Detecting Changes in Real-Time Data: A User's Guide to Optimal Detection

The real-time detection of changes in a noisily observed signal is an important problem in applied science and engineering. The study of parametric optimal detection theory began in the 1930s, motivated by applications in production and defence. Today this theory, which aims to minimize a given measure of detection delay under accuracy constraints, finds applications in domains including radar, sonar, seismic activity, global positioning, psychological testing, quality control, communications and power systems engineering. This paper reviews developments in optimal detection theory and sequential analysis, including sequential hypothesis testing and change-point detection, in both Bayesian and classical (non-Bayesian) settings. For clarity of exposition, we work in discrete time and provide a brief discussion of the continuous time setting, including recent developments using stochastic calculus. Different measures of detection delay are presented, together with the corresponding optimal solutions. We emphasize the important role of the signal-to-noise ratio and discuss both the underlying assumptions and some typical applications for each formulation. This article is part of the themed issue ‘Energy management: flexibility, risk and optimization’.</jats:p

Event-to-seasonal sediment dispersal on the Waipaoa River Shelf, New Zealand: A numerical modeling study

The formation of the geologic record offshore of small mountainous rivers is event-driven and, more so than many other environments, can result in relatively complete sequences. One such river, the Waipaoa in New Zealand, has been studied from its terrestrial source to its oceanic sink over timescales spanning storms, seasons, and the Holocene. This study focused on the formation of riverine deposits on the Waipaoa Shelf during episodic flood and wave events, contrasting deposition during short-lived events to accumulation patterns created over thirteen months. Sediment fluxes and fate were estimated using the numerical hydrodynamic and sediment transport model ROMS, the Regional Ocean Modeling System, using CSTMS, the Community Sediment Transport Modeling System. During the study period (January 2010-February 2011), the model indicated that initial flood deposition generally occurred near the river mouth and along the coast in water shallower than 40 m, and that deposition during any one event was sensitive to variations in shelf currents and wave energy. Also, the sedimentation due to plume settling and suspended transport during these relatively short flood and wave events were not aligned with longer time-scale accumulation patterns (months or greater) previously reported for the Waipaoa shelf. In the days to months following a flood pulse, waves episodically reworked this initial deposit, resuspending centimeter-scale layers of sediment during energetic periods. Frequent and intense resuspension occurred in shallow areas where bed stresses were high. This encouraged redistribution of material toward deeper areas having lower near-bed wave stresses, including continental shelf depocenters and offshore areas. While fast settling material was preferentially retained near the river mouth, currents dispersed slower settling sediment farther before deposition. Overall, accumulation depended on characteristics of oceanographic transport (wave energy, current velocities), not just source characteristics (flood size, sediment size distribution). (C) 2015 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY-NC-ND license (http://creativecommons.orgilicensesiby-nc-nd/4.0/)

Imbalance market real options and the valuation of storage in future energy systems

As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context this raises questions of market design and operational optimisation. In this paper we assess the real option value of an arrangement under which an autonomous energy-limited storage unit sells incremental balancing reserve. The arrangement is akin to a perpetual American swing put option with random refraction times, where a single incremental balancing reserve action is sold at each exercise. The power used is bought in an energy imbalance market (EIM), whose price we take as ageneral regular one-dimensional diffusion. The storage operator’s strategy and its real option value are derived in this framework by solving the twin timing problems of when to buy power and when to sell reserve. Our results are illustrated with an operational and economic analysis using data from the German Amprion EIM

Real option valuation for reserve capacity

JM was supported by grant EP/K00557X from the UK Engineering and Physical Sciences Research Council. JP was supported in part by MNiSzW grant UMO-2012/07/B/ST1/03298

A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time

In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the players' switching controls.Comment: 18 page

Optimal control of a commercial building's thermostatic load for off-peak demand response

This paper studies the optimal control of a commercial building's thermostatic load during off-peak hours as an ancillary service to the transmission system operator of a power grid. It provides an algorithmic framework which commercial buildings can implement to cost-effectively increase their electricity demand at night while they are unoccupied, instead of using standard inflexible setpoint control. Consequently, there is minimal or no impact on user comfort, while the building manager gains an additional income stream from providing the ancillary service, and can benefit further by pre-conditioning the building for later periods. The framework helps determine the amount of flexibility that should be offered for the service, and cost optimized profiles for electricity usage when delivering the service. Numerical results show that there can be an economic incentive to participate even if the payment rate for the ancillary service is less than the price of electricity.Comment: 20 pages, 12 figure

Cyclic Single Atom Vertical Manipulation on a Nonmetallic Surface

Motivated by the quest for experimental procedures capable of controlled manipulation of single atoms on surfaces, we set up a computational strategy that explores the cyclical vertical manipulation of a broad set of single atoms on the GaAs(110) surface. First-principles simulations of atomic force microscope tip–sample interactions were performed considering families of GaAs and Au-terminated tip apexes with varying crystalline termination. We identified a subset of tips capable of both picking up and depositing an adatom (Ga, As, Al, and Au) any number of times via a modify–restore cycle that “resets” the apex of the scanning probe to its original structure at the end of each cycle. Manipulation becomes successful within a certain window of lateral and vertical tip distances that are observed to be different for extracting and depositing each atom. A practical experimental protocol of special utility for potential cyclical manipulation of single atoms on a nonmetallic surface is proposed

Cysteine Redox Potential Determines Pro-Inflammatory IL-1β Levels

Cysteine (Cys) and its disulfide, cystine (CySS) represent the major extracellular thiol/disulfide redox control system. The redox potential (E(h)) of Cys/CySS is centered at approximately -80 mV in the plasma of healthy adults, and oxidation of E(h) Cys/CySS is implicated in inflammation associated with various diseases.The purpose of the present study was to determine whether oxidized E(h) Cys/CySS is a determinant of interleukin (IL)-1beta levels. Results showed a 1.7-fold increase in secreted pro-IL-1beta levels in U937 monocytes exposed to oxidized E(h) Cys/CySS (-46 mV), compared to controls exposed to a physiological E(h) of -80 mV (P<0.01). In LPS-challenged mice, preservation of plasma E(h) Cys/CySS from oxidation by dietary sulfur amino acid (SAA) supplementation, was associated with a 1.6-fold decrease in plasma IL-1beta compared to control mice fed an isonitrogenous SAA-adequate diet (P<0.01). Analysis of E(h) Cys/CySS and IL-1beta in human plasma revealed a significant positive association between oxidized E(h) Cys/CySS and IL-1beta after controlling for age, gender, and BMI (P<0.001).These data show that oxidized extracellular E(h) Cys/CySS is a determinant of IL-1beta levels, and suggest that strategies to preserve E(h) Cys/CySS may represent a means to control IL-1beta in inflammatory disease states