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Stochastic Dynamical Systems : New Schemes for Corrections of Linearization Errors and Dynamic Systems Identification

Electronic Theses of Indian Institute of Science

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Title Stochastic Dynamical Systems : New Schemes for Corrections of Linearization Errors and Dynamic Systems Identification
 
Creator Raveendran, Tara
 
Subject Stochastic Dynamical Systems
Monte Carlo Filters
Nonlinear Dynamical Systems
Gaussian Sum Filters
Nonlinear Mechanical Oscillators
Nonlinear Dynamic System Identification
Stochatic Nonlinear Oscillators
Dynamic Systems Identification
Girzanov Linearization
Linearization Errors
Stochastic Filters
Stochastic Differential Equations
Nonlinear Dynamic System Identification
Stochastic Filtering
Diffuse Optical Tomography
Girsanov Corrected Linearization Method (GCLM)
Applied Physics
 
Description This thesis essentially deals with the development and numerical explorations of a few improved Monte Carlo filters for nonlinear dynamical systems with a view to estimating the associated states and parameters (i.e. the hidden states appearing in the system or process model) based on the available noisy partial observations. The hidden states are characterized, subject to modelling errors, by the weak solutions of the process model, which is typically in the form of a system of stochastic ordinary differential equations (SDEs). The unknown system parameters, when included as pseudo-states within the process model, are made to evolve as Wiener processes. The observations may also be modelled by a set of measurement SDEs or, when collected at discrete time instants, their temporally discretized maps. The proposed Monte Carlo filters aim at achieving robustness (i.e. insensitivity to variations in the noise parameters) and higher accuracy in the estimates whilst retaining the important feature of applicability to large dimensional
nonlinear filtering problems.
The thesis begins with a brief review of the literature in Chapter 1. The first development, reported in Chapter 2, is that of a nearly exact, semi-analytical, weak and explicit linearization scheme called Girsanov Corrected Linearization Method (GCLM) for nonlinear mechanical oscillators under additive stochastic excitations. At the heart of the linearization is a temporally localized rejection sampling strategy that, combined with a resampling scheme, enables selecting from and appropriately modifying an ensemble of
locally linearized trajectories whilst weakly applying the Girsanov correction (the Radon-
Nikodym derivative) for the linearization errors. Through their numeric implementations for a few workhorse nonlinear oscillators, the proposed variants of the scheme are shown to exhibit significantly higher numerical accuracy over a much larger range of the time step size than is possible with the local drift-linearization schemes on their own.
The above scheme for linearization correction is exploited and extended in Chapter 3, wherein novel variations within a particle filtering algorithm are proposed to weakly correct for the linearization or integration errors that occur while numerically propagating the process dynamics. Specifically, the correction for linearization, provided by the likelihood or the Radon-Nikodym derivative, is incorporated in two steps. Once the
likelihood, an exponential martingale, is split into a product of two factors, correction owing to the first factor is implemented via rejection sampling in the first step. The second factor, being directly computable, is accounted for via two schemes, one employing resampling and the other, a gain-weighted innovation term added to the drift field of the process SDE thereby overcoming excessive sample dispersion by resampling.
The proposed strategies, employed as add-ons to existing particle filters, the bootstrap and auxiliary SIR filters in this work, are found to non-trivially improve the convergence and accuracy of the estimates and also yield reduced mean square errors of such estimates visà-vis those obtained through the parent filtering schemes.
In Chapter 4, we explore the possibility of unscented transformation on Gaussian random
variables, as employed within a scaled Gaussian sum stochastic filter, as a means of applying the nonlinear stochastic filtering theory to higher dimensional system identification problems. As an additional strategy to reconcile the evolving process dynamics with the observation history, the proposed filtering scheme also modifies the process model via the incorporation of gain-weighted innovation terms. The reported numerical work on the identification of dynamic models of dimension up to 100 is indicative of the potential of the proposed filter in realizing the stated aim of successfully
treating relatively larger dimensional filtering problems.
We propose in Chapter 5 an iterated gain-based particle filter that is consistent with the form of the nonlinear filtering (Kushner-Stratonovich) equation in our attempt to treat larger dimensional filtering problems with enhanced estimation accuracy. A crucial aspect of the proposed filtering set-up is that it retains the simplicity of implementation of the ensemble Kalman filter (EnKF). The numerical results obtained via EnKF-like simulations with or without a reduced-rank unscented transformation also indicate substantively improved filter convergence.
The final contribution, reported in Chapter 6, is an iterative, gain-based filter bank
incorporating an artificial diffusion parameter and may be viewed as an extension of the iterative filter in Chapter 5. While the filter bank helps in exploring the phase space of the state variables better, the iterative strategy based on the artificial diffusion parameter, which is lowered to zero over successive iterations, helps improve the mixing property of the associated iterative update kernels and these are aspects that gather importance for
highly nonlinear filtering problems, including those involving significant initial mismatch of the process states and the measured ones. Numerical evidence of remarkably enhanced filter performance is exemplified by target tracking and structural health assessment applications.
The thesis is finally wound up in Chapter 7 by summarizing these developments and
briefly outlining the future research directions
 
Contributor Roy, Debasish
Vasu, Ram Mohan
 
Date 2018-03-23T14:24:27Z
2018-03-23T14:24:27Z
2018-03-23
2013
 
Type Thesis
 
Identifier http://etd.iisc.ernet.in/2005/3298
http://etd.ncsi.iisc.ernet.in/abstracts/4160/G25658-Abs.pdf
 
Language en_US
 
Relation G25658