Search results for: gaussian%20mixture%20model%20%28GMM%29

Authors: Petr Gurný

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One of the most important tasks in the risk management is the correct determination of probability of default (PD) of particular financial subjects. In this paper a possibility of determination of financial institution’s PD according to the credit-scoring models is discussed. The paper is divided into the two parts. The first part is devoted to the estimation of the three different models (based on the linear discriminant analysis, logit regression and probit regression) from the sample of almost three hundred US commercial banks. Afterwards these models are compared and verified on the control sample with the view to choose the best one. The second part of the paper is aimed at the application of the chosen model on the portfolio of three key Czech banks to estimate their present financial stability. However, it is not less important to be able to estimate the evolution of PD in the future. For this reason, the second task in this paper is to estimate the probability distribution of the future PD for the Czech banks. So, there are sampled randomly the values of particular indicators and estimated the PDs’ distribution, while it’s assumed that the indicators are distributed according to the multidimensional subordinated Lévy model (Variance Gamma model and Normal Inverse Gaussian model, particularly). Although the obtained results show that all banks are relatively healthy, there is still high chance that “a financial crisis” will occur, at least in terms of probability. This is indicated by estimation of the various quantiles in the estimated distributions. Finally, it should be noted that the applicability of the estimated model (with respect to the used data) is limited to the recessionary phase of the financial market.

Keywords: credit-scoring models, multidimensional subordinated Lévy model, probability of default

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Authors: Ömer Tamer, Davut Avcı, Yusuf Atalay

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Novel picolinate complex of manganese(II) ion, [Mn(pic)2] [pic: picolinate or 2-pyridinecarboxylate], was prepared and fully characterized by single crystal X-ray structure determination. The manganese(II) complex was characterized by FT-IR, FT-Raman and UV–Vis spectroscopic techniques. The C=O, C=N and C=C stretching vibrations were found to be strong and simultaneously active in IR and spectra. In order to support these experimental techniques, density functional theory (DFT) calculations were performed at Gaussian 09W. Although the supramolecular interactions have some influences on the molecular geometry in solid state phase, the calculated data show that the predicted geometries can reproduce the structural parameters. The molecular modeling and calculations of IR, Raman and UV-vis spectra were performed by using DFT levels. Nonlinear optical (NLO) properties of synthesized complex were evaluated by the determining of dipole moment (µ), polarizability (α) and hyperpolarizability (β). Obtained results demonstrated that the manganese(II) complex is a good candidate for NLO material. Stability of the molecule arising from hyperconjugative interactions and charge delocalization was analyzed using natural bond orbital (NBO) analysis. The highest occupied and the lowest unoccupied molecular orbitals (HOMO and LUMO) which is also known the frontier molecular orbitals were simulated, and obtained energy gap confirmed that charge transfer occurs within manganese(II) complex. Molecular electrostatic potential (MEP) for synthesized manganese(II) complex displays the electrophilic and nucleophilic regions. From MEP, the the most negative region is located over carboxyl O atoms while positive region is located over H atoms.

Keywords: DFT, picolinate, IR, Raman, nonlinear optic

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Authors: Mostafa Aminzadeh, Min Deng

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Modeling loss data is an important part of actuarial science. Actuaries use models to predict future losses and manage financial risk, which can be beneficial for marketing purposes. In the insurance industry, small claims happen frequently while large claims are rare. Traditional distributions such as Normal, Exponential, and inverse-Gaussian are not suitable for describing insurance data, which often show skewness and fat tails. Several authors have studied classical and Bayesian inference for parameters of composite distributions, such as Exponential-Pareto, Weibull-Pareto, and Inverse Gamma-Pareto. These models separate small to moderate losses from large losses using a threshold parameter. This research introduces a computational approach using a nonlinear regression model for loss data that relies on multiple predictors. Simulation studies were conducted to assess the accuracy of the proposed estimation method. The simulations confirmed that the proposed method provides precise estimates for regression parameters. It's important to note that this approach can be applied to datasets if goodness-of-fit tests confirm that the composite distribution under study fits the data well. To demonstrate the computations, a real data set from the insurance industry is analyzed. A Mathematica code uses the Fisher information algorithm as an iteration method to obtain the maximum likelihood estimation (MLE) of regression parameters.

Keywords: maximum likelihood estimation, fisher scoring method, non-linear regression models, composite distributions

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Authors: Mohd A. Azizan, Mohd Z. Zali

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It is well established that exposure to vibration has an adverse effect on human health, comfort, and performance. However, there is little quantitative knowledge on performance combined with drowsiness level during vibration exposure. This paper reports a study investigating the influence of vibration amplitude on seated occupant reaction time and drowsiness level. Eighteen male volunteers were recruited for this experiment. Before commencing the experiment, total transmitted acceleration measured at interfaces between the seat pan and seatback to human body was adjusted to become 0.2 ms-2 r.m.s and 0.4 ms-2 r.m.s for each volunteer. Seated volunteers were exposed to Gaussian random vibration with frequency band 1-15 Hz at two level of amplitude (low vibration amplitude and medium vibration amplitude) for 20-minutes in separate days. For the purpose of drowsiness measurement, volunteers were asked to complete 10-minutes PVT test before and after vibration exposure and rate their subjective drowsiness by giving score using Karolinska Sleepiness Scale (KSS) before vibration, every 5-minutes interval and following 20-minutes of vibration exposure. Strong evidence of drowsiness was found as there was a significant increase in reaction time and number of lapse following exposure to vibration in both conditions. However, the effect is more apparent in medium vibration amplitude. A steady increase of drowsiness level can also be observed in KSS in all volunteers. However, no significant differences were found in KSS between low vibration amplitude and medium vibration amplitude. It is concluded that exposure to vibration has an adverse effect on human alertness level and more pronounced at higher vibration amplitude. Taken together, these findings suggest a role of vibration in promoting drowsiness, especially at higher vibration amplitude.

Keywords: drowsiness, human vibration, karolinska sleepiness scale, psychomotor vigilance test

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Authors: Zoubida Mahi

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A successful satellite mission in space requires a reliable attitude and orbit control system to command, control and position the satellite in appropriate orbits. Several sensors are used for attitude control, such as magnetic sensors, earth sensors, horizon sensors, gyroscopes, and solar sensors. The star tracker is the most accurate sensor compared to other sensors, and it is able to offer high-accuracy attitude control without the need for prior attitude information. There are mainly three approaches in star sensor research: digital simulation, hardware in the loop simulation, and field test of star observation. In the digital simulation approach, all of the processes are done in software, including star image simulation. Hence, it is necessary to develop star image simulation software that could simulate real space environments and various star sensor configurations. In this paper, we present a new stellar image simulation tool that is used to test and validate the stellar sensor algorithms; the developed tool allows to simulate of stellar images with several types of noise, such as background noise, gaussian noise, Poisson noise, multiplicative noise, and several scenarios that exist in space such as the presence of the moon, the presence of optical system problem, illumination and false objects. On the other hand, we present in this paper a new star extraction algorithm based on a new centroid calculation method. We compared our algorithm with other star extraction algorithms from the literature, and the results obtained show the star extraction capability of the proposed algorithm.

Keywords: star tracker, star simulation, star detection, centroid, noise, scenario

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Authors: Rubin Dan, Xingcai Wang, Ziyang Chen

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A chaotic time series noise reduction method based on the fusion of the local projection method, wavelet transform, and particle swarm algorithm (referred to as the LW-PSO method) is proposed to address the problem of false recognition due to noise in the recognition process of chaotic time series containing noise. The method first uses phase space reconstruction to recover the original dynamical system characteristics and removes the noise subspace by selecting the neighborhood radius; then it uses wavelet transform to remove D1-D3 high-frequency components to maximize the retention of signal information while least-squares optimization is performed by the particle swarm algorithm. The Lorenz system containing 30% Gaussian white noise is simulated and verified, and the phase space, SNR value, RMSE value, and K value of the 0-1 test method before and after noise reduction of the Schreiber method, local projection method, wavelet transform method, and LW-PSO method are compared and analyzed, which proves that the LW-PSO method has a better noise reduction effect compared with the other three common methods. The method is also applied to the classical system to evaluate the noise reduction effect of the four methods and the original system identification effect, which further verifies the superiority of the LW-PSO method. Finally, it is applied to the Chengdu rainfall chaotic sequence for research, and the results prove that the LW-PSO method can effectively reduce the noise and improve the chaos recognition rate.

Keywords: Schreiber noise reduction, wavelet transform, particle swarm optimization, 0-1 test method, chaotic sequence denoising

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Authors: Moustafa Osman Mohammed

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This paper will explore formation of HCl aerosol at atmospheric boundary layers and encourages the uptake of environmental modeling systems (EMSs) as a practice evaluation of gaseous emissions (“framework measures”) from small and medium-sized enterprises (SMEs). The conceptual model predicts greenhouse gas emissions to ecological points beyond landfill site operations. It focuses on incorporation traditional knowledge into baseline information for both measurement data and the mathematical results, regarding parameters influence model variable inputs. The paper has simplified parameters of aerosol processes based on the more complex aerosol process computations. The simple model can be implemented to both Gaussian and Eulerian rural dispersion models. Aerosol processes considered in this study were (i) the coagulation of particles, (ii) the condensation and evaporation of organic vapors, and (iii) dry deposition. The chemical transformation of gas-phase compounds is taken into account photochemical formulation with exposure effects according to HCl concentrations as starting point of risk assessment. The discussion set out distinctly aspect of sustainability in reflection inputs, outputs, and modes of impact on the environment. Thereby, models incorporate abiotic and biotic species to broaden the scope of integration for both quantification impact and assessment risks. The later environmental obligations suggest either a recommendation or a decision of what is a legislative should be achieved for mitigation measures of landfill gas (LFG) ultimately.

Keywords: air pollution, landfill emission, environmental management, monitoring/methods and impact assessment

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Authors: Kheira Hamaida, Mohamed Salah Halati

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In this current paper, our aim work is to link as possible the obtained simulation results and the other experimental ones, just focusing on the electronic and optical properties of ZnSe. The predictive spectra of the total and partial densities of states using the Full Potential Linearized/Augmented Plane Wave method with the newly Tran-Blaha (TB) modified Becke-Johnson (mBJ) exchange-correlation potential (EXC). So the upper valence energy (UVE) levels contain the relative contribution of Se-(4p and 3d) states with considerable contribution from the electrons of Zn-2s orbital. The dielectric function of w-ZnSe, with its two parts, appears with a noticeable anisotropy character. The microscopic origins of the electronic states that are responsible for the observed peaks in the spectrum are determined through the decomposition of the spectrum to the individual contributions of the electronic transitions between the pairs of bands, where Vi is an occupied state in the valence band, and Ci is an unoccupied state in the conduction band. X-PES (X Ray-Photo Electron Spectroscopy) is an important technique used to probe the homogeneity, stoichiometry, and purity state of the title compound. In order to check the electron transitions derived from simulations and the others from Reflected Electron Energy Loss Spectroscopy (REELS) technique which was of great sensitivity, is used to determine the interband electronic transitions. In the optical window (Eg), all the electron energy states created were also determined through the specific gaussian deconvolution of the photoluminescence spectrum (PLS) that probed under a room temperature (RT).

Keywords: spectroscopy, WIEN2K, IIB-VIA semiconductors, dielectric function

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Authors: Amir Moslemi, Amir movafeghi, Shahab Moradi

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One of the most important challenging factors in medical images is nominated as noise.Image denoising refers to the improvement of a digital medical image that has been infected by Additive White Gaussian Noise (AWGN). The digital medical image or video can be affected by different types of noises. They are impulse noise, Poisson noise and AWGN. Computed tomography (CT) images are subjected to low quality due to the noise. The quality of CT images is dependent on the absorbed dose to patients directly in such a way that increase in absorbed radiation, consequently absorbed dose to patients (ADP), enhances the CT images quality. In this manner, noise reduction techniques on the purpose of images quality enhancement exposing no excess radiation to patients is one the challenging problems for CT images processing. In this work, noise reduction in CT images was performed using two different directional 2 dimensional (2D) transformations; i.e., Curvelet and Contourlet and Discrete wavelet transform(DWT) thresholding methods of BayesShrink and AdaptShrink, compared to each other and we proposed a new threshold in wavelet domain for not only noise reduction but also edge retaining, consequently the proposed method retains the modified coefficients significantly that result in good visual quality. Data evaluations were accomplished by using two criterions; namely, peak signal to noise ratio (PSNR) and Structure similarity (Ssim).

Keywords: computed tomography (CT), noise reduction, curve-let, contour-let, signal to noise peak-peak ratio (PSNR), structure similarity (Ssim), absorbed dose to patient (ADP)

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Authors: Rohini Hariharan, Yazhini R., Blessy Maria Mathew

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The task of detecting email spam is a very important one in the era of digital technology that needs effective ways of curbing unwanted messages. This paper presents an approach aimed at making email spam categorization algorithms transparent, reliable and more trustworthy by incorporating Local Interpretable Model-agnostic Explanations (LIME). Our technique assists in providing interpretable explanations for specific classifications of emails to help users understand the decision-making process by the model. In this study, we developed a complete pipeline that incorporates LIME into the spam classification framework and allows creating simplified, interpretable models tailored to individual emails. LIME identifies influential terms, pointing out key elements that drive classification results, thus reducing opacity inherent in conventional machine learning models. Additionally, we suggest a visualization scheme for displaying keywords that will improve understanding of categorization decisions by users. We test our method on a diverse email dataset and compare its performance with various baseline models, such as Gaussian Naive Bayes, Multinomial Naive Bayes, Bernoulli Naive Bayes, Support Vector Classifier, K-Nearest Neighbors, Decision Tree, and Logistic Regression. Our testing results show that our model surpasses all other models, achieving an accuracy of 96.59% and a precision of 99.12%.

Keywords: text classification, LIME (local interpretable model-agnostic explanations), stemming, tokenization, logistic regression.

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Authors: Piyush V. Surjagade, Jiamei Deng, Paul Doney, S. R. Shimjith, A. John Arul

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In sophisticated and complex systems such as nuclear power plants, maintaining the system's stability in the presence of uncertainties and disturbances and obtaining a fast dynamic response are the most challenging problems. Thus, to ensure the satisfactory and safe operation of nuclear power plants, this work proposes a new fast, robust optimal switching control strategy for pressurized water reactor-type nuclear power plants. The proposed control strategy guarantees a substantial degree of robustness, fast dynamic response over the entire operational envelope, and optimal performance during the nominal operation of the plant. To improve the robustness, obtain a fast dynamic response, and make the system optimal, a bank of controllers is designed. Various controllers, like a baseline proportional-integral-derivative controller, an optimal linear quadratic Gaussian controller, and a robust adaptive L1 controller, are designed to perform distinct tasks in a specific situation. At any instant of time, the most suitable controller from the bank of controllers is selected using the switching logic unit that designates the controller by monitoring the health of the nuclear power plant or transients. The proposed switching control strategy optimizes the overall performance and increases operational safety and efficiency. Simulation studies have been performed considering various uncertainties and disturbances that demonstrate the applicability and effectiveness of the proposed switching control strategy over some conventional control techniques.

Keywords: switching control, robust control, optimal control, nuclear power control

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Authors: Liang Weichien

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Without adequate information and mitigation plan for natural disaster, the risk to urban populated areas will increase in the future as populations grow, especially in Taiwan. Taiwan is recognized as the world's high-risk areas, where an average of 5.7 times of floods occur per year should seek to strengthen coherence and consensus in how cities can plan for flood and climate change. Therefore, this study aims at understanding the vulnerability to flooding in Taipei city, Taiwan, by creating indicators and calculating the vulnerability of each study units. The indicators were grouped into sensitivity and adaptive capacity based on the definition of vulnerability of Intergovernmental Panel on Climate Change. The indicators were weighted by using Principal Component Analysis. However, current researches were based on the assumption that the composition and influence of the indicators were the same in different areas. This disregarded spatial correlation that might result in inaccurate explanation on local vulnerability. The study used Geographically Weighted Principal Component Analysis by adding geographic weighting matrix as weighting to get the different main flood impact characteristic in different areas. Cross Validation Method and Akaike Information Criterion were used to decide bandwidth and Gaussian Pattern as the bandwidth weight scheme. The ultimate outcome can be used for the reduction of damage potential by integrating the outputs into local mitigation plan and urban planning.

Keywords: flood vulnerability, geographically weighted principal components analysis, GWPCA, highly urbanized area, spatial correlation

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Authors: Alexander N. Pisarchik, Parth Chholak

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Intrinsic brain noise was estimated via magneto-encephalograms (MEG) recorded during perception of flickering visual stimuli with frequencies of 6.67 and 8.57 Hz. First, we measured the mean phase difference between the flicker signal and steady-state event-related field (SSERF) in the occipital area where the brain response at the flicker frequencies and their harmonics appeared in the power spectrum. Then, we calculated the probability distribution of the phase fluctuations in the regions of frequency locking and computed its kurtosis. Since kurtosis is a measure of the distribution’s sharpness, we suppose that inverse kurtosis is related to intrinsic brain noise. In our experiments, the kurtosis value varied among subjects from K = 3 to K = 5 for 6.67 Hz and from 2.6 to 4 for 8.57 Hz. The majority of subjects demonstrated leptokurtic kurtosis (K < 3), i.e., the distribution tails approached zero more slowly than Gaussian. In addition, we found a strong correlation between kurtosis and brain complexity measured as the correlation dimension, so that the MEGs of subjects with higher kurtosis exhibited lower complexity. The obtained results are discussed in the framework of nonlinear dynamics and complex network theories. Specifically, in a network of coupled oscillators, phase synchronization is mainly determined by two antagonistic factors, noise, and the coupling strength. While noise worsens phase synchronization, the coupling improves it. If we assume that each neuron and each synapse contribute to brain noise, the larger neuronal network should have stronger noise, and therefore phase synchronization should be worse, that results in smaller kurtosis. The described method for brain noise estimation can be useful for diagnostics of some brain pathologies associated with abnormal brain noise.

Keywords: brain, flickering, magnetoencephalography, MEG, visual perception, perception time

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Authors: Ouafa Amira, Jiangshe Zhang

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Clustering is an unsupervised machine learning technique; its aim is to extract the data structures, in which similar data objects are grouped in the same cluster, whereas dissimilar objects are grouped in different clusters. Clustering methods are widely utilized in different fields, such as: image processing, computer vision , and pattern recognition, etc. Fuzzy c-means clustering (fcm) is one of the most well known fuzzy clustering methods. It is based on solving an optimization problem, in which a minimization of a given cost function has been studied. This minimization aims to decrease the dissimilarity inside clusters, where the dissimilarity here is measured by the distances between data objects and cluster centers. The degree of belonging of a data point in a cluster is measured by a membership function which is included in the interval [0, 1]. In fcm clustering, the membership degree is constrained with the condition that the sum of a data object’s memberships in all clusters must be equal to one. This constraint can cause several problems, specially when our data objects are included in a noisy space. Regularization approach took a part in fuzzy c-means clustering technique. This process introduces an additional information in order to solve an ill-posed optimization problem. In this study, we focus on regularization by relative entropy approach, where in our optimization problem we aim to minimize the dissimilarity inside clusters. Finding an appropriate membership degree to each data object is our objective, because an appropriate membership degree leads to an accurate clustering result. Our clustering results in synthetic data sets, gaussian based data sets, and real world data sets show that our proposed model achieves a good accuracy.

Keywords: clustering, fuzzy c-means, regularization, relative entropy

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Authors: Komal Kumar, Sreedevi Upadhyayula

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In this study, a two-stage process was established for the synthesis of HMF esters using ionic liquid acid catalyst. Ionic liquid catalyst with different strength of the Bronsted acidity was prepared in the laboratory and characterized using 1H NMR, FT-IR, and 13C NMR spectroscopy. Solid acid catalyst from the ionic liquid catalyst was prepared using the immobilization method. The acidity of the synthesized acid catalyst was measured using Hammett function and titration method. Catalytic performance was evaluated for the biomass conversion to 5-hydroxymethylfurfural (5-HMF) and levulinic acid (LA) in methyl isobutyl ketone (MIBK)-water biphasic system. A good yield of 5-HMF and LA was found at the different composition of MIBK: Water. In the case of MIBK: Water ratio 10:1, good yield of 5-HMF was observed at ambient temperature 150˚C. Upgrading of 5-HMF into monoesters from the reaction of 5-HMF and reactants using biomass-derived monoacid were performed. Ionic liquid catalyst with -SO₃H functional group was found to be best efficient in comparative of a solid acid catalyst for the esterification reaction and biomass conversion. A good yield of 5-HMF esters with high 5-HMF conversion was found to be at 105˚C using the best active catalyst. In this process, process A was the hydrothermal conversion of cellulose and monomer into 5-HMF and LA using acid catalyst. And the process B was the esterification followed by using similar acid catalyst. All monoesters of 5-HMF synthesized here can be used in chemical, cross linker for adhesive or coatings and pharmaceutical industry. A theoretical density functional theory (DFT) study for the optimization of the ionic liquid structure was performed using the Gaussian 09 program to find out the minimum energy configuration of ionic liquid catalyst.

Keywords: biomass conversion, 5-HMF, Ionic liquid, HMF ester

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Authors: Gyula I. Tóth, Shaho Abdalla

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Even though numerical simulations indeed have a significant precursory/supportive role in exploring the disordered phase displaying no long-range order in pattern formation models, studying the stability properties of this phase and determining the order of the ordered-disordered phase transition in these models necessitate an analytical description of the disordered phase. First, we will present the results of a comprehensive statistical analysis of a large number (1,000-10,000) of numerical simulations in the Swift-Hohenberg model, where the bulk disordered (or amorphous) phase is stable. We will show that the average free energy density (over configurations) converges, while the variance of the energy density vanishes with increasing system size in numerical simulations, which suggest that the disordered phase is a thermodynamic phase (i.e., its properties are independent of the configuration in the macroscopic limit). Furthermore, the structural analysis of this phase in the Fourier space suggests that the phase can be modeled by a colored isotropic Gaussian noise, where any instant of the noise describes a possible configuration. Based on these results, we developed the general mathematical framework of finding a pool of solutions to partial differential equations in the sense of continuous probability measure, which we will present briefly. Applying the general idea to the Swift-Hohenberg model we show, that the amorphous phase can be found, and its properties can be determined analytically. As the general mathematical framework is not restricted to continuum theories, we hope that the proposed methodology will open a new chapter in studying disordered phases.

Keywords: fundamental theory, mathematical physics, continuum models, analytical description

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Authors: Rohit Kumar Shrivastava, Amalia Thomas, Nathalie Vriend, Stefan Luding

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A mechanical wave or vibration propagating through granular media exhibits a specific signature in time. A coherent pulse or wavefront arrives first with multiply scattered waves (coda) arriving later. The coherent pulse is micro-structure independent i.e. it depends only on the bulk properties of the disordered granular sample, the sound wave velocity of the granular sample and hence bulk and shear moduli. The coherent wavefront attenuates (decreases in amplitude) and broadens with distance from its source. The pulse attenuation and broadening effects are affected by disorder (polydispersity; contrast in size of the granules) and have often been attributed to dispersion and scattering. To study the effect of disorder and initial amplitude (non-linearity) of the pulse imparted to the system on the coherent wavefront, numerical simulations have been carried out on one-dimensional sets of particles (granular chains). The interaction force between the particles is given by a Hertzian contact model. The sizes of particles have been selected randomly from a Gaussian distribution, where the standard deviation of this distribution is the relevant parameter that quantifies the effect of disorder on the coherent wavefront. Since, the coherent wavefront is system configuration independent, ensemble averaging has been used for improving the signal quality of the coherent pulse and removing the multiply scattered waves. The results concerning the width of the coherent wavefront have been formulated in terms of scaling laws. An experimental set-up of photoelastic particles constituting a granular chain is proposed to validate the numerical results.

Keywords: discrete elements, Hertzian contact, polydispersity, weakly nonlinear, wave propagation

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Authors: Yo Fukutani, Shuji Moriguchi, Takuma Kotani, Terada Kenjiro

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If risk management of the assets owned by companies, risk assessment of real estate portfolio, and risk identification of the entire region are to be implemented, it is necessary to consider simultaneous damage to multiple buildings. In this research, the Sagami Trough earthquake tsunami that could have a significant effect on the Japanese capital region is focused on, and a method is proposed for simultaneous damage assessment using copulas that can take into consideration the correlation of tsunami depths and building damage between two sites. First, the tsunami inundation depths at two sites were simulated by using a nonlinear long-wave equation. The tsunamis were simulated by varying the slip amount (five cases) and the depths (five cases) for each of 10 sources of the Sagami Trough. For each source, the frequency distributions of the tsunami inundation depth were evaluated by using the response surface method. Then, Monte-Carlo simulation was conducted, and frequency distributions of tsunami inundation depth were evaluated at the target sites for all sources of the Sagami Trough. These are marginal distributions. Kendall’s tau for the tsunami inundation simulation at two sites was 0.83. Based on this value, the Gaussian copula, t-copula, Clayton copula, and Gumbel copula (n = 10,000) were generated. Then, the simultaneous distributions of the damage rate were evaluated using the marginal distributions and the copulas. For the correlation of the tsunami inundation depth at the two sites, the expected value hardly changed compared with the case of no correlation, but the damage rate of the ninety-ninth percentile value was approximately 2%, and the maximum value was approximately 6% when using the Gumbel copula.

Keywords: copulas, Monte-Carlo simulation, probabilistic risk assessment, tsunamis

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Authors: Jacob Green, Cecilia Cabrera, Maximilian Jakobs, Andrea Dimitracopoulos, Mark van der Wilk, Ryan Greenhalgh

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Predicting drug properties is key in drug discovery to enable de-risking of assets before expensive clinical trials and to find highly active compounds faster. Interest from the machine learning community has led to the release of a variety of benchmark datasets and proposed methods. However, it remains unclear for practitioners which method or approach is most suitable, as different papers benchmark on different datasets and methods, leading to varying conclusions that are not easily compared. Our large-scale empirical study links together numerous earlier works on different datasets and methods, thus offering a comprehensive overview of the existing property classes, datasets, and their interactions with different methods. We emphasise the importance of uncertainty quantification and the time and, therefore, cost of applying these methods in the drug development decision-making cycle. To the best of the author's knowledge, it has been observed that the optimal approach varies depending on the dataset and that engineered features with classical machine learning methods often outperform deep learning. Specifically, QSAR datasets are typically best analysed with classical methods such as Gaussian Processes, while ADMET datasets are sometimes better described by Trees or deep learning methods such as Graph Neural Networks or language models. Our work highlights that practitioners do not yet have a straightforward, black-box procedure to rely on and sets a precedent for creating practitioner-relevant benchmarks. Deep learning approaches must be proven on these benchmarks to become the practical method of choice in drug property prediction.

Keywords: activity (QSAR), ADMET, classical methods, drug property prediction, empirical study, machine learning

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Authors: Nidhal Azawi

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Colonoscopy procedure is widely used in the world to detect an abnormality. Early diagnosis can help to heal many patients. Because of the unavoidable artifacts that exist in colon images, doctors cannot detect a colon surface precisely. The purpose of this work is to improve the visual quality of colonoscopy videos to provide better information for physicians by removing some artifacts. This work complements a series of work consisting of three previously published papers. In this paper, Optic flow is used for motion compensation, and then consecutive images are aligned/registered to integrate some information to create a new image that has or reveals more information than the original one. Colon images have been classified into informative and noninformative images by using a deep neural network. Then, two different strategies were used to treat informative and noninformative images. Informative images were treated by using Lucas Kanade (LK) with an adaptive temporal mean/median filter, whereas noninformative images are treated by using Lucas Kanade with a derivative of Gaussian (LKDOG) with adaptive temporal median images. A comparison result showed that this work achieved better results than that results in the state- of- the- art strategies for the same degraded colon images data set, which consists of 1000 images. The new proposed algorithm reduced the error alignment by about a factor of 0.3 with a 100% successfully image alignment ratio. In conclusion, this algorithm achieved better results than the state-of-the-art approaches in case of enhancing the informative images as shown in the results section; also, it succeeded to convert the non-informative images that have very few details/no details because of the blurriness/out of focus or because of the specular highlight dominate significant amount of an image to informative images.

Keywords: optic flow, colonoscopy, artifacts, spatial temporal filter

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Authors: Joanna Maj

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Body machine interfaces (BMIs) afford users a non-invasive way coordinate movement. Vibrotactile stimulation has been incorporated into BMIs to allow feedback in real-time and guide movement control to benefit patients with cognitive deficits, such as stroke survivors. To advance research in this area, we examined vibrational discrimination thresholds at four body locations to determine suitable application sites for future multi-channel BMIs using vibration cues to guide movement planning and control. Twelve healthy adults had a pair of small vibrators (tactors) affixed to the skin at each location: forearm, shoulders, torso, and knee. A "standard" stimulus (186 Hz; 750 ms) and "probe" stimuli (11 levels ranging from 100 Hz to 235 Hz; 750 ms) were delivered. Probe and test stimulus pairs could occur sequentially or simultaneously (timing). Participants verbally indicated which stimulus felt more intense. Stimulus order was counterbalanced across tactors and body locations. Probabilities that probe stimuli felt more intense than the standard stimulus were computed and fit with a cumulative Gaussian function; the discrimination threshold was defined as one standard deviation of the underlying distribution. Threshold magnitudes depended on stimulus timing and location. Discrimination thresholds were better for stimuli applied sequentially vs. simultaneously at the torso as well as the knee. Thresholds were small (better) and relatively insensitive to timing differences for vibrations applied at the shoulder. BMI applications requiring multiple channels of simultaneous vibrotactile stimulation should therefore consider the shoulder as a deployment site for a vibrotactile BMI interface.

Keywords: electromyography, electromyogram, neuromuscular disorders, biomedical instrumentation, controls engineering

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Authors: Joonas Pääkkönen

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In sports, individuals and teams are typically interested in final rankings. Final results, such as times or distances, dictate these rankings, also known as places. Places can be further associated with ordered random variables, commonly referred to as order statistics. In this work, we introduce a simple, yet accurate order statistical ordinal regression function that predicts relay race places with changeover-times. We call this function the Fenton-Wilkinson Order Statistics model. This model is built on the following educated assumption: individual leg-times follow log-normal distributions. Moreover, our key idea is to utilize Fenton-Wilkinson approximations of changeover-times alongside an estimator for the total number of teams as in the notorious German tank problem. This original place regression function is sigmoidal and thus correctly predicts the existence of a small number of elite teams that significantly outperform the rest of the teams. Our model also describes how place increases linearly with changeover-time at the inflection point of the log-normal distribution function. With real-world data from Jukola 2019, a massive orienteering relay race, the model is shown to be highly accurate even when the size of the training set is only 5% of the whole data set. Numerical results also show that our model exhibits smaller place prediction root-mean-square-errors than linear regression, mord regression and Gaussian process regression.

Keywords: Fenton-Wilkinson approximation, German tank problem, log-normal distribution, order statistics, ordinal regression, orienteering, sports analytics, sports modeling

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Authors: Sheng-Bo Zhang, Huan-Hao Zhang, Zhi-Hua Chen, Chun Zheng

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In this paper, the Richtmyer-Meshkov instability has been studied numerically by using the high-resolution Roe scheme based on the two-dimensional unsteady Euler equation, which was caused by the interaction between shock wave and the helium circular light gas cylinder with different component distributions. The numerical results further discuss the deformation process of the gas cylinder, the wave structure of the flow field and quantitatively analyze the characteristic dimensions (length, height, and central axial width) of the gas cylinder, the volume compression ratio of the cylinder over time. In addition, the flow mechanism of shock-driven interface gas mixing is analyzed from multiple perspectives by combining it with the flow field pressure, velocity, circulation, and gas mixing rate. Then the effects of different initial component distribution conditions on interface instability are investigated. The results show when the diffusion interface transit to the sharp interface, the reflection coefficient gradually increases on both sides of the interface. When the incident shock wave interacts with the cylinder, the transmission of the shock wave will transit from conventional transmission to unconventional transmission. At the same time, the reflected shock wave is gradually strengthened, and the transmitted shock wave is gradually weakened, which leads to an increase in the Richtmyer-Meshkov instability. Moreover, the Atwood number on both sides of the interface also increases as the diffusion interface transit to the sharp interface, which leads to an increase in the Rayleigh-Taylor instability and the Kelvin-Helmholtz instability. Therefore, the increase in instability will lead to an increase the circulation, resulting in an increase in the growth rate of gas mixing rate.

Keywords: shock wave, He light cylinder, Richtmyer-Meshkov instability, Gaussian distribution

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Authors: Subhajit Das, Nirjhar Dhang

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Structural damage detection is a challenging work in the field of structural health monitoring (SHM). The damage detection methods mainly focused on the determination of the location and severity of the damage. Model updating is a well known method to locate and quantify the damage. In this method, an error function is defined in terms of difference between the signal measured from ‘experiment’ and signal obtained from undamaged finite element model. This error function is minimised with a proper algorithm, and the finite element model is updated accordingly to match the measured response. Thus, the damage location and severity can be identified from the updated model. In this paper, an error function is defined in terms of modal data viz. frequencies and modal assurance criteria (MAC). MAC is derived from Eigen vectors. This error function is minimized by teaching-learning-based optimization (TLBO) algorithm, and the finite element model is updated accordingly to locate and quantify the damage. Damage is introduced in the model by reduction of stiffness of the structural member. The ‘experimental’ data is simulated by the finite element modelling. The error due to experimental measurement is introduced in the synthetic ‘experimental’ data by adding random noise, which follows Gaussian distribution. The efficiency and robustness of this method are explained through three examples e.g., one truss, one beam and one frame problem. The result shows that TLBO algorithm is efficient to detect the damage location as well as the severity of damage using modal data.

Keywords: damage detection, finite element model updating, modal assurance criteria, structural health monitoring, teaching learning based optimization

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Authors: Jingwen Shi, Qi Wu

Abstract:

We study the role played interest rate risk in carry trade return in order to understand the forward premium puzzle. In this study, our goal is to investigate to what extent carry trade return is indeed due to compensation for risk taking and, more important, to reveal the nature of these risks. Using option data not only on exchange rates but also on interest rate swaps (swaptions), our first finding is that, besides the consensus currency risks, interest rate risks also contribute a non-negligible portion to the carry trade return. What strikes us is our second finding. We find that large downside risks of future exchange rate movements are, in fact, priced significantly in option market on interest rates. The role played by interest rate risk differs structurally from the currency risk. There is a unique premium associated with interest rate risk, though seemingly small in size, which compensates the tail risks, the left tail to be precise. On the technical front, our study relies on accurately retrieving implied distributions from currency options and interest rate swaptions simultaneously, especially the tail components of the two. For this purpose, our major modeling work is to build a new international asset pricing model where we use an orthogonal setup for pricing kernels and specify non-Gaussian dynamics in order to capture three sets of option skew accurately and consistently across currency options and interest rate swaptions, domestic and foreign, within one model. Our results open a door for studying forward premium anomaly through implied information from interest rate derivative market.

Keywords: carry trade, forward premium anomaly, FX option, interest rate swaption, implied volatility skew, uncovered interest rate parity

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Authors: Mouna Baassi, Mohamed Moussaoui, Hatim Soufi, Sanchaita RajkhowaI, Ashwani Sharma, Subrata Sinha, Said Belaaouad

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Human Immunodeficiency Virus type 1 protease (HIV-1 PR) is one of the most challenging targets of antiretroviral therapy used in the treatment of AIDS-infected people. The performance of protease inhibitors (PIs) is limited by the development of protease mutations that can promote resistance to the treatment. The current study was carried out using statistics and bioinformatics tools. A series of thirty-three compounds with known enzymatic inhibitory activities against HIV-1 protease was used in this paper to build a mathematical model relating the structure to the biological activity. These compounds were designed by software; their descriptors were computed using various tools, such as Gaussian, Chem3D, ChemSketch and MarvinSketch. Computational methods generated the best model based on its statistical parameters. The model’s applicability domain (AD) was elaborated. Furthermore, one compound has been proposed as efficient against HIV-1 protease with comparable biological activity to the existing ones; this drug candidate was evaluated using ADMET properties and Lipinski’s rule. Molecular Docking performed on Wild Type and Mutant Type HIV-1 proteases allowed the investigation of the interaction types displayed between the proteases and the ligands, Darunavir (DRV) and the new drug (ND). Molecular dynamics simulation was also used in order to investigate the complexes’ stability, allowing a comparative study of the performance of both ligands (DRV & ND). Our study suggested that the new molecule showed comparable results to that of Darunavir and may be used for further experimental studies. Our study may also be used as a pipeline to search and design new potential inhibitors of HIV-1 proteases.

Keywords: QSAR, ADMET properties, molecular docking, molecular dynamics simulation.

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Authors: Vipul M. Patel, Hemantkumar B. Mehta

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Technological innovations in electronic world demand novel, compact, simple in design, less costly and effective heat transfer devices. Closed Loop Pulsating Heat Pipe (CLPHP) is a passive phase change heat transfer device and has potential to transfer heat quickly and efficiently from source to sink. Thermal performance of a CLPHP is governed by various parameters such as number of U-turns, orientations, input heat, working fluids and filling ratio. The present paper is an attempt to predict the thermal performance of a CLPHP using Artificial Neural Network (ANN). Filling ratio and heat input are considered as input parameters while thermal resistance is set as target parameter. Types of neural networks considered in the present paper are radial basis, generalized regression, linear layer, cascade forward back propagation, feed forward back propagation; feed forward distributed time delay, layer recurrent and Elman back propagation. Linear, logistic sigmoid, tangent sigmoid and Radial Basis Gaussian Function are used as transfer functions. Prediction accuracy is measured based on the experimental data reported by the researchers in open literature as a function of Mean Absolute Relative Deviation (MARD). The prediction of a generalized regression ANN model with spread constant of 4.8 is found in agreement with the experimental data for MARD in the range of ±1.81%.

Keywords: ANN models, CLPHP, filling ratio, generalized regression, spread constant

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Authors: V. Veeraprathap, G. S. Harish, G. Narendra Kumar

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Uncontrolled growth of abnormal cells in the lung in the form of tumor can be either benign (non-cancerous) or malignant (cancerous). Patients with Lung Cancer (LC) have an average of five years life span expectancy provided diagnosis, detection and prediction, which reduces many treatment options to risk of invasive surgery increasing survival rate. Computed Tomography (CT), Positron Emission Tomography (PET), and Magnetic Resonance Imaging (MRI) for earlier detection of cancer are common. Gaussian filter along with median filter used for smoothing and noise removal, Histogram Equalization (HE) for image enhancement gives the best results without inviting further opinions. Lung cavities are extracted and the background portion other than two lung cavities is completely removed with right and left lungs segmented separately. Region properties measurements area, perimeter, diameter, centroid and eccentricity measured for the tumor segmented image, while texture is characterized by Gray-Level Co-occurrence Matrix (GLCM) functions, feature extraction provides Region of Interest (ROI) given as input to classifier. Two levels of classifications, K-Nearest Neighbor (KNN) is used for determining patient condition as normal or abnormal, while Artificial Neural Networks (ANN) is used for identifying the cancer stage is employed. Discrete Wavelet Transform (DWT) algorithm is used for the main feature extraction leading to best efficiency. The developed technology finds encouraging results for real time information and on line detection for future research.

Keywords: artificial neural networks, ANN, discrete wavelet transform, DWT, gray-level co-occurrence matrix, GLCM, k-nearest neighbor, KNN, region of interest, ROI

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Authors: El Harraj Abdeslam, Raissouni Naoufal

Abstract:

The detection of moving objects from a video image sequences is very important for object tracking, activity recognition, and behavior understanding in video surveillance. The most used approach for moving objects detection / tracking is background subtraction algorithms. Many approaches have been suggested for background subtraction. But, these are illumination change sensitive and the solutions proposed to bypass this problem are time consuming. In this paper, we propose a robust yet computationally efficient background subtraction approach and, mainly, focus on the ability to detect moving objects on dynamic scenes, for possible applications in complex and restricted access areas monitoring, where moving and motionless persons must be reliably detected. It consists of three main phases, establishing illumination changes in variance, background/foreground modeling and morphological analysis for noise removing. We handle illumination changes using Contrast Limited Histogram Equalization (CLAHE), which limits the intensity of each pixel to user determined maximum. Thus, it mitigates the degradation due to scene illumination changes and improves the visibility of the video signal. Initially, the background and foreground images are extracted from the video sequence. Then, the background and foreground images are separately enhanced by applying CLAHE. In order to form multi-modal backgrounds we model each channel of a pixel as a mixture of K Gaussians (K=5) using Gaussian Mixture Model (GMM). Finally, we post process the resulting binary foreground mask using morphological erosion and dilation transformations to remove possible noise. For experimental test, we used a standard dataset to challenge the efficiency and accuracy of the proposed method on a diverse set of dynamic scenes.

Keywords: video surveillance, background subtraction, contrast limited histogram equalization, illumination invariance, object tracking, object detection, behavior understanding, dynamic scenes

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Authors: Roengchai Tansuchat, Woraphon Yamaka, Paravee Maneejuk

Abstract:

From the past recent, the global financial crisis, economic instability, and large fluctuation in agricultural commodity price have led to increased concerns about the volatility transmission among them. The problem is further exacerbated by commodities volatility caused by other commodity price fluctuations, hence the decision on hedging strategy has become both costly and useless. Thus, this paper is conducted to analysis the volatility spillover effect among major agriculture including corn, soybeans, wheat and rice, to help the commodity suppliers hedge their portfolios, and manage the risk and co-volatility of them. We provide a switching regime approach to analyzing the issue of volatility spillovers in different economic conditions, namely upturn and downturn economic. In particular, we investigate relationships and volatility transmissions between these commodities in different economic conditions. We purposed a Copula-based multivariate Markov Switching GARCH model with two regimes that depend on an economic conditions and perform simulation study to check the accuracy of our proposed model. In this study, the correlation term in the cross-hedge ratio is obtained from six copula families – two elliptical copulas (Gaussian and Student-t) and four Archimedean copulas (Clayton, Gumbel, Frank, and Joe). We use one-step maximum likelihood estimation techniques to estimate our models and compare the performance of these copula using Akaike information criterion (AIC) and Bayesian information criteria (BIC). In the application study of agriculture commodities, the weekly data used are conducted from 4 January 2005 to 1 September 2016, covering 612 observations. The empirical results indicate that the volatility spillover effects among cereal futures are different, as response of different economic condition. In addition, the results of hedge effectiveness will also suggest the optimal cross hedge strategies in different economic condition especially upturn and downturn economic.

Keywords: agricultural commodity futures, cereal, cross-hedge, spillover effect, switching regime approach

Procedia PDF Downloads 199