Robust Multi-Object Tracking: A Labeled Random Finite Set Approach

The labeled random finite set based generalized multi-Bernoulli filter is a tractable analytic solution for the multi-object tracking problem. The robustness of this filter is dependent on certain knowledge regarding the multi-object system being available to the filter. This dissertation presents techniques for robust tracking, constructed upon the labeled random finite set framework, where complete information regarding the system is unavailable

Markov and Semi-markov Chains, Processes, Systems and Emerging Related Fields

This book covers a broad range of research results in the field of Markov and Semi-Markov chains, processes, systems and related emerging fields. The authors of the included research papers are well-known researchers in their field. The book presents the state-of-the-art and ideas for further research for theorists in the fields. Nonetheless, it also provides straightforwardly applicable results for diverse areas of practitioners

Applications of stochastic modeling in air traffic management : Methods, challenges and opportunities for solving air traffic problems under uncertainty

In this paper we provide a wide-ranging review of the literature on stochastic modeling applications within aviation, with a particular focus on problems involving demand and capacity management and the mitigation of air traffic congestion. From an operations research perspective, the main techniques of interest include analytical queueing theory, stochastic optimal control, robust optimization and stochastic integer programming. Applications of these techniques include the prediction of operational delays at airports, pre-tactical control of aircraft departure times, dynamic control and allocation of scarce airport resources and various others. We provide a critical review of recent developments in the literature and identify promising research opportunities for stochastic modelers within air traffic management

Bayesian inference and learning in switching biological systems

This thesis is concerned with the stochastic modeling of and inference for switching biological systems. Motivated by the great variety of data obtainable from such systems by wet-lab experiments or computer simulations, continuous-time as well as discrete-time frameworks are devised. Similarly, different latent state-space configurations - both hybrid continuous-discrete and purely discrete state spaces - are considered. These models enable Bayesian inferences about the temporal system dynamics as well as the respective parameters. Starting with the exact model formulations, principled approximations are derived using sampling and variational techniques, enabling computationally tractable algorithms. The resulting frameworks are evaluated under the modeling assumption and subsequently applied to common benchmark problems and real-world biological data. These developments are divided into three scientific contributions: First, a Markov chain Monte Carlo method for continuous-time and continuous-discrete state-space hybrid processes is derived. These hybrid processes are formulated as Markov-switching stochastic differential equations, for which the exact evolution equation is also presented. A Gibbs sampling scheme is then derived which enables tractable inference both for the system dynamics and the system parameters. This approach is validated under the modeling assumption as well as applied to data from a wet-lab gene-switching experiment. Second, a variational approach to the same problem is taken to speed up the inference procedure. To this end, a mixture of Gaussian processes serves as the variational measure. The method is derived starting from the Kullback-Leibler divergence between two true switching stochastic differential equations, and it is shown in which regime the Gaussian mixture approximation is valid. It is then benchmarked on the same ground-truth data as the Gibbs sampler and applied to model systems from computational structural biology. Third, a nonparametric inference framework is laid out for conformational molecule switching. Here, a purely discrete latent state space is assumed, where each latent state corresponds to one molecular structure. Utilizing variational techniques again, a method is presented to identify the number of conformations present in the data. This method generalizes the framework of Markov state models, which is well-established in the field of computational structural biology. An observation likelihood model tailored to structural molecule data is introduced, along with a suitable approximation enabling tractable inference. This framework, too, is first evaluated on data generated under the model assumption and then applied to common problems in the field

Four out-of-equilibrium lectures

A collection of published papers on the subject of classical nonequilibrium statistical mechanics. Mainly stochastic systems are considered, with special regard to applications in soft matter physic

Fractional Calculus and the Future of Science

Newton foresaw the limitations of geometry’s description of planetary behavior and developed fluxions (differentials) as the new language for celestial mechanics and as the way to implement his laws of mechanics. Two hundred years later Mandelbrot introduced the notion of fractals into the scientific lexicon of geometry, dynamics, and statistics and in so doing suggested ways to see beyond the limitations of Newton’s laws. Mandelbrot’s mathematical essays suggest how fractals may lead to the understanding of turbulence, viscoelasticity, and ultimately to end of dominance of the Newton’s macroscopic world view.Fractional Calculus and the Future of Science examines the nexus of these two game-changing contributions to our scientific understanding of the world. It addresses how non-integer differential equations replace Newton’s laws to describe the many guises of complexity, most of which lay beyond Newton’s experience, and many had even eluded Mandelbrot’s powerful intuition. The book’s authors look behind the mathematics and examine what must be true about a phenomenon’s behavior to justify the replacement of an integer-order with a noninteger-order (fractional) derivative. This window into the future of specific science disciplines using the fractional calculus lens suggests how what is seen entails a difference in scientific thinking and understanding

Nonlinear Systems

Open Mathematics is a challenging notion for theoretical modeling, technical analysis, and numerical simulation in physics and mathematics, as well as in many other fields, as highly correlated nonlinear phenomena, evolving over a large range of time scales and length scales, control the underlying systems and processes in their spatiotemporal evolution. Indeed, available data, be they physical, biological, or financial, and technologically complex systems and stochastic systems, such as mechanical or electronic devices, can be managed from the same conceptual approach, both analytically and through computer simulation, using effective nonlinear dynamics methods. The aim of this Special Issue is to highlight papers that show the dynamics, control, optimization and applications of nonlinear systems. This has recently become an increasingly popular subject, with impressive growth concerning applications in engineering, economics, biology, and medicine, and can be considered a veritable contribution to the literature. Original papers relating to the objective presented above are especially welcome subjects. Potential topics include, but are not limited to: Stability analysis of discrete and continuous dynamical systems; Nonlinear dynamics in biological complex systems; Stability and stabilization of stochastic systems; Mathematical models in statistics and probability; Synchronization of oscillators and chaotic systems; Optimization methods of complex systems; Reliability modeling and system optimization; Computation and control over networked systems

Estimation, Decision and Applications to Target Tracking

This dissertation mainly consists of three parts. The first part proposes generalized linear minimum mean-square error (GLMMSE) estimation for nonlinear point estimation. The second part proposes a recursive joint decision and estimation (RJDE) algorithm for joint decision and estimation (JDE). The third part analyzes the performance of sequential probability ratio test (SPRT) when the log-likelihood ratios (LLR) are independent but not identically distributed. The linear minimum mean-square error (LMMSE) estimation plays an important role in nonlinear estimation. It searches for the best estimator in the set of all estimators that are linear in the measurement. A GLMMSE estimation framework is proposed in this disser- tation. It employs a vector-valued measurement transform function (MTF) and finds the best estimator among all estimators that are linear in MTF. Several design guidelines for the MTF based on a numerical example were provided. A RJDE algorithm based on a generalized Bayes risk is proposed in this dissertation for dynamic JDE problems. It is computationally efficient for dynamic problems where data are made available sequentially. Further, since existing performance measures for estimation or decision are effective to evaluate JDE algorithms, a joint performance measure is proposed for JDE algorithms for dynamic problems. The RJDE algorithm is demonstrated by applications to joint tracking and classification as well as joint tracking and detection in target tracking. The characteristics and performance of SPRT are characterized by two important functions—operating characteristic (OC) and average sample number (ASN). These two functions have been studied extensively under the assumption of independent and identically distributed (i.i.d.) LLR, which is too stringent for many applications. This dissertation relaxes the requirement of identical distribution. Two inductive equations governing the OC and ASN are developed. Unfortunately, they have non-unique solutions in the general case. They do have unique solutions in two special cases: (a) the LLR sequence converges in distributions and (b) the LLR sequence has periodic distributions. Further, the analysis can be readily extended to evaluate the performance of the truncated SPRT and the cumulative sum test