Computational Intelligence has found a challenging testbed for various paradigms in the financial sector. Extensive research has resulted in numerous financial applications using neural networks and evolutionary computation, mainly genetic algorithms and genetic programming. More recent advances in the field of computational intelligence have not yet been applied as extensively or have not become available in the public domain, due to the confidentiality requirements of financial institutions. This study investigates how co-evolution together with the combination of par- ticle swarm optimisation and neural networks could be used to discover competitive security trading agents that could enable the timing of buying and selling securities to maximise net profit and minimise risk over time. The investigated model attempts to identify security trend reversals with the help of technical analysis methodologies. Technical market indicators provide the necessary market data to the agents and reflect information such as supply, demand, momentum, volatility, trend, sentiment and retracement. All this is derived from the security price alone, which is one of the strengths of technical analysis and the reason for its use in this study. The model proposed in this thesis evolves trading strategies within a single pop- ulation of competing agents, where each agent is represented by a neural network. The population is governed by a competitive co-evolutionary particle swarm optimi- sation algorithm, with the objective of optimising the weights of the neural networks. A standard feed forward neural network architecture is used, which functions as a market trend reversal confidence. Ultimately, the neural network becomes an amal- gamation of the technical market indicators used as inputs, and hence is capable of detecting trend reversals. Timely trading actions are derived from the confidence output, by buying and short selling securities when the price is expected to rise or fall respectively. No expert trading knowledge is presented to the model, only the technical market indicator data. The co-evolutionary particle swarm optimisation model facilitates the discovery of favourable technical market indicator interpretations, starting with zero knowledge. A competitive fitness function is defined that allows the evaluation of each solution relative to other solutions, based on predefined performance metric objectives. The relative fitness function in this study considers net profit and the Sharpe ratio as a risk measure. For the purposes of this study, the stock prices of eight large market capitalisation companies were chosen. Two benchmarks were used to evaluate the discovered trading agents, consisting of a Bollinger Bands/Relative Strength Index rule-based strategy and the popular buy-and-hold strategy. The agents that were discovered from the proposed hybrid computational intelligence model outperformed both benchmarks by producing higher returns for in-sample and out-sample data at a low risk. This indicates that the introduced model is effective in finding favourable strategies, based on observed historical security price data. Transaction costs were considered in the evaluation of the computational intelligent agents, making this a feasible model for a real-world application. Copyright / Dissertation (MSc)--University of Pretoria, 2010. / Computer Science / unrestricted

While it is important for systems intended to enhance musical creativity to define and explore musical ideas conceived by individual users, many limit musical freedom by focusing on maintaining musical structure, thereby impeding the user's freedom to explore his or her individual style. This dissertation presents a comprehensive body of work that introduces a new musical representation that allows users to explore a space of musical rules that are created from their own melodies. This representation, called functional scaffolding for musical composition (FSMC), exploits a simple yet powerful property of multipart compositions: The pattern of notes and rhythms in different instrumental parts of the same song are functionally related. That is, in principle, one part can be expressed as a function of another. Music in FSMC is represented accordingly as a functional relationship between an existing human composition, or scaffold, and an additional generated voice. This relationship is encoded by a type of artificial neural network called a compositional pattern producing network (CPPN). A human user without any musical expertise can then explore how these additional generated voices should relate to the scaffold through an interactive evolutionary process akin to animal breeding. The utility of this insight is validated by two implementations of FSMC called NEAT Drummer and MaestroGenesis, that respectively help users tailor drum patterns and complete multipart arrangements from as little as a single original monophonic track. The five major contributions of this work address the overarching hypothesis in this dissertation that functional relationships alone, rather than specialized music theory, are sufficient for generating plausible additional voices. First, to validate FSMC and determine whether plausible generated voices result from the human-composed scaffold or intrinsic properties of the CPPN, drum patterns are created with NEAT Drummer to accompany several different polyphonic pieces. Extending the FSMC approach to generate pitched voices, the second contribution reinforces the importance of functional transformations through quality assessments that indicate that some partially FSMC-generated pieces are indistinguishable from those that are fully human. While the third contribution focuses on constructing and exploring a space of plausible voices with MaestroGenesis, the fourth presents results from a two-year study where students discuss their creative experience with the program. Finally, the fifth contribution is a plugin for MaestroGenesis called MaestroGenesis Voice (MG-V) that provides users a more natural way to incorporate MaestroGenesis in their creative endeavors by allowing scaffold creation through the human voice. Together, the chapters in this dissertation constitute a comprehensive approach to assisted music generation, enabling creativity without the need for musical expertise.

No description available.

No description available.

No description available.

[pt] O crescente consumo de energia é preocupante, principalmente pelo uso de sistemas de condicionamento de ar e de iluminação artificial. Nas edificações modernas, os projetos arquitetônicos vêm negligenciando os fatores que proporcionam o conforto ambiental. Baseando-se nos conceitos da arquitetura sustentável, esta dissertação propõe e modela um sistema que otimiza os parâmetros da edificação que influenciarão no consumo de energia elétrica, nos custos com a construção e na emissão de poluentes pela edificação. Propõe-se um modelo de algoritmos genéticos que, juntamente com um programa de simulação de energia, EnergyPlus, constitui o modelo evolucionário desenvolvido neste trabalho. Este modelo otimiza parâmetros como: dimensionamento de aberturas e de pédireito; orientação da edificação; condicionamento do ar; disposição de árvores no entorno da edificação; etc . O modelo evolucionário tem sua ação e eficácia testados em estudo de casos - edificações desenhadas por projetista -, em que se alteram: espessura das paredes, altura de pé direito, largura de janelas, orientação quanto ao Norte geográfico, localização de elementos sombreantes (árvores), uso ou não de bloqueadores solares. Estes fatores influenciarão no conforto térmico da edificação e, consequentemente, no consumo elétrico dos sistemas de condicionamento de ar e de iluminação artificial, que por sua vez, influenciam os parâmetros que se pretende otimizar. Os resultados obtidos mostram que as otimizações feitas pelo modelo evolucionário foram efetivas, minimizando o consumo de energia pelos sistemas de condicionamento de ar e de iluminação artificial em comparação com os resultados obtidos com as edificações originais fornecidas pelo projetista. / [en] The continuous rising on energy consumption is a concerning issue, especially regarding the use of air conditioning systems and artificial lighting. In modern buildings, architectural designs are neglecting the factors that provide environmental comfort in a natural way. Based on concepts of sustainable architecture, this work proposes and models a system that optimizes the parameters of a building that influence the consumption of electricity, the costs with the building itself, and the emission of pollutants by these buildings. For this purpose a genetic algorithm model is proposed, which works together with an energy simulation program called EnergyPlus, both comprising the evolutionary model developed in this work. This model is able to optimize parameters like: dimensions of windows and ceiling height; orientation of a building; air conditioning; location of trees around a building; etc. The evolutionary model has its efficiency tested in case studies - buildings originally designed by a designer -, and the following specifications provided by the designer have been changed by the evolutionary model: wall thickness, ceiling height, windows width, building orientation, location of elements that perform shading function (trees), the use (or not) of sun blockers. These factors influence the building s heat comfort and therefore the energy consumption of air conditioning systems and artificial lighting which, in turn, influence the parameters that are meant to be optimized. The results show that the optimizations made by the evolutionary model were effective, minimizing the energy consumption for air conditioning systems and artificial light in comparison with the results obtained with the original buildings provided by the designer.

Approved for public release, distribution is unlimited / The United States Navy requires radical and innovative ways to model and design multifunction phased array radars. This thesis puts forth the concept that Genetic Algorithms, computer simulations that mirror the natural selection process to develop creative solutions to complex problems, would be extremely well suited in this application. The capability of a Genetic Algorithm to predict adequately the behavior of an array antenna with randomly located elements was verified with expected results through the design, construction, development and evaluation of a test-bed array. The test-bed array was constructed of commercially available components, including a unique and innovative application of a quadrature modulator microchip used in commercial communications applications. Corroboration of predicted beam patterns from both Genetic Algorithm and Method of Moments calculations was achieved in anechoic chamber measurements conducted with the test-bed array. Both H-plane and E-plane data runs were made with several phase steered beams. In all cases the measured data agreed with that predicted from both modeling programs. Although time limited experiments to beam forming and steering with phase shifting, the test-bed array is fully capable of beam forming and steering though both phase shifting and amplitude tapering. / Outstanding Thesis / Lieutenant Commander, United States Navy

O Dilema do Prisioneiro com n jogadores é um problema que ilustra a dificuldade na formação da cooperação em sociedades de indivíduos racionais. Diversos trabalhos foram feitos no sentido de compreender melhor os fatores que influenciam o surgimento e a evolução da cooperação nessas sociedades, sendo que muitos desses mostraram que a simulação deste tipo de problema carece de escalabilidade, o que impede a realização de experimentos que envolvam uma grande quantidade de agentes ou de parâmetros de teste. Este trabalho tem o intuito de aplicar conceitos de computação paralela para tratar este problema. Para tal, foi desenvolvido um sistema denominado PS2 E2 , evolução de um trabalho anterior, cuja utilização em alguns cenários possibilitou a verificação da influência de alguns parâmetros tais como o tamanho da população e a expressividade do modelo de representação de estratégias na utilidade global de um conjunto de agentes que jogam o Dilema do Prisioneiro com n jogadores. / The n-Player Prisoners Dilemma is a problem that illustrates the difficulty of cooperation formation in societies composed of rational individuals. Several studies were made to better understand the factors that influence the emergence and evolution of cooperation in these societies. Many of these showed that the simulation of this type of problem lacks scalability, which hinders the achievement of experiments involving a large number of agents or test parameters. This work intends to apply parallel computing concepts to treat this problem. To this end, it was developed a system called PS2 E2 , an evolution of a previous work, whose utilization in some scenarios allowed the verification of the influence of some parameters such as the population size and the expressiveness of the strategy representation model in the global utility of a society of agents that play the n-Player Prisoner Dilemma.

[pt] Esta Pesquisa tem por objetivo utilizar a Regressão Simbólica por Programação Genética para encontrar uma equação analítica para a fronteira de exercício ótima (ou curva de gatilho) de uma opção sobre um ativo do qual o preço tem um comportamento simulado pelo processo estocástico conhecido como processo de reversão à média (PRM). Para o cálculo do valor de uma opção desde de sua aquisição até sua maturação, normalmente faz-se o uso do cálculo da fronteira de exercício ótimo. Esta curva separa ao longo do tempo a decisão de exercer ou não a opção. Sabendo-se que já existem soluções analíticas para calcular a fronteira de exercício ótimo quando o preço do ativo segue um Movimento Geométrico Browniano, e que tal solução genérica ainda não foi encontrada para o PRM, neste trabalho, foi proposto o uso da Programação Genética (PG) para encontrar tal solução analítica. A Programação Genética utilizou um conjunto de amostras de curvas de exercício ótimo parametrizadas segundo a variação da volatilidade e da taxa de juros livre de risco, para encontrar uma função analítica para a fronteira de exercício ótima, obtendo-se resultados satisfatórios. / [en] This research intends on to use the Symbolic Regression by Genetic Programming to find an analytical equation that represents an Optimal Exercise Boundary for an option of an asset having its price behavior simulated by a stochastic process known as Mean Reversion Process (MRP). To calculate an option value since its acquisition until its maturity, normally is used to calculate the Optimal Exercise Boundary. This frontier separates along the time the decision to exercise the option or not. Knowing there already are analytical solutions used to calculate the Optimal Exercise Boundary when the asset price follows the Geometric Brownian Motion, and such general solution was not found yet to MRP, in this work, it was proposed the use of Genetic Programming to find such analytical solution. The Genetic Programming used an amount of samples from optimal exercise curves parameterized according the change in the volatility and risk free interest rate, to find an analytical function that represents Optimal Exercise Boundary, achieving satisfactory results.

Submitted by Maria Cristina (library@lncc.br) on 2016-07-27T18:14:27Z No. of bitstreams: 1 thesis andre.pdf: 6104592 bytes, checksum: 706cde4c24631f976f0ea0697eb8f078 (MD5) / Approved for entry into archive by Maria Cristina (library@lncc.br) on 2016-07-27T18:14:43Z (GMT) No. of bitstreams: 1 thesis andre.pdf: 6104592 bytes, checksum: 706cde4c24631f976f0ea0697eb8f078 (MD5) / Made available in DSpace on 2016-07-27T18:14:55Z (GMT). No. of bitstreams: 1 thesis andre.pdf: 6104592 bytes, checksum: 706cde4c24631f976f0ea0697eb8f078 (MD5) Previous issue date: 2016-05-10 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (Capes) / Brazil has an Exclusive Economic Zone that is very extensive and rich, both in its biodiversity as in its mineral resources. In order to exploit these resources and ensure safety for navigation, Brazil must ensure its sovereignty over this part of its territory. For this purpose, Brazil has the Naval Power exercised by the Brazilian Navy. Among the operations carried out by the Navy there are the search and reconnaissance missions, carried out by ships and by naval aircraft. This work is focused on reconnaissance missions carried out by naval aircraft. The main objective is the evaluation of meta-heuristics for the development of an application that can generate optimized routes for aircraft in the missions, attending the requirements of the Brazilian Navy. This work presents the methods developed based on two nature inspired meta-heuristics, for the elaboration of optimized routes for aircraft. The method is complying with two main constraints for these missions: checkpoints (targets) mobility and the limit of aircraft autonomy. It also presents the results of tests performed with the methods developed in this work and a general evaluation of their performance. / O Brasil possui uma área de Zona Econômica Exclusiva muito extensa e muito rica, tanto na sua biodiversidade como em recursos minerais. Porém, para poder explorar estas riquezas e garantir a segurança para a navegação destas águas o Brasil precisa assegurar sua soberania sobre esta parte de seu território. Para isso conta com o Poder Naval exercido pela Marinha do Brasil, que entre as operações por ela realizadas estão as missões de busca e esclarecimento, tanto por embarcações, como por aeronaves embarcadas. Este trabalho tem seu foco nas operações de esclarecimento por aeronaves embarcadas, tendo como objetivo principal a avaliação de meta-heurísticas para a elaboração de uma aplicação capaz de gerar rotas otimizadas para as aeronaves, em missões de esclarecimento, as quais atendam as necessidades da Marinha do Brasil. Neste trabalho, são apresentados os métodos desenvolvidos com base em duas meta-heurísticas, baseadas na natureza, para a elaboração de rotas otimizadas para as aeronaves, atendendo a duas restrições fundamentais em missões de esclarecimento aéreo, a mobilidade dos pontos de checagem (alvos) e o limite de autonomia das aeronaves. Também são apresentados os resultados dos testes realizados com os métodos desenvolvidos e uma avaliação geral dos seus desempenhos.