1,984 research outputs found
An exact dynamic programming approach to segmented isotonic regression
This paper proposes a polynomial-time algorithm to construct the monotone stepwise curve that minimizes the sum of squared errors with respect to a given cloud of data points. The fitted curve is also constrained on the maximum number of steps it can be composed of and on the minimum step length. Our algorithm relies on dynamic programming and is built on the basis that said curve-fitting task can be tackled as a shortest-path type of problem. Numerical results on synthetic and realistic data sets reveal that our algorithm is able to provide the globally optimal monotone stepwise curve fit for samples with thousands of data points in less than a few hours. Furthermore, the algorithm gives a certificate on the optimality gap of any incumbent solution it generates. From a practical standpoint, this piece of research is motivated by the roll-out of smart grids and the increasing role played by the small flexible consumption of electricity in the large-scale integration of renewable energy sources into current power systems. Within this context, our algorithm constitutes an useful tool to generate bidding curves for a pool of small flexible consumers to partake in wholesale electricity markets.This research has received funding from the European Research Council (ERC) under the European Unionâs Horizon 2020 research and innovation programme (grant agreement no. 755705). This work was also supported in part by the Spanish Ministry of Economy, Industry and Competitiveness and the European Regional Development Fund (ERDF) through project ENE2017-83775-P. Martine LabbĂ© has been partially supported by the Fonds de la Recherche Scientifique - FNRS under Grant(s) no PDR T0098.18
Deregulated Wholesale Electricity Prices in Italy.
In this paper we analyze the time series of daily average prices generated in the Italian electricity market, which started to operate as a Pool in April 2004. The objective is to characterize the high degree of autocorrelation and multiple seasonalities in the electricity prices. We use periodic time series models with GARCH disturbances and leptokurtic distributions and compare their performance with more classical ARMA-GARCH processes. The within-year seasonal variation is modelled using the low frequencies components of physical quantities, which are very regular throughout the sample. Results reveal that much of the variability of the price series is explained by deterministic multiple seasonalities which interact with each other. Periodic AR-GARCH models seem to perform quite well in mimicking the features of the stochastic part of the price process.Electricity auctions, Periodic Time Series, Conditional Heteroskedasticity, Multiple Seasonalities
Off-Policy Evaluation of Probabilistic Identity Data in Lookalike Modeling
We evaluate the impact of probabilistically-constructed digital identity data
collected from Sep. to Dec. 2017 (approx.), in the context of
Lookalike-targeted campaigns. The backbone of this study is a large set of
probabilistically-constructed "identities", represented as small bags of
cookies and mobile ad identifiers with associated metadata, that are likely all
owned by the same underlying user. The identity data allows to generate
"identity-based", rather than "identifier-based", user models, giving a fuller
picture of the interests of the users underlying the identifiers. We employ
off-policy techniques to evaluate the potential of identity-powered lookalike
models without incurring the risk of allowing untested models to direct large
amounts of ad spend or the large cost of performing A/B tests. We add to
historical work on off-policy evaluation by noting a significant type of
"finite-sample bias" that occurs for studies combining modestly-sized datasets
and evaluation metrics involving rare events (e.g., conversions). We illustrate
this bias using a simulation study that later informs the handling of inverse
propensity weights in our analyses on real data. We demonstrate significant
lift in identity-powered lookalikes versus an identity-ignorant baseline: on
average ~70% lift in conversion rate. This rises to factors of ~(4-32)x for
identifiers having little data themselves, but that can be inferred to belong
to users with substantial data to aggregate across identifiers. This implies
that identity-powered user modeling is especially important in the context of
identifiers having very short lifespans (i.e., frequently churned cookies). Our
work motivates and informs the use of probabilistically-constructed identities
in marketing. It also deepens the canon of examples in which off-policy
learning has been employed to evaluate the complex systems of the internet
economy.Comment: Accepted by WSDM 201
Efficiency Resource Allocation for Device-to-Device Underlay Communication Systems: A Reverse Iterative Combinatorial Auction Based Approach
Peer-to-peer communication has been recently considered as a popular issue
for local area services. An innovative resource allocation scheme is proposed
to improve the performance of mobile peer-to-peer, i.e., device-to-device
(D2D), communications as an underlay in the downlink (DL) cellular networks. To
optimize the system sum rate over the resource sharing of both D2D and cellular
modes, we introduce a reverse iterative combinatorial auction as the allocation
mechanism. In the auction, all the spectrum resources are considered as a set
of resource units, which as bidders compete to obtain business while the
packages of the D2D pairs are auctioned off as goods in each auction round. We
first formulate the valuation of each resource unit, as a basis of the proposed
auction. And then a detailed non-monotonic descending price auction algorithm
is explained depending on the utility function that accounts for the channel
gain from D2D and the costs for the system. Further, we prove that the proposed
auction-based scheme is cheat-proof, and converges in a finite number of
iteration rounds. We explain non-monotonicity in the price update process and
show lower complexity compared to a traditional combinatorial allocation. The
simulation results demonstrate that the algorithm efficiently leads to a good
performance on the system sum rate.Comment: 26 pages, 6 fgures; IEEE Journals on Selected Areas in
Communications, 201
Development of Neurofuzzy Architectures for Electricity Price Forecasting
In 20th century, many countries have liberalized their electricity market. This power markets liberalization has directed generation companies as well as wholesale buyers to undertake a greater intense risk exposure compared to the old centralized framework. In this framework, electricity price prediction has become crucial for any market player in their decisionâmaking process as well as strategic planning. In this study, a prototype asymmetricâbased neuroâfuzzy network (AGFINN) architecture has been implemented for shortâterm electricity prices forecasting for ISO New England market. AGFINN framework has been designed through two different defuzzification schemes. Fuzzy clustering has been explored as an initial step for defining the fuzzy rules while an asymmetric Gaussian membership function has been utilized in the fuzzification part of the model. Results related to the minimum and maximum electricity prices for ISO New England, emphasize the superiority of the proposed model over wellâestablished learningâbased models
Constrained Task Assignment and Scheduling on Networks of Arbitrary Topology.
This dissertation develops a framework to address centralized and distributed constrained task assignment and task scheduling problems. This framework is used to prove properties of these problems that can be exploited, develop effective solution algorithms, and to prove important properties such as correctness, completeness and optimality.
The centralized task assignment and task scheduling problem treated here is expressed as a vehicle routing problem with the goal of optimizing mission time subject to mission constraints on task precedence and agent capability. The algorithm developed to solve this problem is able to coordinate vehicle (agent) timing for task completion. This class of problems is NP-hard and analytical guarantees on solution quality are often unavailable. This dissertation develops a technique for determining solution quality that can be used on a large class of problems and does not rely on traditional analytical guarantees.
For distributed problems several agents must communicate to collectively solve a distributed task assignment and task scheduling problem. The distributed task assignment and task scheduling algorithms developed here allow for the optimization of constrained military missions in situations where the communication network may be incomplete and only locally known. Two problems are developed. The distributed task assignment problem incorporates communication constraints that must be satisfied; this is the Communication-Constrained Distributed Assignment Problem. A novel distributed assignment algorithm, the Stochastic Bidding Algorithm, solves this problem. The algorithm is correct, probabilistically complete, and has linear average-case time complexity.
The distributed task scheduling problem addressed here is to minimize mission time subject to arbitrary predicate mission constraints; this is the Minimum-time Arbitrarily-constrained Distributed Scheduling Problem. The Optimal Distributed Non-sequential Backtracking Algorithm solves this problem. The algorithm is correct, complete, outputs time optimal schedules, and has low average-case time complexity.
Separation of the task assignment and task scheduling problems is exploited here to ameliorate the effects of an incomplete communication network. The mission-modeling conditions that allow this and the benefits gained are discussed in detail. It is shown that the distributed task assignment and task scheduling algorithms developed here can operate concurrently and maintain their correctness, completeness, and optimality properties.Ph.D.Aerospace EngineeringUniversity of Michigan, Horace H. Rackham School of Graduate Studieshttp://deepblue.lib.umich.edu/bitstream/2027.42/91527/1/jpjack_1.pd
Computational support for academic peer review:a perspective from artificial intelligence
New tools tackle an age-old practice.</jats:p
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