Search results for "impulse"
showing 10 items of 159 documents
Non-stationary pre-envelope covariances of non-classically damped systems
1991
Abstract A new formulation is given to evaluate the stationary and non-stationary response of linear non-classically damped systems subjected to multi-correlated non-separable Gaussian input processes. This formulation is based on a new and more suitable definition of the impulse response function matrix for such systems. It is shown that, when using this definition, the stochastic response of non-classically damped systems involves the evaluation of quantities similar to those of classically damped ones. Furthermore, considerations about non-stationary cross-covariances, spectral moments and pre-envelope cross-covariances are presented for a monocorrelated input process.
Wavelet Frames Generated by Spline Based p-Filter Banks
2014
This chapter presents a design scheme to generate tight and so-called semi-tight frames in the space of discrete-time periodic signals. The frames originate from oversampled perfect reconstruction periodic filter banks. The filter banks are derived from discrete-time and discrete periodic splines. Each filter bank comprises one linear phase low-pass filter (in most cases interpolating) and one high-pass filter, whose magnitude response mirrors that of a low-pass filter. In addition, these filter banks comprise a number of band-pass filters. In this chapter, frames generated by four-channel filter banks are briefly outlined (see Chap. 17 in [2] for details) and tight frames generated by six-…
Biorthogonal Wavelet Transforms Originating from Splines
2015
This chapter describes how to design families of biorthogonal wavelet transforms of signals and respective biorthogonal Wavelet bases in the signal space using spline-based prediction filters. Although the designed Wavelets originate from splines, they are not splines themselves. The design and implementation of the biorthogonal Wavelet transforms is done using the Lifting scheme. Most of the filters participating in the expansion of signals over the presented bases have infinite impulse responses and are implemented by recursive filtering whose computational cost is competitive with the FIR filtering cost. Properties of the designed Wavelets, such as symmetry, flat spectra, good time domai…
Quasi-interpolating and Smoothing Local Splines
2015
In this chapter, local quasi-interpolating and smoothing splines are described. Although approximation properties of local spline are similar to properties of the global interpolating and smoothing splines, their design does not require the IIR filtering of the whole data array. The computation of a local spline value at some point utilizes only a few adjacent grid samples. Therefore, local splines can be used for real-time processing of signals and for the design of FIR filter banks generating wavelets and wavelet frames (Chaps. 12 and 14). In the chapter, local splines of different orders are designed and their approximation properties are established which are compared with the propertie…
Non-linear systems under impulsive parametric input
1999
In this paper the problem of the response of non-linear systems excited by an impulsive parametric input is treated. For such systems the response exhibits a jump depending on the amplitude of the impulse as well as on the value of the state variables immediately before the impulse occurrence. Recently, the jump prediction has been obtained in a series form. Here the incremental rule for any scalar real valued function is obtained in an analytical form involving the jump of the state variables. It is also shown that the formulation for the jump evaluation is also able to give a new step-by-step integration technique.
Portfolio optimisation with strictly positive transaction costs and impulse control
1998
One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a non…
Steady-state and tracking analysis of a robust adaptive filter with low computational cost
2007
This paper analyses a new adaptive algorithm that is robust to impulse noise and has a low computational load [E. Soria, J.D. Martin, A.J. Serrano, J. Calpe, and J. Chambers, A new robust adaptive algorithm with low computacional cost, Electron. Lett. 42 (1) (2006) 60-62]. The algorithm is based on two premises: the use of the cost function often used in independent component analysis and a fuzzy modelling of the hyperbolic tangent function. The steady-state error and tracking capability of the algorithm are analysed using conservation methods [A. Sayed, Fundamentals of Adaptive Filtering, Wiley, New York, 2003], thus verifying the correspondence between theory and experimental results.
A non-homogeneous Poisson based model for daily rainfall data
2007
In this paper we report some results of the application of a new stochastic model applied to rainfall daily data. The Poisson models, characterized only by the expected rate of events (impulse occurrences, that is the mean number of impulses per unit time) and the assigned probability distribution of the phenomenon magnitude, do not take into consideration the datum regarding the duration of the occurrences, that is fundamental from a hydrological point of view. In order to describe the phenomenon in a way more adherent to its physical nature, we propose a new model simple and manageable. This model takes into account another random variable, representing the duration of the rainfall due to…
A Unified Approach to Portfolio Optimization with Linear Transaction Costs
2004
In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the p…
In-Cylinder Heat Transfer Determination Using Impulse Response Method with a Two-Dimensional Characterization of the Eroding Surface Thermocouple
2021
Heat transfer from the cylinder of internal combustion engines has been studied for decades, both in motored and fired configurations. Its understanding remains fundamental to the optimization of engine structures and sub-systems due to its direct effect on reliability, thermal efficiency and gaseous emissions. Experimental measurements are usually conducted using fast response surface thermometers, which give the instantaneous cylinder surface temperature. The transient component of heat flux through the cylinder wall was traditionally obtained from a spectral analysis of the surface temperature fluctuation, whereas the steady-state component was obtained from Fourier's law of conduction. …