We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discuss...We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discussed in the singular case （a0, θ0） = （0, 0）. If a0 = 0, then the mean-reverting α-stable motion becomes Ornstein-Uhlenbeck process and is studied in [7] in the ergodic case θ0 〉 0. For the Ornstein-Uhlenbeck process, asymptotics of the least squares estimators for the singular case （θ0 = 0） and for ergodic case （θ0 〉 0） are completely different.展开更多
Kalman filter is commonly used in data filtering and parameters estimation of nonlinear system,such as projectile's trajectory estimation and control.While there is a drawback that the prior error covariance matri...Kalman filter is commonly used in data filtering and parameters estimation of nonlinear system,such as projectile's trajectory estimation and control.While there is a drawback that the prior error covariance matrix and filter parameters are difficult to be determined,which may result in filtering divergence.As to the problem that the accuracy of state estimation for nonlinear ballistic model strongly depends on its mathematical model,we improve the weighted least squares method(WLSM)with minimum model error principle.Invariant embedding method is adopted to solve the cost function including the model error.With the knowledge of measurement data and measurement error covariance matrix,we use gradient descent algorithm to determine the weighting matrix of model error.The uncertainty and linearization error of model are recursively estimated by the proposed method,thus achieving an online filtering estimation of the observations.Simulation results indicate that the proposed recursive estimation algorithm is insensitive to initial conditions and of good robustness.展开更多
Using the inversion of the auto correlation function Toeplitz matrix of pseudo random binary sequence (PRBS) derived in this paper and the theorem of partitioned matrix inversion, a fast multistage least squares (FM...Using the inversion of the auto correlation function Toeplitz matrix of pseudo random binary sequence (PRBS) derived in this paper and the theorem of partitioned matrix inversion, a fast multistage least squares (FMLS) method is developed. Its performances are theoretically analyzed and digital simulation is made to compare FMLS with multistage least squares (MSLS), correlation least squares(COR LS) and LS for their computer speed and identification accuracy. Finally, FMLS is applied to identifying the heat excharger dynamics. It is shown that FMLS is a good and effective identification technique.展开更多
For our research, a new hybrid experimental-computational method is presented. We applied a least squares fitting method （LSFM） to reconstruct the wood moisture content （WMC） from the data measured with a planar c...For our research, a new hybrid experimental-computational method is presented. We applied a least squares fitting method （LSFM） to reconstruct the wood moisture content （WMC） from the data measured with a planar capacitance sensor. A boundary element method （BEM） was used to compute the relationship between capacitance and the dielectric constant. A functional relationship between MC and the dielectric constant was identified by LSFM. The agreement of this final computation result with the experimental data indicates that this method can be used to estimate the WMC quickly and effectively with engineering analysis. Compared with popular statistical methods, a large number of experiments are avoided, some costs of testing are reduced and the efficiency of testing is enhanced.展开更多
We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. U...We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator （LSE） when a small dispersion parameter ε→0 and n →∞ simultaneously. The asymptotic distribution of the LSE in our setting is shown to be stable, which is completely different from the classical cases where asymptotic distributions are normal.展开更多
Two problems of scattering of surface water waves involving a semi-infinite elastic plate and a pair of semi-infinite elastic plates,separated by a gap of finite width,floating horizontally on water of finite depth,ar...Two problems of scattering of surface water waves involving a semi-infinite elastic plate and a pair of semi-infinite elastic plates,separated by a gap of finite width,floating horizontally on water of finite depth,are investigated in the present work for a two-dimensional time-harmonic case.Within the frame of linear water wave theory,the solutions of the two boundary value problems under consideration have been represented in the forms of eigenfunction expansions.Approximate values of the reflection and transmission coefficients are obtained by solving an over-determined system of linear algebraic equations in each problem.In both the problems,the method of least squares as well as the singular value decomposition have been employed and tables of numerical values of the reflection and transmission coefficients are presented for specific choices of the parameters for modelling the elastic plates.Our main aim is to check the energy balance relation in each problem which plays a very important role in the present approach of solutions of mixed boundary value problems involving Laplace equations.The main advantage of the present approach of solutions is that the results for the values of reflection and transmission coefficients obtained by using both the methods are found to satisfy the energy-balance relations associated with the respective scattering problems under consideration.The absolute values of the reflection and transmission coefficients are presented graphically against different values of the wave numbers.展开更多
基金Hu is supported by the National Science Foundation under Grant No.DMS0504783Long is supported by FAU Start-up funding at the C. E. Schmidt College of Science
文摘We study the problem of parameter estimation for mean-reverting α-stable motion, dXt = （a0 - θ0Xt）dt ＋ dZt, observed at discrete time instants. A least squares estimator is obtained and its asymptotics is discussed in the singular case （a0, θ0） = （0, 0）. If a0 = 0, then the mean-reverting α-stable motion becomes Ornstein-Uhlenbeck process and is studied in [7] in the ergodic case θ0 〉 0. For the Ornstein-Uhlenbeck process, asymptotics of the least squares estimators for the singular case （θ0 = 0） and for ergodic case （θ0 〉 0） are completely different.
基金This work is supported by Postgraduate Research&Practice Innovation Program of Jiangsu Province(KYCX18_0467)Jiangsu Province,China.During the revision of this paper,the author is supported by China Scholarship Council(No.201906840021)China to continue some research related to data processing.
文摘Kalman filter is commonly used in data filtering and parameters estimation of nonlinear system,such as projectile's trajectory estimation and control.While there is a drawback that the prior error covariance matrix and filter parameters are difficult to be determined,which may result in filtering divergence.As to the problem that the accuracy of state estimation for nonlinear ballistic model strongly depends on its mathematical model,we improve the weighted least squares method(WLSM)with minimum model error principle.Invariant embedding method is adopted to solve the cost function including the model error.With the knowledge of measurement data and measurement error covariance matrix,we use gradient descent algorithm to determine the weighting matrix of model error.The uncertainty and linearization error of model are recursively estimated by the proposed method,thus achieving an online filtering estimation of the observations.Simulation results indicate that the proposed recursive estimation algorithm is insensitive to initial conditions and of good robustness.
文摘Using the inversion of the auto correlation function Toeplitz matrix of pseudo random binary sequence (PRBS) derived in this paper and the theorem of partitioned matrix inversion, a fast multistage least squares (FMLS) method is developed. Its performances are theoretically analyzed and digital simulation is made to compare FMLS with multistage least squares (MSLS), correlation least squares(COR LS) and LS for their computer speed and identification accuracy. Finally, FMLS is applied to identifying the heat excharger dynamics. It is shown that FMLS is a good and effective identification technique.
基金supported by the Central University Basic Research Professional Expenses Special Foundation of Harbin Engineering University (Grant No. HEUCFL10101109)
文摘For our research, a new hybrid experimental-computational method is presented. We applied a least squares fitting method （LSFM） to reconstruct the wood moisture content （WMC） from the data measured with a planar capacitance sensor. A boundary element method （BEM） was used to compute the relationship between capacitance and the dielectric constant. A functional relationship between MC and the dielectric constant was identified by LSFM. The agreement of this final computation result with the experimental data indicates that this method can be used to estimate the WMC quickly and effectively with engineering analysis. Compared with popular statistical methods, a large number of experiments are avoided, some costs of testing are reduced and the efficiency of testing is enhanced.
基金supported by FAU Start-up funding at the C. E. Schmidt Collegeof Science
文摘We study the least squares estimation of drift parameters for a class of stochastic differential equations driven by small a-stable noises, observed at n regularly spaced time points ti = i/n, i = 1,...,n on [0, 1]. Under some regularity conditions, we obtain the consistency and the rate of convergence of the least squares estimator （LSE） when a small dispersion parameter ε→0 and n →∞ simultaneously. The asymptotic distribution of the LSE in our setting is shown to be stable, which is completely different from the classical cases where asymptotic distributions are normal.
基金NASI (National Academy of Sciences, India) for providing financial support
文摘Two problems of scattering of surface water waves involving a semi-infinite elastic plate and a pair of semi-infinite elastic plates,separated by a gap of finite width,floating horizontally on water of finite depth,are investigated in the present work for a two-dimensional time-harmonic case.Within the frame of linear water wave theory,the solutions of the two boundary value problems under consideration have been represented in the forms of eigenfunction expansions.Approximate values of the reflection and transmission coefficients are obtained by solving an over-determined system of linear algebraic equations in each problem.In both the problems,the method of least squares as well as the singular value decomposition have been employed and tables of numerical values of the reflection and transmission coefficients are presented for specific choices of the parameters for modelling the elastic plates.Our main aim is to check the energy balance relation in each problem which plays a very important role in the present approach of solutions of mixed boundary value problems involving Laplace equations.The main advantage of the present approach of solutions is that the results for the values of reflection and transmission coefficients obtained by using both the methods are found to satisfy the energy-balance relations associated with the respective scattering problems under consideration.The absolute values of the reflection and transmission coefficients are presented graphically against different values of the wave numbers.
