Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

Direct torque control of permanent magnet synchronous machines - analysis and implementation

Thedirect torque control (DTC) has become an accepted vector control method besidethe current vector control. The DTC was first applied to asynchronous machines,and has later been applied also to synchronous machines. This thesis analyses the application of the DTC to permanent magnet synchronous machines (PMSM). In order to take the full advantage of the DTC, the PMSM has to be properly dimensioned. Therefore the effect of the motor parameters is analysed taking the control principle into account. Based on the analysis, a parameter selection procedure is presented. The analysis and the selection procedure utilize nonlinear optimization methods. The key element of a direct torque controlled drive is the estimation of the stator flux linkage. Different estimation methods - a combination of current and voltage models and improved integration methods - are analysed. The effect of an incorrect measured rotor angle in the current model is analysed andan error detection and compensation method is presented. The dynamic performance of an earlier presented sensorless flux estimation method is made better by improving the dynamic performance of the low-pass filter used and by adapting the correction of the flux linkage to torque changes. A method for the estimation ofthe initial angle of the rotor is presented. The method is based on measuring the inductance of the machine in several directions and fitting the measurements into a model. The model is nonlinear with respect to the rotor angle and therefore a nonlinear least squares optimization method is needed in the procedure. A commonly used current vector control scheme is the minimum current control. In the DTC the stator flux linkage reference is usually kept constant. Achieving the minimum current requires the control of the reference. An on-line method to perform the minimization of the current by controlling the stator flux linkage reference is presented. Also, the control of the reference above the base speed is considered. A new estimation flux linkage is introduced for the estimation of the parameters of the machine model. In order to utilize the flux linkage estimates in off-line parameter estimation, the integration methods are improved. An adaptive correction is used in the same way as in the estimation of the controller stator flux linkage. The presented parameter estimation methods are then used in aself-commissioning scheme. The proposed methods are tested with a laboratory drive, which consists of a commercial inverter hardware with a modified software and several prototype PMSMs.

Automated, adaptive methods for forest inventory

Forest inventories are used to estimate forest characteristics and the condition of forest for many different applications: operational tree logging for forest industry, forest health state estimation, carbon balance estimation, land-cover and land use analysis in order to avoid forest degradation etc. Recent inventory methods are strongly based on remote sensing data combined with field sample measurements, which are used to define estimates covering the whole area of interest. Remote sensing data from satellites, aerial photographs or aerial laser scannings are used, depending on the scale of inventory. To be applicable in operational use, forest inventory methods need to be easily adjusted to local conditions of the study area at hand. All the data handling and parameter tuning should be objective and automated as much as possible. The methods also need to be robust when applied to different forest types. Since there generally are no extensive direct physical models connecting the remote sensing data from different sources to the forest parameters that are estimated, mathematical estimation models are of "black-box" type, connecting the independent auxiliary data to dependent response data with linear or nonlinear arbitrary models. To avoid redundant complexity and over-fitting of the model, which is based on up to hundreds of possibly collinear variables extracted from the auxiliary data, variable selection is needed. To connect the auxiliary data to the inventory parameters that are estimated, field work must be performed. In larger study areas with dense forests, field work is expensive, and should therefore be minimized. To get cost-efficient inventories, field work could partly be replaced with information from formerly measured sites, databases. The work in this thesis is devoted to the development of automated, adaptive computation methods for aerial forest inventory. The mathematical model parameter definition steps are automated, and the cost-efficiency is improved by setting up a procedure that utilizes databases in the estimation of new area characteristics.

Efficient Optimization Algorithms for Nonlinear Data Analysis

Identification of low-dimensional structures and main sources of variation from multivariate data are fundamental tasks in data analysis. Many methods aimed at these tasks involve solution of an optimization problem. Thus, the objective of this thesis is to develop computationally efficient and theoretically justified methods for solving such problems. Most of the thesis is based on a statistical model, where ridges of the density estimated from the data are considered as relevant features. Finding ridges, that are generalized maxima, necessitates development of advanced optimization methods. An efficient and convergent trust region Newton method for projecting a point onto a ridge of the underlying density is developed for this purpose. The method is utilized in a differential equation-based approach for tracing ridges and computing projection coordinates along them. The density estimation is done nonparametrically by using Gaussian kernels. This allows application of ridge-based methods with only mild assumptions on the underlying structure of the data. The statistical model and the ridge finding methods are adapted to two different applications. The first one is extraction of curvilinear structures from noisy data mixed with background clutter. The second one is a novel nonlinear generalization of principal component analysis (PCA) and its extension to time series data. The methods have a wide range of potential applications, where most of the earlier approaches are inadequate. Examples include identification of faults from seismic data and identification of filaments from cosmological data. Applicability of the nonlinear PCA to climate analysis and reconstruction of periodic patterns from noisy time series data are also demonstrated. Other contributions of the thesis include development of an efficient semidefinite optimization method for embedding graphs into the Euclidean space. The method produces structure-preserving embeddings that maximize interpoint distances. It is primarily developed for dimensionality reduction, but has also potential applications in graph theory and various areas of physics, chemistry and engineering. Asymptotic behaviour of ridges and maxima of Gaussian kernel densities is also investigated when the kernel bandwidth approaches infinity. The results are applied to the nonlinear PCA and to finding significant maxima of such densities, which is a typical problem in visual object tracking.

Initialization of Continuous Nonlinear Models Using Extended Kalman Filter

The two main objectives of Bayesian inference are to estimate parameters and states. In this thesis, we are interested in how this can be done in the framework of state-space models when there is a complete or partial lack of knowledge of the initial state of a continuous nonlinear dynamical system. In literature, similar problems have been referred to as diffuse initialization problems. This is achieved first by extending the previously developed diffuse initialization Kalman filtering techniques for discrete systems to continuous systems. The second objective is to estimate parameters using MCMC methods with a likelihood function obtained from the diffuse filtering. These methods are tried on the data collected from the 1995 Ebola outbreak in Kikwit, DRC in order to estimate the parameters of the system.