Pseudo Random Coins Show More Heads Than Tails

Tossing a coin is the most elementary Monte Carlo experiment. In a computer the coin is replaced by a pseudo random number generator. It can be shown analytically and by exact enumerations that popular random number generators are not capable of imitating a fair coin: pseudo random coins show more heads than tails. This bias explains the empirically observed failure of some random number generators in random walk experiments. It can be traced down to the special role of the value zero in the algebra of finite fields.Comment: 10 pages, 12 figure

Aperture synthesis for gravitational-wave data analysis: Deterministic Sources

Gravitational wave detectors now under construction are sensitive to the phase of the incident gravitational waves. Correspondingly, the signals from the different detectors can be combined, in the analysis, to simulate a single detector of greater amplitude and directional sensitivity: in short, aperture synthesis. Here we consider the problem of aperture synthesis in the special case of a search for a source whose waveform is known in detail: \textit{e.g.,} compact binary inspiral. We derive the likelihood function for joint output of several detectors as a function of the parameters that describe the signal and find the optimal matched filter for the detection of the known signal. Our results allow for the presence of noise that is correlated between the several detectors. While their derivation is specialized to the case of Gaussian noise we show that the results obtained are, in fact, appropriate in a well-defined, information-theoretic sense even when the noise is non-Gaussian in character. The analysis described here stands in distinction to ``coincidence analyses'', wherein the data from each of several detectors is studied in isolation to produce a list of candidate events, which are then compared to search for coincidences that might indicate common origin in a gravitational wave signal. We compare these two analyses --- optimal filtering and coincidence --- in a series of numerical examples, showing that the optimal filtering analysis always yields a greater detection efficiency for given false alarm rate, even when the detector noise is strongly non-Gaussian.Comment: 39 pages, 4 figures, submitted to Phys. Rev.

A sub-Nyquist co-prime sampling music spectral approach for natural frequency identification of white-noise excited structures

Motivated by practical needs to reduce data transmission payloads in wireless sensors for vibration-based monitoring of civil engineering structures, this paper proposes a novel approach for identifying resonant frequencies of white-noise excited structures using acceleration measurements acquired at rates significantly below the Nyquist rate. The approach adopts the deterministic co-prime sub-Nyquist sampling scheme, originally developed to facilitate telecommunication applications, to estimate the autocorrelation function of response acceleration time-histories of low-amplitude white-noise excited structures treated as realizations of a stationary stochastic process. This is achieved without posing any sparsity conditions to the signals. Next, the standard MUSIC algorithm is applied to the estimated autocorrelation function to derive a denoised super-resolution pseudo-spectrum in which natural frequencies are marked by prominent spikes. The accuracy and applicability of the proposed approach is numerically assessed using computer-generated noise-corrupted acceleration time-history data obtained by a simulation-based framework pertaining to a white-noise excited structural system with two closely-spaced modes of vibration carrying the same amount of energy, and a third isolated weakly excited vibrating mode. All three natural frequencies are accurately identified by sampling at as low as 78% below Nyquist rate for signal to noise ratio as low as 0dB (i.e., energy of additive white noise equal to the signal energy), suggesting that the proposed approach is robust and noise-immune while it can reduce data transmission requirements in acceleration wireless sensors for natural frequency identification of engineering structures

Bayesian Nonparametric Inference of Switching Linear Dynamical Systems

Many complex dynamical phenomena can be effectively modeled by a system that switches among a set of conditionally linear dynamical modes. We consider two such models: the switching linear dynamical system (SLDS) and the switching vector autoregressive (VAR) process. Our Bayesian nonparametric approach utilizes a hierarchical Dirichlet process prior to learn an unknown number of persistent, smooth dynamical modes. We additionally employ automatic relevance determination to infer a sparse set of dynamic dependencies allowing us to learn SLDS with varying state dimension or switching VAR processes with varying autoregressive order. We develop a sampling algorithm that combines a truncated approximation to the Dirichlet process with efficient joint sampling of the mode and state sequences. The utility and flexibility of our model are demonstrated on synthetic data, sequences of dancing honey bees, the IBOVESPA stock index, and a maneuvering target tracking application.Comment: 50 pages, 7 figure

A pseudo-matched filter for chaos

A matched filter maximizes the signal-to-noise ratio of a signal. In the recent work of Corron et al. [Chaos 20, 023123 (2010)], a matched filter is derived for the chaotic waveforms produced by a piecewise-linear system. Motivated by these results, we describe a pseudo-matched filter, which removes noise from the same chaotic signal. It consists of a notch filter followed by a first-order, low-pass filter. We compare quantitatively the matched filter's performance to that of our pseudo-matched filter using correlation functions in a simulated radar application. On average, the pseudo-matched filter performs with a correlation signal-to-noise ratio that is 2.0 dB below that of the matched filter. Our pseudo-matched filter, though somewhat inferior in comparison to the matched filter, is easily realizable at high speed (> 1 GHz) for potential radar applications