Management of data imprecision has become increasingly important, especially with the advance of technology enabling applications to collect and store huge amount data from multiple sources. Data collected in such applications involve a large number of variables and various types of data imperfections. These data, when used in knowledge discovery applications, require the following: 1) computationally efficient algorithms that works faster with limited resources, 2) an effective methodology for modeling data imperfections and 3) procedures for enabling knowledge discovery and quantifying and propagating partial or incomplete knowledge throughout the decision-making process. Bayesian Networks (BNs) provide a convenient framework for modeling these applications probabilistically enabling a compact representation of the joint probability distribution involving large numbers of variables. BNs also form the foundation for a number of computationally efficient algorithms for making inferences. The underlying probabilistic approach however is not sufficiently capable of handling the wider range of data imperfections that may appear in many new applications (e.g., medical data). Dempster-Shafer theory on the other hand provides a strong framework for modeling a broader range of data imperfections. However, it must overcome the challenge of a potentially enormous computational burden. In this dissertation, we introduce the joint Dirichlet BoE, a certain mass assignment in the DS theoretic framework, that simplifies the computational complexity while enabling one to model many common types of data imperfections. We first use this Dirichlet BoE model to enhance the performance of the EM algorithm used in learning BN parameters from data with missing values. To form a framework of reasoning with the Dirichlet BoE, the DS theoretic notions of conditionals, independence and conditional independence are revisited. These notions are then used to develop the DS-BN, a BN-like graphical model in the DS theoretic framework, that enables a compact representation of the joint Dirichlet BoE. We also show how one may use the DS-BN in different types of reasoning tasks. A local message passing scheme is developed for efficient propagation of evidence in the DS-BN. We also extend the use of the joint Dirichlet BoE to Markov models and hidden Markov models to address the uncertainty arising due to inadequate training data. Finally, we present the results of various experiments carried out on synthetically generated data sets as well as data sets from medical applications.

The term resource is used to refer to a machine, tool-group, piece of equipment or personnel. Optimization models for resource maintenance are obtained in conjunction with other production related decisions like production planning, production scheduling, resource allocation and job inspection. Emphasis is laid on integrating the above inter-dependent decisions into a unified optimization framework. This is accomplished for large stationary resources, small non-stationary resources with high breaking rate and for resources that form a part of a network. Owing to large problem size and high uncertainty, the optimal decisions are determined by formulating and solving the above problems as Markov decision processes (MDPs). Approximate dynamic programming based algorithms are used for solving the large optimization problems at hand. The performance of resulting near optimal policies is compared with that of traditional formulations in all cases. The latter treat the resource maintenance decisions independent of other manufacturing related decisions. In certain formulations, the resource state is not completely observable. This results in a partially observable MDP (POMDP). An alternative algorithm for the solution of POMDP is developed, where several mixed integer linear programs (MILPs) are solved during each ADP iteration. This helps obtain better quality solutions for the POMDPs with very large or continuous action spaces in an efficient manner.

abstract: The accurate monitoring of the bulk transmission system of the electric power grid by sensors, such as Remote Terminal Units (RTUs) and Phasor Measurement Units (PMUs), is essential for maintaining the reliability of the modern power system. One of the primary objectives of power system monitoring is the identification of the snapshots of the system at regular intervals by performing state estimation using the available measurements from the sensors. The process of state estimation corresponds to the estimation of the complex voltages at all buses of the system. PMU measurements play an important role in this regard, because of the time-synchronized nature of these measurements as well as the faster rates at which they are produced. However, a model-based linear state estimator created using PMU-only data requires complete observability of the system by PMUs for its continuous functioning. The conventional model-based techniques also make certain assumptions in the modeling of the physical system, such as the constant values of the line parameters. The measurement error models in the conventional state estimators are also assumed to follow a Gaussian distribution. In this research, a data mining technique using Deep Neural Networks (DNNs) is proposed for performing a high-speed, time-synchronized state estimation of the transmission system of the power system. The proposed technique uses historical data to identify the correlation between the measurements and the system states as opposed to directly using the physical model of the system. Therefore, the highlight of the proposed technique is its ability to provide an accurate, fast, time-synchronized estimate of the system states even in the absence of complete system observability by PMUs. The state estimator is formulated for the IEEE 118-bus system and its reliable performance is demonstrated in the presence of redundant observability, complete observability, and incomplete observability. The robustness of the state estimator is also demonstrated by performing the estimation in presence of Non-Gaussian measurement errors and varying line parameters. The consistency of the DNN state estimator is demonstrated by performing state estimation for an entire day. / Dissertation/Thesis / Masters Thesis Electrical Engineering 2020

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Avec l'évolution de la technologie, l'homme a procédé à la conception de systèmes de plus en plus complexes mais aussi de plus en plus sensibles aux défauts qui peuvent les affecter. Une procédure de diagnostic contribuant au bon déroulement du processus est ainsi nécessaire. Dans ce contexte, le but de cette thèse est le diagnostic des systèmes à événements discrets modélisés par des Réseaux de Petri Étiquetés (RdPE) partiellement observables. Sous l'hypothèse que chaque défaut est modélisé par le tir d'une transition non observable, deux approches de diagnostic à base d'estimation d'état sont développées. Une première approche composée de deux étapes consiste à estimer l'ensemble des marquages de base sur un horizon élémentaire glissant. La première étape consiste à déterminer un ensemble de vecteurs candidats à partir d'une approche algébrique. La deuxième étape consiste à éliminer les solutions candidates calculées qui ne sont pas associées à une trajectoire possible du RdPE. Comme l'ensemble des marquages de base pourra aussi être important, une deuxième approche de diagnostic évitera cet écueil en n'estimant pas les marquages. Une technique de relaxation des problèmes de Programmation Linéaire en Nombres Entiers (PLNE) sur un horizon fuyant est utilisée afin d'avoir un diagnostic en temps polynomial. / With the evolution of technology, humans have made available systems increasingly complex but also increasingly sensitive to faults that may affect it. A diagnostic procedure which contributes to the smooth running of the process is thus necessary. In this context, the aim of this thesis is the diagnosis of discrete event systems modeled by partially observed Labeled Petri Nets (LPNs). Under the assumption that each defect is modeled by the firing of an unobservable transition, two diagnostic approaches based on state estimation are developed. A first approach is to estimate the set of basis markings on a sliding elementary horizon. This approach is carried out in two steps. The first step is to determine a set of candidate vectors from an algebraic approach. The second step is to eliminate the calculated candidate solutions that are not associated with a possible trajectory of the LPN. As the set of basis markings can also be huge, a second diagnostic approach will avoid this pitfall by not estimating the markings. A relaxation technique of Integer Linear Programming (ILP) problems on a receding horizon is used to have a diagnosis in polynomial time.

Two different sets of problems are addressed in this thesis. The first one is on partially observed semi-Markov Games (POSMG) and the second one is on semi-Markov modulated financial market model. In this thesis we study a partially observable semi-Markov game in the infinite time horizon. The study of a partially observable game (POG) involves three major steps: (i) construct an equivalent completely observable game (COG), (ii) establish the equivalence between POG and COG by showing that if COG admits an equilibrium, POG does so, (iii) study the equilibrium of COG and find the corresponding equilibrium of original partially observable problem. In case of infinite time horizon game problem there are two different payoff criteria. These are discounted payoff criterion and average payoff criterion. At first a partially observable semi-Markov decision process on general state space with discounted cost criterion is studied. An optimal policy is shown to exist by considering a Shapley’s equation for the corresponding completely observable model. Next the discounted payoff problem is studied for two-person zero-sum case. A saddle point equilibrium is shown to exist for this case. Then the variable sum game is investigated. For this case the Nash equilibrium strategy is obtained in Markov class under suitable assumption. Next the POSMG problem on countable state space is addressed for average payoff criterion. It is well known that under this criterion the game problem do not have a solution in general. To ensure a solution one needs some kind of ergodicity of the transition kernel. We find an appropriate ergodicity of partially observed model which in turn induces a geometric ergodicity to the equivalent model. Using this we establish a solution of the corresponding average payoff optimality equation (APOE). Thus the value and a saddle point equilibrium is obtained for the original partially observable model. A value iteration scheme is also developed to find out the average value of the game. Next we study the financial market model whose key parameters are modulated by semi-Markov processes. Two different problems are addressed under this market assumption. In the first one we show that this market is incomplete. In such an incomplete market we find the locally risk minimizing prices of exotic options in the Follmer Schweizer framework. In this model the stock prices are no more Markov. Generally stock price process is modeled as Markov process because otherwise one may not get a pde representation of price of a contingent claim. To overcome this difficulty we find an appropriate Markov process which includes the stock price as a component and then find its infinitesimal generator. Using Feynman-Kac formula we obtain a system of non-local partial differential equations satisfied by the option price functions in the mildsense. .Next this system is shown to have a classical solution for given initial or boundary conditions. Then this solution is used to have a F¨ollmer Schweizer decomposition of option price. Thus we obtain the locally risk minimizing prices of different options. Furthermore we obtain an integral equation satisfied by the unique solution of this system. This enable us to compute the price of a contingent claim and find the risk minimizing hedging strategy numerically. Further we develop an efficient and stable numerical method to compute the prices. Beside this work on derivative pricing, the portfolio optimization problem in semi-Markov modulated market is also studied in the thesis. We find the optimal portfolio selections by optimizing expected utility of terminal wealth. We also obtain the optimal portfolio selections under risk sensitive criterion for both finite and infinite time horizon.

L'estimation du maximum de vraisemblance est une méthode répandue pour l'identification d'un modèle paramétré de série temporelle à partir d'un échantillon d'observations. Dans le cadre de modèles bien spécifiés, il est primordial d'obtenir la consistance de l'estimateur, à savoir sa convergence vers le vrai paramètre lorsque la taille de l'échantillon d'observations tend vers l'infini. Pour beaucoup de modèles de séries temporelles, par exemple les modèles de Markov cachés ou « hidden Markov models »(HMM), la propriété de consistance « forte » peut cependant être dfficile à établir. On peut alors s'intéresser à la consistance de l'estimateur du maximum de vraisemblance (EMV) dans un sens faible, c'est-à-dire que lorsque la taille de l'échantillon tend vers l'infini, l'EMV converge vers un ensemble de paramètres qui s'associent tous à la même distribution de probabilité des observations que celle du vrai paramètre. La consistance dans ce sens, qui reste une propriété privilégiée dans beaucoup d'applications de séries temporelles, est dénommée consistance de classe d'équivalence. L'obtention de la consistance de classe d'équivalence exige en général deux étapes importantes : 1) montrer que l'EMV converge vers l'ensemble qui maximise la log-vraisemblance normalisée asymptotique ; et 2) montrer que chaque paramètre dans cet ensemble produit la même distribution du processus d'observation que celle du vrai paramètre. Cette thèse a pour objet principal d'établir la consistance de classe d'équivalence des modèles de Markov partiellement observés, ou « partially observed Markov models » (PMM), comme les HMM et les modèles « observation-driven » (ODM). / Maximum likelihood estimation is a widespread method for identifying a parametrized model of a time series from a sample of observations. Under the framework of well-specified models, it is of prime interest to obtain consistency of the estimator, that is, its convergence to the true parameter as the sample size of the observations goes to infinity. For many time series models, for instance hidden Markov models (HMMs), such a “strong” consistency property can however be difficult to establish. Alternatively, one can show that the maximum likelihood estimator (MLE) is consistent in a weakened sense, that is, as the sample size goes to infinity, the MLE eventually converges to a set of parameters, all of which associate to the same probability distribution of the observations as for the true one. The consistency in this sense, which remains a preferred property in many time series applications, is referred to as equivalence-class consistency. The task of deriving such a property generally involves two important steps: 1) show that the MLE converges to the maximizing set of the asymptotic normalized loglikelihood; and 2) show that any parameter in this maximizing set yields the same distribution of the observation process as for the true parameter. In this thesis, our primary attention is to establish the equivalence-class consistency for time series models that belong to the class of partially observed Markov models (PMMs) such as HMMs and observation-driven models (ODMs).

Cette thèse étudie les communications directes entre les mobiles, appelées communications D2D, en tant que technique prometteuse pour améliorer les futurs réseaux cellulaires. Cette technologie permet une communication directe entre deux terminaux mobiles sans passer par la station de base. La modélisation, l'évaluation et l'optimisation des différents aspects des communications D2D constituent les objectifs fondamentaux de cette thèse et sont réalisés principalement à l'aide des outils mathématiques suivants: la théorie des files d'attente, l'optimisation de Lyapunov et les processus de décision markovien partiellement observable POMDP. Les résultats de cette étude sont présentés en trois parties. Dans la première partie, nous étudions un schéma de sélection entre mode cellulaire et mode D2D. Nous dérivons les régions de stabilité des scénarios suivants: réseaux cellulaires purs et réseaux cellulaires où les communications D2D sont activées. Une comparaison entre ces deux scénarios conduit à l'élaboration d'un algorithme de sélection entre le mode cellulaire et le mode D2D qui permet d'améliorer la capacité du réseau. Dans la deuxième partie, nous développons un algorithme d'allocation de ressources des communications D2D. Les utilisateurs D2D sont en mesure d'estimer leur propre qualité de canal, cependant la station de base a besoin de recevoir des messages de signalisation pour acquérir cette information. Sur la base de cette connaissance disponibles au niveau des utilisateurs D2D, une approche d'allocation des ressources est proposée afin d'améliorer l'efficacité énergétique des communications D2D. La version distribuée de cet algorithme s'avère plus performante que celle centralisée. Dans le schéma distribué des collisions peuvent se produire durant la transmission de l'état des canaux D2D ; ainsi un algorithme de réduction des collisions est élaboré. En outre, la mise en œuvre des algorithmes centralisé et distribué dans un réseau cellulaire, type LTE, est décrite en détails. Dans la troisième partie, nous étudions une politique de sélection des relais D2D mobiles. La mobilité des relais représente un des principaux défis que rencontre toute stratégie de sélection de relais. Le problème est modélisé par un processus contraint de décision markovien partiellement observable qui prend en compte le dynamisme des relais et vise à trouver la politique de sélection de relais qui optimise la performance du réseau cellulaire sous des contraintes de coût. / This thesis considers Device-to-Device (D2D) communications as a promising technique for enhancing future cellular networks. Modeling, evaluating and optimizing D2D features are the fundamental goals of this thesis and are mainly achieved using the following mathematical tools: queuing theory, Lyapunov optimization and Partially Observed Markov Decision Process (POMDP). The findings of this study are presented in three parts. In the first part, we investigate a D2D mode selection scheme. We derive the queuing stability regions of both scenarios: pure cellular networks and D2D-enabled cellular networks. Comparing both scenarios leads us to elaborate a D2D vs cellular mode selection design that improves the capacity of the network. In the second part, we develop a D2D resource allocation algorithm. We observe that D2D users are able to estimate their local Channel State Information (CSI), however the base station needs some signaling exchange to acquire this information. Based on the D2D users' knowledge of their local CSI, we provide an energy efficient resource allocation framework that shows how distributed scheduling outperforms centralized one. In the distributed approach, collisions may occur between the different CSI reporting; thus, we propose a collision reduction algorithm. Moreover, we give a detailed description on how both centralized and distributed algorithms can be implemented in practice. In the third part, we propose a mobile relay selection policy in a D2D relay-aided network. Relays' mobility appears as a crucial challenge for defining the strategy of selecting the optimal D2D relays. The problem is formulated as a constrained POMDP which captures the dynamism of the relays and aims to find the optimal relay selection policy that maximizes the performance of the network under cost constraints.