Probabilistic Independence Networks for Hidden Markov Probability Models

Graphical techniques for modeling the dependencies of randomvariables have been explored in a variety of different areas includingstatistics, statistical physics, artificial intelligence, speech recognition, image processing, and genetics.Formalisms for manipulating these models have been developedrelatively independently in these research communities. In this paper weexplore hidden Markov models (HMMs) and related structures within the general framework of probabilistic independencenetworks (PINs). The paper contains a self-contained review of the basic principles of PINs.It is shown that the well-known forward-backward (F-B) and Viterbialgorithms for HMMs are special cases of more general inference algorithms forarbitrary PINs. Furthermore, the existence of inference and estimationalgorithms for more general graphical models provides a set of analysistools for HMM practitioners who wish to explore a richer class of HMMstructures.Examples of relatively complex models to handle sensorfusion and coarticulationin speech recognitionare introduced and treated within the graphical model framework toillustrate the advantages of the general approach.

Risk Aversion in Inventory Management

Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replenishment strategies that maximize expected total profit, or equivalently, minimize expected total cost over a planning horizon. In this paper, we propose a framework for incorporating risk aversion in multi-period inventory models as well as multi-period models that coordinate inventory and pricing strategies. In each case, we characterize the optimal policy for various measures of risk that have been commonly used in the finance literature. In particular, we show that the structure of the optimal policy for a decision maker with exponential utility functions is almost identical to the structure of the optimal risk-neutral inventory (and pricing) policies. Computational results demonstrate the importance of this approach not only to risk-averse decision makers, but also to risk-neutral decision makers with limited information on the demand distribution.

De lo micro a lo macro prudencial: Un análisis de la supervisión bancaria desde la econometría espacial

La crisis que se desató en el mercado hipotecario en Estados Unidos en 2008 y que logró propagarse a lo largo de todo sistema financiero, dejó en evidencia el nivel de interconexión que actualmente existe entre las entidades del sector y sus relaciones con el sector productivo, dejando en evidencia la necesidad de identificar y caracterizar el riesgo sistémico inherente al sistema, para que de esta forma las entidades reguladoras busquen una estabilidad tanto individual, como del sistema en general. El presente documento muestra, a través de un modelo que combina el poder informativo de las redes y su adecuación a un modelo espacial auto regresivo (tipo panel), la importancia de incorporar al enfoque micro-prudencial (propuesto en Basilea II), una variable que capture el efecto de estar conectado con otras entidades, realizando así un análisis macro-prudencial (propuesto en Basilea III).

Efectividad en las redes empresariales

Este estudio tiene como objetivo identificar cuáles son las variables que repercuten en la efectividad de las redes empresariales. Esto, con base en la búsqueda de literatura existente de la efectividad en equipos, en organizaciones y en las redes interorganizacionales, así como el análisis de modelos y estudios empíricos que permitieron el análisis. De acuerdo con la búsqueda, se encontró que variables como la estructura de la red, la estabilidad del sistema, el compromiso de los empleados en cada una de las organizaciones que hacen parte de la red, la confianza dentro de la red, la transferencia de conocimiento y la apertura del sistema son las variables que en conclusión, mostraron ser buenas predictoras de efectividad dentro de las redes empresariales.

salud financiera y riesgo en los estados financieros de la empresa avianca del sector aeronautico

La globalización y la competitividad como realidad de las empresas, implica que los gerentes preparen a sus empresas de la mejor manera para sobrevivir en este mundo tan inestable y cambiante. El primer paso consta de investigar y medir como se encuentra la empresa en cada uno de sus componentes, tales como recurso humano, mercadeo, logística, operación y por último y más importante las finanzas. El conocimiento de salud financiera y de los riesgos asociados a la actividad de las empresas, les permitirá a los gerentes tomar las decisiones correctas para ser rentables y perdurables en el mundo de los negocios inmerso en la globalización y competitividad. Esta apreciación es pertinente en Avianca S.A. esto teniendo en cuenta su progreso y evolución desde su primer vuelo el 5 de diciembre de 1919 comercial, hasta hoy cuando cotiza en la bolsa de Nueva York. Se realizó un análisis de tipo descriptivo, acompañado de la aplicación de ratios y nomenclaturas, dando lugar a establecer la salud financiera y los riesgos, no solo de Avianca sino también del sector aeronáutico. Como resultado se obtuvo que el sector aeronáutico sea financieramente saludable en el corto plazo, pero en el largo plazo su salud financiera se ve comprometida por los riegos asociados al sector y a la actividad desarrollada.

Transformación de la Doctrina de Seguridad de la OTAN, en la Post- Guerra Fría, y sus efectos en la intervención en Macedonia (2001-2003)

El objetivo de esta monografía es examinar la transformación de la doctrina de seguridad de la OTAN en la Post-Guerra Fría y sus efectos en la intervención en la República de Macedonia. La desintegración del bloque soviético implicó la variación en la definición de las amenazas que atentan contra la supervivencia de los países miembro de la Alianza Atlántica. A partir de la década de los noventa, los conflictos de naturaleza interétnica pasaron a formar parte de los riesgos que transgreden la seguridad de los Aliados y la estabilidad del área Euro-Atlántica. Por lo anterior, la OTAN intervino en aquellos Estados en los que prevalecían las confrontaciones armadas interétnicas, como por ejemplo: en Macedonia. Allí, la Alianza Atlántica ejecutó operaciones de gestión de crisis para contrarrestar la amenaza. El fenómeno a estudiar en esta investigación será analizado a partir del Realismo Subalterno y de la Teoría de la Seguridad Colectiva.

Enhanced fault recovery methods for protected traffic services in GMPLS networks

Les noves tecnologies a la xarxa ens permeten transportar, cada cop més, grans volums d' informació i trànsit de xarxa amb diferents nivells de prioritat. En aquest escenari, on s'ofereix una millor qualitat de servei, les conseqüències d'una fallada en un enllaç o en un node esdevenen més importants. Multiprotocol Lavel Switching (MPLS), juntament amb l'extensió a MPLS generalitzat (GMPLS), proporcionen mecanismes ràpids de recuperació de fallada establint camins, Label Switch Path (LSPs), redundants per ser utilitzats com a camins alternatius. En cas de fallada podrem utilitzar aquests camins per redireccionar el trànsit. El principal objectiu d'aquesta tesi ha estat millorar alguns dels actuals mecanismes de recuperació de fallades MPLS/GMPLS, amb l'objectiu de suportar els requeriments de protecció dels serveis proporcionats per la nova Internet. Per tal de fer aquesta avaluació s'han tingut en compte alguns paràmetres de qualitat de protecció com els temps de recuperació de fallada, les pèrdues de paquets o el consum de recursos. En aquesta tesi presentem una completa revisió i comparació dels principals mètodes de recuperació de fallada basats en MPLS. Aquest anàlisi inclou els mètodes de protecció del camí (backups globals, backups inversos i protecció 1+1), els mètodes de protecció locals i els mètodes de protecció de segments. També s'ha tingut en compte l'extensió d'aquests mecanismes a les xarxes òptiques mitjançant el pla de control proporcionat per GMPLS. En una primera fase d'aquest treball, cada mètode de recuperació de fallades és analitzat sense tenir en compte restriccions de recursos o de topologia. Aquest anàlisi ens dóna una primera classificació dels millors mecanismes de protecció en termes de pèrdues de paquets i temps de recuperació. Aquest primer anàlisi no és aplicable a xarxes reals. Per tal de tenir en compte aquest nou escenari, en una segona fase, s'analitzen els algorismes d'encaminament on sí tindrem en compte aquestes limitacions i restriccions de la xarxa. Es presenten alguns dels principals algorismes d'encaminament amb qualitat de servei i alguna de les principals propostes d'encaminament per xarxes MPLS. La majoria dels actual algorismes d'encaminament no tenen en compte l'establiment de rutes alternatives o utilitzen els mateixos objectius per seleccionar els camins de treball i els de protecció. Per millorar el nivell de protecció introduïm i formalitzem dos nous conceptes: la Probabilitat de fallada de la xarxa i l'Impacte de fallada. Un anàlisi de la xarxa a nivell físic proporciona un primer element per avaluar el nivell de protecció en termes de fiabilitat i disponibilitat de la xarxa. Formalitzem l'impacte d'una fallada, quant a la degradació de la qualitat de servei (en termes de retard i pèrdues de paquets). Expliquem la nostra proposta per reduir la probabilitat de fallada i l'impacte de fallada. Per últim fem una nova definició i classificació dels serveis de xarxa segons els valors requerits de probabilitat de fallada i impacte. Un dels aspectes que destaquem dels resultats d'aquesta tesi és que els mecanismes de protecció global del camí maximitzen la fiabilitat de la xarxa, mentre que les tècniques de protecció local o de segments de xarxa minimitzen l'impacte de fallada. Per tant podem assolir mínim impacte i màxima fiabilitat aplicant protecció local a tota la xarxa, però no és una proposta escalable en termes de consum de recursos. Nosaltres proposem un mecanisme intermig, aplicant protecció de segments combinat amb el nostre model d'avaluació de la probabilitat de fallada. Resumint, aquesta tesi presenta diversos mecanismes per l'anàlisi del nivell de protecció de la xarxa. Els resultats dels models i mecanismes proposats milloren la fiabilitat i minimitzen l'impacte d'una fallada en la xarxa.

Risk pricing practices in finance, insurance and construction

A review of current risk pricing practices in the financial, insurance and construction sectors is conducted through a comprehensive literature review. The purpose was to inform a study on risk and price in the tendering processes of contractors: specifically, how contractors take account of risk when they are calculating their bids for construction work. The reference to mainstream literature was in view of construction management research as a field of application rather than a fundamental academic discipline. Analytical models are used for risk pricing in the financial sector. Certain mathematical laws and principles of insurance are used to price risk in the insurance sector. construction contractors and practitioners are described to traditionally price allowances for project risk using mechanisms such as intuition and experience. Project risk analysis models have proliferated in recent years. However, they are rarely used because of problems practitioners face when confronted with them. A discussion of practices across the three sectors shows that the construction industry does not approach risk according to the sophisticated mechanisms of the two other sectors. This is not a poor situation in itself. However, knowledge transfer from finance and insurance can help construction practitioners. But also, formal risk models for contractors should be informed by the commercial exigencies and unique characteristics of the construction sector.

Beyond the average: Detecting global singular nodes from local features in complex networks

Deviations from the average can provide valuable insights about the organization of natural systems. The present article extends this important principle to the systematic identification and analysis of singular motifs in complex networks. Six measurements quantifying different and complementary features of the connectivity around each node of a network were calculated, and multivariate statistical methods applied to identify singular nodes. The potential of the presented concepts and methodology was illustrated with respect to different types of complex real-world networks, namely the US air transportation network, the protein-protein interactions of the yeast Saccharomyces cerevisiae and the Roget thesaurus networks. The obtained singular motifs possessed unique functional roles in the networks. Three classic theoretical network models were also investigated, with the Barabasi-Albert model resulting in singular motifs corresponding to hubs, confirming the potential of the approach. Interestingly, the number of different types of singular node motifs as well as the number of their instances were found to be considerably higher in the real-world networks than in any of the benchmark networks. Copyright (C) EPLA, 2009

Prediction Of Hydrological Models’ Uncertainty By A Committee Of Machine Learning-Models

This study presents an approach to combine uncertainties of the hydrological model outputs predicted from a number of machine learning models. The machine learning based uncertainty prediction approach is very useful for estimation of hydrological models' uncertainty in particular hydro-metrological situation in real-time application [1]. In this approach the hydrological model realizations from Monte Carlo simulations are used to build different machine learning uncertainty models to predict uncertainty (quantiles of pdf) of the a deterministic output from hydrological model . Uncertainty models are trained using antecedent precipitation and streamflows as inputs. The trained models are then employed to predict the model output uncertainty which is specific for the new input data. We used three machine learning models namely artificial neural networks, model tree, locally weighted regression to predict output uncertainties. These three models produce similar verification results, which can be improved by merging their outputs dynamically. We propose an approach to form a committee of the three models to combine their outputs. The approach is applied to estimate uncertainty of streamflows simulation from a conceptual hydrological model in the Brue catchment in UK and the Bagmati catchment in Nepal. The verification results show that merged output is better than an individual model output. [1] D. L. Shrestha, N. Kayastha, and D. P. Solomatine, and R. Price. Encapsulation of parameteric uncertainty statistics by various predictive machine learning models: MLUE method, Journal of Hydroinformatic, in press, 2013.

The role of consumer's risk aversion on price rigidity

This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on economic agents behavior, we show that firms' competition can lead to the adoption of sticky prices as an (sub-game perfect) equilibrium strategy. We introduce the concept of a consumption centers model economy in which there are several complete markets. Moreover, we weaken some traditional assumptions used in standard monetary policy models, by assuming that households have imperfect information about the ineflicient time-varying cost shocks faced by the firms, e.g. the ones regarding to inefficient equilibrium output leveIs under fiexible prices. Moreover, the timing of events are assumed in such a way that, at every period, consumers have access to the actual prices prevailing in the market only after choosing a particular consumption center. Since such choices under uncertainty may decrease the expected utilities of risk averse consumers, competitive firms adopt some degree of price stickiness in order to minimize the price uncertainty and fi attract more customers fi.'

Caracterização dos retornos e das volatilidades de ativos financeiros do mercado Brasileiro : uma abordagem baseada na volatilidade realizada

The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe the distributions of returns standardized by volatilities is not compatible with volatilities estimated by EWMA or GARCH models. In sharp contrast, when the information contained in high frequency data is used to construct the realized volatilies measures, we attain the normality of the standardized returns, giving promise of improvements in Value at Risk statistics. We also describe the distributions of volatilities of the Brazilian stocks, showing that the distributions of volatilities are nearly lognormal. Second, we estimate a simple linear model to the log of realized volatilities that differs from the ones in other studies. The main difference is that we do not find evidence of long memory. The estimated model is compared with commonly used alternatives in an out-of-sample experiment.

Power flow for primary distribution networks considering uncertainty in demand and user connection

This paper presents a method for calculating the power flow in distribution networks considering uncertainties in the distribution system. Active and reactive power are used as uncertain variables and probabilistically modeled through probability distribution functions. Uncertainty about the connection of the users with the different feeders is also considered. A Monte Carlo simulation is used to generate the possible load scenarios of the users. The results of the power flow considering uncertainty are the mean values and standard deviations of the variables of interest (voltages in all nodes, active and reactive power flows, etc.), giving the user valuable information about how the network will behave under uncertainty rather than the traditional fixed values at one point in time. The method is tested using real data from a primary feeder system, and results are presented considering uncertainty in demand and also in the connection. To demonstrate the usefulness of the approach, the results are then used in a probabilistic risk analysis to identify potential problems of undervoltage in distribution systems. (C) 2012 Elsevier Ltd. All rights reserved.

Risk factors for Hospital-Acquired Pneumonia in nonventilated adults

Although most recent publications focus on Ventilator-associated Pneumonia, Non-Ventilator-associated Hospital-acquired pneumonia (NVHAP) is still worrisome. We studied risk factors for NVHAP among patients admitted to a small teaching hospital. Sixty-six NVHAP case patients and 66 controls admitted to the hospital from November 2005 through November 2006 were enrolled in a case-control study. Variables under investigation included: demographic characteristics, comorbidities, procedures, invasive devices and use of medications (Sedatives, Antacids, Steroids and Antimicrobials). Univariate and multivariable analysis (hierarchical models of logistic regression) were performed. The incidence of NVHAP in our hospital was 0.68% (1.02 per 1,000 patients-day). Results from multivariable analysis identified risk factors for NVHAP: age (Odds Ratio[OR]=1.03, 95% Confidence Interval[CI]=1.01-1.05, p=0.002), use of Antacids (OR=5.29, 95%CI=1.89-4.79, p=0.001) and Central Nervous System disease (OR=3.13, 95%CI=1.24-7.93, p=0.02). Although our findings are coherent with previous reports, the association of Antacids with NVHAP recalls a controversial issue in the physiopathology of Hospital-Acquired Pneumonia, with possible implications for preventive strategies.

An attack signature model to computer security intrusion detection

Internal and external computer network attacks or security threats occur according to standards and follow a set of subsequent steps, allowing to establish profiles or patterns. This well-known behavior is the basis of signature analysis intrusion detection systems. This work presents a new attack signature model to be applied on network-based intrusion detection systems engines. The AISF (ACME! Intrusion Signature Format) model is built upon XML technology and works on intrusion signatures handling and analysis, from storage to manipulation. Using this new model, the process of storing and analyzing information about intrusion signatures for further use by an IDS become a less difficult and standardized process.