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No / Recent work by Billinton et al. has highlighted the importance of employing more than one adverse weather state when modelling transmission line failures by Markov processes. In the present work the structure of the modelling Markov process is identified, allowing the rate matrix to be written in a closed form using Kronecker matrix operations. This approach allows larger models to be handled safely and with ease. The MAXIMA implementation of two asymptotic reliability indices for such systems is addressed, exemplifying the combination of symbolic and numerical steps, perhaps not seen in this context before. It is also indicated how the three-state weather model can be extended to a multi-state model, while retaining the scope of the proposed closed-form expression for the rate matrix. Some possible future work is discussed.

[pt] O estudo das propriedades estatísticas dos sistemas dinâmicos temsido uma área de pesquisa ativa nas últimas décadas. Seu principal objetivoé investigar quando determinados sistemas caóticos determinísticos exibemcomportamento estocástico quando examinados pelas lentes de uma medidainvariante relevante. Algumas das principais ferramentas empregadas naobtenção desses resultados são as propriedades espectrais do operador detransferência. No entanto, determinados sistemas do tipo produto torcido,incluindo cociclos lineares aleatórios e cociclos mistos aleatórios-quaseperiódicos, não se encaixam nessa abordagem. Trabalhos muito recentesobtiveram leis limite para esses sistemas estudando o operador de Markov.O objetivo desta dissertação é explicar como esses operadores podem serusados para derivar leis limite, como Estimativas de Grandes Desvios e oTeorema do Limite Central, para certos sistemas dinâmicos do tipo produtotorcido. / [en] The study of statistical properties of dynamical systems has been an active research area in recent decades. Its main goal is to investigate when certain deterministic chaotic systems exhibit stochastic behavior when examined through the lens of a relevant invariant measure. Some of the key tools employed in deriving such results are the spectral properties of the transfer operator. However, certain skew product systems, including random and mixed random-quasiperiodic linear cocycles, do not fit this approach. Very recent works have obtained limit laws for these systems by studying the Markov Operator. The purpose of this dissertation is to explain how these operators can be used to derive limit laws, such as Large Deviations Estimates and Central Limit Theorem, for certain skew-product dynamical systems.

Les modèles de Markov à sauts (appelés JMS pour Jump Markov System) sont utilisés dans de nombreux domaines tels que la poursuite de cibles, le traitement des signaux sismiques et la finance, étant donné leur bonne capacité à modéliser des systèmes non-linéaires et non-gaussiens. De nombreux travaux ont étudié les modèles de Markov linéaires pour lesquels bien souvent la restauration de données est réalisée grâce à des méthodes d’échantillonnage statistique de type Markov Chain Monte-Carlo. Dans cette thèse, nous avons cherché des solutions alternatives aux méthodes MCMC et proposons deux originalités principales. La première a consisté à proposer un algorithme de restauration non supervisée d’un JMS particulier appelé « modèle de Markov couple à sauts conditionnellement gaussiens » (noté CGPMSM). Cet algorithme combine une méthode d’estimation des paramètres basée sur le principe Espérance-Maximisation (EM) et une méthode efficace pour lisser les données à partir des paramètres estimés. La deuxième originalité a consisté à étendre un CGPMSM spécifique appelé CGOMSM par l’introduction des copules. Ce modèle, appelé GCOMSM, permet de considérer des distributions plus générales que les distributions gaussiennes tout en conservant des méthodes de restauration optimales et rapides. Nous avons équipé ce modèle d’une méthode d’estimation des paramètres appelée GICE-LS, combinant le principe de la méthode d’estimation conditionnelle itérative généralisée et le principe des moindre-carrés linéaires. Toutes les méthodes sont évaluées sur des données simulées. En particulier, les performances de GCOMSM sont discutées au regard de modèles de Markov non-linéaires et non-gaussiens tels que la volatilité stochastique, très utilisée dans le domaine de la finance. / Switching Markov Models, also called Jump Markov Systems (JMS), are widely used in many fields such as target tracking, seismic signal processing and finance, since they can approach non-Gaussian non-linear systems. A considerable amount of related work studies linear JMS in which data restoration is achieved by Markov Chain Monte-Carlo (MCMC) methods. In this dissertation, we try to find alternative restoration solution for JMS to MCMC methods. The main contribution of our work includes two parts. Firstly, an algorithm of unsupervised restoration for a recent linear JMS known as Conditionally Gaussian Pairwise Markov Switching Model (CGPMSM) is proposed. This algorithm combines a parameter estimation method named Double EM, which is based on the Expectation-Maximization (EM) principle applied twice sequentially, and an efficient approach for smoothing with estimated parameters. Secondly, we extend a specific sub-model of CGPMSM known as Conditionally Gaussian Observed Markov Switching Model (CGOMSM) to a more general one, named Generalized Conditionally Observed Markov Switching Model (GCOMSM) by introducing copulas. Comparing to CGOMSM, the proposed GCOMSM adopts inherently more flexible distributions and non-linear structures, while optimal restoration is feasible. In addition, an identification method called GICE-LS based on the Generalized Iterative Conditional Estimation (GICE) and the Least-Square (LS) principles is proposed for GCOMSM to approximate any non-Gaussian non-linear systems from their sample data set. All proposed methods are tested by simulation. Moreover, the performance of GCOMSM is discussed by application on other generable non-Gaussian non-linear Markov models, for example, on stochastic volatility models which are of great importance in finance.

De nombreuses solutions sont développées pour diminuer l'influence des multitrajets sur la précision et la disponibilité des systèmes GNSS. L'intégration de capteurs supplémentaires dans le système de localisation est l'une des solutions permettant de compenser notamment l'absence de données satellitaires. Un tel système est certes d'une bonne précision mais sa complexité et son coût limitent un usage très répandu.Cette thèse propose une approche algorithmique destinée à améliorer la précision des systèmes GNSS en milieu urbain. L'étude se base sur l'utilisation des signaux GNSS uniquement et une connaissance de l'environnement proche du récepteur à partir d'un modèle 3D du lieu de navigation.La méthode présentée intervient à l'étape de filtrage du signal reçu par le récepteur GNSS. Elle exploite les techniques de filtrage statistique de type Monte Carlo Séquentiels appelées filtre particulaire. L'erreur de position en milieu urbain est liée à l'état de réception des signaux satellitaires (bloqué, direct ou réfléchi). C'est pourquoi une information sur l'environnement du récepteur doit être prise en compte. La thèse propose également un nouveau modèle d'erreurs de pseudodistance qui permet de considérer les conditions de réception du signal dans le calcul de la position.Dans un premier temps, l'état de réception de chaque satellite reçu est supposé connu dans le filtre particulaire. Une chaîne de Markov, valable pour une trajectoire connue du mobile, est préalablement définie pour déduire les états successifs de réception des satellites. Par la suite, on utilise une distribution de Dirichlet pour estimer les états de réception des satellites / Most of the GNSS-based transport applications are employed in dense urban areas. One of the reasons of bad position accuracy in urban area is the obstacle's presence (building and trees). Many solutions are developed to decrease the multipath impact on accuracy and availability of GNSS systems. Integration of supplementary sensors into the localisation system is one of the solutions used to supply a lack of GNSS data. Such systems offer good accuracy but increase complexity and cost, which becomes inappropriate to equip a large fleet of vehicles.This thesis proposes an algorithmic approach to enhance the position accuracy in urban environment. The study is based on GNSS signals only and knowledge of the close reception environment with a 3D model of the navigation area.The method impacts the signal filtering step of the process. The filtering process is based on Sequential Monte Carlo methods called particle filter. As the position error in urban area is related to the satellite reception state (blocked, direct or reflected), information of the receiver environment is taken into account. A pseudorange error model is also proposed to fit satellite reception conditions. In a first work, the reception state of each satellite is assumed to be known. A Markov chain is defined for a known trajectory of the vehicle and is used to determine the successive reception states of each signal. Then, the states are estimated using a Dirichlet distribution

<div>Multi-target tracking (MTT) is the problem to simultaneously estimate the number of targets and their states or trajectories. Numerous techniques have been developed for over 50 years, with a multitude of applications in many fields of study; however, there are two most widely used approaches to MTT: i) data association-based traditional algorithms; and ii) finite set statistics (FISST)-based data association free Bayesian multi-target filtering algorithms. Most data association-based traditional filters mainly use a statistical or simple model of the feature without explicitly considering the correlation between the target behavior</div><div>and feature characteristics. The inaccurate model of the feature can lead to divergence of the estimation error or the loss of a target in heavily cluttered and/or low signal-to-noise ratio environments. Furthermore, the FISST-based data association free Bayesian multi-target filters can lose estimates of targets frequently in harsh environments mainly</div><div>attributed to insufficient consideration of uncertainties not only measurement origin but also target's maneuvers.</div><div>To address these problems, three main approaches are proposed in this research work: i) new feature models (e.g., target dimensions) dependent on the target behavior</div><div>(i.e., distance between the sensor and the target, and aspect-angle between the longitudinal axis of the target and the axis of sensor line of sight); ii) new Gaussian mixture probability hypothesis density (GM-PHD) filter which explicitly considers the uncertainty in the measurement origin; and iii) new GM-PHD filter and tracker with jump Markov system models. The effectiveness of the analytical findings is demonstrated and validated with illustrative target tracking examples and real data collected from the surveillance radar.</div>