Uniform stability of a particle approximation of the optimal filter derivative

Sequential Monte Carlo methods, also known as particle methods, are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. In many applications it may be necessary to compute the sensitivity, or derivative, of the optimal filter with respect to the static parameters of the state-space model; for instance, in order to obtain maximum likelihood model parameters of interest, or to compute the optimal controller in an optimal control problem. In Poyiadjis et al. [2011] an original particle algorithm to compute the filter derivative was proposed and it was shown using numerical examples that the particle estimate was numerically stable in the sense that it did not deteriorate over time. In this paper we substantiate this claim with a detailed theoretical study. Lp bounds and a central limit theorem for this particle approximation of the filter derivative are presented. It is further shown that under mixing conditions these Lp bounds and the asymptotic variance characterized by the central limit theorem are uniformly bounded with respect to the time index. We demon- strate the performance predicted by theory with several numerical examples. We also use the particle approximation of the filter derivative to perform online maximum likelihood parameter estimation for a stochastic volatility model.

Effects of Particle Size on Dilute Particle Dispersion in a Karman Vortex Street Flow

It is shown that in a Karman vortex street flow, particle size influences the dilute particle dispersion. Together with an increase of the particle size, there is an emergence of a period-doubling bifurcation to a chaotic orbit, as well as a decrease of the corresponding basins of attraction. A crisis leads the attractor to escape from the central region of flow. In the motion of dilute particles, a drag term and gravity term dominate and result in a bifurcation phenomenon.

A Constrained Particle Dynamics for Continuum-Particle Hybrid Method in Micro- and Nano-Fluidics

A hybrid method of continuum and particle dynamics is developed for micro- and nano-fluidics, where fluids are described by a molecular dynamics (MD) in one domain and by the Navier-Stokes (NS) equations in another domain. In order to ensure the continuity of momentum flux, the continuum and molecular dynamics in the overlap domain are coupled through a constrained particle dynamics. The constrained particle dynamics is constructed with a virtual damping force and a virtual added mass force. The sudden-start Couette flows with either non-slip or slip boundary condition are used to test the hybrid method. It is shown that the results obtained are quantitatively in agreement with the analytical solutions under the non-slip boundary conditions and the full MD simulations under the slip boundary conditions.

Modified Generalized Beam Lattice Model Associated With Fracture Of Reinforced Fiber/Particle Composites

Lattice-type model can simulate in a straightforward manner heterogeneous brittle media. Mohr-Coulomb failure criterion has recently been involved into the generalized beam (GB) lattice model, and as a result, numerical experiments on concrete under various loading conditions can be conducted. The GB lattice model is further used to investigate the reinforced fiber/particle composites instead of only particle composites as the model did before. Numerical examples are given to show the effectiveness of the modeling procedure, and influences of inclusions (particle, fiber and rebar) on the fracture processes are also discussed. (c) 2008 Elsevier Ltd. All rights reserved.

Experimental Investigation Of Particle Velocity Distributions In Windblown Sand Movement

With the PDPA (Phase Doppler Particle Analyzer) measurement technology, the probability distributions of particle impact and lift-off velocities on bed surface and the particle velocity distributions at different heights are detected in a wind tunnel. The results show that the probability distribution of impact and lift-off velocities of sand grains can be expressed by a log-normal function, and that of impact and lift-off angles complies with an exponential function. The mean impact angle is between 28 degrees and 39 degrees, and the mean lift-off angle ranges from 30 degrees to 44 degrees. The mean lift-off velocity is 0.81-0.9 times the mean impact velocity. The proportion of backward-impacting particles is 0.05-0.11, and that of backward-entrained particles ranges from 0.04 to 0.13. The probability distribution of particle horizontal velocity at 4 mm height is positive skew, the horizontal velocity of particles at 20 mm height varies widely, and the variation of the particle horizontal velocity at 80 mm height is less than that at 20 mm height. The probability distribution of particle vertical velocity at different heights can be described as a normal function.

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.