Development and application of a novel algorithm for steady-state optimising control using dynamic information

A novel optimising controller is designed that leads a slow process from a sub-optimal operational condition to the steady-state optimum in a continuous way based on dynamic information. Using standard results from optimisation theory and discrete optimal control, the solution of a steady-state optimisation problem is achieved by solving a receding-horizon optimal control problem which uses derivative and state information from the plant via a shadow model and a state-space identifier. The paper analyzes the steady-state optimality of the procedure, develops algorithms with and without control rate constraints and applies the procedure to a high fidelity simulation study of a distillation column optimisation.

International evidence on the predictability of returns to securitized real estate assets: econometric models versus neural networks

The performance of various statistical models and commonly used financial indicators for forecasting securitised real estate returns are examined for five European countries: the UK, Belgium, the Netherlands, France and Italy. Within a VAR framework, it is demonstrated that the gilt-equity yield ratio is in most cases a better predictor of securitized returns than the term structure or the dividend yield. In particular, investors should consider in their real estate return models the predictability of the gilt-equity yield ratio in Belgium, the Netherlands and France, and the term structure of interest rates in France. Predictions obtained from the VAR and univariate time-series models are compared with the predictions of an artificial neural network model. It is found that, whilst no single model is universally superior across all series, accuracy measures and horizons considered, the neural network model is generally able to offer the most accurate predictions for 1-month horizons. For quarterly and half-yearly forecasts, the random walk with a drift is the most successful for the UK, Belgian and Dutch returns and the neural network for French and Italian returns. Although this study underscores market context and forecast horizon as parameters relevant to the choice of the forecast model, it strongly indicates that analysts should exploit the potential of neural networks and assess more fully their forecast performance against more traditional models.

Stress testing credit risk: the Great Depression scenario

By employing Moody’s corporate default and rating transition data spanning the last 90 years we explore how much capital banks should hold against their corporate loan portfolios to withstand historical stress scenarios. Specifically, we will focus on the worst case scenario over the observation period, the Great Depression. We find that migration risk and the length of the investment horizon are critical factors when determining bank capital needs in a crisis. We show that capital may need to rise more than three times when the horizon is increased from 1 year, as required by current and future regulation, to 3 years. Increases are still important but of a lower magnitude when migration risk is introduced in the analysis. Further, we find that the new bank capital requirements under the so-called Basel 3 agreement would enable banks to absorb Great Depression-style losses. But, such losses would dent regulatory capital considerably and far beyond the capital buffers that have been proposed to ensure that banks survive crisis periods without government support.

Early warning with calibrated and sharper probabilistic forecasts

Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In order to enhance the quality of the density forecasts, one can mix them with the unconditional density. This paper examines the value of combining conditional density forecasts with the unconditional density. The findings have positive implications for issuing early warnings in different disciplines including economics and meteorology, but UK inflation forecasts are considered as an example.

Reaping the benefits: science and the sustainable intensification of global agriculture

Food security is one of this century’s key global challenges. By 2050 the world will require increased crop production in order to feed its predicted 9 billion people. This must be done in the face of changing consumption patterns, the impacts of climate change and the growing scarcity of water and land. Crop production methods will also have to sustain the environment, preserve natural resources and support livelihoods of farmers and rural populations around the world. There is a pressing need for the ‘sustainable intensifi cation’ of global agriculture in which yields are increased without adverse environmental impact and without the cultivation of more land. Addressing the need to secure a food supply for the whole world requires an urgent international effort with a clear sense of long-term challenges and possibilities. Biological science, especially publicly funded science, must play a vital role in the sustainable intensifi cation of food crop production. The UK has a responsibility and the capacity to take a leading role in providing a range of scientifi c solutions to mitigate potential food shortages. This will require signifi cant funding of cross-disciplinary science for food security. The constraints on food crop production are well understood, but differ widely across regions. The availability of water and good soils are major limiting factors. Signifi cant losses in crop yields occur due to pests, diseases and weed competition. The effects of climate change will further exacerbate the stresses on crop plants, potentially leading to dramatic yield reductions. Maintaining and enhancing the diversity of crop genetic resources is vital to facilitate crop breeding and thereby enhance the resilience of food crop production. Addressing these constraints requires technologies and approaches that are underpinned by good science. Some of these technologies build on existing knowledge, while others are completely radical approaches, drawing on genomics and high-throughput analysis. Novel research methods have the potential to contribute to food crop production through both genetic improvement of crops and new crop and soil management practices. Genetic improvements to crops can occur through breeding or genetic modifi cation to introduce a range of desirable traits. The application of genetic methods has the potential to refi ne existing crops and provide incremental improvements. These methods also have the potential to introduce radical and highly signifi cant improvements to crops by increasing photosynthetic effi ciency, reducing the need for nitrogen or other fertilisers and unlocking some of the unrealised potential of crop genomes. The science of crop management and agricultural practice also needs to be given particular emphasis as part of a food security grand challenge. These approaches can address key constraints in existing crop varieties and can be applied widely. Current approaches to maximising production within agricultural systems are unsustainable; new methodologies that utilise all elements of the agricultural system are needed, including better soil management and enhancement and exploitation of populations of benefi cial soil microbes. Agronomy, soil science and agroecology—the relevant sciences—have been neglected in recent years. Past debates about the use of new technologies for agriculture have tended to adopt an either/or approach, emphasising the merits of particular agricultural systems or technological approaches and the downsides of others. This has been seen most obviously with respect to genetically modifi ed (GM) crops, the use of pesticides and the arguments for and against organic modes of production. These debates have failed to acknowledge that there is no technological panacea for the global challenge of sustainable and secure global food production. There will always be trade-offs and local complexities. This report considers both new crop varieties and appropriate agroecological crop and soil management practices and adopts an inclusive approach. No techniques or technologies should be ruled out. Global agriculture demands a diversity of approaches, specific to crops, localities, cultures and other circumstances. Such diversity demands that the breadth of relevant scientific enquiry is equally diverse, and that science needs to be combined with social, economic and political perspectives. In addition to supporting high-quality science, the UK needs to maintain and build its capacity to innovate, in collaboration with international and national research centres. UK scientists and agronomists have in the past played a leading role in disciplines relevant to agriculture, but training in agricultural sciences and related topics has recently suffered from a lack of policy attention and support. Agricultural extension services, connecting farmers with new innovations, have been similarly neglected in the UK and elsewhere. There is a major need to review the support for and provision of extension services, particularly in developing countries. The governance of innovation for agriculture needs to maximise opportunities for increasing production, while at the same time protecting societies, economies and the environment from negative side effects. Regulatory systems need to improve their assessment of benefits. Horizon scanning will ensure proactive consideration of technological options by governments. Assessment of benefi ts, risks and uncertainties should be seen broadly, and should include the wider impacts of new technologies and practices on economies and societies. Public and stakeholder dialogue—with NGOs, scientists and farmers in particular—needs to be a part of all governance frameworks.

Predictive computed-torque control of a PUMA 560 manipulator robot

This paper describes the integration of constrained predictive control and computed-torque control, and its application on a six degree-of-freedom PUMA 560 manipulator arm. The real-time implementation was based on SIMULINK, with the predictive controller and the computed-torque control law implemented in the C programming language. The constrained predictive controller solved a quadratic programming problem at every sampling interval, which was as short as 10 ms, using a prediction horizon of 150 steps and an 18th order state space model.

Relevance of sampling schemes in light of Ruelle's linear response theory

We reconsider the theory of the linear response of non-equilibrium steady states to perturbations. We �rst show that by using a general functional decomposition for space-time dependent forcings, we can de�ne elementary susceptibilities that allow to construct the response of the system to general perturbations. Starting from the de�nition of SRB measure, we then study the consequence of taking di�erent sampling schemes for analysing the response of the system. We show that only a speci�c choice of the time horizon for evaluating the response of the system to a general time-dependent perturbation allows to obtain the formula �rst presented by Ruelle. We also discuss the special case of periodic perturbations, showing that when they are taken into consideration the sampling can be �ne-tuned to make the de�nition of the correct time horizon immaterial. Finally, we discuss the implications of our results in terms of strategies for analyzing the outputs of numerical experiments by providing a critical review of a formula proposed by Reick.

Valuation and arbitrage

The use of discounted cash flow (DCF) methods in investment valuation and appraisal is argued by many academics as being rational and more rigorous than the traditional capitalisation model. However those advocates of DCF should be cautious in their claims for rationality. The various DCF models all rely upon an all-encompassing equated yield (IRR) within the calculation. This paper will argue that this is a simplification of the risk perception which the investor places on the income profile from property. In determining the long term capital value of a property an 'average' DCF method will produce the 'correct' price, however, the individual short term values of each cash-flow may differ significantly. In the UK property market today, where we are facing a period in which prices are not expected to rise generally at the same rate or with such persistence as hitherto, investors and tenants are increasingly concerned with the down side implications of rental growth and investors may indeed be interested in trading property over a shorter investment horizon than they had originally planned. The purpose of this paper is therefore to bring to the analysis a rigorous framework which can be used to analyse the constituent cash flows within the freehold valuation. We show that the arbitrage analysis lends itself to segregating the capital value of the cash flows in a way which is more appropriate for financial investors

Promoting resilient livelihoods through adaptive social protection: lessons from 124 programmes in South Asia

Adaptive Social Protection refers to efforts to integrate social protection (SP), disaster risk reduction (DRR) and climate change adaptation (CCA). The need to integrate these three domains is now increasingly recognized by practitioners and academics. Relying on 124 agricultural programmes implemented in 5 countries in Asia, this paper considers how these elements are being brought together, and explores the potential gains of these linkages. The analysis shows that full integration of SP, DRR and CCA interventions is still relatively limited but that when it occurs, integration helps to shift the time horizon beyond short-term interventions aimed at supporting peoples’ coping strategies and/or graduation objectives, toward longer-term interventions that can assist in promoting transformation towards climate and disaster resilient livelihood options.

Testing the sustainability and sensitivity to climatic change of terrace agricultural systems in the Peruvian Andes: a pilot study

The results of an integrated geoarchaeological and palaeoecological pilot study of a prehistoric agricultural terrace and nearby mire basin are presented. They reveal two stages of terrace construction for the cultivation of Zea mays during the Middle Horizon (615–695 AD) and late, Late Intermediate Period (1200–1400 AD). These stages were strongly associated with evidence for vegetation succession, destabilisation and erosion of the surrounding landscape, and changes in mire surface wetness. The reasons for agricultural terrace abandonment and/or reconstruction are uncertain, with only circumstantial evidence for climatically induced agricultural change.

Pedosedimentary, cultural and environmental significance of palaeosols within Pre-Hispanic agricultural terraces in the southern Peruvian Andes

Paleosols were exposed in sections through four abandoned pre-Hispanic agricultural terraces surrounding an infilled mire basin in the southern Peruvian Andes. The two paleosols beneath the Tocotoccasa terrace represent the original ‘natural’ solum and a later soil formed after construction of the agricultural terrace, probably during the early Middle Horizon cultural period (615–695 AD). The soil at the current surface developed subsequent to the building up and reconstruction of the terrace, possibly during the late Late Intermediate period (1200–1400 AD). Micromorphology revealed an unexpected abundance of clay coatings within the upper terrace paleosol and surface terrace soil, a phenonemon attributed to the migration and/or accumulation of neoformed clay produced from the weathering of very unstable volcanic clasts, perhaps fuelled by arid/humid climatic oscillations and/or seasonal input of irrigation waters. The paleosols at Tocotoccasa could not be correlated with any degree of confidence with those beneath the other three terraces due to differences in pedosedimentary properties and uncertainties over chronological controls. Thus, it seems likely that either the terraces were (re)constructed and utilised over different cultural periods or that there is significant variation in the extent of weathering of material used for reconstruction of the terraces. Unfortunately, it cannot be ascertained from the data available whether the terraces were abandoned for any significant period of time prior to reconstruction and, if so, whether this was a regional phenomenon related to climate, social, or economic changes.

A unifying framework for metrics for aggregating the climate effect of different emissions

Multi-gas approaches to climate change policies require a metric establishing ‘equivalences’ among emissions of various species. Climate scientists and economists have proposed four kinds of such metrics and debated their relative merits. We present a unifying framework that clarifies the relationships among them. We show, as have previous authors, that the global warming potential (GWP), used in international law to compare emissions of greenhouse gases, is a special case of the global damage potential (GDP), assuming (1) a finite time horizon, (2) a zero discount rate, (3) constant atmospheric concentrations, and (4) impacts that are proportional to radiative forcing. Both the GWP and GDP follow naturally from a cost–benefit framing of the climate change issue. We show that the global temperature change potential (GTP) is a special case of the global cost potential (GCP), assuming a (slight) fall in the global temperature after the target is reached. We show how the four metrics should be generalized if there are intertemporal spillovers in abatement costs, distinguishing between private (e.g., capital stock turnover) and public (e.g., induced technological change) spillovers. Both the GTP and GCP follow naturally from a cost-effectiveness framing of the climate change issue. We also argue that if (1) damages are zero below a threshold and (2) infinitely large above a threshold, then cost-effectiveness analysis and cost–benefit analysis lead to identical results. Therefore, the GCP is a special case of the GDP. The UN Framework Convention on Climate Change uses the GWP, a simplified cost–benefit concept. The UNFCCC is framed around the ultimate goal of stabilizing greenhouse gas concentrations. Once a stabilization target has been agreed under the convention, implementation is clearly a cost-effectiveness problem. It would therefore be more consistent to use the GCP or its simplification, the GTP.

Latitudinal variation of the effect of aviation NOx emissions on atmospheric ozone and methane and related climate metrics

We evaluate the response to regional and latitudinal changes in aircraft NOx emissions using several climate metrics (radiative forcing (RF), Global Warming Potential (GWP), Global Temperature change Potential (GTP)). Global chemistry transport model integrations were performed with sustained perturbations in regional aircraft and aircraft-like NOx emissions. The RF due to the resulting ozone and methane changes is then calculated. We investigate the impact of emission changes for specific geographical regions (approximating to USA, Europe, India and China) and cruise altitude emission changes in discrete latitude bands covering both hemispheres. We find that lower latitude emission changes (per Tg N) cause ozone and methane RFs that are about a factor of 6 larger than those from higher latitude emission changes. The net RF is positive for all experiments. The meridional extent of the RF is larger for low latitude emissions. GWPs for all emission changes are positive, with tropical emissions having the largest values; the sign of the GTP depends on the choice of time horizon.

How vegetation impacts affect climate metrics for ozone precursors

We examine the effect of ozone damage to vegetation as caused by anthropogenic emissions of ozone precursor species and quantify it in terms of its impact on terrestrial carbon stores. A simple climate model is then used to assess the expected changes in global surface temperature from the resulting perturbations to atmospheric concentrations of carbon dioxide, methane, and ozone. The concept of global temperature change potential (GTP) metric, which relates the global average surface temperature change induced by the pulse emission of a species to that induced by a unit mass of carbon dioxide, is used to characterize the impact of changes in emissions of ozone precursors on surface temperature as a function of time. For NOx emissions, the longer-timescale methane perturbation is of the opposite sign to the perturbations in ozone and carbon dioxide, so NOx emissions are warming in the short term, but cooling in the long term. For volatile organic compound (VOC), CO, and methane emissions, all the terms are warming for an increase in emissions. The GTPs for the 20 year time horizon are strong functions of emission location, with a large component of the variability owing to the different vegetation responses on different continents. At this time horizon, the induced change in the carbon cycle is the largest single contributor to the GTP metric for NOx and VOC emissions. For NOx emissions, we estimate a GTP20 of −9 (cooling) to +24 (warming) depending on assumptions of the sensitivity of vegetation types to ozone damage.