Performance analysis of adaptive lattice filters for FM signals and alpha-stable processes

The performance of an adaptive filter may be studied through the behaviour of the optimal and adaptive coefficients in a given environment. This thesis investigates the performance of finite impulse response adaptive lattice filters for two classes of input signals: (a) frequency modulated signals with polynomial phases of order p in complex Gaussian white noise (as nonstationary signals), and (b) the impulsive autoregressive processes with alpha-stable distributions (as non-Gaussian signals). Initially, an overview is given for linear prediction and adaptive filtering. The convergence and tracking properties of the stochastic gradient algorithms are discussed for stationary and nonstationary input signals. It is explained that the stochastic gradient lattice algorithm has many advantages over the least-mean square algorithm. Some of these advantages are having a modular structure, easy-guaranteed stability, less sensitivity to the eigenvalue spread of the input autocorrelation matrix, and easy quantization of filter coefficients (normally called reflection coefficients). We then characterize the performance of the stochastic gradient lattice algorithm for the frequency modulated signals through the optimal and adaptive lattice reflection coefficients. This is a difficult task due to the nonlinear dependence of the adaptive reflection coefficients on the preceding stages and the input signal. To ease the derivations, we assume that reflection coefficients of each stage are independent of the inputs to that stage. Then the optimal lattice filter is derived for the frequency modulated signals. This is performed by computing the optimal values of residual errors, reflection coefficients, and recovery errors. Next, we show the tracking behaviour of adaptive reflection coefficients for frequency modulated signals. This is carried out by computing the tracking model of these coefficients for the stochastic gradient lattice algorithm in average. The second-order convergence of the adaptive coefficients is investigated by modeling the theoretical asymptotic variance of the gradient noise at each stage. The accuracy of the analytical results is verified by computer simulations. Using the previous analytical results, we show a new property, the polynomial order reducing property of adaptive lattice filters. This property may be used to reduce the order of the polynomial phase of input frequency modulated signals. Considering two examples, we show how this property may be used in processing frequency modulated signals. In the first example, a detection procedure in carried out on a frequency modulated signal with a second-order polynomial phase in complex Gaussian white noise. We showed that using this technique a better probability of detection is obtained for the reduced-order phase signals compared to that of the traditional energy detector. Also, it is empirically shown that the distribution of the gradient noise in the first adaptive reflection coefficients approximates the Gaussian law. In the second example, the instantaneous frequency of the same observed signal is estimated. We show that by using this technique a lower mean square error is achieved for the estimated frequencies at high signal-to-noise ratios in comparison to that of the adaptive line enhancer. The performance of adaptive lattice filters is then investigated for the second type of input signals, i.e., impulsive autoregressive processes with alpha-stable distributions . The concept of alpha-stable distributions is first introduced. We discuss that the stochastic gradient algorithm which performs desirable results for finite variance input signals (like frequency modulated signals in noise) does not perform a fast convergence for infinite variance stable processes (due to using the minimum mean-square error criterion). To deal with such problems, the concept of minimum dispersion criterion, fractional lower order moments, and recently-developed algorithms for stable processes are introduced. We then study the possibility of using the lattice structure for impulsive stable processes. Accordingly, two new algorithms including the least-mean P-norm lattice algorithm and its normalized version are proposed for lattice filters based on the fractional lower order moments. Simulation results show that using the proposed algorithms, faster convergence speeds are achieved for parameters estimation of autoregressive stable processes with low to moderate degrees of impulsiveness in comparison to many other algorithms. Also, we discuss the effect of impulsiveness of stable processes on generating some misalignment between the estimated parameters and the true values. Due to the infinite variance of stable processes, the performance of the proposed algorithms is only investigated using extensive computer simulations.

Stochastic modelling of T cell homeostasis for two competing clonotypes via the master equation

Stochastic models for competing clonotypes of T cells by multivariate, continuous-time, discrete state, Markov processes have been proposed in the literature by Stirk, Molina-París and van den Berg (2008). A stochastic modelling framework is important because of rare events associated with small populations of some critical cell types. Usually, computational methods for these problems employ a trajectory-based approach, based on Monte Carlo simulation. This is partly because the complementary, probability density function (PDF) approaches can be expensive but here we describe some efficient PDF approaches by directly solving the governing equations, known as the Master Equation. These computations are made very efficient through an approximation of the state space by the Finite State Projection and through the use of Krylov subspace methods when evolving the matrix exponential. These computational methods allow us to explore the evolution of the PDFs associated with these stochastic models, and bimodal distributions arise in some parameter regimes. Time-dependent propensities naturally arise in immunological processes due to, for example, age-dependent effects. Incorporating time-dependent propensities into the framework of the Master Equation significantly complicates the corresponding computational methods but here we describe an efficient approach via Magnus formulas. Although this contribution focuses on the example of competing clonotypes, the general principles are relevant to multivariate Markov processes and provide fundamental techniques for computational immunology.

Stochastic simulation for spatial modelling of dynamic process in a living cell

One of the fundamental motivations underlying computational cell biology is to gain insight into the complicated dynamical processes taking place, for example, on the plasma membrane or in the cytosol of a cell. These processes are often so complicated that purely temporal mathematical models cannot adequately capture the complex chemical kinetics and transport processes of, for example, proteins or vesicles. On the other hand, spatial models such as Monte Carlo approaches can have very large computational overheads. This chapter gives an overview of the state of the art in the development of stochastic simulation techniques for the spatial modelling of dynamic processes in a living cell.

Stochastic chemical kinetics and the quasi-steady-state assumption : application to the stochastic simulation algorithm and chemical master equation

Recently the application of the quasi-steady-state approximation (QSSA) to the stochastic simulation algorithm (SSA) was suggested for the purpose of speeding up stochastic simulations of chemical systems that involve both relatively fast and slow chemical reactions [Rao and Arkin, J. Chem. Phys. 118, 4999 (2003)] and further work has led to the nested and slow-scale SSA. Improved numerical efficiency is obtained by respecting the vastly different time scales characterizing the system and then by advancing only the slow reactions exactly, based on a suitable approximation to the fast reactions. We considerably extend these works by applying the QSSA to numerical methods for the direct solution of the chemical master equation (CME) and, in particular, to the finite state projection algorithm [Munsky and Khammash, J. Chem. Phys. 124, 044104 (2006)], in conjunction with Krylov methods. In addition, we point out some important connections to the literature on the (deterministic) total QSSA (tQSSA) and place the stochastic analogue of the QSSA within the more general framework of aggregation of Markov processes. We demonstrate the new methods on four examples: Michaelis–Menten enzyme kinetics, double phosphorylation, the Goldbeter–Koshland switch, and the mitogen activated protein kinase cascade. Overall, we report dramatic improvements by applying the tQSSA to the CME solver.

An approximate Bayesian computation approach for estimating parameters of complex environmental processes in a cellular automata

Modelling an environmental process involves creating a model structure and parameterising the model with appropriate values to accurately represent the process. Determining accurate parameter values for environmental systems can be challenging. Existing methods for parameter estimation typically make assumptions regarding the form of the Likelihood, and will often ignore any uncertainty around estimated values. This can be problematic, however, particularly in complex problems where Likelihoods may be intractable. In this paper we demonstrate an Approximate Bayesian Computational method for the estimation of parameters of a stochastic CA. We use as an example a CA constructed to simulate a range expansion such as might occur after a biological invasion, making parameter estimates using only count data such as could be gathered from field observations. We demonstrate ABC is a highly useful method for parameter estimation, with accurate estimates of parameters that are important for the management of invasive species such as the intrinsic rate of increase and the point in a landscape where a species has invaded. We also show that the method is capable of estimating the probability of long distance dispersal, a characteristic of biological invasions that is very influential in determining spread rates but has until now proved difficult to estimate accurately.

Critical time scales for advection–diffusion–reaction processes

The concept of local accumulation time (LAT) was introduced by Berezhkovskii and coworkers in 2010–2011 to give a finite measure of the time required for the transient solution of a reaction–diffusion equation to approach the steady–state solution (Biophys J. 99, L59 (2010); Phys Rev E. 83, 051906 (2011)). Such a measure is referred to as a critical time. Here, we show that LAT is, in fact, identical to the concept of mean action time (MAT) that was first introduced by McNabb in 1991 (IMA J Appl Math. 47, 193 (1991)). Although McNabb’s initial argument was motivated by considering the mean particle lifetime (MPLT) for a linear death process, he applied the ideas to study diffusion. We extend the work of these authors by deriving expressions for the MAT for a general one–dimensional linear advection–diffusion–reaction problem. Using a combination of continuum and discrete approaches, we show that MAT and MPLT are equivalent for certain uniform–to-uniform transitions; these results provide a practical interpretation for MAT, by directly linking the stochastic microscopic processes to a meaningful macroscopic timescale. We find that for more general transitions, the equivalence between MAT and MPLT does not hold. Unlike other critical time definitions, we show that it is possible to evaluate the MAT without solving the underlying partial differential equation (pde). This makes MAT a simple and attractive quantity for practical situations. Finally, our work explores the accuracy of certain approximations derived using the MAT, showing that useful approximations for nonlinear kinetic processes can be obtained, again without treating the governing pde directly.

Modelling passenger flow at airport terminals : individual agent decision model for stochastic passenger behaviour

Airport system is complex. Passenger dynamics within it appear to be complicate as well. Passenger behaviours outside standard processes are regarded more significant in terms of public hazard and service rate issues. In this paper, we devised an individual agent decision model to simulate stochastic passenger behaviour in airport departure terminal. Bayesian networks are implemented into the decision making model to infer the probabilities that passengers choose to use any in-airport facilities. We aim to understand dynamics of the discretionary activities of passengers.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

General order conditions for stochastic Runge-Kutta methods for both commuting and non-commuting stochastic ordinary differential equation systems

In many modeling situations in which parameter values can only be estimated or are subject to noise, the appropriate mathematical representation is a stochastic ordinary differential equation (SODE). However, unlike the deterministic case in which there are suites of sophisticated numerical methods, numerical methods for SODEs are much less sophisticated. Until a recent paper by K. Burrage and P.M. Burrage (1996), the highest strong order of a stochastic Runge-Kutta method was one. But K. Burrage and P.M. Burrage (1996) showed that by including additional random variable terms representing approximations to the higher order Stratonovich (or Ito) integrals, higher order methods could be constructed. However, this analysis applied only to the one Wiener process case. In this paper, it will be shown that in the multiple Wiener process case all known stochastic Runge-Kutta methods can suffer a severe order reduction if there is non-commutativity between the functions associated with the Wiener processes. Importantly, however, it is also suggested how this order can be repaired if certain commutator operators are included in the Runge-Kutta formulation. (C) 1998 Elsevier Science B.V. and IMACS. All rights reserved.

Motion planning and stochastic control with experimental validation on a planetary rover

Motion planning for planetary rovers must consider control uncertainty in order to maintain the safety of the platform during navigation. Modelling such control uncertainty is difficult due to the complex interaction between the platform and its environment. In this paper, we propose a motion planning approach whereby the outcome of control actions is learned from experience and represented statistically using a Gaussian process regression model. This model is used to construct a control policy for navigation to a goal region in a terrain map built using an on-board RGB-D camera. The terrain includes flat ground, small rocks, and non-traversable rocks. We report the results of 200 simulated and 35 experimental trials that validate the approach and demonstrate the value of considering control uncertainty in maintaining platform safety.

Visualization of predictive distributions for discrete spatial-temporal log Cox processes approximated with MCMC

An important aspect of decision support systems involves applying sophisticated and flexible statistical models to real datasets and communicating these results to decision makers in interpretable ways. An important class of problem is the modelling of incidence such as fire, disease etc. Models of incidence known as point processes or Cox processes are particularly challenging as they are ‘doubly stochastic’ i.e. obtaining the probability mass function of incidents requires two integrals to be evaluated. Existing approaches to the problem either use simple models that obtain predictions using plug-in point estimates and do not distinguish between Cox processes and density estimation but do use sophisticated 3D visualization for interpretation. Alternatively other work employs sophisticated non-parametric Bayesian Cox process models, but do not use visualization to render interpretable complex spatial temporal forecasts. The contribution here is to fill this gap by inferring predictive distributions of Gaussian-log Cox processes and rendering them using state of the art 3D visualization techniques. This requires performing inference on an approximation of the model on a discretized grid of large scale and adapting an existing spatial-diurnal kernel to the log Gaussian Cox process context.