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.

Shared autonomy for close-quarters navigation and control of a VTOL platform

This thesis presents an approach for a vertical infrastructure inspection using a vertical take-off and landing (VTOL) unmanned aerial vehicle and shared autonomy. Inspecting vertical structure such as light and power distribution poles is a difficult task. There are challenges involved with developing such an inspection system, such as flying in close proximity to a target while maintaining a fixed stand-off distance from it. The contributions of this thesis fall into three main areas. Firstly, an approach to vehicle dynamic modeling is evaluated in simulation and experiments. Secondly, EKF-based state estimators are demonstrated, as well as estimator-free approaches such as image based visual servoing (IBVS) validated with motion capture ground truth data. Thirdly, an integrated pole inspection system comprising a VTOL platform with human-in-the-loop control, (shared autonomy) is demonstrated. These contributions are comprehensively explained through a series of published papers.

Optimal simultaneous maximum a posterioriestimation of states, noise statistics and parameters II. Numerical performance

A very general and numerically quite robust algorithm has been proposed by Sastry and Gauvrit (1980) for system identification. The present paper takes it up and examines its performance on a real test example. The example considered is the lateral dynamics of an aircraft. This is used as a vehicle for demonstrating the performance of various aspects of the algorithm in several possible modes.

Trajectory sensitivity modification in optimal linear systems

A new procedure for reducing trajectory sensitivity for the optimal linear regulator is described. The design is achieved without increase in the order of optimization and without the feedback of trajectory sensitivity. The procedure is also used in the input signal design problem for linear system identification by interpreting it as increasing trajectory sensitivity with respect to parameters to be estimated.

Seismic damage estimation through measurable dynamic characteristics

Ductility based design of reinforced concrete structures implicitly assumes certain damage under the action of a design basis earthquake. The damage undergone by a structure needs to be quantified, so as to assess the post-seismic reparability and functionality of the structure. The paper presents an analytical method of quantification and location of seismic damage, through system identification methods. It may be noted that soft ground storied buildings are the major casualties in any earthquake and hence the example structure is a soft or weak first storied one, whose seismic response and temporal variation of damage are computed using a non-linear dynamic analysis program (IDARC) and compared with a normal structure. Time period based damage identification model is used and suitably calibrated with classic damage models. Regenerated stiffness of the three degrees of freedom model (for the three storied frame) is used to locate the damage, both on-line as well as after the seismic event. Multi resolution analysis using wavelets is also used for localized damage identification for soft storey columns.

Rotorcraft parameter estimation using radial basis function neural network

Increased emphasis on rotorcraft performance and perational capabilities has resulted in accurate computation of aerodynamic stability and control parameters. System identification is one such tool in which the model structure and parameters such as aerodynamic stability and control derivatives are derived. In the present work, the rotorcraft aerodynamic parameters are computed using radial basis function neural networks (RBFN) in the presence of both state and measurement noise. The effect of presence of outliers in the data is also considered. RBFN is found to give superior results compared to finite difference derivatives for noisy data. (C) 2010 Elsevier Inc. All rights reserved.

Functional analysis of ultra high information rates conveyed by rat vibrissal primary afferents

Sensory receptors determine the type and the quantity of information available for perception. Here, we quantified and characterized the information transferred by primary afferents in the rat whisker system using neural system identification. Quantification of ``how much'' information is conveyed by primary afferents, using the direct method (DM), a classical information theoretic tool, revealed that primary afferents transfer huge amounts of information (up to 529 bits/s). Information theoretic analysis of instantaneous spike-triggered kinematic stimulus features was used to gain functional insight on ``what'' is coded by primary afferents. Amongst the kinematic variables tested-position, velocity, and acceleration-primary afferent spikes encoded velocity best. The other two variables contributed to information transfer, but only if combined with velocity. We further revealed three additional characteristics that play a role in information transfer by primary afferents. Firstly, primary afferent spikes show preference for well separated multiple stimuli (i.e., well separated sets of combinations of the three instantaneous kinematic variables). Secondly, neurons are sensitive to short strips of the stimulus trajectory (up to 10 ms pre-spike time), and thirdly, they show spike patterns (precise doublet and triplet spiking). In order to deal with these complexities, we used a flexible probabilistic neuron model fitting mixtures of Gaussians to the spike triggered stimulus distributions, which quantitatively captured the contribution of the mentioned features and allowed us to achieve a full functional analysis of the total information rate indicated by the DM. We found that instantaneous position, velocity, and acceleration explained about 50% of the total information rate. Adding a 10 ms pre-spike interval of stimulus trajectory achieved 80-90%. The final 10-20% were found to be due to non-linear coding by spike bursts.

An overview of sequential Monte Carlo methods for parameter estimation in general state-space models

Nonlinear non-Gaussian state-space models arise in numerous applications in control and signal processing. Sequential Monte Carlo (SMC) methods, also known as Particle Filters, are numerical techniques based on Importance Sampling for solving the optimal state estimation problem. The task of calibrating the state-space model is an important problem frequently faced by practitioners and the observed data may be used to estimate the parameters of the model. The aim of this paper is to present a comprehensive overview of SMC methods that have been proposed for this task accompanied with a discussion of their advantages and limitations.

Probabilistic robust control : theory and applications

In this work, the development of a probabilistic approach to robust control is motivated by structural control applications in civil engineering. Often in civil structural applications, a system's performance is specified in terms of its reliability. In addition, the model and input uncertainty for the system may be described most appropriately using probabilistic or "soft" bounds on the model and input sets. The probabilistic robust control methodology contrasts with existing H∞/μ robust control methodologies that do not use probability information for the model and input uncertainty sets, yielding only the guaranteed (i.e., "worst-case") system performance, and no information about the system's probable performance which would be of interest to civil engineers.

The design objective for the probabilistic robust controller is to maximize the reliability of the uncertain structure/controller system for a probabilistically-described uncertain excitation. The robust performance is computed for a set of possible models by weighting the conditional performance probability for a particular model by the probability of that model, then integrating over the set of possible models. This integration is accomplished efficiently using an asymptotic approximation. The probable performance can be optimized numerically over the class of allowable controllers to find the optimal controller. Also, if structural response data becomes available from a controlled structure, its probable performance can easily be updated using Bayes's Theorem to update the probability distribution over the set of possible models. An updated optimal controller can then be produced, if desired, by following the original procedure. Thus, the probabilistic framework integrates system identification and robust control in a natural manner.

The probabilistic robust control methodology is applied to two systems in this thesis. The first is a high-fidelity computer model of a benchmark structural control laboratory experiment. For this application, uncertainty in the input model only is considered. The probabilistic control design minimizes the failure probability of the benchmark system while remaining robust with respect to the input model uncertainty. The performance of an optimal low-order controller compares favorably with higher-order controllers for the same benchmark system which are based on other approaches. The second application is to the Caltech Flexible Structure, which is a light-weight aluminum truss structure actuated by three voice coil actuators. A controller is designed to minimize the failure probability for a nominal model of this system. Furthermore, the method for updating the model-based performance calculation given new response data from the system is illustrated.

Convex Relaxation for Low-Dimensional Representation: Phase Transitions and Limitations

There is a growing interest in taking advantage of possible patterns and structures in data so as to extract the desired information and overcome the curse of dimensionality. In a wide range of applications, including computer vision, machine learning, medical imaging, and social networks, the signal that gives rise to the observations can be modeled to be approximately sparse and exploiting this fact can be very beneficial. This has led to an immense interest in the problem of efficiently reconstructing a sparse signal from limited linear observations. More recently, low-rank approximation techniques have become prominent tools to approach problems arising in machine learning, system identification and quantum tomography.

In sparse and low-rank estimation problems, the challenge is the inherent intractability of the objective function, and one needs efficient methods to capture the low-dimensionality of these models. Convex optimization is often a promising tool to attack such problems. An intractable problem with a combinatorial objective can often be "relaxed" to obtain a tractable but almost as powerful convex optimization problem. This dissertation studies convex optimization techniques that can take advantage of low-dimensional representations of the underlying high-dimensional data. We provide provable guarantees that ensure that the proposed algorithms will succeed under reasonable conditions, and answer questions of the following flavor:

More specifically, i) Focusing on linear inverse problems, we generalize the classical error bounds known for the least-squares technique to the lasso formulation, which incorporates the signal model. ii) We show that intuitive convex approaches do not perform as well as expected when it comes to signals that have multiple low-dimensional structures simultaneously. iii) Finally, we propose convex relaxations for the graph clustering problem and give sharp performance guarantees for a family of graphs arising from the so-called stochastic block model. We pay particular attention to the following aspects. For i) and ii), we aim to provide a general geometric framework, in which the results on sparse and low-rank estimation can be obtained as special cases. For i) and iii), we investigate the precise performance characterization, which yields the right constants in our bounds and the true dependence between the problem parameters.