3,050 research outputs found

    Advances in machine learning algorithms for financial risk management

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    In this thesis, three novel machine learning techniques are introduced to address distinct yet interrelated challenges involved in financial risk management tasks. These approaches collectively offer a comprehensive strategy, beginning with the precise classification of credit risks, advancing through the nuanced forecasting of financial asset volatility, and ending with the strategic optimisation of financial asset portfolios. Firstly, a Hybrid Dual-Resampling and Cost-Sensitive technique has been proposed to combat the prevalent issue of class imbalance in financial datasets, particularly in credit risk assessment. The key process involves the creation of heuristically balanced datasets to effectively address the problem. It uses a resampling technique based on Gaussian mixture modelling to generate a synthetic minority class from the minority class data and concurrently uses k-means clustering on the majority class. Feature selection is then performed using the Extra Tree Ensemble technique. Subsequently, a cost-sensitive logistic regression model is then applied to predict the probability of default using the heuristically balanced datasets. The results underscore the effectiveness of our proposed technique, with superior performance observed in comparison to other imbalanced preprocessing approaches. This advancement in credit risk classification lays a solid foundation for understanding individual financial behaviours, a crucial first step in the broader context of financial risk management. Building on this foundation, the thesis then explores the forecasting of financial asset volatility, a critical aspect of understanding market dynamics. A novel model that combines a Triple Discriminator Generative Adversarial Network with a continuous wavelet transform is proposed. The proposed model has the ability to decompose volatility time series into signal-like and noise-like frequency components, to allow the separate detection and monitoring of non-stationary volatility data. The network comprises of a wavelet transform component consisting of continuous wavelet transforms and inverse wavelet transform components, an auto-encoder component made up of encoder and decoder networks, and a Generative Adversarial Network consisting of triple Discriminator and Generator networks. The proposed Generative Adversarial Network employs an ensemble of unsupervised loss derived from the Generative Adversarial Network component during training, supervised loss and reconstruction loss as part of its framework. Data from nine financial assets are employed to demonstrate the effectiveness of the proposed model. This approach not only enhances our understanding of market fluctuations but also bridges the gap between individual credit risk assessment and macro-level market analysis. Finally the thesis ends with a novel proposal of a novel technique or Portfolio optimisation. This involves the use of a model-free reinforcement learning strategy for portfolio optimisation using historical Low, High, and Close prices of assets as input with weights of assets as output. A deep Capsules Network is employed to simulate the investment strategy, which involves the reallocation of the different assets to maximise the expected return on investment based on deep reinforcement learning. To provide more learning stability in an online training process, a Markov Differential Sharpe Ratio reward function has been proposed as the reinforcement learning objective function. Additionally, a Multi-Memory Weight Reservoir has also been introduced to facilitate the learning process and optimisation of computed asset weights, helping to sequentially re-balance the portfolio throughout a specified trading period. The use of the insights gained from volatility forecasting into this strategy shows the interconnected nature of the financial markets. Comparative experiments with other models demonstrated that our proposed technique is capable of achieving superior results based on risk-adjusted reward performance measures. In a nut-shell, this thesis not only addresses individual challenges in financial risk management but it also incorporates them into a comprehensive framework; from enhancing the accuracy of credit risk classification, through the improvement and understanding of market volatility, to optimisation of investment strategies. These methodologies collectively show the potential of the use of machine learning to improve financial risk management

    Meta-knowledge guided Bayesian optimization framework for robust crop yield estimation

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    Accurate pre-harvest crop yield estimation is vital for agricultural sustainability and economic stability. The existing yield estimating models exhibit deficiencies in insufficient examination of hyperparameters, lack of robustness, restricted transferability of meta-models, and uncertain generalizability when applied to agricultural data. This study presents a novel meta-knowledge-guided framework that leverages three diverse agricultural datasets and explores meta-knowledge transfer in frequent hyperparameter optimization scenarios. The framework’s approach involves base tasks using LightGBM and Bayesian Optimization, which automates hyperparameter optimization by eliminating the need for manual adjustments. Conducted rigorous experiments to analyze the meta-knowledge transformation of RGPE, SGPR, and TransBO algorithms, achieving impressive R2 values (0.8415, 0.9865, 0.9708) using rgpe_prf meta-knowledge transfer on diverse datasets. Furthermore, the framework yielded excellent results for mean squared error (MSE), mean absolute error (MAE), scaled MSE, and scaled MAE. These results emphasize the method’s significance, offering valuable insights for crop yield estimation, benefiting farmers and the agricultural sector

    An ensemble model for predictive energy performance:Closing the gap between actual and predicted energy use in residential buildings

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    The design stage of a building plays a pivotal role in influencing its life cycle and overall performance. Accurate predictions of a building's performance are crucial for informed decision-making, particularly in terms of energy performance, given the escalating global awareness of climate change and the imperative to enhance energy efficiency in buildings. However, a well-documented energy performance gap persists between actual and predicted energy consumption, primarily attributed to the unpredictable nature of occupant behavior.Existing methodologies for predicting and simulating occupant behavior in buildings frequently neglect or exclusively concentrate on particular behaviors, resulting in uncertainties in energy performance predictions. Machine learning approaches have exhibited increased accuracy in predicting occupant energy behavior, yet the majority of extant studies focus on specific behavior types rather than investigating the interactions among all contributing factors. This dissertation delves into the building energy performance gap, with a particular emphasis on the influence of occupants on energy performance. A comprehensive literature review scrutinizes machine learning models employed for predicting occupants' behavior in buildings and assesses their performance. The review uncovers knowledge gaps, as most studies are case-specific and lack a consolidated database to examine diverse behaviors across various building types.An ensemble model integrating occupant behavior parameters is devised to enhance the accuracy of energy performance predictions in residential buildings. Multiple algorithms are examined, with the selection of algorithms contingent upon evaluation metrics. The ensemble model is validated through a case study that compares actual energy consumption with the predictions of the ensemble model and an EnergyPlus simulation that takes occupant behavior factors into account.The findings demonstrate that the ensemble model provides considerably more accurate predictions of actual energy consumption compared to the EnergyPlus simulation. This dissertation also addresses the research limitations, including the reusability of the model and the requirement for additional datasets to bolster confidence in the model's applicability across diverse building types and occupant behavior patterns.In summary, this dissertation presents an ensemble model that endeavors to bridge the gap between actual and predicted energy usage in residential buildings by incorporating occupant behavior parameters, leading to more precise energy performance predictions and promoting superior energy management strategies

    LIPIcs, Volume 251, ITCS 2023, Complete Volume

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    LIPIcs, Volume 251, ITCS 2023, Complete Volum

    Vibration-based damage localisation: Impulse response identification and model updating methods

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    Structural health monitoring has gained more and more interest over the recent decades. As the technology has matured and monitoring systems are employed commercially, the development of more powerful and precise methods is the logical next step in this field. Especially vibration sensor networks with few measurement points combined with utilisation of ambient vibration sources are attractive for practical applications, as this approach promises to be cost-effective while requiring minimal modification to the monitored structures. Since efficient methods for damage detection have already been developed for such sensor networks, the research focus shifts towards extracting more information from the measurement data, in particular to the localisation and quantification of damage. Two main concepts have produced promising results for damage localisation. The first approach involves a mechanical model of the structure, which is used in a model updating scheme to find the damaged areas of the structure. Second, there is a purely data-driven approach, which relies on residuals of vibration estimations to find regions where damage is probable. While much research has been conducted following these two concepts, different approaches are rarely directly compared using the same data sets. Therefore, this thesis presents advanced methods for vibration-based damage localisation using model updating as well as a data-driven method and provides a direct comparison using the same vibration measurement data. The model updating approach presented in this thesis relies on multiobjective optimisation. Hence, the applied numerical optimisation algorithms are presented first. On this basis, the model updating parameterisation and objective function formulation is developed. The data-driven approach employs residuals from vibration estimations obtained using multiple-input finite impulse response filters. Both approaches are then verified using a simulated cantilever beam considering multiple damage scenarios. Finally, experimentally obtained data from an outdoor girder mast structure is used to validate the approaches. In summary, this thesis provides an assessment of model updating and residual-based damage localisation by means of verification and validation cases. It is found that the residual-based method exhibits numerical performance sufficient for real-time applications while providing a high sensitivity towards damage. However, the localisation accuracy is found to be superior using the model updating method

    Dissecting Extracellular Matrix Internalisation Mechanisms using Functional Genomics

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    Breast and ovarian malignancies account for one third of female cancers. The role of the stroma in supporting invasive growth in breast cancer has become clear. Breast cancer cells interact and respond to the cues from the surrounding extracellular matrix (ECM). Integrins are main cell adhesion receptors and key players in invasive migration by linking the ECM to the actin cytoskeleton. In addition, integrins mediate distinctive biochemical and biomechanical signals to support cancer invasion. The role of matrix proteases in promoting ECM degradation and cancer dissemination has been extensively studied; however, cancer cells possess additional means to support those processes, such as integrin-mediated ECM endocytosis and consequent degradation in the lysosomes. Internalisation of the extracellular matrix is upregulated in invasive breast cancer. Nonetheless, the mechanisms by which cancer cells regulate this process are poorly understood. We developed a high throughput pH sensitive system to detect ECM uptake. Here, we show that MDA-MB-231 breast cancer cells converge in macropinocytosis to internalise diverse ECM components and we confirm that this process is modulated by PAK1. To unravel which ECM components breast cancer cells internalise in a complex environment (namely, cell derived matrices), we performed mass spectrometry. Proteomic analysis identified Annexin A6, Collagen VI, Tenascin C and fibronectin, among other matrisome proteins, to be internalised by invasive breast cancer cells. Following ECM endocytosis, ECM is targeted for lysosomal degradation. To unravel the molecular mechanisms behind this process, we performed a trafficking screen and identified the AP3 complex, VAMP7, Arf1 and ARFGEF2. Our results suggest that the AP3 complex may regulate ECM-integrin delivery to lysosomes. To gain more insight on the signalling pathways governing macropinocytosis in breast cancer cells, we performed a kinase and phosphatase screen that unravelled MAP3K1 and PPP2R1A, a subunit of protein phosphatase 2A (PP2A) as relevant regulators of ECM endocytosis. Furthermore, our data suggests that p38 mitogen-activated protein kinase (MAPK) activation upon binding to the ECM is required for ECM macropinocytosis. Outstandingly, inhibiting p38 MAPK led to profound changes in the ability of breast cancer cells to migrate in cell derived matrices. Previous work from the Rainero lab focused on characterising the receptors involved in ECM internalisation; α2β1 integrin was identified as the main regulator of ECM uptake in MDA-MB-231 cells. In particular, α2β1 integrin has been shown to activate p38 MAPK pathway. Taken together, we hypothesise that binding of ECM to α2β1 integrin results in the activation of PAK1 and MAP3K1, which in turn leads to ECM endocytosis. p38 MAPK activity may induce changes in actin polymerisation via PPP2R1A and/or focal adhesion turnover, which consequently promotes ECM macropinocytosis and invasive migration

    Economic power dispatch solutions incorporating stochastic wind power generators by moth flow optimizer

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    Optimization encourages the economical and efficient operation of the electrical system. Most power system problems are nonlinear and nonconvex, and they frequently ask for the optimization of two or more diametrically opposed objectives. The numerical optimization revolution led to the introduction of numerous evolutionary algorithms (EAs). Most of these methods sidestep the problems of early convergence by searching the universe for the ideal. Because the field of EA is evolving, it may be necessary to reevaluate the usage of new algorithms to solve optimization problems involving power systems. The introduction of renewable energy sources into the smart grid of the present enables the emergence of novel optimization problems with an abundance of new variables. This study's primary purpose is to apply state-of-the-art variations of the differential evolution (DE) algorithm for single-objective optimization and selected evolutionary algorithms for multi-objective optimization issues in power systems. In this investigation, we employ the recently created metaheuristic algorithm known as the moth flow optimizer (MFO), which allows us to answer all five of the optimal power flow (OPF) difficulty objective functions: (1) reducing the cost of power generation (including stochastic solar and thermal power generation), (2) diminished power, (3) voltage variation, (4) emissions, and (5) reducing both the cost of power generating and emissions. Compared to the lowest figures provided by comparable approaches, MFO's cost of power production for IEEE-30 and IEEE-57 bus architectures is 888.7248perhourand 888.7248 per hour and 31121.85 per hour, respectively. This results in hourly cost savings between 1.23 % and 1.92%. According to the facts, MFO is superior to the other algorithms and might be utilized to address the OPF problem

    Exploration autonome et efficiente de chantiers miniers souterrains inconnus avec un drone filaire

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    Abstract: Underground mining stopes are often mapped using a sensor located at the end of a pole that the operator introduces into the stope from a secure area. The sensor emits laser beams that provide the distance to a detected wall, thus creating a 3D map. This produces shadow zones and a low point density on the distant walls. To address these challenges, a research team from the Université de Sherbrooke is designing a tethered drone equipped with a rotating LiDAR for this mission, thus benefiting from several points of view. The wired transmission allows for unlimited flight time, shared computing, and real-time communication. For compatibility with the movement of the drone after tether entanglements, the excess length is integrated into an onboard spool, contributing to the drone payload. During manual piloting, the human factor causes problems in the perception and comprehension of a virtual 3D environment, as well as the execution of an optimal mission. This thesis focuses on autonomous navigation in two aspects: path planning and exploration. The system must compute a trajectory that maps the entire environment, minimizing the mission time and respecting the maximum onboard tether length. Path planning using a Rapidly-exploring Random Tree (RRT) quickly finds a feasible path, but the optimization is computationally expensive and the performance is variable and unpredictable. Exploration by the frontier method is representative of the space to be explored and the path can be optimized by solving a Traveling Salesman Problem (TSP) but existing techniques for a tethered drone only consider the 2D case and do not optimize the global path. To meet these challenges, this thesis presents two new algorithms. The first one, RRT-Rope, produces an equal or shorter path than existing algorithms in a significantly shorter computation time, up to 70% faster than the next best algorithm in a representative environment. A modified version of RRT-connect computes a feasible path, shortened with a deterministic technique that takes advantage of previously added intermediate nodes. The second algorithm, TAPE, is the first 3D cavity exploration method that focuses on minimizing mission time and unwound tether length. On average, the overall path is 4% longer than the method that solves the TSP, but the tether remains under the allowed length in 100% of the simulated cases, compared to 53% with the initial method. The approach uses a 2-level hierarchical architecture: global planning solves a TSP after frontier extraction, and local planning minimizes the path cost and tether length via a decision function. The integration of these two tools in the NetherDrone produces an intelligent system for autonomous exploration, with semi-autonomous features for operator interaction. This work opens the door to new navigation approaches in the field of inspection, mapping, and Search and Rescue missions.La cartographie des chantiers miniers souterrains est souvent réalisée à l’aide d’un capteur situé au bout d’une perche que l’opérateur introduit dans le chantier, depuis une zone sécurisée. Le capteur émet des faisceaux laser qui fournissent la distance à un mur détecté, créant ainsi une carte en 3D. Ceci produit des zones d’ombres et une faible densité de points sur les parois éloignées. Pour relever ces défis, une équipe de recherche de l’Université de Sherbrooke conçoit un drone filaire équipé d’un LiDAR rotatif pour cette mission, bénéficiant ainsi de plusieurs points de vue. La transmission filaire permet un temps de vol illimité, un partage de calcul et une communication en temps réel. Pour une compatibilité avec le mouvement du drone lors des coincements du fil, la longueur excédante est intégrée dans une bobine embarquée, qui contribue à la charge utile du drone. Lors d’un pilotage manuel, le facteur humain entraîne des problèmes de perception et compréhension d’un environnement 3D virtuel, et d’exécution d’une mission optimale. Cette thèse se concentre sur la navigation autonome sous deux aspects : la planification de trajectoire et l’exploration. Le système doit calculer une trajectoire qui cartographie l’environnement complet, en minimisant le temps de mission et en respectant la longueur maximale de fil embarquée. La planification de trajectoire à l’aide d’un Rapidly-exploring Random Tree (RRT) trouve rapidement un chemin réalisable, mais l’optimisation est coûteuse en calcul et la performance est variable et imprévisible. L’exploration par la méthode des frontières est représentative de l’espace à explorer et le chemin peut être optimisé en résolvant un Traveling Salesman Problem (TSP), mais les techniques existantes pour un drone filaire ne considèrent que le cas 2D et n’optimisent pas le chemin global. Pour relever ces défis, cette thèse présente deux nouveaux algorithmes. Le premier, RRT-Rope, produit un chemin égal ou plus court que les algorithmes existants en un temps de calcul jusqu’à 70% plus court que le deuxième meilleur algorithme dans un environnement représentatif. Une version modifiée de RRT-connect calcule un chemin réalisable, raccourci avec une technique déterministe qui tire profit des noeuds intermédiaires préalablement ajoutés. Le deuxième algorithme, TAPE, est la première méthode d’exploration de cavités en 3D qui minimise le temps de mission et la longueur du fil déroulé. En moyenne, le trajet global est 4% plus long que la méthode qui résout le TSP, mais le fil reste sous la longueur autorisée dans 100% des cas simulés, contre 53% avec la méthode initiale. L’approche utilise une architecture hiérarchique à 2 niveaux : la planification globale résout un TSP après extraction des frontières, et la planification locale minimise le coût du chemin et la longueur de fil via une fonction de décision. L’intégration de ces deux outils dans le NetherDrone produit un système intelligent pour l’exploration autonome, doté de fonctionnalités semi-autonomes pour une interaction avec l’opérateur. Les travaux réalisés ouvrent la porte à de nouvelles approches de navigation dans le domaine des missions d’inspection, de cartographie et de recherche et sauvetage
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