Covariance Matrix Estimation and Mean-Variance Optimization in application to International Diversification

Tutkimus keskittyy kansainväliseen hajauttamiseen suomalaisen sijoittajan näkökulmasta. Tutkimuksen toinen tavoite on selvittää tehostavatko uudet kovarianssimatriisiestimaattorit minimivarianssiportfolion optimointiprosessia. Tavallisen otoskovarianssimatriisin lisäksi optimoinnissa käytetään kahta kutistusestimaattoria ja joustavaa monimuuttuja-GARCH(1,1)-mallia. Tutkimusaineisto koostuu Dow Jonesin toimialaindekseistä ja OMX-H:n portfolioindeksistä. Kansainvälinen hajautusstrategia on toteutettu käyttäen toimialalähestymistapaa ja portfoliota optimoidaan käyttäen kahtatoista komponenttia. Tutkimusaieisto kattaa vuodet 1996-2005 eli 120 kuukausittaista havaintoa. Muodostettujen portfolioiden suorituskykyä mitataan Sharpen indeksillä. Tutkimustulosten mukaan kansainvälisesti hajautettujen investointien ja kotimaisen portfolion riskikorjattujen tuottojen välillä ei ole tilastollisesti merkitsevää eroa. Myöskään uusien kovarianssimatriisiestimaattoreiden käytöstä ei synnytilastollisesti merkitsevää lisäarvoa verrattuna otoskovarianssimatrisiin perustuvaan portfolion optimointiin.

Electrical characteristics of eddy current position sensor

In the thesis the principle of work of eddy current position sensors and the main cautions that must be taken into account while sensor design process are explained. A way of automated eddy current position sensor electrical characteristics measurement is suggested. A prototype of the eddy current position sensor and its electrical characteristics are investigated. The results obtained by means of the automated measuring system are explained.

Eddy-current losses in rotor surface mounted permanent magnets

The aim of the work is to study the existing analytical calculation procedures found in literature to calculate the eddy-current losses in surface mounted permanent magnets within PMSM application. The most promising algorithms are implemented with MATLAB software under the dimensional data of LUT prototype machine. In addition finite elements analyze, utilized with help of Flux 2D software from Cedrat Ltd, is applied to calculate the eddy-current losses in permanent magnets. The results obtained from analytical methods are compared with numerical results.

Comparison and Evaluation of Eddy Current Sensors

In the work eddy current sensors are described and evaluated. Theoretical part includes physical basics of the eddy currents, overview of available commercial products and technologies. Industrial sensors operation was assessed based on several working modes. Apart from this, the model was created in Matlab Simulink with Xilinx Blockset and then translated into a Xilinx ISE Design Suite compatible project. The performance of the resulting implementation was compared to the existing implementation in the Xilinx Spartan 3 FPGA board with the custom made sensor. Additionally, an introduction to FPGAs and VHDL is presented.

Dynamics of coherent vortices in mixing layers using direct numerical and large-eddy simulations

Coherent vortices in turbulent mixing layers are investigated by means of Direct Numerical Simulation (DNS) and Large-Eddy Simulation (LES). Subgrid-scale models defined in spectral and physical spaces are reviewed. The new "spectral-dynamic viscosity model", that allows to account for non-developed turbulence in the subgrid-scales, is discussed. Pseudo-spectral methods, combined with sixth-order compact finite differences schemes (when periodic boundary conditions cannot be established), are used to solve the Navier- Stokes equations. Simulations in temporal and spatial mixing layers show two types of pairing of primary Kelvin-Helmholtz (KH) vortices depending on initial conditions (or upstream conditions): quasi-2D and helical pairings. In both cases, secondary streamwise vortices are stretched in between the KH vortices at an angle of 45° with the horizontal plane. These streamwise vortices are not only identified in the early transitional stage of the mixing layer but also in self-similar turbulence conditions. The Re dependence of the "diameter" of these vortices is analyzed. Results obtained in spatial growing mixing layers show some evidences of pairing of secondary vortices; after a pairing of the primary Kelvin-Helmholtz (KH) vortices, the streamwise vortices are less numerous and their diameter has increased than before the pairing of KH vortices.

Large-eddy simulation of wind flows over complex terrains for wind energy applications

Wind energy has obtained outstanding expectations due to risks of global warming and nuclear energy production plant accidents. Nowadays, wind farms are often constructed in areas of complex terrain. A potential wind farm location must have the site thoroughly surveyed and the wind climatology analyzed before installing any hardware. Therefore, modeling of Atmospheric Boundary Layer (ABL) flows over complex terrains containing, e.g. hills, forest, and lakes is of great interest in wind energy applications, as it can help in locating and optimizing the wind farms. Numerical modeling of wind flows using Computational Fluid Dynamics (CFD) has become a popular technique during the last few decades. Due to the inherent flow variability and large-scale unsteadiness typical in ABL flows in general and especially over complex terrains, the flow can be difficult to be predicted accurately enough by using the Reynolds-Averaged Navier-Stokes equations (RANS). Large- Eddy Simulation (LES) resolves the largest and thus most important turbulent eddies and models only the small-scale motions which are more universal than the large eddies and thus easier to model. Therefore, LES is expected to be more suitable for this kind of simulations although it is computationally more expensive than the RANS approach. With the fast development of computers and open-source CFD software during the recent years, the application of LES toward atmospheric flow is becoming increasingly common nowadays. The aim of the work is to simulate atmospheric flows over realistic and complex terrains by means of LES. Evaluation of potential in-land wind park locations will be the main application for these simulations. Development of the LES methodology to simulate the atmospheric flows over realistic terrains is reported in the thesis. The work also aims at validating the LES methodology at a real scale. In the thesis, LES are carried out for flow problems ranging from basic channel flows to real atmospheric flows over one of the most recent real-life complex terrain problems, the Bolund hill. All the simulations reported in the thesis are carried out using a new OpenFOAM® -based LES solver. The solver uses the 4th order time-accurate Runge-Kutta scheme and a fractional step method. Moreover, development of the LES methodology includes special attention to two boundary conditions: the upstream (inflow) and wall boundary conditions. The upstream boundary condition is generated by using the so-called recycling technique, in which the instantaneous flow properties are sampled on aplane downstream of the inlet and mapped back to the inlet at each time step. This technique develops the upstream boundary-layer flow together with the inflow turbulence without using any precursor simulation and thus within a single computational domain. The roughness of the terrain surface is modeled by implementing a new wall function into OpenFOAM® during the thesis work. Both, the recycling method and the newly implemented wall function, are validated for the channel flows at relatively high Reynolds number before applying them to the atmospheric flow applications. After validating the LES model over simple flows, the simulations are carried out for atmospheric boundary-layer flows over two types of hills: first, two-dimensional wind-tunnel hill profiles and second, the Bolund hill located in Roskilde Fjord, Denmark. For the twodimensional wind-tunnel hills, the study focuses on the overall flow behavior as a function of the hill slope. Moreover, the simulations are repeated using another wall function suitable for smooth surfaces, which already existed in OpenFOAM® , in order to study the sensitivity of the flow to the surface roughness in ABL flows. The simulated results obtained using the two wall functions are compared against the wind-tunnel measurements. It is shown that LES using the implemented wall function produces overall satisfactory results on the turbulent flow over the two-dimensional hills. The prediction of the flow separation and reattachment-length for the steeper hill is closer to the measurements than the other numerical studies reported in the past for the same hill geometry. The field measurement campaign performed over the Bolund hill provides the most recent field-experiment dataset for the mean flow and the turbulence properties. A number of research groups have simulated the wind flows over the Bolund hill. Due to the challenging features of the hill such as the almost vertical hill slope, it is considered as an ideal experimental test case for validating micro-scale CFD models for wind energy applications. In this work, the simulated results obtained for two wind directions are compared against the field measurements. It is shown that the present LES can reproduce the complex turbulent wind flow structures over a complicated terrain such as the Bolund hill. Especially, the present LES results show the best prediction of the turbulent kinetic energy with an average error of 24.1%, which is a 43% smaller than any other model results reported in the past for the Bolund case. Finally, the validated LES methodology is demonstrated to simulate the wind flow over the existing Muukko wind farm located in South-Eastern Finland. The simulation is carried out only for one wind direction and the results on the instantaneous and time-averaged wind speeds are briefly reported. The demonstration case is followed by discussions on the practical aspects of LES for the wind resource assessment over a realistic inland wind farm.

Bayes quadratic unbiased estimator of spatial covariance parameters

This work presents Bayes invariant quadratic unbiased estimator, for short BAIQUE. Bayesian approach is used here to estimate the covariance functions of the regionalized variables which appear in the spatial covariance structure in mixed linear model. Firstly a brief review of spatial process, variance covariance components structure and Bayesian inference is given, since this project deals with these concepts. Then the linear equations model corresponding to BAIQUE in the general case is formulated. That Bayes estimator of variance components with too many unknown parameters is complicated to be solved analytically. Hence, in order to facilitate the handling with this system, BAIQUE of spatial covariance model with two parameters is considered. Bayesian estimation arises as a solution of a linear equations system which requires the linearity of the covariance functions in the parameters. Here the availability of prior information on the parameters is assumed. This information includes apriori distribution functions which enable to find the first and the second moments matrix. The Bayesian estimation suggested here depends only on the second moment of the prior distribution. The estimation appears as a quadratic form y'Ay , where y is the vector of filtered data observations. This quadratic estimator is used to estimate the linear function of unknown variance components. The matrix A of BAIQUE plays an important role. If such a symmetrical matrix exists, then Bayes risk becomes minimal and the unbiasedness conditions are fulfilled. Therefore, the symmetry of this matrix is elaborated in this work. Through dealing with the infinite series of matrices, a representation of the matrix A is obtained which shows the symmetry of A. In this context, the largest singular value of the decomposed matrix of the infinite series is considered to deal with the convergence condition and also it is connected with Gerschgorin Discs and Poincare theorem. Then the BAIQUE model for some experimental designs is computed and compared. The comparison deals with different aspects, such as the influence of the position of the design points in a fixed interval. The designs that are considered are those with their points distributed in the interval [0, 1]. These experimental structures are compared with respect to the Bayes risk and norms of the matrices corresponding to distances, covariance structures and matrices which have to satisfy the convergence condition. Also different types of the regression functions and distance measurements are handled. The influence of scaling on the design points is studied, moreover, the influence of the covariance structure on the best design is investigated and different covariance structures are considered. Finally, BAIQUE is applied for real data. The corresponding outcomes are compared with the results of other methods for the same data. Thereby, the special BAIQUE, which estimates the general variance of the data, achieves a very close result to the classical empirical variance.

Covariance, correlations, and r squared

lecture slides for COMP6235