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Experimental comparison of traffic flow models on traffic data
Přikryl, Jan; Horňák, Ivan
2015 - English
Despite their deficiencies, continuous second-order traffic flow models are still commonly used to derive discrete-time models that help traffic engineers to model and predict traffic oflow behaviour on highways. We brie fly overview the development of traffic flow theory based on continuous flow-density models of Lighthill-Whitham-Richards (LWR) type, that lead to the second-order model of Aw-Rascle. We will then concentrate on widely-adopted discrete approximation to the LWR model by Daganzo's Cell Transmission Model. Behaviour of the discussed models will be demonstrated by comparing the traffic flow prediction based on these models with real traffic data on the southern highway ring of Prague.
Keywords:
continuous traffic flow models; Lighthill-Whitham-Richards models; cell transmision model
Fulltext is available at external website.
Experimental comparison of traffic flow models on traffic data
Despite their deficiencies, continuous second-order traffic flow models are still commonly used to derive discrete-time models that help traffic engineers to model and predict traffic oflow behaviour ...
Second Order Optimality in Transient and Discounted Markov Decision Chains
Sladký, Karel
2015 - English
The article is devoted to second order optimality in Markov decision processes. Attention is primarily focused on the reward variance for discounted models and undiscounted transient models (i.e. where the spectral radius of the transition probability matrix is less than unity). Considering the second order optimality criteria means that in the class of policies maximizing (or minimizing) total expected discounted reward (or undiscounted reward for the transient model) we choose the policy minimizing the total variance. Explicit formulae for calculating the variances for transient and discounted models are reported along with sketches of algoritmic procedures for finding second order optimal policies.
Keywords:
dynamic programming; discounted and transient Markov reward chains; reward-variance optimality
Fulltext is available at external website.
Second Order Optimality in Transient and Discounted Markov Decision Chains
The article is devoted to second order optimality in Markov decision processes. Attention is primarily focused on the reward variance for discounted models and undiscounted transient models (i.e. ...
Day-ahead bidding on energy markets - a basic model and its extension to bidding curve
Branda, Martin
2015 - English
Wind resources energy production is highly influenced by uncertain weather conditions. We provide several simple models for bidding on day-ahead energy markets, which take into account the uncertainty. The obtained optimal bids and bidding curve are based not only on the point prediction, but also on the forecasted distribution of generated energy. We relate the resulting problems to two-stage stochastic programs with simple recourse.
Keywords:
energy markets; wind energy; day-ahead bidding; uncertainty; two-stage stochastic programming
Fulltext is available at external website.
Day-ahead bidding on energy markets - a basic model and its extension to bidding curve
Wind resources energy production is highly influenced by uncertain weather conditions. We provide several simple models for bidding on day-ahead energy markets, which take into account the ...
On Bayes approach to optimization
Volf, Petr
2014 - English
In many real optimization problems we have not full information on the objective function and can afford to evaluate it at just a few points. Then, certain assumptions on the objective function must be done. This could be taken as a prior information in a Bayes scheme. The Bayes approach to optimization then offers the way of effective search for the extremal point. We describe the technique how to mapproach the optimum using the Gauss process or a regression-like models.
Keywords:
optimization; Bayes method; nonparametric regression.
Fulltext is available at external website.
On Bayes approach to optimization
In many real optimization problems we have not full information on the objective function and can afford to evaluate it at just a few points. Then, certain assumptions on the objective function must ...
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
Sladký, Karel
2014 - English
In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with its partial Laurent expansion. This enables to compare the obtained results with similar results for undiscounted models.
Keywords:
discrete-time Markov decision chains; variance of total discounted rewards; Laurent expansion; mean-variance optimality
Fulltext is available at external website.
The Variance of Discounted Rewards in Markov Decision Processes: Laurent Expansion and Sensitive Optimality
In this paper we consider discounted Markov decision processes with finite state space and compact actions spaces. We present formulas for the variance of total expected discounted rewards along with ...
Multiobjective Stochastic Optimization Problems with Probability Constraints
Kaňková, Vlasta
2014 - English
Rather general multiobjective optimization problems depending on a probability measure correspond often to situations in which an economic or financial process is simultaneously influenced by a random factor and a “decision” parameter; moreover simultaneously it is reasonable to evaluate the process by a few objective functions and it seems reasonable to determine the decision with to the mathematical expectation of objectives. A complete knowledge of the probability measure is a necessary assumption to analyze the problem. However, in applications mostly the problem has to be solved on the data base. A relationship between “characteristics” obtained on the base of complete knowledge of the probability measure and them obtained on the above mentioned data base has been already investigated in the case when constraints are not depending on the probability measure. The aim of the talk will be to relax this condition.
Keywords:
Stochastic multiobjective optimization problems; (properly) efficient solution; Wasserstein metric; stability; empirical estimates
Fulltext is available at external website.
Multiobjective Stochastic Optimization Problems with Probability Constraints
Rather general multiobjective optimization problems depending on a probability measure correspond often to situations in which an economic or financial process is simultaneously influenced by a random ...
Přesné monitorování svislých průhybů mostních konstrukcí metodou pozemní radarové interferometrie
Talich, Milan
2014 - Czech
K rychlému bezkontaktnímu určování svislých průhybů mostních konstrukcí s přesností až 0,01 mm v reálném čase lze v praxi využít i principů pozemní radarové interferometrie. Současně je možné taktéž v reálném čase zachytit a analyzovat i frekvence kmitání sledovaného objektu s frekvencí až 50 Hz. Průhyby lze určovat současně na více místech objektu, například v případě mostní konstrukce na bodech rozmístěných na mostovce ve vzájemných vzdálenostech po cca 1 m či více metrech dle volby. To umožňuje získat jak celkovou tak i podrobnou informaci o chování konstrukce při jejím dynamickém zatížení a sledovat tím vliv průjezdů ať už jednotlivých vozidel či jejich skupin. Kromě pouze základů nezbytné teorie a způsobu ověření dosažené přesnosti měření jsou uváděny i praktické příklady z praxe. The contactless determination of vertical deformations of bridge structures with accuracy up to 0.01 mm in real time can also be used in practice the technology of ground based radar interferometry. It is also possible in real time to capture oscillations of the object with a frequency up to 50 Hz. Deformations can be determine simultaneously in multiple places of the object, for example a bridge structure at points distributed on the bridge deck at intervals of one or more meters. This allows to obtain both overall and detailed information about the behavior of the structure during the dynamic load and monitoring the impact of movements either individual vehicles or groups. In addition to the necessary theory are given practical examples.
Keywords:
ground radar interferometry; deformation monitoring; bridge structures
Fulltext is available at external website.
Přesné monitorování svislých průhybů mostních konstrukcí metodou pozemní radarové interferometrie
K rychlému bezkontaktnímu určování svislých průhybů mostních konstrukcí s přesností až 0,01 mm v reálném čase lze v praxi využít i principů pozemní radarové interferometrie. Současně je možné taktéž v ...
Určování deformací betonové přehradní hráze Orlík pomocí pozemního InSAR
Talich, Milan; Glöckner, M.; Böhm, Ondřej; Antoš, Filip
2014 - Czech
Metoda pozemní radarové interferometrie se syntetickou aperturou (GB InSAR) nabývá stále většího významu při určování deformací přehradních hrází. Článek popisuje její užití pro monitorování deformací největší české betonové přehrady Orlík na Vltavě. Analýzou jednoměsíčního nepřetržitého měření přehrady byly detekovány nelineární periodické pohyby. Podrobněji byly vyšetřovány vztahy mezi výškou vodní hladiny a určenými deformacemi jakož i mezi meteorologickými vlivy a deformacemi hráze. Výsledky potvrzují, že GB InSAR technika je velmi vhodná pro monitorování deformací těchto typů stavebních konstrukcí. Současně mohou výsledky sloužit jako cenný informační zdroj pro následné analýzy stability a varovné systémy. GB InSAR technique plays an increasingly important role in determining the deformation of dams. The paper describes the use of GB InSAR technique for monitoring deformations of the Czech largest concrete dam Orlík on the Vltava river. After analyzing one month-long continuous measurement of the dam were detected non-linear movements. The relation between acting water level and resulting deformations were investigated in detail. The results confirm that GB InSAR technique is very suitable for monitoring deformations of this type of constructions. At the same time, the results may serve as a valuable source of data and information for further analysis in area of stability and for early warning systems.
Keywords:
GB InSAR; deformation monitoring; deformation analysis; Orlík
Fulltext is available at external website.
Určování deformací betonové přehradní hráze Orlík pomocí pozemního InSAR
Metoda pozemní radarové interferometrie se syntetickou aperturou (GB InSAR) nabývá stále většího významu při určování deformací přehradních hrází. Článek popisuje její užití pro monitorování deformací ...
Dynamic Texture Modelling and Editing Using Temporal Mixing Coefficients Reduction
Havlíček, Michal
2014 - English
Real world materials often change their appearance over time. If these variations are spatially and temporally homogeneous then the visual appearance can be represented by a dynamic texture which is a natural extension of classic texture concept including the time as an extra dimension. In this article we present possible way to handle multispectral dynamic textures based on a combination of input data eigen analysis and subsequent processing of temporal mixing coefficients. The proposed method exhibits overall good performance, offers extremely fast synthesis which is not restricted in temporal dimension and simultaneously enables to compress significantly the original data and additionally perform texture editing.
Keywords:
dynamic texture; texture analysis; data compression
Fulltext is available at external website.
Dynamic Texture Modelling and Editing Using Temporal Mixing Coefficients Reduction
Real world materials often change their appearance over time. If these variations are spatially and temporally homogeneous then the visual appearance can be represented by a dynamic texture which is ...
Multifactor dynamic credit risk model
Dufek, J.; Šmíd, Martin
2014 - English
We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and we allow non-normal distri- butions of risk factors. Then we add a retrospective interaction of underlying factors and found a non-linear behaviour of these factors. In particular, the evolution of factors underlying the DR and the LGD is assumed to be ruled by a non-linear vector AR process with lagged DR and LGD and their non-linear transformations. We apply our new model on real US mortgage data and demonstrate its statistical significance.
Keywords:
loss given default; default rate; credit risk
Fulltext is available at external website.
Multifactor dynamic credit risk model
We propose a new dynamic model of the Merton type, based on the Vasicek model. We generalize Vasicek model in three ways: we add model for loss given default (LGD), we add dynamics to the model and ...
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