Continuous stochastic processes

A general review of stochastic processes is given in the introduction; definitions, properties and a rough classification are presented together with the position and scope of the author's work as it fits into the general scheme.

The first section presents a brief summary of the pertinent analytical properties of continuous stochastic processes and their probability-theoretic foundations which are used in the sequel.

The remaining two sections (II and III), comprising the body of the work, are the author's contribution to the theory. It turns out that a very inclusive class of continuous stochastic processes are characterized by a fundamental partial differential equation and its adjoint (the Fokker-Planck equations). The coefficients appearing in those equations assimilate, in a most concise way, all the salient properties of the process, freed from boundary value considerations. The writer’s work consists in characterizing the processes through these coefficients without recourse to solving the partial differential equations.

First, a class of coefficients leading to a unique, continuous process is presented, and several facts are proven to show why this class is restricted. Then, in terms of the coefficients, the unconditional statistics are deduced, these being the mean, variance and covariance. The most general class of coefficients leading to the Gaussian distribution is deduced, and a complete characterization of these processes is presented. By specializing the coefficients, all the known stochastic processes may be readily studied, and some examples of these are presented; viz. the Einstein process, Bachelier process, Ornstein-Uhlenbeck process, etc. The calculations are effectively reduced down to ordinary first order differential equations, and in addition to giving a comprehensive characterization, the derivations are materially simplified over the solution to the original partial differential equations.

In the last section the properties of the integral process are presented. After an expository section on the definition, meaning, and importance of the integral process, a particular example is carried through starting from basic definition. This illustrates the fundamental properties, and an inherent paradox. Next the basic coefficients of the integral process are studied in terms of the original coefficients, and the integral process is uniquely characterized. It is shown that the integral process, with a slight modification, is a continuous Markoff process.

The elementary statistics of the integral process are deduced: means, variances, and covariances, in terms of the original coefficients. It is shown that an integral process is never temporally homogeneous in a non-degenerate process.

Finally, in terms of the original class of admissible coefficients, the statistics of the integral process are explicitly presented, and the integral process of all known continuous processes are specified.

Optimization of the multiwavelength erbium-doped fiber laser in a unidirectional cavity without an isolator

A highly uniform multiwavelength erbium-doped fiber ring laser with an intracavity sine phase modulator is demonstrated. The flat output spectrum is achieved by optimizing the cavity structure, modulation amplitude, and frequency of the sine phase modulator. Fifteen lasing lines with wavelength spacing of 0.9 nm appear simultaneously and stably with power differences less than 2 dB and side-mode suppression ratio higher than 32 dB. In addition, the proposed cavity can support unidirectional operation without optical isolators. An output power difference of about 20 dB is realized between the counterclockwise and clockwise directions, which is almost independent of the pump power and lasing wavelengths. (c) 2005 Society of Photo-Optical Instrumentation Engineers.

Optimization of the multiwavelength erbium-doped fiber laser in a unidirectional cavity without an isolator

A highly uniform multiwavelength erbium-doped fiber ring laser with an intracavity sine phase modulator is demonstrated. The flat output spectrum is achieved by optimizing the cavity structure, modulation amplitude, and frequency of the sine phase modulator. Fifteen lasing lines with wavelength spacing of 0.9 nm appear simultaneously and stably with power differences less than 2 dB and side-mode suppression ratio higher than 32 dB. In addition, the proposed cavity can support unidirectional operation without optical isolators. An output power difference of about 20 dB is realized between the counterclockwise and clockwise directions, which is almost independent of the pump power and lasing wavelengths. (c) 2005 Society of Photo-Optical Instrumentation Engineers.

A Direct Approach to Robustness Optimization

This dissertation reformulates and streamlines the core tools of robustness analysis for linear time invariant systems using now-standard methods in convex optimization. In particular, robust performance analysis can be formulated as a primal convex optimization in the form of a semidefinite program using a semidefinite representation of a set of Gramians. The same approach with semidefinite programming duality is applied to develop a linear matrix inequality test for well-connectedness analysis, and many existing results such as the Kalman-Yakubovich--Popov lemma and various scaled small gain tests are derived in an elegant fashion. More importantly, unlike the classical approach, a decision variable in this novel optimization framework contains all inner products of signals in a system, and an algorithm for constructing an input and state pair of a system corresponding to the optimal solution of robustness optimization is presented based on this information. This insight may open up new research directions, and as one such example, this dissertation proposes a semidefinite programming relaxation of a cardinality constrained variant of the H ∞ norm, which we term sparse H ∞ analysis, where an adversarial disturbance can use only a limited number of channels. Finally, sparse H ∞ analysis is applied to the linearized swing dynamics in order to detect potential vulnerable spots in power networks.

Optimization of nonvolatile holographic recording by application of an external electric field

The dependences of the recording properties of LiNbO3:Fe:Mn crystals on an external electric field (applied in the recording or fixing phase of the nonvolatile holographic recording process) are numerically investigated and the optimal conditions for applying an external electric field in this two-step process of nonvolatile holographic recording are discussed in detail. Significant improvement of the photorefractive performance has been found and experimental verifications using a small external electric field are described. Moreover, direct measures relating to the dominant photovoltaic mechanism in the doubly doped LiNbO3 crystals and the unconventional grating-enhanced fixing are revealed by applying an external electric field in the recording and the fixing phases, respectively.