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.

Doubly spectral stochastic finite element method (DSSFEM) for random field problems

Uncertainties in complex dynamic systems play an important role in the prediction of a dynamic response in the mid- and high-frequency ranges. For distributed parameter systems, parametric uncertainties can be represented by random fields leading to stochastic partial differential equations. Over the past two decades, the spectral stochastic finite-element method has been developed to discretize the random fields and solve such problems. On the other hand, for deterministic distributed parameter linear dynamic systems, the spectral finite-element method has been developed to efficiently solve the problem in the frequency domain. In spite of the fact that both approaches use spectral decomposition (one for the random fields and the other for the dynamic displacement fields), very little overlap between them has been reported in literature. In this paper, these two spectral techniques are unified with the aim that the unified approach would outperform any of the spectral methods considered on their own. An exponential autocorrelation function for the random fields, a frequency-dependent stochastic element stiffness, and mass matrices are derived for the axial and bending vibration of rods. Closed-form exact expressions are derived by using the Karhunen-Loève expansion. Numerical examples are given to illustrate the unified spectral approach.

Tracking analysis of an LMS decision feedback equalizer for a wireless channel

We consider a time varying wireless fading channel, equalized by an LMS Decision Feedback equalizer (DFE). We study how well this equalizer tracks the optimal MMSEDFE (Wiener) equalizer. We model the channel by an Autoregressive (AR) process. Then the LMS equalizer and the AR process are jointly approximated by the solution of a system of ODEs (ordinary differential equations). Using these ODEs, we show via some examples that the LMS equalizer moves close to the instantaneous Wiener filter after initial transience. We also compare the LMS equalizer with the instantaneous optimal DFE (the commonly used Wiener filter) designed assuming perfect previous decisions and computed using perfect channel estimate (we will call it as IDFE). We show that the LMS equalizer outperforms the IDFE almost all the time after initial transience.

Filtered density function for large eddy simulation of turbulent reacting flows

A methodology termed the “filtered density function” (FDF) is developed and implemented for large eddy simulation (LES) of chemically reacting turbulent flows. In this methodology, the effects of the unresolved scalar fluctuations are taken into account by considering the probability density function (PDF) of subgrid scale (SGS) scalar quantities. A transport equation is derived for the FDF in which the effect of chemical reactions appears in a closed form. The influences of scalar mixing and convection within the subgrid are modeled. The FDF transport equation is solved numerically via a Lagrangian Monte Carlo scheme in which the solutions of the equivalent stochastic differential equations (SDEs) are obtained. These solutions preserve the Itô-Gikhman nature of the SDEs. The consistency of the FDF approach, the convergence of its Monte Carlo solution and the performance of the closures employed in the FDF transport equation are assessed by comparisons with results obtained by direct numerical simulation (DNS) and by conventional LES procedures in which the first two SGS scalar moments are obtained by a finite difference method (LES-FD). These comparative assessments are conducted by implementations of all three schemes (FDF, DNS and LES-FD) in a temporally developing mixing layer and a spatially developing planar jet under both non-reacting and reacting conditions. In non-reacting flows, the Monte Carlo solution of the FDF yields results similar to those via LES-FD. The advantage of the FDF is demonstrated by its use in reacting flows. In the absence of a closure for the SGS scalar fluctuations, the LES-FD results are significantly different from those based on DNS. The FDF results show a much closer agreement with filtered DNS results. © 1998 American Institute of Physics.

Simulation of RNA silencing pathway for time-dependent transgene transcription rate

The synthesis of dsRNA is analyzed using a pathway model with amplifications caused by the aberrant RNAs. The transgene influx rate is assumed time-decaying considering the fact that the number of transgenes can not be infinite. The dynamics of the transgene induced RNA silencing is investigated using a system of coupled nonautonomous ordinary nonlinear differential equations which describe the model phenomenologically. The silencing phenomena are detected after a period of transcription. Important contributions of certain parameters are discussed with several numerical examples.

Tracking performance of an LMS-Linear Equalizer for fading channels

We consider a time varying wireless fading channel, equalized by an LMS linear equalizer. We study how well this equalizer tracks the optimal Wiener equalizer. We model the channel by an Auto-regressive (AR) process. Then the LMS equalizer and the AR process are jointly approximated by the solution of a system of ODEs (ordinary differential equations). Using these ODEs, the error between the LMS equalizer and the instantaneous Wiener filter is shown to decay exponentially/polynomially to zero unless the channel is marginally stable in which case the convergence may not hold.Using the same ODEs, we also show that the corresponding Mean Square Error (MSE) converges towards minimum MSE(MMSE) at the same rate for a stable channel. We further show that the difference between the MSE and the MMSE does not explode with time even when the channel is unstable. Finally we obtain an optimum step size for the linear equalizer in terms of the AR parameters, whenever the error decay is exponential.

Exact controllability of generalized Hammerstein type equation

In this article, we study the exact controllability of an abstract model described by the controlled generalized Hammerstein type integral equation $$ x(t) = int_0^t h(t,s)u(s)ds+ int_0^t k(t,s,x)f(s,x(s))ds, quad 0 leq t leq T less than infty, $$ where, the state $x(t)$ lies in a Hilbert space $H$ and control $u(t)$ lies another Hilbert space $V$ for each time $t in I=[0,T]$, $T$ greater than 0. We establish the controllability result under suitable assumptions on $h, k$ and $f$ using the monotone operator theory.

Noise reduction with perforated three-duct muffler components

This paper describes the authors’ distributed parameter approach for derivation of closed-form expressions for the four-pole parameters of the perforated three-duct muffler components. In this method, three simultaneous second-order partial differential equations are first reduced to a set of six first-order ordinary differential equations. These equations are then uncoupled by means of a modal matrix. The resulting 6 × 6 matrix is reduced to the 2 × 2 transfer matrix using the relevant boundary conditions. This is combined with transfer matrices of other elements (upstream and downstream of this perforated element) to predict muffler performance like noise reduction, which is also measured. The correlation between experimental and theoretical values of noise reduction is shown to be satisfactory.

Switching Transients in Single-Phase Induction Motors

The subject of transients in polyphase induction motors and synchronous machines has been studied in very great detail by several investigators, but no published literature exists dealing exclusively with the analysis of the problem of transients in single-phase induction motors. This particular problem has been studied in this paper by applying the Laplace transform. The results of actual computation of the currents and developed electrical torque are compared with the data obtained by setting up the integro-differential equations of the machine on an electronic differential analyzer. It is shown that if the motor is switched on to the supply when the potential passes through its zero value, there is a pulsating fundamental frequency torque superimposed on the average steady-state unidirectional torque. If, on the other hand, the switch is closed when the applied potential passes through its maximum value, the developed electrical torque settles down to its final steady-state value during the first cycle of the supply voltage.

The x¿n-x Plane for Analysis of Certain Second-Order Nonlinear Systems

Analysis of certain second-order nonlinear systems, not easily amenable to the phase-plane methods, and described by either of the following differential equations xÿn-2ÿ+ f(x)xÿ2n+g(x)xÿn+h(x)=0 ÿ+f(x)xÿn+h(x)=0 n≫0 can be effected easily by drawing the entire portrait of trajectories on a new plane; that is, on one of the xÿnÿx planes. Simple equations are given to evaluate time from a trajectory on any of these n planes. Poincaré's fundamental phase plane xÿÿx is conceived of as the simplest case of the general xÿnÿx plane.

Techniques for Analysis of Certain Nonlinear Systems

This paper suggests the use of simple transformations like ÿ=kx, kx2 for second-order nonlinear differential equations to effect rapid plotting of the phase-plane trajectories. The method is particularly helpful in determining quickly the trajectory slopes along simple curves in any desired region of the phase plane. New planes such as the tÿ-x, tÿ2-x are considered for the study of some groups of nonlinear time-varying systems. Suggestions for solving certain higher-order nonlinear systems are also made.

Variation of the gas and radiation content in the sub-Keplerian accretion disk around black holes and its impact to the solutions

We investigate the variation of the gas and the radiation pressure in accretion disks during the infall of matter to the black hole and its effect to the flow. While the flow far away from the black hole might be non-relativistic, in the vicinity of the black hole it is expected to be relativistic behaving more like radiation. Therefore, the ratio of gas pressure to total pressure (beta) and the underlying polytropic index (gamma) should not be constant throughout the flow. We obtain that accretion flows exhibit significant variation of beta and then gamma, which affects solutions described in the standard literature based on constant beta. Certain solutions for a particular set of initial parameters with a constant beta do not exist when the variation of beta is incorporated appropriately. We model the viscous sub-Keplerian accretion disk with a nonzero component of advection and pressure gradient around black holes by preserving the conservations of mass, momentum, energy, supplemented by the evolution of beta. By solving the set of five coupled differential equations, we obtain the thermo-hydrodynamical properties of the flow. We show that during infall, beta of the flow could vary up to similar to 300%, while gamma up to similar to 20%. This might have a significant impact to the disk solutions in explaining observed data, e.g. super-luminal jets from disks, luminosity, and then extracting fundamental properties from them. Hence any conclusion based on constant gamma and beta should be taken with caution and corrected. (C) 2011 Elsevier B.V. All rights reserved.

Prediction of Breakout Noise from a Rectangular Duct with Compliant Walls

Breakout noise from HVAC ducts is important at low frequencies, and the coupling between the acoustic waves and the structural waves plays a critical role in the prediction of the transverse transmission loss. This paper describes the analytical calculation of breakout noise by incorporating three-dimensional effects along with the acoustical and structural wave coupling phenomena. The first step in the breakout noise prediction is to calculate the inside duct pressure field and the normal duct wall vibration by using the solution of the governing differential equations in terms of Green's function. The resultant equations are rearranged in terms of impedance and mobility, which results in a compact matrix formulation. The Green's function selected for the current problem is the cavity Green's function with modification of wave number in the longitudinal direction in order to incorporate the terminal impedance. The second step is to calculate the radiated sound power from the compliant duct walls by means of an ``equivalent unfolded plate'' model. The transverse transmission loss from the duct walls is calculated using the ratio of the incident power due to surface source inside the duct to the acoustic power radiated from the compliant duct walls. Analytical results are validated with the FE-BE numerical models.

An Overview of Homogenization

Homogenization of partial differential equations is relatively a new area and has tremendous applications in various branches of engineering sciences like: material science,porous media, study of vibrations of thin structures, composite materials to name a few. Though the material scientists and others had reasonable idea about the homogenization process, it was lacking a good mathematical theory till early seventies. The first proper mathematical procedure was developed in the seventies and later in the last 30 years or so it has flourished in various ways both application wise and mathematically. This is not a full survey article and on the other hand we will not be concentrating on a specialized problem. Indeed, we do indicate certain specialized problems of our interest without much details and that is not the main theme of the article. I plan to give an introductory presentation with the aim of catering to a wider audience. We go through few examples to understand homogenization procedure in a general perspective together with applications. We also present various mathematical techniques available and if possible some details about some of the techniques. A possible definition of homogenization would be that it is a process of understanding a heterogeneous (in-homogeneous) media, where the heterogeneties are at the microscopic level, like in composite materials, by a homogeneous media. In other words, one would like to obtain a homogeneous description of a highly oscillating in-homogeneous media. We also present other generalizations to non linear problems, porous media and so on. Finally, we will like to see a closely related issue of optimal bounds which itself is an independent area of research.

Five-stage Milstein methods for SDEs

In this paper, we consider the problem of computing numerical solutions for Ito stochastic differential equations (SDEs). The five-stage Milstein (FSM) methods are constructed for solving SDEs driven by an m-dimensional Wiener process. The FSM methods are fully explicit methods. It is proved that the FSM methods are convergent with strong order 1 for SDEs driven by an m-dimensional Wiener process. The analysis of stability (with multidimensional Wiener process) shows that the mean-square stable regions of the FSM methods are unbounded. The analysis of stability shows that the mean-square stable regions of the methods proposed in this paper are larger than the Milstein method and three-stage Milstein methods.