Search results for: Siniša Markov

Authors: Safia Hocine, Zina Benouaret, Djamil A¨ıssani

Abstract:

In this paper, we study the performance of the strong stability method of the univariate classical risk model. We interest to the stability bounds established using two approaches. The first based on the strong stability method developed for a general Markov chains. The second approach based on the regenerative processes theory . By adopting an algorithmic procedure, we study the performance of the stability method in the case of exponential distribution claim amounts. After presenting numerically and graphically the stability bounds, an interpretation and comparison of the results have been done.

Keywords: Marcov chain, regenerative process, risk model, ruin probability, strong stability

Procedia PDF Downloads 287

Authors: Konstantopoulos N., Samitas A., E. Vasileiou, Kinias I.

Abstract:

This article introduces a new view on the month effect study. Applying a Markov Switching Regime model on data from the Greek Time Deposits (TDs) market for the time span January 2003 to October 2013, we examine if there is a month effect on the Greek banking industry. The empirical findings provide convincing evidence for a new king of monthly anomaly. The explanation for the specific abnormality may be the upward deposits window dressing. Further research should be done in order to examine if the specific calendar effect exists in other countries or it is only a Greek phenomenon.

Keywords: calendar anomalies, banking crisis, month effect, Greek banking industry

Procedia PDF Downloads 339

Authors: Viviana Ventre, Giacomo Di Tollo, Roberta Martino

Abstract:

The portfolio selection problem includes the evaluation of many criteria that are difficult to compare directly and is characterized by uncertain elements. The portfolio selection problem can be modeled as a group decision problem in which several experts are invited to present their assessment. In this context, it is important to study and analyze the process of reaching a consensus among group members. Indeed, due to the various diversities among experts, reaching consensus is not necessarily always simple and easily achievable. Moreover, the concept of consensus is accompanied by the concept of false consensus, which is particularly interesting in the dynamics of group decision-making processes. False consensus can alter the evaluation and selection phase of the alternative and is the consequence of the decision maker's inability to recognize that his preferences are conditioned by subjective structures. The present work aims to investigate the dynamics of consensus attainment in a group decision problem in which equivalent portfolios are proposed. In particular, the study aims to analyze the impact of the subjective structure of the decision-maker during the evaluation and selection phase of the alternatives. Therefore, the experimental framework is divided into three phases. In the first phase, experts are sent to evaluate the characteristics of all portfolios individually, without peer comparison, arriving independently at the selection of the preferred portfolio. The experts' evaluations are used to obtain individual Analytical Hierarchical Processes that define the weight that each expert gives to all criteria with respect to the proposed alternatives. This step provides insight into how the decision maker's decision process develops, step by step, from goal analysis to alternative selection. The second phase includes the description of the decision maker's state through Markov chains. In fact, the individual weights obtained in the first phase can be reviewed and described as transition weights from one state to another. Thus, with the construction of the individual transition matrices, the possible next state of the expert is determined from the individual weights at the end of the first phase. Finally, the experts meet, and the process of reaching consensus is analyzed by considering the single individual state obtained at the previous stage and the false consensus bias. The work contributes to the study of the impact of subjective structures, quantified through the Analytical Hierarchical Process, and how they combine with the false consensus bias in group decision-making dynamics and the consensus reaching process in problems involving the selection of equivalent portfolios.

Keywords: analytical hierarchical process, consensus building, false consensus effect, markov chains, portfolio selection problem

Procedia PDF Downloads 67

Authors: Jeremie Coullon, Robert J. Webber

Abstract:

We introduce a Markov chain Monte Carlo (MCMC) sam-pler for infinite-dimensional inverse problems. Our sam-pler is based on the affine invariant ensemble sampler, which uses interacting walkers to adapt to the covariance structure of the target distribution. We extend this ensem-ble sampler for the first time to infinite-dimensional func-tion spaces, yielding a highly efficient gradient-free MCMC algorithm. Because our ensemble sampler does not require gradients or posterior covariance estimates, it is simple to implement and broadly applicable. In many Bayes-ian inverse problems, Markov chain Monte Carlo (MCMC) meth-ods are needed to approximate distributions on infinite-dimensional function spaces, for example, in groundwater flow, medical imaging, and traffic flow. Yet designing efficient MCMC methods for function spaces has proved challenging. Recent gradi-ent-based MCMC methods preconditioned MCMC methods, and SMC methods have improved the computational efficiency of functional random walk. However, these samplers require gradi-ents or posterior covariance estimates that may be challenging to obtain. Calculating gradients is difficult or impossible in many high-dimensional inverse problems involving a numerical integra-tor with a black-box code base. Additionally, accurately estimating posterior covariances can require a lengthy pilot run or adaptation period. These concerns raise the question: is there a functional sampler that outperforms functional random walk without requir-ing gradients or posterior covariance estimates? To address this question, we consider a gradient-free sampler that avoids explicit covariance estimation yet adapts naturally to the covariance struc-ture of the sampled distribution. This sampler works by consider-ing an ensemble of walkers and interpolating and extrapolating between walkers to make a proposal. This is called the affine in-variant ensemble sampler (AIES), which is easy to tune, easy to parallelize, and efficient at sampling spaces of moderate dimen-sionality (less than 20). The main contribution of this work is to propose a functional ensemble sampler (FES) that combines func-tional random walk and AIES. To apply this sampler, we first cal-culate the Karhunen–Loeve (KL) expansion for the Bayesian prior distribution, assumed to be Gaussian and trace-class. Then, we use AIES to sample the posterior distribution on the low-wavenumber KL components and use the functional random walk to sample the posterior distribution on the high-wavenumber KL components. Alternating between AIES and functional random walk updates, we obtain our functional ensemble sampler that is efficient and easy to use without requiring detailed knowledge of the target dis-tribution. In past work, several authors have proposed splitting the Bayesian posterior into low-wavenumber and high-wavenumber components and then applying enhanced sampling to the low-wavenumber components. Yet compared to these other samplers, FES is unique in its simplicity and broad applicability. FES does not require any derivatives, and the need for derivative-free sam-plers has previously been emphasized. FES also eliminates the requirement for posterior covariance estimates. Lastly, FES is more efficient than other gradient-free samplers in our tests. In two nu-merical examples, we apply FES to challenging inverse problems that involve estimating a functional parameter and one or more scalar parameters. We compare the performance of functional random walk, FES, and an alternative derivative-free sampler that explicitly estimates the posterior covariance matrix. We conclude that FES is the fastest available gradient-free sampler for these challenging and multimodal test problems.

Keywords: Bayesian inverse problems, Markov chain Monte Carlo, infinite-dimensional inverse problems, dimensionality reduction

Procedia PDF Downloads 125

Authors: Ali Mustafa Elshawesh, Mohamed Abdulali

Abstract:

The paper presents an approach to dimension circuit switched networks and find the relationship between the parameters of the circuit switched networks on the condition of specific probability of call blocking. Our work is creating a Simulation code based on Erlang (B) formula to draw graphs which show two curves for each graph; one of simulation and the other of calculated. These curves represent the relationships between average number of calls and average call duration with the probability of call blocking. This simulation code facilitates to select the appropriate parameters for circuit switched networks.

Keywords: Erlang B formula, call blocking, telephone system dimension, Markov model, link capacity

Procedia PDF Downloads 565

Authors: Daleesha M. Viswanathan, Sumam Mary Idicula

Abstract:

Dynamic hand gestures are an intrinsic component in sign language communication. Extracting spatial temporal features of the hand gesture trajectory plays an important role in a dynamic gesture recognition system. Finding a discrete feature descriptor for the motion trajectory based on the orientation feature is the main concern of this paper. Kalman filter algorithm and Hidden Markov Models (HMM) models are incorporated with this recognition system for hand trajectory tracking and for spatial temporal classification, respectively.

Keywords: orientation features, discrete feature vector, HMM., Indian sign language

Procedia PDF Downloads 339

Authors: F. A. Al-Awadhi, D. Al-Hulail

Abstract:

In this study, we applied the Bayesian hierarchical model to detect single and multiple change points for daily earthquake body wave magnitude. The change point analysis is used in both backward (off-line) and forward (on-line) statistical research. In this study, it is used with the backward approach. Different types of change parameters are considered (mean, variance or both). The posterior model and the conditional distributions for single and multiple change points are derived and implemented using BUGS software. The model is applicable for any set of data. The sensitivity of the model is tested using different prior and likelihood functions. Using Mb data, we concluded that during January 2002 and December 2003, three changes occurred in the mean magnitude of Mb in Kuwait and its vicinity.

Keywords: multiple change points, Markov Chain Monte Carlo, earthquake magnitude, hierarchical Bayesian mode

Procedia PDF Downloads 427

Authors: Sinisa Prvanov

Abstract:

This research is an attempt to analyze the existing urban form of outdoor public space of Duhok city and to give proposals for their improvements in terms of urban seating. The aim of this research is to identify the main urban furniture elements and behaviour of users of three central parks of Duhok city, recognizing their functionality and the most common errors. Citizens needs, directly related to the physical characteristics of the environment, are categorized in terms of contact with nature. Parks as significant urban environments express their aesthetic preferences, as well as the need for recreation and play. Citizens around the world desire to contact with nature and places where they can socialize, play and practice different activities, but also participate in building their community and feeling the identity of their cities. The aim of this research is also to reintegrate these spaces in the wider urban context of the city of Duhok, to develop new functions by designing new seating patterns, more improved urban furniture, and necessary supporting facilities and equipment. Urban furniture is a product that uses an enormous number of people in public space. It has a high level of wear and damage due to intense use, exposure to sunlight and weather conditions. Iraq has a hot and dry climate characterized by long, warm, dry summers and short, cold winters. The climate is determined by the Iraq location at the crossroads of Arab desert areas and the subtropical humid climate of the Persian Gulf. The second part of this analysis will describe the possibilities of traditional and contemporary materials as well as their advantages in urban furniture production, providing users protection from extreme local climate conditions, but also taking into account solidities and unwelcome consequences, such as vandalism. In addition, this research represents a preliminary stage in the development of IND307 furniture design course for needs of the Department of Interior design, at the American University in Duhok. Based on results obtained in this research, the course would present a symbiosis between people and technology, promotion of new street furniture design that perceives pedestrian activities in an urban setting, and practical use of anthropometric measurements as a tool for technical innovations.

Keywords: Furniture design, Street furniture, Social interaction, Public space

Procedia PDF Downloads 103

Authors: Li Zhou, Yanmei Fang

Abstract:

With current technology, images and videos can be obtained more easily than ever. It is so easy to manipulate these digital multimedia information when obtained, and that the content or source of the image and video could be easily tampered. In this paper, we propose to identify the image and video frame by the texture-based approach, e.g. Markov Transition Probability (MTP), which is in space domain, DCT domain and DWT domain, respectively. In the experiment, image and video frame database is constructed, and is used to train and test the classifier Support Vector Machine (SVM). Experiment results show that the texture-based approach has good performance. In order to verify the experiment result, and testify the universality and robustness of algorithm, we build a random testing dataset, the random testing result is in keeping with above experiment.

Keywords: multimedia forensics, video frame, LBP, MTP, SVM

Procedia PDF Downloads 398

Authors: Ibrahim Ozkan

Abstract:

In this study, a cross-layer design which combines adaptive modulation and coding (AMC) and hybrid automatic repeat request (HARQ) techniques for a cooperative wireless network is investigated analytically. Previous analyses of such systems in the literature are confined to the case where the fading channel is independent at each retransmission, which can be unrealistic unless the channel is varying very fast. On the other hand, temporal channel correlation can have a significant impact on the performance of HARQ systems. In this study, utilizing a Markov channel model which accounts for the temporal correlation, the performance of non-cooperative and cooperative networks are investigated in terms of packet loss rate and throughput metrics for Chase combining HARQ strategy.

Keywords: cooperative network, adaptive modulation and coding, hybrid ARQ, correlated fading

Procedia PDF Downloads 109

Authors: Leila Jafari, Viliam Makis

Abstract:

In this paper, the joint optimization of the economic manufacturing quantity (EMQ), safety stock level, and condition-based maintenance (CBM) is presented for a partially observable, deteriorating system subject to random failure. The demand is stochastic and it is described by a Poisson process. The stochastic model is developed and the optimization problem is formulated in the semi-Markov decision process framework. A modification of the policy iteration algorithm is developed to find the optimal policy. A numerical example is presented to compare the optimal policy with the policy considering zero safety stock.

Keywords: condition-based maintenance, economic manufacturing quantity, safety stock, stochastic demand

Procedia PDF Downloads 440

Authors: Katja Ignatieva, Patrick Wong

Abstract:

We investigated the dynamics of high frequency energy prices, including crude oil and electricity prices. The returns of underlying quantities are modelled using various parametric models such as stochastic framework with jumps and stochastic volatility (SVCJ) as well as non-parametric alternatives, which are purely data driven and do not require specification of the drift or the diffusion coefficient function. Using different statistical criteria, we investigate the performance of considered parametric and nonparametric models in their ability to forecast price series and volatilities. Our models incorporate possible seasonalities in the underlying dynamics and utilise advanced estimation techniques for the dynamics of energy prices.

Keywords: stochastic volatility, affine jump-diffusion models, high frequency data, model specification, markov chain monte carlo

Procedia PDF Downloads 67

Authors: Bojana Ž. Bajić, Siniša N. Dodić, Vladimir S. Puškaš, Jelena M. Dodić

Abstract:

Increasing industrialization as a response to the demands of the consumer society greatly exploits resources and generates large amounts of waste effluents in addition to the desired product. This means it is a priority to implement technologies with the maximum utilization of raw materials and energy, minimum generation of waste effluents and/or their recycling (secondary use). Considering the process conditions and the nature of the raw materials used by the vegetable oil industry, its wastewaters can be used as substrates for the biotechnological production which requires large amounts of water. This way the waste effluents of one branch of industry become raw materials for another branch which produces a new product while reducing wastewater pollution and thereby reducing negative environmental impacts. Vegetable oil production generates wastewaters during the process of rinsing oils and fats which contain mainly fatty acid pollutants. The vegetable oil industry generates large amounts of waste effluents, especially in the processes of degumming, deacidification, deodorization and neutralization. Wastewaters from the vegetable oil industry are generated during the whole year in significant amounts, based on the capacity of the vegetable oil production. There are no known alternative applications for these wastewaters as raw materials for the production of marketable products. Since the literature has no data on the potential negative impact of fatty acids on the metabolism of the bacterium Xanthomonas campestris, these wastewaters were considered as potential raw materials for the biotechnological production of xanthan. In this research, vegetable oil industry wastewaters were used as the basis for the cultivation media for xanthan production with Xanthomonas campestris ATCC 13951. Examining the process of biosynthesis of xanthan on vegetable oil industry wastewaters as the basis for the cultivation media was performed to obtain insight into the possibility of its use in the aforementioned biotechnological process. Additionally, it was important to experimentally determine the absence of substances that have an inhibitory effect on the metabolism of the production microorganism. Xanthan content, rheological parameters of the cultivation media, carbon conversion into xanthan and conversions of the most significant nutrients for biosynthesis (carbon, nitrogen and phosphorus sources) were determined as indicators of the success of biosynthesis. The obtained results show that biotechnological production of the biopolymer xanthan by bacterium Xanthomonas campestris on vegetable oil industry wastewaters based cultivation media simultaneously provides preservation of the environment and economic benefits which is a sustainable solution to the problem of wastewater treatment.

Keywords: biotechnology, sustainable bioprocess, vegetable oil industry wastewaters, Xanthomonas campestris

Procedia PDF Downloads 118

Authors: Nadarajah I. Ramesh

Abstract:

Much of the research on stochastic point process models for rainfall has focused on Poisson cluster models constructed from either the Neyman-Scott or Bartlett-Lewis processes. The doubly stochastic Poisson process provides a rich class of point process models, especially for fine-scale rainfall modelling. This paper provides an account of recent development on this topic and presents the results based on some of the fine-scale rainfall models constructed from this class of stochastic point processes. Amongst the literature on stochastic models for rainfall, greater emphasis has been placed on modelling rainfall data recorded at hourly or daily aggregation levels. Stochastic models for sub-hourly rainfall are equally important, as there is a need to reproduce rainfall time series at fine temporal resolutions in some hydrological applications. For example, the study of climate change impacts on hydrology and water management initiatives requires the availability of data at fine temporal resolutions. One approach to generating such rainfall data relies on the combination of an hourly stochastic rainfall simulator, together with a disaggregator making use of downscaling techniques. Recent work on this topic adopted a different approach by developing specialist stochastic point process models for fine-scale rainfall aimed at generating synthetic precipitation time series directly from the proposed stochastic model. One strand of this approach focused on developing a class of doubly stochastic Poisson process (DSPP) models for fine-scale rainfall to analyse data collected in the form of rainfall bucket tip time series. In this context, the arrival pattern of rain gauge bucket tip times N(t) is viewed as a DSPP whose rate of occurrence varies according to an unobserved finite state irreducible Markov process X(t). Since the likelihood function of this process can be obtained, by conditioning on the underlying Markov process X(t), the models were fitted with maximum likelihood methods. The proposed models were applied directly to the raw data collected by tipping-bucket rain gauges, thus avoiding the need to convert tip-times to rainfall depths prior to fitting the models. One advantage of this approach was that the use of maximum likelihood methods enables a more straightforward estimation of parameter uncertainty and comparison of sub-models of interest. Another strand of this approach employed the DSPP model for the arrivals of rain cells and attached a pulse or a cluster of pulses to each rain cell. Different mechanisms for the pattern of the pulse process were used to construct variants of this model. We present the results of these models when they were fitted to hourly and sub-hourly rainfall data. The results of our analysis suggest that the proposed class of stochastic models is capable of reproducing the fine-scale structure of the rainfall process, and hence provides a useful tool in hydrological modelling.

Keywords: fine-scale rainfall, maximum likelihood, point process, stochastic model

Procedia PDF Downloads 250

Authors: Danny Barash

Abstract:

Riboswitches are RNA genetic control elements that were originally discovered in bacteria and provide a unique mechanism of gene regulation. They work without the participation of proteins and are believed to represent ancient regulatory systems in the evolutionary timescale. One of the biggest challenges in riboswitch research is that many are found in prokaryotes but only a small percentage of known riboswitches have been found in certain eukaryotic organisms. The few examples of eukaryotic riboswitches were identified using sequence-based bioinformatics search methods that include some slight structural considerations. These pattern-matching methods were the first ones to be applied for the purpose of riboswitch detection and they can also be programmed very efficiently using a data structure called affix arrays, making them suitable for genome-wide searches of riboswitch patterns. However, they are limited by their ability to detect harder to find riboswitches that deviate from the known patterns. Several methods have been developed since then to tackle this problem. The most commonly used by practitioners is Infernal that relies on Hidden Markov Models (HMMs) and Covariance Models (CMs). Profile Hidden Markov Models were also carried out in the pHMM Riboswitch Scanner web application, independently from Infernal. Other computational approaches that have been developed include RMDetect by the use of 3D structural modules and RNAbor that utilizes Boltzmann probability of structural neighbors. We have tried to incorporate more sophisticated secondary structure considerations based on RNA folding prediction using several strategies. The first idea was to utilize window-based methods in conjunction with folding predictions by energy minimization. The moving window approach is heavily geared towards secondary structure consideration relative to sequence that is treated as a constraint. However, the method cannot be used genome-wide due to its high cost because each folding prediction by energy minimization in the moving window is computationally expensive, enabling to scan only at the vicinity of genes of interest. The second idea was to remedy the inefficiency of the previous approach by constructing a pipeline that consists of inverse RNA folding considering RNA secondary structure, followed by a BLAST search that is sequence-based and highly efficient. This approach, which relies on inverse RNA folding in general and our own in-house fragment-based inverse RNA folding program called RNAfbinv in particular, shows capability to find attractive candidates that are missed by Infernal and other standard methods being used for riboswitch detection. We demonstrate attractive candidates found by both the moving-window approach and the inverse RNA folding approach performed together with BLAST. We conclude that structure-based methods like the two strategies outlined above hold considerable promise in detecting riboswitches and other conserved RNAs of functional importance in a variety of organisms.

Keywords: riboswitches, RNA folding prediction, RNA structure, structure-based methods

Procedia PDF Downloads 205

Authors: Michele Aleandri, Matteo Colangeli, Davide Gabrielli

Abstract:

We study a generalization to a continuous setting of the classical Markov chain tree theorem. In particular, we consider an irreducible diffusion process on a metric graph. The unique invariant measure has an atomic component on the vertices and an absolutely continuous part on the edges. We show that the corresponding density at x can be represented by a normalized superposition of the weights associated to metric arborescences oriented toward the point x. A metric arborescence is a metric tree oriented towards its root. The weight of each oriented metric arborescence is obtained by the product of the exponential of integrals of the form ∫a/b², where b is the drift and σ² is the diffusion coefficient, along the oriented edges, for a weight for each node determined by the local orientation of the arborescence around the node and for the inverse of the diffusion coefficient at x. The metric arborescences are obtained by cutting the original metric graph along some edges.

Keywords: diffusion processes, metric graphs, invariant measure, reversibility

Procedia PDF Downloads 133

Authors: Benjamin Legros, Jan Fransoo, Oualid Jouini

Abstract:

This study aims to evaluate street-turn strategies for empty container repositioning in the hinterland. Containers arrive over time at the (importer) consignee, while the demand for containers arises from the (exporter) shipper. A match can be operated between an empty container from the consignee and the load from the shipper. Therefore, we model the system as a double-ended queue with non-zero matching time and a limited number of resources in order to optimize the reposition- ing decisions. We determine the performance measures when the consignee operates using a fixed withholding threshold policy. We show that the matching time mainly plays a role in the matching proportion, while under a certain duration, it only marginally impacts the consignee’s inventory policy and cost per container. Also, the withholding level is mainly determined by the shipper’s production rate.

Keywords: container, double-ended queue, inventory, Markov decision process, non-zero matching time, street-turn

Procedia PDF Downloads 108

Authors: Brando Vagenende, Marie-Anne Guerry

Abstract:

For stochastic matrices of any order, the geometric description of the convex set of eigenvalues is completely known. The purpose of this study is to investigate the subset of the monotone matrices. This type of matrix appears in contexts such as intergenerational occupational mobility, equal-input modeling, and credit ratings-based systems. Monotone matrices are stochastic matrices in which each row stochastically dominates the previous row. The monotonicity property of a stochastic matrix can be expressed by a nonnegative lower-order matrix with the same eigenvalues as the original monotone matrix (except for the eigenvalue 1). Specifically, the aim of this research is to focus on the properties of eigenvalues of monotone matrices. For those matrices up to order 3, there already exists a complete description of the convex set of eigenvalues. For monotone matrices of order at least 4, this study gives, through simulations, more insight into the geometric description of their eigenvalues. Furthermore, this research treats in a geometric and algebraic way the properties of eigenvalues of monotone matrices of order at least 4.

Keywords: eigenvalues of matrices, finite Markov chains, monotone matrices, nonnegative matrices, stochastic matrices

Procedia PDF Downloads 40

Authors: Saghar Heidari

Abstract:

In this paper, we study the valuation problem of European continuous-installment options under Markov-modulated models with a partial differential equation approach. Due to the opportunity for continuing or stopping to pay installments, the valuation problem under regime-switching models can be formulated as coupled partial differential equations (CPDE) with free boundary features. To value the installment options, we express the truncated CPDE as a linear complementarity problem (LCP), then a finite element method is proposed to solve the resulted variational inequality. Under some appropriate assumptions, we establish the stability of the method and illustrate some numerical results to examine the rate of convergence and accuracy of the proposed method for the pricing problem under the regime-switching model.

Keywords: continuous-installment option, European option, regime-switching model, finite element method

Procedia PDF Downloads 107

Authors: Watcharin Sangma, Onsiri Chanmuang, Pitsanu Tongkhow

Abstract:

A forecasting model for steel demand uncertainty in Thailand is proposed. It consists of trend, autocorrelation, and outliers in a hierarchical Bayesian frame work. The proposed model uses a cumulative Weibull distribution function, latent first-order autocorrelation, and binary selection, to account for trend, time-varying autocorrelation, and outliers, respectively. The Gibbs sampling Markov Chain Monte Carlo (MCMC) is used for parameter estimation. The proposed model is applied to steel demand index data in Thailand. The root mean square error (RMSE), mean absolute percentage error (MAPE), and mean absolute error (MAE) criteria are used for model comparison. The study reveals that the proposed model is more appropriate than the exponential smoothing method.

Keywords: forecasting model, steel demand uncertainty, hierarchical Bayesian framework, exponential smoothing method

Procedia PDF Downloads 320

Authors: Panudet Saengseedam, Nanthachai Kantanantha

Abstract:

This paper proposes a linear mixed model (LMM) with spatial effects to forecast rice and cassava yields in Thailand at the same time. A multivariate conditional autoregressive (MCAR) model is assumed to present the spatial effects. A Bayesian method is used for parameter estimation via Gibbs sampling Markov Chain Monte Carlo (MCMC). The model is applied to the rice and cassava yields monthly data which have been extracted from the Office of Agricultural Economics, Ministry of Agriculture and Cooperatives of Thailand. The results show that the proposed model has better performance in most provinces in both fitting part and validation part compared to the simple exponential smoothing and conditional auto regressive models (CAR) from our previous study.

Keywords: Bayesian method, linear mixed model, multivariate conditional autoregressive model, spatial time series

Procedia PDF Downloads 372

Authors: Kotaro Sasai, Daijiro Mizutani, Kiyoyuki Kaito

Abstract:

Expressways in Japan have been built in an accelerating manner since the 1960s with the aid of rapid economic growth. About 40 percent in length of expressways in Japan is now 30 years and older and has become superannuated. Time-related deterioration has therefore reached to a degree that administrators, from a standpoint of operation and maintenance, are forced to take prompt measures on a large scale aiming at repairing inner damage deep in pavements. These measures have already been performed for bridge management in Japan and are also expected to be embodied for pavement management. Thus, planning methods for the measures are increasingly demanded. Deterioration of layers around road surface such as surface course and binder course is brought about at the early stages of whole pavement deterioration process, around 10 to 30 years after construction. These layers have been repaired primarily because inner damage usually becomes significant after outer damage, and because surveys for measuring inner damage such as Falling Weight Deflectometer (FWD) survey and open-cut survey are costly and time-consuming process, which has made it difficult for administrators to focus on inner damage as much as they have been supposed to. As expressways today have serious time-related deterioration within them deriving from the long time span since they started to be used, it is obvious the idea of repairing layers deep in pavements such as base course and subgrade must be taken into consideration when planning maintenance on a large scale. This sort of maintenance requires precisely predicting degrees of deterioration as well as grasping the present situations of pavements. Methods for predicting deterioration are determined to be either mechanical or statistical. While few mechanical models have been presented, as far as the authors know of, previous studies have presented statistical methods for predicting deterioration in pavements. One describes deterioration process by estimating Markov deterioration hazard model, while another study illustrates it by estimating Proportional deterioration hazard model. Both of the studies analyze deflection data obtained from FWD surveys and present statistical methods for predicting deterioration process of layers around road surface. However, layers of base course and subgrade remain unanalyzed. In this study, data collected from FWD surveys are analyzed to predict deterioration process of layers deep in pavements in addition to surface layers by a means of estimating a deterioration hazard model using continuous indexes. This model can prevent the loss of information of data when setting rating categories in Markov deterioration hazard model when evaluating degrees of deterioration in roadbeds and subgrades. As a result of portraying continuous indexes, the model can predict deterioration in each layer of pavements and evaluate it quantitatively. Additionally, as the model can also depict probability distribution of the indexes at an arbitrary point and establish a risk control level arbitrarily, it is expected that this study will provide knowledge like life cycle cost and informative content during decision making process referring to where to do maintenance on as well as when.

Keywords: deterioration hazard model, falling weight deflectometer, inner damage, load bearing capacity, pavement

Procedia PDF Downloads 353

Authors: Smail Tigani, Mohamed Ouzzif

Abstract:

This work presents a discrete quantitative state prediction algorithm with intelligent behavior making it able to self-improve some performance aspects. The specificity of this algorithm is the capacity of self-rectification of the prediction strategy before the final decision. The auto-rectification mechanism is based on two parallel mathematical models. In one hand, the algorithm predicts the next state based on event transition matrix updated after each observation. In the other hand, the algorithm extracts its residues trend with a linear regression representing historical residues data-points in order to rectify the first decision if needs. For a normal distribution, the interactivity between the two models allows the algorithm to self-optimize its performance and then make better prediction. Designed key performance indicator, computed during a Monte Carlo simulation, shows the advantages of the proposed approach compared with traditional one.

Keywords: discrete state, Markov Chains, linear regression, auto-adaptive systems, decision making, Monte Carlo Simulation

Procedia PDF Downloads 474

Authors: Tarik Bazgour, Cedric Heuchenne, Danielle Sougne

Abstract:

We examine time variation in the market beta of portfolios sorted on quality, liquidity level and liquidity beta characteristics across stock market phases. Using US stock market data for the period 1970-2010, we find, first, the US stock market was driven by four regimes. Second, during the crisis regime, low (high) quality, high (low) liquidity beta and illiquid (liquid) stocks exhibit an increase (a decrease) in their market betas. This finding is consistent with the flight-to-quality and liquidity phenomena. Third, we document the same pattern across stocks when the market volatility is low. We argue that, during low volatility times, investors shift their portfolios towards low quality and illiquid stocks to seek portfolio gains. The pattern observed in the tranquil regime can be, therefore, explained by a flight-to-low-quality and to illiquidity. Finally, our results reveal that liquidity level is more important than liquidity beta during the crisis regime.

Keywords: financial crises, quality, liquidity, liquidity risk, regime-switching models

Procedia PDF Downloads 368

Authors: Mahasa Zahirnia

Abstract:

The purpose of this paper is to explore new and effective ways of optimizing satellite images using artificial intelligence, and the process of implementing reinforcement learning to enhance the quality of data captured within the image. In our implementation of Bellman's Reinforcement Learning equations, associated state diagrams, and multi-stage image processing, we were able to enhance image quality, detect and define objects. Reinforcement learning is the differentiator in the area of artificial intelligence, and Q-Learning relies on trial and error to achieve its goals. The reward system that is embedded in Q-Learning allows the agent to self-evaluate its performance and decide on the best possible course of action based on the current and future environment. Results show that within a simulated environment, built on the images that are commercially available, the rate of detection was 40-90%. Reinforcement learning through Q-Learning algorithm is not just desired but required design criteria for image optimization and enhancements. The proposed methods presented are a cost effective method of resolving uncertainty of the data because reinforcement learning finds ideal policies to manage the process using a smaller sample of images.

Keywords: Q-learning, image optimization, reinforcement learning, Markov decision process

Procedia PDF Downloads 183

Authors: Oluwayemisi O. Alaba, John O. Olaomi

Abstract:

The 2013 Nigerian Demographic Health Survey (NDHS) data was used to investigate the determinants of family size in Nigeria using the geo-additive model. The fixed effect of categorical covariates were modelled using the diffuse prior, P-spline with second-order random walk for the nonlinear effect of continuous variable, spatial effects followed Markov random field priors while the exchangeable normal priors were used for the random effects of the community and household. The Negative Binomial distribution was used to handle overdispersion of the dependent variable. Inference was fully Bayesian approach. Results showed a declining effect of secondary and higher education of mother, Yoruba tribe, Christianity, family planning, mother giving birth by caesarean section and having a partner who has secondary education on family size. Big family size is positively associated with age at first birth, number of daughters in a household, being gainfully employed, married and living with partner, community and household effects.

Keywords: Bayesian analysis, family size, geo-additive model, negative binomial

Procedia PDF Downloads 510

Authors: Betty Johanna Garzon Rozo, Jonathan Crook, Fernando Moreira

Abstract:

Operational risk losses are heavy tailed and are likely to be asymmetric and extremely dependent among business lines/event types. We propose a new methodology to assess, in a multivariate way, the asymmetry and extreme dependence between severity distributions, and to calculate the capital for Operational Risk. This methodology simultaneously uses (i) several parametric distributions and an alternative mix distribution (the Lognormal for the body of losses and the Generalized Pareto Distribution for the tail) via extreme value theory using SAS®, (ii) the multivariate skew t-copula applied for the first time for operational losses and (iii) Bayesian theory to estimate new n-dimensional skew t-copula models via Markov chain Monte Carlo (MCMC) simulation. This paper analyses a newly operational loss data set, SAS Global Operational Risk Data [SAS OpRisk], to model operational risk at international financial institutions. All the severity models are constructed in SAS® 9.2. We implement the procedure PROC SEVERITY and PROC NLMIXED. This paper focuses in describing this implementation.

Keywords: operational risk, loss distribution approach, extreme value theory, copulas

Procedia PDF Downloads 557

Authors: Ghaemi Reza, Abdollahi Hamid, Dashti Elham

Abstract:

Cloud computing poses a diversity of challenges in data mining operation arising out of the dynamic structure of data distribution as against the use of typical database scenarios in conventional architecture. Due to immense number of users seeking data on daily basis, there is a serious security concerns to cloud providers as well as data providers who put their data on the cloud computing environment. Big data analytics use compute intensive data mining algorithms (Hidden markov, MapReduce parallel programming, Mahot Project, Hadoop distributed file system, K-Means and KMediod, Apriori) that require efficient high performance processors to produce timely results. Data mining algorithms to solve or optimize the model parameters. The challenges that operation has to encounter is the successful transactions to be established with the existing virtual machine environment and the databases to be kept under the control. Several factors have led to the distributed data mining from normal or centralized mining. The approach is as a SaaS which uses multi-agent systems for implementing the different tasks of system. There are still some problems of data mining based on cloud computing, including design and selection of data mining algorithms.

Keywords: cloud computing, data mining, computing models, cloud services

Procedia PDF Downloads 445

Authors: John Lorenzo Bautista, Yoon-Joong Kim

Abstract:

In this paper, a set of Filipino Phonetically Balanced Word list consisting of 250 words (PBW250) were constructed for a phoneme-level ASR system for the Filipino language. The Entropy Maximization is used to obtain phonological balance in the list. Entropy of phonemes in a word is maximized, providing an optimal balance in each word’s phonological distribution using the Add-Delete Method (PBW algorithm) and is compared to the modified PBW algorithm implemented in a dynamic algorithm approach to obtain optimization. The gained entropy score of 4.2791 and 4.2902 for the PBW and modified algorithm respectively. The PBW250 was recorded by 40 respondents, each with 2 sets data. Recordings from 30 respondents were trained to produce an acoustic model that were tested using recordings from 10 respondents using the HMM Toolkit (HTK). The results of test gave the maximum accuracy rate of 97.77% for a speaker dependent test and 89.36% for a speaker independent test.

Keywords: entropy maximization, Filipino language, Hidden Markov Model, phonetically balanced words, speech recognition

Procedia PDF Downloads 428

Authors: Nassim Bessaad, Qilian Bao, Zhao Jiangkang

Abstract:

The fiber optics gyroscope in the strap-down inertial navigation system (FOG-SINS) suffers from precision degradation due to the influence of random errors. In this work, an enhanced Allan variance (AV) stochastic modeling method combined with discrete wavelet transform (DWT) for signal denoising is implemented to estimate the random process in the FOG signal. Furthermore, we devise a measurement-based iterative adaptive Sage-Husa nonlinear filter with augmented states to integrate a star tracker sensor with SINS. The proposed filter adapts the measurement noise covariance matrix based on the available data. Moreover, the enhanced stochastic modeling scheme is invested in tuning the process noise covariance matrix and the augmented state Gauss-Markov process parameters. Finally, the effectiveness of the proposed filter is investigated by employing the collected data in laboratory conditions. The result shows the filter's improved accuracy in comparison with the conventional Kalman filter (CKF).

Keywords: inertial navigation, adaptive filtering, star tracker, FOG

Procedia PDF Downloads 53