Doctor of Philosophy / Department of Economics / Steven P. Cassou / This dissertation consists of three essays relating to asymmetric preferences in optimal monetary policy models. Optimal monetary policy models are theoretical optimal control problems that seek to identify how the monetary authority makes decisions and ultimately formulate decision rules for monetary policy actions. These models are important to policy makers because they help to define expectations of policy responses by the central bank. By identifying how researchers perceive the central bank’s actions over time, the monetary authority can identify how to manage those expectations better and formulate effective policy measures. In chapter 1, using a model of an optimizing monetary authority which has preferences that weigh inflation and unemployment, Ruge-Murcia (2003a; 2004) finds empirical evidence that the monetary authority has asymmetric preferences for unemployment. We extend this model to weigh inflation and output and show that the empirical evidence using these series also supports an asymmetric preference hypothesis, only in our case, preferences are asymmetricforoutput. Wealsofindevidencethatthemonetaryauthoritytargetspotential output rather than some higher output level as would be the case in an extended Barro and Gordon (1983) model. Chapter 2 extends the asymmetric monetary policy problem of Surico (2007) by relaxing the assumption that inflation and interest rate targets are constant using a time varying parameter approach. By estimating a system of equations using iterative maximum likeli- hood, all of the monetary planner’s structural parameters are identified. Evidence indicates that the inflation and interest rate targets are not constant over time for all models esti- mated. Results also indicate that the Federal Reserve does exhibit asymmetric preferences toward inflationary and output gap movements for the full data sample. The results are robust when accounting for changing monetary policy targeting behavior in an extended model. The asymmetry for both inflation and output gaps disappears over the post-Volcker subsample, as in Surico (2007). In chapter 3, Walsh (2003b)’s speed limit objective function is generalized to allow for asymmetry of policy response. A structural model is estimated using unobserved compo- nents to account for core inflation and measure the output gap as in Harvey, Trimbur and Van Dijk (2007) and Harvey (2011). Full sample estimates provide evidence for asymmetry in changes in inflation over time, but reject asymmetry for the traditional speed limit for the output gap. Post-Volcker subsample estimates see asymmetry disappear as in a more traditional asymmetric preferences model like Surico (2007).

Autonomous aerial, terrestrial, and marine vehicles provide a platform for several applications including cargo transport, information gathering, surveillance, reconnaissance, and search-and-rescue. To enable such applications, two main technical problems are commonly addressed.On the one hand, the motion-planning problem addresses optimal motion to a destination: an application example is the delivery of a package in the shortest time with least fuel. Solutions to this problem often assume that all relevant information about the environment is available, possibly with some uncertainty. On the other hand, the information gathering problem addresses the maximization of some metric of information about the environment: application examples include such as surveillance and environmental monitoring. Solutions to the motion-planning problem in vehicular autonomy assume that information about the environment is available from three sources: (1) the vehicle’s own onboard sensors, (2) stationary sensor installations (e.g. ground radar stations), and (3) other information gathering vehicles, i.e., mobile sensors, especially with the recent emphasis on collaborative teams of autonomous vehicles with heterogeneous capabilities. Each source typically processes the raw sensor data via estimation algorithms. These estimates are then available to a decision making system such as a motion- planning algorithm. The motion-planner may use some or all of the estimates provided. There is an underlying assumption of “separation� between the motion-planning algorithm and the information about environment. This separation is common in linear feedback control systems, where estimation algorithms are designed independent of control laws, and control laws are designed with the assumption that the estimated state is the true state. In the case of motion-planning, there is no reason to believe that such a separation between the motion-planning algorithm and the sources of estimated environment information will lead to optimal motion plans, even if the motion planner and the estimators are themselves optimal. The goal of this dissertation is to investigate whether the removal of this separation, via interactive motion-planning and sensing, can significantly improve the optimality of motion- planning. The major contribution of this work is interactive planning and sensing. We consider the problem of planning the path of a vehicle, which we refer to as the actor, to traverse a threat field with minimum threat exposure. The threat field is an unknown, time- variant, and strictly positive scalar field defined on a compact 2D spatial domain – the actor’s workspace. The threat field is estimated by a network of mobile sensors that can measure the threat field pointwise. All measurements are noisy. The objective is to determine a path for the actor to reach a desired goal with minimum risk, which is a measure sensitive not only to the threat exposure itself, but also to the uncertainty therein. A novelty of this problem setup is that the actor can communicate with the sensor network and request that the sensors position themselves in a procedure we call sensor reconfiguration such that the actor’s risk is minimized. This work continues with a foundation in motion planning in time-varying fields where waiting is a control input. Waiting is examined in the context of finding an optimal path with considerations for the cost of exposure to a threat field, the cost of movement, and the cost of waiting. For example, an application where waiting may be beneficial in motion-planning is the delivery of a package where adverse weather may pose a risk to the safety of a UAV and its cargo. In such scenarios, an optimal plan may include “waiting until the storm passes.� Results on computational efficiency and optimality of considering waiting in path- planning algorithms are presented. In addition, the relationship of waiting in a time- varying field represented with varying levels of resolution, or multiresolution is studied. Interactive planning and sensing is further developed for the case of time-varying environments. This proposed extension allows for the evaluation of different mission windows, finite sensor network reconfiguration durations, finite planning durations, and varying number of available sensors. Finally, the proposed method considers the effect of waiting in the path planner under the interactive planning and sensing for time-varying fields framework. Future work considers various extensions of the proposed interactive planning and sensing framework including: generalizing the environment using Gaussian processes, sensor reconfiguration costs, multiresolution implementations, nonlinear parameters, decentralized sensor networks and an application to aerial payload delivery by parafoil.

Este trabalho trata da preparação de membranas suportadas em substratos com alta permeabilidade, alta porosidade e razoável resistência mecânica., pelo método da sedimentação gravitacional. Os substratos foram obtidos através da prensagem de composições contendo poli(metacrilato de metila) e ácido esteárico dissolvidos no dicloro metano e alumina APC-SG (d50 = 3 &#956m ) calcinada a 1600&#176C durante 1h. As partículas de alumina após calcinação são classificadas em peneiras da série Tyler e utilizadas aquelas cuja distribuição se encontravam na faixa granulométrica de 250 a 500 &#956m. Os substratos após a prensagem a 33 MPa são calcinados e sinterizados a 1600&#176C durante 3h e apresentam \"alta resistência mecânica\", taxa de fluxo de 404 m3/m2h , porosidade de 59 % e distribuição de poros nas faixas de 10 a 100 &#956m e de 0.4 a 2.0 &#956m. Devido a grande diferença entre os diâmetros dos poros do substrato e o tamanho das partículas de alumina AKP-50 (d50 = 0.3 &#956m), utilizada para a obtenção da membrana, foi necessário acrescentar uma camada intermediária de alumina APC-SG entre o substrato e a membrana para viabilizar o processo de sedimentação. A camada intermediária foi depositada por sedimentação gravitacional e sinterizada a 1500&#176C durante 1h. A porosidade do substrato/camada intermediária é igual a 56 %, taxa de fluxo de 10 m3/m2h e distribuição de poros estreita na faixa de 0.4 a 2 &#956m. As membranas foram sinterizadas a 100&#176C durante 0.5h e se caracterizam por possuir uma distribuição de poros estreita na faixa de 0.04 a 0.09 &#956m, espessura média de 57 &#956m e taxa de fluxo de 0.4 m3/m2h. / This work is concerned with ceramic membrane preparation supported on a ceramic substrate having high permeability, high porosity and reasonable mechanical strength. Membranes were prepared from AKP-50 alumina by the gravitational sedimentation method followed by sintering at 1000&#176C for 0.5 h. Membranes showed a unimodal narrow pore size distribution in the 0.04 to 0.09 range, thickness of 57 &#956m and 0.4 m3/m2h. flow rate. Substrates were prepared by uniaxial compression, at 33 MPa, of alumina PMMA stearic acid powder composites followed by organic burning and final sintering at 1600&#176C for 3h. In order to increase alumina APC-SG grain size distribution to 250- 500 &#956m range, alumina was previously calcined at 1600&#176C for 1h. Substrates show high mechanical strength, 4.0 to 2 m3/m2h flow rate, 60% porosity and pore size distribution in the range of 10-100 &#956m and from 0.4 to 2.0 &#956m. Due to the large difference between the substrate pore diameter and the AKP-50 alumina grain size distribution (d50 = 0.3 &#956m) used in the membrane preparation, it was necessary to add an intermediary APC-SG layer. This layer was prepared also by the gravitational sedimentation method and sintered at 1500&#176C for 1h. The intermediary layer/substrate showed 56% porosity, 10 m3/m2h flow rate and a narrow pore sue distribution in the 0.4-2.0 &#956m range.

Filtros adaptativos com resposta ao impulso infinita (IIR) podem substituir com vantagens aqueles com respostas ao impulso finitas (FIR). Entre estas vantagens está o seu reduzido número de parâmetros que leva a uma menor complexidade computacional na obtenção de respostas similares. Porém, a utilização de filtros adaptativos IIR apresenta alguns problemas práticos, sendo o mais destacado sua convergência lenta. Este problema aparece principalmente quando algoritmos baseados no gradiente são utilizados para a adaptação dos coeficientes do filtro. A abordagem baseada na teoria de realização balanceada de sistemas, previamente utilizada para se analizar filtros com entrada branca, se mostrou uma ferramenta útil para entender o que faz com que um filtro convirja lentamente. Este método já foi aplicado com sucesso na análise de filtros adaptativos IIR com entrada branca nas configurações de identificação e de identificação inversa. Neste trabalho aplicaremos este mesmo método para o caso de entrada não branca. Será mostrado que a configuração de identificação inversa é um caso particular da configuração de identificação com entrada não-branca, podendo ambas serem tratadas conjuntamente. Também será mostrado que o sistema que controla as propriedades de convergência não é mais o sistema desconhecido que se está tentando identificar, e sim um sistema relacionado a este e a densidade espectral da entrada. No caso de entrada branca, esta análise levou ao algoritmo de aproximações sucessivas, o qual, utilizando um bloco auxiliar, tenta fazer com que o filtro adaptativo enxergue um um sistema de rápida convergência. Será apresentada uma generalização deste algoritmo para o caso de entrada não-branca, inclusive serão apontadas limitações do mesmo quanto a valores dos passos de adaptação. Simulações numéricas serão usadas para ilustrar todos os resultados obtidos. / Adaptive filters with infinite impulse response (IIR) can replace with advantages the ones with finite impulse response (FIR). One of these advantages is the reduced number of parameters which leads to a smaller computational complexity giving similar responses. However, the use of adaptive IIR filters has some pratical issue, being the most prominent its slow convergence. This issue is mainly seem when gradient descent algorithms are applied to adptate the filters coefficients. The approach bassed on the balanced realization of systems, previously used to analyze the convergence speed of adaptive IIR filter with white input, has seemed to be a useful tool in understanding what causes the slow convergence in a filter. This approach was sucessful aplliedto the analyzes of the identification and inverse identification configurations. In this work we will aplly this same approach to the non-white input case. It will be shown that the invese identification configuration is a special case of the identification configuration with non-white input, so both can be addressed together. It will also be shown that the convergence properties are no more set by the caracteristics of the unknown system, but by the caracteristics of a system related to it and the input spectral density function. In the white input case, the results of this analysis were used to propose the sucessive approximations algorithm, which uses an auxiliary block trying to make the adaptive filter sees a system with faster convergence. A more general form of this algorithm that includes the non-white input case will be presented, and some drawbacks regarding the adptation stepsize will be pointed out. Numerical simulations will be used to illustrate all the obtained results.

Ces travaux de thèse concernent la mise au point d’une méthodologie de conception de filtres passe-bandes à couplages dispersifs permettant d’optimiser la sélectivité de ces filtres en générant et en contrôlant la position de zéros de transmission supplémentaires. Un état de l’art sur les différentes approches proposées dans la littérature pour la synthèse de filtres hyperfréquences à couplage dispersif est d’abord proposé. Cette analyse est illustrée par plusieurs exemples concrets, et une structure en particulier, comportant un couplage par plot capacitif, constitue le point de départ des travaux. De nouveaux éléments de couplage dispersifs ont été ensuite proposés, capables de générer aussi bien des couplages positifs que négatifs, permettant ainsi de positionner les zéros de transmission dans la bande stoppée supérieure ou inférieure. Ces éléments ont alors été intégrés dans des structures de filtrage plus complexes pour réaliser par exemple des structures en ligne possédant plusieurs zéros de transmission hors bande ou des filtres multibandes à la sélectivité renforcée. Plusieurs des dispositifs conçus ont été fabriqués et mesurés. Les résultats expérimentaux sont en bon accord avec les simulations validant ainsi l’approche proposée. / This thesis report deals with the development of a methodology for the design of bandpass filters including dispersive coupling to optimize the selectivity of these filters by generating and controlling the position of additional transmission zeros. A state of the art on the different approaches proposed in the literature for the synthesis of microwave filters with dispersive coupling is first proposed. This analysis is illustrated by several concrete examples, and a structure in particular, comprising a coupling capacitive post, is the starting point of the work. New dispersive coupling elements were then proposed, capable of generating both positive and negative couplings, thus enabling the transmission zeros to be positioned in the upper or lower stopped band. These elements have then been integrated in more complex filtering structures to achieve, for example, on-line structures having several out-of-band transmission zeros or multiband filters with enhanced selectivity. Many of the devices designed have been manufactured and measured. The experimental results are in good agreement with the simulations validating the proposed approach.

This thesis deals with automatic localization and tracking of surgical tools such as needles in Magnetic Resonance Imaging(MRI). The accurate and precise localization of needles is very important for medical interventions such as biopsy, brachytherapy, anaesthesia and many other needle based percutaneous interventions. Needle tracking has to be really precise, because the target may reside adjacent to organs which are sensitive to injury. More over during the needle insertion, Magnetic Resonance Imaging(MRI) scan plane must be aligned such that needle is in the field of view (FOV) for surgeon. Many approaches were proposed for needle tracking and automatic MRI scan plane control over last decade that use external markers, but they are not able to account for possible needle bending. Significant amount of work has already been done by using the image based approaches for needle tracking in Image Guided Therapy (IGT) but the existing approaches for surgical robots under MRI guidance are purely based on imaging information; they are missing the important fact that, a lot of important information (for example, depth of insertion, entry point and angle of insertion) is available from the kinematic model of the robot. The existing approaches are also not considering the fact that the needle insertion results in a time sequence of images. So the information about needle positions from the images seen so far can be used to make an approximate estimate about the needle position in the subsequent images. During the course of this thesis we have investigated an image based approach for needle tracking in real-time MR images that leverages additional information available from robot's kinematics model, supplementing the acquired images. The proposed approach uses Standard Hough Transform(SHT) for needle detection in 2D MR image and uses Kalman Filter for tracking the needle over the sequence of images. We have demonstrated experimental validation of the method on Real MRI data using gel phantom and artificially created test images. The results proved that the proposed method can track the needle tip position with root mean squared error of 1.5 mm for straight needle and 2.5mm for curved needle.

Filtros adaptativos com resposta ao impulso infinita (IIR) podem substituir com vantagens aqueles com respostas ao impulso finitas (FIR). Entre estas vantagens está o seu reduzido número de parâmetros que leva a uma menor complexidade computacional na obtenção de respostas similares. Porém, a utilização de filtros adaptativos IIR apresenta alguns problemas práticos, sendo o mais destacado sua convergência lenta. Este problema aparece principalmente quando algoritmos baseados no gradiente são utilizados para a adaptação dos coeficientes do filtro. A abordagem baseada na teoria de realização balanceada de sistemas, previamente utilizada para se analizar filtros com entrada branca, se mostrou uma ferramenta útil para entender o que faz com que um filtro convirja lentamente. Este método já foi aplicado com sucesso na análise de filtros adaptativos IIR com entrada branca nas configurações de identificação e de identificação inversa. Neste trabalho aplicaremos este mesmo método para o caso de entrada não branca. Será mostrado que a configuração de identificação inversa é um caso particular da configuração de identificação com entrada não-branca, podendo ambas serem tratadas conjuntamente. Também será mostrado que o sistema que controla as propriedades de convergência não é mais o sistema desconhecido que se está tentando identificar, e sim um sistema relacionado a este e a densidade espectral da entrada. No caso de entrada branca, esta análise levou ao algoritmo de aproximações sucessivas, o qual, utilizando um bloco auxiliar, tenta fazer com que o filtro adaptativo enxergue um um sistema de rápida convergência. Será apresentada uma generalização deste algoritmo para o caso de entrada não-branca, inclusive serão apontadas limitações do mesmo quanto a valores dos passos de adaptação. Simulações numéricas serão usadas para ilustrar todos os resultados obtidos. / Adaptive filters with infinite impulse response (IIR) can replace with advantages the ones with finite impulse response (FIR). One of these advantages is the reduced number of parameters which leads to a smaller computational complexity giving similar responses. However, the use of adaptive IIR filters has some pratical issue, being the most prominent its slow convergence. This issue is mainly seem when gradient descent algorithms are applied to adptate the filters coefficients. The approach bassed on the balanced realization of systems, previously used to analyze the convergence speed of adaptive IIR filter with white input, has seemed to be a useful tool in understanding what causes the slow convergence in a filter. This approach was sucessful aplliedto the analyzes of the identification and inverse identification configurations. In this work we will aplly this same approach to the non-white input case. It will be shown that the invese identification configuration is a special case of the identification configuration with non-white input, so both can be addressed together. It will also be shown that the convergence properties are no more set by the caracteristics of the unknown system, but by the caracteristics of a system related to it and the input spectral density function. In the white input case, the results of this analysis were used to propose the sucessive approximations algorithm, which uses an auxiliary block trying to make the adaptive filter sees a system with faster convergence. A more general form of this algorithm that includes the non-white input case will be presented, and some drawbacks regarding the adptation stepsize will be pointed out. Numerical simulations will be used to illustrate all the obtained results.

Frequency filters are widely used in communications systems today. Historically they have been constructed from inductors, capacitors and resistors and such circuits are well understood. However they suffer from the disadvantages of large physical size and high cost. A monolithic realisation of frequency filters would greatly reduce the cost of systems in which filters are used and would increase their reliability in hostile environments. In this thesis a novel approach to the realisation of sampled-data monolithic frequency filters is presented. The method is based on the use of sampled analogue signals and is related to the wave digital filter in its design techniques. The eventual monolithic realisation in NMOS technology is in the form of a switched-capacitor structure. While the main body of the research is concerned with the implementation of filters which are based on distributed prototype networks, some work on integratable filters which are based on lumped element prototypes is also presented. For either type the design model is exact and the resulting filter is optimally insensitive to parameter variations. The filters are implemented using a technique which ensures that performance is limited by capacitor ratios, which are moderate as compared with alternative published approaches. A prototype integrated circuit suitable for use in the audio frequency band has been designed to demonstrate the validity of the approach for the filters based on distributed prototypes and contains. filters of third, fifth and seventh order. Results are presented for these filters and also for a pseudobandpass filter which uses the periodicity of the prototype distributed network. The seventh order filter had a cut-off frequency of one eighth of the filter sample rate and achieved a stop band attenuation of well over 70dB An implemetation of a wave filter based on a lumped element prototype is also described and results are presented. This work is expected to form the basis of a novel implemetation of bandpass filters. The responses achieved for all the wave filters constructed show excellent agreement with the theory.

The focus of this dissertation is the European Credit Default Swaps (CDSs) market. CDSs are the most popular credit derivative products. Three issues are discussed, the first, which is covered in chapter 2, is the investigation of non-diversifiable jump risk in iTraxx sector indices based on a multivariate model that explicitly admits discrete common jumps for an index and its components. Our empirical research shows that both the iTraxx Non-Financials and their components experience jumps during the sample period, which means that the jump risks in the iTraxx sector index are not diversifiable. The second issue, which is covered in chapter 3 is the component structure of credit default swap spreads and their determinants. We firstly extract a transitory component and a persistent component from two different maturities of the Markit iTraxx index and then regress these components against proxies for several commonly used explanatory variables. Our results show that these explanatory variables have significant but differing impacts on the extracted components, which indicates that a two-factor formulation may be needed to model CDS options. The last issue, which is covered in chapters 4, 5 and 6 is the investigation of the linkage between the credit default swap market and the equity market within the European area. We innovatively calibrate the CDS option with the Heston Model to get the implied volatility in the CDS market, which allows us to investigate both the characteristic of implied volatility in the CDS market and the relationship of the two markets not only on the level of daily changes but also with regard to its second moment. Our analysis shows that the stock market weakly leads the CDS market on daily changes but for implied volatility, the stock market leads the CDS market. A VECM analysis shows that only the stock market contributes to price discovery. For sub-investment grade entities, the interactivities between the implied volatility of the CDS market and the implied volatility of the stock market are stronger, especially during the recent credit crunch period. All these results have important implications for the construction of portfolios with credit-sensitive instruments.

Digital filter banks have found in a wide variety of applications in data compression, digital communications, and adaptive signal processing. The common objectives of the filter bank design consist of frequency selectivity of the individual filters and perfect reconstruction of the filter banks. The design problems of filter banks are intrinsically challenging because their natural formulations are nonconvex constrained optimization problems. Therefore, there is a strong motivation to cast the design problems into convex optimization problems whose globally optimal solutions can be efficiently obtained. The main contributions of this dissertation are to exploit the convex optimization algorithms to design several classes of the filter banks. First, the two-channel orthogonal symmetric complex-valued filter banks are investigated. A key contribution is to derive the necessary and sufficient condition for the existence of complex-valued symmetric spectral factors. Moreover, this condition can be expressed as linear matrix inequalities (LMIs), and hence semi-definite programming (SDP) is applicable. Secondly, for two-channel symmetric real-valued filter banks, a more general and efficient method for designing the optimal triplet halfband filter banks with regularity is developed. By exploiting the LMI characterization of nonnegative cosine polynomials, the semi-infinite constraints can be efficiently handled. Consequently, the filter bank design is cast as an SDP problem. Furthermore, it is demonstrated that the resulting filter banks are applied to image coding with improved performance. It is not straightforward to extend the proposed design methods for two-channel filter banks to M-channel filter banks. However, it is investigated that the design problem of M-channel cosine-modulated filter banks is a nonconvex optimization problem with the low degree of nonconvexity. Therefore, the efficient semidefinite relaxation technique is proposed to design optimal prototype filters. Additionally, a cheap iterative algorithm is developed to further improve the performance of the filter banks. Finally, the application of filter banks to multicarrier systems is considered. The condition on the transmit filter bank and channel for the existence of zero-forcing filter bank equalizers is obtained. A closed-form expression of the optimal equalizer is then derived. The proposed filter bank transceivers are shown to outperform the orthogonal frequency-division multiplexing (OFDM) systems.