Forecasting financial time series using a methodology based on autoregressive integrated moving average and Taylor expansion

Financial time series prediction is regarded as one of the most challenging job because of its inherent complexity, and the hybrid forecasting model incorporating autoregressive integrated moving average and support vector machine (SVM) has been implemented widely to deal with the both linear and nonlinear patterns in time series data. However, the SVM model does not take into consideration the time correlation knowledge between different data points in time series, which impacts the learning efficiency of the SVM in real application. To overcome this restriction, this paper proposes the Taylor Expansion Forecasting model as an alternative to the SVM and develops a novel hybrid methodology via combining autoregressive integrated moving average and Taylor Expansion Forecasting to exploit the comprehensive forecasting capacity to the financial time series data with noise. Both theoretical proof and empirical results obtained on several commodity future prices demonstrate that the proposed hybrid model improves greatly the forecasting accuracy.     

跟踪微分器在生物雷达中的应用

在探测废墟下存活的人体时,生物雷达很难找到理想的参考信号对采集的信号进行处理.对已有生物雷达信号处理方法性能分析,提出了基于微分跟踪器（TD）的信号处理方法.该方法不需要理想的信号作为参考信号,且收敛性能和鲁棒性好、稳态误差小.MATLAB仿真分析证明了该算法应用于生物雷达信号处理的有效性.     

无模型自适应控制在锅炉主汽温控系统中的应用

针对电厂锅炉主汽温度对象大延迟、大惯性、多种扰动以及非线性、时变性的控制难点,提出带有跟踪微分器的无模型自适应控制器串级系统主控制器设计方法,控制器融合衰减因子与滤波抑制测量扰动,自抗扰观测抑制负载扰动。仿真结果表明控制方法具有较强的鲁棒性和自适应能力。     

All-optical temporal fractional order differentiator using an in-fiber ellipsoidal air-microcavity

An all-optical temporal fractional order differentiator with ultrabroad bandwidth (~1.6 THz) and extremely simple fabrication is proposed and experimentally demonstrated based on an in-fiber ellipsoidal air-microcavity. The ellipsoidal air-microcavity is fabricated by splicing a single mode fiber (SMF) and a photonic crystal fiber (PCF) together using a simple arc-discharging technology. By changing the arc-discharging times, the propagation loss can be adjusted and then the differentiation order is tuned. A nearly Gaussian-like optical pulse with 3 dB bandwidth of 8 nm is launched into the differentiator and a 0.65 order differentiation of the input pulse is achieved with a processing error of 2.55%.     

汽轮机调节系统微分器卡涩故障仿真及诊断

微分器卡涩对汽轮机正常运行有较大的危害。分析了微分器卡涩的机理,有主滑阀卡涩、延迟滑阀卡涩、继动滑阀卡涩３种,给出了微分器卡涩的模型和不同卡涩形式的仿真结果,提出了使用力平衡残差方法进行卡涩诊断。还通过实例表明了分析的正确性。     

基于Pisarenko谐波分解的间谐波估算方法

随着电力系统的发展以及非线性电力元件的大量应用,电网中的谐波状况更加复杂化,非整数次谐波分量——间谐波和次谐波变得较为突出。文章应用Pisarenko谐波分解(PHD)原理来计算谐波和间谐波的频率和幅值。该方法基于信号自相关估计将信号的特征空间划分成信号子空间与噪声子空间,根据这两个子空间正交的原理构建特征多项式和代数方程组,从而计算出各种谐波分量的频率和幅值。由于该方法假设各频率分量的相位是随机分布的,无法给出谐波的相位信息。文章还结合整数次谐波、间谐波和次谐波估算仿真实验分析了PHD方法的敏感因素。并针对电力系统中谐波分量和基波分量能量相差较大影响估计结果的问题,提出了低通差分预处理的解决方法,取得了较好的估算效果。     

基于非线性跟踪微分器的异步电机前馈控制

传统的异步电机转速电流双闭环系统中,为了避免高频噪声导致系统振荡,速度调节器和电流调节器都采用PI调节器.在要求电机转速快速跟踪给定信号且电机惯性较大时,PI调节器的积分滞后效应易导致速度环超调甚至振荡,单纯采用反馈控制很难解决快速性和稳定性之间的矛盾.采用前馈控制可使系统实现完全补偿,极大地扩展了系统带宽,从而改善了系统的快速性,同时可避免快速性和稳定性之间的矛盾.提出了一种基于非线性跟踪微分器的异步电机前馈控制技术,可用于对跟随性能要求高的随动系统.     

High accuracy acceleration determination by using multiple GNSS reference stations

To determine the velocity and acceleration of the receivers under the requirements of high accuracy applications using global navigation satellite system (GNSS), models and algorithms based on multiple reference stations were presented in this paper. As one of the key techniques, the navigation satellites’ velocities and accelerations calculation methods were analyzed, including two cases: (1) under the requirement of real time applications, the navigation satellites’ velocities and accelerations have to be calculated by using broadcast ephemeris, the analytic expressions from three types of broadcast ephemeris, including Kepler elements, modified Kepler elements and position-velocity types, were derived, (2) under the requirement of high accuracy applications, the numerical difference method was also analyzed. Furthermore, the baseline-dependant error suppression methods based on multiple reference stations were illustrated briefly. Finally, experiments which data from multiple reference stations show that the estimation precision of this method can be improved about 15–20% compared with the single reference station real-time kinematic (RTK)-derived method both in static and kinematic cases.     

Iterative design of variable fractional-order IIR differintegrators

In this paper, the variable fractional-order (VFO) differintegrator is designed based on IIR-typed Farrow structure. The stability of the designed VFO IIR differintegrator is achieved by incorporating a constrained function into the objective error function. But the minimization of the original objective error function is a highly nonlinear problem, so an iterative quadratic method is proposed to overcome it. Comparing with the design based on FIR-typed Farrow structure, several designed examples, including a VFO differintegrator, a pure VFO differentiator and a pure VFO integrator, are presented to demonstrate the effectiveness of the proposed method.     

基于ESO及NTD的PMSM无机械传感器位置控制

在分析永磁同步电机(PMSM)系统模型的基础上,提出了一种基于扩张状态观测器(ESO)及非线性跟踪微分器(NTD)的PMSM无机械传感器位置控制系统。控制系统通过基于ESO及NTD的观测器实时观测出电机转子位置及转速,在此基础上实现PMSM无机械传感器位置控制。仿真和实验结果表明该系统结构简单,控制快速、准确、无超调,对于外界干扰具有较强的鲁棒性。