Extended Kalman filters using explicit and derivative-free local linearizations

We propose three variants of the extended Kalman filter (EKF) especially suited for parameter estimations in mechanical oscillators under Gaussian white noises. These filters are based on three versions of explicit and derivative-free local linearizations (DLL) of the non-linear drift terms in the governing stochastic differential equations (SDE-s). Besides a basic linearization of the non-linear drift functions via one-term replacements, linearizations using replacements through explicit Euler and Newmark expansions are also attempted in order to ensure higher closeness of true solutions with the linearized ones. Thus, unlike the conventional EKF, the proposed filters do not need computing derivatives (tangent matrices) at any stage. The measurements are synthetically generated by corrupting with noise the numerical solutions of the SDE-s through implicit versions of these linearizations. In order to demonstrate the effectiveness and accuracy of the proposed methods vis-à-vis the conventional EKF, numerical illustrations are provided for a few single degree-of-freedom (DOF) oscillators and a three-DOF shear frame with constant parameters.

Homoclinic Splitting without Trees

We study a Hamiltonian describing a pendulum coupled with several anisochronous oscillators, giving a simple construction of unstable KAM tori and their stable and unstable manifolds for analytic perturbations. When the coupling takes place through an even trigonometric polynomial in the angle variables, we extend analytically the solutions of the equations of motion, order by order in the perturbation parameter, to a large neighbourhood of the real line representing time. Subsequently, we devise an asymptotic expansion for the splitting (matrix) associated with a homoclinic point. This expansion consists of contributions that are manifestly exponentially small in the limit of vanishing gravity, by a shift-of-countour argument. Hence, we infer a similar upper bound for the splitting itself. In particular, the derivation of the result does not call for a tree expansion with explicit cancellation mechanisms.

Dissipative dynamics of a harmonic oscillator: A nonperturbative approach

Starting from a microscopic theory, we derive a master equation for a harmonic oscillator coupled to a bath of noninteracting oscillators. We follow a nonperturbative approach, proposed earlier by us for the free Brownian particle. The diffusion constants are calculated analytically and the positivity of the master equation is shown to hold above a critical temperature. We compare the long time behavior of the average kinetic and potential energies with known thermodynamic results. In the limit of vanishing oscillator frequency of the system, we recover the results of the free Brownian particle.

A multistep transversal linearization (MTL) method in non-linear dynamics through a Magnus characterization

A new form of a multi-step transversal linearization (MTL) method is developed and numerically explored in this study for a numeric-analytical integration of non-linear dynamical systems under deterministic excitations. As with other transversal linearization methods, the present version also requires that the linearized solution manifold transversally intersects the non-linear solution manifold at a chosen set of points or cross-section in the state space. However, a major point of departure of the present method is that it has the flexibility of treating non-linear damping and stiffness terms of the original system as damping and stiffness terms in the transversally linearized system, even though these linearized terms become explicit functions of time. From this perspective, the present development is closely related to the popular practice of tangent-space linearization adopted in finite element (FE) based solutions of non-linear problems in structural dynamics. The only difference is that the MTL method would require construction of transversal system matrices in lieu of the tangent system matrices needed within an FE framework. The resulting time-varying linearized system matrix is then treated as a Lie element using Magnus’ characterization [W. Magnus, On the exponential solution of differential equations for a linear operator, Commun. Pure Appl. Math., VII (1954) 649–673] and the associated fundamental solution matrix (FSM) is obtained through repeated Lie-bracket operations (or nested commutators). An advantage of this approach is that the underlying exponential transformation could preserve certain intrinsic structural properties of the solution of the non-linear problem. Yet another advantage of the transversal linearization lies in the non-unique representation of the linearized vector field – an aspect that has been specifically exploited in this study to enhance the spectral stability of the proposed family of methods and thus contain the temporal propagation of local errors. A simple analysis of the formal orders of accuracy is provided within a finite dimensional framework. Only a limited numerical exploration of the method is presently provided for a couple of popularly known non-linear oscillators, viz. a hardening Duffing oscillator, which has a non-linear stiffness term, and the van der Pol oscillator, which is self-excited and has a non-linear damping term.

Predicting spin of compact objects from their QPOs: A global QPO model

We establish a unified model to explain Quasi-Periodic-Oscillation (QPO) observed from black hole and neutron star systems globally. This is based on the accreting systems thought to be damped harmonic oscillators with higher order nonlinearity. The model explains multiple properties parallelly independent of the nature of the compact object. It describes QPOs successfully for several compact sources. Based on it, we predict the spin frequency of the neutron star Sco X-1 and the specific angular momentum of black holes GRO J1655-40, GRS 1915+105.

Stability of multi-cluster synchronization

A system of many coupled oscillators on a network can show multicluster synchronization. We obtain existence conditions and stability bounds for such a multicluster synchronization. When the oscillators are identical, we obtain the interesting result that network structure alone can cause multicluster synchronization to emerge even when all the other parameters are the same. We also study occurrence of multicluster synchronization when two different types of oscillators are coupled.

Wave algorithms:Optimal database search and catalysis

Grover's database search algorithm, although discovered in the context of quantum computation, can be implemented using any physical system that allows superposition of states. A physical realization of this algorithm is described using coupled simple harmonic oscillators, which can be exactly solved in both classical and quantum domains. Classical wave algorithms are far more stable against decoherence compared to their quantum counterparts. In addition to providing convenient demonstration models, they may have a role in practical situations, such as catalysis.

A simple low-cost electrical switching analyzer for I-V characterization of switching samples and devices

The phenomena of nonlinear I-V behavior and electrical switching find extensive applications in power control, information storage, oscillators, etc. The study of I-V characteristics and switching parameters is necessary for the proper application of switching materials and devices. In the present work, a simple low-cost electrical switching analyzer has been developed for the measurement of the electrical characteristics of switching materials and devices. The system developed consists of a microcontroller-based excitation source and a high-speed data acquisition system. The design details of the excitation source, its interface with the high-speed data acquisition system and personal computer, and the details of the application software developed for automated measurements are described. Typical I-V characteristics and switching curves obtained with the system developed are also presented to illustrate the capability of the instrument developed.

Nonequilibrium stationary states of harmonic chains with bulk noises

We consider a chain composed of $N$ coupled harmonic oscillators in contact with heat baths at temperature $T_\ell$ and $T_r$ at sites 1 and $N$ respectively. The oscillators are also subjected to non-momentum conserving bulk stochastic noises. These make the heat conductivity satisfy Fourier's law. Here we describe some new results about the hydrodynamical equations for typical macroscopic energy and displacement profiles, as well as their fluctuations and large deviations, in two simple models of this type.

Glasslike elastic properties in the omega-beta alloys

We have measured the internal friction and speed of sound in several polycrystalline alloys, using compound torsional oscillators at frequencies between 60 kHz and 100 kHz and temperatures between 50 mK and 100 K. By combining these data with existing elastic and thermal data on similar alloys, we find that those alloys which can undergo diffusionsless phase transitions, such as Ti:Nb, Ti:V, or Zr:Nb in certain ranges of composition have glasslike excitations, since they have elastic properties which agree in magnitude and temperature dependence with those of amorphous solids. By contrast, crystalline continuous solution alloys, such as Nb:Ta, or alloys with diffusive phase transitions, such as high-pressure quenched Al94Si6, have the same elastic properties as are known for crystals.

Single-molecule thermodynamics: the heat distribution function of a charged particle in a static magnetic field

Interest in the applicability of fluctuation theorems to the thermodynamics of single molecules in external potentials has recently led to calculations of the work and total entropy distributions of Brownian oscillators in static and time-dependent electromagnetic fields. These calculations, which are based on solutions to a Smoluchowski equation, are not easily extended to a consideration of the other thermodynamic quantity of interest in such systems-the heat exchanges of the particle alone-because of the nonlinear dependence of the heat on a particle's stochastic trajectory. In this paper, we show that a path integral approach provides an exact expression for the distribution of the heat fluctuations of a charged Brownian oscillator in a static magnetic field. This approach is an extension of a similar path integral approach applied earlier by our group to the calculation of the heat distribution function of a trapped Brownian particle, which was found, in the limit of long times, to be consistent with experimental data on the thermal interactions of single micron-sized colloids in a viscous solvent.

Theory of polymer breaking under tension

We consider the breaking of a polymer molecule which is fixed at one end and is acted upon by a force at the other. The polymer is assumed to be a linear chain joined together by bonds which satisfy the Morse potential. The applied force is found to modify the Morse potential so that the minimum becomes metastable. Breaking is just the decay of this metastable bond, by causing it to go over the barrier. Increasing the force causes the potential to become more and more distorted and eventually leads to the disappearance of the barrier. The limiting force at which the barrier disappears is D(e)a/2,D-e with a the parameters characterizing the Morse potential. The rate of breaking is first calculated using multidimensional quantum transition state theory. We use the harmonic approximation to account for vibrations of all the units. It includes tunneling contributions to the rate, but is valid only above a certain critical temperature. It is possible to get an analytical expression for the rate of breaking. We have calculated the rate of breaking for a model, which mimics polyethylene. First we calculate the rate of breaking of a single bond, without worrying about the other bonds. Inclusion of other bonds under the harmonic approximation is found to lower this rate by at the most one order of magnitude. Quantum effects are found to increase the rate of breaking and are significant only at temperatures less than 150 K. At 300 K, the calculations predict a bond in polyethylene to have a lifetime of only seconds at a force which is only half the limiting force. Calculations were also done using the Lennard-Jones potential. The results for Lennard-Jones and Morse potentials were rather different, due to the different long-range behaviors of the two potentials. A calculation including friction was carried out, at the classical level, by assuming that each atom of the chain is coupled to its own collection of harmonic oscillators. Comparison of the results with the simulations of Oliveira and Taylor [J. Chem. Phys. 101, 10 118 (1994)] showed the rate to be two to three orders of magnitude higher. As a possible explanation of discrepancy, we consider the translational motion of the ends of the broken chains. Using a continuum approximation for the chain, we find that in the absence of friction, the rate of the process can be limited by the rate at which the two broken ends separate from one another and the lowering of the rate is at the most a factor of 2, for the parameters used in the simulation (for polyethylene). In the presence of friction, we find that the rate can be lowered by one to two orders of magnitude, making our results to be in reasonable agreement with the simulations.

Capturing higher modes of vibration of micromachined resonators

MEMS resonators have potential applications in the areas of RF-MEMS, clock oscillators, ultrasound transducers, etc. The important characteristics of a resonator are its resonant frequency and Q-factor (a measure of damping). Usually large damping in macro structures makes it difficult to excite and measure their higher modes. In contrast, MEMS resonators seem amenable to excitation in higher modes. In this paper, 28 modes of vibration of an electrothermal actuator are experimentally captured–perhaps the highest number of modes experimentally captured so far. We verify these modes with FEM simulations and report that all the measured frequencies are within 5% of theoretically predicted values.

Two-Stage Extended Kalman Filters with Derivative-Free Local Linearizations

This paper proposes a derivative-free two-stage extended Kalman filter (2-EKF) especially suited for state and parameter identification of mechanical oscillators under Gaussian white noise. Two sources of modeling uncertainties are considered: (1) errors in linearization, and (2) an inadequate system model. The state vector is presently composed of the original dynamical/parameter states plus the so-called bias states accounting for the unmodeled dynamics. An extended Kalman estimation concept is applied within a framework predicated on explicit and derivative-free local linearizations (DLL) of nonlinear drift terms in the governing stochastic differential equations (SDEs). The original and bias states are estimated by two separate filters; the bias filter improves the estimates of the original states. Measurements are artificially generated by corrupting the numerical solutions of the SDEs with noise through an implicit form of a higher-order linearization. Numerical illustrations are provided for a few single- and multidegree-of-freedom nonlinear oscillators, demonstrating the remarkable promise that 2-EKF holds over its more conventional EKF-based counterparts. DOI: 10.1061/(ASCE)EM.1943-7889.0000255. (C) 2011 American Society of Civil Engineers.

A perturbed martingale approach to global optimization

A new global stochastic search, guided mainly through derivative-free directional information computable from the sample statistical moments of the design variables within a Monte Carlo setup, is proposed. The search is aided by imparting to the directional update term additional layers of random perturbations referred to as `coalescence' and `scrambling'. A selection step, constituting yet another avenue for random perturbation, completes the global search. The direction-driven nature of the search is manifest in the local extremization and coalescence components, which are posed as martingale problems that yield gain-like update terms upon discretization. As anticipated and numerically demonstrated, to a limited extent, against the problem of parameter recovery given the chaotic response histories of a couple of nonlinear oscillators, the proposed method appears to offer a more rational, more accurate and faster alternative to most available evolutionary schemes, prominently the particle swarm optimization. (C) 2014 Elsevier B.V. All rights reserved.