Search results for "Adaptive"
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Can the adaptive Metropolis algorithm collapse without the covariance lower bound?
2011
The Adaptive Metropolis (AM) algorithm is based on the symmetric random-walk Metropolis algorithm. The proposal distribution has the following time-dependent covariance matrix at step $n+1$ \[ S_n = Cov(X_1,...,X_n) + \epsilon I, \] that is, the sample covariance matrix of the history of the chain plus a (small) constant $\epsilon>0$ multiple of the identity matrix $I$. The lower bound on the eigenvalues of $S_n$ induced by the factor $\epsilon I$ is theoretically convenient, but practically cumbersome, as a good value for the parameter $\epsilon$ may not always be easy to choose. This article considers variants of the AM algorithm that do not explicitly bound the eigenvalues of $S_n$ away …
Analysis and control of a seven mode truncation of the Kolmogorov flow with drag.
2008
The transition from laminar to chaotic motion in a viscous fluid flow is investigated by analyzing a seven dimensional dynamical system obtained by a truncation of the Fourier modes for the Kolmogorov flow with drag friction. Analytical expressions of the bifurcation curves are obtained and a sequence of period doubling bifurcations are numerically observed as the Reynoplds number is increased for fixed values of the drag parameter. An adaptive stabilization of the system trajectories to an equilibrium point or to a periodic orbit is obtained through a model reference approach which makes the control global.