This thesis contains four chapters, each of which examines different aspects of the uncertainty facing monetary policymakers.''Monetary policy and market interest rates'' investigates how interest rates set on financial markets respond to policy actions taken by the monetary authorities. The reaction of market rates is shown to depend crucially on market participants' interpretation of the factors underlying the policy move. These theoretical predictions find support in an empirical analysis of the U.S. financial markets.''Predicting monetary policy using federal funds futures prices'' examines how prices of federal funds futures contracts can be used to predict policy moves by the Federal Reserve. Although the futures prices exhibit systematic variation across trading days and calendar months, they are shown to be fairly successful in predicting the federal funds rate target that will prevailafter the next meeting of the Federal Open Market Committee from 1994 to 1998.''Monetary policy with uncertain parameters'' examines the effects  of parameter uncertainty on the optimal monetary policy strategy. Under certain parameter configurations, increasing uncertainty is shown to lead to more aggressive policy, in contrast to the accepted wisdom.''Should central banks be more aggressive?'' examines why a certain class of monetary policy models leads to more aggressive policy prescriptions than what is observed in reality. These counterfactual results are shown to be due to model restrictions rather than central banks being too cautious in their policy behavior. An unrestricted model, taking the dynamics of the economy and multiplicative parameter uncertainty into account, leads to optimal policy prescriptions which are very close to observed Federal Reserve behavior. / <p>Diss. Stockholm : Handelshögskolan, 1999</p>

The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained Mean-Variance portfolio and the out-of-sample Global Minimum Variance portfolio. A new two-fund rule is developed in a specific class of combined rules, between the equally weighted portfolio and a mean-variance portfolio with the covariance matrix being estimated by linear shrinkage. The study shows that this rule performs well out-of-sample when covariance estimation error and bias are balanced. The rule is performing at least as good as its peer group in this class of combined rules.

One of the most important steps in the numerical simulation of a hydrogeological system is the precise definition of initial and boundary conditions. The better these are characterized, the more efficient the calculation and the more accurate are the simulation result. In case of simulating processes in the unsaturated soil zone, the water retention curve, the relationship between volumetric water content and matric potential, is of great importance. However, the retention parameters determined locally by different standard methods often do not represent the whole soil system under consideration due to heterogeneities in the soil body caused by variability or different compaction of the soil. Resulting over- or underestimation of the parameters is leading to a worse performance of simulations of the water balance including to a higher calibration effort. Therefore, it is more favorable to identify these soil parameters by a method representing the whole soil system to avoid uncertainties. For this reason, a dike experiment was performed to investigate how soil parameters determined locally and globally can represent the properties of the whole soil system. When comparing the simulation results of the numerical models, a better agreement of measured and simulated water contents as well as a lower effort for calibration is observed by using the soil parameters determined globally.

[pt] O objetivo desta tese é fornecer ferramentas para a análise global de sistemas dinâmicos não determinísticos com atratores coexiostentes considerando incerteza paramétrica ou ruído e aplicá-las a problemas de engenharia. Para isso, é proposta uma estratégia de discretização adaptativa no espaço de fase baseada no método clássico de Ulam. Inicialmente, apresenta-se uma revisão das definições matemáticas de sistemas dinâmicos, incerteza paramétrica e ruído, destacando-se o efeito da aleatoriedade nas estruturas dinâmicas globais. Operadores de transferência discretos são derivados com as modificações necessárias devido à incerteza dos parâmetros. Bacias de atração estocásticas e distribuição dos atratores substituem o conceito usual de bacia e atrator. Para casos de incerteza paramétrica, o espaço de fase é aumentado com o espaço de probabilidade correspondente, resultando em uma coleção de operadores de transferência dos quais médias são obtidas. São propostas duas estratégias de discretização adaptativa no espaço de fase, uma que considera apenas a distribuição dos atratores e bacias estocásticas, e outra que discretiza as variedades estáveis e instáveis. O primeiro método é aplicado inicialmente aos osciladores de Helmholtz e Duffing sob excitação harmônica ou paramétrica com parâmetros incertos ou ruído adicionado ao carregamento determinístico. Eles demonstram as capacidades adaptativas dos métodos propostos, aumentando a qualidade sem aumentar demasiadamente o custo computacional. A dependência do tempo das respostas estocásticas é demonstrada, com longos transientes influenciando o comportamento global. Por fim, discute-se o efeito das incertezas e ruídos nas áreas das bacias, distribuições de atratores e limites das bacias, que podem ser usados para avaliar a integridade dinâmica de sistemas com bacias coexistentes. Em seguida, dois Sistemas Micro-Eletro-Mecânicos (MEMS) atuados eletricamente, uma microviga em balanço e um microarco imperfeitos, são investigados. O efeito do ruído adicionado e da incerteza paramétrica em ambas as estruturas é demonstrado. Os resultados destacam a importância da aleatoriedade na dinâmica global de sistemas dinâmicos com atratores coexistentes. / [en] The aim of this thesis is to provide tools for the global analysis of nondeterministic dynamical systems with competing attractors considering parameter uncertainty and noise and apply them to real-world engineering problems. For this, an adaptative phase-space discretization strategy based on the classical Ulam method is proposed. Initially, a review of the mathematical definitions of dynamical systems, parametric uncertainty, and noise is presented, and the effect of randomness on the global dynamical structures is highlighted. Discretized transfer operators with the necessary modifications due to parameter uncertainty are derived. The stochastic basin of attraction and attractors’ distributions replace the usual basin and attractor concept. For parameter uncertainty cases, the phase-space is augmented with the corresponding probability space, resulting in a collection of transfer operators for which mean results are obtained. Two adaptative phase-space discretization strategies are proposed, one which only considers the attractors’ distribution and stochastic basins, and another that discretizes the stable and unstable manifolds. The first method is initially applied to the Helmholtz and Duffing oscillators under harmonic or parametric excitation with uncertain parameters or added load noise. They demonstrate the adaptive capabilities of the proposed methods, increasing the quality without overly increasing the computational cost. The time-dependency of stochastic responses is demonstrated, with long-transients influencing the global behavior. Finally, the effect of uncertainties and noise on the basins areas, attractors distributions, and basin boundaries are discussed, which can be used to evaluate the dynamic integrity of the competing basins. Then, two electrically actuated Microelectromechanical Systems (MEMS), an imperfect microcantilever and microarch, are investigated. The effect of added noise and parametric uncertainty on both structures is demonstrated. The results highlight the importance of randomness on the global dynamics of dynamical systems with competing attractors.

Pension schemes are facing more difficulties on matching their underlying liabilities with assets, mainly due to faster mortality improvements for their underlying populations, better environments and medical treatments and historically low interest rates. Given most of the pension schemes are relatively much smaller than the national population, modelling and forecasting the small populations' longevity risk become urgent tasks for both the industrial practitioners and academic researchers. This thesis starts with a systematic analysis on the influence of population size on the uncertainties of mortality estimates and forecasts with a stochastic mortality model, based on a parametric bootstrap methodology with England and Wales males as our benchmark population. The population size has significant effect on the uncertainty of mortality estimates and forecasts. The volatilities of small populations are over-estimated by the maximum likelihood estimators. A Bayesian model is developed to improve the estimation of the volatilities and the predictions of mortality rates for the small populations by employing the information of larger population with informative prior distributions. The new model is validated with the simulated small death scenarios. The Bayesian methodologies generate smoothed estimations for the mortality rates. Moreover, a methodology is introduced to use the information of large population for obtaining unbiased volatilities estimations given the underlying prior settings. At last, an empirical study is carried out based on the Scotland mortality dataset.

Les convertisseurs électroniques font actuellement l'objet d'intensives recherches en raison de l'intérêt grandissant pour l'électronique de puissance. Ceci est principalement dû au grand nombre d'applications dans lesquelles ils apparaissent, comme, par exemple, dans les ordinateurs et téléphones portables, les véhicules, les équipements électroniques industriels, les grands systèmes de communication et bien plus encore. Ces investigations portent particulièrement deux points. Le premier concerne la recherche de topologies de convertisseurs dédiées à chaque application. Le second point traite de la conception de mécanismes de contrôle assurant que les objectifs de conversion sont satisfaits. Ma thèse se concentre sur l'élaboration des solutions de contrôle pour deux types de convertisseurs, qui ont des propriétés et des applications intéressantes. Les convertisseurs considérés sont, premièrement, un inverseur type « boost », et ensuite, un convertisseur « DC-DC VddHopping » pour les applications de faible puissance. Dans le premier cas, l'inverseur type boost, l'objectif de contrôle peut être vu comme la génération d'un cycle limite stable. Ce cycle limite est défini par une amplitude et une fréquence données. Les tensions de sortie des deux parties du système présentent, pour cette fréquence, un comportement sinusoïdal avec un changement de phase pré-spécifié. De plus, la loi de commande doit inclure des propriétés de robustesse par rapport à un certain nombre de contraintes. Par exemple, nous considérerons le cas de charges connues mais aussi inconnues. Un autre objectif important est de déterminer un ensemble de valeurs initiales de voltage et de courants, pour lesquelles les variables du système tendent vers leurs équilibres lorsque la loi de commande est appliquée à l'investisseur « boost». La deuxième partie de la thèse met l'accent sur le contrôle du convertisseur Vdd-Hopping DC-DC, consacré à des technologies de faible puissance. Ce travail se situe dans le cadre du projet national français appelé ARAVIS, parrainé par le pôle de compétitivité international Minalogic. Bien que ce soit aussi un convertisseur, la structure et la dynamique de ce système ainsi que les objectifs de contrôle sont radicalement différents du précédent. Ici il s'agit d'un système non linéaire du premier ordre. La sortie doit atteindre une valeur constante désirée et certaines requêtes exigées pour des systèmes de faible puissance doivent être satisfaites, telles qu'une haute efficacité, la stabilité de l'équilibre, la robustesse de l'équilibre incluant des retards et des incertitudes sur les paramètres, des phases transitoires rapides, la fiabilité, etc...

Uma das tarefas mais desafiadoras do engenheiro na área da Geotecnia é a escolha dos valores de parâmetros geotécnicos obtidos de ensaios de campo ou laboratório e que serão utilizados nos modelos analíticos ou numéricos na fase de projeto de fundações. Diante das incertezas inerentes aos ensaios de SPT e da heterogeneidade de abordagens para a utilização dos valores de NSPT, é proposta neste estudo, a aplicação de um critério estatístico para obtenção de valores de NSPT, a partir da construção de intervalos de confiança de 95% de probabilidade em torno da reta ajustada de regressão linear simples entre a variável aleatória NSPT e a profundidade. Os valores obtidos de NSPT pelo critério aplicado foram utilizados na previsão da capacidade de carga de 19 estacas isoladas a partir da utilização de três métodos semi-empíricos: Aoki-Velloso (1975) com coeficientes alterados por Monteiro (1997), Décourt & Quaresma (1978) alterado pelo método de Décourt (1996) e Método de Alonso (1996). As cargas de ruptura dessas 19 estacas ensaiadas através de Provas de Carga Estática foram obtidas pelos métodos de extrapolação de Van Der Veen (1953) e Décourt (1996) e serviram para comparação e consequente validação do critério estatístico. Adicionalmente, com fulcro no item 6.2.1.2.1 da ABNT NBR 6122:2010 Resistência calculada por método semi-empírico, foram avaliados os fatores de segurança em relação às cargas de projeto, inclusive, também se utilizando da premissa de reconhecimento de regiões representativas, levando em conta o número de ensaios de SPT executados, fato que promove uma diminuição da incerteza dos parâmetros, apontando a um menor fator de segurança. A dissertação enfatiza as vantagens de um adequado tratamento estatístico dos parâmetros geotécnicos, a exemplo da recomendação já existente nas normas internacionais como Eurocódigo e outras. O critério construído permite e encoraja análises e decisões racionais no universo das partes interessadas consumidores, projetistas, fiscais de obras, contratantes e comunidade científica promovendo as discussões de forma mais objetiva e harmoniosa sobre o tema. / One of the most challenging aspects of geotechnical engineering is the selection of soil parameters from field and / or laboratory tests to be used in analytical or numerical models for foundation design. Due to known uncertainties in SPT tests and wide availability of criteria for NSPT interpretation, a proposed procedure is presented based on 95% confidence limits around a trend line defined by simple linear regression analysis expressing the variation of NSPT with depth. The NSPT values obtained by the proposed approach have been used to estimate the pile ultimate capacity of 19 isolated continuous flight auger piles using different semi-empirical methods, such as Aoki and Velloso (1975) with modified coefficients as proposed by Monteiro (1997), Décourt and Quaresma (1978) modified by Décourt (1996) and Alonso (1996). Static load tests of the same 19 piles have been extrapolated by Van Der Veen (1953) and Décourt (1996) methods, as an aid for comparison and validation of the statistical criterion. Additionally, were made with the fulcrum in item 6.2.1.2.1 of ABNT NBR 6122: 2010 - Resistance calculated by semi-empirical method, evaluations of safety factors in relation to load project, also including the premise of recognizing representative regions and taking into account the number of SPT tests, a fact that provides the decreased uncertainty of the parameters, indicating a lower FS. The dissertation emphasizes the advantages of an adequate statistical treatment of the geotechnical data, similar to what is recommended by the Eurocode. Such approach allows and encourages a more rational decision including all interested parties - consumers, designers, inspectors, contractors and scientific community providing more objective and harmonious discussions on this subject.

Uma das tarefas mais desafiadoras do engenheiro na área da Geotecnia é a escolha dos valores de parâmetros geotécnicos obtidos de ensaios de campo ou laboratório e que serão utilizados nos modelos analíticos ou numéricos na fase de projeto de fundações. Diante das incertezas inerentes aos ensaios de SPT e da heterogeneidade de abordagens para a utilização dos valores de NSPT, é proposta neste estudo, a aplicação de um critério estatístico para obtenção de valores de NSPT, a partir da construção de intervalos de confiança de 95% de probabilidade em torno da reta ajustada de regressão linear simples entre a variável aleatória NSPT e a profundidade. Os valores obtidos de NSPT pelo critério aplicado foram utilizados na previsão da capacidade de carga de 19 estacas isoladas a partir da utilização de três métodos semi-empíricos: Aoki-Velloso (1975) com coeficientes alterados por Monteiro (1997), Décourt & Quaresma (1978) alterado pelo método de Décourt (1996) e Método de Alonso (1996). As cargas de ruptura dessas 19 estacas ensaiadas através de Provas de Carga Estática foram obtidas pelos métodos de extrapolação de Van Der Veen (1953) e Décourt (1996) e serviram para comparação e consequente validação do critério estatístico. Adicionalmente, com fulcro no item 6.2.1.2.1 da ABNT NBR 6122:2010 Resistência calculada por método semi-empírico, foram avaliados os fatores de segurança em relação às cargas de projeto, inclusive, também se utilizando da premissa de reconhecimento de regiões representativas, levando em conta o número de ensaios de SPT executados, fato que promove uma diminuição da incerteza dos parâmetros, apontando a um menor fator de segurança. A dissertação enfatiza as vantagens de um adequado tratamento estatístico dos parâmetros geotécnicos, a exemplo da recomendação já existente nas normas internacionais como Eurocódigo e outras. O critério construído permite e encoraja análises e decisões racionais no universo das partes interessadas consumidores, projetistas, fiscais de obras, contratantes e comunidade científica promovendo as discussões de forma mais objetiva e harmoniosa sobre o tema. / One of the most challenging aspects of geotechnical engineering is the selection of soil parameters from field and / or laboratory tests to be used in analytical or numerical models for foundation design. Due to known uncertainties in SPT tests and wide availability of criteria for NSPT interpretation, a proposed procedure is presented based on 95% confidence limits around a trend line defined by simple linear regression analysis expressing the variation of NSPT with depth. The NSPT values obtained by the proposed approach have been used to estimate the pile ultimate capacity of 19 isolated continuous flight auger piles using different semi-empirical methods, such as Aoki and Velloso (1975) with modified coefficients as proposed by Monteiro (1997), Décourt and Quaresma (1978) modified by Décourt (1996) and Alonso (1996). Static load tests of the same 19 piles have been extrapolated by Van Der Veen (1953) and Décourt (1996) methods, as an aid for comparison and validation of the statistical criterion. Additionally, were made with the fulcrum in item 6.2.1.2.1 of ABNT NBR 6122: 2010 - Resistance calculated by semi-empirical method, evaluations of safety factors in relation to load project, also including the premise of recognizing representative regions and taking into account the number of SPT tests, a fact that provides the decreased uncertainty of the parameters, indicating a lower FS. The dissertation emphasizes the advantages of an adequate statistical treatment of the geotechnical data, similar to what is recommended by the Eurocode. Such approach allows and encourages a more rational decision including all interested parties - consumers, designers, inspectors, contractors and scientific community providing more objective and harmonious discussions on this subject.

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The design of hydropower projects requires a comprehensive planning process in order to achieve the objective to maximise exploitation of the existing hydropower potential as well as future revenues of the plant. For this purpose and to satisfy approval requirements for a complex hydropower development, it is imperative at planning stage, that the conceptual development contemplates a wide range of influencing design factors and ensures appropriate consideration of all related aspects. Since the majority of technical and economical parameters that are required for detailed and final design cannot be precisely determined at early planning stages, crucial design parameters such as design discharge and hydraulic head have to be examined through an extensive optimisation process. One disadvantage inherent to commonly used deterministic analysis is the lack of objectivity for the selection of input parameters. Moreover, it cannot be ensured that the entire existing parameter ranges and all possible parameter combinations are covered. Probabilistic methods utilise discrete probability distributions or parameter input ranges to cover the entire range of uncertainties resulting from an information deficit during the planning phase and integrate them into the optimisation by means of an alternative calculation method. The investigated method assists with the mathematical assessment and integration of uncertainties into the rational economic appraisal of complex infrastructure projects. The assessment includes an exemplary verification to what extent the Random Set Theory can be utilised for the determination of input parameters that are relevant for the optimisation of hydropower projects and evaluates possible improvements with respect to accuracy and suitability of the calculated results. / Die Auslegung von Wasserkraftanlagen stellt einen komplexen Planungsablauf dar, mit dem Ziel das vorhandene Wasserkraftpotential möglichst vollständig zu nutzen und künftige, wirtschaftliche Erträge der Kraftanlage zu maximieren. Um dies zu erreichen und gleichzeitig die Genehmigungsfähigkeit eines komplexen Wasserkraftprojektes zu gewährleisten, besteht hierbei die zwingende Notwendigkeit eine Vielzahl für die Konzepterstellung relevanter Einflussfaktoren zu erfassen und in der Projektplanungsphase hinreichend zu berücksichtigen. In frühen Planungsstadien kann ein Großteil der für die Detailplanung entscheidenden, technischen und wirtschaftlichen Parameter meist nicht exakt bestimmt werden, wodurch maßgebende Designparameter der Wasserkraftanlage, wie Durchfluss und Fallhöhe, einen umfangreichen Optimierungsprozess durchlaufen müssen. Ein Nachteil gebräuchlicher, deterministischer Berechnungsansätze besteht in der zumeist unzureichenden Objektivität bei der Bestimmung der Eingangsparameter, sowie der Tatsache, dass die Erfassung der Parameter in ihrer gesamten Streubreite und sämtlichen, maßgeblichen Parameterkombinationen nicht sichergestellt werden kann. Probabilistische Verfahren verwenden Eingangsparameter in ihrer statistischen Verteilung bzw. in Form von Bandbreiten, mit dem Ziel, Unsicherheiten, die sich aus dem in der Planungsphase unausweichlichen Informationsdefizit ergeben, durch Anwendung einer alternativen Berechnungsmethode mathematisch zu erfassen und in die Berechnung einzubeziehen. Die untersuchte Vorgehensweise trägt dazu bei, aus einem Informationsdefizit resultierende Unschärfen bei der wirtschaftlichen Beurteilung komplexer Infrastrukturprojekte objektiv bzw. mathematisch zu erfassen und in den Planungsprozess einzubeziehen. Es erfolgt eine Beurteilung und beispielhafte Überprüfung, inwiefern die Random Set Methode bei Bestimmung der für den Optimierungsprozess von Wasserkraftanlagen relevanten Eingangsgrößen Anwendung finden kann und in wieweit sich hieraus Verbesserungen hinsichtlich Genauigkeit und Aussagekraft der Berechnungsergebnisse ergeben.