26,124 research outputs found
Particle filtering in high-dimensional chaotic systems
We present an efficient particle filtering algorithm for multiscale systems,
that is adapted for simple atmospheric dynamics models which are inherently
chaotic. Particle filters represent the posterior conditional distribution of
the state variables by a collection of particles, which evolves and adapts
recursively as new information becomes available. The difference between the
estimated state and the true state of the system constitutes the error in
specifying or forecasting the state, which is amplified in chaotic systems that
have a number of positive Lyapunov exponents. The purpose of the present paper
is to show that the homogenization method developed in Imkeller et al. (2011),
which is applicable to high dimensional multi-scale filtering problems, along
with important sampling and control methods can be used as a basic and flexible
tool for the construction of the proposal density inherent in particle
filtering. Finally, we apply the general homogenized particle filtering
algorithm developed here to the Lorenz'96 atmospheric model that mimics
mid-latitude atmospheric dynamics with microscopic convective processes.Comment: 28 pages, 12 figure
Lorenz System Parameter Determination and Application to Break the Security of Two-channel Chaotic Cryptosystems
This paper describes how to determine the parameter values of the chaotic
Lorenz system used in a two-channel cryptosystem. The geometrical properties of
the Lorenz system are used firstly to reduce the parameter search space, then
the parameters are exactly determined, directly from the ciphertext, through
the minimization of the average jamming noise power created by the encryption
process.Comment: 5 pages, 5 figures Preprint submitted to IEEE T. Cas II, revision of
authors name spellin
A permutation Information Theory tour through different interest rate maturities: the Libor case
This paper analyzes Libor interest rates for seven different maturities and
referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen,
during the period years 2001 to 2015. The analysis is performed by means of two
quantifiers derived from Information Theory: the permutation Shannon entropy
and the permutation Fisher information measure. An anomalous behavior in the
Libor is detected in all currencies except Euro during the years 2006--2012.
The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the
special mechanism of Libor setting, we conjecture that the behavior could have
been produced by the manipulation that was uncovered by financial authorities.
We argue that our methodology is pertinent as a market overseeing instrument.Comment: arXiv admin note: text overlap with arXiv:1304.039
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