Parameter Estimation of Three-Phase Untransposed Short Transmission Lines from Synchrophasor Measurements

We present a new approach for estimating the parameters of three-phase untransposed electrically short transmission lines using voltage/current synchrophasor measurements obtained from phasor measurement units. The parameters to be estimated are the entries of the longitudinal impedance matrix and the shunt admittance matrix at the rated system frequency. Conventional approaches relying on the admittance matrix of the line cannot accurately estimate these parameters for short lines, due to their high sensitivity to measurement noise. Our approach differs from the conventional ones in the following ways: First, we model the line by the three-phase transmittance matrix that is observed to be less sensitive to measurement noise than the admittance matrix. Second, we compute an accurate noise covariance matrix using the realistic specifications of noise introduced by instrument transformers and phasor measurement units. This noise covariance matrix is then used in least-squares-based estimation methods. Third, we derive different least-squares-based estimation methods based on a statistical model of estimation and show that the weighted least-squares and the maximum likelihood methods, which make use of the noise covariance matrix produce the best estimates of the line parameters. Finally, we apply the proposed methods to a real dataset and show that our approach significantly outperforms existing ones.

Bits from Photons

Feng Yang

The trends in the design of image sensors are to build sensors with low noise, high sensitivity, high dynamic range, and small pixel size. How can we benefit from pixels with small size and high sensitivity? In this dissertation, we study a new image sensor that is reminiscent of traditional photographic film. Each pixel in the sensor has a binary response, giving only a one-bit quantized measurement of the local light intensity. The response function of the image sensor is non-linear and similar to a logarithmic function, which makes the sensor suitable for high dynamic range imaging. We first formulate the oversampled binary sensing scheme as a parameter estimation problem based on quantized Poisson statistics. We show that, with a single-photon quantization threshold and large oversampling factors, the Cramér-Rao lower bound (CRLB) of the estimation variance approaches that of an ideal unquantized sensor, that is, as if there were no quantization in the sensor measurements. Furthermore, the CRLB is shown to be asymptotically achievable by the maximum likelihood estimator (MLE). By showing that the log-likelihood function is concave, we guarantee the global optimality of iterative algorithms in finding the MLE. We study the performance of the oversampled binary sensing scheme in presence of dark current noise. The noise model is an additive Bernoulli noise with a known parameter, and the noise only flips the binary output from "0" to "1". We show that the binary sensor is quite robust with respect to noise and its dynamic range is only slightly reduced. The binary sensor first benefits from the increasing of the oversampling factor and then suffers in term of dynamic range. We again use the MLE to estimate the light intensity. When the threshold is a single photon, we show that the log-likelihood function is still concave. Thus, the global optimality can be achieved. But for thresholds larger than "1", this property does not hold true. By proving that when the light intensity is piecewise-constant, the likelihood function is a strictly pseudoconcave function, we guarantee to find the optimal solution of the MLE using iterative algorithms for arbitrary thresholds. For the general linear light field model, the log-likelihood function is not even quasiconcave when thresholds are larger than "1". In this circumstance, we find an initial solution by approximating the light intensity field with a piecewise-constant model, and then we use Newton's method to refine the estimation using the exact model. We then examine one of the most important parameters in the binary sensor, i.e., the threshold used to generate binary values. We prove the intuitive result that large thresholds achieve better estimation performance for strong light intensities, while small thresholds work better for low light intensities. To make a binary sensor that works in a larger range of light intensities, we propose to design a threshold array containing multiple thresholds instead of a single threshold for the binary sensing. The criterion is to minimize the average CRLB which is a good approximation of the mean squared error (MSE). The performance analysis on the new binary sensor verifies the effectiveness of our design. Again, the MLE is used for reconstructing the light intensity field from the binary measurements. By showing that the log-likelihood function is concave for arbitrary threshold arrays, we ensure that the iterative algorithms can find the optimal solution of the MLE. Finally, we study the reconstruction problem for the binary image sensor under a generalized piecewise-constant light intensity field model, which is quite useful when parameters like oversampling factors are unknown. We directly estimate light exposure values, i.e., the number of photons hitting on each pixel. We assume that the light exposure values are piecewise-constant and we use the MLE for the reconstruction. This optimization problem is solved by iteratively working out two subproblems. The first one is to find the optimal light exposure value for each segment, given the optimal segmentation of the binary measurements. The second one is to find the optimal segmentation of the binary measurements given the optimal light exposure values for each segment. Several algorithms are provided for solving this optimization problem. Dynamic programming can obtain the optimal solution for 1-D signals, but the computation is quite heavy. To reduce the burden of computation, we propose a greedy algorithm and a method based on pruning of binary trees or quadtrees.

EPFL2012

Statistical limits of high-dimensional inference problems

Clément Dominique Luneau

This thesis focuses on two kinds of statistical inference problems in signal processing and data science. The first problem is the estimation of a structured informative tensor from the observation of a noisy tensor in which it is buried. The structure comes from the possibility to decompose the informative tensor as the sum of a small number of rank-one tensors (small compared to its size). Such structure has applications in data science where data, organized into arrays, can often be explained by the interaction between a few features characteristic of the problem. The second problem is the estimation of a signal input to a feedforward neural network whose output is observed. It is relevant for many applications (phase retrieval, quantized signals) where the relation between the measurements and the quantities of interest is not linear. We look at these two statistical models in different high-dimensional limits corresponding to situations where the amount of observations and size of the signal become infinitely large. These asymptotic regimes are motivated by the ever-increasing computational power and storage capacity that make possible the processing and handling of large data sets. We take an information-theoretic approach in order to establish fundamental statistical limits of estimation in high-dimensional regimes. In particular, the main contributions of this thesis are the proofs of exact formulas for the asymptotic normalized mutual information associated with these inference problems. These are low-dimensional variational formulas that can nonetheless capture the behavior of a large system where each component interacts with all the others. Owing to the relationship between mutual information and Bayesian inference, we use the solutions to these variational problems to rigorously predict the asymptotic minimum mean-square error (MMSE), the error achieved by the (Bayes) optimal estimator. We can thus compare algorithmic performances to the statistical limit given by the MMSE. Variational formulas for the mutual information are referred to as replica symmetric (RS) ansätze due to the predictions of the heuristic replica method from statistical physics. In the past decade proofs of the validity of these predictions started to emerge. The general strategy is to show that the RS ansatz is both an upper and lower bound on the asymptotic normalized mutual information. The present work leverages on the adaptive interpolation method that proposes a unified way to prove the two bounds. We extend the adaptive interpolation to situations where the order parameter of the problem is not a scalar but a matrix, and to high-dimensional regimes that differ from the one for which the RS formula is usually conjectured. Our proofs also demonstrate the modularity of the method. Indeed, using statistical models previously studied in the literature as building blocks of more complex ones (e.g., estimated signal with a model of structure), we derive RS formulas for the normalized mutual information associated with estimation problems that are relevant to modern applications.

EPFL2021

Les mathématiques financières robustes, le maritime et les FFA

Jérôme Reboulleau

Powerful mathematical tools have been developed for trading in stocks and bonds, but other markets that are equally important for the globalized world have to some extent been neglected. We decided to study the shipping market as an new area of development in mathematical finance. The market in shipping derivatives (FFA and FOSVA) has only been developed after 2000 and now exhibits impressive growth. Financial actors have entered the field, but it is still largely undiscovered by institutional investors. The first part of the work was to identify the characteristics of the market in shipping, i.e. the segmentation and the volatility. Because the shipping business is old-fashioned, even the leading actors on the world stage (ship owners and banks) are using macro-economic models to forecast the rates. If the macro-economic models are logical and make sense, they fail to predict. For example, the factor port congestion has been much cited during the last few years, but it is clearly very difficult to control and is simply an indicator of traffic. From our own experience it appears that most ship owners are in fact market driven and rather bad at anticipating trends. Due to their ability to capture large moves, we chose to consider Lévy processes for the underlying price process. Compared with the macro-economic approach, the main advantage is the uniform and systematic structure this imposed on the models. We get in each case a favorable result for our technology and a gain in forecasting accuracy of around 10% depending on the maturity. The global distribution is more effectively modelled and the tails of the distribution are particularly well represented. This model can be used to forecast the market but also to evaluate the risk, for example, by computing the VaR. An important limitation is the non-robustness in the estimation of the Lévy processes. The use of robust estimators reinforces the information obtained from the observed data. Because maximum likelihood estimation is not easy to compute with complex processes, we only consider some very general robust score functions to manage the technical problems. Two new class of robust estimators are suggested. These are based on the work of F. Hampel ([29]) and P. Huber ([30]) using influence functions. The main idea is to bound the maximum likelihood score function. By doing this a bias is created in the parameters estimation, which can be corrected by using a modification of the following type and as proposed by F. Hampel. The procedure for finding a robust estimating equation is thus decomposed into two consecutive steps : Subtract the bias correction and then Bound the score function. In the case of complex Lévy processes, the bias correction is difficult to compute and generally unknown. We have developed a pragmatic solution by inverting the Hampel's procedure. Bound the score function and then Correct for the bias. The price is a loss of the theoretical properties of our estimators, besides the procedure converges to maximum likelihood estimate. A second solution to for achieving robust estimation is presented. It considers the limiting case when the upper and lower bounds tend to zero and leads to B-robust estimators. Because of the complexity of the Lévy distributions, this leads to identification problems.

EPFL2008