The optimal estimation theory of the Wiener-Kalman filter is extended to cover the situation in which the number of memory elements in the estimator is restricted. A method, based on the simultaneous diagonalisation of two symmetric positive definite matrices, is given which allows the weighted least square estimation error to be minimised. A control system design method is developed utilising this estimator, and this allows the dynamic controller in the feedback path to have a low order. A 12-order once-through boiler model is constructed and the performance of controllers of various orders generated by the design method is investigated. Little cost penalty is found even for the one-order controller when compared with the optimal Kalman filter system. Whereas in the Kalman filter all information from past observations is stored, the given method results in an estimate of the state variables which is a weighted sum of the selected information held in the storage elements. For the once-through boiler these weighting coefficients are found to be smooth functions of position, their form illustrating the implicit model reduction properties of the design method. Minimal-order estimators of the Luenberger type also generate low order controllers and the relation between the two design methods is examined. It is concluded that the design method developed in this thesis gives better plant estimates than the Luenberger system and, more fundamentally, allows a lower order control system to be constructed. Finally some possible extensions of the theory are indicated. An immediate application is to multivariable control systems, while the existence of a plant state estimate even in control systems of very low order allows a certain adaptive structure to be considered for systems with time-varying parameters.

Discrete event simulation is an important tool for modeling and analysis. Some of the simulation applications such as telecommunication network performance, VLSI logic circuits design, battlefield simulation, require enormous amount of computing resources. One way to satisfy this demand for computing power is to decompose the simulation system into several logical processes (Ip) and run them concurrently. In any parallel discrete event simulation (PDES) system, the events are ordered according to their time of occurrence. In order for the simulation to be correct, this ordering has to be preserved. There are three approaches to maintain this ordering. In a conservative system, no lp executes an event unless it is certain that all events with earlier time-stamps have been executed. Such systems are prone to deadlock. In an optimistic system on the other hand, simulation progresses disregarding this ordering and saves the system states regularly. Whenever a causality violation is detected, the system rolls back to a state saved earlier and restarts processing after correcting the error. There is another approach in which all the lps participate in the computation of a safe time-window and all events with time-stamps within this window are processed concurrently. In optimistic simulation systems, there is a global virtual time (GVT), which is the minimum of the time-stamps of all the events existing in the system. The system can not rollback to a state prior to GVT and hence all such states can be discarded. GVT is used for memory management, load balancing, termination detection and committing of events. However, GVT computation introduces additional overhead. In optimistic systems, large number of rollbacks can degrade the system performance considerably. We have studied the effect of load balancing in reducing the number of rollbacks in such systems. We have designed three load balancing algorithms and implemented two of them on a network of workstations. The other algorithm has been analyzed probabilistically. The reason for choosing network of workstations is their low cost and the availability of efficient message passing softwares like PVM and MPI. All of these load balancing algorithms piggyback on the existing GVT computation algorithms and try to balance the speed of simulation in different lps. We have also designed an optimal GVT computation algorithm for the hypercubes and studied its performance with respect to the other GVT computation algorithms by simulating a hypercube in our network cluster. We use the topological properties of a star network in order to design an algorithm for computing a safe time-window for parallel discrete event simulation. We have analyzed and simulated the behavior of an open queuing network resembling such an architecture. Our algorithm is also extended for hierarchical stars and for recursive window computation.

Esta tese trata do problema de controle ótimo estocástico de sistemas com saltos Markovianos e ruído multiplicativo a tempo discreto, com horizontes de tempo finito e infinito. A função custo é composta de termos quadráticos e lineares nas variáveis de estado e de controle, com matrizes peso indefinidas. Como resultado principal do problema com horizonte finito, é apresentada uma condição necessária e suficiente para que o problema de controle seja bem posto, a partir da qual uma solução ótima é derivada. A condição e a lei de controle são escritas em termos de um conjunto acoplado de equações de Riccati interconectadas a um conjunto acoplado de equações lineares recursivas. Para o caso de horizonte infinito, são apresentadas as soluções ótimas para os problemas de custo médio a longo prazo e com desconto, derivadas a partir de uma solução estabilizante de um conjunto de equações algébricas de Riccati acopladas generalizadas (GCARE). A existência da solução estabilizante é uma condição suficiente para que tais problemas sejam do tipo bem posto. Além disso, são apresentadas condições para a existência das soluções maximal e estabilizante do sistema GCARE. Como aplicações dos resultados obtidos, são apresentadas as soluções de um problema de otimização de carteiras de investimento com benchmark e de um problema de gestão de ativos e passivos de fundos de pensão do tipo benefício definido, ambos os casos com mudanças de regime nas variáreis de mercado. / This thesis considers the finite-horizon and infinite-horizon stochastic optimal control problem for discrete-time Markov jump with multiplicative noise linear systems. The performance criterion is assumed to be formed by a linear combination of a quadratic part and a linear part in the state and control variables. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. For the finite-horizon problem the main results consist of deriving a necessary and sufficient condition under which the problem is well posed and a optimal control law is derived. This condition and the optimal control law are written in terms of a set of coupled generalized Riccati difference equations interconnected with a set of coupled linear recursive equations. For the infinite-horizon problem a set of generalized coupled algebraic Riccati equations (GCARE) is studied. In this case, a sufficient condition under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution for the GCARE are presented. Moreover, a solution for the discounted and long run average cost problems is presented. The results obtained are applied to solver a portfolio optimization problem with benchmark and a pension fund problem with regime switching.

Bibliography : leaves 196-200. / Thesis (Ph. D.)--Massachusetts Institute of Technology. Dept. of Electrical Engineering and Computer Science, 1977. / Microfiche copy available in the Institute Archives and Barker Engineering Library. / by Loren Kerry Platzman. / Ph.D.

Thesis (Sc.D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1982. / MICROFICHE COPY AVAILABLE IN ARCHIVES AND ENGINEERING / Bibliography: leaves 898-903. / by Howard Jay Chizeck. / Sc.D.

Digital control needs discrete time models, but conversion from continuous time, fed by a zero order hold, to discrete time introduces sampling zeros which are outside the unit circle, i.e. non-minimum phase (NMP) zeros, in the majority of the systems. Also, some systems are already NMP in continuous time. In both cases, the inverse problem to find the input required to maintain a desired output tracking, produces an unstable causal control action. The control action will grow exponentially every time step, and the error between time steps also grows exponentially. This prevents many control approaches from making use of inverse models. The problem statement for the existing stable inverse theorem is presented in this work, and it aims at finding a bounded nominal state-input trajectory by solving a two-point boundary value problem obtained by decomposing the internal dynamics of the system. This results in the causal part specified from the minus infinity time; and its non-causal part from the positive infinity time. By solving for the nominal bounded internal dynamics, the exact output tracking is achieved in the original finite time interval. The new stable inverses concepts presented and developed here address this instability problem in a different way based on the modified versions of problem states, and in a way that is more practical for implementation. The statements of how the different inverse problems are posed is presented, as well as the calculation and implementation. In order to produce zero tracking error at the addressed time steps, two modified statements are given as the initial delete and the skip step. The development presented here involves: (1) The detection of the signature of instability in both the nonhomogeneous difference equation and matrix form for finite time problems. (2) Create a new factorization of the system separating maximum part from minimum part in matrix form as analogous to transfer function format, and more generally, modeling the behavior of finite time zeros and poles. (3) Produce bounded stable inverse solutions evolving from the minimum Euclidean norm satisfying different optimization objective functions, to the solution having no projection on transient solutions terms excited by initial conditions. Iterative Learning Control (ILC) iterates with a real world control system repeatedly performing the same task. It adjusts the control action based on error history from the previous iteration, aiming to converge to zero tracking error. ILC has been widely used in various applications due to its high precision in trajectory tracking, e.g. semiconductor manufacturing sensors that repeatedly perform scanning maneuvers. Designing effective feedback controllers for non-minimum phase (NMP) systems can be challenging. Applying Iterative Learning Control (ILC) to NMP systems is particularly problematic. Incorporating the initial delete stable inverse thinkg into ILC, the control action obtained in the limit as the iterations tend to infinity, is a function of the tracking error produced by the command in the initial run. It is shown here that this dependence is very small, so that one can reasonably use any initial run. By picking an initial input that goes to zero approaching the final time step, the influence becomes particularly small. And by simply commanding zero in the first run, the resulting converged control minimizes the Euclidean norm of the underdetermined control history. Three main classes of ILC laws are examined, and it is shown that all ILC laws converge to the identical control history, as the converged result is not a function of the ILC law. All of these conclusions apply to ILC that aims to track a given finite time trajectory, and also apply to ILC that in addition aims to cancel the effect of a disturbance that repeats each run. Having these stable inverses opens up opportunities for many control design approaches. (1) ILC was the original motivation of the new stable inverses. Besides the scenario using the initial delete above, consider ILC to perform local learning in a trajectory, by using a quadratic cost control in general, but phasing into the skip step stable inverse for some portion of the trajectory that needs high precision tracking. (2) One step ahead control uses a model to compute the control action at the current time step to produce the output desired at the next time step. Before it can be useful, it must be phased in to honor actuator saturation limits, and being a true inverse it requires that the system have a stable inverse. One could generalize this to p-step ahead control, updating the control action every p steps instead of every one step. It determines how small p can be to give a stable implementation using skip step, and it can be quite small. So it only requires knowledge of future desired control for a few steps. (3) Note that the statement in (2) can be reformulated as Linear Model Predictive Control that updates every p steps instead of every step. This offers the ability to converge to zero tracking error at every time step of the skip step inverse, instead of the usual aim to converge to a quadratic cost solution. (4) Indirect discrete time adaptive control combines one step ahead control with the projection algorithm to perform real time identification updates. It has limited applications, because it requires a stable inverse.

Thesis (Ph.D.) -- Mississippi State University. Department of Industrial and Systems Engineering. / Title from title screen. Includes bibliographical references.

During development of a complex system, feasibility initially overshadows other concerns, in some cases leading to a design which may not be viable long-term. In particular for the case of Reusable Launch Vehicles, Operations&Maintenance comprises the majority of the vehicle's LCC, whose stochastic nature precludes direct analysis. Through the use of simulation, probabilistic methods can however provide estimates on the economic behavior of such a system as it evolves over time. Here the problem of operations optimization is examined through the use of discrete event simulation. The resulting tool built from the lessons learned in the literature review simulates a RLV or fleet of vehicles undergoing maintenance and the maintenance sites it/they visit as the campaign evolves over a period of time. The goal of this work is to develop a method for uncovering an optimal operations scheme by investigating the effect of maintenance technician skillset distributions on important metrics such as the achievable annual flight rate and maintenance man hours spent on each vehicle per flight. Using these metrics, the availability of technicians for each subsystem is optimized to levels which produce the greatest revenue from flights and minimum expenditure from maintenance.

The present work introduces a methodology to obtain a discrete time state space representation of an electrical network using the nodal [G] matrix of the Electromagnetic Transients Program (EMTP) solution. This is the first time the connection between the EMTP nodal analysis solution and a corresponding state-space formulation is presented. Compared to conventional state space solutions, the nodal EMTP solution is computationally much more efficient. Compared to the phasor solutions used in transient stability analysis, the proposed approach captures a much wider range of eigenvalues and system operating states. A fundamental advantage of extracting the system eigenvalues directly from the EMTP solution is the ability of the EMTP to follow the characteristics of nonlinearities. The system's trajectory can be accurately traced and the calculated eigenvalues and eigenvectors correctly represent the system's instantaneous dynamics. In addition, the algorithm can be used as a tool to identify network partitioning subsystems suitable for real-time hybrid power system simulator environments, including the implementation of multi-time scale solutions. The proposed technique can be implemented as an extension to any EMTP-based simulator. Within our UBC research group, it is aimed at extending the capabilities of our real-time PC-cluster Object Virtual Network Integrator (OVNI) simulator.

This dissertation comprises three essays in public finance. The first essay is a research of a theory of trading of club goods and its application to jurisdiction. The essay establishes a model of trading of club goods among clubs, and illustrates its effects on the process and outcome of club formation. Cost function as well as disutility of crowdedness is emphasized and integrated into the process of club formation, after allowing for exchanging club good among clubs. In the process, the essay develops a market for club goods. Then the model is revised and applied to the formation of jurisdictions. The second essay comes out of an interest regarding household demand, poverty and public goods in developing countries. The essay explores household food consumption in Jamaica and estimates the effects of related variables. With Jamaica Survey of Living Conditions 2001 data, the essay estimates an Engel curve which reflects the relation between household food consumption and related variables. What’s more, to investigate the possible neighborhood effect on food consumption, the essay tests and estimates the spatial correlation among neighborhood food consumption. The estimated results can be applied to poverty reduction policy. The third essay extends the theme of poverty, consumption, and government programs by analyzing one other public program—education. Education is closely linked to poverty alleviation. Determining the demand for education and the return to education will help government focus programs aimed at reducing drop-out rates and in the long run, poverty in the country. The essay applies discrete time survival analysis techniques to analyze education duration in Jamaica. Based on Jamaica Survey of Living Conditions 2002, the essay estimates the effects of household, individual and other related covariates on dropout risks of students. The essay compares discrete time Cox model and discrete time logit model and concludes that the two estimations are consistent. The estimation results could be used to predict the effects of changes in the covariates, or be used to predict the dropout risks of particular students in each grade, both of which could provide useful policy implications to improve education in Jamaica.