Building macroscale models from microscale probabilistic models : a general probabilistic approach for nonlinear diffusion and multispecies phenomena

A discrete agent-based model on a periodic lattice of arbitrary dimension is considered. Agents move to nearest-neighbor sites by a motility mechanism accounting for general interactions, which may include volume exclusion. The partial differential equation describing the average occupancy of the agent population is derived systematically. A diffusion equation arises for all types of interactions and is nonlinear except for the simplest interactions. In addition, multiple species of interacting subpopulations give rise to an advection-diffusion equation for each subpopulation. This work extends and generalizes previous specific results, providing a construction method for determining the transport coefficients in terms of a single conditional transition probability, which depends on the occupancy of sites in an influence region. These coefficients characterize the diffusion of agents in a crowded environment in biological and physical processes.

Impact of technology uptake on an Australian electricity distribution network

This paper presents simulation results for future electricity grids using an agent-based model developed with MODAM (MODular Agent-based Model). MODAM is introduced and its use demonstrated through four simulations based on a scenario that expects a rise of on-site renewable generators and electric vehicles (EV) usage. The simulations were run over many years, for two areas in Townsville, Australia, capturing variability in space of the technology uptake, and for two charging methods for EV, capturing people's behaviours and their impact on the time of the peak load. Impact analyses of these technologies were performed over the areas, down to the distribution transformer level, where greater variability of their contribution to the assets peak load was observed. The MODAM models can be used for different purposes such as impact of renewables on grid sizing, or on greenhouse gas emissions. The insights gained from using MODAM for technology assessment are discussed.

Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

Modeling smart grids as complex systems through the implementation of intelligent hubs

ICINCO 2010

Exploiting Human Resource Requirements to Infer Human Movement Patterns for Use in Modelling Disease Transmission Systems: An Example from Eastern Province, Zambia

In this research, an agent-based model (ABM) was developed to generate human movement routes between homes and water resources in a rural setting, given commonly available geospatial datasets on population distribution, land cover and landscape resources. ABMs are an object-oriented computational approach to modelling a system, focusing on the interactions of autonomous agents, and aiming to assess the impact of these agents and their interactions on the system as a whole. An A* pathfinding algorithm was implemented to produce walking routes, given data on the terrain in the area. A* is an extension of Dijkstra's algorithm with an enhanced time performance through the use of heuristics. In this example, it was possible to impute daily activity movement patterns to the water resource for all villages in a 75 km long study transect across the Luangwa Valley, Zambia, and the simulated human movements were statistically similar to empirical observations on travel times to the water resource (Chi-squared, 95% confidence interval). This indicates that it is possible to produce realistic data regarding human movements without costly measurement as is commonly achieved, for example, through GPS, or retrospective or real-time diaries. The approach is transferable between different geographical locations, and the product can be useful in providing an insight into human movement patterns, and therefore has use in many human exposure-related applications, specifically epidemiological research in rural areas, where spatial heterogeneity in the disease landscape, and space-time proximity of individuals, can play a crucial role in disease spread.

Context-dependent Combination of Sensor Information in Dempster-Shafer Theory for BDI

There has been much interest in the belief–desire–intention (BDI) agent-based model for developing scalable intelligent systems, e.g. using the AgentSpeak framework. However, reasoning from sensor information in these large-scale systems remains a significant challenge. For example, agents may be faced with information from heterogeneous sources which is uncertain and incomplete, while the sources themselves may be unreliable or conflicting. In order to derive meaningful conclusions, it is important that such information be correctly modelled and combined. In this paper, we choose to model uncertain sensor information in Dempster–Shafer (DS) theory. Unfortunately, as in other uncertainty theories, simple combination strategies in DS theory are often too restrictive (losing valuable information) or too permissive (resulting in ignorance). For this reason, we investigate how a context-dependent strategy originally defined for possibility theory can be adapted to DS theory. In particular, we use the notion of largely partially maximal consistent subsets (LPMCSes) to characterise the context for when to use Dempster’s original rule of combination and for when to resort to an alternative. To guide this process, we identify existing measures of similarity and conflict for finding LPMCSes along with quality of information heuristics to ensure that LPMCSes are formed around high-quality information. We then propose an intelligent sensor model for integrating this information into the AgentSpeak framework which is responsible for applying evidence propagation to construct compatible information, for performing context-dependent combination and for deriving beliefs for revising an agent’s belief base. Finally, we present a power grid scenario inspired by a real-world case study to demonstrate our work.

TELL ME Design: Protective Behaviour During an Epidemic

The TELL ME agent based model simulates the connections between health agency communication, personal decisions to adopt protective behaviour during an influenza epidemic, and the effect of those decisions on epidemic progress. The behaviour decisions are modelled with a combination of personal attitude, behaviour adoption by neighbours, and the local recent incidence of influenza. This paper sets out and justifies the model design, including how these decision factors have been operationalised. By exploring the effects of different communication strategies, the model is intended to assist health authorities with their influenza epidemic communication plans. It can both assist users to understand the complex interactions between communication, personal behaviour and epidemic progress, and guide future data collection to improve communication planning.

Pain expressiveness and altruistic behavior

Predictions which invoke evolutionary mechanisms ar e hard to test. Agent-based modeling in artificial life offers a way to simulate behaviors and interac tions in specific physical or social environments o ver many generations. The outcomes have implications fo r understanding adaptive value of behaviors in context. Pain-related behavior in animals is communicated to other animals that might protect or help, or might exploit or predate. An agent-based model simulated the effects of displaying or not displaying pain (expresser/non-expresser strategies) when injured, and of helping, ignoring or exploiting another in pain (altruistic/non-altruistic/selfish strategies) . Agents modeled in MATLAB interacted at random while foraging (gaining energy); random injury inte rrupted foraging for a fixed time unless help from an altruistic agent, who paid an energy cost, speeded recovery. Environmental and social conditions also varied, and each model ran for 10,000 iterations. Findings were meaningful in that, in general, conti ngencies evident from experimental work with a variety of mammals, over a few interactions, were r eplicated in the agent-based model after selection pressure over many generations. More energy-demandi ng expression of pain reduced its frequency in successive generations, and increasing injury frequ ency resulted in fewer expressers and altruists. Allowing exploitation of injured agents decreased e xpression of pain to near zero, but altruists remained. Decreasing costs or increasing benefits o f helping hardly changed its frequency, while increasing interaction rate between injured agents and helpers diminished the benefits to both. Agent- based modeling allows simulation of complex behavio urs and environmental pressures over evolutionary time.

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).

Estado situacional de los modelos basados en agentes y su impacto en la investigación organizacional

En un mundo hiperconectado, dinámico y cargado de incertidumbre como el actual, los métodos y modelos analíticos convencionales están mostrando sus limitaciones. Las organizaciones requieren, por tanto, herramientas útiles que empleen tecnología de información y modelos de simulación computacional como mecanismos para la toma de decisiones y la resolución de problemas. Una de las más recientes, potentes y prometedoras es el modelamiento y la simulación basados en agentes (MSBA). Muchas organizaciones, incluidas empresas consultoras, emplean esta técnica para comprender fenómenos, hacer evaluación de estrategias y resolver problemas de diversa índole. Pese a ello, no existe (hasta donde conocemos) un estado situacional acerca del MSBA y su aplicación a la investigación organizacional. Cabe anotar, además, que por su novedad no es un tema suficientemente difundido y trabajado en Latinoamérica. En consecuencia, este proyecto pretende elaborar un estado situacional sobre el MSBA y su impacto sobre la investigación organizacional.

Evaluación de la Efectividad del Restaurante-Bar El Molino en el Campo de Percepción de Marca Usando un Sistema de Simulación Basado en Agentes

El siguiente trabajo, a partir de la identificación de los diferentes sujetos que participan en el medio ambiente donde se desenvuelve el restaurante El Molino, busca determinar cuáles podrían ser las estrategias de mercadeo más efectivas para que la imagen, concepto y servicio del restaurante, la marca en general, resulte lo más atractivas posibles para los segmentos objetivo de la empresa. Dadas las circunstancias de que es un negocio reciente, no existen datos históricos de la imagen que proyecta la marca hacia sus clientes, por lo tanto la información a partir de la cual se pretenden generar alternativas para que la marca influencie a los clientes de la manera deseada será conseguida a partir de una simulación que será obtenida de un modelo basado en agentes. Con esto lo que se busca es poder parametrizar en qué aspectos y de qué forma la empresa debe invertir para que la forma en que los clientes perciben la marca sea la deseada por el restaurante.

Caracterización del comportamiento emprendedor de los estudiantes de jurisprudencia de la Universidad del Rosario

Hoy en día, el emprendimiento se ha convertido en uno de los factores esenciales para promover el desarrollo y fomentar la evolución de la sociedad a nivel mundial. Enfocándonos en Colombia y más específicamente en una población delimitada, el centro de emprendimiento de la Universidad del Rosario desarrolló un estudio que permitiera medir la caracterización del perfil emprendedor de sus estudiantes, éste con el objetivo de identificar diferentes variables que inciden en el entorno de los estudiantes al momento de edificar su perfil emprendedor. Por lo anterior, esta investigación se centró en realizar un análisis de la caracterización del comportamiento del perfil emprendedor de los estudiantes de Pregrado de la Facultad de Jurisprudencia de la Universidad del Rosario, la cual permitió comprender un perfil mucho más detallado a la luz de variables identificables. Para su desarrollo, se utilizó la herramienta homologada a nivel internacional conocida como "Características del Comportamiento Emprendedor" o CCE de EMPRETEC basándose en la teoría de McClelland donde se observaron los factores motivacionales que se asocian directamente al comportamiento emprendedor. La metodología usada permitió caracterizar el comportamiento de los estudiantes de la facultad de Jurisprudencia de 1° a 10° semestre mediante la evaluación de 10 factores asociados a necesidades de logro, poder y afiliación.

Landscape structure mediates the effects of a stressor on field vole populations

Spatio-temporal landscape heterogeneity has rarely been considered in population-level impact assessments. Here we test whether landscape heterogeneity is important by examining the case of a pesticide applied seasonally to orchards which may affect non-target vole populations, using a validated ecologically realistic and spatially explicit agent-based model. Voles thrive in unmanaged grasslands and untreated orchards but are particularly exposed to applied pesticide treatments during dispersal between optimal habitats. We therefore hypothesised that vole populations do better (1) in landscapes containing more grassland and (2) where areas of grassland are closer to orchards, but (3) do worse if larger areas of orchards are treated with pesticide. To test these hyposeses we made appropriate manipulations to a model landscape occupied by field voles. Pesticide application reduced model population sizes in all three experiments, but populations subsequently wholly or partly recovered. Population depressions were, as predicted, lower in landscapes containing more unmanaged grassland, in landscapes with reduced distance between grassland and orchards, and in landscapes with fewer treated orchards. Population recovery followed a similar pattern except for an unexpected improvement in recovery when the area of treated orchards was increased. Outside the period of pesticide application, orchards increase landscape connectivity and facilitate vole dispersal and so speed population recovery. Overall our results show that accurate prediction of population impact cannot be achieved without taking account of landscape structure. The specifics of landscape structure and habitat connectivity are likely always important in mediating the effects of stressors.

Long term individual load forecast under different electrical vehicles uptake scenarios

More and more households are purchasing electric vehicles (EVs), and this will continue as we move towards a low carbon future. There are various projections as to the rate of EV uptake, but all predict an increase over the next ten years. Charging these EVs will produce one of the biggest loads on the low voltage network. To manage the network, we must not only take into account the number of EVs taken up, but where on the network they are charging, and at what time. To simulate the impact on the network from high, medium and low EV uptake (as outlined by the UK government), we present an agent-based model. We initialise the model to assign an EV to a household based on either random distribution or social influences - that is, a neighbour of an EV owner is more likely to also purchase an EV. Additionally, we examine the effect of peak behaviour on the network when charging is at day-time, night-time, or a mix of both. The model is implemented on a neighbourhood in south-east England using smart meter data (half hourly electricity readings) and real life charging patterns from an EV trial. Our results indicate that social influence can increase the peak demand on a local level (street or feeder), meaning that medium EV uptake can create higher peak demand than currently expected.

In the mood: the dynamics of collective sentiments on Twitter

We study the relationship between the sentiment levels of Twitter users and the evolving network structure that the users created by @-mentioning each other. We use a large dataset of tweets to which we apply three sentiment scoring algorithms, including the open source SentiStrength program. Specifically we make three contributions. Firstly we find that people who have potentially the largest communication reach (according to a dynamic centrality measure) use sentiment differently than the average user: for example they use positive sentiment more often and negative sentiment less often. Secondly we find that when we follow structurally stable Twitter communities over a period of months, their sentiment levels are also stable, and sudden changes in community sentiment from one day to the next can in most cases be traced to external events affecting the community. Thirdly, based on our findings, we create and calibrate a simple agent-based model that is capable of reproducing measures of emotive response comparable to those obtained from our empirical dataset.