Inteligência artificial aplicada na previsão de mercados financeiros

Neste documento, são investigados vários métodos usados na inteligência artificial, com o objetivo de obter previsões precisas da evolução dos mercados financeiros. O uso de ferramentas lineares como os modelos AR, MA, ARMA e GARCH têm muitas limitações, pois torna-se muito difícil adaptá-los às não linearidades dos fenómenos que ocorrem nos mercados. Pelas razões anteriormente referidas, os algoritmos como as redes neuronais dinâmicas (TDNN, NARX e ESN), mostram uma maior capacidade de adaptação a estas não linearidades, pois não fazem qualquer pressuposto sobre as distribuições de probabilidade que caracterizam estes mercados. O facto destas redes neuronais serem dinâmicas, faz com que estas exibam um desempenho superior em relação às redes neuronais estáticas, ou outros algoritmos que não possuem qualquer tipo de memória. Apesar das vantagens reveladas pelas redes neuronais, estas são um sistema do tipo black box, o que torna muito difícil extrair informação dos pesos da rede. Isto significa que estes algoritmos devem ser usados com precaução, pois podem tornar-se instáveis.

Dynamic artificial neural network for electricity market prices forecast

This paper presents an artificial neural network applied to the forecasting of electricity market prices, with the special feature of being dynamic. The dynamism is verified at two different levels. The first level is characterized as a re-training of the network in every iteration, so that the artificial neural network can able to consider the most recent data at all times, and constantly adapt itself to the most recent happenings. The second level considers the adaptation of the neural network’s execution time depending on the circumstances of its use. The execution time adaptation is performed through the automatic adjustment of the amount of data considered for training the network. This is an advantageous and indispensable feature for this neural network’s integration in ALBidS (Adaptive Learning strategic Bidding System), a multi-agent system that has the purpose of providing decision support to the market negotiating players of MASCEM (Multi-Agent Simulator of Competitive Electricity Markets).

A probabilistic methodology for distributed generation location in isolated electrical service area

Distributed generation unlike centralized electrical generation aims to generate electrical energy on small scale as near as possible to load centers, interchanging electric power with the network. This work presents a probabilistic methodology conceived to assist the electric system planning engineers in the selection of the distributed generation location, taking into account the hourly load changes or the daily load cycle. The hourly load centers, for each of the different hourly load scenarios, are calculated deterministically. These location points, properly weighted according to their load magnitude, are used to calculate the best fit probability distribution. This distribution is used to determine the maximum likelihood perimeter of the area where each source distributed generation point should preferably be located by the planning engineers. This takes into account, for example, the availability and the cost of the land lots, which are factors of special relevance in urban areas, as well as several obstacles important for the final selection of the candidates of the distributed generation points. The proposed methodology has been applied to a real case, assuming three different bivariate probability distributions: the Gaussian distribution, a bivariate version of Freund’s exponential distribution and the Weibull probability distribution. The methodology algorithm has been programmed in MATLAB. Results are presented and discussed for the application of the methodology to a realistic case and demonstrate the ability of the proposed methodology for efficiently handling the determination of the best location of the distributed generation and their corresponding distribution networks.

Improving quality-of-service in wireless sensor networks by mitigating “Hidden-Node Collisions”

Wireless sensor networks (WSNs) emerge as underlying infrastructures for new classes of large-scale networked embedded systems. However, WSNs system designers must fulfill the quality-of-service (QoS) requirements imposed by the applications (and users). Very harsh and dynamic physical environments and extremely limited energy/computing/memory/communication node resources are major obstacles for satisfying QoS metrics such as reliability, timeliness, and system lifetime. The limited communication range of WSN nodes, link asymmetry, and the characteristics of the physical environment lead to a major source of QoS degradation in WSNs-the ldquohidden node problem.rdquo In wireless contention-based medium access control (MAC) protocols, when two nodes that are not visible to each other transmit to a third node that is visible to the former, there will be a collision-called hidden-node or blind collision. This problem greatly impacts network throughput, energy-efficiency and message transfer delays, and the problem dramatically increases with the number of nodes. This paper proposes H-NAMe, a very simple yet extremely efficient hidden-node avoidance mechanism for WSNs. H-NAMe relies on a grouping strategy that splits each cluster of a WSN into disjoint groups of non-hidden nodes that scales to multiple clusters via a cluster grouping strategy that guarantees no interference between overlapping clusters. Importantly, H-NAMe is instantiated in IEEE 802.15.4/ZigBee, which currently are the most widespread communication technologies for WSNs, with only minor add-ons and ensuring backward compatibility with their protocols standards. H-NAMe was implemented and exhaustively tested using an experimental test-bed based on ldquooff-the-shelfrdquo technology, showing that it increases network throughput and transmission success probability up to twice the values obtained without H-NAMe. H-NAMe effectiveness was also demonstrated in a target tracking application with mobile robots - over a WSN deployment.

Reliable and Fast Hand-Offs in Low-Power Wireless Networks

Hand-off (or hand-over), the process where mobile nodes select the best access point available to transfer data, has been well studied in wireless networks. The performance of a hand-off process depends on the specific characteristics of the wireless links. In the case of low-power wireless networks, hand-off decisions must be carefully taken by considering the unique properties of inexpensive low-power radios. This paper addresses the design, implementation and evaluation of smart-HOP, a hand-off mechanism tailored for low-power wireless networks. This work has three main contributions. First, it formulates the hard hand-off process for low-power networks (such as typical wireless sensor networks - WSNs) with a probabilistic model, to investigate the impact of the most relevant channel parameters through an analytical approach. Second, it confirms the probabilistic model through simulation and further elaborates on the impact of several hand-off parameters. Third, it fine-tunes the most relevant hand-off parameters via an extended set of experiments, in a realistic experimental scenario. The evaluation shows that smart-HOP performs well in the transitional region while achieving more than 98 percent relative delivery ratio and hand-off delays in the order of a few tens of a milliseconds.

Voltage Analysis and Load Curtailment Minimization in Sub-transmission Networks with Distributed Generation

Most of distributed generation and smart grid research works are dedicated to network operation parameters studies, reliability, etc. However, many of these works normally uses traditional test systems, for instance, IEEE test systems. This paper proposes voltage magnitude and reliability studies in presence of fault conditions, considering realistic conditions found in countries like Brazil. The methodology considers a hybrid method of fuzzy set and Monte Carlo simulation based on the fuzzy-probabilistic models and a remedial action algorithm which is based on optimal power flow. To illustrate the application of the proposed method, the paper includes a case study that considers a real 12-bus sub-transmission network.

Distributed Sensing of Fluid Dynamic Phenomena with the XDense Sensor Grid Network

IEEE International Conference on Cyber Physical Systems, Networks and Applications (CPSNA'15), Hong Kong, China.