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Abstract:The operational reliability of a high performance marine vessel depends critically on the health of its marine propulsion systems, which are increasingly subjected to diverse operational loads and environmental stressors. This paper proposes a robust mathematical framework for non-linear state-space forecasting of marine engine parameters using adaptive-window multi-particle stochastic differential equations. Traditional time-series models such as Vector Autoregressive Integrated Moving Average, often fail to capture the inherent stochasticity and transient dynamics of complex systems due to their reliance on fixed-window linear assumptions. To address this, we develop a dual-layered estimation approach: first, an adaptive lookback mechanism dynamically adjusts the learning window size based on the instantaneous drift magnitude, ensuring responsiveness during non-stationary regimes. Second, a Multi-Particle ensemble is evolved via Euler-Maruyama discretization, where each particle trajectory represents a stochastic realization of the system state. To refine the ensemble mean and mitigate the "noise-chasing" behavior of raw estimators, a Girsanov transform induced change of probability measure is implemented, assigning higher probabilistic weights to particles that align with the physical drift. Theoretical evaluation and empirical benchmarking demonstrate that the proposed adaptive SDE framework significantly outperforms classical statistical baselines in multi-step prediction stability and computational efficiency. The model provides a scalable, "grey-box" solution for real-time risk quantification in systems characterized by high-frequency volatility and non-linear transitions.

Submission history

From: Y Harsha Vardhana Reddy [view email]
[v1] Thu, 14 May 2026 10:17:43 UTC (3,532 KB)