Probability density function

About: Probability density function is a research topic. Over the lifetime, 22321 publications have been published within this topic receiving 422885 citations. The topic is also known as: probability function & PDF.

Bayesian Updating of Structural Models and Reliability using Markov Chain Monte Carlo Simulation

Abstract: In a full Bayesian probabilistic framework for "robust" system identification, structural response predictions and performance reliability are updated using structural test data D by considering the predictions of a whole set of possible structural models that are weighted by their updated probability. This involves integrating h(θ)p(θ|D) over the whole parameter space, where θ is a parameter vector defining each model within the set of possible models of the structure, h(θ) is a model prediction of a response quantity of interest, and p(θ|D) is the updated probability density for θ, which provides a measure of how plausible each model is given the data D. The evaluation of this integral is difficult because the dimension of the parameter space is usually too large for direct numerical integration and p(θ|D) is concentrated in a small region in the parameter space and only known up to a scaling constant. An adaptive Markov chain Monte Carlo simulation approach is proposed to evaluate the desired integral that is based on the Metropolis-Hastings algorithm and a concept similar to simulated annealing. By carrying out a series of Markov chain simulations with limiting stationary distributions equal to a sequence of intermediate probability densities that converge on p(θ|D), the region of concentration of p(θ|D) is gradually portrayed. The Markov chain samples are used to estimate the desired integral by statistical averaging. The method is illustrated using simulated dynamic test data to update the robust response variance and reliability of a moment-resisting frame for two cases: one where the model is only locally identifiable based on the data and the other where it is unidentifiable.

A new simple model for land mobile satellite channels: first- and second-order statistics

Abstract: We propose a new shadowed Rice (1948) model for land mobile satellite channels. In this model, the amplitude of the line-of-sight is characterized by the Nakagami distribution. The major advantage of the model is that it leads to closed-form and mathematically-tractable expressions for the fundamental channel statistics such as the envelope probability density function, moment generating function of the instantaneous power, and the level crossing rate. The model is very convenient for analytical and numerical performance prediction of complicated narrowband and wideband land mobile satellite systems, with different types of uncoded/coded modulations, with or without diversity. Comparison of the first- and the second-order statistics of the proposed model with different sets of published channel data demonstrates the flexibility of the new model in characterizing a variety of channel conditions and propagation mechanisms over satellite links. Interestingly, the proposed model provides a similar fit to the experimental data as the well-accepted Loo's (1985) model but with significantly less computational burden.

On distances in uniformly random networks

Abstract: The distribution of Euclidean distances in Poisson point processes is determined. The main result is the density function of the distance to the n-nearest neighbor of a homogeneous process in Ropfm, which is shown to be governed by a generalized Gamma distribution. The result has many implications for large wireless networks of randomly distributed nodes

Obstacles to High-Dimensional Particle Filtering

Abstract: Particle filters are ensemble-based assimilation schemes that, unlike the ensemble Kalman filter, employ a fully nonlinear and non-Gaussian analysis step to compute the probability distribution function (pdf) of a system’s state conditioned on a set of observations. Evidence is provided that the ensemble size required for a successful particle filter scales exponentially with the problem size. For the simple example in which each component of the state vector is independent, Gaussian, and of unit variance and the observations are of each state component separately with independent, Gaussian errors, simulations indicate that the required ensemble size scales exponentially with the state dimension. In this example, the particle filter requires at least 1011 members when applied to a 200-dimensional state. Asymptotic results, following the work of Bengtsson, Bickel, and collaborators, are provided for two cases: one in which each prior state component is independent and identically distributed, and ...