Efficiency versus Robustness of Markets - Why improving market efficiency should not be the only objective of market regulation

The efficiency of capital markets has been questioned almost as long as the efficient market hypothesis had been worked out. Numerous critics have been formulated against this hypothesis, questioning notably the behavioural assumptions underlying the efficient market hypothesis. The present contribution does not focus on the behavioural assumptions but rather looks at the implications of focusing purely on the objective of market efficiency when considering market design questions. Hence it aims at discussing the following, possibly rather fundamental issue: Is the objective of efficiency, which has guided most of the market reforms in the last decades, sufficient? Or has it to be complemented by the objective of robustness? Mathematical and engineering control theory has developed the concept of robust control (e.g. Zhou and Doyle, 1998) and it has been shown that there is always a trade-off between the efficiency of a control system and its robustness (cf. e.g. Safonov, 1981, Doyle et al., 1988). The efficiency of the system describes its reactions to disturbance signals. The lower the integral loss function over the so-called transfer or sensitivity function, the less a system is affected by disturbances such as demand fluctuations, and the more efficient is the control. The economic equivalent clearly is the maximisation of welfare, which results in an efficient economic system. Robustness by contrast is defined as stability of the control system in the presence of model uncertainty (deviations in the model parameters or misperceptions of the underlying system). These concepts are applied to the financial markets in their interaction with the real economy. The financial markets being understood as the controllers of real world activity through investments, the implications of misperceptions in the financial sphere are analysed both theoretically and in an application example. From the theory it may readily derived that financial markets providing efficient, i.e. welfare-optimal solutions, must have limitations with respect to robustness. Also in the application example it turns out that in the presence of potential misperception a reduction of irreversible cost shares in investments may lead to an increase in overall expected system costs. Hence improvements in (conventional) market efficiency may be counter-productive by facilitating misallocation of capital as a consequence of misperceptions in the financial markets. This leads to the conclusion that a sole focus on the efficiency objective in market design is problematic and some of the recent turmoil in financial markets may be explained by the lack of consideration given to robustness issues.market efficiency, robustness, optimal control, stochastic dynamic growth

A classification of techniques for the compensation of time delayed processes. Part 2: Structurally optimised controllers

Following on from Part 1, Part 2 of the paper considers the use of structurally optimised controllers to compensate time delayed processes

Observer Based Scheme for the Control of High Order Systems with Two Unstable Poles Plus Time Delay

International audienceThis paper deals with the problem of the stabilization and control of linear time invariant high order systems with two unstable real poles plus time delay. A simple observer based controller is designed in order to achieve a stable behavior of the closed loop system. Necessary and sufficient conditions for the existence of the proposed control structure are stated. Hence, only four proportional gains and the model of the plant are enough to obtain a stable response of the delayed system. Moreover, a robustness analysis is presented in order to compute the maximal uncertainty bound accepted for the delay term. In addition, a two degrees of freedom PI control action is implemented in order to track step references and to reject step disturbances. The achieved performance of the proposed control strategy is illustrated by mean of numerical simulations

Learning-based predictive control for linear systems: a unitary approach

A comprehensive approach addressing identification and control for learningbased Model Predictive Control (MPC) for linear systems is presented. The design technique yields a data-driven MPC law, based on a dataset collected from the working plant. The method is indirect, i.e. it relies on a model learning phase and a model-based control design one, devised in an integrated manner. In the model learning phase, a twofold outcome is achieved: first, different optimal p-steps ahead prediction models are obtained, to be used in the MPC cost function; secondly, a perturbed state-space model is derived, to be used for robust constraint satisfaction. Resorting to Set Membership techniques, a characterization of the bounded model uncertainties is obtained, which is a key feature for a successful application of the robust control algorithm. In the control design phase, a robust MPC law is proposed, able to track piece-wise constant reference signals, with guaranteed recursive feasibility and convergence properties. The controller embeds multistep predictors in the cost function, it ensures robust constraints satisfaction thanks to the learnt uncertainty model, and it can deal with possibly unfeasible reference values. The proposed approach is finally tested in a numerical example

Robust control strategies for unstable systems with input/output delays

Los sistemas con retardo temporal aparecen con frecuencia en el ámbito de la ingeniería, por ejemplo en transmisiones hidráulicas o mecánicas, procesos metalúrgicos o sistemas de control en red. Los retardos temporales han despertado el interés de los investigadores en el ámbito del control desde finales de los años 50. Se ha desarrollado una amplia gama de herramientas para el análisis de su estabilidad y prestaciones, especialmente durante las dos últimas décadas. Esta tesis se centra en la estabilización de sistemas afectados por retardos temporales en la actuación y/o la medida. Concretamente, las contribuciones que aquí se incluyen tienen por objetivo mejorar las prestaciones de los controladores existentes en presencia de perturbaciones. Los retardos temporales degradan, inevitablemente, el desempeño de un bucle de control. No es de extrañar que el rechazo de perturbaciones haya sido motivo de estudio desde que emergieron los primeros controladores predictivos para sistemas con retardo. Las estrategias presentadas en esta tesis se basan en la combinación de controladores predictivos y observadores de perturbaciones. Estos últimos han sido aplicados con éxito para mejorar el rechazo de perturbaciones de controladores convencionales. Sin embargo, la aplicación de esta metodología a sistemas con retardo es poco frecuente en la literatura, la cual se investiga exhaustivamente en esta tesis. Otro inconveniente de los controladores predictivos está relacionado con su implementación, que puede llevar a la inestabilidad si no se realiza cuidadosamente. Este fenómeno está relacionado con el hecho de que las leyes de control predictivas se expresan mediante una ecuación integral. En esta tesis se presenta una estructura de control alternativa que evita este problema, la cual utiliza un observador de dimensión infinita, gobernado por una ecuación en derivadas parciales de tipo hiperbólico.Time-delay systems are ubiquitous in many engineering applications, such as mechanical or fluid transmissions, metallurgical processes or networked control systems. Time-delay systems have attracted the interest of control researchers since the late 50's. A wide variety of tools for stability and performance analysis has been developed, specially over the past two decades. This thesis is focused on the problem of stabilizing systems that are affected by delays on the actuator and/or sensing paths. More specifically, the contributions herein reported aim at improving the performance of existing controllers in the presence of external disturbances. Time delays unavoidably degrade the control loop performance. Disturbance rejection has been a matter of concern since the first predictive controllers for time-delay systems emerged. The key idea of the strategies presented in this thesis is the combination of predictive controllers and disturbance observers. The latter have been successfully applied to improve the disturbance rejection capabilities of conventional controllers. However, the application of this methodology to time-delay systems is rarely found in the literature. This combination is extensively investigated in this thesis. Another handicap of predictive controllers has to do with their implementation, which can induce instability if not done carefully. This issue is related to the fact that predictive control laws take the form of integral equations. An alternative control structure that avoids this problem is also reported in this thesis, which employs an infinite-dimensional observer, governed by a hyperbolic partial differential equation.Sanz Díaz, R. (2018). Robust control strategies for unstable systems with input/output delays [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/111830TESI

Psychological approaches to understanding and promoting recovery in psychosis and bipolar disorder:a mixed-methods approach

BackgroundRecovery in mental health is a relatively new concept, but it is becoming more accepted that people can recover from psychosis. Recovery-orientated services are recommended for adult mental health, but with little evidence base to support this. ObjectivesTo facilitate understanding and promotion of recovery in psychosis and bipolar disorder (BD), in a manner that is empowering and acceptable to service users. MethodThere were six linked projects using qualitative and quantitative methodologies: (1) developing and piloting a service user-defined measure of recovery; (2) a Delphi study to determine levels of consensus around the concept of recovery; (3) examination of the psychological factors associated with recovery and how these fluctuate over time; (4) development and evaluation of cognitive–behavioural approaches to guided self-help including a patient preference trial (PPT); (5) development and evaluation of cognitive–behavioural therapy (CBT) for understanding and preventing suicide in psychosis including a randomised controlled trial (RCT); and (6) development and evaluation of a cognitive–behavioural approach to recovery in recent onset BD, including a RCT of recovery-focused cognitive–behavioural therapy (RfCBT). Service user involvement was central to the programme. ResultsMeasurement of service user-defined recovery from psychosis (using the Subjective Experience of Psychosis Scale) and BD (using the Bipolar Recovery Questionnaire) was shown to be feasible and valid. The consensus study revealed a high level of agreement among service users for defining recovery, factors that help or hinder recovery and items which demonstrate recovery. Negative emotions, self-esteem and hope predicted recovery judgements, both cross-sectionally and longitudinally, whereas positive symptoms had an indirect effect. In the PPT, 89 participants entered the study, three were randomised, 57 were retained in the trial until 15-month follow-up (64%). At follow-up there was no overall treatment effect on the primary outcome (Questionnaire about the Process of Recovery total; p = 0.82). In the suicide prevention RCT, 49 were randomised and 35 were retained at 6-month follow-up (71%). There were significant improvements in suicidal ideation [Adult Suicidal Ideation Questionnaire; treatment effect = –12.3, 95% confidence interval (CI) –24.3 to –0.14], Suicide Probability Scale (SPS; treatment effect = –7.0, 95% CI –15.5 to 0) and hopelessness (subscale of the SPS; treatment effect = –3.8, 95% CI –7.3 to –0.5) at follow-up. In the RCT for BD, 67 participants were randomised and 45 were retained at the 12-month follow-up (67%). Recovery score significantly improved in comparison with treatment as usual (TAU) at follow-up (310.87, 95% CI 75.00 to 546.74). At 15-month follow-up, 32 participants had experienced a relapse of either depression or mania (20 TAU vs. 12 RfCBT). The difference in time to recurrence was significant (estimated hazard ratio 0.38, 95% CI 0.18 to 0.78; p < 0.006). ConclusionsThis research programme has improved our understanding of recovery in psychosis and BD. Key findings indicate that measurement of recovery is feasible and valid. It would be feasible to scale up the RCTs to assess effectiveness of our therapeutic approaches in larger full trials, and two of the studies (CBT for suicide prevention in psychosis and recovery in BD) found significant benefits on their primary outcomes despite limited statistical power, suggesting definitive trials are warranted. FundingThe National Institute for Health Research Programme Grants for Applied Research programme

Couch-based motion compensation: modelling, simulation and real-time experiments

Abstract The paper presents a couch-based active motion compensation strategy evaluated in simulation and validated experimentally using both a research and a clinical Elekta Precise Table™. The control strategy combines a Kalman filter to predict the surrogate motion used as a reference by a linear model predictive controller with the control action calculation based on estimated position and velocity feedback provided by an observer as well as predicted couch position and velocity using a linearized state space model. An inversion technique is used to compensate for the dead-zone nonlinearity. New generic couch models are presented and applied to model the Elekta Precise Table™ dynamics and nonlinearities including dead zone. Couch deflection was measured for different manufacturers and found to be up to 25 mm. A feed-forward approach is proposed to compensate for such couch deflection. Simultaneous motion compensation for longitudinal, lateral and vertical motions was evaluated using arbitrary trajectories generated from sensors or loaded from files. Tracking errors were between 0.5 and 2 mm RMS. A dosimetric evaluation of the motion compensation was done using a sinusoidal waveform. No notable differences were observed between films obtained for a fixed- or motion-compensated target. Further dosimetric improvement could be made by combining gating, based on tracking error together with beam on/off time, and PSS compensation.</jats:p