A novel filtering framework through Girsanov correction for the identification of nonlinear dynamical systems

Using a Girsanov change of measures, we propose novel variations within a particle-filtering algorithm, as applied to the inverse problem of state and parameter estimations of nonlinear dynamical systems of engineering interest, toward weakly correcting for the linearization or integration errors that almost invariably occur whilst numerically propagating the process dynamics, typically governed by nonlinear stochastic differential equations (SDEs). Specifically, the correction for linearization, provided by the likelihood or the Radon-Nikodym derivative, is incorporated within the evolving flow in two steps. Once the likelihood, an exponential martingale, is split into a product of two factors, correction owing to the first factor is implemented via rejection sampling in the first step. The second factor, which is directly computable, is accounted for via two different schemes, one employing resampling and the other using a gain-weighted innovation term added to the drift field of the process dynamics thereby overcoming the problem of sample dispersion posed by resampling. The proposed strategies, employed as add-ons to existing particle filters, the bootstrap and auxiliary SIR filters in this work, are found to non-trivially improve the convergence and accuracy of the estimates and also yield reduced mean square errors of such estimates vis-a-vis those obtained through the parent-filtering schemes.

Exact internal controllability for a hyperbolic problem in a domain with highly oscillating boundary

In this paper, by using the Hilbert Uniqueness Method (HUM), we study the exact controllability problem described by the wave equation in a three-dimensional horizontal domain bounded at the bottom by a smooth wall and at the top by a rough wall. The latter is assumed to consist in a plane wall covered with periodically distributed asperities whose size depends on a small parameter epsilon > 0, and with a fixed height. Our aim is to obtain the exact controllability for the homogenized equation. In the process, we study the asymptotic analysis of wave equation in two setups, namely solution by standard weak formulation and solution by transposition method.

Application of the random eigenvalue problem in forced response analysis of a linear stochastic structure

The random eigenvalue problem arises in frequency and mode shape determination for a linear system with uncertainties in structural properties. Among several methods of characterizing this random eigenvalue problem, one computationally fast method that gives good accuracy is a weak formulation using polynomial chaos expansion (PCE). In this method, the eigenvalues and eigenvectors are expanded in PCE, and the residual is minimized by a Galerkin projection. The goals of the current work are (i) to implement this PCE-characterized random eigenvalue problem in the dynamic response calculation under random loading and (ii) to explore the computational advantages and challenges. In the proposed method, the response quantities are also expressed in PCE followed by a Galerkin projection. A numerical comparison with a perturbation method and the Monte Carlo simulation shows that when the loading has a random amplitude but deterministic frequency content, the proposed method gives more accurate results than a first-order perturbation method and a comparable accuracy as the Monte Carlo simulation in a lower computational time. However, as the frequency content of the loading becomes random, or for general random process loadings, the method loses its accuracy and computational efficiency. Issues in implementation, limitations, and further challenges are also addressed.

A unified view of energetic efficiency in active drag reduction, thrust generation and self-propulsion through a loss coefficient with some applications

An analysis of the energy budget for the general case of a body translating in a stationary fluid under the action of an external force is used to define a power loss coefficient. This universal definition of power loss coefficient gives a measure of the energy lost in the wake of the translating body and, in general, is applicable to a variety of flow configurations including active drag reduction, self-propulsion and thrust generation. The utility of the power loss coefficient is demonstrated on a model bluff body flow problem concerning a two-dimensional elliptical cylinder in a uniform cross-flow. The upper and lower boundaries of the elliptic cylinder undergo continuous motion due to a prescribed reflectionally symmetric constant tangential surface velocity. It is shown that a decrease in drag resulting from an increase in the strength of tangential surface velocity leads to an initial reduction and eventual rise in the power loss coefficient. A maximum in energetic efficiency is attained for a drag reducing tangential surface velocity which minimizes the power loss coefficient. The effect of the tangential surface velocity on drag reduction and self-propulsion of both bluff and streamlined bodies is explored through a variation in the thickness ratio (ratio of the minor and major axes) of the elliptical cylinders.

Feature Search in the Grassmanian in Online Reinforcement Learning

We consider the problem of finding the best features for value function approximation in reinforcement learning and develop an online algorithm to optimize the mean square Bellman error objective. For any given feature value, our algorithm performs gradient search in the parameter space via a residual gradient scheme and, on a slower timescale, also performs gradient search in the Grassman manifold of features. We present a proof of convergence of our algorithm. We show empirical results using our algorithm as well as a similar algorithm that uses temporal difference learning in place of the residual gradient scheme for the faster timescale updates.

On the Erdos-Szekeres n-interior-point problem

The n-interior-point variant of the Erdos Szekeres problem is the following: for every n, n >= 1, does there exist a g(n) such that every point set in the plane with at least g(n) interior points has a convex polygon containing exactly n interior points. The existence of g(n) has been proved only for n <= 3. In this paper, we show that for any fixed r >= 2, and for every n >= 5, every point set having sufficiently large number of interior points and at most r convex layers contains a subset with exactly n interior points. We also consider a relaxation of the notion of convex polygons and show that for every n, n >= 1, any point set with at least n interior points has an almost convex polygon (a simple polygon with at most one concave vertex) that contains exactly n interior points. (C) 2013 Elsevier Ltd. All rights reserved.

Higher-Dimensional Analogues of the Map Coloring Problem

After a brief discussion of the history of the problem, we propose a generalization of the map coloring problem to higher dimensions.

A strategy-proof and budget-balanced mechanism for carbon footprint reduction by global companies

The problem addressed in this paper is concerned with an important issue faced by any green aware global company to keep its emissions within a prescribed cap. The specific problem is to allocate carbon reductions to its different divisions and supply chain partners in achieving a required target of reductions in its carbon reduction program. The problem becomes a challenging one since the divisions and supply chain partners, being autonomous, may exhibit strategic behavior. We use a standard mechanism design approach to solve this problem. While designing a mechanism for the emission reduction allocation problem, the key properties that need to be satisfied are dominant strategy incentive compatibility (DSIC) (also called strategy-proofness), strict budget balance (SBB), and allocative efficiency (AE). Mechanism design theory has shown that it is not possible to achieve the above three properties simultaneously. In the literature, a mechanism that satisfies DSIC and AE has recently been proposed in this context, keeping the budget imbalance minimal. Motivated by the observation that SBB is an important requirement, in this paper, we propose a mechanism that satisfies DSIC and SBB with slight compromise in allocative efficiency. Our experimentation with a stylized case study shows that the proposed mechanism performs satisfactorily and provides an attractive alternative mechanism for carbon footprint reduction by global companies.

Optimal incentive timing strategies for product marketing on social networks

We consider the problem of devising incentive strategies for viral marketing of a product. In particular, we assume that the seller can influence penetration of the product by offering two incentive programs: a) direct incentives to potential buyers (influence) and b) referral rewards for customers who influence potential buyers to make the purchase (exploit connections). The problem is to determine the optimal timing of these programs over a finite time horizon. In contrast to algorithmic perspective popular in the literature, we take a mean-field approach and formulate the problem as a continuous-time deterministic optimal control problem. We show that the optimal strategy for the seller has a simple structure and can take both forms, namely, influence-and-exploit and exploit-and-influence. We also show that in some cases it may optimal for the seller to deploy incentive programs mostly for low degree nodes. We support our theoretical results through numerical studies and provide practical insights by analyzing various scenarios.

The problem of clear air turbulence: Changing perspectives in the understanding of the phenomenon

Due to rapid improvements in on-board instrumentation and atmospheric observation systems, in most cases, aircraft are able to steer clear of regions of adverse weather. However, they still encounter unexpected bumpy flight conditions in regions away from storms and clouds. This is the phenomenon of clear air turbulence (CAT), which has been a challenge to our understanding as well as efforts at prediction. While most of such cases result in mild discomfort, a few cases can be violent leading to serious injuries to passengers and damage to the aircraft. The underlying physical mechanisms have been sought to be explained in terms of fluid dynamic instabilities and waves in the atmosphere. The main mechanisms which have been proposed are: (i) Kelvin-Helmholtz instability of shear layers, (ii) waves generated from flow over mountains, (iii) inertia-gravity waves from clouds and other sources, (iv) spontaneous imbalance theory and (v) horizontal vortex tubes. This has also undergone a change over the years. We present an overview of the mechanisms proposed and their implications for prediction.

Infinitely divisible metrics and curvature inequalities for operators in the Cowen-Douglas class

The curvature (T)(w) of a contraction T in the Cowen-Douglas class B-1() is bounded above by the curvature (S*)(w) of the backward shift operator. However, in general, an operator satisfying the curvature inequality need not be contractive. In this paper, we characterize a slightly smaller class of contractions using a stronger form of the curvature inequality. Along the way, we find conditions on the metric of the holomorphic Hermitian vector bundle E-T corresponding to the operator T in the Cowen-Douglas class B-1() which ensures negative definiteness of the curvature function. We obtain a generalization for commuting tuples of operators in the class B-1() for a bounded domain in C-m.

Channel estimation at the transmitter in a reciprocal MIMO spatial multiplexing system

This paper considers the problem of channel estimation at the transmitter in a spatial multiplexing-based Time Division Duplex (TDD) Multiple Input Multiple Output (MIMO) system with perfect CSIR. A novel channel-dependent Reverse Channel Training (RCT) sequence is proposed, using which the transmitter estimates the beamforming vectors for forward link data transmission. This training sequence is designed based on the following two metrics: (i) a capacity lower bound, and (ii) the mean square error in the estimate. The performance of the proposed training scheme is analyzed and is shown to significantly outperform the conventional orthogonal RCT sequence. Also, in the case where the transmitter uses water-filling power allocation for data transmission, a novel RCT sequence is proposed and optimized with respect to the MSE in estimating the transmit covariance matrix.

Delay optimal scheduling of a discrete-time batch service queue for point-to-point channel code rate selection

We consider the problem of characterizing the minimum average delay, or equivalently the minimum average queue length, of message symbols randomly arriving to the transmitter queue of a point-to-point link which dynamically selects a (n, k) block code from a given collection. The system is modeled by a discrete time queue with an IID batch arrival process and batch service. We obtain a lower bound on the minimum average queue length, which is the optimal value for a linear program, using only the mean (λ) and variance (σ2) of the batch arrivals. For a finite collection of (n, k) codes the minimum achievable average queue length is shown to be Θ(1/ε) as ε ↓ 0 where ε is the difference between the maximum code rate and λ. We obtain a sufficient condition for code rate selection policies to achieve this optimal growth rate. A simple family of policies that use only one block code each as well as two other heuristic policies are shown to be weakly optimal in the sense of achieving the 1/ε growth rate. An appropriate selection from the family of policies that use only one block code each is also shown to achieve the optimal coefficient σ2/2 of the 1/ε growth rate. We compare the performance of the heuristic policies with the minimum achievable average queue length and the lower bound numerically. For a countable collection of (n, k) codes, the optimal average queue length is shown to be Ω(1/ε). We illustrate the selectivity among policies of the growth rate optimality criterion for both finite and countable collections of (n, k) block codes.

STOKES' SYSTEM IN A DOMAIN WITH OSCILLATING BOUNDARY: HOMOGENIZATION AND ERROR ANALYSIS OF AN INTERIOR OPTIMAL CONTROL PROBLEM

Homogenization and error analysis of an optimal interior control problem in the framework of Stokes' system, on a domain with rapidly oscillating boundary, are the subject matters of this article. We consider a three dimensional domain constituted of a parallelepiped with a large number of rectangular cylinders at the top of it. An interior control is applied in a proper subdomain of the parallelepiped, away from the oscillating volume. We consider two types of functionals, namely a functional involving the L-2-norm of the state variable and another one involving its H-1-norm. The asymptotic analysis of optimality systems for both cases, when the cross sectional area of the rectangular cylinders tends to zero, is done here. Our major contribution is to derive error estimates for the state, the co-state and the associated pressures, in appropriate functional spaces.