Fast Approximation of Nonlinearities for improving inversion algorithms of PNL mixtures and Wiener systems

This paper proposes a very fast method for blindly approximating a nonlinear mapping which transforms a sum of random variables. The estimation is surprisingly good even when the basic assumption is not satisfied.We use the method for providing a good initialization for inverting post-nonlinear mixtures and Wiener systems. Experiments show that the algorithm speed is strongly improved and the asymptotic performance is preserved with a very low extra computational cost.

Algebraic decay of velocity fluctuations near a wall

Computer simulations of the dynamics of a colloidal particle suspended in a fluid confined by an interface show that the asymptotic decay of the velocity correlation functions is algebraic. The exponents of the long-time tails depend on the direction of motion of the particle relative to the surface, as well as on the specific nature of the boundary conditions. In particular, we find that for the angular velocity correlation function, the decay in the presence of a slip surface is faster than the one corresponding to a stick one. An intuitive picture is introduced to explain the various long-time tails, and the simulations are compared with theoretical expressions where available.

On the connectivity of the escaping set for complex exponential Misiurewicz parameters

Let $ E_{\lambda}(z)=\lambda {\rm exp}(z), \lambda\in \mathbb{C}$, be the complex exponential family. For all functions in the family there is a unique asymptotic value at 0 (and no critical values). For a fixed $ \lambda$, the set of points in $ \mathbb{C}$ with orbit tending to infinity is called the escaping set. We prove that the escaping set of $ E_{\lambda}$ with $ \lambda$ Misiurewicz (that is, a parameter for which the orbit of the singular value is strictly preperiodic) is a connected set.

Ruin and related quantities in some advanced insurance risk models

Risk theory has been a very active research area over the last decades. The main objectives of the theory are to find adequate stochastic processes which can model the surplus of a (non-life) insurance company and to analyze the risk related quantities such as ruin time, ruin probability, expected discounted penalty function and expected discounted dividend/tax payments. The study of these ruin related quantities provides crucial information for actuaries and decision makers. This thesis consists of the study of four different insurance risk models which are essentially related. The ruin and related quantities are investigated by using different techniques, resulting in explicit or asymptotic expressions for the ruin time, the ruin probability, the expected discounted penalty function and the expected discounted tax payments. - La recherche en théorie du risque a été très dynamique au cours des dernières décennies. D'un point de vue théorique, les principaux objectifs sont de trouver des processus stochastiques adéquats permettant de modéliser le surplus d'une compagnie d'assurance non vie et d'analyser les mesures de risque, notamment le temps de ruine, la probabilité de ruine, l'espérance de la valeur actuelle de la fonction de pénalité et l'espérance de la valeur actuelle des dividendes et taxes. L'étude de ces mesures associées à la ruine fournit des informations cruciales pour les actuaires et les décideurs. Cette thèse consiste en l'étude des quatre différents modèles de risque d'assurance qui sont essentiellement liés. La ruine et les mesures qui y sont associées sont examinées à l'aide de différentes techniques, ce qui permet d'induire des expressions explicites ou asymptotiques du temps de ruine, de la probabilité de ruine, de l'espérance de la valeur actuelle de la fonction de pénalité et l'espérance de la valeur actuelle des dividendes et taxes.

Interaction of Spiral Waves in the Complex Ginzburg-Landau Equation

Solutions of the general cubic complex Ginzburg-Landau equation comprising multiple spiral waves are considered, and laws of motion for the centers are derived. The direction of the motion changes from along the line of centers to perpendicular to the line of centers as the separation increases, with the strength of the interaction algebraic at small separations and exponentially small at large separations. The corresponding asymptotic wave number and frequency are also determined, which evolve slowly as the spirals move

Equidistribution of Fekete Points on the Sphere

Fekete points are the points that maximize a Vandermonde-type determinant that appears in the polynomial Lagrange interpolation formula. They are well suited points for interpolation formulas and numerical integration. We prove the asymptotic equidistribution of Fekete points in the sphere. The way we proceed is by showing their connection to other arrays of points, the so-called Marcinkiewicz-Zygmund arrays and interpolating arrays, that have been studied recently.

Empirical study of correlated survival times for recurrent events with proportional hazards margins and the effect of correlation and censoring.

Background: In longitudinal studies where subjects experience recurrent incidents over a period of time, such as respiratory infections, fever or diarrhea, statistical methods are required to take into account the within-subject correlation. Methods: For repeated events data with censored failure, the independent increment (AG), marginal (WLW) and conditional (PWP) models are three multiple failure models that generalize Cox"s proportional hazard model. In this paper, we revise the efficiency, accuracy and robustness of all three models under simulated scenarios with varying degrees of within-subject correlation, censoring levels, maximum number of possible recurrences and sample size. We also study the methods performance on a real dataset from a cohort study with bronchial obstruction. Results: We find substantial differences between methods and there is not an optimal method. AG and PWP seem to be preferable to WLW for low correlation levels but the situation reverts for high correlations. Conclusions: All methods are stable in front of censoring, worsen with increasing recurrence levels and share a bias problem which, among other consequences, makes asymptotic normal confidence intervals not fully reliable, although they are well developed theoretically.

An Improved Hybrid Model for the Generic Hoist Scheduling Problem

Peer-reviewed

The Gaussian assumption in second-order estimation problems in digital communications

This paper deals with the goodness of the Gaussian assumption when designing second-order blind estimationmethods in the context of digital communications. The low- andhigh-signal-to-noise ratio (SNR) asymptotic performance of the maximum likelihood estimator—derived assuming Gaussiantransmitted symbols—is compared with the performance of the optimal second-order estimator, which exploits the actualdistribution of the discrete constellation. The asymptotic study concludes that the Gaussian assumption leads to the optimalsecond-order solution if the SNR is very low or if the symbols belong to a multilevel constellation such as quadrature-amplitudemodulation (QAM) or amplitude-phase-shift keying (APSK). On the other hand, the Gaussian assumption can yield importantlosses at high SNR if the transmitted symbols are drawn from a constant modulus constellation such as phase-shift keying (PSK)or continuous-phase modulations (CPM). These conclusions are illustrated for the problem of direction-of-arrival (DOA) estimation of multiple digitally-modulated signals.

Spatial filtering for pilot-aided WCDMA systems: a semi-blind subspace approach

This paper proposes a spatial filtering technique forthe reception of pilot-aided multirate multicode direct-sequencecode division multiple access (DS/CDMA) systems such as widebandCDMA (WCDMA). These systems introduce a code-multiplexedpilot sequence that can be used for the estimation of thefilter weights, but the presence of the traffic signal (transmittedat the same time as the pilot sequence) corrupts that estimationand degrades the performance of the filter significantly. This iscaused by the fact that although the traffic and pilot signals areusually designed to be orthogonal, the frequency selectivity of thechannel degrades this orthogonality at hte receiving end. Here,we propose a semi-blind technique that eliminates the self-noisecaused by the code-multiplexing of the pilot. We derive analyticallythe asymptotic performance of both the training-only andthe semi-blind techniques and compare them with the actual simulatedperformance. It is shown, both analytically and via simulation,that high gains can be achieved with respect to training-onlybasedtechniques.

ML approaches to channel estimation for pilot-aided multi-rate DS/CDMA systems

This paper analyzes the asymptotic performance of maximum likelihood (ML) channel estimation algorithms in wideband code division multiple access (WCDMA) scenarios. We concentrate on systems with periodic spreading sequences (period larger than or equal to the symbol span) where the transmitted signal contains a code division multiplexed pilot for channel estimation purposes. First, the asymptotic covariances of the training-only, semi-blind conditional maximum likelihood (CML) and semi-blind Gaussian maximum likelihood (GML) channelestimators are derived. Then, these formulas are further simplified assuming randomized spreading and training sequences under the approximation of high spreading factors and high number of codes. The results provide a useful tool to describe the performance of the channel estimators as a function of basicsystem parameters such as number of codes, spreading factors, or traffic to training power ratio.

Conditional maximum likelihood timing recovery: estimators and bounds

This paper is concerned with the derivation of new estimators and performance bounds for the problem of timing estimation of (linearly) digitally modulated signals. The conditional maximum likelihood (CML) method is adopted, in contrast to the classical low-SNR unconditional ML (UML) formulationthat is systematically applied in the literature for the derivationof non-data-aided (NDA) timing-error-detectors (TEDs). A new CML TED is derived and proved to be self-noise free, in contrast to the conventional low-SNR-UML TED. In addition, the paper provides a derivation of the conditional Cramér–Rao Bound (CRB ), which is higher (less optimistic) than the modified CRB (MCRB)[which is only reached by decision-directed (DD) methods]. It is shown that the CRB is a lower bound on the asymptotic statisticalaccuracy of the set of consistent estimators that are quadratic with respect to the received signal. Although the obtained boundis not general, it applies to most NDA synchronizers proposed in the literature. A closed-form expression of the conditional CRBis obtained, and numerical results confirm that the CML TED attains the new bound for moderate to high Eg/No.

Short-term Hydropower Planning System

The Thesis gives a decision support framework that has significant impact on the economic performance and viability of a hydropower company. The studyaddresses the short-term hydropower planning problem in the Nordic deregulated electricity market. The basics of the Nordic electricity market, trading mechanisms, hydropower system characteristics and production planning are presented in the Thesis. The related modelling theory and optimization methods are covered aswell. The Thesis provides a mixed integer linear programming model applied in asuccessive linearization method for optimal bidding and scheduling decisions inthe hydropower system operation within short-term horizon. A scenario based deterministic approach is exploited for modelling uncertainty in market price and inflow. The Thesis proposes a calibration framework to examine the physical accuracy and economic optimality of the decisions suggested by the model. A calibration example is provided with data from a real hydropower system using a commercial modelling application with the mixed integer linear programming solver CPLEX.

Coifman-aallokkeet ja skaalaussuotimen muodostus differentiaalievoluut ion avulla

Ortogonaalisen M-kaistaisen moniresoluutioanalyysin matemaattiset perusteet esitetään yksityiskohtaisesti. Coifman-aallokkeiden määritelmä yleistetään dilaatiokertoimelle M ja nollasta poikkeavalle häviävien momenttien keskukselle.Funktion approksimointia näytepisteistä aallokkeiden avulla pohditaan ja erityisesti esitetään approksimaation asymptoottinen virhearvio Coifman-aallokkeille. Skaalaussuotimelle osoitetaan välttämättömät ja riittävät ehdot, jotka johtavat yleistettyihin Coifman-aallokkeisiin. Moniresoluutioanalyysin tiheys todistetaansuoraan Lebesguen integraalin määritelmään perustuen yksikön partitio-ominaisuutta käyttäen. Todistus on riittävä sellaisenaan avaruudessa L2(Wd) käyttämättä Fourier-tason ominaisuuksia tai ehtoja. Mallatin algoritmi johdetaan M-kaistaisille aallokkeille ja moniuloitteisille signaaleille. Algoritmille esitetään myös rekursiivinen muoto. Differentiaalievoluutioalgoritmin avulla ratkaistaan Coifman-aallokkeisiin liittyvien skaalaussuotimien kertoimien arvoja useille skaalausfunktiolle. Approksimaatio- ja kuvanpakkausesimerkkejä esitetään menetelmien havainnollistamiseksi. Differentiaalievoluutioalgoritmin avulla etsitään myös referenssikuville optimoitu skaalaussuodin. Löydetty suodin on regulaarinen ja erittäinsymmetrinen.