Search results for: Buffer Estimation
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1151

Search results for: Buffer Estimation

461 An Application-Driven Procedure for Optimal Signal Digitization of Automotive-Grade Ultrasonic Sensors

Authors: Mohamed Shawki Elamir, Heinrich Gotzig, Raoul Zoellner, Patrick Maeder

Abstract:

In this work, a methodology is presented for identifying the optimal digitization parameters for the analog signal of ultrasonic sensors. These digitization parameters are the resolution of the analog to digital conversion and the sampling rate. This is accomplished though the derivation of characteristic curves based on Fano inequality and the calculation of the mutual information content over a given dataset. The mutual information is calculated between the examples in the dataset and the corresponding variation in the feature that needs to be estimated. The optimal parameters are identified in a manner that ensures optimal estimation performance while preventing inefficiency in using unnecessarily powerful analog to digital converters.

Keywords: Analog to digital conversion, digitization, sampling rate, ultrasonic sensors.

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460 Despeckling of Synthetic Aperture Radar Images Using Inner Product Spaces in Undecimated Wavelet Domain

Authors: Syed Musharaf Ali, Muhammad Younus Javed, Naveed Sarfraz Khattak, Athar Mohsin, UmarFarooq

Abstract:

This paper introduces the effective speckle reduction of synthetic aperture radar (SAR) images using inner product spaces in undecimated wavelet domain. There are two major areas in projection onto span algorithm where improvement can be made. First is the use of undecimated wavelet transformation instead of discrete wavelet transformation. And second area is the use of smoothing filter namely directional smoothing filter which is an additional step. Proposed method does not need any noise estimation and thresholding technique. More over proposed method gives good results on both single polarimetric and fully polarimetric SAR images.

Keywords: Directional Smoothing, Inner product, Length ofvector, Undecimated wavelet transformation.

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459 Numerical Evaluation of the Contribution of Inertial and Aerodynamic Forces on VAWT Blade Loading

Authors: Marco Raciti Castelli, Stefano De Betta, Ernesto Benini

Abstract:

A two-dimensional numerical simulation of the contribution of both inertial and aerodynamic forces on the blade loads of a Vertical-Axis Wind Turbine (VAWT) is presented. After describing the computational model and the relative validation procedure, a complete campaign of simulations - based on full RANS unsteady calculations - is proposed for a three-bladed rotor architecture characterized by a NACA 0021 airfoil. For each analyzed angular velocity, the combined effect of pressure and viscous forces acting on every rotor blade are compared to the corresponding centrifugal forces, due to the revolution of the turbine, thus achieving a preliminary estimation of the correlation between overall rotor efficiency and structural blade loads.

Keywords: CFD, VAWT, NACA 0021, aerodynamic forces, inertial loadings.

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458 Estimation of Stress Intensity Factors from Near Crack Tip Field

Authors: Zhuang He, Andrei Kotousov

Abstract:

All current experimental methods for determination of stress intensity factors are based on the assumption that the state of stress near the crack tip is plane stress. Therefore, these methods rely on strain and displacement measurements made outside the near crack tip region affected by the three-dimensional effects or by process zone. In this paper, we develop and validate an experimental procedure for the evaluation of stress intensity factors from the measurements of the out-of-plane displacements in the surface area controlled by 3D effects. The evaluation of stress intensity factors is possible when the process zone is sufficiently small, and the displacement field generated by the 3D effects is fully encapsulated by K-dominance region.

Keywords: Digital image correlation, stress intensity factors, three-dimensional effects, transverse displacement.

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457 CFD Simulation of Dense Gas Extraction through Polymeric Membranes

Authors: Azam Marjani, Saeed Shirazian

Abstract:

In this study is presented a general methodology to predict the performance of a continuous near-critical fluid extraction process to remove compounds from aqueous solutions using hollow fiber membrane contactors. A comprehensive 2D mathematical model was developed to study Porocritical extraction process. The system studied in this work is a membrane based extractor of ethanol and acetone from aqueous solutions using near-critical CO2. Predictions of extraction percentages obtained by simulations have been compared to the experimental values reported by Bothun et al. [5]. Simulations of extraction percentage of ethanol and acetone show an average difference of 9.3% and 6.5% with the experimental data, respectively. More accurate predictions of the extraction of acetone could be explained by a better estimation of the transport properties in the aqueous phase that controls the extraction of this solute.

Keywords: Solvent extraction, Membrane, Mass transfer, Densegas, Modeling

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456 Using SNAP and RADTRAD to Establish the Analysis Model for Maanshan PWR Plant

Authors: J. R. Wang, H. C. Chen, C. Shih, S. W. Chen, J. H. Yang, Y. Chiang

Abstract:

In this study, we focus on the establishment of the analysis model for Maanshan PWR nuclear power plant (NPP) by using RADTRAD and SNAP codes with the FSAR, manuals, and other data. In order to evaluate the cumulative dose at the Exclusion Area Boundary (EAB) and Low Population Zone (LPZ) outer boundary, Maanshan NPP RADTRAD/SNAP model was used to perform the analysis of the DBA LOCA case. The analysis results of RADTRAD were similar to FSAR data. These analysis results were lower than the failure criteria of 10 CFR 100.11 (a total radiation dose to the whole body, 250 mSv; a total radiation dose to the thyroid from iodine exposure, 3000 mSv).

Keywords: RADionuclide, transport, removal, and dose estimation, RADTRAD, symbolic nuclear analysis package, SNAP, dose, PWR.

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455 Choosing between the Regression Correlation, the Rank Correlation, and the Correlation Curve

Authors: Roger L Goodwin

Abstract:

This paper presents a rank correlation curve. The traditional correlation coefficient is valid for both continuous variables and for integer variables using rank statistics. Since the correlation coefficient has already been established in rank statistics by Spearman, such a calculation can be extended to the correlation curve. This paper presents two survey questions. The survey collected non-continuous variables. We will show weak to moderate correlation. Obviously, one question has a negative effect on the other. A review of the qualitative literature can answer which question and why. The rank correlation curve shows which collection of responses has a positive slope and which collection of responses has a negative slope. Such information is unavailable from the flat, ”first-glance” correlation statistics.

Keywords: Bayesian estimation, regression model, rank statistics, correlation, correlation curve.

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454 A Stable Pose Estimation Method for the Biped Robot using Image Information

Authors: Sangbum Park, Youngjoon Han

Abstract:

This paper proposes a balance control scheme for a biped robot to trace an arbitrary path using image information. While moving, it estimates the zero moment point(ZMP) of the biped robot in the next step using a Kalman filter and renders an appropriate balanced pose of the robot. The ZMP can be calculated from the robot's pose, which is measured from the reference object image acquired by a CCD camera on the robot's head. For simplifying the kinematical model, the coordinates systems of individual joints of each leg are aligned and the robot motion is approximated as an inverted pendulum so that a simple linear dynamics, 3D-LIPM(3D-Linear Inverted Pendulum Mode) can be applied. The efficiency of the proposed algorithm has been proven by the experiments performed on unknown trajectory.

Keywords: Biped robot, Zero moment point, Balance control, Kalman filter.

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453 Effects of Electric Potential on Thermo-Mechanical Behavior of Functionally Graded Piezoelectric Hollow Cylinder under Non-Axisymmetric Loads

Authors: Amir Atrian, Javad Jafari Fesharaki, Gh. Hossein Majzoobi, Mahsa Sheidaee

Abstract:

The analytical solution of functionally graded piezoelectric hollow cylinder which is under radial electric potential and non-axisymmetric thermo-mechanical loads, are presented in this paper. Using complex Fourier series and estimation of power law for variations of material characterizations through the thickness, the electro thermo mechanical behavior of the FGPM cylinder is obtained. The stress and displacement distributions and the effect of electric potential field on the cylinder behavior are also presented and some applicable results are offered at the end of the paper.

Keywords: Analytical, FGM, Fourier series, Non-axisymmetric, Piezoelectric, Thermo-elasticity

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452 Extracting Human Body based on Background Estimation in Modified HLS Color Space

Authors: Jang-Hee Yoo, Doosung Hwang, Jong-Wook Han, Ki-Young Moon

Abstract:

The ability to recognize humans and their activities by computer vision is a very important task, with many potential application. Study of human motion analysis is related to several research areas of computer vision such as the motion capture, detection, tracking and segmentation of people. In this paper, we describe a segmentation method for extracting human body contour in modified HLS color space. To estimate a background, the modified HLS color space is proposed, and the background features are estimated by using the HLS color components. Here, the large amount of human dataset, which was collected from DV cameras, is pre-processed. The human body and its contour is successfully extracted from the image sequences.

Keywords: Background Subtraction, Human Silhouette Extraction, HLS Color Space, and Object Segmentation

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451 Estimation of Fecundity and Gonadosomatic Index of Terapon jarbua from Pondicherry Coast, India

Authors: R. Nandikeswari, M. Sambasivam, V. Anandan

Abstract:

In the present study fecundity of Terapon jarbua was estimated for 41 matured females from the Bay of Bengal, Pondicherry. The fecundity (F) was found to range from 13,475 to 115,920 in fishes between 173-278mm Total length (TL) and 65- 298 gm weight respectively. The co-efficient of correlation for F/TL (log F = - 4.821 + 4.146 log TL), F/SL (log F = -3.936 + 3.867 log SL), F/WF (log F = 1.229 + 0.730 log TW) and F/GW (log F = 0.724 + 1.113 log GW) were obtained as 0.474, 0.537, 0.641 and 0.908 respectively. The regression line for the TL, SL, WF and GW of the fishes were found to be linear when they were plotted against their fecundity on logarithmic scales. Highly significant (P<0.01) relationship was obtained for all the variables. Hence Total Length, Standard Length, Weight of Fish and Gonad Weight were found to be the best indicators of the fecundity of Terapon jarbua. Gonadosomatic indices of Terapon jarbua showed that the spawning took place in February to July. The overall sex ratio of male to female is 1.28:1 with chi-square value 5.719, significant at 5% level.

Keywords: Fecundity, Gonadosomatic index, Reproductive biology, spawning, Terapon jarbua.

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450 Artificial Neural Network based Parameter Estimation and Design Optimization of Loop Antenna

Authors: Kumaresh Sarmah, Kandarpa Kumar Sarma

Abstract:

Artificial Neural Network (ANN)s are best suited for prediction and optimization problems. Trained ANNs have found wide spread acceptance in several antenna design systems. Four parameters namely antenna radiation resistance, loss resistance, efficiency, and inductance can be used to design an antenna layout though there are several other parameters available. An ANN can be trained to provide the best and worst case precisions of an antenna design problem defined by these four parameters. This work describes the use of an ANN to generate the four mentioned parameters for a loop antenna for the specified frequency range. It also provides insights to the prediction of best and worst-case design problems observed in applications and thereby formulate a model for physical layout design of a loop antenna.

Keywords: MLP, ANN, parameter, prediction, optimization.

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449 Statistical Study of Drink Markets: Case Study

Authors: Seyed Habib A. Rahmati, Arash Haji Karimi, Reza Saffari, Zeeya Rashvand

Abstract:

An important official knowledge in each country is to have a comprehensive knowledge about markets of each group of products. Drink markets are one the most important markets of each country as a sub-group of nourishment markets. This paper is going to study these markets in Iran. To do so, first, two drink products are selected as pilot, including milk and concentrate. Then, for each product, two groups of information are estimated for the last five years, including 1) total consumption (demand) and 2) total production. Finally, the two groups of productions are compared statistically by means of two statistical tests called t test and Mann- Whitney test. The implemented Different related tables and figures are also illustrated to show the method more explicitly.

Keywords: Market evaluation, Drink, Estimation, Mann- Whitney test

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448 A Faunistic Comparative Study of Families Hesperiidae and Nymphalidae (Lepidoptera: Rhopalocera) of Syrian Arab Republic and Republic of Armenia

Authors: N. Zarikian

Abstract:

Comparative analysis of the fauna of two families of butterflies (Lepidoptera: Rhopalocera) – Hesperiidae and Nymphalidae were carried out. In general, 122 species of the families are recorded. among these 33 species belong to Hesperiidae and 89 to Nymphalidae. The numbers by countries are as follows: 72 species are found in Syria (including 24 Hesperiidae and 48 Nymphalidae) and 97 in Armenia (26 and 71 species, respectively). Two species of Hesperiidae are reported for Syrian fauna for the first time and one species is newly recorded for Armenia. From the species above mentioned 38 are common both for Syria and Armenia. For estimation of the similarity of faunas studied were used the Jaccard index. By families the index is rather different, consisting for Hesperiidae 0.5151 and for Nymphalidae 0.337.

Keywords: Armenia, fauna, Hesperiidae, Nymphalidae, Rhopalocera: Lepidoptera, Syria.

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447 Estimating Frequency, Amplitude and Phase of Two Sinusoids with Very Close Frequencies

Authors: Jayme G. A. Barbedo, Amauri Lopes

Abstract:

This paper presents an algorithm to estimate the parameters of two closely spaced sinusoids, providing a frequency resolution that is more than 800 times greater than that obtained by using the Discrete Fourier Transform (DFT). The strategy uses a highly optimized grid search approach to accurately estimate frequency, amplitude and phase of both sinusoids, keeping at the same time the computational effort at reasonable levels. The proposed method has three main characteristics: 1) a high frequency resolution; 2) frequency, amplitude and phase are all estimated at once using one single package; 3) it does not rely on any statistical assumption or constraint. Potential applications to this strategy include the difficult task of resolving coincident partials of instruments in musical signals.

Keywords: Closely spaced sinusoids, high-resolution parameter estimation, optimized grid search.

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446 Application of Artificial Neural Network for Predicting Maintainability Using Object-Oriented Metrics

Authors: K. K. Aggarwal, Yogesh Singh, Arvinder Kaur, Ruchika Malhotra

Abstract:

Importance of software quality is increasing leading to development of new sophisticated techniques, which can be used in constructing models for predicting quality attributes. One such technique is Artificial Neural Network (ANN). This paper examined the application of ANN for software quality prediction using Object- Oriented (OO) metrics. Quality estimation includes estimating maintainability of software. The dependent variable in our study was maintenance effort. The independent variables were principal components of eight OO metrics. The results showed that the Mean Absolute Relative Error (MARE) was 0.265 of ANN model. Thus we found that ANN method was useful in constructing software quality model.

Keywords: Software quality, Measurement, Metrics, Artificial neural network, Coupling, Cohesion, Inheritance, Principal component analysis.

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445 Manufacturing Process and Cost Estimation through Process Detection by Applying Image Processing Technique

Authors: Chalakorn Chitsaart, Suchada Rianmora, Noppawat Vongpiyasatit

Abstract:

In order to reduce the transportation time and cost for direct interface between customer and manufacturer, the image processing technique has been introduced in this research where designing part and defining manufacturing process can be performed quickly. A3D virtual model is directly generated from a series of multi-view images of an object, and it can be modified, analyzed, and improved the structure, or function for the further implementations, such as computer-aided manufacturing (CAM). To estimate and quote the production cost, the user-friendly platform has been developed in this research where the appropriate manufacturing parameters and process detections have been identified and planned by CAM simulation.

Keywords: Image processing technique, Feature detections, Surface registrations, Capturing multi-view images, Production costs, and Manufacturing processes.

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444 Analysis of Distribution of Thrust, Torque and Efficiency of a Constant Chord, Constant Pitch C.R.P. Fan by H.E.S. Method

Authors: Morteza Abbaszadeh, Parvin Nikpoorparizi, Mina Shahrooz

Abstract:

For the first time since 1940 and presentation of theodorson-s theory, distribution of thrust, torque and efficiency along the blade of a counter rotating propeller axial fan was studied with a novel method in this research. A constant chord, constant pitch symmetric fan was investigated with Reynolds Stress Turbulence method in this project and H.E.S. method was utilized to obtain distribution profiles from C.F.D. tests outcome. C.F.D. test results were validated by estimation from Playlic-s analytical method. Final results proved ability of H.E.S. method to obtain distribution profiles from C.F.D test results and demonstrated interesting facts about effects of solidity and differences between distributions in front and rear section.

Keywords: C.F.D Test, Counter Rotating Propeller, H.E.S. Method, R.S.M. Method

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443 Odor Discrimination Using Neural Decoding of Olfactory Bulbs in Rats

Authors: K.-J. You, H.J. Lee, Y. Lang, C. Im, C.S. Koh, H.-C. Shin

Abstract:

This paper presents a novel method for inferring the odor based on neural activities observed from rats- main olfactory bulbs. Multi-channel extra-cellular single unit recordings were done by micro-wire electrodes (tungsten, 50μm, 32 channels) implanted in the mitral/tufted cell layers of the main olfactory bulb of anesthetized rats to obtain neural responses to various odors. Neural response as a key feature was measured by substraction of neural firing rate before stimulus from after. For odor inference, we have developed a decoding method based on the maximum likelihood (ML) estimation. The results have shown that the average decoding accuracy is about 100.0%, 96.0%, 84.0%, and 100.0% with four rats, respectively. This work has profound implications for a novel brain-machine interface system for odor inference.

Keywords: biomedical signal processing, neural engineering, olfactory, neural decoding, BMI

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442 Using Morphological and Microsatellite (SSR) Markers to Assess the Genetic Diversity in Alfalfa (Medicago sativa L.)

Authors: T. Cholastova, D. Knotova

Abstract:

Utilization of diverse germplasm is needed to enhance the genetic diversity of cultivars. The objective of this study was to evaluate the genetic relationships of 98 alfalfa germplasm accessions using morphological traits and SSR markers. From the 98 tested populations, 81 were locals originating in Europe, 17 were introduced from USA, Australia, New Zealand and Canada. Three primers generated 67 polymorphic bands. The average polymorphic information content (PIC) was very high (> 0.90) over all three used primer combinations. Cluster analysis using Unweighted Pair Group Method with Arithmetic Means (UPGMA) and Jaccard´s coefficient grouped the accessions into 2 major clusters with 4 sub-clusters with no correlation between genetic and morphological diversity. The SSR analysis clearly indicated that even with three polymorphic primers, reliable estimation of genetic diversity could be obtained.

Keywords: genetic diversity, Medicago sativa L., morphological traits, SSR markers

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441 Non-Linear Control Based on State Estimation for the Convoy of Autonomous Vehicles

Authors: M-M. Mohamed Ahmed, Nacer K. M’Sirdi, Aziz Naamane

Abstract:

In this paper, a longitudinal and lateral control approach based on a nonlinear observer is proposed for a convoy of autonomous vehicles to follow a desired trajectory. To authors best knowledge, this topic has not yet been sufficiently addressed in the literature for the control of multi vehicles. The modeling of the convoy of the vehicles is revisited using a robotic method for simulation purposes and control design. With these models, a sliding mode observer is proposed to estimate the states of each vehicle in the convoy from the available sensors, then a sliding mode control based on this observer is used to control the longitudinal and lateral movement. The validation and performance evaluation are done using the well-known driving simulator Scanner-Studio. The results are presented for different maneuvers of 5 vehicles.

Keywords: Autonomous vehicles, convoy, nonlinear control, nonlinear observer, sliding mode.

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440 Fault Location Identification in High Voltage Transmission Lines

Authors: Khaled M. El Naggar

Abstract:

This paper introduces a digital method for fault section identification in transmission lines. The method uses digital set of the measured short circuit current to locate faults in electrical power systems. The digitized current is used to construct a set of overdetermined system of equations. The problem is then constructed and solved using the proposed digital optimization technique to find the fault distance. The proposed optimization methodology is an application of simulated annealing optimization technique. The method is tested using practical case study to evaluate the proposed method. The accurate results obtained show that the algorithm can be used as a powerful tool in the area of power system protection.

Keywords: Optimization, estimation, faults, measurement, high voltage, simulated annealing.

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439 Angle of Arrival Estimation Using Maximum Likelihood Method

Authors: H. K. Hwang, Zekeriya Aliyazicioglu, Solomon Wu, Hung Lu, Nick Wilkins, Daniel Kerr

Abstract:

Multiple-input multiple-output (MIMO) radar has received increasing attention in recent years. MIMO radar has many advantages over conventional phased array radar such as target detection,resolution enhancement, and interference suppression. In this paper, the results are presented from a simulation study of MIMO uniformly-spaced linear array (ULA) antennas. The performance is investigated under varied parameters, including varied array size, pseudo random (PN) sequence length, number of snapshots, and signal to noise ratio (SNR). The results of MIMO are compared to a traditional array antenna.

Keywords: Multiple-input multiple-output (MIMO) radar, phased array antenna, target detection, radar signal processing.

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438 Robust Adaptation to Background Noise in Multichannel C-OTDR Monitoring Systems

Authors: Andrey V. Timofeev, Viktor M. Denisov

Abstract:

A robust sequential nonparametric method is proposed for adaptation to background noise parameters for real-time. The distribution of background noise was modelled like to Huber contamination mixture. The method is designed to operate as an adaptation-unit, which is included inside a detection subsystem of an integrated multichannel monitoring system. The proposed method guarantees the given size of a nonasymptotic confidence set for noise parameters. Properties of the suggested method are rigorously proved. The proposed algorithm has been successfully tested in real conditions of a functioning C-OTDR monitoring system, which was designed to monitor railways.

Keywords: Guaranteed estimation, multichannel monitoring systems, non-asymptotic confidence set, contamination mixture.

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437 Integrated Power Saving for Multiple Relays and UEs in LTE-TDD

Authors: Chun-Chuan Yang, Jeng-Yueng Chen, Yi-Ting Mai, Chen-Ming Yang

Abstract:

In this paper, the design of integrated sleep scheduling for relay nodes and user equipments under a Donor eNB (DeNB) in the mode of Time Division Duplex (TDD) in LTE-A is presented. The idea of virtual time is proposed to deal with the discontinuous pattern of the available radio resource in TDD, and based on the estimation of the traffic load, three power saving schemes in the top-down strategy are presented. Associated mechanisms in each scheme including calculation of the virtual subframe capacity, the algorithm of integrated sleep scheduling, and the mapping mechanisms for the backhaul link and the access link are presented in the paper. Simulation study shows the advantage of the proposed schemes in energy saving over the standard DRX scheme.

Keywords: LTE-A, Relay, TDD, Power Saving.

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436 Fractal - Wavelet Based Techniques for Improving the Artificial Neural Network Models

Authors: Reza Bazargan Lari, Mohammad H. Fattahi

Abstract:

Natural resources management including water resources requires reliable estimations of time variant environmental parameters. Small improvements in the estimation of environmental parameters would result in grate effects on managing decisions. Noise reduction using wavelet techniques is an effective approach for preprocessing of practical data sets. Predictability enhancement of the river flow time series are assessed using fractal approaches before and after applying wavelet based preprocessing. Time series correlation and persistency, the minimum sufficient length for training the predicting model and the maximum valid length of predictions were also investigated through a fractal assessment.

Keywords: Wavelet, de-noising, predictability, time series fractal analysis, valid length, ANN.

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435 Impairments Correction of Six-Port Based Millimeter-Wave Radar

Authors: Dan Ohev Zion, Alon Cohen

Abstract:

In recent years, the presence of short-range millimeter-wave radar in civil application has increased significantly. Autonomous driving, security, 3D imaging and high data rate communication systems are a few examples. The next challenge is the integration inside small form-factor devices, such as smartphones (e.g. gesture recognition). The main challenge is implementation of a truly low-power, low-complexity high-resolution radar. The most popular approach is the Frequency Modulated Continuous Wave (FMCW) radar, with an analog multiplication front-end. In this paper, we present an approach for adaptive estimation and correction of impairments of such front-end, specifically implemented using the Six-Port Device (SPD) as the multiplier element. The proposed algorithm was simulated and implemented on a 60 GHz radar lab prototype.

Keywords: Radar, millimeter-wave, six-port, FMCW Radar, IQ mismatch.

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434 Monotonic and Cyclic J-integral Estimation for Through-Wall Cracked Straight Pipes

Authors: Rohit, S. Vishnuvardhan, P. Gandhi, Nagesh R. Iyer

Abstract:

The evaluation of energy release rate and centre Crack Opening Displacement (COD) for circumferential Through-Wall Cracked (TWC) pipes is an important issue in the assessment of critical crack length for unstable fracture. The ability to predict crack growth continues to be an important component of research for several structural materials. Crack growth predictions can aid the understanding of the useful life of a structural component and the determination of inspection intervals and criteria. In this context, studies were carried out at CSIR-SERC on Nuclear Power Plant (NPP) piping components subjected to monotonic as well as cyclic loading to assess the damage for crack growth due to low-cycle fatigue in circumferentially TWC pipes.

Keywords: 304LN stainless steel, cyclic J-integral, Elastic- Plastic Fracture Mechanics, J-integral, Through-wall crack

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433 Choosing Search Algorithms in Bayesian Optimization Algorithm

Authors: Hao Wu, Jonathan L. Shapiro

Abstract:

The Bayesian Optimization Algorithm (BOA) is an algorithm based on the estimation of distributions. It uses techniques from modeling data by Bayesian networks to estimating the joint distribution of promising solutions. To obtain the structure of Bayesian network, different search algorithms can be used. The key point that BOA addresses is whether the constructed Bayesian network could generate new and useful solutions (strings), which could lead the algorithm in the right direction to solve the problem. Undoubtedly, this ability is a crucial factor of the efficiency of BOA. Varied search algorithms can be used in BOA, but their performances are different. For choosing better ones, certain suitable method to present their ability difference is needed. In this paper, a greedy search algorithm and a stochastic search algorithm are used in BOA to solve certain optimization problem. A method using Kullback-Leibler (KL) Divergence to reflect their difference is described.

Keywords: Bayesian optimization algorithm, greedy search, KL divergence, stochastic search.

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432 Normalizing Logarithms of Realized Volatility in an ARFIMA Model

Authors: G. L. C. Yap

Abstract:

Modelling realized volatility with high-frequency returns is popular as it is an unbiased and efficient estimator of return volatility. A computationally simple model is fitting the logarithms of the realized volatilities with a fractionally integrated long-memory Gaussian process. The Gaussianity assumption simplifies the parameter estimation using the Whittle approximation. Nonetheless, this assumption may not be met in the finite samples and there may be a need to normalize the financial series. Based on the empirical indices S&P500 and DAX, this paper examines the performance of the linear volatility model pre-treated with normalization compared to its existing counterpart. The empirical results show that by including normalization as a pre-treatment procedure, the forecast performance outperforms the existing model in terms of statistical and economic evaluations.

Keywords: Long-memory, Gaussian process, Whittle estimator, normalization, volatility, value-at-risk.

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