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Wiener filtering theory for stationary ergodic inputs with known spectral densities and optimal control transfer functions of random-input nonlinear saturating systems with random unwanted disturbances
This work proposes a fast Monte Carlo method to solve differential equations utilized in model-based prognostics. The methodology is derived from the theory of stochastic calculus, and the goal of such a method is to speed up the estimation of the probability density functions describing the independent variable evolution over time. In the prognostic scenarios presented in this paper, the stochastic differential equations describe variables directly or indirectly related to the degradation of a monitored system. The method allows the estimation of the probability density functions by solving the deterministic equation and approximating the stochastic integrals using samples of the model noise. By so doing, the prognostic problem is solved without the Monte Carlo simulation based on Euler's forward method, which is typically the most time consuming task of the prediction stage. Three different prognostic scenarios are presented as proof of concept: (i) life prediction of electrolytic capacitors, (ii) remaining time to discharge of Lithium-ion batteries, and (iii) prognostic of cracked structures under fatigue loading. The paper shows how the method produces probability density functions that are statistically indistinguishable from the distributions estimated with Euler's forward Monte Carlo simulation. However, the proposed solution is orders of magnitude faster when computing the time-to-failure distribution of the monitored system. The approach may enable complex real-time prognostics and health management solutions with limited computing power.
This work proposes a fast Monte Carlo method to solve differential equations utilized in model-based prognostics. The methodology is derived from the theory of stochastic calculus, and the goal of such a method is to speed up the estimation of the probability density functions describing the independent variable evolution over time. In the prognostic scenarios presented in this paper, the stochastic differential equations describe variables directly or indirectly related to the degradation of a monitored system. The method allows the estimation of the probability density functions by solving the deterministic equation and approximating the stochastic integrals using samples of the model noise. By so doing, the prognostic problem is solved without the Monte Carlo simulation based on Euler's forward method, which is typically the most time consuming task of the prediction stage. Three different prognostic scenarios are presented as proof of concept: (i) life prediction of electrolytic capacitors, (ii) remaining time to discharge of Lithium-ion batteries, and (iii) prognostic of cracked structures under fatigue loading. The paper shows how the method produces probability density functions that are statistically indistinguishable from the distributions estimated with Euler's forward Monte Carlo simulation. However, the proposed solution is orders of magnitude faster when computing the time-to-failure distribution of the monitored system. The approach may enable complex real-time prognostics and health management solutions with limited computing power.
While great progress is being made in characterizing the 3-D structure of organized turbulent motions using conditional averaging analysis, there is a lack of theoretical guidance regarding the interpretation and utilization of such information. Questions concerning the significance of the structures, their contributions to various transport properties, and their dynamics cannot be answered without recourse to appropriate dynamical governing equations. One approach which addresses some of these questions uses the conditional fields as initial conditions and calculates their evolution from the Navier-Stokes equations, yielding valuable information about stability, growth, and longevity of the mean structure. To interpret statistical aspects of the structures, a different type of theory which deals with the structures in the context of their contributions to the statistics of the flow is needed. As a first step toward this end, an effort was made to integrate the structural information from the study of organized structures with a suitable statistical theory. This is done by stochastically estimating the two-point conditional averages that appear in the equation for the one-point probability density function, and relating the structures to the conditional stresses. Salient features of the estimates are identified, and the structure of the one-point estimates in channel flow is defined.
A new stochastic adaptive control structure is developed for the problem of combined parameter estimation and control of aerospace vehicles with changing parameters. Parameter uncertainties are modeled as first-order Gauss-Markov processes, and are introduced to the system dynamics through a small parameter. It is assumed that an accurate inertial measurement unit gives perfect measurements of the state variables. Since the stochastic system is assumed to be Gauss-Markov, the density function of the parameters given these measurements is conditionally Gaussian. Based on this conditionally Gaussian density, the problem of minimizing a quadratic cost over an infinite time horizon can be set up within the framework of stochastic optimal control theory. The optimal feedback control law is derived from a straightforward expansion of the Hamilton-Jacobi-Bellman equation, based on the LQG solution. The resulting nonlinear controller is applied to the pitch axis control of a space platform with uncertain moments of inertia and is shown to produce marked improvement over a fixed controller.
A basic result in estimation theory is that the minimum variance estimate of the dynamical state, given the observations, is the conditional mean estimate. This result holds independently of the specifics of any dynamical or observation nonlinearity or stochasticity, requiring only that the probability density function of the state, conditioned on the observations, has two moments. For nonlinear dynamics that conserve a total energy, this general result implies the principle of energetic consistency: if the dynamical variables are taken to be the natural energy variables, then the sum of the total energy of the conditional mean and the trace of the conditional covariance matrix (the total variance) is constant between observations. Ensemble Kalman filtering methods are designed to approximate the evolution of the conditional mean and covariance matrix. For them the principle of energetic consistency holds independently of ensemble size, even with covariance localization. However, full Kalman filter experiments with advection dynamics have shown that a small amount of numerical dissipation can cause a large, state-dependent loss of total variance, to the detriment of filter performance. The principle of energetic consistency offers a simple way to test whether this spurious loss of variance limits ensemble filter performance in full-blown applications. The classical second-moment closure (third-moment discard) equations also satisfy the principle of energetic consistency, independently of the rank of the conditional covariance matrix. Low-rank approximation of these equations offers an energetically consistent, computationally viable alternative to ensemble filtering. Current formulations of long-window, weak-constraint, four-dimensional variational methods are designed to approximate the conditional mode rather than the conditional mean. Thus they neglect the nonlinear bias term in the second-moment closure equation for the conditional mean. The principle of energetic consistency implies that, to precisely the extent that growing modes are important in data assimilation, this term is also important.
An adaptive detection scheme for M hypotheses was analyzed. It was assumed that the probability density function under each hypothesis was known, and that the prior probabilities of the M hypotheses were unknown and sequentially estimated. Each observation vector was classified using the current estimate of the prior probabilities. Using a set of nonlinear transformations, and applying stochastic approximation theory, an optimally converging adaptive detection and estimation scheme was designed. The optimality of the scheme lies in the fact that convergence to the true prior probabilities is ensured, and that the asymptotic error variance is minimum, for the class of nonlinear transformations considered. An expression for the asymptotic mean square error variance of the scheme was also obtained.
The temporal spectral density of the log-amplitude scintillation of a laser beam wave due to a spatially dependent vector-valued crosswind (deterministic as well as random) is evaluated. The path weighting functions for normalized spectral moments are derived, and offer a potential new technique for estimating the wind velocity profile. The Tatarskii-Klyatskin stochastic propagation equation for the Markov turbulence model is used with the solution approximated by the Rytov method. The Taylor 'frozen-in' hypothesis is assumed for the dependence of the refractive index on the wind velocity, and the Kolmogorov spectral density is used for the refractive index field.
The paper examines the mathematical and physical foundations for the kinetic theory of reactive turbulent flows, discussing the differences and relation between the kinetic and averaged equations, and comparing some solutions of the kinetic equations obtained by the Green's function method with those obtained by the approximate bimodal method. The kinetic method described consists essentially in constructing the probability density functions of the chemical species on the basis of solutions of the Langevin stochastic equation for the influence of eddies on the behavior of fluid elements. When the kinetic equations are solved for the structure of the diffusion flame established in a shear layer by the bimodal method, discontinuities in gradients of the mean concentrations at the two flame edges appear. This is a consequence of the bimodal approximation of all distribution functions by two dissimilar half-Maxwellian functions, which is a very crude approximation. These discontinuities do not appear when the solutions are constructed by the Green's function method described here.
A stochastic model of spacecraft motion was developed based on the assumption that the net torque vector due to crew activity and rocket thruster firings is a statistically stationary Gaussian vector process. The process had zero ensemble mean value, and the components of the torque vector were mutually stochastically independent. The linearized rigid-body equations of motion were used to derive the autospectral density functions of the components of the spacecraft rotation vector. The cross-spectral density functions of the components of the rotation vector vanish for all frequencies so that the components of rotation were mutually stochastically independent. The autospectral and cross-spectral density functions of the induced gravity environment imparted to scientific apparatus rigidly attached to the spacecraft were calculated from the rotation rate spectral density functions via linearized inertial frame to body-fixed principal axis frame transformation formulae. The induced gravity process was a Gaussian one with zero mean value. Transformation formulae were used to rotate the principal axis body-fixed frame to which the rotation rate and induced gravity vector were referred to a body-fixed frame in which the components of the induced gravity vector were stochastically independent. Rice's theory of exceedances was used to calculate expected exceedance rates of the components of the rotation and induced gravity vector processes.
The linear stability properties of collisionless drift instabilities are analyzed in a Harris equilibrium model of the plasma sheet boundary layer (PSBL). The strearmng ions with drift-type instabilities driven in the PSBL are considered. The fluid approximation leads to growth but predicts that the mode width approaches the gyroradius of the energetic ions. Thus an integral equation theory for the modes is developed taking into account that in the PSBL the curvature drift is weak compared with the grad-B drift. The exact wave particle resonance is kept in the nonlocal response functions. Plasma density, temperature, and magnetic gradient drift motions are taken into account. The drift modes produce an anomalous cross-field momentum transport mixing the PSBL ions on the time scale of tens of seconds. A nonlinear simulation is performed which shows the coalescence of the small scale, fast growing modes into large-scale vortices. The relation between these collective modes and plasma sheet transport phenomena is discussed including the comparison with the competing plasma mixing from single-particle stochasticity.
We search for gravitational-wave signals produced by cosmic strings in the Advanced LIGO and Virgo full O3 dataset. Search results are presented for gravitational waves produced by cosmic string loop features such as cusps, kinks, and, for the first time, kink-kink collisions. A template-based search for short-duration transient signals does not yield a detection. We also use the stochastic gravitational-wave background energy density upper limits derived from the O3 data to constrain the cosmic string tension Gμ as a function of the number of kinks, or the number of cusps, for two cosmic string loop distribution models. Additionally, we develop and test a third model that interpolates between these two models. Our results improve upon the previous LIGO–Virgo constraints on Gμ by 1 to 2 orders of magnitude depending on the model that is tested. In particular, for the one-loop distribution model, we set the most competitive constraints to date: Gμ ≲ 4×10−15. In the case of cosmic strings formed at the end of inflation in the context of grand unified theories, these results challenge simple inflationary models.
During the past four years, Prof. Kamionkowski and collaborators have made progress in research on the nature and distribution of dark-matter in the Universe and in the Galaxy, and on related topics in astrophysics and cosmology. We have made progress on research on the cosmic microwave background, large-scale structure, issues related to particle dark matter, and the gamma-ray-burst enigma. A significant fraction of the research supported by this ATP has been on the cosmic microwave background (CMB). Prof. Kamionkowski and collaborators showed how the polarization of the CMB could be used to detect long-wavelength gravitational waves, such as those produced by inflation. With Kosowsky, Prof. Kamionkowski calculated the amplitude of a stochastic gravitational-wave background that could be detected for a satellite experiment of a given sensitivity and angular resolution. They showed that polarization should improve the sensitivity oa MAP to these gravity waves, and that the Planck Surveyor should do even better. Prof. Kamionkowski, Caldwell, and a student calculated and illustrated the CMB temperature/polarization pattern produced by a single plane-wave gravitational wave. They calculated the amplitude of such a wave that would be detectable with MAP and Planck, and compared that with the sensitivity of traditional gravitational-wave detectors like LIGO and LISA. With Lue and Wang, the PI showed how parity violation from new high-energy physics could conceivably give rise to an observable signature in the CMB polarization. With Loeb, Prof. Kamionkowski showed how measurement of the polarization of CMB photons scattered by hot gas in a cluster could be used to determine the quadrupole moment of the CMB incident on that cluster. Prof. Kamionkowski and Jaffe calculated the amplitude of secondary anisotropies produced by scattering of CMB photons from reionized regions. Research has also been carried out on probing the large-scale distribution of mass in the Universe today, and on structure-formation theories. They investigated the possibility of determining the large-scale distribution of mass in the Universe via measurement of ellipticity-ellipticity correlations in the FIRST radio survey induced by weak gravitational lensing due to mass inhomogeneities along the line of sight. Dr. Summers, Prof. Kamionkowski, and a student investigated the distribution of protogalactic masses and angular momenta in an effort to understand how the luminosity function and angular-momentum distribution of disk galaxies arises from an initial power spectrum of density perturbations. Several projects related to the distribution and possible detection of dark matter in our Galactic halo were studied. The PI was involved in several projects involving the calculation of nuclear-reaction rates needed for stellar evolution and for predictions of solar-neutrino fluxes.