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.

Shallow Water Model On Cubed-Sphere By Multi-Moment Finite Volume Method

A global numerical model for shallow water flows on the cubed-sphere grid is proposed in this paper. The model is constructed by using the constrained interpolation profile/multi-moment finite volume method (CIP/MM FVM). Two kinds of moments, i.e. the point value (PV) and the volume-integrated average (VIA) are defined and independently updated in the present model by different numerical formulations. The Lax-Friedrichs upwind splitting is used to update the PV moment in terms of a derivative Riemann problem, and a finite volume formulation derived by integrating the governing equations over each mesh element is used to predict the VIA moment. The cubed-sphere grid is applied to get around the polar singularity and to obtain uniform grid spacing for a spherical geometry. Highly localized reconstruction in CIP/MM FVM is well suited for the cubed-sphere grid, especially in dealing with the discontinuity in the coordinates between different patches. The mass conservation is completely achieved over the whole globe. The numerical model has been verified by Williamson's standard test set for shallow water equation model on sphere. The results reveal that the present model is competitive to most existing ones. (C) 2008 Elsevier Inc. All rights reserved.

Preparation and characterization of an intramolecular electron transfer in a pentaammineruthenium derivative of Candida krisei cytochrome c

A semisynthetic binuclear metalloprotein has been prepared by appending the pentaammineruthenium moiety to histidine 39 of the cytochrome c from the yeast Candida krusei. The site of ruthenium binding was identified by peptide mapping. Spectroscopic and electrochemical properties of the derivative indicate the protein conformation is unperturbed by the modification. A preliminary (minimum) rate constant of 170s^(-1) has been determined for the intramolecular electron transfer from ruthenium(II) to iron(III), which occurs over a distance of at least 13Å (barring major conformational changes). Electrochemical studies indicate that this reaction should proceed with a driving force of ~170mV. The rate constant is an order of magnitude faster than that observed in horse heart cytochrome c for intramolecular electron transfer from pentaammineruthenium(II)(histidine 33) to iron(III) (over a similar distance, and with a similar driving force), suggesting a medium or orientation effect makes the Candida intramolecular electron transfer more favorable.

Measurement of two-photon excitation cross-section of a new symmetric-type fluorene derivative

A new dye, 2,7-bis(4-methoxystyryl)-9,9-bis(2-ethylhexyl)-9H-fluorene, has been synthesized, which is a D-pi-D symmetrical-type fluorene derivative. The two-photon absorption (TPA) of this new dye has been experimentally studied by comparable two-photon-induced fluorescence method. This new dye has a TPA cross-section of 84 x 10(-50) cm(4) s/photon at 790 nm/13 fs. (c) 2004 Elsevier GmbH. All rights reserved.

Logarithmic Potential Theory on Riemann Surfaces

We develop a logarithmic potential theory on Riemann surfaces which generalizes logarithmic potential theory on the complex plane. We show the existence of an equilibrium measure and examine its structure. This leads to a formula for the structure of the equilibrium measure which is new even in the plane. We then use our results to study quadrature domains, Laplacian growth, and Coulomb gas ensembles on Riemann surfaces. We prove that the complement of the support of the equilibrium measure satisfies a quadrature identity. Furthermore, our setup allows us to naturally realize weak solutions of Laplacian growth (for a general time-dependent source) as an evolution of the support of equilibrium measures. When applied to the Riemann sphere this approach unifies the known methods for generating interior and exterior Laplacian growth. We later narrow our focus to a special class of quadrature domains which we call Algebraic Quadrature Domains. We show that many of the properties of quadrature domains generalize to this setting. In particular, the boundary of an Algebraic Quadrature Domain is the inverse image of a planar algebraic curve under a meromorphic function. This makes the study of the topology of Algebraic Quadrature Domains an interesting problem. We briefly investigate this problem and then narrow our focus to the study of the topology of classical quadrature domains. We extend the results of Lee and Makarov and prove (for n ≥ 3) c ≤ 5n-5, where c and n denote the connectivity and degree of a (classical) quadrature domain. At the same time we obtain a new upper bound on the number of isolated points of the algebraic curve corresponding to the boundary and thus a new upper bound on the number of special points. In the final chapter we study Coulomb gas ensembles on Riemann surfaces.

Geodésicas en Variedades de Riemann

En este trabajo, se hará una introducción a las variedades de Riemann, con el fin de analizar algunas propiedades minimizadoras de las curvas geodésicas en variedades de Riemann.

Weighted least-squares phase unwrapping algorithm based on derivative variance correlation map

Among different phase unwrapping approaches, the weighted least-squares minimization methods are gaining attention. In these algorithms, weighting coefficient is generated from a quality map. The intrinsic drawbacks of existing quality maps constrain the application of these algorithms. They often fail to handle wrapped phase data contains error sources, such as phase discontinuities, noise and undersampling. In order to deal with those intractable wrapped phase data, a new weighted least-squares phase unwrapping algorithm based on derivative variance correlation map is proposed. In the algorithm, derivative variance correlation map, a novel quality map, can truly reflect wrapped phase quality, ensuring a more reliable unwrapped result. The definition of the derivative variance correlation map and the principle of the proposed algorithm are present in detail. The performance of the new algorithm has been tested by use of a simulated spherical surface wrapped data and an experimental interferometric synthetic aperture radar (IFSAR) wrapped data. Computer simulation and experimental results have verified that the proposed algorithm can work effectively even when a wrapped phase map contains intractable error sources. (c) 2006 Elsevier GmbH. All rights reserved.

Three-photon absorption-induced fluorescence and optical limiting effects in a fluorene derivative

This paper reports on the steady-state fluorescence, three- photon absorption-induced fluorescence emission and subsequently induced optical limiting behaviour of a fluorene derivative with D-pi-D structural motifs. The lifetime of the steady-state fluorescence is 0.903 ns. Large optical limiting behaviour induced by 3PA has also been demonstrated, and the nonlinear absorption coefficient gamma derived from 3PA fitting curves is 5.92 x 10(-20) cm(3)/W-2 and the corresponding molecular 3PA cross-section sigma(3)' is 1.14 x 10(-76) cm(6) s(2).