Combining the wavelet transform and forecasting models to predict gas forward prices

This paper presents a forecasting technique for forward energy prices, one day ahead. This technique combines a wavelet transform and forecasting models such as multi- layer perceptron, linear regression or GARCH. These techniques are applied to real data from the UK gas markets to evaluate their performance. The results show that the forecasting accuracy is improved significantly by using the wavelet transform. The methodology can be also applied to forecasting market clearing prices and electricity/gas loads.

A generative probabilistic oriented wavelet model for texture segmentation

This Letter addresses image segmentation via a generative model approach. A Bayesian network (BNT) in the space of dyadic wavelet transform coefficients is introduced to model texture images. The model is similar to a Hidden Markov model (HMM), but with non-stationary transitive conditional probability distributions. It is composed of discrete hidden variables and observable Gaussian outputs for wavelet coefficients. In particular, the Gabor wavelet transform is considered. The introduced model is compared with the simplest joint Gaussian probabilistic model for Gabor wavelet coefficients for several textures from the Brodatz album [1]. The comparison is based on cross-validation and includes probabilistic model ensembles instead of single models. In addition, the robustness of the models to cope with additive Gaussian noise is investigated. We further study the feasibility of the introduced generative model for image segmentation in the novelty detection framework [2]. Two examples are considered: (i) sea surface pollution detection from intensity images and (ii) image segmentation of the still images with varying illumination across the scene.

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their MSEs are 0.02314 and 0.15384 respectively.

From cardinal spline wavelet bases to highly coherent dictionaries

Wavelet families arise by scaling and translations of a prototype function, called the mother wavelet. The construction of wavelet bases for cardinal spline spaces is generally carried out within the multi-resolution analysis scheme. Thus, the usual way of increasing the dimension of the multi-resolution subspaces is by augmenting the scaling factor. We show here that, when working on a compact interval, the identical effect can be achieved without changing the wavelet scale but reducing the translation parameter. By such a procedure we generate a redundant frame, called a dictionary, spanning the same spaces as a wavelet basis but with wavelets of broader support. We characterize the correlation of the dictionary elements by measuring their 'coherence' and produce examples illustrating the relevance of highly coherent dictionaries to problems of sparse signal representation.

The detection of p-waves in ambulatory ECG recordings by the use of wavelet transforms

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Rotation invariant iris feature extraction using Gaussian Markov random fields with non-separable wavelet

Rotation invariance is important for an iris recognition system since changes of head orientation and binocular vergence may cause eye rotation. The conventional methods of iris recognition cannot achieve true rotation invariance. They only achieve approximate rotation invariance by rotating the feature vector before matching or unwrapping the iris ring at different initial angles. In these methods, the complexity of the method is increased, and when the rotation scale is beyond the certain scope, the error rates of these methods may substantially increase. In order to solve this problem, a new rotation invariant approach for iris feature extraction based on the non-separable wavelet is proposed in this paper. Firstly, a bank of non-separable orthogonal wavelet filters is used to capture characteristics of the iris. Secondly, a method of Markov random fields is used to capture rotation invariant iris feature. Finally, two-class kernel Fisher classifiers are adopted for classification. Experimental results on public iris databases show that the proposed approach has a low error rate and achieves true rotation invariance. © 2010.

Wavelet packet decomposition-based fault diagnosis scheme for SRM drives with a single current sensor

Power converters are a key, but vulnerable component in switched reluctance motor (SRM) drives. In this paper, a new fault diagnosis scheme for SRM converters is proposed based on the wavelet packet decomposition (WPD) with a dc-link current sensor. Open- and short-circuit faults of the power switches in an asymmetrical half-bridge converter are analyzed in details. In order to obtain the fault signature from the phase currents, two pulse-width modulation signals with phase shift are injected into the lower-switches of the converter to extract the excitation current, and the WPD algorithm is then applied to the detected currents for fault diagnosis. Moreover, a discrete degree of the wavelet packet node energy is chosen as the fault coefficient. The converter faults can be diagnosed and located directly by determining the changes in the discrete degree from the detected currents. The proposed scheme requires only one current sensor in the dc link, while conventional methods need one sensor for each phase or additional detection circuits. The experimental results on a 750-W three-phase SRM are presented to confirm the effectiveness of the proposed fault diagnosis scheme.