An implementation of genetic algorithms as a basis for a trading system on the foreign exchange market

Foreign exchange trading has emerged in recent times as a significant activity in many countries. As with most forms of trading, the activity is influenced by many random parameters so that the creation of a system that effectively emulates the trading process is very helpful. In this paper, we try to create such a system with a genetic algorithm engine to emulate trader behaviour on the foreign exchange market and to find the most profitable trading strategy.

Off-line signature verification and forgery detection system based on fuzzy modeling

This paper presents an innovative approach for signature verification and forgery detection based on fuzzy modeling. The signature image is binarized and resized to a fixed size window and is then thinned. The thinned image is then partitioned into a fixed number of eight sub-images called boxes. This partition is done using the horizontal density approximation approach. Each sub-image is then further resized and again partitioned into twelve further sub-images using the uniform partitioning approach. The features of consideration are normalized vector angle (α) from each box. Each feature extracted from sample signatures gives rise to a fuzzy set. Since the choice of a proper fuzzification function is crucial for verification, we have devised a new fuzzification function with structural parameters, which is able to adapt to the variations in fuzzy sets. This function is employed to develop a complete forgery detection and verification system.

Spectroscopic analysis of terrestrial analogues for the interpretation of surface composition of rocky bodies in the solar system. Effects of mineral mixing and particle size. Applications to moon, mars and implications for mercury.

Among the Solar System’s bodies, Moon, Mercury and Mars are at present, or have been in the recent years, object of space missions aimed, among other topics, also at improving our knowledge about surface composition. Between the techniques to detect planet’s mineralogical composition, both from remote and close range platforms, visible and near-infrared reflectance (VNIR) spectroscopy is a powerful tool, because crystal field absorption bands are related to particular transitional metals in well-defined crystal structures, e.g., Fe2+ in M1 and M2 sites of olivine or pyroxene (Burns, 1993). Thanks to the improvements in the spectrometers onboard the recent missions, a more detailed interpretation of the planetary surfaces can now be delineated. However, quantitative interpretation of planetary surface mineralogy could not always be a simple task. In fact, several factors such as the mineral chemistry, the presence of different minerals that absorb in a narrow spectral range, the regolith with a variable particle size range, the space weathering, the atmosphere composition etc., act in unpredictable ways on the reflectance spectra on a planetary surface (Serventi et al., 2014). One method for the interpretation of reflectance spectra of unknown materials involves the study of a number of spectra acquired in the laboratory under different conditions, such as different mineral abundances or different particle sizes, in order to derive empirical trends. This is the methodology that has been followed in this PhD thesis: the single factors previously listed have been analyzed, creating, in the laboratory, a set of terrestrial analogues with well-defined composition and size. The aim of this work is to provide new tools and criteria to improve the knowledge of the composition of planetary surfaces. In particular, mixtures composed with different content and chemistry of plagioclase and mafic minerals have been spectroscopically analyzed at different particle sizes and with different mineral relative percentages. The reflectance spectra of each mixture have been analyzed both qualitatively (using the software ORIGIN®) and quantitatively applying the Modified Gaussian Model (MGM, Sunshine et al., 1990) algorithm. In particular, the spectral parameter variations of each absorption band have been evaluated versus the volumetric FeO% content in the PL phase and versus the PL modal abundance. This delineated calibration curves of composition vs. spectral parameters and allow implementation of spectral libraries. Furthermore, the trends derived from terrestrial analogues here analyzed and from analogues in the literature have been applied for the interpretation of hyperspectral images of both plagioclase-rich (Moon) and plagioclase-poor (Mars) bodies.

Development of an intelligent quality management system using fuzzy association rules

In order to survive in the increasingly customer-oriented marketplace, continuous quality improvement marks the fastest growing quality organization’s success. In recent years, attention has been focused on intelligent systems which have shown great promise in supporting quality control. However, only a small number of the currently used systems are reported to be operating effectively because they are designed to maintain a quality level within the specified process, rather than to focus on cooperation within the production workflow. This paper proposes an intelligent system with a newly designed algorithm and the universal process data exchange standard to overcome the challenges of demanding customers who seek high-quality and low-cost products. The intelligent quality management system is equipped with the ‘‘distributed process mining” feature to provide all levels of employees with the ability to understand the relationships between processes, especially when any aspect of the process is going to degrade or fail. An example of generalized fuzzy association rules are applied in manufacturing sector to demonstrate how the proposed iterative process mining algorithm finds the relationships between distributed process parameters and the presence of quality problems.

Digital control system programming from process control diagrams

A graphical process control language has been developed as a means of defining process control software. The user configures a block diagram describing the required control system, from a menu of functional blocks, using a graphics software system with graphics terminal. Additions may be made to the menu of functional blocks, to extend the system capability, and a group of blocks may be defined as a composite block. This latter feature provides for segmentation of the overall system diagram and the repeated use of the same group of blocks within the system. The completed diagram is analyzed by a graphics compiler which generates the programs and data structure to realise the run-time software. The run-time software has been designed as a data-driven system which allows for modifications at the run-time level in both parameters and system configuration. Data structures have been specified to ensure efficient execution and minimal storage requirements in the final control software. Machine independence has been accomodated as far as possible using CORAL 66 as the high level language throughout the entire system; the final run-time code being generated by a CORAL 66 compiler appropriate to the target processor.

A study of the effect of harmonics in the system on the performance of residual current-operated circuit-breakers and electromechanical overcurrent relays

Residual current-operated circuit-breakers (RCCBs) have proved useful devices for the protection of both human beings against ventricular fibrillation and installations against fire. Although they work well with sinusoidal waveforms, there is little published information on their characteristics. Due to shunt connected non-linear devices, not the least of which is the use of power electronic equipment, the supply is distorted. Consequently, RCCBs as well as other protection relays are subject to non-sinusoidal current waveforms. Recent studies showed that RCCBs are greatly affected by harmonics, however the reasons for this are not clear. A literature search has also shown that there are inconsistencies in the analysis of the effect of harmonics on protection relays. In this work, the way RCCBs operate is examined, then a model is built with the aim of assessing the effect of non-sinusoidal current on RCCBs. Tests are then carried out on a number of RCCBs and these, when compared with the results from the model showed good correlation. In addition, the model also enables us to explain the RCCBs characteristics for pure sinusoidal current. In the model developed, various parameters are evaluated but special attention is paid to the instantaneous value of the current and the tripping mechanism movement. A similar assessment method is then used to assess the effect of harmonics on two types of protection relay, the electromechanical instantaneous relay and time overcurrent relay. A model is built for each of them which is then simulated on the computer. Tests results compare well with the simulation results, and thus the model developed can be used to explain the relays behaviour in a harmonics environment. The author's models, analysis and tests show that RCCBs and protection relays are affected by harmonics in a way determined by the waveform and the relay constants. The method developed provides a useful tool and the basic methodology to analyse the behaviour of RCCBs and protection relays in a harmonics environment. These results have many implications, especially the way RCCBs and relays should be tested if harmonics are taken into account.

Simulation based knowledge elicitation:effect of visual representation and model parameters

Since much knowledge is tacit, eliciting knowledge is a common bottleneck during the development of knowledge-based systems. Visual interactive simulation (VIS) has been proposed as a means for eliciting experts’ decision-making by getting them to interact with a visual simulation of the real system in which they work. In order to explore the effectiveness and efficiency of VIS based knowledge elicitation, an experiment has been carried out with decision-makers in a Ford Motor Company engine assembly plant. The model properties under investigation were the level of visual representation (2-dimensional, 2½-dimensional and 3-dimensional) and the model parameter settings (unadjusted and adjusted to represent more uncommon and extreme situations). The conclusion from the experiment is that using a 2-dimensional representation with adjusted parameter settings provides the better simulation-based means for eliciting knowledge, at least for the case modelled.

Increased potential of a cationic liposome-based delivery system:enhancing stability and sustained immunological activity in pre-clinical development

The combination of dimethyl dioctadecyl ammonium bromide (DDA) and the synthetic cord factor trehalose dibehenate (TDB) with Ag85B-ESAT-6 (H1 fusion protein) has been found to promote strong protective immune responses against Mycobacterium tuberculosis. The development of a vaccine formulation that is able to facilitate the requirements of sterility, stability and generation of a vaccine product with acceptable composition, shelf-life and safety profile may necessitate selected alterations in vaccine formulation. This study describes the implementation of a sterilisation protocol and the use of selected lyoprotective agents in order to fulfil these requirements. Concomitantly, close analysis of any alteration in physico-chemical characteristics and parameters of immunogenicity have been examined for this promising DDA liposome-based tuberculosis vaccine. The study addresses the extensive guidelines on parameters for non-clinical assessment, suitable for liposomal vaccines and other vaccine delivery systems issued by the World Health Organisation (WHO) and the European Medicines Agency (EMEA). Physical and chemical stability was observed following alteration in formulations to include novel cryoprotectants and radiation sterilisation. Immunogenicity was maintained following these alterations and even improved by modification with lysine as the cryoprotective agent for sterilised formulations. Taken together, these results outline the successful alteration to a liposomal vaccine, representing improved formulations by rational modification, whilst maintaining biological activity.

Estimating parameters in stochastic systems:a variational Bayesian approach

This work is concerned with approximate inference in dynamical systems, from a variational Bayesian perspective. When modelling real world dynamical systems, stochastic differential equations appear as a natural choice, mainly because of their ability to model the noise of the system by adding a variation of some stochastic process to the deterministic dynamics. Hence, inference in such processes has drawn much attention. Here a new extended framework is derived that is based on a local polynomial approximation of a recently proposed variational Bayesian algorithm. The paper begins by showing that the new extension of this variational algorithm can be used for state estimation (smoothing) and converges to the original algorithm. However, the main focus is on estimating the (hyper-) parameters of these systems (i.e. drift parameters and diffusion coefficients). The new approach is validated on a range of different systems which vary in dimensionality and non-linearity. These are the Ornstein–Uhlenbeck process, the exact likelihood of which can be computed analytically, the univariate and highly non-linear, stochastic double well and the multivariate chaotic stochastic Lorenz ’63 (3D model). As a special case the algorithm is also applied to the 40 dimensional stochastic Lorenz ’96 system. In our investigation we compare this new approach with a variety of other well known methods, such as the hybrid Monte Carlo, dual unscented Kalman filter, full weak-constraint 4D-Var algorithm and analyse empirically their asymptotic behaviour as a function of observation density or length of time window increases. In particular we show that we are able to estimate parameters in both the drift (deterministic) and the diffusion (stochastic) part of the model evolution equations using our new methods.

Combined bioreaction and separation in a simulated counter-current chromatographic bioreactor-separator system

The objective of this work has been to investigate the principle of combined bioreaction and separation in a simulated counter-current chromatographic bioreactor-separator system (SCCR-S). The SCCR-S system consisted of twelve 5.4cm i.d x 75cm long columns packed with calcium charged cross-linked polystyrene resin. Three bioreactions, namely the saccharification of modified starch to maltose and dextrin using the enzyme maltogenase, the hydrolysis of lactose to galactose and glucose in the presence of the enzyme lactase and the biosynthesis of dextran from sucrose using the enzyme dextransucrase. Combined bioreaction and separation has been successfully carried out in the SCCR-S system for the saccharification of modified starch to maltose and dextrin. The effects of the operating parameters (switch time, eluent flowrate, feed concentration and enzyme activity) on the performance of the SCCR-S system were investigated. By using an eluent of dilute enzyme solution, starch conversions of up to 60% were achieved using lower amounts of enzyme than the theoretical amount required by a conventional bioreactor to produce the same amount of maltose over the same time period. Comparing the SCCR-S system to a continuous annular chromatograph (CRAC) for the saccharification of modified starch showed that the SCCR-S system required only 34.6-47.3% of the amount of enzyme required by the CRAC. The SCCR-S system was operated in the batch and continuous modes as a bioreactor-separator for the hydrolysis of lactose to galactose and glucose. By operating the system in the continuous mode, the operating parameters were further investigated. During these experiments the eluent was deionised water and the enzyme was introduced into the system through the same port as the feed. The galactose produced was retarded and moved with the stationary phase to be purge as the galactose rich product (GalRP) while the glucose moved with the mobile phase and was collected as the glucose rich product (GRP). By operating at up to 30%w/v lactose feed concentrations, complete conversions were achieved using only 48% of the theoretical amount of enzyme required by a conventional bioreactor to hydrolyse the same amount of glucose over the same time period. The main operating parameters affecting the performance of the SCCR-S system operating in the batch mode were investigated and the results compared to those of the continuous operation of the SCCR-S system. . During the biosynthesis of dextran in the SCCR-S system, a method of on-line regeneration of the resin was required to operate the system continuously. Complete conversion was achieved at sucrose feed concentrations of 5%w/v with fructose rich. products (FRP) of up to 100% obtained. The dextran rich products were contaninated by small amounts of glucose and levan formed during the bioreaction. Mathematical modelling and computer simulation of the SCCR-S. system operating in the continuous mode for the hydrolysis of lactose has been carried out. .

Setting parameters in MRP for the effective management of bought-out inventory in a JIT assembly environment

In recent years, UK industry has seen an explosive growth in the number of `Computer Aided Production Management' (CAPM) system installations. Of the many CAPM systems, materials requirement planning/manufacturing resource planning (MRP/MRPII) is the most widely implemented. Despite the huge investments in MRP systems, over 80 percent are said to have failed within 3 to 5 years of installation. Many people now assume that Just-In-Time (JIT) is the best manufacturing technique. However, those who have implemented JIT have found that it also has many problems. The author argues that the success of a manufacturing company will not be due to a system which complies with a single technique; but due to the integration of many techniques and the ability to make them complement each other in a specific manufacturing environment. This dissertation examines the potential for integrating MRP with JIT and Two-Bin systems to reduce operational costs involved in managing bought-out inventory. Within this framework it shows that controlling MRP is essential to facilitate the integrating process. The behaviour of MRP systems is dependent on the complex interactions between the numerous control parameters used. Methodologies/models are developed to set these parameters. The models are based on the Pareto principle. The idea is to use business targets to set a coherent set of parameters, which not only enables those business targets to be realised, but also facilitates JIT implementation. It illustrates this approach in the context of an actual manufacturing plant - IBM Havant. (IBM Havant is a high volume electronics assembly plant with the majority of the materials bought-out). The parameter setting models are applicable to control bought-out items in a wide range of industries and are not dependent on specific MRP software. The models have produced successful results in several companies and are now being developed as commercial products.

A knowledge-based system for process planning in a seamless steel tube plant

The thesis describes the work carried out to develop a prototype knowledge-based system 'KBS-SETUPP' to generate process plans for the manufacture of seamless tubes. The work is specifically related to a plant in which hollows are made from solid billets using a rotary piercing process and then reduced to required size and finished properties using the fixed plug cold drawing process. The thesis first discusses various methods of tube production in order to give a general background of tube manufacture. Then a review of the automation of the process planning function is presented in terms of its basic sub-tasks and the techniques and suitability of a knowledge-based system is established. In the light of such a review and a case study, the process planning problem is formulated in the domain of seamless tube manufacture, its basic sub-tasks are identified and capabilities and constraints of the available equipment in the specific plant are established. The task of collecting and collating the process planning knowledge in seamless tube manufacture is discussed and is mostly fulfilled from domain experts, analysing of existing manufacturing records specific to plant, textbooks and applicable Standards. For the cold drawing mill, tube-drawing schedules have been rationalised to correspond with practice. The validation of such schedules has been achieved by computing the process parameters and then comparing these with the drawbench capacity to avoid over-loading. The existing models cannot be simulated in the computer program as such, therefore a mathematical model has been proposed which estimates the process parameters which are in close agreement with experimental values established by other researchers. To implement the concepts, a Knowledge-Based System 'KBS- SETUPP' has been developed on Personal Computer using Turbo- Prolog. The system is capable of generating process plans, production schedules and some additional capabilities to supplement process planning. The system generated process plans have been compared with the actual plans of the company and it has been shown that the results are satisfactory and encouraging and that the system has the capabilities which are useful.