The conventional method of thermal modeling of space payloads is expensive and cumbersome. Radiation plays an important part in the thermal modeling of space payloads because of the presence of vacuum and deep space viewing. This induces strong nonlinearities into the thermal modeling process. There is a need for extensive correlation between the model and test data. This thesis presents Online Parameter Estimation as an approach to automate the thermal modeling process. The extended Kalman fillter (EKF) is the most widely used parameter estimation algorithm for nonlinear models. The unscented Kalman filter (UKF) is a new and more accurate technique for parameter estimation. These parameter estimation techniques have been evaluated with respect to data from ground tests conducted on an experimental space payload.

Fault detection and diagnosis have gained central importance in the chemical process industries over the past decade. This is due to several reasons, one of them being that copious amount of data is available from a large number of sensors in process plants. Moreover, since industrial processes operate in closed loop with appropriate output feedback to attain certain performance objectives, instrument faults have a direct effect on the overall performance of the automation system. Extracting essential information about the state of the system and processing the measurements for detecting, discriminating, and identifying abnormal readings are important tasks of a fault diagnosis system. The goal of this dissertation is to develop such fault diagnosis systems, which use limited information about the process model to robustly detect, discriminate, and reconstruct instrumentation faults. Broadly, the proposed method consists of a novel nonlinear state and parameter estimator coupled with a fault detection, discrimination, and reconstruction system. The first part of this dissertation focuses on designing fault diagnosis systems that not only perform fault detection and isolation but also estimate the shape and size of the unknown instrument faults. This notion is extended to nonlinear processes whose structure is known but the parameters of the process are a priori uncertain and bounded. Since the uncertainty in the process model and instrument fault detection interact with each other, a novel two-time scale procedure is adopted to render overall fault diagnosis. Further, some techniques to enhance the convergence properties of the proposed state and parameter estimator are presented. The remaining part of the dissertation extends the proposed model-based fault diagnosis methodology to processes for which first principles modeling is either expensive or infeasible. This is achieved by using an empirical model identification technique called subspace identification for state-space characterization of the process. Finally the proposed methodology for fault diagnosis has been applied in numerical simulations to a non-isothermal CSTR (continuous stirred tank reactor), an industrial melter process, and a debutanizer plant.

We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying Brownian motion. After substituting into the GBM the direct volatility estimator for the true, but unknown, value of the parameter sigma, we derive the resulting marginal distribution of the approximated GBM. This allows us to derive post-estimation distributions and valuation formulae for an assortment of European contingent claims that are in accord with the basic properties of the underlying risk-neutral process. Next we extend our work to the contingent claim sensitivities associated with an assortment of European option portfolios that are based on the direct estimator of the volatility of the GBM process. Our approach to the option sensitivities - the Greeks - uses the likelihood function technique. This allows us to obtain computable results for the technically more-complicated formulae associated with our post-estimation process. We discuss an assortment of difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae.

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<p>The first part of this thesis studies tail probabilities forelliptical distributions and probabilities of extreme eventsfor multivariate stochastic processes. It is assumed that thetails of the probability distributions satisfy a regularvariation condition. This means, roughly speaking, that thereis a non-negligible probability for very large or extremeoutcomes to occur. Such models are useful in applicationsincluding insurance, finance and telecommunications networks.It is shown how regular variation of the marginals, or theincrements, of a stochastic process implies regular variationof functionals of the process. Moreover, the associated tailbehavior in terms of a limit measure is derived.</p><p>The second part of the thesis studies problems related toparameter estimation in stochastic models with long memory.Emphasis is on the estimation of the drift parameter in somestochastic differential equations driven by the fractionalBrownian motion or more generally Volterra-type processes.Observing the process continuously, the maximum likelihoodestimator is derived using a Girsanov transformation. In thecase of discrete observations the study is carried out for theparticular case of the fractional Ornstein-Uhlenbeck process.For this model Whittle’s approach is applied to derive anestimator for all unknown parameters.</p>

<p>Progress in individualized drug treatment is of increasing importance, promising to avoid much human suffering and reducing medical treatment costs for society. The strategy is to maximize the therapeutic effects and minimize the negative side effects of a drug on individual or group basis. To reach the goal, interactions between the human body and different drugs must be further clarified, for instance by using mathematical models. Whether clinical studies or laboratory experiments are used as primary sources of information, greatly</p><p>influences the possibilities of obtaining data. This must be considered both prior and during model development and different strategies must be used. The character of the data may also restrict the level of complexity for the models, thus limiting their usage as tools for individualized treatment.</p><p>In this thesis work two case studies have been made, each with the aim to develop a model for a specific human-drug interaction. The first case study concerns treatment of inflammatory bowel disease with thiopurines, whereas the second is about treatment of ovarian cancer with paclitaxel. Although both case studies make use of similar amounts of experimental data, model development depends considerably on prior knowledge about the systems, the character of the data and the choice of modelling tools. All these factors are presented for</p><p>each of the case studies along with current results. Further, a system for classifying different but related models is also proposed with the intention that an increased understanding will contribute to advancement in individualized drug dosage.</p> / Report code: LiU-Tek-Lic-2007:41.

<p>Feedback control of Chest Acceleration or Chest Deflection is believed to be a good way of minimizing the risk of injury. In order to implement such a controller in a car, an observer estimating these responses is needed. The objective of the study was to develop a model of the dummy’s chest capable of estimating the Chest Acceleration and the Chest Deflection during frontal crashes in real time. The used sensor data come from car accelerometer and spindle rotation sensor of the belt, the data has been collected from dummies during crash tests. This study has accomplished the aims using a simple linear model of the chest using masses, springs and dampers. The parameters of the model have been estimated through system identification. Two types of black-box models have also been studied, one ARX model and one state-space model. The models have been tested and validated against data coming from different crash setups. The results show that all of the studied models can be used to estimate the dummy responses, the physical grey-box model and the black-box state-space model in particular.</p> / <p>Genom att använda återkoppling av storheterna bröstacceleration och bröstintryck antas man kunna minska risken för skador vid krockar i personbilar. För att kunna implementera detta behövs en observatör för dessa storheter. Målet med denna studie är att ta fram en modell för att kunna skatta accelerationen i bröstkorgen samt bröstintrycket i realtid i frontala krockar. Sensordata som använts kom från en accelerometer och en givare för att mäta rotationen i bältessnurran. Detta har gjorts genom att modellera bröstkorgen med linjära fjädrar och dämpare. Dess parametrar har skattats från data från krocktester från krockdockor. Två s.k. black-box-modeller har också tagits fram, en ARX-modell och en på tillståndsform. Modellerna har testats och validerats mha data från olika sorters krocktester. Resultaten visar att alla studerade modeller kan användas för att skatta de ovan nämnda storheterna, den fysikaliska modellen och black-box-modellen på tillståndsform fungerade bäst.</p>

In this paper, we consider as an inverse problem the simultaneous estimation of the five parameters of a jump diffusion process from return observations of a price trajectory. We show that there occur some ill-posedness phenomena in the parameter estimation problem, because the forward operator fails to be injective and small perturbations in the data may lead to large changes in the solution. We illustrate the instability effect by a numerical case study. To overcome the difficulty coming from ill-posedness we use a multi-parameter regularization approach that finds a trade-off between a least-squares approach based on empircal densities and a fitting of semi-invariants. In this context, a fixed point iteration is proposed that provides good results for the example under consideration in the case study.

In this paper, we consider the inverse problem of calibrating a generalization of the bivariate Ornstein-Uhlenbeck model introduced by Lo and Wang. Even though the generalized Black-Scholes option pricing formula still holds, option prices change in comparison to the classical Black-Scholes model. The time-dependent volatility function and the other (real-valued) parameters in the model are calibrated simultaneously from option price data and from some empirical moments of the logarithmic returns. This gives an ill-posed inverse problem, which requires a regularization approach. Applying the theory of Engl, Hanke and Neubauer concerning Tikhonov regularization we show convergence of the regularized solution to the true data and study the form of source conditions which ensure convergence rates.

A surge function is a mathematical function of the form f(x)=axpe-bx. We simplify the surge function by holding p constant at 1 and investigate the simplified form as a potential model to represent the full peak of a stream discharge hydrograph. The previously studied Weibull and gamma distributions are included for comparison. We develop an analysis algorithm which produces the best-fit parameters for every peak for each model function, and we process the data with a MATLAB script that uses spectral analysis to filter year-long, 15-minute, stream-discharge data sets. The filtering is necessary to locate the concave-upward inflection points used to separate the data set into its constituent, individual peaks. The Levenberg-Marquardt algorithm is used to iteratively estimate the unknown parameters for each version of the modeled peak by minimizing the sum of squares of residuals. The results allow goodness-of-fit comparisons between the three model functions, as well as a comparison of peaks at the same gage through the year of record. Application of these methods to five rivers from three distinct hydrologic regions shows that the simple surge function is a special case of the gamma distribution, which is known to be useful as a modeling function for a full-peak hydrograph. The study also confirms that the Weibull distribution produces good fits to 15-minute hydrograph data.