Stability and existence of diffusions with discontinuous or rapidly growing drift terms
Local stochastic stability property used to prove stability and existence of diffusions with rapidly growing drift terms
Kushner, H. J.↗
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Approximations to and local properties of diffusions with discontinuous controls
The paper discusses several properties of control systems defined by stochastic differential equations, which are defined by the method of Girsanov, using a transformation of measures, and where the controls are discontinuous. Uniqueness of the multivariate distributions of the process is proved, and it is shown that the process is a limit, in a natural sense, of a certain discrete time approximation. Other questions, concerning the effects on the distributions of the paths, and of the cost of approximating the control by a smooth control and concerning local properties of the solution, are discussed.
Kushner, H. J.↗
Plasma electron observations in the wake of Venus
Two plasma regimes were observed in the Venus wake, one characterized by negative-going anisotropies accompanied by high bulk speeds and low magnetic variance, and the other characterized by positive-going anisotropies accompanied by low bulk speeds and high magnetic variance. The two modes alternate in time in a stochastic bimodal fashion as interplanetary magnetic field discontinuities propagate past Venus and switch on the positive anisotropies. The positive mode probably represents enhanced planetary ion pickup which results in instabilities, the damping of which energizes the electrons in the distant wake.
Yeates, C. M.↗
Robust Fault Detection and Isolation for Stochastic Systems
This paper outlines the formulation of a robust fault detection and isolation scheme that can precisely detect and isolate simultaneous actuator and sensor faults for uncertain linear stochastic systems. The given robust fault detection scheme based on the discontinuous robust observer approach would be able to distinguish between model uncertainties and actuator failures and therefore eliminate the problem of false alarms. Since the proposed approach involves precise reconstruction of sensor faults, it can also be used for sensor fault identification and the reconstruction of true outputs from faulty sensor outputs. Simulation results presented here validate the effectiveness of the robust fault detection and isolation system.
George, Jemin↗
Towards sub-optimal stochastic control of partially observable stochastic systems
A class of multidimensional stochastic control problems with noisy data and bounded controls encountered in aerospace design is examined. The emphasis is on suboptimal design, the optimality being taken in quadratic mean sense. To that effect the problem is viewed as a stochastic version of the Lurie problem known from nonlinear control theory. The main result is a separation theorem (involving a nonlinear Kalman-like filter) suitable for Lurie-type approximations. The theorem allows for discontinuous characteristics. As a byproduct the existence of strong solutions to a class of non-Lipschitzian stochastic differential equations in dimensions is proven.
Ruzicka, G. J.↗
Towards sub-optimal stochastic control of partially observable stochastic systems
The paper deals with a class of multidimensional stochastic control problems with noisy data and bounded controls encountered in aerospace design. The emphasis is on suboptimal design, the optimality being taken in quadratic mean sense. To that effect the problem is viewed as a stochastic version of the Lurie problem known from nonlinear control theory. The main result is a separation theorem (involving a nonlinear Kalman-like filter) suitable for Lurie-type approximations. The theorem allows for discontinuous characteristics. As a byproduct the existence of strong solutions to a class of non-Lipschitzian stochastic differential equations in n dimensions is proved.
Ruzicka, G. J.↗
Estimation of subpixel vegetation cover using red-infrared scattergrams
The bulk properties of discontinuous vegetation canopies are estimated at subpixel scales by applying the method of moments to a linear stochastic geometric model of canopy-soil reflectance and one set of multispectral observations without ground truth. The procedure involves the formulation of conditional moments for subsets of pixels that possess similar properties and can be identified through their common orientation in red-infrared scattergrams. The analysis is facilitated by assuming geometric similarity among the canopy elements and by formulating a sampling scale ratio in terms of the bulk geometric scales of the canopy and the pixel. Three versions of the method are demonstrated using two simulated scenes and an actual forested watershed for which aerial radiometric data and corresponding ground truth were obtained.
Jasinski, Michael F.↗
Navier-Stokes Dynamics by a Discrete Boltzmann Model
This work investigates the possibility of particle-based algorithms for the Navier-Stokes equations and higher order continuum approximations of the Boltzmann equation; such algorithms would generalize the well-known Pullin scheme for the Euler equations. One such method is proposed in the context of a discrete velocity model of the Boltzmann equation. Preliminary results on shock structure are consistent with the expectation that the shock should be much broader than the near discontinuity predicted by the Pullin scheme, yet narrower than the prediction of the Boltzmann equation. We discuss the extension of this essentially deterministic method to a stochastic particle method that, like DSMC, samples the distribution function rather than resolving it completely.
Rubinstein, Robet↗
A kinetic-theory approach to turbulent chemically reacting flows
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.
Chung, P. M.↗
Application of Simulated Annealing and Related Algorithms to TWTA Design
Simulated Annealing (SA) is a stochastic optimization algorithm used to search for global minima in complex design surfaces where exhaustive searches are not computationally feasible. The algorithm is derived by simulating the annealing process, whereby a solid is heated to a liquid state and then cooled slowly to reach thermodynamic equilibrium at each temperature. The idea is that atoms in the solid continually bond and re-bond at various quantum energy levels, and with sufficient cooling time they will rearrange at the minimum energy state to form a perfect crystal. The distribution of energy levels is given by the Boltzmann distribution: as temperature drops, the probability of the presence of high-energy bonds decreases. In searching for an optimal design, local minima and discontinuities are often present in a design surface. SA presents a distinct advantage over other optimization algorithms in its ability to escape from these local minima. Just as high-energy atomic configurations are visited in the actual annealing process in order to eventually reach the minimum energy state, in SA highly non-optimal configurations are visited in order to find otherwise inaccessible global minima. The SA algorithm produces a Markov chain of points in the design space at each temperature, with a monotonically decreasing temperature. A random point is started upon, and the objective function is evaluated at that point. A stochastic perturbation is then made to the parameters of the point to arrive at a proposed new point in the design space, at which the objection function is evaluated as well. If the change in objective function values (Delta)E is negative, the proposed new point is accepted. If (Delta)E is positive, the proposed new point is accepted according to the Metropolis criterion: rho((Delta)f) = exp((-Delta)E/T), where T is the temperature for the current Markov chain. The process then repeats for the remainder of the Markov chain, after which the temperature is decremented and the process repeats. Eventually (and hopefully), a near-globally optimal solution is attained as T approaches zero. Several exciting variants of SA have recently emerged, including Discrete-State Simulated Annealing (DSSA) and Simulated Tempering (ST). The DSSA algorithm takes the thermodynamic analogy one step further by categorizing objective function evaluations into discrete states. In doing so, many of the case-specific problems associated with fine-tuning the SA algorithm can be avoided; for example, theoretical approximations for the initial and final temperature can be derived independently of the case. In this manner, DSSA provides a scheme that is more robust with respect to widely differing design surfaces. ST differs from SA in that the temperature T becomes an additional random variable in the optimization. The system is also kept in equilibrium as the temperature changes, as opposed to the system being driven out of equilibrium as temperature changes in SA. ST is designed to overcome obstacles in design surfaces where numerous local minima are separated by high barriers. These algorithms are incorporated into the optimal design of the traveling-wave tube amplifier (TWTA). The area under scrutiny is the collector, in which it would be ideal to use negative potential to decelerate the spent electron beam to zero kinetic energy just as it reaches the collector surface. In reality this is not plausible due to a number of physical limitations, including repulsion and differing levels of kinetic energy among individual electrons. Instead, the collector is designed with multiple stages depressed below ground potential. The design of this multiple-stage collector is the optimization problem of interest. One remaining problem in SA and DSSA is the difficulty in determining when equilibrium has been reached so that the current Markov chain can be terminated. It has been suggested in recent literature that simulating the thermodynamic properties opecific heat, entropy, and internal energy from the Boltzmann distribution can provide good indicators of having reached equilibrium at a certain temperature. These properties are tested for their efficacy and implemented in SA and DSSA code with respect to TWTA collector optimization.
Radke, Eric M.↗
Implicit dual control for general stochastic systems
A new implicit dual technique is presented for stochastic adaptive control synthesis. In this technique, denoted as the method of utility costs (MOUC), a new control policy is derived from a known starting control policy by using a single iteration in time-varying policy space. An important result is that the new control policy yields a corresponding improvement in adaptive performance relative to the known starting policy. Since the starting policy can be chosen arbitrarily, the new policy has potentially superior performance relative to any existing design. Unlike other implicit dual designs, the MOUC can be applied to systems having constrained inputs, discontinuities, discrete valued disturbances, as well as in situations where the variances of the associated process statistics are large. A numerical example is given in which a controller is synthesized to provide improved performance relative to the Open-Loop Feedback policy of Dreyfus.
Bayard, D. S.↗
Physically-based parameterization of spatially variable soil and vegetation using satellite multispectral data
A stochastic-geometric landsurface reflectance model is formulated and tested for the parameterization of spatially variable vegetation and soil at subpixel scales using satellite multispectral images without ground truth. Landscapes are conceptualized as 3-D Lambertian reflecting surfaces consisting of plant canopies, represented by solid geometric figures, superposed on a flat soil background. A computer simulation program is developed to investigate image characteristics at various spatial aggregations representative of satellite observational scales, or pixels. The evolution of the shape and structure of the red-infrared space, or scattergram, of typical semivegetated scenes is investigated by sequentially introducing model variables into the simulation. The analytical moments of the total pixel reflectance, including the mean, variance, spatial covariance, and cross-spectral covariance, are derived in terms of the moments of the individual fractional cover and reflectance components. The moments are applied to the solution of the inverse problem: The estimation of subpixel landscape properties on a pixel-by-pixel basis, given only one multispectral image and limited assumptions on the structure of the landscape. The landsurface reflectance model and inversion technique are tested using actual aerial radiometric data collected over regularly spaced pecan trees, and using both aerial and LANDSAT Thematic Mapper data obtained over discontinuous, randomly spaced conifer canopies in a natural forested watershed. Different amounts of solar backscattered diffuse radiation are assumed and the sensitivity of the estimated landsurface parameters to those amounts is examined.
Jasinski, Michael F.↗
Multifractal characterizations of nonstationarity and intermittency in geophysical fields: Observed, retrieved, or simulated
Geophysical data rarely show any smoothness at any scale, and this often makes comparison with theoretical model output difficult. However, highly fluctuating signals and fractal structures are typical of open dissipative systems with nonlinear dynamics, the focus of most geophysical research. High levels of variability are excited over a large range of scales by the combined actions of external forcing and internal instability. At very small scales we expect geophysical fields to be smooth, but these are rarely resolved with available instrumentation or simulation tools; nondifferentiable and even discontinuous models are therefore in order. We need methods of statistically analyzing geophysical data, whether measured in situ, remotely sensed or even generated by a computer model, that are adapted to these characteristics. An important preliminary task is to define statistically stationary features in generally nonstationary signals. We first discuss a simple criterion for stationarity in finite data streams that exhibit power law energy spectra and then, guided by developments in turbulence studies, we advocate the use of two ways of analyzing the scale dependence of statistical information: singular measures and qth order structure functions. In nonstationary situations, the approach based on singular measures seeks power law behavior in integrals over all possible scales of a nonnegative stationary field derived from the data, leading to a characterization of the intermittency in this (gradient-related) field. In contrast, the approach based on structure functions uses the signal itself, seeking power laws for the statistical moments of absolute increments over arbitrarily large scales, leading to a characterization of the prevailing nonstationarity in both quantitative and qualitative terms. We explain graphically, step by step, both multifractal statistics which are largely complementary to each other. The geometrical manifestations of nonstationarity and intermittency, 'roughness' and 'sparseness', respectively, are illustrated and the associated analytical (differentiability and continuity) properties are discussed. As an example, the two techniques are applied to a series of recent measurements of liquid water distributions inside marine stratocumulus decks; these are found to be multifractal over scales ranging from approximately 60 m to approximately 60 km. Finally, we define the 'mean multifractal plane' and show it to be a simple yet comprehensive tool with many applications including data intercomparison, (dynamical or stochastic) model and retrieval validations.
Davis, Anthony↗