On Taylor series expansion for statistical moments of functions of correlated random variables

2020 ◽  
Author(s):  
Lukáš Novák ◽  
Drahom´ír Novák
Keyword(s):  
Series Expansion ◽  
Taylor Series ◽  
Random Variables ◽  
Taylor Series Expansion ◽  
Statistical Moments

scholarly journals On Taylor Series Expansion for Statistical Moments of Functions of Correlated Random Variables

Symmetry ◽  
2020 ◽  
Vol 12 (8) ◽  
pp. 1379
Author(s):  
Lukáš Novák ◽  
Drahomír Novák
Keyword(s):  
Series Expansion ◽  
Taylor Series ◽  
Random Variables ◽  
Taylor Series Expansion ◽  
Industrial Applications ◽  
Linear Functions ◽  
Size Parameter ◽  
Step Size ◽  
Specific Step ◽  
Difference Quotients

The paper is focused on Taylor series expansion for statistical analysis of functions of random variables with special attention to correlated input random variables. It is shown that the standard approach leads to significant deviations in estimated variance of non-linear functions. Moreover, input random variables are often correlated in industrial applications; thus, it is crucial to obtain accurate estimations of partial derivatives by a numerical differencing scheme. Therefore, a novel methodology for construction of Taylor series expansion of increasing complexity of differencing schemes is proposed and applied on several analytical examples. The methodology is adapted for engineering applications by proposed asymmetric difference quotients in combination with a specific step-size parameter. It is shown that proposed differencing schemes are suitable for functions of correlated random variables. Finally, the accuracy, efficiency, and limitations of the proposed methodology are discussed.

Full-Scale Bounds Estimation for the Nonlinear Transient Heat Transfer Problems with Interval Uncertainties

2021 ◽  
pp. 2150026
Author(s):  
Ruifei Peng ◽  
Haitian Yang ◽  
Yanni Xue
Keyword(s):  
Heat Transfer ◽  
Series Expansion ◽  
Taylor Series ◽  
Taylor Series Expansion ◽  
Transient Heat Transfer ◽  
High Fidelity ◽  
Interval Scale ◽  
Nonlinear Transient ◽  
Transfer Problems ◽  
Derivatives Of

A package solution is presented for the full-scale bounds estimation of temperature in the nonlinear transient heat transfer problems with small or large uncertainties. When the interval scale is relatively small, an efficient Taylor series expansion-based bounds estimation of temperature is stressed on the acquirement of first and second-order derivatives of temperature with high fidelity. When the interval scale is relatively large, an optimization-based approach in conjunction with a dimension-adaptive sparse grid (DSG) surrogate is developed for the bounds estimation of temperature, and the heavy computational burden of repeated deterministic solutions of nonlinear transient heat transfer problems can be efficiently alleviated by the DSG surrogate. A temporally piecewise adaptive algorithm with high fidelity is employed to gain the deterministic solution of temperature, and is further developed for recursive adaptive computing of the first and second-order derivatives of temperature. Therefore, the implementation of Taylor series expansion and the construction of DSG surrogate are underpinned by a reliable numerical platform. The parallelization is utilized for the construction of DSG surrogate for further acceleration. The accuracy and efficiency of the proposed approaches are demonstrated by two numerical examples.

scholarly journals Weighted Measurement Fusion Particle Filter for Nonlinear Systems with Correlated Noises

Sensors ◽  
2018 ◽  
Vol 18 (10) ◽  
pp. 3242 ◽  
Author(s):  
Ke Wei Zhang ◽  
Gang Hao ◽  
Shu Li Sun
Keyword(s):  
Nonlinear Systems ◽  
Particle Filter ◽  
Series Expansion ◽  
Taylor Series ◽  
Asymptotic Optimality ◽  
Taylor Series Expansion ◽  
Full Rank ◽  
Expansion Method ◽  
Least Square ◽  
Correlated Noises

The multi-sensor information fusion particle filter (PF) has been put forward for nonlinear systems with correlated noises. The proposed algorithm uses the Taylor series expansion method, which makes the nonlinear measurement functions have a linear relationship by the intermediary function. A weighted measurement fusion PF (WMF-PF) was put forward for systems with correlated noises by applying the full rank decomposition and the weighted least square theory. Compared with the augmented optimal centralized fusion particle filter (CF-PF), it could greatly reduce the amount of calculation. Moreover, it showed asymptotic optimality as the Taylor series expansion increased. The simulation examples illustrate the effectiveness and correctness of the proposed algorithm.

scholarly journals Bounds on the Third Order Hankel Determinant for Certain Subclasses of Analytic Functions

2017 ◽  
Vol 25 (3) ◽  
pp. 199-214
Author(s):  
S.P. Vijayalakshmi ◽  
T.V. Sudharsan ◽  
Daniel Breaz ◽  
K.G. Subramanian
Keyword(s):  
Series Expansion ◽  
Taylor Series ◽  
Analytic Functions ◽  
Unit Disc ◽  
Taylor Series Expansion ◽  
Upper Bounds ◽  
Hankel Determinant ◽  
Third Order ◽  
The Third

Abstract Let A be the class of analytic functions f(z) in the unit disc ∆ = {z ∈ C : |z| < 1g with the Taylor series expansion about the origin given by f(z) = z+ ∑n=2∞ anzn, z ∈∆ : The focus of this paper is on deriving upper bounds for the third order Hankel determinant H3(1) for two new subclasses of A.

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