New methods for generating populations in Markov network based EDAs: Decimation strategies and model-based template recombination

Methods for generating a new population are a fundamental component of estimation of distribution algorithms (EDAs). They serve to transfer the information contained in the probabilistic model to the new generated population. In EDAs based on Markov networks, methods for generating new populations usually discard information contained in the model to gain in efficiency. Other methods like Gibbs sampling use information about all interactions in the model but are computationally very costly. In this paper we propose new methods for generating new solutions in EDAs based on Markov networks. We introduce approaches based on inference methods for computing the most probable configurations and model-based template recombination. We show that the application of different variants of inference methods can increase the EDAs’ convergence rate and reduce the number of function evaluations needed to find the optimum of binary and non-binary discrete functions.

A Supply Function Competition Model for the Spanish Wholesale Electricity Market

We model the Spanish wholesale market as a multiplant linear supply function competition model. According to the theory, the larger generators should have supply curves for each plant which are to the left of the supply curves of plants owned by smaller generators. We test this prediction for fuel plants using data from the Spanish Market Operator (OMEL) from May 2001 to December 2003. Our results indicate that the prediction of the model holds.

Does the Term Spread play a role in the FED's reaction function? An Empirical Investigation

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed’s reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative monthly indicator of general economic activity suggested by Stock and Watson (1999), and (iv) considers interest rate smoothing. The estimation results show the existence of three switching regimes, two characterized by low volatility and the remaining regime by high volatility. Moreover, the scale of the responses of the Federal funds rate to movements in the rate of inflation and the economic activity index depends on the regime. The estimation results also show robust empirical evidence that the importance of the term spread in the FRF has increased over the sample period and the FRF has been more stable during the term of office of Chairman Greenspan than in the pre-Greenspan period.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.