Modeling financial time series is of great importance for being successful within the financial market. Hidden Markov Models is a great way to include the regime shifting nature of financial data. This thesis will focus on getting an in depth knowledge of Hidden Markov Models in general and specifically the parameter estimation of the models. The objective will be to evaluate if and how financial data can be fitted nicely with the model. The subject was requested by Nordea Markets with the purpose of gaining knowledge of HMM’s for an eventual implementation of the theory by their index development group. The research chiefly consists of evaluating the algorithmic behavior of estimating model parameters. HMM’s proved to be a good approach of modeling financial data, since much of the time series had properties that supported a regime shifting approach. The most important factor for an effective algorithm is the number of states, easily explained as the distinguishable clusters of values. The suggested algorithm of continuously modeling financial data is by doing an extensive monthly calculation of starting parameters that are used daily in a less time consuming usage of the EM-algorithm.

Terahertz (THz)-band communication is envisioned as a critical technology that could satisfy the need for much higher data rates in sixth generation wireless communi- cation (6G) systems and beyond. Although THz signal propagation suffers from huge spreading and molecular absorption losses that limit the achievable commu- nication ranges, ultra-massive multiple-input multiple-output (UM-MIMO) antenna arrays can introduce the required beamforming gains to compensate for these losses. The reconfigurable UM-MIMO systems of small footprints motivate the use of spatial modulation techniques. Furthermore, the ultra-wideband fragmented THz spectrum motivates the use of index modulation techniques over multicarrier channels. In this thesis, we consider the problem of efficient index mapping and data detection in THz- band index modulation paradigms. We first propose an accurate frequency-domain statistical UM-MIMO channel model for wideband multicarrier THz-band commu- nications by considering THz-specific features. We then propose several THz-band generalized index modulation schemes that provide various performance and complex- ity tradeoffs. We propose efficient algorithms for mapping information bits to antenna and frequency indices at the transmitter side to enhance the achievable data rates in THz channel uses. We further propose complementary low-complexity parameter estimation and data detection techniques at the receiver side that can scale efficiently with very high rates. We derive theoretical bounds on the achievable performance gains of the proposed solutions and generate extensive numerical results promoting the corresponding future 6G use cases.

For decades, dengue virus has been a cause of major public health concern in Costa Rica, due to its landscape and climatic conditions that favor the circumstances in which the vector, Aedes aegypti, thrives. The emergence and introduction throughout tropical and subtropical countries of the chikungunya virus, as of 2014, challenged Costa Rican health authorities to provide a correct diagnosis since it is also transmitted by the same vector and infected hosts may share similar symptoms. We study the 2015–2016 dengue and chikungunya outbreaks in Costa Rica while establishing how point estimates of epidemic parameters for both diseases compare to one another. Longitudinal weekly incidence reports of these outbreaks signal likely misdiagnosis of infected individuals: underreporting of chikungunya cases, while overreporting cases of dengue. Our comparative analysis is formulated with a single-outbreak deterministic model that features an undiagnosed class. Additionally, we also used a genetic algorithm in the context of weighted least squares to calculate point estimates of key model parameters and initial conditions, while formally quantifying misdiagnosis.

We consider two distinct techniques for estimating random parameters in random differential equation (RDE) models. In one approach, the solution to a RDE is represented by a collection of solution trajectories in the form of sample deterministic equations. In a second approach we employ pointwise equivalent stochastic differential equation (SDE) representations for certain RDEs. Each of the approaches is tested using deterministic model comparison techniques for a logistic growth model which is viewed as a special case of a more general Bernoulli growth model. We demonstrate efficacy of the preferred method with experimental data using algae growth model comparisons.

A generic plant-wide control structure is proposed for the optimal operation of a grinding mill circuit. An economic objective function is defined for the grinding mill circuit with reference to the economic objective of the larger mineral processing plant. A mineral processing plant in this study consists of a comminution and a separation circuit and excludes the extractive metallurgy at a metal refinery. The comminution circuit's operational performance primarily depends on the mill's performance. Since grindcurves define the operational performance range of a mill, the grindcurves are used to define the setpoints for the economic controlled variables for optimal steady-state operation. For a given metal price, processing cost, and transportation cost, the proposed structure can be used to define the optimal operating region of a grinding mill circuit for the best economic return of the mineral processing plant. The plant-wide control structure identifies the controlled and manipulated variables to ensure the grinding mill circuit can be maintained at the desired operating condition. The plant-wide control framework specifies regulatory and supervisory control aims which can be achieved by means of non-linear model-based control. An impediment to implementing model-based control is the computational expense to solve the non-linear optimisation function. To resolve this issue, the reference-command tracking version of model predictive static programming (MPSP) is applied to a grinding mill circuit. MPSP is an innovative optimal control technique that combines the philosophies of Model Predictive Control (MPC) and approximate dynamic programming. The performance of the proposed MPSP control technique, is compared to the performance of a standard non-linear MPC (NMPC) technique applied to the same plant for the same conditions. Results show that the MPSP control technique is more than capable of tracking the desired set-point in the presence of model-plant mismatch, disturbances and measurement noise. The performance of MPSP and NMPC compare very well, with definite advantages offered by MPSP. The computational speed of MPSP is increased through a sequence of innovations such as the conversion of the dynamic optimization problem to a low-dimensional static optimization problem, the recursive computation of sensitivity matrices, and using a closed form expression to update the control. The MPSP technique generally takes only a couple of iterations to converge, even when input constraints are applied. Therefore, MPSP can be regarded as a potential candidate for on-line applications of the NMPC philosophy to real-world industrial process plants. The MPSP and NMPC simulation studies above assume full-state feedback. However, this is not always possible for industrial grinding mill circuits. Therefore, a non-linear observer model of a grinding mill is developed which distinguishes between the volumetric hold-up of water, solids, and the grinding media in the mill. Solids refer to all ore small enough to discharge through the end-discharge grate, and grinding media refers to the rocks and steel balls. The rocks are all ore too large to discharge from the mill. The observer model uses the accumulation rate of solids and the discharge rate as parameters. It is shown that with mill discharge flow-rate, discharge density, and volumetric hold-up measurements, the model states and parameters are linearly observable. Although instrumentation at the mill discharge is not yet included in industrial circuits because of space restrictions, this study motivates the benefits to be gained from including such instrumentation. An Extended Kalman Filter (EKF) is applied in simulation to estimate the model states and parameters from data generated by a grinding mill simulation model from literature. Results indicate that if sufficiently accurate measurements are available, especially at the discharge of the mill, it is possible to reliably estimate grinding media, solids and water hold-ups within the mill. Such an observer can be used as part of an advanced process control strategy. / 'n Generiese aanlegwye beheerstruktuur vir die optimale beheer van 'n maalmeulkring word voorgehou. 'n Ekonomiese doelwitfunksie is gedefinieer vir die maalmeulkringbaan met verwysing tot die ekonomiese doelwit van die groter mineraalverwerkingsaanleg. 'n Mineraalverwerkingsaanleg bestaan in hierdie studie slegs uit die vergruisings- en skeidingskringbane. Die ekstraktiewe metallurgie by die metaal raffinadery word uitgesluit. Die vergruisingskringbaan se operasionele werksverrigting is hoofsaaklik van die maalmeul se werksverrigting afhanklik. Aangesien maalkurwes die bereik van die maalmeul se werksverrigting beskryf, kan die maalkurwes gebruik word om die stelpunte van die ekonomiese beheerveranderlikes te definieer vir werking by optimale gestadigde toestand. Gegewe 'n bepaalde metaalprys, bedryfskoste, en vervoerkoste, kan die voorgestelde struktuur gebruik word om die optimale werksgebied vir die maalmeulkring te definieer vir die beste ekonomiese gewin van die algehele mineraalverwerkingsaanleg. Die aanlegwye beheerstruktuur omskryf die beheerveranderlikes en manipuleerbare veranderlikes wat benodig word om die maalmeulkring by die gewenste werksgebied te handhaaf. Die aanlegwye beheerstruktuur spesifiseer regulatoriese en toesighoudende beheer doelwitte. Hierdie doelwitte kan bereik word deur gebruik te maak van nie-lineêre model gebaseerde beheer. Die probleem is dat die bewerkingskoste om nie-lineëre optimeringsfunksies op te los 'n struikelblok is om model gebaseerde beheer op industriële aanlegte toe te pas. Ter oplossing hiervan, word die stelpunt-volg weergawe van model gebaseerde voorspellende statiese programmering (MVSP) toegepas op 'n maalmeulkringbaan. MVSP is 'n innoverende optimale beheertegniek, en bestaan uit 'n kombinasie van die filosofieë van model gebaseerder voorspellende beheer (MVB) en aanpassende dinamiese programmering. Die verrigting van die voorgestelde MVSP beheertegniek word vergelyk met die verrigting van 'n standaard nie-lineëre MVB (NMVB) tegniek deur beide beheertegnieke op dieselfde aanleg vir dieselfde toestande toe te pas. Resultate dui aan dat die MVSP beheertegniek in staat is om die gekose stelpunt te midde van model-aanleg wanaanpassing, steurnisse, en metingsgeraas te volg. Die verrigting van MVSP en NMVB vergelyk goed, maar MVSP bied duidelike voordele. Die bewerkingspoed vir MVSP word vinniger gemaak deur die dinamiese optimeringsprobleem in 'n laeorde statiese optimeringsprobleem te omskep, die sensitiwiteitsmatrikse rekursief uit te werk, en deur 'n geslote uitdrukking ter opdatering van die beheeraksie te gebruik. Die MVSP beheertegniek benodig normaalweg slegs 'n paar iterasies om tot 'n oplossing te konvergeer, selfs indien beperkings op die insette toegepas word. Om die rede word MVSP as 'n potensiële kandidaat beskou vir aanlyntoepasings van die NMVB filosofie op industriële aanlegte. Die MVSP en NMVB simulasie studies hierbo neem aan dat volle toestandterugvoer moontlik is. Hierdie is nie altyd moontlik vir industriële maalmeulkringbane nie. Om die rede is 'n nie-lineêre waarnemingsmodel van 'n maalmeul ontwikkel. Die model onderskei tussen die volumetriese hoeveelheid water, vaste stowwe, en maalmedia in die meul. Vaste stowwe verwys na alle erts wat klein genoeg is om deur die uitskeidingsif aan die ontslagpunt van die meul te vloei. Maalmedia verwys na rotse en staalballe in die meul, met rotse wat te groot is om deur die uitskeidingsif te vloei. Die waarnemingsmodel maak gebruik van die ontslaantempo en die opeenhopingstempo van vaste stowwe as parameters. Indien die meul se ontslagvloeitempo, ontslagdigtheid, en totale volumetriese aanhouding gemeet word, is alle toestande en parameters van die waarnemingsmodel lineêr waarneembaar. Alhoewel instrumentasie by die meul se ontslagpunt as gevolg van ruimte beperkings nog nie op industriële aanlegte ingesluit word nie, dui hierdie studie die voordele aan wat verkrygbaar is deur sulke instrumentasie in te sluit. 'n Verlengde Kalman Filter (VKF) word in simulasie gebruik om die model se toestande en parameters af te skat. 'n Bestaande maalmeul simulasie model vanuit die literatuur word gebruik om die nodige data vir die VKF te genereer. Resultate dui aan dat indien die metings akkuraat genoeg is, veral by die ontslagpunt van die meul, betroubare afskattings van die volumetriese hoeveelheid maalmedia, vaste stowwe, en water in die meul gemaak kan word. So 'n afskatter kan vorentoe gebruik word as deel van 'n gevorderde prosesbeheer strategie. / Thesis (PhD)--University of Pretoria, 2016. / Electrical, Electronic and Computer Engineering / PhD / Unrestricted

This dissertation addresses motion planning, modeling, and feedback control for autonomous vehicle systems. A hierarchical approach for motion planning and control of nonlinear systems operating in obstacle environments is presented. To reduce computation time during the motion planning process, dynamically feasible trajectories are generated in real-time through concatenation of pre-specified motion primitives. The motion planning task is posed as a search over a directed graph, and the applicability of informed graph search techniques is investigated. Specifically, a locally greedy algorithm with effective backtracking ability is developed and compared to weighted A* search. The greedy algorithm shows an advantage with respect to solution cost and computation time when larger motion primitive libraries that do not operate on a regular state lattice are utilized. Linearization of the nonlinear system equations about the motion primitive library results in a hybrid linear time-varying model, and an optimal control algorithm using the L2-induced norm as the performance measure is applied to ensure that the system tracks the desired trajectory. The ability of the resulting controller to closely track the trajectory obtained from the motion planner, despite various disturbances and uncertainties, is demonstrated through simulation. Additionally, an approach for obtaining dynamically feasible reference trajectories and feedback controllers for a small unmanned aerial vehicle (UAV) based on an aerodynamic model derived from flight tests is presented. The modeling approach utilizes the two step method (TSM) with stepwise multiple regression to determine relevant explanatory terms for the aerodynamic models. Dynamically feasible trajectories are then obtained through the solution of an optimal control problem using pseudospectral optimal control software. Discrete-time feedback controllers are then obtained to regulate the vehicle along the desired reference trajectory. Simulations in a realistic operational environment as well as flight testing with the feedback controller demonstrate the capabilities of the approach. The TSM is also applied for system identification of an aircraft using motion capture data. In this application, time domain system identification techniques are used to identify both linear and nonlinear aerodynamic models of large-amplitude pitching motions driven by control surface deflections. The resulting models are assessed based on both their predictive capabilities as well as simulation results. / Ph. D.

A new mathematical model has been developed along with a new parameter estimation routine using surface temperature and heat flux measurements to estimate blood perfusion and thermal resistance in living tissue. Dynamic thermal measurements collected at the surface of the sensor before and after imposing a dynamic thermal cooling event are used with the model to estimate the blood perfusion, thermal resistance and core temperature. The Green\'s function based analytical solution does not require calculation of the whole tissue temperature distribution, which was not the case for the previous models. The result from the new model was proved to have better and more consistent results than previous models. The new model was validated to solve one of the unsolved biomedical problems which is the ability of detecting burn severity. The method was tested with a phantom perfusion system. The results matched known blood perfusion and thermal resistance values. The method was also tested with burns on animal models. Inflammation effects associated with the burns were studied using a newly developed term called the Burn Factor. This correlated with the severity of imposed burns. This work consists of three journal papers. The first paper introduces the mathematical model and its validation with finite-difference solutions. The second paper validates the physical aspects of the usage of the model with thermal measurement in detecting simulated burned layers and the associated perfusion. The third paper demonstrates the ability of the model to use thermal measurements to detect different burn severity of an animal model and to study the healing process. / Ph. D.

京都大学 / 0048 / 新制・課程博士 / 博士(情報学) / 甲第19385号 / 情博第595号 / 新制||情||104(附属図書館) / 32399 / 新制||情||104 / 京都大学大学院情報学研究科通信情報システム専攻 / (主査)教授 山本 衛, 教授 津田 敏隆, 教授 佐藤 亨 / 学位規則第4条第1項該当 / Doctor of Informatics / Kyoto University / DFAM

A project report submitted to the Faculty of Engineering, University of the Witwatersrand, Johannesburg, in partial fulfillment of the requirements for 'the degree of Master of Science in Engineering. Johannesburg 1991. / The report describes the design of an algorithm which can be used for automatic controller tuning purposes. It uses an on-line parameter estimator and a pole assignrnent design method. The resulting control law is formulated to approximate a proportional-integral (PI) industrial controller. The development ofthe algorithm is based on the delta-operator, Some implementation aspects such as covariance resetting, dead zone, and signal conditioning are also discussed. Robust stability and performance are two issues that govern the design approach. Additionally transient and steady state system response criteria are utilized from the time and frequency domains. The design work is substantiated with the use of simulation and real plant tests. / AC2017

Progress in individualized drug treatment is of increasing importance, promising to avoid much human suffering and reducing medical treatment costs for society. The strategy is to maximize the therapeutic effects and minimize the negative side effects of a drug on individual or group basis. To reach the goal, interactions between the human body and different drugs must be further clarified, for instance by using mathematical models. Whether clinical studies or laboratory experiments are used as primary sources of information, greatly influences the possibilities of obtaining data. This must be considered both prior and during model development and different strategies must be used. The character of the data may also restrict the level of complexity for the models, thus limiting their usage as tools for individualized treatment. In this thesis work two case studies have been made, each with the aim to develop a model for a specific human-drug interaction. The first case study concerns treatment of inflammatory bowel disease with thiopurines, whereas the second is about treatment of ovarian cancer with paclitaxel. Although both case studies make use of similar amounts of experimental data, model development depends considerably on prior knowledge about the systems, the character of the data and the choice of modelling tools. All these factors are presented for each of the case studies along with current results. Further, a system for classifying different but related models is also proposed with the intention that an increased understanding will contribute to advancement in individualized drug dosage. / <p>Report code: LiU-Tek-Lic-2007:41.</p>