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All sourcesNASA NTRSDOE OSTI
DOE OSTI2019

Adaptive Reweighted Variance Estimation for Monte Carlo Eigenvalue Simulations

Monte Carlo (MC) simulation is used to solve the eigenvalue form of the Boltzmann transport equation to estimate various parameters such as fuel pin flux distributions that are crucial for the safe and efficient operation of nuclear systems (e.g., a nuclear reactor). Monte Carlo eigenvalue simulation uses a sample mean over many stationary cycles (iterations) to estimate various parameters important to nuclear systems. A variance estimate of the sample mean is often used for calculating the confidence intervals. However, MC eigenvalue simulation variance estimators that ignore the intercycle correlation underestimate the true variance of the estimated quantity. This paper presents novel data-adaptive approaches based on a simple autoregressive (AR) model and sigmoid functions to improve MC variance estimation. The standard MC sample-based variance estimator (or naïve estimator) and the spectral density–based MC variance estimator are enhanced by adding data-adaptive components that reduce their bias and improve performance. By investigating the frequency pattern of the AR(1) (order 1) model, two adaptive spectral estimators and one adaptive naïve estimator are proposed. The proposed estimators manifest superior performance when applied to three test problems compared to the standard spectral density–based estimator previously introduced by the authors. In conclusion, these new estimators are straightforward, as they use online algorithms and do not require storage of tallies from all active cycles.

73 NUCLEAR PHYSICS AND RADIATION PHYSICS↗
NASA NTRS1993

Analysis of open-loop conical scan pointing error and variance estimators

General pointing error and variance estimators for an open-loop conical scan (conscan) system are derived and analyzed. The conscan algorithm is modeled as a weighted least-squares estimator whose inputs are samples of receiver carrier power and its associated measurement uncertainty. When the assumptions of constant measurement noise and zero pointing error estimation are applied, the variance equation is then strictly a function of the carrier power to uncertainty ratio and the operator selectable radius and period input to the algorithm. The performance equation is applied to a 34-m mirror-based beam-waveguide conscan system interfaced with the Block V Receiver Subsystem tracking a Ka-band (32-GHz) downlink. It is shown that for a carrier-to-noise power ratio greater than or equal to 30 dB-Hz, the conscan period for Ka-band operation may be chosen well below the current DSN minimum of 32 sec. The analysis presented forms the basis of future conscan work in both research and development as well as for the upcoming DSN antenna controller upgrade for the new DSS-24 34-m beam-waveguide antenna.

Alvarez, L. S.↗
DOE OSTI2019

Measurement Error Variance Estimation in Gamma-Spectroscopy Data using FRAM

The FRAM gamma-ray isotopic analysis code has recently been applied to four Pu data sets and four U data sets, each with relatively well-characterized standard items, in order to estimate the variances of random errors and of item-specific systematic errors. Assay results are available for Pu238, Pu239, Pu240, Pu241, Pu242 (operator entered, not independently measured), Am241, Specific Power, and Pu240eff. For the four U data sets, results are available for the measurands U234, U235, U236 (operator entered, not independently measured), and U238. For example, in Pu data set 1, there are 33 standard reference Pu items, which have well-known nominal/true values (except for a few items). FRAM was used to make approximately 15 repeat measurements for each of the 33 items, so empirical standard deviations can be calculated. In addition, FRAM internally estimates its random error variance using propagation of variance. This paper applies analysis of variance (ANOVA) to separately estimate the repeatability standard deviation and the standard deviation of the item-specific biases δ s in each of the 8 data sets.

11 NUCLEAR FUEL CYCLE AND FUEL MATERIALS↗
NASA NTRS2019

Multilevel Monte Carlo Estimation of Unbiased Expectation via Sample Reuse and the Low Variance Estimation of Asymptotic Rates

A new variant of the multilevel Monte Carlo estimator [5, 3, 9, 12] is presented for the estimation of expectation statistics that utilizes sample reuse in specified levels, explicitly removes approximation error bias associated with numerically computed output quantities of interest that have an asymptotic limit behavior, and permits a low variance estimate of the asymptotic rate of convergence to that limit. In addition, it is shown that this new multilevel Monte Carlo variant can yield a computational cost savings. A review of Monte Carlo and multilevel Monte Carlo estimators is presented that includes analysis of expected value, expected mean squared error, and the calculation of optimized multilevel sample size parameters. The multilevel Monte Carlo estimator produces estimates of expectation for numerically approximated output quantities of interest that are biased by approximation error. When the quantity of interest can be modeled as the asymptotic limit of numerically approximated output quantities of interest, it is theoretically possible to remove this approximation error bias in the multilevel Monte Carlo estimator. In actual implementations, however, this procedure is unreliable due to statistical variability and inaccuracy in estimating the needed asymptotic limit. Analysis and numerical experiment show that the proposed variant of the multilevel Monte Carlo method greatly reduces (in some cases eliminates) the statistical variability in this limit estimation.

Barth, Timothy↗
NASA NTRS1991

Estimation variance bounds of importance sampling simulations in digital communication systems

In practical applications of importance sampling (IS) simulation, two basic problems are encountered, that of determining the estimation variance and that of evaluating the proper IS parameters needed in the simulations. The authors derive new upper and lower bounds on the estimation variance which are applicable to IS techniques. The upper bound is simple to evaluate and may be minimized by the proper selection of the IS parameter. Thus, lower and upper bounds on the improvement ratio of various IS techniques relative to the direct Monte Carlo simulation are also available. These bounds are shown to be useful and computationally simple to obtain. Based on the proposed technique, one can readily find practical suboptimum IS parameters. Numerical results indicate that these bounding techniques are useful for IS simulations of linear and nonlinear communication systems with intersymbol interference in which bit error rate and IS estimation variances cannot be obtained readily using prior techniques.

Lu, D.↗
NASA NTRS1992

Numbers Of Degrees Of Freedom Of Allan-Variance Estimators

Report discusses formulas for estimation of Allan variances. Presents algorithms for closed-form approximations of numbers of degrees of freedom characterizing results obtained when various estimators applied to five power-law components of classical mathematical model of clock noise.

Greenhall, Charles A.↗
DOE OSTI2019

Unscented Kalman Filter-based Unbiased Minimum-Variance Estimation for Nonlinear Systems with Unknown Inputs

This paper proposes an unscented Kalman filter (UKF)-based unbiased minimum-variance estimation (UMV) method for the nonlinear system with unknown inputs. By utilizing the statistical linerization, the nonlinear system and measurement functions are transformed into a “linear-like” regression form. The latter preserves the nonlinearity of the system and the measurement models. To this end, the unknown inputs can be estimated by the weighted least-squares. This “linear-like” regression form also allows us to resort to the UMV state estimation framework for the development of new nonlinear filter to handle unknown inputs. Specifically, two approaches have been developed: 1) given the estimated inputs, we derive a filter by minimizing the trace of the state error covariance matrix; 2) without input estimation, we derive the filter by minimizing the trace of the state error covariance matrix subject to a constraint imposed on the gain matrix. We prove that these two approaches provide the same results. Numerical results validate the effectiveness of the proposed method.

Unscented Kalman filter, unbiased minimumvariance ↗
NASA NTRS1980

Stratum variance estimation for sample allocation in crop surveys

The problem of determining stratum variances needed in achieving an optimum sample allocation for crop surveys by remote sensing is investigated by considering an approach based on the concept of stratum variance as a function of the sampling unit size. A methodology using the existing and easily available information of historical crop statistics is developed for obtaining initial estimates of tratum variances. The procedure is applied to estimate stratum variances for wheat in the U.S. Great Plains and is evaluated based on the numerical results thus obtained. It is shown that the proposed technique is viable and performs satisfactorily, with the use of a conservative value for the field size and the crop statistics from the small political subdivision level, when the estimated stratum variances were compared to those obtained using the LANDSAT data.

Perry, C. R., Jr.↗
NASA NTRS1981

Cross-bispectrum computation and variance estimation

A method for the estimation of cross-bispectra of discrete real time series is developed. The asymptotic variance properties of the bispectrum are reviewed, and a method for the direct estimation of bispectral variance is given. The symmetry properties are described which minimize the computations necessary to obtain a complete estimate of the cross-bispectrum in the right-half-plane. A procedure is given for computing the cross-bispectrum by subdividing the domain into rectangular averaging regions which help reduce the variance of the estimates and allow easy application of the symmetry relationships to minimize the computational effort. As an example of the procedure, the cross-bispectrum of a numerically generated, exponentially distributed time series is computed and compared with theory.

Lii, K. S.↗
NASA NTRS1979

Sampling, aggregation, and variance estimation for area, yield, and production in LACIE

An approximately 2% sampling error was achieved in LACIE by sampling only approximately 2% of the sampling frame. The sample design in the yardstick region for which historical data were available down to a substratum level to support missing data resulting from cloud cover provided the most accurate estimate possible. The implemented strategy provided data of sufficient quality and quantity to support required performance levels and also to satisfy the existing constraints. The allocation scheme appeared to provide the most efficient usage of the available data and gave segment coverage of major producing areas and thus improved the probability of an accurate estimate.

Hallum, C. R.↗