A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks

We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S&P 500 futures options data from 1987 to 1991.

Optimal piecewise locally linear modeling

Associative memory networks such as Radial Basis Functions, Neurofuzzy and Fuzzy Logic used for modelling nonlinear processes suffer from the curse of dimensionality (COD), in that as the input dimension increases the parameterization, computation cost, training data requirements, etc. increase exponentially. Here a new algorithm is introduced for the construction of a Delaunay input space partitioned optimal piecewise locally linear models to overcome the COD as well as generate locally linear models directly amenable to linear control and estimation algorithms. The training of the model is configured as a new mixture of experts network with a new fast decision rule derived using convex set theory. A very fast simulated reannealing (VFSR) algorithm is utilized to search a global optimal solution of the Delaunay input space partition. A benchmark non-linear time series is used to demonstrate the new approach.

Técnicas de avaliação da confiabilidade em estruturas de concreto armado

Neste trabalho é dado ênfase à inclusão das incertezas na avaliação do comportamento estrutural, objetivando uma melhor representação das características do sistema e uma quantificação do significado destas incertezas no projeto. São feitas comparações entre as técnicas clássicas existentes de análise de confiabilidade, tais como FORM, Simulação Direta Monte Carlo (MC) e Simulação Monte Carlo com Amostragem por Importância Adaptativa (MCIS), e os métodos aproximados da Superfície de Resposta( RS) e de Redes Neurais Artificiais(ANN). Quando possível, as comparações são feitas salientando- se as vantagens e inconvenientes do uso de uma ou de outra técnica em problemas com complexidades crescentes. São analisadas desde formulações com funções de estado limite explícitas até formulações implícitas com variabilidade espacial de carregamento e propriedades dos materiais, incluindo campos estocásticos. É tratado, em especial, o problema da análise da confiabilidade de estruturas de concreto armado incluindo o efeito da variabilidade espacial de suas propriedades. Para tanto é proposto um modelo de elementos finitos para a representação do concreto armado que incorpora as principais características observadas neste material. Também foi desenvolvido um modelo para a geração de campos estocásticos multidimensionais não Gaussianos para as propriedades do material e que é independente da malha de elementos finitos, assim como implementadas técnicas para aceleração das avaliações estruturais presentes em qualquer das técnicas empregadas. Para o tratamento da confiabilidade através da técnica da Superfície de Resposta, o algoritmo desenvolvido por Rajashekhar et al(1993) foi implementado. Já para o tratamento através de Redes Neurais Artificias, foram desenvolvidos alguns códigos para a simulação de redes percéptron multicamada e redes com função de base radial e então implementados no algoritmo de avaliação de confiabilidade desenvolvido por Shao et al(1997). Em geral, observou-se que as técnicas de simulação tem desempenho bastante baixo em problemas mais complexos, sobressaindo-se a técnica de primeira ordem FORM e as técnicas aproximadas da Superfície de Resposta e de Redes Neurais Artificiais, embora com precisão prejudicada devido às aproximações presentes.

Sistema inteligente para determinação das direções de chegada de múltiplos sinais em arranjos de antenas

This dissertation presents a new proposal for the Direction of Arrival (DOA) detection problem for more than one signal inciding simultaneously on an antennas array with linear or planar geometry by using intelligent algorithms. The DOA estimator is developed by using techniques of Conventional Beam-forming (CBF), Blind Source Separation (BSS), and the neural estimator MRBF (Modular Structure of Radial Basis Functions). The developed MRBF estimator has its capacity extended due to the interaction with the BSS technique. The BSS makes an estimation of the steering vectors of the multiple plane waves that reach the array in the same frequency, that means, obtains to separate mixed signals without information a priori. The technique developed in this work makes possible to identify the multiple sources directions and to identify and to exclude interference sources

Controle inteligente de sistemas eletroidráulicos utilizando redes neurais artificiais

This work describes the development of a nonlinear control strategy for an electro-hydraulic actuated system. The system to be controlled is represented by a third order ordinary differential equation subject to a dead-zone input. The control strategy is based on a nonlinear control scheme, combined with an artificial intelligence algorithm, namely, the method of feedback linearization and an artificial neural network. It is shown that, when such a hard nonlinearity and modeling inaccuracies are considered, the nonlinear technique alone is not enough to ensure a good performance of the controller. Therefore, a compensation strategy based on artificial neural networks, which have been notoriously used in systems that require the simulation of the process of human inference, is used. The multilayer perceptron network and the radial basis functions network as well are adopted and mathematically implemented within the control law. On this basis, the compensation ability considering both networks is compared. Furthermore, the application of new intelligent control strategies for nonlinear and uncertain mechanical systems are proposed, showing that the combination of a nonlinear control methodology and artificial neural networks improves the overall control system performance. Numerical results are presented to demonstrate the efficacy of the proposed control system

Determination of resonant frequencies of triangular and rectangular microstrip antennas, using artificial neural networks

This paper presents models that can be used in the design of microstrip antennas for mobile communications. The antennas can be triangular or rectangular. The presented models are compared with deterministic and empirical models based on artificial neural networks (ANN) presented in the literature. The models are based on Perceptron Multilayer (PML) and Radial Basis Function (RBF) ANN. RBF based models presented the best results. Also, the models can be embedded in CAD systems, in order to design microstrip antennas for mobile communications.

RBF circuits based on folded cascode differential pairs

We propose new circuits for the implementation of Radial Basis Functions such as Gaussian and Gaussian-like functions. These RBFs are obtained by the subtraction of two differential pair output currents in a folded cascode configuration. We also propose a multidimensional version based on the unidimensional circuits. SPICE simulation results indicate good functionality. These circuits are intended to be applied in the implementation of radial basis function networks. One possible application of these networks is transducer signal conditioning in aircraft and spacecraft vehicles onboard telemetry systems. Copyright 2008 ACM.

Weight vector estimation of circular arrays of antennas using Artificial Neural Networks

This paper presents a model for the control of the radiation pattern of a circular array of antennas, shaping it to address the radiation beam in the direction of the user, in order to reduce the transmitted power and to attenuate interference. The control of the array is based on Artificial Neural Networks (ANN) of the type RBF (Radial Basis Functions), trained from samples generated by the Wiener equation. The obtained results suggest that the objective was reached.

Fast automatic microstructural segmentation of ferrous alloy samples using optimum-path forest

In this work we propose a novel automatic cast iron segmentation approach based on the Optimum-Path Forest classifier (OPF). Microscopic images from nodular, gray and malleable cast irons are segmented using OPF, and Support Vector Machines (SVM) with Radial Basis Function and SVM without kernel mapping. Results show accurate and fast segmented images, in which OPF outperformed SVMs. Our work is the first into applying OPF for automatic cast iron segmentation. © 2010 Springer-Verlag.

Traffic flow breakdown prediction using feature reduction through Rough-Neuro fuzzy Networks

The prediction of the traffic behavior could help to make decision about the routing process, as well as enables gains on effectiveness and productivity on the physical distribution. This need motivated the search for technological improvements in the Routing performance in metropolitan areas. The purpose of this paper is to present computational evidences that Artificial Neural Network ANN could be use to predict the traffic behavior in a metropolitan area such So Paulo (around 16 million inhabitants). The proposed methodology involves the application of Rough-Fuzzy Sets to define inference morphology for insertion of the behavior of Dynamic Routing into a structured rule basis, without human expert aid. The dynamics of the traffic parameters are described through membership functions. Rough Sets Theory identifies the attributes that are important, and suggest Fuzzy relations to be inserted on a Rough Neuro Fuzzy Network (RNFN) type Multilayer Perceptron (MLP) and type Radial Basis Function (RBF), in order to get an optimal surface response. To measure the performance of the proposed RNFN, the responses of the unreduced rule basis are compared with the reduced rule one. The results show that by making use of the Feature Reduction through RNFN, it is possible to reduce the need for human expert in the construction of the Fuzzy inference mechanism in such flow process like traffic breakdown. © 2011 IEEE.

Automatic landslide recognition through Optimum-Path Forest

In this paper we shed light over the problem of landslide automatic recognition using supervised classification, and we also introduced the OPF classifier in this context. We employed two images acquired from Geoeye-MS satellite at March-2010 in the northwest (high steep areas) and north sides (pipeline area) covering the area of Duque de Caxias city, Rio de Janeiro State, Brazil. The landslide recognition rate has been assessed through a cross-validation with 10 runnings. In regard to the classifiers, we have used OPF against SVM with Radial Basis Function for kernel mapping and a Bayesian classifier. We can conclude that OPF, Bayes and SVM achieved high recognition rates, being OPF the fastest approach. © 2012 IEEE.

Sistema inteligente para previsão de carga multinodal em sistemas elétricos de potência

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Raum-zeitliche Analyse der Klimavariabilität anhand von hochaufgelösten interpolierten Klimakarten am Beispiel von Europa (Region VI der Weltorganisation für Meteorologie)

Klimamontoring benötigt eine operative, raum-zeitliche Analyse der Klimavariabilität. Mit dieser Zielsetzung, funktionsbereite Karten regelmäßig zu erstellen, ist es hilfreich auf einen Blick, die räumliche Variabilität der Klimaelemente in der zeitlichen Veränderungen darzustellen. Für aktuelle und kürzlich vergangene Jahre entwickelte der Deutsche Wetterdienst ein Standardverfahren zur Erstellung solcher Karten. Die Methode zur Erstellung solcher Karten variiert für die verschiedenen Klimaelemente bedingt durch die Datengrundlage, die natürliche Variabilität und der Verfügbarkeit der in-situ Daten.rnIm Rahmen der Analyse der raum-zeitlichen Variabilität innerhalb dieser Dissertation werden verschiedene Interpolationsverfahren auf die Mitteltemperatur der fünf Dekaden der Jahre 1951-2000 für ein relativ großes Gebiet, der Region VI der Weltorganisation für Meteorologie (Europa und Naher Osten) angewendet. Die Region deckt ein relativ heterogenes Arbeitsgebiet von Grönland im Nordwesten bis Syrien im Südosten hinsichtlich der Klimatologie ab.rnDas zentrale Ziel der Dissertation ist eine Methode zur räumlichen Interpolation der mittleren Dekadentemperaturwerte für die Region VI zu entwickeln. Diese Methode soll in Zukunft für die operative monatliche Klimakartenerstellung geeignet sein. Diese einheitliche Methode soll auf andere Klimaelemente übertragbar und mit der entsprechenden Software überall anwendbar sein. Zwei zentrale Datenbanken werden im Rahmen dieser Dissertation verwendet: So genannte CLIMAT-Daten über dem Land und Schiffsdaten über dem Meer.rnIm Grunde wird die Übertragung der Punktwerte der Temperatur per räumlicher Interpolation auf die Fläche in drei Schritten vollzogen. Der erste Schritt beinhaltet eine multiple Regression zur Reduktion der Stationswerte mit den vier Einflussgrößen der Geographischen Breite, der Höhe über Normalnull, der Jahrestemperaturamplitude und der thermischen Kontinentalität auf ein einheitliches Niveau. Im zweiten Schritt werden die reduzierten Temperaturwerte, so genannte Residuen, mit der Interpolationsmethode der Radialen Basis Funktionen aus der Gruppe der Neuronalen Netzwerk Modelle (NNM) interpoliert. Im letzten Schritt werden die interpolierten Temperaturraster mit der Umkehrung der multiplen Regression aus Schritt eins mit Hilfe der vier Einflussgrößen auf ihr ursprüngliches Niveau hochgerechnet.rnFür alle Stationswerte wird die Differenz zwischen geschätzten Wert aus der Interpolation und dem wahren gemessenen Wert berechnet und durch die geostatistische Kenngröße des Root Mean Square Errors (RMSE) wiedergegeben. Der zentrale Vorteil ist die wertegetreue Wiedergabe, die fehlende Generalisierung und die Vermeidung von Interpolationsinseln. Das entwickelte Verfahren ist auf andere Klimaelemente wie Niederschlag, Schneedeckenhöhe oder Sonnenscheindauer übertragbar.

Optical systems design using the SMS method and optimizations

Resumen El diseño de sistemas ópticos, entendido como un arte por algunos, como una ciencia por otros, se ha realizado durante siglos. Desde los egipcios hasta nuestros días los sistemas de formación de imagen han ido evolucionando así como las técnicas de diseño asociadas. Sin embargo ha sido en los últimos 50 años cuando las técnicas de diseño han experimentado su mayor desarrollo y evolución, debido, en parte, a la aparición de nuevas técnicas de fabricación y al desarrollo de ordenadores cada vez más potentes que han permitido el cálculo y análisis del trazado de rayos a través de los sistemas ópticos de forma rápida y eficiente. Esto ha propiciado que el diseño de sistemas ópticos evolucione desde los diseños desarrollados únicamente a partir de la óptica paraxial hasta lo modernos diseños realizados mediante la utilización de diferentes técnicas de optimización multiparamétrica. El principal problema con el que se encuentra el diseñador es que las diferentes técnicas de optimización necesitan partir de un diseño inicial el cual puede fijar las posibles soluciones. Dicho de otra forma, si el punto de inicio está lejos del mínimo global, o diseño óptimo para las condiciones establecidas, el diseño final puede ser un mínimo local cerca del punto de inicio y lejos del mínimo global. Este tipo de problemática ha llevado al desarrollo de sistemas globales de optimización que cada vez sean menos sensibles al punto de inicio de la optimización. Aunque si bien es cierto que es posible obtener buenos diseños a partir de este tipo de técnicas, se requiere de muchos intentos hasta llegar a la solución deseada, habiendo un entorno de incertidumbre durante todo el proceso, puesto que no está asegurado el que se llegue a la solución óptima. El método de las Superficies Múltiples Simultaneas (SMS), que nació como una herramienta de cálculo de concentradores anidólicos, se ha demostrado como una herramienta también capaz utilizarse para el diseño de sistemas ópticos formadores de imagen, aunque hasta la fecha se ha utilizado para el diseño puntual de sistemas de formación de imagen. Esta tesis tiene por objeto presentar el SMS como un método que puede ser utilizado de forma general para el diseño de cualquier sistema óptico de focal fija o v afocal con un aumento definido así como una herramienta que puede industrializarse para ayudar al diseñador a afrontar de forma sencilla el diseño de sistemas ópticos complejos. Esta tesis está estructurada en cinco capítulos: El capítulo 1, es un capítulo de fundamentos donde se presentan los conceptos fundamentales necesarios para que el lector, aunque no posea una gran base en óptica formadora de imagen, pueda entender los planteamientos y resultados que se presentan en el resto de capítulos El capitulo 2 aborda el problema de la optimización de sistemas ópticos, donde se presenta el método SMS como una herramienta idónea para obtener un punto de partida para el proceso de optimización. Mediante un ejemplo aplicado se demuestra la importancia del punto de partida utilizado en la solución final encontrada. Además en este capítulo se presentan diferentes técnicas que permiten la interpolación y optimización de las superficies obtenidas a partir de la aplicación del SMS. Aunque en esta tesis se trabajará únicamente utilizando el SMS2D, se presenta además un método para la interpolación y optimización de las nubes de puntos obtenidas a partir del SMS3D basado en funciones de base radial (RBF). En el capítulo 3 se presenta el diseño, fabricación y medidas de un objetivo catadióptrico panorámico diseñado para trabajar en la banda del infrarrojo lejano (8-12 μm) para aplicaciones de vigilancia perimetral. El objetivo presentado se diseña utilizando el método SMS para tres frentes de onda de entrada utilizando cuatro superficies. La potencia del método de diseño utilizado se hace evidente en la sencillez con la que este complejo sistema se diseña. Las imágenes presentadas demuestran cómo el prototipo desarrollado cumple a la perfección su propósito. El capítulo 4 aborda el problema del diseño de sistemas ópticos ultra compactos, se introduce el concepto de sistemas multicanal, como aquellos sistemas ópticos compuestos por una serie de canales que trabajan en paralelo. Este tipo de sistemas resultan particularmente idóneos para él diseño de sistemas afocales. Se presentan estrategias de diseño para sistemas multicanal tanto monocromáticos como policromáticos. Utilizando la novedosa técnica de diseño que en este capítulo se presenta el diseño de un telescopio de seis aumentos y medio. En el capítulo 5 se presenta una generalización del método SMS para rayos meridianos. En este capítulo se presenta el algoritmo que debe utilizarse para el diseño de cualquier sistema óptico de focal fija. La denominada optimización fase 1 se vi introduce en el algoritmo presentado de forma que mediante el cambio de las condiciones iníciales del diseño SMS que, aunque el diseño se realice para rayos meridianos, los rayos skew tengan un comportamiento similar. Para probar la potencia del algoritmo desarrollado se presenta un conjunto de diseños con diferente número de superficies. La estabilidad y potencia del algoritmo se hace evidente al conseguirse por primera vez el diseño de un sistema de seis superficies diseñado por SMS. vii Abstract The design of optical systems, considered an art by some and a science by others, has been developed for centuries. Imaging optical systems have been evolving since Ancient Egyptian times, as have design techniques. Nevertheless, the most important developments in design techniques have taken place over the past 50 years, in part due to the advances in manufacturing techniques and the development of increasingly powerful computers, which have enabled the fast and efficient calculation and analysis of ray tracing through optical systems. This has led to the design of optical systems evolving from designs developed solely from paraxial optics to modern designs created by using different multiparametric optimization techniques. The main problem the designer faces is that the different optimization techniques require an initial design which can set possible solutions as a starting point. In other words, if the starting point is far from the global minimum or optimal design for the set conditions, the final design may be a local minimum close to the starting point and far from the global minimum. This type of problem has led to the development of global optimization systems which are increasingly less sensitive to the starting point of the optimization process. Even though it is possible to obtain good designs from these types of techniques, many attempts are necessary to reach the desired solution. This is because of the uncertain environment due to the fact that there is no guarantee that the optimal solution will be obtained. The Simultaneous Multiple Surfaces (SMS) method, designed as a tool to calculate anidolic concentrators, has also proved useful for the design of image-forming optical systems, although until now it has occasionally been used for the design of imaging systems. This thesis aims to present the SMS method as a technique that can be used in general for the design of any optical system, whether with a fixed focal or an afocal with a defined magnification, and also as a tool that can be commercialized to help designers in the design of complex optical systems. The thesis is divided into five chapters. Chapter 1 establishes the basics by presenting the fundamental concepts which the reader needs to acquire, even if he/she doesn‟t have extensive knowledge in the field viii of image-forming optics, in order to understand the steps taken and the results obtained in the following chapters. Chapter 2 addresses the problem of optimizing optical systems. Here the SMS method is presented as an ideal tool to obtain a starting point for the optimization process. The importance of the starting point for the final solution is demonstrated through an example. Additionally, this chapter introduces various techniques for the interpolation and optimization of the surfaces obtained through the application of the SMS method. Even though in this thesis only the SMS2D method is used, we present a method for the interpolation and optimization of clouds of points obtained though the SMS3D method, based on radial basis functions (RBF). Chapter 3 presents the design, manufacturing and measurement processes of a catadioptric panoramic lens designed to work in the Long Wavelength Infrared (LWIR) (8-12 microns) for perimeter surveillance applications. The lens presented is designed by using the SMS method for three input wavefronts using four surfaces. The powerfulness of the design method used is revealed through the ease with which this complex system is designed. The images presented show how the prototype perfectly fulfills its purpose. Chapter 4 addresses the problem of designing ultra-compact optical systems. The concept of multi-channel systems, such as optical systems composed of a series of channels that work in parallel, is introduced. Such systems are especially suitable for the design of afocal systems. We present design strategies for multichannel systems, both monochromatic and polychromatic. A telescope designed with a magnification of six-and-a-half through the innovative technique exposed in this chapter is presented. Chapter 5 presents a generalization of the SMS method for meridian rays. The algorithm to be used for the design of any fixed focal optics is revealed. The optimization known as phase 1 optimization is inserted into the algorithm so that, by changing the initial conditions of the SMS design, the skew rays have a similar behavior, despite the design being carried out for meridian rays. To test the power of the developed algorithm, a set of designs with a different number of surfaces is presented. The stability and strength of the algorithm become apparent when the first design of a system with six surfaces if obtained through the SMS method.