All issues

The paper considers the problem of estimating the parameters of time series described by regression models with Markov switching of two regimes at random instants of time with independent Gaussian noise. For the solution, we propose a variant of the EM algorithm based on the iterative procedure, during which an estimation of the regression parameters is performed for a given sequence of regime switching and an evaluation of the switching sequence for the given parameters of the regression models. In contrast to the well-known methods of estimating regression parameters in the models with Markov switching, which are based on the calculation of a posteriori probabilities of discrete states of the switching sequence, in the paper the estimates are calculated of the switching sequence, which are optimal by the criterion of the maximum of a posteriori probability. As a result, the proposed algorithm turns out to be simpler and requires less calculations. Computer modeling allows to reveal the factors influencing accuracy of estimation. Such factors include the number of observations, the number of unknown regression parameters, the degree of their difference in different modes of operation, and the signal-to-noise ratio which is associated with the coefficient of determination in regression models. The proposed algorithm is applied to the problem of estimating parameters in regression models for the rate of daily return of the RTS index, depending on the returns of the S&P 500 index and Gazprom shares for the period from 2013 to 2018. Comparison of the estimates of the parameters found using the proposed algorithm is carried out with the estimates that are formed using the EViews econometric package and with estimates of the ordinary least squares method without taking into account regimes switching. The account of regimes switching allows to receive more exact representation about structure of a statistical dependence of investigated variables. In switching models, the increase in the signal-to-noise ratio leads to the fact that the differences in the estimates produced by the proposed algorithm and using the EViews program are reduced.

The Lipschitz continuous property has been used for a long time to solve the global optimization problem and continues to be used. Here we can mention the work of Piyavskii, Yevtushenko, Strongin, Shubert, Sergeyev, Kvasov and others. Most papers assume a priori knowledge of the Lipschitz constant, but the derivation of this constant is a separate problem. Further still, we must prove that an objective function is really Lipschitz, and it is a complicated problem too. In the case where the Lipschitz continuity is established, Strongin proposed an algorithm for global optimization of a satisfying Lipschitz condition on a compact interval function without any a priori knowledge of the Lipschitz estimate. The algorithm not only finds a global extremum, but it determines the Lipschitz estimate too. It is known that every function that satisfies the Lipchitz condition on a compact convex set is uniformly continuous, but the reverse is not always true. However, there exist models (Arutyunova, Dulliev, Zabotin) whose study requires a minimization of the continuous but definitely not Lipschitz function. One of the algorithms for solving such a problem was proposed by R. J. Vanderbei. In his work he introduced some generalization of the Lipchitz property named $\varepsilon$-Lipchitz and proved that a function defined on a compact convex set is uniformly continuous if and only if it satisfies the $\varepsilon$-Lipchitz condition. The above-mentioned property allowed him to extend Piyavskii’s method. However, Vanderbei assumed that for a given value of $\varepsilon$ it is possible to obtain an associate Lipschitz $\varepsilon$-constant, which is a very difficult problem. Thus, there is a need to construct, for a function continuous on a compact convex domain, a global optimization algorithm which works in some way like Strongin’s algorithm, i.e., without any a priori knowledge of the Lipschitz $\varepsilon$-constant. In this paper we propose an extension of Strongin’s global optimization algorithm to a function continuous on a compact interval using the $\varepsilon$-Lipchitz conception, prove its convergence and solve some numerical examples using the software that implements the developed method.

The article is devoted to the application of various methods of mathematical analysis, search for patterns and studying the composition of nucleotides in DNA sequences at the genomic level. New methods of mathematical biology that made it possible to detect and visualize the hidden ordering of genetic nucleotide sequences located in the chromosomes of cells of living organisms described. The research was based on the work on algebraic biology of the doctor of physical and mathematical sciences S. V. Petukhov, who first introduced and justified new algebras and hypercomplex numerical systems describing genetic phenomena. This paper describes a new phase in the development of matrix methods in genetics for studying the properties of nucleotide sequences (and their physicochemical parameters), built on the principles of finite geometry. The aim of the study is to demonstrate the capabilities of new algorithms and discuss the discovered properties of genetic DNA and RNA molecules. The study includes three stages: parameterization, scaling, and visualization. Parametrization is the determination of the parameters taken into account, which are based on the structural and physicochemical properties of nucleotides as elementary components of the genome. Scaling plays the role of “focusing” and allows you to explore genetic structures at various scales. Visualization includes the selection of the axes of the coordinate system and the method of visual display. The algorithms presented in this work are put forward as a new toolkit for the development of research software for the analysis of long nucleotide sequences with the ability to display genomes in parametric spaces of various dimensions. One of the significant results of the study is that new criteria were obtained for the classification of the genomes of various living organisms to identify interspecific relationships. The new concept allows visually and numerically assessing the variability of the physicochemical parameters of nucleotide sequences. This concept also allows one to substantiate the relationship between the parameters of DNA and RNA molecules with fractal geometric mosaics, reveals the ordering and symmetry of polynucleotides, as well as their noise immunity. The results obtained justified the introduction of new terms: “genometry” as a methodology of computational strategies and “genometrica” as specific parameters of a particular genome or nucleotide sequence. In connection with the results obtained, biosemiotics and hierarchical levels of organization of living matter are raised.

In this paper we consider mathematical model to control water quality. We study a system with two-level hierarchy: one environmental organization (supervisor) at the top level and a few industrial enterprises (agents) at the lower level. The main goal of the supervisor is to keep water pollution level below certain value, while enterprises pollute water, as a side effect of the manufacturing process. Supervisor achieves its goal by charging a penalty for enterprises. On the other hand, enterprises choose how much to purify their wastewater to maximize their income.The fee increases the budget of the supervisor. Moreover, effulent fees are charged for the quantity and/or quality of the discharged pollution. Unfortunately, in practice, such charges are ineffective due to the insufficient tax size. The article solves the problem of determining the optimal size of the charge for pollution discharge, which allows maintaining the quality of river water in the rear range.

We describe system members goals with target functionals, and describe water pollution level and enterprises state as system of ordinary differential equations. We consider the problem from both supervisor and enterprises sides. From agents’ point a normal-form game arises, where we search for Nash equilibrium and for the supervisor, we search for Stackelberg equilibrium. We propose numerical algorithms for finding both Nash and Stackelberg equilibrium. When we construct Nash equilibrium, we solve optimal control problem using Pontryagin’s maximum principle. We construct Hamilton’s function and solve corresponding system of partial differential equations with shooting method and finite difference method. Numerical calculations show that the low penalty for enterprises results in increasing pollution level, when relatively high penalty can result in enterprises bankruptcy. This leads to the problem of choosing optimal penalty, which requires considering problem from the supervisor point. In that case we use the method of qualitatively representative scenarios for supervisor and Pontryagin’s maximum principle for agents to find optimal control for the system. At last, we compute system consistency ratio and test algorithms for different data. The results show that a hierarchical control is required to provide system stability.

Industrial imaging or “machine vision” is currently a key technology in many industries as it can be used to optimize various processes. The purpose of this work is to create a software and hardware complex for measuring the overall and weight characteristics of cargo based on an intelligent system using neural network identification methods that allow one to overcome the technological limitations of similar complexes implemented on ultrasonic and infrared measuring sensors. The complex to be developed will measure cargo without restrictions on the volume and weight characteristics of cargo to be tariffed and sorted within the framework of the warehouse complexes. The system will include an intelligent computer program that determines the volume and weight characteristics of cargo using the machine vision technology and an experimental sample of the stand for measuring the volume and weight of cargo.

We analyzed the solutions to similar problems. We noted that the disadvantages of the studied methods are very high requirements for the location of the camera, as well as the need for manual operations when calculating the dimensions, which cannot be automated without significant modifications. In the course of the work, we investigated various methods of object recognition in images to carry out subject filtering by the presence of cargo and measure its overall dimensions. We obtained satisfactory results when using cameras that combine both an optical method of image capture and infrared sensors. As a result of the work, we developed a computer program allowing one to capture a continuous stream from Intel RealSense video cameras with subsequent extraction of a three-dimensional object from the designated area and to calculate the overall dimensions of the object. At this stage, we analyzed computer vision techniques; developed an algorithm to implement the task of automatic measurement of goods using special cameras and the software allowing one to obtain the overall dimensions of objects in automatic mode.

Upon completion of the work, this development can be used as a ready-made solution for transport companies, logistics centers, warehouses of large industrial and commercial enterprises.

The article presents the numerical modeling and study of the kinetic model of propane pyrolysis. The study of the reaction kinetics is a necessary stage in modeling the dynamics of the gas flow in the reactor.

The kinetic model of propane pyrolysis is a nonlinear system of ordinary differential equations of the first order with parameters, the role of which is played by the reaction rate constants. Math modeling of processes is based on the use of the mass conservation law. To solve an initial (forward) problem, implicit methods for solving stiff ordinary differential equation systems are used. The model contains 60 input kinetic parameters and 17 output parameters corresponding to the reaction substances, of which only 9 are observable. In the process of solving the problem of estimating parameters (inverse problem), there is a question of non-uniqueness of the set of parameters that satisfy the experimental data. Therefore, before solving the inverse problem, the possibility of determining the parameters of the model is analyzed (analysis of identifiability).

To analyze identifiability, we use the orthogonal method, which has proven itself well for analyzing models with a large number of parameters. The algorithm is based on the analysis of the sensitivity matrix by the methods of differential and linear algebra, which shows the degree of dependence of the unknown parameters of the models on the given measurements. The analysis of sensitivity and identifiability showed that the parameters of the model are stably determined from a given set of experimental data. The article presents a list of model parameters from most to least identifiable. Taking into account the analysis of the identifiability of the mathematical model, restrictions were introduced on the search for less identifiable parameters when solving the inverse problem.

The inverse problem of estimating the parameters was solved using a genetic algorithm. The article presents the found optimal values of the kinetic parameters. A comparison of the experimental and calculated dependences of the concentrations of propane, main and by-products of the reaction on temperature for different flow rates of the mixture is presented. The conclusion about the adequacy of the constructed mathematical model is made on the basis of the correspondence of the results obtained to physicochemical laws and experimental data.

Modeling banking systems using a network approach has received growing attention in recent years. One of the notable models is that developed by Iori et al, who proposed a banking system model for analyzing systemic risks in interbank networks. The model is built based on the simple dynamics of several bank balance sheet variables such as deposit, equity, loan, liquid asset, and interbank lending (or borrowing) in the form of difference equations. Each bank faces random shocks in deposits and loans. The balance sheet is updated at the beginning or end of each period. In the model, banks are grouped into either potential lenders or borrowers. The potential borrowers are those that have lack of liquidity and the potential lenders are those which have excess liquids after dividend payment and channeling new investment. The borrowers and the lenders are connected through the interbank market. Those borrowers have some percentage of linkage to random potential lenders for borrowing funds to maintain their safety net of the liquidity. If the demand for borrowing funds can meet the supply of excess liquids, then the borrower bank survives. If not, they are deemed to be in default and will be removed from the banking system. However, in their paper, most part of the interbank borrowing-lending mechanism is described qualitatively rather than by detailed mathematical or computational analysis. Therefore, in this paper, we enhance the mathematical parts of borrowing-lending in the interbank market and present an algorithm for simulating the model. We also perform some simulations to analyze the effects of the model’s parameters on banking stability using the number of surviving banks as the measure. We apply this technique to analyze the effects of a macroprudential policy called loan-to-deposit ratio based reserve requirement for banking stability.

The article describes a simulation agent-based model of intercultural interactions in a country whose population belongs to different cultures. It is believed that the space of cultures can be represented as a Hilbert space, in which certain subspaces correspond to different cultures. In the model, the concept of culture is understood as a structured subspace of the Hilbert space. This makes it possible to describe the state of agents by a vector in a Hilbert space. It is believed that each agent is described by belonging to a certain «culture». The number of agents belonging to certain cultures is determined by demographic processes that correspond to these cultures, the depth and integrity of the educational process, as well as the intensity of intercultural contacts. Interaction between agents occurs within clusters, into which, according to certain criteria, the entire set of agents is divided. When agents interact according to a certain algorithm, the length and angle that characterize the state of the agent change. In the process of imitation, depending on the number of agents belonging to different cultures, the intensity of demographic and educational processes, as well as the intensity of intercultural contacts, aggregates of agents (clusters) are formed, the agents of which belong to different cultures. Such intercultural clusters do not entirely belong to any of the cultures initially considered in the model. Such intercultural clusters create uncertainties in cultural dynamics. The paper presents the results of simulation experiments that illustrate the influence of demographic and educational processes on the dynamics of intercultural clusters. The issues of the development of the proposed approach to the study (discussion) of the transitional states of the development of cultures are discussed.

Social media is a crucial indicator of the position of assets in the financial market. The paper describes the rigid solution for the classification problem to determine the influence of social media activity on financial market movements. Reputable crypto traders influencers are selected. Twitter posts packages are used as data. The methods of text, which are characterized by the numerous use of slang words and abbreviations, and preprocessing consist in lemmatization of Stanza and the use of regular expressions. A word is considered as an element of a vector of a data unit in the course of solving the problem of binary classification. The best markup parameters for processing Binance candles are searched for. Methods of feature selection, which is necessary for a precise description of text data and the subsequent process of establishing dependence, are represented by machine learning and statistical analysis. First, the feature selection is used based on the information criterion. This approach is implemented in a random forest model and is relevant for the task of feature selection for splitting nodes in a decision tree. The second one is based on the rigid compilation of a binary vector during a rough check of the presence or absence of a word in the package and counting the sum of the elements of this vector. Then a decision is made depending on the superiority of this sum over the threshold value that is predetermined previously by analyzing the frequency distribution of mentions of the word. The algorithm used to solve the problem was named benchmark and analyzed as a tool. Similar algorithms are often used in automated trading strategies. In the course of the study, observations of the influence of frequently occurring words, which are used as a basis of dimension 2 and 3 in vectorization, are described as well.

In our research, we focus on the problem of classification for silent speech recognition to develop a brain– computer interface (BCI) based on electroencephalographic (EEG) data, which will be capable of assisting people with mental and physical disabilities and expanding human capabilities in everyday life. Our previous research has shown that the silent pronouncing of some words results in almost identical distributions of electroencephalographic signal data. Such a phenomenon has a suppressive impact on the quality of neural network model behavior. This paper proposes a data processing technique that distinguishes between statistically remote and inseparable classes in the dataset. Applying the proposed approach helps us reach the goal of maximizing the semantic load of the dictionary used in BCI.

Furthermore, we propose the existence of a statistical predictive criterion for the accuracy of binary classification of the words in a dictionary. Such a criterion aims to estimate the lower and the upper bounds of classifiers’ behavior only by measuring quantitative statistical properties of the data (in particular, using the Kolmogorov – Smirnov method). We show that higher levels of classification accuracy can be achieved by means of applying the proposed predictive criterion, making it possible to form an optimized dictionary in terms of semantic load for the EEG-based BCIs. Furthermore, using such a dictionary as a training dataset for classification problems grants the statistical remoteness of the classes by taking into account the semantic and phonetic properties of the corresponding words and improves the classification behavior of silent speech recognition models.