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.

A Bayesian state space modelling approach to probabilistic quantitative precipitation forecasting

The generation of very short range forecasts of precipitation in the 0-6 h time window is traditionally referred to as nowcasting. Most existing nowcasting systems essentially extrapolate radar observations in some manner, however, very few systems account for the uncertainties involved. Thus deterministic forecast are produced, which have a limited use when decisions must be made, since they have no measure of confidence or spread of the forecast. This paper develops a Bayesian state space modelling framework for quantitative precipitation nowcasting which is probabilistic from conception. The model treats the observations (radar) as noisy realisations of the underlying true precipitation process, recognising that this process can never be completely known, and thus must be represented probabilistically. In the model presented here the dynamics of the precipitation are dominated by advection, so this is a probabilistic extrapolation forecast. The model is designed in such a way as to minimise the computational burden, while maintaining a full, joint representation of the probability density function of the precipitation process. The update and evolution equations avoid the need to sample, thus only one model needs be run as opposed to the more traditional ensemble route. It is shown that the model works well on both simulated and real data, but that further work is required before the model can be used operationally. © 2004 Elsevier B.V. All rights reserved.

New nonlinear regimes of pulse generation in mode- locked fiber lasers

Mode-locked fiber lasers provide convenient and reproducible experimental settings for the study of a variety of nonlinear dynamical processes. The complex interplay among the effects of gain/loss, dispersion and nonlinearity in a fiber cavity can be used to shape the pulses and manipulate and control the light dynamics and, hence, lead to different mode-locking regimes. Major steps forward in pulse energy and peak power performance of passively mode-locked fiber lasers have been made with the recent discovery of new nonlinear regimes of pulse generation, namely, dissipative solitons in all-normal-dispersion cavities and parabolic self-similar pulses (similaritons) in passive and active fibers. Despite substantial research in this field, qualitatively new phenomena are still being discovered. In this talk, we review recent progress in the research on nonlinear mechanisms of pulse generation in passively mode-locked fiber lasers. These include similariton mode-locking, a mode-locking regime featuring pulses with a triangular distribution of the intensity, and spectral compression arising from nonlinear pulse propagation. We also report on the possibility of achieving various regimes of advanced temporal waveform generation in a mode-locked fiber laser by inclusion of a spectral filter into the laser cavity.