• Title/Summary/Keyword: Stochastic Domain

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Time-series Mapping and Uncertainty Modeling of Environmental Variables: A Case Study of PM10 Concentration Mapping (시계열 환경변수 분포도 작성 및 불확실성 모델링: 미세먼지(PM10) 농도 분포도 작성 사례연구)

  • Park, No-Wook
    • Journal of the Korean earth science society
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    • v.32 no.3
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    • pp.249-264
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    • 2011
  • A multi-Gaussian kriging approach extended to space-time domain is presented for uncertainty modeling as well as time-series mapping of environmental variables. Within a multi-Gaussian framework, normal score transformed environmental variables are first decomposed into deterministic trend and stochastic residual components. After local temporal trend models are constructed, the parameters of the models are estimated and interpolated in space. Space-time correlation structures of stationary residual components are quantified using a product-sum space-time variogram model. The ccdf is modeled at all grid locations using this space-time variogram model and space-time kriging. Finally, e-type estimates and conditional variances are computed from the ccdf models for spatial mapping and uncertainty analysis, respectively. The proposed approach is illustrated through a case of time-series Particulate Matter 10 ($PM_{10}$) concentration mapping in Incheon Metropolitan city using monthly $PM_{10}$ concentrations at 13 stations for 3 years. It is shown that the proposed approach would generate reliable time-series $PM_{10}$ concentration maps with less mean bias and better prediction capability, compared to conventional spatial-only ordinary kriging. It is also demonstrated that the conditional variances and the probability exceeding a certain thresholding value would be useful information sources for interpretation.

Application of an Automated Time Domain Reflectometry to Solute Transport Study at Field Scale: Transport Concept (시간영역 광전자파 분석기 (Automatic TDR System)를 이용한 오염물질의 거동에 관한 연구: 오염물질 운송개념)

  • Kim, Dong-Ju
    • Economic and Environmental Geology
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    • v.29 no.6
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    • pp.713-724
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    • 1996
  • The time-series resident solute concentrations, monitored at two field plots using the automated 144-channel TDR system by Kim (this issue), are used to investigate the dominant transport mechanism at field scale. Two models, based on contradictory assumptions for describing the solute transport in the vadose zone, are fitted to the measured mean breakthrough curves (BTCs): the deterministic one-dimensional convection-dispersion model (CDE) and the stochastic-convective lognormal transfer function model (CLT). In addition, moment analysis has been performed using the probability density functions (pdfs) of the travel time of resident concentration. Results of moment analysis have shown that the first and second time moments of resident pdf are larger than those of flux pdf. Based on the time moments, expressed in function of model parameters, variance and dispersion of resident solute travel times are derived. The relationship between variance or dispersion of solute travel time and depth has been found to be identical for both the time-series flux and resident concentrations. Based on these relationships, the two models have been tested. However, due to the significant variations of transport properties across depth, the test has led to unreliable results. Consequently, the model performance has been evaluated based on predictability of the time-series resident BTCs at other depths after calibration at the first depth. The evaluation of model predictability has resulted in a clear conclusion that for both experimental sites the CLT model gives more accurate prediction than the CDE model. This suggests that solute transport at natural field soils is more likely governed by a stream tube model concept with correlated flow than a complete mixing model. Poor prediction of CDE model is attributed to the underestimation of solute spreading and thus resulting in an overprediction of peak concentration.

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A Time Series Graph based Convolutional Neural Network Model for Effective Input Variable Pattern Learning : Application to the Prediction of Stock Market (효과적인 입력변수 패턴 학습을 위한 시계열 그래프 기반 합성곱 신경망 모형: 주식시장 예측에의 응용)

  • Lee, Mo-Se;Ahn, Hyunchul
    • Journal of Intelligence and Information Systems
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    • v.24 no.1
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    • pp.167-181
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    • 2018
  • Over the past decade, deep learning has been in spotlight among various machine learning algorithms. In particular, CNN(Convolutional Neural Network), which is known as the effective solution for recognizing and classifying images or voices, has been popularly applied to classification and prediction problems. In this study, we investigate the way to apply CNN in business problem solving. Specifically, this study propose to apply CNN to stock market prediction, one of the most challenging tasks in the machine learning research. As mentioned, CNN has strength in interpreting images. Thus, the model proposed in this study adopts CNN as the binary classifier that predicts stock market direction (upward or downward) by using time series graphs as its inputs. That is, our proposal is to build a machine learning algorithm that mimics an experts called 'technical analysts' who examine the graph of past price movement, and predict future financial price movements. Our proposed model named 'CNN-FG(Convolutional Neural Network using Fluctuation Graph)' consists of five steps. In the first step, it divides the dataset into the intervals of 5 days. And then, it creates time series graphs for the divided dataset in step 2. The size of the image in which the graph is drawn is $40(pixels){\times}40(pixels)$, and the graph of each independent variable was drawn using different colors. In step 3, the model converts the images into the matrices. Each image is converted into the combination of three matrices in order to express the value of the color using R(red), G(green), and B(blue) scale. In the next step, it splits the dataset of the graph images into training and validation datasets. We used 80% of the total dataset as the training dataset, and the remaining 20% as the validation dataset. And then, CNN classifiers are trained using the images of training dataset in the final step. Regarding the parameters of CNN-FG, we adopted two convolution filters ($5{\times}5{\times}6$ and $5{\times}5{\times}9$) in the convolution layer. In the pooling layer, $2{\times}2$ max pooling filter was used. The numbers of the nodes in two hidden layers were set to, respectively, 900 and 32, and the number of the nodes in the output layer was set to 2(one is for the prediction of upward trend, and the other one is for downward trend). Activation functions for the convolution layer and the hidden layer were set to ReLU(Rectified Linear Unit), and one for the output layer set to Softmax function. To validate our model - CNN-FG, we applied it to the prediction of KOSPI200 for 2,026 days in eight years (from 2009 to 2016). To match the proportions of the two groups in the independent variable (i.e. tomorrow's stock market movement), we selected 1,950 samples by applying random sampling. Finally, we built the training dataset using 80% of the total dataset (1,560 samples), and the validation dataset using 20% (390 samples). The dependent variables of the experimental dataset included twelve technical indicators popularly been used in the previous studies. They include Stochastic %K, Stochastic %D, Momentum, ROC(rate of change), LW %R(Larry William's %R), A/D oscillator(accumulation/distribution oscillator), OSCP(price oscillator), CCI(commodity channel index), and so on. To confirm the superiority of CNN-FG, we compared its prediction accuracy with the ones of other classification models. Experimental results showed that CNN-FG outperforms LOGIT(logistic regression), ANN(artificial neural network), and SVM(support vector machine) with the statistical significance. These empirical results imply that converting time series business data into graphs and building CNN-based classification models using these graphs can be effective from the perspective of prediction accuracy. Thus, this paper sheds a light on how to apply deep learning techniques to the domain of business problem solving.

A Characterization of Oil Sand Reservoir and Selections of Optimal SAGD Locations Based on Stochastic Geostatistical Predictions (지구통계 기법을 이용한 오일샌드 저류층 해석 및 스팀주입중력법을 이용한 비투멘 회수 적지 선정 사전 연구)

  • Jeong, Jina;Park, Eungyu
    • Economic and Environmental Geology
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    • v.46 no.4
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    • pp.313-327
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    • 2013
  • In the study, three-dimensional geostatistical simulations on McMurray Formation which is the largest oil sand reservoir in Athabasca area, Canada were performed, and the optimal site for steam assisted gravity drainage (SAGD) was selected based on the predictions. In the selection, the factors related to the vertical extendibility of steam chamber were considered as the criteria for an optimal site. For the predictions, 110 borehole data acquired from the study area were analyzed in the Markovian transition probability (TP) framework and three-dimensional distributions of the composing media were predicted stochastically through an existing TP based geostatistical model. The potential of a specific medium at a position within the prediction domain was estimated from the ensemble probability based on the multiple realizations. From the ensemble map, the cumulative thickness of the permeable media (i.e. Breccia and Sand) was analyzed and the locations with the highest potential for SAGD applications were delineated. As a supportive criterion for an optimal SAGD site, mean vertical extension of a unit permeable media was also delineated through transition rate based computations. The mean vertical extension of a permeable media show rough agreement with the cumulative thickness in their general distribution. However, the distributions show distinctive disagreement at a few locations where the cumulative thickness was higher due to highly alternating juxtaposition of the permeable and the less permeable media. This observation implies that the cumulative thickness alone may not be a sufficient criterion for an optimal SAGD site and the mean vertical extension of the permeable media needs to be jointly considered for the sound selections.