Inverse forecasting:a new approach for predictive modelling

In the last two decades there have been substantial developments in the mathematical theory of inverse optimization problems, and their applications have expanded greatly. In parallel, time series analysis and forecasting have become increasingly important in various fields of research such as data mining, economics, business, engineering, medicine, politics, and many others. Despite the large uses of linear programming in forecasting models there is no a single application of inverse optimization reported in the forecasting literature when the time series data is available. Thus the goal of this paper is to introduce inverse optimization into forecasting field, and to provide a streamlined approach to time series analysis and forecasting using inverse linear programming. An application has been used to demonstrate the use of inverse forecasting developed in this study. © 2007 Elsevier Ltd. All rights reserved.

Exchange rate forecasting using a combined parametric and nonparametric self-organising modelling approach

Financial prediction has attracted a lot of interest due to the financial implications that the accurate prediction of financial markets can have. A variety of data driven modellingapproaches have been applied but their performance has produced mixed results. In this study we apply both parametric (neural networks with active neurons) and nonparametric (analog complexing) self-organisingmodelling methods for the daily prediction of the exchangerate market. We also propose acombinedapproach where the parametric and nonparametricself-organising methods are combined sequentially, exploiting the advantages of the individual methods with the aim of improving their performance. The combined method is found to produce promising results and to outperform the individual methods when tested with two exchangerates: the American Dollar and the Deutche Mark against the British Pound.

Inverse four-wave mixing and self-parametric amplification in optical fibre

An important group of nonlinear processes in optical fibre involve the mixing of four waves due to the intensity dependence of the refractive index. It is customary to distinguish between nonlinear effects that require external/pumping waves (cross-phase modulation and parametric processes such as four-wave mixing) and those arising from self-action of the propagating optical field (self-phase modulation and modulation instability). Here, we present a new nonlinear self-action effect—self-parametric amplification—which manifests itself as optical spectrum narrowing in normal dispersion fibre, leading to very stable propagation with a distinctive spectral distribution. The narrowing results from inverse four-wave mixing, resembling an effective parametric amplification of the central part of the spectrum by energy transfer from the spectral tails. Self-parametric amplification and the observed stable nonlinear spectral propagation with a random temporal waveform can find applications in optical communications and high-power fibre lasers with nonlinear intracavity dynamics.

A novel approach to modelling and exploiting uncertainty in stochastic control systems

We consider an inversion-based neurocontroller for solving control problems of uncertain nonlinear systems. Classical approaches do not use uncertainty information in the neural network models. In this paper we show how we can exploit knowledge of this uncertainty to our advantage by developing a novel robust inverse control method. Simulations on a nonlinear uncertain second order system illustrate the approach.

Robust control of nonlinear stochastic systems by modelling conditional distributions of control signals

We introduce a novel inversion-based neuro-controller for solving control problems involving uncertain nonlinear systems that could also compensate for multi-valued systems. The approach uses recent developments in neural networks, especially in the context of modelling statistical distributions, which are applied to forward and inverse plant models. Provided that certain conditions are met, an estimate of the intrinsic uncertainty for the outputs of neural networks can be obtained using the statistical properties of networks. More generally, multicomponent distributions can be modelled by the mixture density network. In this work a novel robust inverse control approach is obtained based on importance sampling from these distributions. This importance sampling provides a structured and principled approach to constrain the complexity of the search space for the ideal control law. The performance of the new algorithm is illustrated through simulations with example systems.

Probability distribution modelling to improve stability in nonlinear MIMO control

We consider the direct adaptive inverse control of nonlinear multivariable systems with different delays between every input-output pair. In direct adaptive inverse control, the inverse mapping is learned from examples of input-output pairs. This makes the obtained controller sub optimal, since the network may have to learn the response of the plant over a larger operational range than necessary. Moreover, in certain applications, the control problem can be redundant, implying that the inverse problem is ill posed. In this paper we propose a new algorithm which allows estimating and exploiting uncertainty in nonlinear multivariable control systems. This approach allows us to model strongly non-Gaussian distribution of control signals as well as processes with hysteresis. The proposed algorithm circumvents the dynamic programming problem by using the predicted neural network uncertainty to localise the possible control solutions to consider.

Mathematical and numerical modelling of dispersion-managed solitons, autosolitons and self-similar optical pulses

This thesis presents theoretical investigation of three topics concerned with nonlinear optical pulse propagation in optical fibres. The techniques used are mathematical analysis and numerical modelling. Firstly, dispersion-managed (DM) solitons in fibre lines employing a weak dispersion map are analysed by means of a perturbation approach. In the case of small dispersion map strengths the average pulse dynamics is described by a perturbation approach (NLS) equation. Applying a perturbation theory, based on the Inverse Scattering Transform method, an analytic expression for the envelope of the DM soliton is derived. This expression correctly predicts the power enhancement arising from the dispersion management.Secondly, autosoliton transmission in DM fibre systems with periodical in-line deployment of nonlinear optical loop mirrors (NOLMs) is investigated. The use of in-line NOLMs is addressed as a general technique for all-optical passive 2R regeneration of return-to-zero data in high speed transmission system with strong dispersion management. By system optimisation, the feasibility of ultra-long single-channel and wavelength-division multiplexed data transmission at bit-rates ³ 40 Gbit s-1 in standard fibre-based systems is demonstrated. The tolerance limits of the results are defined.Thirdly, solutions of the NLS equation with gain and normal dispersion, that describes optical pulse propagation in an amplifying medium, are examined. A self-similar parabolic solution in the energy-containing core of the pulse is matched through Painlevé functions to the linear low-amplitude tails. The analysis provides a full description of the features of high-power pulses generated in an amplifying medium.

Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Parametric study of the behaviour of reinforced concrete columns in fire

The research is concerned with the application of the computer simulation technique to study the performance of reinforced concrete columns in a fire environment. The effect of three different concrete constitutive models incorporated in the computer simulation on the structural response of reinforced concrete columns exposed to fire is investigated. The material models differed mainly in respect to the formulation of the mechanical properties of concrete. The results from the simulation have clearly illustrated that a more realistic response of a reinforced concrete column exposed to fire is given by a constitutive model with transient creep or appropriate strain effect The assessment of the relative effect of the three concrete material models is considered from the analysis by adopting the approach of a parametric study, carried out using the results from a series of analyses on columns heated on three sides which produce substantial thermal gradients. Three different loading conditions were used on the column; axial loading and eccentric loading both to induce moments in the same sense and opposite sense to those induced by the thermal gradient. An axially loaded column heated on four sides was also considered. The computer modelling technique adopted separated the thermal and structural responses into two distinct computer programs. A finite element heat transfer analysis was used to determine the thermal response of the reinforced concrete columns when exposed to the ISO 834 furnace environment. The temperature distribution histories obtained were then used in conjunction with a structural response program. The effect of the occurrence of spalling on the structural behaviour of reinforced concrete column is also investigated. There is general recognition of the potential problems of spalling but no real investigation into what effect spalling has on the fire resistance of reinforced concrete members. In an attempt to address the situation, a method has been developed to model concrete columns exposed to fire which incorporates the effect of spalling. A total of 224 computer simulations were undertaken by varying the amounts of concrete lost during a specified period of exposure to fire. An array of six percentages of spalling were chosen for one range of simulation while a two stage progressive spalling regime was used for a second range. The quantification of the reduction in fire resistance of the columns against the amount of spalling, heating and loading patterns, and the time at which the concrete spalls appears to indicate that it is the amount of spalling which is the most significant variable in the reduction of fire resistance.

Computationsl modelling of dimethyl ether separation and steam reforming in fluidized bed reactors

This study presents a computational fluid dynamic (CFD) study of Dimethyl Ether (DME) gas adsorptive separation and steam reforming (DME-SR) in a large scale Circulating Fluidized Bed (CFB) reactor. The CFD model is based on Eulerian-Eulerian dispersed flow and solved using commercial software (ANSYS FLUENT). Hydrogen is currently receiving increasing interest as an alternative source of clean energy and has high potential applications, including the transportation sector and power generation. Computational fluid dynamic (CFD) modelling has attracted considerable recognition in the engineering sector consequently leading to using it as a tool for process design and optimisation in many industrial processes. In most cases, these processes are difficult or expensive to conduct in lab scale experiments. The CFD provides a cost effective methodology to gain detailed information up to the microscopic level. The main objectives in this project are to: (i) develop a predictive model using ANSYS FLUENT (CFD) commercial code to simulate the flow hydrodynamics, mass transfer, reactions and heat transfer in a large scale dual fluidized bed system for combined gas separation and steam reforming processes (ii) implement a suitable adsorption models in the CFD code, through a user defined function, to predict selective separation of a gas from a mixture (iii) develop a model for dimethyl ether steam reforming (DME-SR) to predict hydrogen production (iv) carry out detailed parametric analysis in order to establish ideal operating conditions for future industrial application. The project has originated from a real industrial case problem in collaboration with the industrial partner Dow Corning (UK) and jointly funded by the Engineering and Physical Research Council (UK) and Dow Corning. The research examined gas separation by adsorption in a bubbling bed, as part of a dual fluidized bed system. The adsorption process was simulated based on the kinetics derived from the experimental data produced as part of a separate PhD project completed under the same fund. The kinetic model was incorporated in FLUENT CFD tool as a pseudo-first order rate equation; some of the parameters for the pseudo-first order kinetics were obtained using MATLAB. The modelling of the DME adsorption in the designed bubbling bed was performed for the first time in this project and highlights the novelty in the investigations. The simulation results were analysed to provide understanding of the flow hydrodynamic, reactor design and optimum operating condition for efficient separation. Bubbling bed validation by estimation of bed expansion and the solid and gas distribution from simulation agreed well with trends seen in the literatures. Parametric analysis on the adsorption process demonstrated that increasing fluidizing velocity reduced adsorption of DME. This is as a result of reduction in the gas residence time which appears to have much effect compared to the solid residence time. The removal efficiency of DME from the bed was found to be more than 88%. Simulation of the DME-SR in FLUENT CFD was conducted using selected kinetics from literature and implemented in the model using an in-house developed user defined function. The validation of the kinetics was achieved by simulating a case to replicate an experimental study of a laboratory scale bubbling bed by Vicente et al [1]. Good agreement was achieved for the validation of the models, which was then applied in the DME-SR in the large scale riser section of the dual fluidized bed system. This is the first study to use the selected DME-SR kinetics in a circulating fluidized bed (CFB) system and for the geometry size proposed for the project. As a result, the simulation produced the first detailed data on the spatial variation and final gas product in such an industrial scale fluidized bed system. The simulation results provided insight in the flow hydrodynamic, reactor design and optimum operating condition. The solid and gas distribution in the CFB was observed to show good agreement with literatures. The parametric analysis showed that the increase in temperature and steam to DME molar ratio increased the production of hydrogen due to the increased DME conversions, whereas the increase in the space velocity has been found to have an adverse effect. Increasing temperature between 200 oC to 350 oC increased DME conversion from 47% to 99% while hydrogen yield increased substantially from 11% to 100%. The CO2 selectivity decreased from 100% to 91% due to the water gas shift reaction favouring CO at higher temperatures. The higher conversions observed as the temperature increased was reflected on the quantity of unreacted DME and methanol concentrations in the product gas, where both decreased to very low values of 0.27 mol% and 0.46 mol% respectively at 350 °C. Increasing the steam to DME molar ratio from 4 to 7.68 increased the DME conversion from 69% to 87%, while the hydrogen yield increased from 40% to 59%. The CO2 selectivity decreased from 100% to 97%. The decrease in the space velocity from 37104 ml/g/h to 15394 ml/g/h increased the DME conversion from 87% to 100% while increasing the hydrogen yield from 59% to 87%. The parametric analysis suggests an operating condition for maximum hydrogen yield is in the region of 300 oC temperatures and Steam/DME molar ratio of 5. The analysis of the industrial sponsor’s case for the given flow and composition of the gas to be treated suggests that 88% of DME can be adsorbed from the bubbling and consequently producing 224.4t/y of hydrogen in the riser section of the dual fluidized bed system. The process also produces 1458.4t/y of CO2 and 127.9t/y of CO as part of the product gas. The developed models and parametric analysis carried out in this study provided essential guideline for future design of DME-SR at industrial level and in particular this work has been of tremendous importance for the industrial collaborator in order to draw conclusions and plan for future potential implementation of the process at an industrial scale.

The effect of corruption on FDI:a parametric and non-parametric analysis

This paper analyses the effect of corruption on Multinational Enterprises' (MNEs) incentives to undertake FDI in a particular country. We contribute to the existing literature by modelling the relationship between corruption and FDI using both parametric and non-parametric methods. We report that the impact of corruption on FDI stock is different for the different quantiles of the FDI stock distribution. This is a characteristic that could not be captured in previous studies which used only parametric methods. After controlling for the location selection process of MNEs and other host country characteristics, the result from both parametric and non-parametric analyses offer some support for the ‘helping-hand’ role of corruption.

A method of fundamental solutions for the one-dimensional inverse Stefan problem

We investigate an application of the method of fundamental solutions (MFS) to the one-dimensional inverse Stefan problem for the heat equation by extending the MFS proposed in [5] for the one-dimensional direct Stefan problem. The sources are placed outside the space domain of interest and in the time interval (-T, T). Theoretical properties of the method, as well as numerical investigations, are included, showing that accurate and stable results can be obtained efficiently with small computational cost.

General and multiplicative non-parametric corporate performance models with interval ratio data

The increasing intensity of global competition has led organizations to utilize various types of performance measurement tools for improving the quality of their products and services. Data envelopment analysis (DEA) is a methodology for evaluating and measuring the relative efficiencies of a set of decision making units (DMUs) that use multiple inputs to produce multiple outputs. All the data in the conventional DEA with input and/or output ratios assumes the form of crisp numbers. However, the observed values of data in real-world problems are sometimes expressed as interval ratios. In this paper, we propose two new models: general and multiplicative non-parametric ratio models for DEA problems with interval data. The contributions of this paper are fourfold: (1) we consider input and output data expressed as interval ratios in DEA; (2) we address the gap in DEA literature for problems not suitable or difficult to model with crisp values; (3) we propose two new DEA models for evaluating the relative efficiencies of DMUs with interval ratios, and (4) we present a case study involving 20 banks with three interval ratios to demonstrate the applicability and efficacy of the proposed models where the traditional indicators are mostly financial ratios. © 2011 Elsevier Inc.

Modelling and simulation of biomass gasification in a circulating fluidized bed reactor

Computational Fluid Dynamics (CFD) has found great acceptance among the engineering community as a tool for research and design of processes that are practically difficult or expensive to study experimentally. One of these processes is the biomass gasification in a Circulating Fluidized Bed (CFB). Biomass gasification is the thermo-chemical conversion of biomass at a high temperature and a controlled oxygen amount into fuel gas, also sometime referred to as syngas. Circulating fluidized bed is a type of reactor in which it is possible to maintain a stable and continuous circulation of solids in a gas-solid system. The main objectives of this thesis are four folds: (i) Develop a three-dimensional predictive model of biomass gasification in a CFB riser using advanced Computational Fluid Dynamic (CFD) (ii) Experimentally validate the developed hydrodynamic model using conventional and advanced measuring techniques (iii) Study the complex hydrodynamics, heat transfer and reaction kinetics through modelling and simulation (iv) Study the CFB gasifier performance through parametric analysis and identify the optimum operating condition to maximize the product gas quality. Two different and complimentary experimental techniques were used to validate the hydrodynamic model, namely pressure measurement and particle tracking. The pressure measurement is a very common and widely used technique in fluidized bed studies, while, particle tracking using PEPT, which was originally developed for medical imaging, is a relatively new technique in the engineering field. It is relatively expensive and only available at few research centres around the world. This study started with a simple poly-dispersed single solid phase then moved to binary solid phases. The single solid phase was used for primary validations and eliminating unnecessary options and steps in building the hydrodynamic model. Then the outcomes from the primary validations were applied to the secondary validations of the binary mixture to avoid time consuming computations. Studies on binary solid mixture hydrodynamics is rarely reported in the literature. In this study the binary solid mixture was modelled and validated using experimental data from the both techniques mentioned above. Good agreement was achieved with the both techniques. According to the general gasification steps the developed model has been separated into three main gasification stages; drying, devolatilization and tar cracking, and partial combustion and gasification. The drying was modelled as a mass transfer from the solid phase to the gas phase. The devolatilization and tar cracking model consist of two steps; the devolatilization of the biomass which is used as a single reaction to generate the biomass gases from the volatile materials and tar cracking. The latter is also modelled as one reaction to generate gases with fixed mass fractions. The first reaction was classified as a heterogeneous reaction while the second reaction was classified as homogenous reaction. The partial combustion and gasification model consisted of carbon combustion reactions and carbon and gas phase reactions. The partial combustion considered was for C, CO, H2 and CH4. The carbon gasification reactions used in this study is the Boudouard reaction with CO2, the reaction with H2O and Methanation (Methane forming reaction) reaction to generate methane. The other gas phase reactions considered in this study are the water gas shift reaction, which is modelled as a reversible reaction and the methane steam reforming reaction. The developed gasification model was validated using different experimental data from the literature and for a wide range of operating conditions. Good agreement was observed, thus confirming the capability of the model in predicting biomass gasification in a CFB to a great accuracy. The developed model has been successfully used to carry out sensitivity and parametric analysis. The sensitivity analysis included: study of the effect of inclusion of various combustion reaction; and the effect of radiation in the gasification reaction. The developed model was also used to carry out parametric analysis by changing the following gasifier operating conditions: fuel/air ratio; biomass flow rates; sand (heat carrier) temperatures; sand flow rates; sand and biomass particle sizes; gasifying agent (pure air or pure steam); pyrolysis models used; steam/biomass ratio. Finally, based on these parametric and sensitivity analysis a final model was recommended for the simulation of biomass gasification in a CFB riser.

Comparative analysis of experimental and modelling of gas-solid flow hydrodynamics:effect of friction and interparticle cohesion forces

The effect of friction and interparticle cohesion forces on the gas-solid flow hydrodynamics was discussed. A proposed interparticle cohesion and frictional force terms have been tested in a continuum fully developed flow model to investigate their effect on the general hydrodynamic features of vertical duct flow. It was observed that both terms have direct effect on lowering the material carryover, which implies a reduced bed expansion in freely bubbling column. The parametric analysis shows that cohesion and frictional forces are high when compared to kinetic stress and hence it can play a major role in describing the hydrodynamics features of the flow.