scholarly journals ON MODELLING BEACH PROFILE EVOLUTION

2011 ◽  
Vol 1 (32) ◽  
pp. 45
Author(s):  
Harshinie Karunarathna ◽  
Dominic E Reeve ◽  
Mark Spivack
Keyword(s):  
Diffusion Coefficient ◽  
Evolution Equation ◽  
Significant Contribution ◽  
Source Function ◽  
Model Parameters ◽  
Time Varying ◽  
Beach Profile ◽  
Sediment Diffusion Coefficient ◽  
Coastal Features ◽  
Diffusive Processes

Behaviour-oriented beach evolution models are normally applied in a prognostic fashion, with model parameters and boundary conditions estimated from previous experience, other forecasts or from historic measurements. Here, we use observations of beach profiles to solve a cross-shore beach profile evolution equation in an inverse manner to determine key model parameters, cross-shore sediment diffusion coefficient and a time-varying source function. The data used to demonstrate the method are from Christchurch Bay in Dorset, United Kingdom. It was found that there is a significant contribution from diffusive processes to the morphodynamic variability of the beach profiles and that the development and disappearance of cross-shore coastal features such as upper beach berms and inter- and sub-tidal bars are well captured by the time-varying source function in the governing equation.

Adaptive control of time-varying non-linear plants by speed-gradient algorithms

2019 ◽  
pp. 37-44 ◽  
Author(s):  
O. P. Tomchina ◽  
D. N. Polyakhov ◽  
O. I. Tokareva ◽  
A. L. Fradkov
Keyword(s):  
Adaptive Control ◽  
Adaptive Systems ◽  
Reference Model ◽  
Maximum Deviation ◽  
Model Parameters ◽  
Time Varying ◽  
System Solution ◽  
Non Linear ◽  
Initial Uncertainty ◽  
Speed Gradient

Introduction: The motion of many real world systems is described by essentially non-linear and non-stationary models. A number of approaches to the control of such plants are based on constructing an internal model of non-stationarity. However, the non-stationarity model parameters can vary widely, leading to more errors. It is only assumed in this paper that the change rate of the object parameters is limited, while the initial uncertainty can be quite large.Purpose: Analysis of adaptive control algorithms for non-linear and time-varying systems with an explicit reference model, synthesized by the speed gradient method.Results: An estimate was obtained for the maximum deviation of a closed-loop system solution from the reference model solution. It is shown that with sufficiently slow changes in the parameters and a small initial uncertainty, the limit error in the system can be made arbitrarily small. Systems designed by the direct approach and systems based on the identification approach are both considered. The procedures for the synthesis of an adaptive regulator and analysis of the synthesized system are illustrated by an example.Practical relevance: The obtained results allow us to build and analyze a broad class of adaptive systems with reference models under non-stationary conditions.

scholarly journals Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models

2013 ◽  
Vol 2013 ◽  
pp. 1-9 ◽  
Author(s):  
C. F. Lo
Keyword(s):  
Interest Rate ◽  
Algebraic Approach ◽  
Dynamical Symmetry ◽  
Bond Pricing ◽  
Model Parameters ◽  
Time Varying ◽  
Single Factor ◽  
Bond Price ◽  
Interest Rate Models ◽  
Root Model

The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varying model parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.

Selective Linear Segmentation for Detecting Relevant Parameter Changes*

2020 ◽  
Author(s):  
Arnaud Dufays ◽  
Elysee Aristide Houndetoungan ◽  
Alain Coën
Keyword(s):  
Time Series ◽  
Hedge Fund ◽  
Expectation Maximization Algorithm ◽  
Model Parameters ◽  
Relevant Parameter ◽  
Time Varying ◽  
Long Time ◽  
Model Selection Uncertainty ◽  
Penalized Likelihood Approach ◽  
Changes Over Time

Abstract Change-point (CP) processes are one flexible approach to model long time series. We propose a method to uncover which model parameters truly vary when a CP is detected. Given a set of breakpoints, we use a penalized likelihood approach to select the best set of parameters that changes over time and we prove that the penalty function leads to a consistent selection of the true model. Estimation is carried out via the deterministic annealing expectation-maximization algorithm. Our method accounts for model selection uncertainty and associates a probability to all the possible time-varying parameter specifications. Monte Carlo simulations highlight that the method works well for many time series models including heteroskedastic processes. For a sample of fourteen hedge fund (HF) strategies, using an asset-based style pricing model, we shed light on the promising ability of our method to detect the time-varying dynamics of risk exposures as well as to forecast HF returns.

Output Adaptive Observers Design for Linear Non-Stationary Systems with Polynomial Parameters

2021 ◽  
Vol 22 (8) ◽  
pp. 404-410
Author(s):  
K. B. Dang ◽  
A. A. Pyrkin ◽  
A. A. Bobtsov ◽  
A. A. Vedyakov ◽  
S. I. Nizovtsev
Keyword(s):  
Linear Time ◽  
State Observer ◽  
Observer Design ◽  
Model Parameters ◽  
Time Varying ◽  
State Variables ◽  
Unknown Constant ◽  
Established Method ◽  
Time Varying Parameters ◽  
True Values

The article deals with the problem of state observer design for a linear time-varying plant. To solve this problem, a number of realistic assumptions are considered, assuming that the model parameters are polynomial functions of time with unknown coefficients. The problem of observer design is solved in the class of identification approaches, which provide transformation of the original mathematical model of the plant to a static linear regression equation, in which, instead of unknown constant parameters, there are state variables of generators that model non-stationary parameters. To recover the unknown functions of the regression model, we use the recently well-established method of dynamic regressor extension and mixing (DREM), which allows to obtain monotone estimates, as well as to accelerate the convergence of estimates to the true values. Despite the fact that the article deals with the problem of state observer design, it is worth noting the possibility of using the proposed approach to solve an independent and actual estimation problem of unknown time-varying parameters.

Simulating and analyzing artificial nonstationary earthquake ground motions

1982 ◽  
Vol 72 (2) ◽  
pp. 615-636
Author(s):  
Robert F. Nau ◽  
Robert M. Oliver ◽  
Karl S. Pister
Keyword(s):  
Difference Equations ◽  
Kalman Filters ◽  
Ground Motions ◽  
Structural Response ◽  
Model Parameters ◽  
Time Varying ◽  
Nonparametric Method ◽  
Linear Difference Equations ◽  
Earthquake Ground Motions ◽  
Earthquake Accelerograms

Abstract This paper describes models used to simulate earthquake accelerograms and analyses of these artificial accelerogram records for use in structural response studies. The artificial accelerogram records are generated by a class of linear linear difference equations which have been previously identified as suitable for describing ground motions. The major contributions of the paper are the use of Kalman filters for estimating time-varying model parameters, and the development of an effective nonparametric method for estimating the variance envelopes of the accelerogram records.

Using Sliding Mode Control to Adjust Drum Level of a Boiler Unit With Time Varying Parameters

2010 ◽  
Author(s):  
Hamed Moradi ◽  
Firooz Bakhtiari-Nejad ◽  
Majid Saffar-Avval ◽  
Aria Alasty
Keyword(s):  
Water Level ◽  
Transfer Functions ◽  
Sliding Mode ◽  
Operating Conditions ◽  
Model Parameters ◽  
Feed Water ◽  
Time Varying ◽  
Boiler Unit ◽  
Varying Parameters ◽  
Time Varying Parameters

Stable control of water level of drum is of great importance for economic operation of power plant steam generator systems. In this paper, a linear model of the boiler unit with time varying parameters is used for simulation. Two transfer functions between drum water level (output variable) and feed-water and steam mass rates (input variables) are considered. Variation of model parameters may be arisen from disturbances affecting water level of drum, model uncertainties and parameter mismatch due to the variant operating conditions. To achieve a perfect tracking of the desired drum water level, two sliding mode controllers are designed separately. Results show that the designed controllers result in bounded values of control signals, satisfying the actuators constraints.

scholarly journals The Time-Varying Effect of Monetary Policy on Asset Prices

2020 ◽  
Vol 102 (4) ◽  
pp. 690-704 ◽  
Author(s):  
Pascal Paul
Keyword(s):  
Monetary Policy ◽  
Asset Prices ◽  
House Prices ◽  
The United States ◽  
Model Parameters ◽  
Time Varying ◽  
Real Economy ◽  
Monetary Policy Shocks ◽  
Vector Autoregressive ◽  
Policy Shocks

This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect. When allowing for time-varying model parameters, I find that compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007–2009 financial crisis.

Turing and Benjamin–Feir instability mechanisms in non-autonomous systems

2020 ◽  
Vol 476 (2238) ◽  
pp. 20200003 ◽  
Author(s):  
Robert A. Van Gorder
Keyword(s):  
Autonomous Systems ◽  
Reaction Diffusion ◽  
Reaction Rates ◽  
Time Dependent ◽  
Model Parameters ◽  
Time Varying ◽  
Reaction Diffusion Systems ◽  
Diffusion Systems ◽  
Dependent Model ◽  
Spatio Temporal

The Turing and Benjamin–Feir instabilities are two of the primary instability mechanisms useful for studying the transition from homogeneous states to heterogeneous spatial or spatio-temporal states in reaction–diffusion systems. We consider the case when the underlying reaction–diffusion system is non-autonomous or has a base state which varies in time, as in this case standard approaches, which rely on temporal eigenvalues, break down. We are able to establish respective criteria for the onset of each instability using comparison principles, obtaining inequalities which involve the in general time-dependent model parameters and their time derivatives. In the autonomous limit where the base state is constant in time, our results exactly recover the respective Turing and Benjamin–Feir conditions known in the literature. Our results make the Turing and Benjamin–Feir analysis amenable for a wide collection of applications, and allow one to better understand instabilities emergent due to a variety of non-autonomous mechanisms, including time-varying diffusion coefficients, time-varying reaction rates, time-dependent transitions between reaction kinetics and base states which change in time (such as heteroclinic connections between unique steady states, or limit cycles), to name a few examples.

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