Report of the special session of "Chesapeake Bay Ecological Forecasting: Moving Ecosystem Modeling from Research to Operation" of the 2010 Chesapeake Modeling Symposium

Moving ecosystem modeling from research to applications and operations has direct management relevance and will be integral to achieving the water quality and living resource goals of the 2010 Chesapeake Bay Executive Order. Yet despite decades of ecosystem modeling efforts of linking climate to water quality, plankton and fish, ecological models are rarely taken to the operational phase. In an effort to promote operational ecosystem modeling and ecological forecasting in Chesapeake Bay, a meeting was convened on this topic at the 2010 Chesapeake Modeling Symposium (May, 10-11). These presentations show that tremendous progress has been made over the last five years toward the development of operational ecological forecasting models, and that efforts in Chesapeake Bay are leading the way nationally. Ecological forecasts predict the impacts of chemical, biological, and physical changes on ecosystems, ecosystem components, and people. They have great potential to educate and inform not only ecosystem management, but also the outlook and opinion of the general public, for whom we manage coastal ecosystems. In the context of the Chesapeake Bay Executive Order, ecological forecasting can be used to identify favorable restoration sites, predict which sites and species will be viable under various climate scenarios, and predict the impact of a restoration project on water quality.

Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Forecasting Daily Chlorophyll a Concentration during the Spring Phytoplankton Bloom Period in Xiangxi Bay of the Three-Gorges Reservoir by Means of a Recurrent Artificial Neural Network

A recurrent artificial neural network was used for 0-and 7-days-ahead forecasting of daily spring phytoplankton bloom dynamics in Xiangxi Bay of Three-Gorges Reservoir with meteorological, hydrological, and limnological parameters as input variables. Daily data from the depth of 0.5 m was used to train the model, and data from the depth of 2.0 m was used to validate the calibrated model. The trained model achieved reasonable accuracy in predicting the daily dynamics of chlorophyll a both in 0-and 7-days-ahead forecasting. In 0-day-ahead forecasting, the R-2 values of observed and predicted data were 0.85 for training and 0.89 for validating. In 7-days-ahead forecasting, the R-2 values of training and validating were 0.68 and 0.66, respectively. Sensitivity analysis indicated that most ecological relationships between chlorophyll a and input environmental variables in 0-and 7-days-ahead models were reasonable. In the 0-day model, Secchi depth, water temperature, and dissolved silicate were the most important factors influencing the daily dynamics of chlorophyll a. And in 7-days-ahead predicting model, chlorophyll a was sensitive to most environmental variables except water level, DO, and NH3N.

Gaussian process volatility model

The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to over-fitting. To address these problems we introduce GP-Vol, a novel non-parametric model for time-changing variances based on Gaussian Processes. This new model can capture highly flexible functional relationships for the variances. Furthermore, we introduce a new online algorithm for fast inference in GP-Vol. This method is much faster than current offline inference procedures and it avoids overfitting problems by following a fully Bayesian approach. Experiments with financial data show that GP-Vol performs significantly better than current standard alternatives.

A non-linear perturbation model considering catchment wetness and its application in river flow forecasting

A non-linear perturbation model for river flow forecasting is developed, based on consideration of catchment wetness using an antecedent precipitation index (API). Catchment seasonality, of the form accounted for in the linear perturbation model (the LPM), and non-linear behaviour both in the runoff generation mechanism and in the flow routing processes are represented by a constrained nan-linear model, the NLPM-API. A total of ten catchments, across a range of climatic conditions and catchment area magnitudes, located in China and in other countries, were selected for testing daily rainfall-runoff forecasting with this model. It was found that the NLPM-API model was significantly more efficient than the original linear perturbation model (the LPM). However, restric tion of explicit nan-linearity to the runoff generation process, in the simpler LPM-API form of the model, did not produce a significantly lower value of the efficiency in flood forecasting, in terms of the model efficiency index R-2. (C) 1997 Elsevier Science B.V.

Deformation Monitoring and Forecasting Model Study Based on Grey System Theory

The grey system theory studies the uncertainty of small sample size problems. This paper using grey system theory in the deformation monitoring field, based on analysis of present grey forecast models, developed the spatial multi-point model. By using residual modification, the spatial multi-point residual model eras developed in further study. Then, combined with the sedimentation data of Xiaolangdi Multipurpose Dam, the results are compared and analyzed, the conclusion has been made and the advantages of the residual spatial multi-point model has been proved.