A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model

We present a simple transformation of the formulation of the log-periodic power law formula of the Johansen-Ledoit-Sornette model of financial bubbles that reduces it to a function of only three nonlinear parameters. The transformation significantly decreases the complexity of the fitting procedure and improves its stability tremendously because the modified cost function is now characterized by good smooth properties with in general a single minimum in the case where the model is appropriate to the empirical data. We complement the approach with an additional subordination procedure that slaves two of the nonlinear parameters to what can be considered to be the most crucial nonlinear parameter, the critical time $t_c$ defined as the end of the bubble and the most probably time for a crash to occur. This further decreases the complexity of the search and provides an intuitive representation of the results of the calibration. With our proposed methodology, metaheuristic searches are not longer necessary and one can resort solely to rigorous controlled local search algorithms, leading to dramatic increase in efficiency. Empirical tests on the Shanghai Composite index (SSE) from January 2007 to March 2008 illustrate our findings

Combinatorial optimization and metaheuristics

Today, combinatorial optimization is one of the youngest and most active areas of discrete mathematics. It is a branch of optimization in applied mathematics and computer science, related to operational research, algorithm theory and computational complexity theory. It sits at the intersection of several fields, including artificial intelligence, mathematics and software engineering. Its increasing interest arises for the fact that a large number of scientific and industrial problems can be formulated as abstract combinatorial optimization problems, through graphs and/or (integer) linear programs. Some of these problems have polynomial-time (“efficient”) algorithms, while most of them are NP-hard, i.e. it is not proved that they can be solved in polynomial-time. Mainly, it means that it is not possible to guarantee that an exact solution to the problem can be found and one has to settle for an approximate solution with known performance guarantees. Indeed, the goal of approximate methods is to find “quickly” (reasonable run-times), with “high” probability, provable “good” solutions (low error from the real optimal solution). In the last 20 years, a new kind of algorithm commonly called metaheuristics have emerged in this class, which basically try to combine heuristics in high level frameworks aimed at efficiently and effectively exploring the search space. This report briefly outlines the components, concepts, advantages and disadvantages of different metaheuristic approaches from a conceptual point of view, in order to analyze their similarities and differences. The two very significant forces of intensification and diversification, that mainly determine the behavior of a metaheuristic, will be pointed out. The report concludes by exploring the importance of hybridization and integration methods

Damage identification in steel plate using FRF and inverse analysis

Metaheuristic algorithms have known vast development in recent years. And their applicability in engineering projects is constantly growing; however, their deferent exploration and exploitation techniques cause the engineering problems to favor some algorithms over others. This paper studies damage identification in steel plates using Frequency Response Function (FRF) damage indicator to detect and localize the healthy and damaged structure. The study is formulated as an inverse analysis, investigating the performance of three new metaheuristic algorithms of Wild Horse Optimizer (WHO), Harris Hawks Optimization (HHO), and Arithmetic Optimization Algorithm (AOA).  The objective function is based on measured and calculated FRF damage indicators. The results showed that the case of four damages with different damage severity levels presented a good challenge where the HWO algorithm was shown to have the best performance.  Both in convergence speed and CPU time

Multipitch estimation using judge-based model

Multipitch estimation, also known as multiple fundamental frequency (F0) estimation, is an important part of the Music Information Retrieval (MIR) field. Although there have been many different approaches proposed, none of them has ever exceeded the abilities of a trained musician. In this work, an iterative cancellation method is analysed, being applied to three different sound representations - salience spectrum obtained using Constant-Q Transform, cepstrum and enhanced autocorrelation result. Real-life recordings of different musical instruments are used as a database and the parameters of the solution are optimized using a simple yet effective metaheuristic approach - the Luus-Jaakola algorithm. The presented approach results in 85% efficiency on the test database

A Metaheuristic for Amortized Search in High-Dimensional Parameter Spaces

Parameter inference for dynamical models of (bio)physical systems remains a challenging problem. Intractable gradients, high-dimensional spaces, and non-linear model functions are typically problematic without large computational budgets. A recent body of work in that area has focused on Bayesian inference methods, which consider parameters under their statistical distributions and therefore, do not derive point estimates of optimal parameter values. Here we propose a new metaheuristic that drives dimensionality reductions from feature-informed transformations (DR-FFIT) to address these bottlenecks. DR-FFIT implements an efficient sampling strategy that facilitates a gradient-free parameter search in high-dimensional spaces. We use artificial neural networks to obtain differentiable proxies for the model's features of interest. The resulting gradients enable the estimation of a local active subspace of the model within a defined sampling region. This approach enables efficient dimensionality reductions of highly non-linear search spaces at a low computational cost. Our test data show that DR-FFIT boosts the performances of random-search and simulated-annealing against well-established metaheuristics, and improves the goodness-of-fit of the model, all within contained run-time costs