Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

Security analysis of the non-aggressive challenge response of the DNP3 Protocol using a CPN Model

Distributed Network Protocol Version 3 (DNP3) is the de-facto communication protocol for power grids. Standard-based interoperability among devices has made the protocol useful to other infrastructures such as water, sewage, oil and gas. DNP3 is designed to facilitate interaction between master stations and outstations. In this paper, we apply a formal modelling methodology called Coloured Petri Nets (CPN) to create an executable model representation of DNP3 protocol. The model facilitates the analysis of the protocol to ensure that the protocol will behave as expected. Also, we illustrate how to verify and validate the behaviour of the protocol, using the CPN model and the corresponding state space tool to determine if there are insecure states. With this approach, we were able to identify a Denial of Service (DoS) attack against the DNP3 protocol.

Beyond point forecasting : evaluation of alternative prediction intervals for tourist arrivals

This paper evaluates the performances of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models, innovations state space models for exponential smoothing, and Harvey’s structural time series models. We use thirteen monthly time series for the number of tourist arrivals to Hong Kong and Australia. The mean coverage rates and widths of the alternative prediction intervals are evaluated in an empirical setting. It is found that all models produce satisfactory prediction intervals, except for the autoregressive model. In particular, those based on the biascorrected bootstrap perform best in general, providing tight intervals with accurate coverage rates, especially when the forecast horizon is long.

Analysis of two authorization protocols using Colored Petri Nets

To prevent unauthorized access to protected trusted platform module (TPM) objects, authorization protocols, such as the object-specific authorization protocol (OSAP), have been introduced by the trusted computing group (TCG). By using OSAP, processes trying to gain access to the protected TPM objects need to prove their knowledge of relevant authorization data before access to the objects can be granted. Chen and Ryan’s 2009 analysis has demonstrated OSAP’s authentication vulnerability in sessions with shared authorization data. They also proposed the Session Key Authorization Protocol (SKAP) with fewer stages as an alternative to OSAP. Chen and Ryan’s analysis of SKAP using ProVerif proves the authentication property. The purpose of this paper was to examine the usefulness of Colored Petri Nets (CPN) and CPN Tools for security analysis. Using OSAP and SKAP as case studies, we construct intruder and authentication property models in CPN. CPN Tools is used to verify the authentication property using a Dolev–Yao-based model. Verification of the authentication property in both models using the state space tool produces results consistent with those of Chen and Ryan.

Contactless and replaceable modularized battery energy storage system for electric vehicles

A novel replaceable, modularized energy storage system with wireless interface is proposed for a battery operated electric vehicle (EV). The operation of the proposed system is explained and analyzed with an equivalent circuit and an averaged state-space model. A non-linear feedback linearization based controller is developed and implemented to regulate the DC link voltage by modulating the phase shift ratio. The working and control of the proposed system is verified through simulation and some preliminary results are presented.

Controller synthesis of a bidirectional inductive power interface for electric vehicles

Bidirectional Inductive Power Transfer (IPT) systems are preferred for Vehicle-to-Grid (V2G) applications. Typically, bidirectional IPT systems consist of high order resonant networks, and therefore, the control of bidirectional IPT systems has always been a difficulty. To date several different controllers have been reported, but these have been designed using steady-state models, which invariably, are incapable of providing an accurate insight into the dynamic behaviour of the system A dynamic state-space model of a bidirectional IPT system has been reported. However, currently this model has not been used to optimise the design of controllers. Therefore, this paper proposes an optimised controller based on the dynamic model. To verify the operation of the proposed controller simulated results of the optimised controller and simulated results of another controller are compared. Results indicate that the proposed controller is capable of accurately and stably controlling the power flow in a bidirectional IPT system.

Online estimation of Allan variance parameters

A new online method is presented for estimation of the angular randomwalk and rate randomwalk coefficients of inertial measurement unit gyros and accelerometers. In the online method, a state-space model is proposed, and recursive parameter estimators are proposed for quantities previously measured from offline data techniques such as the Allan variance method. The Allan variance method has large offline computational effort and data storage requirements. The technique proposed here requires no data storage and computational effort of approximately 100 calculations per data sample.

On-line estimation of Allan variance parameters

A new online method is presented for estimation of the angular random walk and rate random walk coefficients of IMU (inertial measurement unit) gyros and accelerometers. The online method proposes a state space model and proposes parameter estimators for quantities previously measured from off-line data techniques such as the Allan variance graph. Allan variance graphs have large off-line computational effort and data storage requirements. The technique proposed here requires no data storage and computational effort of O(100) calculations per data sample.

Modeling and control of a CLC resonant dual active bridge

This paper proposes a linear large signal state-space model for a phase controlled CLC (Capacitor Inductor Capacitor) Resonant Dual Active Bridge (RDAB). The proposed model is useful for fast simulation and for the estimation of state variables under large signal variation. The model is also useful for control design because the slow changing dynamics of the dq variables are relatively easy to control. Simulation results of the proposed model are presented and compared to the simulated circuit model to demonstrate the proposed model's accuracy. This proposed model was used for the design of a Proportional-Integral (PI) controller and it has been implemented in the circuit simulation to show the proposed models usefulness in control design.

Linear programming for large-scale Markov decision problems

We consider the problem of controlling a Markov decision process (MDP) with a large state space, so as to minimize average cost. Since it is intractable to compete with the optimal policy for large scale problems, we pursue the more modest goal of competing with a low-dimensional family of policies. We use the dual linear programming formulation of the MDP average cost problem, in which the variable is a stationary distribution over state-action pairs, and we consider a neighborhood of a low-dimensional subset of the set of stationary distributions (defined in terms of state-action features) as the comparison class. We propose a technique based on stochastic convex optimization and give bounds that show that the performance of our algorithm approaches the best achievable by any policy in the comparison class. Most importantly, this result depends on the size of the comparison class, but not on the size of the state space. Preliminary experiments show the effectiveness of the proposed algorithm in a queuing application.

Some limit theorems for regenerative queues

We consider a single server queue with the interarrival times and the service times forming a regenerative sequence. This traffic class includes the standard models: lid, periodic, Markov modulated (e.g., BMAP model of Lucantoni [18]) and their superpositions. This class also includes the recently proposed traffic models in high speed networks, exhibiting long range dependence. Under minimal conditions we obtain the rates of convergence to stationary distributions, finiteness of stationary moments, various functional limit theorems and the continuity of stationary distributions and moments. We use the continuity results to obtain approximations for stationary distributions and moments of an MMPP/GI/1 queue where the modulating chain has a countable state space. We extend all our results to feedforward networks where the external arrivals to each queue can be regenerative. In the end we show that the output process of a leaky bucket is regenerative if the input process is and hence our results extend to a queue with arrivals controlled by a leaky bucket.

A Note on the Genericity of Simultaneous Stabilizability and Pole Assignability

n this paper we study the genericity of simultaneous stabilizability, simultaneous strong stabilizability, and simultaneous pole assignability, in linear multivariable systems. The main results of the paper had been previously established by Ghosh and Byrnes using state-space methods. In contrast, the proofs in the present paper are based on input-output arguments, and are much simpler to follow, especially in the case of simultaneous and simultaneous strong stabilizability. Moreover, the input-output methods used here suggest computationally reliable algorithms for solving these two types of problems. In addition to the main results, we also prove some lemmas on generic greatest common divisors which are of independent interest.

Accelerating Pseudo-Marginal MCMC using Gaussian Processes

Pseudo-marginal methods such as the grouped independence Metropolis-Hastings (GIMH) and Markov chain within Metropolis (MCWM) algorithms have been introduced in the literature as an approach to perform Bayesian inference in latent variable models. These methods replace intractable likelihood calculations with unbiased estimates within Markov chain Monte Carlo algorithms. The GIMH method has the posterior of interest as its limiting distribution, but suffers from poor mixing if it is too computationally intensive to obtain high-precision likelihood estimates. The MCWM algorithm has better mixing properties, but less theoretical support. In this paper we propose to use Gaussian processes (GP) to accelerate the GIMH method, whilst using a short pilot run of MCWM to train the GP. Our new method, GP-GIMH, is illustrated on simulated data from a stochastic volatility and a gene network model.

Multi-time scale analysis applied to long time simulation of power systems

The results are presented of applying multi-time scale analysis using the singular perturbation technique for long time simulation of power system problems. A linear system represented in state-space form can be decoupled into slow and fast subsystems. These subsystems can be simulated with different time steps and then recombined to obtain the system response. Simulation results with a two-time scale analysis of a power system show a large saving in computational costs.

On the positivity and stability of non-stationary systems

The positivity of operators in Hilbert spaces is an important concept finding wide application in various branches of Mathematical System Theory. A frequency- domain condition that ensures the positivity of time-varying operators in L2 with a state-space description, is derived in this paper by using certain newly developed inequalities concerning the input-state relation of such operators. As an interesting application of these results, an L2 stability criterion for time-varying feedback systems consisting of a finite-sector non-linearity is also developed.