Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Semi-active control for structural vibration based on predictive algorithm [Chinese title = 基于预测算法的结构振动半主动控制]

Based on Newmark-β method, a structural vibration response is predicted. Through finding the appropriate control force parameters within certain ranges to optimize the objective function, the predictive control of the structural vibration is achieved. At the same time, the numerical simulation analysis of a two-storey frame structure with magneto-rheological (MR) dampers under earthquake records is carried out, and the parameter influence on structural vibration reduction is discussed. The results demonstrate that the semi-active control based on Newmark-β predictive algorithm is better than the classical control strategy based on full-state feedback control and has remarkable advantages of structural vibration reduction and control robustness.

Concurrent multi-scale modeling of civil infrastructures for analyses on structural deteriorating—Part II : Model updating and verification

This paper is a continuation of the paper titled “Concurrent multi-scale modeling of civil infrastructure for analyses on structural deteriorating—Part I: Modeling methodology and strategy” with the emphasis on model updating and verification for the developed concurrent multi-scale model. The sensitivity-based parameter updating method was applied and some important issues such as selection of reference data and model parameters, and model updating procedures on the multi-scale model were investigated based on the sensitivity analysis of the selected model parameters. The experimental modal data as well as static response in terms of component nominal stresses and hot-spot stresses at the concerned locations were used for dynamic response- and static response-oriented model updating, respectively. The updated multi-scale model was further verified to act as the baseline model which is assumed to be finite-element model closest to the real situation of the structure available for the subsequent arbitrary numerical simulation. The comparison of dynamic and static responses between the calculated results by the final model and measured data indicated the updating and verification methods applied in this paper are reliable and accurate for the multi-scale model of frame-like structure. The general procedures of multi-scale model updating and verification were finally proposed for nonlinear physical-based modeling of large civil infrastructure, and it was applied to the model verification of a long-span bridge as an actual engineering practice of the proposed procedures.

Damage detection for truss bridge structures using correlation-based structural modal strain energy

This paper presents the feasibility of using structural modal strain energy as a parameter employed in correlation- based damage detection method for truss bridge structures. It is an extension of the damage detection method adopting multiple damage location assurance criterion. In this paper, the sensitivity of modal strain energy to damage obtained from the analytical model is incorporated into the correlation objective function. Firstly, the sensitivity matrix of modal strain energy to damage is conducted offline, and for an arbitrary damage case, the correlation coefficient (objective function) is calculated by multiplying the sensitivity matrix and damage vector. Then, a genetic algorithm is used to iteratively search the damage vector maximising the correlation between the corresponding modal strain energy change (hypothesised) and its counterpart in measurement. The proposed method is simulated and compared with the conventional methods, e.g. frequency-error method, coordinate modal assurance criterion and multiple damage location assurance criterion using mode shapes on a numerical truss bridge structure. The result demonstrates the modal strain energy correlation method is able to yield acceptable damage detection outcomes with less computing efforts, even in a noise contaminated condition.

Influence of axial deformation of structural members on vibration characteristics

The vibration characteristics of structural members are significantly influenced by the axial loads and hence axial deformation of the member. Numerous methods have been developed to quantify the axial loads in individual structural members using their natural frequencies. However, the findings of these methods cannot be applied to individual members in a structural framing system as the natural frequency is a global parameter for the entire framing system. This paper proposes an innovative method which uses the modal flexibility parameter to quantify axial deformations in load bearing elements of structural framing systems. The proposed method is illustrated through examples and results highlight that the method can be used to quantify the axial deformations of Individual elements of structural framing systems.

Effective discrimination of acoustic emission source signals for structural health monitoring

Acoustic emission (AE) is the phenomenon where stress waves are generated due to rapid release of energy within a material caused by sources such as crack initiation or growth. AE technique involves recording the stress waves by means of sensors and subsequent analysis of the recorded signals to gather information about the nature of the source. Though AE technique is one of the popular non destructive evaluation (NDE) techniques for structural health monitoring of mechanical, aerospace and civil structures; several challenges still exist in successful application of this technique. Presence of spurious noise signals can mask genuine damage‐related AE signals; hence a major challenge identified is finding ways to discriminate signals from different sources. Analysis of parameters of recorded AE signals, comparison of amplitudes of AE wave modes and investigation of uniqueness of recorded AE signals have been mentioned as possible criteria for source differentiation. This paper reviews common approaches currently in use for source discrimination, particularly focusing on structural health monitoring of civil engineering structural components such as beams; and further investigates the applications of some of these methods by analyzing AE data from laboratory tests.

A nanometre-scale non-periodic structural variation in high temperature superconducting ceramics and the implications for properties

Non-periodic structural variation has been found in the high Tc cuprates, YBa2Cu3O7-x and Hg0.67Pb0.33Ba2Ca2Cu 3O8+δ, by image analysis of high resolution transmission electron microscope (HRTEM) images. We use two methods for analysis of the HRTEM images. The first method is a means for measuring the bending of lattice fringes at twin planes. The second method is a low-pass filter technique which enhances information contained by diffuse-scattered electrons and reveals what appears to be an interference effect between domains of differing lattice parameter in the top and bottom of the thin foil. We believe that these methods of image analysis could be usefully applied to the many thousands of HRTEM images that have been collected by other workers in the high temperature superconductor field. This work provides direct structural evidence for phase separation in high Tc cuprates, and gives support to recent stripes models that have been proposed to explain various angle resolved photoelectron spectroscopy and nuclear magnetic resonance data. We believe that the structural variation is a response to an opening of an electronic solubility gap where holes are not uniformly distributed in the material but are confined to metallic stripes. Optimum doping may occur as a consequence of the diffuse boundaries between stripes which arise from spinodal decomposition. Theoretical ideas about the high Tc cuprates which treat the cuprates as homogeneous may need to be modified in order to take account of this type of structural variation.

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.

Towards strongly consistent online HMM parameter estimation using one-step Kerridge inaccuracy

In this paper, we propose a novel online hidden Markov model (HMM) parameter estimator based on the new information-theoretic concept of one-step Kerridge inaccuracy (OKI). Under several regulatory conditions, we establish a convergence result (and some limited strong consistency results) for our proposed online OKI-based parameter estimator. In simulation studies, we illustrate the global convergence behaviour of our proposed estimator and provide a counter-example illustrating the local convergence of other popular HMM parameter estimators.

Test-retest reliability of graph theory measures of structural brain connectivity

The human connectome has recently become a popular research topic in neuroscience, and many new algorithms have been applied to analyze brain networks. In particular, network topology measures from graph theory have been adapted to analyze network efficiency and 'small-world' properties. While there has been a surge in the number of papers examining connectivity through graph theory, questions remain about its test-retest reliability (TRT). In particular, the reproducibility of structural connectivity measures has not been assessed. We examined the TRT of global connectivity measures generated from graph theory analyses of 17 young adults who underwent two high-angular resolution diffusion (HARDI) scans approximately 3 months apart. Of the measures assessed, modularity had the highest TRT, and it was stable across a range of sparsities (a thresholding parameter used to define which network edges are retained). These reliability measures underline the need to develop network descriptors that are robust to acquisition parameters.

Secondary structure element alignment kernel method for prediction of protein structural classes

In this paper, we aim at predicting protein structural classes for low-homology data sets based on predicted secondary structures. We propose a new and simple kernel method, named as SSEAKSVM, to predict protein structural classes. The secondary structures of all protein sequences are obtained by using the tool PSIPRED and then a linear kernel on the basis of secondary structure element alignment scores is constructed for training a support vector machine classifier without parameter adjusting. Our method SSEAKSVM was evaluated on two low-homology datasets 25PDB and 1189 with sequence homology being 25% and 40%, respectively. The jackknife test is used to test and compare our method with other existing methods. The overall accuracies on these two data sets are 86.3% and 84.5%, respectively, which are higher than those obtained by other existing methods. Especially, our method achieves higher accuracies (88.1% and 88.5%) for differentiating the α + β class and the α/β class compared to other methods. This suggests that our method is valuable to predict protein structural classes particularly for low-homology protein sequences. The source code of the method in this paper can be downloaded at http://math.xtu.edu.cn/myphp/math/research/source/SSEAK_source_code.rar.