Exact Spectral Analysis of Single-h and Multi-h CPM Signals through PAM decomposition and Matrix Series Evaluation

In this paper we address the problem of closed-form spectral evaluation of CPM. We show that the multi-h CPM signal can be conveniently generated by a PTI SM. The output is governed by a Markov chain with the unusual peculiarity of being cyclostationary and reducible; this holds also in the single-h context. Judicious reinterpretation of the result leads to a formalization through a stationary and irreducible Markov chain, whose spectral evaluation is known in closed-form from the literature. Two are the major outcomes of this paper. First, unlike the literature, we obtain a PSD in true closed-form. Second, we give novel insights into the CPM format.Comment: 31 pages, 10 figure

Individual risk in mean-field control models for decentralized control, with application to automated demand response

Flexibility of energy consumption can be harnessed for the purposes of ancillary services in a large power grid. In prior work by the authors a randomized control architecture is introduced for individual loads for this purpose. In examples it is shown that the control architecture can be designed so that control of the loads is easy at the grid level: Tracking of a balancing authority reference signal is possible, while ensuring that the quality of service (QoS) for each load is acceptable on average. The analysis was based on a mean field limit (as the number of loads approaches infinity), combined with an LTI-system approximation of the aggregate nonlinear model. This paper examines in depth the issue of individual risk in these systems. The main contributions of the paper are of two kinds: Risk is modeled and quantified: (i) The average performance is not an adequate measure of success. It is found empirically that a histogram of QoS is approximately Gaussian, and consequently each load will eventually receive poor service. (ii) The variance can be estimated from a refinement of the LTI model that includes a white-noise disturbance; variance is a function of the randomized policy, as well as the power spectral density of the reference signal. Additional local control can eliminate risk: (iii) The histogram of QoS is truncated through this local control, so that strict bounds on service quality are guaranteed. (iv) This has insignificant impact on the grid-level performance, beyond a modest reduction in capacity of ancillary service.Comment: Publication without appendix to appear in the 53rd IEEE Conf. on Decision and Control, December, 201

Markov analysis of stochastic resonance in a periodically driven integrate-fire neuron

We model the dynamics of the leaky integrate-fire neuron under periodic stimulation as a Markov process with respect to the stimulus phase. This avoids the unrealistic assumption of a stimulus reset after each spike made in earlier work and thus solves the long-standing reset problem. The neuron exhibits stochastic resonance, both with respect to input noise intensity and stimulus frequency. The latter resonance arises by matching the stimulus frequency to the refractory time of the neuron. The Markov approach can be generalized to other periodically driven stochastic processes containing a reset mechanism.Comment: 23 pages, 10 figure

Using Markov chain Monte Carlo methods for estimating parameters with gravitational radiation data

We present a Bayesian approach to the problem of determining parameters for coalescing binary systems observed with laser interferometric detectors. By applying a Markov Chain Monte Carlo (MCMC) algorithm, specifically the Gibbs sampler, we demonstrate the potential that MCMC techniques may hold for the computation of posterior distributions of parameters of the binary system that created the gravity radiation signal. We describe the use of the Gibbs sampler method, and present examples whereby signals are detected and analyzed from within noisy data.Comment: 21 pages, 10 figure

A Bayesian Approach to the Detection Problem in Gravitational Wave Astronomy

The analysis of data from gravitational wave detectors can be divided into three phases: search, characterization, and evaluation. The evaluation of the detection - determining whether a candidate event is astrophysical in origin or some artifact created by instrument noise - is a crucial step in the analysis. The on-going analyses of data from ground based detectors employ a frequentist approach to the detection problem. A detection statistic is chosen, for which background levels and detection efficiencies are estimated from Monte Carlo studies. This approach frames the detection problem in terms of an infinite collection of trials, with the actual measurement corresponding to some realization of this hypothetical set. Here we explore an alternative, Bayesian approach to the detection problem, that considers prior information and the actual data in hand. Our particular focus is on the computational techniques used to implement the Bayesian analysis. We find that the Parallel Tempered Markov Chain Monte Carlo (PTMCMC) algorithm is able to address all three phases of the anaylsis in a coherent framework. The signals are found by locating the posterior modes, the model parameters are characterized by mapping out the joint posterior distribution, and finally, the model evidence is computed by thermodynamic integration. As a demonstration, we consider the detection problem of selecting between models describing the data as instrument noise, or instrument noise plus the signal from a single compact galactic binary. The evidence ratios, or Bayes factors, computed by the PTMCMC algorithm are found to be in close agreement with those computed using a Reversible Jump Markov Chain Monte Carlo algorithm.Comment: 19 pages, 12 figures, revised to address referee's comment

Data series subtraction with unknown and unmodeled background noise

LISA Pathfinder (LPF), ESA's precursor mission to a gravitational wave observatory, will measure the degree to which two test-masses can be put into free-fall, aiming to demonstrate a residual relative acceleration with a power spectral density (PSD) below 30 fm/s$^2$/Hz$^{1/2}$ around 1 mHz. In LPF data analysis, the measured relative acceleration data series must be fit to other various measured time series data. This fitting is required in different experiments, from system identification of the test mass and satellite dynamics to the subtraction of noise contributions from measured known disturbances. In all cases, the background noise, described by the PSD of the fit residuals, is expected to be coloured, requiring that we perform such fits in the frequency domain. This PSD is unknown {\it a priori}, and a high accuracy estimate of this residual acceleration noise is an essential output of our analysis. In this paper we present a fitting method based on Bayesian parameter estimation with an unknown frequency-dependent background noise. The method uses noise marginalisation in connection with averaged Welch's periodograms to achieve unbiased parameter estimation, together with a consistent, non-parametric estimate of the residual PSD. Additionally, we find that the method is equivalent to some implementations of iteratively re-weighted least-squares fitting. We have tested the method both on simulated data of known PSD, and to analyze differential acceleration from several experiments with the LISA Pathfinder end-to-end mission simulator.Comment: To appear Phys. Rev. D90 August 201

Characterization of Model-Based Detectors for CPS Sensor Faults/Attacks

A vector-valued model-based cumulative sum (CUSUM) procedure is proposed for identifying faulty/falsified sensor measurements. First, given the system dynamics, we derive tools for tuning the CUSUM procedure in the fault/attack free case to fulfill a desired detection performance (in terms of false alarm rate). We use the widely-used chi-squared fault/attack detection procedure as a benchmark to compare the performance of the CUSUM. In particular, we characterize the state degradation that a class of attacks can induce to the system while enforcing that the detectors (CUSUM and chi-squared) do not raise alarms. In doing so, we find the upper bound of state degradation that is possible by an undetected attacker. We quantify the advantage of using a dynamic detector (CUSUM), which leverages the history of the state, over a static detector (chi-squared) which uses a single measurement at a time. Simulations of a chemical reactor with heat exchanger are presented to illustrate the performance of our tools.Comment: Submitted to IEEE Transactions on Control Systems Technolog