Modal coupling in linear control systems using robust eigenstructure assignment

Eigenvalue assignment methods are used widely in the design of control and state-estimation systems. The corresponding eigenvectors can be selected to ensure robustness. For specific applications, eigenstructure assignment can also be applied to achieve more general performance criteria. In this paper a new output feedback design approach using robust eigenstructure assignment to achieve prescribed mode input and output coupling is described. A minimisation technique is developed to improve both the mode coupling and the robustness of the system, whilst allowing the precision of the eigenvalue placement to be relaxed. An application to the design of an automatic flight control system is demonstrated.

Robust abandoned object detection integrating wide area visual surveillance and social context

This paper presents a video surveillance framework that robustly and efficiently detects abandoned objects in surveillance scenes. The framework is based on a novel threat assessment algorithm which combines the concept of ownership with automatic understanding of social relations in order to infer abandonment of objects. Implementation is achieved through development of a logic-based inference engine based on Prolog. Threat detection performance is conducted by testing against a range of datasets describing realistic situations and demonstrates a reduction in the number of false alarms generated. The proposed system represents the approach employed in the EU SUBITO project (Surveillance of Unattended Baggage and the Identification and Tracking of the Owner).

The challenge of validation: assessing the performance of a test of productive vocabulary

This paper assesses the performance of a vocabulary test designed to measure second language productive vocabulary knowledge.The test, Lex30, uses a word association task to elicit vocabulary, and uses word frequency data to measure the vocabulary produced. Here we report firstly on the reliability of the test as measured by a test-retest study, a parallel test forms experiment and an internal consistency measure. We then investigate the construct validity of the test by looking at changes in test performance over time, analyses of correlations with scores on similar tests, and comparison of spoken and written test performance. Last, we examine the theoretical bases of the two main test components: eliciting vocabulary and measuring vocabulary. Interpretations of our findings are discussed in the context of test validation research literature. We conclude that the findings reported here present a robust argument for the validity of the test as a research tool, and encourage further investigation of its validity in an instructional context

Primary evolving networks and the comparative analysis of robust and fragile structures

In this paper we consider the structure of dynamically evolving networks modelling information and activity moving across a large set of vertices. We adopt the communicability concept that generalizes that of centrality which is defined for static networks. We define the primary network structure within the whole as comprising of the most influential vertices (both as senders and receivers of dynamically sequenced activity). We present a methodology based on successive vertex knockouts, up to a very small fraction of the whole primary network,that can characterize the nature of the primary network as being either relatively robust and lattice-like (with redundancies built in) or relatively fragile and tree-like (with sensitivities and few redundancies). We apply these ideas to the analysis of evolving networks derived from fMRI scans of resting human brains. We show that the estimation of performance parameters via the structure tests of the corresponding primary networks is subject to less variability than that observed across a very large population of such scans. Hence the differences within the population are significant.

Islamic mutual funds' financial performance and international investment style: evidence from 20 countries

We pursue the first large-scale investigation of a strongly growing mutual fund type: Islamic funds. Based on an unexplored, survivorship bias-adjusted data set, we analyse the financial performance and investment style of 265 Islamic equity funds from 20 countries. As Islamic funds often have diverse investment regions, we develop a (conditional) three-level Carhart model to simultaneously control for exposure to different national, regional and global equity markets and investment styles. Consistent with recent evidence for conventional funds, we find Islamic funds to display superior learning in more developed Islamic financial markets. While Islamic funds from these markets are competitive to international equity benchmarks, funds from especially Western nations with less Islamic assets tend to significantly underperform. Islamic funds’ investment style is somewhat tilted towards growth stocks. Funds from predominantly Muslim economies also show a clear small cap preference. These results are consistent over time and robust to time varying market exposures and capital market restrictions.

Performance of a BP c-Si building Integrated PV system after 15years of installation

In this study, the performance, yield and characteristics of a 15 year old photovoltaic system installation has been investigated. The technology, BP Saturn modules which were steel-blue polycrystalline silicon cells are no longer in production. A bespoke monitoring system was designed and purpose built to monitor the characteristics of 6 strings, of 18 modules connected in series. The total output of the system is configured to 6.5kWp (series to parallel configuration). The PV system is demonstrating system outputs to be inferior by 0.7% per year. However,efficiency values in comparison to standard test conditions have remained practically the same. This output though very relevant to the possible performance and stability of aging cells, requires additional parametric studies to develop a more robust argument. The result presented in this paper is part of an on going investigation into PV system aging effects.

Assessing the performance of a building integrated BP c-Si PV system

In this study, the performance, yield and characteristics of a 16 year old photovoltaic (PV) system installation have been investigated. The technology, BP Saturn modules which were steel-blue polycrystalline silicon cells are no longer in production. A bespoke monitoring system has been designed to monitor the characteristics of 6 refurbished strings, of 18 modules connected in series. The total output of the system is configured to 6.5 kWp (series to parallel configuration). In addition to experimental results, the performance ratio (PR) of known values was simulated using PVSyst, a simulation software package. From calculations using experimental values, the PV system showed approximately 10% inferior power outputs to what would have been expected as standard test conditions. However, efficiency values in comparison to standard test conditions and the performance ratio (w75% from PVSyst simulations) over the past decade have remained practically the same. This output though very relevant to the possible performance and stability of aging cells, requires additional parametric studies to develop a more robust argument. The result presented in this paper is part of an on-going investigation into PV system aging effects.

Robust approaches to forecasting

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium-correction models. Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measurement errors, impulses, omitted variables, unanticipated location shifts and incorrectly included variables that experience a shift. We derive the resulting forecast biases and error variances, and indicate when the methods are likely to perform well. The robust methods are applied to forecasting US GDP using autoregressive models, and also to autoregressive models with factors extracted from a large dataset of macroeconomic variables. We consider forecasting performance over the Great Recession, and over an earlier more quiescent period.

Asset liability modelling and pension schemes: the application of robust optimization to USS

This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximise the Sharpe ratio. We disaggregate pension liabilities into three components - active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes-Stein, and Black-Litterman models as well as the actual USS investment decisions. Over a 144 month out-of-sample period robust optimization is superior to the four benchmarks across 20 performance criteria, and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

Essays on robust portfolio selection and pension finance

This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.