Evolution, recurrency and kernels in learning to model inflation

This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are valuable for forecasting US inflation in the early to mid 2000s. We explore a wide range of different definitions of money, including different methods of aggregation and different collections of included monetary assets. We use non-linear, artificial intelligence techniques, namely, recurrent neural networks, evolution strategies and kernel methods in our forecasting experiment. In the experiment, these three methodologies compete to find the best fitting US inflation forecasting models and are then compared to forecasts from a naive random walk model. The best models were non-linear autoregressive models based on kernel methods. Our findings do not provide much support for the usefulness of monetary aggregates in forecasting inflation. There is evidence in the literature that evolutionary methods can be used to evolve kernels hence our future work should combine the evolutionary and kernel methods to get the benefits of both.

Concentration polarization model of spiral-wound membrane modules with application to batch-mode RO desalination of brackish water

Batch-mode reverse osmosis (batch-RO) operation is considered a promising desalination method due to its low energy requirement compared to other RO system arrangements. To improve and predict batch-RO performance, studies on concentration polarization (CP) are carried out. The Kimura-Sourirajan mass-transfer model is applied and validated by experimentation with two different spiral-wound RO elements. Explicit analytical Sherwood correlations are derived based on experimental results. For batch-RO operation, a new genetic algorithm method is developed to estimate the Sherwood correlation parameters, taking into account the effects of variation in operating parameters. Analytical procedures are presented, then the mass transfer coefficient models are developed for different operation processes, i.e., batch-RO and continuous RO. The CP related energy loss in batch-RO operation is quantified based on the resulting relationship between feed flow rates and mass transfer coefficients. It is found that CP increases energy consumption in batch-RO by about 25% compared to the ideal case in which CP is absent. For continuous RO process, the derived Sherwood correlation predicted CP accurately. In addition, we determined the optimum feed flow rate of our batch-RO system.

Wave kinetics of random fibre lasers

Traditional wave kinetics describes the slow evolution of systems with many degrees of freedom to equilibrium via numerous weak non-linear interactions and fails for very important class of dissipative (active) optical systems with cyclic gain and losses, such as lasers with non-linear intracavity dynamics. Here we introduce a conceptually new class of cyclic wave systems, characterized by non-uniform double-scale dynamics with strong periodic changes of the energy spectrum and slow evolution from cycle to cycle to a statistically steady state. Taking a practically important example—random fibre laser—we show that a model describing such a system is close to integrable non-linear Schrödinger equation and needs a new formalism of wave kinetics, developed here. We derive a non-linear kinetic theory of the laser spectrum, generalizing the seminal linear model of Schawlow and Townes. Experimental results agree with our theory. The work has implications for describing kinetics of cyclical systems beyond photonics.

Modeling of the spectrum in a random distributed feedback fiber laser within the power balance modes

The simplest model for a description of the random distributed feedback (RDFB) Raman fiber laser is a power balance model describing the evolution of the intensities of the waves over the fiber length. The model predicts well the power performances of the RDFB fiber laser including the generation threshold, the output power and pump and generation wave intensity distributions along the fiber. In the present work, we extend the power balance model and modify equations in such a way that they describe now frequency dependent spectral power density instead of integral over the spectrum intensities. We calculate the generation spectrum by using the depleted pump wave longitudinal distribution derived from the conventional power balance model. We found the spectral balance model to be sufficient to account for the spectral narrowing in the RDFB laser above the threshold of the generation. © 2014 SPIE.

Molecular Dynamics implementation of BN2D or 'Mercedes Benz' water model

Two-dimensional 'Mercedes Benz' (MB) or BN2D water model (Naim, 1971) is implemented in Molecular Dynamics. It is known that the MB model can capture abnormal properties of real water (high heat capacity, minima of pressure and isothermal compressibility, negative thermal expansion coefficient) (Silverstein et al., 1998). In this work formulas for calculating the thermodynamic, structural and dynamic properties in microcanonical (NVE) and isothermal-isobaric (NPT) ensembles for the model from Molecular Dynamics simulation are derived and verified against known Monte Carlo results. The convergence of the thermodynamic properties and the system's numerical stability are investigated. The results qualitatively reproduce the peculiarities of real water making the model a visually convenient tool that also requires less computational resources, thus allowing simulations of large (hydrodynamic scale) molecular systems. We provide the open source code written in C/C++ for the BN2D water model implementation using Molecular Dynamics.

Random distributed feedback Raman fiber laser with polarized pumping

In this letter, the polarization properties of a random fiber laser operating via Raman gain and random distributed feedback owing to Rayleigh scattering are investigated for the first time. Using polarized pump, the partially polarized generation is obtained with a generation spectrum exhibiting discrete narrow spectral features contrary to the smooth spectrum observed for the depolarized pump. The threshold, output power, degree of polarization and the state of polarization (SOP) of the lasing can be significantly influenced by the SOP of the pump. Fine narrow spectral components are also sensitive to the SOP of the pump wave. Furthermore, we found that random lasing's longitudinal power distributions are different in the case of polarized and depolarized pumping that results in considerable reduction of the generation slope efficiency for the polarized radiation. Our results indicate that polarization effects play an important role on the performance of the random fiber laser. This work improves the understanding of the physics of random lasing in fibers and makes a step forward towards the establishment of the vector model of random fiber lasers.

Laser-induced breakdown spectroscopy quantitative analysis method via adaptive analytical line selection and relevance vector machine regression model

Abstract A new LIBS quantitative analysis method based on analytical line adaptive selection and Relevance Vector Machine (RVM) regression model is proposed. First, a scheme of adaptively selecting analytical line is put forward in order to overcome the drawback of high dependency on a priori knowledge. The candidate analytical lines are automatically selected based on the built-in characteristics of spectral lines, such as spectral intensity, wavelength and width at half height. The analytical lines which will be used as input variables of regression model are determined adaptively according to the samples for both training and testing. Second, an LIBS quantitative analysis method based on RVM is presented. The intensities of analytical lines and the elemental concentrations of certified standard samples are used to train the RVM regression model. The predicted elemental concentration analysis results will be given with a form of confidence interval of probabilistic distribution, which is helpful for evaluating the uncertainness contained in the measured spectra. Chromium concentration analysis experiments of 23 certified standard high-alloy steel samples have been carried out. The multiple correlation coefficient of the prediction was up to 98.85%, and the average relative error of the prediction was 4.01%. The experiment results showed that the proposed LIBS quantitative analysis method achieved better prediction accuracy and better modeling robustness compared with the methods based on partial least squares regression, artificial neural network and standard support vector machine.

Broadly tunable high-power random fibre laser

As shown recently, a long telecommunication fibre may be treated as a natural one-dimensional random system, where lasing is possible due to a combination of random distributed feedback via Rayleigh scattering by natural refractive index inhomogeneities and distributed amplification through the Raman effect. Here we present a new type of a random fibre laser with a narrow (∼1 nm) spectrum tunable over a broad wavelength range (1535-1570 nm) with a uniquely flat (∼0.1 dB) and high (>2 W) output power and prominent (>40 %) differential efficiency, which outperforms traditional fibre lasers of the same category, e.g. a conventional Raman laser with a linear cavity formed in the same fibre by adding point reflectors. Analytical model is proposed that explains quantitatively the higher efficiency and the flatter tuning curve of the random fiber laser compared to conventional one. The other important features of the random fibre laser like "modeless" spectrum of specific shape and corresponding intensity fluctuations as well as the techniques of controlling its output characteristics are discussed. Outstanding characteristics defined by new underlying physics and the simplicity of the scheme implemented in standard telecom fibre make the demonstrated tunable random fibre laser a very attractive light source both for fundamental science and practical applications such as optical communication, sensing and secure transmission. © 2012 Copyright Society of Photo-Optical Instrumentation Engineers (SPIE).

On Multi-Dimensional Random Walk Models Approximating Symmetric Space-Fractional Diffusion Processes

Mathematics Subject Classification: 26A33, 47B06, 47G30, 60G50, 60G52, 60G60.

Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

A Bayesian Spatial Mixture Model for FMRI Analysis

We develop, implement and study a new Bayesian spatial mixture model (BSMM). The proposed BSMM allows for spatial structure in the binary activation indicators through a latent thresholded Gaussian Markov random field. We develop a Gibbs (MCMC) sampler to perform posterior inference on the model parameters, which then allows us to assess the posterior probabilities of activation for each voxel. One purpose of this article is to compare the HJ model and the BSMM in terms of receiver operating characteristics (ROC) curves. Also we consider the accuracy of the spatial mixture model and the BSMM for estimation of the size of the activation region in terms of bias, variance and mean squared error. We perform a simulation study to examine the aforementioned characteristics under a variety of configurations of spatial mixture model and BSMM both as the size of the region changes and as the magnitude of activation changes.

Limit Theorems for Branching Processes with Random Migration Components

The classical Bienaymé-Galton-Watson (BGW) branching process can be interpreted as mathematical model of population dynamics when the members of an isolated population reproduce themselves independently of each other according to a stochastic law.

Branching Processes in Autoregressive Random Environment

2000 Mathematics Subject Classification: 60J80, 60K05.

Parameterized Link Functions in Generalized Linear Random Effect Models: a Case Study on Breast Cancer Treatment

In non-linear random effects some attention has been very recently devoted to the analysis ofsuitable transformation of the response variables separately (Taylor 1996) or not (Oberg and Davidian 2000) from the transformations of the covariates and, as far as we know, no investigation has been carried out on the choice of link function in such models. In our study we consider the use of a random effect model when a parameterized family of links (Aranda-Ordaz 1981, Prentice 1996, Pregibon 1980, Stukel 1988 and Czado 1997) is introduced. We point out the advantages and the drawbacks associated with the choice of this data-driven kind of modeling. Difficulties in the interpretation of regression parameters, and therefore in understanding the influence of covariates, as well as problems related to loss of efficiency of estimates and overfitting, are discussed. A case study on radiotherapy usage in breast cancer treatment is discussed.

Em Algorithm for MLE of a Probit Model for Multiple Ordinal Outcomes

The correlated probit model is frequently used for multiple ordered data since it allows to incorporate seamlessly different correlation structures. The estimation of the probit model parameters based on direct maximization of the limited information maximum likelihood is a numerically intensive procedure. We propose an extension of the EM algorithm for obtaining maximum likelihood estimates for a correlated probit model for multiple ordinal outcomes. The algorithm is implemented in the free software environment for statistical computing and graphics R. We present two simulation studies to examine the performance of the developed algorithm. We apply the model to data on 121 women with cervical or endometrial cancer. Patients developed normal tissue reactions as a result of post-operative external beam pelvic radiotherapy. In this work we focused on modeling the effects of a genetic factor on early skin and early urogenital tissue reactions and on assessing the strength of association between the two types of reactions. We established that there was an association between skin reactions and polymorphism XRCC3 codon 241 (C>T) (rs861539) and that skin and urogenital reactions were positively correlated. ACM Computing Classification System (1998): G.3.