Utilização de mercados artificiais com formadores de mercado para análise de estratégias

Na modelagem de sistemas complexos, abordagens analíticas tradicionais com equações diferenciais muitas vezes resultam em soluções intratáveis. Para contornar este problema, Modelos Baseados em Agentes surgem como uma ferramenta complementar, onde o sistema é modelado a partir de suas entidades constituintes e interações. Mercados Financeiros são exemplos de sistemas complexos, e como tais, o uso de modelos baseados em agentes é aplicável. Este trabalho implementa um Mercado Financeiro Artificial composto por formadores de mercado, difusores de informações e um conjunto de agentes heterogêneos que negociam um ativo através de um mecanismo de Leilão Duplo Contínuo. Diversos aspectos da simulação são investigados para consolidar sua compreensão e assim contribuir com a concepção de modelos, onde podemos destacar entre outros: Diferenças do Leilão Duplo Contínuo contra o Discreto; Implicações da variação do spread praticado pelo Formador de Mercado; Efeito de Restrições Orçamentárias sobre os agentes e Análise da formação de preços na emissão de ofertas. Pensando na aderência do modelo com a realidade do mercado brasileiro, uma técnica auxiliar chamada Simulação Inversa, é utilizada para calibrar os parâmetros de entrada, de forma que trajetórias de preços simulados resultantes sejam próximas à séries de preços históricos observadas no mercado.

Ensaios sobre mercados artificiais com dois ativos utilizando algoritmos genéticos

A abordagem de Modelos Baseados em Agentes é utilizada para trabalhar problemas complexos, em que se busca obter resultados partindo da análise e construção de componentes e das interações entre si. Os resultados observados a partir das simulações são agregados da combinação entre ações e interferências que ocorrem no nível microscópico do modelo. Conduzindo, desta forma, a uma simulação do micro para o macro. Os mercados financeiros são sistemas perfeitos para o uso destes modelos por preencherem a todos os seus requisitos. Este trabalho implementa um Modelo de Mercado Financeiro Baseado em Agentes constituído por diversos agentes que interagem entre si através de um Núcleo de Negociação que atua com dois ativos e conta com o auxílio de formadores de mercado para promover a liquidez dos mercados, conforme se verifica em mercados reais. Para operação deste modelo, foram desenvolvidos dois tipos de agentes que administram, simultaneamente, carteiras com os dois ativos. O primeiro tipo usa o modelo de Markowitz, enquanto o segundo usa técnicas de análise de spread entre ativos. Outra contribuição deste modelo é a análise sobre o uso de função objetivo sobre os retornos dos ativos, no lugar das análises sobre os preços.

Agentes Inteligentes com Foco de Atenção Afetivo em Simulações Baseadas em Agentes

Simulations based on cognitively rich agents can become a very intensive computing task, especially when the simulated environment represents a complex system. This situation becomes worse when time constraints are present. This kind of simulations would benefit from a mechanism that improves the way agents perceive and react to changes in these types of environments. In other worlds, an approach to improve the efficiency (performance and accuracy) in the decision process of autonomous agents in a simulation would be useful. In complex environments, and full of variables, it is possible that not every information available to the agent is necessary for its decision-making process, depending indeed, on the task being performed. Then, the agent would need to filter the coming perceptions in the same as we do with our attentions focus. By using a focus of attention, only the information that really matters to the agent running context are perceived (cognitively processed), which can improve the decision making process. The architecture proposed herein presents a structure for cognitive agents divided into two parts: 1) the main part contains the reasoning / planning process, knowledge and affective state of the agent, and 2) a set of behaviors that are triggered by planning in order to achieve the agent s goals. Each of these behaviors has a runtime dynamically adjustable focus of attention, adjusted according to the variation of the agent s affective state. The focus of each behavior is divided into a qualitative focus, which is responsible for the quality of the perceived data, and a quantitative focus, which is responsible for the quantity of the perceived data. Thus, the behavior will be able to filter the information sent by the agent sensors, and build a list of perceived elements containing only the information necessary to the agent, according to the context of the behavior that is currently running. Based on the human attention focus, the agent is also dotted of a affective state. The agent s affective state is based on theories of human emotion, mood and personality. This model serves as a basis for the mechanism of continuous adjustment of the agent s attention focus, both the qualitative and the quantative focus. With this mechanism, the agent can adjust its focus of attention during the execution of the behavior, in order to become more efficient in the face of environmental changes. The proposed architecture can be used in a very flexibly way. The focus of attention can work in a fixed way (neither the qualitative focus nor the quantitaive focus one changes), as well as using different combinations for the qualitative and quantitative foci variation. The architecture was built on a platform for BDI agents, but its design allows it to be used in any other type of agents, since the implementation is made only in the perception level layer of the agent. In order to evaluate the contribution proposed in this work, an extensive series of experiments were conducted on an agent-based simulation over a fire-growing scenario. In the simulations, the agents using the architecture proposed in this work are compared with similar agents (with the same reasoning model), but able to process all the information sent by the environment. Intuitively, it is expected that the omniscient agent would be more efficient, since they can handle all the possible option before taking a decision. However, the experiments showed that attention-focus based agents can be as efficient as the omniscient ones, with the advantage of being able to solve the same problems in a significantly reduced time. Thus, the experiments indicate the efficiency of the proposed architecture

Rural-urban migration in D-dimensional lattices

The rural-urban migration phenomenon is analyzed by using an agent-based computational model. Agents are placed on lattices which dimensions varying from d = 2 up to d = 7. The localization of the agents in the lattice defines that their social neighborhood (rural or urban) is not related to their spatial distribution. The effect of the dimension of lattice is studied by analyzing the variation of the main parameters that characterizes the migratory process. The dynamics displays strong effects even for around one million of sites, in higher dimensions (d = 6, 7).

A multi-agent architecture for intelligent data analysis

The present study introduces a multi-agent architecture designed for doing automation process of data integration and intelligent data analysis. Different from other approaches the multi-agent architecture was designed using a multi-agent based methodology. Tropos, an agent based methodology was used for design. Based on the proposed architecture, we describe a Web based application where the agents are responsible to analyse petroleum well drilling data to identify possible abnormalities occurrence. The intelligent data analysis methods used was the Neural Network.

Desenvolvimento e caracterização acústica de painéis multicamadas unifibra, multifibras e mesclados, fabricados a partir de fibras vegetais

Em um tempo em que altos níveis de ruído fazem parte do cotidiano das pessoas, a necessidade de controlá-los não é somente evidente, mas providencial. Atualmente a poluição sonora, em nível mundial, só não é mais grave do que a poluição do ar e da água. No Brasil a situação não é diferente, pois se estima que mais de 15 milhões de pessoas apresentem algum grau de deficiência auditiva devido a este problema ambiental. Dispositivos acústicos como painéis, barreiras, etc., quando de alta eficiência, geralmente, são de custosa aquisição, tornando, em muitas das vezes, inviável sua utilização, principalmente, por empresas de pequeno porte e orçamento limitado. Assim, soluções alternativas, a começar por novos materiais, que sejam menos custosos e possuam desempenho satisfatório surgem como uma ótima opção caso propostas tradicionais sejam inviabilizadas devido ao custo. Algumas fibras vegetais, na forma de painéis, possuem características acústicas satisfatórias quando utilizadas para reduzir a reverberação em determinados ambientes fechados. Dessa forma, considerando as tendências ambientais globais, o uso de fibras vegetais é uma boa oportunidade para agregar valor às referidas fibras e assim contribuir com o desenvolvimento tecnológico do país, já que estes materiais são de fácil obtenção, existem em abundância, não são tóxicos e provêm de fontes renováveis. Este trabalho apresenta a metodologia de desenvolvimento de painéis fabricados a partir de fibras vegetais (açaí, coco, sisal e dendê), assim como a metodologia utilizada para sua caracterização acústica em câmara reverberante em escala reduzida, baseando-se na norma ISO 354/1999. Os dados de coeficiente de absorção dos painéis são obtidos através de um analisador de frequências utilizando-se o Método da Interrupção do Ruído. A comparação entre os resultados obtidos para os painéis artesanais e os materiais convencionais ensaiados permite concluir que o desempenho acústico demonstrado por alguns painéis de fibras vegetais são muito satisfatórios, uma vez que seus coeficientes de absorção sonora foram compatíveis, e em alguns casos superiores, àqueles apresentados pelos materiais convencionais em determinada faixa de freqüência. Finalmente, uma comparação numérico-experimental é realizada, a fim de avaliar a influência de painéis de fibras de sisal sobre as características acústicas de uma pequena sala.

A new probabilistic canopy dynamics model (SLCD) that is suitable for evergreen and deciduous forest ecosystems

There are strong uncertainties regarding LAI dynamics in forest ecosystems in response to climate change. While empirical growth & yield models (G&YMs) provide good estimations of tree growth at the stand level on a yearly to decennial scale, process-based models (PBMs) use LAI dynamics as a key variable for enabling the accurate prediction of tree growth over short time scales. Bridging the gap between PBMs and G&YMs could improve the prediction of forest growth and, therefore, carbon, water and nutrient fluxes by combining modeling approaches at the stand level.Our study aimed to estimate monthly changes of leaf area in response to climate variations from sparse measurements of foliage area and biomass. A leaf population probabilistic model (SLCD) was designed to simulate foliage renewal. The leaf population was distributed in monthly cohorts, and the total population size was limited depending on forest age and productivity. Foliage dynamics were driven by a foliation function and the probabilities ruling leaf aging or fall. Their formulation depends on the forest environment.The model was applied to three tree species growing under contrasting climates and soil types. In tropical Brazilian evergreen broadleaf eucalypt plantations, the phenology was described using 8 parameters. A multi-objective evolutionary algorithm method (MOEA) was used to fit the model parameters on litterfall and LAI data over an entire stand rotation. Field measurements from a second eucalypt stand were used to validate the model. Seasonal LAI changes were accurately rendered for both sites (R-2 = 0.898 adjustment, R-2 = 0.698 validation). Litterfall production was correctly simulated (R-2 = 0.562, R-2 = 0.4018 validation) and may be improved by using additional validation data in future work. In two French temperate deciduous forests (beech and oak), we adapted phenological sub-modules of the CASTANEA model to simulate canopy dynamics, and SLCD was validated using LAI measurements. The phenological patterns were simulated with good accuracy in the two cases studied. However, IA/max was not accurately simulated in the beech forest, and further improvement is required.Our probabilistic approach is expected to contribute to improving predictions of LAI dynamics. The model formalism is general and suitable to broadleaf forests for a large range of ecological conditions. (C) 2014 Elsevier B.V. All rights reserved.

A Systematic Mapping on the Role-Permission Relationship in Role Based Access Control Models

Access control is a key component of security in any computer system. In the last two decades, the research on Role Basead Access Control Models was intense. One of the most important components of a Role Based Model is the Role-Permission Relationship. In this paper, the technique of systematic mapping is used to identify, extract and analyze many approaches applied to establish the Role-Permission Relationship. The main goal of this mapping is pointing directions of significant research in the area of Role Based Access Control Models.

Falhas de mercado e redes em políticas públicas: desafios e possibilidades ao Sistema Único de Saúde

Os princípios e as diretrizes do Sistema Único de Saúde (SUS) impõem uma estrutura de assistência baseada em redes de políticas públicas que, combinada ao modelo de financiamento adotado, conduz a falhas de mercado. Isso impõe barreiras à gestão do sistema público de saúde e à concretização dos objetivos do SUS. As características institucionais e a heterogeneidade dos atores, aliadas à existência de diferentes redes de atenção à saúde, geram complexidade analítica no estudo da dinâmica global da rede do SUS. Há limitações ao emprego de métodos quantitativos baseados em análise estática com dados retrospectivos do sistema público de saúde. Assim, propõe-se a abordagem do SUS como sistema complexo, a partir da utilização de metodologia quantitativa inovadora baseada em simulação computacional. O presente artigo buscou analisar desafios e potencialidades na utilização de modelagem com autômatos celulares combinada com modelagem baseada em agentes para simulação da evolução da rede de serviços do SUS. Tal abordagem deve permitir melhor compreensão da organização, heterogeneidade e dinâmica estrutural da rede de serviços do SUS e possibilitar minimização dos efeitos das falhas de mercado no sistema de saúde brasileiro.

Specification, execution and verification of interaction protocols: an approach based on computational logic

Interaction protocols establish how different computational entities can interact with each other. The interaction can be finalized to the exchange of data, as in 'communication protocols', or can be oriented to achieve some result, as in 'application protocols'. Moreover, with the increasing complexity of modern distributed systems, protocols are used also to control such a complexity, and to ensure that the system as a whole evolves with certain features. However, the extensive use of protocols has raised some issues, from the language for specifying them to the several verification aspects. Computational Logic provides models, languages and tools that can be effectively adopted to address such issues: its declarative nature can be exploited for a protocol specification language, while its operational counterpart can be used to reason upon such specifications. In this thesis we propose a proof-theoretic framework, called SCIFF, together with its extensions. SCIFF is based on Abductive Logic Programming, and provides a formal specification language with a clear declarative semantics (based on abduction). The operational counterpart is given by a proof procedure, that allows to reason upon the specifications and to test the conformance of given interactions w.r.t. a defined protocol. Moreover, by suitably adapting the SCIFF Framework, we propose solutions for addressing (1) the protocol properties verification (g-SCIFF Framework), and (2) the a-priori conformance verification of peers w.r.t. the given protocol (AlLoWS Framework). We introduce also an agent based architecture, the SCIFF Agent Platform, where the same protocol specification can be used to program and to ease the implementation task of the interacting peers.

Argumentation and artifacts for intelligent multi-agent systems

Reasoning under uncertainty is a human capacity that in software system is necessary and often hidden. Argumentation theory and logic make explicit non-monotonic information in order to enable automatic forms of reasoning under uncertainty. In human organization Distributed Cognition and Activity Theory explain how artifacts are fundamental in all cognitive process. Then, in this thesis we search to understand the use of cognitive artifacts in an new argumentation framework for an agent-based artificial society.

A bayesian model for mixed responses and skew laten variable to measure HRQoL in children

The aim of the thesi is to formulate a suitable Item Response Theory (IRT) based model to measure HRQoL (as latent variable) using a mixed responses questionnaire and relaxing the hypothesis of normal distributed latent variable. The new model is a combination of two models already presented in literature, that is, a latent trait model for mixed responses and an IRT model for Skew Normal latent variable. It is developed in a Bayesian framework, a Markov chain Monte Carlo procedure is used to generate samples of the posterior distribution of the parameters of interest. The proposed model is test on a questionnaire composed by 5 discrete items and one continuous to measure HRQoL in children, the EQ-5D-Y questionnaire. A large sample of children collected in the schools was used. In comparison with a model for only discrete responses and a model for mixed responses and normal latent variable, the new model has better performances, in term of deviance information criterion (DIC), chain convergences times and precision of the estimates.

Enabling a direct path from end-user specifications to executable protocols in a biology laboratory environment

Biomedical analyses are becoming increasingly complex, with respect to both the type of the data to be produced and the procedures to be executed. This trend is expected to continue in the future. The development of information and protocol management systems that can sustain this challenge is therefore becoming an essential enabling factor for all actors in the field. The use of custom-built solutions that require the biology domain expert to acquire or procure software engineering expertise in the development of the laboratory infrastructure is not fully satisfactory because it incurs undesirable mutual knowledge dependencies between the two camps. We propose instead an infrastructure concept that enables the domain experts to express laboratory protocols using proper domain knowledge, free from the incidence and mediation of the software implementation artefacts. In the system that we propose this is made possible by basing the modelling language on an authoritative domain specific ontology and then using modern model-driven architecture technology to transform the user models in software artefacts ready for execution in a multi-agent based execution platform specialized for biomedical laboratories.

Engineering Agent-Oriented Technologies and Programming Languages for Computer Programming and Software Development

Mainstream hardware is becoming parallel, heterogeneous, and distributed on every desk, every home and in every pocket. As a consequence, in the last years software is having an epochal turn toward concurrency, distribution, interaction which is pushed by the evolution of hardware architectures and the growing of network availability. This calls for introducing further abstraction layers on top of those provided by classical mainstream programming paradigms, to tackle more effectively the new complexities that developers have to face in everyday programming. A convergence it is recognizable in the mainstream toward the adoption of the actor paradigm as a mean to unite object-oriented programming and concurrency. Nevertheless, we argue that the actor paradigm can only be considered a good starting point to provide a more comprehensive response to such a fundamental and radical change in software development. Accordingly, the main objective of this thesis is to propose Agent-Oriented Programming (AOP) as a high-level general purpose programming paradigm, natural evolution of actors and objects, introducing a further level of human-inspired concepts for programming software systems, meant to simplify the design and programming of concurrent, distributed, reactive/interactive programs. To this end, in the dissertation first we construct the required background by studying the state-of-the-art of both actor-oriented and agent-oriented programming, and then we focus on the engineering of integrated programming technologies for developing agent-based systems in their classical application domains: artificial intelligence and distributed artificial intelligence. Then, we shift the perspective moving from the development of intelligent software systems, toward general purpose software development. Using the expertise maturated during the phase of background construction, we introduce a general-purpose programming language named simpAL, which founds its roots on general principles and practices of software development, and at the same time provides an agent-oriented level of abstraction for the engineering of general purpose software systems.

Analysis and numerical solution of the Peterlin viscoelastic model

Liquids and gasses form a vital part of nature. Many of these are complex fluids with non-Newtonian behaviour. We introduce a mathematical model describing the unsteady motion of an incompressible polymeric fluid. Each polymer molecule is treated as two beads connected by a spring. For the nonlinear spring force it is not possible to obtain a closed system of equations, unless we approximate the force law. The Peterlin approximation replaces the length of the spring by the length of the average spring. Consequently, the macroscopic dumbbell-based model for dilute polymer solutions is obtained. The model consists of the conservation of mass and momentum and time evolution of the symmetric positive definite conformation tensor, where the diffusive effects are taken into account. In two space dimensions we prove global in time existence of weak solutions. Assuming more regular data we show higher regularity and consequently uniqueness of the weak solution. For the Oseen-type Peterlin model we propose a linear pressure-stabilized characteristics finite element scheme. We derive the corresponding error estimates and we prove, for linear finite elements, the optimal first order accuracy. Theoretical error of the pressure-stabilized characteristic finite element scheme is confirmed by a series of numerical experiments.