An Ensemble Kalman Smoother for Nonlinear Dynamics

It is for mally proved that the general smoother for nonlinear dynamics can be for mulated as a sequential method, that is, obser vations can be assimilated sequentially during a for ward integration. The general filter can be derived from the smoother and it is shown that the general smoother and filter solutions at the final time become identical, as is expected from linear theor y. Then, a new smoother algorithm based on ensemble statistics is presented and examined in an example with the Lorenz equations. The new smoother can be computed as a sequential algorithm using only for ward-in-time model integrations. It bears a strong resemblance with the ensemble Kalman filter . The difference is that ever y time a new dataset is available during the for ward integration, an analysis is computed for all previous times up to this time. Thus, the first guess for the smoother is the ensemble Kalman filter solution, and the smoother estimate provides an improvement of this, as one would expect a smoother to do. The method is demonstrated in this paper in an intercomparison with the ensemble Kalman filter and the ensemble smoother introduced by van Leeuwen and Evensen, and it is shown to be superior in an application with the Lorenz equations. Finally , a discussion is given regarding the properties of the analysis schemes when strongly non-Gaussian distributions are used. It is shown that in these cases more sophisticated analysis schemes based on Bayesian statistics must be used.

Approach to Equilibrium for a Class of Random Quantum Models of Infinite Range

We consider random generalizations of a quantum model of infinite range introduced by Emch and Radin. The generalizations allow a neat extension from the class l (1) of absolutely summable lattice potentials to the optimal class l (2) of square summable potentials first considered by Khanin and Sinai and generalised by van Enter and van Hemmen. The approach to equilibrium in the case of a Gaussian distribution is proved to be faster than for a Bernoulli distribution for both short-range and long-range lattice potentials. While exponential decay to equilibrium is excluded in the nonrandom l (1) case, it is proved to occur for both short and long range potentials for Gaussian distributions, and for potentials of class l (2) in the Bernoulli case. Open problems are discussed.

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Generalizações do movimento browniano e suas aplicações à física e a finanças

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Probabilistic approaches in civil engineering: generation of random fields and structural identification with genetic algorithms

The inherent stochastic character of most of the physical quantities involved in engineering models has led to an always increasing interest for probabilistic analysis. Many approaches to stochastic analysis have been proposed. However, it is widely acknowledged that the only universal method available to solve accurately any kind of stochastic mechanics problem is Monte Carlo Simulation. One of the key parts in the implementation of this technique is the accurate and efficient generation of samples of the random processes and fields involved in the problem at hand. In the present thesis an original method for the simulation of homogeneous, multi-dimensional, multi-variate, non-Gaussian random fields is proposed. The algorithm has proved to be very accurate in matching both the target spectrum and the marginal probability. The computational efficiency and robustness are very good too, even when dealing with strongly non-Gaussian distributions. What is more, the resulting samples posses all the relevant, welldefined and desired properties of “translation fields”, including crossing rates and distributions of extremes. The topic of the second part of the thesis lies in the field of non-destructive parametric structural identification. Its objective is to evaluate the mechanical characteristics of constituent bars in existing truss structures, using static loads and strain measurements. In the cases of missing data and of damages that interest only a small portion of the bar, Genetic Algorithm have proved to be an effective tool to solve the problem.

Investigation of the dipole response of nickel isotopes in the presence of a high-frequency electromagnetic field

The electric dipole response of neutron-rich nickel isotopes has been investigated using the LAND setup at GSI in Darmstadt (Germany). Relativistic secondary beams of 56−57Ni and 67−72Ni at approximately 500 AMeV have been generated using projectile fragmentation of stable ions on a 4 g/cm2 Be target and subsequent separation in the magnetic dipole fields of the FRagment Separator (FRS). After reaching the LAND setup in Cave C, the radioactive ions were excited electromagnetically in the electric field of a Pb target. The decay products have been measured in inverse kinematics using various detectors. Neutron-rich 67−69Ni isotopes decay by the emission of neutrons, which are detected in the LAND detector. The present analysis concentrates on the (gamma,n) and (gamma,2n) channels in these nuclei, since the proton and three-neutron thresholds are unlikely to be reached considering the virtual photon spectrum for nickel ions at 500 AMeV. A measurement of the stable 58Ni isotope is used as a benchmark to check the accuracy of the present results with previously published data. The measured (gamma,n) and (gamma,np) channels are compared with an inclusive photoneutron measurement by Fultz and coworkers, which are consistent within the respective errors. The measured excitation energy distributions of 67−69Ni contain a large portion of the Giant Dipole Resonance (GDR) strength predicted by the Thomas-Reiche-Kuhn energy-weighted sum rule, as well as a significant amount of low-lying E1 strength, that cannot be attributed to the GDR alone. The GDR distribution parameters are calculated using well-established semi-empirical systematic models, providing the peak energies and widths. The GDR strength is extracted from the chi-square minimization of the model GDR to the measured data of the (gamma,2n) channel, thereby excluding any influence of eventual low-lying strength. The subtraction of the obtained GDR distribution from the total measured E1 strength provides the low-lying E1 strength distribution, which is attributed to the Pygmy Dipole Resonance (PDR). The extraction of the peak energy, width and strength is performed using a Gaussian function. The minimization of trial Gaussian distributions to the data does not converge towards a sharp minimum. Therefore, the results are presented by a chi-square distribution as a function of all three Gaussian parameters. Various predictions of PDR distributions exist, as well as a recent measurement of the 68Ni pygmy dipole-resonance obtained by virtual photon scattering, to which the present pygmy dipole-resonance distribution is also compared.

Spatial and temporal characterisation of ground deformation recorded by geodetic techniques

A critical point in the analysis of ground displacements time series is the development of data driven methods that allow the different sources that generate the observed displacements to be discerned and characterised. A widely used multivariate statistical technique is the Principal Component Analysis (PCA), which allows reducing the dimensionality of the data space maintaining most of the variance of the dataset explained. Anyway, PCA does not perform well in finding the solution to the so-called Blind Source Separation (BSS) problem, i.e. in recovering and separating the original sources that generated the observed data. This is mainly due to the assumptions on which PCA relies: it looks for a new Euclidean space where the projected data are uncorrelated. The Independent Component Analysis (ICA) is a popular technique adopted to approach this problem. However, the independence condition is not easy to impose, and it is often necessary to introduce some approximations. To work around this problem, I use a variational bayesian ICA (vbICA) method, which models the probability density function (pdf) of each source signal using a mix of Gaussian distributions. This technique allows for more flexibility in the description of the pdf of the sources, giving a more reliable estimate of them. Here I present the application of the vbICA technique to GPS position time series. First, I use vbICA on synthetic data that simulate a seismic cycle (interseismic + coseismic + postseismic + seasonal + noise) and a volcanic source, and I study the ability of the algorithm to recover the original (known) sources of deformation. Secondly, I apply vbICA to different tectonically active scenarios, such as the 2009 L'Aquila (central Italy) earthquake, the 2012 Emilia (northern Italy) seismic sequence, and the 2006 Guerrero (Mexico) Slow Slip Event (SSE).

Comparative Analysis of Evolving Software Systems Using the Gini Coefficient

Software metrics offer us the promise of distilling useful information from vast amounts of software in order to track development progress, to gain insights into the nature of the software, and to identify potential problems. Unfortunately, however, many software metrics exhibit highly skewed, non-Gaussian distributions. As a consequence, usual ways of interpreting these metrics --- for example, in terms of "average" values --- can be highly misleading. Many metrics, it turns out, are distributed like wealth --- with high concentrations of values in selected locations. We propose to analyze software metrics using the Gini coefficient, a higher-order statistic widely used in economics to study the distribution of wealth. Our approach allows us not only to observe changes in software systems efficiently, but also to assess project risks and monitor the development process itself. We apply the Gini coefficient to numerous metrics over a range of software projects, and we show that many metrics not only display remarkably high Gini values, but that these values are remarkably consistent as a project evolves over time.

Coccoliths and carbonate grain-size compositions in sediment samples from the Mid-Atlantic Ridge

This study presents a differentiated carbonate budget for marine surface sediments from the Mid-Atlantic Ridge of the South Atlantic, with results based on carbonate grain-size composition. Upon separation into sand, silt, and clay sub-fractions, the silt grain-size distribution was measured using a SediGraph 5100. We found regionally characteristic grain-size distributions with an overall minimum at 8 µm equivalent spherical diameter (ESD). SEM observations reveal that the coarse particles (>8 µm ESD) are attributed to planktic foraminifers and their fragments, and the fine particles (<8 µm ESD) to coccoliths. On the basis of this division, the regional variation of the contribution of foraminifers and coccoliths to the carbonate budget of the sediments are calculated. Foraminifer carbonate dominates the sediments in mesotropic regions whereas coccoliths contribute most carbonate in oligotrophic regions. The grain size of the coccolith share is constant over water depth, indicating a lower susceptibility for carbonate dissolution compared to foraminifers. Finally, the characteristic grain-size distribution in fine silt (<8 µm ESD) is set into context with the coccolith assemblage counted and biometrically measured using a SEM. The coccoliths present in the silt fraction are predominantly large species (length > 4 µm). Smaller species (length < 4 µm) belong to the clay fraction (<2 µm ESD). The average length of most frequent coccolith species is connected to prominent peaks in grain-size distributions (ESD) with a shape factor. The area below Gaussian distributions fitted to these peaks is suggested as a way to quantitatively estimate the carbonate contribution of single coccolith species more precisely compared to conventional volume estimates. The quantitative division of carbonate into the fraction produced by coccoliths and that secreted by foraminifers enables a more precise estimate for source/sink relations of consumed and released CO2 in the carbon cycle. The allocation of coccolith length and grain size (ESD) suggests size windows for the separation or accumulation of distinct coccolith species in investigations that depend on non to slightly-mixed signals (e.g., isotopic studies).

Reply to Comment on ``Towards a large deviation theory for strongly correlated systems''

The computational study commented by Touchette opens the door to a desirable generalization of standard large deviation theory for special, though ubiquitous, correlations. We focus on three interrelated aspects: (i) numerical results strongly suggest that the standard exponential probability law is asymptotically replaced by a power-law dominant term; (ii) a subdominant term appears to reinforce the thermodynamically extensive entropic nature of q-generalized rate function; (iii) the correlations we discussed, correspond to Q -Gaussian distributions, differing from Lévy?s, except in the case of Cauchy?Lorentz distributions. Touchette has agreeably discussed point (i), but, unfortunately, points (ii) and (iii) escaped to his analysis. Claiming the absence of connection with q-exponentials is unjustified.

Efficient sampling from truncated bivariate Gaussians via Box-Muller transformation

Many practical simulation tasks demand procedures to draw samples efficiently from multivariate truncated Gaussian distributions. In this work, we introduce a novel rejection approach, based on the Box-Muller transformation, to generate samples from a truncated bivariate Gaussian density with an arbitrary support. Furthermore, for an important class of support regions the new method allows us to achieve exact sampling, thus becoming the most efficient approach possible. RESUMEN. Método específico para generar muestras de manera eficiente de Gaussianas bidimensionales truncadas con cualquier zona de truncamiento basado en la transformación de Box-Muller.

Improved robust control of nonlinear stochastic systems using uncertain models

We introduce a technique for quantifying and then exploiting uncertainty in nonlinear stochastic control systems. The approach is suboptimal though robust and relies upon the approximation of the forward and inverse plant models by neural networks, which also estimate the intrinsic uncertainty. Sampling from the resulting Gaussian distributions of the inversion based neurocontroller allows us to introduce a control law which is demonstrably more robust than traditional adaptive controllers.

Conditional distribution modeling for estimating and exploiting uncertainty in control systems

This paper presents a general methodology for estimating and incorporating uncertainty in the controller and forward models for noisy nonlinear control problems. Conditional distribution modeling in a neural network context is used to estimate uncertainty around the prediction of neural network outputs. The developed methodology circumvents the dynamic programming problem by using the predicted neural network uncertainty to localize the possible control solutions to consider. A nonlinear multivariable 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.

Describing and communicating uncertainty within the semantic web

The Semantic Web relies on carefully structured, well defined, data to allow machines to communicate and understand one another. In many domains (e.g. geospatial) the data being described contains some uncertainty, often due to incomplete knowledge; meaningful processing of this data requires these uncertainties to be carefully analysed and integrated into the process chain. Currently, within the SemanticWeb there is no standard mechanism for interoperable description and exchange of uncertain information, which renders the automated processing of such information implausible, particularly where error must be considered and captured as it propagates through a processing sequence. In particular we adopt a Bayesian perspective and focus on the case where the inputs / outputs are naturally treated as random variables. This paper discusses a solution to the problem in the form of the Uncertainty Markup Language (UncertML). UncertML is a conceptual model, realised as an XML schema, that allows uncertainty to be quantified in a variety of ways i.e. realisations, statistics and probability distributions. UncertML is based upon a soft-typed XML schema design that provides a generic framework from which any statistic or distribution may be created. Making extensive use of Geography Markup Language (GML) dictionaries, UncertML provides a collection of definitions for common uncertainty types. Containing both written descriptions and mathematical functions, encoded as MathML, the definitions within these dictionaries provide a robust mechanism for defining any statistic or distribution and can be easily extended. Universal Resource Identifiers (URIs) are used to introduce semantics to the soft-typed elements by linking to these dictionary definitions. The INTAMAP (INTeroperability and Automated MAPping) project provides a use case for UncertML. This paper demonstrates how observation errors can be quantified using UncertML and wrapped within an Observations & Measurements (O&M) Observation. The interpolation service uses the information within these observations to influence the prediction outcome. The output uncertainties may be encoded in a variety of UncertML types, e.g. a series of marginal Gaussian distributions, a set of statistics, such as the first three marginal moments, or a set of realisations from a Monte Carlo treatment. Quantifying and propagating uncertainty in this way allows such interpolation results to be consumed by other services. This could form part of a risk management chain or a decision support system, and ultimately paves the way for complex data processing chains in the Semantic Web.

Numerical estimate of BER in optical systems with strong patterning effects

A statistical approach to evaluate numerically transmission distances in optical communication systems was described. The proposed systems were subjected to strong patterning effects and strong intersymbol interference. The dependence of transmission distance on the total number of bits was described. Normal and Gaussian distributions were used to derive the error probability.