Applying the extended Kalman filter to systems described by nonlinear differential-algebraic equations

This paper describes a method for the state estimation of nonlinear systems described by a class of differential-algebraic equation models using the extended Kalman filter. The method involves the use of a time-varying linearisation of a semi-explicit index one differential-algebraic equation. The estimation technique consists of a simplified extended Kalman filter that is integrated with the differential-algebraic equation model. The paper describes a simulation study using a model of a batch chemical reactor. It also reports a study based on experimental data obtained from a mixing process, where the model of the system is solved using the sequential modular method and the estimation involves a bank of extended Kalman filters.

The effect of asymmetries on optimal hedge ratios

There is widespread evidence that the volatility of stock returns displays an asymmetric response to good and bad news. This article considers the impact of asymmetry on time-varying hedges for financial futures. An asymmetric model that allows forecasts of cash and futures return volatility to respond differently to positive and negative return innovations gives superior in-sample hedging performance. However, the simpler symmetric model is not inferior in a hold-out sample. A method for evaluating the models in a modern risk-management framework is presented, highlighting the importance of allowing optimal hedge ratios to be both time-varying and asymmetric.

Bifurcation Analysis of Eigenstructure Assignment Control in a Simple Nonlinear Aircraft Model

Aircraft systems are highly nonlinear and time varying. High-performance aircraft at high angles of incidence experience undesired coupling of the lateral and longitudinal variables, resulting in departure from normal controlled � ight. The construction of a robust closed-loop control that extends the stable and decoupled � ight envelope as far as possible is pursued. For the study of these systems, nonlinear analysis methods are needed. Previously, bifurcation techniques have been used mainly to analyze open-loop nonlinear aircraft models and to investigate control effects on dynamic behavior. Linear feedback control designs constructed by eigenstructure assignment methods at a � xed � ight condition are investigated for a simple nonlinear aircraft model. Bifurcation analysis, in conjunction with linear control design methods, is shown to aid control law design for the nonlinear system.

Closed loop design for a simple nonlinear aircraft model using eigenstructure assignment

Aircraft systems are highly nonlinear and time varying. High-performance aircraft at high angles of incidence experience undesired coupling of the lateral and longitudinal variables, resulting in departure from normal controlled flight. The aim of this work is to construct a robust closed-loop control that optimally extends the stable and decoupled flight envelope. For the study of these systems nonlinear analysis methods are needed. Previously, bifurcation techniques have been used mainly to analyze open-loop nonlinear aircraft models and investigate control effects on dynamic behavior. In this work linear feedback control designs calculated by eigenstructure assignment methods are investigated for a simple aircraft model at a fixed flight condition. Bifurcation analysis in conjunction with linear control design methods is shown to aid control law design for the nonlinear system.

Comparison of the open-closed separatrix in a global magnetospheric simulation with observations: the role of the ring current

The development of global magnetospheric models, such as Space Weather Modeling Framework (SWMF), which can accurately reproduce and track space weather processes has high practical utility. We present an interval on 5 June 1998, where the location of the polar cap boundary, or open-closed field line boundary (OCB), can be determined in the ionosphere using a combination of instruments during a period encompassing a sharp northward to southward interplanetary field turning. We present both point- and time-varying comparisons of the observed and simulated boundaries in the ionosphere and find that when using solely the coupled ideal magnetohydrodynamic magnetosphere-ionosphere model, the rate of change of the OCB to a southward turning of the interplanetary field is significantly faster than that computed from the observational data. However, when the inner magnetospheric module is incorporated, the modeling framework both qualitatively, and often quantitatively, reproduces many elements of the studied interval prior to an observed substorm onset. This result demonstrates that the physics of the inner magnetosphere is critical in shaping the boundary between open and closed field lines during periods of southward interplanetary magnetic field (IMF) and provides significant insight into the 3-D time-dependent behavior of the Earth's magnetosphere in response to a northward-southward IMF turning. We assert that during periods that do not include the tens of minutes surrounding substorm expansion phase onset, the coupled SWMF model may provide a valuable and reliable tool for estimating both the OCB and magnetic field topology over a wide range of latitudes and local times.

A three-compartment model of the hemodynamic response and oxygen delivery to brain

We describe a mathematical model linking changes in cerebral blood flow, blood volume and the blood oxygenation state in response to stimulation. The model has three compartments to take into account the fact that the cerebral blood flow and volume as measured concurrently using laser Doppler flowmetry and optical imaging spectroscopy have contributions from the arterial, capillary as well as the venous compartments of the vasculature. It is an extension to previous one-compartment hemodynamic models which assume that the measured blood volume changes are from the venous compartment only. An important assumption of the model is that the tissue oxygen concentration is a time varying state variable of the system and is driven by the changes in metabolic demand resulting from changes in neural activity. The model takes into account the pre-capillary oxygen diffusion by flexibly allowing the saturation of the arterial compartment to be less than unity. Simulations are used to explore the sensitivity of the model and to optimise the parameters for experimental data. We conclude that the three-compartment model was better than the one-compartment model at capturing the hemodynamics of the response to changes in neural activation following stimulation.

Online bayesian inference in some time-frequency representations of non-stationary processes

The use of Bayesian inference in the inference of time-frequency representations has, thus far, been limited to offline analysis of signals, using a smoothing spline based model of the time-frequency plane. In this paper we introduce a new framework that allows the routine use of Bayesian inference for online estimation of the time-varying spectral density of a locally stationary Gaussian process. The core of our approach is the use of a likelihood inspired by a local Whittle approximation. This choice, along with the use of a recursive algorithm for non-parametric estimation of the local spectral density, permits the use of a particle filter for estimating the time-varying spectral density online. We provide demonstrations of the algorithm through tracking chirps and the analysis of musical data.

Calibration of structure in a distributed forecasting model for a semiarid flash flood: dynamic surface storage and channel roughness

Flash floods pose a significant danger for life and property. Unfortunately, in arid and semiarid environment the runoff generation shows a complex non-linear behavior with a strong spatial and temporal non-uniformity. As a result, the predictions made by physically-based simulations in semiarid areas are subject to great uncertainty, and a failure in the predictive behavior of existing models is common. Thus better descriptions of physical processes at the watershed scale need to be incorporated into the hydrological model structures. For example, terrain relief has been systematically considered static in flood modelling at the watershed scale. Here, we show that the integrated effect of small distributed relief variations originated through concurrent hydrological processes within a storm event was significant on the watershed scale hydrograph. We model these observations by introducing dynamic formulations of two relief-related parameters at diverse scales: maximum depression storage, and roughness coefficient in channels. In the final (a posteriori) model structure these parameters are allowed to be both time-constant or time-varying. The case under study is a convective storm in a semiarid Mediterranean watershed with ephemeral channels and high agricultural pressures (the Rambla del Albujón watershed; 556 km 2 ), which showed a complex multi-peak response. First, to obtain quasi-sensible simulations in the (a priori) model with time-constant relief-related parameters, a spatially distributed parameterization was strictly required. Second, a generalized likelihood uncertainty estimation (GLUE) inference applied to the improved model structure, and conditioned to observed nested hydrographs, showed that accounting for dynamic relief-related parameters led to improved simulations. The discussion is finally broadened by considering the use of the calibrated model both to analyze the sensitivity of the watershed to storm motion and to attempt the flood forecasting of a stratiform event with highly different behavior.

Effects of noise and by-catch on a Danish harbour porpoise population

Ships and wind turbines generate noise, which can have a negative impact on marine mammal populations by scaring animals away. Effective modelling of how this affects the populations has to take account of the location and timing of disturbances. Here we construct an individual-based model of harbour porpoises in the Inner Danish Waters. Individuals have their own energy budgets constructed using established principles of physiological ecology. Data are lacking on the spatial distribution of food which is instead inferred from knowledge of time-varying porpoise distributions. The model produces plausible patterns of population dynamics and matches well the age distribution of porpoises caught in by-catch. It estimates the effect of existing wind farms as a 10% reduction in population size when food recovers fast (after two days). Proposed new wind farms and ships do not result in further population declines. The population is however sensitive to variations in mortality resulting from by-catch and to the speed at which food recovers after being depleted. If food recovers slowly the effect of wind turbines becomes negligible, whereas ships are estimated to have a significant negative impact on the population. Annual by-catch rates ≥10% lead to monotonously decreasing populations and to extinction, and even the estimated by-catch rate from the adjacent area (approximately 4.1%) has a strong impact on the population. This suggests that conservation efforts should be more focused on reducing by-catch in commercial gillnet fisheries than on limiting the amount of anthropogenic noise. Individual-based models are unique in their ability to take account of the location and timing of disturbances and to show their likely effects on populations. The models also identify deficiencies in the existing database and can be used to set priorities for future field research.

Adaptive B-spline neural network based nonlinear equalization for high-order QAM systems with nonlinear transmit high power amplifier

High bandwidth-efficiency quadrature amplitude modulation (QAM) signaling widely adopted in high-rate communication systems suffers from a drawback of high peak-toaverage power ratio, which may cause the nonlinear saturation of the high power amplifier (HPA) at transmitter. Thus, practical high-throughput QAM communication systems exhibit nonlinear and dispersive channel characteristics that must be modeled as a Hammerstein channel. Standard linear equalization becomes inadequate for such Hammerstein communication systems. In this paper, we advocate an adaptive B-Spline neural network based nonlinear equalizer. Specifically, during the training phase, an efficient alternating least squares (LS) scheme is employed to estimate the parameters of the Hammerstein channel, including both the channel impulse response (CIR) coefficients and the parameters of the B-spline neural network that models the HPA’s nonlinearity. In addition, another B-spline neural network is used to model the inversion of the nonlinear HPA, and the parameters of this inverting B-spline model can easily be estimated using the standard LS algorithm based on the pseudo training data obtained as a natural byproduct of the Hammerstein channel identification. Nonlinear equalisation of the Hammerstein channel is then accomplished by the linear equalization based on the estimated CIR as well as the inverse B-spline neural network model. Furthermore, during the data communication phase, the decision-directed LS channel estimation is adopted to track the time-varying CIR. Extensive simulation results demonstrate the effectiveness of our proposed B-Spline neural network based nonlinear equalization scheme.

Clouds, aerosols, and precipitation in the marine boundary layer: an ARM Mobile Facility Deployment

The Clouds, Aerosol, and Precipitation in the Marine Boundary Layer (CAP-MBL) deployment at Graciosa Island in the Azores generated a 21-month (April 2009–December 2010) comprehensive dataset documenting clouds, aerosols, and precipitation using the Atmospheric Radiation Measurement Program (ARM) Mobile Facility (AMF). The scientific aim of the deployment is to gain improved understanding of the interactions of clouds, aerosols, and precipitation in the marine boundary layer. Graciosa Island straddles the boundary between the subtropics and midlatitudes in the northeast Atlantic Ocean and consequently experiences a great diversity of meteorological and cloudiness conditions. Low clouds are the dominant cloud type, with stratocumulus and cumulus occurring regularly. Approximately half of all clouds contained precipitation detectable as radar echoes below the cloud base. Radar and satellite observations show that clouds with tops from 1 to 11 km contribute more or less equally to surface-measured precipitation at Graciosa. A wide range of aerosol conditions was sampled during the deployment consistent with the diversity of sources as indicated by back-trajectory analysis. Preliminary findings suggest important two-way interactions between aerosols and clouds at Graciosa, with aerosols affecting light precipitation and cloud radiative properties while being controlled in part by precipitation scavenging. The data from Graciosa are being compared with short-range forecasts made with a variety of models. A pilot analysis with two climate and two weather forecast models shows that they reproduce the observed time-varying vertical structure of lower-tropospheric cloud fairly well but the cloud-nucleating aerosol concentrations less well. The Graciosa site has been chosen to be a permanent fixed ARM site that became operational in October 2013.

Response of El Niño sea surface temperature variability to greenhouse warming

The destructive environmental and socio-economic impacts of the El Niño/Southern Oscillation1, 2 (ENSO) demand an improved understanding of how ENSO will change under future greenhouse warming. Robust projected changes in certain aspects of ENSO have been recently established3, 4, 5. However, there is as yet no consensus on the change in the magnitude of the associated sea surface temperature (SST) variability6, 7, 8, commonly used to represent ENSO amplitude1, 6, despite its strong effects on marine ecosystems and rainfall worldwide1, 2, 3, 4, 9. Here we show that the response of ENSO SST amplitude is time-varying, with an increasing trend in ENSO amplitude before 2040, followed by a decreasing trend thereafter. We attribute the previous lack of consensus to an expectation that the trend in ENSO amplitude over the entire twenty-first century is unidirectional, and to unrealistic model dynamics of tropical Pacific SST variability. We examine these complex processes across 22 models in the Coupled Model Intercomparison Project phase 5 (CMIP5) database10, forced under historical and greenhouse warming conditions. The nine most realistic models identified show a strong consensus on the time-varying response and reveal that the non-unidirectional behaviour is linked to a longitudinal difference in the surface warming rate across the Indo-Pacific basin. Our results carry important implications for climate projections and climate adaptation pathways.

Seasonal surface urban energy balance and wintertime stability simulated using three land-surface models in the high-latitude city Helsinki

The performance of three urban land surface models, run in offline mode, with their default external parameters, is evaluated for two distinctly different sites in Helsinki: Torni and Kumpula. The former is a dense city centre site with 22% vegetation, while the latter is a suburban site with over 50% vegetation. At both locations the models are compared against sensible and latent heat fluxes measured using the eddy covariance technique, along with snow depth observations. The cold climate experienced by the city causes strong seasonal variations that include snow cover and stable atmospheric conditions. Most of the time the three models are able to account for the differences between the study areas as well as the seasonal and diurnal variability of the energy balance components. However, the performances are not systematic across the modelled components, season and surface type. The net all-wave radiation is well simulated, with the greatest uncertainties related to snowmelt timing, when the fraction of snow cover has a key role, particularly in determining the surface albedo. For the turbulent fluxes, more variation between the models is seen which can partly be explained by the different methods in their calculation and partly by surface parameter values. For the sensible heat flux, simulation of wintertime values was the main problem, which also leads to issues in predicting near-surface stabilities particularly at the dense city centre site. All models have the most difficulties in simulating latent heat flux. This study particularly emphasizes that improvements are needed in the parameterization of anthropogenic heat flux and thermal parameters in winter, snow cover in spring and evapotranspiration in order to improve the surface energy balance modelling in cold climate cities.

Non-stationary frequency analysis of extreme daily rainfall in Sao Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

Using stochastic volatility models to analyse weekly ozone averages in Mexico City

In this paper we make use of some stochastic volatility models to analyse the behaviour of a weekly ozone average measurements series. The models considered here have been used previously in problems related to financial time series. Two models are considered and their parameters are estimated using a Bayesian approach based on Markov chain Monte Carlo (MCMC) methods. Both models are applied to the data provided by the monitoring network of the Metropolitan Area of Mexico City. The selection of the best model for that specific data set is performed using the Deviance Information Criterion and the Conditional Predictive Ordinate method.