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.

Nonlinear structural dynamical system identification using adaptive particle filters

The problem of identifying parameters of nonlinear vibrating systems using spatially incomplete, noisy, time-domain measurements is considered. The problem is formulated within the framework of dynamic state estimation formalisms that employ particle filters. The parameters of the system, which are to be identified, are treated as a set of random variables with finite number of discrete states. The study develops a procedure that combines a bank of self-learning particle filters with a global iteration strategy to estimate the probability distribution of the system parameters to be identified. Individual particle filters are based on the sequential importance sampling filter algorithm that is readily available in the existing literature. The paper develops the requisite recursive formulary for evaluating the evolution of weights associated with system parameter states. The correctness of the formulations developed is demonstrated first by applying the proposed procedure to a few linear vibrating systems for which an alternative solution using adaptive Kalman filter method is possible. Subsequently, illustrative examples on three nonlinear vibrating systems, using synthetic vibration data, are presented to reveal the correct functioning of the method. (c) 2007 Elsevier Ltd. All rights reserved.

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.

A scaled unscented transformation based directed Gaussian sum filter for nonlinear dynamic system identification

Impoverishment of particles, i.e. the discretely simulated sample paths of the process dynamics, poses a major obstacle in employing the particle filters for large dimensional nonlinear system identification. A known route of alleviating this impoverishment, i.e. of using an exponentially increasing ensemble size vis-a-vis the system dimension, remains computationally infeasible in most cases of practical importance. In this work, we explore the possibility of unscented transformation on Gaussian random variables, as incorporated within a scaled Gaussian sum stochastic filter, as a means of applying the nonlinear stochastic filtering theory to higher dimensional structural system identification problems. As an additional strategy to reconcile the evolving process dynamics with the observation history, the proposed filtering scheme also modifies the process model via the incorporation of gain-weighted innovation terms. The reported numerical work on the identification of structural dynamic models of dimension up to 100 is indicative of the potential of the proposed filter in realizing the stated aim of successfully treating relatively larger dimensional filtering problems. (C) 2013 Elsevier Ltd. All rights reserved.

A Kushner-Stratonovich Monte Carlo filter applied to nonlinear dynamical system identification

A Monte Carlo filter, based on the idea of averaging over characteristics and fashioned after a particle-based time-discretized approximation to the Kushner-Stratonovich (KS) nonlinear filtering equation, is proposed. A key aspect of the new filter is the gain-like additive update, designed to approximate the innovation integral in the KS equation and implemented through an annealing-type iterative procedure, which is aimed at rendering the innovation (observation prediction mismatch) for a given time-step to a zero-mean Brownian increment corresponding to the measurement noise. This may be contrasted with the weight-based multiplicative updates in most particle filters that are known to precipitate the numerical problem of weight collapse within a finite-ensemble setting. A study to estimate the a-priori error bounds in the proposed scheme is undertaken. The numerical evidence, presently gathered from the assessed performance of the proposed and a few other competing filters on a class of nonlinear dynamic system identification and target tracking problems, is suggestive of the remarkably improved convergence and accuracy of the new filter. (C) 2013 Elsevier B.V. All rights reserved.

Particle filters for structural system identification using multiple test and sensor data: A combined computational and experimental study

The problem of structural system identification when measurements originate from multiple tests and multiple sensors is considered. An offline solution to this problem using bootstrap particle filtering is proposed. The central idea of the proposed method is the introduction of a dummy independent variable that allows for simultaneous assimilation of multiple measurements in a sequential manner. The method can treat linear/nonlinear structural models and allows for measurements on strains and displacements under static/dynamic loads. Illustrative examples consider measurement data from numerical models and also from laboratory experiments. The results from the proposed method are compared with those from a Kalman filter-based approach and the superior performance of the proposed method is demonstrated. Copyright (C) 2009 John Wiley & Sons, Ltd.

Iterated gain-based stochastic filters for dynamic system identification

We propose a novel form of nonlinear stochastic filtering based on an iterative evaluation of a Kalman-like gain matrix computed within a Monte Carlo scheme as suggested by the form of the parent equation of nonlinear filtering (Kushner-Stratonovich equation) and retains the simplicity of implementation of an ensemble Kalman filter (EnKF). The numerical results, presently obtained via EnKF-like simulations with or without a reduced-rank unscented transformation, clearly indicate remarkably superior filter convergence and accuracy vis-a-vis most available filtering schemes and eminent applicability of the methods to higher dimensional dynamic system identification problems of engineering interest. (C) 2013 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Nonlinear preconditioning for efficient and accurate interface capturing in simulation of multicomponent compressible flows

Single fluid schemes that rely on an interface function for phase identification in multicomponent compressible flows are widely used to study hydrodynamic flow phenomena in several diverse applications. Simulations based on standard numerical implementation of these schemes suffer from an artificial increase in the width of the interface function owing to the numerical dissipation introduced by an upwind discretization of the governing equations. In addition, monotonicity requirements which ensure that the sharp interface function remains bounded at all times necessitate use of low-order accurate discretization strategies. This results in a significant reduction in accuracy along with a loss of intricate flow features. In this paper we develop a nonlinear transformation based interface capturing method which achieves superior accuracy without compromising the simplicity, computational efficiency and robustness of the original flow solver. A nonlinear map from the signed distance function to the sigmoid type interface function is used to effectively couple a standard single fluid shock and interface capturing scheme with a high-order accurate constrained level set reinitialization method in a way that allows for oscillation-free transport of the sharp material interface. Imposition of a maximum principle, which ensures that the multidimensional preconditioned interface capturing method does not produce new maxima or minima even in the extreme events of interface merger or breakup, allows for an explicit determination of the interface thickness in terms of the grid spacing. A narrow band method is formulated in order to localize computations pertinent to the preconditioned interface capturing method. Numerical tests in one dimension reveal a significant improvement in accuracy and convergence; in stark contrast to the conventional scheme, the proposed method retains its accuracy and convergence characteristics in a shifted reference frame. Results from the test cases in two dimensions show that the nonlinear transformation based interface capturing method outperforms both the conventional method and an interface capturing method without nonlinear transformation in resolving intricate flow features such as sheet jetting in the shock-induced cavity collapse. The ability of the proposed method in accounting for the gravitational and surface tension forces besides compressibility is demonstrated through a model fully three-dimensional problem concerning droplet splash and formation of a crownlike feature. (C) 2014 Elsevier Inc. All rights reserved.

Iterated stochastic filters with additive updates for dynamic system identification: Annealing-type iterations and the filter bank

A nonlinear stochastic filtering scheme based on a Gaussian sum representation of the filtering density and an annealing-type iterative update, which is additive and uses an artificial diffusion parameter, is proposed. The additive nature of the update relieves the problem of weight collapse often encountered with filters employing weighted particle based empirical approximation to the filtering density. The proposed Monte Carlo filter bank conforms in structure to the parent nonlinear filtering (Kushner-Stratonovich) equation and possesses excellent mixing properties enabling adequate exploration of the phase space of the state vector. The performance of the filter bank, presently assessed against a few carefully chosen numerical examples, provide ample evidence of its remarkable performance in terms of filter convergence and estimation accuracy vis-a-vis most other competing filters especially in higher dimensional dynamic system identification problems including cases that may demand estimating relatively minor variations in the parameter values from their reference states. (C) 2014 Elsevier Ltd. All rights reserved.

VAM Applied to Dimensional Reduction of Nonlinear Multifunctional Film-fabric Laminates

This work aims at asymptotically accurate dimensional reduction of non-linear multi-functional film-fabric laminates having specific application in design of envelopes for High Altitude Airships (HAA). The film-fabric laminate for airship envelope consists of a woven fabric core coated with thin films on each face. These films provide UV protection and Helium leakage prevention, while the core provides required structural strength. This problem is both geometrically and materially non-linear. To incorporate the geometric non-linearity, generalized warping functions are used and finite deformations are allowed. The material non-linearity is handled by using hyper-elastic material models for each layer. The development begins with three-dimensional (3-D) nonlinear elasticity and mathematically splits the analysis into a one-dimensional through-the-thickness analysis and a two-dimensional (2-D) plate analysis. The through-the-thickness analysis provides the 2-D constitutive law which is then given as an input to the 2-D reference surface analysis. The dimensional reduction is carried out using Variational Asymptotic Method (VAM) for moderate strains and very small thickness-to-wavelength ratio. It features the identification and utilization of additional small parameters such as ratio of thicknesses and stiffness coefficients of core and films. Closed form analytical expressions for warping functions and 2-D constitutive law of the film-fabric laminate are obtained.

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.

Identification of actin as an estradiol 17-beta-stimulated protein in the human placenta

Addition of estradiol 17-beta to first trimester human placental minces resulted in an increased synthesis of a protein of apparent molecular weight 45 kDa. The specific involvement of estrogen in the stimulation of this protein was established by demonstrating a reduction in the level of this protein by the addition of CCS 16949 A, an inhibitor of aromatase, a key enzyme in the biosynthesis of estradiol 17-beta and ICI 182,780, an estrogen receptor antagonist. The protein was purified to homogeneity and N-terminal sequencing of two of the internal peptides obtained by enzymatic digestion of the protein, as well as the absence of a free N-terminal indicated that it could be actin. This was confirmed by Western blotting using commercially available actin antiserum. The role of estradiol 17-beta in the stimulation of actin synthesis in human placenta was also established by monitoring the quantitative inhibition of DNase I by actin.

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.