Bias analysis in mode-based Kalman filters for stochastic hybrid systems

Doctor of PhilosophyDepartment of Electrical and Computer EngineeringBalasubramaniam NatarajanStochastic hybrid system (SHS) is a class of dynamical systems that experience interaction of both discrete mode and continuous dynamics with uncertainty. State estimation for SHS has attracted research interests for decades with Kalman filter based solutions dominating the area. Mode-based Kalman filter is an extended version of the traditional Kalman filter for SHS. In general, as Kalman filter is unbiased for non-hybrid system estimation, prior research efforts primarily focus on the behavior of error covariance. In SHS state estimate, mode mismatch errors could result in a bias in the mode-based Kalman filter and have impacts on the continuous state estimation quality. The relationship between mode mismatch errors and estimation stability is an open problem that this dissertation attempts to address. Specifically, the probabilistic model of mode mismatch errors can be independent and identically distributed (i.i.d.), correlated across different modes and correlated across time. The proposed approach builds on the idea of modeling the bias evolution as a transformed system. The statistical convergence of the bias dynamics is then mapped to the stability of the transformed system. For each specific model of the mode mismatch error, the system matrix of the transformed system varies which results in challenges for the stability analysis. For the first time, the dissertation derives convergence conditions that provide tolerance regions for the mode mismatch error for three mode mismatch situations. The convergence conditions are derived based on generalized spectral radius theorem, Lyapunov theorem, Schur stability of a matrix polytope and interval matrix method. This research is fundamental in nature and its application is widespread. For example, the spatially and timely correlated mode mismatch errors can effectively capture cyber-attacks and communication link impairments in a cyber-physical system. Therefore, the theory and techniques developed in this dissertation can be used to analyze topology errors in any networked system such as smart grid, smart home, transportation, flight management system etc. The main results provide new insights on the fidelity in discrete state knowledge needed to maintain the performance of a mode-based Kalman filter and provide guidance on design of estimation strategies for SHS

Trans-dimensional inversion of modal dispersion data on the New England Mud Patch

© The Author(s), 2020. This article is distributed under the terms of the Creative Commons Attribution License. The definitive version was published in Bonnel, J., Dosso, S. E., Eleftherakis, D., & Chapman, N. R. Trans-dimensional inversion of modal dispersion data on the New England Mud Patch. IEEE Journal of Oceanic Engineering, 45(1), (2020): 116-130, doi:10.1109/JOE.2019.2896389.This paper presents single receiver geoacoustic inversion of two independent data sets recorded during the 2017 seabed characterization experiment on the New England Mud Patch. In the experimental area, the water depth is around 70 m, and the seabed is characterized by an upper layer of fine grained sediments with clay (i.e., mud). The first data set considered in this paper is a combustive sound source signal, and the second is a chirp emitted by a J15 source. These two data sets provide differing information on the geoacoustic properties of the seabed, as a result of their differing frequency content, and the dispersion properties of the environment. For both data sets, source/receiver range is about 7 km, and modal time-frequency dispersion curves are estimated using warping. Estimated dispersion curves are then used as input data for a Bayesian trans-dimensional inversion algorithm. Subbottom layering and geoacoustic parameters (sound speed and density) are thus inferred from the data. This paper highlights important properties of the mud, consistent with independent in situ measurements. It also demonstrates how information content differs for two data sets collected on reciprocal tracks, but with different acoustic sources and modal content.10.13039/100000006-Office of Naval Research 10.13039/100007297-Office of Naval Research Globa

Stochastic timeseries analysis in electric power systems and paleo-climate data

In this thesis a data science study of elementary stochastic processes is laid, aided with the development of two numerical software programmes, applied to power-grid frequency studies and Dansgaard--Oeschger events in paleo-climate data. Power-grid frequency is a key measure in power grid studies. It comprises the balance of power in a power grid at any instance. In this thesis an elementary Markovian Langevin-like stochastic process is employed, extending from existent literature, to show the basic elements of power-grid frequency dynamics can be modelled in such manner. Through a data science study of power-grid frequency data, it is shown that fluctuations scale in an inverse square-root relation with their size, alike any other stochastic process, confirming previous theoretical results. A simple Ornstein--Uhlenbeck is offered as a surrogate model for power-grid frequency dynamics, with a versatile input of driving deterministic functions, showing not surprisingly that driven stochastic processes with Gaussian noise do not necessarily show a Gaussian distribution. A study of the correlations between recordings of power-grid frequency in the same power-grid system reveals they are correlated, but a theoretical understanding is yet to be developed. A super-diffusive relaxation of amplitude synchronisation is shown to exist in space in coupled power-grid systems, whereas a linear relation is evidenced for the emergence of phase synchronisation. Two Python software packages are designed, offering the possibility to extract conditional moments for Markovian stochastic processes of any dimension, with a particular application for Markovian jump-diffusion processes for one-dimensional timeseries. Lastly, a study of Dansgaard--Oeschger events in recordings of paleoclimate data under the purview of bivariate Markovian jump-diffusion processes is proposed, augmented by a semi-theoretical study of bivariate stochastic processes, offering an explanation for the discontinuous transitions in these events and showing the existence of deterministic couplings between the recordings of the dust concentration and a proxy for the atmospheric temperature

Low-frequency broadband sound source localization using an adaptive normal mode back-propagation approach in a shallow-water ocean

Author Posting. © Acoustical Society of America, 2012. This article is posted here by permission of Acoustical Society of America for personal use, not for redistribution. The definitive version was published in Journal of the Acoustical Society of America 131 (2012): 1798-1813, doi:10.1121/1.3672643.A variety of localization methods with normal mode theory have been established for localizing low frequency (below a few hundred Hz), broadband signals in a shallow water environment. Gauss-Markov inverse theory is employed in this paper to derive an adaptive normal mode back-propagation approach. Joining with the maximum a posteriori mode filter, this approach is capable of separating signals from noisy data so that the back-propagation will not have significant influence from the noise. Numerical simulations are presented to demonstrate the robustness and accuracy of the approach, along with comparisons to other methods. Applications to real data collected at the edge of the continental shelf off New Jersey, USA are presented, and the effects of water column fluctuations caused by nonlinear internal waves and shelfbreak front variability are discussed.The SW06 experiment was supported by the Office of Naval Research

Inferring the photometric and size evolution of galaxies from image simulations

Current constraints on models of galaxy evolution rely on morphometric catalogs extracted from multi-band photometric surveys. However, these catalogs are altered by selection effects that are difficult to model, that correlate in non trivial ways, and that can lead to contradictory predictions if not taken into account carefully. To address this issue, we have developed a new approach combining parametric Bayesian indirect likelihood (pBIL) techniques and empirical modeling with realistic image simulations that reproduce a large fraction of these selection effects. This allows us to perform a direct comparison between observed and simulated images and to infer robust constraints on model parameters. We use a semi-empirical forward model to generate a distribution of mock galaxies from a set of physical parameters. These galaxies are passed through an image simulator reproducing the instrumental characteristics of any survey and are then extracted in the same way as the observed data. The discrepancy between the simulated and observed data is quantified, and minimized with a custom sampling process based on adaptive Monte Carlo Markov Chain methods. Using synthetic data matching most of the properties of a CFHTLS Deep field, we demonstrate the robustness and internal consistency of our approach by inferring the parameters governing the size and luminosity functions and their evolutions for different realistic populations of galaxies. We also compare the results of our approach with those obtained from the classical spectral energy distribution fitting and photometric redshift approach.Our pipeline infers efficiently the luminosity and size distribution and evolution parameters with a very limited number of observables (3 photometric bands). When compared to SED fitting based on the same set of observables, our method yields results that are more accurate and free from systematic biases.Comment: 24 pages, 12 figures, accepted for publication in A&

Bayesian Estimation of DSGE Models

We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK)DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the ability of this class of DSGE model to transmit real, nominal, and fiscal and monetary policy shocks into endogenous fluctuations at business cycle frequencies. Intuition about these propagation mechanisms is developed by reviewing the structure of a canonical NKDSGE model. Estimation and evaluation of the NKDSGE model rests on being able to detrend its optimality and equilibrium conditions, to construct a linear approximation of the model, to solve for its linear approximate decision rules, and to map from this solution into a state space model to generate Kalman filter projections. The likelihood of the linear approximate NKDSGE model is based on these projections. The projections and likelihood are useful inputs into the Metropolis-Hastings Markov chain Monte Carlo simulator that we employ to produce Bayesian estimates of the NKDSGE model. We discuss an algorithm that implements this simulator. This algorithm involves choosing priors of the NKDSGE model parameters and fixing initial conditions to start the simulator. The output of the simulator is posterior estimates of two NKDSGE models, which are summarized and compared to results in the existing literature. Given the posterior distributions, the NKDSGE models are evaluated with tools that determine which is most favored by the data. We also give a short history of DSGE model estimation as well as pointing to issues that are at the frontier of this research.

Computational Investigations of Biomolecular Mechanisms in Genomic Replication, Repair and Transcription

High fidelity maintenance of the genome is imperative to ensuring stability and proliferation of cells. The genetic material (DNA) of a cell faces a constant barrage of metabolic and environmental assaults throughout the its lifetime, ultimately leading to DNA damage. Left unchecked, DNA damage can result in genomic instability, inviting a cascade of mutations that initiate cancer and other aging disorders. Thus, a large area of focus has been dedicated to understanding how DNA is damaged, repaired, expressed and replicated. At the heart of these processes lie complex macromolecular dynamics coupled with intricate protein-DNA interactions. Through advanced computational techniques it has become possible to probe these mechanisms at the atomic level, providing a physical basis to describe biomolecular phenomena. To this end, we have performed studies aimed at elucidating the dynamics and interactions intrinsic to the functionality of biomolecules critical to maintaining genomic integrity: modeling the DNA editing mechanism of DNA polymerase III, uncovering the DNA damage recognition/repair mechanism of thymine DNA glycosylase and linking genetic disease to the functional dynamics of the pre-initiation complex transcription machinery. Collectively, our results elucidate the dynamic interplay between proteins and DNA, further broadening our understanding of these complex processes involved with genomic maintenance