A matter of attitude: Focusing on positive and active gradients to boost saliency maps

Saliency maps have become one of the most widely used interpretability techniques for convolutional neural networks (CNN) due to their simplicity and the quality of the insights they provide. However, there are still some doubts about whether these insights are a trustworthy representation of what CNNs use to come up with their predictions. This paper explores how rescuing the sign of the gradients from the saliency map can lead to a deeper understanding of multi-class classification problems. Using both pretrained and trained from scratch CNNs we unveil that considering the sign and the effect not only of the correct class, but also the influence of the other classes, allows to better identify the pixels of the image that the network is really focusing on. Furthermore, how occluding or altering those pixels is expected to affect the outcome also becomes clearer

Short-term evolution of forward curves and volatility in illiquid power market

We propose in this paper a model for the description of electricity spot prices, which we use to describe the dynamics of forward curves. The spot price model is based on a long-term/short-term decomposition, where the price is thought of as made up of two factors: A long-term equilibrium level and short-term movements around the equilibrium. We use a non-parametric approach to model the equilibrium level of power prices, and a mean-reverting process with GARCH volatility to describe the dynamics of the short-term component. Then, the model is used to derive the expression of the short-term dynamics of the forward curve implicit in spot prices. The rationale for the approach is that information concerning forward prices is not available in most of power markets, and the direct modeling of the forward curve is a difficult task. Moreover, power derivatives are typically written on forward contracts, and usually based on average prices of forward contracts. Then, it is difficult to obtain analytical expressions for the forward curves. The model of forward prices allows for the valuation of power derivatives, as well as the calculation of the volatilities and correlations required in risk management activities. Finally, the methodology is proven in the context of the Spanish wholesale marke

Short-term evolution of forward curves and volatility in illiquid power markets

We propose in this paper a model for the description of electricity spot prices, which we use to describe the dynamics of forward curves. The spot price model is based on a long-term/short-term decomposition, where the price is thought of as made up of two factors: A long-term equilibrium level and short-term movements around the equilibrium. We use a non-parametric approach to model the equilibrium level of power prices, and a mean-reverting process with GARCH volatility to describe the dynamics of the short-term component. Then, the model is used to derive the expression of the short-term dynamics of the forward curve implicit in spot prices. The rationale for the approach is that information concerning forward prices is not available in most of power markets, and the direct modeling of the forward curve is a difficult task. Moreover, power derivatives are typically written on forward contracts, and usually based on average prices of forward contracts. Then, it is difficult to obtain analytical expressions for the forward curves. The model of forward prices allows for the valuation of power derivatives, as well as the calculation of the volatilities and correlations required in risk management activities. Finally, the methodology is proven in the context of the Spanish wholesale marke

Flexibility and Bed Margins of the Community of Madrid’s Hospitals during the First Wave of the SARS-CoV-2 Pandemic

Background: The COVID-19 pandemic has had global effects; cases have been counted in the tens of millions, and there have been over two million deaths throughout the world. Health systems have been stressed in trying to provide a response to the increasing demand for hospital beds during the different waves. This paper analyzes the dynamic response of the hospitals of the Community of Madrid (CoM) during the first wave of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) pandemic in the period between 18 March and 31 May 2020. The aim was to model the response of the CoM’s health system in terms of the number of available beds. Methods: A research design based on a case study of the CoM was developed. To model this response, we use two concepts: “bed margin” (available beds minus occupied beds, expressed as a percentage) and “flexibility” (which describes the ability to adapt to the growing demand for beds). The Linear Hinges Model allowed a robust estimation of the key performance indicators for capturing the flexibility of the available beds in hospitals. Three new flexibility indicators were defined: the Average Ramp Rate Until the Peak (ARRUP), the Ramp Duration Until the Peak (RDUP), and the Ramp Growth Until the Peak (RGUP). Results: The public and private hospitals of the CoM were able to increase the number of available beds from 18,692 on 18 March 2020 to 23,623 on 2 April 2020. At the peak of the wave, the number of available beds increased by 160 in 48 h, with an occupancy of 90.3%. Within that fifteen-day period, the number of COVID-19 inpatients increased by 200% in non-intensive care unit (non-ICU) wards and by 155% in intensive care unit (ICU) wards. The estimated ARRUP for non-ICU beds in the CoM hospital network during the first pandemic wave was 305.56 beds/day, the RDUP was 15 days, and the RGUP was 4598 beds. For the ICU beds, the ARRUP was 36.73 beds/day, the RDUP was 20 days, and the RGUP was 735 beds. This paper includes a further analysis of the response estimated for each hospital. Conclusions: This research provides insights not only for academia, but also for hospital management and practitioners. The results show that not all of the hospitals dealt with the sudden increase in bed demand in the same way, nor did they provide the same flexibility in order to increase their bed capabilities. The bed margin and the proposed indicators of flexibility summarize the dynamic response and can be included as part of a hospital’s management dashboard for monitoring its behavior during pandemic waves or other health crises as a complement to other, more steady-state indicators

Short-term evolution of forward curves and volatility in illiquid power market

We propose in this paper a model for the description of electricity spot prices, which we use to describe the dynamics of forward curves. The spot price model is based on a long-term/short-term decomposition, where the price is thought of as made up of two factors: A long-term equilibrium level and short-term movements around the equilibrium. We use a non-parametric approach to model the equilibrium level of power prices, and a mean-reverting process with GARCH volatility to describe the dynamics of the short-term component. Then, the model is used to derive the expression of the short-term dynamics of the forward curve implicit in spot prices. The rationale for the approach is that information concerning forward prices is not available in most of power markets, and the direct modeling of the forward curve is a difficult task. Moreover, power derivatives are typically written on forward contracts, and usually based on average prices of forward contracts. Then, it is difficult to obtain analytical expressions for the forward curves. The model of forward prices allows for the valuation of power derivatives, as well as the calculation of the volatilities and correlations required in risk management activities. Finally, the methodology is proven in the context of the Spanish wholesale marketForward curves;Power Markets;GARCH volatility;nonparametric regression

Optimising a Microgrid System by Deep Reinforcement Learning Techniques

The deployment of microgrids could be fostered by control systems that do not require very complex modelling, calibration, prediction and/or optimisation processes. This paper explores the application of Reinforcement Learning (RL) techniques for the operation of a microgrid. The implemented Deep Q-Network (DQN) can learn an optimal policy for the operation of the elements of an isolated microgrid, based on the interaction agent-environment when particular operation actions are taken in the microgrid components. In order to facilitate the scaling-up of this solution, the algorithm relies exclusively on historical data from past events, and therefore it does not require forecasts of the demand or the renewable generation. The objective is to minimise the cost of operating the microgrid, including the penalty of non-served power. This paper analyses the effect of considering different definitions for the state of the system by expanding the set of variables that define it. The obtained results are very satisfactory as it can be concluded by their comparison with the perfect-information optimal operation computed with a traditional optimisation model, and with a Naive model