Interest is in evaluating, by Markov chain Monte Carlo (MCMC) simulation, the expected value of a function with respect to a, possibly unnormalized, probability distribution. A general purpose variance reduction technique for the MCMC estimator, based on the zero-variance principle introduced in the physics literature, is proposed. Conditions for asymptotic unbiasedness of the zero-variance estimator are derived. A central limit theorem is also proved under regularity conditions. The potential of the idea is illustrated with real applications to probit, logit and GARCH Bayesian models. For all these models, a central limit theorem and unbiasedness for the zero-variance estimator are proved (see the supplementary material available on-line).
Summary
Models phrased through moment conditions are central to much of modern inference. Here these moment conditions are embedded within a non‐parametric Bayesian set‐up. Handling such a model is not probabilistically straightforward as the posterior has support on a manifold. We solve the relevant issues, building new probability and computational tools by using Hausdorff measures to analyse them on real and simulated data. These new methods, which involve simulating on a manifold, can be applied widely, including providing Bayesian analysis of quasi‐likelihoods, linear and non‐linear regression, missing data and hierarchical models.
Models phrased though moment conditions are central to much of modern inference. Here these moment conditions are embedded within a nonparametric Bayesian setup. Handling such a model is not probabilistically straightforward as the posterior has support on a manifold. We solve the relevant issues, building new probability and computational tools using Hausdorff measures to analyze them on real and simulated data. These new methods which involve simulating on a manifold can be applied widely, including providing Bayesian analysis of quasilikelihoods, linear and nonlinear regression, missing data and hierarchical models.
In this research a generalization of Takagi-Sugeno fuzzy controllers is presented. In this generalization all or some of the inputs of the fuzzy controllers are fuzzy numbers. Also, it is proved that this generalization is well defined, which means that if the inputs of a generalized Takagi-Sugeno fuzzy controller are singleton fuzzy sets, then the generalized Takagi-Sugeno fuzzy controller will be reduced to a Takagi-Sugeno fuzzy controller. This controller was applied to temperature control of a methyl methacrylate (MMA) batch polymerization reactor, which uses jacket temperature error in addition to reactor temperature error. But the desired jacket temperature is affected by noise and disturbance. Therefore, there is uncertainty in the desired value of this variable. Fuzzy numbers are applied to model this uncertainty and a fuzzy trajectory was achieved for jacket desired temperature. After that an adaptation mechanism was designed. Experimental results present the fine performance of this controller in temperature control of solution polymerization of methyl methacrylate.
In this work, a nonlinear model predictive controller is developed for a batch polymerization process. The physical model of the process is parameterized along a desired trajectory resulting in a trajectory linearized piecewise model (a multiple linear model bank) and the parameters are identified for an experimental polymerization reactor. Then, a multiple model adaptive predictive controller is designed for thermal trajectory tracking of the MMA polymerization. The input control signal to the process is constrained by the maximum thermal power provided by the heaters. The constrained optimization in the model predictive controller is solved via genetic algorithms to minimize a DMC cost function in each sampling interval.
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