Exact Maximum Likelihood Estimation for Copula Models

In recent years, copulas have become very popular in financial research and actuarial science as they are more flexible in modelling the co-movements and relationships of risk factors as compared to the conventional linear correlation coefficient by Pearson. However, a precise estimation of the copula parameters is vital in order to correctly capture the (possibly nonlinear) dependence structure and joint tail events. In this study, we employ two optimization heuristics, namely Differential Evolution and Threshold Ac- cepting to tackle the parameter estimation of multivariate t distribution models in the EML approach. Since the evolutionary optimizer does not rely on gradient search, the EML approach can be applied to estimation of more complicated copula models such as high-dimensional copulas. Our experimental study shows that the proposed method provides more robust and more accurate estimates as compared to the IFM approach.Copula Models, Parameter Inference, Exactly Maximum Likelihood, Differential Evolution, Threshold Accepting

Meta-heuristic algorithms in car engine design: a literature survey

Meta-heuristic algorithms are often inspired by natural phenomena, including the evolution of species in Darwinian natural selection theory, ant behaviors in biology, flock behaviors of some birds, and annealing in metallurgy. Due to their great potential in solving difficult optimization problems, meta-heuristic algorithms have found their way into automobile engine design. There are different optimization problems arising in different areas of car engine management including calibration, control system, fault diagnosis, and modeling. In this paper we review the state-of-the-art applications of different meta-heuristic algorithms in engine management systems. The review covers a wide range of research, including the application of meta-heuristic algorithms in engine calibration, optimizing engine control systems, engine fault diagnosis, and optimizing different parts of engines and modeling. The meta-heuristic algorithms reviewed in this paper include evolutionary algorithms, evolution strategy, evolutionary programming, genetic programming, differential evolution, estimation of distribution algorithm, ant colony optimization, particle swarm optimization, memetic algorithms, and artificial immune system

Simplified Hydrostatic Carbon Burning in White Dwarf Interiors

We introduce two simplified nuclear networks that can be used in hydrostatic carbon burning reactions occurring in white dwarf interiors. They model the relevant nuclear reactions in carbon-oxygen white dwarfs (COWDs) approaching ignition in Type Ia supernova (SN Ia) progenitors, including the effects of the main e-captures and \beta-decays that drive the convective Urca process. They are based on studies of a detailed nuclear network compiled by the authors and are defined by approximate sets of differential equations whose derivations are included in the text. The first network, N1, provides a good first order estimation of the distribution of ashes and it also provides a simple picture of the main reactions occurring during this phase of evolution. The second network, N2, is a more refined version of N1 and can reproduce the evolution of the main physical properties of the full network to the 5% level. We compare the evolution of the mole fraction of the relevant nuclei, the neutron excess, the photon energy generation and the neutrino losses between both simplified networks and the detailed reaction network in a fixed temperature and density parcel of gas.Comment: 52 pages, 16 figures, accepted for publication in the Astrophysical Journa

LiDAR mapping of tidal marshes for ecogeomorphological modelling in the TIDE project

The European research project TIDE (Tidal Inlets Dynamics and Environment) is developing and validating coupled models describing the morphological, biological and ecological evolution of tidal environments. The interactions between the physical and biological processes occurring in these regions requires that the system be studied as a whole rather than as separate parts. Extensive use of remote sensing including LiDAR is being made to provide validation data for the modelling. This paper describes the different uses of LiDAR within the project and their relevance to the TIDE science objectives. LiDAR data have been acquired from three different environments, the Venice Lagoon in Italy, Morecambe Bay in England, and the Eden estuary in Scotland. LiDAR accuracy at each site has been evaluated using ground reference data acquired with differential GPS. A semi-automatic technique has been developed to extract tidal channel networks from LiDAR data either used alone or fused with aerial photography. While the resulting networks may require some correction, the procedure does allow network extraction over large areas using objective criteria and reduces fieldwork requirements. The networks extracted may subsequently be used in geomorphological analyses, for example to describe the drainage patterns induced by networks and to examine the rate of change of networks. Estimation of the heights of the low and sparse vegetation on marshes is being investigated by analysis of the statistical distribution of the measured LiDAR heights. Species having different mean heights may be separated using the first-order moments of the height distribution

Evolutionary computation of forests with Degree- and Role-Constrained Minimum Spanning Trees

Finding the degree-constrained minimum spanning tree (DCMST) of a graph is a widely studied NP-hard problem. One of its most important applications is network design. Here we deal with a new variant of the DCMST problem, which consists of finding not only the degree- but also the role-constrained minimum spanning tree (DRCMST), i.e., we add constraints to restrict the role of the nodes in the tree to root, intermediate or leaf node. Furthermore, we do not limit the number of root nodes to one, thereby, generally, building a forest of DRCMSTs. The modeling of network design problems can benefit from the possibility of generating more than one tree and determining the role of the nodes in the network. We propose a novel permutation-based representation to encode these forests. In this new representation, one permutation simultaneously encodes all the trees to be built. We simulate a wide variety of DRCMST problems which we optimize using eight different evolutionary computation algorithms encoding individuals of the population using the proposed representation. The algorithms we use are: estimation of distribution algorithm, generational genetic algorithm, steady-state genetic algorithm, covariance matrix adaptation evolution strategy, differential evolution, elitist evolution strategy, non-elitist evolution strategy and particle swarm optimization. The best results are for the estimation of distribution algorithms and both types of genetic algorithms, although the genetic algorithms are significantly faster. -------------------------------------------------------------------------------------------------- Trabajo publicado en: Antón Sánchez, Laura; Bielza Lozoya, Maria Concepcion y Larrañaga Múgica, Pedro (2017). Network Design through Forests with Degree- and Role-constrained Minimum Spanning Trees. "Journal of Heuristics ", v. 23 (n. 1); pp. 31-51. ------------------------------------------

PyPop7: A Pure-Python Library for Population-Based Black-Box Optimization

In this paper, we present a pure-Python open-source library, called PyPop7, for black-box optimization (BBO). It provides a unified and modular interface for more than 60 versions and variants of different black-box optimization algorithms, particularly population-based optimizers, which can be classified into 12 popular families: Evolution Strategies (ES), Natural Evolution Strategies (NES), Estimation of Distribution Algorithms (EDA), Cross-Entropy Method (CEM), Differential Evolution (DE), Particle Swarm Optimizer (PSO), Cooperative Coevolution (CC), Simulated Annealing (SA), Genetic Algorithms (GA), Evolutionary Programming (EP), Pattern Search (PS), and Random Search (RS). It also provides many examples, interesting tutorials, and full-fledged API documentations. Through this new library, we expect to provide a well-designed platform for benchmarking of optimizers and promote their real-world applications, especially for large-scale BBO. Its source code and documentations are available at https://github.com/Evolutionary-Intelligence/pypop and https://pypop.readthedocs.io/en/latest, respectively.Comment: 5 page