Computation of rare transitions in the barotropic quasi-geostrophic equations

We investigate the theoretical and numerical computation of rare transitions in simple geophysical turbulent models. We consider the barotropic quasi-geostrophic and two-dimensional Navier–Stokes equations in regimes where bistability between two coexisting large-scale attractors exist. By means of large deviations and instanton theory with the use of an Onsager–Machlup path integral formalism for the transition probability, we show how one can directly compute the most probable transition path between two coexisting attractors analytically in an equilibrium (Langevin) framework and numerically otherWe adapt a class of numerical optimization algorithms known as minimum action methods to simple geophysical turbulent models. We show that by numerically minimizing an appropriate action functional in a large deviation limit, one can predict the most likely transition path for a rare transition between two states. By considering examples where theoretical predictions can be made, we show that the minimum action method successfully predicts the most likely transition path. Finally, we discuss the application and extension of such numerical optimization schemes to the computation of rare transitions observed in direct numerical simulations and experiments and to other, more complex, turbulent systems.

Dynamic Programming Approaches for Estimating and Applying Large-scale Discrete Choice Models

People go through their life making all kinds of decisions, and some of these decisions affect their demand for transportation, for example, their choices of where to live and where to work, how and when to travel and which route to take. Transport related choices are typically time dependent and characterized by large number of alternatives that can be spatially correlated. This thesis deals with models that can be used to analyze and predict discrete choices in large-scale networks. The proposed models and methods are highly relevant for, but not limited to, transport applications. We model decisions as sequences of choices within the dynamic discrete choice framework, also known as parametric Markov decision processes. Such models are known to be difficult to estimate and to apply to make predictions because dynamic programming problems need to be solved in order to compute choice probabilities. In this thesis we show that it is possible to explore the network structure and the flexibility of dynamic programming so that the dynamic discrete choice modeling approach is not only useful to model time dependent choices, but also makes it easier to model large-scale static choices. The thesis consists of seven articles containing a number of models and methods for estimating, applying and testing large-scale discrete choice models. In the following we group the contributions under three themes: route choice modeling, large-scale multivariate extreme value (MEV) model estimation and nonlinear optimization algorithms. Five articles are related to route choice modeling. We propose different dynamic discrete choice models that allow paths to be correlated based on the MEV and mixed logit models. The resulting route choice models become expensive to estimate and we deal with this challenge by proposing innovative methods that allow to reduce the estimation cost. For example, we propose a decomposition method that not only opens up for possibility of mixing, but also speeds up the estimation for simple logit models, which has implications also for traffic simulation. Moreover, we compare the utility maximization and regret minimization decision rules, and we propose a misspecification test for logit-based route choice models. The second theme is related to the estimation of static discrete choice models with large choice sets. We establish that a class of MEV models can be reformulated as dynamic discrete choice models on the networks of correlation structures. These dynamic models can then be estimated quickly using dynamic programming techniques and an efficient nonlinear optimization algorithm. Finally, the third theme focuses on structured quasi-Newton techniques for estimating discrete choice models by maximum likelihood. We examine and adapt switching methods that can be easily integrated into usual optimization algorithms (line search and trust region) to accelerate the estimation process. The proposed dynamic discrete choice models and estimation methods can be used in various discrete choice applications. In the area of big data analytics, models that can deal with large choice sets and sequential choices are important. Our research can therefore be of interest in various demand analysis applications (predictive analytics) or can be integrated with optimization models (prescriptive analytics). Furthermore, our studies indicate the potential of dynamic programming techniques in this context, even for static models, which opens up a variety of future research directions.

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

A Generalized Fuzzy Linguistic Model for Predicting Component Concentrations in an Optical Gas Sensing System

Motivated by environmental protection concerns, monitoring the flue gas of thermal power plant is now often mandatory due to the need to ensure that emission levels stay within safe limits. Optical based gas sensing systems are increasingly employed for this purpose, with regression techniques used to relate gas optical absorption spectra to the concentrations of specific gas components of interest (NOx, SO2 etc.). Accurately predicting gas concentrations from absorption spectra remains a challenging problem due to the presence of nonlinearities in the relationships and the high-dimensional and correlated nature of the spectral data. This article proposes a generalized fuzzy linguistic model (GFLM) to address this challenge. The GFLM is made up of a series of “If-Then” fuzzy rules. The absorption spectra are input variables in the rule antecedent. The rule consequent is a general nonlinear polynomial function of the absorption spectra. Model parameters are estimated using least squares and gradient descent optimization algorithms. The performance of GFLM is compared with other traditional prediction models, such as partial least squares, support vector machines, multilayer perceptron neural networks and radial basis function networks, for two real flue gas spectral datasets: one from a coal-fired power plant and one from a gas-fired power plant. The experimental results show that the generalized fuzzy linguistic model has good predictive ability, and is competitive with alternative approaches, while having the added advantage of providing an interpretable model.

A generalized fuzzy linguistic model for predicting component concentrations in an optical gas sensing system

Motivated by environmental protection concerns, monitoring the flue gas of thermal power plant is now often mandatory due to the need to ensure that emission levels stay within safe limits. Optical based gas sensing systems are increasingly employed for this purpose, with regression techniques used to relate gas optical absorption spectra to the concentrations of specific gas components of interest (NO_x, SO₂ etc.). Accurately predicting gas concentrations from absorption spectra remains a challenging problem due to the presence of nonlinearities in the relationships and the high-dimensional and correlated nature of the spectral data. This article proposes a generalized fuzzy linguistic model (GFLM) to address this challenge. The GFLM is made up of a series of “If-Then” fuzzy rules. The absorption spectra are input variables in the rule antecedent. The rule consequent is a general nonlinear polynomial function of the absorption spectra. Model parameters are estimated using least squares and gradient descent optimization algorithms. The performance of GFLM is compared with other traditional prediction models, such as partial least squares, support vector machines, multilayer perceptron neural networks and radial basis function networks, for two real flue gas spectral datasets: one from a coal-fired power plant and one from a gas-fired power plant. The experimental results show that the generalized fuzzy linguistic model has good predictive ability, and is competitive with alternative approaches, while having the added advantage of providing an interpretable model.

The Plastic Coupled Map Lattice: a Novel Image‐processing Paradigm

Coupled map lattices (CML) can describe many relaxation and optimization algorithms currently used in image processing. We recently introduced the ‘‘plastic‐CML’’ as a paradigm to extract (segment) objects in an image. Here, the image is applied by a set of forces to a metal sheet which is allowed to undergo plastic deformation parallel to the applied forces. In this paper we present an analysis of our ‘‘plastic‐CML’’ in one and two dimensions, deriving the nature and stability of its stationary solutions. We also detail how to use the CML in image processing, how to set the system parameters and present examples of it at work. We conclude that the plastic‐CML is able to segment images with large amounts of noise and large dynamic range of pixel values, and is suitable for a very large scale integration(VLSI) implementation.

In silico metabolic modelling of Saccharomyces cerevisiae for the overproduction of succinate using OptKnock and OptGene

Succinate is a naturally occurring metabolite in organism’s cell and is industrially important chemical with various applications in food and pharmaceutical industry. It is also widely used to produce bio-degradable plastics, surfactants, detergents etc. In last decades, emphasis has been given to bio-based chemical production using industrial biotechnology route rather than fossil-based production considering sustainability and environment friendly economy. In this thesis I am presenting a computational model for silico metabolic engineering of Saccharomyces cerevisiae for large scale production of succinate. For metabolic modelling, I have used OptKnock and OptGene optimization algorithms to identify the reactions to delete from the genome-scale metabolic model of S. cerevisiae to overproduce succinate by coupling with organism’s growth. Both OptKnock and OptGene proposed numerous straightforward and non-intuitive deletion strategies when number of constraints including growth constraint to the model were applied. The most interesting strategy identified by both algorithms was deletion combination of pyruvate decarboxylase and Ubiquinol:ferricytochrome c reductase(respiratory enzyme) reactions thereby also suggesting anaerobic fermentation of the organism in glucose medium. Such strategy was never reported earlier for growth-coupled succinate production in S.cerevisiae.

Optimisation of digitally coded test vectors for mixed-signal components

International audience

Algoritmos de otimização e o problema inverso aplicados à identificação de danos estruturais com o uso do MEF

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Tecnologia, Departamento de Engenharia Civil e Ambiental, 2015.

Dynamic Programming Approaches for Estimating and Applying Large-scale Discrete Choice Models

People go through their life making all kinds of decisions, and some of these decisions affect their demand for transportation, for example, their choices of where to live and where to work, how and when to travel and which route to take. Transport related choices are typically time dependent and characterized by large number of alternatives that can be spatially correlated. This thesis deals with models that can be used to analyze and predict discrete choices in large-scale networks. The proposed models and methods are highly relevant for, but not limited to, transport applications. We model decisions as sequences of choices within the dynamic discrete choice framework, also known as parametric Markov decision processes. Such models are known to be difficult to estimate and to apply to make predictions because dynamic programming problems need to be solved in order to compute choice probabilities. In this thesis we show that it is possible to explore the network structure and the flexibility of dynamic programming so that the dynamic discrete choice modeling approach is not only useful to model time dependent choices, but also makes it easier to model large-scale static choices. The thesis consists of seven articles containing a number of models and methods for estimating, applying and testing large-scale discrete choice models. In the following we group the contributions under three themes: route choice modeling, large-scale multivariate extreme value (MEV) model estimation and nonlinear optimization algorithms. Five articles are related to route choice modeling. We propose different dynamic discrete choice models that allow paths to be correlated based on the MEV and mixed logit models. The resulting route choice models become expensive to estimate and we deal with this challenge by proposing innovative methods that allow to reduce the estimation cost. For example, we propose a decomposition method that not only opens up for possibility of mixing, but also speeds up the estimation for simple logit models, which has implications also for traffic simulation. Moreover, we compare the utility maximization and regret minimization decision rules, and we propose a misspecification test for logit-based route choice models. The second theme is related to the estimation of static discrete choice models with large choice sets. We establish that a class of MEV models can be reformulated as dynamic discrete choice models on the networks of correlation structures. These dynamic models can then be estimated quickly using dynamic programming techniques and an efficient nonlinear optimization algorithm. Finally, the third theme focuses on structured quasi-Newton techniques for estimating discrete choice models by maximum likelihood. We examine and adapt switching methods that can be easily integrated into usual optimization algorithms (line search and trust region) to accelerate the estimation process. The proposed dynamic discrete choice models and estimation methods can be used in various discrete choice applications. In the area of big data analytics, models that can deal with large choice sets and sequential choices are important. Our research can therefore be of interest in various demand analysis applications (predictive analytics) or can be integrated with optimization models (prescriptive analytics). Furthermore, our studies indicate the potential of dynamic programming techniques in this context, even for static models, which opens up a variety of future research directions.

UNDERSTANDING CUSTOMER CHOICES IN SERVICE OUTSOURCING AND REVENUE MANAGEMENT

This dissertation investigates customer behavior modeling in service outsourcing and revenue management in the service sector (i.e., airline and hotel industries). In particular, it focuses on a common theme of improving firms’ strategic decisions through the understanding of customer preferences. Decisions concerning degrees of outsourcing, such as firms’ capacity choices, are important to performance outcomes. These choices are especially important in high-customer-contact services (e.g., airline industry) because of the characteristics of services: simultaneity of consumption and production, and intangibility and perishability of the offering. Essay 1 estimates how outsourcing affects customer choices and market share in the airline industry, and consequently the revenue implications from outsourcing. However, outsourcing decisions are typically endogenous. A firm may choose whether to outsource or not based on what a firm expects to be the best outcome. Essay 2 contributes to the literature by proposing a structural model which could capture a firm’s profit-maximizing decision-making behavior in a market. This makes possible the prediction of consequences (i.e., performance outcomes) of future strategic moves. Another emerging area in service operations management is revenue management. Choice-based revenue systems incorporate discrete choice models into traditional revenue management algorithms. To successfully implement a choice-based revenue system, it is necessary to estimate customer preferences as a valid input to optimization algorithms. The third essay investigates how to estimate customer preferences when part of the market is consistently unobserved. This issue is especially prominent in choice-based revenue management systems. Normally a firm only has its own observed purchases, while those customers who purchase from competitors or do not make purchases are unobserved. Most current estimation procedures depend on unrealistic assumptions about customer arriving. This study proposes a new estimation methodology, which does not require any prior knowledge about the customer arrival process and allows for arbitrary demand distributions. Compared with previous methods, this model performs superior when the true demand is highly variable.

Distance and overcurrent relay coordination considering non standardized inverse time curves

Protective relaying comprehends several procedures and techniques focused on maintaining the power system working safely during and after undesired and abnormal network conditions, mostly caused by faulty events. Overcurrent relay is one of the oldest protective relays, its operation principle is straightforward: when the measured current is greater than a specified magnitude the protection trips; less variables are required from the system in comparison with other protections, causing the overcurrent relay to be the simplest and also the most difficult protection to coordinate; its simplicity is reflected in low implementation, operation, and maintenance cost. The counterpart consists in the increased tripping times offered by this kind of relays mostly before faults located far from their location; this problem can be particularly accentuated when standardized inverse-time curves are used or when only maximum faults are considered to carry out relay coordination. These limitations have caused overcurrent relay to be slowly relegated and replaced by more sophisticated protection principles, it is still widely applied in subtransmission, distribution, and industrial systems. In this work, the use of non standardized inverse-time curves, the model and implementation of optimization algorithms capable to carry out the coordination process, the use of different levels of short circuit currents, and the inclusion of distance relays to replace insensitive overcurrent ones are proposed methodologies focused on the overcurrent relay performance improvement. These techniques may transform the typical overcurrent relay into a more sophisticated one without changing its fundamental principles and advantages. Consequently a more secure and still economical alternative can be obtained, increasing its implementation area

Robustness in facility location

Facility location concerns the placement of facilities, for various objectives, by use of mathematical models and solution procedures. Almost all facility location models that can be found in literature are based on minimizing costs or maximizing cover, to cover as much demand as possible. These models are quite efficient for finding an optimal location for a new facility for a particular data set, which is considered to be constant and known in advance. In a real world situation, input data like demand and travelling costs are not fixed, nor known in advance. This uncertainty and uncontrollability can lead to unacceptable losses or even bankruptcy. A way of dealing with these factors is robustness modelling. A robust facility location model aims to locate a facility that stays within predefined limits for all expectable circumstances as good as possible. The deviation robustness concept is used as basis to develop a new competitive deviation robustness model. The competition is modelled with a Huff based model, which calculates the market share of the new facility. Robustness in this model is defined as the ability of a facility location to capture a minimum market share, despite variations in demand. A test case is developed by which algorithms can be tested on their ability to solve robust facility location models. Four stochastic optimization algorithms are considered from which Simulated Annealing turned out to be the most appropriate. The test case is slightly modified for a competitive market situation. With the Simulated Annealing algorithm, the developed competitive deviation model is solved, for three considered norms of deviation. At the end, also a grid search is performed to illustrate the landscape of the objective function of the competitive deviation model. The model appears to be multimodal and seems to be challenging for further research.

DATA DRIVEN INTELLIGENT AGENT NETWORKS FOR ADAPTIVE MONITORING AND CONTROL

To analyze the characteristics and predict the dynamic behaviors of complex systems over time, comprehensive research to enable the development of systems that can intelligently adapt to the evolving conditions and infer new knowledge with algorithms that are not predesigned is crucially needed. This dissertation research studies the integration of the techniques and methodologies resulted from the fields of pattern recognition, intelligent agents, artificial immune systems, and distributed computing platforms, to create technologies that can more accurately describe and control the dynamics of real-world complex systems. The need for such technologies is emerging in manufacturing, transportation, hazard mitigation, weather and climate prediction, homeland security, and emergency response. Motivated by the ability of mobile agents to dynamically incorporate additional computational and control algorithms into executing applications, mobile agent technology is employed in this research for the adaptive sensing and monitoring in a wireless sensor network. Mobile agents are software components that can travel from one computing platform to another in a network and carry programs and data states that are needed for performing the assigned tasks. To support the generation, migration, communication, and management of mobile monitoring agents, an embeddable mobile agent system (Mobile-C) is integrated with sensor nodes. Mobile monitoring agents visit distributed sensor nodes, read real-time sensor data, and perform anomaly detection using the equipped pattern recognition algorithms. The optimal control of agents is achieved by mimicking the adaptive immune response and the application of multi-objective optimization algorithms. The mobile agent approach provides potential to reduce the communication load and energy consumption in monitoring networks. The major research work of this dissertation project includes: (1) studying effective feature extraction methods for time series measurement data; (2) investigating the impact of the feature extraction methods and dissimilarity measures on the performance of pattern recognition; (3) researching the effects of environmental factors on the performance of pattern recognition; (4) integrating an embeddable mobile agent system with wireless sensor nodes; (5) optimizing agent generation and distribution using artificial immune system concept and multi-objective algorithms; (6) applying mobile agent technology and pattern recognition algorithms for adaptive structural health monitoring and driving cycle pattern recognition; (7) developing a web-based monitoring network to enable the visualization and analysis of real-time sensor data remotely. Techniques and algorithms developed in this dissertation project will contribute to research advances in networked distributed systems operating under changing environments.

Wireless Sensor Network Deployment

Wireless Sensor Networks (WSNs) are widely used for various civilian and military applications, and thus have attracted significant interest in recent years. This work investigates the important problem of optimal deployment of WSNs in terms of coverage and energy consumption. Five deployment algorithms are developed for maximal sensing range and minimal energy consumption in order to provide optimal sensing coverage and maximum lifetime. Also, all developed algorithms include self-healing capabilities in order to restore the operation of WSNs after a number of nodes have become inoperative. Two centralized optimization algorithms are developed, one based on Genetic Algorithms (GAs) and one based on Particle Swarm Optimization (PSO). Both optimization algorithms use powerful central nodes to calculate and obtain the global optimum outcomes. The GA is used to determine the optimal tradeoff between network coverage and overall distance travelled by fixed range sensors. The PSO algorithm is used to ensure 100% network coverage and minimize the energy consumed by mobile and range-adjustable sensors. Up to 30% - 90% energy savings can be provided in different scenarios by using the developed optimization algorithms thereby extending the lifetime of the sensor by 1.4 to 10 times. Three distributed optimization algorithms are also developed to relocate the sensors and optimize the coverage of networks with more stringent design and cost constraints. Each algorithm is cooperatively executed by all sensors to achieve better coverage. Two of our algorithms use the relative positions between sensors to optimize the coverage and energy savings. They provide 20% to 25% more energy savings than existing solutions. Our third algorithm is developed for networks without self-localization capabilities and supports the optimal deployment of such networks without requiring the use of expensive geolocation hardware or energy consuming localization algorithms. This is important for indoor monitoring applications since current localization algorithms cannot provide good accuracy for sensor relocation algorithms in such indoor environments. Also, no sensor redeployment algorithms, which can operate without self-localization systems, developed before our work.