Relevant bibliographies by topics / Discrete-time filtrations

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Academic literature on the topic 'Discrete-time filtrations'

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Published: 14 September 2023

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Journal articles on the topic "Discrete-time filtrations"

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KOVACEVIC, RAIMUND M., and GEORG CH PFLUG. "ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE?" International Journal of Theoretical and Applied Finance 17, no. 01 (February 2014): 1450003. http://dx.doi.org/10.1142/s0219024914500034.

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Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period functionals in such a way that the development of available information over time (expressed as a filtration) enters explicitly the definition of the functional. This allows to define and study the property of information monotonicity, i.e. monotonicity w.r.t. increasing filtrations. On the other hand, time consistency of valuations is a favorable property and it is well-known that this requirement essentially leads to compositions of conditional mappings. We demonstrate that generally spoken the intersection of time consistent and information monotone valuation functionals is rather sparse, although both classes alone are quite rich. In particular, the paper gives a necessary and sufficient condition for information monotonicity of additive compositions of positively homogeneous risk/acceptability mappings. Within the class of distortion functionals only compositions of expectation or essential infima are information monotone. Furthermore, we give a sufficient condition and examples for compositions of nonhomogeneous mappings exhibiting information monotonicity.
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Kowalczuk, Zdzislaw, and Piotr Suchomski. "Discrete-Time Generalized Predictive Control with Anticipated Filtration." IFAC Proceedings Volumes 29, no. 1 (June 1996): 5238–43. http://dx.doi.org/10.1016/s1474-6670(17)58513-4.

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Borisov, A. V., and G. B. Miller. "Analysis and Filtration of Special Discrete-Time Markov Processes. II. Optimal Filtration." Automation and Remote Control 66, no. 7 (July 2005): 1125–36. http://dx.doi.org/10.1007/s10513-005-0153-7.

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Savrassov, Ju S. "Algorithms of filtration and extrapolation for discrete-time dynamical systems." Acta Applicandae Mathematicae 30, no. 3 (March 1993): 193–263. http://dx.doi.org/10.1007/bf00995471.

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Martyr, Randall, John Moriarty, and Magnus Perninge. "Discrete-time risk-aware optimal switching with non-adapted costs." Advances in Applied Probability 54, no. 2 (June 2022): 625–55. http://dx.doi.org/10.1017/apr.2021.44.

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AbstractWe solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision-maker is risk-aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward stochastic difference equations. An example application to hydropower planning is provided.
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Popiński, Waldemar. "Wavelet transform for time-frequency representation and filtration of discrete signals." Applicationes Mathematicae 23, no. 4 (1996): 433–48. http://dx.doi.org/10.4064/am-23-4-433-448.

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Obinabo, E. C., and C. E. Ojieabu. "Measurement Noise Filtration and State Estimation of a Discrete-Time Stochastic Process." International Journal of Soft Computing 5, no. 2 (February 1, 2010): 29–34. http://dx.doi.org/10.3923/ijscomp.2010.29.34.

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Borisov, A. V., and G. B. Miller. "Analysis and Filtration of Special Discrete-Time Markov Processes. I. Martingale Representation." Automation and Remote Control 66, no. 6 (June 2005): 953–62. http://dx.doi.org/10.1007/s10513-005-0138-6.

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Duda, Zdzislaw. "State estimation in a decentralized discrete time LQG control for a multisensor system." Archives of Control Sciences 27, no. 1 (March 1, 2017): 29–39. http://dx.doi.org/10.1515/acsc-2017-0002.

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Abstract In the paper a state filtration in a decentralized discrete time Linear Quadratic Gaussian problem formulated for a multisensor system is considered. Local optimal control laws depend on global state estimates and are calculated by each node. In a classical centralized information pattern the global state estimators use measurements data from all nodes. In a decentralized system the global state estimates are computed at each node using local state estimates based on local measurements and values of previous controls, from other nodes. In the paper, contrary to this, the controls are not transmitted between nodes. It leads to nonconventional filtration because the controls from other nodes are treated as random variables for each node. The cost for the additional reduced transmission is an increased filter computation at each node.
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CHEN, YANHONG, and YIJUN HU. "SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES." International Journal of Theoretical and Applied Finance 23, no. 03 (May 2020): 2050017. http://dx.doi.org/10.1142/s021902492050017x.

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In this paper, we study how to evaluate the risk of a financial portfolio, whose components may be dependent and come from different markets or involve more than one kind of currencies, while we also take into consideration the uncertainty about the time value of money. Namely, we introduce a new class of risk measures, named set-valued dynamic risk measures for bounded discrete-time processes that are adapted to a given filtration. The time horizon can be finite or infinite. We investigate the representation results for them by making full use of Legendre–Fenchel conjugation theory for set-valued functions. Finally, some examples such as the set-valued dynamic average value at risk and the entropic risk measure for bounded discrete-time processes are also given.
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Dissertations / Theses on the topic "Discrete-time filtrations"

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Ceillier, Gaël. "Filtrations à temps discret." Grenoble, 2010. http://www.theses.fr/2010GRENM087.

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Le caractère standard ou non standard est un invariant important dans la théorie des filtrations à temps discret négatif. Le but principal de cette thèse est de determiner si certaines filtrations sont standard ou non. Nous nous intéressons tout d'abord aux filtrations des processus des mots découpés, introduits et étudiés par Smorodinsky et par Laurent. Nous montrons que la condition suffisante de non standardité donnée par Laurent est aussi une condition nécessaire. Il en découle un critère simple de standardité, qui nous permet de donner un exemple de filtration non standard qui devient standard dès que le temps est accéléré par l'omission d'un nombre infini d'instants. Nous étudions ensuite les filtrations naturelles de processus stationnaires à valeurs dans un ensemble fini. Récemment Bressaud et al. \ ont donné une condition nécessaire pour que la filtration naturelle d'un tel processus (Xk)k soit standard quand le cardinal de l'espace d'états vaut 2. Leur condition utilise les lois conditionnelles p(⋅|x) de X0 sachant tout le passé (Xk)k≤−1=x et contrôle l'influence du passé lointain sur l'évolution présente du processus. Elle utilise les écarts maximaux entre p(⋅|x) et p(⋅|y) pour des suites infinies x et y qui coïncident sur leurs n derniers termes. Nous donnons une condition suffisante de standardité faisant intervenir les écarts moyens entre ces lois conditionnelles plutôt que les écarts maximaux
Standardness is an important invariant in the theory of filtrations indexed by negative integer times. The main purpose of this thesis is to determine whether some filtrations are standard or not. We first focus on the filtrations of split-word processes, introduced and studied by Smorodinsky and by Laurent. We prove that Laurent's sufficient condition for non standardness is also necessary. This yields a practical criterion of standardness. In turn, this criterion enables us to exhibit non standard filtrations which become standard when time is accelerated by omitting infinitely many instants of time. Secondly, we study the natural filtrations of stationary processes on finite state-spaces. Recently Bressaud et al. \ provided a sufficient condition for the natural filtration of such a process (Xk)k to be standard when the state-space has size 2. Their condition involves the conditional laws p(⋅|x) of X0 conditionally on (Xk)k≤−1=x and controls the influence of the remote past of the process on its present X0. Bressaud and al. \ measure the maximal strength of this influence. We provide sufficient conditions for standardness based on some average gaps between these conditional laws, instead of the maximal gaps
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Books on the topic "Discrete-time filtrations"

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Digital and Kalman filtering: An introduction to discrete-time filtering and optimum linear estimation. 2nd ed. New York: Halsted Press, 1994.

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1952-, Sin Kwai Sang, ed. Adaptive filtering prediction and control. Mineola, N.Y: Dover, 2009.

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Bozic, S. M. Digital and Kalman Filtering: An Introduction to Discrete-Time Filtering and Optimum Linear Estimation. Dover Publications, Incorporated, 2019.

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Bozic, S. M. Digital and Kalman Filtering: An Introduction to Discrete-Time Filtering and Optimum Linear Estimation, Second Edition. Dover Publications, Incorporated, 2018.

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Book chapters on the topic "Discrete-time filtrations"

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Blanchet-Scalliet, Christophette, and Monique Jeanblanc. "Enlargement of Filtration in Discrete Time." In Mathematical Lectures from Peking University, 71–144. Singapore: Springer Singapore, 2020. http://dx.doi.org/10.1007/978-981-15-1576-7_2.

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Blanchet-Scalliet, C., M. Jeanblanc, and R. Romo Romero. "Enlargement of Filtration in Discrete Time." In Risk and Stochastics, 99–126. WORLD SCIENTIFIC (EUROPE), 2019. http://dx.doi.org/10.1142/9781786341952_0007.

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Stein, S., and J. Tomas. "Modelling of the Filtration Behaviour Using Coupled DEM and CFD." In Discrete Element Modelling of Particulate Media, 113–20. The Royal Society of Chemistry, 2012. http://dx.doi.org/10.1039/bk9781849733601-00113.

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The filtration by cake formation is an effective method to drain a particle suspension. One possibility to improve the filtration process is the formation of flocs, which deposit faster. The aim of this work is to predict the filtration behavior, the effects of flocculation and simulate the flow rate during generation and compression of the porous ultrafine particle packings by coupling Discrete Element Method and Computational Fluid Dynamics in two dimensions within the micron range. A Press-Shear-Cell was used to investigate the filtration behaviour of the consolidated particle packings and to measure the most important material properties. It was shown that the time dependency of specific filtrate volume and cake height for the flocculated and non-flocculated suspension can be predicted by this method. It is observed that a flocculation causes an increase in porosity and permeability of the filter cake. This results in decreasing filter cake resistances and increasing permeabilities. The filtration times are decreasing. A stable suspension with dominant repulsion produces a compact filter cake with small porosity, large filter cake resistance and poor permeability. The compressibility of the flocculated cake is higher compared to the stable suspension and can be categorized as very compressible.
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Conference papers on the topic "Discrete-time filtrations"

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Schertzer, Michael J., Sergey I. Gubarenko, Ridha Ben-Mrad, and Pierre E. Sullivan. "Methods for Mechanical Filtration and Automated Droplet Monitoring in Electrowetting on Dielectric Devices." In ASME 2012 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/imece2012-85343.

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Discrete flow microfluidic devices have been identified as a technology that can be used to efficiently deliver health care services by reducing the cycle times and reagent consumption of common biological protocols and medical diagnostic procedures while reducing overhead costs by performing these applications at the point of care. Electrowetting on dielectric is one promising discrete flow microfluidic platform that can individually create, manipulate, and mix droplets through the application of asymmetric electric fields. The work presented outlines fundamental and practical contributions to the understanding and advancement of electrowetting on dielectric devices that the authors are using to develop a device capable of performing immunoassays on chip. Explicit analytical models for capillary force and the reduction in that force by contact angle hysteresis as a function of the three-dimensional shape of the droplet were derived to develop an empirically validated analytical model for transient motion of droplets in electrowetting on dielectric devices. This model accurately predicts the maximum droplet displacement and travel time to within 2.3% and 2.7%, respectively; whereas the average droplet velocity was always predicted to within 8.1%. It also demonstrates a method for real time monitoring of droplet composition, particle concentration, and chemical reactions in electrowetting on dielectric devices without optical access. This method has been used to determine the concentration of water-methanol solutions, measure the concentration of glass microspheres at various concentrations, and detect the chemical reactions that are typically used in immunoassays. A method for the mechanical filtration of droplets in these devices will also be presented. The proposed filtration method was successful at pore sizes at least two orders of magnitude below the droplet height, which is small enough to separate red and white blood cells in continuous flow microfluidic devices.
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Jamalbayov, Mahammad, and Nazim Valiyev. "The Discrete-Imitational Modeling of the Pump-Well-Reservoir System with a Intermittent Sucker-Rod Pumping." In SPE Annual Caspian Technical Conference. SPE, 2022. http://dx.doi.org/10.2118/212105-ms.

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Abstract The work is devoted to the problem of modeling the filtration processes of light and non-volatile oils in compressible reservoirs with low reservoir pressure, inflow to the well and intermittent pumping of oil from the well by a sucker-rod pump in a integrated system. The system under study is considered in the context of discrete simulation modeling. It consists of the following objects: Pump, well and reservoir (well-drained zone). An algorithm has been developed for determining the pump idle time based on the criterion of the minimum cost of oil extracted during a full pump cycle. For the first time, a computer model of the pump-well-reservoir system was created on the base of the discrete-imitational modeling concept taking into account the PVT properties of reservoir fluids and the compressibility of the reservoir rocks. The sucker-rod pumping process in a intermittent mode has been studied, the nature of the influence of the pump idle time on the efficiency of the pumping at various reservoir permeabilities has been established. The developed algorithms can be used to create smart wells.
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Xu, Yuncheng, Guan Lin, and Haijun Yan. "Experimental and Numerical Investigation on the Erosion Wear of an Impact Sprinkler." In ASME 2014 4th Joint US-European Fluids Engineering Division Summer Meeting collocated with the ASME 2014 12th International Conference on Nanochannels, Microchannels, and Minichannels. American Society of Mechanical Engineers, 2014. http://dx.doi.org/10.1115/fedsm2014-21339.

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In the middle and western China, agricultural irrigation water often contains a high sediment concentration. In order to save the cost, no filtration devices are required for sprinkler irrigation, which results in the wear of sprinkling irrigation equipment, especially on the nozzle. In this study, experiments on the erosion wear of an impact sprinkler (PY1-20sh with aluminum alloy nozzles) were conducted under different conditions of sediment concentration and erosion time. Using the experimental data as boundary conditions, numerical simulations based on the discrete phase model (DPM) were conducted to analyze the wear of the internal surface of the sprinkler’s full flow passage. Based on both experimental and numerical results, the erosion wear mechanism of the internal flow surface was revealed, and prediction model of the nozzle’s wear rate was established, providing the technical guidance for design and operation of the impact sprinkler.
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Suman, Alessio, Mirko Morini, Rainer Kurz, Nicola Aldi, Klaus Brun, Michele Pinelli, and Pier Ruggero Spina. "Quantitative CFD Analyses of Particle Deposition on a Transonic Axial Compressor Blade: Part II — Impact Kinematics and Particle Sticking Analysis." In ASME Turbo Expo 2014: Turbine Technical Conference and Exposition. American Society of Mechanical Engineers, 2014. http://dx.doi.org/10.1115/gt2014-25473.

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In heavy-duty gas turbines, the micro-particles not captured by the air filtration system can cause fouling and, consequently, a performance drop of the compressor. This paper presents three-dimensional numerical simulations of the micro-particle ingestion (0–2 μm) on an axial compressor rotor carried out by means of a commercial computational fluid dynamic code. Particle trajectory simulations use a stochastic Lagrangian tracking method that solves the equations of motion separately from the continuous phase. The NASA Rotor 37 is considered as a case study for the numerical investigation. The compressor rotor numerical model and the discrete phase model were previously validated by the authors in the first part of this work. The kinematic characteristics (velocity and angle) of the impact of micrometric and sub-micrometric particles with the blade surface of an axial transonic compressor are shown. The blade zones affected by particle impact were extensively analyzed and reported in the first part of this work, forming the starting point for the analyses shown in this paper. The kinematic analysis showed a high tendency of particle adhesion on the suction side, especially for the particles with a diameter equal to 0.25 μm. Fluid dynamic phenomena and airfoil shape play a key role regarding particle impact velocity and angle. This work has the goal of combining, for the first time, the kinematic characteristics of particle impact on the blade with fouling phenomenon by the use of a quantity called sticking probability adopted from literature. From these analyses, some guidelines for a proper management of the power plant (in terms of filtration and washing strategies) are highlighted.
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Hu, Xiaping, Fitzroy Curry, and Sheldon Weinbaum. "A New Approach to Understanding Starling’s Law at the Microstructural Level." In ASME 1997 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 1997. http://dx.doi.org/10.1115/imece1997-0234.

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Abstract 1996 marked the 100th anniversary of Starling’s classic paper proposing that the capillary wall behaves like a semipermeable membrane in which there is net filtration on the arterial side and a net absorption on the venous side due to the colloidal osmotic pressure of plasma proteins. While the validity of the general premise was experimentally demonstrated by Landis in 1930, who showed that in human skin capillaries at heart level that the two competing flows nearly balance one another with the small excess resulting in a lymph flow, recent experiment summarized in [3] have shown that the simple Landis-Starling diagram shown in most textbooks is not true in nearly all other body locations. In nearly all tissues in which detailed measurements of the plasma and interstitial hydrostatic and oncotic pressures have been made along the length of the calillary there is little reabsorption on the venous side since the local interstitial oncotic pressure rises sharply as the flow rate is reduced. This has been beautifully demonstrated by Michel and Philips [3] in individually perfused frog mesentery capillaries, where it is shown that the interstitial colloidal osmotic pressure depends critically on the filtration rate and there is still a small positive net filtration on the venous side. This intriquing paradox has just been reviewed in Michel (1997). In the proposed paper a new theory is presented to describe the detailed structure of the osmotic gradients and flows across the endothelial surface glycocalyx, the inter-endothelial cleft and the exit region downstream of the cleft exit. The heterogeneity of the flow across the surface of the glycocalyx caused by the local breaks in the junction strand and the non-uniformity of the protein concentration both behind the surface glycocalyx and across the junction strand is considered for the first time. The non-linear coupling of the local fluid flow to the local plasma protein concentration is examined and it is shown that the primary gradient in osmotic force is felt across the surface layer of matrix. The model shows rather remarkably that there there is a heretofore unrecognized large asymmetry in the fluid flow pattern on each side of the junction strand and that the water enters the cleft nearly uniformly along its length despite the widely separated discrete breaks that have been observed in the junction strand [1]. The model provides very good predictions of the experimental measurements in Michel and Philips [3].
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Parashar, Sarvagya, and Ivan Zhia Ming Wu. "A Novel Machine-Assisted Technique for Extracting Multiscale Vugs and Fractures in Heterogeneous Carbonates Sequence." In SPE Middle East Oil & Gas Show and Conference. SPE, 2021. http://dx.doi.org/10.2118/204555-ms.

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Abstract Predicting petrophysical properties in carbonate reservoirs is challenging due to the deposition and diagenetic history, which creates pore-scale features and heterogeneity at multiple-length scale. Non-fractured carbonate rocks with monomodal pore distribution often provide weak transportation properties compared to carbonates with multimodal pore system. The behaviour of such formations is subject to percolation effect where the connectivity of vug clusters control the poro-perm relationship which can be explained with high-resolution microresistivity images and nuclear magnetic resonance (NMR) data. A machine-assisted processing technique, defined as "thresholding," was applied to high-resolution microresistivity images, resolving vugs and fractures with similar resistivity. Other objects of interest are removed using object-oriented filters and thresholding, resulting in a "sculptured image" containing only vugs and fractures. The image is analysed to quantify formation porosity. A Laplacian of Gaussian filter is used to avoid highlighting features of no interest. Step two analyses T1 and T2 relaxations allowing portions of signal from a pore-size group to spill across the discrete boundaries. The pore-size takes on a fuzziness near the discrete relaxation time cut-offs corresponding to pore radii breakover points. High poro-perm layers of grainstone in overall thinly bedded sequences of packstone and wackestone were successfully identified and subsequently shed light upon the ambiguities observed in mobility values obtained from formation tester across the same lithocolumn. This novel technology helps in deciphering high-resolution integrated lithofacies. The histogram from the image porosity binning demonstrates a different response within vugular zones compared to fractured zones. Where the vugs sizes are variable, they exhibit a multi-pore system nature in NMR. For the fractured interval, the images and NMR exhibit weak distribution. The resistivity independent image pixel-based filtration technique helps to define interesting features on images which can be enhanced and measurable at various scales. Machine assisted technique in NMR complement the results in aiding to characterize the heterogeneous carbonate rocks.
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Linenberg, Amos. "Continuous on Site Monitoring of VOCs in Water Sources." In ASME 2003 9th International Conference on Radioactive Waste Management and Environmental Remediation. ASMEDC, 2003. http://dx.doi.org/10.1115/icem2003-4677.

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Public concern over the state of the environment is at an all-time high and rightfully so! Industry practice, recent government regulations and lax enforcement have allowed frightening practices to continue for too long. Industries must, by law, monitor the level of toxins they discharge into the environment. Collecting samples and sending them to an off-site laboratory for analysis is the normal practice to comply with present regulations. This protocol is not only a time-consuming and costly exercise, but does not provide continuous information for alerting the public and the authorities of a potential disaster. A water treatment plant is obligated to test water for volatile organic compounds (VOCs) at frequencies that vary from a few times per week to once every three months. Authorities may test finished water as infrequently as once per year. This means that drinking water supplied or waste water discharged, between discrete analyses, is of unknown purity. Since September 11, 2001, an additional dimension, “water security”, has been added to the need for instantaneous analysis. Protection and preservation of water sources such as reservoirs, lakes and rivers from intentional and unintentional contamination, have become an issue, which involves homeland security. Here again, obtaining a fast and accurate response at all times is extremely important. Sentex Systems, Inc., which has specialized for several years in on site VOCs analysis, has developed a system by which online continuous analysis of VOCs in water is available. This system, which is based on the principle of in-situ purge and trap Gas Chromatography, will detect and analyze VOCs on site for most industrial and environmental applications, without the need for sample preparation, such as filtration. The system can continuously monitor process streams so that at any given time plant management knows what the VOC content is. The system, called the SituProbe, is already being used successfully in various industrial plants.
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