937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.
Resumo:
This work focuses on the prediction of the two main nitrogenous variables that describe the water quality at the effluent of a Wastewater Treatment Plant. We have developed two kind of Neural Networks architectures based on considering only one output or, in the other hand, the usual five effluent variables that define the water quality: suspended solids, biochemical organic matter, chemical organic matter, total nitrogen and total Kjedhal nitrogen. Two learning techniques based on a classical adaptative gradient and a Kalman filter have been implemented. In order to try to improve generalization and performance we have selected variables by means genetic algorithms and fuzzy systems. The training, testing and validation sets show that the final networks are able to learn enough well the simulated available data specially for the total nitrogen
Resumo:
Tässä työssä raportoidaan hybridihitsauksesta otettujen suurnopeuskuvasarjojen automaattisen analyysijärjestelmän kehittäminen.Järjestelmän tarkoitus oli tuottaa tietoa, joka avustaisi analysoijaa arvioimaan kuvatun hitsausprosessin laatua. Tutkimus keskittyi valokaaren taajuuden säännöllisyyden ja lisäainepisaroiden lentosuuntien mittaamiseen. Valokaaria havaittiin kuvasarjoista sumean c-means-klusterointimenetelmän avullaja perättäisten valokaarien välistä aikaväliä käytettiin valokaaren taajuuden säännöllisyyden mittarina. Pisaroita paikannettiin menetelmällä, jossa yhdistyi pääkomponenttianalyysi ja tukivektoriluokitin. Kalman-suodinta käytettiin tuottamaan arvioita pisaroiden lentosuunnista ja nopeuksista. Lentosuunnanmääritysmenetelmä luokitteli pisarat niiden arvioitujen lentosuuntien perusteella. Järjestelmän kehittämiseen käytettävissä olleet kuvasarjat poikkesivat merkittävästi toisistaan kuvanlaadun ja pisaroiden ulkomuodon osalta, johtuen eroista kuvaus- ja hitsausprosesseissa. Analyysijärjestelmä kehitettiin toimimaan pienellä osajoukolla kuvasarjoja, joissa oli tietynlainen kuvaus- ja hitsausprosessi ja joiden kuvanlaatu ja pisaroiden ulkomuoto olivat samankaltaisia, mutta järjestelmää testattiin myös osajoukon ulkopuolisilla kuvasarjoilla. Testitulokset osoittivat, että lentosuunnanmääritystarkkuus oli kohtuullisen suuri osajoukonsisällä ja pieni muissa kuvasarjoissa. Valokaaren taajuuden säännöllisyyden määritys oli tarkka useammassa kuvasarjassa.
Resumo:
The present study was done with two different servo-systems. In the first system, a servo-hydraulic system was identified and then controlled by a fuzzy gainscheduling controller. The second servo-system, an electro-magnetic linear motor in suppressing the mechanical vibration and position tracking of a reference model are studied by using a neural network and an adaptive backstepping controller respectively. Followings are some descriptions of research methods. Electro Hydraulic Servo Systems (EHSS) are commonly used in industry. These kinds of systems are nonlinearin nature and their dynamic equations have several unknown parameters.System identification is a prerequisite to analysis of a dynamic system. One of the most promising novel evolutionary algorithms is the Differential Evolution (DE) for solving global optimization problems. In the study, the DE algorithm is proposed for handling nonlinear constraint functionswith boundary limits of variables to find the best parameters of a servo-hydraulic system with flexible load. The DE guarantees fast speed convergence and accurate solutions regardless the initial conditions of parameters. The control of hydraulic servo-systems has been the focus ofintense research over the past decades. These kinds of systems are nonlinear in nature and generally difficult to control. Since changing system parameters using the same gains will cause overshoot or even loss of system stability. The highly non-linear behaviour of these devices makes them ideal subjects for applying different types of sophisticated controllers. The study is concerned with a second order model reference to positioning control of a flexible load servo-hydraulic system using fuzzy gainscheduling. In the present research, to compensate the lack of dampingin a hydraulic system, an acceleration feedback was used. To compare the results, a pcontroller with feed-forward acceleration and different gains in extension and retraction is used. The design procedure for the controller and experimental results are discussed. The results suggest that using the fuzzy gain-scheduling controller decrease the error of position reference tracking. The second part of research was done on a PermanentMagnet Linear Synchronous Motor (PMLSM). In this study, a recurrent neural network compensator for suppressing mechanical vibration in PMLSM with a flexible load is studied. The linear motor is controlled by a conventional PI velocity controller, and the vibration of the flexible mechanism is suppressed by using a hybrid recurrent neural network. The differential evolution strategy and Kalman filter method are used to avoid the local minimum problem, and estimate the states of system respectively. The proposed control method is firstly designed by using non-linear simulation model built in Matlab Simulink and then implemented in practical test rig. The proposed method works satisfactorily and suppresses the vibration successfully. In the last part of research, a nonlinear load control method is developed and implemented for a PMLSM with a flexible load. The purpose of the controller is to track a flexible load to the desired position reference as fast as possible and without awkward oscillation. The control method is based on an adaptive backstepping algorithm whose stability is ensured by the Lyapunov stability theorem. The states of the system needed in the controller are estimated by using the Kalman filter. The proposed controller is implemented and tested in a linear motor test drive and responses are presented.
Resumo:
Työssä rakennettiin integroitu simulointimalli sähkökäytölle, jonka mekaniikka koostuu joustava-akselisesta kaksimassa systeemistä. Lisäksi tarkasteltiin kyseiselle sähkökäytölle ominaisia piirteitä ja niiden aiheuttamia ongelmia eri sovelluksissa, sekä tutkittiin teollisuudessa yleisesti esiintyvän pyörimisnopeussäädön, PI-säädön, parametrien vaikutusta kyseisen mekaniikan omaaviin sähkökäyttöihin. Taajuusmuuttajalle kehiteltiin yksinkertaistettu simulointimalli, jolla pystytään pienentämään merkittävästi simuloinnin laskenta-aikaa. Vääntövärähtelyiden kompensointiin tutkittiin optimaalista tilasäätöä, jossa Kalman suotimella estimoidaan systeemin tilojen lisäksi myös kuormamomentti ja jossa nopeussäätö suunnitellaan lineaarisella neliöllisellä menetelmällä (Linear Quadratic).
Resumo:
Industry's growing need for higher productivity is placing new demands on mechanisms connected with electrical motors, because these can easily lead to vibration problems due to fast dynamics. Furthermore, the nonlinear effects caused by a motor frequently reduce servo stability, which diminishes the controller's ability to predict and maintain speed. Hence, the flexibility of a mechanism and its control has become an important area of research. The basic approach in control system engineering is to assume that the mechanism connected to a motor is rigid, so that vibrations in the tool mechanism, reel, gripper or any apparatus connected to the motor are not taken into account. This might reduce the ability of the machine system to carry out its assignment and shorten the lifetime of the equipment. Nonetheless, it is usually more important to know how the mechanism, or in other words the load on the motor, behaves. A nonlinear load control method for a permanent magnet linear synchronous motor is developed and implemented in the thesis. The purpose of the controller is to track a flexible load to the desired velocity reference as fast as possible and without awkward oscillations. The control method is based on an adaptive backstepping algorithm with its stability ensured by the Lyapunov stability theorem. As a reference controller for the backstepping method, a hybrid neural controller is introduced in which the linear motor itself is controlled by a conventional PI velocity controller and the vibration of the associated flexible mechanism is suppressed from an outer control loop using a compensation signal from a multilayer perceptron network. To avoid the local minimum problem entailed in neural networks, the initial weights are searched for offline by means of a differential evolution algorithm. The states of a mechanical system for controllers are estimated using the Kalman filter. The theoretical results obtained from the control design are validated with the lumped mass model for a mechanism. Generalization of the mechanism allows the methods derived here to be widely implemented in machine automation. The control algorithms are first designed in a specially introduced nonlinear simulation model and then implemented in the physical linear motor using a DSP (Digital Signal Processor) application. The measurements prove that both controllers are capable of suppressing vibration, but that the backstepping method is superior to others due to its accuracy of response and stability properties.
Resumo:
The short version of the Oxford-Liverpool Inventory of Feelings and Experiences (sO-LIFE) is a widely used measure assessing schizotypy. There is limited information, however, on how sO-LIFE scores compare across different countries. The main goal of the present study is to test the measurement invariance of the sO-LIFE scores in a large sample of non-clinical adolescents and young adults from four European countries (UK, Switzerland, Italy, and Spain). The scores were obtained from validated versions of the sO-LIFE in their respective languages. The sample comprised 4190 participants (M = 20.87 years; SD = 3.71 years). The study of the internal structure, using confirmatory factor analysis, revealed that both three (i.e., positive schizotypy, cognitive disorganisation, and introvertive anhedonia) and four-factor (i.e., positive schizotypy, cognitive disorganisation, introvertive anhedonia, and impulsive nonconformity) models fitted the data moderately well. Multi-group confirmatory factor analysis showed that the three-factor model had partial strong measurement invariance across countries. Eight items were non-invariant across samples. Significant statistical differences in the mean scores of the s-OLIFE were found by country. Reliability scores, estimated with Ordinal alpha ranged from 0.75 to 0.87. Using the Item Response Theory framework, the sO-LIFE provides more accuracy information at the medium and high end of the latent trait. The current results show further evidence in support of the psychometric proprieties of the sO-LIFE, provide new information about the cross-cultural equivalence of schizotypy and support the use of this measure to screen for psychotic-like features and liability to psychosis in general population samples from different European countries.
Resumo:
This paper presents a novel technique to align partial 3D reconstructions of the seabed acquired by a stereo camera mounted on an autonomous underwater vehicle. Vehicle localization and seabed mapping is performed simultaneously by means of an Extended Kalman Filter. Passive landmarks are detected on the images and characterized considering 2D and 3D features. Landmarks are re-observed while the robot is navigating and data association becomes easier but robust. Once the survey is completed, vehicle trajectory is smoothed by a Rauch-Tung-Striebel filter obtaining an even better alignment of the 3D views and yet a large-scale acquisition of the seabed
Resumo:
A visual SLAM system has been implemented and optimised for real-time deployment on an AUV equipped with calibrated stereo cameras. The system incorporates a novel approach to landmark description in which landmarks are local sub maps that consist of a cloud of 3D points and their associated SIFT/SURF descriptors. Landmarks are also sparsely distributed which simplifies and accelerates data association and map updates. In addition to landmark-based localisation the system utilises visual odometry to estimate the pose of the vehicle in 6 degrees of freedom by identifying temporal matches between consecutive local sub maps and computing the motion. Both the extended Kalman filter and unscented Kalman filter have been considered for filtering the observations. The output of the filter is also smoothed using the Rauch-Tung-Striebel (RTS) method to obtain a better alignment of the sequence of local sub maps and to deliver a large-scale 3D acquisition of the surveyed area. Synthetic experiments have been performed using a simulation environment in which ray tracing is used to generate synthetic images for the stereo system
Resumo:
Simultaneous localization and mapping(SLAM) is a very important problem in mobile robotics. Many solutions have been proposed by different scientists during the last two decades, nevertheless few studies have considered the use of multiple sensors simultane¬ously. The solution is on combining several data sources with the aid of an Extended Kalman Filter (EKF). Two approaches are proposed. The first one is to use the ordinary EKF SLAM algorithm for each data source separately in parallel and then at the end of each step, fuse the results into one solution. Another proposed approach is the use of multiple data sources simultaneously in a single filter. The comparison of the computational com¬plexity of the two methods is also presented. The first method is almost four times faster than the second one.
Resumo:
La localización en ambientes de interiores basada en dispositivos modernos de uso masivo, como los dispositivos móviles, es un área actual de investigación y desarrollo que ha empezado a generar productos para diferentes aplicaciones. Sin embargo, la estimación del error en estas mediciones, sus fuentes y la forma como se propaga, que evita tener mayor exactitud en la localización, aún presenta un área pendiente de estudio. Esta investigación toma una de las técnicas comunes de estudio de localización de dispositivos por redes inalámbricas WiFi para estudiar los diferentes errores que ella conlleva, sus fuentes y su propagación. Este trabajo también propone un nuevo enfoque y nueva metodologÃa, que permite reducir el error en la localización de dispositivos WiFi, con base a la clasificación de las redes inalámbricas presentes en un escaneo, la identificación de muestras y datos fortuitos, la estabilización de muestreos de potencias de redes WiFi, y la implementación de un filtro de Kalman, para la predicción de medidas estables de estas potencias.
Resumo:
Sensor-based robot control allows manipulation in dynamic environments with uncertainties. Vision is a versatile low-cost sensory modality, but low sample rate, high sensor delay and uncertain measurements limit its usability, especially in strongly dynamic environments. Force is a complementary sensory modality allowing accurate measurements of local object shape when a tooltip is in contact with the object. In multimodal sensor fusion, several sensors measuring different modalities are combined to give a more accurate estimate of the environment. As force and vision are fundamentally different sensory modalities not sharing a common representation, combining the information from these sensors is not straightforward. In this thesis, methods for fusing proprioception, force and vision together are proposed. Making assumptions of object shape and modeling the uncertainties of the sensors, the measurements can be fused together in an extended Kalman filter. The fusion of force and visual measurements makes it possible to estimate the pose of a moving target with an end-effector mounted moving camera at high rate and accuracy. The proposed approach takes the latency of the vision system into account explicitly, to provide high sample rate estimates. The estimates also allow a smooth transition from vision-based motion control to force control. The velocity of the end-effector can be controlled by estimating the distance to the target by vision and determining the velocity profile giving rapid approach and minimal force overshoot. Experiments with a 5-degree-of-freedom parallel hydraulic manipulator and a 6-degree-of-freedom serial manipulator show that integration of several sensor modalities can increase the accuracy of the measurements significantly.
Resumo:
Stratospheric ozone can be measured accurately using a limb scatter remote sensing technique at the UV-visible spectral region of solar light. The advantages of this technique includes a good vertical resolution and a good daytime coverage of the measurements. In addition to ozone, UV-visible limb scatter measurements contain information about NO2, NO3, OClO, BrO and aerosols. There are currently several satellite instruments continuously scanning the atmosphere and measuring the UVvisible region of the spectrum, e.g., the Optical Spectrograph and Infrared Imager System (OSIRIS) launched on the Odin satellite in February 2001, and the Scanning Imaging Absorption SpectroMeter for Atmospheric CartograpHY (SCIAMACHY) launched on Envisat in March 2002. Envisat also carries the Global Ozone Monitoring by Occultation of Stars (GOMOS) instrument, which also measures limb-scattered sunlight under bright limb occultation conditions. These conditions occur during daytime occultation measurements. The global coverage of the satellite measurements is far better than any other ozone measurement technique, but still the measurements are sparse in the spatial domain. Measurements are also repeated relatively rarely over a certain area, and the composition of the Earth’s atmosphere changes dynamically. Assimilation methods are therefore needed in order to combine the information of the measurements with the atmospheric model. In recent years, the focus of assimilation algorithm research has turned towards filtering methods. The traditional Extended Kalman filter (EKF) method takes into account not only the uncertainty of the measurements, but also the uncertainty of the evolution model of the system. However, the computational cost of full blown EKF increases rapidly as the number of the model parameters increases. Therefore the EKF method cannot be applied directly to the stratospheric ozone assimilation problem. The work in this thesis is devoted to the development of inversion methods for satellite instruments and the development of assimilation methods used with atmospheric models.
Resumo:
The topic of this thesis is the simulation of a combination of several control and data assimilation methods, meant to be used for controlling the quality of paper in a paper machine. Paper making is a very complex process and the information obtained from the web is sparse. A paper web scanner can only measure a zig zag path on the web. An assimilation method is needed to process estimates for Machine Direction (MD) and Cross Direction (CD) profiles of the web. Quality control is based on these measurements. There is an increasing need for intelligent methods to assist in data assimilation. The target of this thesis is to study how such intelligent assimilation methods are affecting paper web quality. This work is based on a paper web simulator, which has been developed in the TEKES funded MASI NoTes project. The simulator is a valuable tool in comparing different assimilation methods. The thesis contains the comparison of four different assimilation methods. These data assimilation methods are a first order Bayesian model estimator, an ARMA model based on a higher order Bayesian estimator, a Fourier transform based Kalman filter estimator and a simple block estimator. The last one can be considered to be close to current operational methods. From these methods Bayesian, ARMA and Kalman all seem to have advantages over the commercial one. The Kalman and ARMA estimators seems to be best in overall performance.
Resumo:
This thesis is concerned with the state and parameter estimation in state space models. The estimation of states and parameters is an important task when mathematical modeling is applied to many different application areas such as the global positioning systems, target tracking, navigation, brain imaging, spread of infectious diseases, biological processes, telecommunications, audio signal processing, stochastic optimal control, machine learning, and physical systems. In Bayesian settings, the estimation of states or parameters amounts to computation of the posterior probability density function. Except for a very restricted number of models, it is impossible to compute this density function in a closed form. Hence, we need approximation methods. A state estimation problem involves estimating the states (latent variables) that are not directly observed in the output of the system. In this thesis, we use the Kalman filter, extended Kalman filter, Gauss–Hermite filters, and particle filters to estimate the states based on available measurements. Among these filters, particle filters are numerical methods for approximating the filtering distributions of non-linear non-Gaussian state space models via Monte Carlo. The performance of a particle filter heavily depends on the chosen importance distribution. For instance, inappropriate choice of the importance distribution can lead to the failure of convergence of the particle filter algorithm. In this thesis, we analyze the theoretical Lᵖ particle filter convergence with general importance distributions, where p ≥2 is an integer. A parameter estimation problem is considered with inferring the model parameters from measurements. For high-dimensional complex models, estimation of parameters can be done by Markov chain Monte Carlo (MCMC) methods. In its operation, the MCMC method requires the unnormalized posterior distribution of the parameters and a proposal distribution. In this thesis, we show how the posterior density function of the parameters of a state space model can be computed by filtering based methods, where the states are integrated out. This type of computation is then applied to estimate parameters of stochastic differential equations. Furthermore, we compute the partial derivatives of the log-posterior density function and use the hybrid Monte Carlo and scaled conjugate gradient methods to infer the parameters of stochastic differential equations. The computational efficiency of MCMC methods is highly depend on the chosen proposal distribution. A commonly used proposal distribution is Gaussian. In this kind of proposal, the covariance matrix must be well tuned. To tune it, adaptive MCMC methods can be used. In this thesis, we propose a new way of updating the covariance matrix using the variational Bayesian adaptive Kalman filter algorithm.
Resumo:
Time series analysis can be categorized into three different approaches: classical, Box-Jenkins, and State space. Classical approach makes a basement for the analysis and Box-Jenkins approach is an improvement of the classical approach and deals with stationary time series. State space approach allows time variant factors and covers up a broader area of time series analysis. This thesis focuses on parameter identifiablity of different parameter estimation methods such as LSQ, Yule-Walker, MLE which are used in the above time series analysis approaches. Also the Kalman filter method and smoothing techniques are integrated with the state space approach and MLE method to estimate parameters allowing them to change over time. Parameter estimation is carried out by repeating estimation and integrating with MCMC and inspect how well different estimation methods can identify the optimal model parameters. Identification is performed in probabilistic and general senses and compare the results in order to study and represent identifiability more informative way.