A Monte Carlo expectation maximisation algorithm for multiple target tracking

In this paper, we present an expectation-maximisation (EM) algorithm for maximum likelihood estimation in multiple target models (MTT) with Gaussian linear state-space dynamics. We show that estimation of sufficient statistics for EM in a single Gaussian linear state-space model can be extended to the MTT case along with a Monte Carlo approximation for inference of unknown associations of targets. The stochastic approximation EM algorithm that we present here can be used along with any Monte Carlo method which has been developed for tracking in MTT models, such as Markov chain Monte Carlo and sequential Monte Carlo methods. We demonstrate the performance of the algorithm with a simulation. © 2012 ISIF (Intl Society of Information Fusi).

Sensor data scheduling for linear quadratic Gaussian control with full state feedback

Networked control systems (NCSs) have attracted much attention in the past decade due to their many advantages and growing number of applications. Different than classic control systems, resources in NCSs, such as network bandwidth and communication energy, are often limited, which degrade the closed-loop system performance and may even cause the system to become unstable. Seeking a desired trade-off between the closed-loop system performance and the limited resources is thus one heated area of research. In this paper, we analyze the trade-off between the sensor-to-controller communication rate and the closed-loop system performance indexed by the conventional LQG control cost. We present and compare several sensor data schedules, and demonstrate that two event-based sensor data schedules provide better trade-off than an optimal offline schedule. Simulation examples are provided to illustrate the theories developed in the paper. © 2012 AACC American Automatic Control Council).

Gaussian Approximation Potential: an interatomic potential derived from first principles Quantum Mechanics

Simulation of materials at the atomistic level is an important tool in studying microscopic structure and processes. The atomic interactions necessary for the simulation are correctly described by Quantum Mechanics. However, the computational resources required to solve the quantum mechanical equations limits the use of Quantum Mechanics at most to a few hundreds of atoms and only to a small fraction of the available configurational space. This thesis presents the results of my research on the development of a new interatomic potential generation scheme, which we refer to as Gaussian Approximation Potentials. In our framework, the quantum mechanical potential energy surface is interpolated between a set of predetermined values at different points in atomic configurational space by a non-linear, non-parametric regression method, the Gaussian Process. To perform the fitting, we represent the atomic environments by the bispectrum, which is invariant to permutations of the atoms in the neighbourhood and to global rotations. The result is a general scheme, that allows one to generate interatomic potentials based on arbitrary quantum mechanical data. We built a series of Gaussian Approximation Potentials using data obtained from Density Functional Theory and tested the capabilities of the method. We showed that our models reproduce the quantum mechanical potential energy surface remarkably well for the group IV semiconductors, iron and gallium nitride. Our potentials, while maintaining quantum mechanical accuracy, are several orders of magnitude faster than Quantum Mechanical methods.

Modelling and control of nonlinear systems using Gaussian processes with partial model information

Gaussian processes are gaining increasing popularity among the control community, in particular for the modelling of discrete time state space systems. However, it has not been clear how to incorporate model information, in the form of known state relationships, when using a Gaussian process as a predictive model. An obvious example of known prior information is position and velocity related states. Incorporation of such information would be beneficial both computationally and for faster dynamics learning. This paper introduces a method of achieving this, yielding faster dynamics learning and a reduction in computational effort from O(Dn2) to O((D - F)n2) in the prediction stage for a system with D states, F known state relationships and n observations. The effectiveness of the method is demonstrated through its inclusion in the PILCO learning algorithm with application to the swing-up and balance of a torque-limited pendulum and the balancing of a robotic unicycle in simulation. © 2012 IEEE.

Calibrating the Gaussian multi-target tracking model

We present novel batch and online (sequential) versions of the expectation-maximisation (EM) algorithm for inferring the static parameters of a multiple target tracking (MTT) model. Online EM is of particular interest as it is a more practical method for long data sets since in batch EM, or a full Bayesian approach, a complete browse of the data is required between successive parameter updates. Online EM is also suited to MTT applications that demand real-time processing of the data. Performance is assessed in numerical examples using simulated data for various scenarios. For batch estimation our method significantly outperforms an existing gradient based maximum likelihood technique, which we show to be significantly biased. © 2014 Springer Science+Business Media New York.

Numerical simulation of thermal loading produced by shaped high power laser onto engine parts

Recently a new method for simulating the thermal loading on pistons of diesel engines was reported. The spatially shaped high power laser is employed as the heat source, and some preliminary experimental and numerical work was carried out. In this paper, a further effort was made to extend this simulation method to some other important engine parts such as cylinder heads. The incident Gaussian beam was transformed into concentric multi-circular patterns of specific intensity distributions, with the aid of diffractive optical elements (DOEs). By incorporating the appropriate repetitive laser pulses, the designed transient temperature fields and thermal loadings in the engine parts could be simulated. Thermal-structural numerical models for pistons and cylinder heads were built to predict the transient temperature and thermal stress. The models were also employed to find the optimal intensity distributions of the transformed laser beam that could produce the target transient temperature fields. Comparison of experimental and numerical results demonstrated that this systematic approach is effective in simulating the thermal loading on the engine parts. (C) 2009 Elsevier Ltd. All rights reserved.

Adaptive Mixture Modelling Metropolis Methods for Bayesian Analysis of Non-linear State-Space Models.

We describe a strategy for Markov chain Monte Carlo analysis of non-linear, non-Gaussian state-space models involving batch analysis for inference on dynamic, latent state variables and fixed model parameters. The key innovation is a Metropolis-Hastings method for the time series of state variables based on sequential approximation of filtering and smoothing densities using normal mixtures. These mixtures are propagated through the non-linearities using an accurate, local mixture approximation method, and we use a regenerating procedure to deal with potential degeneracy of mixture components. This provides accurate, direct approximations to sequential filtering and retrospective smoothing distributions, and hence a useful construction of global Metropolis proposal distributions for simulation of posteriors for the set of states. This analysis is embedded within a Gibbs sampler to include uncertain fixed parameters. We give an example motivated by an application in systems biology. Supplemental materials provide an example based on a stochastic volatility model as well as MATLAB code.

Task-driven adaptive statistical compressive sensing of gaussian mixture models

A framework for adaptive and non-adaptive statistical compressive sensing is developed, where a statistical model replaces the standard sparsity model of classical compressive sensing. We propose within this framework optimal task-specific sensing protocols specifically and jointly designed for classification and reconstruction. A two-step adaptive sensing paradigm is developed, where online sensing is applied to detect the signal class in the first step, followed by a reconstruction step adapted to the detected class and the observed samples. The approach is based on information theory, here tailored for Gaussian mixture models (GMMs), where an information-theoretic objective relationship between the sensed signals and a representation of the specific task of interest is maximized. Experimental results using synthetic signals, Landsat satellite attributes, and natural images of different sizes and with different noise levels show the improvements achieved using the proposed framework when compared to more standard sensing protocols. The underlying formulation can be applied beyond GMMs, at the price of higher mathematical and computational complexity. © 1991-2012 IEEE.

Three-stage contingent screening for down syndrome

Objective To demonstrate the potential value of three-stage sequential screening for Down syndrome. Methods Protocols were considered in which maternal serum pregnancy associated plasma protein-A (PAPP-A) and free -human chorionic gonadotropin (hCG) measurements were taken on all women in the first trimester. Those women with very low Down syndrome risks were screened negative at that stage and nuchal translucency (NT) was measured on the remainder and the risk reassessed. Those with very low risk were then screened negative and those with very high risk were offered early diagnostic testing. Those with intermediate risks received second-trimester maternal serum -fetoprotein, free -hCG, unconjugated estriol and inhibin-A. Risk was then reassessed and those with high risk were offered diagnosis. Detection rates and false-positive rates were estimated by multivariate Gaussian modelling using Monte-Carlo simulation. Results The modelling suggests that, with full adherence to a three-stage policy, overall detection rates of nearly 90% and false-positive rates below 2.0% can be achieved. Approximately two-thirds of pregnancies are screened on the basis of first-trimester biochemistry alone, five out of six women complete their screening in the first trimester, and the first-trimester detection rate is over 60%. Conclusion Three-stage contingent sequential screening is potentially highly effective for Down syndrome screening. The acceptability of this protocol and its performance in practice, should be tested in prospective studies. Copyright © 2006 John Wiley & Sons, Ltd.

A novel shrinkage technique based on the normal inverse Gaussian density model

This paper proposes a novel image denoising technique based on the normal inverse Gaussian (NIG) density model using an extended non-negative sparse coding (NNSC) algorithm proposed by us. This algorithm can converge to feature basis vectors, which behave in the locality and orientation in spatial and frequency domain. Here, we demonstrate that the NIG density provides a very good fitness to the non-negative sparse data. In the denoising process, by exploiting a NIG-based maximum a posteriori estimator (MAP) of an image corrupted by additive Gaussian noise, the noise can be reduced successfully. This shrinkage technique, also referred to as the NNSC shrinkage technique, is self-adaptive to the statistical properties of image data. This denoising method is evaluated by values of the normalized signal to noise rate (SNR). Experimental results show that the NNSC shrinkage approach is indeed efficient and effective in denoising. Otherwise, we also compare the effectiveness of the NNSC shrinkage method with methods of standard sparse coding shrinkage, wavelet-based shrinkage and the Wiener filter. The simulation results show that our method outperforms the three kinds of denoising approaches mentioned above.

Statistical-based monitoring of multivariate non-Gaussian systems

The monitoring of multivariate systems that exhibit non-Gaussian behavior is addressed. Existing work advocates the use of independent component analysis (ICA) to extract the underlying non-Gaussian data structure. Since some of the source signals may be Gaussian, the use of principal component analysis (PCA) is proposed to capture the Gaussian and non-Gaussian source signals. A subsequent application of ICA then allows the extraction of non-Gaussian components from the retained principal components (PCs). A further contribution is the utilization of a support vector data description to determine a confidence limit for the non-Gaussian components. Finally, a statistical test is developed for determining how many non-Gaussian components are encapsulated within the retained PCs, and associated monitoring statistics are defined. The utility of the proposed scheme is demonstrated by a simulation example, and the analysis of recorded data from an industrial melter.

NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Spatial evolution of a q-Gaussian laser beam in relativistic plasma

In a recent experimental study, the beam intensity profile of the Vulcan petawatt laser beam was measured; it was found that only 20% of the energy was contained within the full width at half maximum of 6.9 mu m and 50% within 16 mu m, suggesting a long-tailed non-Gaussian transverse beam profile. A q-Gaussian distribution function was suggested therein to reproduce this behavior. The spatial beam profile dynamics of a q-Gaussian laser beam propagating in relativistic plasma is investigated in this article. A non-paraxial theory is employed, taking into account nonlinearity via the relativistic decrease of the plasma frequency. We have studied analytically and numerically the dynamics of a relativistically guided beam and its dependence on the q-parameter. Numerical simulation results are shown to trace the dependence of the focusing length on the q-Gaussian profile.

Autoclave Cure Simulation of Composite Structures Applying Implicit and Explicit FE

Simulation of the autoclave manufacturing technique of composites can yield a preliminary estimation of induced residual thermal stresses and deformations that affect component fatigue life, and required tolerances for assembly. In this paper, an approach is proposed to simulate the autoclave manufacturing technique for unidirectional composites. The proposed approach consists of three modules. The first module is a Thermo-chemical model to estimate the temperature and the degree of cure distributions in the composite part during the cure cycle. The second and third modules are a sequential stress analysis using FE-Implicit and FE-Explicit respectively. User-material subroutine is used to model the Viscoelastic properties of the material based on theory of micromechanics.

Numerical simulation of a patent technology for sealing of deep-sea oil wells using nonlinear finite element method

For over 50 years bridge plugs and cement have been used for well abandonment and work over and are still the material of choice. However the failures of cement abandonments using bridge plugs has been reported on many occasions, some of which have resulted in fatal consequences. A new patented product is designed to address the shortcomings associated with using bridge plugs and cement. The new developed tools use an alloy based on bismuth that is melted in situ using Thermite reaction. The tool uses the expansion properties of bismuth to seal the well. Testing the new technology in real field under more than 2 km deep sea water can be expensive. Virtual simulation of the new device under simulated thermal and mechanical environment can be achieved using nonlinear finite element method to validate the product and reduce cost. Experimental testing in the lab is performed to measure heat generated due to thermite reaction. Then, a sequential thermal mechanical explicit/implicit finite element solver is used to simulate the device under both testing lab and deep water conditions.