Nonparametric nonlinear model predictive control

Model Predictive Control (MPC) has recently found wide acceptance in industrial applications, but its potential has been much impeded by linear models due to the lack of a similarly accepted nonlinear modeling or databased technique. Aimed at solving this problem, the paper addresses three issues: (i) extending second-order Volterra nonlinear MPC (NMPC) to higher-order for improved prediction and control; (ii) formulating NMPC directly with plant data without needing for parametric modeling, which has hindered the progress of NMPC; and (iii) incorporating an error estimator directly in the formulation and hence eliminating the need for a nonlinear state observer. Following analysis of NMPC objectives and existing solutions, nonparametric NMPC is derived in discrete-time using multidimensional convolution between plant data and Volterra kernel measurements. This approach is validated against the benchmark van de Vusse nonlinear process control problem and is applied to an industrial polymerization process by using Volterra kernels of up to the third order. Results show that the nonparametric approach is very efficient and effective and considerably outperforms existing methods, while retaining the original data-based spirit and characteristics of linear MPC

High-order volterra model predictive control and its application to a nonlinear polymerisation process

Model Predictive Control (MPC) has recently found wide acceptance in the process industry, but the existing design and implementation methods are restricted to linear process models. A chemical process involves, however, severe nonlinearity which cannot be ignored in practice. This paper aims to solve this nonlinear control problem by extending MPC to nonlinear models. It develops an analytical framework for nonlinear model predictive control (NMPC), and also offers a third-order Volterra series based nonparametric nonlinear modelling technique for NMPC design which relieves practising engineers from the need for first deriving a physical-principles based model. An on-line realisation technique for implementing the NMPC is also developed. The NMPC is then applied to a Mitsubishi Chemicals polymerisation reaction process. The results show that this nonlinear MPC technique is feasible and very effective. It considerably outperforms linear and low-order Volterra model based methods. The advantages of the approach developed lie not only in control performance superior to existing NMPC methods, but also in relieving practising engineers from the need for deriving an analytical model and then converting it to a Volterra model through which the model can only be obtained up to the second order

Nonlinear system modeling based on constrained Volterra series estimates

A simple nonlinear system modeling algorithm designed to work with limited \emph{a priori }knowledge and short data records, is examined. It creates an empirical Volterra series-based model of a system using an $l_{q}$-constrained least squares algorithm with $q\geq 1$. If the system $m\left( \cdot \right)$ is a continuous and bounded map with a finite memory no longer than some known $\tau$, then (for a $D$ parameter model and for a number of measurements $N$) the difference between the resulting model of the system and the best possible theoretical one is guaranteed to be of order $\sqrt{N^{-1}\ln D}$, even for $D\geq N$. The performance of models obtained for $q=1,1.5$ and $2$ is tested on the Wiener-Hammerstein benchmark system. The results suggest that the models obtained for $q>1$ are better suited to characterize the nature of the system, while the sparse solutions obtained for $q=1$ yield smaller error values in terms of input-output behavior

State–of–the–art report on nonlinear representation of sources and channels

This report consists of two complementary parts, related to the modeling of two important sources of nonlinearities in a communications system. In the first part, an overview of important past work related to the estimation, compression and processing of sparse data through the use of nonlinear models is provided. In the second part, the current state of the art on the representation of wireless channels in the presence of nonlinearities is summarized. In addition to the characteristics of the nonlinear wireless fading channel, some information is also provided on recent approaches to the sparse representation of such channels

Heterogeneous Agents Model with the Worst Out Algorithm

Heterogeneous agents' model with the stochastic beliefs formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartists determine whether current conditions call for the acquisition of fundamental information in a forward looking manner rather than relying on the past performance. It was shown that implementation of the agents memory can significantly change the preferences of trader strategies. The Worst out Algorithm (WOA) is used with considered heterogeneous agents’ model to simulate more realistic market conditions. The WOA replaces periodically the trading strategy that has the lowest performance level of all strategies presented on the market by the new one. The memory length of the new strategy that enters the market has the same stochastic structure as the initial strategies. This paper shows an influence of the agent memory as a stochastic process on the heterogeneous agents model with the WOA. Simulations show difference in price returns behaviour between two types of agents’ memory length distribution functions (Uniform and Normal). There is a significant difference in the values of the Hurst exponent and the variance in these two cases. A lower Hurst exponent in the uniform case is caused by a richer spectrum of agents’ memory length, because agents are equally distributed across all trading horizons. For the uniform case there is no opportunity for any prediction. On the other hand, the value of the Hurst exponent gives a signal for a possibility of the price prediction in the normal case.Efficient Markets Hypothesis; Fractal Market Hypothesis; agents' investment horizons; agents' trading strategies; technical trading rules; heterogeneous agent model with stochastic memory; Worst out Algorithm

Kernel-based methods for Volterra series identification

Volterra series approximate a broad range of nonlinear systems. Their identification is challenging due to the curse of dimensionality: the number of model parameters grows exponentially with the complexity of the input-output response. This fact limits the applicability of such models and has stimulated recently much research on regularized solutions. Along this line, we propose two new strategies that use kernel-based methods. First, we introduce the multiplicative polynomial kernel (MPK). Compared to the standard polynomial kernel, the MPK is equipped with a richer set of hyperparameters, increasing flexibility in selecting the monomials that really influence the system output. Second, we introduce the smooth exponentially decaying multiplicative polynomial kernel (SEDMPK), that is a regularized version of MPK which requires less hyperparameters, allowing to handle also high-order Volterra series. Numerical results show the effectiveness of the two approaches. (C) 2021 Elsevier Ltd. All rights reserved