Robust M-estimation of multivariate GARCH models

The Gaussian quasi-maximum likelihood estimator of Multivariate GARCH models is shown to be very sensitive to outliers in the data. A class of robust M-estimators for MGARCH models is developed. To increase the robustness of the estimators, the use of volatility models with the property of bounded innovation propagation is recommended. The Monte Carlo study and an empirical application to stock returns document the good robustness properties of the M-estimator with a fat-tailed Student t loss function.     

Combination of convex theories: Modularity,deduction completeness,and explanation

Decision procedures are key components of theorem provers and constraint satisfaction systems. Their modular combination is of prime interest for building efficient systems, but their effective use is often limited by poor interface capabilities, when such procedures only provide a simple “sat/unsat” answer. In this paper, we develop a framework to design cooperation schemas between such procedures while maintaining modularity of their interfaces. First, we use the framework to specify and prove the correctness of classic combination schemas by Nelson–Oppen and Shostak. Second, we introduce the concept of deduction complete satisfiability procedures, we show how to build them for large classes of theories, then we provide a schema to modularly combine them. Third, we consider the problem of modularly constructing explanations for combinations by re-using available proof-producing procedures for the component theories.     

Co-constructing with stakeholders a role-playing game to initiate collective management of erosive runoff risks at the watershed scale

Erosive runoff is a recurring problem and is a source of sometimes deadly muddy floods in the Pays de Caux (France). The risk results from a conjunction of natural factors and human activity. Efficient actions against runoff in agricultural watersheds are well known. However they are still difficult to implement as they require co-operation between stakeholders. Local actors thus need tools to help them understand the collective consequences of their individual decisions and help to initiate a process of negotiation between them. We decided to use a participatory approach called companion modelling (ComMod), and, in close collaboration with one of the first group of local stakeholders, to create a role-playing game (RPG) to facilitate negotiations on the future management of erosive runoff. This paper describes and discusses the development of the RPG and its use with other groups of local stakeholders within the framework of two game sessions organized by two different watershed management committees. During the joint construction step, stakeholders shared their viewpoints about the environment, agents, rules, and how to model runoff in preparation for the creation of the RPG. During the RPG sessions, two groups of eight players, including farmers, mayors and watershed advisors, were confronted with disastrous runoff in a fictive agricultural watershed. Results showed that they managed to reduce runoff by 20–50% by engaging a dialogue about grass strips, storage ponds and management of the intercrop period. However, further progress is still needed to better control runoff through the implementation of better agricultural practices because, during the RPG sessions, the watershed advisors did not encourage farmers to do so. Because of the complexity of management problems, results of jointly constructing the game and the RPG sessions showed that modelling and simulation can be a very useful way of accompanying the collective learning process. This new way of working was welcomed by the participants who expressed their interest in organizing further RPG sessions.     

An Efficient Newton-Krylov Implementation of the Constrained Runs Scheme for Initializing on a Slow Manifold

The long-term dynamic behavior of many dynamical systems evolves on a low-dimensional, attracting, invariant slow manifold, which can be parameterized by only a few variables (“observables”). The explicit derivation of such a slow manifold (and thus, the reduction of the long-term system dynamics) is often extremely difficult or practically impossible. For this class of problems, the equation-free framework has been developed to enable performing coarse-grained computations, based on short full model simulations. Each full model simulation should be initialized so that the full model state is consistent with the values of the observables and close to the slow manifold. To compute such an initial full model state, a class of constrained runs functional iterations was proposed (Gear and Kevrekidis, J. Sci. Comput. 25(1), 17–28, 2005; Gear et al., SIAM J. Appl. Dyn. Syst. 4(3), 711–732, 2005). The schemes in this class only use the full model simulator and converge, under certain conditions, to an approximation of the desired state on the slow manifold. In this article, we develop an implementation of the constrained runs scheme that is based on a (preconditioned) Newton-Krylov method rather than on a simple functional iteration. The functional iteration and the Newton-Krylov method are compared in detail using a lattice Boltzmann model for one-dimensional reaction-diffusion as the full model simulator. Depending on the parameters of the lattice Boltzmann model, the functional iteration may converge slowly or even diverge. We show that both issues are largely resolved by using the Newton-Krylov method, especially when a coarse grid correction preconditioner is incorporated.     

The impact of false warnings on partial and full lane departure warnings effectiveness and acceptance in car driving

In the past, lane departure warnings (LDWs) were demonstrated to improve driving behaviours during lane departures but little is known about the effects of unreliable warnings. This experiment focused on the influence of false warnings alone or in combination with missed warnings and warning onset on assistance effectiveness and acceptance. Two assistance unreliability levels (33 and 17%) and two warning onsets (partial and full lane departure) were manipulated in order to investigate interaction. Results showed that assistance, regardless unreliability levels and warning onsets, improved driving behaviours during lane departure episodes and outside of these episodes by favouring better lane-keeping performances. Full lane departure and highly unreliable warnings, however, reduced assistance efficiency. Drivers’ assistance acceptance was better for the most reliable warnings and for the subsequent warnings. The data indicate that imperfect LDWs (false warnings or false and missed warnings) further improve driving behaviours compared to no assistance.

Practitioner Summary: This study revealed that imperfect lane departure warnings are able to significantly improve driving performances and that warning onset is a key element for assistance effectiveness and acceptance. The conclusion may be of particular interest for lane departure warning designers.     

Simultaneous automated design of structured QFT controller and prefilter using nonlinear programming

This paper describes a nonlinear programming‐based robust design methodology for controllers and prefilters of a predefined structure for the linear time‐invariant systems involved in the quantitative feedback theory. This controller and prefilter synthesis problem is formulated as a single optimization problem with a given performance optimization objective and constraints enforcing stability and various specifications usually enforced in the quantitative feedback theory. The focus is set on providing constraints expression that can be used in standard nonlinear programming solvers. The nonlinear solver then computes in a single‐step controller and prefilter design parameters that satisfy the prescribed constraints and maximizes the performance optimization objective. The effectiveness of the proposed approach is demonstrated through a variety of difficult design cases like resonant plants, open‐loop unstable plants, and plants with variation in the time delay. Copyright © 2016 John Wiley & Sons, Ltd.     

An empirical evaluation of the comprehensibility of decision table, tree and rule based predictive models

An important objective of data mining is the development of predictive models. Based on a number of observations, a model is constructed that allows the analysts to provide classifications or predictions for new observations. Currently, most research focuses on improving the accuracy or precision of these models and comparatively little research has been undertaken to increase their comprehensibility to the analyst or end-user. This is mainly due to the subjective nature of ‘comprehensibility’, which depends on many factors outside the model, such as the user's experience and his/her prior knowledge. Despite this influence of the observer, some representation formats are generally considered to be more easily interpretable than others. In this paper, an empirical study is presented which investigates the suitability of a number of alternative representation formats for classification when interpretability is a key requirement. The formats under consideration are decision tables, (binary) decision trees, propositional rules, and oblique rules. An end-user experiment was designed to test the accuracy, response time, and answer confidence for a set of problem-solving tasks involving the former representations. Analysis of the results reveals that decision tables perform significantly better on all three criteria, while post-test voting also reveals a clear preference of users for decision tables in terms of ease of use.     

A Pattern-Matching Compiler

Implementation of a rule-based transformation engine consists of several tasks with various abstraction levels. We present a new tool called mtom for the efficient implementation of rule-based transformations. This engine should help to bridge the gap between rewriting implementations and practical applications. It aims at implementing well-identified parts of complex applications where the use of rewriting is natural or crucial. These parts are specified using rewrite rules and integrated with the rest of the application, which is kept in a classical imperative language such as C, C++ or Java. Our tool, which can be viewed as a Yacc-like pre-processor, does not depend on a given term representation, rather it accepts implementation of terms (or term like data-types) of yet existing applications and it permits to define and execute rewrite rules upon those types. From our experiences, this system is well-suited for industrial use as well as for implementations of rule-based languages. The paper introduces several features supported by mtom.