Adaptive Aggregated Predictions for Renewable Energy Systems

The paper addresses the problem of generating forecasts for energy production and consumption processes in a renewable energy system. The forecasts are made for a prototype public lighting microgrid, which includes photovoltaic panels and LED luminaries that regulate their lighting levels, as inputs for a receding horizon controller. Several stochastic models are fitted to historical times-series data and it is argued that side information, such as clear-sky predictions or the typical system behavior, can be used as exogenous inputs to increase their performance. The predictions can be further improved by combining the forecasts of several models using online learning, the framework of prediction with expert advice. The paper suggests an adaptive aggregation method which also takes side information into account, and makes a state-dependent aggregation. Numerical experiments are presented, as well, showing the efficiency of the estimated timeseries models and the proposed aggregation approach

Strategic sustainability and financial performance: exploring abnormal returns

The ongoing empirical debate about whether SRI is associated, if anything, with subpar or surpassing financial performance is characterized by a somewhat indistinct focus and the infeasibility of tapping the full potential of existing models. By indistinct focus, we mean an analysis based on an aggregation of a myriad of SRI factors that potentially affect a firm's financial performance. The inability of taking full advantage of existing models is reflected by the fact that studies with European data have not been able to comprehensively account for systematic risk tilts. This paper presents a portfolio analysis that overcomes these issues by analyzing a distinct selection of small and innovative firms. We argue that both their strategic implementation of Corporate Social Responsibility and the general growth in socially responsible investments (SRI) lend themselves to an explanation for positive abnormal returns of this portfolio. We account for the idiosyncratic investment style of SRI by introducing a comprehensive pan-European risk-adjusted portfolio analysis based on the Carhart four-factor model. A novel propensity score matching method in conjunction with the estimation of structural models completes the conventional robustness checks in the literatur

Group-structured and independent subspace based dictionary learning

Thanks to the several successful applications, sparse signal representation has become one of the most actively studied research areas in mathematics. However, in the traditional sparse coding problem the dictionary used for representation is assumed to be known. In spite of the popularity of sparsity and its recently emerged structured sparse extension, interestingly, very few works focused on the learning problem of dictionaries to these codes. In the first part of the paper, we develop a dictionary learning method which is (i) online, (ii) enables overlapping group structures with (iii) non-convex sparsity-inducing regularization and (iv) handles the partially observable case. To the best of our knowledge, current methods can exhibit two of these four desirable properties at most. We also investigate several interesting special cases of our framework and demonstrate its applicability in inpainting of natural signals, structured sparse non-negative matrix factorization of faces and collaborative filtering. Complementing the sparse direction we formulate a novel component-wise acting, epsilon-sparse coding scheme in reproducing kernel Hilbert spaces and show its equivalence to a generalized class of support vector machines. Moreover, we embed support vector machines to multilayer perceptrons and show that for this novel kernel based approximation approach the backpropagation procedure of multilayer perceptrons can be generalized. In the second part of the paper, we focus on dictionary learning making use of independent subspace assumption instead of structured sparsity. The corresponding problem is called independent subspace analysis (ISA), or independent component analysis (ICA) if all the hidden, independent sources are one-dimensional. One of the most fundamental results of this research field is the ISA separation principle, which states that the ISA problem can be solved by traditional ICA up to permutation. This principle (i) forms the basis of the state-of-the-art ISA solvers and (ii) enables one to estimate the unknown number and the dimensions of the sources efficiently. We (i) extend the ISA problem to several new directions including the controlled, the partially observed, the complex valued and the nonparametric case and (ii) derive separation principle based solution techniques for the generalizations. This solution approach (i) makes it possible to apply state-of-the-art algorithms for the obtained subproblems (in the ISA example ICA and clustering) and (ii) handles the case of unknown dimensional sources. Our extensive numerical experiments demonstrate the robustness and efficiency of our approach

Diabetes Mellitus Glucose Prediction by Linear and Bayesian Ensemble Modeling

Diabetes Mellitus is a chronic disease of impaired blood glucose control due to degraded or absent bodily-specific insulin production, or utilization. To the affected, this in many cases implies relying on insulin injections and blood glucose measurements, in order to keep the blood glucose level within acceptable limits. Risks of developing short- and long-term complications, due to both too high and too low blood glucose concentrations are severalfold, and, generally, the glucose dynamics are not easy too fully comprehend for the affected individual—resulting in poor glucose control. To reduce the burden this implies to the patient and society, in terms of physiological and monetary costs, different technical solutions, based on closed or semi-closed loop blood glucose control, have been suggested. To this end, this thesis investigates simplified linear and merged models of glucose dynamics for the purpose of short-term prediction, developed within the EU FP7 DIAdvisor project. These models could, e.g., be used, in a decision support system, to alert the user of future low and high glucose levels, and, when implemented in a control framework, to suggest proactive actions. The simplified models were evaluated on 47 patient data records from the first DIAdvisor trial. Qualitatively physiological correct responses were imposed, and model-based prediction, up to two hours ahead, and specifically for low blood glucose detection, was evaluated. The glucose raising, and lowering effect of meals and insulin were estimated, together with the clinically relevant carbohydrate-to-insulin ratio. The model was further expanded to include the blood-to-interstitial lag, and tested for one patient data set. Finally, a novel algorithm for merging of multiple prediction models was developed and validated on both artificial data and 12 datasets from the second DIAdvisor trial