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Granger causality tests are being supplanted by new methods such as the Lead‐Lag Ratio, particularly in finance where data arrives at random times and systematic sampling often produces spurious results. Existing approaches are insufficient; outside of block‐sampling using a bootstrap, the lead‐lag ratio has generally been assessed against a benchmark of 1 without regard for statistical significance. We use simulations to generate a response surface for the Lead‐Lag Ratio. Our modelled critical values are applied to reassess the findings of three previous studies of lead/lag relations between financial return series with high frequency data. Our response surface method proves to be a convenient and efficient alternative to using a bootstrap.

In this paper, an anti-windup design problem for a model predictive control system is studied. The plant is assumed to be stable. First, we propose the structure of an output feedback model predictive controller with an anti-windup compensator. Then we show a design method of the anti-windup compensator that guarantees closed-loop stability and improves the transient response. The design problem of the anti-windup compensator is reduced to a linear matrix inequality (LMI) optimization problem. Further, it is shown that there always exists an anti-windup compensator that ensures global asymptotic stability. © 2016 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.

The aim of this paper is to develop a multi‐asset model based on the Hawkes process describing the evolution of assets at high frequency and to study the lead–lag relationship as well as the correlation between the assets within this framework. We compute several statistical quantities and the covariance matrix associated with the diffusive limit of the model so that the relation between the parameters driving the assets at high and low frequencies is explicit. We illustrate the results using several financial assets quoted in the Eurex market and show how the model captures the lead–lag relationship between them. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:260–285, 2017

In this paper, the optimal tunning problem of parameters of a conventional lead–lag controller (LLC) and a fuzzy logic controller (FLC) based on the static Var compensator (SVC) is considered. The solution is obtained using an improved particle swarm optimization (IPSO) algorithm. The membership functions and scaling factors of the FLC and LLC parameters are optimized using the above-mentioned technique. The proposed controllers are settled down to an SVC that is installed at the middle of a transmission line connecting a single machine to an infinite bus system. Simulation results show the superiority of the optimized FLC compared to the optimized LLC and also when the SVC is without the supplementary controller under different disturbances and loading conditions. The simulations and analyses are implemented in MATLAB environment. © 2013 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.

In this paper, a repetitive controller design method is proposed for optimal performance. Firstly, to compensate for phase lag introduced by the low-pass filter in the scheme, the dead time of the repetitive controller is modified. Secondly, a lead compensator is introduced to the repetitive controller, which not only widens the bandwidth of the low-pass filter, but also improves system gain at high frequencies. The optimal parameters of the repetitive controller are obtained by solving two optimization problems. A numerical example is provided to illustrate the validity of the proposed method. Copyright © 2011 John Wiley and Sons Asia Pte Ltd and Chinese Automatic Control Society

The tuning of lead–lag compensators to be used as feedforward controllers for measured disturbances is performed in the frequency domain. The identification of process Gu and disturbance dynamics Gd uses extended recursive least squares, and the frequency responses are calculated from the least squares coefficients. A lead–lag compensator Gll is designed which minimises the function over a finite number of frequencies, using the Nelder–Mead simplex method. The effectiveness of the frequency domain tuning strategy is compared by simulation to established tuning rules for first-order plus delay processes. The tuning method is experimentally verified on a pilot scale methanol–water distillation column. © 2011 Canadian Society for Chemical Engineering

To achieve high-speed, high-precision position control for semiconductor product machines and industrial robots, full-closed feedback control is applied. Many control methods have been proposed for such a system. In general, proportional position control and proportional plus integral velocity control or integral plus proportional velocity control (P,PI/I-P), which is a type of proportional plus integral plus differential control (PID), is applied in many industrial applications. However, in the case of changing mechanical characteristics of the control target, the parameters of P,PI/I-PI control must also change in order to maintain good motion performance. In this paper, we propose a new P,PI/I-P control method that includes a nonlinear compensator. The algorithm of the nonlinear compensator is based on sliding mode control with chattering compensation. The effectiveness of the proposed control method is evaluated using a full-closed single-axis slider system via point-to-point control and contour control in the case of changing load. The experimental results indicate that the proposed control method is robust in the case of changing acceleration/deceleration of control reference, changing load, and low-velocity contour motion. © 2010 Wiley Periodicals, Inc. Electr Eng Jpn, 174(2): 65–71, 2011; Published online in Wiley Online Library (wileyonlinelibrary.com). DOI 10.1002/eej.21011

The high penetration of wind power into interconnected power system may cause the severe problem of inter-area oscillations. To stabilize power oscillations, superconducting magnetic energy storage (SMES), which is capable of controlling active and reactive powers simultaneously, can be applied. To achieve the practical SMES controller design, this paper focuses on a robust SMES controller design based on wide-area synchronized phasor measurement units (PMUs) in an interconnected power system with wind farms. The structure of active and reactive power controllers of SMES is the first-order lead/lag compensator. Assuming that multiple PMUs are located in an interconnected power system, the steady-state phasor data are obtained by applying the small load perturbation. Using the phasor data, the simplified oscillation model (SOM) included with SMES power controllers can be identified and applied to estimate the dominant inter-area oscillation modes. In the design, unstructured system uncertainties such as various operating conditions, system parameters variation, random wind patterns, etc., are represented by the inverse additive perturbation. To enhance the system robust stability margin, the optimization of SMES control parameters is solved by genetic algorithm in the SOM. Simulation studies in the West Japan six-machine power system confirm that the robustness of the proposed SMES is much superior to that of the conventional SMES against various operating conditions. Copyright © 2010 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.

Lead/Lag controllers are used extensively in industry and there is no straight forward and general solution to the problem of calculating all stabilizing parameters of Lead/Lag controllers. In this paper, a linear programming approach is proposed to calculate all stabilizing parameters of Lead/Lag type controllers for a given continuous-time plant from an arbitrary order. The proposed method is based on the extension of Hermite-Biehler Theorem, which has been proposed for calculating all stabilizing PID gains for a given continues-time system in [6]. The linear programming nature of the proposed approach is its main advantage, which leads to the computer-aided computation of the above problem. The applicability of the method is verified through a numerical example.

A design method for a proportional-integral-derivative (PID) cascaded with a lead-lag compensator is proposed for enhanced disturbance rejection of the second-order stable and unstable processes with time delay. A two-degree-of-freedom control scheme is used to cope with both regulatory and servo problems. An ideal feedback controller equivalent to internal model control (IMC) is obtained through the IMC design principle, and is further simplified to the PID cascaded with a first-order lead-lag compensator. The simulation is conducted for a broad class of stable and unstable processes and the results are compared with those of recently published PID type controllers to illustrate the superiority of the proposed controller. For a reasonable comparison, the controllers in the simulation study are tuned to have the same degree of robustness by measuring the maximum sensitivity, Ms. The robustness of the controller is also investigated by simultaneously inserting a perturbation uncertainty in all parameters in order to obtain the worst-case model mismatch. The proposed method illustrates greater robustness against process parameter uncertainty. © 2008 American Institute of Chemical Engineers AIChE J, 2008

A control algorithm for a hybrid compensator based on a concept of running complex RMS values of the fundamental harmonic of voltages and currents is presented in the paper. The hybrid compensator is composed of an adaptive passive balancing compensator, controlled in the frequency-domain, and a current source, controlled in the time-domain. The algorithm used for the compensator control is rooted in a new approach to the power theory of electrical systems with quasi-periodic waveforms. It is based on the concept of running quantities and a forward extrapolation of the power properties of a time-variant load. Experimental results obtained using such an algorithm for controlling a laboratory prototype of the hybrid compensator are presented in the paper.

This paper documents a strengthening in the lead of stock index futures returns over stock index returns around macroeconomic information releases. Some evidence of a strengthening in feedback from the equities market to the futures market and weakening in the lead of the futures market around major stock-specific information releases is also provided. This is consistent with the hypothesis that investors with better marketwide information prefer to trade in stock index futures while investors with stock-specific information prefer to trade in underlying stocks. A small weakening in the contemporaneous relationship between stock index futures returns and stock index returns around both types of releases is also documented. This is consistent with disintegration in the relationship between the two markets associated with noise induced volatility. One by-product of this study is new comparative evidence on the performance of adjustments for infrequent trading of index stocks based on a commonly used ARMA technique versus recalculation of the stock index using quote midpoints. The results suggest that the quote midpoint index performs at least as well as the ARMA adjusted index across the entire sample period, as well as around the different types of information releases. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:467–487, 2000

The scope of this article is to investigate the aeroelastic stability of wind turbine blade sections subjected to combined flap/lead–lag motion. The work is motivated by recent concern about destructive ‘edgewise' vibrations of modern, half-megawatt-scale, blades. The aeroelastic governing equations derive from the combination of a spring–mass–damper equivalent of the structure and a ‘non-stationary' aerodynamic model. The aerodynamic model used in the present context is the differential dynamic stall model developed at ONERA. The resulting equations of motion are linearized and their stability characteristics are investigated in terms of the system entries, expressed through suitable, non-dimensional, structural and aerodynamic parameters. Copyright © 1999 John Wiley & Sons, Ltd.

In this study, the Boudreau and Berger (1985a) retention/acquisition model is modified in order to develop a utility model that can be used to assess the impact of alternative pay level policies. This paper then demonstrates how the model could be used to assess the financial impact of alternative pay level policies for an organization whose current policy is to match the market. In demonstrating this, estimates of the effect of pay level on employee and applicant behaviors are presented. The utility model is then used to translate these effects into financial terms and compare them against the wage costs associated with alternative pay level policies. Finally, break-even analysis is used to suggest how decision makers might use utility results when making decisions about pay level policy. The implications for pay level policy and the role of utility analysis in compensation decision making are discussed.

This paper examines the lead-lag relationship between the spot index and futures price of the Nikkei Stock Average. Using daily data in the post-crash period we investigate the interaction between the spot and futures series through the error correction model. Two versions of error correction models are considered, depending on the postulated long-run equilibrium relationship. It is found that lagged changes in the futures price affect the short-term adjustment in the spot index, but not vice versa. Forecasting models for the spot index are also constructed using the univariate time series approach and the vector autoregressive method. For the post-sample forecast comparison the error correction models produce the best results. The vector autoregressive method performs better than the martingale model, while the univariate time series method gives the poorest forecasts.

This paper describes a control method to widen the frequency bandwidth of a voltage control system for a switching regulator, which is based on a coprime factorization description of the system. First, this paper clarifies the control performance of a conventional voltage control method with a proportional-integral control element and a phase lead element, which does not widen the frequency bandwidth enough. Next, a new voltage control method with a compensator based on the coprime factorization description of the system is proposed. The compensator employs a two-degrees-of-freedom control system, and is made up of a stabilizing dynamic compensator and a reference signal response dynamic compensator. Furthermore, one possible design of the two dynamic compensators, and the simulation and experimental results for the test switching regulator are presented.

Purpose: Dose equalization along the long axis of the patient for total body irradiation requires the use of a compensator. At our institution the compensator consists of multiple layers of lead strips and is based on measurements along the patient's mid‐sagittal plane. In this study, we examine the feasibility and limitations of replacing the lead compensator with a one‐dimensional electronic compensator using fluence management tools available in our treatment planning system. Method and Materials: The patient compensator was based on body thickness, SSD and off‐axis distance of 12 mid‐sagittal patient specific points. A phantom was modeled using these measurements from a previously treated patient. A fluence map of the transmission values for the compensator used at treatment was created. Dose calculated on the phantom was compared with patient surface dose measurements. Physical limits and software limitations of this method were evaluated. Results: The maximum patient height accommodated by our treatment room and setup is 225 cm. Using a fluence map with the largest transmission factor gradient is not an issue, nor is the use of any reasonable field width that would be seen in a clinical setting. Calculated dose to the phantom using the electronic compensator was found to be on 3.4% lower (range: +2.6% to −7.8%) than diode dose measurements taken on the patient skin surface time of treatment.Conclusion: It is feasible for most patients that an electronic compensator be used. Discrepancies between calculated and measured dose can reasonably be accounted for. Further study is planned to measure the dose using an anthropomorphic phantom and also to automate the construction of patient‐specific virtual phantoms and patient‐specific optimal fluence.