Prediction of time series from finite past.
Prediction error of time series from finite past
TIME SERIES↗
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Exact computation of the unwrapped phase of a finite-length time series
McGowan and Kuc (1982) showed that a direct relationship between a time series and its unwrapped phase exists. They proposed an algorithm for computing the unwrapped phase by counting the number of sign changes in a Sturm sequence generated from the real and imaginary parts of the discrete Fourier transform. Their algorithm is limited to relatively short sequences by numerical accuracy. An extension of their algorithm is proposed which, by using all-integer arithmetic, permits exact computation of the number of multiples of pi required to determine the unwrapped phase for rational-valued time sequences of arbitrary length. Since the computation is exact, the extended numerical algorithm should be of interest when accurate phase unwrapping is required.
Long, David G.↗
Stochastic modelling of intermittent fluctuations in the scrape-off layer: Correlations, distributions, level crossings, and moment estimation
A stochastic model is presented for intermittent fluctuations in the scrape-off layer of magnetically confined plasmas. The fluctuations in the plasma density are modeled by a super-position of uncorrelated pulses with fixed shape and duration, describing radial motion of blob-like structures. In the case of an exponential pulse shape and exponentially distributed pulse amplitudes, predictions are given for the lowest order moments, probability density function, auto-correlation function, level crossings, and average times for periods spent above and below a given threshold level. Also, the mean squared errors on estimators of sample mean and variance for realizations of the process by finite time series are obtained. These results are discussed in the context of single-point measurements of fluctuations in the scrape-off layer, broad density profiles, and implications for plasma–wall interactions due to the transient transport events in fusion grade plasmas. The results may also have wide applications for modelling fluctuations in other magnetized plasmas such as basic laboratory experiments and ionospheric irregularities.
70 PLASMA PHYSICS AND FUSION TECHNOLOGY↗
Quantum correlations in non-inertial cavity systems
Non-inertial cavities are utilized to store and send Quantum Information between mode pairs. A two-cavity system is considered where one is inertial and the other accelerated in a finite time. Maclaurian series are applied to expand the related Bogoliubov coefficients and the problem is treated perturbatively. It is shown that Quantum Discord, which is a measure of quantumness of correlations, is degraded periodically. This is almost in agreement with previous results reached in accelerated systems where increment of acceleration decreases the degree of quantum correlations. As another finding of the study, it is explicitly shown that degradation of Quantum Discord disappears when the state is in a single cavity which is accelerated for a finite time. This feature makes accelerating cavities useful instruments in Quantum Information Theory. - Highlights: • Non-inertial cavities are utilized to store and send information in Quantum Information Theory. • Cavities include boundary conditions which will protect the entanglement once it has been created. • The problem is treated perturbatively and the maclaurian series are applied to expand the related Bogoliubov coefficients. • When two cavities are considered degradation in the degree of quantum correlation happens and it appears periodically. • The interesting issue is when a single cavity is studied and the degradation in quantum correlations disappears.
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
Toward practical approaches for ergodicity analysis
It is of importance to perform hydrological forecast using a finite hydrological time series. Most time series analysis approaches presume a data series to be ergodic without justifying this assumption. To our knowledge, there are no methods available for test of ergodicity to date. As such, this paper presents a practical approach to analyze the mean ergodic property of hydrological processes by means of augmented Dickey Fuller test, Mann-Kendall trend test, a radial basis function neural network, and the assessment methods derived from the definition of ergodicity. The mean ergodicity of precipitation processes at Newberry, MI, USA, is analyzed using the proposed approach. The results indicate that the precipitations of January, May, and July in Newberry are highly likely to have ergodic property, the precipitations of February, and October through December have tendency toward mean ergodicity, and the precipitations of all the other months are non-ergodic.
54 ENVIRONMENTAL SCIENCES↗
Notes on Digital-Data Analysis
The presentation is an overview and discussion of concepts normally encountered during digital-signal processing of sampled time histories. It is not a comprehensive literature survey, but simply a practical guide for best usage. Sections of the talk cover: digital sampling and representation, the Nyquist-Shannon sampling theorem, aliasing or frequency folding, the power spectrum, windowing and spectral spreading, scalloping, and best practices. The Advanced Air Transport Technology Project supports this effort.
Aeroacoustics↗
Independent Constituents in Observatory Time Series in Characterizing the Secular Variation
By an ansatz of a finite set of N superimposed oscillations, observatory time series are fitted. This start model is optimized for the independence of the used 2N-dimensional functional system as a criterion. Here, the contributions of each of the dimensions to the volume of the corresponding 2N-dimensional parallelpiped of the functional space is to be evaluated. Independence and an equal standard for the constituents are achieved by the optimizing procedure varying the start values of frequencies in the fitting ansatz when quotients of successively constructed Gram-determinants are beyond a definite threshold and of nearly the same numerical value. Results for globally distributed observatories characterize the secular variation.
Webers, W.↗
Application of multivariate autoregressive spectrum estimation to ULF waves
The estimation of the power spectrum of a time series by fitting a finite autoregressive model to the data has recently found widespread application in the physical sciences. The extension of this method to the analysis of vector time series is presented here through its application to ULF waves observed in the magnetosphere by the ATS 6 synchronous satellite. Autoregressive spectral estimates of the power and cross-power spectra of these waves are computed with computer programs developed by the author and are compared with the corresponding Blackman-Tukey spectral estimates. The resulting spectral density matrices are then analyzed to determine the direction of propagation and polarization of the observed waves.
Ioannidis, G. A.↗
Periodic trim solutions with hp-version finite elements in time
Finite elements in time as an alternative strategy for rotorcraft trim problems are studied. The research treats linear flap and linearized flap-lag response both for quasi-trim and trim cases. The connection between Fourier series analysis and hp-finite elements for periodic a problem is also examined. It is proved that Fourier series is a special case of space-time finite elements in which one element is used with a strong displacement formulation. Comparisons are made with respect to accuracy among Fourier analysis, displacement methods, and mixed methods over a variety parameters. The hp trade-off is studied for the periodic trim problem to provide an optimum step size and order of polynomial for a given error criteria. It is found that finite elements in time can outperform Fourier analysis for periodic problems, and for some given error criteria. The mixed method provides better results than does the displacement method.
Peters, David A.↗
Periodic trim solutions with hp-version finite elements in time
Finite elements in time as an alternative strategy for rotorcraft trim problems are studied. The research treats linear flap and linearized flap-lag response both for quasi-trim and trim cases. The connection between Fourier series analysis and hp-finite elements for periodic a problem is also examined. It is proved that Fourier series is a special case of space-time finite elements in which one element is used with a strong displacement formulation. Comparisons are made with respect to accuracy among Fourier analysis, displacement methods, and mixed methods over a variety parameters. The hp trade-off is studied for the periodic trim problem to provide an optimum step size and order of polynomial for a given error criteria. It is found that finite elements in time can outperform Fourier analysis for periodic problems, and for some given error criteria. The mixed method provides better results than does the displacement method.
Hou, Lin-Jun↗
PV TOMCAT
PV TOMCAT predicts the outdoor operating temperature and output power of a PV module based on measured physical properties and outdoor conditions. It includes a ray tracing model of a PV module, which runs in the commercial SunSolve ray tracer. Output from this model is combined with meteorological time series data to produce a combined input file for a finite-element model of heat conduction and radiation. Finally, this finite-element model is run in the commercial COMSOL Multiphysics software, producing time series outputs of temperature and power.
Deceglie, Michael↗
Reconstruction of the modified discrete Langevin equation from persistent time series
The discrete Langevin-type equation, which can describe persistent processes, was introduced. The procedure of reconstruction of the equation from time series was proposed and tested on synthetic data, with short and long-tail distributions, generated by different Langevin equations. Corrections due to the finite sampling rates were derived. For an exemplary meteorological time series, an appropriate Langevin equation, which constitutes a stochastic macroscopic model of the phenomenon, was reconstructed.
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗
Computation of canonical correlation and best predictable aspect of future for time series
The canonical correlation between the (infinite) past and future of a stationary time series is shown to be the limit of the canonical correlation between the (infinite) past and (finite) future, and computation of the latter is reduced to a (generalized) eigenvalue problem involving (finite) matrices. This provides a convenient and essentially, finite-dimensional algorithm for computing canonical correlations and components of a time series. An upper bound is conjectured for the largest canonical correlation.
Pourahmadi, Mohsen↗
Data-driven modeling and control of dynamical systems using Koopman and Perron-Frobenius operators
This dissertation studies the data-driven modeling and control problem of nonlinear systems by exploiting the linear operator theoretic framework involving Koopman and Perro-Frobenius operator. A systematic linear-operator based controller design procedure has been established, which can be used to solve a variety of nonlinear control problems, including feedback stabilization using control Lyapunov functions, optimal quadratic regulation using Koopman eigenfunctions and convex optimization formulation of optimal control problem using P-F and Koopman operator approximation. As the core of data-driven modeling, we first propose a new algorithm for the finite-dimensional approximation of the linear transfer Koopman and Perron-Frobenius operator from time-series data. We argue that the existing approach for the finite-dimensional approximation of these transfer operators such as Dynamic Mode Decomposition (DMD) and Extended Dynamic Mode Decomposition (EDMD) do not capture two important properties of these operators, namely positivity and Markov property. The algorithm we propose preserves these two properties. We call the proposed algorithm as naturally structured DMD (NSDMD) since it retains the inherent properties of these operators. Naturally structured DMD algorithm leads to a better approximation of the steady-state dynamics of the system regarding computing Koopman and Perron- Frobenius operator eigenfunctions and eigenvalues. However, preserving positivity property is critical for capturing the real transient dynamics of the system. This positivity property of the transfer operators and it's finite-dimensional approximation play an important role for controller and estimator design of nonlinear systems. To solve the feedback stabilization problem for nonlinear control systems, we tried to take advantage of the Koopman operator framework. The Koopman operator approach provides a linear representation for a nonlinear dynamical system and a bilinear representation for a nonlinear control system. The problem of feedback stabilization of a nonlinear control system is then transformed to the stabilization of a bilinear control system. We propose a control Lyapunov function (CLF)-based approach for the design of stabilizing feedback controllers for the bilinear system. The search for finding a CLF for the bilinear control system is formulated as a convex optimization problem. This leads to a schematic procedure for designing CLF-based stabilizing feedback controllers for the bilinear system and hence the original nonlinear system. Another advantage of the proposed controller design approach outlined in this dissertation is that it does not require explicit knowledge of system dynamics. In particular, the bilinear representation of a nonlinear control system in the Koopman eigenfunction space can be obtained from time-series data. Next, we study the optimal quadratic regulation problem for nonlinear systems. The linear operator theoretic framework involving the Koopman operator is used to lift the dynamics of nonlinear control system to an infinite-dimensional bilinear system. The optimal quadratic regulation problem for nonlinear system is formulated in terms of the finite-dimensional approximation of the bilinear system. A convex optimization-based approach is proposed for solving the quadratic regulator problem for bilinear system. We applied a variety of examples and compared the simulation results between our framework and conventional LQR control using linearized model. For more general optimal control problems, we provide a density-function based convex formulation for the optimal control problem of the nonlinear system. The convex formulation relies on the duality result in the stability theory of a dynamical system involving density function and Perron-Frobenius operator. The optimal control problem is formulated as an infinite-dimensional convex optimization program. The finite-dimensional approximation of the optimization problem relies on the recent advances made in the data-driven computation of the Koopman operator, which is dual to the Perron-Frobenius operator. Simulation results are presented to demonstrate the application of the developed framework.
Huang, Bowen↗
Atmospheric turbulence simulation for Shuttle orbiter
An improved non-recursive model for atmospheric turbulence along the flight path of the Shuttle Orbiter is developed which provides for simulation of instantaneous vertical and horizontal gusts at the vehicle center-of-gravity, and also for simulation of instantaneous gust gradients. Based on this model the time series for both gusts and gust gradients are generated and stored on a series of magnetic tapes. Section 2 provides a description of the various technical considerations associated with the turbulence simulation model. Included in this section are descriptions of the digital filter simulation model, the von Karman spectra with finite upper limits, and the final non recursive turbulence simulation model which was used to generate the time series. Section 2 provides a description of the various technical considerations associated with the turbulence simulation model. Included in this section are descriptions of the digial filter simulation model, the von Karman spectra with finite upper limits, and the final non recursive turbulence simulation model which was used to generate the time series. Section 3 provides a description of the time series as currently recorded on magnetic tape. Conclusions and recommendations are presented in Section 4.
Tatom, F. B.↗
Data-Driven Approach for Uncertainty Propagation and Reachability Analysis in Dynamical Systems
In this paper, we propose a data-driven approach for uncertainty propagation and reachability analysis in a dynamical system. The proposed approach relies on the linear lifting of a nonlinear system using linear Perron-Frobenius (P-F) and Koopman operators. Here, the uncertainty can be characterized in terms of the moments of a probability density function. We demonstrate how the P-F and Koopman operators are used for propagating the moments. Time-series data is used for the finite-dimensional approximation of the linear operators, thereby enabling data-driven approach for moment propagation. Simulation results are presented to demonstrate the effectiveness of the proposed method.
42 ENGINEERING↗
Asymmetric collapse by dissolution or melting in a uniform flow
An advection-diffusion-limited dissolution model of an object being eroded by a two-dimensional potential flow is presented. By taking advantage of the conformal invariance of the model, a numerical method is introduced that tracks the evolution of the object boundary in terms of a time-dependent Laurent series. Simulations of a variety of dissolving objects are shown, which shrink and collapse to a single point in finite time. The simulations reveal a surprising exact relationship, whereby the collapse point is the root of a non-Analytic function given in terms of the flow velocity and the Laurent series coefficients describing the initial shape. This result is subsequently derived using residue calculus. The structure of the non-Analytic function is examined for three different test cases, and a practical approach to determine the collapse point using a generalized Newton-Raphson root-finding algorithm is outlined. These examples also illustrate the possibility that the model breaks down in finite time prior to complete collapse, due to a topological singularity, as the dissolving boundary overlaps itself rather than breaking up into multiple domains (analogous to droplet pinch-off in fluid mechanics). In conclusion, the model raises fundamental mathematical questions about broken symmetries in finite-Time singularities of both continuous and stochastic dynamical systems.
42 ENGINEERING↗
Autoregressive modeling for the spectral analysis of oceanographic data
Over the last decade there has been a dramatic increase in the number and volume of data sets useful for oceanographic studies. Many of these data sets consist of long temporal or spatial series derived from satellites and large-scale oceanographic experiments. These data sets are, however, often 'gappy' in space, irregular in time, and always of finite length. The conventional Fourier transform (FT) approach to the spectral analysis is thus often inapplicable, or where applicable, it provides questionable results. Here, through comparative analysis with the FT for different oceanographic data sets, the possibilities offered by autoregressive (AR) modeling to perform spectral analysis of gappy, finite-length series, are discussed. The applications demonstrate that as the length of the time series becomes shorter, the resolving power of the AR approach as compared with that of the FT improves. For the longest data sets examined here, 98 points, the AR method performed only slightly better than the FT, but for the very short ones, 17 points, the AR method showed a dramatic improvement over the FT. The application of the AR method to a gappy time series, although a secondary concern of this manuscript, further underlines the value of this approach.
Gangopadhyay, Avijit↗