Search results for: stochastic signals
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1398

Search results for: stochastic signals

1368 Stability of Stochastic Model Predictive Control for Schrödinger Equation with Finite Approximation

Authors: Tomoaki Hashimoto

Abstract:

Recent technological advance has prompted significant interest in developing the control theory of quantum systems. Following the increasing interest in the control of quantum dynamics, this paper examines the control problem of Schrödinger equation because quantum dynamics is basically governed by Schrödinger equation. From the practical point of view, stochastic disturbances cannot be avoided in the implementation of control method for quantum systems. Thus, we consider here the robust stabilization problem of Schrödinger equation against stochastic disturbances. In this paper, we adopt model predictive control method in which control performance over a finite future is optimized with a performance index that has a moving initial and terminal time. The objective of this study is to derive the stability criterion for model predictive control of Schrödinger equation under stochastic disturbances.

Keywords: optimal control, stochastic systems, quantum systems, stabilization

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1367 Electroencephalogram Signals Controlling a Parallax Boe-Bot Robot

Authors: Nema M. Salem, Hanan A. Altukhaifi, Amal Mukhtar, Reemaz K. Hetaimish

Abstract:

Recently, BCI field of research has gained a lot of interest. Apart from motor neuroprosthetics, many studies showed the possibility of controlling a virtual environment of a videogame using the acquired electroencephalogram signals (EEG) from the gamer. In addition, another study had successfully moved a farm tractor using the human’s EEG signals. This article utilizes the use of EEG signals, as a source of technology, in controlling a Parallax Boe-Bot robot. The commercial Emotive Epoc headset has been used in acquiring the EEG signals from rested subjects. Because the human's visual cortex can successfully differentiate between different colors, the red and green colors are used as visual stimuli for generating EEG signals using the Epoc. Arduino and Labview are used to translate the virtually pressed keys into instructions controlling the motion and rotation of the robot. Optimistic results have been achieved except for minor delay and accuracy in the robot’s response.

Keywords: BCI, Emotiv Epoc headset, EEG, Labview, Arduino applications, robot

Procedia PDF Downloads 493
1366 Identification of the Relationship Between Signals in Continuous Monitoring of Production Systems

Authors: Maciej Zaręba, Sławomir Lasota

Abstract:

Understanding the dependencies between the input signal, that controls the production system and signals, that capture its output, is of a great importance in intelligent systems. The method for identification of the relationship between signals in continuous monitoring of production systems is described in the paper. The method discovers the correlation between changes in the states derived from input signals and resulting changes in the states of output signals of the production system. The method is able to handle system inertia, which determines the time shift of the relationship between the input and output.

Keywords: manufacturing operation management, signal relationship, continuous monitoring, production systems

Procedia PDF Downloads 64
1365 The Analysis of Brain Response to Auditory Stimuli through EEG Signals’ Non-Linear Analysis

Authors: H. Namazi, H. T. N. Kuan

Abstract:

Brain activity can be measured by acquiring and analyzing EEG signals from an individual. In fact, the human brain response to external and internal stimuli is mapped in his EEG signals. During years some methods such as Fourier transform, wavelet transform, empirical mode decomposition, etc. have been used to analyze the EEG signals in order to find the effect of stimuli, especially external stimuli. But each of these methods has some weak points in analysis of EEG signals. For instance, Fourier transform and wavelet transform methods are linear signal analysis methods which are not good to be used for analysis of EEG signals as nonlinear signals. In this research we analyze the brain response to auditory stimuli by extracting information in the form of various measures from EEG signals using a software developed by our research group. The used measures are Jeffrey’s measure, Fractal dimension and Hurst exponent. The results of these analyses are useful not only for fundamental understanding of brain response to auditory stimuli but provide us with very good recommendations for clinical purposes.

Keywords: auditory stimuli, brain response, EEG signal, fractal dimension, hurst exponent, Jeffrey’s measure

Procedia PDF Downloads 511
1364 System for Electromyography Signal Emulation Through the Use of Embedded Systems

Authors: Valentina Narvaez Gaitan, Laura Valentina Rodriguez Leguizamon, Ruben Dario Hernandez B.

Abstract:

This work describes a physiological signal emulation system that uses electromyography (EMG) signals obtained from muscle sensors in the first instance. These signals are used to extract their characteristics to model and emulate specific arm movements. The main objective of this effort is to develop a new biomedical software system capable of generating physiological signals through the use of embedded systems by establishing the characteristics of the acquired signals. The acquisition system used was Biosignals, which contains two EMG electrodes used to acquire signals from the forearm muscles placed on the extensor and flexor muscles. Processing algorithms were implemented to classify the signals generated by the arm muscles when performing specific movements such as wrist flexion extension, palmar grip, and wrist pronation-supination. Matlab software was used to condition and preprocess the signals for subsequent classification. Subsequently, the mathematical modeling of each signal is performed to be generated by the embedded system, with a validation of the accuracy of the obtained signal using the percentage of cross-correlation, obtaining a precision of 96%. The equations are then discretized to be emulated in the embedded system, obtaining a system capable of generating physiological signals according to the characteristics of medical analysis.

Keywords: classification, electromyography, embedded system, emulation, physiological signals

Procedia PDF Downloads 62
1363 Optimal Production and Maintenance Policy for a Partially Observable Production System with Stochastic Demand

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

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1362 A Study on Stochastic Integral Associated with Catastrophes

Authors: M. Reni Sagayaraj, S. Anand Gnana Selvam, R. Reynald Susainathan

Abstract:

We analyze stochastic integrals associated with a mutation process. To be specific, we describe the cell population process and derive the differential equations for the joint generating functions for the number of mutants and their integrals in generating functions and their applications. We obtain first-order moments of the processes of the two-way mutation process in first-order moment structure of X (t) and Y (t) and the second-order moments of a one-way mutation process. In this paper, we obtain the limiting behaviour of the integrals in limiting distributions of X (t) and Y (t).

Keywords: stochastic integrals, single–server queue model, catastrophes, busy period

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1361 Analysis of Two Methods to Estimation Stochastic Demand in the Vehicle Routing Problem

Authors: Fatemeh Torfi

Abstract:

Estimation of stochastic demand in physical distribution in general and efficient transport routs management in particular is emerging as a crucial factor in urban planning domain. It is particularly important in some municipalities such as Tehran where a sound demand management calls for a realistic analysis of the routing system. The methodology involved critically investigating a fuzzy least-squares linear regression approach (FLLRs) to estimate the stochastic demands in the vehicle routing problem (VRP) bearing in mind the customer's preferences order. A FLLR method is proposed in solving the VRP with stochastic demands. Approximate-distance fuzzy least-squares (ADFL) estimator ADFL estimator is applied to original data taken from a case study. The SSR values of the ADFL estimator and real demand are obtained and then compared to SSR values of the nominal demand and real demand. Empirical results showed that the proposed methods can be viable in solving problems under circumstances of having vague and imprecise performance ratings. The results further proved that application of the ADFL was realistic and efficient estimator to face the stochastic demand challenges in vehicle routing system management and solve relevant problems.

Keywords: fuzzy least-squares, stochastic, location, routing problems

Procedia PDF Downloads 398
1360 CE Method for Development of Japan's Stochastic Earthquake Catalogue

Authors: Babak Kamrani, Nozar Kishi

Abstract:

Stochastic catalog represents the events module of the earthquake loss estimation models. It includes series of events with different magnitudes and corresponding frequencies/probabilities. For the development of the stochastic catalog, random or uniform sampling methods are used to sample the events from the seismicity model. For covering all the Magnitude Frequency Distribution (MFD), a huge number of events should be generated for the above-mentioned methods. Characteristic Event (CE) method chooses the events based on the interest of the insurance industry. We divide the MFD of each source into bins. We have chosen the bins based on the probability of the interest by the insurance industry. First, we have collected the information for the available seismic sources. Sources are divided into Fault sources, subduction, and events without specific fault source. We have developed the MFD for each of the individual and areal source based on the seismicity of the sources. Afterward, we have calculated the CE magnitudes based on the desired probability. To develop the stochastic catalog, we have introduced uncertainty to the location of the events too.

Keywords: stochastic catalogue, earthquake loss, uncertainty, characteristic event

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1359 Evaluating Forecasts Through Stochastic Loss Order

Authors: Wilmer Osvaldo Martinez, Manuel Dario Hernandez, Juan Manuel Julio

Abstract:

We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through stochastic loss order rather than expected loss order, which is the way it is customarily performed in previous work. Moreover, since forecast performance evaluation can be understood as a one way analysis of variance, we propose to explore loss distributions under two circumstances; when a strict (but unknown) joint stochastic order exists among the losses of all forecast alternatives, and when such order happens among subsets of alternative procedures. In spite of the fact that loss stochastic order is stronger than loss moment order, our proposals are at least as powerful as competing tests, and are robust to the correlation, autocorrelation and heteroskedasticity settings they consider. In addition, since our proposals do not require samples of the same size, their scope is also wider, and provided that they test the whole loss distribution instead of just loss moments, they can also be used to study forecast distributions as well. We illustrate the usefulness of our proposals by evaluating a set of real world forecasts.

Keywords: forecast evaluation, stochastic order, multiple comparison, non parametric test

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1358 Analysis of Brain Signals Using Neural Networks Optimized by Co-Evolution Algorithms

Authors: Zahra Abdolkarimi, Naser Zourikalatehsamad,

Abstract:

Up to 40 years ago, after recognition of epilepsy, it was generally believed that these attacks occurred randomly and suddenly. However, thanks to the advance of mathematics and engineering, such attacks can be predicted within a few minutes or hours. In this way, various algorithms for long-term prediction of the time and frequency of the first attack are presented. In this paper, by considering the nonlinear nature of brain signals and dynamic recorded brain signals, ANFIS model is presented to predict the brain signals, since according to physiologic structure of the onset of attacks, more complex neural structures can better model the signal during attacks. Contribution of this work is the co-evolution algorithm for optimization of ANFIS network parameters. Our objective is to predict brain signals based on time series obtained from brain signals of the people suffering from epilepsy using ANFIS. Results reveal that compared to other methods, this method has less sensitivity to uncertainties such as presence of noise and interruption in recorded signals of the brain as well as more accuracy. Long-term prediction capacity of the model illustrates the usage of planted systems for warning medication and preventing brain signals.

Keywords: co-evolution algorithms, brain signals, time series, neural networks, ANFIS model, physiologic structure, time prediction, epilepsy suffering, illustrates model

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1357 Stability of Hybrid Stochastic Systems

Authors: Manlika Ratchagit

Abstract:

This paper is concerned with robust mean square stability of uncertain stochastic switched discrete time-delay systems. The system to be considered is subject to interval time-varying delays, which allows the delay to be a fast time-varying function and the lower bound is not restricted to zero. Based on the discrete Lyapunov functional, a switching rule for the robust mean square stability for the uncertain stochastic discrete time-delay system is designed via linear matrix inequalities. Finally, some examples are exploited to illustrate the effectiveness of the proposed schemes.

Keywords: robust mean square stability, discrete-time stochastic systems, hybrid systems, interval time-varying delays, Lyapunov functional, linear matrix inequalities

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1356 Low Cost Real Time Robust Identification of Impulsive Signals

Authors: R. Biondi, G. Dys, G. Ferone, T. Renard, M. Zysman

Abstract:

This paper describes an automated implementable system for impulsive signals detection and recognition. The system uses a Digital Signal Processing device for the detection and identification process. Here the system analyses the signals in real time in order to produce a particular response if needed. The system analyses the signals in real time in order to produce a specific output if needed. Detection is achieved through normalizing the inputs and comparing the read signals to a dynamic threshold and thus avoiding detections linked to loud or fluctuating environing noise. Identification is done through neuronal network algorithms. As a setup our system can receive signals to “learn” certain patterns. Through “learning” the system can recognize signals faster, inducing flexibility to new patterns similar to those known. Sound is captured through a simple jack input, and could be changed for an enhanced recording surface such as a wide-area recorder. Furthermore a communication module can be added to the apparatus to send alerts to another interface if needed.

Keywords: sound detection, impulsive signal, background noise, neural network

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1355 New Results on Stability of Hybrid Stochastic Systems

Authors: Manlika Rajchakit

Abstract:

This paper is concerned with robust mean square stability of uncertain stochastic switched discrete time-delay systems. The system to be considered is subject to interval time-varying delays, which allows the delay to be a fast time-varying function and the lower bound is not restricted to zero. Based on the discrete Lyapunov functional, a switching rule for the robust mean square stability for the uncertain stochastic discrete time-delay system is designed via linear matrix inequalities. Finally, some examples are exploited to illustrate the effectiveness of the proposed schemes.

Keywords: robust mean square stability, discrete-time stochastic systems, hybrid systems, interval time-varying delays, lyapunov functional, linear matrix inequalities

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1354 Efficiency Measurement of Turkish via the Stochastic Frontier Model

Authors: Yeliz Mert Kantar, İsmail Yeni̇lmez, Ibrahim Arik

Abstract:

In this study, the efficiency measurement of the top fifty Turkish Universities has been conducted. The top fifty Turkish Universities are listed by The Scientific and Technological Research Council of Turkey (TÜBITAK) according to the Entrepreneur and Innovative University Index every year. The index is calculated based on four components since 2018. Four components are scientific and technological research competency, intellectual property pool, cooperation and interaction, and economic and social contribution. The four components consist of twenty-three sub-components. The 2021 list announced in January 2022 is discussed in this study. Efficiency analysis have been carried out using the Stochastic Frontier Model. Statistical significance of the sub-components that make up the index with certain weights has been examined in terms of the efficiency measurement calculated through the Stochastic Frontier Model. The relationship between the efficiency ranking estimated based on the Stochastic Frontier Model and the Entrepreneur and Innovative University Index ranking is discussed in detail.

Keywords: efficiency, entrepreneur and innovative universities, turkish universities, stochastic frontier model, tübi̇tak

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1353 Hybrid Equity Warrants Pricing Formulation under Stochastic Dynamics

Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

Abstract:

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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1352 Geometric and Algebraic Properties of the Eigenvalues of Monotone Matrices

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 41
1351 The Non-Linear Analysis of Brain Response to Visual Stimuli

Authors: H. Namazi, H. T. N. Kuan

Abstract:

Brain activity can be measured by acquiring and analyzing EEG signals from an individual. In fact, the human brain response to external and internal stimuli is mapped in his EEG signals. During years some methods such as Fourier transform, wavelet transform, empirical mode decomposition, etc. have been used to analyze the EEG signals in order to find the effect of stimuli, especially external stimuli. But each of these methods has some weak points in analysis of EEG signals. For instance, Fourier transform and wavelet transform methods are linear signal analysis methods which are not good to be used for analysis of EEG signals as nonlinear signals. In this research we analyze the brain response to visual stimuli by extracting information in the form of various measures from EEG signals using a software developed by our research group. The used measures are Jeffrey’s measure, Fractal dimension and Hurst exponent. The results of these analyses are useful not only for fundamental understanding of brain response to visual stimuli but provide us with very good recommendations for clinical purposes.

Keywords: visual stimuli, brain response, EEG signal, fractal dimension, hurst exponent, Jeffrey’s measure

Procedia PDF Downloads 525
1350 Signals Affecting Crowdfunding Success for Australian Social Enterprises

Authors: Mai Yen Nhi Doan, Viet Le, Chamindika Weerakoon

Abstract:

Social enterprises have emerged as sustainable organisations that deliver social achievement along with long-term financial advancement. However, recorded financial barriers have urged social enterprises to divert to other financing methods due to the misaligned ideology with traditional financing capitalists, in which crowdfunding can be a promising alternative. Previous studies in crowdfunding have inadequately addressed crowdfunding for social enterprises, with conflicting results due to the unsuitable analysis of signals in isolation rather than in combinations, using the data from platforms that do not support social enterprises. Extending the signalling theory, this study suggests that crowdfunding success results from the collaboration between costly and costless signals. The proposed conceptual framework enlightens the interaction between costly signals as “organisational information”, “social entrepreneur’s credibility,” and “third-party endorsement” and costless signals as various sub-signals under the “campaign preparedness” signal to achieve crowdfunding success. Using Qualitative Comparative Analysis, this study examined 45 crowdfunding campaigns run by Australian social enterprises on StartSomeGood and Chuffed. The analysis found that different combinations of costly and costless signals can lead to crowdfunding success, allowing social enterprises to adopt suitable combinations of signals to their context. Costless signal – campaign preparedness is fundamental for success, though different costless sub-signals under campaign preparedness can interact with different costly signals for the desired outcome. Third-party endorsement signal was found to be the necessary signal for crowdfunding success for Australian social enterprises.

Keywords: crowdfunding, qualitative comparative analysis (QCA), signalling theory, social enterprises

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1349 Evaluating the Effects of a Positive Bitcoin Shock on the U.S Economy: A TVP-FAVAR Model with Stochastic Volatility

Authors: Olfa Kaabia, Ilyes Abid, Khaled Guesmi

Abstract:

This pioneer paper studies whether and how Bitcoin shocks are transmitted to the U.S economy. We employ a new methodology: TVP FAVAR model with stochastic volatility. We use a large dataset of 111 major U.S variables from 1959:m1 to 2016:m12. The results show that Bitcoin shocks significantly impact the U.S. economy. This significant impact is pronounced in a volatile and increasing U.S economy. The Bitcoin has a positive relationship on the U.S real activity, and a negative one on U.S prices and interest rates. Effects on the Monetary Policy exist via the inter-est rates and the Money, Credit and Finance transmission channels.

Keywords: bitcoin, US economy, FAVAR models, stochastic volatility

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1348 Stability of Solutions of Semidiscrete Stochastic Systems

Authors: Ramazan Kadiev, Arkadi Ponossov

Abstract:

Semidiscrete systems contain both continuous and discrete components. This means that the dynamics is mostly continuous, but at certain instants, it is exposed to abrupt influences. Such systems naturally appear in applications, for example, in biological and ecological models as well as in the control theory. Therefore, the study of semidiscrete systems has recently attracted the attention of many specialists. Stochastic effects are an important part of any realistic approach to modeling. For example, stochasticity arises in the population dynamics, demographic and ecological due to a change in time of factors external to the system affecting the survival of the population. In control theory, random coefficients can simulate inaccuracies in measurements. It will be shown in the presentation how to incorporate such effects into semidiscrete systems. Stability analysis is an essential part of modeling real-world problems. In the presentation, it will be explained how sufficient conditions for the moment stability of solutions in terms of the coefficients for linear semidiscrete stochastic equations can be derived using non-Lyapunov technique.

Keywords: abrupt changes, exponential stability, regularization, stochastic noises

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1347 Performance and Availability Analysis of 2N Redundancy Models

Authors: Yutae Lee

Abstract:

In this paper, we consider the performance and availability of a redundancy model. The redundancy model is a form of resilience that ensures service availability in the event of component failure. This paper considers a 2N redundancy model. In the model there are at most one active service unit and at most one standby service unit. The active one is providing the service while the standby is prepared to take over the active role when the active fails. We design our analysis model using Stochastic Reward Nets, and then evaluate the performance and availability of 2N redundancy model using Stochastic Petri Net Package (SPNP).

Keywords: availability, performance, stochastic reward net, 2N redundancy

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1346 A Multi-Criteria Model for Scheduling of Stochastic Single Machine Problem with Outsourcing and Solving It through Application of Chance Constrained

Authors: Homa Ghave, Parmis Shahmaleki

Abstract:

This paper presents a new multi-criteria stochastic mathematical model for a single machine scheduling with outsourcing allowed. There are multiple jobs processing in batch. For each batch, all of job or a quantity of it can be outsourced. The jobs have stochastic processing time and lead time and deterministic due dates arrive randomly. Because of the stochastic inherent of processing time and lead time, we use the chance constrained programming for modeling the problem. First, the problem is formulated in form of stochastic programming and then prepared in a form of deterministic mixed integer linear programming. The objectives are considered in the model to minimize the maximum tardiness and outsourcing cost simultaneously. Several procedures have been developed to deal with the multi-criteria problem. In this paper, we utilize the concept of satisfaction functions to increases the manager’s preference. The proposed approach is tested on instances where the random variables are normally distributed.

Keywords: single machine scheduling, multi-criteria mathematical model, outsourcing strategy, uncertain lead times and processing times, chance constrained programming, satisfaction function

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1345 Solving Stochastic Eigenvalue Problem of Wick Type

Authors: Hassan Manouzi, Taous-Meriem Laleg-Kirati

Abstract:

In this paper we study mathematically the eigenvalue problem for stochastic elliptic partial differential equation of Wick type. Using the Wick-product and the Wiener-Ito chaos expansion, the stochastic eigenvalue problem is reformulated as a system of an eigenvalue problem for a deterministic partial differential equation and elliptic partial differential equations by using the Fredholm alternative. To reduce the computational complexity of this system, we shall use a decomposition-coordination method. Once this approximation is performed, the statistics of the numerical solution can be easily evaluated.

Keywords: eigenvalue problem, Wick product, SPDEs, finite element, Wiener-Ito chaos expansion

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1344 Denoising of Magnetotelluric Signals by Filtering

Authors: Rodrigo Montufar-Chaveznava, Fernando Brambila-Paz, Ivette Caldelas

Abstract:

In this paper, we present the advances corresponding to the denoising processing of magnetotelluric signals using several filters. In particular, we use the most common spatial domain filters such as median and mean, but we are also using the Fourier and wavelet transform for frequency domain filtering. We employ three datasets obtained at the different sampling rate (128, 4096 and 8192 bps) and evaluate the mean square error, signal-to-noise relation, and peak signal-to-noise relation to compare the kernels and determine the most suitable for each case. The magnetotelluric signals correspond to earth exploration when water is searched. The object is to find a denoising strategy different to the one included in the commercial equipment that is employed in this task.

Keywords: denoising, filtering, magnetotelluric signals, wavelet transform

Procedia PDF Downloads 336
1343 Numerical Simulation of Wishart Diffusion Processes

Authors: Raphael Naryongo, Philip Ngare, Anthony Waititu

Abstract:

This paper deals with numerical simulation of Wishart processes for a single asset risky pricing model whose volatility is described by Wishart affine diffusion processes. The multi-factor specification of volatility will make the model more flexible enough to fit the stock market data for short or long maturities for better returns. The Wishart process is a stochastic process which is a positive semi-definite matrix-valued generalization of the square root process. The aim of the study is to model the log asset stock returns under the double Wishart stochastic volatility model. The solution of the log-asset return dynamics for Bi-Wishart processes will be obtained through Euler-Maruyama discretization schemes. The numerical results on the asset returns are compared to the existing models returns such as Heston stochastic volatility model and double Heston stochastic volatility model

Keywords: euler schemes, log-asset return, infinitesimal generator, wishart diffusion affine processes

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1342 Dynamical Relation of Poisson Spike Trains in Hodkin-Huxley Neural Ion Current Model and Formation of Non-Canonical Bases, Islands, and Analog Bases in DNA, mRNA, and RNA at or near the Transcription

Authors: Michael Fundator

Abstract:

Groundbreaking application of biomathematical and biochemical research in neural networks processes to formation of non-canonical bases, islands, and analog bases in DNA and mRNA at or near the transcription that contradicts the long anticipated statistical assumptions for the distribution of bases and analog bases compounds is implemented through statistical and stochastic methods apparatus with addition of quantum principles, where the usual transience of Poisson spike train becomes very instrumental tool for finding even almost periodical type of solutions to Fokker-Plank stochastic differential equation. Present article develops new multidimensional methods of finding solutions to stochastic differential equations based on more rigorous approach to mathematical apparatus through Kolmogorov-Chentsov continuity theorem that allows the stochastic processes with jumps under certain conditions to have γ-Holder continuous modification that is used as basis for finding analogous parallels in dynamics of neutral networks and formation of analog bases and transcription in DNA.

Keywords: Fokker-Plank stochastic differential equation, Kolmogorov-Chentsov continuity theorem, neural networks, translation and transcription

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1341 Modelling Structural Breaks in Stock Price Time Series Using Stochastic Differential Equations

Authors: Daniil Karzanov

Abstract:

This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modeled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of stochastic differential equations to the pre-and after-report period using the Maximum Likelihood Estimation and Grid Search of parameters method. By examining the change in the model parameters after reports’ publication, the study reveals that the reports have enough evidence to be a structural breakpoint, meaning that all the forecast models exploited are not applicable for forecasting and should be refitted shortly.

Keywords: stock market, earnings reports, financial time series, structural breaks, stochastic differential equations

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1340 Artificial Intelligence Based Analysis of Magnetic Resonance Signals for the Diagnosis of Tissue Abnormalities

Authors: Kapila Warnakulasuriya, Walimuni Janaka Mendis

Abstract:

In this study, an artificial intelligence-based approach is developed to diagnose abnormal tissues in human or animal bodies by analyzing magnetic resonance signals. As opposed to the conventional method of generating an image from the magnetic resonance signals, which are then evaluated by a radiologist for the diagnosis of abnormalities, in the discussed approach, the magnetic resonance signals are analyzed by an artificial intelligence algorithm without having to generate or analyze an image. The AI-based program compares magnetic resonance signals with millions of possible magnetic resonance waveforms which can be generated from various types of normal tissues. Waveforms generated by abnormal tissues are then identified, and images of the abnormal tissues are generated with the possible location of them in the body for further diagnostic tests.

Keywords: magnetic resonance, artificial intelligence, magnetic waveform analysis, abnormal tissues

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1339 A Method for Quantitative Assessment of the Dependencies between Input Signals and Output Indicators in Production Systems

Authors: Maciej Zaręba, Sławomir Lasota

Abstract:

Knowing the degree of dependencies between the sets of input signals and selected sets of indicators that measure a production system's effectiveness is of great importance in the industry. This paper introduces the SELM method that enables the selection of sets of input signals, which affects the most the selected subset of indicators that measures the effectiveness of a production system. For defined set of output indicators, the method quantifies the impact of input signals that are gathered in the continuous monitoring production system.

Keywords: manufacturing operation management, signal relationship, continuous monitoring, production systems

Procedia PDF Downloads 88