Bounded state space

This investigation is divided functionally into three different areas: (1) study of bounded state space, (2) nonlinear smoothing theory, and (3) system identification. (1) Study of bounded state space: necessary and sufficient conditions for an optimal control are obtained for a bounded state space optimal control problem. The difficulty of determining the so-called jump conditions is eliminated; however, the problem of determining the points where the response either enters or leaves the boundary still remains unsolved. (2) Nonlinear smoothing theory: nonlinear fixed-interval, fixed-point and fixed-lag smoothing of a random signal generated by a stochastic differential equation are investigated. Results on the asymptotic stability of a linear constant-parameter fixed-interval smoothing filter are obtained. (3) System identification: a particular stochastic modelling problem is solved. An Ito stochastic integral equation is used to mathematically model a black box having multiple inputs and multiple outputs. A new method for identifying system parameters is presented

Doubly Robust Smoothing of Dynamical Processes via Outlier Sparsity Constraints

Coping with outliers contaminating dynamical processes is of major importance in various applications because mismatches from nominal models are not uncommon in practice. In this context, the present paper develops novel fixed-lag and fixed-interval smoothing algorithms that are robust to outliers simultaneously present in the measurements {\it and} in the state dynamics. Outliers are handled through auxiliary unknown variables that are jointly estimated along with the state based on the least-squares criterion that is regularized with the $\ell_1$-norm of the outliers in order to effect sparsity control. The resultant iterative estimators rely on coordinate descent and the alternating direction method of multipliers, are expressed in closed form per iteration, and are provably convergent. Additional attractive features of the novel doubly robust smoother include: i) ability to handle both types of outliers; ii) universality to unknown nominal noise and outlier distributions; iii) flexibility to encompass maximum a posteriori optimal estimators with reliable performance under nominal conditions; and iv) improved performance relative to competing alternatives at comparable complexity, as corroborated via simulated tests.Comment: Submitted to IEEE Trans. on Signal Processin

DTI denoising for data with low signal to noise ratios

Low signal to noise ratio (SNR) experiments in diffusion tensor imaging (DTI) give key information about tracking and anisotropy, e. g., by measurements with small voxel sizes or with high b values. However, due to the complicated and dominating impact of thermal noise such data are still seldom analysed. In this paper Monte Carlo simulations are presented which investigate the distributions of noise for different DTI variables in low SNR situations. Based on this study a strategy for the application of spatial smoothing is derived. Optimal prerequisites for spatial filters are unbiased, bell shaped distributions with uniform variance, but, only few variables have a statistics close to that. To construct a convenient filter a chain of nonlinear Gaussian filters is adapted to peculiarities of DTI and a bias correction is introduced. This edge preserving three dimensional filter is then validated via a quasi realistic model. Further, it is shown that for small sample sizes the filter is as effective as a maximum likelihood estimator and produces reliable results down to a local SNR of approximately 1. The filter is finally applied to very recent data with isotropic voxels of the size 1×1×1mm^3 which corresponds to a spatially mean SNR of 2.5. This application demonstrates the statistical robustness of the filter method. Though the Rician noise model is only approximately realized in the data, the gain of information by spatial smoothing is considerable

Non-linear minimum variance estimation for discrete-time multi-channel systems

A nonlinear operator approach to estimation in discrete-time systems is described. It involves inferential estimation of a signal which enters a communications channel involving both nonlinearities and transport delays. The measurements are assumed to be corrupted by a colored noise signal which is correlated with the signal to be estimated. The system model may also include a communications channel involving either static or dynamic nonlinearities. The signal channel is represented in a very general nonlinear operator form. The algorithm is relatively simple to derive and to implement