Reduction of amplitude equations by the renormalization group approach

This article elucidates and analyzes the fundamental underlying structure of the renormalization group (RG) approach as it applies to the solution of any differential equation involving multiple scales. The amplitude equation derived through the elimination of secular terms arising from a naive perturbation expansion of the solution to these equations by the RG approach is reduced to an algebraic equation which is expressed in terms of the Thiele semi-invariants or cumulants of the eliminant sequence { Zi } i=1 . Its use is illustrated through the solution of both linear and nonlinear perturbation problems and certain results from the literature are recovered as special cases. The fundamental structure that emerges from the application of the RG approach is not the amplitude equation but the aforementioned algebraic equation. © 2008 The American Physical Society.

Mission path planning of aerial survey tasks using hybrid game evolutionary algorithm

The work presented in this report is aimed to implement a cost-effective offline mission path planner for aerial inspection tasks of large linear infrastructures. Like most real-world optimisation problems, mission path planning involves a number of objectives which ideally should be minimised simultaneously. Understandably, the objectives of a practical optimisation problem are conflicting each other and the minimisation of one of them necessarily implies the impossibility to minimise the other ones. This leads to the need to find a set of optimal solutions for the problem; once such a set of available options is produced, the mission planning problem is reduced to a decision making problem for the mission specialists, who will choose the solution which best fit the requirements of the mission. The goal of this work is then to develop a Multi-Objective optimisation tool able to provide the mission specialists a set of optimal solutions for the inspection task amongst which the final trajectory will be chosen, given the environment data, the mission requirements and the definition of the objectives to minimise. All the possible optimal solutions of a Multi-Objective optimisation problem are said to form the Pareto-optimal front of the problem. For any of the Pareto-optimal solutions, it is impossible to improve one objective without worsening at least another one. Amongst a set of Pareto-optimal solutions, no solution is absolutely better than another and the final choice must be a trade-off of the objectives of the problem. Multi-Objective Evolutionary Algorithms (MOEAs) are recognised to be a convenient method for exploring the Pareto-optimal front of Multi-Objective optimization problems. Their efficiency is due to their parallelism architecture which allows to find several optimal solutions at each time

A hybrid of modified PSO and local search on a multi-robot search system

Particle swarm optimization (PSO), a new population based algorithm, has recently been used on multi-robot systems. Although this algorithm is applied to solve many optimization problems as well as multi-robot systems, it has some drawbacks when it is applied on multi-robot search systems to find a target in a search space containing big static obstacles. One of these defects is premature convergence. This means that one of the properties of basic PSO is that when particles are spread in a search space, as time increases they tend to converge in a small area. This shortcoming is also evident on a multi-robot search system, particularly when there are big static obstacles in the search space that prevent the robots from finding the target easily; therefore, as time increases, based on this property they converge to a small area that may not contain the target and become entrapped in that area.Another shortcoming is that basic PSO cannot guarantee the global convergence of the algorithm. In other words, initially particles explore different areas, but in some cases they are not good at exploiting promising areas, which will increase the search time.This study proposes a method based on the particle swarm optimization (PSO) technique on a multi-robot system to find a target in a search space containing big static obstacles. This method is not only able to overcome the premature convergence problem but also establishes an efficient balance between exploration and exploitation and guarantees global convergence, reducing the search time by combining with a local search method, such as A-star.To validate the effectiveness and usefulness of algorithms,a simulation environment has been developed for conducting simulation-based experiments in different scenarios and for reporting experimental results. These experimental results have demonstrated that the proposed method is able to overcome the premature convergence problem and guarantee global convergence.

Matrix Decomposition Methods for Data Mining : Computational Complexity and Algorithms

Matrix decompositions, where a given matrix is represented as a product of two other matrices, are regularly used in data mining. Most matrix decompositions have their roots in linear algebra, but the needs of data mining are not always those of linear algebra. In data mining one needs to have results that are interpretable -- and what is considered interpretable in data mining can be very different to what is considered interpretable in linear algebra. --- The purpose of this thesis is to study matrix decompositions that directly address the issue of interpretability. An example is a decomposition of binary matrices where the factor matrices are assumed to be binary and the matrix multiplication is Boolean. The restriction to binary factor matrices increases interpretability -- factor matrices are of the same type as the original matrix -- and allows the use of Boolean matrix multiplication, which is often more intuitive than normal matrix multiplication with binary matrices. Also several other decomposition methods are described, and the computational complexity of computing them is studied together with the hardness of approximating the related optimization problems. Based on these studies, algorithms for constructing the decompositions are proposed. Constructing the decompositions turns out to be computationally hard, and the proposed algorithms are mostly based on various heuristics. Nevertheless, the algorithms are shown to be capable of finding good results in empirical experiments conducted with both synthetic and real-world data.

A Team of Continuous-Action Learning Automata for Noise-Tolerant Learning of Half-Spaces

Learning automata are adaptive decision making devices that are found useful in a variety of machine learning and pattern recognition applications. Although most learning automata methods deal with the case of finitely many actions for the automaton, there are also models of continuous-action-set learning automata (CALA). A team of such CALA can be useful in stochastic optimization problems where one has access only to noise-corrupted values of the objective function. In this paper, we present a novel formulation for noise-tolerant learning of linear classifiers using a CALA team. We consider the general case of nonuniform noise, where the probability that the class label of an example is wrong may be a function of the feature vector of the example. The objective is to learn the underlying separating hyperplane given only such noisy examples. We present an algorithm employing a team of CALA and prove, under some conditions on the class conditional densities, that the algorithm achieves noise-tolerant learning as long as the probability of wrong label for any example is less than 0.5. We also present some empirical results to illustrate the effectiveness of the algorithm.

The alpha method for solving differential algebraic inequality (DAI) systems

This paper describes an algorithm for ``direct numerical integration'' of the initial value Differential-Algebraic Inequalities (DAI) in a time stepping fashion using a sequential quadratic programming (SQP) method solver for detecting and satisfying active path constraints at each time step. The activation of a path constraint generally increases the condition number of the active discretized differential algebraic equation's (DAE) Jacobian and this difficulty is addressed by a regularization property of the alpha method. The algorithm is locally stable when index 1 and index 2 active path constraints and bounds are active. Subject to available regularization it is seen to be stable for active index 3 active path constraints in the numerical examples. For the high index active path constraints, the algorithm uses a user-selectable parameter to perturb the smaller singular values of the Jacobian with a view to reducing the condition number so that the simulation can proceed. The algorithm can be used as a relatively cheaper estimation tool for trajectory and control planning and in the context of model predictive control solutions. It can also be used to generate initial guess values of optimization variables used as input to inequality path constrained dynamic optimization problems. The method is illustrated with examples from space vehicle trajectory and robot path planning.

Fuzzy waste load allocation model: a multiobjective approach

Fuzzy Waste Load Allocation Model (FWLAM), developed in an earlier study, derives the optimal fractional levels, for the base flow conditions, considering the goals of the Pollution Control Agency (PCA) and dischargers. The Modified Fuzzy Waste Load Allocation Model (MFWLAM) developed subsequently is a stochastic model and considers the moments (mean, variance and skewness) of water quality indicators, incorporating uncertainty due to randomness of input variables along with uncertainty due to imprecision. The risk of low water quality is reduced significantly by using this modified model, but inclusion of new constraints leads to a low value of acceptability level, A, interpreted as the maximized minimum satisfaction in the system. To improve this value, a new model, which is a combination Of FWLAM and MFWLAM, is presented, allowing for some violations in the constraints of MFWLAM. This combined model is a multiobjective optimization model having the objectives, maximization of acceptability level and minimization of violation of constraints. Fuzzy multiobjective programming, goal programming and fuzzy goal programming are used to find the solutions. For the optimization model, Probabilistic Global Search Lausanne (PGSL) is used as a nonlinear optimization tool. The methodology is applied to a case study of the Tunga-Bhadra river system in south India. The model results in a compromised solution of a higher value of acceptability level as compared to MFWLAM, with a satisfactory value of risk. Thus the goal of risk minimization is achieved with a comparatively better value of acceptability level.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

A Reactive Tabu Search Based Equalizer for Severely Delay-Spread UWB MIMO-ISI Channels

We propose a novel equalizer for ultrawideband (UWB) multiple-input multiple-output (MIMO) channels characterized by severe delay spreads. The proposed equalizer is based on reactive tabu search (RTS), which is a heuristic originally designed to obtain approximate solutions to combinatorial optimization problems. The proposed RTS equalizer is shown to perform increasingly better for increasing number of multipath components (MPC), and achieve near maximum likelihood (ML) performance for large number of MPCs at a much less complexity than that of the ML detector. The proposed RTS equalizer is shown to perform close to within 0.4 dB of single-input multiple-output AWGN performance at 10(-3) uncoded BER on a severely delay-spread UWB MIMO channel with 48 equal-energy MPCs.

Bicriterion differential games with qualitative outcomes

Combat games are studied as bicriterion differential games with qualitative outcomes determined by threshold values on the criterion functions. Survival and capture strategies of the players are defined using the notion of security levels. Closest approach survival strategies (CASS) and minimum risk capture strategies (MRCS) are important strategies for the players identified as solutions to four optimization problems involving security levels. These are used, in combination with the preference orderings of the qualitative outcomes by the players, to delineate the win regions and the secured draw and mutual kill regions for the players. It is shown that the secured draw regions and the secured mutual kill regions for the two players are not necessarily the same. Simple illustrative examples are given.

Optimum design of a helicopter rotor for low vibration using aeroelastic analysis and response surface methods

An aeroelastic analysis based on finite elements in space and time is used to model the helicopter rotor in forward flight. The rotor blade is represented as an elastic cantilever beam undergoing flap and lag bending, elastic torsion and axial deformations. The objective of the improved design is to reduce vibratory loads at the rotor hub that are the main source of helicopter vibration. Constraints are imposed on aeroelastic stability, and move limits are imposed on the blade elastic stiffness design variables. Using the aeroelastic analysis, response surface approximations are constructed for the objective function (vibratory hub loads). It is found that second order polynomial response surfaces constructed using the central composite design of the theory of design of experiments adequately represents the aeroelastic model in the vicinity of the baseline design. Optimization results show a reduction in the objective function of about 30 per cent. A key accomplishment of this paper is the decoupling of the analysis problem and the optimization problems using response surface methods, which should encourage the use of optimization methods by the helicopter industry. (C) 2002 Elsevier Science Ltd. All rights reserved.

Precoder Designs for MIMO Broadcast Channels with Imperfect CSI

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On Convergence of Differential Evolution Over a Class of Continuous Functions With Unique Global Optimum

Differential evolution (DE) is arguably one of the most powerful stochastic real-parameter optimization algorithms of current interest. Since its inception in the mid 1990s, DE has been finding many successful applications in real-world optimization problems from diverse domains of science and engineering. This paper takes a first significant step toward the convergence analysis of a canonical DE (DE/rand/1/bin) algorithm. It first deduces a time-recursive relationship for the probability density function (PDF) of the trial solutions, taking into consideration the DE-type mutation, crossover, and selection mechanisms. Then, by applying the concepts of Lyapunov stability theorems, it shows that as time approaches infinity, the PDF of the trial solutions concentrates narrowly around the global optimum of the objective function, assuming the shape of a Dirac delta distribution. Asymptotic convergence behavior of the population PDF is established by constructing a Lyapunov functional based on the PDF and showing that it monotonically decreases with time. The analysis is applicable to a class of continuous and real-valued objective functions that possesses a unique global optimum (but may have multiple local optima). Theoretical results have been substantiated with relevant computer simulations.

Linearization and Reconstruction of Non-linear Diffuse Optical Tomographic Image

Diffuse optical tomography (DOT) is one of the ways to probe highly scattering media such as tissue using low-energy near infra-red light (NIR) to reconstruct a map of the optical property distribution. The interaction of the photons in biological tissue is a non-linear process and the phton transport through the tissue is modelled using diffusion theory. The inversion problem is often solved through iterative methods based on nonlinear optimization for the minimization of a data-model misfit function. The solution of the non-linear problem can be improved by modeling and optimizing the cost functional. The cost functional is f(x) = x(T)Ax - b(T)x + c and after minimization, the cost functional reduces to Ax = b. The spatial distribution of optical parameter can be obtained by solving the above equation iteratively for x. As the problem is non-linear, ill-posed and ill-conditioned, there will be an error or correction term for x at each iteration. A linearization strategy is proposed for the solution of the nonlinear ill-posed inverse problem by linear combination of system matrix and error in solution. By propagating the error (e) information (obtained from previous iteration) to the minimization function f(x), we can rewrite the minimization function as f(x; e) = (x + e)(T) A(x + e) - b(T)(x + e) + c. The revised cost functional is f(x; e) = f(x) + e(T)Ae. The self guided spatial weighted prior (e(T)Ae) error (e, error in estimating x) information along the principal nodes facilitates a well resolved dominant solution over the region of interest. The local minimization reduces the spreading of inclusion and removes the side lobes, thereby improving the contrast, localization and resolution of reconstructed image which has not been possible with conventional linear and regularization algorithm.

Spectral-spatial MODIS image analysis using swarm intelligence algorithms and region based segmentation for flood assessment

This paper discusses an approach for river mapping and flood evaluation based on multi-temporal time-series analysis of satellite images utilizing pixel spectral information for image clustering and region based segmentation for extracting water covered regions. MODIS satellite images are analyzed at two stages: before flood and during flood. Multi-temporal MODIS images are processed in two steps. In the first step, clustering algorithms such as Genetic Algorithm (GA) and Particle Swarm Optimization (PSO) are used to distinguish the water regions from the non-water based on spectral information. These algorithms are chosen since they are quite efficient in solving multi-modal optimization problems. These classified images are then segmented using spatial features of the water region to extract the river. From the results obtained, we evaluate the performance of the methods and conclude that incorporating region based image segmentation along with clustering algorithms provides accurate and reliable approach for the extraction of water covered region.