Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

Inverse Static Analysis of Massive Parallel Arrays of Three-State Actuators via Artificial Intelligence

Massive parallel robots (MPRs) driven by discrete actuators are force regulated robots that undergo continuous motions despite being commanded through a finite number of states only. Designing a real-time control of such systems requires fast and efficient methods for solving their inverse static analysis (ISA), which is a challenging problem and the subject of this thesis. In particular, five Artificial intelligence methods are proposed to investigate the on-line computation and the generalization error of ISA problem of a class of MPRs featuring three-state force actuators and one degree of revolute motion.

Spectrum shaping and its application: spread-spectrum clock generator and circuits for ultra wide band

Electromagnetic spectrum can be identified as a resource for the designer, as well as for the manufacturer, from two complementary points of view: first, because it is a good in great demand by many different kind of applications; second, because despite its scarce availability, it may be advantageous to use more spectrum than necessary. This is the case of Spread-Spectrum Systems, those systems in which the transmitted signal is spread over a wide frequency band, much wider, in fact, than the minimum bandwidth required to transmit the information being sent. Part I of this dissertation deals with Spread-Spectrum Clock Generators (SSCG) aiming at reducing Electro Magnetic Interference (EMI) of clock signals in integrated circuits (IC) design. In particular, the modulation of the clock and the consequent spreading of its spectrum are obtained through a random modulating signal outputted by a chaotic map, i.e. a discrete-time dynamical system showing chaotic behavior. The advantages offered by this kind of modulation are highlighted. Three different prototypes of chaos-based SSCG are presented in all their aspects: design, simulation, and post-fabrication measurements. The third one, operating at a frequency equal to 3GHz, aims at being applied to Serial ATA, standard de facto for fast data transmission to and from Hard Disk Drives. The most extreme example of spread-spectrum signalling is the emerging ultra-wideband (UWB) technology, which proposes the use of large sections of the radio spectrum at low amplitudes to transmit high-bandwidth digital data. In part II of the dissertation, two UWB applications are presented, both dealing with the advantages as well as with the challenges of a wide-band system, namely: a chaos-based sequence generation method for reducing Multiple Access Interference (MAI) in Direct Sequence UWB Wireless-Sensor-Networks (WSNs), and design and simulations of a Low-Noise Amplifier (LNA) for impulse radio UWB. This latter topic was studied during a study-abroad period in collaboration with Delft University of Technology, Delft, Netherlands.

Enabling Blocks for Integrated CMOS UWB Transceivers

The last decades have seen an unrivaled growth and diffusion of mobile telecommunications. Several standards have been developed to this purposes, from GSM mobile phone communications to WLAN IEEE 802.11, providing different services for the the transmission of signals ranging from voice to high data rate digital communications and Digital Video Broadcasting (DVB). In this wide research and market field, this thesis focuses on Ultra Wideband (UWB) communications, an emerging technology for providing very high data rate transmissions over very short distances. In particular the presented research deals with the circuit design of enabling blocks for MB-OFDM UWB CMOS single-chip transceivers, namely the frequency synthesizer and the transmission mixer and power amplifier. First we discuss three different models for the simulation of chargepump phase-locked loops, namely the continuous time s-domain and discrete time z-domain approximations and the exact semi-analytical time-domain model. The limitations of the two approximated models are analyzed in terms of error in the computed settling time as a function of loop parameters, deriving practical conditions under which the different models are reliable for fast settling PLLs up to fourth order. Besides, a phase noise analysis method based upon the time-domain model is introduced and compared to the results obtained by means of the s-domain model. We compare the three models over the simulation of a fast switching PLL to be integrated in a frequency synthesizer for WiMedia MB-OFDM UWB systems. In the second part, the theoretical analysis is applied to the design of a 60mW 3.4 to 9.2GHz 12 Bands frequency synthesizer for MB-OFDM UWB based on two wide-band PLLs. The design is presented and discussed up to layout level. A test chip has been implemented in TSMC CMOS 90nm technology, measured data is provided. The functionality of the circuit is proved and specifications are met with state-of-the-art area occupation and power consumption. The last part of the thesis deals with the design of a transmission mixer and a power amplifier for MB-OFDM UWB band group 1. The design has been carried on up to layout level in ST Microlectronics 65nm CMOS technology. Main characteristics of the systems are the wideband behavior (1.6 GHz of bandwidth) and the constant behavior over process parameters, temperature and supply voltage thanks to the design of dedicated adaptive biasing circuits.

Advanced CMOS Interfaces for Bio-Nanosensors

The improvement of devices provided by Nanotechnology has put forward new classes of sensors, called bio-nanosensors, which are very promising for the detection of biochemical molecules in a large variety of applications. Their use in lab-on-a-chip could gives rise to new opportunities in many fields, from health-care and bio-warfare to environmental and high-throughput screening for pharmaceutical industry. Bio-nanosensors have great advantages in terms of cost, performance, and parallelization. Indeed, they require very low quantities of reagents and improve the overall signal-to-noise-ratio due to increase of binding signal variations vs. area and reduction of stray capacitances. Additionally, they give rise to new challenges, such as the need to design high-performance low-noise integrated electronic interfaces. This thesis is related to the design of high-performance advanced CMOS interfaces for electrochemical bio-nanosensors. The main focus of the thesis is: 1) critical analysis of noise in sensing interfaces, 2) devising new techniques for noise reduction in discrete-time approaches, 3) developing new architectures for low-noise, low-power sensing interfaces. The manuscript reports a multi-project activity focusing on low-noise design and presents two developed integrated circuits (ICs) as examples of advanced CMOS interfaces for bio-nanosensors. The first project concerns low-noise current-sensing interface for DC and transient measurements of electrophysiological signals. The focus of this research activity is on the noise optimization of the electronic interface. A new noise reduction technique has been developed so as to realize an integrated CMOS interfaces with performance comparable with state-of-the-art instrumentations. The second project intends to realize a stand-alone, high-accuracy electrochemical impedance spectroscopy interface. The system is tailored for conductivity-temperature-depth sensors in environmental applications, as well as for bio-nanosensors. It is based on a band-pass delta-sigma technique and combines low-noise performance with low-power requirements.

Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

Propagation modelling and resource allocation in mobile radio communications

Over the past years, ray tracing (RT) models popularity has been increasing. From the nineties, RT has been used for field prediction in environment such as indoor and urban environments. Nevertheless, with the advent of new technologies, the channel model has become decidedly more dynamic and to perform RT simulations at each discrete time instant become computationally expensive. In this thesis, a new dynamic ray tracing (DRT) approach is presented in which from a single ray tracing simulation at an initial time t0, through analytical formulas we are able to track the motion of the interaction points. The benefits that this approach bring are that Doppler frequencies and channel prediction can be derived at every time instant, without recurring to multiple RT runs and therefore shortening the computation time. DRT performance was studied on two case studies and the results shows the accuracy and the computational gain that derives from this approach. Another issue that has been addressed in this thesis is the licensed band exhaustion of some frequency bands. To deal with this problem, a novel unselfish spectrum leasing scheme in cognitive radio networks (CRNs) is proposed that offers an energy-efficient solution minimizing the environmental impact of the network. In addition, a network management architecture is introduced and resource allocation is proposed as a constrained sum energy efficiency maximization problem. System simulations demonstrate an increment in the energy efficiency of the primary users’ network compared with previously proposed algorithms.

Motion control and real-time systems: an approach to trajectory rebuilding in non-deterministic networks

Motion control is a sub-field of automation, in which the position and/or velocity of machines are controlled using some type of device. In motion control the position, velocity, force, pressure, etc., profiles are designed in such a way that the different mechanical parts work as an harmonious whole in which a perfect synchronization must be achieved. The real-time exchange of information in the distributed system that is nowadays an industrial plant plays an important role in order to achieve always better performance, better effectiveness and better safety. The network for connecting field devices such as sensors, actuators, field controllers such as PLCs, regulators, drive controller etc., and man-machine interfaces is commonly called fieldbus. Since the motion transmission is now task of the communication system, and not more of kinematic chains as in the past, the communication protocol must assure that the desired profiles, and their properties, are correctly transmitted to the axes then reproduced or else the synchronization among the different parts is lost with all the resulting consequences. In this thesis, the problem of trajectory reconstruction in the case of an event-triggered communication system is faced. The most important feature that a real-time communication system must have is the preservation of the following temporal and spatial properties: absolute temporal consistency, relative temporal consistency, spatial consistency. Starting from the basic system composed by one master and one slave and passing through systems made up by many slaves and one master or many masters and one slave, the problems in the profile reconstruction and temporal properties preservation, and subsequently the synchronization of different profiles in network adopting an event-triggered communication system, have been shown. These networks are characterized by the fact that a common knowledge of the global time is not available. Therefore they are non-deterministic networks. Each topology is analyzed and the proposed solution based on phase-locked loops adopted for the basic master-slave case has been improved to face with the other configurations.

Architectures and design patterns for functional design of logic control and diagnostics in industrial automation

Recently in most of the industrial automation process an ever increasing degree of automation has been observed. This increasing is motivated by the higher requirement of systems with great performance in terms of quality of products/services generated, productivity, efficiency and low costs in the design, realization and maintenance. This trend in the growth of complex automation systems is rapidly spreading over automated manufacturing systems (AMS), where the integration of the mechanical and electronic technology, typical of the Mechatronics, is merging with other technologies such as Informatics and the communication networks. An AMS is a very complex system that can be thought constituted by a set of flexible working stations, one or more transportation systems. To understand how this machine are important in our society let considerate that every day most of us use bottles of water or soda, buy product in box like food or cigarets and so on. Another important consideration from its complexity derive from the fact that the the consortium of machine producers has estimated around 350 types of manufacturing machine. A large number of manufacturing machine industry are presented in Italy and notably packaging machine industry,in particular a great concentration of this kind of industry is located in Bologna area; for this reason the Bologna area is called “packaging valley”. Usually, the various parts of the AMS interact among them in a concurrent and asynchronous way, and coordinate the parts of the machine to obtain a desiderated overall behaviour is an hard task. Often, this is the case in large scale systems, organized in a modular and distributed manner. Even if the success of a modern AMS from a functional and behavioural point of view is still to attribute to the design choices operated in the definition of the mechanical structure and electrical electronic architecture, the system that governs the control of the plant is becoming crucial, because of the large number of duties associated to it. Apart from the activity inherent to the automation of themachine cycles, the supervisory system is called to perform other main functions such as: emulating the behaviour of traditional mechanical members thus allowing a drastic constructive simplification of the machine and a crucial functional flexibility; dynamically adapting the control strategies according to the different productive needs and to the different operational scenarios; obtaining a high quality of the final product through the verification of the correctness of the processing; addressing the operator devoted to themachine to promptly and carefully take the actions devoted to establish or restore the optimal operating conditions; managing in real time information on diagnostics, as a support of the maintenance operations of the machine. The kind of facilities that designers can directly find on themarket, in terms of software component libraries provides in fact an adequate support as regard the implementation of either top-level or bottom-level functionalities, typically pertaining to the domains of user-friendly HMIs, closed-loop regulation and motion control, fieldbus-based interconnection of remote smart devices. What is still lacking is a reference framework comprising a comprehensive set of highly reusable logic control components that, focussing on the cross-cutting functionalities characterizing the automation domain, may help the designers in the process of modelling and structuring their applications according to the specific needs. Historically, the design and verification process for complex automated industrial systems is performed in empirical way, without a clear distinction between functional and technological-implementation concepts and without a systematic method to organically deal with the complete system. Traditionally, in the field of analog and digital control design and verification through formal and simulation tools have been adopted since a long time ago, at least for multivariable and/or nonlinear controllers for complex time-driven dynamics as in the fields of vehicles, aircrafts, robots, electric drives and complex power electronics equipments. Moving to the field of logic control, typical for industrial manufacturing automation, the design and verification process is approached in a completely different way, usually very “unstructured”. No clear distinction between functions and implementations, between functional architectures and technological architectures and platforms is considered. Probably this difference is due to the different “dynamical framework”of logic control with respect to analog/digital control. As a matter of facts, in logic control discrete-events dynamics replace time-driven dynamics; hence most of the formal and mathematical tools of analog/digital control cannot be directly migrated to logic control to enlighten the distinction between functions and implementations. In addition, in the common view of application technicians, logic control design is strictly connected to the adopted implementation technology (relays in the past, software nowadays), leading again to a deep confusion among functional view and technological view. In Industrial automation software engineering, concepts as modularity, encapsulation, composability and reusability are strongly emphasized and profitably realized in the so-calledobject-oriented methodologies. Industrial automation is receiving lately this approach, as testified by some IEC standards IEC 611313, IEC 61499 which have been considered in commercial products only recently. On the other hand, in the scientific and technical literature many contributions have been already proposed to establish a suitable modelling framework for industrial automation. During last years it was possible to note a considerable growth in the exploitation of innovative concepts and technologies from ICT world in industrial automation systems. For what concerns the logic control design, Model Based Design (MBD) is being imported in industrial automation from software engineering field. Another key-point in industrial automated systems is the growth of requirements in terms of availability, reliability and safety for technological systems. In other words, the control system should not only deal with the nominal behaviour, but should also deal with other important duties, such as diagnosis and faults isolations, recovery and safety management. Indeed, together with high performance, in complex systems fault occurrences increase. This is a consequence of the fact that, as it typically occurs in reliable mechatronic systems, in complex systems such as AMS, together with reliable mechanical elements, an increasing number of electronic devices are also present, that are more vulnerable by their own nature. The diagnosis problem and the faults isolation in a generic dynamical system consists in the design of an elaboration unit that, appropriately processing the inputs and outputs of the dynamical system, is also capable of detecting incipient faults on the plant devices, reconfiguring the control system so as to guarantee satisfactory performance. The designer should be able to formally verify the product, certifying that, in its final implementation, it will perform itsrequired function guarantying the desired level of reliability and safety; the next step is that of preventing faults and eventually reconfiguring the control system so that faults are tolerated. On this topic an important improvement to formal verification of logic control, fault diagnosis and fault tolerant control results derive from Discrete Event Systems theory. The aimof this work is to define a design pattern and a control architecture to help the designer of control logic in industrial automated systems. The work starts with a brief discussion on main characteristics and description of industrial automated systems on Chapter 1. In Chapter 2 a survey on the state of the software engineering paradigm applied to industrial automation is discussed. Chapter 3 presentes a architecture for industrial automated systems based on the new concept of Generalized Actuator showing its benefits, while in Chapter 4 this architecture is refined using a novel entity, the Generalized Device in order to have a better reusability and modularity of the control logic. In Chapter 5 a new approach will be present based on Discrete Event Systems for the problemof software formal verification and an active fault tolerant control architecture using online diagnostic. Finally conclusive remarks and some ideas on new directions to explore are given. In Appendix A are briefly reported some concepts and results about Discrete Event Systems which should help the reader in understanding some crucial points in chapter 5; while in Appendix B an overview on the experimental testbed of the Laboratory of Automation of University of Bologna, is reported to validated the approach presented in chapter 3, chapter 4 and chapter 5. In Appendix C some components model used in chapter 5 for formal verification are reported.

Real-Time Engine Diagnostic and Control Based on Acoustic Emissions Analysis

Engine developers are putting more and more emphasis on the research of maximum thermal and mechanical efficiency in the recent years. Research advances have proven the effectiveness of downsized, turbocharged and direct injection concepts, applied to gasoline combustion systems, to reduce the overall fuel consumption while respecting exhaust emissions limits. These new technologies require more complex engine control units. The sound emitted from a mechanical system encloses many information related to its operating condition and it can be used for control and diagnostic purposes. The thesis shows how the functions carried out from different and specific sensors usually present on-board, can be executed, at the same time, using only one multifunction sensor based on low-cost microphone technology. A theoretical background about sound and signal processing is provided in chapter 1. In modern turbocharged downsized GDI engines, the achievement of maximum thermal efficiency is precluded by the occurrence of knock. Knock emits an unmistakable sound perceived by the human ear like a clink. In chapter 2, the possibility of using this characteristic sound for knock control propose, starting from first experimental assessment tests, to the implementation in a real, production-type engine control unit will be shown. Chapter 3 focus is on misfire detection. Putting emphasis on the low frequency domain of the engine sound spectrum, features related to each combustion cycle of each cylinder can be identified and isolated. An innovative approach to misfire detection, which presents the advantage of not being affected by the road and driveline conditions is introduced. A preliminary study of air path leak detection techniques based on acoustic emissions analysis has been developed, and the first experimental results are shown in chapter 4. Finally, in chapter 5, an innovative detection methodology, based on engine vibration analysis, that can provide useful information about combustion phase is reported.

Development and experimental validation of a knock induced damage model and real-time implementation of model-based strategies to control knock intensity in boosted gasoline engines

This PhD thesis reports the main activities carried out during the 3 years long “Mechanics and advanced engineering sciences” course, at the Department of Industrial Engineering of the University of Bologna. The research project title is “Development and analysis of high efficiency combustion systems for internal combustion engines” and the main topic is knock, one of the main challenges for boosted gasoline engines. Through experimental campaigns, modelling activity and test bench validation, 4 different aspects have been addressed to tackle the issue. The main path goes towards the definition and calibration of a knock-induced damage model, to be implemented in the on-board control strategy, but also usable for the engine calibration and potentially during the engine design. Ionization current signal capabilities have been investigated to fully replace the pressure sensor, to develop a robust on-board close-loop combustion control strategy, both in knock-free and knock-limited conditions. Water injection is a powerful solution to mitigate knock intensity and exhaust temperature, improving fuel consumption; its capabilities have been modelled and validated at the test bench. Finally, an empiric model is proposed to predict the engine knock response, depending on several operating condition and control parameters, including injected water quantity.

Employment of Real-Time/FPGA Architectures for Test and Control of Automotive Engines

Nowadays the production of increasingly complex and electrified vehicles requires the implementation of new control and monitoring systems. This reason, together with the tendency of moving rapidly from the test bench to the vehicle, leads to a landscape that requires the development of embedded hardware and software to face the application effectively and efficiently. The development of application-based software on real-time/FPGA hardware could be a good answer for these challenges: FPGA grants parallel low-level and high-speed calculation/timing, while the Real-Time processor can handle high-level calculation layers, logging and communication functions with determinism. Thanks to the software flexibility and small dimensions, these architectures can find a perfect collocation as engine RCP (Rapid Control Prototyping) units and as smart data logger/analyser, both for test bench and on vehicle application. Efforts have been done for building a base architecture with common functionalities capable of easily hosting application-specific control code. Several case studies originating in this scenario will be shown; dedicated solutions for protype applications have been developed exploiting a real-time/FPGA architecture as ECU (Engine Control Unit) and custom RCP functionalities, such as water injection and testing hydraulic brake control.