Monte-Carlo estimation of time-dependent statistical characteristics of random dynamical systems

The problem of estimating the time-dependent statistical characteristics of a random dynamical system is studied under two different settings. In the first, the system dynamics is governed by a differential equation parameterized by a random parameter, while in the second, this is governed by a differential equation with an underlying parameter sequence characterized by a continuous time Markov chain. We propose, for the first time in the literature, stochastic approximation algorithms for estimating various time-dependent process characteristics of the system. In particular, we provide efficient estimators for quantities such as the mean, variance and distribution of the process at any given time as well as the joint distribution and the autocorrelation coefficient at different times. A novel aspect of our approach is that we assume that information on the parameter model (i.e., its distribution in the first case and transition probabilities of the Markov chain in the second) is not available in either case. This is unlike most other work in the literature that assumes availability of such information. Also, most of the prior work in the literature is geared towards analyzing the steady-state system behavior of the random dynamical system while our focus is on analyzing the time-dependent statistical characteristics which are in general difficult to obtain. We prove the almost sure convergence of our stochastic approximation scheme in each case to the true value of the quantity being estimated. We provide a general class of strongly consistent estimators for the aforementioned statistical quantities with regular sample average estimators being a specific instance of these. We also present an application of the proposed scheme on a widely used model in population biology. Numerical experiments in this framework show that the time-dependent process characteristics as obtained using our algorithm in each case exhibit excellent agreement with exact results. (C) 2010 Elsevier Inc. All rights reserved.

Distributed Source Coding for Sensor Data Model and Estimation of Cluster Head Errors Using Bayesian and K-Near Neighborhood Classifiers in Deployment of Dense Wireless Sensor Networks

The lifetime calculation of large dense sensor networks with fixed energy resources and the remaining residual energy have shown that for a constant energy resource in a sensor network the fault rate at the cluster head is network size invariant when using the network layer with no MAC losses.Even after increasing the battery capacities in the nodes the total lifetime does not increase after a max limit of 8 times. As this is a serious limitation lots of research has been done at the MAC layer which allows to adapt to the specific connectivity, traffic and channel polling needs for sensor networks. There have been lots of MAC protocols which allow to control the channel polling of new radios which are available to sensor nodes to communicate. This further reduces the communication overhead by idling and sleep scheduling thus extending the lifetime of the monitoring application. We address the two issues which effects the distributed characteristics and performance of connected MAC nodes. (1) To determine the theoretical minimum rate based on joint coding for a correlated data source at the singlehop, (2a) to estimate cluster head errors using Bayesian rule for routing using persistence clustering when node densities are the same and stored using prior probability at the network layer, (2b) to estimate the upper bound of routing errors when using passive clustering were the node densities at the multi-hop MACS are unknown and not stored at the multi-hop nodes a priori. In this paper we evaluate many MAC based sensor network protocols and study the effects on sensor network lifetime. A renewable energy MAC routing protocol is designed when the probabilities of active nodes are not known a priori. From theoretical derivations we show that for a Bayesian rule with known class densities of omega1, omega2 with expected error P* is bounded by max error rate of P=2P* for single-hop. We study the effects of energy losses using cross-layer simulation of - large sensor network MACS setup, the error rate which effect finding sufficient node densities to have reliable multi-hop communications due to unknown node densities. The simulation results show that even though the lifetime is comparable the expected Bayesian posterior probability error bound is close or higher than Pges2P*.

State estimation in power systems using linear model infinity norm-based trust region approach

State estimation is one of the most important functions in an energy control centre. An computationally efficient state estimator which is free from numerical instability/ill-conditioning is essential for security assessment of electric power grid. Whereas approaches to successfully overcome the numerical ill-conditioning issues have been proposed, an efficient algorithm for addressing the convergence issues in the presence of topological errors is yet to be evolved. Trust region (TR) methods have been successfully employed to overcome the divergence problem to certain extent. In this study, case studies are presented where the conventional algorithms including the existing TR methods would fail to converge. A linearised model-based TR method for successfully overcoming the convergence issues is proposed. On the computational front, unlike the existing TR methods for state estimation which employ quadratic models, the proposed linear model-based estimator is computationally efficient because the model minimiser can be computed in a single step. The model minimiser at each step is computed by minimising the linearised model in the presence of TR and measurement mismatch constraints. The infinity norm is used to define the geometry of the TR. Measurement mismatch constraints are employed to improve the accuracy. The proposed algorithm is compared with the quadratic model-based TR algorithm with case studies on the IEEE 30-bus system, 205-bus and 514-bus equivalent systems of part of Indian grid.

A Markov Decision Theoretic Approach to Pilot Allocation and Receive Antenna Selection

This paper considers antenna selection (AS) at a receiver equipped with multiple antenna elements but only a single radio frequency chain for packet reception. As information about the channel state is acquired using training symbols (pilots), the receiver makes its AS decisions based on noisy channel estimates. Additional information that can be exploited for AS includes the time-correlation of the wireless channel and the results of the link-layer error checks upon receiving the data packets. In this scenario, the task of the receiver is to sequentially select (a) the pilot symbol allocation, i.e., how to distribute the available pilot symbols among the antenna elements, for channel estimation on each of the receive antennas; and (b) the antenna to be used for data packet reception. The goal is to maximize the expected throughput, based on the past history of allocation and selection decisions, and the corresponding noisy channel estimates and error check results. Since the channel state is only partially observed through the noisy pilots and the error checks, the joint problem of pilot allocation and AS is modeled as a partially observed Markov decision process (POMDP). The solution to the POMDP yields the policy that maximizes the long-term expected throughput. Using the Finite State Markov Chain (FSMC) model for the wireless channel, the performance of the POMDP solution is compared with that of other existing schemes, and it is illustrated through numerical evaluation that the POMDP solution significantly outperforms them.

State estimation of spiralling target using UKF with generalized sinusoidal target acceleration model

Hit-to-kill interception of high velocity spiraling target requires accurate state estimation of relative kinematic parameters describing spiralling motion. In this pa- per, spiraling target motion is captured by representing target acceleration through sinusoidal function in inertial frame. A nine state unscented Kalman filter (UKF) formulation is presented here with three relative positions, three relative velocities, spiraling frequency of target, inverse of ballistic coefficient and maneuvering coef-ficient. A key advantage of the target model presented here is that it is of generic nature and can capture spiraling as well as pure ballistic motions without any change of tuning parameters. Extensive Six-DOF simulation experiments, which includes a modified PN guidance and dynamic inversion based autopilot, show that near Hit-to-Kill performance can be obtained with noisy RF seeker measurements of gimbal angles, gimbal angle rates, range and range rate.

Generalized State Estimation and Model Predictive Guidance for Spiraling and Ballistic Targets

An extended Kalman filter based generalized state estimation approach is presented in this paper for accurately estimating the states of incoming high-speed targets such as ballistic missiles. A key advantage of this nine-state problem formulation is that it is very much generic and can capture spiraling as well as pure ballistic motion of targets without any change of the target model and the tuning parameters. A new nonlinear model predictive zero-effort-miss based guidance algorithm is also presented in this paper, in which both the zero-effort-miss as well as the time-to-go are predicted more accurately by first propagating the nonlinear target model (with estimated states) and zero-effort interceptor model simultaneously. This information is then used for computing the necessary lateral acceleration. Extensive six-degrees-of-freedom simulation experiments, which include noisy seeker measurements, a nonlinear dynamic inversion based autopilot for the interceptor along with appropriate actuator and sensor models and magnitude and rate saturation limits for the fin deflections, show that near-zero miss distance (i.e., hit-to-kill level performance) can be obtained when these two new techniques are applied together. Comparison studies with an augmented proportional navigation based guidance shows that the proposed model predictive guidance leads to a substantial amount of conservation in the control energy as well.

Comparative evaluation of inversion approaches of the radiative transfer model for estimation of crop biophysical parameters

The inversion of canopy reflectance models is widely used for the retrieval of vegetation properties from remote sensing. This study evaluates the retrieval of soybean biophysical variables of leaf area index, leaf chlorophyll content, canopy chlorophyll content, and equivalent leaf water thickness from proximal reflectance data integrated broadbands corresponding to moderate resolution imaging spectroradiometer, thematic mapper, and linear imaging self scanning sensors through inversion of the canopy radiative transfer model, PROSAIL. Three different inversion approaches namely the look-up table, genetic algorithm, and artificial neural network were used and performances were evaluated. Application of the genetic algorithm for crop parameter retrieval is a new attempt among the variety of optimization problems in remote sensing which have been successfully demonstrated in the present study. Its performance was as good as that of the look-up table approach and the artificial neural network was a poor performer. The general order of estimation accuracy for para-meters irrespective of inversion approaches was leaf area index > canopy chlorophyll content > leaf chlorophyll content > equivalent leaf water thickness. Performance of inversion was comparable for broadband reflectances of all three sensors in the optical region with insignificant differences in estimation accuracy among them.

Markov chain splitting methods in structural reliability integral estimation

Monte Carlo simulation methods involving splitting of Markov chains have been used in evaluation of multi-fold integrals in different application areas. We examine in this paper the performance of these methods in the context of evaluation of reliability integrals from the point of view of characterizing the sampling fluctuations. The methods discussed include the Au-Beck subset simulation, Holmes-Diaconis-Ross method, and generalized splitting algorithm. A few improvisations based on first order reliability method are suggested to select algorithmic parameters of the latter two methods. The bias and sampling variance of the alternative estimators are discussed. Also, an approximation to the sampling distribution of some of these estimators is obtained. Illustrative examples involving component and series system reliability analyses are presented with a view to bring out the relative merits of alternative methods. (C) 2015 Elsevier Ltd. All rights reserved.

Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

Parameter-estimation of a spherical top inductively-coupled plasma source with global-model

Using spatially averaged global model, we succeed in obtaining some plasma parameters for a low pressure inductively coupled plasma source of our laboratory. As far as the global balance is concerned, the models can give reasonable results of the parameters, such as the global electron temperature and the ion impacting energy, etc. It is found that the ion flow is hardly affected by the neutral gas pressure. Finally, the magnetic effects are calculated by means of the method. The magnetic field can play an important role to increase plasma density and ion current.