Iterated stochastic filters with additive updates for dynamic system identification: Annealing-type iterations and the filter bank

A nonlinear stochastic filtering scheme based on a Gaussian sum representation of the filtering density and an annealing-type iterative update, which is additive and uses an artificial diffusion parameter, is proposed. The additive nature of the update relieves the problem of weight collapse often encountered with filters employing weighted particle based empirical approximation to the filtering density. The proposed Monte Carlo filter bank conforms in structure to the parent nonlinear filtering (Kushner-Stratonovich) equation and possesses excellent mixing properties enabling adequate exploration of the phase space of the state vector. The performance of the filter bank, presently assessed against a few carefully chosen numerical examples, provide ample evidence of its remarkable performance in terms of filter convergence and estimation accuracy vis-a-vis most other competing filters especially in higher dimensional dynamic system identification problems including cases that may demand estimating relatively minor variations in the parameter values from their reference states. (C) 2014 Elsevier Ltd. All rights reserved.

Neutron diffraction, Mossbauer effect and Electron Paramagnetic Resonance studies on multiferroic Pb(Fe2/3W1/3)O-3

Multiferroic Pb(Fe2/3W1/3)O-3 ceramics were synthesized via a modified two-stage Columbite method. Single phase formation was confirmed from the analysis of x-ray and neutron diffraction patterns recorded at room temperature. Structural analysis of the diffraction data reveals cubic phase (space group Pm-3m) for the title compound. Magnetic structure of the title compound at room temperature exhibits G-type antiferromagnetic structure. The Mossbauer spectroscopy and Electron Paramagnetic Resonance (EPR) studies were carried out at 300 K. The isomer shift and quadrupole splitting of the Mossbauer spectra confirms the trivalent state of iron (Fe3+). The Mossbauer spectra also suggest that the iron and tungsten are randomly distributed at the octahedral, B site. EPR spectra show a single broad line associated with Fe3+ ions. Both spectra clearly exhibit weak ferromagnetic behaviour of Pb(Fe2/3W1/3)O-3 ceramic at 300 K. Considering neutron diffraction, Mossbauer and EPR results together, it may be stated here that Pb(Fe2/3W1/3)O-3 exhibits antiferromagnetic behavior along with weak ferromagnetism at room temperature.

Evolution induced catastrophe in a nonlinear dynamical model of material failure

In order to study the failure of disordered materials, the ensemble evolution of a nonlinear chain model was examined by using a stochastic slice sampling method. The following results were obtained. (1) Sample-specific behavior, i.e. evolutions are different from sample to sample in some cases under the same macroscopic conditions, is observed for various load-sharing rules except in the globally mean field theory. The evolution according to the cluster load-sharing rule, which reflects the interaction between broken clusters, cannot be predicted by a simple criterion from the initial damage pattern and even then is most complicated. (2) A binary failure probability, its transitional region, where globally stable (GS) modes and evolution-induced catastrophic (EIC) modes coexist, and the corresponding scaling laws are fundamental to the failure. There is a sensitive zone in the vicinity of the boundary between the GS and EIC regions in phase space, where a slight stochastic increment in damage can trigger a radical transition from GS to EIC. (3) The distribution of strength is obtained from the binary failure probability. This, like sample-specificity, originates from a trans-scale sensitivity linking meso-scopic and macroscopic phenomena. (4) Strong fluctuations in stress distribution different from that of GS modes may be assumed as a precursor of evolution-induced catastrophe (EIC).

Rotation Numbers Of Invariant Manifolds Around Unstable Periodic Orbits For The Diamagnetic Kepler Problem

In this paper, a method to construct topological template in terms of symbolic dynamics for the diamagnetic Kepler problem is proposed. To confirm the topological template, rotation numbers of invariant manifolds around unstable periodic orbits in a phase space are taken as an object of comparison. The rotation numbers are determined from the definition and connected with symbolic sequences encoding the periodic orbits in a reduced Poincare section. Only symbolic codes with inverse ordering in the forward mapping can contribute to the rotation of invariant manifolds around the periodic orbits. By using symbolic ordering, the reduced Poincare section is constricted along stable manifolds and a topological template, which preserves the ordering of forward sequences and can be used to extract the rotation numbers, is established. The rotation numbers computed from the topological template are the same as those computed from their original definition.

Attractor crisis and bursting in a fluid flow with two no-slip directions

Characteristic burtsing behavior is observed in a driven, two-dimensional viscous flow, confined to a square domain and subject to no-slip boundaries. Passing a critical parameter value, an existing chaotic attractor undergoes a crisis, after which the flow initially enters a transient bursting regime. Bursting is caused by ejections from and return to a limited subdomain of the phase space, whereas the precrisis chaotic set forms the asymptotic attractor of the flow. For increasing values of the control parameter the length of the bursting regime increases progressively. Passing another critical parameter value, a second crisis leads to the appearance of a secondary type of bursting, of very large dynamical range. Within the bursting regime the flow then switches in irregular intervals from the primary to the secondary type of bursting. Peak enstrophy levels for both types of bursting are associated to the collapse of a primary vortex into a quadrupolar state.

Statistical formulation and experimental determination of growth rate of micrometre cracks under impact loading

A new statistical formulation and a relevant experimental approach to determine the growth rate of microcracks were proposed. The method consists of experimental measurements and a statistical analysis' on the basis of the conservation law of number density of microcracks in phase space. As a practical example of the method, the growth rate of microcracks appearing in an aluminium alloy subjected to planar impact loading was determined to be ca. 10 mu m/mu s under a tensile stress of 1470 MPa and load duration between 0.26 mu s and 0.80 mu s.

A stochastic jump and deterministic dynamics model of impact failure evolution with rate effect

Motivated by the observation of the rate effect on material failure, a model of nonlinear and nonlocal evolution is developed, that includes both stochastic and dynamic effects. In phase space a transitional region prevails, which distinguishes the failure behavior from a globally stable one to that of catastrophic. Several probability functions are found to characterize the distinctive features of evolution due to different degrees of nucleation, growth and coalescence rates. The results may provide a better understanding of material failure.

Experimental and theoretical study on numerical density evolution of short fatigue cracks

Fatigue testing was performed using a kind of triangular shaped specimen to obtain the characteristics of numerical density evolution for short cracks at the primary stage of fatigue damage. The material concerned is a structural alloy steel. The experimental results show that the numerical density of short cracks reaches the maximum value when crack length is slightly less than the average grain diameter, indicating grain boundary is the main barrier for short crack extension. Based on the experimental observations and related theory, the expressions for growth velocity and nucleation rate of short cracks have been proposed. With the solution to phase space conservation equation, the theoretical results of numerical density evolution for short cracks were obtained, which were in agreement with our experimental measurements.

Direct dynamical test for deterministic chaos and optimal embedding of a chaotic time-series

We propose here a local exponential divergence plot which is capable of providing an alternative means of characterizing a complex time series. The suggested plot defines a time-dependent exponent and a ''plus'' exponent. Based on their changes with the embedding dimension and delay time, a criterion for estimating simultaneously the minimal acceptable embedding dimension, the proper delay time, and the largest Lyapunov exponent has been obtained. When redefining the time-dependent exponent LAMBDA(k) curves on a series of shells, we have found that whether a linear envelope to the LAMBDA(k) curves exists can serve as a direct dynamical method of distinguishing chaos from noise.

Local exponential divergence plot and optimal embedding of a chaotic time-series

we propose here a local exponential divergence plot which is capable of providing a new means of characterizing chaotic time series. The suggested plot defines a time dependent exponent LAMBDA and a ''plus'' exponent LAMBDA+ which serves as a criterion for estimating simultaneously the minimal acceptable embedding dimension, the proper delay time and the largest Lyapunov exponent.

Nonequilibrium statistical mechanics of two-dimensional turbulence

The vorticity dynamics of two-dimensional turbulence are investigated analytically, applying the method of Qian (1983). The vorticity equation and its Fourier transform are presented; a set of modal parameters and a modal dynamic equation are derived; and the corresponding Liouville equation for the probability distribution in phase space is solved using a Langevin/Fokker-Planck approach to obtain integral equations for the enstrophy and for the dynamic damping coefficient eta. The equilibrium spectrum for inviscid flow is found to be a stationary solution of the enstrophy equation, and the inertial-range spectrum is determined by introducing a localization factor in the two integral equations and evaluating the localized versions numerically.

Complex Transition of Double-Diffusive Convection in a Rectangular Enclosure with Height-to-Length Ratio Equal to 4: Part I

This is the first part of direct numerical simulation (DNS) of double-diffusive convection in a slim rectangular enclosure with horizontal temperature and concentration gradients. We consider the case with the thermal Rayleigh number of 10^5, the Pradtle number of 1, the Lewis number of 2, the buoyancy ratio of composition to temperature being in the range of [0,1], and height-to-width aspect ration of 4. A new 7th order upwind compact scheme was developed for approximation of convective terms, and a three-stage third-order Runge-Kutta method was employed for time advancement. Our DNS suggests that with the buoyancy ratio increasing form 0 to 1, the flow of transition is a complex series changing fromthe steady to periodic, chaotic, periodic, quasi-periodic, and finally back to periodic. There are two types of periodic flow, one is simple periodic flow with single fundamental frequency (FF), and another is complex periodic flow with multiple FFs. This process is illustrated by using time-velocity histories, Fourier frequency spectrum analysis and the phase-space rajectories.

Quantifying chaos: practical estimation of the correlation dimension

Be it a physical object or a mathematical model, a nonlinear dynamical system can display complicated aperiodic behavior, or "chaos." In many cases, this chaos is associated with motion on a strange attractor in the system's phase space. And the dimension of the strange attractor indicates the effective number of degrees of freedom in the dynamical system.

In this thesis, we investigate numerical issues involved with estimating the dimension of a strange attractor from a finite time series of measurements on the dynamical system.

Of the various definitions of dimension, we argue that the correlation dimension is the most efficiently calculable and we remark further that it is the most commonly calculated. We are concerned with the practical problems that arise in attempting to compute the correlation dimension. We deal with geometrical effects (due to the inexact self-similarity of the attractor), dynamical effects (due to the nonindependence of points generated by the dynamical system that defines the attractor), and statistical effects (due to the finite number of points that sample the attractor). We propose a modification of the standard algorithm, which eliminates a specific effect due to autocorrelation, and a new implementation of the correlation algorithm, which is computationally efficient.

Finally, we apply the algorithm to chaotic data from the Caltech tokamak and the Texas tokamak (TEXT); we conclude that plasma turbulence is not a low- dimensional phenomenon.

The stochastic exit problem for dynamical systems

The problem of "exit against a flow" for dynamical systems subject to small Gaussian white noise excitation is studied. Here the word "flow" refers to the behavior in phase space of the unperturbed system's state variables. "Exit against a flow" occurs if a perturbation causes the phase point to leave a phase space region within which it would normally be confined. In particular, there are two components of the problem of exit against a flow:

i) the mean exit time

ii) the phase-space distribution of exit locations.

When the noise perturbing the dynamical systems is small, the solution of each component of the problem of exit against a flow is, in general, the solution of a singularly perturbed, degenerate elliptic-parabolic boundary value problem.

Singular perturbation techniques are used to express the asymptotic solution in terms of an unknown parameter. The unknown parameter is determined using the solution of the adjoint boundary value problem.

The problem of exit against a flow for several dynamical systems of physical interest is considered, and the mean exit times and distributions of exit positions are calculated. The systems are then simulated numerically, using Monte Carlo techniques, in order to determine the validity of the asymptotic solutions.

Ghosts of order on the frontier of chaos

What kinds of motion can occur in classical mechanics? We address this question by looking at the structures traced out by trajectories in phase space; the most orderly, completely integrable systems are characterized by phase trajectories confined to low-dimensional, invariant tori. The KAM theory examines what happens to the tori when an integrable system is subjected to a small perturbation and finds that, for small enough perturbations, most of them survive.

The KAM theory is mute about the disrupted tori, but, for two-dimensional systems, Aubry and Mather discovered an astonishing picture: the broken tori are replaced by "cantori," tattered, Cantor-set remnants of the original invariant curves. We seek to extend Aubry and Mather's picture to higher dimensional systems and report two kinds of studies; both concern perturbations of a completely integrable, four-dimensional symplectic map. In the first study we compute some numerical approximations to Birkhoff periodic orbits; sequences of such orbits should approximate any higher dimensional analogs of the cantori. In the second study we prove converse KAM theorems; that is, we use a combination of analytic arguments and rigorous, machine-assisted computations to find perturbations so large that no KAM tori survive. We are able to show that the last few of our Birkhoff orbits exist in a regime where there are no tori.