Forecasting VaR using analytic higher moments for GARCH processes

It is widely accepted that some of the most accurate Value-at-Risk (VaR) estimates are based on an appropriately specified GARCH process. But when the forecast horizon is greater than the frequency of the GARCH model, such predictions have typically required time-consuming simulations of the aggregated returns distributions. This paper shows that fast, quasi-analytic GARCH VaR calculations can be based on new formulae for the first four moments of aggregated GARCH returns. Our extensive empirical study compares the Cornish–Fisher expansion with the Johnson SU distribution for fitting distributions to analytic moments of normal and Student t, symmetric and asymmetric (GJR) GARCH processes to returns data on different financial assets, for the purpose of deriving accurate GARCH VaR forecasts over multiple horizons and significance levels.

Incorporating semiotics into fuzzy logic to enhance Clinical Decision Support Systems

In order to enhance the quality of care, healthcare organisations are increasingly resorting to clinical decision support systems (CDSSs), which provide physicians with appropriate health care decisions or recommendations. However, how to explicitly represent the diverse vague medical knowledge and effectively reason in the decision-making process are still problems we are confronted. In this paper, we incorporate semiotics into fuzzy logic to enhance CDSSs with the aim of providing both the abilities of describing medical domain concepts contextually and reasoning with vague knowledge. A semiotically inspired fuzzy CDSSs framework is presented, based on which the vague knowledge representation and reasoning process are demonstrated.

Letters in cognitive analytic therapy: The patient's experience

Patient perspectives on how therapeutic letters contributed to their experience of cognitive analytic therapy (CAT) were investigated. Eight patients took part in semistructured interviews. A grounded, thematic analysis of their accounts suggested four general processes. First, letters offered a tangible, lasting framework for the assimilation of a new perspective about themselves and their relationships and facilitated coping with a complex range of emotions and risks this awareness required. Second, they demonstrated therapists’ commitment to patients’ growth. Third, they helped to teach participants about the therapy process as an example of an interpersonal exchange. Fourth, they helped participants consider how they wished to share personal information. These data offer a more complex understanding of this standard CAT intervention. Although some findings are consistent with CAT theory, the range of emotional dilemmas associated with letters has not received specific attention. Clinical implications are discussed.

Detecção de interface em tanques de petróleo usando transmissores de nível e controladores Fuzzy

This work presents a proposal to detect interface in atmospheric oil tanks by installing a differential pressure level transmitter to infer the oil-water interface. The main goal of this project is to maximize the quantity of free water that is delivered to the drainage line by controlling the interface. A Fuzzy Controller has been implemented by using the interface transmitter as the Process Variable. Two ladder routine was generated to perform the control. One routine was developed to calculate the error and error variation. The other was generate to develop the fuzzy controller itself. By using rules, the fuzzy controller uses these variables to set the output. The output is the position variation of the drainage valve. Although the ladder routine was implemented into an Allen Bradley PLC, Control Logix family it can be implemented into any brand of PLCs

Ambiente para avaliação de controladores fuzzy aplicados ao método de elevação artificial por bombeio centrífugo submerso

From their early days, Electrical Submergible Pumping (ESP) units have excelled in lifting much greater liquid rates than most of the other types of artificial lift and developed by good performance in wells with high BSW, in onshore and offshore environments. For all artificial lift system, the lifetime and frequency of interventions are of paramount importance, given the high costs of rigs and equipment, plus the losses coming from a halt in production. In search of a better life of the system comes the need to work with the same efficiency and security within the limits of their equipment, this implies the need for periodic adjustments, monitoring and control. How is increasing the prospect of minimizing direct human actions, these adjustments should be made increasingly via automation. The automated system not only provides a longer life, but also greater control over the production of the well. The controller is the brain of most automation systems, it is inserted the logic and strategies in the work process in order to get you to work efficiently. So great is the importance of controlling for any automation system is expected that, with better understanding of ESP system and the development of research, many controllers will be proposed for this method of artificial lift. Once a controller is proposed, it must be tested and validated before they take it as efficient and functional. The use of a producing well or a test well could favor the completion of testing, but with the serious risk that flaws in the design of the controller were to cause damage to oil well equipment, many of them expensive. Given this reality, the main objective of the present work is to present an environment for evaluation of fuzzy controllers for wells equipped with ESP system, using a computer simulator representing a virtual oil well, a software design fuzzy controllers and a PLC. The use of the proposed environment will enable a reduction in time required for testing and adjustments to the controller and evaluated a rapid diagnosis of their efficiency and effectiveness. The control algorithms are implemented in both high-level language, through the controller design software, such as specific language for programming PLCs, Ladder Diagram language.

Fuzzy modeling to predict chicken egg hatchability in commercial hatchery

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Método Fuzzy para auxílio ao diagnóstico de câncer de mama em ambiente inteligente de telediagnóstico colaborativo para apoio à tomada de decisão

Breast cancer, despite being one of the leading causes of death among women worldwide is a disease that can be cured if diagnosed early. One of the main techniques used in the detection of breast cancer is the Fine Needle Aspirate FNA (aspiration puncture by thin needle) which, depending on the clinical case, requires the analysis of several medical specialists for the diagnosis development. However, such diagnosis and second opinions have been hampered by geographical dispersion of physicians and/or the difficulty in reconciling time to undertake work together. Within this reality, this PhD thesis uses computational intelligence in medical decision-making support for remote diagnosis. For that purpose, it presents a fuzzy method to assist the diagnosis of breast cancer, able to process and sort data extracted from breast tissue obtained by FNA. This method is integrated into a virtual environment for collaborative remote diagnosis, whose model was developed providing for the incorporation of prerequisite Modules for Pre Diagnosis to support medical decision. On the fuzzy Method Development, the process of knowledge acquisition was carried out by extraction and analysis of numerical data in gold standard data base and by interviews and discussions with medical experts. The method has been tested and validated with real cases and, according to the sensitivity and specificity achieved (correct diagnosis of tumors, malignant and benign respectively), the results obtained were satisfactory, considering the opinions of doctors and the quality standards for diagnosis of breast cancer and comparing them with other studies involving breast cancer diagnosis by FNA.

Ambiente para desenvolvimento de aplicações fuzzy industriais

This paper describes the design, implementation and enforcement of a system for industrial process control based on fuzzy logic and developed using Java, with support for industrial communication protocol through the OPC (Ole for Process Control). Besides the java framework, the software is completely independent from other platforms. It provides friendly and functional tools for modeling, construction and editing of complex fuzzy inference systems, and uses these logical systems in control of a wide variety of industrial processes. The main requirements of the developed system should be flexibility, robustness, reliability and ease of expansion

Arquitetura de controladores fuzzy em redes foundation fieldbus

Foundation Fieldbus Industrial networks are the high standard technology which allows users to create complex control logic and totally decentralized. Although being so advanced, they still have some limitations imposed by their own technology. Attempting to solve one of these limitations, this paper describes how to design a Fuzzy controller in a Foundation Fieldbus network using their basic elements of programming, the functional blocks, so that the network remains fully independent of other devices other than the same instruments that constitute it. Moreover, in this work was developed a tool that aids this process of building the Fuzzy controller, setting the internal parameters of functional blocks and informing how many and which blocks should be used for a given structure. The biggest challenge in creating this controller is exactly the choice of blocks and how to arrange them in order to effectuate the same functions of a Fuzzy controller implemented in other kind of environment. The methodology adopted was to divide each one of the phases of a traditional Fuzzy controller and then create simple structures with the functional blocks to implement them. At the end of the work, the developed controller is compared with a Fuzzy controller implemented in a mathematical program that it has a proper tool for the development and implementation of Fuzzy controllers, obtaining comparatives graphics of performance between both

Lógica Fuzzy para Controle de pH em um Processo Petrolífero

This work proposes the design, the performance evaluation and a methodology for tuning the initial MFs parameters of output of a function based Takagi-Sugeno-Kang Fuzzy-PI controller to neutralize the pH in a stirred-tank reactor. The controller is designed to perform pH neutralization of industrial plants, mainly in units found in oil refineries where it is strongly required to mitigate uncertainties and nonlinearities. In addition, it adjusts the changes in pH regulating process, avoiding or reducing the need for retuning to maintain the desired performance. Based on the Hammerstein model, the system emulates a real plant that fits the changes in pH neutralization process of avoiding or reducing the need to retune. The controller performance is evaluated by overshoots, stabilization times, indices Integral of the Absolute Error (IAE) and Integral of the Absolute Value of the Error-weighted Time (ITAE), and using a metric developed by that takes into account both the error information and the control signal. The Fuzzy-PI controller is compared with PI and gain schedule PI controllers previously used in the testing plant, whose results can be found in the literature.

Desenvolvimento de um ambiente para projeto de controladores fuzzy para dispositivos móveis

Fuzzy intelligent systems are present in a variety of equipment ranging from household appliances to Fuzzy intelligent systems are present in a variety of equipment ranging from household appliances to small devices such as digital cameras and cell phones being used primarily for dealing with the uncertainties in the modeling of real systems. However, commercial implementations of Fuzzy systems are not general purpose and do not have portability to different hardware platforms. Thinking about these issues this work presents the implementation of an open source development environment that consists of a desktop system capable of generate Graphically a general purpose Fuzzy controller and export these parameters for an embedded system with a Fuzzy controller written in Java Platform Micro Edition To (J2ME), whose modular design makes it portable to any mobile device that supports J2ME. Thus, the proposed development platform is capable of generating all the parameters of a Fuzzy controller and export it in XML file, and the code responsible for the control logic that is embedded in the mobile device is able to read this file and start the controller. All the parameters of a Fuzzy controller are configurable using the desktop system, since the membership functions and rule base, even the universe of discourse of the linguistic terms of output variables. This system generates Fuzzy controllers for the interpolation model of Takagi-Sugeno. As the validation process and testing of the proposed solution the Fuzzy controller was embedded on the mobile device Sun SPOT ® and used to control a plant-level Quanser®, and to compare the Fuzzy controller generated by the system with other types of controllers was implemented and embedded in sun spot a PID controller to control the same level plant of Quanser®

Sistema automatizado para o aproveitamento de água cinza e azul, com controle de PH utilizando lógica fuzzy

Every day, water scarcity becomes a more serious problem and, directly affects global society. Studies are directed in order to raise awareness of the rational use of this natural asset that is essential to our survival. Only 0.007% of the water available in the world have easy access and can be consumed by humans, it can be found in rivers, lakes, etc... To better take advantage of the water used in homes and small businesses, reuse projects are often implemented, resulting in savings for customers of water utilities. The reuse projects involve several areas of engineering, like Environmental, Chemical, Electrical and Computer Engineering. The last two are responsible for the control of the process, which aims to make gray water (soapy water), and clear blue water (rain water), ideal for consumption, or for use in watering gardens, flushing, among others applications. Water has several features that should be taken into consideration when it comes to working its reuse. Some of the features are, turbidity, temperature, electrical conductivity and, pH. In this document there is a proposal to control the pH (potential Hydrogen) through a microcontroller, using the fuzzy logic as strategy of control. The controller was developed in the fuzzy toolbox of Matlab®

Sistema para detecção e diagnóstico de falhas em motores elétricos de indução utilizando lógica fuzzy

Induction motors are one of the most important equipment of modern industry. However, in many situations, are subject to inadequate conditions as high temperatures and pressures, load variations and constant vibrations, for example. Such conditions, leaving them more susceptible to failures, either external or internal in nature, unwanted in the industrial process. In this context, predictive maintenance plays an important role, where the detection and diagnosis of faults in a timely manner enables the increase of time of the engine and the possibiity of reducing costs, caused mainly by stopping the production and corrective maintenance the motor itself. In this juncture, this work proposes the design of a system that is able to detect and diagnose faults in induction motors, from the collection of electrical line voltage and current, and also the measurement of engine speed. This information will use as input to a fuzzy inference system based on rules that find and classify a failure from the variation of thess quantities

Estratégia de escalonamento de controladores PID baseado em regras Fuzzy para redes industriais foundation fieldbus usando blocos padrões

The main objective of work is to show procedures to implement intelligent control strategies. This strategies are based on fuzzy scheduling of PID controllers, by using only standard function blocks of this technology. Then, the standardization of Foundation Fieldbus is kept. It was developed an environment to do the necessary tests, it validates the propose. This environment is hybrid, it has a real module (the fieldbus) and a simulated module (the process), although the control signals and measurement are real. Then, it is possible to develop controllers projects. In this work, a fuzzy supervisor was developed to schedule a network of PID controller for a non-linear plant. Analyzing its performance results to the control and regulation problem

A fuzzy logic system applied in lightning models

This paper describes a novel approach for mapping lightning processes using fuzzy logic. The estimation process is carried out using a fuzzy system based on Sugeno's architecture. Simulation results confirm that proposed approach can be efficiently used in these types of problem.