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321	Contrôle optimal des équations d'évolution et ses applications / Optimal control of evolution equations and its applications Nabolsi, Hawraa 17 July 2018 (has links) Dans cette thèse, tout d’abord, nous faisons l’Analyse Mathématique du modèle exact du chauffage radiatif d’un corps semi-transparent $\Omega$ par une source radiative noire qui l’entoure. Il s’agit donc d’étudier le couplage d’un système d’Equations de Transfert Radiatif avec condition au bord de réflectivité indépendantes avec une équation de conduction de la chaleur non linéaire avec condition limite non linéaire de type Robin. Nous prouvons l’existence et l’unicité de la solution et nous démontrons des bornes uniformes sur la solution et les intensités radiatives dans chaque bande de longueurs d’ondes pour laquelle le corps est semi-transparent, en fonction de bornes sur les données, Deuxièmement, nous considérons le problème du contrôle optimal de la température absolue à l’intérieur du corps semi-transparent $\Omega$ en agissant sur la température absolue de la source radiative noire qui l’entoure. À cet égard, nous introduisons la fonctionnelle coût appropriée et l’ensemble des contrôles admissibles $T_{S}$, pour lesquels nous prouvons l’existence de contrôles optimaux. En introduisant l’espace des états et l’équation d’état, une condition nécessaire de premier ordre pour qu’un contrôle $T_{S}$ : t ! $T_{S}$ (t) soit optimal, est alors dérivée sous la forme d’une inéquation variationnelle en utilisant le théorème des fonctions implicites et le problème adjoint. Ensuite, nous considérons le problème de l’existence et de l’unicité d’une solution faible des équations de la thermoviscoélasticité dans une formulation mixte de type Hellinger- Reissner, la nouveauté par rapport au travail de M.E. Rognes et R. Winther (M3AS, 2010) étant ici l’apparition de la viscosité dans certains coefficients de l’équation constitutive, viscosité qui dépend dans ce contexte de la température absolue T(x, t) et donc en particulier du temps t. Enfin, nous considérons dans ce cadre le problème du contrôle optimal de la déformation du corps semi-transparent $\Omega$, en agissant sur la température absolue de la source radiative noire qui l’entoure. Nous prouvons l’existence d’un contrôle optimal et nous calculons la dérivée Fréchet de la fonctionnelle coût réduite. / This thesis begins with a rigorous mathematical analysis of the radiative heating of a semi-transparent body made of glass, by a black radiative source surrounding it. This requires the study of the coupling between quasi-steady radiative transfer boundary value problems with nonhomogeneous reflectivity boundary conditions (one for each wavelength band in the semi-transparent electromagnetic spectrum of the glass) and a nonlinear heat conduction evolution equation with a nonlinear Robin boundary condition which takes into account those wavelengths for which the glass behaves like an opaque body. We prove existence and uniqueness of the solution, and give also uniform bounds on the solution i.e. on the absolute temperature distribution inside the body and on the radiative intensities. Now, we consider the temperature $T_{S}$ of the black radiative source S surrounding the semi-transparent body $\Omega$ as the control variable. We adjust the absolute temperature distribution (x, t) 7! T(x, t) inside the semi-transparent body near a desired temperature distribution Td(·, ·) during the time interval of radiative heating ]0, tf [ by acting on $T_{S}$. In this respect, we introduce the appropriate cost functional and the set of admissible controls $T_{S}$, for which we prove the existence of optimal controls. Introducing the State Space and the State Equation, a first order necessary condition for a control $T_{S}$ : t 7! $T_{S}$ (t) to be optimal is then derived in the form of a Variational Inequality by using the Implicit Function Theorem and the adjoint problem. We come now to the goal problem which is the deformation of the semi-transparent body $\Omega$ by heating it with a black radiative source surrounding it. We introduce a weak mixed formulation of this thermoviscoelasticity problem and study the existence and uniqueness of its solution, the novelty here with respect to the work of M.E. Rognes et R. Winther (M3AS, 2010) being the apparition of the viscosity in some of the coefficients of the constitutive equation, viscosity which depends on the absolute temperature T(x, t) and thus in particular on the time t. Finally, we state in this setting the related optimal control problem of the deformation of the semi-transparent body $\Omega$, by acting on the absolute temperature of the black radiative source surrounding it. We prove the existence of an optimal control and we compute the Fréchet derivative of the associated reduced cost functional. Fonction de Planck Fonctionnelle coût Fonctionnelle coût réduite Existence de contrôles optimaux Espace des états Continuité des états Différentiabilité Fréchet Problème adjoint Équation parabolique rétrograde Inéquation variationnelle Thermoviscoélasticité Existence et unicité de la solution Contrôle du champ de déplacements Planck function Cost functional Reduced cost functional Existence of optimal controls State space Continuity of the states State equation Fréchet differentiability Implicit Function Theorem Adjoint Problem Backward parabolic equation Variational inequality Thermoviscoelasticity Maxwell model in thermoviscoelasticity Existence and uniqueness of the solution Control of the field of displacements
322	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
323	Highway Development Decision-Making Under Uncertainty: Analysis, Critique and Advancement El-Khatib, Mayar January 2010 (has links) While decision-making under uncertainty is a major universal problem, its implications in the field of transportation systems are especially enormous; where the benefits of right decisions are tremendous, the consequences of wrong ones are potentially disastrous. In the realm of highway systems, decisions related to the highway configuration (number of lanes, right of way, etc.) need to incorporate both the traffic demand and land price uncertainties. In the literature, these uncertainties have generally been modeled using the Geometric Brownian Motion (GBM) process, which has been used extensively in modeling many other real life phenomena. But few scholars, including those who used the GBM in highway configuration decisions, have offered any rigorous justification for the use of this model. This thesis attempts to offer a detailed analysis of various aspects of transportation systems in relation to decision-making. It reveals some general insights as well as a new concept that extends the notion of opportunity cost to situations where wrong decisions could be made. Claiming deficiency of the GBM model, it also introduces a new formulation that utilizes a large and flexible parametric family of jump models (i.e., Lévy processes). To validate this claim, data related to traffic demand and land prices were collected and analyzed to reveal that their distributions, heavy-tailed and asymmetric, do not match well with the GBM model. As a remedy, this research used the Merton, Kou, and negative inverse Gaussian Lévy processes as possible alternatives. Though the results show indifference in relation to final decisions among the models, mathematically, they improve the precision of uncertainty models and the decision-making process. This furthers the quest for optimality in highway projects and beyond. highway development decision making under uncertainty real options jump processes infinitely divisible distributions Lévy processes measure theory characteristic function characteristic exponent Lévy jump measure probability measure cádlág stochastic process Wiener process Poisson process compound Poisson process finite activity models jump diffusion models Merton model Gaussian jump process Kou model double exponential jump process leptokurtic volatility smile infinite activity models pure jumps process generalized hyperbolic model modified Bessel function negative inverse Gaussian model geometric Brownian motion model log-normal distribution model normality assumption heavy-tailed distribution asymmetric distribution quantile-quantile plot Rydberg algorithm parameter calibration moments cummulants sum of squares Monte Carlo simulation least-squares regression backward dynamic programming discrete-time Markov chain land price traffic demand highway service quality index data collection traffic volume Annual Average Daily Traffic Ontario Ministry of Transportation Land Registry Office Freedom of Information Act seasonality value of transportation types of transportation systems importance of highway systems cost of wrong decisions monetary cost private sector cost human cost land expropriation environmental cost irreversibility cost factor time cost factor political cost factor opportunity cost opportunity cost of wrong decisions economic cost of wrong decisions economic cost of mis-estimation economic profit of wrong decisions cost of inaction price of making right decisions scope of decisions rehabilitation decision land acquisition decision expansion decision uncertainty modeling land acquisition cost expropriation cost construction cost material cost Montréal-Mirabel International Airport Pickering Airport 407 Express Toll Route Highway 407 Statistics
324	市場風險值管理之應用分析以某金融控股公司為例 / The analysis of Market Risk VaR management ：the case of financial holding company 周士偉, Chou, Jacky Unknown Date (has links) 2008年次貸風暴橫掃全球金融市場，Basel II制度歷經多年的實施，卻無法有效防阻金融風暴的發生。觀察2008已採用內部模型法之主要國際金融機構之年報，亦發現採用蒙地卡羅模擬法之代表銀行『德意志銀行』於該年度竟發生了35次穿透，市場風險管理到底出了什麼問題？這是被極度關心的現象，產官學界也對此現象提出了許多議題。2012年的現在，次貸的風暴尚未遠去，新的歐債危機也正在蔓延，若金融風暴再次來臨，市場風險管理是否能克服次貸風暴後所凸顯的缺失，市場風險管理的價值除被動管理外，是否還可以進階到主動預警，以作為經營決策的重要參考資訊？這些都是國內金融機構需積極面對的急迫的市場風險管理議題。個案金控的市場風險管理機制致力於解決次貸以來所凸顯的市場風險管理議題、提升市場風險衡量的精準度、擴大市場風險管理之應用範圍，並將市場風險管理的價值由被動管理角色進階到主動預警角色，以期作為經營決策的重要參考。經過多年的淬煉，其發展理念與經驗應具相當參考價值，故本論文以個案金融控股公司(以下簡稱個案金控)之實務經驗進行個案研究，除分析個案金控市場風險管理機制的基礎架構外，也將研究重心放在個案金控如何在此基礎架構下，開發多種進階市場風險量化管理功能。本論文除研究個案金控如何完善市場風險值量化機制外，也對各量化功能的實施結果進行分析，以期研究成果可更客觀的作為其他金融控股公司未來發展進階市場風險衡量機制之參考。市場風險風險值經濟價值信託基金操作風險風險因子一般風險值壓力風險值條件風險值增額風險值邊際風險值變異數-共變異數法歷史模擬法蒙地卡羅模擬法隱含波動度厚尾順景氣循環標準法內部模型法市場流動性風險外生性市場流動性風險內生性市場流動性風險流動性調整後風險值壓力測試回溯測試 Market Risk Value at Risk Economic Value Active Management VaR Tracking Error Risk Factor Common VaR Stressed VaR Conditional VaR Incremental VaR Marginal VaR Variance-Covariance Approach Historical Simulation Approach Monte Carlo Simulation Approach Fat Tail Time-Varying Volatility pro-cyclical Standardized Approach Internal Models Approach Implied Volatility Generalized Error Distribution Bernoulli trial test Likelihood ratio test Unconditional Coverage Test Conditional Coverage Test Backward Looking Model Forward Looking Model Forecasting VaR Pearson Correlation Cholesky decomposition Kendall Correlation Copula method Future Volatility Disconnection Market Liquidity Risk Exogenous Market Liquidity Risk Endogenous Market Liquidity Risk Liquidity-adjusted VaR Stress Test Backtesting Net Interest Income Re-pricing Model Maturity Model Duration Model
325	Evaluation of Target Tracking Using Multiple Sensors and Non-Causal Algorithms Vestin, Albin, Strandberg, Gustav January 2019 (has links) Today, the main research field for the automotive industry is to find solutions for active safety. In order to perceive the surrounding environment, tracking nearby traffic objects plays an important role. Validation of the tracking performance is often done in staged traffic scenarios, where additional sensors, mounted on the vehicles, are used to obtain their true positions and velocities. The difficulty of evaluating the tracking performance complicates its development. An alternative approach studied in this thesis, is to record sequences and use non-causal algorithms, such as smoothing, instead of filtering to estimate the true target states. With this method, validation data for online, causal, target tracking algorithms can be obtained for all traffic scenarios without the need of extra sensors. We investigate how non-causal algorithms affects the target tracking performance using multiple sensors and dynamic models of different complexity. This is done to evaluate real-time methods against estimates obtained from non-causal filtering. Two different measurement units, a monocular camera and a LIDAR sensor, and two dynamic models are evaluated and compared using both causal and non-causal methods. The system is tested in two single object scenarios where ground truth is available and in three multi object scenarios without ground truth. Results from the two single object scenarios shows that tracking using only a monocular camera performs poorly since it is unable to measure the distance to objects. Here, a complementary LIDAR sensor improves the tracking performance significantly. The dynamic models are shown to have a small impact on the tracking performance, while the non-causal application gives a distinct improvement when tracking objects at large distances. Since the sequence can be reversed, the non-causal estimates are propagated from more certain states when the target is closer to the ego vehicle. For multiple object tracking, we find that correct associations between measurements and tracks are crucial for improving the tracking performance with non-causal algorithms. evaluation target tracking multiple sensors non-causal smoother smoothing tracking vehicle tracking camera lidar estimate estimation prediction vehicle dynamics sensor fusion real-time tracking extended kalman filter filter validation validation position estimation velocity estimation dynamic model model complexity multi object tracking multiple object tracking single object tracking data association tracking fundamentals iterated kalman filter track management gnn global nearest neighbour mahalanobis mahalanobis distance performance evaluation differential gps dgps roi ego several sensors sensors rmse root mean square error invertible motion anti-causal motion anti-causal tracking constant velocity gnn imu tfs two filter smoother ekf rts radar inertial measurement unit nonlinear nonlinear systems mono camera monocular camera noise model tracking performance fixed interval smoothing m/n logic centralized fusion non-causal object tracker car tracking car dynamics automotive active safety object tracking automotive industry thesis master reverse dynamics reverse tracking reverse sequence sequence tracking data propagation ground truth estimating ground truth additional sensors mounted sensors true estimates environment comparison algorithm independent targets overlapping measurements occluded track switch improve lower uncertainty more certain state process noise covariance sampling image sprt adas cnn cv pdf track target ego tracker tentative track observatiom online tracking offline tracking online offline recorded sequences robust self driving self-driving car traffic trajectory true state scenario scenarios future accurate output advanced driver assistance systems non-linear complex noise pedestrian truck bus maneuvering vehicles processed measurement frame state correction probability density function tuning likelihood transition measurement motion model recursion gaussian approximation distribution linear jacobian multiplicative noise ratio ad hoc ad hoc state space approach backward auction euclidean distance statistical threshold gating association margin normalize covariance matrix fusion confirmed rejected tentative history absolute error modular ego motion parameters variables logg hardware specification fused causal factorization independent uncorrelated transform moving rotation translation oncoming overtaking Control Engineering Reglerteknik

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