Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.

<p>Two codes have been developed and implemented for use on massively parallelsuper computers to simulate two-dimensional and quasigeostrophic turbulence.The codes have been found to scale well with increasing resolution and width ofthe simulations. This has allowed for the highest resolution simulations of two-dimensional and quasigeostrophic turbulence so far reported in the literature.The direct numerical simulations have focused on the statistical characteristicsof turbulent cascades of energy and enstrophy, the role of coherent vorticesand departures from universal scaling laws, theoretized more than 40 yearsago. In particular, the investigations have concerned the enstrophy and energycascade in forced and decaying two-dimensional turbulence. Furthermore, theapplicability of Charney’s hypotheses on quasigeostrophic turbulence has beentested. The results have shed light on the flow evolution at very large Reynoldsnumbers. The most important results are the robustness of the enstrophycascade in forced and decaying two-dimensional turbulence, the unexpecteddependency on an infrared Reynolds number in the spectral scaling of theenergy spectrum in the inverse energy cascade, and the validation of Charney’spredictions on the dynamics of quasigeostrophic turbulence. It has also beenshown that the scaling of the energy spectrum in the enstrophy cascade isinsensitive to intermittency in higher order statistics, but that corrections mightapply to the ”universal” Batchelor-Kraichnan constant.</p>

The analysis of non steady state physiological and pathological processes concerns the abstraction, extraction, formalisation and analysis of information from physiological systems that is obscured, hidden or unable to be assessed using traditional methods. Time Series Analysis (TSA) techniques were developed and built into a software program, Easy TSA, with the aim of examining the oscillations of hormonal concentrations in respect to their temporal aspects – periodicity, phase, pulsatility. The Easy TSA program was validated using constructed data sets and used in a clinical study to examine the relationship between insulin and obesity in people without diabetes. In this study fifty-six non-diabetic subjects (28M, 28F) were examined using data from a number of protocols. Fourier Transform and Autocorrelation techniques determined that there was a critical effect of the level of BMI on the frequency, amplitude and regularity of insulin oscillations. Second, information systems formed the background to the development of an algorithm to examine glycaemic variability and a new methodology termed the Glycaemic Risk in Diabetes Equation (GRADE) was developed. The aim was to report an integrated glycaemic risk score from glucose profiles that would complement summary measures of glycaemia, such as the HbA1c. GRADE was applied retrospectively to blood glucose data sets to determine if it was clinically relevant. Subjects with type 1 and type 2 diabetes had higher GRADE scores than the non-diabetic population and the contribution of hypo- and hyperglycaemic episodes to risk was demonstrated. A prospective study was then designed with the aim to apply GRADE in a clinical context and to measure the statistical reproducibility of using GRADE. Fifty-three (Male 26, Female 27) subjects measured their blood glucose 4 times daily for twenty-one days. The results were that lower HbA1c’s correlated with an increased risk of hypoglycaemia and higher HbA1c’s correlated with an increased risk of hyperglycaemia. Some subjects had HbA1c of 7.0 but had median GRADE values ranging from 2.2 to 10.5. The GRADE score summarized diverse glycaemic profiles into a single assessment of risk. Well-controlled glucose profiles yielded GRADE scores <= 5 and higher GRADE scores represented increased clinical risk from hypo or hyperglycaemia. Third, an information system was developed to analyse data-rich multi-variable retinal images using the concept of assessment of change rather than specific lesion recognition. A fully Automated Retinal Image Differencing (ARID) computer system was developed to highlight change between retinal images over time. ARID was validated using a study and then a retrospective study sought to determine if the use of the ARID software was an aid to the retinal screener. One hundred and sixty images (80 image pairs) were obtained from Gloucestershire Diabetic Eye Screening Programme. Images pairs were graded manually and categorised according to how each type of lesion had progressed, regressed, or not changed between image A and image B. After a 30 day washout period image pairs were graded using ARID and the results compared. The comparison of manual grading to grading using ARID (Table 4.3) demonstrated an increased sensitivity and specificity. The mean sensitivity of ARID (87.9%) was increased significantly in comparison to manually grading sensitivity (84.1%) (p<0.05). The specificity of the automated analysis (87.5%) increased significantly from the specificity (56.3%) achieved by manually grading (p<0.05). The conclusion was that automatic display of an ARID differenced image where sequential photographs are available would allow rapid assessment and appropriate triage. Forth, non-linear dynamic systems analysis methods were utilised to build a system to assess the extent of chaos characteristics within the insulin-glucose feedback domain. Biological systems exist that are deterministic yet are neither predictable nor repeatable. Instead they exhibit chaos, where a small change in the initial conditions produces a wholly different outcome. The glucose regulatory system is a dynamic system that maintains glucose homeostasis through the feedback mechanism of glucose, insulin, and contributory hormones and was ideally suited to chaos analysis. To investigate this system a new algorithm was created to assess the Normalised Area of Attraction (NAA). The NAA was calculated by defining an oval using the 95% CI of glucose & Insulin (the limit cycle) on a phasic plot. Thirty non-diabetic subjects and four subjects with type 2 diabetes were analysed. The NAA indicated a smaller range for glucose and insulin excursions with the non-diabetics subjects (p<0.05). The conclusion was that the evaluation of glucose metabolism in terms of homeostatic integrity and not in term of cut-off values may enable a more realistic approach to the effective treatment and prevention of diabetes and its complications.

In this work, new methods of feature extraction, feature selection, stochastic data characterization/modeling, variance reduction and measures for parametric discrimination are proposed. These methods have implications for data mining, machine learning, and information theory. A novel decision-support system is developed in order to guide intervention during cardiac arrest. The models are built upon knowledge extracted with signal-processing, non-linear dynamic and machine-learning methods. The proposed ECG characterization, combined with information extracted from PetCO2 signals, shows viability for decision-support in clinical settings. The approach, which focuses on integration of multiple features through machine learning techniques, suits well to inclusion of multiple physiologic signals. Ventricular Fibrillation (VF) is a common presenting dysrhythmia in the setting of cardiac arrest whose main treatment is defibrillation through direct current countershock to achieve return of spontaneous circulation. However, often defibrillation is unsuccessful and may even lead to the transition of VF to more nefarious rhythms such as asystole or pulseless electrical activity. Multiple methods have been proposed for predicting defibrillation success based on examination of the VF waveform. To date, however, no analytical technique has been widely accepted. For a given desired sensitivity, the proposed model provides a significantly higher accuracy and specificity as compared to the state-of-the-art. Notably, within the range of 80-90% of sensitivity, the method provides about 40% higher specificity. This means that when trained to have the same level of sensitivity, the model will yield far fewer false positives (unnecessary shocks). Also introduced is a new model that predicts recurrence of arrest after a successful countershock is delivered. To date, no other work has sought to build such a model. I validate the method by reporting multiple performance metrics calculated on (blind) test sets.

Recentes descobertas de campos de petróleo e gás, a centenas de quilômetros da costa Sudeste do Brasil, em lâmina d\'água acima de 2.000m, demandam avanços científicos e tecnológicos para sua exploração segura. Entre os desafios para os engenheiros, a análise dinâmica de risers offshore é de extrema relevância devido à propensão à fadiga do material estrutural. Os movimentos de unidades flutuantes, que ocorrem devido às ondas de gravidade, impõem um tipo particular de carregamento dinâmico para os risers. Por uma questão de simplicidade, apenas o movimento de heave é considerado, embora pitch and roll também possam desempenhar um papel relevante na análise. De fato, o efeito de heave provoca a modulação de tensãoamplitude ao longo da estrutura tubular e flexível, o que pode conduzir à ressonância paramétrica como consequência da conhecida instabilidade de Mathieu. O riser vertical será o foco desse trabalho. A teoria bidimensional de vigas de Bernoulli-Euler é utilizada para se obter uma equação diferencial não linear de movimento para o riser submetido a uma carga axial e peso submerso. Modelos matemáticos - conhecidos como modelos de ordem reduzida (MORs) - com poucos graus de liberdade são adotados, mas com capacidade adequada para representar a resposta estrutural tanto qualitativa como quantitativamente. Utilizando os modos não lineares como funções de projeção no procedimento de Galerkin não linear, a interpretação física vem da igualdade dos trabalhos virtuais tanto no modelo de alta hierarquia quanto do MOR, com a consequente introdução de vínculos rígidos nos modos excluídos da análise. Aqui, a relação não linear entre as amplitudes modais e modos de vibração/frequências são levados em conta. Os resultados obtidos estão de acordo com os resultados dos testes experimentais de um modelo em escala reduzida realizado sob coordenação do LIFE&MO (Laboratório de Interação Fluido-Estrutura e Mecânica Offshore), fornecendo uma calibração do coeficiente de arrasto equivalente, para se levar em conta o sistema dissipativo que inclui tanto o amortecimento hidrodinâmico e estrutural. As respostas também são comparadas com as obtidas através do estudo de um modelo de elementos finitos, elaborado com o auxílio de um software comercial, o OrcaFlex®, e com funções clássicas de projecção, em particular, a função trigonométrica. Em seguida, variando-se os parâmetros de controle, as respostas do estado estacionário pós-crítica são mapeadas e plotadas em um diagrama policromático. / Recent discoveries of oil and gas fields, hundreds of kilometers off the Southeast coast of Brazil, in water depths above 2,000m, demand scientific and technological advances to support their safe exploitation. Among the challenges posed to engineers, the dynamic analysis of offshore risers is of utmost relevance, due to fatigue of the structural material. The motions of floating units, which occur due to gravity waves, impose a particular type of dynamic loading to the risers. As a matter of simplicity, only heave is considered herewith, although pitch and roll can also play a relevant role in the analysis. In fact, the effect of heave causes tension-amplitude modulation to the long and flexible tubular structure, which may drive parametric resonance as a consequence of the well-known Mathieus instability. The vertical riser will be the focus of this work. Bernoulli-Euler two-dimensional beam theory is used to obtain a nonlinear differential equation of motion for the riser subjected to an axial thrust and submerged weight. Mathematical models known as reduced-order models (ROMs) with few degrees of freedom are used, but with adequate capacity to represent the structural response both qualitatively and quantitatively. Using non-linear modes as projection functions within the non-linear Galerkins procedure, the physical interpretation of which being the identification of virtual works in both the high-hierarchy model and the ROM, with consequent introduction of rigid constraints in the modes excluded from the analysis. Here the non-linear relationship between modal amplitudes and mode shapes/frequencies are taken into account. The results obtained here agree well with those of experimental tests with a small-scale model carried out under coordination LIFE&MO (Laboratory of Fluid-Structure Interaction & Offshore Mechanics), provided calibration of the equivalent drag coefficient is carried out, to account for the overall system dissipation including both hydrodynamic and structural damping. The responses are also compared with those given by finite element models studied with the help of commercial software, the OrcaFlex® and with classical projection functions, in particular the trigonometric function. Then varying the control parameters, the responses of post-critical steady state are mapped and plotted in diagram polychromatic.

La thèse concerne la prévision du comportement dynamique non linéaire d’équipements optique. Les travaux de recherche menés se concentrent sur la simulation des phénomènes vibratoires en jeu, afin de prévoir la réponse harmonique de l’équipement. Ces travaux ouvrent ainsi la voie à des préconisations d’évolutions dans la conception mécanique du projecteur pour augmenter sa durabilité et le confort de vision. En effet les essais pratiqués montrent que de forts niveaux de vibrations endommagent les composants du projecteur et détériorent la stabilité du faisceau d’éclairage. Afin d’éviter de telles nuisances, la conception du projecteur doit être adaptée grâce à un modèle mécanique qui intègre des comportements non linéaires causés essentiellement par les liaisons pour prévoir le mieux possible les niveaux de vibrations du projecteur embarqué. L’état de l’art est réalisé sur les comportements dynamiques non linéaires, les modèles et méthodes de résolution associés, puis les estimateurs existants de quantification des non linéarités. Les essais d’analyse modale réalisés mettent en évidence la présence de phénomènes non linéaires dus à de multiples causes (jeux-butées, frottements, stick-slip, …) localisées dans les liaisons réflecteur-boitier. Les caractérisations expérimentales menées sur les liaisons, délivrent des boucles efforts-déflexion qui montrent différents types de comportement non linéaire, aident au choix des modèles les plus pertinents et au calage de leurs paramètres. Les limites de validité des modèles de calculs linéaires sont déterminées par des critères formulés empiriquement. Les modèles non linéaires de liaison sélectionnés sont intégrés dans un modèle réduit à un puis à deux degrés de liberté d’un projecteur. La réprésentativité du modèle est évaluée sur la base des analyses modales mesurées du projecteur. Les équations décrivent le comportement dynamique de projecteur et les non linéarités sous l’hypothèse de régime stationnaire. La méthode de balance harmonique associée à une technique de continuation par longueur d’arc résout rapidement les équations et détermine avec précision les réponses dynamiques établies. L’étude est complétée par l’analyse de stabilité selon la théorie de Floquet qui met en évidence la présence des branches de solutions stables ou instables. Enfin des réponses harmoniques sont calculées avec un modèle aux éléments finis du projecteur complet. Les calculs sont basés sur l’identification des modes qui reposent sur la répartition des masses dans la structure, la nature des liaisons. Des études d’influence sont réalisées. Les paramètres étudiés sont les raideurs et précontraintes de contact, le coefficient de frottement, l’amortissement introduit. Leurs impacts sur les niveaux des vibrations sont quantifiés ce qui amène au recalage du modèle éléments finis pour améliorer les résultats modaux du projecteur automobile et sa réponse harmonique forcée. / The thesis deals with the prediction of nonlinear dynamic behavior of automotive headlamps. The attention is focused on building models to estimate the vibration behavior of lighting system to enhance its durability and comfort of vision. Vibration tests show that high levels of vibration damage projector components and degrade the stability of the illuminating beam. To avoid these issus, headlamps design must be adapted to include nonlinear phenomena provided from the joints connecting the reflector and housing subsets. The state of the art is performed on the non-linear dynamic behavior, models and methods and existing estimators quantifying nonlinearities. The modal tests performed demonstrate the presence of non-linear phenomena (clearance, friction, stick-slip, …) located in reflector-housing joints. Experimental investigations carried out on joints show different types of nonlinear behavior and help to identify the most important contact parameters (stiffness and damping). The limits of validity of the linear models are determined by empirically formulated criteria. Selected nonlinear models are integrated in a 1D-model reduced to one then two degrees of freedom of a projector. The representativeness of the model is evaluated basing of modal measurement of headlamp. The Harmonic Balance Method was used to calculate the periodic response. The algorithm calculates also the stability of the periodic solutions found, using Floquet theory, and follows stable or instable branches versus varying system parameters via the arc-length continuation technique. Finally, harmonic responses are predicted with a finite element model of the entire headlamp. The calculations are based on the identification of modes that are based on the weight distribution in the structures and joints proprities. Sensibility studies are carried out on stiffness and preloaded contact, coefficient of friction and damping. Impacts on the vibration levels were quantified that leads to update the finite element model and improve modal and harmonic results of headlamp.

Este trabalho visa a avaliar os efeitos dinâmicos em vigas esbeltas semi-infinitas com contato unilateral em apoio elástico sob flexão composta, e sua possível aplicação a dutos flexíveis de extração de petróleo offshore em configuração de catenária (Steel Catenary Risers) provocados por esforços de movimento da plataforma. O estudo se desenvolve com formulação de vigas semi-infinitas em duas dimensões (2D) com suporte unilateral elástico, considerando-se inicialmente apenas efeito de flexão, à qual se aplica o método das múltiplas escalas (MME) para obtenção dos modos de vibração, e posteriormente o método das variedades invariantes (MVI) para recuperação das relações modais entre as coordenadas generalizadas e as variáveis modais. Trata-se, a seguir, da formulação do problema com consideração da tração, tanto estática como dinâmica, e a projeção da equação de movimento completa segundo os modos obtidos no problema da flexão simples, para obtenção do modelo de ordem reduzida com efeito de tração, que permitiu estudar este último qualitativa e quantitativamente. A formulação inicial teve como ponto de partida a utilização de mudanças de variáveis que permitiu a transformação do problema de condições móveis em condições fixas de contorno, propiciando caracterizar o movimento vertical da viga na solução analítica do problema de vibrações livres, até o limite possível, para depois utilizar técnicas de integração numérica na solução do problema de vibrações forçadas. A motivação para estudo de tais efeitos está ligada à importância indiscutível que tem para a indústria petrolífera e para a economia mundial, além do crescente papel deste segmento em termos nacionais. A descoberta do Campo de Tupi, na Bacia de Santos, que representa a maior reserva de óleo e gás do País, alavancou pesquisas para extração de petróleo em águas ultra-profundas (profundidades da ordem de 2.500m) (fonte: www.petrobras.com.br), além da necessidade já estabelecida de maiores pesquisas em águas profundas (profundidades que podem chegar a 2.000m). Considere-se também a motivação da própria Petrobrás, cujo intuito é ter capacidade de extrair 4,5 milhões de barris por dia até 2020. Tal capacidade de produção deve exigir 45 sistemas de produção, sendo que cada sistema de produção necessita de 4 a 5 barcos de apoio, totalizando assim 200 barcos operando em 2020 (Fonte: O Estado de São Paulo, Ano 131, Nº 42786, Coluna Celso Ming). Apesar da crescente pesquisa em fontes alternativas de energia, a demanda não só por óleo e gás, mas também pela utilização de polímeros e componentes plásticos, ainda sustentará a extração de petróleo por no mínimo algumas décadas. Além disso, técnicas melhores na fixação de carbono (técnicas naturais e artificiais para seqüestro de carbono), permitem sonhar que a utilização de petróleo, desde a sua queima até a produção de material sintético possa se tornar cada vez menos impactante para o meio ambiente. / This work aims at analyzing the dynamical effects in slender reticulated beams on elastic support with unilateral contact under combined axial force and bending, and the possibility of its association with steel catenary risers connected to offshore structures, caused by movement of the platform. The study is developed based on 2D semi-infinite beams on unilateral elastic support, initially considering only bending effects, to which the multiple scales method (MSM) is applied to obtain vibration modes, and thereafter the invariant manifold method (IMM) to obtain the modal relationships between the generalized coordinates and the modal variables. It follows the formulation of the problem considering tension effects, both from static and dynamical sources, and the projection of the full equation of motion with respect to the vibration modes from the first formulation considering only bending effects, which allows us to obtain the reduced order model with tension effects, and its application to steel catenary risers (SCR). The starting point for the mathematical formulation is a variable transformation, which allows us to change a free boundary into a fixed boundary one. It is then possible to obtain the free-vibration analytical solution, as far as possible, and then use numerical integration schemes to obtain the forced vibration time responses. As motivation, we can firstly mention the unquestionable role of the oil and gas industry for the world economy, besides its increasing market share within the national economy. The discovery of the Tupi Field, in the Santos Basin, which represents the biggest oil and gas reserve of the Country, gave impulse to investments and research in all fields associated to the oil and gas area, in ultra deep water (depth around 2.500m), besides the well known need of research in deep water (depth around 2.000m). In spite of the growing research on alternative sources of energy, the world still demands not only oil and gas, but also polymers and plastic components, and this will still be the scenario for the next decades. Besides that, the increasing of knowledge in carbon sequestration may keep up the use of oil and gas for some more decades, hopefully with less environment impact.

This thesis presents a real-time autonomous guidance and control method for a quadrotor in a GPS-denied environment. The quadrotor autonomously seeks a destination while it avoids obstacles whose shape and position are initially unknown. We implement the obstacle avoidance and destination seeking methods using off-the-shelf sensors, including a vision-sensing camera. The vision-sensing camera detects the positions of points on the surface of obstacles. We use this obstacle position data and a potential-field method to generate velocity commands. We present a backstepping controller that uses the velocity commands to generate the quadrotor's control inputs. In indoor experiments, we demonstrate that the guidance and control methods provide the quadrotor with sufficient autonomy to fly point to point, while avoiding obstacles.

Mathematical models are used in engineering and the sciences to estimate properties of systems of interest, increasing our understanding of the surrounding world and driving technological innovation. Unfortunately, as the systems of interest grow in complexity, so to do the models necessary to accurately describe them. Analytic solutions for problems with such models are provably intractable, motivating the use of approximate yet still accurate estimation techniques. Particle filtering methods have emerged as a popular tool in the presence of such models, spreading from its origins in signal processing to a diverse set of fields throughout engineering and the sciences including medical research, economics, robotics, and geophysics. In groundwater hydrology, a key component of aquifer assessment is the determination of the properties which permit water resource managers to estimate aquifer drawdown and safe yield. Presented is a particle filtering approach to estimate aquifer properties from transient data sets, leveraging recently published analytically-derived models for confined aquifers. The approach is examined experimentally through validation against three common aquifer testing problems: determination of (i) transmissivity and storage coefficient from non-leaky confined aquifer performance tests, (ii) transmissivity, storage coefficient, and vertical hydraulic conductivity of a confining unit from leaky confined aquifer performance tests, and (iii) transmissivity and storage coefficient from non-leaky confined aquifer performance tests with noisy data and boundary effects. The first two problems are well-addressed and the presented approach compares favorably to the results obtained from other published methods. The third problem, which the presented method can tackle more naturally than previously-published methods, underscores the flexibility of particle filtering and, in turn, the promise such methods offer for a myriad of other geoscience problems

Several targeting algorithms are developed and analyzed for possible future use onboard a spacecraft. Each targeter is designed to determine the appropriate propulsive burn for translunar injection to obtain desired orbital parameters upon arrival at the moon. Primary design objectives are to minimize the computational requirements for each algorithm but also to ensure reasonable accuracy, so that the algorithm’s errors do not force the craft to conduct large mid-course corrections. Several levels of accuracy for dynamical models are explored, the convergence range and speed of each algorithm are compared, and the possible benefits of the Broyden and trust-region targeters are evaluated. These targeters provide a proof of concept for the feasibility of a translunar injection targeting algorithm. Anticipating some future improvements, these algorithms could serve as a viable alternative to uploading ground-based targeting solutions and bypass the problems of delays and disruptions in communication, enabling the craft to conduct a translunar injection burn autonomously.