Gaussian process volatility model

The prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the evolution of the variance. Moreover, functional parameters are usually learned by maximum likelihood, which can lead to over-fitting. To address these problems we introduce GP-Vol, a novel non-parametric model for time-changing variances based on Gaussian Processes. This new model can capture highly flexible functional relationships for the variances. Furthermore, we introduce a new online algorithm for fast inference in GP-Vol. This method is much faster than current offline inference procedures and it avoids overfitting problems by following a fully Bayesian approach. Experiments with financial data show that GP-Vol performs significantly better than current standard alternatives.

Automatic construction and natural-language description of nonparametric regression models

Copyright © 2014, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved. This paper presents the beginnings of an automatic statistician, focusing on regression problems. Our system explores an open-ended space of statistical models to discover a good explanation of a data set, and then produces a detailed report with figures and natural- language text. Our approach treats unknown regression functions non- parametrically using Gaussian processes, which has two important consequences. First, Gaussian processes can model functions in terms of high-level properties (e.g. smoothness, trends, periodicity, changepoints). Taken together with the compositional structure of our language of models this allows us to automatically describe functions in simple terms. Second, the use of flexible nonparametric models and a rich language for composing them in an open-ended manner also results in state- of-the-art extrapolation performance evaluated over 13 real time series data sets from various domains.

Non-equilibirum condensation effects on the flow field and the performance of a low pressure steam turbine

The influence of non-equilibrium condensation on the flow field and performance of a three stage low pressure model steam turbine is examined using modern three dimensional CFD techniques. An equilibrium steam model and a non-equilibrium steam model, which accounts for both subcooling and condensation effects, are used, and have been verified by comparison with test data in an earlier publication [1]. The differences in the calculated flow field and turbine performance with these models show that the latent heat released during condensation influences both the thermodynamic and the aerodynamic performance of the turbine, leading to a change in inlet flow angles of about 5°. The calculated three dimensional flowfield is used to investigate the magnitude and distribution of the additional thermo-dynamic wetness loss arising from steam condensation under non-equilibrium flow conditions. Three simple methods are described to calculate this, and all show that this amounts to around 6.5% of the total losses at the design condition. At other load conditions the wetness losses change in magnitude and axial distribution in the turbine. © 2010 by ASME.

First principles interatomic potential for tungsten based on Gaussian process regression

An accurate description of atomic interactions, such as that provided by first principles quantum mechanics, is fundamental to realistic prediction of the properties that govern plasticity, fracture or crack propagation in metals. However, the computational complexity associated with modern schemes explicitly based on quantum mechanics limits their applications to systems of a few hundreds of atoms at most. This thesis investigates the application of the Gaussian Approximation Potential (GAP) scheme to atomistic modelling of tungsten - a bcc transition metal which exhibits a brittle-to-ductile transition and whose plasticity behaviour is controlled by the properties of $\frac{1}{2} \langle 111 \rangle$ screw dislocations. We apply Gaussian process regression to interpolate the quantum-mechanical (QM) potential energy surface from a set of points in atomic configuration space. Our training data is based on QM information that is computed directly using density functional theory (DFT). To perform the fitting, we represent atomic environments using a set of rotationally, permutationally and reflection invariant parameters which act as the independent variables in our equations of non-parametric, non-linear regression. We develop a protocol for generating GAP models capable of describing lattice defects in metals by building a series of interatomic potentials for tungsten. We then demonstrate that a GAP potential based on a Smooth Overlap of Atomic Positions (SOAP) covariance function provides a description of the $\frac{1}{2} \langle 111 \rangle$ screw dislocation that is in agreement with the DFT model. We use this potential to simulate the mobility of $\frac{1}{2} \langle 111 \rangle$ screw dislocations by computing the Peierls barrier and model dislocation-vacancy interactions to QM accuracy in a system containing more than 100,000 atoms.

Bayesian inference and learning in Gaussian process state-space models with Particle MCMC

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gaussian process prior over the state transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. To enable efficient inference, we marginalize over the transition dynamics function and, instead, infer directly the joint smoothing distribution using specially tailored Particle Markov Chain Monte Carlo samplers. Once a sample from the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. Our approach preserves the full nonparametric expressivity of the model and can make use of sparse Gaussian processes to greatly reduce computational complexity.

Real-time non-destructive testing of dynamic holograms in doubly-doped LiNbO3 crystals using phase-conjugate technique

Nankai University

Models for magnetohydrodynamics of aluminium electrolysis cells

The electric current and the associated magnetic field in aluminium electrolysis cells create effects limiting the cell productivity and possibly cause instabilities: surface waving, ‘anode effects’, erosion of pot lining, feed material sedimentation, etc. The instructive analysis is presented via a step by step inclusion of different physical coupling factors affecting the magnetic field, electric current, velocity and wave development in the electrolysis cells. The full time dependent model couples the nonlinear turbulent fluid dynamics and the extended electromagnetic field in the cell, and the whole bus bar circuit with the ferromagnetic effects. Animated examples for the high amperage cells are presented. The theory and numerical model of the electrolysis cell is extended to the cases of variable cell bottom of aluminium layer and the variable thickness of the electrolyte due to the anode non-uniform burn-out process and the presence of the anode channels. The problem of the channel importance is well known Moreau-Evans model) for the stationary interface and the velocity field, and was validated against measurements in commercial cells, particularly with the recently published ‘benchmark’ test for the MHD models of aluminium cells [1]. The presence of electrolyte channels requires also to reconsider the previous magnetohydrodynamic instability theories and the dynamic wave development models. The results indicate the importance of a ‘sloshing’ parametrically excited MHD wave development in the aluminium production cells.

Parameterisation of bivalve functional traits for mechanistic eco-physiological dynamic energy budget (DEB) models

Mechanistic models such as those based on dynamic energy budget (DEB) theory are emergent ecomechanics tools to investigate the extent of fitness in organisms through changes in life history traits as explained by bioenergetic principles. The rapid growth in interest around this approach originates from the mechanistic characteristics of DEB, which are based on a number of rules dictating the use of mass and energy flow through organisms. One apparent bottleneck in DEB applications comes from the estimations of DEB parameters which are based on mathematical and statistical methods (covariation method). The parameterisation process begins with the knowledge of some functional traits of a target organism (e. g. embryo, sexual maturity and ultimate body size, feeding and assimilation rates, maintenance costs), identified from the literature or laboratory experiments. However, considering the prominent role of the mechanistic approach in ecology, the reduction of possible uncertainties is an important objective. We propose a revaluation of the laboratory procedures commonly used in ecological studies to estimate DEB parameters in marine bivalves. Our experimental organism was Brachidontes pharaonis. We supported our proposal with a validation exercise which compared life history traits as obtained by DEBs (implemented with parameters obtained using classical laboratory methods) with the actual set of species traits obtained in the field. Correspondence between the 2 approaches was very high (>95%) with respect to estimating both size and fitness. Our results demonstrate a good agreement between field data and model output for the effect of temperature and food density on age-size curve, maximum body size and total gamete production per life span. The mechanistic approach is a promising method of providing accurate predictions in a world that is under in creasing anthropogenic pressure.

Identification and bisection of temporal durations and tone frequencies: Common models for temporal and non-temporal stimuli.

Two experiments examined identification and bisection of tones varying in temporal duration (Experiment 1) or frequency (Experiment 2). Absolute identification of both durations and frequencies was influenced by prior stimuli and by stimulus distribution. Stimulus distribution influenced bisection for both stimulus types consistently, with more positively skewed distributions producing lower bisection points. The effect of distribution was greater when the ratio of the largest to smallest stimulus magnitude was greater. A simple mathematical model, temporal range frequency theory, was applied. It is concluded that (a) similar principles describe identification of temporal durations and other stimulus dimensions and (b) temporal bisection point shifts can be understood in terms of psychophysical principles independently developed in nontemporal domains, such as A. Parducci's (1965) range frequency theory.

Dynamic Density Forecasts for Multivariate Asset Returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the “negative tail” of the joint distribution.