A semi-analytical particle filter for identification of nonlinear oscillators

Particle filters find important applications in the problems of state and parameter estimations of dynamical systems of engineering interest. Since a typical filtering algorithm involves Monte Carlo simulations of the process equations, sample variance of the estimator is inversely proportional to the number of particles. The sample variance may be reduced if one uses a Rao-Blackwell marginalization of states and performs analytical computations as much as possible. In this work, we propose a semi-analytical particle filter, requiring no Rao-Blackwell marginalization, for state and parameter estimations of nonlinear dynamical systems with additively Gaussian process/observation noises. Through local linearizations of the nonlinear drift fields in the process/observation equations via explicit Ito-Taylor expansions, the given nonlinear system is transformed into an ensemble of locally linearized systems. Using the most recent observation, conditionally Gaussian posterior density functions of the linearized systems are analytically obtained through the Kalman filter. This information is further exploited within the particle filter algorithm for obtaining samples from the optimal posterior density of the states. The potential of the method in state/parameter estimations is demonstrated through numerical illustrations for a few nonlinear oscillators. The proposed filter is found to yield estimates with reduced sample variance and improved accuracy vis-a-vis results from a form of sequential importance sampling filter.

Reliability models for existing structures based on dynamic state estimation and data based asymptotic extreme value analysis

The problem of time variant reliability analysis of existing structures subjected to stationary random dynamic excitations is considered. The study assumes that samples of dynamic response of the structure, under the action of external excitations, have been measured at a set of sparse points on the structure. The utilization of these measurements m in updating reliability models, postulated prior to making any measurements, is considered. This is achieved by using dynamic state estimation methods which combine results from Markov process theory and Bayes' theorem. The uncertainties present in measurements as well as in the postulated model for the structural behaviour are accounted for. The samples of external excitations are taken to emanate from known stochastic models and allowance is made for ability (or lack of it) to measure the applied excitations. The future reliability of the structure is modeled using expected structural response conditioned on all the measurements made. This expected response is shown to have a time varying mean and a random component that can be treated as being weakly stationary. For linear systems, an approximate analytical solution for the problem of reliability model updating is obtained by combining theories of discrete Kalman filter and level crossing statistics. For the case of nonlinear systems, the problem is tackled by combining particle filtering strategies with data based extreme value analysis. In all these studies, the governing stochastic differential equations are discretized using the strong forms of Ito-Taylor's discretization schemes. The possibility of using conditional simulation strategies, when applied external actions are measured, is also considered. The proposed procedures are exemplifiedmby considering the reliability analysis of a few low-dimensional dynamical systems based on synthetically generated measurement data. The performance of the procedures developed is also assessed based on a limited amount of pertinent Monte Carlo simulations. (C) 2010 Elsevier Ltd. All rights reserved.

Pseudo-time particle filtering for diffuse optical tomography

We recast the reconstruction problem of diffuse optical tomography (DOT) in a pseudo-dynamical framework and develop a method to recover the optical parameters using particle filters, i.e., stochastic filters based on Monte Carlo simulations. In particular, we have implemented two such filters, viz., the bootstrap (BS) filter and the Gaussian-sum (GS) filter and employed them to recover optical absorption coefficient distribution from both numerically simulated and experimentally generated photon fluence data. Using either indicator functions or compactly supported continuous kernels to represent the unknown property distribution within the inhomogeneous inclusions, we have drastically reduced the number of parameters to be recovered and thus brought the overall computation time to within reasonable limits. Even though the GS filter outperformed the BS filter in terms of accuracy of reconstruction, both gave fairly accurate recovery of the height, radius, and location of the inclusions. Since the present filtering algorithms do not use derivatives, we could demonstrate accurate contrast recovery even in the middle of the object where the usual deterministic algorithms perform poorly owing to the poor sensitivity of measurement of the parameters. Consistent with the fact that the DOT recovery, being ill posed, admits multiple solutions, both the filters gave solutions that were verified to be admissible by the closeness of the data computed through them to the data used in the filtering step (either numerically simulated or experimentally generated). (C) 2011 Optical Society of America

Bayesian parameter identification in dynamic state space models using modified measurement equations

When Markov chain Monte Carlo (MCMC) samplers are used in problems of system parameter identification, one would face computational difficulties in dealing with large amount of measurement data and (or) low levels of measurement noise. Such exigencies are likely to occur in problems of parameter identification in dynamical systems when amount of vibratory measurement data and number of parameters to be identified could be large. In such cases, the posterior probability density function of the system parameters tends to have regions of narrow supports and a finite length MCMC chain is unlikely to cover pertinent regions. The present study proposes strategies based on modification of measurement equations and subsequent corrections, to alleviate this difficulty. This involves artificial enhancement of measurement noise, assimilation of transformed packets of measurements, and a global iteration strategy to improve the choice of prior models. Illustrative examples cover laboratory studies on a time variant dynamical system and a bending-torsion coupled, geometrically non-linear building frame under earthquake support motions. (C) 2015 Elsevier Ltd. All rights reserved.

Girsanov Transformation-Based Reliability Modeling and Testing of Actively Controlled Structures

The problem of estimation of the time-variant reliability of actively controlled structural dynamical systems under stochastic excitations is considered. Monte Carlo simulations, reinforced with Girsanov transformation-based sampling variance reduction, are used to tackle the problem. In this approach, the external excitations are biased by an additional artificial control force. The conflicting objectives of the two control forces-one designed to reduce structural responses and the other to promote limit-state violations (but to reduce sampling variance)-are noted. The control for variance reduction is fashioned after design-point oscillations based on a first-order reliability method. It is shown that for structures that are amenable to laboratory testing, the reliability can be estimated experimentally with reduced testing times by devising a procedure based on the ideas of the Girsanov transformation. Illustrative examples include studies on a building frame with a magnetorheologic damper-based isolation system subject to nonstationary random earthquake excitations. (C) 2014 American Society of Civil Engineers.

Phase diagram of the half-filled ionic Hubbard model

We study the phase diagram of the ionic Hubbard model (IHM) at half filling on a Bethe lattice of infinite connectivity using dynamical mean-field theory (DMFT), with two impurity solvers, namely, iterated perturbation theory (IPT) and continuous time quantum Monte Carlo (CTQMC). The physics of the IHM is governed by the competition between the staggered ionic potential Delta and the on-site Hubbard U. We find that for a finite Delta and at zero temperature, long-range antiferromagnetic (AFM) order sets in beyond a threshold U = U-AF via a first-order phase transition. For U smaller than U-AF the system is a correlated band insulator. Both methods show a clear evidence for a quantum transition to a half-metal (HM) phase just after the AFM order is turned on, followed by the formation of an AFM insulator on further increasing U. We show that the results obtained within both methods have good qualitative and quantitative consistency in the intermediate-to-strong-coupling regime at zero temperature as well as at finite temperature. On increasing the temperature, the AFM order is lost via a first-order phase transition at a transition temperature T-AF(U,Delta) or, equivalently, on decreasing U below U-AF(T,Delta)], within both methods, for weak to intermediate values of U/t. In the strongly correlated regime, where the effective low-energy Hamiltonian is the Heisenberg model, IPT is unable to capture the thermal (Neel) transition from the AFM phase to the paramagnetic phase, but the CTQMC does. At a finite temperature T, DMFT + CTQMC shows a second phase transition (not seen within DMFT + IPT) on increasing U beyond U-AF. At U-N > U-AF, when the Neel temperature T-N for the effective Heisenberg model becomes lower than T, the AFM order is lost via a second-order transition. For U >> Delta, T-N similar to t(2)/U(1 - x(2)), where x = 2 Delta/U and thus T-N increases with increase in Delta/U. In the three-dimensional parameter space of (U/t, T/t, and Delta/t), as T increases, the surface of first-order transition at U-AF(T,Delta) and that of the second-order transition at U-N(T,Delta) approach each other, shrinking the range over which the AFM order is stable. There is a line of tricritical points that separates the surfaces of first- and second-order phase transitions.

Global Response Sensitivity Analysis of Randomly Excited Dynamic Structures

The response of structural dynamical systems excited by multiple random excitations is considered. Two new procedures for evaluating global response sensitivity measures with respect to the excitation components are proposed. The first procedure is valid for stationary response of linear systems under stationary random excitations and is based on the notion of Hellinger's metric of distance between two power spectral density functions. The second procedure is more generally valid and is based on the l2 norm based distance measure between two probability density functions. Specific cases which admit exact solutions are presented, and solution procedures based on Monte Carlo simulations for more general class of problems are outlined. Illustrations include studies on a parametrically excited linear system and a nonlinear random vibration problem involving moving oscillator-beam system that considers excitations attributable to random support motions and guide-way unevenness. (C) 2015 American Society of Civil Engineers.

Models and algorithms for detection and tracking of coordinated groups

In this paper, we describe models and algorithms for detection and tracking of group and individual targets. We develop two novel group dynamical models, within a continuous time setting, that aim to mimic behavioural properties of groups. We also describe two possible ways of modeling interactions between closely using Markov Random Field (MRF) and repulsive forces. These can be combined together with a group structure transition model to create realistic evolving group models. We use a Markov Chain Monte Carlo (MCMC)-Particles Algorithm to perform sequential inference. Computer simulations demonstrate the ability of the algorithm to detect and track targets within groups, as well as infer the correct group structure over time. ©2008 IEEE.

The interplay of localization and interactions in quantum many-body systems

Disorder and interactions both play crucial roles in quantum transport. Decades ago, Mott showed that electron-electron interactions can lead to insulating behavior in materials that conventional band theory predicts to be conducting. Soon thereafter, Anderson demonstrated that disorder can localize a quantum particle through the wave interference phenomenon of Anderson localization. Although interactions and disorder both separately induce insulating behavior, the interplay of these two ingredients is subtle and often leads to surprising behavior at the periphery of our current understanding. Modern experiments probe these phenomena in a variety of contexts (e.g. disordered superconductors, cold atoms, photonic waveguides, etc.); thus, theoretical and numerical advancements are urgently needed. In this thesis, we report progress on understanding two contexts in which the interplay of disorder and interactions is especially important.

The first is the so-called “dirty” or random boson problem. In the past decade, a strong-disorder renormalization group (SDRG) treatment by Altman, Kafri, Polkovnikov, and Refael has raised the possibility of a new unstable fixed point governing the superfluid-insulator transition in the one-dimensional dirty boson problem. This new critical behavior may take over from the weak-disorder criticality of Giamarchi and Schulz when disorder is sufficiently strong. We analytically determine the scaling of the superfluid susceptibility at the strong-disorder fixed point and connect our analysis to recent Monte Carlo simulations by Hrahsheh and Vojta. We then shift our attention to two dimensions and use a numerical implementation of the SDRG to locate the fixed point governing the superfluid-insulator transition there. We identify several universal properties of this transition, which are fully independent of the microscopic features of the disorder.

The second focus of this thesis is the interplay of localization and interactions in systems with high energy density (i.e., far from the usual low energy limit of condensed matter physics). Recent theoretical and numerical work indicates that localization can survive in this regime, provided that interactions are sufficiently weak. Stronger interactions can destroy localization, leading to a so-called many-body localization transition. This dynamical phase transition is relevant to questions of thermalization in isolated quantum systems: it separates a many-body localized phase, in which localization prevents transport and thermalization, from a conducting (“ergodic”) phase in which the usual assumptions of quantum statistical mechanics hold. Here, we present evidence that many-body localization also occurs in quasiperiodic systems that lack true disorder.

On the solution of first excursion problems by simulation with applications to probabilistic seismic performance assessment

In a probabilistic assessment of the performance of structures subjected to uncertain environmental loads such as earthquakes, an important problem is to determine the probability that the structural response exceeds some specified limits within a given duration of interest. This problem is known as the first excursion problem, and it has been a challenging problem in the theory of stochastic dynamics and reliability analysis. In spite of the enormous amount of attention the problem has received, there is no procedure available for its general solution, especially for engineering problems of interest where the complexity of the system is large and the failure probability is small.

The application of simulation methods to solving the first excursion problem is investigated in this dissertation, with the objective of assessing the probabilistic performance of structures subjected to uncertain earthquake excitations modeled by stochastic processes. From a simulation perspective, the major difficulty in the first excursion problem comes from the large number of uncertain parameters often encountered in the stochastic description of the excitation. Existing simulation tools are examined, with special regard to their applicability in problems with a large number of uncertain parameters. Two efficient simulation methods are developed to solve the first excursion problem. The first method is developed specifically for linear dynamical systems, and it is found to be extremely efficient compared to existing techniques. The second method is more robust to the type of problem, and it is applicable to general dynamical systems. It is efficient for estimating small failure probabilities because the computational effort grows at a much slower rate with decreasing failure probability than standard Monte Carlo simulation. The simulation methods are applied to assess the probabilistic performance of structures subjected to uncertain earthquake excitation. Failure analysis is also carried out using the samples generated during simulation, which provide insight into the probable scenarios that will occur given that a structure fails.

Bayesian inference and learning in Gaussian process state-space models with Particle MCMC

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gaussian process prior over the state transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. To enable efficient inference, we marginalize over the transition dynamics function and, instead, infer directly the joint smoothing distribution using specially tailored Particle Markov Chain Monte Carlo samplers. Once a sample from the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. Our approach preserves the full nonparametric expressivity of the model and can make use of sparse Gaussian processes to greatly reduce computational complexity.

分子水平上研究地质流体的物理化学性质

Geological fluids exist in every geosphere of the Earth and play important roles in many processes of material transformations, energetic interchanges and geochemical interactions. To study the physicochemical properties and geochemical behaviors of geological fluids turn Girt to be one of the challenging issues in geosciences. Compared with conventional approaches of experiments and semi-theoretical modeling, computer simulation on molecular level shows its advantages on quantitative predictions of the physicochemical properties of geological fluids under extreme conditions and emerges as a promising approach to find the characteristics of geological fluids and their interactions in different geospheres of the Earth interior.This dissertation systematically discusses the physicochemical properties of typical geological fluids with state-of-the-art computer simulation techniques. The main results can be summarized as follows: (1) The experimental phase behaviors of the systems CH4-C2H6 and. CO2 have been successfully reproduced with Monte Carlo simulations. (2) Through comprehensive isothermal-isobaric molecular dynamics simulations, the PVT data of water hia^e been extended beyond experimental range to about 2000 K and 20 GPa and an improved equation of state for water has been established. (3) Based on extensive computer simulations, am optimized molecular potential for carbon dioxide have been proposed, this model is expected to predict different properties of carbon dioxide (volumetric properties, phase equilibria, heat of vaporization, structural and dynamical properties) with improved accuracies. (4) On the basis of the above researches of the end-members, a set of parameters for unlike interactions has been proposed by non-linear fitting to the ab initio potential surface of CO2-H2O and is superior to the common used mixing rule and the results of prior workers vs/Ith remarkable accuracies, then a number of simulations of the mixture have been carried out to generate data under high temperatures and pressures as an important complement to the limited experiments. (5) With molecular dynamics simulations, various structural, dynamical and thermodynamical properties of ionic solvations and associations have been oomprehensively analyzed, these results not only agree well with experimental data and first principle calculation results, but also reveal some new insights into the microscopic ionic solvation and association processes.

Prediction of limit cycle oscillations under uncertainty using a Harmonic Balance method

The Harmonic Balance method is an attractive solution for computing periodic responses and can be an alternative to time domain methods, at a reduced computational cost. The current paper investigates using a Harmonic Balance method for simulating limit cycle oscillations under uncertainty. The Harmonic Balance method is used in conjunction with a non-intrusive polynomial-chaos approach to propagate variability and is validated against Monte Carlo analysis. Results show the potential of the approach for a range of nonlinear dynamical systems, including a full wing configuration exhibiting supercritical and subcritical bifurcations, at a fraction of the cost of performing time domain simulations.

Shot noise anomalies in elastic nondegenerate diffusive conductors

We present a theoretical investigation of shot-noise properties in nondegenerate elastic diffusive conductors. Both Monte Carlo simulations and analytical approaches are used. Two interesting phenomena are found: (i) the display of enhanced shot noise for given energy dependences of the scattering time, and (ii) the recovery of full shot noise for asymptotic high applied bias. The first phenomenon is associated with the onset of negative differential conductivity in energy space that drives the system towards a dynamical electrical instability in excellent agreement with analytical predictions. The enhancement is found to be strongly amplified when the dimensionality in momentum space is lowered from three to two dimensions. The second phenomenon is due to the suppression of the effects of long-range Coulomb correlations that takes place when the transit time becomes the shortest time scale in the system, and is common to both elastic and inelastic nondegenerate diffusive conductors. These phenomena shed different light in the understanding of the anomalous behavior of shot noise in mesoscopic conductors, which is a signature of correlations among different current pulses.

Fragile-glass behavior of a short-range p-spin model

We propose a short-range generalization of the p-spin interaction spin-glass model. The model is well suited to test the idea that an entropy collapse is at the bottom line of the dynamical singularity encountered in structural glasses. The model is studied in three dimensions through Monte Carlo simulations, which put in evidence fragile glass behavior with stretched exponential relaxation and super-Arrhenius behavior of the relaxation time. Our data are in favor of a Vogel-Fulcher behavior of the relaxation time, related to an entropy collapse at the Kauzmann temperature. We, however, encounter difficulties analogous to those found in experimental systems when extrapolating thermodynamical data at low temperatures. We study the spin-glass susceptibility, investigating the behavior of the correlation length in the system. We find that the increase of the relaxation time is accompanied by a very slow growth of the correlation length. We discuss the scaling properties of off-equilibrium dynamics in the glassy regime, finding qualitative agreement with the mean-field theory.