Sharp minimax tests for large covariance matrices and adaptation

We consider the detection problem of correlations in a $p$-dimensional Gaussian vector, when we observe $n$ independent, identically distributed random vectors, for $n$ and $p$ large. We assume that the covariance matrix varies in some ellipsoid with parameter $\alpha >1/2$ and total energy bounded by $L>0$. We propose a test procedure based on a U-statistic of order 2 which is weighted in an optimal way. The weights are the solution of an optimization problem, they are constant on each diagonal and non-null only for the $T$ first diagonals, where $T=o(p)$. We show that this test statistic is asymptotically Gaussian distributed under the null hypothesis and also under the alternative hypothesis for matrices close to the detection boundary. We prove upper bounds for the total error probability of our test procedure, for $\alpha>1/2$ and under the assumption $T=o(p)$ which implies that $n=o(p^{ 2 \alpha})$. We illustrate via a numerical study the behavior of our test procedure. Moreover, we prove lower bounds for the maximal type II error and the total error probabilities. Thus we obtain the asymptotic and the sharp asymptotically minimax separation rate $\tilde{\varphi} = (C(\alpha, L) n^2 p )^{- \alpha/(4 \alpha + 1)}$, for $\alpha>3/2$ and for $\alpha >1$ together with the additional assumption $p= o(n^{4 \alpha -1})$, respectively. We deduce rate asymptotic minimax results for testing the inverse of the covariance matrix. We construct an adaptive test procedure with respect to the parameter $\alpha$ and show that it attains the rate $\tilde{\psi}= ( n^2 p / \ln\ln(n \displaystyle\sqrt{p}) )^{- \alpha/(4 \alpha + 1)}$

Spreading of non-planar non-axisymmetric gravity and turbidity currents

The dynamics of non-axisymmetric turbidity currents is considered here. The study comprises a series of experiments for which a finite volume of particle-laden solution is released into fresh water. A mixture of water and polystyrene particles of diameter 280<Dp<315μm and density ρc=1007Kg/m3 is initially confined in a hollow cylinder at the center of a large tank filled with fresh water. Cylinders with four different cross-sections are examined: a circle, a plus-shape, a rectangle and a rounded rectangle in which the sharp corners are smoothened. The time evolution of the front is recorded as well the spatial distribution of the thickness of the final deposit via the use of a laser triangulation technique. The dynamics of the front and final deposit are significantly influenced by the initial geometry, displaying substantial azimuthal variation especially for the rectangular case where the current extends farther and deposits more particles along the initial minor axis of the rectangular cross section. Interestingly, this departure from axisymmetry cannot be predicted by current theoretical methods such as the Box Model. Several parameters are varied to assess the dependence on the settling velocity, initial height aspect ratio, local curvature and mixture density

On the spreading and instability of gravity current fronts of arbitrary shape

Experiments, simulations and theoretical analysis were carried out to study the influence of geometry on the spreading of gravity currents. The horizontal spreading of three different intial planforms of initial release were investigated: an extended ellipse, a cross, and a circle. The experiments used a pulley system for a swift nearly instantaneous release. The case of the axisymmetric cylinder compared favorably with earlier simulations. We ran experiments for multiple aspect ratios for all three configurations. Perhaps the most intriguing of the three cases is the ``ellipse,'' which within a short period of release flipped the major and minor axes. This behavior cannot be captured by current theoretical methods (such as the Box Model). These cases have also been investigated using shallow water and direct numerical simulations. Also, in this study, we investigate the possibility of a Rayleigh-Taylor (RT) instability of the radially moving, but decelerating front. We present a simple theoretical framework based on the inviscid Shallow Water Equations. The theoretical results are supplemented and compared to highly resolved three-dimensional simulations with the Boussinesq approximation

Identifcation stable et reconstruction robuste de signaux non stationnaires à échantillons manquants

National audienceOn souhaite reconstruire en ligne un signal à échantillons manquants. Lorsque la perte est élevée les méthodes existantes peuvent conduire à l'identifcation de modèles instables. Nous proposons, à notre connaissance, le premier algorithme qui permet le traitement en ligne des signaux à échantillons manquants utilisant la structure en treillis du filtre. La robustesse à un fort taux de perte et la stabilité du modèle ainsi identifié sont garanties. Les performances de ce nouvel algorithme dépassent celles des algorithmes existants et ce d'autant plus que la probabilité de perte est forte

Dynamics of non-circular finite release gravity currents

The present work reports some new aspects of non-axisymmetric gravity currents obtained from laboratory experiments, fully resolved simulations and box models. Following the earlier work [Zgheib et al. 2014 Theor. Comput. Fluid Dyn. 28, 521-529] which demonstrated that gravity currents initiating from non-axisymmetric cross-sectional geometries do not become axisymmetric, nor do they retain their initial shape during the slumping and inertial phases of spreading, we show that such non-axisymmetric currents eventually reach a self-similar regime during which (i) the local front propagation scales as t^(1/2) as in circular releases and (ii) the non-axisymmetric front has a self-similar shape that primarily depends on the aspect ratio of the initial release. Complementary experiments of non-Boussinesq currents and top-spreading currents suggest that this self-similar dynamics is independent of the density ratio, vertical aspect ratio, wall friction, and Reynolds number, provided Re is large, i.e., Re≥Ο(10^4). The local instantaneous front Froude number obtained from the fully-resolved simulations is compared to existing models of Froude functions. The recently reported extended box model (EBM) is capable of capturing the dynamics of such non-axisymmetric flows. Here we use the EBM to propose a relation for the self-similar horizontal aspect ratio χ_∞ of the propagating front as a function of the initial horizontal aspect ratioχ_0, namely χ_∞=1+(1/3)ln χ_0. The experimental and numerical results are in good agreement with the proposed relation

Propagation and deposition of non-circular finite release particle-laden currents

The dynamics of non-axisymmetric turbidity currents is considered here for a range of Reynolds numbers of O(10^4) when based on the initial height of the release. The study comprises a series of experiments and highly resolved simulations for which a finite volume of particle-laden solution is released into fresh water. A mixture of water and polystyrene particles of mean diameter dp=300 μm and mixture density ρc=1012 kg/m^3 is initially confined in a hollow cylinder at the centre of a large tank filled with fresh water. Cylinders with two different cross-sectional shapes, but equal cross-sectional areas, are examined: a circle and a rounded rectangle in which the sharp corners are smoothened. The time evolution of the front is recorded as well as the spatial distribution of the thickness of the final deposit via the use of a laser triangulation technique. The dynamics of the front and final deposit are significantly influenced by the initial geometry, displaying substantial azimuthal variation especially for the rectangular case where the current extends farther and deposits more particles along the initial minor axis of the rectangular cross-section. Several parameters are varied to assess the dependence on the settling velocity, initial height aspect ratio and volume fraction. Even though resuspension is not taken into account in our simulations, good agreement with experiments indicates that it does not play an important role in the front dynamics, in terms of velocity and extent of the current. However, wall shear stress measurements show that incipient motion of particles and particle transport along the bed are likely to occur in the body of the current and should be accounted to properly capture the final deposition profile of particles

NEW FAST ALGORITHM FOR SIMULTANEOUS IDENTIFICATION AND OPTIMAL RECONSTRUCTION OF NON STATIONARY AR PROCESSES WITH MISSING OBSERVATIONS

International audienceThis paper deals with the problem of adaptive reconstruction and identification of AR processes with randomlymissing observations. A new real time algorithm is proposed. It uses combined pseudo-linear RLS algorithm and Kalman filter. It offers an unbiased estimation of the AR parameters and an optimal reconstruction error in the least mean square sense. In addition, thanks to the pseudo-linear RLS identification, this algorithm can be used for the identification of non stationary AR signals. Moreover, simplifications of the algorithm reduces the calculation time, thus this algorithm can be used in real time applications

Adaptive transmission for lossless image reconstruction

International audienceThis paper deals with the problem of adaptive digital transmission systems for lossless reconstruction. A new system, based on the principle of non-uniform transmission, is proposed. It uses a recently proposed algorithm for adaptive stable identification and robust reconstruction of AR processes subject to missing data. This algorithm offers at the same time an unbiased estimation of the model's parameters and an optimal reconstruction in the least mean square sense. It is an extension of the RLSL algorithm to the case of missing observations combined with a Kalman filter for the prediction. This algorithm has been extended to 2D signals. The proposed method has been applied for lossless image compression. It has shown an improvement in bit rate transmission compared to the JPEG2000 standard