基于广义二次互相关的低信噪比信号时延估计

针对时延估计精度受噪声影响,导致时延估计不准确的问题,在现有广义二次相关算法的基础上,提出了一种改进的广义二次相关算法,通过将二次相关函数先做指数运算,降低噪声干扰,再将傅里叶逆变换得到的相关函数做高次方运算,达到锐化峰值提高时延正确率的目的。仿真结果表明,信噪比(SNR)在0~10 dB时,改进算法的均方根误差明显优于广义二次相关算法,正确率相比于广义二次相关算法也显著提高,且在更低SNR的情况下仍然具有一定优势。     

Thermal error compensation of a 5-axis machine tool using indigenous temperature sensors and CNC integrated Python code validated with a machined test piece

Achieving high workpiece accuracy is the long-term goal of machine tool designers. There are many causes for workpiece inaccuracy, with thermal errors being the most common. Indirect compensation (using prediction models for thermal errors) is a promising strategy to reduce thermal errors without increasing machine tool costs. The modelling approach uses transfer functions to deal with this issue; it is an established dynamic method with a physical basis, and its modelling and calculation speed are suitable for real-time applications. This research presents compensation for the main internal and external heat sources affecting the 5-axis machine tool structure including spindle rotation, three linear axes movements, rotary C axis and time-varying environmental temperature influence, save for the cutting process. A mathematical model using transfer functions is implemented directly into the control system of a milling centre to compensate for thermal errors in real time using Python programming language. The inputs of the compensation algorithm are indigenous temperature sensors used primarily for diagnostic purposes in the machine. Therefore, no additional temperature sensors are necessary. This achieved a significant reduction in thermal errors in three machine directions X, Y and Z during verification testing lasting over 60 h. Moreover, a thermal test piece was machined to verify the industrial applicability of the introduced approach. The results of the transfer function model compared with the machine tool's multiple linear regression compensation model are discussed.     

Backtesting portfolio value-at-risk with estimated portfolio weights

This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate framework. It particularly takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating portfolio weights and that from estimating the multi-variate dynamic model make the existing methods in a univariate framework inapplicable. It proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to implement valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. In particular, we apply our theory to the efficient mean-variance-skewness portfolio for a multi-variate generalized autoregressive conditional heteroscedasticity model with multi-variate general hyperbolic distributed innovations. Some Monte Carlo simulations and an empirical application demonstrate the merits of our method.     

Maximum likelihood-based adaptive differential evolution identification algorithm for multivariable systems in the state-space form

Parameter estimation plays an important role in the field of system control. This article is concerned with the parameter estimation methods for multivariable systems in the state-space form. For the sake of solving the identification complexity caused by a large number of parameters in multivariable systems, we decompose the original multivariable system into some subsystems containing fewer parameters and study identification algorithms to estimate the parameters of each subsystem. By taking the maximum likelihood criterion function as the fitness function of the differential evolution algorithm, we present a maximum likelihood-based differential evolution (ML-DE) algorithm for parameter estimation. To improve the parameter estimation accuracy, we introduce the adaptive mutation factor and the adaptive crossover factor into the ML-DE algorithm and propose a maximum likelihood-based adaptive differential evolution algorithm. The simulation study indicates the efficiency of the proposed algorithms.     

Shape from focus based on 3D structure tensor using optical microscopy

Shape from focus (SFF) is a widely used passive optical method for 3D shape reconstruction. In SFF, a focus measure, which is used to estimate the relative focus level, plays a critical role in depth estimation. In this article, we present a new focus measure for accurate 3D shape estimation in optical microscopy based on the analysis of 3D structure tensor. First, the 3D tensors are computed from the input image sequence for each pixel. Then, each tensor is decomposed into point, curve, and surface tensors by decomposing tensors into eigenvalues and eigenvectors. Finally, the surfaceness is used to measure the quality of sharpness. The proposed focus measure provides accurate focus values and better resistance against noise. The proposed measure is evaluated by conducting experiments using image sequences of simulated and microscopic real objects. The comparative analysis demonstrates the effectiveness of the proposed focus measure in recovering 3D shape.     

A multi-tone central divided difference frequency tracker with adaptive process noise covariance tuning

The problem of real-time frequency estimation of nonstationary multi-harmonic signals is important in many applications. In this paper, we propose a novel multi-frequency tracker based on a state-space representation of the signal with Cartesian filters and the second-order central divided difference filter (CDDF), which improves the performance of the extended Kalman filter (EKF) by using Stirling's interpolation method to approximate the mean and covariance of the state vector. A crucial element of the method is the adaptive scaling of the process noise covariance matrix appearing in the filter equations, as a function of the innovation sequence, which tunes the accuracy-reactivity trade-off of the filter. The proposed solution is evaluated against two approaches from the literature, namely the factorized adaptive notch filter (FANF) and the extended Kalman filter frequency tracker (EKFFT). Several experiments emphasize the estimation accuracy of the proposed method as well as the improved robustness with respect to initial errors and input signal complexity. The presented method appears to be particularly efficient with rapidly varying frequencies, thanks to the update mechanism that adjusts the filter parameters based on the amplitude of the estimation error.     

基于改进交叉熵算法的电力系统随机生产模拟

蒙特卡洛模拟的计算效率与系统的可靠性密切相关，在其用于高可靠性系统的随机模拟时存在计算效率偏低的问题。为此，提出了一种基于多层交叉熵与对偶变数抽样技术相结合的随机模拟算法。首先使用多层交叉熵构造零方差概率密度函数的近似函数，提高小概率失效事件的抽取概率；其次基于已构造的近似概率函数，采用对偶变数抽样法进行抽样，进一步提高抽样的收敛速度。以IEEE RTS修改系统为例进行了算例分析，算例结果验证了所提出的基于改进交叉熵的电力系统随机生产模拟算法的有效性。     

Distributed data-driven observer for linear time invariant systems

This paper is concerned with distributed data-driven observer design problem. The existing data-driven observers rely on a common assumption that all the information about the system, and the calculations based upon this information are centralized. Therefore the resulting algorithms cannot be applied to the distributed systems in which each local observer receives only a part of the output signal. On the other hand, traditional model-based distributed state estimation methods generally assume that the processes are decomposed according to the known process models, while in data-driven approaches there is no such information available. The main goal of this paper is to extend the centralized data-driven observer design approach to the distributed framework. The stability of the proposed data-driven distributed observer is also proved analytically. A quadruple-tank process is simulated to demonstrate the performance of the proposed scheme.     

Outlier accommodation in moving-horizon state estimation: A risk-averse performance-specified approach

This paper presents a novel state estimation approach for linear dynamic systems when measurements are corrupted by outliers. Since outliers can degrade the performance of state estimation, outlier accommodation is critical. The standard approach combines outlier detection utilizing Neyman-Pearson (NP) type tests with a Kalman filter (KF). This approach ignores all residuals greater than a designer-specified threshold. When measurements with outliers are used (ie, missed detections), both the state estimate and the error covariance matrix become corrupted. This corrupted state and covariance estimate are then the basis for all subsequent outlier decisions. When valid measurements are rejected (ie, false alarms), potentially using the corrupted state estimate and error covariance, measurement information is lost. Either using invalid information or discarding too much valid information can result in divergence of the KF. An alternative approach is moving-horizon (MH) state estimation, which maintains all recent measurement data within a moving window with a time horizon of length L. In MH approaches, the number of measurements available for state estimation is affected by both the number of measurements per time step and the number of time steps L over which measurements are retained. Risk-averse performance-specified (RAPS) state estimation works within an optimization setting to choose a set of measurements that achieves a performance specification with minimum risk of outlier inclusion. This paper derives and formulates the MH-RAPS solution for outlier accommodation. The paper also presents implementation results. The MH-RAPS application uses Global Navigation Satellite Systems measurements to estimate the state of a moving platform using a position, velocity, and acceleration model. In this application, MH-RAPS performance is compared with MH-NP state estimation.     

Process noise covariance estimation via stochastic approximation

Kalman filtering for linear systems is known to provide the minimum variance estimation error, under the assumption that the model dynamics is known. While many system identification tools are available for computing the system matrices from experimental data, estimating the statistics of the output and process noises is still an open problem. Correlation-based approaches are very fast and sufficiently accurate, but there are typically restrictions on the number of noise covariance elements that can be estimated. On the other hand, maximum likelihood methods estimate all elements with high accuracy, but they are computationally expensive, and they require the use of external optimization solvers. In this paper, we propose an alternative solution, tailored for process noise covariance estimation and based on stochastic approximation and gradient-free optimization, that provides a good trade-off in terms of performance and computational load, and is also easy to implement. The effectiveness of the method as compared to the state of the art is shown on a number of recently proposed benchmark examples.