A neural network seismic detector

This experimental study focuses on a detection system at the seismic station level that should have a similar role to the detection algorithms based on the ratio STA/LTA. We tested two types of neural network: Multi-Layer Perceptrons and Support Vector Machines, trained in supervised mode. The universe of data consisted of 2903 patterns extracted from records of the PVAQ station, of the seismography network of the Institute of Meteorology of Portugal. The spectral characteristics of the records and its variation in time were reflected in the input patterns, consisting in a set of values of power spectral density in selected frequencies, extracted from a spectro gram calculated over a segment of record of pre-determined duration. The universe of data was divided, with about 60% for the training and the remainder reserved for testing and validation. To ensure that all patterns in the universe of data were within the range of variation of the training set, we used an algorithm to separate the universe of data by hyper-convex polyhedrons, determining in this manner a set of patterns that have a mandatory part of the training set. Additionally, an active learning strategy was conducted, by iteratively incorporating poorly classified cases in the training set. The best results, in terms of sensitivity and selectivity in the whole data ranged between 98% and 100%. These results compare very favorably with the ones obtained by the existing detection system, 50%.

On-line operation of an intelligent seismic detector

This study describes the on-line operation of a seismic detection system to act at the level of a seismic station providing similar role to that of a STA /LTA ratio-based detection algorithms. The intelligent detector is a Support Vector Machine (SVM), trained with data consisting of 2903 patterns extracted from records of the PVAQ station, one of the seismographic network's stations of the Institute of Meteorology of Portugal (IM). Records' spectral variations in time and characteristics were reflected in the SVM input patterns, as a set of values of power spectral density at selected frequencies. To ensure that all patterns of the sample data were within the range of variation of the training set, we used an algorithm to separate the universe of data by hyper-convex polyhedrons, determining in this manner a set of patterns that have a mandatory part of the training set. Additionally, an active learning strategy was conducted, by iteratively incorporating poorly classified cases in the training set. After having been trained, the proposed system was experimented in continuous operation for unseen (out of sample) data, and the SVM detector obtained 97.7% and 98.7% of sensitivity and selectivity, respectively. The same type of ANN presented 88.4 % and 99.4% of sensitivity and selectivity when applied to data of a different seismic station of IM. © 2013 Springer-Verlag Berlin Heidelberg.

New methods for meta-analysis under a fixed effects framework, with frequentist and Bayesian estimation.

Thesis (Ph.D.)--University of Washington, 2015

Despacho económico de unidades com funções de custo não convexas usando enxames

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

Entity localization and tracking: a sensor fusion-based mechanism in WSNs

Knowing exactly where a mobile entity is and monitoring its trajectory in real-time has recently attracted a lot of interests from both academia and industrial communities, due to the large number of applications it enables, nevertheless, it is nowadays one of the most challenging problems from scientific and technological standpoints. In this work we propose a tracking system based on the fusion of position estimations provided by different sources, that are combined together to get a final estimation that aims at providing improved accuracy with respect to those generated by each system individually. In particular, exploiting the availability of a Wireless Sensor Network as an infrastructure, a mobile entity equipped with an inertial system first gets the position estimation using both a Kalman Filter and a fully distributed positioning algorithm (the Enhanced Steepest Descent, we recently proposed), then combines the results using the Simple Convex Combination algorithm. Simulation results clearly show good performance in terms of the final accuracy achieved. Finally, the proposed technique is validated against real data taken from an inertial sensor provided by THALES ITALIA.

Esclonamento de máquinas de cogeração utilzando programação inteira mista

As centrais termoelétricas convencionais convertem apenas parte do combustível consumido na produção de energia elétrica, sendo que outra parte resulta em perdas sob a forma de calor. Neste sentido, surgiram as unidades de cogeração, ou Combined Heat and Power (CHP), que permitem reaproveitar a energia dissipada sob a forma de energia térmica e disponibilizá-la, em conjunto com a energia elétrica gerada, para consumo doméstico ou industrial, tornando-as mais eficientes que as unidades convencionais Os custos de produção de energia elétrica e de calor das unidades CHP são representados por uma função não-linear e apresentam uma região de operação admissível que pode ser convexa ou não-convexa, dependendo das caraterísticas de cada unidade. Por estas razões, a modelação de unidades CHP no âmbito do escalonamento de geradores elétricos (na literatura inglesa Unit Commitment Problem (UCP)) tem especial relevância para as empresas que possuem, também, este tipo de unidades. Estas empresas têm como objetivo definir, entre as unidades CHP e as unidades que apenas geram energia elétrica ou calor, quais devem ser ligadas e os respetivos níveis de produção para satisfazer a procura de energia elétrica e de calor a um custo mínimo. Neste documento são propostos dois modelos de programação inteira mista para o UCP com inclusão de unidades de cogeração: um modelo não-linear que inclui a função real de custo de produção das unidades CHP e um modelo que propõe uma linearização da referida função baseada na combinação convexa de um número pré-definido de pontos extremos. Em ambos os modelos a região de operação admissível não-convexa é modelada através da divisão desta àrea em duas àreas convexas distintas. Testes computacionais efetuados com ambos os modelos para várias instâncias permitiram verificar a eficiência do modelo linear proposto. Este modelo permitiu obter as soluções ótimas do modelo não-linear com tempos computationais significativamente menores. Para além disso, ambos os modelos foram testados com e sem a inclusão de restrições de tomada e deslastre de carga, permitindo concluir que este tipo de restrições aumenta a complexidade do problema sendo que o tempo computacional exigido para a resolução do mesmo cresce significativamente.

Ruin problems under IBNR Dynamics

In this paper, we consider a discrete-time risk process allowing for delay in claim settlement, which introduces a certain type of dependence in the process. From martingale theory, an expression for the ultimate ruin probability is obtained, and Lundberg-type inequalities are derived. The impact of delay in claim settlement is then investigated. To this end, a convex order comparison of the aggregate claim amounts is performed with the corresponding non-delayed risk model, and numerical simulations are carried out with Belgian market data.

Sedimentology and taphonomy of storm-generated shell beds from the Verulam formation (Ordovician), Lakefield and Gamebridge quarries, Southern Ontario, Canada /

The Verulam Formation (Middle Ordovician) at the Lakefield Quarry and Gamebridge Quarry, southern Ontario, is comprised of five main lithofacies. These include shoal deposits consisting of Lithofacies 1, winnowed crinoidal grainstones and, shelf deposits consisting of: Lithofacies 2, wackestones, packstones, grainstones, and rudstones; Lithofacies 3, laminated calcisiltites; Lithofacies 4, nodular wackestones and mudstones; and, Lithofacies 5, laminated mudstones and shales. The distribution of the lithofacies was influenced by variations in storm frequency and intensity during a relative sea level fall. Predominant convex-up attitudes of concavo-convex shells within shell beds suggest syndepositional reworking during storm events. The bimodal orientations of shell axes on the upper surfaces of the shell beds indicates deposition under wave-generated currents. The sedimentary features and shell orientations indicate that the shell beds were deposited during storm events and not by the gradual accumulation of shelly material. Cluster and principal component analysis of relative abundance data of the taxa in the shell beds, interbedded nodular wackestones and mudstones, and laminated mudstones and shales, indicates one biofacies comprised of three main assemblages: a strophomenid (Sowerbyelladominated) assemblage, a transitional mixed strophomenid-atrypid assemblage and an atrypid (Zygospira-dominatQd) assemblage. The occurrence of the strophomenid, the strophomenid-atrypid and atrypid assemblages were controlled by storm-driven allogenic taphonomic feedback.

Properties and algorithms of the (n, k)-arrangement graphs

The (n, k)-arrangement interconnection topology was first introduced in 1992. The (n, k )-arrangement graph is a class of generalized star graphs. Compared with the well known n-star, the (n, k )-arrangement graph is more flexible in degree and diameter. However, there are few algorithms designed for the (n, k)-arrangement graph up to present. In this thesis, we will focus on finding graph theoretical properties of the (n, k)- arrangement graph and developing parallel algorithms that run on this network. The topological properties of the arrangement graph are first studied. They include the cyclic properties. We then study the problems of communication: broadcasting and routing. Embedding problems are also studied later on. These are very useful to develop efficient algorithms on this network. We then study the (n, k )-arrangement network from the algorithmic point of view. Specifically, we will investigate both fundamental and application algorithms such as prefix sums computation, sorting, merging and basic geometry computation: finding convex hull on the (n, k )-arrangement graph. A literature review of the state-of-the-art in relation to the (n, k)-arrangement network is also provided, as well as some open problems in this area.

The von Neumann Minimax Theorem and its relatives and a study of externality in on-line auctions

This work consists of a theoretical part and an experimental one. The first part provides a simple treatment of the celebrated von Neumann minimax theorem as formulated by Nikaid6 and Sion. It also discusses its relationships with fundamental theorems of convex analysis. The second part is about externality in sponsored search auctions. It shows that in these auctions, advertisers have externality effects on each other which influence their bidding behavior. It proposes Hal R.Varian model and shows how adding externality to this model will affect its properties. In order to have a better understanding of the interaction among advertisers in on-line auctions, it studies the structure of the Google advertisements networ.k and shows that it is a small-world scale-free network.

Sharing a River

A group of agents located along a river have quasi-linear preferences over water and money. We ask how the water should be allocated and what money transfers should be performed. We are interested in efficiency, stability (in the sense of the core), and fairness (in a sense to be defined). We first show that the cooperative game associated with our problem is convex : its core is therefore large and easily described. Next, we propose the following fairness requirement : no group of agents should enjoy a welfare higher than what it could achieve in the absence of the remaining agents. We prove that only one welfare vector in the core satisfies this condition : it is the marginal contribution vector corresponding to the ordering of the agents along the river. We discuss how it could be decentralized or implemented.

Arrow's Theorem in Spatial Environments

In spatial environments, we consider social welfare functions satisfying Arrow's requirements. i.e., weak Pareto and independence of irrelevant alternatives. When the policy space os a one-dimensional continuum, such a welfare function is determined by a collection of 2n strictly quasi-concave preferences and a tie-breaking rule. As a corrollary, we obtain that when the number of voters is odd, simple majority voting is transitive if and only if each voter's preference is strictly quasi-concave. When the policy space is multi-dimensional, we establish Arrow's impossibility theorem. Among others, we show that weak Pareto, independence of irrelevant alternatives, and non-dictatorship are inconsistent if the set of alternatives has a non-empty interior and it is compact and convex.

Some Implications of the Zero Lower Bound on Interest Rates for the Term Structure and Monetary Policy

In an economy where cash can be stored costlessly (in nominal terms), the nominal interest rate is bounded below by zero. This paper derives the implications of this nonnegativity constraint for the term structure and shows that it induces a nonlinear and convex relation between short- and long-term interest rates. As a result, the long-term rate responds asymmetrically to changes in the short-term rate, and by less than predicted by a benchmark linear model. In particular, a decrease in the short-term rate leads to a decrease in the long-term rate that is smaller in magnitude than the increase in the long-term rate associated with an increase in the short-term rate of the same size. Up to the extent that monetary policy acts by affecting long-term rates through the term structure, its power is considerably reduced at low interest rates. The empirical predictions of the model are examined using data from Japan.

Oligarchies in Spatial Environments

In spatial environments we consider social welfare functions satisfying Arrow’s requirements, i.e. weak Pareto and independence of irrelevant alternatives. Individual preferences measure distances between alternatives according to the Lp-norm (for a fixed p => 1). When the policy space is multi-dimensional and the set of alternatives has a non-empty interior and it is compact and convex, any quasi-transitive welfare function must be oligarchic. As a corollary we obtain that for transitive welfare functions weak Pareto, independence of irrelevant alternatives, and non-dictatorship are inconsistent if the set of alternatives has a non-empty interior and it is compact and convex.

Asset Pricing in a Production Economy with Chew–Dekel Preferences

In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with Chew–Dekel risk preferences and convex capital adjustment costs. When households display levels of disappointment aversion consistent with the experimental evidence, a version of the model parameterized to match the volatility of output and consumption growth generates unconditional expected asset returns and price of risk in line with the historical data. For the model with Epstein–Zin preferences to generate similar statistics, the relative risk aversion coefficient needs to be about 55, two orders of magnitude higher than the available estimates. We argue that this is not surprising, given the limited risk imposed on agents by a reasonably calibrated stochastic growth model.