Variational mean-field algorithm for efficient inference in large systems of stochastic differential equations

This work introduces a Gaussian variational mean-field approximation for inference in dynamical systems which can be modeled by ordinary stochastic differential equations. This new approach allows one to express the variational free energy as a functional of the marginal moments of the approximating Gaussian process. A restriction of the moment equations to piecewise polynomial functions, over time, dramatically reduces the complexity of approximate inference for stochastic differential equation models and makes it comparable to that of discrete time hidden Markov models. The algorithm is demonstrated on state and parameter estimation for nonlinear problems with up to 1000 dimensional state vectors and compares the results empirically with various well-known inference methodologies.

A mixture density network approach to modelling and exploiting uncertainty in nonlinear control problems

In nonlinear and stochastic control problems, learning an efficient feed-forward controller is not amenable to conventional neurocontrol methods. For these approaches, estimating and then incorporating uncertainty in the controller and feed-forward models can produce more robust control results. Here, we introduce a novel inversion-based neurocontroller for solving control problems involving uncertain nonlinear systems which could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. Based on importance sampling from these distributions a novel robust inverse control approach is obtained. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The developed methodology circumvents the dynamic programming problem by using the predicted neural network uncertainty to localise the possible control solutions to consider. A nonlinear multi-variable system with different delays between the input-output pairs is used to demonstrate the successful application of the developed control algorithm. The proposed method is suitable for redundant control systems and allows us to model strongly non-Gaussian distributions of control signal as well as processes with hysteresis. © 2004 Elsevier Ltd. All rights reserved.

Multi-valued control problems and mixture density network

We have proposed a novel robust inversion-based neurocontroller that searches for the optimal control law by sampling from the estimated Gaussian distribution of the inverse plant model. However, for problems involving the prediction of continuous variables, a Gaussian model approximation provides only a very limited description of the properties of the inverse model. This is usually the case for problems in which the mapping to be learned is multi-valued or involves hysteritic transfer characteristics. This often arises in the solution of inverse plant models. In order to obtain a complete description of the inverse model, a more general multicomponent distributions must be modeled. In this paper we test whether our proposed sampling approach can be used when considering an arbitrary conditional probability distributions. These arbitrary distributions will be modeled by a mixture density network. Importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The effectiveness of the importance sampling from an arbitrary conditional probability distribution will be demonstrated using a simple single input single output static nonlinear system with hysteretic characteristics in the inverse plant model.

Robust control of nonlinear stochastic systems by modelling conditional distributions of control signals

We introduce a novel inversion-based neuro-controller for solving control problems involving uncertain nonlinear systems that could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. In this work a novel robust inverse control approach is obtained based on importance sampling from these distributions. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The performance of the new algorithm is illustrated through simulations with example systems.

Nonlinear dynamics of a periodically driven Duffing resonator coupled to a Van der Pol oscillator

We explore the dynamics of a periodically driven Duffing resonator coupled elastically to a van der Pol oscillator in the case of 1?:?1 internal resonance in the cases of weak and strong coupling. Whilst strong coupling leads to dominating synchronization, the weak coupling case leads to a multitude of complex behaviours. A two-time scales method is used to obtain the frequency-amplitude modulation. The internal resonance leads to an antiresonance response of the Duffing resonator and a stagnant response (a small shoulder in the curve) of the van der Pol oscillator. The stability of the dynamic motions is also analyzed. The coupled system shows a hysteretic response pattern and symmetry-breaking facets. Chaotic behaviour of the coupled system is also observed and the dependence of the system dynamics on the parameters are also studied using bifurcation analysis.

Analysis of magnetoencephaoographic data as a nonlinear dynamical system

This thesis presents the results from an investigation into the merits of analysing Magnetoencephalographic (MEG) data in the context of dynamical systems theory. MEG is the study of both the methods for the measurement of minute magnetic flux variations at the scalp, resulting from neuro-electric activity in the neocortex, as well as the techniques required to process and extract useful information from these measurements. As a result of its unique mode of action - by directly measuring neuronal activity via the resulting magnetic field fluctuations - MEG possesses a number of useful qualities which could potentially make it a powerful addition to any brain researcher's arsenal. Unfortunately, MEG research has so far failed to fulfil its early promise, being hindered in its progress by a variety of factors. Conventionally, the analysis of MEG has been dominated by the search for activity in certain spectral bands - the so-called alpha, delta, beta, etc that are commonly referred to in both academic and lay publications. Other efforts have centred upon generating optimal fits of "equivalent current dipoles" that best explain the observed field distribution. Many of these approaches carry the implicit assumption that the dynamics which result in the observed time series are linear. This is despite a variety of reasons which suggest that nonlinearity might be present in MEG recordings. By using methods that allow for nonlinear dynamics, the research described in this thesis avoids these restrictive linearity assumptions. A crucial concept underpinning this project is the belief that MEG recordings are mere observations of the evolution of the true underlying state, which is unobservable and is assumed to reflect some abstract brain cognitive state. Further, we maintain that it is unreasonable to expect these processes to be adequately described in the traditional way: as a linear sum of a large number of frequency generators. One of the main objectives of this thesis will be to prove that much more effective and powerful analysis of MEG can be achieved if one were to assume the presence of both linear and nonlinear characteristics from the outset. Our position is that the combined action of a relatively small number of these generators, coupled with external and dynamic noise sources, is more than sufficient to account for the complexity observed in the MEG recordings. Another problem that has plagued MEG researchers is the extremely low signal to noise ratios that are obtained. As the magnetic flux variations resulting from actual cortical processes can be extremely minute, the measuring devices used in MEG are, necessarily, extremely sensitive. The unfortunate side-effect of this is that even commonplace phenomena such as the earth's geomagnetic field can easily swamp signals of interest. This problem is commonly addressed by averaging over a large number of recordings. However, this has a number of notable drawbacks. In particular, it is difficult to synchronise high frequency activity which might be of interest, and often these signals will be cancelled out by the averaging process. Other problems that have been encountered are high costs and low portability of state-of-the- art multichannel machines. The result of this is that the use of MEG has, hitherto, been restricted to large institutions which are able to afford the high costs associated with the procurement and maintenance of these machines. In this project, we seek to address these issues by working almost exclusively with single channel, unaveraged MEG data. We demonstrate the applicability of a variety of methods originating from the fields of signal processing, dynamical systems, information theory and neural networks, to the analysis of MEG data. It is noteworthy that while modern signal processing tools such as independent component analysis, topographic maps and latent variable modelling have enjoyed extensive success in a variety of research areas from financial time series modelling to the analysis of sun spot activity, their use in MEG analysis has thus far been extremely limited. It is hoped that this work will help to remedy this oversight.

Exploiting uncertainty in nonlinear stochastic control problem

This work introduces a novel inversion-based neurocontroller for solving control problems involving uncertain nonlinear systems which could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. Based on importance sampling from these distributions a novel robust inverse control approach is obtained. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The developed methodology circumvents the dynamic programming problem by using the predicted neural network uncertainty to localise the possible control solutions to consider. Convergence of the output error for the proposed control method is verified by using a Lyapunov function. Several simulation examples are provided to demonstrate the efficiency of the developed control method. The manner in which such a method is extended to nonlinear multi-variable systems with different delays between the input-output pairs is considered and demonstrated through simulation examples.

Random input problem for the nonlinear Schrödinger equation

We consider the random input problem for a nonlinear system modeled by the integrable one-dimensional self-focusing nonlinear Schrödinger equation (NLSE). We concentrate on the properties obtained from the direct scattering problem associated with the NLSE. We discuss some general issues regarding soliton creation from random input. We also study the averaged spectral density of random quasilinear waves generated in the NLSE channel for two models of the disordered input field profile. The first model is symmetric complex Gaussian white noise and the second one is a real dichotomous (telegraph) process. For the former model, the closed-form expression for the averaged spectral density is obtained, while for the dichotomous real input we present the small noise perturbative expansion for the same quantity. In the case of the dichotomous input, we also obtain the distribution of minimal pulse width required for a soliton generation. The obtained results can be applied to a multitude of problems including random nonlinear Fraunhoffer diffraction, transmission properties of randomly apodized long period Fiber Bragg gratings, and the propagation of incoherent pulses in optical fibers.

Multi-threaded parallel simulation of non-local non-linear problems in ultrashort laser pulse propagation in the presence of plasma

We describe a parallel multi-threaded approach for high performance modelling of wide class of phenomena in ultrafast nonlinear optics. Specific implementation has been performed using the highly parallel capabilities of a programmable graphics processor. © 2011 SPIE.