Models and Simulations for Portfolio Rebalancing

In 1950 Markowitz first formalized the portfolio optimization problem in terms of mean return and variance. Since then, the mean-variance model has played a crucial role in single-period portfolio optimization theory and practice. In this paper we study the optimal portfolio selection problem in a multi-period framework, by considering fixed and proportional transaction costs and evaluating how much they affect a re-investment strategy. Specifically, we modify the single-period portfolio optimization model, based on the Conditional Value at Risk (CVaR) as measure of risk, to introduce portfolio rebalancing. The aim is to provide investors and financial institutions with an effective tool to better exploit new information made available by the market. We then suggest a procedure to use the proposed optimization model in a multi-period framework. Extensive computational results based on different historical data sets from German Stock Exchange Market (XETRA) are presented.     

Interactive smart battery storage for a PV and wind hybrid energy management control based on conservative power theory

This paper presents interactive smart battery-based storage (BBS) for wind generator (WG) and photovoltaic (PV) systems. The BBS is composed of an asymmetric cascaded H-bridge multilevel inverter (ACMI) with staircase modulation. The structure is parallel to the WG and PV systems, allowing the ACMI to have a reduction in power losses compared to the usual solution for storage connected at the DC-link of the converter for WG or PV systems. Moreover, the BBS is embedded with a decision algorithm running real-time energy costs, plus a battery state-of-charge manager and power quality capabilities, making the described system in this paper very interactive, smart and multifunctional. The paper describes how BBS interacts with the WG and PV and how its performance is improved. Experimental results are presented showing the efficacy of this BBS for renewable energy applications.     

Condition-based diagnosis of mechatronic systems using a fractional calculus approach

While fractional calculus (FC) is as old as integer calculus, its application has been mainly restricted to mathematics. However, many real systems are better described using FC equations than with integer models. FC is a suitable tool for describing systems characterised by their fractal nature, long-term memory and chaotic behaviour. It is a promising methodology for failure analysis and modelling, since the behaviour of a failing system depends on factors that increase the model’s complexity. This paper explores the proficiency of FC in modelling complex behaviour by tuning only a few parameters. This work proposes a novel two-step strategy for diagnosis, first modelling common failure conditions and, second, by comparing these models with real machine signals and using the difference to feed a computational classifier. Our proposal is validated using an electrical motor coupled with a mechanical gear reducer.     

Skill Memory in Biped Locomotion

Robots must be able to adapt their motor behavior to unexpected situations in order to safely move among humans. A necessary step is to be able to predict failures, which result in behavior abnormalities and may cause irrecoverable damage to the robot and its surroundings, i.e. humans. In this paper we build a predictive model of sensor traces that enables early failure detection by means of a skill memory. Specifically, we propose an architecture based on a biped locomotion solution with improved robustness due to sensory feedback, and extend the concept of Associative Skill Memories (ASM) to periodic movements by introducing several mechanisms into the training workflow, such as linear interpolation and regression into a Dynamical Motion Primitive (DMP) system such that representation becomes time invariant and easily parameterizable. The failure detection mechanism applies statistical tests to determine the optimal operating conditions. Both training and failure testing were conducted on a DARwIn-OP inside a simulation environment to assess and validate the failure detection system proposed. Results show that the system performance in terms of the compromise between sensitivity and specificity is similar with and without the proposed mechanism, while achieving a significant data size reduction due to the periodic approach taken.     

Lightfield Recovery from Its Focal Stack

The Focal Stack Transform integrates a 4D lightfield over a set of appropriately chosen 2D planes. The result of such integration is an image focused on a determined depth in 3D space. The set of such images is the Focal Stack of the lightfield. This paper studies the existence of an inverse for this transform. Such inverse could be used to obtain a 4D lightfield from a set of images focused on several depths of the scene. In this paper, we show that this inversion cannot be obtained for a general lightfield and introduce a subset of lightfields where this inversion can be computed exactly. We examine the numerical properties of such inversion process for general lightfields and examine several regularization approaches to stabilize the transform. Experimental results are provided for focal stacks obtained from several plenoptic cameras. From a practical point of view, results show how this inversion procedure can be used to recover, compress, and denoise the original 4D lightfield.     

A Minimal Closed-form Solution for the Perspective Three Orthogonal Angles (P3oA) Problem: Application To Visual Odometry

We provide a simple closed-form solution to the Perspective three orthogonal angles (P3oA) problem: given the projection of three orthogonal lines in a calibrated camera, find their 3D directions. Upon this solution, an algorithm for the estimation of the camera relative rotation between two frames is proposed. The key idea is to detect triplets of orthogonal lines in a hypothesize-and-test framework and use all of them to compute the camera rotation in a robust way. This approach is suitable for human-made environments where numerous groups of orthogonal lines exist. We evaluate the numerical stability of the P3oA solution and the estimation of the relative rotation with synthetic and real data, comparing our results to other state-of-the-art approaches.     

Set‐based fault detection and isolation for detectable linear parameter‐varying systems

In the context of fault detection and isolation of linear parameter‐varying systems, a challenging task appears when the dynamics and the available measurements render the model unobservable, which invalidates the use of standard set‐valued observers. Two results are obtained in this paper, namely, using a left‐coprime factorization, one can achieve set‐valued estimates with ultimately bounded hyper‐volume and convergence dependent on the slowest unobservable mode; and by rewriting the set‐valued observer equations and taking advantage of a coprime factorization, it is possible to have a low‐complexity fault detection and isolation method. Performance is assessed through simulation, illustrating, in particular, the detection time for various types of faults. Copyright © 2017 John Wiley & Sons, Ltd.     

Ensemble of Efficient Minimal Learning Machines for Classification and Regression

Minimal Learning Machine (MLM) is a recently proposed supervised learning algorithm with performance comparable to most state-of-the-art machine learning methods. In this work, we propose ensemble methods for classification and regression using MLMs. The goal of ensemble strategies is to produce more robust and accurate models when compared to a single classifier or regression model. Despite its successful application, MLM employs a computationally intensive optimization problem as part of its test procedure (out-of-sample data estimation). This becomes even more noticeable in the context of ensemble learning, where multiple models are used. Aiming to provide fast alternatives to the standard MLM, we also propose the Nearest Neighbor Minimal Learning Machine and the Cubic Equation Minimal Learning Machine to cope with classification and single-output regression problems, respectively. The experimental assessment conducted on real-world datasets reports that ensemble of fast MLMs perform comparably or superiorly to reference machine learning algorithms.     

Authorship verification applied to detection of compromised accounts on online social networks

Compromising legitimate accounts has been the most used strategy to spread malicious content on OSN (Online Social Network). To address this problem, we propose a pure text mining approach to check if an account has been compromised based on its posts content. In the first step, the proposed approach extracts the writing style from the user account. The second step comprehends the k-Nearest Neighbors algorithm (k-NN) to evaluate the post content and identify the user. Finally, Baseline Updating (third step) consists of a continuous updating of the user baseline to support the current trends and seasonality issues of user’s posts. Experiments were carried out using a dataset from Twitter composed by tweets of 1000 users. All the three steps were individually evaluated, and the results show that the developed method is stable and can detect the compromised accounts. An important observation is the Baseline Updating contribution, which leads to an enhancement of accuracy superior of 60 %. Regarding average accuracy, the developed method achieved results over 93 %.