High roughness time series forecasting based on energy associated of series

In this study, an algorithm to adjust parameters of high roughness time series based on energy associated of series using a feed-forward NN-based model is presented. The criterion for adjustment consists of building time series values from forecasted time series area and taking into account the roughness of series. These values are approximated by the NN to make a primitive calculated as an area by the predictor filter used as a new entrance. A comparison between this work and another that involves a similar approach to test time series prediction, indicates an improvement for certain sort of series. The NN filter output is intended to approximate the current value available from the series which has the same Hurst Parameter as the real time series. The proposed approach is tested over five time series obtained from samples of Mackey-Glass delay differential equations (MG). Therefore, these results show a model performance for time series forecasting and encourage to be applied for meteorological variables measurements such as soil moisture series, daily rainfall and monthly cumulative rainfall time series forecasting.Fil: Rodriguez Rivero, Cristian Maximiliano. Universidad Nacional de Córdoba. Facultad de Ciencias Exactas, Físicas y Naturales; ArgentinaFil: Pucheta, Julián Antonio. Universidad Nacional de Córdoba. Facultad de Ciencias Exactas, Físicas y Naturales; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - San Juan. Instituto de Automática. Universidad Nacional de San Juan. Facultad de Ingeniería. Instituto de Automática; ArgentinaFil: Baumgartner, Josef Sylvester. Universidad Nacional de Córdoba. Facultad de Cs.exactas Físicas y Naturales. Departamento de Electronica; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Patiño, Héctor Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - San Juan. Instituto de Automática. Universidad Nacional de San Juan. Facultad de Ingeniería. Instituto de Automática; ArgentinaFil: Sauchelli, Victor Hugo. Universidad Nacional de Córdoba. Facultad de Ciencias Exactas, Físicas y Naturales; Argentin

Forecasting inflation with thick models and neural networks

This paper applies linear and neural network-based “thick” models for forecasting inflation based on Phillips–curve formulations in the USA, Japan and the euro area. Thick models represent “trimmed mean” forecasts from several neural network models. They outperform the best performing linear models for “real-time” and “bootstrap” forecasts for service indices for the euro area, and do well, sometimes better, for the more general consumer and producer price indices across a variety of countries. JEL Classification: C12, E31bootstrap, Neural Networks, Phillips Curves, real-time forecasting, Thick Models

Review of Low Voltage Load Forecasting: Methods, Applications, and Recommendations

The increased digitalisation and monitoring of the energy system opens up numerous opportunities to decarbonise the energy system. Applications on low voltage, local networks, such as community energy markets and smart storage will facilitate decarbonisation, but they will require advanced control and management. Reliable forecasting will be a necessary component of many of these systems to anticipate key features and uncertainties. Despite this urgent need, there has not yet been an extensive investigation into the current state-of-the-art of low voltage level forecasts, other than at the smart meter level. This paper aims to provide a comprehensive overview of the landscape, current approaches, core applications, challenges and recommendations. Another aim of this paper is to facilitate the continued improvement and advancement in this area. To this end, the paper also surveys some of the most relevant and promising trends. It establishes an open, community-driven list of the known low voltage level open datasets to encourage further research and development.Comment: 37 pages, 6 figures, 2 tables, review pape

Multi-agent system for flood forecasting in Tropical River Basin

It is well known, the problems related to the generation of floods, their control, and management, have been treated with traditional hydrologic modeling tools focused on the study and the analysis of the precipitation-runoff relationship, a physical process which is driven by the hydrological cycle and the climate regime and that is directly proportional to the generation of floodwaters. Within the hydrological discipline, they classify these traditional modeling tools according to three principal groups, being the first group defined as trial-and-error models (e.g., "black-models"), the second group are the conceptual models, which are categorized in three main sub-groups as "lumped", "semi-lumped" and "semi-distributed", according to the special distribution, and finally, models that are based on physical processes, known as "white-box models" are the so-called "distributed-models". On the other hand, in engineering applications, there are two types of models used in streamflow forecasting, and which are classified concerning the type of measurements and variables required as "physically based models", as well as "data-driven models". The Physically oriented prototypes present an in-depth account of the dynamics related to the physical aspects that occur internally among the different systems of a given hydrographic basin. However, aside from being laborious to implement, they rely thoroughly on mathematical algorithms, and an understanding of these interactions requires the abstraction of mathematical concepts and the conceptualization of the physical processes that are intertwined among these systems. Besides, models determined by data necessitates an a-priori understanding of the physical laws controlling the process within the system, and they are bound to mathematical formulations, which require a lot of numeric information for field adjustments. Therefore, these models are remarkably different from each other because of their needs for data, and their interpretation of physical phenomena. Although there is considerable progress in hydrologic modeling for flood forecasting, several significant setbacks remain unresolved, given the stochastic nature of the hydrological phenomena, is the challenge to implement user-friendly, re-usable, robust, and reliable forecasting systems, the amount of uncertainty they must deal with when trying to solve the flood forecasting problem. However, in the past decades, with the growing environment and development of the artificial intelligence (AI) field, some researchers have seldomly attempted to deal with the stochastic nature of hydrologic events with the application of some of these techniques. Given the setbacks to hydrologic flood forecasting previously described this thesis research aims to integrate the physics-based hydrologic, hydraulic, and data-driven models under the paradigm of Multi-agent Systems for flood forecasting by designing and developing a multi-agent system (MAS) framework for flood forecasting events within the scope of tropical watersheds. With the emergence of the agent technologies, the "agent-based modeling" and "multiagent systems" simulation methods have provided applications for some areas of hydro base management like flood protection, planning, control, management, mitigation, and forecasting to combat the shocks produced by floods on society; however, all these focused on evacuation drills, and the latter not aimed at the tropical river basin, whose hydrological regime is extremely unique. In this catchment modeling environment approach, it was applied the multi-agent systems approach as a surrogate of the conventional hydrologic model to build a system that operates at the catchment level displayed with hydrometric stations, that use the data from hydrometric sensors networks (e.g., rainfall, river stage, river flow) captured, stored and administered by an organization of interacting agents whose main aim is to perform flow forecasting and awareness, and in so doing enhance the policy-making process at the watershed level. Section one of this document surveys the status of the current research in hydrologic modeling for the flood forecasting task. It is a journey through the background of related concerns to the hydrological process, flood ontologies, management, and forecasting. The section covers, to a certain extent, the techniques, methods, and theoretical aspects and methods of hydrological modeling and their types, from the conventional models to the present-day artificial intelligence prototypes, making special emphasis on the multi-agent systems, as most recent modeling methodology in the hydrological sciences. However, it is also underlined here that the section does not contribute to an all-inclusive revision, rather its purpose is to serve as a framework for this sort of work and a path to underline the significant aspects of the works. In section two of the document, it is detailed the conceptual framework for the suggested Multiagent system in support of flood forecasting. To accomplish this task, several works need to be carried out such as the sketching and implementation of the system’s framework with the (Belief-Desire-Intention model) architecture for flood forecasting events within the concept of the tropical river basin. Contributions of this proposed architecture are the replacement of the conventional hydrologic modeling with the use of multi-agent systems, which makes it quick for hydrometric time-series data administration and modeling of the precipitation-runoff process which conveys to flood in a river course. Another advantage is the user-friendly environment provided by the proposed multi-agent system platform graphical interface, the real-time generation of graphs, charts, and monitors with the information on the immediate event taking place in the catchment, which makes it easy for the viewer with some or no background in data analysis and their interpretation to get a visual idea of the information at hand regarding the flood awareness. The required agents developed in this multi-agent system modeling framework for flood forecasting have been trained, tested, and validated under a series of experimental tasks, using the hydrometric series information of rainfall, river stage, and streamflow data collected by the hydrometric sensor agents from the hydrometric sensors.Como se sabe, los problemas relacionados con la generación de inundaciones, su control y manejo, han sido tratados con herramientas tradicionales de modelado hidrológico enfocados al estudio y análisis de la relación precipitación-escorrentía, proceso físico que es impulsado por el ciclo hidrológico y el régimen climático y este esta directamente proporcional a la generación de crecidas. Dentro de la disciplina hidrológica, clasifican estas herramientas de modelado tradicionales en tres grupos principales, siendo el primer grupo el de modelos empíricos (modelos de caja negra), modelos conceptuales (o agrupados, semi-agrupados o semi-distribuidos) dependiendo de la distribución espacial y, por último, los basados en la física, modelos de proceso (o "modelos de caja blanca", y/o distribuidos). En este sentido, clasifican las aplicaciones de predicción de caudal fluvial en la ingeniería de recursos hídricos en dos tipos con respecto a los valores y parámetros que requieren en: modelos de procesos basados en la física y la categoría de modelos impulsados por datos. Los modelos basados en la física proporcionan una descripción detallada de la dinámica relacionada con los aspectos físicos que ocurren internamente entre los diferentes sistemas de una cuenca hidrográfica determinada. Sin embargo, aparte de ser complejos de implementar, se basan completamente en algoritmos matemáticos, y la comprensión de estas interacciones requiere la abstracción de conceptos matemáticos y la conceptualización de los procesos físicos que se entrelazan entre estos sistemas. Además, los modelos impulsados por datos no requieren conocimiento de los procesos físicos que gobiernan, sino que se basan únicamente en ecuaciones empíricas que necesitan una gran cantidad de datos y requieren calibración de los datos en el sitio. Los dos modelos difieren significativamente debido a sus requisitos de datos y de cómo expresan los fenómenos físicos. La elaboración de modelos hidrológicos para el pronóstico de inundaciones ha dado grandes pasos, pero siguen sin resolverse algunos contratiempos importantes, dada la naturaleza estocástica de los fenómenos hidrológicos, es el desafío de implementar sistemas de pronóstico fáciles de usar, reutilizables, robustos y confiables, la cantidad de incertidumbre que deben afrontar al intentar resolver el problema de la predicción de inundaciones. Sin embargo, en las últimas décadas, con el entorno creciente y el desarrollo del campo de la inteligencia artificial (IA), algunos investigadores rara vez han intentado abordar la naturaleza estocástica de los eventos hidrológicos con la aplicación de algunas de estas técnicas. Dados los contratiempos en el pronóstico de inundaciones hidrológicas descritos anteriormente, esta investigación de tesis tiene como objetivo integrar los modelos hidrológicos, basados en la física, hidráulicos e impulsados por datos bajo el paradigma de Sistemas de múltiples agentes para el pronóstico de inundaciones por medio del bosquejo y desarrollo del marco de trabajo del sistema multi-agente (MAS) para los eventos de predicción de inundaciones en el contexto de cuenca hidrográfica tropical. Con la aparición de las tecnologías de agentes, se han emprendido algunos enfoques de simulación recientes en la investigación hidrológica con modelos basados en agentes y sistema multi-agente, principalmente en alerta por inundaciones, seguridad y planificación de inundaciones, control y gestión de inundaciones y pronóstico de inundaciones, todos estos enfocado a simulacros de evacuación, y este último no dirigido a la cuenca tropical, cuyo régimen hidrológico es extremadamente único. En este enfoque de entorno de modelado de cuencas, se aplican los enfoques de sistemas multi-agente como un sustituto del modelado hidrológico convencional para construir un sistema que opera a nivel de cuenca con estaciones hidrométricas desplegadas, que utilizan los datos de redes de sensores hidrométricos (por ejemplo, lluvia , nivel del río, caudal del río) capturado, almacenado y administrado por una organización de agentes interactuantes cuyo objetivo principal es realizar pronósticos de caudal y concientización para mejorar las capacidades de soporte en la formulación de políticas a nivel de cuenca hidrográfica. La primera sección de este documento analiza el estado del arte sobre la investigación actual en modelos hidrológicos para la tarea de pronóstico de inundaciones. Es un viaje a través de los antecedentes preocupantes relacionadas con el proceso hidrológico, las ontologías de inundaciones, la gestión y la predicción. El apartado abarca, en cierta medida, las técnicas, métodos y aspectos teóricos y métodos del modelado hidrológico y sus tipologías, desde los modelos convencionales hasta los prototipos de inteligencia artificial actuales, haciendo hincapié en los sistemas multi-agente, como un enfoque de simulación reciente en la investigación hidrológica. Sin embargo, se destaca que esta sección no contribuye a una revisión integral, sino que su propósito es servir de marco para este tipo de trabajos y una guía para subrayar los aspectos significativos de los trabajos. En la sección dos del documento, se detalla el marco de trabajo propuesto para el sistema multi-agente para el pronóstico de inundaciones. Los trabajos realizados comprendieron el diseño y desarrollo del marco de trabajo del sistema multi-agente con la arquitectura (modelo Creencia-Deseo-Intención) para la predicción de eventos de crecidas dentro del concepto de cuenca hidrográfica tropical. Las contribuciones de esta arquitectura propuesta son el reemplazo del modelado hidrológico convencional con el uso de sistemas multi-agente, lo que agiliza la administración de las series de tiempo de datos hidrométricos y el modelado del proceso de precipitación-escorrentía que conduce a la inundación en el curso de un río. Otra ventaja es el entorno amigable proporcionado por la interfaz gráfica de la plataforma del sistema multi-agente propuesto, la generación en tiempo real de gráficos, cuadros y monitores con la información sobre el evento inmediato que tiene lugar en la cuenca, lo que lo hace fácil para el espectador con algo o sin experiencia en análisis de datos y su interpretación para tener una idea visual de la información disponible con respecto a la cognición de las inundaciones. Los agentes necesarios desarrollados en este marco de modelado de sistemas multi-agente para el pronóstico de inundaciones han sido entrenados, probados y validados en una serie de tareas experimentales, utilizando la información de la serie hidrométrica de datos de lluvia, nivel del río y flujo del curso de agua recolectados por los agentes sensores hidrométricos de los sensores hidrométricos de campo.Programa de Doctorado en Ciencia y Tecnología Informática por la Universidad Carlos III de MadridPresidente: María Araceli Sanchis de Miguel.- Secretario: Juan Gómez Romero.- Vocal: Juan Carlos Corrale

Learning-Based Modeling of Weather and Climate Events Related To El Niño Phenomenon via Differentiable Programming and Empirical Decompositions

This dissertation is the accumulation of the application of adaptive, empirical learning-based methods in the study and characterization of the El Niño Southern Oscillation. In specific, it focuses on ENSO’s effects on rainfall and drought conditions in two major regions shown to be linked through the strength of the dependence of their climate on ENSO: 1) the southern Pacific Coast of the United States and 2) the Nile River Basin. In these cases, drought and rainfall are tied to deep economic and social factors within the region. The principal aim of this dissertation is to establish, with scientific rigor, an epistemological and foundational justification of adaptive learning models and their utility in the both the modeling and understanding of a wide-reaching climate phenomenon such as ENSO. This dissertation explores a scientific justification for their proven accuracy in prediction and utility as an aide in deriving a deeper understanding of climate phenomenon. In the application of drought forecasting for Southern California, adaptive learning methods were able to forecast the drought severity of the 2015-2016 winter with greater accuracy than established models. Expanding this analysis yields novel ways to analyze and understand the underlying processes driving California drought. The pursuit of adaptive learning as a guiding tool would also lead to the discovery of a significant extractable components of ENSO strength variation, which are used with in the analysis of Nile River Basin precipitation and flow of the Nile River, and in the prediction of Nile River yield to p=0.038. In this dissertation, the duality of modeling and understanding is explored, as well as a discussion on why adaptive learning methods are uniquely suited to the study of climate phenomenon like ENSO in the way that traditional methods lack. The main methods explored are 1) differentiable Programming, as a means of construction of novel self-learning models through which the meaningfulness of parameters arises from emergent phenomenon and 2) empirical decompositions, which are driven by an adaptive rather than rigid component extraction principle, are explored further as both a predictive tool and as a tool for gaining insight and the construction of models

Using Self-Organizing Maps to Investigate Extreme Climate Events: An Application to Wintertime Precipitation in the Balkans

The International Society for Burns Injuries (ISBI) has published guidelines for the management of multiple or mass burns casualties, and recommends that 'each country has or should have a disaster planning system that addresses its own particular needs.' The need for a national burns disaster plan integrated with national and provincial disaster planning was discussed at the South African Burns Society Congress in 2009, but there was no real involvement in the disaster planning prior to the 2010 World Cup; the country would have been poorly prepared had there been a burns disaster during the event. This article identifies some of the lessons learnt and strategies derived from major burns disasters and burns disaster planning from other regions. Members of the South African Burns Society are undertaking an audit of burns care in South Africa to investigate the feasibility of a national burns disaster plan. This audit (which is still under way) also aims to identify weaknesses of burns care in South Africa and implement improvements where necessary

Some Essays on models in the Bond and Energy Markets

The term structure of interest rates plays a fundamental role as an indicator of economy and market trends, as well as a supporting tool for macroeconomic strategies, investment choices or hedging practices. Therefore, the availability of proper techniques to model and predict its dynamics is of crucial importance for players in the financial markets. Along this path, the dissertation initially examined the reliability of parametric and neural network models to fit and predict the term structure of interest rates in emerging markets, focusing on the Brazilian, Russian, Indian, Chines and South African (BRICS) bond markets. The focus on the BRICS is straightforward: the dynamics of their term structures make tricky the application of consolidated yield curve models. In this respect, BRICS yield curve act as stress testers. The study then examined how to apply the above cited models to energy derivatives, focusing the attention on the Natural Gas and Electricity futures, motivated by the existence of similarity. The research was carried out using ad hoc routines, such as the R package "DeRezende.Ferreira", developed by the candidate and now freely downloadable at the Comprehensive R Archive Network (CRAN) repository*, as well as by means of code written in MatLab 2021a - 2022a and Python (3.10.10) using the open-source Keras (2.4.3) library with TensorFlow (2.4.0) as backend. The dissertation consists of four chapters based on published and/or under submission materials. Chapter 1 is an excerpt of the paper • Castello, O.; Resta, M. Modeling the Yield Curve of BRICS Countries: Parametric vs. Machine Learning Techniques. Risks 2022 The work firstly offers a comprehensive analysis of the BRICS bond market and then investigates and compares the abilities of the parametric Five–Factor De Rezende–Ferreira model and Feed–Forward Neural Networks to fit the yield curves. Chapter 2 is again focused on the BRICS market but investigates a methodology to identify optimal time–varying parameters for parametric yield curve models. The work then investigates the ability of this method both for in–sample fitting and out–of–sample prediction. Various forecasting methods are examined: the Univariate Autoregressive process AR(1), the TBATS and the Autoregressive Integrated Moving Average (ARIMA) combined to Nonlinear Autoregressive Neural Networks (NAR–NN). Chapter 3 studies the term structure dynamics in the Natural Gas futures market. This chapter represents an extension of the paper • Castello, O., Resta, M. (2022). Modeling and Forecasting Natural Gas Futures Prices Dynamics: An Integrated Approach. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022. After showing that the natural gas and bond markets share similar stylized facts, we exploit these findings to examine whether techniques conventionally employed on the bonds market can be effectively used also for accurate in–sample fitting and out–of–sample forecast. We worked at first in–sample and we compared the performance of three models: the Four–Factor Dynamic Nelson–Siegel–Svensson (4F-DNSS), the Five–Factor Dynamic De Rezende–Ferreira (5F–DRF) and the B–Spline. Then, we turned the attention on forecasting, and explored the effectiveness of a hybrid methodology relying on the joint use of 4F–DNSS, 5F–DRF and B–Splines with Nonlinear Autoregressive Neural Networks (NAR–NNs). Empirical study was carried on using the Dutch Title Transfer Facility (TTF) daily futures prices in the period from January 2011 to June 2022 which included also recent market turmoil to validate the overall effectiveness of the framework. Chapter 4 analyzes the predictability of the electricity futures prices term structure with Artificial Neural Networks. Prices time series and futures curves are characterized by high volatility which is a direct consequence of an inelastic demand and of the non–storable nature of the underlying commodity. We analyzed the forecasting power of several neural network models, including Nonlinear Autoregressive (NAR–NNs), NAR with Exogenous Inputs (NARX–NNs), Long Short–Term Memory (LSTM–NNs) and Encoder–Decoder Long Short–Term Memory Neural Networks (ED–LSTM–NNs). We carried out an extensive study of the models predictive capabilities using both the univariate and multivariate setting. Additionally, we explored whether incorporating various exogenous components such as Carbon Emission Certificates (CO2) spot prices, as well as Natural Gas and Coal futures prices can lead to improvements of the models performances. The data of the European Energy Exchange (EEX) power market were adopted to test the models. Chapter 4 concludes. ____________________________ * https://cran.r-project.org/web/packages/DeRezende.Ferreira/index.htm