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Results for “Non-Gaussian stochastic systems”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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7 records
All sourcesNASA NTRSDOE OSTI
DOE OSTI2024

Minimum entropy filtering for a single output non-Gaussian stochastic system using state transformation

This paper presents a novel filter design for the single-output stochastic non-linear systems subjected to non-Gaussian noises and the proposed assumptions. Based on a state transformation, the unmeasurable states of the systems can be estimated where non-linear terms in the systems have been eliminated. It has been shown that the estimation error is linearly dynamical regarding to the presented vector-valued filter gain which can be optimised by minimising the entropy-based performance criterion. In addition, the convergence of the presented algorithm is analysed in mean-square sense and a numerical example is given to verify the effectiveness of the presented filtering algorithm. Meanwhile, the extended Kalman filter, unscented particle filter and minimum entropy filter are given for the comparisons of the filtering performance. Following the presented framework, some extensions of the presented filtering algorithm are discussed to indicate the flexibility of the filter design. The contribution of this paper can be summarised as establishing a novel minimum entropy filtering framework which consists of model transformation, entropy optimisation and convergence analysis.

42 ENGINEERING↗
DOE OSTI2024

Stochastic Distribution Control Theory-Its Potential Application in Risk Management in Financial Systems

Stochastic Distribution Control (SDC) theory [1], originated by the author in 1996, aims at developing modeling and control strategies for dynamic and non-Gaussian stochastic systems by controlling the shape of the probability density functions of some concerned variables and parameters in stochastic systems. It generalizes the capability of standard stochastic differential equations and can therefore be applied to generic non-Gaussian systems. Since it was established in 1996, it has found a wide spectrum of applications in non-Gaussian stochastic system control, data mining, filtering and optimization for uncertain systems. In this short opinion article, discussions will be made on potential applications of SDC theory to financial systems in terms of risk analysis and management.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

Data-driven Minimum Entropy Control for Stochastic Nonlinear Systems using the Cumulant-Generating Function

Here, we present a novel minimum entropy control algorithm for a class of stochastic nonlinear systems subjected to non-Gaussian noises. The entropy control can be considered as an optimization problem for the system randomness attenuation, but the mean value has to be considered separately. To overcome this disadvantage, a new representation of the system stochastic properties was given using the cumulant-generating function based on the moment-generating function, in which the mean value and the entropy was reflected by the shape of the cumulant-generating function. Based on the samples of the system output and control input, a time-variant linear model was identified, and the minimum entropy optimization was transformed to system stabilization. Then, an optimal control strategy was developed to achieve the randomness attenuation, and the boundedness of the controlled system output was analyzed. The effectiveness of the presented control algorithm was demonstrated by a numerical example. In this paper, a data-driven minimum entropy design is presented without pre-knowledge of the system model; entropy optimization is achieved by the system stabilization approach in which the stochastic distribution control and minimum entropy are unified using the same identified structure; and a potential framework is obtained since all the existing system stabilization methods can be adopted to achieve the minimum entropy objective.

42 ENGINEERING↗
DOE OSTI2022

Extracting forces from noisy dynamics in dusty plasmas

Extracting environmental forces from noisy data is a common yet challenging task in complex physical systems. Machine learning (ML) represents a robust approach to this problem, yet is mostly tested on simulated data with known parameters. Here we use supervised ML to extract the electrostatic, dissipative, and stochastic forces acting on micron-sized charged particles levitated in an argon plasma (dusty plasma). By tracking the sub-pixel motion of particles in subsequent images, we successfully estimated these forces from their random motion. The experiments contained important sources of non-Gaussian noise, such as drift and pixel-locking, representing a data mismatch from methods used to analyze simulated data with purely Gaussian noise. Our model was trained on simulated particle trajectories that included all of these artifacts, and used more than 100 dynamical and statistical features, resulting in a prediction with 50\% better accuracy than conventional methods. Lastly, in systems with two interacting particles, the model provided non-contact measurements of the particle charge and Debye length in the plasma environment.

70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
DOE OSTI2023

Integrability Breaking from Backscattering

Herein we analyze the onset of diffusive hydrodynamics in the one-dimensional hard-rod gas subject to stochastic backscattering. While this perturbation breaks integrability and leads to a crossover from ballistic to diffusive transport, it preserves infinitely many conserved quantities corresponding to even moments of the velocity distribution of the gas. In the limit of small noise, we derive the exact expressions for the diffusion and structure factor matrices, and show that they generically have off diagonal components. We find that the particle density structure factor is non-Gaussian and singular near the origin, with a return probability showing logarithmic deviations from diffusion.

75 CONDENSED MATTER PHYSICS, SUPERCONDUCTIVITY AND↗
DOE OSTI2023

Subordinated Gaussian Processes for Solar Irradiance

Traditionally the power grid has been a one-way street with power flowing from large transmission-connected generators through the distribution network to consumers. This paradigm is changing with the introduction of distributed renewable energy resources (DERs), and with it, the way the grid is managed. There is currently a dearth of high fidelity solar irradiance datasets available to help grid researchers understand how expansion of DERs could affect future power system operations. Realistic simulations of by-the-second solar irradiances are needed to study how DER variability affects the grid. Irradiance data are highly non-stationary and non-Gaussian, and even modern time series models are challenged by their distributional properties. We develop a subordinated non-Gaussian stochastic model whose simulations realistically capture the distribution and dependence structure in measured irradiance. We illustrate our approach on a fine resolution dataset from Hawaii, where our approach outperforms standard nonlinear time series models.

MATHEMATICS AND COMPUTING,SOLAR ENERGY↗
DOE OSTI2022

A survey of unsupervised learning methods for high-dimensional uncertainty quantification in black-box-type problems

Constructing surrogate models for uncertainty quantification (UQ) on complex partial differential equations (PDEs) having inherently high-dimensional O(10 n ), n ≥ 2, stochastic inputs (e.g., forcing terms, boundary conditions, initial conditions) poses tremendous challenges. The “curse of dimensionality” can be addressed with suitable unsupervised learning techniques used as a pre-processing tool to encode inputs onto lower-dimensional subspaces while retaining its structural information and meaningful properties. In this work, we review and investigate thirteen dimension reduction methods including linear and nonlinear, spectral, blind source separation, convex and non-convex methods and utilize the resulting embeddings to construct a mapping to quantities of interest via polynomial chaos expansions (PCE). Here, we refer to the general proposed approach as manifold PCE (m-PCE), where manifold corresponds to the latent space resulting from any of the studied dimension reduction methods. To investigate the capabilities and limitations of these methods we conduct numerical tests for three physics-based systems (treated as black-boxes) having high-dimensional stochastic inputs of varying complexity modeled as both Gaussian and non-Gaussian random fields to investigate the effect of the intrinsic dimensionality of input data. We demonstrate both the advantages and limitations of the unsupervised learning methods and we conclude that a suitable m-PCE model provides a cost-effective approach compared to alternative algorithms proposed in the literature, including recently proposed expensive deep neural network-based surrogates and can be readily applied for high-dimensional UQ in stochastic PDEs.

42 ENGINEERING↗