Monte Carlo simulation of streamflow of the Salt River, Arizona

EXTRACT (SEE PDF FOR FULL ABSTRACT): Evaluations of the impact of climate change (such as a greenhouse effect) upon water resources should represent both the expected change and the uncertainty in that expectation. Since water resources such as streamflow and reservoir levels depend on a variety of factors, each of which is subject to significant uncertainty, it is desirable to formulate methods of representing that uncertainty in the forcing factors and from this determine the uncertainty in the response variables of interest. We report here progress in the representation of the uncertainty in climate upon the uncertainty in the estimated hydrologic response.

Blind equalization and sequence estimation using Markov chain Monte Carlo methods

This paper discusses the problem of restoring a digital input signal that has been degraded by an unknown FIR filter in noise, using the Gibbs sampler. A method for drawing a random sample of a sequence of bits is presented; this is shown to have faster convergence than a scheme by Chen and Li, which draws bits independently. ©1998 IEEE.

An overview of Sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, provide very good numerical approximations to the associated optimal state estimation problems. However, in many scenarios, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard SMC methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed to perform static parameter estimation in general state-space models. We discuss the advantages and limitations of these methods. © 2009 IFAC.