Applying the extended Kalman filter to systems described by nonlinear differential-algebraic equations

This paper describes a method for the state estimation of nonlinear systems described by a class of differential-algebraic equation models using the extended Kalman filter. The method involves the use of a time-varying linearisation of a semi-explicit index one differential-algebraic equation. The estimation technique consists of a simplified extended Kalman filter that is integrated with the differential-algebraic equation model. The paper describes a simulation study using a model of a batch chemical reactor. It also reports a study based on experimental data obtained from a mixing process, where the model of the system is solved using the sequential modular method and the estimation involves a bank of extended Kalman filters.

Head-controlled assistive telerobot with extended physiological proprioception capability

People with disabilities such as quadriplegia can use mouth-sticks and head-sticks as extension devices to perform desired manipulations. These extensions provide extended proprioception which allows users to directly feel forces and other perceptual cues such as texture present at the tip of the mouth-stick. Such devices are effective for two principle reasons: because of their close contact with the user's tactile and proprioceptive sensing abilities; and because they tend to be lightweight and very stiff, and can thus convey tactile and kinesthetic information with high-bandwidth. Unfortunately, traditional mouth-sticks and head-sticks are limited in workspace and in the mechanical power that can be transferred because of user mobility and strength limitations. We describe an alternative implementation of the head-stick device using the idea of a virtual head-stick: a head-controlled bilateral force-reflecting telerobot. In this system the end-effector of the slave robot moves as if it were at the tip of an imaginary extension of the user's head. The design goal is for the system is to have the same intuitive operation and extended proprioception as a regular mouth-stick effector but with augmentation of workspace volume and mechanical power. The input is through a specially modified six DOF master robot (a PerForceTM hand-controller) whose joints can be back-driven to apply forces at the user's head. The manipulation tasks in the environment are performed by a six degree-of-freedom slave robot (the Zebra-ZEROTM) with a built-in force sensor. We describe the prototype hardware/software implementation of the system, control system design, safety/disability issues, and initial evaluation tasks.

Switching on a two-dimensional time-harmonic scalar wave in the presence of a diffracting edge

This paper concerns the switching on of two-dimensional time-harmonic scalar waves. We first review the switch-on problem for a point source in free space, then proceed to analyse the analogous problem for the diffraction of a plane wave by a half-line (the ‘Sommerfeld problem’), determining in both cases the conditions under which the field is well-approximated by the solution of the corresponding frequency domain problem. In both cases the rate of convergence to the frequency domain solution is found to be dependent on the strength of the singularity on the leading wavefront. In the case of plane wave diffraction at grazing incidence the frequency domain solution is immediately attained along the shadow boundary after the arrival of the leading wavefront. The case of non-grazing incidence is also considered.

American option valuation: implied calibration of GARCH pricing models

This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach makes an implied calibration of the pricing model feasible. By empirically analyzing the pricing performance of American index and equity options, we illustrate the superiority of the proposed approach.

A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

Code-switching and transfer: an exploration of similarities and differences

This handbook article gives an historical overview of the development of research into code-switching and discusses its relationship to other language contact phenomena.

Colon extended physiologically based extraction test (CE-PBET) increases bioaccessibility of soil-bound PAH

Assessment of the risk to human health posed by contaminated land may be seriously overestimated if reliant on total pollutant concentration. In vitro extraction tests, such as the physiologically based extraction test (PBET), imitate the physicochemical conditions of the human gastro-intestinal tract and offer a more practicable alternative for routine testing purposes. However, even though passage through the colon accounts for approximately 80% of the transit time through the human digestive tract and the typical contents of the colon in vivo are a carbohydrate-rich aqueous medium with the potential to promote desorption of organic pollutants, PBET comprises stomach and small intestine compartments only. Through addition of an eight-hour colon compartment to PBET and use of a carbohydrate-rich fed-state medium we demonstrated that colon-extended PBET (CE-PBET) in- creased assessments of soil-bound PAH bioaccessibility by up to 50% in laboratory soils and a factor of 4 in field soils. We attribute this increased bioaccessibility to a combination of the additional extraction time and the presence of carbohydrates in the colon compartment, both of which favor PAH desorption from soil. We propose that future assessments of the bioaccessibility of organic pollutants in soils using physiologically based extraction tests should have a colon compartment as in CE-PBET.