34 resultados para trend following mean reversion


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A new structured model-following adaptive approach is presented in this paper to achieve large attitude maneuvers of rigid bodies. First, a nominal controller is designed using the dynamic inversion philosophy. Next, a neuro- adaptive design is proposed to augment the nominal design in order to assure robust performance in the presence of parameter inaccuracies as well as unknown constant external disturbances. The structured approach proposed in this paper (where kinematic and dynamic equations are handled separately), reduces the complexity of the controller structure. From simulation studies, this adaptive controller is found to be very effective in assuring robust performance.

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Several channels provided by many-body couplings — both fermion-fermion and fermion-boson — for the evolution of the chemisorption system are discussed. This provides an opportunity of a systematic study of the effects of correlations reflected through the intricate pole structure of the absorbate Green functions. The results of Newns, Anda and others in the context of chemisorption are generalized.

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It is now well known that in extreme quantum limit, dominated by the elastic impurity scattering and the concomitant quantum interference, the zero-temperature d.c. resistance of a strictly one-dimensional disordered system is non-additive and non-self-averaging. While these statistical fluctuations may persist in the case of a physically thin wire, they are implicitly and questionably ignored in higher dimensions. In this work, we have re-examined this question. Following an invariant imbedding formulation, we first derive a stochastic differential equation for the complex amplitude reflection coefficient and hence obtain a Fokker-Planck equation for the full probability distribution of resistance for a one-dimensional continuum with a Gaussian white-noise random potential. We then employ the Migdal-Kadanoff type bond moving procedure and derive the d-dimensional generalization of the above probability distribution, or rather the associated cumulant function –‘the free energy’. For d=3, our analysis shows that the dispersion dominates the mobilitly edge phenomena in that (i) a one-parameter B-function depending on the mean conductance only does not exist, (ii) an approximate treatment gives a diffusion-correction involving the second cumulant. It is, however, not clear whether the fluctuations can render the transition at the mobility edge ‘first-order’. We also report some analytical results for the case of the one dimensional system in the presence of a finite electric fiekl. We find a cross-over from the exponential to the power-low length dependence of resistance as the field increases from zero. Also, the distribution of resistance saturates asymptotically to a poissonian form. Most of our analytical results are supported by the recent numerical simulation work reported by some authors.

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This paper considers the applicability of the least mean fourth (LM F) power gradient adaptation criteria with 'advantage' for signals associated with gaussian noise, the associated noise power estimate not being known. The proposed method, as an adaptive spectral estimator, is found to provide superior performance than the least mean square (LMS) adaptation for the same (or even lower) speed of convergence for signals having sufficiently high signal-to-gaussian noise ratio. The results include comparison of the performance of the LMS-tapped delay line, LMF-tapped delay line, LMS-lattice and LMF-lattice algorithms, with the Burg's block data method as reference. The signals, like sinusoids with noise and stochastic signals like EEG, are considered in this study.

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Following an invariant-imbedding approach, we obtain analytical expressions for the ensemble-averaged resistance (ρ) and its Sinai’s fluctuations for a one-dimensional disordered conductor in the presence of a finite electric field F. The mean resistance shows a crossover from the exponential to the power-law length dependence with increasing field strength in agreement with known numerical results. More importantly, unlike the zero-field case the resistance distribution saturates to a Poissonian-limiting form proportional to A‖F‖exp(-A‖F‖ρ) for large sample lengths, where A is constant.

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Phase separation resulting in a single-crystal-single-crystal transition accompanied by a polycrystalline phase following the dehydration of hydrated bimetallic sulfates [Na2Mn1.167(SO4)(2)S0.33O1.167 center dot 2H(2)O and K4Cd3-(SO4)(5)center dot 3H(2)O] has been investigated by in situ variable-temperature single-crystal X-ray diffraction. With two examples, we illustrate the possibility of generating structural frameworks following dehydration in bimetallic sulfates, which refer to the possible precursor phases at that temperature leading to the mineral formation. The room-temperature structure of Na2Mn1.167(SO4)(2)S0.33O1.167 center dot 2H(2)O is trigonal, space group R (3) over bar. On heating the crystal in situ on the diffractometer, the diffraction images display spherical spots and concentric rings suggesting phase separation, with the spherical spots getting indexed in a monoclinic space group, C2/c. The structure determination based on this data suggests the formation of Na2Mn(SO4)(2). However, the diffraction images from concentric rings could not be indexed. In the second example, the room-temperature structure is determined to be K4Cd3(SO4)(5)center dot 3H(2)O, crystallizing in a monoclinic space group, P2(1)/n. On heating the crystal in situ, the diffraction images collected also have both spherical spots and diffuse rings. The spherical spots could be indexed to a cubic crystal system, space group P2(1)3, and the structure is K4Cd3(SO4)(3). The possible mechanism for the phase transition in the dehydration regime resulting in this remarkable single-crystal to single-crystal transition with the appearance of a surrogate polycrystalline phase is proposed.

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A recent theoretical model developed by Imparato et al. Phys of the experimentally measured heat and work effects produced by the thermal fluctuations of single micron-sized polystyrene beads in stationary and moving optical traps has proved to be quite successful in rationalizing the observed experimental data. The model, based on the overdamped Brownian dynamics of a particle in a harmonic potential that moves at a constant speed under a time-dependent force, is used to obtain an approximate expression for the distribution of the heat dissipated by the particle at long times. In this paper, we generalize the above model to consider particle dynamics in the presence of colored noise, without passing to the overdamped limit, as a way of modeling experimental situations in which the fluctuations of the medium exhibit long-lived temporal correlations, of the kind characteristic of polymeric solutions, for instance, or of similar viscoelastic fluids. Although we have not been able to find an expression for the heat distribution itself, we do obtain exact expressions for its mean and variance, both for the static and for the moving trap cases. These moments are valid for arbitrary times and they also hold in the inertial regime, but they reduce exactly to the results of Imparato et al. in appropriate limits. DOI: 10.1103/PhysRevE.80.011118 PACS.

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Following a Migdal-Kadanoff-type bond moving procedure, we derive the renormalisation-group equations for the characteristic function of the full probability distribution of resistance (conductance) of a three-dimensional disordered system. The resulting recursion relations for the first two cumulants, K, the mean resistance and K ~ t,he meansquare deviation of resistance exhibit a mobility edge dominated by large dispersion, i.e., K $ ’/ K=, 1, suggesting inadequacy of the one-parameter scaling ansatz.

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Multiaction learning automata which update their action probabilities on the basis of the responses they get from an environment are considered in this paper. The automata update the probabilities according to whether the environment responds with a reward or a penalty. Learning automata are said to possess ergodicity of the mean if the mean action probability is the state probability (or unconditional probability) of an ergodic Markov chain. In an earlier paper [11] we considered the problem of a two-action learning automaton being ergodic in the mean (EM). The family of such automata was characterized completely by proving the necessary and sufficient conditions for automata to be EM. In this paper, we generalize the results of [11] and obtain necessary and sufficient conditions for the multiaction learning automaton to be EM. These conditions involve two families of probability updating functions. It is shown that for the automaton to be EM the two families must be linearly dependent. The vector defining the linear dependence is the only vector parameter which controls the rate of convergence of the automaton. Further, the technique for reducing the variance of the limiting distribution is discussed. Just as in the two-action case, it is shown that the set of absolutely expedient schemes and the set of schemes which possess ergodicity of the mean are mutually disjoint.

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The unified structure of steady, one-dimensional shock waves in argon, in the absence of an external electric or magnetic field, is investigated. The analysis is based on a two-temperature, three-fluid continuum approach, using the Navier—Stokes equations as a model and including non-equilibrium collisional as well as radiative ionization phenomena. Quasi charge neutrality and zero velocity slip are assumed. The integral nature of the radiative terms is reduced to analytical forms through suitable spectral and directional approximations. The analysis is based on the method of matched asymptotic expansions. With respect to a suitably chosen small parameter, which is the ratio of atom-atom elastic collisional mean free-path to photon mean free-path, the following shock morphology emerges: within the radiation and electron thermal conduction dominated outer layer occurs an optically transparent discontinuity which consists of a chemically frozen heavy particle (atoms and ions) shock and a collisional ionization relaxation layer. Solutions are obtained for the first order with respect to the small parameter of the problem for two cases: (i) including electron thermal conduction and (ii) neglecting it in the analysis of the outer layer. It has been found that the influence of electron thermal conduction on the shock structure is substantial. Results for various free-stream conditions are presented in the form of tables and figures.

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The mean flow development in an initially turbulent boundary layer subjected to a large favourable pressure gradient beginning at a point x0 is examined through analyses expected a priori to be valid on either side of relaminarization. The ‘quasi-laminar’ flow in the later stages of reversion, where the Reynolds stresses have by definition no significant effect on the mean flow, is described by an asymptotic theory constructed for large values of a pressure-gradient parameter Λ, scaled on a characteristic Reynolds stress gradient. The limiting flow consists of an inner laminar boundary layer and a matching inviscid (but rotational) outer layer. There is consequently no entrainment to lowest order in Λ−1, and the boundary layer thins down to conserve outer vorticity. In fact, the predictions of the theory for the common measures of boundary-layer thickness are in excellent agreement with experimental results, almost all the way from x0. On the other hand the development of wall parameters like the skin friction suggests the presence of a short bubble-shaped reverse-transitional region on the wall, where neither turbulent nor quasi-laminar calculations are valid. The random velocity fluctuations inherited from the original turbulence decay with distance, in the inner layer, according to inverse-power laws characteristic of quasi-steady perturbations on a laminar flow. In the outer layer, there is evidence that the dominant physical mechanism is a rapid distortion of the turbulence, with viscous and inertia forces playing a secondary role. All the observations available suggest that final retransition to turbulence quickly follows the onset of instability in the inner layer.It is concluded that reversion in highly accelerated flows is essentially due to domination of pressure forces over the slowly responding Reynolds stresses in an originally turbulent flow, accompanied by the generation of a new laminar boundary layer stabilized by the favourable pressure gradient.

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In this paper a study of the free, forced and self-excited vibrations of non-linear, two degrees of freedom systems is reported. The responses are obtained by linearizing the nonlinear equations using the weighted mean square linearization approach. The scope of this approach, in terms of the type of non-linearities the method can tackle, is also discussed.

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The average dimensions of the peptide unit have been obtained from the data reported in recent crystal structure analyses of di- and tripeptides. The bond lengths and bond angles agree with those in common use, except for the bond angle C---N---H, which is about 4° less than the accepted value, and the angle C2α---N---H which is about 4° more. The angle τ (Cα) has a mean value of 114° for glycyl residues and 110° for non-glycyl residues. Attention is directed to these mean values as observed in crystal structures, as they are relevant for model building of peptide chain structures.

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In this paper a study of the free, forced and self-excited vibrations of non-linear, two degrees of freedom systems is reported. The responses are obtained by linearizing the nonlinear equations using the weighted mean square linearization approach. The scope of this approach, in terms of the type of non-linearities the method can tackle, is also discussed.