HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

Hidden Quantum Markov Models and Open Quantum Systems with Instantaneous Feedback

Hidden Markov Models are widely used in classical computer science to model stochastic processes with a wide range of applications. This paper concerns the quantum analogues of these machines --- so-called Hidden Quantum Markov Models (HQMMs). Using the properties of Quantum Physics, HQMMs are able to generate more complex random output sequences than their classical counterparts, even when using the same number of internal states. They are therefore expected to find applications as quantum simulators of stochastic processes. Here, we emphasise that open quantum systems with instantaneous feedback are examples of HQMMs, thereby identifying a novel application of quantum feedback control.Comment: 10 Pages, proceedings for the Interdisciplinary Symposium on Complex Systems in Florence, September 2014, minor correction

Cleaning sky survey databases using Hough Transform and Renewal String approaches

Large astronomical databases obtained from sky surveys such as the SuperCOSMOS Sky Survey (SSS) invariably suffer from spurious records coming from artefactual effects of the telescope, satellites and junk objects in orbit around earth and physical defects on the photographic plate or CCD. Though relatively small in number these spurious records present a significant problem in many situations where they can become a large proportion of the records potentially of interest to a given astronomer. Accurate and robust techniques are needed for locating and flagging such spurious objects, and we are undertaking a programme investigating the use of machine learning techniques in this context. In this paper we focus on the four most common causes of unwanted records in the SSS: satellite or aeroplane tracks, scratches, fibres and other linear phenomena introduced to the plate, circular halos around bright stars due to internal reflections within the telescope and diffraction spikes near to bright stars. Appropriate techniques are developed for the detection of each of these. The methods are applied to the SSS data to develop a dataset of spurious object detections, along with confidence measures, which can allow these unwanted data to be removed from consideration. These methods are general and can be adapted to other astronomical survey data.Comment: Accepted for MNRAS. 17 pages, latex2e, uses mn2e.bst, mn2e.cls, md706.bbl, shortbold.sty (all included). All figures included here as low resolution jpegs. A version of this paper including the figures can be downloaded from http://www.anc.ed.ac.uk/~amos/publications.html and more details on this project can be found at http://www.anc.ed.ac.uk/~amos/sattrackres.htm

Inducing Probabilistic Grammars by Bayesian Model Merging

We describe a framework for inducing probabilistic grammars from corpora of positive samples. First, samples are {\em incorporated} by adding ad-hoc rules to a working grammar; subsequently, elements of the model (such as states or nonterminals) are {\em merged} to achieve generalization and a more compact representation. The choice of what to merge and when to stop is governed by the Bayesian posterior probability of the grammar given the data, which formalizes a trade-off between a close fit to the data and a default preference for simpler models (`Occam's Razor'). The general scheme is illustrated using three types of probabilistic grammars: Hidden Markov models, class-based $n$-grams, and stochastic context-free grammars.Comment: To appear in Grammatical Inference and Applications, Second International Colloquium on Grammatical Inference; Springer Verlag, 1994. 13 page

Implementing EM and Viterbi algorithms for Hidden Markov Model in linear memory

<p>Abstract</p> <p>Background</p> <p>The Baum-Welch learning procedure for Hidden Markov Models (HMMs) provides a powerful tool for tailoring HMM topologies to data for use in knowledge discovery and clustering. A linear memory procedure recently proposed by <it>Miklós, I. and Meyer, I.M. </it>describes a memory sparse version of the Baum-Welch algorithm with modifications to the original probabilistic table topologies to make memory use independent of sequence length (and linearly dependent on state number). The original description of the technique has some errors that we amend. We then compare the corrected implementation on a variety of data sets with conventional and checkpointing implementations.</p> <p>Results</p> <p>We provide a correct recurrence relation for the emission parameter estimate and extend it to parameter estimates of the Normal distribution. To accelerate estimation of the prior state probabilities, and decrease memory use, we reverse the originally proposed forward sweep. We describe different scaling strategies necessary in all real implementations of the algorithm to prevent underflow. In this paper we also describe our approach to a linear memory implementation of the Viterbi decoding algorithm (with linearity in the sequence length, while memory use is approximately independent of state number). We demonstrate the use of the linear memory implementation on an extended Duration Hidden Markov Model (DHMM) and on an HMM with a spike detection topology. Comparing the various implementations of the Baum-Welch procedure we find that the checkpointing algorithm produces the best overall tradeoff between memory use and speed. In cases where sequence length is very large (for Baum-Welch), or state number is very large (for Viterbi), the linear memory methods outlined may offer some utility.</p> <p>Conclusion</p> <p>Our performance-optimized Java implementations of Baum-Welch algorithm are available at <url>http://logos.cs.uno.edu/~achurban</url>. The described method and implementations will aid sequence alignment, gene structure prediction, HMM profile training, nanopore ionic flow blockades analysis and many other domains that require efficient HMM training with EM.</p

Partial core power transformer

This thesis describes the design, construction, and testing of a 15kVA, 11kV/230V partial core power transformer (PCPT) for continuous operation. While applications for the partial core transformer have been developed for many years, the concept of constructing a partial core transformer, from conventional copper windings, as a power transformer has not been investigated, specifically to have a continuous operation. In this thesis, this concept has been investigated and tested. The first part of the research involved creating a computer program to model the physical dimensions and the electrical performance of a partial core transformer, based on the existing partial core transformer models. Also, since the hot-spot temperature is the key factor for limiting the power rating of the PCPT, the second part of the research investigates a thermal model to simulate the change of the hot-spot temperature for the designed PCPT. The cooling fluid of the PCPT applied in this project was BIOTEMP®. The original thermal model used was from the IEEE Guide for Loading Mineral-Oil-Immersed transformer. However, some changes to the original thermal model had to be made since the original model does not include BIOTEMP® as a type of cooling fluid. The constructed partial core transformer was tested to determine its hot-spot temperature when it is immersed by BIOTEMP®, and the results compared with the thermal model. The third part of the research involved using both the electrical model and the thermal model to design a PCPT. The PCPT was tested to obtain the actual electrical and the thermal performance for the PCPT. The overall performance of the PCPT was very close to the model estimation. However, cooling of the PCPT was not sufficient to allow the PCPT to operate at the design rated load for continuous operation. Therefore, the PCPT was down rated from 15kVA to maintain the hot-spot temperature at 100°C for continuous operation. The actual rating of the PCPT is 80% of the original power rating, which is 12kVA

Reductions of Hidden Information Sources

In all but special circumstances, measurements of time-dependent processes reflect internal structures and correlations only indirectly. Building predictive models of such hidden information sources requires discovering, in some way, the internal states and mechanisms. Unfortunately, there are often many possible models that are observationally equivalent. Here we show that the situation is not as arbitrary as one would think. We show that generators of hidden stochastic processes can be reduced to a minimal form and compare this reduced representation to that provided by computational mechanics--the epsilon-machine. On the way to developing deeper, measure-theoretic foundations for the latter, we introduce a new two-step reduction process. The first step (internal-event reduction) produces the smallest observationally equivalent sigma-algebra and the second (internal-state reduction) removes sigma-algebra components that are redundant for optimal prediction. For several classes of stochastic dynamical systems these reductions produce representations that are equivalent to epsilon-machines.Comment: 12 pages, 4 figures; 30 citations; Updates at http://www.santafe.edu/~cm

Computational identification of adaptive mutants using the VERT system

<p/> <p>Background</p> <p>Evolutionary dynamics of microbial organisms can now be visualized using the Visualizing Evolution in Real Time (VERT) system, in which several isogenic strains expressing different fluorescent proteins compete during adaptive evolution and are tracked using fluorescent cell sorting to construct a population history over time. Mutations conferring enhanced growth rates can be detected by observing changes in the fluorescent population proportions.</p> <p>Results</p> <p>Using data obtained from several VERT experiments, we construct a hidden Markov-derived model to detect these adaptive events in VERT experiments without external intervention beyond initial training. Analysis of annotated data revealed that the model achieves consensus with human annotation for 85-93% of the data points when detecting adaptive events. A method to determine the optimal time point to isolate adaptive mutants is also introduced.</p> <p>Conclusions</p> <p>The developed model offers a new way to monitor adaptive evolution experiments without the need for external intervention, thereby simplifying adaptive evolution efforts relying on population tracking. Future efforts to construct a fully automated system to isolate adaptive mutants may find the algorithm a useful tool.</p

Duration learning for analysis of nanopore ionic current blockades

<p>Abstract</p> <p>Background</p> <p>Ionic current blockade signal processing, for use in nanopore detection, offers a promising new way to analyze single molecule properties, with potential implications for DNA sequencing. The alpha-Hemolysin transmembrane channel interacts with a translocating molecule in a nontrivial way, frequently evidenced by a complex ionic flow blockade pattern. Typically, recorded current blockade signals have several levels of blockade, with various durations, all obeying a fixed statistical profile for a given molecule. Hidden Markov Model (HMM) based duration learning experiments on artificial two-level Gaussian blockade signals helped us to identify proper modeling framework. We then apply our framework to the real multi-level DNA hairpin blockade signal.</p> <p>Results</p> <p>The identified upper level blockade state is observed with durations that are geometrically distributed (consistent with an a physical decay process for remaining in any given state). We show that mixture of convolution chains of geometrically distributed states is better for presenting multimodal long-tailed duration phenomena. Based on learned HMM profiles we are able to classify 9 base-pair DNA hairpins with accuracy up to 99.5% on signals from same-day experiments.</p> <p>Conclusion</p> <p>We have demonstrated several implementations for <it>de novo </it>estimation of duration distribution probability density function with HMM framework and applied our model topology to the real data. The proposed design could be handy in molecular analysis based on nanopore current blockade signal.</p

Haplotype inference based on Hidden Markov Models in the QTL-MAS 2010 multi-generational dataset

<p>Abstract</p> <p>Background</p> <p>We have previously demonstrated an approach for efficient computation of genotype probabilities, and more generally probabilities of allele inheritance in inbred as well as outbred populations. That work also included an extension for haplotype inference, or phasing, using Hidden Markov Models. Computational phasing of multi-thousand marker datasets has not become common as of yet. In this communication, we further investigate the method presented earlier for such problems, in a multi-generational dataset simulated for QTL detection.</p> <p>Results</p> <p>When analyzing the dataset simulated for the 14th QTLMAS workshop, the phasing produced showed zero deviations compared to original simulated phase in the founder generation. In total, 99.93% of all markers were correctly phased. 97.68% of the individuals were correct in all markers over all 5 simulated chromosomes. Results were produced over a weekend on a small computational cluster. The specific algorithmic adaptations needed for the Markov model training approach in order to reach convergence are described.</p> <p>Conclusions</p> <p>Our method provides efficient, near-perfect haplotype inference allowing the determination of completely phased genomes in dense pedigrees. These developments are of special value for applications where marker alleles are not corresponding directly to QTL alleles, thus necessitating tracking of allele origin, and in complex multi-generational crosses. The cnF2freq codebase, which is in a current state of active development, is available under a BSD-style license.</p