Semiparametric estimation for a class of time-inhomogenous diffusion processes

Copyright @ 2009 Institute of Statistical Science, Academia SinicaWe develop two likelihood-based approaches to semiparametrically estimate a class of time-inhomogeneous diffusion processes: log penalized splines (P-splines) and the local log-linear method. Positive volatility is naturally embedded and this positivity is not guaranteed in most existing diffusion models. We investigate different smoothing parameter selections. Separate bandwidths are used for drift and volatility estimation. In the log P-splines approach, different smoothness for different time varying coefficients is feasible by assigning different penalty parameters. We also provide theorems for both approaches and report statistical inference results. Finally, we present a case study using the weekly three-month Treasury bill data from 1954 to 2004. We find that the log P-splines approach seems to capture the volatility dip in mid-1960s the best. We also present an application to calculate a financial market risk measure called Value at Risk (VaR) using statistical estimates from log P-splines

Open Boundary Simulations of Proteins and Their Hydration Shells by Hamiltonian Adaptive Resolution Scheme

The recently proposed Hamiltonian Adaptive Resolution Scheme (H-AdResS) allows to perform molecular simulations in an open boundary framework. It allows to change on the fly the resolution of specific subset of molecules (usually the solvent), which are free to diffuse between the atomistic region and the coarse-grained reservoir. So far, the method has been successfully applied to pure liquids. Coupling the H-AdResS methodology to hybrid models of proteins, such as the Molecular Mechanics/Coarse-Grained (MM/CG) scheme, is a promising approach for rigorous calculations of ligand binding free energies in low-resolution protein models. Towards this goal, here we apply for the first time H-AdResS to two atomistic proteins in dual-resolution solvent, proving its ability to reproduce structural and dynamic properties of both the proteins and the solvent, as obtained from atomistic simulations.Comment: This document is the Accepted Manuscript version of a Published Work that appeared in final form in Journal of Chemical Theory and Computation, copyright \c{opyright} American Chemical Society after peer review and technical editing by the publishe

Computational intelligence-based prognosis for hybrid mechatronic system using improved Wiener process

In this article, a fast krill herd algorithm is developed for prognosis of hybrid mechatronic system using the improved Wiener degradation process. First, the diagnostic hybrid bond graph is used to model the hybrid mechatronic system and derive global analytical redundancy relations. Based on the global analytical redundancy relations, the fault signature matrix and mode change signature matrix for fault and mode change isolation can be obtained. Second, in order to determine the true faults from the suspected fault candidates after fault isolation, a fault estimation method based on adaptive square root cubature Kalman filter is proposed when the noise distributions are unknown. Then, the improved Wiener process incorporating nonlinear term is developed to build the degradation model of incipient fault based on the fault estimation results. For prognosis, the fast krill herd algorithm is proposed to estimate unknown degradation model coefficients. After that, the probability density function of remaining useful life is derived using the identified degradation model. Finally, the proposed methods are validated by simulations

A critical review of online battery remaining useful lifetime prediction methods.

Lithium-ion batteries play an important role in our daily lives. The prediction of the remaining service life of lithium-ion batteries has become an important issue. This article reviews the methods for predicting the remaining service life of lithium-ion batteries from three aspects: machine learning, adaptive filtering, and random processes. The purpose of this study is to review, classify and compare different methods proposed in the literature to predict the remaining service life of lithium-ion batteries. This article first summarizes and classifies various methods for predicting the remaining service life of lithium-ion batteries that have been proposed in recent years. On this basis, by selecting specific criteria to evaluate and compare the accuracy of different models, find the most suitable method. Finally, summarize the development of various methods. According to the research in this article, the average accuracy of machine learning is 32.02% higher than the average of the other two methods, and the prediction cycle is 9.87% shorter than the average of the other two methods

A Bayesian Framework for Reliability Assessment via Wiener Process and MCMC

The population and individual reliability assessment are discussed, and a Bayesian framework is proposed to integrate the population degradation information and individual degradation data. Different from fixed effect Wiener process modeling, the population degradation path is characterized by a random effect Wiener process, and the model can capture sources of uncertainty including unit to unit variation and time correlated structure. Considering that the model is so complicated and analytically intractable, Markov Chain Monte Carlo (MCMC) method is used to estimate the unknown parameters in the population model. To achieve individual reliability assessment, we exploit a Bayesian updating method, by which the unknown parameters are updated iteratively. Based on updated results, the residual use life and reliability evaluation are obtained. A lasers data example is given to demonstrate the usefulness and validity of the proposed model and method

Parallel simulation based adaptive prediction for equipment remaining useful life

The latest demands for remaining useful life (RUL) prediction are online prediction, real-time prediction and adaptive prediction. This paper addresses the demands of RUL prediction and proposes a novel framework of parallel simulation based adaptive prediction for equipment RUL. In the framework, a Wiener state space model (WSSM) is developed to achieve the aim, which considers the whole historical data and monitoring noise. Driven by the online observation data, the degradation state is estimated by the Kalman filter based data assimilation and the WSSM parameters are updated by the expectation maximum algorithm. An analytical RUL distribution considering the distribution of the degradation state is obtained based on the concept of the first hitting time. A case study for GaAs laser device is provided to substantiate the superiority of the proposed method compared with the competing method of traditional Wiener process. The results show that the parallel simulation method can provide better RUL prognostic accuracy