Transformations for compositional data with zeros with an application to forensic evidence evaluation

In forensic science likelihood ratios provide a natural way of computing the value of evidence under competing propositions such as "the compared samples have originated from the same object" (prosecution) and "the compared samples have originated from different objects" (defence). We use a two-level multivariate likelihood ratio model for comparison of forensic glass evidence in the form of elemental composition data under three data transformations: the logratio transformation, a complementary log-log type transformation and a hyperspherical transformation. The performances of the three transformations in the evaluation of evidence are assessed in simulation experiments through use of the proportions of false negatives and false positives

ETEM-SG: Optimizing Regional Smart Energy System with Power Distribution Constraints and Options

This paper gives a detailed description of the ETEM-SG model, which pro- vides a simulation of the long term development of a multi-energy regional energy system in a smart city environment. The originality of the modeling comes from a representation of the power distribution constraints associated with intermittent and volatile renewable energy sources connected at the transmission network like, e.g. wind farms, or the distribution networks like, e.g. roof top PV panels). The model takes into account the options to optimize the power system provided by grid friendly flexible loads and distributed energy resources, including variable speed drive powered CHP micro-generators, heat pumps, and electric vehicles. One deals with uncertainties in some parameters, by implementing robust optimization techniques. A case study, based on the modeling of the energy system of the “Arc L ́emanique” region shows on simulation results, the importance of introducing a representation of power distribution constraints and options in a regional energy model

Efficient Test-Time Model Adaptation without Forgetting

Test-time adaptation (TTA) seeks to tackle potential distribution shifts between training and testing data by adapting a given model w.r.t. any testing sample. This task is particularly important for deep models when the test environment changes frequently. Although some recent attempts have been made to handle this task, we still face two practical challenges: 1) existing methods have to perform backward computation for each test sample, resulting in unbearable prediction cost to many applications; 2) while existing TTA solutions can significantly improve the test performance on out-of-distribution data, they often suffer from severe performance degradation on in-distribution data after TTA (known as catastrophic forgetting). In this paper, we point out that not all the test samples contribute equally to model adaptation, and high-entropy ones may lead to noisy gradients that could disrupt the model. Motivated by this, we propose an active sample selection criterion to identify reliable and non-redundant samples, on which the model is updated to minimize the entropy loss for test-time adaptation. Furthermore, to alleviate the forgetting issue, we introduce a Fisher regularizer to constrain important model parameters from drastic changes, where the Fisher importance is estimated from test samples with generated pseudo labels. Extensive experiments on CIFAR-10-C, ImageNet-C, and ImageNet-R verify the effectiveness of our proposed method.Comment: 15 pages, conferenc

Learning to Generate Training Datasets for Robust Semantic Segmentation

Semantic segmentation techniques have shown significant progress in recent years, but their robustness to real-world perturbations and data samples not seen during training remains a challenge, particularly in safety-critical applications. In this paper, we propose a novel approach to improve the robustness of semantic segmentation techniques by leveraging the synergy between label-to-image generators and image-to-label segmentation models. Specifically, we design and train Robusta, a novel robust conditional generative adversarial network to generate realistic and plausible perturbed or outlier images that can be used to train reliable segmentation models. We conduct in-depth studies of the proposed generative model, assess the performance and robustness of the downstream segmentation network, and demonstrate that our approach can significantly enhance the robustness of semantic segmentation techniques in the face of real-world perturbations, distribution shifts, and out-of-distribution samples. Our results suggest that this approach could be valuable in safety-critical applications, where the reliability of semantic segmentation techniques is of utmost importance and comes with a limited computational budget in inference. We will release our code shortly

Robustifying Experimental Tracer Design for13C-Metabolic Flux Analysis

13C metabolic flux analysis (MFA) has become an indispensable tool to measure metabolic reaction rates (fluxes) in living organisms, having an increasingly diverse range of applications. Here, the choice of the13C labeled tracer composition makes the difference between an information-rich experiment and an experiment with only limited insights. To improve the chances for an informative labeling experiment, optimal experimental design approaches have been devised for13C-MFA, all relying on some a priori knowledge about the actual fluxes. If such prior knowledge is unavailable, e.g., for research organisms and producer strains, existing methods are left with a chicken-and-egg problem. In this work, we present a general computational method, termed robustified experimental design (R-ED), to guide the decision making about suitable tracer choices when prior knowledge about the fluxes is lacking. Instead of focusing on one mixture, optimal for specific flux values, we pursue a sampling based approach and introduce a new design criterion, which characterizes the extent to which mixtures are informative in view of all possible flux values. The R-ED workflow enables the exploration of suitable tracer mixtures and provides full flexibility to trade off information and cost metrics. The potential of the R-ED workflow is showcased by applying the approach to the industrially relevant antibiotic producer Streptomyces clavuligerus, where we suggest informative, yet economic labeling strategies

Survey of quantitative investment strategies in the Russian stock market : Special interest in tactical asset allocation

Russia’s financial markets have been an uncharted area when it comes to exploring the performance of investment strategies based on modern portfolio theory. In this thesis, we focus on the country’s stock market and study whether profitable investments can be made while at the same time taking uncertainties, risks, and dependencies into account. We also pay particular interest in tactical asset allocation. The benefit of this approach is that we can utilize time series forecasting methods to produce trading signals in addition to optimization methods. We use two datasets in our empirical applications. The first one consists of nine sectoral indices covering the period from 2008 to 2017, and the other includes altogether 42 stocks listed on the Moscow Exchange covering the years 2011 – 2017. The strategies considered have been divided into five sections. In the first part, we study classical and robust mean-risk portfolios and the modeling of transaction costs. We find that the expected return should be maximized per unit expected shortfall while simultaneously requiring that each asset contributes equally to the portfolio’s tail risk. Secondly, we show that using robust covariance estimators can improve the risk-adjusted returns of minimum variance portfolios. Thirdly, we note that robust optimization techniques are best suited for conservative investors due to the low volatility allocations they produce. In the second part, we employ statistical factor models to estimate higher-order comoments and demonstrate the benefit of the proposed method in constructing risk-optimal and expected utility-maximizing portfolios. In the third part, we utilize the Almgren–Chriss framework and sort the expected returns according to the assumed momentum anomaly. We discover that this method produces stable allocations performing exceptionally well in the market upturn. In the fourth part, we show that forecasts produced by VECM and GARCH models can be used profitably in optimizations based on the Black–Litterman, copula opinion pooling, and entropy pooling models. In the final part, we develop a wealth protection strategy capable of timing market changes thanks to the return predictions based on an ARIMA model. Therefore, it can be stated that it has been possible to make safe and profitable investments in the Russian stock market even when reasonable transaction costs have been taken into account. We also argue that market inefficiencies could have been exploited by structuring statistical arbitrage and other tactical asset allocation-related strategies.Venäjän rahoitusmarkkinat ovat olleet kartoittamatonta aluetta tutkittaessa moderniin portfolioteoriaan pohjautuvien sijoitusstrategioiden käyttäytymistä. Tässä tutkielmassa keskitymme maan osakemarkkinoihin ja tarkastelemme, voidaanko taloudellisesti kannattavia sijoituksia tehdä otettaessa samalla huomioon epävarmuudet, riskit ja riippuvuudet. Kiinnitämme erityistä huomiota myös taktiseen varojen kohdentamiseen. Tämän lähestymistavan etuna on, että optimointimenetelmien lisäksi voimme hyödyntää aikasarjaennustamisen menetelmiä kaupankäyntisignaalien tuottamiseksi. Empiirisissä sovelluksissa käytämme kahta data-aineistoa. Ensimmäinen koostuu yhdeksästä teollisuusindeksistä kattaen ajanjakson 2008–2017, ja toinen sisältää 42 Moskovan pörssiin listattua osaketta kattaen vuodet 2011–2017. Tarkasteltavat strategiat on puolestaan jaoteltu viiteen osioon. Ensimmäisessä osassa tarkastelemme klassisia ja robusteja riski-tuotto -portfolioita sekä kaupankäyntikustannusten mallintamista. Havaitsemme, että odotettua tuottoa on syytä maksimoida suhteessa odotettuun vajeeseen edellyttäen samalla, että jokainen osake lisää sijoitussalkun häntäriskiä yhtä suurella osuudella. Toiseksi osoitamme, että minimivarianssiportfolioiden riskikorjattuja tuottoja voidaan parantaa robusteilla kovarianssiestimaattoreilla. Kolmanneksi toteamme robustien optimointitekniikoiden soveltuvan parhaiten konservatiivisille sijoittajille niiden tuottamien matalan volatiliteetin allokaatioiden ansiosta. Toisessa osassa hyödynnämme tilastollisia faktorimalleja korkeampien yhteismomenttien estimoinnissa ja havainnollistamme ehdotetun metodin hyödyllisyyttä riskioptimaalisten sekä odotettua hyötyä maksimoivien salkkujen rakentamisessa. Kolmannessa osassa käytämme Almgren–Chrissin viitekehystä ja asetamme odotetut tuotot suuruusjärjestykseen oletetun momentum-anomalian mukaisesti. Havaitsemme, että menetelmä tuottaa vakaita allokaatioita menestyen erityisen hyvin noususuhdanteessa. Neljännessä osassa osoitamme, että VECM- että GARCH-mallien tuottamia ennusteita voidaan hyödyntää kannattavasti niin Black–Littermanin malliin kuin kopulanäkemysten ja entropian poolaukseenkin perustuvissa optimoinneissa. Viimeisessä osassa laadimme varallisuuden suojausstrategian, joka kykenee ajoittamaan markkinoiden muutoksia ARIMA-malliin perustuvien tuottoennusteiden ansiosta. Voidaan siis todeta, että Venäjän osakemarkkinoilla on ollut mahdollista tehdä turvallisia ja tuottavia sijoituksia myös silloin kun kohtuulliset kaupankäyntikustannukset on huomioitu. Toiseksi väitämme, että markkinoiden tehottomuutta on voitu hyödyntää suunnittelemalla tilastolliseen arbitraasiin ja muihin taktiseen varojen allokointiin pohjautuvia strategioita

Modeling, Analysis, Synthesis, and Simulation of Time-Optimal Train Traffic in Large Networks

From a system-theoretic standpoint, a constrained state-space model for train traffic in a large railway network is developed. The novelty of the work is the transformation or rather reduction of the directed graph of the network to some parallel lists. Mathematization of this sophisticated problem is thus circumvented. All the aspects of a real network (such as that of the German Rail) are completely captured by this model. Some degrees of freedom as well as some robustness can be injected into the operation of the system. The problem of time-optimal train traffic in large networks is then defined and solved using the maximum principle. The solution is obtained by reducing the boundary value problem arising from the time-optimality criterion to an initial value problem for an ordinary differential equation. A taxonomy of all possible switching points of the control actions is presented. The proposed approach is expected to result in faster-than-real-time simulation of time-optimal traffic in large networks and thus facilitation of real-time control of the network by dispatchers. This expectation is quantitatively justified by analysis of simulation results of some small parts of the German Rail Network

Machine Learning Developments in Dependency Modelling and Feature Extraction

Three complementary feature extraction approaches are developed in this thesis which addresses the challenge of dimensionality reduction in the presence of multivariate heavy-tailed and asymmetric distributions. First, we demonstrate how to improve the robustness of the standard Probabilistic Principal Component Analysis by adapting the concept of robust mean and covariance estimation within the standard framework. We then introduce feature extraction methods that extend the standard Principal Component Analysis by exploring distribution-based robustification. This is achieved via Probabilistic Principal Component Analysis (PPCA), in which new, statistically robust variants are derived, also treating missing data. We propose a novel generalisation to the t-Student Probabilistic Principal Component methodology which (1) accounts for asymmetric distribution of the observation data, (2) is a framework for grouped and generalised multiple-degree-of-freedom structures, which provides a more flexible framework to model groups of marginal tail dependence in the observation data, and (3) separates the tail effect of the error terms and factors. The new feature extraction methods are derived in an incomplete data setting to efficiently handle the presence of missing values in the observation vector. We discuss statistical properties of their robustness. In the next part of this thesis, we demonstrate the applicability of feature extraction methods to the statistical analysis of multidimensional dynamics. We introduce the class of Hybrid Factor models that combines classical state-space model formulations with incorporation of exogenous factors. We show how to utilize the information obtained from features extracted using introduced robust PPCA in a modelling framework in a meaningful and parsimonious manner. In the first application study, we show the applicability of robust feature extraction methods in the real data environment of financial markets and combine the obtained results with a stochastic multi-factor panel regression-based state-space model in order to model the dynamic of yield curves, whilst incorporating regression factors. We embed the rank-reduced feature extractions into a stochastic representation of state-space models for yield curve dynamics and compare the results to classical multi-factor dynamic Nelson-Siegel state-space models. This leads to important new representations of yield curve models that can have practical importance for addressing questions of financial stress testing and monetary policy interventions which can efficiently incorporate financial big data. We illustrate our results on various financial and macroeconomic data sets from the Euro Zone and international markets. In the second study, we develop a multi-factor extension of the family of Lee-Carter stochastic mortality models. We build upon the time, period and cohort stochastic model structure to include exogenous observable demographic features that can be used as additional factors to improve model fit and forecasting accuracy. We develop a framework in which (a) we employ projection-based techniques of dimensionality reduction that are amenable to different structures of demographic data; (b) we analyse demographic data sets from the patterns of missingness and the impact of such missingness on the feature extraction; (c) we introduce a class of multi-factor stochastic mortality models incorporating time, period, cohort and demographic features, which we develop within a Bayesian state-space estimation framework. Finally (d) we develop an efficient combined Markov chain and filtering framework for sampling the posterior and forecasting. We undertake a detailed case study on the Human Mortality Database demographic data from European countries and we use the extracted features to better explain the term structure of mortality in the UK over time for male and female populations. This is compared to a pure Lee-Carter stochastic mortality model, demonstrating that our feature extraction framework and consequent multi-factor mortality model improves both in-sample fit and, importantly, out-of-sample mortality forecasts by a non-trivial gain in performance