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.

The Head-On Colliding Process Of Binary Liquid Droplets At Low Velocity: High-Speed Photography Experiments And Modeling

The experimental and theoretical studies are reported in this paper for the head-on collisions of a liquid droplet with another of the same fluid resting on a solid substrate. The droplet on the hydrophobic polydimethylsiloxane (PDMS) substrate remains in a shape of an approximately spherical segment and is isometric to an incoming droplet. The colliding process of the binary droplets was recorded with high-speed photography. Head-on collisions saw four different types of response in our experiments: complete rebound, coalescence, partial rebound With conglutination, and coalescence accompanied by conglutination. For a complete rebound, both droplets exhibited remarkable elasticity and the contact time of the two colliding droplets was found to be in the range of 10-20 ms. With both droplets approximately considered as elastic bodies, Hertz contact theory was introduced to estimate the contact time for the complete rebound case. The estimated result Was found to be on the same order of magnitude as the experimental data, which indicates that the present model is reasonable. (C) 2008 Elsevier Inc. All rights reserved.

Investigation Of Mode Ii Crack Growth Following A Very High Speed Impact

A recoverable plate impact testing technology has been developed for studying fracture mechanisms of mode II crack. With this technology, a single duration stress pulse with submicrosecond duration and high loading rates, up to 10(8) MPam(1/2)s(-1), can be produced. Dynamic failure tests of Hard-C 60# steel were carried out under asymmetrical impacting conditions with short stress-pulse loading. Experimental results show that the nucleation and growth of several microcracks ahead of the crack tip, and the interactions between them, induce unsteady crack growth. Failure mode transitions during crack growth, both from mode I crack to mode II and from brittle to ductile fracture, were observed. Based on experimental observations, a discontinuous crack growth model was established. Analysis of the crack growth mechanisms using our model shows that the shear crack extension is unsteady when the extending speed is between the Rayleigh wave speed c(R) and the shear wave speed c(S). However, when the crack advancing speed is beyond c(S), the crack grows at a steady intersonic speed approaching root 2c(S). It also shows that the transient mechanisms, such as nucleation, growth, interaction and coalescence among microcracks, make the main crack speed jump from subsonic to intersonic and the steady growth of all the subcracks causes the main crack to grow at a stable intersonic speed.

Optimal bounded control of first-passage failure of strongly non-linear oscillators under combined harmonic and white-noise excitations

A procedure for designing the optimal bounded control of strongly non-linear oscillators under combined harmonic and white-noise excitations for minimizing their first-passage failure is proposed. First, a stochastic averaging method for strongly non-linear oscillators under combined harmonic and white-noise excitations using generalized harmonic functions is introduced. Then, the dynamical programming equations and their boundary and final time conditions for the control problems of maximizing reliability and of maximizing mean first-passage time are formulated from the averaged Ito equations by using the dynamical programming principle. The optimal control law is derived from the dynamical programming equations and control constraint. Finally, the conditional reliability function, the conditional probability density and mean of the first-passage time of the optimally controlled system are obtained from solving the backward Kolmogorov equation and Pontryagin equation. An example is given to illustrate the proposed procedure and the results obtained are verified by using those from digital simulation. (C) 2003 Elsevier Ltd. All rights reserved.

Monte Carlo approaches to nonlinear optimal control

This paper explores the use of Monte Carlo techniques in deterministic nonlinear optimal control. Inter-dimensional population Markov Chain Monte Carlo (MCMC) techniques are proposed to solve the nonlinear optimal control problem. The linear quadratic and Acrobot problems are studied to demonstrate the successful application of the relevant techniques.