Semi-parametric forecasting of spikes in electricity prices

The occurrence of extreme movements in the spot price of electricity represents a significant source of risk to retailers. A range of approaches have been considered with respect to modelling electricity prices; these models, however, have relied on time-series approaches, which typically use restrictive decay schemes placing greater weight on more recent observations. This study develops an alternative, semi-parametric method for forecasting, which uses state-dependent weights derived from a kernel function. The forecasts that are obtained using this method are accurate and therefore potentially useful to electricity retailers in terms of risk management.

Forecasting the future risk of Barmah Forest Virus disease under climate change scenarios in Queensland, Australia

BACKGROUND Mosquito-borne diseases are climate sensitive and there has been increasing concern over the impact of climate change on future disease risk. This paper projected the potential future risk of Barmah Forest virus (BFV) disease under climate change scenarios in Queensland, Australia. METHODS/PRINCIPAL FINDINGS We obtained data on notified BFV cases, climate (maximum and minimum temperature and rainfall), socio-economic and tidal conditions for current period 2000-2008 for coastal regions in Queensland. Grid-data on future climate projections for 2025, 2050 and 2100 were also obtained. Logistic regression models were built to forecast the otential risk of BFV disease distribution under existing climatic, socio-economic and tidal conditions. The model was applied to estimate the potential geographic distribution of BFV outbreaks under climate change scenarios. The predictive model had good model accuracy, sensitivity and specificity. Maps on potential risk of future BFV disease indicated that disease would vary significantly across coastal regions in Queensland by 2100 due to marked differences in future rainfall and temperature projections. CONCLUSIONS/SIGNIFICANCE We conclude that the results of this study demonstrate that the future risk of BFV disease would vary across coastal regions in Queensland. These results may be helpful for public health decision making towards developing effective risk management strategies for BFV disease control and prevention programs in Queensland.

Short-term traffic volume forecasting : a k-nearest neighbor approach enhanced by constrained linearly sewing principle component algorithm

To enhance the performance of the k-nearest neighbors approach in forecasting short-term traffic volume, this paper proposed and tested a two-step approach with the ability of forecasting multiple steps. In selecting k-nearest neighbors, a time constraint window is introduced, and then local minima of the distances between the state vectors are ranked to avoid overlappings among candidates. Moreover, to control extreme values’ undesirable impact, a novel algorithm with attractive analytical features is developed based on the principle component. The enhanced KNN method has been evaluated using the field data, and our comparison analysis shows that it outperformed the competing algorithms in most cases.

Resilient Navigation through Probabilistic Modality Reconfiguration

This paper proposes an approach to achieve resilient navigation for indoor mobile robots. Resilient navigation seeks to mitigate the impact of control, localisation, or map errors on the safety of the platform while enforcing the robot’s ability to achieve its goal. We show that resilience to unpredictable errors can be achieved by combining the benefits of independent and complementary algorithmic approaches to navigation, or modalities, each tuned to a particular type of environment or situation. In this paper, the modalities comprise a path planning method and a reactive motion strategy. While the robot navigates, a Hidden Markov Model continually estimates the most appropriate modality based on two types of information: context (information known a priori) and monitoring (evaluating unpredictable aspects of the current situation). The robot then uses the recommended modality, switching between one and another dynamically. Experimental validation with a SegwayRMP- based platform in an office environment shows that our approach enables failure mitigation while maintaining the safety of the platform. The robot is shown to reach its goal in the presence of: 1) unpredicted control errors, 2) unexpected map errors and 3) a large injected localisation fault.

A probabilistic framework to monitor a multi-mode outdoor robot

This paper presents an approach to autonomously monitor the behavior of a robot endowed with several navigation and locomotion modes, adapted to the terrain to traverse. The mode selection process is done in two steps: the best suited mode is firstly selected on the basis of initial information or a qualitative map built on-line by the robot. Then, the motions of the robot are monitored by various processes that update mode transition probabilities in a Markov system. The paper focuses on this latter selection process: the overall approach is depicted, and preliminary experimental results are presented

Towards training-free appearance-based localization : probabilistic models for whole-image descriptors

Whole image descriptors have recently been shown to be remarkably robust to perceptual change especially compared to local features. However, whole-image-based localization systems typically rely on heuristic methods for determining appropriate matching thresholds in a particular environment. These environment-specific tuning requirements and the lack of a meaningful interpretation of these arbitrary thresholds limits the general applicability of these systems. In this paper we present a Bayesian model of probability for whole-image descriptors that can be seamlessly integrated into localization systems designed for probabilistic visual input. We demonstrate this method using CAT-Graph, an appearance-based visual localization system originally designed for a FAB-MAP-style probabilistic input. We show that using whole-image descriptors as visual input extends CAT-Graph’s functionality to environments that experience a greater amount of perceptual change. We also present a method of estimating whole-image probability models in an online manner, removing the need for a prior training phase. We show that this online, automated training method can perform comparably to pre-trained, manually tuned local descriptor methods.

Selecting volatility forecasting models for portfolio allocation purposes

Techniques for evaluating and selecting multivariate volatility forecasts are not yet understood as well as their univariate counterparts. This paper considers the ability of different loss functions to discriminate between a set of competing forecasting models which are subsequently applied in a portfolio allocation context. It is found that a likelihood-based loss function outperforms its competitors, including those based on the given portfolio application. This result indicates that considering the particular application of forecasts is not necessarily the most effective basis on which to select models.

Computational aspects of probabilistic assessment of UAS robust autonomy

As the level of autonomy in Unmanned Aircraft Systems (UAS) increases, there is an imperative need for developing methods to assess robust autonomy. This paper focuses on the computations that lead to a set of measures of robust autonomy. These measures are the probabilities that selected performance indices related to the mission requirements and airframe capabilities remain within regions of acceptable performance.

Tensor-based item recommendation using probabilistic ranking in social tagging systems

A common problem with the use of tensor modeling in generating quality recommendations for large datasets is scalability. In this paper, we propose the Tensor-based Recommendation using Probabilistic Ranking method that generates the reconstructed tensor using block-striped parallel matrix multiplication and then probabilistically calculates the preferences of user to rank the recommended items. Empirical analysis on two real-world datasets shows that the proposed method is scalable for large tensor datasets and is able to outperform the benchmarking methods in terms of accuracy.

Beyond point forecasting : evaluation of alternative prediction intervals for tourist arrivals

This paper evaluates the performances of prediction intervals generated from alternative time series models, in the context of tourism forecasting. The forecasting methods considered include the autoregressive (AR) model, the AR model using the bias-corrected bootstrap, seasonal ARIMA models, innovations state space models for exponential smoothing, and Harvey’s structural time series models. We use thirteen monthly time series for the number of tourist arrivals to Hong Kong and Australia. The mean coverage rates and widths of the alternative prediction intervals are evaluated in an empirical setting. It is found that all models produce satisfactory prediction intervals, except for the autoregressive model. In particular, those based on the biascorrected bootstrap perform best in general, providing tight intervals with accurate coverage rates, especially when the forecast horizon is long.

Building macroscale models from microscale probabilistic models : a general probabilistic approach for nonlinear diffusion and multispecies phenomena

A discrete agent-based model on a periodic lattice of arbitrary dimension is considered. Agents move to nearest-neighbor sites by a motility mechanism accounting for general interactions, which may include volume exclusion. The partial differential equation describing the average occupancy of the agent population is derived systematically. A diffusion equation arises for all types of interactions and is nonlinear except for the simplest interactions. In addition, multiple species of interacting subpopulations give rise to an advection-diffusion equation for each subpopulation. This work extends and generalizes previous specific results, providing a construction method for determining the transport coefficients in terms of a single conditional transition probability, which depends on the occupancy of sites in an influence region. These coefficients characterize the diffusion of agents in a crowded environment in biological and physical processes.

A two-stage item recommendation method using probabilistic ranking with reconstructed tensor model

In a tag-based recommender system, the multi-dimensional correlation should be modeled effectively for finding quality recommendations. Recently, few researchers have used tensor models in recommendation to represent and analyze latent relationships inherent in multi-dimensions data. A common approach is to build the tensor model, decompose it and, then, directly use the reconstructed tensor to generate the recommendation based on the maximum values of tensor elements. In order to improve the accuracy and scalability, we propose an implementation of the -mode block-striped (matrix) product for scalable tensor reconstruction and probabilistically ranking the candidate items generated from the reconstructed tensor. With testing on real-world datasets, we demonstrate that the proposed method outperforms the benchmarking methods in terms of recommendation accuracy and scalability.

Exploring the effect of political risks in large infrastructure projects in politically unstable countries using a probabilistic modelling approach

This research aims to explore and identify political risks on a large infrastructure project in an exaggerated environment to ascertain whether sufficient objective information can be gathered by project managers to utilise risk modelling techniques. During the study, the author proposes a new definition of political risk; performs a detailed project study of the Neelum Jhelum Hydroelectric Project in Pakistan; implements a probabilistic model using the principle of decomposition and Bayes probabilistic theorem and answers the question: was it possible for project managers to obtain all the relevant objective data to implement a probabilistic model?

Probabilistic power system contingency analysis considering wind

This thesis was a step forward in developing probabilistic assessment of power system response to faults subject to intermittent generation by renewable energy. It has investigated the wind power fluctuation effect on power system stability, and the developed fast estimation process has demonstrated the feasibility for real-time implementation. A better balance between power network security and efficiency can be achieved based on this research outcome.