A backward particle interpretation of Feynman-Kac formulae

We design a particle interpretation of Feynman-Kac measures on path spaces based on a backward Markovian representation combined with a traditional mean field particle interpretation of the flow of their final time marginals. In contrast to traditional genealogical tree based models, these new particle algorithms can be used to compute normalized additive functionals "on-the-fly" as well as their limiting occupation measures with a given precision degree that does not depend on the final time horizon. We provide uniform convergence results with respect to the time horizon parameter as well as functional central limit theorems and exponential concentration estimates. Our results have important consequences for online parameter estimation for non-linear non-Gaussian state-space models. We show how the forward filtering backward smoothing estimates of additive functionals can be computed using a forward only recursion.

A micromechanical model of influence of particle fracture and particle cluster on mechanical properties of metal matrix composites

A general analytical model for a composite with an isotropic matrix and two populations of spherical inclusions is proposed. The method is based on the second order moment of stress for evaluating the homogenised effective stress in the matrix and on the secant moduli concept for the plastic deformation. With Webull's statistical law for the strength of SiCp particles, the model can quantitatively predict the influence of particle fracture on the mechanical properties of PMMCs. Application of the proposed model to the particle cluster shows that the particle cluster has neglected influence on the strain and stress curves of the composite. (C) 1998 Elsevier Science B.V.

Streamline topology and dilute particle dynamics in a Karman vortex street flow

Three types of streamline topology in a Karman vortex street flow are shown under the variation of spatial parameters. For the motion of dilute particles in the Karman vortex street flow, there exist a route of bifurcation to a chaotic orbit and more attractors in a bifurcation diagram for the proportion of particle density to fluid density. Along with the increase of spatial parameters in the flow field, the bifurcation process is suspended, as well as more and more attractors emerge. In the motion of dilute particles, a drag term and gravity term dominate and result in the bifurcation phenomenon.

Modeling, numerical methods, and simulation for particle-fluid two-phase flow problems

In this paper, we study the issues of modeling, numerical methods, and simulation with comparison to experimental data for the particle-fluid two-phase flow problem involving a solid-liquid mixed medium. The physical situation being considered is a pulsed liquid fluidized bed. The mathematical model is based on the assumption of one-dimensional flows, incompressible in both particle and fluid phases, equal particle diameters, and the wall friction force on both phases being ignored. The model consists of a set of coupled differential equations describing the conservation of mass and momentum in both phases with coupling and interaction between the two phases. We demonstrate conditions under which the system is either mathematically well posed or ill posed. We consider the general model with additional physical viscosities and/or additional virtual mass forces, both of which stabilize the system. Two numerical methods, one of them is first-order accurate and the other fifth-order accurate, are used to solve the models. A change of variable technique effectively handles the changing domain and boundary conditions. The numerical methods are demonstrated to be stable and convergent through careful numerical experiments. Simulation results for realistic pulsed liquid fluidized bed are provided and compared with experimental data. (C) 2004 Elsevier Ltd. All rights reserved.

Novel experimental phenomena of fine-particle fluidized beds

The dynamic response of bed height and concentration waves in liquid-solid fluidized beds to a step change in the fluidization velocity is considered. We experimentally study the liquid-solid fluidized beds, spherical beadings, with sizes ranging from 230 to 270 mesh and the inner diameter of columns made from glass is 2.4 mm. Experimental results find that under certain conditions, fine particles with large Richardson-Zaki exponent n display different dynamic behavior from usual particles with smaller n during expansion and collapse of the fluidized state. (c) 2007 Elsevier Inc. All rights reserved.

Convergence of the auxiliary particle implementation of the PHD filter

Optimal Bayesian multi-target filtering is in general computationally impractical owing to the high dimensionality of the multi-target state. The Probability Hypothesis Density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed Sequential Monte Carlo (SMC) implementations of the PHD filter. However, these implementations are the equivalent of the Bootstrap Particle Filter, and the latter is well known to be inefficient. Drawing on ideas from the Auxiliary Particle Filter (APF), a SMC implementation of the PHD filter which employs auxiliary variables to enhance its efficiency was proposed by Whiteley et. al. Numerical examples were presented for two scenarios, including a challenging nonlinear observation model, to support the claim. This paper studies the theoretical properties of this auxiliary particle implementation. $\mathbb{L}_p$ error bounds are established from which almost sure convergence follows.

Auxiliary particle implementation of the probability hypothesis density filter

Optimal Bayesian multi-target filtering is, in general, computationally impractical owing to the high dimensionality of the multi-target state. The Probability Hypothesis Density (PHD) filter propagates the first moment of the multi-target posterior distribution. While this reduces the dimensionality of the problem, the PHD filter still involves intractable integrals in many cases of interest. Several authors have proposed Sequential Monte Carlo (SMC) implementations of the PHD filter. However, these implementations are the equivalent of the Bootstrap Particle Filter, and the latter is well known to be inefficient. Drawing on ideas from the Auxiliary Particle Filter (APF), we present a SMC implementation of the PHD filter which employs auxiliary variables to enhance its efficiency. Numerical examples are presented for two scenarios, including a challenging nonlinear observation model.