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Article
Publication date: 1 December 1999

Ralf Östermark

In the paper we provide new evidence on the predictability of Scandinavian stock returns, when utilizing the determinants of global capital asset pricing. Three factors are…

Abstract

In the paper we provide new evidence on the predictability of Scandinavian stock returns, when utilizing the determinants of global capital asset pricing. Three factors are extracted by principal components factor analysis. The VARIMAX‐rotated factor loadings matrix clearly suggests the presence of geographically distinguished returns generating factors: Europe, Asia and America. The corresponding factor price series are used as driving forces for the Finnish and Swedish market returns. The results indicate that the predictability of Scandinavian stock returns is significantly improved by the world factors.

Details

Kybernetes, vol. 28 no. 9
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 1 March 1979

H. MYOKEN

This paper offers various state‐space representations in the context of applications of the system control theory to dynamic economic systems and examines interrelationships…

Abstract

This paper offers various state‐space representations in the context of applications of the system control theory to dynamic economic systems and examines interrelationships between the alternative representations in both economics literature and system control engineering literature. In particular, some characteristics of various state‐space forms are assessed with respect to the structural properties of each form, thereby demonstrating the relative advantages and disadvantages of different realization methods presented in this paper.

Details

Kybernetes, vol. 8 no. 3
Type: Research Article
ISSN: 0368-492X

Open Access
Article
Publication date: 31 August 2011

Joonhyuk Song

This paper estimates a Nelson-Siegel model under the state-space representation in order to circumvent the shortcomings of the conventional Nelson-Siegel model and evaluates the…

26

Abstract

This paper estimates a Nelson-Siegel model under the state-space representation in order to circumvent the shortcomings of the conventional Nelson-Siegel model and evaluates the predictive ability of the estimated model. The results indicate that the estimated Nelson-Siegel time-varying three factors have close relations to their counterparts : level, slope and curvature and the inflection of the Korean yield curve is located around the maturity of 55-month. Meanwhile, each factor is found to have unit-root but differenced-factors do not show signs of unit-roots, hence proved I (1) series. In order to assess the efficacy of the estimated model, we compare the yield prediction from our model with several natural competitors : random walk, Fama-Bliss, and Cochrane-Piazzesi. With respect to out-of-sample performance, Fama-Bliss model proves to be the worst in term structure forecasts in Korea. The predictive performance differs between the random walk and the state-space Nelson-Siegel model depending on the forecast horizon lengths. At the shorter horizon, the state-space Nelson-Siegel model outperforms the random walk, but the table is turned in the longer horizon

Details

Journal of Derivatives and Quantitative Studies, vol. 19 no. 3
Type: Research Article
ISSN: 2713-6647

Keywords

Article
Publication date: 16 March 2015

Anthony S White and Michael Censlive

The purpose of this paper is to investigate a control engineering-based system model that allows for any value of production delay for a three-tier supply chain with information…

Abstract

Purpose

The purpose of this paper is to investigate a control engineering-based system model that allows for any value of production delay for a three-tier supply chain with information delays between tiers or systems with epos.

Design/methodology/approach

A discrete z transform model of automatic pipeline, variable inventory and order based production control system three-tier supply chain is obtained using a state-space model using a reachable control formulation. This model provides a discrete time state-space model conversion using an exponential production delay with no loss of generality.

Findings

This work allows a three-tier supply chain model to be computed via a spreadsheet using any production delay and can be modified to include different sales smoothing procedures. The model is fully controllable and observable. Stability of these models is obtained from the system eigenvalues and agrees with our previously published stability boundaries.

Practical implications

The system is described by a linear control model of the production process and does not include production limits or other resource limitations, including history of sales demand and response.

Originality/value

This present model is an extension of the model devised by White and Censlive, in that it allows accurate modelling of multi-tier inventory production systems by permitting flexible selection of delay parameter values for real systems.

Details

Journal of Modelling in Management, vol. 10 no. 1
Type: Research Article
ISSN: 1746-5664

Keywords

Article
Publication date: 3 May 2013

Rahman Farnoosh and Arezoo Hajrajabi

The purpose of this paper is to consider the stochastic differential equation of the RL electrical circuit as the dynamic model of a state space system when the current in the…

Abstract

Purpose

The purpose of this paper is to consider the stochastic differential equation of the RL electrical circuit as the dynamic model of a state space system when the current in the circuit is hidden and corrupted by the measurement noise. Estimation of the corrupted current and the values of missing or unknown parameters (resistance, the observed current variance in the measurement model, the mean and variance of the current prior distribution) which are the main concern in electrical engineering is considered.

Design/methodology/approach

Optimal filtering is proposed for estimation of the hidden current from the noisy observations. Also, the problem of analyzing this model based on estimation of the unknown parameters is addressed from the likelihood‐based and Bayesian perspective.

Findings

Computational techniques for parameter estimation are carried out by the Maximum likelihood (ML) approach using Expectation‐Maximization type optimization and Bayesian Monte Carlo perspective using Metropolis‐Hastings scheme. The explicit formulas for the ML estimator are obtained and it is shown that the smoothers, the filters and the predictions for the current have the best confidence intervals, respectively. Some numerical simulation examples which are performed by R programming software are considered to show the efficiency and applicability of the proposed approaches. Results show an excellent estimation of the parameters based on these approaches.

Practical implications

Due to the fact that in an empirical situation of electrical engineering, observing the current in the circuit regardless of the measurement noise and knowing the exact value of the parameters are unrealistic assumptions, this paper can be used in various types of real time projects.

Originality/value

To the best of the authors' information, the problem of analyzing the state space model of RL electrical circuit has not been studied before. Furthermore, the estimation of the hidden current as the state of the system and estimation of the unknown parameters of the model via both ML and Bayesian approaches have been investigated for the first time in the present study.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering, vol. 32 no. 3
Type: Research Article
ISSN: 0332-1649

Keywords

Abstract

Details

Messy Data
Type: Book
ISBN: 978-0-76230-303-8

Article
Publication date: 11 May 2010

Tarik Abdulahovic, Sercan Teleke, Torbjorn Thiringer and Jan Svensson

The purpose of this paper is to investigate the influence of time steps, integration methods, and saturation modeling on the accuracy of the synchronous machine model. This model

1241

Abstract

Purpose

The purpose of this paper is to investigate the influence of time steps, integration methods, and saturation modeling on the accuracy of the synchronous machine model. This model is compared with the PSCAD built‐in synchronous machine model in order to compare the accuracy of one of the most used synchronous machine models in a commercially available software versus a well‐documented and widely accepted state‐space synchronous machine model.

Design/methodology/approach

In the paper, a synchronous condenser with the saturation phenomenon is modeled using state‐space equations in the rotating dq‐reference frame and is implemented both in Matlab/Simulink and PSCAD. Integration methods of up to the fifth order are implemented for increased accuracy. The saturation modeling includes modeling of the saturation in both d‐ and q‐axis. A steady‐state and dynamic performance comparison towards the built‐in PSCAD synchronous machine model is performed. The saturation modeling does not include the saturation of the leakage fluxes.

Findings

When the forward Euler method is used, in order to obtain less than 5 percent error, the time step should not exceed 5 μs. The third‐order Runge‐Kutta method is the preferred choice and it provides desired accuracy when the time step is equal or smaller than 1,000 μs. The built‐in PSCAD model satisfies the error criteria for time steps smaller than 300 μs. A small discrepancy of 2 percent is found during the steady‐state test.

Originality/value

The paper presents the performance of the higher order integration methods in an EMTP‐type software environment where the trapezoidal integration method is most often used. It provides a good guide for building an owner‐defined model. A comparison of a dynamic performance between the publicly documented state‐space and a synchronous machine models commonly used for power system transient studies is presented.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering, vol. 29 no. 3
Type: Research Article
ISSN: 0332-1649

Keywords

Article
Publication date: 4 January 2016

Mohamed Arbi Khlifi and Habib Rehaoulia

When magnetic saturation in ac machines is evolved, the theory of main flux saturation in d-q axes remains the best. Because of its simplicity, it is the most used in either…

Abstract

Purpose

When magnetic saturation in ac machines is evolved, the theory of main flux saturation in d-q axes remains the best. Because of its simplicity, it is the most used in either motoring or generating mode for synchronous or asynchronous machines. Although, it is considered as a global way of introducing the iron saturation, compared to other methods, today, its fidelity has no contest in predicting complex ac machine operations. For this purpose, the aims of this paper consists of modeling these machines whatever the state-space variables values are taking into account the magnetic saturation. Two unified procedures are proposed. The first one deals with a common approach to establishing a complete and detailed model synthesis in d-q axes. The second also presents a unified approach to introducing magnetic saturation of the iron core in the characteristic equations. The analysis takes the salient pole synchronous machine as a general case of study. Then the approaches are extended to undamped and smooth air gap synchronous machines as well as induction machines. The paper aims to discuss these issues.

Design/methodology/approach

The present paper, which is a first part of a work under study dealing with a unified method to derive multiple models of saturated ac machines, is intended to the description of an alternative method and its application for induction and synchronous machines. It mainly consists of the following parts: first, after writing the stator and rotor space vector d-q equations, the number of possible models is immediately discussed. By considering the currents and fluxes as state-space variables, 14 models are obtained for AC induction machine (IM and SM). They are classified into three families, current (three), flux (three) and mixed models (eight). Second, in order to easily introduce the magnetic saturation in the 14 developed models, a method is presented. It consists of just elaborating the model with the winding currents as state variables, then deriving all the other models from it. Third, to emphasize the influence of the presence of magnetic saturation, in each model, each inductance along the d and q axes is written with a fundamental expression which exists with or without saturation and an additional one due purely to saturation. Hence the additional terms can be studied and quantified in an easy way or simply removed when linear case is assumed. Fourth, adopting such strategy to write the different coefficients of the models had led to the definition of common saturation factors. In turn, the definition of common saturation factors had allowed the definition of different groups of models within each family. Fifth, an alternative to evaluate the static and dynamic saturation coefficients is also proposed. It is shown that by proper fitting of the experimental magnetizing curve, all saturation coefficients can be written only in terms of which is simply the magnitudes ratio of the magnetizing flux and current. Sixth, although the theory of the main flux saturation is now admitted, an investigation was carried out on a self-excited induction generator and the build-up of voltage and current phases of a standalone alternator, to prove the equivalence between the all developed models.

Findings

The number of models based on the state-space variables choice, of a saturated ac machine, is reviewed. A simple method consisting of elaborating just the winding currents model, with magnetic saturation and deriving all the other models from it, is presented. In this study special interest was particularly focussed on either novel models or existing models cited in the literature but cannot be obtained by other approaches. In all cases, if the differential equations of the machine are formulated in terms of a set of variables other than the winding currents, a noticeable reduction in the size of equations may be obtained and consequently less time computing. The approach seems to be able to derive any possible model whatever the state-space variables and the type of the ac machine and hence can be classified as a general approach.

Practical implications

The experiments of synchronous and induction machine transients prove the validity of the method.

Originality/value

By suitable choice of state-space characteristic vectors among the fluxes and the currents, a synthesis of AC machine models in d-q axes is established. To introduce magnetic saturation in each model, an approach-based uniquely on the elaboration of the winding currents model is exposed and applied. In addition, the analysis gives a detailed classification of all found models taking into account the state variables nature as well as the cross-coupling coefficient considered as a saturation factor. The study is completed with a simple alternative to evaluate all saturation factors by just calculating the static magnetizing inductance.

Details

COMPEL: The International Journal for Computation and Mathematics in Electrical and Electronic Engineering, vol. 35 no. 1
Type: Research Article
ISSN: 0332-1649

Keywords

Article
Publication date: 26 August 2014

Ismaila B. Tijani, Rini Akmeliawati, Ari Legowo, Agus Budiyono and Asan G. Abdul Muthalif

The purpose of this paper is to develop a hybrid algorithm using differential evolution (DE) and prediction error modeling (PEM) for identification of small-scale autonomous…

Abstract

Purpose

The purpose of this paper is to develop a hybrid algorithm using differential evolution (DE) and prediction error modeling (PEM) for identification of small-scale autonomous helicopter state-space model.

Design/methodology/approach

In this study, flight data were collected and analyzed; MATLAB-based system identification algorithm was developed using DE and PEM; parameterized state-space model parameters were estimated using the developed algorithm and model dynamic analysis.

Findings

The proposed hybrid algorithm improves the performance of the PEM algorithm in the identification of an autonomous helicopter model. It gives better results when compared with conventional PEM algorithm inside MATLAB toolboxes.

Research limitations/implications

This study is applicable to only linearized state-space model.

Practical implications

The identification algorithm is expected to facilitate the required model development for model-based control design for autonomous helicopter development.

Originality/value

This study presents a novel hybrid algorithm for system identification of an autonomous helicopter model.

Details

Aircraft Engineering and Aerospace Technology: An International Journal, vol. 86 no. 5
Type: Research Article
ISSN: 0002-2667

Keywords

Open Access
Article
Publication date: 7 April 2015

Yujun Cao, Xin Li, Zhixiong Zhang and Jianzhong Shang

This paper aims to clarify the predicting and compensating method of aeroplane assembly. It proposes modeling the process of assembly. The paper aims to solve the precision…

1438

Abstract

Purpose

This paper aims to clarify the predicting and compensating method of aeroplane assembly. It proposes modeling the process of assembly. The paper aims to solve the precision assembly of aeroplane, which includes predicting the assembly variation and compensating the assembly errors.

Design/methodology/approach

The paper opted for an exploratory study using the state space theory and small displacement torsor theory. The assembly variation propagation model is established. The experiment data are obtained by a real small aeroplane assembly process.

Findings

The paper provides the predicting and compensating method for aeroplane assembly accuracy.

Originality/value

This paper fulfils an identified need to study how the assembly variation propagates in the assembly process.

Details

Assembly Automation, vol. 35 no. 2
Type: Research Article
ISSN: 0144-5154

Keywords

1 – 10 of over 1000