Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

Tracking control of a class of Hamiltonian mechanical systems with disturbances

This paper presents a trajectory-tracking control strategy for a class of mechanical systems in Hamiltonian form. The class is characterised by a simplectic interconnection arising from the use of generalised coordinates and full actuation. The tracking error dynamic is modelled as a port-Hamiltonian Systems (PHS). The control action is designed to take the error dynamics into a desired closed-loop PHS characterised by a constant mass matrix and a potential energy with a minimum at the origin. A transformation of the momentum and a feedback control is exploited to obtain a constant generalised mass matrix in closed loop. The stability of the close-loop system is shown using the close-loop Hamiltonian as a Lyapunov function. The paper also considers the addition of integral action to design a robust controller that ensures tracking in spite of disturbances. As a case study, the proposed control design methodology is applied to a fully actuated robotic manipulator.

A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Optimum steering input determination and path-tracking of all-wheel steer vehicles on uneven terrains based on constrained optimization

In this paper we propose a framework for optimum steering input determination of all-wheel steer vehicles (AWSV) on rough terrains. The framework computes the steering input which minimizes the tracking error for a given trajectory. Unlike previous methodologies of computing steering inputs of car-like vehicles, the proposed methodology depends explicitly on the vehicle dynamics and can be extended to vehicle having arbitrary number of steering inputs. A fully generic framework has been used to derive the vehicle dynamics and a non-linear programming based constrained optimization approach has been used to compute the steering input considering the instantaneous vehicle dynamics, no-slip and contact constraints of the vehicle. All Wheel steer Vehicles have a special parallel steering ability where the instantaneous centre of rotation (ICR) is at infinity. The proposed framework automatically enables the vehicle to choose between parallel steer and normal operation depending on the error with respect to the desired trajectory. The efficacy of the proposed framework is proved by extensive uneven terrain simulations, for trajectories with continuous or discontinuous velocity profile.

Boundary Tracking using a Hybrid Cyclic Pursuit Scheme

There has been a lot of work in the literature, related to the mapping of boundaries of regions, using multiple agents. Most of these are based on optimization techniques or rely on potential fields to drive the agents towards the boundary and then retain them there while they space out evenly along the perimeter or surface (in two-dimensional and three-dimensional cases, respectively). In this paper an algorithm to track the boundary of a region in space is provided based on the cyclic pursuit scheme. This enables the agents to constantly move along the perimeter in a cluster, thereby tracking a dynamically changing boundary. The trajectories of the agents provide a sketch of the boundary. The use of multiple agents may facilitate minimization of tracking error by providing accurate estimates of points on the boundary, besides providing redundancy. Simulation results are provided to highlight the performance of the proposed scheme.

Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100

Indexing is a passive investment strategy in which the investor weights bis portfolio to match the performance of a broad-based indexo Since severaI studies showed that indexed portfolios have consistently outperformed active management strategies over the last decades, an increasing number of investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer indexed portfolios to their clients at this point in time. In this work we propose the use of indexed portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied several statistical tests to the data to verify how many stocks should be used to controI the portfolio tracking error within user specified bounds.

On determining spectral parameters, tracking jitter, and GPS positioning improvement by scintillation mitigation

A method of determining spectral parameters p (slope of the phase PSD) and T (phase PSD at 1 Hz) and hence tracking error variance in a GPS receiver PLL from just amplitude and phase scintillation indices and an estimated value of the Fresnel frequency has been previously presented. Here this method is validated using 50 Hz GPS phase and amplitude data from high latitude receivers in northern Norway and Svalbard. This has been done both using (1) a Fresnel frequency estimated using the amplitude PSD (in order to check the accuracy of the method) and (2) a constant assumed value of Fresnel frequency for the data set, convenient for the situation when contemporaneous phase PSDs are not available. Both of the spectral parameters (p, T) calculated using this method are in quite good agreement with those obtained by direct measurements of the phase spectrum as are tracking jitter variances determined for GPS receiver PLLs using these values. For the Svalbard data set, a significant difference in the scintillation level observed on the paths from different satellites received simultaneously was noted. Then, it is shown that the accuracy of relative GPS positioning can be improved by use of the tracking jitter variance in weighting the measurements from each satellite used in the positioning estimation. This has significant advantages for scintillation mitigation, particularly since the method can be accomplished utilizing only time domain measurements thus obviating the need for the phase PSDs in order to extract the spectral parameters required for tracking jitter determination.

Improved joint control using a genetic algorithm for a humanoid robot

This paper describes experiments conducted in order to simultaneously tune 15 joints of a humanoid robot. Two Genetic Algorithm (GA) based tuning methods were developed and compared against a hand-tuned solution. The system was tuned in order to minimise tracking error while at the same time achieve smooth joint motion. Joint smoothness is crucial for the accurate calculation of online ZMP estimation, a prerequisite for a closedloop dynamically stable humanoid walking gait. Results in both simulation and on a real robot are presented, demonstrating the superior smoothness performance of the GA based methods.

Towards improving mission execution for autonomous gliders with an ocean model and Kalman filter

In this paper, we examine the use of a Kalman filter to aid in the mission planning process for autonomous gliders. Given a set of waypoints defining the planned mission and a prediction of the ocean currents from a regional ocean model, we present an approach to determine the best, constant, time interval at which the glider should surface to maintain a prescribed tracking error, and minimizing time on the ocean surface. We assume basic parameters for the execution of a given mission, and provide the results of the Kalman filter mission planning approach. These results are compared with previous executions of the given mission scenario.

Development of optical ray tracing model of a standard parabolic trough collector

Parabolic trough concentrator collector is the most matured, proven and widespread technology for the exploitation of the solar energy on a large scale for middle temperature applications. The assessment of the opportunities and the possibilities of the collector system are relied on its optical performance. A reliable Monte Carlo ray tracing model of a parabolic trough collector is developed by using Zemax software. The optical performance of an ideal collector depends on the solar spectral distribution and the sunshape, and the spectral selectivity of the associated components. Therefore, each step of the model, including the spectral distribution of the solar energy, trough reflectance, glazing anti-reflection coating and the absorber selective coating is explained and verified. Radiation flux distribution around the receiver, and the optical efficiency are two basic aspects of optical simulation are calculated using the model, and verified with widely accepted analytical profile and measured values respectively. Reasonably very good agreement is obtained. Further investigations are carried out to analyse the characteristics of radiation distribution around the receiver tube at different insolation, envelop conditions, and selective coating on the receiver; and the impact of scattered light from the receiver surface on the efficiency. However, the model has the capability to analyse the optical performance at variable sunshape, tracking error, collector imperfections including absorber misalignment with focal line and de-focal effect of the absorber, different rim angles, and geometric concentrations. The current optical model can play a significant role in understanding the optical aspects of a trough collector, and can be employed to extract useful information on the optical performance. In the long run, this optical model will pave the way for the construction of low cost standalone photovoltaic and thermal hybrid collector in Australia for small scale domestic hot water and electricity production.

A model based factorization approach for dense 3D recovery from monocular video

Feature track matrix factorization based methods have been attractive solutions to the Structure-front-motion (Sfnl) problem. Group motion of the feature points is analyzed to get the 3D information. It is well known that the factorization formulations give rise to rank deficient system of equations. Even when enough constraints exist, the extracted models are sparse due the unavailability of pixel level tracks. Pixel level tracking of 3D surfaces is a difficult problem, particularly when the surface has very little texture as in a human face. Only sparsely located feature points can be tracked and tracking error arc inevitable along rotating lose texture surfaces. However, the 3D models of an object class lie in a subspace of the set of all possible 3D models. We propose a novel solution to the Structure-from-motion problem which utilizes the high-resolution 3D obtained from range scanner to compute a basis for this desired subspace. Adding subspace constraints during factorization also facilitates removal of tracking noise which causes distortions outside the subspace. We demonstrate the effectiveness of our formulation by extracting dense 3D structure of a human face and comparing it with a well known Structure-front-motion algorithm due to Brand.

Two timescale convergent Q-learning for sleep-scheduling in wireless sensor networks

In this paper, we consider an intrusion detection application for Wireless Sensor Networks. We study the problem of scheduling the sleep times of the individual sensors, where the objective is to maximize the network lifetime while keeping the tracking error to a minimum. We formulate this problem as a partially-observable Markov decision process (POMDP) with continuous stateaction spaces, in a manner similar to Fuemmeler and Veeravalli (IEEE Trans Signal Process 56(5), 2091-2101, 2008). However, unlike their formulation, we consider infinite horizon discounted and average cost objectives as performance criteria. For each criterion, we propose a convergent on-policy Q-learning algorithm that operates on two timescales, while employing function approximation. Feature-based representations and function approximation is necessary to handle the curse of dimensionality associated with the underlying POMDP. Our proposed algorithm incorporates a policy gradient update using a one-simulation simultaneous perturbation stochastic approximation estimate on the faster timescale, while the Q-value parameter (arising from a linear function approximation architecture for the Q-values) is updated in an on-policy temporal difference algorithm-like fashion on the slower timescale. The feature selection scheme employed in each of our algorithms manages the energy and tracking components in a manner that assists the search for the optimal sleep-scheduling policy. For the sake of comparison, in both discounted and average settings, we also develop a function approximation analogue of the Q-learning algorithm. This algorithm, unlike the two-timescale variant, does not possess theoretical convergence guarantees. Finally, we also adapt our algorithms to include a stochastic iterative estimation scheme for the intruder's mobility model and this is useful in settings where the latter is not known. Our simulation results on a synthetic 2-dimensional network setting suggest that our algorithms result in better tracking accuracy at the cost of only a few additional sensors, in comparison to a recent prior work.

Adaptive Sleep-Wake Control using Reinforcement Learning in Sensor Networks

The aim in this paper is to allocate the `sleep time' of the individual sensors in an intrusion detection application so that the energy consumption from the sensors is reduced, while keeping the tracking error to a minimum. We propose two novel reinforcement learning (RL) based algorithms that attempt to minimize a certain long-run average cost objective. Both our algorithms incorporate feature-based representations to handle the curse of dimensionality associated with the underlying partially-observable Markov decision process (POMDP). Further, the feature selection scheme used in our algorithms intelligently manages the energy cost and tracking cost factors, which in turn assists the search for the optimal sleeping policy. We also extend these algorithms to a setting where the intruder's mobility model is not known by incorporating a stochastic iterative scheme for estimating the mobility model. The simulation results on a synthetic 2-d network setting are encouraging.

Implementation of trailer steering control on a multi-unit vehicle at high speeds

A high-speed path-following controller for long combination vehicles (LCVs) was designed and implemented on a test vehicle consisting of a rigid truck towing a dolly and a semitrailer. The vehicle was driven through a 3.5 m wide lane change maneuver at 80 km/h. The axles of the dolly and trailer were steered actively by electrically-controlled hydraulic actuators. Substantial performance benefits were recorded compared with the unsteered vehicle. For the best controller weightings, performance improvements relative to unsteered case were: lateral tracking error 75% reduction, rearward amplification (RA) of lateral acceleration 18% reduction, and RA of yaw rate 37% reduction. This represents a substantial improvement in stability margins. The system was found to work well in conjunction with the braking-based stability control system of the towing vehicle with no negative interaction effects being observed. In all cases, the stability control system and the steering system improved the yaw stability of the combination. © 2014 by ASME.

兰州重离子加速器深层治癌扫描电源研究与设计

This paper describes the technique targets and operation principle of the scanning power supply for the deep tumor therapy facility with heavy ions in Cooler-Storage-Ring of the Heavy Ion Research Facility in Lanzhou(HIRFL-CSR).To ensure the specified accuracy of the current,the hysteresis loop control strategy was adopted,and tracking error was constrained in the specified tolerance.One prototype was designed and installed.And the simulation results and test results were listed in the paper.The results sho...中文摘要：阐述了用于兰州重离子深层治癌装置的扫描电源的技术指标和工作原理,为保证该电源输出电流的精度,采用滞环控制策略,将跟踪误差限制在设计要求的误差范围内。研制了1台扫描电源样机,并给出了电路仿真和测试结果。测试结果显示各项指标均达到了设计要求,表明所选电路结构和滞环控制方案是切实可行的。