Green function for the diffusion limit of one-dimensional continuous time random walks

It is shown how the fractional probability density diffusion equation for the diffusion limit of one-dimensional continuous time random walks may be derived from a generalized Markovian Chapman-Kolmogorov equation. The non-Markovian behaviour is incorporated into the Markovian Chapman-Kolmogorov equation by postulating a Levy like distribution of waiting times as a kernel. The Chapman-Kolmogorov equation so generalised then takes on the form of a convolution integral. The dependence on the initial conditions typical of a non-Markovian process is treated by adding a time dependent term involving the survival probability to the convolution integral. In the diffusion limit these two assumptions about the past history of the process are sufficient to reproduce anomalous diffusion and relaxation behaviour of the Cole-Cole type. The Green function in the diffusion limit is calculated using the fact that the characteristic function is the Mittag-Leffler function. Fourier inversion of the characteristic function yields the Green function in terms of a Wright function. The moments of the distribution function are evaluated from the Mittag-Leffler function using the properties of characteristic functions and a relation between the powers of the second moment and higher order even moments is derived. (C) 2004 Elsevier B.V. All rights reserved.

Constructing networks of continuous-time velocity-based models

A conventional local model (LM) network consists of a set of affine local models blended together using appropriate weighting functions. Such networks have poor interpretability since the dynamics of the blended network are only weakly related to the underlying local models. In contrast, velocity-based LM networks employ strictly linear local models to provide a transparent framework for nonlinear modelling in which the global dynamics are a simple linear combination of the local model dynamics. A novel approach for constructing continuous-time velocity-based networks from plant data is presented. Key issues including continuous-time parameter estimation, correct realisation of the velocity-based local models and avoidance of the input derivative are all addressed. Application results are reported for the highly nonlinear simulated continuous stirred tank reactor process.

A Continuous Time Markov Chain Based Sequential Analytical Approach for Composite Power System Reliability Assessment

This paper proposes a continuous time Markov chain (CTMC) based sequential analytical approach for composite generation and transmission systems reliability assessment. The basic idea is to construct a CTMC model for the composite system. Based on this model, sequential analyses are performed. Various kinds of reliability indices can be obtained, including expectation, variance, frequency, duration and probability distribution. In order to reduce the dimension of the state space, traditional CTMC modeling approach is modified by merging all high order contingencies into a single state, which can be calculated by Monte Carlo simulation (MCS). Then a state mergence technique is developed to integrate all normal states to further reduce the dimension of the CTMC model. Moreover, a time discretization method is presented for the CTMC model calculation. Case studies are performed on the RBTS and a modified IEEE 300-bus test system. The results indicate that sequential reliability assessment can be performed by the proposed approach. Comparing with the traditional sequential Monte Carlo simulation method, the proposed method is more efficient, especially in small scale or very reliable power systems.

Sampled-data gain scheduling of continuous LTV plants

This paper discusses the design of gain- scheduled sampled-data controllers for continuous-time polytopic linear parameter-varying systems. The scheduling variables are assumed to available only at the sampling instants, and a bound on the time-variation of the scheduling parameters is also assumed to be known. The resultant gain-scheduled controllers improve the maximum achieveable delay bound over previous constant-gain ones in the literature.

Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

Blind Deconvolution for Two-thermocouple Sensor Characterisation

Thermocouples are one of the most popular devices for temperature measurement due to their robustness, ease of manufacture and installation, and low cost. However, when used in the harsh environment found in combustion systems and automotive engine exhausts, large wire diameters are required and consequently the measurement bandwidth is reduced. This paper describes two new algorithmic compensation techniques based on blind deconvolution to address this loss of high-frequency signal components using the measurements from two thermocouples. In particular, a continuous-time approach is proposed, combined with a cross-relation blind deconvolution for parameter estimation. A feature of this approach is that no a priori assumption is made about the time constant ratio of the two thermocouples. The advantages, including small estimation variance and limitations of the method, are highlighted using results from simulation and test rig studies.

On velocity-based local model networks for nonlinear identification

This paper exposes the strengths and weaknesses of the recently proposed velocity-based local model (LM) network. The global dynamics of the velocity-based blended representation are directly related to the dynamics of the underlying local models, an important property in the design of local controller networks. Furthermore, the sub-models are continuous-time and linear providing continuity with established linear theory and methods. This is not true for the conventional LM framework, where the global dynamics are only weakly related to the affine sub-models. In this paper, a velocity-based multiple model network is identified for a highly nonlinear dynamical system. The results show excellent dynamical modelling performances, highlighting the value of the velocity-based approach for the design and analysis of LM based control. Three important practical issues are also addressed. These relate to the blending of the velocity-based local models, the use of normalised Gaussian basis functions and the requirement of an input derivative.

Dynamic pricing models for used products in remanufacturing with lost-sales and uncertain quality

In this paper, we investigate the remanufacturing problem of pricing single-class used products (cores) in the face of random price-dependent returns and random demand. Specifically, we propose a dynamic pricing policy for the cores and then model the problem as a continuous-time Markov decision process. Our models are designed to address three objectives: finite horizon total cost minimization, infinite horizon discounted cost, and average cost minimization. Besides proving optimal policy uniqueness and establishing monotonicity results for the infinite horizon problem, we also characterize the structures of the optimal policies, which can greatly simplify the computational procedure. Finally, we use computational examples to assess the impacts of specific parameters on optimal price and reveal the benefits of a dynamic pricing policy. © 2013 Elsevier B.V. All rights reserved.

Dynamic pricing for used products in remanufacturing with back orders(ABS 3* Journal, Accepted with Revision on 2nd December 2011).

In remanufacturing, the supply of used products and the demand for remanufactured products are usually mismatched because of the great uncertainties on both sides. In this paper, we propose a dynamic pricing policy to balance this uncertain supply and demand. Specifically, we study a remanufacturer’s problem of pricing a single class of cores with random price-dependent returns and random demand for the remanufactured products with backlogs. We model this pricing task as a continuous-time Markov decision process, which addresses both the finite and infinite horizon problems, and provide managerial insights by analyzing the structural properties of the optimal policy. We then use several computational examples to illustrate the impacts of particular system parameters on pricing policy.

Laughter Induction Techniques Suitable for Generating Motion Capture Data of Laughter Associated Body Movements

Laughter is a frequently occurring social signal and an important part of human non-verbal communication. However it is often overlooked as a serious topic of scientific study. While the lack of research in this area is mostly due to laughter’s non-serious nature, it is also a particularly difficult social signal to produce on demand in a convincing manner; thus making it a difficult topic for study in laboratory settings. In this paper we provide some techniques and guidance for inducing both hilarious laughter and conversational laughter. These techniques were devised with the goal of capturing mo- tion information related to laughter while the person laughing was either standing or seated. Comments on the value of each of the techniques and general guidance as to the importance of atmosphere, environment and social setting are provided.

Glued trees algorithm under phase damping

We study the behaviour of the glued trees algorithm described by Childs et al. in [1] under decoherence. We consider a discrete time reformulation of the continuous time quantum walk protocol and apply a phase damping channel to the coin state, investigating the effect of such a mechanism on the probability of the walker appearing on the target vertex of the graph. We pay particular attention to any potential advantage coming from the use of weak decoherence for the spreading of the walk across the glued trees graph. © 2013 Elsevier B.V.

Limitations of instantaneous water quality sampling in surface-water catchments: Comparison with near-continuous phosphorus time-series data.

The validity of load estimates from intermittent, instantaneous grab sampling is dependent on adequate spatial coverage by monitoring networks and a sampling frequency that re?ects the variability in the system under study. Catchments with a ?ashy hydrology due to surface runoff pose a particular challenge as intense short duration rainfall events may account for a signi?cant portion of the total diffuse transfer of pollution from soil to water in any hydrological year. This can also be exacerbated by the presence of strong background pollution signals from point sources during low flows. In this paper, a range of sampling methodologies and load estimation techniques are applied to phosphorus data from such a surface water dominated river system, instrumented at three sub-catchments (ranging from 3 to 5 km2 in area) with near-continuous monitoring stations. Systematic and Monte Carlo approaches were applied to simulate grab sampling using multiple strategies and to calculate an estimated load, Le based on established load estimation methods. Comparison with the actual load, Lt, revealed signi?cant average underestimation, of up to 60%, and high variability for all feasible sampling approaches. Further analysis of the time series provides an insight into these observations; revealing peak frequencies and power-law scaling in the distributions of P concentration, discharge and load associated with surface runoff and background transfers. Results indicate that only near-continuous monitoring that re?ects the rapid temporal changes in these river systems is adequate for comparative monitoring and evaluation purposes. While the implications of this analysis may be more tenable to small scale ?ashy systems, this represents an appropriate scale in terms of evaluating catchment mitigation strategies such as agri-environmental policies for managing diffuse P transfers in complex landscapes.

Hydrothermal synthesis of a continuous zeolite Beta layer by optimization of time, temperature and heating rate of the precursor mixture

Highly crystalline zeolite Beta coatings in a range of Si/Al ratios of 12-23 were synthesized on a surface-modified molybdenum substrate by hydrothermal synthesis. The average thickness of the coatings was ca. 2 mu m corresponding to a coverage of 2.5 gm(-2). The coatings were obtained from a viscous Na, K, and TEAOH containing aluminosilicate precursor mixture with silica sol as reactive silicon source. A mechanism for the in situ growth of zeolite Beta coatings is proposed. According to this mechanism, the deposition of an amorphous gel layer on the substrate surface in the initial stage of the synthesis is an important step for the crystallization of continuous zeolite Beta coatings. The heating rate of the precursor mixture and the synthesis temperature were optimized to control the level of supersaturation and to stimulate the initial formation of a gel layer. At a Si/Al ratio of 23, fast heating and a temperature of 150 degrees C are required to obtain high coverage, while at a Si/Al ratio of 15, hydrothermal synthesis has to be performed with a slow initial heating rate at 140 degrees C. (c) 2007 Elsevier Inc. All rights reserved.