A stochastic dynamic programming approach for pricing options on stock-index futures

The aim of this thesis is to price options on equity index futures with an application to standard options on S&P 500 futures traded on the Chicago Mercantile Exchange. Our methodology is based on stochastic dynamic programming, which can accommodate European as well as American options. The model accommodates dividends from the underlying asset. It also captures the optimal exercise strategy and the fair value of the option. This approach is an alternative to available numerical pricing methods such as binomial trees, finite differences, and ad-hoc numerical approximation techniques. Our numerical and empirical investigations demonstrate convergence, robustness, and efficiency. We use this methodology to value exchange-listed options. The European option premiums thus obtained are compared to Black's closed-form formula. They are accurate to four digits. The American option premiums also have a similar level of accuracy compared to premiums obtained using finite differences and binomial trees with a large number of time steps. The proposed model accounts for deterministic, seasonally varying dividend yield. In pricing futures options, we discover that what matters is the sum of the dividend yields over the life of the futures contract and not their distribution.

Genetic Programming for Non-Photorealistic Rendering

This thesis focuses on developing an evolutionary art system using genetic programming. The main goal is to produce new forms of evolutionary art that filter existing images into new non-photorealistic (NPR) styles, by obtaining images that look like traditional media such as watercolor or pencil, as well as brand new effects. The approach permits GP to generate creative forms of NPR results. The GP language is extended with different techniques and methods inspired from NPR research such as colour mixing expressions, image processing filters and painting algorithm. Colour mixing is a major new contribution, as it enables many familiar and innovative NPR effects to arise. Another major innovation is that many GP functions process the canvas (rendered image), while is dynamically changing. Automatic fitness scoring uses aesthetic evaluation models and statistical analysis, and multi-objective fitness evaluation is used. Results showed a variety of NPR effects, as well as new, creative possibilities.

Automatic Inference of Graph Models for Complex Networks with Genetic Programming

Complex networks can arise naturally and spontaneously from all things that act as a part of a larger system. From the patterns of socialization between people to the way biological systems organize themselves, complex networks are ubiquitous, but are currently poorly understood. A number of algorithms, designed by humans, have been proposed to describe the organizational behaviour of real-world networks. Consequently, breakthroughs in genetics, medicine, epidemiology, neuroscience, telecommunications and the social sciences have recently resulted. The algorithms, called graph models, represent significant human effort. Deriving accurate graph models is non-trivial, time-intensive, challenging and may only yield useful results for very specific phenomena. An automated approach can greatly reduce the human effort required and if effective, provide a valuable tool for understanding the large decentralized systems of interrelated things around us. To the best of the author's knowledge this thesis proposes the first method for the automatic inference of graph models for complex networks with varied properties, with and without community structure. Furthermore, to the best of the author's knowledge it is the first application of genetic programming for the automatic inference of graph models. The system and methodology was tested against benchmark data, and was shown to be capable of reproducing close approximations to well-known algorithms designed by humans. Furthermore, when used to infer a model for real biological data the resulting model was more representative than models currently used in the literature.

Real-Time Automatic Object Classification and Tracking using Genetic Programming and NVIDIA R CUDA TM

Genetic Programming (GP) is a widely used methodology for solving various computational problems. GP's problem solving ability is usually hindered by its long execution times. In this thesis, GP is applied toward real-time computer vision. In particular, object classification and tracking using a parallel GP system is discussed. First, a study of suitable GP languages for object classification is presented. Two main GP approaches for visual pattern classification, namely the block-classifiers and the pixel-classifiers, were studied. Results showed that the pixel-classifiers generally performed better. Using these results, a suitable language was selected for the real-time implementation. Synthetic video data was used in the experiments. The goal of the experiments was to evolve a unique classifier for each texture pattern that existed in the video. The experiments revealed that the system was capable of correctly tracking the textures in the video. The performance of the system was on-par with real-time requirements.

Network Similarity Measures and Automatic Construction of Graph Models using Genetic Programming

A complex network is an abstract representation of an intricate system of interrelated elements where the patterns of connection hold significant meaning. One particular complex network is a social network whereby the vertices represent people and edges denote their daily interactions. Understanding social network dynamics can be vital to the mitigation of disease spread as these networks model the interactions, and thus avenues of spread, between individuals. To better understand complex networks, algorithms which generate graphs exhibiting observed properties of real-world networks, known as graph models, are often constructed. While various efforts to aid with the construction of graph models have been proposed using statistical and probabilistic methods, genetic programming (GP) has only recently been considered. However, determining that a graph model of a complex network accurately describes the target network(s) is not a trivial task as the graph models are often stochastic in nature and the notion of similarity is dependent upon the expected behavior of the network. This thesis examines a number of well-known network properties to determine which measures best allowed networks generated by different graph models, and thus the models themselves, to be distinguished. A proposed meta-analysis procedure was used to demonstrate how these network measures interact when used together as classifiers to determine network, and thus model, (dis)similarity. The analytical results form the basis of the fitness evaluation for a GP system used to automatically construct graph models for complex networks. The GP-based automatic inference system was used to reproduce existing, well-known graph models as well as a real-world network. Results indicated that the automatically inferred models exemplified functional similarity when compared to their respective target networks. This approach also showed promise when used to infer a model for a mammalian brain network.

Object-Oriented Genetic Programming for the Automatic Inference of Graph Models for Complex Networks

Complex networks are systems of entities that are interconnected through meaningful relationships. The result of the relations between entities forms a structure that has a statistical complexity that is not formed by random chance. In the study of complex networks, many graph models have been proposed to model the behaviours observed. However, constructing graph models manually is tedious and problematic. Many of the models proposed in the literature have been cited as having inaccuracies with respect to the complex networks they represent. However, recently, an approach that automates the inference of graph models was proposed by Bailey [10] The proposed methodology employs genetic programming (GP) to produce graph models that approximate various properties of an exemplary graph of a targeted complex network. However, there is a great deal already known about complex networks, in general, and often specific knowledge is held about the network being modelled. The knowledge, albeit incomplete, is important in constructing a graph model. However it is difficult to incorporate such knowledge using existing GP techniques. Thus, this thesis proposes a novel GP system which can incorporate incomplete expert knowledge that assists in the evolution of a graph model. Inspired by existing graph models, an abstract graph model was developed to serve as an embryo for inferring graph models of some complex networks. The GP system and abstract model were used to reproduce well-known graph models. The results indicated that the system was able to evolve models that produced networks that had structural similarities to the networks generated by the respective target models.

Inverse Illumination Design with Genetic Programming

Interior illumination is a complex problem involving numerous interacting factors. This research applies genetic programming towards problems in illumination design. The Radiance system is used for performing accurate illumination simulations. Radiance accounts for a number of important environmental factors, which we exploit during fitness evaluation. Illumination requirements include local illumination intensity from natural and artificial sources, colour, and uniformity. Evolved solutions incorporate design elements such as artificial lights, room materials, windows, and glass properties. A number of case studies are examined, including many-objective problems involving up to 7 illumination requirements, the design of a decorative wall of lights, and the creation of a stained-glass window for a large public space. Our results show the technical and creative possibilities of applying genetic programming to illumination design.

Disease-Gene Association Using Genetic Programming

As a result of mutation in genes, which is a simple change in our DNA, we will have undesirable phenotypes which are known as genetic diseases or disorders. These small changes, which happen frequently, can have extreme results. Understanding and identifying these changes and associating these mutated genes with genetic diseases can play an important role in our health, by making us able to find better diagnosis and therapeutic strategies for these genetic diseases. As a result of years of experiments, there is a vast amount of data regarding human genome and different genetic diseases that they still need to be processed properly to extract useful information. This work is an effort to analyze some useful datasets and to apply different techniques to associate genes with genetic diseases. Two genetic diseases were studied here: Parkinson’s disease and breast cancer. Using genetic programming, we analyzed the complex network around known disease genes of the aforementioned diseases, and based on that we generated a ranking for genes, based on their relevance to these diseases. In order to generate these rankings, centrality measures of all nodes in the complex network surrounding the known disease genes of the given genetic disease were calculated. Using genetic programming, all the nodes were assigned scores based on the similarity of their centrality measures to those of the known disease genes. Obtained results showed that this method is successful at finding these patterns in centrality measures and the highly ranked genes are worthy as good candidate disease genes for being studied. Using standard benchmark tests, we tested our approach against ENDEAVOUR and CIPHER - two well known disease gene ranking frameworks - and we obtained comparable results.

Feature Selection and Classification Using Age Layered Population Structure Genetic Programming

The curse of dimensionality is a major problem in the fields of machine learning, data mining and knowledge discovery. Exhaustive search for the most optimal subset of relevant features from a high dimensional dataset is NP hard. Sub–optimal population based stochastic algorithms such as GP and GA are good choices for searching through large search spaces, and are usually more feasible than exhaustive and deterministic search algorithms. On the other hand, population based stochastic algorithms often suffer from premature convergence on mediocre sub–optimal solutions. The Age Layered Population Structure (ALPS) is a novel metaheuristic for overcoming the problem of premature convergence in evolutionary algorithms, and for improving search in the fitness landscape. The ALPS paradigm uses an age–measure to control breeding and competition between individuals in the population. This thesis uses a modification of the ALPS GP strategy called Feature Selection ALPS (FSALPS) for feature subset selection and classification of varied supervised learning tasks. FSALPS uses a novel frequency count system to rank features in the GP population based on evolved feature frequencies. The ranked features are translated into probabilities, which are used to control evolutionary processes such as terminal–symbol selection for the construction of GP trees/sub-trees. The FSALPS metaheuristic continuously refines the feature subset selection process whiles simultaneously evolving efficient classifiers through a non–converging evolutionary process that favors selection of features with high discrimination of class labels. We investigated and compared the performance of canonical GP, ALPS and FSALPS on high–dimensional benchmark classification datasets, including a hyperspectral image. Using Tukey’s HSD ANOVA test at a 95% confidence interval, ALPS and FSALPS dominated canonical GP in evolving smaller but efficient trees with less bloat expressions. FSALPS significantly outperformed canonical GP and ALPS and some reported feature selection strategies in related literature on dimensionality reduction.

Feature Selection and Classification Using Age Layered Population Structure Genetic Programming

The curse of dimensionality is a major problem in the fields of machine learning, data mining and knowledge discovery. Exhaustive search for the most optimal subset of relevant features from a high dimensional dataset is NP hard. Sub–optimal population based stochastic algorithms such as GP and GA are good choices for searching through large search spaces, and are usually more feasible than exhaustive and determinis- tic search algorithms. On the other hand, population based stochastic algorithms often suffer from premature convergence on mediocre sub–optimal solutions. The Age Layered Population Structure (ALPS) is a novel meta–heuristic for overcoming the problem of premature convergence in evolutionary algorithms, and for improving search in the fitness landscape. The ALPS paradigm uses an age–measure to control breeding and competition between individuals in the population. This thesis uses a modification of the ALPS GP strategy called Feature Selection ALPS (FSALPS) for feature subset selection and classification of varied supervised learning tasks. FSALPS uses a novel frequency count system to rank features in the GP population based on evolved feature frequencies. The ranked features are translated into probabilities, which are used to control evolutionary processes such as terminal–symbol selection for the construction of GP trees/sub-trees. The FSALPS meta–heuristic continuously refines the feature subset selection process whiles simultaneously evolving efficient classifiers through a non–converging evolutionary process that favors selection of features with high discrimination of class labels. We investigated and compared the performance of canonical GP, ALPS and FSALPS on high–dimensional benchmark classification datasets, including a hyperspectral image. Using Tukey’s HSD ANOVA test at a 95% confidence interval, ALPS and FSALPS dominated canonical GP in evolving smaller but efficient trees with less bloat expressions. FSALPS significantly outperformed canonical GP and ALPS and some reported feature selection strategies in related literature on dimensionality reduction.

Peinture de lumière incidente dans des scènes 3D

Le design d'éclairage est une tâche qui est normalement faite manuellement, où les artistes doivent manipuler les paramètres de plusieurs sources de lumière pour obtenir le résultat désiré. Cette tâche est difficile, car elle n'est pas intuitive. Il existe déjà plusieurs systèmes permettant de dessiner directement sur les objets afin de positionner ou modifier des sources de lumière. Malheureusement, ces systèmes ont plusieurs limitations telles qu'ils ne considèrent que l'illumination locale, la caméra est fixe, etc. Dans ces deux cas, ceci représente une limitation par rapport à l'exactitude ou la versatilité de ces systèmes. L'illumination globale est importante, car elle ajoute énormément au réalisme d'une scène en capturant toutes les interréflexions de la lumière sur les surfaces. Ceci implique que les sources de lumière peuvent avoir de l'influence sur des surfaces qui ne sont pas directement exposées. Dans ce mémoire, on se consacre à un sous-problème du design de l'éclairage: la sélection et la manipulation de l'intensité de sources de lumière. Nous présentons deux systèmes permettant de peindre sur des objets dans une scène 3D des intentions de lumière incidente afin de modifier l'illumination de la surface. De ces coups de pinceau, le système trouve automatiquement les sources de lumière qui devront être modifiées et change leur intensité pour effectuer les changements désirés. La nouveauté repose sur la gestion de l'illumination globale, des surfaces transparentes et des milieux participatifs et sur le fait que la caméra n'est pas fixe. On présente également différentes stratégies de sélection de modifications des sources de lumière. Le premier système utilise une carte d'environnement comme représentation intermédiaire de l'environnement autour des objets. Le deuxième système sauvegarde l'information de l'environnement pour chaque sommet de chaque objet.

Eyes Of Darwin : une fenêtre ouverte sur l'évolution du logiciel

De nos jours, les logiciels doivent continuellement évoluer et intégrer toujours plus de fonctionnalités pour ne pas devenir obsolètes. C'est pourquoi, la maintenance représente plus de 60% du coût d'un logiciel. Pour réduire les coûts de programmation, les fonctionnalités sont programmées plus rapidement, ce qui induit inévitablement une baisse de qualité. Comprendre l’évolution du logiciel est donc devenu nécessaire pour garantir un bon niveau de qualité et retarder le dépérissement du code. En analysant à la fois les données sur l’évolution du code contenues dans un système de gestion de versions et les données quantitatives que nous pouvons déduire du code, nous sommes en mesure de mieux comprendre l'évolution du logiciel. Cependant, la quantité de données générées par une telle analyse est trop importante pour être étudiées manuellement et les méthodes d’analyses automatiques sont peu précises. Dans ce mémoire, nous proposons d'analyser ces données avec une méthode semi automatique : la visualisation. Eyes Of Darwin, notre système de visualisation en 3D, utilise une métaphore avec des quartiers et des bâtiments d'une ville pour visualiser toute l'évolution du logiciel sur une seule vue. De plus, il intègre un système de réduction de l'occlusion qui transforme l'écran de l'utilisateur en une fenêtre ouverte sur la scène en 3D qu'il affiche. Pour finir, ce mémoire présente une étude exploratoire qui valide notre approche.

Apport d’une évaluation biomécanique 3D du genou dans la prise en charge orthopédique de patients ayant une rupture du ligament croisé antérieur

Parmi les blessures sportives reliées au genou, 20 % impliquent le ligament croisé antérieur (LCA). Le LCA étant le principal stabilisateur du genou, une lésion à cette structure engendre une importante instabilité articulaire influençant considérablement la fonction du genou. L’évaluation clinique actuelle des patients ayant une atteinte au LCA présente malheureusement des limitations importantes à la fois dans l’investigation de l’impact de la blessure et dans le processus diagnostic. Une évaluation biomécanique tridimensionnelle (3D) du genou pourrait s’avérer une avenue innovante afin de pallier à ces limitations. L’objectif général de la thèse est de démontrer la valeur ajoutée du domaine biomécanique dans (1) l’investigation de l’impact de la blessure sur la fonction articulaire du genou et dans (2) l’aide au diagnostic. Pour répondre aux objectifs de recherche un groupe de 29 patients ayant une rupture du LCA (ACLD) et un groupe contrôle de 15 participants sains ont pris part à une évaluation biomécanique 3D du genou lors de tâches de marche sur tapis roulant. L’évaluation des patrons biomécaniques 3D du genou a permis de démontrer que les patients ACLD adoptent un mécanisme compensatoire que nous avons intitulé pivot-shift avoidance gait. Cette adaptation biomécanique a pour objectif d’éviter de positionner le genou dans une condition susceptible de provoquer une instabilité antérolatérale du genou lors de la marche. Par la suite, une méthode de classification a été développée afin d’associer de manière automatique et objective des patrons biomécaniques 3D du genou soit au groupe ACLD ou au groupe contrôle. Pour cela, des paramètres ont été extraits des patrons biomécaniques en utilisant une décomposition en ondelettes et ont ensuite été classifiés par la méthode du plus proche voisin. Notre méthode de classification a obtenu un excellent niveau précision, de sensibilité et de spécificité atteignant respectivement 88%, 90% et 87%. Cette méthode a donc le potentiel de servir d’outil d’aide à la décision clinique. La présente thèse a démontré l’apport considérable d’une évaluation biomécanique 3D du genou dans la prise en charge orthopédique de patients présentant une rupture du LCA; plus spécifiquement dans l’investigation de l’impact de la blessure et dans l’aide au diagnostic.