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.

Stability Of Adhesion Clusters And Cell Reorientation Under Lateral Cyclic Tension

This work is motivated by experimental observations that cells on stretched substrate exhibit different responses to static and dynamic loads. A model of focal adhesion that can consider the mechanics of stress fiber, adhesion bonds, and substrate was developed at the molecular level by treating the focal adhesion as an adhesion cluster. The stability of the cluster under dynamic load was studied by applying cyclic external strain on the substrate. We show that a threshold value of external strain amplitude exists beyond which the adhesion cluster disrupts quickly. In addition, our results show that the adhesion cluster is prone to losing stability under high-frequency loading, because the receptors and ligands cannot get enough contact time to form bonds due to the high-speed deformation of the substrate. At the same time, the viscoelastic stress fiber becomes rigid at high frequency, which leads to significant deformation of the bonds. Furthermore, we find that the stiffness and relaxation time of stress fibers play important roles in the stability of the adhesion cluster. The essence of this work is to connect the dynamics of the adhesion bonds (molecular level) with the cell's behavior during reorientation (cell level) through the mechanics of stress fiber. The predictions of the cluster model are consistent with experimental observations.

Stability Analysis Of The Moving Interface In Piston- And Non-Piston-Like Displacements

From the macroscopic point of view, expressions involving reservoir and operational parameters are established for investigating the stability of moving interface in piston- and non-piston-like displacements. In the case of axi-symmetrical piston-like displacement, the stability is related to the moving interface position and water to oil mobility ratio. The capillary effect on the stability of moving interface depends on whether or not the moving interface is already stable and correlates with the wettability of the reservoir rock. In the case of non-piston-like displacement, the stability of the front is governed by both the relative permeability and the mobility ratio.

A Linear Stability Analysis Of Large-Prandtl-Number Thermocapillary Liquid Bridges

A linear stability analysis is applied to determine the onset of oscillatory thermocapillary convection in cylindrical liquid bridges of large Prandtl numbers (4 <= Pr <= 50). We focus on the relationships between the critical Reynolds number Re-c, the azimuthal wave number m, the aspect ratio F and the Prandtl number Pr. A detailed Re-c-Pr stability diagram is given for liquid bridges with various Gamma. In the region of Pr > 1, which has been less studied previously and where Re, has been usually believed to decrease with the increase of Pr, we found Re-c exhibits an early increase for liquid bridges with Gamma around one. From the computed surface temperature gradient, it is concluded that the boundary layers developed at both solid ends of liquid bridges strengthen the stability of basic axisymmetric thermocapillary convection at large Prandtl number, and that the stability property of the basic flow is determined by the "effective" part of liquid bridge. (c) 2008 Published by Elsevier Ltd on behalf of COSPAR.

Search For Critical Slip Surface In Slope Stability Analysis By Spline-Based Ga Method

The stability of a soil slope is usually analyzed by limit equilibrium methods, in which the identification of the critical slip surface is of principal importance. In this study the spline curve in conjunction with a genetic algorithm is used to search the critical slip surface, and Spencer's method is employed to calculate the factor of safety. Three examples are presented to illustrate the reliability and efficiency of the method. Slip surfaces defined by a series of straight lines are compared with those defined by spline curves, and the results indicate that use of spline curves renders better results for a given number of slip surface nodal points comparing with the approximation using straight line segments.

Analysis and application of ellipticity of stability equations on fluid mechanics

By using characteristic analysis of the linear and nonlinear parabolic stability equations (PSE), PSE of primitive disturbance variables are proved to be parabolic intotal. By using sub-characteristic analysis of PSE, the linear PSE are proved to be elliptical and hyperbolic-parabolic for velocity U, in subsonic and supersonic, respectively; the nonlinear PSE are proved to be elliptical and hyperbolic-parabolic for relocity U + u in subsonic and supersonic, respectively. The methods are gained that the remained ellipticity is removed from the PSE by characteristic and sub-characteristic theories, the results for the linear PSE are consistent with the known results, and the influence of the Mach number is also given out. At the same time, the methods of removing the remained ellipticity are further obtained from the nonlinear PSE.

Effect of Fe content on the thermal stability and dynamic mechanical behavior of NdAlNiCu bulk metallic glasses

The dependence of microstructure and thermal stability on Fe content of bulk Nd60Al10Ni10Cu20-xFex (0 less than or equal to x less than or equal to 20) metallic glasses is investigated by means of differential scanning calorimetry (DSC), X-ray diffraction (XRD) and high-resolution transmission electron micrograph (HRTEM). All samples exhibit typical amorphous feature under the detect limit of XRD, however, HRTEM results show that the microstructure of Nd60Al10Ni10Cu20-xFex alloys changes from a homogeneous amorphous phase to a composite structure consisting of clusters dispersed in amorphous matrix by increasing Fe content. Dynamic mechanical properties of these alloys with controllable microstructure are studied, expressed via storage modulus, the loss modulus and the mechanical damping. The results reveal that the storage modulus of the alloy without Fe added shows a distinct decrease due to the main a relaxation. This decrease weakens and begins at a higher temperature with increasing Fe content. The mechanism of the effect of Fe addition on the microstructure and thermal stability in this system is discussed in terms of thermodynamics viewpoints. (C) 2004 Elsevier B.V. All rights reserved.

Ocean currents-induced pipeline lateral stability on sandy seabed

Unlike previous mechanical actuator loading methods, in this study, a hydrodynamic loading method was employed in a flow flume for simulating ocean currents induced submarine pipeline stability on a sandy seabed. It has been observed that, in the process of pipeline losing lateral stability in currents, there usually exist three characteristic times: (1) onset of sand scour; (2) slight lateral displacement of pipeline; and (3) breakout of pipeline. An empirical linear relationship is established between the dimensionless submerged weight of pipeline and Froude number for describing pipeline lateral stability in currents, in which the current-pipe-soil coupling effects are reflected. Scale effects are examined with the method of "modeling of models," and the sand particle size effects on pipeline stability are also discussed. Moreover, the pipeline stability in currents is compared with that in waves, which indicates that the pipeline laid directly upon the sandy seabed is more laterally stable in currents than in waves.

A novel oblique detonation structure and its stability

Oblique detonation structures induced by the wedge in the supersonic combustible gas mixtures are simulated numerically. The results show that the stationary oblique detonation structures are influenced by the gas flow Mach number, and a novel critical oblique detonation structure, which is characterized by a more complicated wave system, appears in the low Mach number cases. By introducing the inflow disturbance, its nonstationary evolution process is illustrated and its stability is verified.

Stability and bifurcation behaviour of electrostatic torsional NEMS varactor influenced by dispersion forces

The influences of Casimir and van der Waals forces on the nano-electromechanical systems (NEMS) electrostatic torsional varactor are studied. A one degree of freedom, the torsional angle, is adopted, and the bifurcation behaviour of the NEMS torsional varactor is investigated. There are two bifurcation points, one of which is a Hopf bifurcation point and the other is an unstable saddle point. The phase portraits are also drawn, in which periodic orbits are around the Hopf bifurcation point, but the periodic orbit will break into a homoclinic orbit when meeting the unstable saddle point.