract error estimate in the energy norm without additional regularity assumption on the exact solution. The a priori error estimate is of optimal order whenever the solution is regular. Further, we derive a reliable and efficient a posteriori error estimator. Numerical experiments are presented to illustrate the theoretical results. (c) 2015Wiley Periodicals, Inc.

Quantum stochastic calculus associated with quadratic quantum noises

We first study a class of fundamental quantum stochastic processes induced by the generators of a six dimensional non-solvable Lie dagger-algebra consisting of all linear combinations of the generalized Gross Laplacian and its adjoint, annihilation operator, creation operator, conservation, and time, and then we study the quantum stochastic integrals associated with the class of fundamental quantum stochastic processes, and the quantum Ito formula is revisited. The existence and uniqueness of solution of a quantum stochastic differential equation is proved. The unitarity conditions of solutions of quantum stochastic differential equations associated with the fundamental processes are examined. The quantum stochastic calculus extends the Hudson-Parthasarathy quantum stochastic calculus. (C) 2016 AIP Publishing LLC.