Stochastic chaos and thermodynamic phase transitions : theory and Bayesian estimation algorithms

Thesis (M. Eng. and S.B.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2007.Includes bibliographical references (p. 177-200).The chaotic behavior of dynamical systems underlies the foundations of statistical mechanics through ergodic theory. This putative connection is made more concrete in Part I of this thesis, where we show how to quantify certain chaotic properties of a system that are of relevance to statistical mechanics and kinetic theory. We consider the motion of a particle trapped in a double-well potential coupled to a noisy environment. By use of the classic Langevin and Fokker-Planck equations, we investigate Kramers' escape rate problem. We show that there is a deep analogy between kinetic rate theory and stochastic chaos, for which we propose a novel definition. In Part II, we develop techniques based on Volterra series modeling and Bayesian non-linear filtering to distinguish between dynamic noise and measurement noise. We quantify how much of the system's ergodic behavior can be attributed to intrinsic deterministic dynamical properties vis-a-vis inevitable extrinsic noise perturbations.by Zhi-De Deng.M.Eng.and S.B

Non linear dependences in finance

La thèse est composée de trois parties. La partie I introduit les outils mathématiques et statistiques appropriés pour l'étude des dépendances, ainsi que des tests statistiques d'adéquation pour des distributions de probabilité empiriques. Je propose deux extensions des tests usuels lorsque de la dépendance est présente dans les données, et lorsque la distribution des observations a des queues larges. Le contenu financier de la thèse commence à la partie II. J'y présente mes travaux concernant les dépendances transversales entre les séries chronologiques de rendements journaliers d'actions, c'est à dire les forces instantanées qui relient plusieurs actions entre elles et les fait se comporter collectivement plutôt qu'individuellement. Une calibration d un nouveau modèle à facteurs est présentée ici, avec une comparaison à des mesures sur des données réelles. Finalement, la partie III étudie les dépendances temporelles dans des séries chronologiques individuelles, en utilisant les mêmes outils et mesures de corrélations. Nous proposons ici deux contributions à l'étude du volatility clustering , de son origine et de sa description: l'une est une généralisation du mécanisme de rétro-action ARCH dans lequel les rendements sont auto-excitants, et l'autre est une description plus originale des auto-dépendances en termes de copule. Cette dernière peut être formulée sans modèle et n'est pas spécifique aux données financières. En fait, je montre ici aussi comment les concepts de récurrences, records, répliques et temps d'attente, qui caractérisent la dynamique dans les séries chronologiques, peuvent être écrits dans la cadre unifié des copules.The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I propose two extensions of usual tests when dependence is present in the sample data and when observations have a fat-tailed distribution. The financial content of the thesis starts in Part II. I present there my studies regarding the cross-sectional dependences among the time series of daily stock returns, i.e. the instantaneous forces that link several stocks together and make them behave somewhat collectively rather than purely independently. A calibration of a new factor model is presented here, together with a comparison to measurements on real data. Finally, Part III investigates the temporal dependences of single time series, using the same tools and measures of correlation. I propose two contributions to the study of the origin and description of volatility clustering : one is a generalization of the ARCH-like feedback construction where the returns are self-exciting, and the other one is a more original description of self-dependences in terms of copulas. The latter can be formulated model-free and is not specific to financial time series. In fact, I also show here how concepts like recurrences, records, aftershocks and waiting times, that characterize the dynamics in a time series can be written in the unifying framework of the copula.CHATENAY MALABRY-Ecole centrale (920192301) / SudocSudocFranceF

Space programs summary no. 37-37, volume IV for the period December 1, 1965 to January 31, 1966. Supporting research and advanced development

Guidance and control, engineering development, environmental simulation, jet propulsion, space science, and telecommunication

An integrated study of earth resources in the state of California using remote sensing techniques

There are no author-identified significant results in this report

Unraveling the puzzles of spectroscopy-based non-invasive blood glucose detection

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2011.Cataloged from PDF version of thesis.Includes bibliographical references.Disorders of glucose homeostasis, including types 1 and 2 diabetes, represent a leading cause of morbidity and mortality worldwide. Diagnosis and therapeutic monitoring of diabetes requires direct measurement of blood glucose. Regardless of the clinical test performed, however, withdrawal of blood is currently required for measurement of blood glucose levels. Non-invasive measurement of blood glucose levels is highly desired, given the large number of diabetics who must undergo glucose testing several times each day. In this context, near-infrared (NIR) Raman spectroscopy has shown substantial promise by providing successful predictions of glucose at physiologically relevant concentrations in vitro and even in individual human volunteers at single sittings. Nevertheless, prospective application of a spectroscopic calibration model - over a larger population or over several sittings - has proven to be challenging. This thesis investigates the optical and physiological challenges that impede calibration transfer by introducing non-analyte specific variances. Specifically, we present major advances in four research directions. First, the effects of sample-to-sample turbidity induced variations in quantitative spectroscopy are studied. To account for these variations, a novel method, based on the photon migration theory, is proposed. We demonstrate that the proposed method can extract intrinsic line shapes and intensity information from Raman spectra acquired in a turbid medium thereby improving quantitative predictions significantly. Second, we quantify the sensitivity of Raman calibration models to endogenous fluorescence and its temporal quenching. Application of shifted subtracted Raman spectroscopy is proposed to reduce the possibility of spurious models developed on the basis of chance correlation between the concentration dataset and quenched fluorescence levels. Third, we solve the problem of physiological lag between blood and interstitial fluid glucose levels, which creates inconsistencies in calibration, where blood glucose measurements are used as reference but the acquired spectra are indicative of ISF glucose levels. To overcome this problem, we introduce a mass transfer-based concentration correction scheme and demonstrate its effectiveness in clinical studies. Finally, we propose a new design for fabricating a handheld Raman glucose monitor by employing excitation and detection of wavelengths selected on the basis of their spectral information content. Based on the advances in instrumentation and methodology outlined in this thesis, we anticipate that our current clinical studies will establish the viability of Raman spectroscopy for non-invasive blood glucose detection.by Ishan Barman.Ph.D

Towards Fault Diagnosis in Reconfigurable Robot

東京電機大学201

Proceedings of SIRM 2023 - The 15th European Conference on Rotordynamics

It was our great honor and pleasure to host the SIRM Conference after 2003 and 2011 for the third time in Darmstadt. Rotordynamics covers a huge variety of different applications and challenges which are all in the scope of this conference. The conference was opened with a keynote lecture given by Rainer Nordmann, one of the three founders of SIRM “Schwingungen in rotierenden Maschinen”. In total 53 papers passed our strict review process and were presented. This impressively shows that rotordynamics is relevant as ever. These contributions cover a very wide spectrum of session topics: fluid bearings and seals; air foil bearings; magnetic bearings; rotor blade interaction; rotor fluid interactions; unbalance and balancing; vibrations in turbomachines; vibration control; instability; electrical machines; monitoring, identification and diagnosis; advanced numerical tools and nonlinearities as well as general rotordynamics. The international character of the conference has been significantly enhanced by the Scientific Board since the 14th SIRM resulting on one hand in an expanded Scientific Committee which meanwhile consists of 31 members from 13 different European countries and on the other hand in the new name “European Conference on Rotordynamics”. This new international profile has also been emphasized by participants of the 15th SIRM coming from 17 different countries out of three continents. We experienced a vital discussion and dialogue between industry and academia at the conference where roughly one third of the papers were presented by industry and two thirds by academia being an excellent basis to follow a bidirectional transfer what we call xchange at Technical University of Darmstadt. At this point we also want to give our special thanks to the eleven industry sponsors for their great support of the conference. On behalf of the Darmstadt Local Committee I welcome you to read the papers of the 15th SIRM giving you further insight into the topics and presentations