Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters.

Mathematical modelling of the refractive index reconstruction through global optimization

We examine a mathematical model of non-destructive testing of planar waveguides, based on numerical solution of a nonlinear integral equation. Such problem is ill-posed, and the method of Tikhonov regularization is applied. To minimize Tikhonov functional, and find the parameters of the waveguide, we use two new optimization methods: the cutting angle method of global optimization, and the discrete gradient method of nonsmooth local optimization. We examine how the noise in the experimental data influences the solution, and how the regularization parameter has to be chosen. We show that even with significant noise in the data, the numerical solution is of high accuracy, and the method can be used to process real experimental da.ta..

Derivative-free optimization and neural networks for robust regression

Large outliers break down linear and nonlinear regression models. Robust regression methods allow one to filter out the outliers when building a model. By replacing the traditional least squares criterion with the least trimmed squares (LTS) criterion, in which half of data is treated as potential outliers, one can fit accurate regression models to strongly contaminated data. High-breakdown methods have become very well established in linear regression, but have started being applied for non-linear regression only recently. In this work, we examine the problem of fitting artificial neural networks (ANNs) to contaminated data using LTS criterion. We introduce a penalized LTS criterion which prevents unnecessary removal of valid data. Training of ANNs leads to a challenging non-smooth global optimization problem. We compare the efficiency of several derivative-free optimization methods in solving it, and show that our approach identifies the outliers correctly when ANNs are used for nonlinear regression.

Design of distributed adaptive neural traffic signal timing controller by cuckoo search optimization

This paper focuses on designing an adaptive controller for controlling traffic signal timing. Urban traffic is an inevitable part in modern cities and traffic signal controllers are effective tools to control it. In this regard, this paper proposes a distributed neural network (NN) controller for traffic signal timing. This controller applies cuckoo search (CS) optimization methods to find the optimal parameters in design of an adaptive traffic signal timing control system. The evaluation of the performance of the designed controller is done in a multi-intersection traffic network. The developed controller shows a promising improvement in reducing travel delay time compared to traditional fixed-time control systems.

Reconstruction of the refractive index profile of planar waveguides using ray tracing analysis

We propose a method for refractive index profiling based on measuring coordinates and angles of laser beams passing across the waveguide layer. Calculations are performed by solving an integral equation using new global optimization methods.

Fuzzy neural networks for control of dynamic systems

This thesis provides a unified and comprehensive treatment of the fuzzy neural networks as the intelligent controllers. This work has been motivated by a need to develop the solid control methodologies capable of coping with the complexity, the nonlinearity, the interactions, and the time variance of the processes under control. In addition, the dynamic behavior of such processes is strongly influenced by the disturbances and the noise, and such processes are characterized by a large degree of uncertainty. Therefore, it is important to integrate an intelligent component to increase the control system ability to extract the functional relationships from the process and to change such relationships to improve the control precision, that is, to display the learning and the reasoning abilities. The objective of this thesis was to develop a self-organizing learning controller for above processes by using a combination of the fuzzy logic and the neural networks. An on-line, direct fuzzy neural controller using the process input-output measurement data and the reference model with both structural and parameter tuning has been developed to fulfill the above objective. A number of practical issues were considered. This includes the dynamic construction of the controller in order to alleviate the bias/variance dilemma, the universal approximation property, and the requirements of the locality and the linearity in the parameters. Several important issues in the intelligent control were also considered such as the overall control scheme, the requirement of the persistency of excitation and the bounded learning rates of the controller for the overall closed loop stability. Other important issues considered in this thesis include the dependence of the generalization ability and the optimization methods on the data distribution, and the requirements for the on-line learning and the feedback structure of the controller. Fuzzy inference specific issues such as the influence of the choice of the defuzzification method, T-norm operator and the membership function on the overall performance of the controller were also discussed. In addition, the e-completeness requirement and the use of the fuzzy similarity measure were also investigated. Main emphasis of the thesis has been on the applications to the real-world problems such as the industrial process control. The applicability of the proposed method has been demonstrated through the empirical studies on several real-world control problems of industrial complexity. This includes the temperature and the number-average molecular weight control in the continuous stirred tank polymerization reactor, and the torsional vibration, the eccentricity, the hardness and the thickness control in the cold rolling mills. Compared to the traditional linear controllers and the dynamically constructed neural network, the proposed fuzzy neural controller shows the highest promise as an effective approach to such nonlinear multi-variable control problems with the strong influence of the disturbances and the noise on the dynamic process behavior. In addition, the applicability of the proposed method beyond the strictly control area has also been investigated, in particular to the data mining and the knowledge elicitation. When compared to the decision tree method and the pruned neural network method for the data mining, the proposed fuzzy neural network is able to achieve a comparable accuracy with a more compact set of rules. In addition, the performance of the proposed fuzzy neural network is much better for the classes with the low occurrences in the data set compared to the decision tree method. Thus, the proposed fuzzy neural network may be very useful in situations where the important information is contained in a small fraction of the available data.

CARSA : A context-aware reasoning-based service agent model for AI planning of web service compostion

In order to achieve automatic and more intelligent service composition, dynamic description logic (DDL) is proposed and utilized as one emerging logic-level solution. However, reasoning optimization and utilization in such DDL-related solutions is still an open problem. In this paper, we propose the context-aware reasoning-based service agent model (CARSA) which exploits the relationships among different service consumers and providers, together with the corresponding optimization approach to strengthen the effectiveness of Web service composition. Through the model, two reasoning optimization methods are proposed based on the substitute relationship and the dependency relationship, respectively, so irrelevant actions can be filtered out of the reasoning space before the DDL reasoning process is carried out. The case study and experimental analysis demonstrates the capability of the proposed approach.

Detecting K-complexes for sleep stage identification using nonsmooth optimisation

The process of sleep stage identification is a labour-intensive task that involves the specialized interpretation of the polysomnographic signals captured from a patient’s overnight sleep session. Automating this task has proven to be challenging for data mining algorithms because of noise, complexity and the extreme size of data. In this paper we apply nonsmooth optimization to extract key features that lead to better accuracy. We develop a specific procedure for identifying K-complexes, a special type of brain wave crucial for distinguishing sleep stages. The procedure contains two steps. We first extract “easily classified” K-complexes, and then apply nonsmooth optimization methods to extract features from the remaining data and refine the results from the first step. Numerical experiments show that this procedure is efficient for detecting K-complexes. It is also found that most classification methods perform significantly better on the extracted features.

Efficient subwindow search with submodular score functions

Subwindow search aims to find the optimal subimage which maximizes the score function of an object to be detected. After the development of the branch and bound (B&B) method called Efficient Subwindow Search (ESS), several algorithms (IESS [2], AESS [2], ARCS [3]) have been proposed to improve the performance of ESS. For nn images, IESS's time complexity is bounded by O(n³) which is better than ESS, but only applicable to linear score functions. Other work shows that Monge properties can hold in subwindow search and can be used to speed up the search to O(n³), but only applies to certain types of score functions. In this paper we explore the connection between submodular functions and the Monge property, and prove that sub-modular score functions can be used to achieve O(n³) time complexity for object detection. The time complexity can be further improved to be sub-cubic by applying B&B methods on row interval only, when the score function has a multivariate submodular bound function. Conditions for sub-modularity of common non-linear score functions and multivariate submodularity of their bound functions are also provided, and experiments are provided to compare the proposed approach against ESS and ARCS for object detection with some nonlinear score functions.

Pseudoconvex proximal splitting for L∞problems in multiview geometry

In this paper we study optimization methods for minimizing large-scale pseudoconvex L∞problems in multiview geometry. We present a novel algorithm for solving this class of problem based on proximal splitting methods. We provide a brief derivation of the proposed method along with a general convergence analysis. The resulting meta-algorithm requires very little effort in terms of implementation and instead makes use of existing advanced solvers for non-linear optimization. Preliminary experiments on a number of real image datasets indicate that the proposed method experimentally matches or outperforms current state-of-the-art solvers for this class of problems.

Aggregation and consensus for preference relations based on fuzzy partial orders

We propose a framework for eliciting and aggregating pairwise preference relations based on the assumption of an underlying fuzzy partial order. We also propose some linear programming optimization methods for ensuring consistency either as part of the aggregation phase or as a pre- or post-processing task. We contend that this framework of pairwise-preference relations, based on the Kemeny distance, can be less sensitive to extreme or biased opinions and is also less complex to elicit from experts. We provide some examples and outline their relevant properties and associated concepts.

Implementation of novel methods of global and nonsmooth optimization : GANSO programming library

We discuss the implementation of a number of modern methods of global and nonsmooth continuous optimization, based on the ideas of Rubinov, in a programming library GANSO. GANSO implements the derivative-free bundle method, the extended cutting angle method, dynamical system-based optimization and their various combinations and heuristics. We outline the main ideas behind each method, and report on the interfacing with Matlab and Maple packages.

Evolutionary multiobjective optimization in engineering management: an empirical study on bridge deck rehabilitation

There exist multiple objectives in engineering management such as minimum cost and maximum service capacity. Although solution methods of multiobjective optimization problems have undergone continual development over the past several decades, the methods available to date are not particularly robust, and none of them performs well on the broad classes. Because genetic algorithms work with a population of points, they can capture a number of solutions simultaneously, and easily incorporate the concept of Pareto optimal set in their optimization process. In this paper, a genetic algorithm is modified to deal with the rehabilitation planning of bridge decks at a network level by minimizing the rehabilitation cost and deterioration degree simultaneously.

Evolutionary multiobjective optimization in engineering management: an empirical application in infrastructure systems

Generally multiple objectives exist in transportation infrastructure management, such as minimum cost and maximum service capacity. Although solution methoak of multiobjective optimization problems have undergone continual development over the part several decades, the methods available to date are not particularly robust, and none of them perform well on the broad classes. Because genetic algorithms work with apopulation ofpoints, they can capture a number of solutions simultaneously, and easily incorporate the concept of a Pareto optimal set in their optimization process. In this paper, a genetic algorithm is modified to deal with an empirical application for the rehabilitation planning of bridge decks, at a network level, by minimizing the rehabilitation cost and deterioration degree simultaneously.