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.

Conditional linearization in nonlinear random vibration

In this paper, an improved probabilistic linearization approach is developed to study the response of nonlinear single degree of freedom (SDOF) systems under narrow-band inputs. An integral equation for the probability density function (PDF) of the envelope is derived. This equation is solved using an iterative scheme. The technique is applied to study the hardening type Duffing's oscillator under narrow-band excitation. The results compare favorably with those obtained using numerical simulation. In particular, the bimodal nature of the PDF for the response envelope for certain parameter ranges is brought out.

Noise-spike-induced escape in a bistable system driven by colored noise: Noise with long correlation times

An escape mechanism in a bistable system driven by colored noise of large but finite correlation time (tau) is analyzed. It is shown that the fluctuating potential theory [Phys. Rev. A 38, 3749 (1988)] becomes invalid in a region around the inflection points of the bistable potential, resulting in the underestimation of the mean first passage time at finite tau by this theory. It is shown that transitions at large but finite tau are caused by noise spikes, with edges rising and falling exponentially in a time of O(tau). Simulation of the dynamics of the bistable system driven by noise spikes of the above-mentioned nature clearly reveal the physical mechanism behind the transition.

Noise measurements of a phase fluorometric instrument

We present noise measurements of a phase fluorometric oxygen sensor that sets the limits of accuracy for this instrument. We analyze the phase sensitive detection measurement system with the signal ''shot'' noise being the only significant contribution to the system noise. Based on the modulated optical power received by the photomultiplier, the analysis predicts a noise spectral power density that was within 3 dB of the measured power spectral noise density. Our results demonstrate that at a received optical power of 20 fW the noise level was low enough to permit the detection of a change oxygen concentration of 1% at the sensor. We also present noise measurements of a new low-cost version of this instrument that uses a photodiode instead of a photomultiplier. These measurements show that the noise for this instrument was limited by noise generated in the preamplifier following the photodiode. (C) 1996 Society of Photo-Optical Instrumentation Engineers.

On generating optimal signal probabilities for random tests: A genetic approach

Genetic Algorithms are robust search and optimization techniques. A Genetic Algorithm based approach for determining the optimal input distributions for generating random test vectors is proposed in the paper. A cost function based on the COP testability measure for determining the efficacy of the input distributions is discussed, A brief overview of Genetic Algorithms (GAs) and the specific details of our implementation are described. Experimental results based on ISCAS-85 benchmark circuits are presented. The performance pf our GA-based approach is compared with previous results. While the GA generates more efficient input distributions than the previous methods which are based on gradient descent search, the overheads of the GA in computing the input distributions are larger. To account for the relatively quick convergence of the gradient descent methods, we analyze the landscape of the COP-based cost function. We prove that the cost function is unimodal in the search space. This feature makes the cost function amenable to optimization by gradient-descent techniques as compared to random search methods such as Genetic Algorithms.

Fixed points in a Hopfield model with random asymmetric interactions

We calculate analytically the average number of fixed points in the Hopfield model of associative memory when a random antisymmetric part is added to the otherwise symmetric synaptic matrix. Addition of the antisymmetric part causes an exponential decrease in the total number of fixed points. If the relative strength of the antisymmetric component is small, then its presence does not cause any substantial degradation of the quality of retrieval when the memory loading level is low. We also present results of numerical simulations which provide qualitative (as well as quantitative for some aspects) confirmation of the predictions of the analytic study. Our numerical results suggest that the analytic calculation of the average number of fixed points yields the correct value for the typical number of fixed points.

Structured systems methodology for evaluation of random interruptions in continuous process type manufacturing systems

A structured systems methodology was developed to analyse the problems of production interruptions occurring at random intervals in continuous process type manufacturing systems. At a macro level the methodology focuses on identifying suitable investment policies to reduce interruptions of a total manufacturing system that is a combination of several process plants. An interruption-tree-based simulation model was developed for macroanalysis. At a micro level the methodology focuses on finding the effects of alternative configurations of individual process plants on the overall system performance. A Markov simulation model was developed for microlevel analysis. The methodology was tested with an industry-specific application.

Methods of nonlinear random vibration analysis

The various techniques available for the analysis of nonlinear systems subjected to random excitations are briefly introduced and an overview of the progress which has been made in this area of research is presented. The discussion is mainly focused on the basis, scope and limitations of the solution techniques and not on specific applications.

Comment on “Noise-Induced Nonequilibrium Phase Transition"

A Comment on the Letter by C. Van den Broeck, J. M. R. Parrondo, and R. Toral, Phys. Rev. Lett. 73, 3395 (1994). The authors of the Letter offer a Reply.

Use of finite wordlength FIR digital filter structures with improved magnitude and phase characteristics for reduction of muscle noise in EEG signals

One of the main disturbances in EEG signals is EMG artefacts generated by muscle movements. In the paper, the use of a linear phase FIR digital low-pass filter with finite wordlength precision coefficients is proposed, designed using the compensation procedure, to minimise EMG artefacts in contaminated EEG signals. To make the filtering more effective, different structures are used, i.e. cascading, twicing and sharpening (apart from simple low-pass filtering) of the designed FIR filter Modifications are proposed to twicing and sharpening structures to regain the linear phase characteristics that are lost in conventional twicing and sharpening operations. The efficacy of all these transformed filters in minimising EMG artefacts is studied, using SNR improvements as a performance measure for simulated signals. Time plots of the signals are also compared. Studies show that the modified sharpening structure is superior in performance to all other proposed methods. These algorithms have also been applied to real or recorded EMG-contaminated EEG signal. Comparison of time plots, and also the output SNR, show that the proposed modified sharpened structure works better in minimising EMG artefacts compared with other methods considered.

Lasing in active, sub-mean-free path-sized systems with dense, random, weak scatterers

We report enhanced emission and gain narrowing in Rhodamine 590 perchlorate dye in an aqueous suspension of polystyrene microspheres. A systematic experimental study of the threshold condition for and the gain narrowing of the stimulated emission over a wide range of dye concentrations and scatterer number densities showed several interesting features, even though the transport mean free path far exceeded the system size. The conventional diffusive-reactive approximation to radiative transfer in an inhomogeneously illuminated random amplifying medium, which is valid for a transport mean-free path much smaller than the system size, is clearly inapplicable here. We propose a new probabilistic approach for the present case of dense, random, weak scatterers involving the otherwise rare and ignorable sub-mean-free-path scatterings, now made effective by the high gain in the medium, which is consistent: with experimentally observed features. (C) 1997 Optical Society of America.

Nonlinear electrical conduction and broad band noise in the charge-ordered rare earth manganate Nd0.5Ca0.5MnO3

Measurements of the dc transport properties and the low-frequency conductivity noise in films of charge-ordered Nd0.5Ca0.5MnO3 grown on Si substrate reveal the existence of a threshold field in the charge-ordered regime beyond which strong nonlinear conduction sets in along with a large broad band conductivity noise. Threshold-dependent conduction disappears as T --> T-CO, the charge-ordering temperature. This observation suggests that the charge-ordered state gets depinned at the onset of the nonlinear conduction. (C) 1999 American Institute of Physics. [S0003-6951(99)05247-X].

GNSS Signal Detection Under Noise Uncertainty

High sensitivity detection techniques are required for indoor navigation using Global Navigation Satellite System (GNSS) receivers, and typically, a combination of coherent and non- coherent integration is used as the test statistic for detection. The coherent integration exploits the deterministic part of the signal and is limited due to the residual frequency error, navigation data bits and user dynamics, which are not known apriori. So, non- coherent integration, which involves squaring of the coherent integration output, is used to improve the detection sensitivity. Due to this squaring, it is robust against the artifacts introduced due to data bits and/or frequency error. However, it is susceptible to uncertainty in the noise variance, and this can lead to fundamental sensitivity limits in detecting weak signals. In this work, the performance of the conventional non-coherent integration-based GNSS signal detection is studied in the presence of noise uncertainty. It is shown that the performance of the current state of the art GNSS receivers is close to the theoretical SNR limit for reliable detection at moderate levels of noise uncertainty. Alternate robust post-coherent detectors are also analyzed, and are shown to alleviate the noise uncertainty problem. Monte-Carlo simulations are used to confirm the theoretical predictions.