An evolutionary computing approach to minimize dynamic hedging error

The objective of our present paper is to derive a computationally efficient genetic pattern learning algorithm to evolutionarily derive the optimal rebalancing weights (i.e. dynamic hedge ratios) to engineer a structured financial product out of a multiasset, best-of option. The stochastic target function is formulated as an expected squared cost of hedging (tracking) error which is assumed to be partly dependent on the governing Markovian process underlying the individual asset returns and partly on
randomness i.e. pure white noise. A simple haploid genetic algorithm is advanced as an alternative numerical scheme, which is deemed to be
computationally more efficient than numerically deriving an explicit solution to the formulated optimization model. An extension to our proposed scheme is suggested by means of adapting the Genetic Algorithm parameters based on fuzzy logic controllers.

Fuzzy neural networks for control of dynamic systems

This thesis provides a unified and comprehensive treatment of the fuzzy neural networks as the intelligent controllers. This work has been motivated by a need to develop the solid control methodologies capable of coping with the complexity, the nonlinearity, the interactions, and the time variance of the processes under control. In addition, the dynamic behavior of such processes is strongly influenced by the disturbances and the noise, and such processes are characterized by a large degree of uncertainty. Therefore, it is important to integrate an intelligent component to increase the control system ability to extract the functional relationships from the process and to change such relationships to improve the control precision, that is, to display the learning and the reasoning abilities. The objective of this thesis was to develop a self-organizing learning controller for above processes by using a combination of the fuzzy logic and the neural networks. An on-line, direct fuzzy neural controller using the process input-output measurement data and the reference model with both structural and parameter tuning has been developed to fulfill the above objective. A number of practical issues were considered. This includes the dynamic construction of the controller in order to alleviate the bias/variance dilemma, the universal approximation property, and the requirements of the locality and the linearity in the parameters. Several important issues in the intelligent control were also considered such as the overall control scheme, the requirement of the persistency of excitation and the bounded learning rates of the controller for the overall closed loop stability. Other important issues considered in this thesis include the dependence of the generalization ability and the optimization methods on the data distribution, and the requirements for the on-line learning and the feedback structure of the controller. Fuzzy inference specific issues such as the influence of the choice of the defuzzification method, T-norm operator and the membership function on the overall performance of the controller were also discussed. In addition, the e-completeness requirement and the use of the fuzzy similarity measure were also investigated. Main emphasis of the thesis has been on the applications to the real-world problems such as the industrial process control. The applicability of the proposed method has been demonstrated through the empirical studies on several real-world control problems of industrial complexity. This includes the temperature and the number-average molecular weight control in the continuous stirred tank polymerization reactor, and the torsional vibration, the eccentricity, the hardness and the thickness control in the cold rolling mills. Compared to the traditional linear controllers and the dynamically constructed neural network, the proposed fuzzy neural controller shows the highest promise as an effective approach to such nonlinear multi-variable control problems with the strong influence of the disturbances and the noise on the dynamic process behavior. In addition, the applicability of the proposed method beyond the strictly control area has also been investigated, in particular to the data mining and the knowledge elicitation. When compared to the decision tree method and the pruned neural network method for the data mining, the proposed fuzzy neural network is able to achieve a comparable accuracy with a more compact set of rules. In addition, the performance of the proposed fuzzy neural network is much better for the classes with the low occurrences in the data set compared to the decision tree method. Thus, the proposed fuzzy neural network may be very useful in situations where the important information is contained in a small fraction of the available data.

Audit committee characteristics, internal auditors' contribution to financial statement audits and audit fees : Malaysian evidence

This paper provides empirical evidence on the impact of audit committee characteristics on the extent of internal auditor’s contribution to financial statement audits in an emerging economy. Using a cross-sectional regression model, based on Felix, Gramling and Maletta’s (2001) study, it provides evidence of a positive relationship between internal auditor contribution to financial statement audits and three dimensions of audit committee characteristics: the proportion of independent audit committee members; the extent of audit committee members’ knowledge and experience in auditing, accounting, and finance; and the extent of audit committee review of IA proposal related to program, budget and coordination. A second model examines a relationship between internal audit contribution to financial statement audits and audit fees. However, the results did not yield a significant relationship between the two variables. These results are based on a unique data set comprised of publicly available data matched with survey data from chief internal auditors or financial controllers of 90 firms listed on the Kuala Lumpur Stock Exchange (KLSE).

Design and analysis of a fuzzy controller for a servo system

This paper presents design and simulation investigation of a fuzzy controller and a conventional PID controller for a servo system. First, a servo system is considered and its stability is discussed. Then, a PID controller that is tuned by the Ziegler-Nichols method is formulated for controlling the servo system. To improve the servo system's dynamic response parameters, a fuzzy controller is then proposed for controlling the system. A performance comparison between the fuzzy and the PID controllers are carried out. The results are presented and discussed.

Exponential stabilization for state and input delay systems via output feedback

This paper considers the exponential stabilization problem via static and dynamic output feedback controllers of linear systems with a time delay in both the state and input. By using a change of the state variable and combining with the Lyapunov-Krasovskii method, new sufficient conditions for exponential stabilization via static and dynamic output feedback controllers are proposed. The conditions are expressed in terms of matrix inequalities but with only one parameter needs to be tuned and therefore can be efficiently solved by incorporating an one-dimensional search method into the Matlab’s LMI toolbox. Two numerical examples are provided to illustrate the obtained results.

Observer-based control for time-varying delay neural networks with nonlinear observation

This paper studies the problem of designing observer-based controllers for a class of delayed neural networks with nonlinear observation. The system under consideration is subject to nonlinear observation and an interval time-varying delay. The nonlinear observation output is any nonlinear Lipschitzian function and the time-varying delay is not required to be differentiable nor its lower bound be zero. By constructing a set of appropriate Lyapunov-Krasovskii functionals and utilizing the Newton-Leibniz formula, some delay-dependent stabilizability conditions which are expressed in terms of Linear Matrix Inequalities (LMIs) are derived. The derived conditions allow simultaneous computation of two bounds that characterize the exponential stability rate of the closed-loop system. The unknown observer gain and the state feedback observer-based controller are directly obtained upon the feasibility of the derived LMIs stabilizability conditions. A simulation example is presented to verify the effectiveness of the proposed result.

Voltage oscillations in power distribution networks in the presence of DFIGs and induction motor loads

This paper investigates the oscillatory behavior of power distribution systems in the presence of distributed generation. The analysis is carried out over a distribution test system with two doubly fed induction type wind generators and different types of induction motor loads. The system is linearized by the perturbation method. Eigenvalues are calculated to see the modal interaction within the system. The study indicates that interactions between closely placed converter controllers and induction motor loads significantly influence the damping of the oscillatory modes of the system. The critical modes have a frequency of oscillation between the electromechanical and subsynchronous oscillations of power systems. Time-domain simulations are carried out to verify the validity of the modal analysis and to provide a physical feel for the types of oscillations that occur in distribution systems. Finally, significant parameters of the system that affect the damping and frequency of the oscillation are identified.

Space vector modulation based fast speed response field-orientation control of induction motor drive with adaptive neural integrator

This paper presents a novel fast speed response control strategy for the poly-phase induction motor drive system based on flux angle. The control scheme is derived in rotor field coordinates and employs the estimation of the rotor flux and its position. An adaptive notch filter is proposed to eliminate the dc component of the integration of signals used for the rotor flux estimation. To improve the performance of the rotor flux estimator, derivative term of the back emf is incorporated in the system. The voltage components in the synchronous reference frame are generated in the controllers which are transformed to stationary reference frame for driving the motor. Space vector modulation technique is used here. Simulation of the drive system was carried out and the results were compared with those obtained for a system that produces the above mentioned voltage components using the conventional PI controller. It is observed that the proposed control methodology provides faster response than the conventional PI controller incorporated system.

Genetic algorithm based PI controller tuning for induction motor drive with ANN flux estimator

This paper presents a Genetic Algorithm (GA) based fast speed response controller for poly-phase induction motor drive. Here the proportional and integral gains of PI controller are optimized by GA to achieve quick speed response. An adaptive Recurrent Neural Network (RNN) with Real Time Recurrent Learning (RTRL) algorithm is proposed to estimate rotor flux. An online tuning scheme to update the weight of RNN is presented to overcome stator resistance variation problem. This tuning scheme requires torque estimator to calculate the torque error. Space vector modulation (SVM) technique is used to produce the motor input voltage. Simulation tests have been performed to study the dynamic performances of the drive system for both the classical PI and the genetic algorithm based PI controllers.

A control methodology for DFIG type wind turbines connected to distribution networks

This paper proposes a decentralised controller design for doubly-fed induction generators (DFIGs) to enhance dynamic performance of distribution networks. The change in the output power due to the variable nature of wind is considered as an uncertain term in the design algorithm. In addition, the interconnection effect of the other subsystems are considered in the design process. The H norm of the uncertain system is found out and simultaneous output-feedback linear controllers are designed based controller is verified on a 16 bus distribution test system for severe disturbances. Simulation results indicate that the designed controller is robust against uncertainties in operating conditions

Enhancement of transient stability limit and voltage regulation with dynamic loads using robust excitation control

In stressed power systems with large induction machine component, there exist undamped electromechanical modes and unstable montonic voltage modes. This article proposes a sequential design of an excitation controller and a power system stabiliser (PSS) to stabilise the system. The operating region, with induction machines in stressed power systems, is often not captured using a linearisation around an operating point, and to alleviate this situation a robust controller is designed which guaruntees stable operation in a large region of operation. A minimax linear quadratic Gaussian design is used for the design of the supplementary control to automatic voltage regulators, and a classical PSS structure is used to damp electromechanical oscillations. The novelty of this work is in proposing a method to capture the unmodelled nonlinear dynamics as uncertainty in the design of the robust controller. Tight bounds on the uncertainty are obtained using this method which enables high-performance controllers. An IEEE benchmark test system has been used to demonstrate the performance of the designed controller

Adaptive intelligent energy management system of plug-in hybrid electric vehicle

Efficient energy management in hybrid vehicles is the key for reducing fuel consumption and emissions. To capitalize on the benefits of using PHEVs (Plug-in Hybrid Electric Vehicles), an intelligent energy management system is developed and evaluated in this paper. Models of vehicle engine, air conditioning, powertrain, and hybrid electric drive system are first developed. The effect of road parameters such as bend direction and road slope angle as well as environmental factors such as wind (direction and speed) and thermal conditions are also modeled. Due to the nonlinear and complex nature of the interactions between PHEV-Environment-Driver components, a soft computing based intelligent management system is developed using three fuzzy logic controllers. The crucial fuzzy engine controller within the intelligent energy management system is made adaptive by using a hybrid multi-layer adaptive neuro-fuzzy inference system with genetic algorithm optimization. For adaptive learning, a number of datasets were created for different road conditions and a hybrid learning algorithm based on the least squared error estimate using the gradient descent method was proposed. The proposed adaptive intelligent energy management system can learn while it is running and makes proper adjustments during its operation. It is shown that the proposed intelligent energy management system is improving the performance of other existing systems. © 2014 Elsevier Ltd.

An interval type-2 fuzzy logic system-based method for prediction interval construction

This paper introduces a new non-parametric method for uncertainty quantification through construction of prediction intervals (PIs). The method takes the left and right end points of the type-reduced set of an interval type-2 fuzzy logic system (IT2FLS) model as the lower and upper bounds of a PI. No assumption is made in regard to the data distribution, behaviour, and patterns when developing intervals. A training method is proposed to link the confidence level (CL) concept of PIs to the intervals generated by IT2FLS models. The new PI-based training algorithm not only ensures that PIs constructed using IT2FLS models satisfy the CL requirements, but also reduces widths of PIs and generates practically informative PIs. Proper adjustment of parameters of IT2FLSs is performed through the minimization of a PI-based objective function. A metaheuristic method is applied for minimization of the non-linear non-differentiable cost function. Performance of the proposed method is examined for seven synthetic and real world benchmark case studies with homogenous and heterogeneous noise. The demonstrated results indicate that the proposed method is capable of generating high quality PIs. Comparative studies also show that the performance of the proposed method is equal to or better than traditional neural network-based methods for construction of PIs in more than 90% of cases. The superiority is more evident for the case of data with a heterogeneous noise. © 2014 Elsevier B.V.

A genetic fuzzy system to model pedestrian walking path in a built environment

A study on the pedestrian's steering behaviour through a built environment in normal circumstances is presented in this paper. The study focuses on the relationship between the environment and the pedestrian's walking trajectory. Owing to the ambiguity and vagueness of the relationship between the pedestrians and the surrounding environment, a genetic fuzzy system is proposed for modelling and simulation of the pedestrian's walking trajectory confronting the environmental stimuli. We apply the genetic algorithm to search for the optimum membership function parameters of the fuzzy model. The proposed system receives the pedestrian's perceived stimuli from the environment as the inputs, and provides the angular change of direction in each step as the output. The environmental stimuli are quantified using the Helbing social force model. Attractive and repulsive forces within the environment represent various environmental stimuli that influence the pedestrian's walking trajectory at each point of the space. To evaluate the effectiveness of the proposed model, three experiments are conducted. The first experimental results are validated against real walking trajectories of participants within a corridor. The second and third experimental results are validated against simulated walking trajectories collected from the AnyLogic® software. Analysis and statistical measurement of the results indicate that the genetic fuzzy system with optimised membership functions produces more accurate and stable prediction of heterogeneous pedestrians' walking trajectories than those from the original fuzzy model. © 2014 Elsevier B.V. All rights reserved.