Approximate Bayesian techniques for inference in stochastic dynamical systems

This thesis is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variant of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here two new extended frameworks are derived and presented that are based on basis function expansions and local polynomial approximations of a recently proposed variational Bayesian algorithm. It is shown that the new extensions converge to the original variational algorithm and can be used for state estimation (smoothing). However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new methods are numerically validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein-Uhlenbeck process, for which the exact likelihood can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz '63 (3-dimensional model). The algorithms are also applied to the 40 dimensional stochastic Lorenz '96 system. In this investigation these new approaches are compared with a variety of other well known methods such as the ensemble Kalman filter / smoother, a hybrid Monte Carlo sampler, the dual unscented Kalman filter (for jointly estimating the systems states and model parameters) and full weak-constraint 4D-Var. Empirical analysis of their asymptotic behaviour as a function of observation density or length of time window increases is provided.

Estimating parameters in stochastic systems:a variational Bayesian approach

This work is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variation of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here a new extended framework is derived that is based on a local polynomial approximation of a recently proposed variational Bayesian algorithm. The paper begins by showing that the new extension of this variational algorithm can be used for state estimation (smoothing) and converges to the original algorithm. However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new approach is validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein–Uhlenbeck process, the exact likelihood of which can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz ’63 (3D model). As a special case the algorithm is also applied to the 40 dimensional stochastic Lorenz ’96 system. In our investigation we compare this new approach with a variety of other well known methods, such as the hybrid Monte Carlo, dual unscented Kalman filter, full weak-constraint 4D-Var algorithm and analyse empirically their asymptotic behaviour as a function of observation density or length of time window increases. In particular we show that we are able to estimate parameters in both the drift (deterministic) and the diffusion (stochastic) part of the model evolution equations using our new methods.

Satellite laser ranging and the ETALON Geodetic satellites

The technique of Satellite Laser Ranging is today a mature, important tool with applications in many area of geodynamics, geodesy and satellite dynamics. A global network of some 40 stations regularly obtains range observations with sub-cm precision to more than twelve orbiting spacecraft. At such levels of precision it is important to minimise potential sources of range bias in the observations, and part of the thesis is a study of subtle effects caused by the extended nature of the arrays of retro-reflectors on the satellites. We develop models that give a precise correction of the range measurements to the centres of mass of the geodetic satellites Lageos and Etalon, appropriate to a variety of different ranging systems, and use the Etalon values, which were not determined during pre-launch tests, in an extended orbital analysis. We have fitted continuous 2.5 year orbits to range observations of the Etalons from the global network of stations, and analysed the results by mapping the range residuals from these orbits into equivalent corrections to orbital elements over short time intervals. From these residuals we have detected and studied large un-modelled along-track accelerations associated with periods during which the satellites are undergoing eclipse by the Earth's shadow. We also find that the eccentricity residuals are significantly different for the two satellites, with Etalon-2 undergoing a year-long eccentricity anomaly similar in character to that experienced at intervals by Lageos-1. The nodal residuals show that the satellites define a very stable reference frame for Earth rotation determination, with very little drift-off during the 2.5 year period. We show that an analysis of more than about eight years of tracking data would be required to derive a significant value for 2. The reference frame defined by the station coordinates derived from the analyses shows very good agreement with that of ITRF93.

Synthesis and evaluation of N-(3-oxo-2,3-dihydro-1H-pyrazol-4-yl)-1H-indole-carboxamides as cholecystokinin antagonists

The structure-activity relationship optimization of the pyrazoline template 3a resulted in novel 3-oxo-1,2-diphenyl-2,3-dihydro-1H-pyrazol-4-yl)-indole carboxamides 4a-4e. These non-peptidal CCK ligands have been shown to act as potent CCK 1 ligands in a [125]I-CCK-8 receptor binding assay. The best amides (4c and 4d) of this series displayed an IC50 of 20/25 CCK 1 for the CCK 1 receptor. In a subsequent in-vivo evaluation using various behaviour pharmacological assays, an anxiolytic effect of these novel 3-oxo-1,2-diphenyl-2,3-dihydro-1H-pyrazol-4-yl)-indole carboxamides was found at high doses in the elevated plus-maze. In the despair swimming test, a model for testing antidepressants, an ED50 of 0.33/0.41 mg kg -1 was determined for amide 4c/4d and the antidepressant effect had a magnitude comparable to desimipramine. © 2006 The Authors.