State estimation using the particle filter with mode tracking

A particle filter is a data assimilation scheme that employs a fully nonlinear, non-Gaussian analysis step. Unfortunately as the size of the state grows the number of ensemble members required for the particle filter to converge to the true solution increases exponentially. To overcome this Vaswani [Vaswani N. 2008. IEEE Trans Signal Process 56:4583–97] proposed a new method known as mode tracking to improve the efficiency of the particle filter. When mode tracking, the state is split into two subspaces. One subspace is forecast using the particle filter, the other is treated so that its values are set equal to the mode of the marginal pdf. There are many ways to split the state. One hypothesis is that the best results should be obtained from the particle filter with mode tracking when we mode track the maximum number of unimodal dimensions. The aim of this paper is to test this hypothesis using the three dimensional stochastic Lorenz equations with direct observations. It is found that mode tracking the maximum number of unimodal dimensions does not always provide the best result. The best choice of states to mode track depends on the number of particles used and the accuracy and frequency of the observations.

Previsão da estrutura a termo de taxa de juros aplicando o Filtro de Kalman ao modelo Vasicek: o caso brasileiro

Este trabalho tem o objetivo de testar a qualidade preditiva do Modelo Vasicek de dois fatores acoplado ao Filtro de Kalman. Aplicado a uma estratégia de investimento, incluímos um critério de Stop Loss nos períodos que o modelo não responde de forma satisfatória ao movimento das taxas de juros. Utilizando contratos futuros de DI disponíveis na BMFBovespa entre 01 de março de 2007 a 30 de maio de 2014, as simulações foram realizadas em diferentes momentos de mercado, verificando qual a melhor janela para obtenção dos parâmetros dos modelos, e por quanto tempo esses parâmetros estimam de maneira ótima o comportamento das taxas de juros. Os resultados foram comparados com os obtidos pelo Modelo Vetor-auto regressivo de ordem 1, e constatou-se que o Filtro de Kalman aplicado ao Modelo Vasicek de dois fatores não é o mais indicado para estudos relacionados a previsão das taxas de juros. As limitações desse modelo o restringe em conseguir estimar toda a curva de juros de uma só vez denegrindo seus resultados.

Batch and filter approaches to spacecraft sensor alignment estimation

Two Kalman-filter formulations are presented for the estimation of spacecraft sensor misalignments from inflight data. In the first the sensor misalignments are part of the filter state variable; in the second the state vector contains only dynamical variables, but the sensitivities of the filter innovations to the misalignments are calculated within the Kalman filter. This procedure permits the misalignments to be estimated in batch mode as well as a much smaller dimension for the Kalman filter state vector. This results not only in a significantly smaller computational burden but also in a smaller sensitivity of the misalignment estimates to outliers in the data. Numerical simulations of the filter performance are presented.

Aplicação do método de Kalman a dados geofísicos

O filtro de Kalman é aplicado para filtragem inversa ou problema de deconvolução. Nesta dissertação aplicamos o método de Kalman, considerado como uma outra visão de processamento no domínio do tempo, para separar sinal-ruído em perfil sônico admitido como uma realização de um processo estocástico não estacionário. Em um trabalho futuro estudaremos o problema da deconvolução. A dedução do filtro de Kalman destaca a relação entre o filtro de Kalman e o de Wiener. Estas deduções são baseadas na representação do sistema por variáveis de estado e modelos de processos aleatórios, com a entrada do sistema linear acrescentado com ruído branco. Os resultados ilustrados indicam a aplicabilidade dessa técnica para uma variedade de problemas de processamento de dados geofísicos, por exemplo, ideal para well log. O filtro de Kalman oferece aos geofísicos de exploração informações adicionais para o processamento, problemas de modelamento e a sua solução.

Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.

New Considerations in the Input Filter Design of a Three-Phase Buck-Type PWM Rectifier for Aircraft Applications

An EMI filter for a three-phase buck-type medium power pulse-width modulation rectifier is designed. This filter considers differential mode noise and complies with MIL-STD-461E for the frequency range of 10kHz to 10MHz. In industrial applications, the frequency range of the standard starts at 150kHz and the designer typically uses a switching frequency of 28kHz because the fifth harmonic is out of the range. This approach is not valid for aircraft applications. In order to design the switching frequency in aircraft applications, the power losses in the semiconductors and the weight of the reactive components should be considered. The proposed design is based on a harmonic analysis of the rectifier input current and an analytical study of the input filter. The classical industrial design does not consider the inductive effect in the filter design because the grid frequency is 50/60Hz. However, in the aircraft applications, the grid frequency is 400Hz and the inductance cannot be neglected. The proposed design considers the inductance and the capacitance effect of the filter in order to obtain unitary power factor at full power. In the optimization process, several filters are designed for different switching frequencies of the converter. In addition, designs from single to five stages are considered. The power losses of the converter plus the EMI filter are estimated at these switching frequencies. Considering overall losses and minimal filter volume, the optimal switching frequency is selected.

Mutations within the selectivity filter of the NMDA receptor-channel influence voltage dependent block by 5-hydroxytryptamine

Background and purpose: Voltage-dependent block by Mg2+ is a cardinal feature of NMDA receptors which acts as a coincidence detector to prevent the receptor from over-activation. Inhibition of NMDA receptor currents by 5-hydroxytryptamine (5-HT) indicated that 5-HT, similar to Mg2+, binds within the membrane electric field. In the present study, we assessed whether point mutations of critical asparagine residues located within the selectivity filter of NR1 and NR2A subunits of NMDA receptor-channel affect voltage-dependent block by 5-HT. Experimental approach: The mode of action of 5-HT and Mg2+ on wild-type and mutated NMDA receptor-channels expressed in Xenopus oocytes was investigated using the two-electrode voltage clamp recording technique. Key results: The mutation within the NR1 subunit NR1(N0S or N0Q) strongly reduced the voltage dependent block by 5-HT and increased the IC50. The corresponding mutations within the NR2 subunits NR2A(N0Q or N + 1Q) reduced the block by 5-HT to a lesser extent. This is in contrast to the block produced by external Mg2+ where a substitution at the NR2A(N0) and NR2A(N + 1) sites but not at the NR1(N0) site significantly reduced Mg2+ block. Conclusion and implications: The block of NMDA receptor-channels by 5-HT depends on the NR1-subunit asparagine residue and to a lesser extent on the NR2A-subunit asparagine residues. These data suggest that the interaction of 5-HT with functionally important residues in a narrow constriction of the pore of the NMDA receptor-channel provides a significant barrier to ionic fluxes through the open channel due to energetic factors governed by chemical properties of the binding site and the electric field.