Estimation of the parameters of sampled-data systems by stochastic approximation
Parameter estimation of sampled data control systems by stochastic approximation
Neal, C. B.↗
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Estimation of characteristics and stochastic control of an aircraft flying in atmospheric turbulence
An adaptive control technique to improve the flying qualities of an aircraft in turbulence was investigated. The approach taken was to obtain maximum likelihood estimates of the unknown coefficients of the aircraft system and then, using these estimates along with the separation principle, to define the stochastic optimal control. The maximum likelihood estimation technique that accounted for the effects of turbulence provided good estimates of the unknown coefficients and of the turbulence. The assessment of the stochastic optimal control based on the maximum likelihood estimates showed that the desired effects were attained for the regulator problem of minimizing pitch angle and the tracking problem of requiring normal acceleration to follow the pilot input.
Iliff, K. W.↗
An iterative stochastic ensemble method for parameter estimation of subsurface flow models
Parameter estimation for subsurface flow models is an essential step for maximizing the value of numerical simulations for future prediction and the development of effective control strategies. We propose the iterative stochastic ensemble method (ISEM) as a general method for parameter estimation based on stochastic estimation of gradients using an ensemble of directional derivatives. ISEM eliminates the need for adjoint coding and deals with the numerical simulator as a blackbox. The proposed method employs directional derivatives within a Gauss–Newton iteration. The update equation in ISEM resembles the update step in ensemble Kalman filter, however the inverse of the output covariance matrix in ISEM is regularized using standard truncated singular value decomposition or Tikhonov regularization. We also investigate the performance of a set of shrinkage based covariance estimators within ISEM. The proposed method is successfully applied on several nonlinear parameter estimation problems for subsurface flow models. The efficiency of the proposed algorithm is demonstrated by the small size of utilized ensembles and in terms of error convergence rates.
97 MATHEMATICS AND COMPUTING↗
The role and use of the stochastic linear-quadratic-Gaussian problem in control system design.
The role of the linear-quadratic stochastic control problem in engineering design is reviewed in tutorial fashion. The design approach is motivated by considering the control of a nonlinear uncertain plant about a desired input-output response. It is demonstrated how a design philosophy based on (1) deterministic perturbation control, (2) stochastic state estimation, and (3) linearized stochastic control leads to an overall closed-loop control system. The emphasis of the paper is on the philosophy of the design process, the modeling issue, and the formulation of the problem; the results are given for the sake of completeness, but no proofs are included. The systematic off-line nature of the design process is stressed throughout.
Athans, M.↗
Identification of human operator models by stochastic approximation
Human operator models parameter estimation by stochastic approximation, considering continuous and sampled data models
Bekey, G. A.↗
Control of nonlinear stochastic systems using adaptive estimation
A general procedure for the design of a digital controller for nonlinear stochastic systems is presented; the emphasis is on development of partitioned-adaptive control techniques which provide rapid tracking of the system state vector to follow rapid trajectory variations. Tests involving the control of a low-order nonlinear oscillator suggest that the procedure yields an effective method for achieving closed-loop performance, despite the difficulty of the control problem
Vanlandingham, H. F.↗
Sampling errors for satellite-derived tropical rainfall - Monte Carlo study using a space-time stochastic model
Estimates of monthly average rainfall based on satellite observations from a low earth orbit will differ from the true monthly average because the satellite observes a given area only intermittently. This sampling error inherent in satellite monitoring of rainfall would occur even if the satellite instruments could measure rainfall perfectly. The size of this error is estimated for a satellite system being studied at NASA, the Tropical Rainfall Measuring Mission (TRMM). First, the statistical description of rainfall on scales from 1 to 1000 km is examined in detail, based on rainfall data from the Global Atmospheric Research Project Atlantic Tropical Experiment (GATE). A TRMM-like satellite is flown over a two-dimensional time-evolving simulation of rainfall using a stochastic model with statistics tuned to agree with GATE statistics. The distribution of sampling errors found from many months of simulated observations is found to be nearly normal, even though the distribution of area-averaged rainfall is far from normal. For a range of orbits likely to be employed in TRMM, sampling error is found to be less than 10 percent of the mean for rainfall averaged over a 500 x 500 sq km area.
Bell, Thomas L.↗
Stochastic approximation algorithms for system identification, estimation, and decomposition of mixtures.
Stochastic approximation procedure minimizing mean square error criterion for system identification, estimation and decomposition of mixtures
Fu, K. S.↗
The Effects of Stochastic Velocity Variations on Estimating Time Dependent Seismic Moment Tensors: Applications to the Blue Mountain Well Perforation Data
Resolving the time dependent terms in the seismic moment tensor provides important information that can be used to interpret the source process of an explosion, including the separation of isotropic explosion terms from shear forces and potentially isolated force couples. In this report, we detail our method of inverting three component seismic data for the seismic moment tensor. We review possible seismic source models from the simplest isotropic explosion type source to those incorporating the six independent moment tensor terms. The inversion we describe is formulated in the frequency domain, and results in estimates of time dependent moment tensor components. The inversion relies on an accurate estimate of the Green's functions of the Earth. However, given the complexity of the Earth, we explore the effects of inaccuracies in the presumed Earth model used to estimate the Green's functions needed for the inversion. Specifically, we explore the effects of stochastic variations in the Earth models on the inversion results. These tests are synthetic throughout, and show that adding stochastic density/velocity heterogeneity in the presumed Earth model results in reduced amplitude seismic moment tensor estimates, as well as degrading the data misfit. We suggest two mitigation strategies. First, produce a suite of Green's functions using different realizations of the stochastic field within the Earth Model. Secondly, perform the in- version in the power spectral domain, eliminating all phase information. Finally, we analyze actual seismic data collected in winter 2017/2018. The seismic data was collected at in active geothermal well site outside of Winnimucca, NV, and was produced during well stimulation operations. In general, the inversion results were poor, with a high degree of data misfit. We hypothesize that the poor results are a function of a poorly constrained Earth model as well as noisy, high-frequency data being used in the inversion.
58 GEOSCIENCES↗
Predictive RANS simulations via Bayesian Model-Scenario Averaging
The turbulence closure model is the dominant source of error in most Reynolds-Averaged Navier–Stokes simulations, yet no reliable estimators for this error component currently exist. Here we develop a stochastic, a posteriori error estimate, calibrated to specific classes of flow. It is based on variability in model closure coefficients across multiple flow scenarios, for multiple closure models. The variability is estimated using Bayesian calibration against experimental data for each scenario, and Bayesian Model-Scenario Averaging (BMSA) is used to collate the resulting posteriors, to obtain a stochastic estimate of a Quantity of Interest (QoI) in an unmeasured (prediction) scenario. The scenario probabilities in BMSA are chosen using a sensor which automatically weights those scenarios in the calibration set which are similar to the prediction scenario. The methodology is applied to the class of turbulent boundary-layers subject to various pressure gradients. For all considered prediction scenarios the standard-deviation of the stochastic estimate is consistent with the measurement ground truth. Furthermore, the mean of the estimate is more consistently accurate than the individual model predictions.
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
Stochastic approximation algorithms for system identification, estimation, and decomposition of mixtures.
Stochastic approximation algorithms derived to identify memoryless systems and obtain decomposition of mixtures of probability density functions
Fu, K. S.↗
Stochastic robustness of linear control systems
A simple numerical procedure for estimating the stochastic robustness of a linear, time-invariant system is described. Monte Carlo evaluation of the system's eigenvalues allows the probability of instability and the related stochastic root locus to be estimated. This definition of robustness is an alternative to existing deterministic definitions that address both structured and unstructured parameter variations directly. This analysis approach treats not only Gaussian parameter uncertainties but non-Gaussian cases, including uncertain-but-bounded variations. Trivial extensions of the procedure admit alternate discriminants to be considered. Thus, the probabilities that stipulated degrees of instability will be exceeded or that closed-loop roots will leave desirable regions also can be estimated. Results are particularly amenable to graphical presentation.
Stengel, Robert F.↗
Variance estimates for transport in stochastic media by means of the master equation
The master equation has been used to examine properties of transport in stochastic media. It has been shown previously that not only may the Levermore-Pomraning (LP) model be derived from the master equation for a description of ensemble-averaged transport quantities, but also that equations describing higher-order statistical moments may be obtained. We examine in greater detail the equations governing the second moments of the distribution of the angular fluxes, from which variances may be computed. We introduce a simple closure for these equations, as well as several models for estimating the variances of derived transport quantities. We revisit previous benchmarks for transport in stochastic media in order to examine the error of these new variance models. We find, not surprisingly, that the errors in these variance estimates are at least as large as the corresponding estimates of the average, and sometimes much larger. We also identify patterns in these variance estimates that may help guide the construction of more accurate models. (authors)
97 MATHEMATICS AND COMPUTING↗
Analysis of bilinear stochastic systems
Analysis of stochastic dynamical systems that involve multiplicative (bilinear) noise processes is considered. After defining the systems of interest, the evolution of the moments of such systems, the question of stochastic stability, and estimation for bilinear stochastic systems are discussed. Both exact and approximate methods of analysis are introduced, and, in particular, the uses of Lie-theoretic concepts and harmonic analysis are discussed.
Willsky, A. S.↗
Analysis of bilinear stochastic systems
Analysis of stochastic dynamical systems that involve multiplicative (bilinear) noise processes. After defining the systems of interest, consideration is given to the evolution of the moments of such systems, the question of stochastic stability, and estimation for bilinear stochastic systems. Both exact and approximate methods of analysis are introduced, and, in particular, the uses of Lie-theoretic concepts and harmonic analysis are discussed.
Willsky, A. S.↗
A nonlinear perturbation theory for estimation and control of time discrete stochastic systems
Nonlinear perturbation theory for optimal estimation and control of time-discrete, stochastic, dynamic systems when measurement data is noisy
Sorenson, H. W.↗
Absolute value optimization to estimate phase properties of stochastic time series
Most existing deconvolution techniques are incapable of determining phase properties of wavelets from time series data; to assure a unique solution, minimum phase is usually assumed. It is demonstrated, for moving average processes of order one, that deconvolution filtering using the absolute value norm provides an estimate of the wavelet shape that has the correct phase character when the random driving process is nonnormal. Numerical tests show that this result probably applies to more general processes.
Scargle, J. D.↗
Stochastic robustness of linear time-invariant control systems
A simple numerical procedure for estimating the stochastic robustness of a linear, time-invariant system is described. Monte Carlo evaluation of the system's eigenvalues allows the probability of instability and the related stochastic root locus to be estimated. This definition of robustness is an alternative to existing deterministic definitions that address both structured and unstructured parameter variations directly. This analysis approach treats not only Gaussian parameter uncertainties but also non-Gaussian cases, including uncertain-but-bounded variations. Trivial extensions of the procedure permit alternate discriminants to be considered. Thus the probabilities that stipulated degrees of instability will be exceeded or that closed-loop roots will leave desirable regions can also be estimated. Results are particularly amenable to graphical presentation.
Stengel, Robert F.↗