Probabilistic evaluation of time series models : a comparison of several approaches

Several methods are examined which allow to produce forecasts for time series in the form of probability assignments. The necessary concepts are presented, addressing questions such as how to assess the performance of a probabilistic forecast. A particular class of models, cluster weighted models (CWMs), is given particular attention. CWMs, originally proposed for deterministic forecasts, can be employed for probabilistic forecasting with little modification. Two examples are presented. The first involves estimating the state of (numerically simulated) dynamical systems from noise corrupted measurements, a problem also known as filtering. There is an optimal solution to this problem, called the optimal filter, to which the considered time series models are compared. (The optimal filter requires the dynamical equations to be known.) In the second example, we aim at forecasting the chaotic oscillations of an experimental bronze spring system. Both examples demonstrate that the considered time series models, and especially the CWMs, provide useful probabilistic information about the underlying dynamical relations. In particular, they provide more than just an approximation to the conditional mean.

Participative modelling and big issues: defining features of system dynamics?

In this article the author discusses participative modelling in system dynamics and issues underlying it. It states that in the heart of system dynamics is the servo-mechanism theory. It argues that it is wrong to see an optimal solution being applied by the empowered parties just because it exhibits self-evident truth and an analysis is not enough to encourage people to do things in different way. It mentions other models including the simulation models used for developing strategy discussions.

Energy-efficient resource allocation in OFDM systems with distributed antennas

In this paper, we develop an energy-efficient resource-allocation scheme with proportional fairness for downlink multiuser orthogonal frequency-division multiplexing (OFDM) systems with distributed antennas. Our aim is to maximize energy efficiency (EE) under the constraints of the overall transmit power of each remote access unit (RAU), proportional fairness data rates, and bit error rates (BERs). Because of the nonconvex nature of the optimization problem, obtaining the optimal solution is extremely computationally complex. Therefore, we develop a low-complexity suboptimal algorithm, which separates subcarrier allocation and power allocation. For the low-complexity algorithm, we first allocate subcarriers by assuming equal power distribution. Then, by exploiting the properties of fractional programming, we transform the nonconvex optimization problem in fractional form into an equivalent optimization problem in subtractive form, which includes a tractable solution. Next, an optimal energy-efficient power-allocation algorithm is developed to maximize EE while maintaining proportional fairness. Through computer simulation, we demonstrate the effectiveness of the proposed low-complexity algorithm and illustrate the fundamental trade off between energy and spectral-efficient transmission designs.

Engineering a plant community to deliver multiple ecosystem services

The sustainable delivery of multiple ecosystem services requires the management of functionally diverse biological communities. In an agricultural context, an emphasis on food production has often led to a loss of biodiversity to the detriment of other ecosystem services such as the maintenance of soil health and pest regulation. In scenarios where multiple species can be grown together, it may be possible to better balance environmental and agronomic services through the targeted selection of companion species. We used the case study of legume-based cover crops to engineer a plant community that delivered the optimal balance of six ecosystem services: early productivity, regrowth following mowing, weed suppression, support of invertebrates, soil fertility building (measured as yield of following crop), and conservation of nutrients in the soil. An experimental species pool of 12 cultivated legume species was screened for a range of functional traits and ecosystem services at five sites across a geographical gradient in the United Kingdom. All possible species combinations were then analyzed, using a process-based model of plant competition, to identify the community that delivered the best balance of services at each site. In our system, low to intermediate levels of species richness (one to four species) that exploited functional contrasts in growth habit and phenology were identified as being optimal. The optimal solution was determined largely by the number of species and functional diversity represented by the starting species pool, emphasizing the importance of the initial selection of species for the screening experiments. The approach of using relationships between functional traits and ecosystem services to design multifunctional biological communities has the potential to inform the design of agricultural systems that better balance agronomic and environmental services and meet the current objective of European agricultural policy to maintain viable food production in the context of the sustainable management of natural resources.

An approximate dynamic programming approach for improving accuracy of lossy data compression by Bloom filters

Bloom filters are a data structure for storing data in a compressed form. They offer excellent space and time efficiency at the cost of some loss of accuracy (so-called lossy compression). This work presents a yes-no Bloom filter, which as a data structure consisting of two parts: the yes-filter which is a standard Bloom filter and the no-filter which is another Bloom filter whose purpose is to represent those objects that were recognised incorrectly by the yes-filter (that is, to recognise the false positives of the yes-filter). By querying the no-filter after an object has been recognised by the yes-filter, we get a chance of rejecting it, which improves the accuracy of data recognition in comparison with the standard Bloom filter of the same total length. A further increase in accuracy is possible if one chooses objects to include in the no-filter so that the no-filter recognises as many as possible false positives but no true positives, thus producing the most accurate yes-no Bloom filter among all yes-no Bloom filters. This paper studies how optimization techniques can be used to maximize the number of false positives recognised by the no-filter, with the constraint being that it should recognise no true positives. To achieve this aim, an Integer Linear Program (ILP) is proposed for the optimal selection of false positives. In practice the problem size is normally large leading to intractable optimal solution. Considering the similarity of the ILP with the Multidimensional Knapsack Problem, an Approximate Dynamic Programming (ADP) model is developed making use of a reduced ILP for the value function approximation. Numerical results show the ADP model works best comparing with a number of heuristics as well as the CPLEX built-in solver (B&B), and this is what can be recommended for use in yes-no Bloom filters. In a wider context of the study of lossy compression algorithms, our researchis an example showing how the arsenal of optimization methods can be applied to improving the accuracy of compressed data.

Evolutionary model trees for handling continuous classes in machine learning

Model trees are a particular case of decision trees employed to solve regression problems. They have the advantage of presenting an interpretable output, helping the end-user to get more confidence in the prediction and providing the basis for the end-user to have new insight about the data, confirming or rejecting hypotheses previously formed. Moreover, model trees present an acceptable level of predictive performance in comparison to most techniques used for solving regression problems. Since generating the optimal model tree is an NP-Complete problem, traditional model tree induction algorithms make use of a greedy top-down divide-and-conquer strategy, which may not converge to the global optimal solution. In this paper, we propose a novel algorithm based on the use of the evolutionary algorithms paradigm as an alternate heuristic to generate model trees in order to improve the convergence to globally near-optimal solutions. We call our new approach evolutionary model tree induction (E-Motion). We test its predictive performance using public UCI data sets, and we compare the results to traditional greedy regression/model trees induction algorithms, as well as to other evolutionary approaches. Results show that our method presents a good trade-off between predictive performance and model comprehensibility, which may be crucial in many machine learning applications. (C) 2010 Elsevier Inc. All rights reserved.

Algorithms for two-dimensional cutting stock and strip packing problems using dynamic programming and column generation

We investigate several two-dimensional guillotine cutting stock problems and their variants in which orthogonal rotations are allowed. We first present two dynamic programming based algorithms for the Rectangular Knapsack (RK) problem and its variants in which the patterns must be staged. The first algorithm solves the recurrence formula proposed by Beasley; the second algorithm - for staged patterns - also uses a recurrence formula. We show that if the items are not so small compared to the dimensions of the bin, then these algorithms require polynomial time. Using these algorithms we solved all instances of the RK problem found at the OR-LIBRARY, including one for which no optimal solution was known. We also consider the Two-dimensional Cutting Stock problem. We present a column generation based algorithm for this problem that uses the first algorithm above mentioned to generate the columns. We propose two strategies to tackle the residual instances. We also investigate a variant of this problem where the bins have different sizes. At last, we study the Two-dimensional Strip Packing problem. We also present a column generation based algorithm for this problem that uses the second algorithm above mentioned where staged patterns are imposed. In this case we solve instances for two-, three- and four-staged patterns. We report on some computational experiments with the various algorithms we propose in this paper. The results indicate that these algorithms seem to be suitable for solving real-world instances. We give a detailed description (a pseudo-code) of all the algorithms presented here, so that the reader may easily implement these algorithms. (c) 2007 Elsevier B.V. All rights reserved.

Solving the Vehicle Routing Problem with Genetic ALgorithm and Simulated Annealing

This Thesis Work will concentrate on a very interesting problem, the Vehicle Routing Problem (VRP). In this problem, customers or cities have to be visited and packages have to be transported to each of them, starting from a basis point on the map. The goal is to solve the transportation problem, to be able to deliver the packages-on time for the customers,-enough package for each Customer,-using the available resources- and – of course - to be so effective as it is possible.Although this problem seems to be very easy to solve with a small number of cities or customers, it is not. In this problem the algorithm have to face with several constraints, for example opening hours, package delivery times, truck capacities, etc. This makes this problem a so called Multi Constraint Optimization Problem (MCOP). What’s more, this problem is intractable with current amount of computational power which is available for most of us. As the number of customers grow, the calculations to be done grows exponential fast, because all constraints have to be solved for each customers and it should not be forgotten that the goal is to find a solution, what is best enough, before the time for the calculation is up. This problem is introduced in the first chapter: form its basics, the Traveling Salesman Problem, using some theoretical and mathematical background it is shown, why is it so hard to optimize this problem, and although it is so hard, and there is no best algorithm known for huge number of customers, why is it a worth to deal with it. Just think about a huge transportation company with ten thousands of trucks, millions of customers: how much money could be saved if we would know the optimal path for all our packages.Although there is no best algorithm is known for this kind of optimization problems, we are trying to give an acceptable solution for it in the second and third chapter, where two algorithms are described: the Genetic Algorithm and the Simulated Annealing. Both of them are based on obtaining the processes of nature and material science. These algorithms will hardly ever be able to find the best solution for the problem, but they are able to give a very good solution in special cases within acceptable calculation time.In these chapters (2nd and 3rd) the Genetic Algorithm and Simulated Annealing is described in details, from their basis in the “real world” through their terminology and finally the basic implementation of them. The work will put a stress on the limits of these algorithms, their advantages and disadvantages, and also the comparison of them to each other.Finally, after all of these theories are shown, a simulation will be executed on an artificial environment of the VRP, with both Simulated Annealing and Genetic Algorithm. They will both solve the same problem in the same environment and are going to be compared to each other. The environment and the implementation are also described here, so as the test results obtained.Finally the possible improvements of these algorithms are discussed, and the work will try to answer the “big” question, “Which algorithm is better?”, if this question even exists.

Use Multilevel Graph Partitioning Scheme to solve traveling salesman problem

The traveling salesman problem is although looking very simple problem but it is an important combinatorial problem. In this thesis I have tried to find the shortest distance tour in which each city is visited exactly one time and return to the starting city. I have tried to solve traveling salesman problem using multilevel graph partitioning approach.Although traveling salesman problem itself very difficult as this problem is belong to the NP-Complete problems but I have tried my best to solve this problem using multilevel graph partitioning it also belong to the NP-Complete problems. I have solved this thesis by using the k-mean partitioning algorithm which divides the problem into multiple partitions and solving each partition separately and its solution is used to improve the overall tour by applying Lin Kernighan algorithm on it. Through all this I got optimal solution which proofs that solving traveling salesman problem through graph partition scheme is good for this NP-Problem and through this we can solved this intractable problem within few minutes.Keywords: Graph Partitioning Scheme, Traveling Salesman Problem.

How does data quality in a network affect heuristic solutions?

To have good data quality with high complexity is often seen to be important. Intuition says that the higher accuracy and complexity the data have the better the analytic solutions becomes if it is possible to handle the increasing computing time. However, for most of the practical computational problems, high complexity data means that computational times become too long or that heuristics used to solve the problem have difficulties to reach good solutions. This is even further stressed when the size of the combinatorial problem increases. Consequently, we often need a simplified data to deal with complex combinatorial problems. In this study we stress the question of how the complexity and accuracy in a network affect the quality of the heuristic solutions for different sizes of the combinatorial problem. We evaluate this question by applying the commonly used p-median model, which is used to find optimal locations in a network of p supply points that serve n demand points. To evaluate this, we vary both the accuracy (the number of nodes) of the network and the size of the combinatorial problem (p). The investigation is conducted by the means of a case study in a region in Sweden with an asymmetrically distributed population (15,000 weighted demand points), Dalecarlia. To locate 5 to 50 supply points we use the national transport administrations official road network (NVDB). The road network consists of 1.5 million nodes. To find the optimal location we start with 500 candidate nodes in the network and increase the number of candidate nodes in steps up to 67,000 (which is aggregated from the 1.5 million nodes). To find the optimal solution we use a simulated annealing algorithm with adaptive tuning of the temperature. The results show that there is a limited improvement in the optimal solutions when the accuracy in the road network increase and the combinatorial problem (low p) is simple. When the combinatorial problem is complex (large p) the improvements of increasing the accuracy in the road network are much larger. The results also show that choice of the best accuracy of the network depends on the complexity of the combinatorial (varying p) problem.

Parameterization Of Turbulence Models Using 3DVAR Data Assimilation

In this research the 3DVAR data assimilation scheme is implemented in the numerical model DIVAST in order to optimize the performance of the numerical model by selecting an appropriate turbulence scheme and tuning its parameters. Two turbulence closure schemes: the Prandtl mixing length model and the two-equation k-ε model were incorporated into DIVAST and examined with respect to their universality of application, complexity of solutions, computational efficiency and numerical stability. A square harbour with one symmetrical entrance subject to tide-induced flows was selected to investigate the structure of turbulent flows. The experimental part of the research was conducted in a tidal basin. A significant advantage of such laboratory experiment is a fully controlled environment where domain setup and forcing are user-defined. The research shows that the Prandtl mixing length model and the two-equation k-ε model, with default parameterization predefined according to literature recommendations, overestimate eddy viscosity which in turn results in a significant underestimation of velocity magnitudes in the harbour. The data assimilation of the model-predicted velocity and laboratory observations significantly improves model predictions for both turbulence models by adjusting modelled flows in the harbour to match de-errored observations. 3DVAR allows also to identify and quantify shortcomings of the numerical model. Such comprehensive analysis gives an optimal solution based on which numerical model parameters can be estimated. The process of turbulence model optimization by reparameterization and tuning towards optimal state led to new constants that may be potentially applied to complex turbulent flows, such as rapidly developing flows or recirculating flows.

Graphical models and point set matching

Point pattern matching in Euclidean Spaces is one of the fundamental problems in Pattern Recognition, having applications ranging from Computer Vision to Computational Chemistry. Whenever two complex patterns are encoded by two sets of points identifying their key features, their comparison can be seen as a point pattern matching problem. This work proposes a single approach to both exact and inexact point set matching in Euclidean Spaces of arbitrary dimension. In the case of exact matching, it is assured to find an optimal solution. For inexact matching (when noise is involved), experimental results confirm the validity of the approach. We start by regarding point pattern matching as a weighted graph matching problem. We then formulate the weighted graph matching problem as one of Bayesian inference in a probabilistic graphical model. By exploiting the existence of fundamental constraints in patterns embedded in Euclidean Spaces, we prove that for exact point set matching a simple graphical model is equivalent to the full model. It is possible to show that exact probabilistic inference in this simple model has polynomial time complexity with respect to the number of elements in the patterns to be matched. This gives rise to a technique that for exact matching provably finds a global optimum in polynomial time for any dimensionality of the underlying Euclidean Space. Computational experiments comparing this technique with well-known probabilistic relaxation labeling show significant performance improvement for inexact matching. The proposed approach is significantly more robust under augmentation of the sizes of the involved patterns. In the absence of noise, the results are always perfect.

Contratos de performance sob risco e na ausência de incentivo

Este trabalho mostra que a solução ótima do contrato de remuneração do empregado não é de salário fixo quando sua utilidade reserva é uma função de um fator que pode variar. A remuneração ótima do empregado incluirá um bônus que será também uma função do mesmo fator que modifica sua utilidade reserva, mesmo que tal fator não dependa do seu esforço e que o agente seja avesso ao risco. Esse resultado contrasta com a teoria clássica segundo a qual só se deveria alocar risco ao funcionário quando tal contrato fosse necessário para prover os incentivos para um esforço maior do agente. Outra conclusão desse trabalho é que existe um limite para o tamanho do risco que o funcionário assume no contrato ótimo, ou seja, o valor do bônus é uma função crescente da diferença dos valores da utilidade reserva nos diferentes cenários possíveis até certo ponto apenas e a partir de determinado valor para essa diferença, a magnitude do bônus se mantém estável.

Money distribution with intermediation

This pap er analyzes the distribution of money holdings in a commo dity money search-based mo del with intermediation. Intro ducing heterogeneity of costs to the Kiyotaki e Wright ( 1989 ) mo del, Cavalcanti e Puzzello ( 2010) gives rise to a non-degenerated distribution of money. We extend further this mo del intro ducing intermediation in the trading pro cess. We show that the distribution of money matters for savings decisions. This gives rises to a xed p oint problem for the saving function that di cults nding the optimal solution. Through some examples, we show that this friction shrinks the distribution of money. In contrast to the Cavalcanti e Puzzello ( 2010 ) mo del, the optimal solution may not present the entire surplus going to the consumer. At the end of the pap er, we present a strong result, for a su cient large numb er of intermediaries the distribution of money is degenerated.

Metodologia estatística na solução do problema do caixeiro viajante e na avaliação de algoritmos : um estudo aplicado à transgenética computacional

The problems of combinatory optimization have involved a large number of researchers in search of approximative solutions for them, since it is generally accepted that they are unsolvable in polynomial time. Initially, these solutions were focused on heuristics. Currently, metaheuristics are used more for this task, especially those based on evolutionary algorithms. The two main contributions of this work are: the creation of what is called an -Operon- heuristic, for the construction of the information chains necessary for the implementation of transgenetic (evolutionary) algorithms, mainly using statistical methodology - the Cluster Analysis and the Principal Component Analysis; and the utilization of statistical analyses that are adequate for the evaluation of the performance of the algorithms that are developed to solve these problems. The aim of the Operon is to construct good quality dynamic information chains to promote an -intelligent- search in the space of solutions. The Traveling Salesman Problem (TSP) is intended for applications based on a transgenetic algorithmic known as ProtoG. A strategy is also proposed for the renovation of part of the chromosome population indicated by adopting a minimum limit in the coefficient of variation of the adequation function of the individuals, with calculations based on the population. Statistical methodology is used for the evaluation of the performance of four algorithms, as follows: the proposed ProtoG, two memetic algorithms and a Simulated Annealing algorithm. Three performance analyses of these algorithms are proposed. The first is accomplished through the Logistic Regression, based on the probability of finding an optimal solution for a TSP instance by the algorithm being tested. The second is accomplished through Survival Analysis, based on a probability of the time observed for its execution until an optimal solution is achieved. The third is accomplished by means of a non-parametric Analysis of Variance, considering the Percent Error of the Solution (PES) obtained by the percentage in which the solution found exceeds the best solution available in the literature. Six experiments have been conducted applied to sixty-one instances of Euclidean TSP with sizes of up to 1,655 cities. The first two experiments deal with the adjustments of four parameters used in the ProtoG algorithm in an attempt to improve its performance. The last four have been undertaken to evaluate the performance of the ProtoG in comparison to the three algorithms adopted. For these sixty-one instances, it has been concluded on the grounds of statistical tests that there is evidence that the ProtoG performs better than these three algorithms in fifty instances. In addition, for the thirty-six instances considered in the last three trials in which the performance of the algorithms was evaluated through PES, it was observed that the PES average obtained with the ProtoG was less than 1% in almost half of these instances, having reached the greatest average for one instance of 1,173 cities, with an PES average equal to 3.52%. Therefore, the ProtoG can be considered a competitive algorithm for solving the TSP, since it is not rare in the literature find PESs averages greater than 10% to be reported for instances of this size.