1,297 research outputs found
AReS and MaRS - Adversarial and MMD-Minimizing Regression for SDEs
Stochastic differential equations are an important modeling class in many
disciplines. Consequently, there exist many methods relying on various
discretization and numerical integration schemes. In this paper, we propose a
novel, probabilistic model for estimating the drift and diffusion given noisy
observations of the underlying stochastic system. Using state-of-the-art
adversarial and moment matching inference techniques, we avoid the
discretization schemes of classical approaches. This leads to significant
improvements in parameter accuracy and robustness given random initial guesses.
On four established benchmark systems, we compare the performance of our
algorithms to state-of-the-art solutions based on extended Kalman filtering and
Gaussian processes.Comment: Published at the Thirty-sixth International Conference on Machine
Learning (ICML 2019
Data-Driven Diagnostics of Mechanism and Source of Sustained Oscillations
Sustained oscillations observed in power systems can damage equipment,
degrade the power quality and increase the risks of cascading blackouts. There
are several mechanisms that can give rise to oscillations, each requiring
different countermeasure to suppress or eliminate the oscillation. This work
develops mathematical framework for analysis of sustained oscillations and
identifies statistical signatures of each mechanism, based on which a novel
oscillation diagnosis method is developed via real-time processing of phasor
measurement units (PMUs) data. Case studies show that the proposed method can
accurately identify the exact mechanism for sustained oscillation, and
meanwhile provide insightful information to locate the oscillation sources.Comment: The paper has been accepted by IEEE Transactions on Power System
Description of stochastic and chaotic series using visibility graphs
Nonlinear time series analysis is an active field of research that studies
the structure of complex signals in order to derive information of the process
that generated those series, for understanding, modeling and forecasting
purposes. In the last years, some methods mapping time series to network
representations have been proposed. The purpose is to investigate on the
properties of the series through graph theoretical tools recently developed in
the core of the celebrated complex network theory. Among some other methods,
the so-called visibility algorithm has received much attention, since it has
been shown that series correlations are captured by the algorithm and
translated in the associated graph, opening the possibility of building
fruitful connections between time series analysis, nonlinear dynamics, and
graph theory. Here we use the horizontal visibility algorithm to characterize
and distinguish between correlated stochastic, uncorrelated and chaotic
processes. We show that in every case the series maps into a graph with
exponential degree distribution P (k) ~ exp(-{\lambda}k), where the value of
{\lambda} characterizes the specific process. The frontier between chaotic and
correlated stochastic processes, {\lambda} = ln(3/2), can be calculated
exactly, and some other analytical developments confirm the results provided by
extensive numerical simulations and (short) experimental time series
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