Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

New algorithms for automated phylogenetic reconstruction using artificial intelligence and data mining techniques

Academic and industrial research in the late 90s have brought about an exponential explosion of DNA sequence data. Automated expert systems are being created to help biologists to extract patterns, trends and links from this ever-deepening ocean of information. Two such systems aimed on retrieving and subsequently utilizing phylogenetically relevant information have been developed in this dissertation, the major objective of which was to automate the often difficult and confusing phylogenetic reconstruction process. ^ Popular phylogenetic reconstruction methods, such as distance-based methods, attempt to find an optimal tree topology (that reflects the relationships among related sequences and their evolutionary history) by searching through the topology space. Various compromises between the fast (but incomplete) and exhaustive (but computationally prohibitive) search heuristics have been suggested. An intelligent compromise algorithm that relies on a flexible “beam” search principle from the Artificial Intelligence domain and uses the pre-computed local topology reliability information to adjust the beam search space continuously is described in the second chapter of this dissertation. ^ However, sometimes even a (virtually) complete distance-based method is inferior to the significantly more elaborate (and computationally expensive) maximum likelihood (ML) method. In fact, depending on the nature of the sequence data in question either method might prove to be superior. Therefore, it is difficult (even for an expert) to tell a priori which phylogenetic reconstruction method—distance-based, ML or maybe maximum parsimony (MP)—should be chosen for any particular data set. ^ A number of factors, often hidden, influence the performance of a method. For example, it is generally understood that for a phylogenetically “difficult” data set more sophisticated methods (e.g., ML) tend to be more effective and thus should be chosen. However, it is the interplay of many factors that one needs to consider in order to avoid choosing an inferior method (potentially a costly mistake, both in terms of computational expenses and in terms of reconstruction accuracy.) ^ Chapter III of this dissertation details a phylogenetic reconstruction expert system that selects a superior proper method automatically. It uses a classifier (a Decision Tree-inducing algorithm) to map a new data set to the proper phylogenetic reconstruction method. ^

Application of factor decomposition techniques to vertical specialisation measurements

The increasing importance of vertical specialisation (VS) trade has been a notable feature of rapid economic globalisation and regional integration. In an attempt to understand countries’ depth of participation in global production chains, many Input-Output based VS indicators have been developed. However, most of them focus on showing the overall magnitude of a country’s VS trade, rather than explaining the roles that specific sectors or products play in VS trade and what factors make the VS change over time. Changes in vertical specialisation indicators are, in fact, determined by mixed and complex factors such as import substitution ratios, types of exported goods and domestic production networks. In this paper, decomposition techniques are applied to VS measurement based on the OECD Input-Output database. The decomposition results not only help us understand the structure of VS at detailed sector and product levels, but also show us the contributions of trade dependency, industrial structures of foreign trade and domestic production system to a country’s vertical specialisation trade.

Design and Optimization of Power Delivery and Distribution Systems Using Evolutionary Computation Techniques

Nowadays computing platforms consist of a very large number of components that require to be supplied with diferent voltage levels and power requirements. Even a very small platform, like a handheld computer, may contain more than twenty diferent loads and voltage regulators. The power delivery designers of these systems are required to provide, in a very short time, the right power architecture that optimizes the performance, meets electrical specifications plus cost and size targets. The appropriate selection of the architecture and converters directly defines the performance of a given solution. Therefore, the designer needs to be able to evaluate a significant number of options in order to know with good certainty whether the selected solutions meet the size, energy eficiency and cost targets. The design dificulties of selecting the right solution arise due to the wide range of power conversion products provided by diferent manufacturers. These products range from discrete components (to build converters) to complete power conversion modules that employ diferent manufacturing technologies. Consequently, in most cases it is not possible to analyze all the alternatives (combinations of power architectures and converters) that can be built. The designer has to select a limited number of converters in order to simplify the analysis. In this thesis, in order to overcome the mentioned dificulties, a new design methodology for power supply systems is proposed. This methodology integrates evolutionary computation techniques in order to make possible analyzing a large number of possibilities. This exhaustive analysis helps the designer to quickly define a set of feasible solutions and select the best trade-off in performance according to each application. The proposed approach consists of two key steps, one for the automatic generation of architectures and other for the optimized selection of components. In this thesis are detailed the implementation of these two steps. The usefulness of the methodology is corroborated by contrasting the results using real problems and experiments designed to test the limits of the algorithms.

Cooperative Task Execution between Modular Robots Based on Tight-Loose Cooperation Strategies

The complexity in the execution of cooperative tasks is high due to the fact that a robot team requires movement coordination at the beginning of the mission and continuous coordination during the execution of the task. A variety of techniques have been proposed to give a solution to this problem assuming standard mobile robots. This work focuses on presenting the execution of a cooperative task by a modular robot team. The complexity of the task execution increases due to the fact that each robot is composed of modules which have to be coordinated in a proper way to successfully work. A combined tight and loose cooperation strategy is presented and a bar-pushing example is used as a cooperative task to show the performance of this type of system.

Alarm tree analysis using statistical techniques

This work presents a systematic method for the generation and treatment of the alarms' graphs, being its final object to find the Alarm Root Cause of the Massive Alarms that are produced in the dispatching centers. Although many works about this matter have been already developed, the problem about the alarm management in the industry is still completely unsolved. In this paper, a simple statistic analysis of the historical data base is conducted. The results obtained by the acquisition alarm systems, are used to generate a directed graph from which the more significant alarms are extracted, previously analyzing any possible case in which a great quantity of alarms are produced.

Exploring differences between phonetic classes in Sleep Apnoea Syndrome Patients using automatic speech processing techniques

This work is part of an on-going collaborative project between the medical and signal processing communities to promote new research efforts on automatic OSA (Obstructive Apnea Syndrome) diagnosis. In this paper, we explore the differences noted in phonetic classes (interphoneme) across groups (control/apnoea) and analyze their utility for OSA detection

Application of virtual certification techniques to vehicle design and track maintenance

Virtual certification partially substitutes by computer simulations the experimental techniques required for rail vehicle certification. In this paper, several works were these techniques were used in the vehicle design and track maintenance processes are presented. Dynamic simulation of multibody systems was used to virtually apply the EN14363 standard to certify the dynamic behaviour of vehicles. The works described are: assessment of a freight bogie design adapted to meter-gauge, assessment of a railway track layout for a subway network, freight bogie design with higher speed and axle load, and processing of the data acquired by a track recording vehicle for track maintenance.

Simulation techniques for design of overhead conductor rail lines for speeds over 140 km/h

In overhead conductor rail lines, aluminium beams are usually mounted with support spacing between 8 and 12 meters, to limit the maximum vertical deflection in the center of the span. This small support spacing limits the use of overhead conductor rail to tunnels, therefore it has been used almost exclusively in metropolitan networks, with operation speeds below 110 km/h. Nevertheless, due to the lower cost of maintenance required for this electrification system, some railway administrations are beginning to install it in some tunnels on long-distance lines, requesting higher operation speeds [1]. Some examples are the Barcelona and Madrid suburban networks (Spain), and recent lines in Turkey and Malaysia. In order to adapt the design of the overhead conductor for higher speeds (V > 160 km/h), particular attention must be paid to the geometry of the conductor rail in critical zones as overlaps, crossings and, especially, transitions between conductor rail and conventional catenary, since the use of overhead conductor rail is limited to tunnels, as already mentioned. This paper describes simulation techniques developed in order to take into account these critical zones. Furthermore, some specific simulations results are presented that have been used to analyze and optimizes the geometry of this special zones to get a better current collection quality, in a real suburban network. This paper presents the work undertaken by the Railways Technology Research Centre (CITEF), having over 10 years of experience in railways research [1-4].

Techniques for Area Discretization and Coverage in Aerial Photography for Precision Agriculture employing mini quad-rotors

Remote sensed imagery acquired with mini aerial vehicles, in conjunction with GIS technology enable a meticulous analysis from surveyed agricultural sites. This paper sums up the ongoing work in area discretization and coverage with mini quad-­?rotors applied to Precision Agriculture practices under the project RHEA.

High Performance Algorithms and Implementations Using Sparse and Parallelization Techniques on MBS

In this paper we will see how the efficiency of the MBS simulations can be improved in two different ways, by considering both an explicit and implicit semi-recursive formulation. The explicit method is based on a double velocity transformation that involves the solution of a redundant but compatible system of equations. The high computational cost of this operation has been drastically reduced by taking into account the sparsity pattern of the system. Regarding this, the goal of this method is the introduction of MA48, a high performance mathematical library provided by Harwell Subroutine Library. The second method proposed in this paper has the particularity that, depending on the case, between 70 and 85% of the computation time is devoted to the evaluation of forces derivatives with respect to the relative position and velocity vectors. Keeping in mind that evaluating these derivatives can be decomposed into concurrent tasks, the main goal of this paper lies on a successful and straightforward parallel implementation that have led to a substantial improvement with a speedup of 3.2 by keeping all the cores busy in a quad-core processor and distributing the workload between them, achieving on this way a huge time reduction by doing an ideal CPU usage

Analysis of pattern recognition techniques for in-air signature biometrics

As a result of advances in mobile technology, new services which benefit from the ubiquity of these devices are appearing. Some of these services require the identification of the subject since they may access private user information. In this paper, we propose to identify each user by drawing his/her handwritten signature in the air (in-airsignature). In order to assess the feasibility of an in-airsignature as a biometric feature, we have analysed the performance of several well-known patternrecognitiontechniques—Hidden Markov Models, Bayes classifiers and dynamic time warping—to cope with this problem. Each technique has been tested in the identification of the signatures of 96 individuals. Furthermore, the robustness of each method against spoofing attacks has also been analysed using six impostors who attempted to emulate every signature. The best results in both experiments have been reached by using a technique based on dynamic time warping which carries out the recognition by calculating distances to an average template extracted from several training instances. Finally, a permanence analysis has been carried out in order to assess the stability of in-airsignature over time.

On-board and Ground Visual Pose Estimation Techniques for UAV Control

In this paper, two techniques to control UAVs (Unmanned Aerial Vehicles), based on visual information are presented. The first one is based on the detection and tracking of planar structures from an on-board camera, while the second one is based on the detection and 3D reconstruction of the position of the UAV based on an external camera system. Both strategies are tested with a VTOL (Vertical take-off and landing) UAV, and results show good behavior of the visual systems (precision in the estimation and frame rate) when estimating the helicopter¿s position and using the extracted information to control the UAV.

Semantic Service Discovery Techniques for the composable web

This PhD thesis contributes to the problem of resource and service discovery in the context of the composable web. In the current web, mashup technologies allow developers reusing services and contents to build new web applications. However, developers face a problem of information flood when searching for appropriate services or resources for their combination. To contribute to overcoming this problem, a framework is defined for the discovery of services and resources. In this framework, three levels are defined for performing discovery at content, discovery and agente levels. The content level involves the information available in web resources. The web follows the Representational Stateless Transfer (REST) architectural style, in which resources are returned as representations from servers to clients. These representations usually employ the HyperText Markup Language (HTML), which, along with Content Style Sheets (CSS), describes the markup employed to render representations in a web browser. Although the use of SemanticWeb standards such as Resource Description Framework (RDF) make this architecture suitable for automatic processes to use the information present in web resources, these standards are too often not employed, so automation must rely on processing HTML. This process, often referred as Screen Scraping in the literature, is the content discovery according to the proposed framework. At this level, discovery rules indicate how the different pieces of data in resources’ representations are mapped onto semantic entities. By processing discovery rules on web resources, semantically described contents can be obtained out of them. The service level involves the operations that can be performed on the web. The current web allows users to perform different tasks such as search, blogging, e-commerce, or social networking. To describe the possible services in RESTful architectures, a high-level feature-oriented service methodology is proposed at this level. This lightweight description framework allows defining service discovery rules to identify operations in interactions with REST resources. The discovery is thus performed by applying discovery rules to contents discovered in REST interactions, in a novel process called service probing. Also, service discovery can be performed by modelling services as contents, i.e., by retrieving Application Programming Interface (API) documentation and API listings in service registries such as ProgrammableWeb. For this, a unified model for composable components in Mashup-Driven Development (MDD) has been defined after the analysis of service repositories from the web. The agent level involves the orchestration of the discovery of services and contents. At this level, agent rules allow to specify behaviours for crawling and executing services, which results in the fulfilment of a high-level goal. Agent rules are plans that allow introspecting the discovered data and services from the web and the knowledge present in service and content discovery rules to anticipate the contents and services to be found on specific resources from the web. By the definition of plans, an agent can be configured to target specific resources. The discovery framework has been evaluated on different scenarios, each one covering different levels of the framework. Contenidos a la Carta project deals with the mashing-up of news from electronic newspapers, and the framework was used for the discovery and extraction of pieces of news from the web. Similarly, in Resulta and VulneraNET projects the discovery of ideas and security knowledge in the web is covered, respectively. The service level is covered in the OMELETTE project, where mashup components such as services and widgets are discovered from component repositories from the web. The agent level is applied to the crawling of services and news in these scenarios, highlighting how the semantic description of rules and extracted data can provide complex behaviours and orchestrations of tasks in the web. The main contributions of the thesis are the unified framework for discovery, which allows configuring agents to perform automated tasks. Also, a scraping ontology has been defined for the construction of mappings for scraping web resources. A novel first-order logic rule induction algorithm is defined for the automated construction and maintenance of these mappings out of the visual information in web resources. Additionally, a common unified model for the discovery of services is defined, which allows sharing service descriptions. Future work comprises the further extension of service probing, resource ranking, the extension of the Scraping Ontology, extensions of the agent model, and contructing a base of discovery rules. Resumen La presente tesis doctoral contribuye al problema de descubrimiento de servicios y recursos en el contexto de la web combinable. En la web actual, las tecnologías de combinación de aplicaciones permiten a los desarrolladores reutilizar servicios y contenidos para construir nuevas aplicaciones web. Pese a todo, los desarrolladores afrontan un problema de saturación de información a la hora de buscar servicios o recursos apropiados para su combinación. Para contribuir a la solución de este problema, se propone un marco de trabajo para el descubrimiento de servicios y recursos. En este marco, se definen tres capas sobre las que se realiza descubrimiento a nivel de contenido, servicio y agente. El nivel de contenido involucra a la información disponible en recursos web. La web sigue el estilo arquitectónico Representational Stateless Transfer (REST), en el que los recursos son devueltos como representaciones por parte de los servidores a los clientes. Estas representaciones normalmente emplean el lenguaje de marcado HyperText Markup Language (HTML), que, unido al estándar Content Style Sheets (CSS), describe el marcado empleado para mostrar representaciones en un navegador web. Aunque el uso de estándares de la web semántica como Resource Description Framework (RDF) hace apta esta arquitectura para su uso por procesos automatizados, estos estándares no son empleados en muchas ocasiones, por lo que cualquier automatización debe basarse en el procesado del marcado HTML. Este proceso, normalmente conocido como Screen Scraping en la literatura, es el descubrimiento de contenidos en el marco de trabajo propuesto. En este nivel, un conjunto de reglas de descubrimiento indican cómo los diferentes datos en las representaciones de recursos se corresponden con entidades semánticas. Al procesar estas reglas sobre recursos web, pueden obtenerse contenidos descritos semánticamente. El nivel de servicio involucra las operaciones que pueden ser llevadas a cabo en la web. Actualmente, los usuarios de la web pueden realizar diversas tareas como búsqueda, blogging, comercio electrónico o redes sociales. Para describir los posibles servicios en arquitecturas REST, se propone en este nivel una metodología de alto nivel para descubrimiento de servicios orientada a funcionalidades. Este marco de descubrimiento ligero permite definir reglas de descubrimiento de servicios para identificar operaciones en interacciones con recursos REST. Este descubrimiento es por tanto llevado a cabo al aplicar las reglas de descubrimiento sobre contenidos descubiertos en interacciones REST, en un nuevo procedimiento llamado sondeo de servicios. Además, el descubrimiento de servicios puede ser llevado a cabo mediante el modelado de servicios como contenidos. Es decir, mediante la recuperación de documentación de Application Programming Interfaces (APIs) y listas de APIs en registros de servicios como ProgrammableWeb. Para ello, se ha definido un modelo unificado de componentes combinables para Mashup-Driven Development (MDD) tras el análisis de repositorios de servicios de la web. El nivel de agente involucra la orquestación del descubrimiento de servicios y contenidos. En este nivel, las reglas de nivel de agente permiten especificar comportamientos para el rastreo y ejecución de servicios, lo que permite la consecución de metas de mayor nivel. Las reglas de los agentes son planes que permiten la introspección sobre los datos y servicios descubiertos, así como sobre el conocimiento presente en las reglas de descubrimiento de servicios y contenidos para anticipar contenidos y servicios por encontrar en recursos específicos de la web. Mediante la definición de planes, un agente puede ser configurado para descubrir recursos específicos. El marco de descubrimiento ha sido evaluado sobre diferentes escenarios, cada uno cubriendo distintos niveles del marco. El proyecto Contenidos a la Carta trata de la combinación de noticias de periódicos digitales, y en él el framework se ha empleado para el descubrimiento y extracción de noticias de la web. De manera análoga, en los proyectos Resulta y VulneraNET se ha llevado a cabo un descubrimiento de ideas y de conocimientos de seguridad, respectivamente. El nivel de servicio se cubre en el proyecto OMELETTE, en el que componentes combinables como servicios y widgets se descubren en repositorios de componentes de la web. El nivel de agente se aplica al rastreo de servicios y noticias en estos escenarios, mostrando cómo la descripción semántica de reglas y datos extraídos permiten proporcionar comportamientos complejos y orquestaciones de tareas en la web. Las principales contribuciones de la tesis son el marco de trabajo unificado para descubrimiento, que permite configurar agentes para realizar tareas automatizadas. Además, una ontología de extracción ha sido definida para la construcción de correspondencias y extraer información de recursos web. Asimismo, un algoritmo para la inducción de reglas de lógica de primer orden se ha definido para la construcción y el mantenimiento de estas correspondencias a partir de la información visual de recursos web. Adicionalmente, se ha definido un modelo común y unificado para el descubrimiento de servicios que permite la compartición de descripciones de servicios. Como trabajos futuros se considera la extensión del sondeo de servicios, clasificación de recursos, extensión de la ontología de extracción y la construcción de una base de reglas de descubrimiento.