Forecasting overseas visitors into the United Kingdom using continuous time and autoregressive fractional integrated moving average models with discrete data

This paper applies Gaussian estimation methods to continuous time models for modelling overseas visitors into the UK. The use of continuous time modelling is widely used in economics and finance but not in tourism forecasting. Using monthly data for 1986–2010, various continuous time models are estimated and compared to autoregressive integrated moving average (ARIMA) and autoregressive fractionally integrated moving average (ARFIMA) models. Dynamic forecasts are obtained over different periods. The empirical results show that the ARIMA model performs very well, but that the constant elasticity of variance (CEV) continuous time model has the lowest root mean squared error (RMSE) over a short period.

Constructing networks of continuous-time velocity-based models

A conventional local model (LM) network consists of a set of affine local models blended together using appropriate weighting functions. Such networks have poor interpretability since the dynamics of the blended network are only weakly related to the underlying local models. In contrast, velocity-based LM networks employ strictly linear local models to provide a transparent framework for nonlinear modelling in which the global dynamics are a simple linear combination of the local model dynamics. A novel approach for constructing continuous-time velocity-based networks from plant data is presented. Key issues including continuous-time parameter estimation, correct realisation of the velocity-based local models and avoidance of the input derivative are all addressed. Application results are reported for the highly nonlinear simulated continuous stirred tank reactor process.

Modelling data and voice traffic over IP networks using continuous-time Markov models

Common approaches to IP-traffic modelling have featured the use of stochastic models, based on the Markov property, which can be classified into black box and white box models based on the approach used for modelling traffic. White box models, are simple to understand, transparent and have a physical meaning attributed to each of the associated parameters. To exploit this key advantage, this thesis explores the use of simple classic continuous-time Markov models based on a white box approach, to model, not only the network traffic statistics but also the source behaviour with respect to the network and application. The thesis is divided into two parts: The first part focuses on the use of simple Markov and Semi-Markov traffic models, starting from the simplest two-state model moving upwards to n-state models with Poisson and non-Poisson statistics. The thesis then introduces the convenient to use, mathematically derived, Gaussian Markov models which are used to model the measured network IP traffic statistics. As one of the most significant contributions, the thesis establishes the significance of the second-order density statistics as it reveals that, in contrast to first-order density, they carry much more unique information on traffic sources and behaviour. The thesis then exploits the use of Gaussian Markov models to model these unique features and finally shows how the use of simple classic Markov models coupled with use of second-order density statistics provides an excellent tool for capturing maximum traffic detail, which in itself is the essence of good traffic modelling. The second part of the thesis, studies the ON-OFF characteristics of VoIP traffic with reference to accurate measurements of the ON and OFF periods, made from a large multi-lingual database of over 100 hours worth of VoIP call recordings. The impact of the language, prosodic structure and speech rate of the speaker on the statistics of the ON-OFF periods is analysed and relevant conclusions are presented. Finally, an ON-OFF VoIP source model with log-normal transitions is contributed as an ideal candidate to model VoIP traffic and the results of this model are compared with those of previously published work.

Reinforcement learning using a continuous time actor-critic framework with spiking neurons.

Animals repeat rewarded behaviors, but the physiological basis of reward-based learning has only been partially elucidated. On one hand, experimental evidence shows that the neuromodulator dopamine carries information about rewards and affects synaptic plasticity. On the other hand, the theory of reinforcement learning provides a framework for reward-based learning. Recent models of reward-modulated spike-timing-dependent plasticity have made first steps towards bridging the gap between the two approaches, but faced two problems. First, reinforcement learning is typically formulated in a discrete framework, ill-adapted to the description of natural situations. Second, biologically plausible models of reward-modulated spike-timing-dependent plasticity require precise calculation of the reward prediction error, yet it remains to be shown how this can be computed by neurons. Here we propose a solution to these problems by extending the continuous temporal difference (TD) learning of Doya (2000) to the case of spiking neurons in an actor-critic network operating in continuous time, and with continuous state and action representations. In our model, the critic learns to predict expected future rewards in real time. Its activity, together with actual rewards, conditions the delivery of a neuromodulatory TD signal to itself and to the actor, which is responsible for action choice. In simulations, we show that such an architecture can solve a Morris water-maze-like navigation task, in a number of trials consistent with reported animal performance. We also use our model to solve the acrobot and the cartpole problems, two complex motor control tasks. Our model provides a plausible way of computing reward prediction error in the brain. Moreover, the analytically derived learning rule is consistent with experimental evidence for dopamine-modulated spike-timing-dependent plasticity.

Uniqueness criteria for continuous-time Markov chains with general transition structures

We derive necessary and sufficient conditions for the existence of bounded or summable solutions to systems of linear equations associated with Markov chains. This substantially extends a famous result of G. E. H. Reuter, which provides a convenient means of checking various uniqueness criteria for birth-death processes. Our result allows chains with much more general transition structures to be accommodated. One application is to give a new proof of an important result of M. F. Chen concerning upwardly skip-free processes. We then use our generalization of Reuter's lemma to prove new results for downwardly skip-free chains, such as the Markov branching process and several of its many generalizations. This permits us to establish uniqueness criteria for several models, including the general birth, death, and catastrophe process, extended branching processes, and asymptotic birth-death processes, the latter being neither upwardly skip-free nor downwardly skip-free.

Comparing whole-link travel time models used in DTA

In a model commonly used in dynamic traffic assignment the link travel time for a vehicle entering a link at time t is taken as a function of the number of vehicles on the link at time t. In an alternative recently introduced model, the travel time for a vehicle entering a link at time t is taken as a function of an estimate of the flow in the immediate neighbourhood of the vehicle, averaged over the time the vehicle is traversing the link. Here we compare the solutions obtained from these two models when applied to various inflow profiles. We also divide the link into segments, apply each model sequentially to the segments and again compare the results. As the number of segments is increased, the discretisation refined to the continuous limit, the solutions from the two models converge to the same solution, which is the solution of the Lighthill, Whitham, Richards (LWR) model for traffic flow. We illustrate the results for different travel time functions and patterns of inflows to the link. In the numerical examples the solutions from the second of the two models are closer to the limit solutions. We also show that the models converge even when the link segments are not homogeneous, and introduce a correction scheme in the second model to compensate for an approximation error, hence improving the approximation to the LWR model.

Discrete time representation of continuous time ARMA processes

This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.

On variational data assimilation in continuous time

Variational data assimilation in continuous time is revisited. The central techniques applied in this paper are in part adopted from the theory of optimal nonlinear control. Alternatively, the investigated approach can be considered as a continuous time generalization of what is known as weakly constrained four-dimensional variational assimilation (4D-Var) in the geosciences. The technique allows to assimilate trajectories in the case of partial observations and in the presence of model error. Several mathematical aspects of the approach are studied. Computationally, it amounts to solving a two-point boundary value problem. For imperfect models, the trade-off between small dynamical error (i.e. the trajectory obeys the model dynamics) and small observational error (i.e. the trajectory closely follows the observations) is investigated. This trade-off turns out to be trivial if the model is perfect. However, even in this situation, allowing for minute deviations from the perfect model is shown to have positive effects, namely to regularize the problem. The presented formalism is dynamical in character. No statistical assumptions on dynamical or observational noise are imposed.

A continuous-time MILP model for short-term scheduling of make-and-pack production processes

In process industries, make-and-pack production is used to produce food and beverages, chemicals, and metal products, among others. This type of production process allows the fabrication of a wide range of products in relatively small amounts using the same equipment. In this article, we consider a real-world production process (cf. Honkomp et al. 2000. The curse of reality – why process scheduling optimization problems are diffcult in practice. Computers & Chemical Engineering, 24, 323–328.) comprising sequence-dependent changeover times, multipurpose storage units with limited capacities, quarantine times, batch splitting, partial equipment connectivity, and transfer times. The planning problem consists of computing a production schedule such that a given demand of packed products is fulfilled, all technological constraints are satisfied, and the production makespan is minimised. None of the models in the literature covers all of the technological constraints that occur in such make-and-pack production processes. To close this gap, we develop an efficient mixed-integer linear programming model that is based on a continuous time domain and general-precedence variables. We propose novel types of symmetry-breaking constraints and a preprocessing procedure to improve the model performance. In an experimental analysis, we show that small- and moderate-sized instances can be solved to optimality within short CPU times.