A test of a stochastic theory of choice,

Mode of access: Internet.

Uncertainties in estimates of fleet average fuel economy: a statistical evaluation. Final report.

Transportation Systems Center, Cambridge, Mass.

Statistical tests of load-unload response ratio signals by lattice solid model: Implication to tidal triggering and earthquake prediction

Statistical tests of Load-Unload Response Ratio (LURR) signals are carried in order to verify statistical robustness of the previous studies using the Lattice Solid Model (MORA et al., 2002b). In each case 24 groups of samples with the same macroscopic parameters (tidal perturbation amplitude A, period T and tectonic loading rate k) but different particle arrangements are employed. Results of uni-axial compression experiments show that before the normalized time of catastrophic failure, the ensemble average LURR value rises significantly, in agreement with the observations of high LURR prior to the large earthquakes. In shearing tests, two parameters are found to control the correlation between earthquake occurrence and tidal stress. One is, A/(kT) controlling the phase shift between the peak seismicity rate and the peak amplitude of the perturbation stress. With an increase of this parameter, the phase shift is found to decrease. Another parameter, AT/k, controls the height of the probability density function (Pdf) of modeled seismicity. As this parameter increases, the Pdf becomes sharper and narrower, indicating a strong triggering. Statistical studies of LURR signals in shearing tests also suggest that except in strong triggering cases, where LURR cannot be calculated due to poor data in unloading cycles, the larger events are more likely to occur in higher LURR periods than the smaller ones, supporting the LURR hypothesis.

Spatio-temporal scanning and statistical test of the accelerating moment release (AMR) model using Australian earthquake data

The Accelerating Moment Release (AMR) preceding earthquakes with magnitude above 5 in Australia that occurred during the last 20 years was analyzed to test the Critical Point Hypothesis. Twelve earthquakes in the catalog were chosen based on a criterion for the number of nearby events. Results show that seven sequences with numerous events recorded leading up to the main earthquake exhibited accelerating moment release. Two occurred near in time and space to other earthquakes preceded by AM R. The remaining three sequences had very few events in the catalog so the lack of AMR detected in the analysis may be related to catalog incompleteness. Spatio-temporal scanning of AMR parameters shows that 80% of the areas in which AMR occurred experienced large events. In areas of similar background seismicity with no large events, 10 out of 12 cases exhibit no AMR, and two others are false alarms where AMR was observed but no large event followed. The relationship between AMR and Load-Unload Response Ratio (LURR) was studied. Both methods predict similar critical region sizes, however, the critical point time using AMR is slightly earlier than the time of the critical point LURR anomaly.

Improvement of the Derjaguin-Broekhoff-de Boer theory for capillary condensation/evaporation of nitrogen in mesoporous systems and its implications for pore size analysis of MCM-41 silicas and related materials

In this work, we propose an improvement of the classical Derjaguin-Broekhoff-de Boer (DBdB) theory for capillary condensation/evaporation in mesoporous systems. The primary idea of this improvement is to employ the Gibbs-Tolman-Koenig-Buff equation to predict the surface tension changes in mesopores. In addition, the statistical film thickness (so-called t-curve) evaluated accurately on the basis of the adsorption isotherms measured for the MCM-41 materials is used instead of the originally proposed t-curve (to take into account the excess of the chemical potential due to the surface forces). It is shown that the aforementioned modifications of the original DBdB theory have significant implications for the pore size analysis of mesoporous solids. To verify our improvement of the DBdB pore size analysis method (IDBdB), a series of the calcined MCM-41 samples, which are well-defined materials with hexagonally ordered cylindrical mesopores, were used for the evaluation of the pore size distributions. The correlation of the IDBdB method with the empirically calibrated Kruk-Jaroniec-Sayari (KJS) relationship is very good in the range of small mesopores. So, a major advantage of the IDBdB method is its applicability for small mesopores as well as for the mesopore range beyond that established by the KJS calibration, i.e., for mesopore radii greater than similar to4.5 nm. The comparison of the IDBdB results with experimental data reported by Kruk and Jaroniec for capillary condensation/evaporation as well as with the results from nonlocal density functional theory developed by Neimark et al. clearly justifies our approach. Note that the proposed improvement of the classical DBdB method preserves its original simplicity and simultaneously ensures a significant improvement of the pore size analysis, which is confirmed by the independent estimation of the mean pore size by the powder X-ray diffraction method.

Using extreme value theory to measure value-at-risk for daily electricity spot prices

The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is arguably more difficult than in traditional financial markets because the distinctive features of the former result in a highly unusual distribution of returns-electricity returns are highly volatile, display seasonalities in both their mean and volatility, exhibit leverage effects and clustering in volatility, and feature extreme levels of skewness and kurtosis. With electricity applications in mind, this paper proposes a model that accommodates autoregression and weekly seasonals in both the conditional mean and conditional volatility of returns, as well as leverage effects via an EGARCH specification. In addition, extreme value theory (EVT) is adopted to explicitly model the tails of the return distribution. Compared to a number of other parametric models and simple historical simulation based approaches, the proposed EVT-based model performs well in forecasting out-of-sample VaR. In addition, statistical tests show that the proposed model provides appropriate interval coverage in both unconditional and, more importantly, conditional contexts. Overall, the results are encouraging in suggesting that the proposed EVT-based model is a useful technique in forecasting VaR in electricity markets. (c) 2005 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.

Statistical racing techniques for improved empirical evaluation of evolutionary algorithms

In empirical studies of Evolutionary Algorithms, it is usually desirable to evaluate and compare algorithms using as many different parameter settings and test problems as possible, in border to have a clear and detailed picture of their performance. Unfortunately, the total number of experiments required may be very large, which often makes such research work computationally prohibitive. In this paper, the application of a statistical method called racing is proposed as a general-purpose tool to reduce the computational requirements of large-scale experimental studies in evolutionary algorithms. Experimental results are presented that show that racing typically requires only a small fraction of the cost of an exhaustive experimental study.

Modelling the dynamics of genetic algorithms using statistical mechanics

A formalism for modelling the dynamics of Genetic Algorithms (GAs) using methods from statistical mechanics, originally due to Prugel-Bennett and Shapiro, is reviewed, generalized and improved upon. This formalism can be used to predict the averaged trajectory of macroscopic statistics describing the GA's population. These macroscopics are chosen to average well between runs, so that fluctuations from mean behaviour can often be neglected. Where necessary, non-trivial terms are determined by assuming maximum entropy with constraints on known macroscopics. Problems of realistic size are described in compact form and finite population effects are included, often proving to be of fundamental importance. The macroscopics used here are cumulants of an appropriate quantity within the population and the mean correlation (Hamming distance) within the population. Including the correlation as an explicit macroscopic provides a significant improvement over the original formulation. The formalism is applied to a number of simple optimization problems in order to determine its predictive power and to gain insight into GA dynamics. Problems which are most amenable to analysis come from the class where alleles within the genotype contribute additively to the phenotype. This class can be treated with some generality, including problems with inhomogeneous contributions from each site, non-linear or noisy fitness measures, simple diploid representations and temporally varying fitness. The results can also be applied to a simple learning problem, generalization in a binary perceptron, and a limit is identified for which the optimal training batch size can be determined for this problem. The theory is compared to averaged results from a real GA in each case, showing excellent agreement if the maximum entropy principle holds. Some situations where this approximation brakes down are identified. In order to fully test the formalism, an attempt is made on the strong sc np-hard problem of storing random patterns in a binary perceptron. Here, the relationship between the genotype and phenotype (training error) is strongly non-linear. Mutation is modelled under the assumption that perceptron configurations are typical of perceptrons with a given training error. Unfortunately, this assumption does not provide a good approximation in general. It is conjectured that perceptron configurations would have to be constrained by other statistics in order to accurately model mutation for this problem. Issues arising from this study are discussed in conclusion and some possible areas of further research are outlined.

Advanced mean field methods:theory and practice

A major problem in modern probabilistic modeling is the huge computational complexity involved in typical calculations with multivariate probability distributions when the number of random variables is large. Because exact computations are infeasible in such cases and Monte Carlo sampling techniques may reach their limits, there is a need for methods that allow for efficient approximate computations. One of the simplest approximations is based on the mean field method, which has a long history in statistical physics. The method is widely used, particularly in the growing field of graphical models. Researchers from disciplines such as statistical physics, computer science, and mathematical statistics are studying ways to improve this and related methods and are exploring novel application areas. Leading approaches include the variational approach, which goes beyond factorizable distributions to achieve systematic improvements; the TAP (Thouless-Anderson-Palmer) approach, which incorporates correlations by including effective reaction terms in the mean field theory; and the more general methods of graphical models. Bringing together ideas and techniques from these diverse disciplines, this book covers the theoretical foundations of advanced mean field methods, explores the relation between the different approaches, examines the quality of the approximation obtained, and demonstrates their application to various areas of probabilistic modeling.

Statistical mechanics of mutual information maximization

An unsupervised learning procedure based on maximizing the mutual information between the outputs of two networks receiving different but statistically dependent inputs is analyzed (Becker S. and Hinton G., Nature, 355 (1992) 161). By exploiting a formal analogy to supervised learning in parity machines, the theory of zero-temperature Gibbs learning for the unsupervised procedure is presented for the case that the networks are perceptrons and for the case of fully connected committees.

Statistical mechanics of typical set decoding

The performance of "typical set (pairs) decoding" for ensembles of Gallager's linear code is investigated using statistical physics. In this decoding method, errors occur, either when the information transmission is corrupted by atypical noise, or when multiple typical sequences satisfy the parity check equation as provided by the received corrupted codeword. We show that the average error rate for the second type of error over a given code ensemble can be accurately evaluated using the replica method, including the sensitivity to message length. Our approach generally improves the existing analysis known in the information theory community, which was recently reintroduced in IEEE Trans. Inf. Theory 45, 399 (1999), and is believed to be the most accurate to date. © 2002 The American Physical Society.

Low density parity check codes: a statistical physics perspective

The modem digital communication systems are made transmission reliable by employing error correction technique for the redundancies. Codes in the low-density parity-check work along the principles of Hamming code, and the parity-check matrix is very sparse, and multiple errors can be corrected. The sparseness of the matrix allows for the decoding process to be carried out by probability propagation methods similar to those employed in Turbo codes. The relation between spin systems in statistical physics and digital error correcting codes is based on the existence of a simple isomorphism between the additive Boolean group and the multiplicative binary group. Shannon proved general results on the natural limits of compression and error-correction by setting up the framework known as information theory. Error-correction codes are based on mapping the original space of words onto a higher dimensional space in such a way that the typical distance between encoded words increases.

Statistical mechanics of low-density parity-check codes

We review recent theoretical progress on the statistical mechanics of error correcting codes, focusing on low-density parity-check (LDPC) codes in general, and on Gallager and MacKay-Neal codes in particular. By exploiting the relation between LDPC codes and Ising spin systems with multispin interactions, one can carry out a statistical mechanics based analysis that determines the practical and theoretical limitations of various code constructions, corresponding to dynamical and thermodynamical transitions, respectively, as well as the behaviour of error-exponents averaged over the corresponding code ensemble as a function of channel noise. We also contrast the results obtained using methods of statistical mechanics with those derived in the information theory literature, and show how these methods can be generalized to include other channel types and related communication problems.

CDMA multiuser detection, neural networks, and statistical mechanics

A novel approach, based on statistical mechanics, to analyze typical performance of optimum code-division multiple-access (CDMA) multiuser detectors is reviewed. A `black-box' view ot the basic CDMA channel is introduced, based on which the CDMA multiuser detection problem is regarded as a `learning-from-examples' problem of the `binary linear perceptron' in the neural network literature. Adopting Bayes framework, analysis of the performance of the optimum CDMA multiuser detectors is reduced to evaluation of the average of the cumulant generating function of a relevant posterior distribution. The evaluation of the average cumulant generating function is done, based on formal analogy with a similar calculation appearing in the spin glass theory in statistical mechanics, by making use of the replica method, a method developed in the spin glass theory.

Magnetization enumerator for LDPC codes - a statistical physics approach

We propose a method based on the magnetization enumerator to determine the critical noise level for Gallager type low density parity check error correcting codes (LDPC). Our method provides an appealingly simple interpretation to the relation between different decoding schemes, and provides more optimistic critical noise levels than those reported in the information theory literature.