Developments of the total entropy utility function for the dual purpose of model discrimination and parameter estimation in Bayesian design

The total entropy utility function is considered for the dual purpose of Bayesian design for model discrimination and parameter estimation. A sequential design setting is proposed where it is shown how to efficiently estimate the total entropy utility for a wide variety of data types. Utility estimation relies on forming particle approximations to a number of intractable integrals which is afforded by the use of the sequential Monte Carlo algorithm for Bayesian inference. A number of motivating examples are considered for demonstrating the performance of total entropy in comparison to utilities for model discrimination and parameter estimation. The results suggest that the total entropy utility selects designs which are efficient under both experimental goals with little compromise in achieving either goal. As such, the total entropy utility is advocated as a general utility for Bayesian design in the presence of model uncertainty.

Online hidden Markov model parameter estimation and minimax robust quickest change detection in uncertain stochastic processes

Stochastic (or random) processes are inherent to numerous fields of human endeavour including engineering, science, and business and finance. This thesis presents multiple novel methods for quickly detecting and estimating uncertainties in several important classes of stochastic processes. The significance of these novel methods is demonstrated by employing them to detect aircraft manoeuvres in video signals in the important application of autonomous mid-air collision avoidance.

Efficient parameter estimation in longitudinal data analysis using a hybrid GEE method

The method of generalized estimating equations (GEEs) provides consistent estimates of the regression parameters in a marginal regression model for longitudinal data, even when the working correlation model is misspecified (Liang and Zeger, 1986). However, the efficiency of a GEE estimate can be seriously affected by the choice of the working correlation model. This study addresses this problem by proposing a hybrid method that combines multiple GEEs based on different working correlation models, using the empirical likelihood method (Qin and Lawless, 1994). Analyses show that this hybrid method is more efficient than a GEE using a misspecified working correlation model. Furthermore, if one of the working correlation structures correctly models the within-subject correlations, then this hybrid method provides the most efficient parameter estimates. In simulations, the hybrid method's finite-sample performance is superior to a GEE under any of the commonly used working correlation models and is almost fully efficient in all scenarios studied. The hybrid method is illustrated using data from a longitudinal study of the respiratory infection rates in 275 Indonesian children.

Incorporating parameter uncertainty into quantitative microbial risk assessment (QMRA)

Modern statistical models and computational methods can now incorporate uncertainty of the parameters used in Quantitative Microbial Risk Assessments (QMRA). Many QMRAs use Monte Carlo methods, but work from fixed estimates for means, variances and other parameters. We illustrate the ease of estimating all parameters contemporaneously with the risk assessment, incorporating all the parameter uncertainty arising from the experiments from which these parameters are estimated. A Bayesian approach is adopted, using Markov Chain Monte Carlo Gibbs sampling (MCMC) via the freely available software, WinBUGS. The method and its ease of implementation are illustrated by a case study that involves incorporating three disparate datasets into an MCMC framework. The probabilities of infection when the uncertainty associated with parameter estimation is incorporated into a QMRA are shown to be considerably more variable over various dose ranges than the analogous probabilities obtained when constants from the literature are simply ‘plugged’ in as is done in most QMRAs. Neglecting these sources of uncertainty may lead to erroneous decisions for public health and risk management.

Performance control of distributed generation using digital estimation of signal parameters

The Queensland University of Technology (QUT) allows the presentation of a thesis for the Degree of Doctor of Philosophy in the format of published or submitted papers, where such papers have been published, accepted or submitted during the period of candidature. This thesis is composed of seven published/submitted papers, of which one has been published, three accepted for publication and the other three are under review. This project is financially supported by an Australian Research Council (ARC) Discovery Grant with the aim of proposing strategies for the performance control of Distributed Generation (DG) system with digital estimation of power system signal parameters. Distributed Generation (DG) has been recently introduced as a new concept for the generation of power and the enhancement of conventionally produced electricity. Global warming issue calls for renewable energy resources in electricity production. Distributed generation based on solar energy (photovoltaic and solar thermal), wind, biomass, mini-hydro along with use of fuel cell and micro turbine will gain substantial momentum in the near future. Technically, DG can be a viable solution for the issue of the integration of renewable or non-conventional energy resources. Basically, DG sources can be connected to local power system through power electronic devices, i.e. inverters or ac-ac converters. The interconnection of DG systems to power system as a compensator or a power source with high quality performance is the main aim of this study. Source and load unbalance, load non-linearity, interharmonic distortion, supply voltage distortion, distortion at the point of common coupling in weak source cases, source current power factor, and synchronism of generated currents or voltages are the issues of concern. The interconnection of DG sources shall be carried out by using power electronics switching devices that inject high frequency components rather than the desired current. Also, noise and harmonic distortions can impact the performance of the control strategies. To be able to mitigate the negative effect of high frequency and harmonic as well as noise distortion to achieve satisfactory performance of DG systems, new methods of signal parameter estimation have been proposed in this thesis. These methods are based on processing the digital samples of power system signals. Thus, proposing advanced techniques for the digital estimation of signal parameters and methods for the generation of DG reference currents using the estimates provided is the targeted scope of this thesis. An introduction to this research – including a description of the research problem, the literature review and an account of the research progress linking the research papers – is presented in Chapter 1. One of the main parameters of a power system signal is its frequency. Phasor Measurement (PM) technique is one of the renowned and advanced techniques used for the estimation of power system frequency. Chapter 2 focuses on an in-depth analysis conducted on the PM technique to reveal its strengths and drawbacks. The analysis will be followed by a new technique proposed to enhance the speed of the PM technique while the input signal is free of even-order harmonics. The other techniques proposed in this thesis as the novel ones will be compared with the PM technique comprehensively studied in Chapter 2. An algorithm based on the concept of Kalman filtering is proposed in Chapter 3. The algorithm is intended to estimate signal parameters like amplitude, frequency and phase angle in the online mode. The Kalman filter is modified to operate on the output signal of a Finite Impulse Response (FIR) filter designed by a plain summation. The frequency estimation unit is independent from the Kalman filter and uses the samples refined by the FIR filter. The frequency estimated is given to the Kalman filter to be used in building the transition matrices. The initial settings for the modified Kalman filter are obtained through a trial and error exercise. Another algorithm again based on the concept of Kalman filtering is proposed in Chapter 4 for the estimation of signal parameters. The Kalman filter is also modified to operate on the output signal of the same FIR filter explained above. Nevertheless, the frequency estimation unit, unlike the one proposed in Chapter 3, is not segregated and it interacts with the Kalman filter. The frequency estimated is given to the Kalman filter and other parameters such as the amplitudes and phase angles estimated by the Kalman filter is taken to the frequency estimation unit. Chapter 5 proposes another algorithm based on the concept of Kalman filtering. This time, the state parameters are obtained through matrix arrangements where the noise level is reduced on the sample vector. The purified state vector is used to obtain a new measurement vector for a basic Kalman filter applied. The Kalman filter used has similar structure to a basic Kalman filter except the initial settings are computed through an extensive math-work with regards to the matrix arrangement utilized. Chapter 6 proposes another algorithm based on the concept of Kalman filtering similar to that of Chapter 3. However, this time the initial settings required for the better performance of the modified Kalman filter are calculated instead of being guessed by trial and error exercises. The simulations results for the parameters of signal estimated are enhanced due to the correct settings applied. Moreover, an enhanced Least Error Square (LES) technique is proposed to take on the estimation when a critical transient is detected in the input signal. In fact, some large, sudden changes in the parameters of the signal at these critical transients are not very well tracked by Kalman filtering. However, the proposed LES technique is found to be much faster in tracking these changes. Therefore, an appropriate combination of the LES and modified Kalman filtering is proposed in Chapter 6. Also, this time the ability of the proposed algorithm is verified on the real data obtained from a prototype test object. Chapter 7 proposes the other algorithm based on the concept of Kalman filtering similar to those of Chapter 3 and 6. However, this time an optimal digital filter is designed instead of the simple summation FIR filter. New initial settings for the modified Kalman filter are calculated based on the coefficients of the digital filter applied. Also, the ability of the proposed algorithm is verified on the real data obtained from a prototype test object. Chapter 8 uses the estimation algorithm proposed in Chapter 7 for the interconnection scheme of a DG to power network. Robust estimates of the signal amplitudes and phase angles obtained by the estimation approach are used in the reference generation of the compensation scheme. Several simulation tests provided in this chapter show that the proposed scheme can very well handle the source and load unbalance, load non-linearity, interharmonic distortion, supply voltage distortion, and synchronism of generated currents or voltages. The purposed compensation scheme also prevents distortion in voltage at the point of common coupling in weak source cases, balances the source currents, and makes the supply side power factor a desired value.

Identification and estimation of equivalent area parameters using synchronised phasor measurements

A new approach is proposed for obtaining a non-linear area-based equivalent model of power systems to express the inter-area oscillations using synchronised phasor measurements. The generators that remain coherent for inter-area disturbances over a wide range of operating conditions define the areas, and the reduced model is obtained by representing each area by an equivalent machine. The parameters of the reduced system are identified by processing the obtained measurements, and a non-linear Kalman estimator is then designed for the estimation of equivalent area angles and frequencies. The simulation of the approach on a two-area system shows substantial reduction of non-inter-area modes in the estimated angles. The proposed methods are also applied to a ten-machine system to illustrate the feasibility of the approach on larger and meshed networks.

State Estimation in Smart Power Grids

In this chapter, the role of State Estimation (SE) in smart power grids is presented. The trend of SE error with respect to the increasing of the smart grids implementation investigated. The observability analysis as a prior task of SE is demonstrated and an analytical method to consider the impedance values of the branches is developed and discussed by examples. Since most principles of smart power grids are appropriate to distribution networks, the Distribution SE (DSE)considering load correlation is argued and illustrated by an example. The main features of smart grid SE, which is here named as “Smart Distributed SE” (SDSE), are discussed. Some characteristics of proposed SDES are distributed, hybrid, multi-micro grid and islanding support, Harmonic State Estimation (HSE), observability analysis and restore, error processing, and network parameter estimation. Distribution HSE (DHSE) and meter placement for SDSE are also presented.

Quantifying uncertainty in parameter estimates for stochastic models of collective cell spreading using approximate Bayesian computation

Wound healing and tumour growth involve collective cell spreading, which is driven by individual motility and proliferation events within a population of cells. Mathematical models are often used to interpret experimental data and to estimate the parameters so that predictions can be made. Existing methods for parameter estimation typically assume that these parameters are constants and often ignore any uncertainty in the estimated values. We use approximate Bayesian computation (ABC) to estimate the cell diffusivity, D, and the cell proliferation rate, λ, from a discrete model of collective cell spreading, and we quantify the uncertainty associated with these estimates using Bayesian inference. We use a detailed experimental data set describing the collective cell spreading of 3T3 fibroblast cells. The ABC analysis is conducted for different combinations of initial cell densities and experimental times in two separate scenarios: (i) where collective cell spreading is driven by cell motility alone, and (ii) where collective cell spreading is driven by combined cell motility and cell proliferation. We find that D can be estimated precisely, with a small coefficient of variation (CV) of 2–6%. Our results indicate that D appears to depend on the experimental time, which is a feature that has been previously overlooked. Assuming that the values of D are the same in both experimental scenarios, we use the information about D from the first experimental scenario to obtain reasonably precise estimates of λ, with a CV between 4 and 12%. Our estimates of D and λ are consistent with previously reported values; however, our method is based on a straightforward measurement of the position of the leading edge whereas previous approaches have involved expensive cell counting techniques. Additional insights gained using a fully Bayesian approach justify the computational cost, especially since it allows us to accommodate information from different experiments in a principled way.

Some Remarks on the Approximation of Transitional Density in Stochastic Differential Equations

Aijt-Sahalia (2002) introduced a method to estimate transitional probability densities of di®usion processes by means of Hermite expansions with coe±cients determined by means of Taylor series. This note describes a numerical procedure to ¯nd these coe±cients based on the calculation of moments. One advantage of this procedure is that it can be used e®ectively when the mathematical operations required to ¯nd closed-form expressions for these coe±cients are otherwise infeasible.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Experimental evaluation of position control methods for hydraulic systems

Presents a unified and systematic assessment of ten position control strategies for a hydraulic servo system with single-ended cylinder driven by a proportional directional control valve. We aim at identifying those methods that achieve better tracking, have a low sensitivity to system uncertainties, and offer a good balance between development effort and end results. A formal approach for solving this problem relies on several practical metrics, which is introduced herein. Their choice is important, as the comparison results between controllers can vary significantly, depending on the selected criterion. Apart from the quantitative assessment, we also raise aspects which are difficult to quantify, but which must stay in attention when considering the position control problem for this class of hydraulic servo systems.

Analysis of distrubances in large interconnected power systems

World economies increasingly demand reliable and economical power supply and distribution. To achieve this aim the majority of power systems are becoming interconnected, with several power utilities supplying the one large network. One problem that occurs in a large interconnected power system is the regular occurrence of system disturbances which can result in the creation of intra-area oscillating modes. These modes can be regarded as the transient responses of the power system to excitation, which are generally characterised as decaying sinusoids. For a power system operating ideally these transient responses would ideally would have a “ring-down” time of 10-15 seconds. Sometimes equipment failures disturb the ideal operation of power systems and oscillating modes with ring-down times greater than 15 seconds arise. The larger settling times associated with such “poorly damped” modes cause substantial power flows between generation nodes, resulting in significant physical stresses on the power distribution system. If these modes are not just poorly damped but “negatively damped”, catastrophic failures of the system can occur. To ensure system stability and security of large power systems, the potentially dangerous oscillating modes generated from disturbances (such as equipment failure) must be quickly identified. The power utility must then apply appropriate damping control strategies. In power system monitoring there exist two facets of critical interest. The first is the estimation of modal parameters for a power system in normal, stable, operation. The second is the rapid detection of any substantial changes to this normal, stable operation (because of equipment breakdown for example). Most work to date has concentrated on the first of these two facets, i.e. on modal parameter estimation. Numerous modal parameter estimation techniques have been proposed and implemented, but all have limitations [1-13]. One of the key limitations of all existing parameter estimation methods is the fact that they require very long data records to provide accurate parameter estimates. This is a particularly significant problem after a sudden detrimental change in damping. One simply cannot afford to wait long enough to collect the large amounts of data required for existing parameter estimators. Motivated by this gap in the current body of knowledge and practice, the research reported in this thesis focuses heavily on rapid detection of changes (i.e. on the second facet mentioned above). This thesis reports on a number of new algorithms which can rapidly flag whether or not there has been a detrimental change to a stable operating system. It will be seen that the new algorithms enable sudden modal changes to be detected within quite short time frames (typically about 1 minute), using data from power systems in normal operation. The new methods reported in this thesis are summarised below. The Energy Based Detector (EBD): The rationale for this method is that the modal disturbance energy is greater for lightly damped modes than it is for heavily damped modes (because the latter decay more rapidly). Sudden changes in modal energy, then, imply sudden changes in modal damping. Because the method relies on data from power systems in normal operation, the modal disturbances are random. Accordingly, the disturbance energy is modelled as a random process (with the parameters of the model being determined from the power system under consideration). A threshold is then set based on the statistical model. The energy method is very simple to implement and is computationally efficient. It is, however, only able to determine whether or not a sudden modal deterioration has occurred; it cannot identify which mode has deteriorated. For this reason the method is particularly well suited to smaller interconnected power systems that involve only a single mode. Optimal Individual Mode Detector (OIMD): As discussed in the previous paragraph, the energy detector can only determine whether or not a change has occurred; it cannot flag which mode is responsible for the deterioration. The OIMD seeks to address this shortcoming. It uses optimal detection theory to test for sudden changes in individual modes. In practice, one can have an OIMD operating for all modes within a system, so that changes in any of the modes can be detected. Like the energy detector, the OIMD is based on a statistical model and a subsequently derived threshold test. The Kalman Innovation Detector (KID): This detector is an alternative to the OIMD. Unlike the OIMD, however, it does not explicitly monitor individual modes. Rather it relies on a key property of a Kalman filter, namely that the Kalman innovation (the difference between the estimated and observed outputs) is white as long as the Kalman filter model is valid. A Kalman filter model is set to represent a particular power system. If some event in the power system (such as equipment failure) causes a sudden change to the power system, the Kalman model will no longer be valid and the innovation will no longer be white. Furthermore, if there is a detrimental system change, the innovation spectrum will display strong peaks in the spectrum at frequency locations associated with changes. Hence the innovation spectrum can be monitored to both set-off an “alarm” when a change occurs and to identify which modal frequency has given rise to the change. The threshold for alarming is based on the simple Chi-Squared PDF for a normalised white noise spectrum [14, 15]. While the method can identify the mode which has deteriorated, it does not necessarily indicate whether there has been a frequency or damping change. The PPM discussed next can monitor frequency changes and so can provide some discrimination in this regard. The Polynomial Phase Method (PPM): In [16] the cubic phase (CP) function was introduced as a tool for revealing frequency related spectral changes. This thesis extends the cubic phase function to a generalised class of polynomial phase functions which can reveal frequency related spectral changes in power systems. A statistical analysis of the technique is performed. When applied to power system analysis, the PPM can provide knowledge of sudden shifts in frequency through both the new frequency estimate and the polynomial phase coefficient information. This knowledge can be then cross-referenced with other detection methods to provide improved detection benchmarks.

Theory of radar imaging using time-frequency distribution

The concept of radar was developed for the estimation of the distance (range) and velocity of a target from a receiver. The distance measurement is obtained by measuring the time taken for the transmitted signal to propagate to the target and return to the receiver. The target's velocity is determined by measuring the Doppler induced frequency shift of the returned signal caused by the rate of change of the time- delay from the target. As researchers further developed conventional radar systems it become apparent that additional information was contained in the backscattered signal and that this information could in fact be used to describe the shape of the target itself. It is due to the fact that a target can be considered to be a collection of individual point scatterers, each of which has its own velocity and time- delay. DelayDoppler parameter estimation of each of these point scatterers thus corresponds to a mapping of the target's range and cross range, thus producing an image of the target. Much research has been done in this area since the early radar imaging work of the 1960s. At present there are two main categories into which radar imaging falls. The first of these is related to the case where the backscattered signal is considered to be deterministic. The second is related to the case where the backscattered signal is of a stochastic nature. In both cases the information which describes the target's scattering function is extracted by the use of the ambiguity function, a function which correlates the backscattered signal in time and frequency with the transmitted signal. In practical situations, it is often necessary to have the transmitter and the receiver of the radar system sited at different locations. The problem in these situations is 'that a reference signal must then be present in order to calculate the ambiguity function. This causes an additional problem in that detailed phase information about the transmitted signal is then required at the receiver. It is this latter problem which has led to the investigation of radar imaging using time- frequency distributions. As will be shown in this thesis, the phase information about the transmitted signal can be extracted from the backscattered signal using time- frequency distributions. The principle aim of this thesis was in the development, and subsequent discussion into the theory of radar imaging, using time- frequency distributions. Consideration is first given to the case where the target is diffuse, ie. where the backscattered signal has temporal stationarity and a spatially white power spectral density. The complementary situation is also investigated, ie. where the target is no longer diffuse, but some degree of correlation exists between the time- frequency points. Computer simulations are presented to demonstrate the concepts and theories developed in the thesis. For the proposed radar system to be practically realisable, both the time- frequency distributions and the associated algorithms developed must be able to be implemented in a timely manner. For this reason an optical architecture is proposed. This architecture is specifically designed to obtain the required time and frequency resolution when using laser radar imaging. The complex light amplitude distributions produced by this architecture have been computer simulated using an optical compiler.