Asset life prediction and maintenance decision-making using a non-linear non-Gaussian state space model

Estimating and predicting degradation processes of engineering assets is crucial for reducing the cost and insuring the productivity of enterprises. Assisted by modern condition monitoring (CM) technologies, most asset degradation processes can be revealed by various degradation indicators extracted from CM data. Maintenance strategies developed using these degradation indicators (i.e. condition-based maintenance) are more cost-effective, because unnecessary maintenance activities are avoided when an asset is still in a decent health state. A practical difficulty in condition-based maintenance (CBM) is that degradation indicators extracted from CM data can only partially reveal asset health states in most situations. Underestimating this uncertainty in relationships between degradation indicators and health states can cause excessive false alarms or failures without pre-alarms. The state space model provides an efficient approach to describe a degradation process using these indicators that can only partially reveal health states. However, existing state space models that describe asset degradation processes largely depend on assumptions such as, discrete time, discrete state, linearity, and Gaussianity. The discrete time assumption requires that failures and inspections only happen at fixed intervals. The discrete state assumption entails discretising continuous degradation indicators, which requires expert knowledge and often introduces additional errors. The linear and Gaussian assumptions are not consistent with nonlinear and irreversible degradation processes in most engineering assets. This research proposes a Gamma-based state space model that does not have discrete time, discrete state, linear and Gaussian assumptions to model partially observable degradation processes. Monte Carlo-based algorithms are developed to estimate model parameters and asset remaining useful lives. In addition, this research also develops a continuous state partially observable semi-Markov decision process (POSMDP) to model a degradation process that follows the Gamma-based state space model and is under various maintenance strategies. Optimal maintenance strategies are obtained by solving the POSMDP. Simulation studies through the MATLAB are performed; case studies using the data from an accelerated life test of a gearbox and a liquefied natural gas industry are also conducted. The results show that the proposed Monte Carlo-based EM algorithm can estimate model parameters accurately. The results also show that the proposed Gamma-based state space model have better fitness result than linear and Gaussian state space models when used to process monotonically increasing degradation data in the accelerated life test of a gear box. Furthermore, both simulation studies and case studies show that the prediction algorithm based on the Gamma-based state space model can identify the mean value and confidence interval of asset remaining useful lives accurately. In addition, the simulation study shows that the proposed maintenance strategy optimisation method based on the POSMDP is more flexible than that assumes a predetermined strategy structure and uses the renewal theory. Moreover, the simulation study also shows that the proposed maintenance optimisation method can obtain more cost-effective strategies than a recently published maintenance strategy optimisation method by optimising the next maintenance activity and the waiting time till the next maintenance activity simultaneously.

PySSM : a Python module for Bayesian inference of linear Gaussian state space models

PySSM is a Python package that has been developed for the analysis of time series using linear Gaussian state space models (SSM). PySSM is easy to use; models can be set up quickly and efficiently and a variety of different settings are available to the user. It also takes advantage of scientific libraries Numpy and Scipy and other high level features of the Python language. PySSM is also used as a platform for interfacing between optimised and parallelised Fortran routines. These Fortran routines heavily utilise Basic Linear Algebra (BLAS) and Linear Algebra Package (LAPACK) functions for maximum performance. PySSM contains classes for filtering, classical smoothing as well as simulation smoothing.

Time-domain hydroelastic analysis of a flexible marine structure using state-space models

This article deals with time-domain hydroelastic analysis of a marine structure. The convolution terms associated with fluid memory effects are replaced by an alternative state-space representation, the parameters of which are obtained by using realization theory. The mathematical model established is validated by comparison to experimental results of a very flexible barge. Two types of time-domain simulations are performed: dynamic response of the initially inert structure to incident regular waves and transient response of the structure after it is released from a displaced condition in still water. The accuracy and the efficiency of the simulations based on the state-space model representations are compared to those that integrate the convolutions.

Denoising neural data with state-space smoothing: Method and application

Neural data are inevitably contaminated by noise. When such noisy data are subjected to statistical analysis, misleading conclusions can be reached. Here we attempt to address this problem by applying a state-space smoothing method, based on the combined use of the Kalman filter theory and the Expectation–Maximization algorithm, to denoise two datasets of local field potentials recorded from monkeys performing a visuomotor task. For the first dataset, it was found that the analysis of the high gamma band (60–90 Hz) neural activity in the prefrontal cortex is highly susceptible to the effect of noise, and denoising leads to markedly improved results that were physiologically interpretable. For the second dataset, Granger causality between primary motor and primary somatosensory cortices was not consistent across two monkeys and the effect of noise was suspected. After denoising, the discrepancy between the two subjects was significantly reduced.

State space formulation of ammonia reactor dynamics

The specific objective of this paper is to develop a state space model of a tubular ammonia reactor which is the heart of an ammonia plant in a fertiliser complex. A ninth order model with three control inputs and two disturbance inputs is generated from the nonlinear distributed model using linearization and lumping approximations. The lumped model is chosen such that the steady state temperature at the exit of the catalyst bed computed from the simplified state space model is close enough to the one computed from the nonlinear steady state model. The model developed in this paper is very useful for the design of continuous/discrete versions of single variable/multivariable control algorithms.

Continuously equivalent networks in state space

Schoeffler has derived continuously equivalent networks in the nodal-admittance domain. The letter derives a corresponding result in state space that combines the usefulness of Schoeffler's result and the power of the state-variable approach.

Specification Based Regression Testing Using Explicit State Space Enumeration

This paper presents a method of partial automation of specification based regression testing, which we call ESSE (Explicit State Space Enumeration). The first step in ESSE method is the extraction of a finite state model of the system making use of an already tested version of the system under test (SUT). Thereafter, the finite state model thus obtained is used to compute good test sequences that can be used to regression test subsequent versions of the system. We present two new algorithms for test sequence computation - both based on our finite state model generated by the above method. We also provide the details and results of the experimental evaluation of ESSE method. Comparison with a practically used random-testing algorithm has shown substantial improvements.

Zero-sum risk-sensitive stochastic games on a countable state space

Infinite horizon discounted-cost and ergodic-cost risk-sensitive zero-sum stochastic games for controlled Markov chains with countably many states are analyzed. Upper and lower values for these games are established. The existence of value and saddle-point equilibria in the class of Markov strategies is proved for the discounted-cost game. The existence of value and saddle-point equilibria in the class of stationary strategies is proved under the uniform ergodicity condition for the ergodic-cost game. The value of the ergodic-cost game happens to be the product of the inverse of the risk-sensitivity factor and the logarithm of the common Perron-Frobenius eigenvalue of the associated controlled nonlinear kernels. (C) 2013 Elsevier B.V. All rights reserved.

Bayesian parameter identification in dynamic state space models using modified measurement equations

When Markov chain Monte Carlo (MCMC) samplers are used in problems of system parameter identification, one would face computational difficulties in dealing with large amount of measurement data and (or) low levels of measurement noise. Such exigencies are likely to occur in problems of parameter identification in dynamical systems when amount of vibratory measurement data and number of parameters to be identified could be large. In such cases, the posterior probability density function of the system parameters tends to have regions of narrow supports and a finite length MCMC chain is unlikely to cover pertinent regions. The present study proposes strategies based on modification of measurement equations and subsequent corrections, to alleviate this difficulty. This involves artificial enhancement of measurement noise, assimilation of transformed packets of measurements, and a global iteration strategy to improve the choice of prior models. Illustrative examples cover laboratory studies on a time variant dynamical system and a bending-torsion coupled, geometrically non-linear building frame under earthquake support motions. (C) 2015 Elsevier Ltd. All rights reserved.

Risk-Sensitive Ergodic Control of Continuous Time Markov Processes With Denumerable State Space

In this article, we study risk-sensitive control problem with controlled continuous time Markov chain state dynamics. Using multiplicative dynamic programming principle along with the atomic structure of the state dynamics, we prove the existence and a characterization of optimal risk-sensitive control under geometric ergodicity of the state dynamics along with a smallness condition on the running cost.

Sequential decision making in general state space models

Many problems in control and signal processing can be formulated as sequential decision problems for general state space models. However, except for some simple models one cannot obtain analytical solutions and has to resort to approximation. In this thesis, we have investigated problems where Sequential Monte Carlo (SMC) methods can be combined with a gradient based search to provide solutions to online optimisation problems. We summarise the main contributions of the thesis as follows. Chapter 4 focuses on solving the sensor scheduling problem when cast as a controlled Hidden Markov Model. We consider the case in which the state, observation and action spaces are continuous. This general case is important as it is the natural framework for many applications. In sensor scheduling, our aim is to minimise the variance of the estimation error of the hidden state with respect to the action sequence. We present a novel SMC method that uses a stochastic gradient algorithm to find optimal actions. This is in contrast to existing works in the literature that only solve approximations to the original problem. In Chapter 5 we presented how an SMC can be used to solve a risk sensitive control problem. We adopt the use of the Feynman-Kac representation of a controlled Markov chain flow and exploit the properties of the logarithmic Lyapunov exponent, which lead to a policy gradient solution for the parameterised problem. The resulting SMC algorithm follows a similar structure with the Recursive Maximum Likelihood(RML) algorithm for online parameter estimation. In Chapters 6, 7 and 8, dynamic Graphical models were combined with with state space models for the purpose of online decentralised inference. We have concentrated more on the distributed parameter estimation problem using two Maximum Likelihood techniques, namely Recursive Maximum Likelihood (RML) and Expectation Maximization (EM). The resulting algorithms can be interpreted as an extension of the Belief Propagation (BP) algorithm to compute likelihood gradients. In order to design an SMC algorithm, in Chapter 8 uses a nonparametric approximations for Belief Propagation. The algorithms were successfully applied to solve the sensor localisation problem for sensor networks of small and medium size.

An overview of sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, are numerical techniques based on Importance Sampling for solving the optimal state estimation problem. The task of calibrating the state-space model is an important problem frequently faced by practitioners and the observed data may be used to estimate the parameters of the model. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed for this task accompanied with a discussion of their advantages and limitations.

Sequential Monte Carlo computation of the score and observed information matrix in state-space models with application to parameter estimation

Sequential Monte Carlo (SMC) methods are popular computational tools for Bayesian inference in non-linear non-Gaussian state-space models. For this class of models, we propose SMC algorithms to compute the score vector and observed information matrix recursively in time. We propose two different SMC implementations, one with computational complexity $\mathcal{O}(N)$ and the other with complexity $\mathcal{O}(N^{2})$ where $N$ is the number of importance sampling draws. Although cheaper, the performance of the $\mathcal{O}(N)$ method degrades quickly in time as it inherently relies on the SMC approximation of a sequence of probability distributions whose dimension is increasing linearly with time. In particular, even under strong \textit{mixing} assumptions, the variance of the estimates computed with the $\mathcal{O}(N)$ method increases at least quadratically in time. The $\mathcal{O}(N^{2})$ is a non-standard SMC implementation that does not suffer from this rapid degrade. We then show how both methods can be used to perform batch and recursive parameter estimation.