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Tesis sobre el tema "Continuous Time Processes"
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1
Li, Z. "Methods for irregularly sampled continuous time processes". Thesis, University College London (University of London), 2014. http://discovery.ucl.ac.uk/1428862/.
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This thesis will consider methods associated with irregularly spaced sampling of a real-valued continuous time stationary process. The problem of Monte Carlo simulation as well as parametric estimation under irregularly spaced sampling times will be discussed. For the simulation problem, the focus will be on the spectral simulation method. A novel algorithm has been proposed for the determination of the spectral simulation scheme, which is optimal in the sense of achieving required accuracy with minimal computational costs. The problem of parametric estimation under irregularly spaced sampling times will also be discussed. We will adapt the framework stochastic sampling times, in which the irregularity of the sampling times is modeled through a renewal point process over the real line. By constructing a second order discrete time stationary process from sampling, a parametric estimation method based on the well-known Whittle log-likelihood function will be proposed. Asymptotic consistency of the resulting estimator will be proved by borrowing existing results from literature of renewal theory. Moreover the performance issue of this proposed estimation procedure will be investigated further. It will be shown that by calculating the spectral density of the sampled discrete time process through a Discrete Fourier Transform (DFT) approximation, the Whittle log-likelihood function can indeed be evaluated relatively efficiently. This estimation method, however, will induce information loss, which will be shown to be related to the unique properties of the renewal kernel function. Although a accurate analysis of the renewal kernel function is not easy, it is still possible to provide some insights on the determining factors of the information loss through asymptotic calculations.
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Zhang, Yi. "Continuous-time Marlov decision processes : theory, approximations and applications". Thesis, University of Liverpool, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533901.
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Keller, Peter, Sylvie Roelly y Angelo Valleriani. "On time duality for quasi-birth-and-death processes". Universität Potsdam, 2012. http://opus.kobv.de/ubp/volltexte/2012/5697/.
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We say that (weak/strong) time duality holds for continuous time quasi-birth-and-death-processes if, starting from a fixed level, the first hitting time of the next upper level and the first hitting time of the next lower level have the same distribution. We present here a criterion for time duality in the case where transitions from one level to another have to pass through a given single state, the so-called bottleneck property. We also prove that a weaker form of reversibility called balanced under permutation is sufficient for the time duality to hold. We then discuss the general case.
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Barbu, Monica Constanta. "Stochastic modelling applications in continuous time finance /". [St. Lucia, Qld.], 2004. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe18290.pdf.
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Pénisson, Sophie. "Continuous-time multitype branching processes conditioned on very late extinction". Universität Potsdam, 2009. http://opus.kobv.de/ubp/volltexte/2011/4954/.
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Multitype branching processes and Feller diffusion processes are conditioned on very late extinction. The conditioned laws are expressed as Doob h-transforms of the unconditioned laws, and an interpretation of the conditioned paths for the branching process is given, via the immortal particle. We study different limits for the conditioned process (increasing delay of extinction, long-time behavior, scaling limit) and provide an exhaustive list of exchangeability results.
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Sequeira, Sebastián Eloy. "Real Time Evolution (RTE) for on-line optimisation of continuous and semi-continuous chemical processes". Doctoral thesis, Universitat Politècnica de Catalunya, 2003. http://hdl.handle.net/10803/6431.
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En general, el control de procesos es muy eficiente cuando el punto de operación deseado ha sido determinado a priori y el sistema tiene capacidad suficiente para responder a las perturbaciones. Mientras el control de procesos es requerido a fin de regular algunas variables de proceso, la aplicación de tal técnica puede no ser apropiada para todas las variables significativas. En algunos casos, el punto optimo de operación cambia debido al efecto combinado de perturbaciones internas y externas por lo que un sistema de control prefijado puede no responder adecuadamente a los cambios. Cuando ciertas condiciones son satisfechas, la optimización en-línea surge como una alternativa adecuada para ajustarse a ese optimo cambiante.A fin de "perseguir" este optimo móvil, la optimización en-línea resuelve en forma periódica problemas de optimización, usando datos que vienen directamente de la planta y un modelo el cual es actualizado continuamente. La aplicación mas frecuente de la optimización en-línea corresponde a la categoría de procesos continuos. Esto se debe principalmente a que los modelos de estado estacionario son mas simples y fáciles de desarrollar y validar, además de que los procesos continuos tienen normalmente asociado elevada producción y por ende, pequeñas mejoras en la eficiencia del proceso se traducen en importantes ganancias. Sin embargo, aunque el uso de modelos al estado estacionario simplifica enormemente las tareas de modelización, hace emerger ciertos aspectos ligados a la validez de la hipótesis de un estado estacionario.
Comenzaron a surgir varias aplicaciones a gran escala de la optimización en-línea, pero, si bien varios vendedores ofrecen productos y servicios en este área, la mayoría de las aplicaciones industriales abordan problemas de control avanzado, dejando a la optimización en un segundo plano. Los industriales han reportado que después de cuatro décadas ha tenido lugar una mejora progresiva en la metodología llevada a cabo en la optimización en-línea, pero que siguen estando presente los puntos débiles originales. Tales aspectos están directamente relacionados con la detección del estado estacionario (o las frecuencias de las perturbaciones) y la optimización en si misma.
Los objetivos de la presente tesis están dirigidos a solventar parcialmente tales puntos débiles de la metodología actual. Como resultado, se propone una estrategia alternativa que saca ventaja de las mediciones y busca una mejora continua en lugar de una optimización formal. Se muestra que tal estrategia resulta muy efectiva y puede no solo ser aplicada para la optimización de puntos de consigna, pero también para tomar (en-línea) las decisiones discretas necesarias en procesos que presentan degradación (aspecto normalmente resuelto usando programación matemática).
La estructura de la tesis es como sigue. El primer capitulo explica las principales motivaciones y objetivos del trabajo, mientras que el capitulo 2 consiste en una revisión bibliográfica que abarca, hasta cierto punto, los tópicos y funcionalidades mas importantes asociados a la optimización en-línea. Luego, los capítulos 3 y 4 presentan la estrategia propuesta a través de dos metodologías para la optimización en-línea, lo cual es la contribución mas importante de la tesis. El primero, (capitulo 3) se centra en la persecución de un optimo que se mueve por el efecto combinado de perturbaciones externas e internas. Por otro lado, en el capitulo 4 se explica una metodología paralela, concebida para procesos que presentan desempeño decreciente con el tiempo y requieren decisiones discretas en relación a acciones de mantenimiento. Ambos capítulos incluyen una primera parte, mas bien teórica, y una segunda parte dedicada a la validación usando casos de referencia. Luego, el capitulo 5 describe la aplicación de tales metodología sobre dos escenarios industriales, con la intención de complementar los resultados obtenidos sobre los casos académicos. Posteriormente, el capitulo 6 aborda dos problemas asociados a la implementación: la influencia de los parámetros ajustables y la arquitectura del software usada. Finalmente, el capitulo 7 resume las principales conclusiones y observaciones de la tesis.
In general, process control is very effective when the desired operation point has been determined from prior analysis and the control system has sufficient time to respond to disturbances. While process control is required for regulating some process variables, the application of these methods may be not appropriate for all important variables. In some situations, the best operating conditions change because of the combined effect of internal and external disturbances, and a fixed control design may not respond properly to these changes. When certain conditions are met, on-line optimisation becomes a suitable choice for tracking the moving optimum.
In order to "pursue" that moving optimum, on-line optimisation solves periodically optimisation problems using data coming directly form the plant and a continuously updated model. The most common use of on-line optimisation corresponds to the continuous processes category. This is mainly owed to that steady state models are simpler and easier to develop and validate, besides that continuous processes have commonly high production rates, thus small relative improvements in the process efficiency originates significant economic earnings. Nevertheless, although the use of steady state models greatly simplifies the modelling task, it raises other issues associated with the validity of the steady state assumption.
Large-scale applications of on-line optimisation started to spread, however, even when several vendors offer products and services in the area, most of the application address advanced control issues while on-line optimisation is released to a second plane. Industry practitioners have reported that after four decades there has been a progressive improvement in the on-line optimisation methodology, but the same initial weakness or more generally speaking some common causes of poor performance still remain. These issues are directly related with the steady state detection (or disturbance frequency) and the optimisation itself.
The objectives of this thesis work are then directed to overcome at least partially the weak points of the current approach. The result is the proposal of an alternative strategy that takes fully advantage of the on-line measurements and looks for periodical improvement rather than a formal optimisation. It is shown how the proposed approach results very efficient and can be applied not only for set-point on-line optimisation but also for taking the on-line decision required in processes that presents decaying performance (aspect typically solved of-line via mathematical programming).
The thesis is structured as follows. The first chapter explains the main motivations and objectives of the work, while chapter 2 consists in a literature review that addresses, to some extension, the most significant issues around the on-line optimisation functionality. After that, chapter 3 and chapter 4 introduce two methodologies that use the proposed strategy for on-line optimisation, which is the main thesis contribution. The first one (in chapter 3) focuses in tracking fast moving optima, which is caused mainly by the combined effect of external and internal disturbances. On the other hand, a parallel methodology is explained in 4, conceived for processes that present decaying performance and that require discrete decision related to maintenance actions. Both chapters include a first part, rather theoretical, and a second part devoted to the validation over typical benchmarks. Then, chapter 5 describes the application of such methodologies over two existing industrial scenarios, in order to complement the results obtained using the benchmarks. After that, chapter 6 addresses two issues related to the implementation aspects: the influence of the adjustable parameters of the proposed procedure and the software architectures used. Finally, chapter 7 draws conclusions and main observations.
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Parra, Rojas César. "Intrinsic fluctuations in discrete and continuous time models". Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/intrinsic-fluctuations-in-discrete-and-continuous-time-models(d7006a2b-1496-44f2-8423-1f2fa72be1a5).html.
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This thesis explores the stochastic features of models of ecological systems in discrete and in continuous time. Our interest lies in models formulated at the microscale, from which a mesoscopic description can be derived. The stochasticity present in the models, constructed in this way, is intrinsic to the systems under consideration and stems from their finite size. We start by exploring a susceptible-infectious-recovered model for epidemic spread on a network. We are interested in the case where the connectivity, or degree, of the individuals is characterised by a very broad, or heterogeneous, distribution, and in the effects of stochasticity on the dynamics, which may depart wildly from that of a homogeneous population. The model at the mesoscale corresponds to a system of stochastic differential equations with a very large number of degrees of freedom which can be reduced to a two-dimensional model in its deterministic limit. We show how this reduction can be carried over to the stochastic case by exploiting a time-scale separation in the deterministic system and carrying out a fast-variable elimination. We use simulations to show that the temporal behaviour of the epidemic obtained from the reduced stochastic model yields reasonably good agreement with the microscopic model under the condition that the maximum allowed degree that individuals can have is not too close to the population size. This is illustrated using time series, phase diagrams and the distribution of epidemic sizes. The general mesoscopic theory used in continuous-time models has only very recently been developed for discrete-time systems in one variable. Here, we explore this one-dimensional theory and find that, in contrast to the continuous-time case, large jumps can occur between successive iterates of the process, and this translates at the mesoscale into the need for specifying `boundary' conditions everywhere outside of the system. We discuss these and how to implement them in the stochastic difference equation in order to obtain results which are consistent with the microscopic model. We then extend the theoretical framework to make it applicable to systems containing an arbitrary number of degrees of freedom. In addition, we extend a number of analytical results from the one-dimensional stochastic difference equation to arbitrary dimension, for the distribution of fluctuations around fixed points, cycles and quasi-periodic attractors of the corresponding deterministic map. We also derive new expressions, describing the autocorrelation functions of the fluctuations, as well as their power spectrum. From the latter, we characterise the appearance of noise-induced oscillations in systems of dimension greater than one, which have been previously observed in continuous-time systems and are known as quasi-cycles. Finally, we explore the ability of intrinsic noise to induce chaotic behaviour in the system for parameter values for which the deterministic map presents a non-chaotic attractor; we find that this is possible for periodic, but not for quasi-periodic, states.
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Lee, Sanghoon. "Econometrics of jump-diffusion processes : approximation, estimation and forecasting". Thesis, University of Southampton, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364734.
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Bregantini, Daniele. "Application of continuous time stochastic processes in sequential clinical research design and econometrics". Thesis, University of York, 2014. http://etheses.whiterose.ac.uk/8919/.
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The principal subject of this thesis is hypothesis testing and related problems of estimation for stochastic processes. The thesis is concerned in particular with two areas: sequential hypothesis testing in a Bayesian setting and estimation of the parameters governing a continuous-time stochastic differential equation that drives data sampled at high-frequency. The former area is concerned with hypothesis testing for a newly developed healthcare technology and makes use of optimal stopping theory. The latter area sees the application of limit theorems for stochastic processes that allow to recover the true volatility process that can be estimated using the methods of moments estimator.
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Johnston, Samuel. "The coalescent structure of continuous-time Galton-Watson trees". Thesis, University of Bath, 2018. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.761049.
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Niebuhr, Tobias [Verfasser] y J. P. [Akademischer Betreuer] Kreiß. "Bootstrap for continuous-time autoregressive moving average processes / Tobias Niebuhr ; Betreuer: J.-P. Kreiß". Braunschweig : Technische Universität Braunschweig, 2014. http://d-nb.info/1175820237/34.
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Spangenberg, Wilhelm Christoph Felix [Verfasser] y Alexander [Akademischer Betreuer] Lindner. "Infinite-dimensional and continuous-time moving average processes / Wilhelm Christoph Felix Spangenberg ; Betreuer: Alexander Lindner". Braunschweig : Technische Universität Braunschweig, 2015. http://d-nb.info/1175819905/34.
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Sennewald, Ken. "Stochastic Control, Optimal Saving, and Job Search in Continuous Time". Doctoral thesis, [S.l. : s.n.], 2007. http://nbn-resolving.de/urn:nbn:de:swb:14-1195054673140-63635.
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Sennewald, Ken. "Stochastic Control, Optimal Saving, and Job Search in Continuous Time". Doctoral thesis, Technische Universität Dresden, 2006. https://tud.qucosa.de/id/qucosa%3A23974.
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Economic uncertainty may affect significantly people’s behavior and hence macroeconomic variables. It is thus important to understand how people behave in presence of different kinds of economic risk. The present dissertation focuses therefore on the impact of the uncertainty in capital and labor income on the individual saving behavior. The underlying uncertain variables are here modeled as stochastic processes that each obey a specific stochastic differential equation, where uncertainty stems either from Poisson or Lévy processes. The results on the optimal behavior are derived by maximizing the individual expected lifetime utility. The first chapter is concerned with the necessary mathematical tools, the change-of-variables formula and the Hamilton-Jacobi-Bellman equation under Poisson uncertainty. We extend their possible field of application in order make them appropriate for the analysis of the dynamic stochastic optimization problems occurring in the following chapters and elsewhere. The second chapter considers an optimum-saving problem with labor income, where capital risk stems from asset prices that follow geometric L´evy processes. Chapter 3, finally, studies the optimal saving behavior if agents face not only risk but also uncertain spells of unemployment. To this end, we turn back to Poisson processes, which here are used to model properly the separation and matching process.
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Scholz, Markus [Verfasser] y V. [Akademischer Betreuer] Fasen-Hartmann. "Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes / Markus Scholz. Betreuer: V. Fasen-Hartmann". Karlsruhe : KIT-Bibliothek, 2016. http://d-nb.info/1112224866/34.
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Lingohr, Daniel [Verfasser] y Gernot [Akademischer Betreuer] Müller. "Continuous-Time Autoregressive Processes for Modeling Electricity Prices and Renewable Energies / Daniel Lingohr ; Betreuer: Gernot Müller". Augsburg : Universität Augsburg, 2019. http://d-nb.info/1194312934/34.
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Deschatre, Thomas. "Dependence modeling between continuous time stochastic processes : an application to electricity markets modeling and risk management". Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED034/document.
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Cette thèse traite de problèmes de dépendance entre processus stochastiques en temps continu. Ces résultats sont appliqués à la modélisation et à la gestion des risques des marchés de l'électricité.Dans une première partie, de nouvelles copules sont établies pour modéliser la dépendance entre deux mouvements Browniens et contrôler la distribution de leur différence. On montre que la classe des copules admissibles pour les Browniens contient des copules asymétriques. Avec ces copules, la fonction de survie de la différence des deux Browniens est plus élevée dans sa partie positive qu'avec une dépendance gaussienne. Les résultats sont appliqués à la modélisation jointe des prix de l'électricité et d'autres commodités énergétiques. Dans une seconde partie, nous considérons un processus stochastique observé de manière discrète et défini par la somme d'une semi-martingale continue et d'un processus de Poisson composé avec retour à la moyenne. Une procédure d'estimation pour le paramètre de retour à la moyenne est proposée lorsque celui-ci est élevé dans un cadre de statistique haute fréquence en horizon fini. Ces résultats sont utilisés pour la modélisation des pics dans les prix de l'électricité.Dans une troisième partie, on considère un processus de Poisson doublement stochastique dont l'intensité stochastique est une fonction d'une semi-martingale continue. Pour estimer cette fonction, un estimateur à polynômes locaux est utilisé et une méthode de sélection de la fenêtre est proposée menant à une inégalité oracle. Un test est proposé pour déterminer si la fonction d'intensité appartient à une certaine famille paramétrique. Grâce à ces résultats, on modélise la dépendance entre l'intensité des pics de prix de l'électricité et de facteurs exogènes tels que la production éolienneIn this thesis, we study some dependence modeling problems between continuous time stochastic processes. These results are applied to the modeling and risk management of electricity markets. In a first part, we propose new copulae to model the dependence between two Brownian motions and to control the distribution of their difference. We show that the class of admissible copulae for the Brownian motions contains asymmetric copulae. These copulae allow for the survival function of the difference between two Brownian motions to have higher value in the right tail than in the Gaussian copula case. Results are applied to the joint modeling of electricity and other energy commodity prices. In a second part, we consider a stochastic process which is a sum of a continuous semimartingale and a mean reverting compound Poisson process and which is discretely observed. An estimation procedure is proposed for the mean reversion parameter of the Poisson process in a high frequency framework with finite time horizon, assuming this parameter is large. Results are applied to the modeling of the spikes in electricity prices time series. In a third part, we consider a doubly stochastic Poisson process with stochastic intensity function of a continuous semimartingale. A local polynomial estimator is considered in order to infer the intensity function and a method is given to select the optimal bandwidth. An oracle inequality is derived. Furthermore, a test is proposed in order to determine if the intensity function belongs to some parametrical family. Using these results, we model the dependence between the intensity of electricity spikes and exogenous factors such as the wind production
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VILLA, SIMONE. "Continuous Time Bayesian Networks for Reasoning and Decision Making in Finance". Doctoral thesis, Università degli Studi di Milano-Bicocca, 2015. http://hdl.handle.net/10281/69953.
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L'analisi dell'enorme quantità di dati finanziari, messi a disposizione dai mercati elettronici, richiede lo sviluppo di nuovi modelli e tecniche per estrarre efficacemente la conoscenza da utilizzare in un processo decisionale informato. Lo scopo della tesi concerne l'introduzione di modelli grafici probabilistici utilizzati per il ragionamento e l'attività decisionale in tale contesto.
Nella prima parte della tesi viene presentato un framework che utilizza le reti Bayesiane per effettuare l'analisi e l'ottimizzazione di portafoglio in maniera olistica. In particolare, esso sfrutta, da un lato, la capacità delle reti Bayesiane di rappresentare distribuzioni di probabilità in modo compatto ed efficiente per modellare il portafoglio e, dall'altro, la loro capacità di fare inferenza per ottimizzare il portafoglio secondo diversi scenari economici.
In molti casi, si ha la necessità di ragionare in merito a scenari di mercato nel tempo, ossia si vuole rispondere a domande che coinvolgono distribuzioni di probabilità che evolvono nel tempo. Le reti Bayesiane a tempo continuo possono essere utilizzate in questo contesto. Nella seconda parte della tesi viene mostrato il loro utilizzo per affrontare problemi finanziari reali e vengono descritte due importanti estensioni. La prima estensione riguarda il problema di classificazione, in particolare vengono introdotti un algoritmo per apprendere tali classificatori da Big Data e il loro utilizzo nel contesto di previsione dei cambi valutari ad alta frequenza. La seconda estensione concerne l'apprendimento delle reti Bayesiane a tempo continuo in domini non stazionari, in cui vengono modellate esplicitamente le dipendenze statistiche presenti nelle serie temporali multivariate consentendo loro di cambiare nel corso del tempo.
Nella terza parte della tesi viene descritto l'uso delle reti Bayesiane a tempo continuo nell'ambito dei processi decisionali di Markov, i quali consentono di modellare processi decisionali sequenziali in condizioni di incertezza. In particolare, viene introdotto un metodo per il controllo di sistemi dinamici a tempo continuo che sfrutta le proprietà additive e contestuali per scalare efficacemente su grandi spazi degli stati. Infine, vengono mostrate le prestazioni di tale metodo in un contesto significativo di trading.The analysis of the huge amount of financial data, made available by electronic markets, calls for new models and techniques to effectively extract knowledge to be exploited in an informed decision-making process. The aim of this thesis is to introduce probabilistic graphical models that can be used to reason and to perform actions in such a context. In the first part of this thesis, we present a framework which exploits Bayesian networks to perform portfolio analysis and optimization in a holistic way. It leverages on the compact and efficient representation of high dimensional probability distributions offered by Bayesian networks and their ability to perform evidential reasoning in order to optimize the portfolio according to different economic scenarios. In many cases, we would like to reason about the market change, i.e. we would like to express queries as probability distributions over time. Continuous time Bayesian networks can be used to address this issue. In the second part of the thesis, we show how it is possible to use this model to tackle real financial problems and we describe two notable extensions. The first one concerns classification, where we introduce an algorithm for learning these classifiers from Big Data, and we describe their straightforward application to the foreign exchange prediction problem in the high frequency domain. The second one is related to non-stationary domains, where we explicitly model the presence of statistical dependencies in multivariate time-series while allowing them to change over time. In the third part of the thesis, we describe the use of continuous time Bayesian networks within the Markov decision process framework, which provides a model for sequential decision-making under uncertainty. We introduce a method to control continuous time dynamic systems, based on this framework, that relies on additive and context-specific features to scale up to large state spaces. Finally, we show the performances of our method in a simplified, but meaningful trading domain.
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Hoffmann, Michael [Verfasser], Holger [Gutachter] Dette y Mathias [Gutachter] Vetter. "Nonparametric change-point inference for the jump behaviour of time-continuous processes / Michael Hoffmann ; Gutachter: Holger Dette, Mathias Vetter". Bochum : Ruhr-Universität Bochum, 2017. http://d-nb.info/1138835862/34.
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Ruwe, Christopher J. "How to extend estimation of parameters and moments of stochastic processes to the time continuous case with applications in econometrics using R /". Hamburg : [C.J. Ruwe], 2007. http://d-nb.info/991278585/34.
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GARDINI, MATTEO. "Financial models in continuous time with self-decomposability: application to the pricing of energy derivatives". Doctoral thesis, Università degli studi di Genova, 2022. http://hdl.handle.net/11567/1070581.
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Based on the concept of self-decomposability we extend some recent multidimensional
Lévy models by using multivariate subordination. Our aim is to construct multi-asset
market models in which the systemic risk instead of affecting all markets at the same
time presents some stochastic delay. In particular we derive new multidimensional
versions of the well known Variance Gamma and inverse Gaussian processes. To this
end, we extend some known approaches keeping their mathematical tractability, we
study the properties of the new processes, we derive closed form expressions for their
characteristic functions and, finally, we detail how new and efficient Monte Carlo
schemes can be implemented.
As second contribution of the work, we construct a new Lévy process, termed
the Variance Gamma++ process, to model the dynamic of assets in illiquid markets.
Such a process has the mathematical tractability of the Variance Gamma process
and is obtained relying upon the self-decomposability of the gamma law. We give a
full characterization of the Variance Gamma++ process in terms of its characteristic
triplet, characteristic function and transition probability density. These results
are instrumental to apply Fourier-based option pricing and maximum likelihood
techniques for the parameter estimation. Furthermore, we provide efficient path
simulation algorithms, both forward and backward in time. We also obtain an
efficient “integral-free” explicit pricing formula for European options.
Finally, we illustrate the applicability of our models in the context of gas, power
and emission markets focusing on their calibration, on the pricing of spread options
written on different underlying commodities and on the evaluation of exotic American
derivatives, giving an economical interpretation to the obtained results.
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Ueltzhöfer, Florian Alexander Johann [Verfasser], Claudia [Akademischer Betreuer] Klüppelberg, Jean [Akademischer Betreuer] Jacod y Mark [Akademischer Betreuer] Podolskij. "On the estimation of jumps of continuous-time stochastic processes / Florian Alexander Johann Ueltzhöfer. Gutachter: Jean Jacod ; Mark Podolskij ; Claudia Klüppelberg. Betreuer: Claudia Klüppelberg". München : Universitätsbibliothek der TU München, 2013. http://d-nb.info/1033027812/34.
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Ueltzhöfer, Florian Alexander Johann [Verfasser], Claudia Akademischer Betreuer] Klüppelberg, Jean [Akademischer Betreuer] [Jacod y Mark [Akademischer Betreuer] Podolskij. "On the estimation of jumps of continuous-time stochastic processes / Florian Alexander Johann Ueltzhöfer. Gutachter: Jean Jacod ; Mark Podolskij ; Claudia Klüppelberg. Betreuer: Claudia Klüppelberg". München : Universitätsbibliothek der TU München, 2013. http://nbn-resolving.de/urn:nbn:de:bvb:91-diss-20130318-1126101-0-5.
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Duhalde, Jean-Pierre. "Sur des propriétés fractales et trajectorielles de processus de branchement continus". Thesis, Paris 6, 2015. http://www.theses.fr/2015PA066029/document.
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Cette thèse étudie certaines propriétés fractales et trajectorielles de processus de branchement en temps et espace continus. De façon informelle, ce type de processus est obtenu en considérant l'évolution d'une population où les individus se reproduisent et meurent au cours du temps, et ce de manière aléatoire. Le premier chapitre concerne la classe des processus de branchement avec immigration. On donne une formule semi-explicite pour la transformée de Laplace des temps d'atteinte ainsi qu'une condition nécessaire et suffisante de récurrence-transience. Ces deux résultats illustrent la compétition branchement/immigration. Le second chapitre considère l'arbre Brownien et ses mesures de temps local, dites mesures de niveau. On montre que celles-ci s'obtiennent comme restriction, à une constante près explicitée, d'une certaine mesure de Hausdorff sur l'arbre. Le résultat est montré simultanément pour tous niveaux. Le troisième chapitre étudie le Super-mouvement Brownien associé à un mécanisme de branchement général. Sa mesure d'occupation totale est obtenue comme restriction d'une certaine mesure de packing dans l'espace euclidien. Le résultat est valable en grande dimension. La condition sur la dimension de l'espace ambiant est discutée à travers le calcul, sous des hypothèse de régularité faibles pour le mécanisme de branchement, de la dimension de packing du range total du processusThis thesis investigates some fractal and pathwise properties of branching processes with continuous time and state-space. Informally, this kind of process can be described by considering the evolution of a population where individuals reproduce and die over time, randomly. The first chapter deals with the class of continuous branching processes with immigration. We provide a semi-explicit formula for the hitting times and a necessary and sufficient condition for the process to be recurrent or transient. Those two results illustrate the competition between branching and immigration. The second chapter deals with the Brownian tree and its local time measures : the level-sets measures. We show that they can be obtained as the restriction, with an explicit multiplicative constant, of a Hausdorff measure on the tree. The result holds uniformly for all levels. The third chapter study the Super-Brownian motion associated with a general branching mechanism. Its total occupation measure is obtained as the restriction to the total range, of a given packing measure on the euclidean space. The result is valid for large dimensions. The condition on the dimension is discussed by computing the packing dimension of the total range. This is done under a weak assumption on the regularity of the branching mechanism
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Albers, Tony. "Weak nonergodicity in anomalous diffusion processes". Doctoral thesis, Universitätsbibliothek Chemnitz, 2016. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-214327.
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Anomale Diffusion ist ein weitverbreiteter Transportmechanismus, welcher für gewöhnlich mit ensemble-basierten Methoden experimentell untersucht wird. Motiviert durch den Fortschritt in der Einzelteilchenverfolgung, wo typischerweise Zeitmittelwerte bestimmt werden, entsteht die Frage nach der Ergodizität. Stimmen ensemble-gemittelte Größen und zeitgemittelte Größen überein, und wenn nicht, wie unterscheiden sie sich? In dieser Arbeit studieren wir verschiedene stochastische Modelle für anomale Diffusion bezüglich ihres ergodischen oder nicht-ergodischen Verhaltens hinsichtlich der mittleren quadratischen Verschiebung. Wir beginnen unsere Untersuchung mit integrierter Brownscher Bewegung, welche von großer Bedeutung für alle Systeme mit Impulsdiffusion ist. Für diesen Prozess stellen wir die ensemble-gemittelte quadratische Verschiebung und die zeitgemittelte quadratische Verschiebung gegenüber und charakterisieren insbesondere die Zufälligkeit letzterer. Im zweiten Teil bilden wir integrierte Brownsche Bewegung auf andere Modelle ab, um einen tieferen Einblick in den Ursprung des nicht-ergodischen Verhaltens zu bekommen. Dabei werden wir auf einen verallgemeinerten Lévy-Lauf geführt. Dieser offenbart interessante Phänomene, welche in der Literatur noch nicht beobachtet worden sind. Schließlich führen wir eine neue Größe für die Analyse anomaler Diffusionsprozesse ein, die Verteilung der verallgemeinerten Diffusivitäten, welche über die mittlere quadratische Verschiebung hinausgeht, und analysieren mit dieser ein oft verwendetes Modell der anomalen Diffusion, den subdiffusiven zeitkontinuierlichen ZufallslaufAnomalous diffusion is a widespread transport mechanism, which is usually experimentally investigated by ensemble-based methods. Motivated by the progress in single-particle tracking, where time averages are typically determined, the question of ergodicity arises. Do ensemble-averaged quantities and time-averaged quantities coincide, and if not, in what way do they differ? In this thesis, we study different stochastic models for anomalous diffusion with respect to their ergodic or nonergodic behavior concerning the mean-squared displacement. We start our study with integrated Brownian motion, which is of high importance for all systems showing momentum diffusion. For this process, we contrast the ensemble-averaged squared displacement with the time-averaged squared displacement and, in particular, characterize the randomness of the latter. In the second part, we map integrated Brownian motion to other models in order to get a deeper insight into the origin of the nonergodic behavior. In doing so, we are led to a generalized Lévy walk. The latter reveals interesting phenomena, which have never been observed in the literature before. Finally, we introduce a new tool for analyzing anomalous diffusion processes, the distribution of generalized diffusivities, which goes beyond the mean-squared displacement, and we analyze with this tool an often used model of anomalous diffusion, the subdiffusive continuous time random walk
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Bondesson, Carl. "Modelling of Safety Concepts for Autonomous Vehicles using Semi-Markov Models". Thesis, Uppsala universitet, Signaler och System, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-353060.
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Autonomous vehicles is soon a reality in the every-day life. Though before it is used commercially the vehicles need to be proven safe. The current standard for functional safety on roads, ISO 26262, does not include autonomous vehicles at the moment, which is why in this project an approach using semi-Markov models is used to assess safety. A semi-Markov process is a stochastic process modelled by a state space model where the transitions between the states of the model can be arbitrarily distributed. The approach is realized as a MATLAB tool where the user can use a steady-state based analysis called a Loss and Risk based measure of safety to assess safety. The tool works and can assess safety of semi-Markov systems as long as they are irreducible and positive recurrent. For systems that fulfill these properties, it is possible to draw conclusions about the safety of the system through a risk analysis and also about which autonomous driving level the system is in through a sensitivity analysis. The developed tool, or the approach with the semi-Markov model, might be a good complement to ISO 26262.
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Corker, Lloyd A. "A test for Non-Gaussian distributions on the Johannesburg stock exchange and its implications on forecasting models based on historical growth rates". University of Western Cape, 2002. http://hdl.handle.net/11394/7447.
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Masters of CommerceIf share price fluctuations follow a simple random walk then it implies that forecasting models based on historical growth rates have little ability to forecast acceptable share price movements over a certain period. The simple random walk description of share price dynamics is obtained when a large number of investors have equal probability to buy or sell based on their own opinion. This simple random walk description of the stock market is in essence the Efficient Market Hypothesis, EMT. EMT is the central concept around which financial modelling is based which includes the Black-Scholes model and other important theoretical underpinnings of capital market theory like mean-variance portfolio selection, arbitrage pricing theory (APT), security market line and capital asset pricing model (CAPM). These theories, which postulates that risk can be reduced to zero sets the foundation for option pricing and is a key component in financial software packages used for pricing and forecasting in the financial industry. The model used by Black and Scholes and other models mentioned above are Gaussian, i.e. they exhibit a random nature. This Gaussian property and the existence of expected returns and continuous time paths (also Gaussian properties) allow the use of stochastic calculus to solve complex Black- Scholes models. However, if the markets are not Gaussian then the idea that risk can be. (educed to zero can lead to a misleading and potentially disastrous sense of security on the financial markets. This study project test the null hypothesis - share prices on the JSE follow a random walk - by means of graphical techniques such as symmetry plots and Quantile-Quantile plots to analyse the test distributions. In both graphical techniques evidence for the rejection of normality was found. Evidenceleading to the rejection of the hypothesis was also found through nonparametric or distribution free methods at a 1% level of significance for Anderson-Darling and Runs test.
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Korpas, Agata K. "Occupation Times of Continuous Markov Processes". Bowling Green State University / OhioLINK, 2006. http://rave.ohiolink.edu/etdc/view?acc_num=bgsu1151347146.
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Newhouse, Jack. "Explorations of the Aldous Order on Representations of the Symmetric Group". Scholarship @ Claremont, 2012. https://scholarship.claremont.edu/hmc_theses/35.
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The Aldous order is an ordering of representations of the symmetric group motivated by the Aldous Conjecture, a conjecture about random processes proved in 2009. In general, the Aldous order is very difficult to compute, and the proper relations have yet to be determined even for small cases. However, by restricting the problem down to Young-Jucys-Murphy elements, the problem becomes explicitly combinatorial. This approach has led to many novel insights, whose proofs are simple and elegant. However, there remain many open questions related to the Aldous Order, both in general and for the Young-Jucys-Murphy elements.
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Rodrigues, Caio César Graciani. "Control and filtering for continuous-time Markov jump linear systems with partial mode information". Laboratório Nacional de Computação Científica, 2017. https://tede.lncc.br/handle/tede/267.
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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (Capes)
Over the past few decades, the study of systems subjected to abrupt changes in their structures has consolidated as a significant area of research, due, in part, to the increasing importance of dealing with the occurrence of random failures in complex systems. In this context, Markov jump linear system (MJLS) comes up as an approach of central interest, as a means of representing these dynamics. Among the numerous works that seek to establish design methods for control and filtering considering this class of systems, the scarcity of literature related to the partial observation scenarios is noticeable. This thesis features contributions to the H1 control and filtering for continuous-time MJLS with partial mode information. In order to overcome the challenge regarding the lack of information of the current state of the Markov chain, we use a detector-based formulation. In this formulation, we assume the existence of a detector, available at all times, which provides partial information about the operating mode of the jump process. A favorable feature of this strategy is that it allows us to recover (without being limited to) some recent results of partial information scenarios in which we have an explicit solution, such as the cases of complete information, mode-independent and cluster observations. Our results comprise a new bounded real lemma followed by the design of controllers and filters driven only by the informations given by the detector. Both, the H1 analysis and the design methods presented are established through the solutions of linear matrix inequalities. In addition, numerical simulations are also presented encompassing the H1 performance for particular structures of the detector process. From an application point of view, we highlight some examples related to the linearized dynamics for an unmanned aerial vehicle.
Nas últimas décadas, o estudo de sistemas cujas estruturas estão sujeitas a mudanças abruptas de comportamento tem se consolidado como uma significante área de pesquisa, devido, em parte, pela importância crescente de lidar com a ocorrência de falhas aleatórias em sistemas complexos. Neste contexto, os sistemas lineares com salto Markoviano (SLSM) surgem como uma abordagem de interesse central, como um meio de representar estas dinâmicas. Dentre os inúmeros trabalhos que buscam estabelecer técnicas de controle e filtragem considerando esta classe de sistemas, a escassez de literatura relacionada ao cenário de observações parciais é perceptível. Esta tese apresenta novos resultados de controle e filtragem H1 para SLSM a tempo contínuo e observações parciais no modo de operação. A fim de superar o desafio quanto a falta de informações do atual estado da cadeia de Markov, utilizamos uma formulação baseada em um detector. Com esta abordagem, assumimos a existência de um detector, disponível em todo instante de tempo, que fornece informações a respeito do modo de operação do processo de salto. Uma favorável característica desta estratégia é a de nos possibilitar o resgate (sem estar-se limitado a eles) de alguns resultados recentes dos cenários de informações parciais nos quais temos uma solução explícita, como os casos de informações completas, independentes do modo e cluster de observações. Os nossos resultados compreendem um novo bounded real lemma seguido do projeto de controladores e filtros que usam apenas as informações do detector. Tanto a análise H1 quanto os métodos de projeto apresentados são estabelecidos através da soluções de inequações matriciais lineares. Adicionalmente, também são apresentadas simulações numéricas que mostram a performance H1 para estruturas particulares do detector. Sob o ponto de vista de aplicações, destacamos os exemplos relacionados a dinâmicas linearizadas para um avião aéreo não tripulado.
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Vergés, Fortià Vila. "Finite dimensional optimal linear mean square filter for continuos time Markovian jump linear systems". Laboratório Nacional de Computação Científica, 2017. https://tede.lncc.br/handle/tede/277.
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Fundação Carlos Chagas Filho de Amparo à Pesquisa do Estado do Rio de Janeiro (FAPERJ)
Stochastic differential equations with Markovian jump parameters constitute one of the most important class of hybrid dynamical systems, which has been extensively used for the modeling of dynamical systems which are subject to abrupt changes in their structure. The abrupt changes can be due, for instance, to abrupt environmental disturbances, component failure, volatility in economic systems, changes in subsystems interconnections, abrupt changes in the operation of a nonlinear plant, etc. This can be found, for instance, in aircraft control systems, robot systems, large flexible structure for space station, etc. We shall be particularly interested in the linear class which is dubbed in the literature as the class of Markov jump linear systems (MJLS). The jump mechanism is modeled by a Markov process, which is also known in the literature as the operation mode. The dissertation address the filtering problem of the operation mode for the class of MJLS. Previous result in the literature on this problem has been obtained by Wonham, which has shown the existence of an optimal nonlinear filter for this problem. The main hindrance with Wonham’s result, in the context of the control problem with partial observation of operation mode, is that it introduces a great deal of nonlinearity in the Hamilton-Jacobi- Belman equation, which makes it difficult to get an explicit closed solution for the control problem. Motivated by this, the main contribution of this dissertation is to devise an optimal linear filter for the mode operation, which we believe could be more favorable in the solution of the control problem with partial observations. In addition, relying on Murayama’s stochastic numerical method and the results of Yuan and Mao, we carry out simulation of Wonham’s filter, and the one devised in the dissertation, in order to compare their performances.
As equações diferenciais estocáticas com salto Markoviano constituem uma das clases de sistemas dinâmicos híbridos mais importantes, e tem sido muito usados para modelar sistemas sujeitos a mudanças abruptas na sua estructura. Essas mudanças podem ser devido a, por exemplo, perturbações ambientais, falhas em componentes, volatilidade em sistemas econômicos, mudanças em interconexões de subsistemas, mudanças abruptas em operações de plantas não lineares, etc. Estas falhas podem ser encontradas em sistemas de controle para aeronaves, sistemas robóticos, estructuras grandes e flexíveis em estações espaciais, etc. Nós estamos especialmente interessados na clase de sistemas lineares que é referenciada na literatura como sistemas lineares com salto Markoviano (SLSM). O mecanismo de salto é modelado por um processo de Markov, que é conhecido na literatura como modo de operação do sistema. Essa dissertação visa o problema de filtragem para o modo de operação do sistema linear com salto. Na literatura pode-se encontrar resultados já obtidos para esse problema como é o caso do filtro ótimo não linear deduzido por Wonham. Mas no contexto de controle ótimo com observações parciais do modo de operação, o filtro de Wonham introduz não linearidades na equação de Hamilton-Jacobi-Belman, fazendo com que seja muito complexo obter uma solução fechada para o problema de controle. A principal motivação desta dissertação é deduzir o filtro ótimo linear para o modo de operação, já que esta pode ser uma solução mais favorável para o problema de controle ótimo. Finalmente, usando o método numérico para equações diferenciais estocásticas de Euler-Murayama e o resultado de Yuan e Mao, realizamos a simulação do filtro de Wonham tal como o filtro deduzido neste trabalho, com o objetivo de comparar as respectivas performances.
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Kleinow, Torsten. "Testing continuous time models in financial markets". Doctoral thesis, [S.l. : s.n.], 2002. http://deposit.ddb.de/cgi-bin/dokserv?idn=965412091.
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Ratiu, Alin. "Continuous time signal processing for wake-up radios". Thesis, Lyon, INSA, 2015. http://www.theses.fr/2015ISAL0078/document.
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La consommation des systèmes de communication pour l'IoT peut être réduite grâce à un nouveau paradigme de réception radio. La technique consiste à ajouter un récepteur supplémentaire à chaque noeud IoT, appelé Wake Up Radio (WU-RX). Le rôle du WU-RX est de surveiller le canal de communication et de réveiller le récepteur principal (aussi appelé récepteur de données) lors de la réception d'une demande de communication. Une analyse des implémentations des WU-RX existants montre que les systèmes de l'état de l'art sont suffisamment sensibles par rapport aux récepteurs de données classiques mais manquent de robustesse face aux brouilleurs. Pour améliorer cette caractéristique nous proposons un étage de filtrage accordable `a fréquence intermédiaire qui nous permet de scanner toute la bande FI en cherchant le canal utilisé pour la demande de réveil. Ce filtre a été implémenté en utilisant les principes du traitement numérique de données à temps continu et consiste en un CAN suivi par un processeur numérique à temps continu. Le principe de fonctionnement du CAN est basé sur les modulateurs delta, avec une boucle de retour améliorée qui lui permet la quantification des signaux de fréquence plus élevé pour une consommation énergétique plus faible. Par conséquent, il a une plage de fonctionnement entre 10MHz et 50MHz ; pour un SNDR entre 32dB et 42dB et une consommation de 24uW. Cela se traduit par une figure de mérite entre 3fJ/conv-step et 10fJ/conv-step, une des meilleures pour la gamme de fréquences sélectionnée. Le processeur numérique est constitué d'un filtre IIR suivi par un filtre FIR. L'atténuation hors bande apportée par le filtre IIR permet de réduire le taux d'activité vu par le filtre FIR qui, par conséquent, consomme moins d'énergie. Nous avons montré, en simulation, une réduction de la puissance consommée par le filtre FIR d'un facteur entre 2 et 3. Au total, les deux filtres atteignent plus que 40dB de réjection hors bande, avec une bande passante de 2MHz qui peut être délacée sur toute la bande passante du CAN. Dans un pire cas, le système proposé (CAN et processeur numérique) consomme moins de 100uW, cependant la configuration des signaux à l'entrée peut rendre cette consommation plus faibleWake-Up Receivers (WU-RX) have been recently proposed as candidates to reduce the communication power budget of wireless networks. Their role is to sense the environment and wake up the main receivers which then handle the bulk data transfer. Existing WU-RXs achieve very high sensitivities for power consumptions below 50uW but severely degrade their performance in the presence of out-of-band blockers. We attempt to tackle this problem by implementing an ultra low power, tunable, intermediate frequency filtering stage. Its specifications are derived from standard WU-RX architectures; it is shown that classic filtering techniques are either not tunable enough or demand a power consumption beyond the total WU-RX budget of 100uW. We thus turn to the use of Continuous Time Digital Signal Processing (CT-DSP) which offers the same level of programmability as standard DSP solutions while providing an excellent scalability of the power consumption with respect to the characteristics of the input signal. A CT-DSP chain can be divided into two parts: the CT-ADC and the CT-DSP itself; the specifications of these two blocks, given the context of this work, are also discussed. The CT-ADC is based on a novel, delta modulator-based architecture which achieves a very low power consumption; its maximum operation frequency was extended by the implementation of a very fast feedback loop. Moreover, the CT nature of the ADC means that it does not do any sampling in time, hence no anti-aliasing filter is required. The proposed ADC requires only 24uW to quantize signals in the [10MHz 50MHz] bandwidth for an SNR between 32dB and 42dB, resulting in a figure of merit of 3-10fJ/conv-step, among the best reported for the selected frequency range. Finally, we present the architecture of the CT-DSP which is divided into two parts: a CT-IIR and a CT-FIR. The CT-IIR is implemented by placing a standard CT-FIR in a feedback loop around the CT-ADC. If designed correctly, the feedback loop can now cancel out certain frequencies from the CT-ADC input (corresponding to those of out-of-band interferers) while boosting the power of the useful signal. The effective amplitude of the CT-ADC input is thus reduced, making it generate a smaller number of tokens, thereby reducing the power consumption of the subsequent CT-FIR by a proportional amount. The CT-DSP consumes around 100uW while achieving more than 40dB of out-of-band rejection; for a bandpass implementation, a 2MHz passband can be shifted over the entire ADC bandwidth
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Despain, Lynnae. "A Mathematical Model of Amoeboid Cell Motion as a Continuous-Time Markov Process". BYU ScholarsArchive, 2015. https://scholarsarchive.byu.edu/etd/5671.
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Understanding cell motion facilitates the understanding of many biological processes such as wound healing and cancer growth. Constructing mathematical models that replicate amoeboid cell motion can help us understand and make predictions about real-world cell movement. We review a force-based model of cell motion that considers a cell as a nucleus and several adhesion sites connected to the nucleus by springs. In this model, the cell moves as the adhesion sites attach to and detach from a substrate. This model is then reformulated as a random process that tracks the attachment characteristic (attached or detached) of each adhesion site, the location of each adhesion site, and the centroid of the attached sites. It is shown that this random process is a continuous-time jump-type Markov process and that the sub-process that counts the number of attached adhesion sites is also a Markov process with an attracting invariant distribution. Under certain hypotheses, we derive a formula for the velocity of the expected location of the centroid.
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Larsson, Erik. "Identification of stochastic continuous-time systems : algorithms, irregular sampling and Cramér-Rao bounds /". Uppsala : Acta Universitatis Upsaliensis : Univ.-bibl. [distributör], 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-3944.
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Berger, Ulrich. "Two More Classes of Games with the Continuous-Time Fictitious Play Property". Elsevier, 2007. http://epub.wu.ac.at/5587/1/2007_GEB.pdf.
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Fictitious Play is the oldest and most studied learning process for games. Since the already classical result for zero-sum games, convergence of beliefs to the set of Nash equilibria has been established for several classes of games, including weighted potential games, supermodular games with diminishing returns, and 3×3 supermodular games. Extending these results, we establish convergence of Continuous-time Fictitious Play for ordinal potential games and quasi-supermodular games with diminishing returns. As a by-product we obtain convergence for 3×m and 4×4 quasi-supermodular games.
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Arastuie, Makan. "Generative Models of Link Formation and Community Detection in Continuous-Time Dynamic Networks". University of Toledo / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=toledo1596718772873086.
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Todorovac, Kennan y Nils Wiking. "An exploratory study of manufacturing data and its potential for continuous process improvements from a production economical perspective". Thesis, Blekinge Tekniska Högskola, Institutionen för industriell ekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:bth-21947.
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Background: Continues improvements in production are essential in order to compete on the market. However, to be an active competitor on the market, companies need to know their strengths and weaknesses, and improve and develop their production continually. Today process industries generate enormous volumes of data and data are considered a valuable source for companies to find new ways to boost their operations' productivity and profitability. Data Mining (DM) is the process of discovering useful patterns and trends in large data sets. Several authors have pointed out data mining as a good data analysis process for manufacturing due to the large amount of data generated and collected from production processes. In manufacturing, DM has two primary goals, descriptive with the focus on discovering patterns to describe the data and predictive where a model is used to determine future values of important variables. Objectives: The objective of this study was to get a deeper understanding of how collected data from production can lead to insights regarding potential production economic improvementsby following the CRISP-DM methodology. In particular to the chosen production line if there were any differences in replenishment durations when it comes to different procedures. Duration in this study is the time the line is halted during a material replenishment. The procedures in question are single-replenishment versus double-replenishment. Further investigated was if there were any differences in the replenishment duration when it comes to which shift team and at what shift time the replenishment procedures were made. Methods: In this study the CRISP-DM methodology was used for structuring the collected data from the case company. The data was primarily historical data from a continues production process. To verify the objective of the study, three hypotheses derived from the objective was tested by using a t test and Bonferroni test. Results: The result showed that the duration of a double-replenishment is lower compared to two single-replenishments. Further results showed that there is a significant difference in the single-replenishment duration between the different shift times and different working teams. The interpretation of the result is that in the short term there is a possibility that implementingdouble replenishments can reduce the throughput time and possibility also the lead time. Conclusions: This study could contribute with knowledge for others who seek a way to use data to detect information or deeper knowledge about a continuous production process. The findings in this study could be specifically interesting for cable manufacturers and, in general, for continuous process manufacturers. Further conclusions are that time-based competition is one way for increasing the competitive advantage in the market. By using manufacturing generated data, it is possible to analyse and find valuable information that can contribute to continuous process improvements and increase the competitive advantage.
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Didi, Sultana. "Quelques propriétés asymptotiques en estimation non paramétrique de fonctionnelles de processus stationnaires en temps continu". Thesis, Paris 6, 2014. http://www.theses.fr/2014PA066191/document.
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Les travaux de cette thèse portent sur les problèmes d’estimation non paramétrique des fonctions de densité, de régression et du mode conditionnel associés à des processus stationnaires à temps continu. La motivation essentielle est d’établir des propriétés asymptotiques tout en considérant un cadre de dépendance des données assez général qui puisse être facilement utilisé en pratique. Cette contribution se compose de quatre parties. La première partie est consacrée à l’état de l’art relatif à la problématique qui situe bien notre contribution dans la littérature. Dans le deuxième partie, nous nous intéressons à l’estimation, par la méthode du noyau, de la densité pour laquelle nous établissons des résultats de convergence presque sûre, ponctuelle et uniforme, avec des vitesses de convergence. Dans les parties suivantes, les données sont supposées stationnaires et ergodiques. Dans la troisième partie, des propriétés asymptotiques similaires sont établies pour l’estimation à noyau de la fonction de régression. Dans le même esprit, nous étudions dans la quatrième partie, l’estimation à noyau de la fonction mode conditionnel pour lequel nous établissons des propriétés de consistance avec des vitesses de convergence. L’estimateur proposé ici se positionne comme une alternative à celui de la fonction de régression dans les problèmes de prévisionThe work of this thesis focuses upon some nonparametric estimation problems. More precisely, considering kernel estimators of the density, the regression and the conditional mode functions associated to a stationary continuous-time process, we aim at establishing some asymptotic properties while taking a sufficiently general dependency framework for the data as to be easily used in practice. The present manuscript includes four parts. The first one gives the state of the art related to the field of our concern and identifies well our contribution as compared to the existing results in the literature. In the second part, we focus on the kernel density estimation. In a rather general dependency setting, where we use a martingale difference device and a technique based on a sequence of projections on -fields, we establish the almost sure pointwise and uniform consistencies with rates of our estimate. In the third part, similar asymptotic properties are established for the kernel estimator of the regression function. Here and below, the processes are assumed to be ergodic In the same spirit, we study in the fourth part, the kernel estimate of conditional mode function for which we establish consistency properties with rates of convergence. The proposed estimator may be viewed as an alternative in the prediction issues to the usual regression function
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José, Pedro Nuno Mendonça. "A gestão da qualidade e a redução dos tempos improdutivos em processos agro-industriais: Bonduelle (Portugal) - Agroindústria SA". Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2242.
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Mestrado em Gestão e Estratégia IndustrialPela não agregação de valor ao produto final, os tempos improdutivos devem ser alvo de estudo, com o intuito de proceder, sempre que possível, à sua eliminação ou à redução da sua duração. Os estudos a desenvolver durante a realização deste trabalho têm como principal objectivo a criação e implementação de um procedimento para reduzir a variabilidade e a duração dos tempos improdutivos nos processos produtivos, procurando integrar de forma proveitosa o sistema de gestão da qualidade já implementado na empresa, promovendo assim um avanço rumo a um aumento substancial da produtividade. Foram determinados quais os factores que influenciam a variabilidade dos tempos improdutivos do processo em estudo. Verificou-se que a utilização de métodos e ferramentas tais como 5S, uniformização dos processos (tarefas), Controlo Visual e SMED, contribuem para a redução, quer da variabilidade, quer da duração dos tempos improdutivos. Apesar de não ter sido realizada a completa integração do procedimento apresentando, nem as instruções de trabalho no sistema de gestão da qualidade implementado, a ênfase deste sistema na melhoria contínua, sendo inclusive este um dos oito princípios base dos requisitos da NP EN ISO9001:2000, vem apoiar e facilitar o processo de redução dos tempos improdutivos.
Because of not add value to the end product, the unproductive times must be object of study, with intention to proceed, when possible, to its elimination or the reduction of its duration. The studies to develop during the execution of this work have as main target the creation and implementation of a procedure to reduce the variability and the duration of the unproductive times in the productive processes, integrate whit beneficial if it is possible the system of management of the quality, already implemented in the company, promoting an advance in direction to a substantial increase of the productivity. The factors that influence the variability of the unproductive times of the process in study had been determined. Was verified that the use of methods and tools such as 5S, Standard Work, Visual Management and SMED, contribute for the reduction of the variability and duration of the unproductive times. Although not to have been carried through the effective integration of the procedure and the instructions of work presenting, in the implemented system of management of the quality, the emphasis of this system in the continuous improvement, being also this one of the eight principles base of the requirements of NP EN ISO9001: 2000, come to support and to facilitate the process of reduction of the unproductive times.
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Becker, Ralf. "Testing for nonlinear structure in time-series data". Thesis, Queensland University of Technology, 2001.
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Kobi, Abdessamad. "Diagnostic de processus continus : application à la détection de valeurs aberrantes dans les signaux d'entrée et de sortie de systèmes". Vandoeuvre-les-Nancy, INPL, 1994. http://www.theses.fr/1994INPL070N.
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Les travaux présentés dans ce mémoire se situent dans le cadre du diagnostic de processus continus. Ils sont axés sur la détection de défauts de capteurs et de modifications de processus industriels. Nous nous sommes plus particulièrement intéressés aux défauts de types valeurs aberrantes. Dans le premier chapitre, nous avons appliqué l'analyse en composantes principales sur un tableau de valeurs. Ainsi, nous avons mis en place une stratégie basée sur l'analyse des nuages des observations et sur la contribution de ces observations à la construction des axes factoriels pour la détection des valeurs aberrantes. Dans le deuxième chapitre, nous avons présenté une synthèse des différents diagnostics dans une régression linéaire. Une étude comparative a été réalisée et une application a été effectuée sur des données réelles du processus pilote réalisé au laboratoire. Pour le troisième chapitre de ce mémoire, nous avons appliqué des tests statistiques pour vérifier l'appartenance de toutes les mesures délivrées par le capteur à la loi de distribution connue ou déterminée à l'avance. Cette application a été effectuée d'une part sur des données du processus pilote et d'autre part sur des données simulées. Lorsque le signal délivré par le capteur est modélisé par un processus autorégressif, la procédure que nous avons mise en œuvre, dans le quatrième chapitre, permet d'estimer les paramètres du modèle, en utilisant la technique des moindres carres, de détecter et de localiser le défaut, d'identifier sa nature et enfin de corriger les mesures. Nous avons étendu cette approche à des processus auto régressifs vectoriels. Enfin, dans le cinquième chapitre, nous avons développé une technique originale, basée sur le calcul de l'amplitude de défaut normalisé par son écart-type, pour détecter les défauts capteurs sur les entrées et les sorties du système
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Chen, Fengwei. "Contributions à l'identification de modèles à temps continu à partir de données échantillonnées à pas variable". Thesis, Université de Lorraine, 2014. http://www.theses.fr/2014LORR0149/document.
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Cette thèse traite de l’identification de systèmes dynamiques à partir de données échantillonnées à pas variable. Ce type de données est souvent rencontré dans les domaines biomédical, environnemental, dans le cas des systèmes mécaniques où un échantillonnage angulaire est réalisé ou lorsque les données transitent sur un réseau. L’identification directe de modèles à temps continu est l’approche à privilégier lorsque les données disponibles sont échantillonnées à pas variable ; les paramètres des modèles à temps discret étant dépendants de la période d’échantillonnage. Dans une première partie, un estimateur optimal de type variable instrumentale est développé pour estimer les paramètres d’un modèle Box-Jenkins à temps continu. Ce dernier est itératif et présente l’avantage de fournir des estimées non biaisées lorsque le bruit de mesure est coloré et sa convergence est peu sensible au choix du vecteur de paramètres initial. Une difficulté majeure dans le cas où les données sont échantillonnées à pas variable concerne l’estimation de modèles de bruit de type AR et ARMA à temps continu (CAR et CARMA). Plusieurs estimateurs pour les modèles CAR et CARMA s’appuyant sur l’algorithme Espérance-Maximisation (EM) sont développés puis inclus dans l’estimateur complet de variable instrumentale optimale. Une version étendue au cas de l’identification en boucle fermée est également développée. Dans la deuxième partie de la thèse, un estimateur robuste pour l'identification de systèmes à retard est proposé. Cette classe de systèmes est très largement rencontrée en pratique et les méthodes disponibles ne peuvent pas traiter le cas de données échantillonnées à pas variable. Le retard n’est pas contraint à être un multiple de la période d’échantillonnage, contrairement à l’hypothèse traditionnelle dans le cas de modèles à temps discret. L’estimateur développé est de type bootstrap et combine la méthode de variable instrumentale itérative pour les paramètres de la fonction de transfert avec un algorithme numérique de type gradient pour estimer le retard. Un filtrage de type passe-bas est introduit pour élargir la région de convergence pour l’estimation du retard. Tous les estimateurs proposés sont inclus dans la boîte à outils logicielle CONTSID pour Matlab et sont évalués à l’aide de simulation de Monte-CarloThe output of a system is always corrupted by additive noise, therefore it is more practical to develop estimation algorithms that are capable of handling noisy data. The effect of white additive noise has been widely studied, while a colored additive noise attracts less attention, especially for a continuous-time (CT) noise. Sampling issues of CT stochastic processes are reviewed in this thesis, several sampling schemes are presented. Estimation of a CT stochastic process is studied. An expectation-maximization-based (EM) method to CT autoregressive/autoregressive moving average model is developed, which gives accurate estimation over a large range of sampling interval. Estimation of CT Box-Jenkins models is also considered in this thesis, in which the noise part is modeled to improve the performance of plant model estimation. The proposed method for CT Box-Jenkins model identification is in a two-step and iterative framework. Two-step means the plant and noise models are estimated in a separate and alternate way, where in estimating each of them, the other is assumed to be fixed. More specifically, the plant is estimated by refined instrumental variable (RIV) method while the noise is estimated by EM algorithm. Iterative means that the proposed method repeats the estimation procedure several times until a optimal estimate is found. Many practical systems have inherent time-delay. The problem of identifying delayed systems are of great importance for analysis, prediction or control design. The presence of a unknown time-delay greatly complicates the parameter estimation problem, essentially because the model are not linear with respect to the time-delay. An approach to continuous-time model identification of time-delay systems, combining a numerical search algorithm for the delay with the RIV method for the dynamic has been developed in this thesis. In the proposed algorithm, the system parameters and time-delay are estimated reciprocally in a bootstrap manner. The time-delay is estimated by an adaptive gradient-based method, whereas the system parameters are estimated by the RIV method. Since numerical method is used in this algorithm, the bootstrap method is likely to converge to local optima, therefore a low-pass filter has been used to enlarge the convergence region for the time-delay. The performance of the proposed algorithms are evaluated by numerical examples
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Tang, Xiaoming. "Contribution à la conception des systèmes à base de connaissances temps réel pour l'aide au contrôle de procédés continus". Valenciennes, 1989. https://ged.uphf.fr/nuxeo/site/esupversions/14214bfb-9aa9-4aef-b529-a5014cdbc3f6.
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Etude des problèmes théoriques et techniques liés à la réalisation des systèmes à base de connaissances pour assister en temps réel les taches décisionnelles des opérateurs en salle de contrôle des procédés continus : détection de dysfonctionnement, diagnostic et reprise.
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Gannon, Mark Andrew. "Passeios aleatórios em redes finitas e infinitas de filas". Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-16102017-154842/.
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Um conjunto de modelos compostos de redes de filas em grades finitas servindo como ambientes aleatorios para um ou mais passeios aleatorios, que por sua vez podem afetar o comportamento das filas, e desenvolvido. Duas formas de interacao entre os passeios aleatorios sao consideradas. Para cada modelo, e provado que o processo Markoviano correspondente e recorrente positivo e reversivel. As equacoes de balanceamento detalhado sao analisadas para obter a forma funcional da medida invariante de cada modelo. Em todos os modelos analisados neste trabalho, a medida invariante em uma grade finita tem forma produto. Modelos de redes de filas como ambientes para multiplos passeios aleatorios sao estendidos a grades infinitas. Para cada modelo estendido, sao especificadas as condicoes para a existencia do processo estocastico na grade infinita. Alem disso, e provado que existe uma unica medida invariante na rede infinita cuja projecao em uma subgrade finita e dada pela medida correspondente de uma rede finita. Finalmente, e provado que essa medida invariante na rede infinita e reversivel.A set of models composed of queueing networks serving as random environments for one or more random walks, which themselves can affect the behavior of the queues, is developed. Two forms of interaction between the random walkers are considered. For each model, it is proved that the corresponding Markov process is positive recurrent and reversible. The detailed balance equa- tions are analyzed to obtain the functional form of the invariant measure of each model. In all the models analyzed in the present work, the invariant measure on a finite lattice has product form. Models of queueing networks as environments for multiple random walks are extended to infinite lattices. For each model extended, the conditions for the existence of the stochastic process on the infinite lattice are specified. In addition, it is proved that there exists a unique invariant measure on the infinite network whose projection on a finite sublattice is given by the corresponding finite- network measure. Finally, it is proved that that invariant measure on the infinite lattice is reversible.
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Tribastone, Mirco. "Scalable analysis of stochastic process algebra models". Thesis, University of Edinburgh, 2010. http://hdl.handle.net/1842/4629.
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The performance modelling of large-scale systems using discrete-state approaches is fundamentally hampered by the well-known problem of state-space explosion, which causes exponential growth of the reachable state space as a function of the number of the components which constitute the model. Because they are mapped onto continuous-time Markov chains (CTMCs), models described in the stochastic process algebra PEPA are no exception. This thesis presents a deterministic continuous-state semantics of PEPA which employs ordinary differential equations (ODEs) as the underlying mathematics for the performance evaluation. This is suitable for models consisting of large numbers of replicated components, as the ODE problem size is insensitive to the actual population levels of the system under study. Furthermore, the ODE is given an interpretation as the fluid limit of a properly defined CTMC model when the initial population levels go to infinity. This framework allows the use of existing results which give error bounds to assess the quality of the differential approximation. The computation of performance indices such as throughput, utilisation, and average response time are interpreted deterministically as functions of the ODE solution and are related to corresponding reward structures in the Markovian setting. The differential interpretation of PEPA provides a framework that is conceptually analogous to established approximation methods in queueing networks based on meanvalue analysis, as both approaches aim at reducing the computational cost of the analysis by providing estimates for the expected values of the performance metrics of interest. The relationship between these two techniques is examined in more detail in a comparison between PEPA and the Layered Queueing Network (LQN) model. General patterns of translation of LQN elements into corresponding PEPA components are applied to a substantial case study of a distributed computer system. This model is analysed using stochastic simulation to gauge the soundness of the translation. Furthermore, it is subjected to a series of numerical tests to compare execution runtimes and accuracy of the PEPA differential analysis against the LQN mean-value approximation method. Finally, this thesis discusses the major elements concerning the development of a software toolkit, the PEPA Eclipse Plug-in, which offers a comprehensive modelling environment for PEPA, including modules for static analysis, explicit state-space exploration, numerical solution of the steady-state equilibrium of the Markov chain, stochastic simulation, the differential analysis approach herein presented, and a graphical framework for model editing and visualisation of performance evaluation results.
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El, Heda Khadijetou. "Choix optimal du paramètre de lissage dans l'estimation non paramétrique de la fonction de densité pour des processus stationnaires à temps continu". Thesis, Littoral, 2018. http://www.theses.fr/2018DUNK0484/document.
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Les travaux de cette thèse portent sur le choix du paramètre de lissage dans le problème de l'estimation non paramétrique de la fonction de densité associée à des processus stationnaires ergodiques à temps continus. La précision de cette estimation dépend du choix de ce paramètre. La motivation essentielle est de construire une procédure de sélection automatique de la fenêtre et d'établir des propriétés asymptotiques de cette dernière en considérant un cadre de dépendance des données assez général qui puisse être facilement utilisé en pratique. Cette contribution se compose de trois parties. La première partie est consacrée à l'état de l'art relatif à la problématique qui situe bien notre contribution dans la littérature. Dans la deuxième partie, nous construisons une méthode de sélection automatique du paramètre de lissage liée à l'estimation de la densité par la méthode du noyau. Ce choix issu de la méthode de la validation croisée est asymptotiquement optimal. Dans la troisième partie, nous établissons des propriétés asymptotiques, de la fenêtre issue de la méthode de la validation croisée, données par des résultats de convergence presque sûreThe work this thesis focuses on the choice of the smoothing parameter in the context of non-parametric estimation of the density function for stationary ergodic continuous time processes. The accuracy of the estimation depends greatly on the choice of this parameter. The main goal of this work is to build an automatic window selection procedure and establish asymptotic properties while considering a general dependency framework that can be easily used in practice. The manuscript is divided into three parts. The first part reviews the literature on the subject, set the state of the art and discusses our contribution in within. In the second part, we design an automatical method for selecting the smoothing parameter when the density is estimated by the Kernel method. This choice stemming from the cross-validation method is asymptotically optimal. In the third part, we establish an asymptotic properties pertaining to consistency with rate for the resulting estimate of the window-width
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Annic, Agnès. "Physiopathologie des troubles de la sélectivité attentionnelle dans la maladie de Parkinson : rôle des processus de capture et de contrôle volontaire de l'attention". Thesis, Lille 2, 2014. http://www.theses.fr/2014LIL2S046/document.
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La maladie de Parkinson (MP) est la deuxième affection neurodégénérative la plus fréquente après la maladie d’Alzheimer. Elle se caractérise par un dysfonctionnement du système des ganglions de la base, en rapport avec une dégénérescence des neurones dopaminergiques de la substance noire compacte. A côté des symptômes moteurs, la MP s’accompagne de troubles cognitifs, en particulier une altération des capacités de sélectivité attentionnelle. Ce déficit attentionnel se traduit par des difficultés à sélectionner les informations pertinentes pour la conduite en cours et peut entraîner des troubles cognitifs légers. L’origine des troubles attentionnels reste imprécise : on ignore s'ils résultent d’une défaillance des mécanismes volontaires d’orientation de l’attention ou d'une perturbation des processus automatiques de capture attentionnelle. Le filtrage sensoriel permet de focaliser notre attention grâce à une sélection des informations pertinentes pour l’action en cours et une inhibition des informations non pertinentes. Il peut être exploré en neurophysiologie par le paradigme d’inhibition par le prepulse (PPI). Ce dernier correspond à l’atténuation de la réponse motrice et corticale suite à la présentation d’un stimulus sursautant (pulse) lorsque celui-ci est précédé de quelques millisecondes d’un stimulus non sursautant (prepulse). Le PPI est influencé par l’attention, son amplitude étant majorée lorsque l’attention est portée volontairement sur le prepulse. L’objectif général était donc de mieux identifier la nature des troubles de la sélectivité attentionnelle dans la MP par un paradigme actif de PPI au cours duquel la réponse corticale au pulse est enregistrée. Nous faisions l’hypothèse que les parkinsoniens présenteraient une inhibition plus faible que les témoins sains. En cas de défaillance de mobilisation volontaire des ressources attentionnelles, l'inhibition de la réponse corticale au pulse devrait être moins importante lorsque les ressources attentionnelles allouées au traitement du prepulse mettent en jeu la mobilisation volontaire de l’attention. A l’inverse, en cas de défaut de capture attentionnelle, l’inhibition de la réponse serait moins importante lorsque le traitement du prepulse implique les processus automatiques de capture.Pour répondre à cet objectif, nous avons dans un premier temps développé et validé un paradigme actif de PPI au cours duquel l’effet de la mobilisation volontaire de l’attention et de la capture attentionnelle sur le processus de filtrage sensoriel a été évalué. Pour ce faire, 26 témoins sains jeunes ont bénéficié d’un électroencéphalogramme à haute résolution tout en réalisant une tâche attentionnelle sur laquelle a été greffé un paradigme actif de PPI. Nous avons recueilli la réponse corticale évoquée et induite par la présentation du pulse. 16 témoins sains âgés, 16 patients parkinsoniens sans trouble cognitif et 16 patients avec troubles cognitifs légers ont bénéficié du même enregistrement au cours de la même tâche attentionnelle. Chez les témoins sains jeunes, nous avons montré que les processus de mobilisation volontaire de l’attention et de capture attentionnelle modulaient de façon différentielle la réponse évoquée et induite par la présentation du pulse. Au cours du vieillissement, nous avons observé une meilleure sensibilité de la réponse corticale induite, ce qui nous a conduit à choisir ce marqueur cortical pour évaluer le filtrage sensoriel dans la MP. Nos résultats montrent une réduction de l’inhibition de la réponse induite chez les parkinsoniens avec troubles cognitifs légers, confirmant la distractibilité. La MP s’accompagne aussi d’une altération dans la génération des oscillations corticales dans la bande de fréquence thêta quand la focalisation de l’attention est engagéeParkinson’s disease (PD) is the most frequent neurodegenerative disorder after Alzheimer’s disease. It is characterized by degeneration of dopaminergic neurons in the substantia nigra pars compacta, causing a progressive loss of dopamine neurotransmission within the basal ganglia. Apart from motor symptoms, PD patients have cognitive disorders. Namely, focused attention is impaired and PD patients fail to select task-relevant information, leading sometimes to mild cognitive impairment (MCI). The origin of this impairment is still debated: PD-related selective attention deficit may be due either to a failure of goal-directed or stimulus-driven attention. Sensory gating helps the individuals to selectively allocate their attentional resources to salient stimuli and to inhibit irrelevant information. One of the physiological marker of this process is referred to as prepulse inhibition (PPI). It corresponds to the attenuation of the motor and cortical responses to a startling stimulus (pulse) when a non-startling stimulus (the prepulse) precedes the pulse by few milliseconds. PPI can be modulated by attention, its magnitude being greater after a to-be attended prepulse. Moreover, PPI is mediated by basal ganglia.The main aim of this work was to better identify the mechanisms involved in selective attention deficits in PD. We used an active PPI paradigm and recorded the cortical response to the pulse. We assumed that PD patients would exhibit a lower inhibition of the cortical response than healthy controls. If attention deficits in PD are related to an impairment of goal-directed attention, PD patients would exhibit lower inhibition after a to-be attended prepulse than in the other conditions. At the opposite, if it is due to a failure of stimulus-driven attention, inhibition would be lower after a prepulse which involuntarily captures attention than in the other conditions.In order to reach this objective, we have first developed and validated a new active PPI paradigm in order to investigate the role of goal-directed and stimulus-driven attention on sensory-cognitive gating. To this end, high resolution electroencephalogram was recorded in 26 young healthy subjects. They performed a selective attention task combined with an active PPI paradigm and the auditory-evoked and induced cortical response to the pulse was recorded. Then, the same procedure was administered in 16 elderly healthy subjects, 16 PD patients without MCI and 16 PD patients with MCI. In young healthy subjects, we found that stimulus-driven and goal-directed attention each had specific effects on the inhibition of the evoked and induced response to the pulse. The investigation of age-related changes on sensory gating revealed that the induced cortical response was more sensitive for assessing age-related changes than the evoked response. Then, we chose this cortical marker to investigate sensory gating in PD. Our results showed that PD patients with MCI exhibit lower inhibition of induced cortical response to the pulse than healthy controls. This finding confirms previous results showing a high distractibility in these patients. Moreover, PD patients exhibit impaired theta synchronization when focused attention was engaged
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Charlou, Christophe. "Caractérisation et modélisation de l’écoulement de boues résiduaires dans un sécheur à palettes". Thesis, Ecole nationale des Mines d'Albi-Carmaux, 2014. http://www.theses.fr/2014EMAC0004/document.
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Le séchage est une opération incontournable pour la valorisation énergétique des boues résiduaires. La flexibilité pour ajuster la teneur en matière sèche finale de la boue est un critère important pour le choix d'une technologie. Cet objectif est difficile à atteindre pour les sécheurs à palettes. La modélisation du processus est alors essentielle. Malheureusement, le comportement rhéologique des boues est complexe et la mécanique des fluides numérique est hors de portée. La notion de Distribution des Temps de Séjour est employée ici pour caractériser l'écoulement. Un protocole fiable et reproductible a été établi et mis en œuvre sur un pilote de laboratoire. Des injections Dirac d'oxyde de titane et de sels métalliques, avec la spectrométrie de fluorescence X comme méthode de détection, ont été employées pour caractériser les DTS du solide anhydre et de la boue humide. Pré-Mélanger la boue pâteuse, pour disperser le traceur par exemple, modifie la structure du matériau. Ceci a été mis en évidence par des mesures de distribution en taille des particules et par des caractérisations rhéologiques. Cependant, des expériences de séchage en batch ont montré que ce pré-Mélange n'a aucune influence sur la cinétique et sur la phase plastique. Nous avons montré que le solide anhydre et le solide humide s'écoulent de la même manière. Une seconde méthode, basée sur une détection par conductimétrie, a alors été développée. Plus facile à mettre en œuvre et moins onéreuse, cette méthode s'avère tout aussi fiable que la première. L'influence de la durée de stockage de la boue, avant séchage, a été évaluée. Le temps de séjour de la boue dans le sécheur double quand la durée de stockage passe de 24h à 48h. Finalement, un modèle d'écoulement, basé sur la théorie de chaînes de Markov, a été développé. L'écoulement du solide anhydre est décrit par une chaîne de n cellules parfaitement mélangées, n correspondant au nombre de palettes. Les probabilités de transition entre les cellules sont régies par deux paramètres : le ratio de recyclage interne, R, et la masse de solides retenus, MS. R est déterminé par la relation de Van der Laan et MS est identifié par ajustement du modèle aux données expérimentales. Le modèle décrit de manière satisfaisante les DTS. La masse de solides retenus identifiée est toujours plus faible que la quantité mesurée expérimentalement. Une partie de la boue, collée aux parois du sécheur et au rotor, agit comme un volume mortDrying is an unavoidable operation prior to sludge valorization in incineration, pyrolysis or gasification. The flexibility to adapt the solid content of the dried sludge to the demand is a major requirement of any drying system. This objective is difficult to reach for paddle dryers. Modeling the process is thus essential. Unfortunately, sludge rheological behavior is complex and computational fluid dynamics is out of reach for the time being. The concept of Residence Time Distribution (RTD) is used here to investigate sludge flow pattern in a paddle dryer. A reliable and reproducible protocol was established and implemented on a lab-Scale continuous dryer. Pulse injections of titanium oxide and of salt metals, with X-Ray fluorescence spectroscopy as detection method, were used to characterize the RTD of anhydrous solid and wet sludge, respectively. Premixing the pasty sludge, for tracer powder dispersion for instance, changes the structure of the material. This was highlighted through the measurements of particle size distributions and characterization of rheological properties. However, drying experiments performed in batch emphasized that premixing does not have any influence on the kinetic and the sticky phase. The RTD curves of the anhydrous solid are superimposed on those of the moist sludge. Consequently, a simpler protocol, based on pulse injection of chloride sodium and offline conductivity measurements, was established. Easier to implement in industry and cheaper, this method proves to be as reliable as the first one. The influence of storage duration prior to drying was assessed. The mean residence time doubles when the storage duration changes from 24h to 48h. Finally, a model based on the theory of Markov chains has been developed to represent the RTD. The flow of anhydrous solids is described by a chain of n perfectly mixed cells, n corresponding to the number of paddles. The transition probabilities between the cells are governed by two parameters: the ratio of internal recirculation, R, and the solids hold-Up, MS. R is determined from the Van der Laan's relation and MS is identified by fitting the model to the experimental RTD. The model describes the flow pattern with a good accuracy. The computed hold-Up is lower than the experimental one. Part of the sludge is stuck to the walls of the dryer, acting as dead volumes in the process
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Olcay, Taner. "Expressing Temporality In Graphical User Interface". Thesis, Malmö universitet, Fakulteten för kultur och samhälle (KS), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:mau:diva-23102.
Texto completoResumen
Temporality has been given attention in HCI research, with scholars arguing that temporal aspects in function-oriented graphical user interface are overlooked. However, these works have not adequately addressed practical approaches to manifest time in the design of such. This paper presents an approach for implementing temporal metaphors in the design of graphical user interface. In this design research, I materialize temporal metaphors into material qualities, in order to manifest time into the design of graphical user interface and shape the experiences of such designs. I argue that the design of temporal metaphors may express traces of time in graphical user interface differently from contemporary designs. I discuss implications and significance of unfolding experience over time. In conclusion, this design research, by articulating the experiences of its design works, sheds new light on the meanings of expressing temporal metaphors in the design of graphical user interface.