BURA Collection:http://bura.brunel.ac.uk/handle/2438/2352019-03-09T19:12:49Z2019-03-09T19:12:49ZA metaheuristic ant colony optimization algorithm for symmetric and asymmetric traveling salesman problemsRaya, Lilysuriazna Bintihttp://bura.brunel.ac.uk/handle/2438/176172019-03-07T03:01:16Z2018-01-01T00:00:00ZTitle: A metaheuristic ant colony optimization algorithm for symmetric and asymmetric traveling salesman problems
Authors: Raya, Lilysuriazna Binti
Abstract: This research addresses solving two types of Travelling Salesman Problems (TSP) which are the symmetric TSP (STSP) and the asymmetric TSP (ATSP). The TSP is a problem of finding a minimal length closed tour that visits each city once. If the distances between each pair of cities are the same in both directions, the problem is a STSP, otherwise, it is an ATSP.
In this thesis, a new metaheuristic algorithm which is based on Ant Colony Optimization (ACO) is proposed to solve these problems. The key idea is to enhance the ability of exploration and exploitation by incorporating a metaheuristic approach with an exact method. A new strategy for creating ‘Intelligent Ants’ is introduced to construct the solution tours. This strategy aims at reducing the computational time by heuristically fixing part of the solution tour and improving the accuracy of the solutions through the usage of a solver, specifically for large size instances. Moreover, this proposed algorithm employs new ways of depositing and evaporating pheromone. A different approach of global updating of pheromone is proposed in which the pheromone is deposited only on the edges belonging to the colony-best ant and evaporated only on the edges belonging to the colony-worst ant that are not in the colony-best ant.
Additionally, the parameters of the proposed algorithm which include the number of colonies, the number of ants in each colony, the relative influence of the pheromone trail 𝛼 and the pheromone evaporation rate 𝜌 are expressed as a function of the problem size. Comparisons with other sets of parameter values suggested in the literature have been investigated which illustrate the advantages of the choice of the proposed parameter settings.
Further, in order to evaluate the performance of the proposed algorithm, a set of standard benchmark problems from the TSPLIB with up to 442 cities were solved and the results obtained were compared with other approaches from the literature. The proposed algorithm has proven to be competitive and shows better performance in 63% of the 16 algorithms in terms of solution quality and obtained the optimum solutions in 70% of the 33 instances, proving that it is a good alternative approach to solve these hard combinatorial optimisation problems.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2018-01-01T00:00:00ZStatistical evaluation of quality in healthcareBerta, Paolohttp://bura.brunel.ac.uk/handle/2438/171732018-12-04T03:01:20Z2018-01-01T00:00:00ZTitle: Statistical evaluation of quality in healthcare
Authors: Berta, Paolo
Abstract: Governance of the healthcare systems is one of the most important challenges forWestern countries.
Within this, an accurate assessment of the quality is key to policy makers and public
managers, in order to guarantee equity, effectiveness and efficiency. In this thesis, we investigate
aspects and methods related to healthcare evaluation by focussing on the healthcare system
in Lombardy (Italy), where public and private providers compete with each other, patients are
free to choose where to be hospitalized, and a pay-for-performance program was recently implemented.
The general aim of this thesis is to highlight the role of statistics within a quality
evaluation framework, in the form of advancing the statistical methods used to measure quality,
of evaluating the effectiveness of implemented policies, and of testing the effect that mechanisms
of competition and cooperation can have on the quality of a healthcare system.
We firstly advance a new methodological approach for measuring hospital quality, providing
a new tool for managers involved in performance evaluations. Multilevel models are typically
used in healthcare, in order to account for the hierarchical structure of the data. These models
however do not account for unobserved heterogeneity. We therefore propose an extension of
the cluster-weighted models to the multilevel framework and focus in particular on the case of
a binary dependent variable, which is common in healthcare. The resulting multilevel logistic
cluster-weighted model is shown to perform well in a healthcare evaluation context.
Secondly, we evaluate the effectiveness of a pay-for-performance program. Differently from
the existent literature, in this thesis we evaluate this program on the basis of five health outcomes
and across a wide range of medical conditions. Availability of data pre and post-policy in
Lombardy allows us to use a difference-in-differences approach. The statistical model includes
multiple dependent outcomes, that allow quantifying the joint effect of the program, and random
effects, that account for the heterogeneity of the data at the ward and hospital level. The results
show that the policy has overall a positive effect on the hospitals’ performance.
Thirdly, we study the effect of pro-competition reforms on the hospital quality. In Lombardy,
competition between hospitals has been mostly driven by the adoption of a quasi-market system.
Our results show that no association exists between hospital quality and competition. We
speculate that this may be the result of asymmetric information, i.e. the lack of transparent information
provided to citizens about the quality of hospitals. This is bound to reduce the impact
of pro-competition reforms on quality and can in part explain the conflicting results found in the
literature on this subject. Our results should motivate a public disclosure of quality evaluations.
Regardless of the specifics of a system, hospitals are altruistic economic agents and they cooperate
in order to improve their quality. In this work, we analyse the effect of cooperation on
quality, taking the network of patients’ transfers between hospitals as a proxy of their level of
cooperation. Using the latest network models, we find that cooperation does lead to an increase
in quality and should therefore be encouraged by policy makers.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2018-01-01T00:00:00ZAsset price and volatility forecasting using news sentimentSadik, Zryanhttp://bura.brunel.ac.uk/handle/2438/170792018-11-10T03:01:07Z2018-01-01T00:00:00ZTitle: Asset price and volatility forecasting using news sentiment
Authors: Sadik, Zryan
Abstract: The aim of this thesis is to show that news analytics data can be utilised to
improve the predictive ability of existing models that have useful roles in a
variety of financial applications. The modified models are computationally
efficient and perform far better than the existing ones. The new modified
models offer a reasonable compromise between increased model complexity
and prediction accuracy.
I have investigated the impact of news sentiment on volatility of stock
returns. The GARCH model is one of the most common models used
for predicting asset price volatility from the return time series. In this
research, I have considered quantified news sentiment as a second source of
information and its impact on the movement of asset prices, which is used
together with the asset time series data to predict the volatility of asset
price returns. Comprehensive numerical experiments demonstrate that
the new proposed volatility models provide superior prediction than the
“plain vanilla” GARCH, TGARCH and EGARCH models. This research
presents evidence that including news sentiment term as an exogenous
variable in the GARCH framework improves the prediction power of the
model. The analysis of this study suggested that the use of an exponential
decay function is good when the news flow is frequent, whereas the Hill
decay function is good only when there are scheduled announcements. The
numerical results vindicate some recent findings regarding the utility of
news sentiment as a predictor of volatility, and also vindicate the utility
of the new models combining the proxies for past news sentiments and
the past asset price returns. The empirical analysis suggested that news
augmented GARCH models can be very useful in estimating VaR and
implementing risk management strategies.
Another direction of my research is introducing a new approach to construct
a commodity futures pricing model. This study proposed a new method of
incorporating macroeconomic news into a predictive model for forecasting
prices of crude oil futures contracts. Since these futures contracts are
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more liquid than the underlying commodity itself, accurate forecasting of
their prices is of great value to multiple categories of market participants.
The Kalman filtering framework for forecasting arbitrage-free (futures)
prices was utilized, and it is assumed that the volatility of oil (futures)
price is influenced by macroeconomic news. The impact of quantified news
sentiment on the price volatility is modelled through a parametrized, nonlinear
functional map. This approach is motivated by the successful use
of a similar model structure in my earlier work, for predicting individual
stock volatility using stock-specific news. Numerical experiments with real
data illustrate that this new model performs better than the one factor
model in terms of accuracy of predictive power as well as goodness of fit to
the data. The proposed model structure for incorporating macroeconomic
news together with historical (market) data is novel and improves the
accuracy of price prediction quite significantly.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2018-01-01T00:00:00ZBoundary element analysis for convection-diffusion-reaction problems combining dual reciprocity and radial integration methodsAl-Bayati, Salam Adelhttp://bura.brunel.ac.uk/handle/2438/170712019-01-09T17:30:50Z2018-01-01T00:00:00ZTitle: Boundary element analysis for convection-diffusion-reaction problems combining dual reciprocity and radial integration methods
Authors: Al-Bayati, Salam Adel
Abstract: In this research project, the Boundary Element Method (BEM) is developed and formulated
for the solution of two-dimensional convection-diffusion-reaction problems. A combined
approach with the dual reciprocity boundary element method (DRBEM) has been applied to
solve steady-state problems with variable velocity and transient problems with constant and
variable velocity fields. Further, the radial integration boundary element method (RIBEM)
is utilised to handle non-homogeneous problems with variable source term. For all cases, a
boundary-only formulation is produced.
Initially, the steady-state case with constant velocity is considered, by employing constant
boundary elements and a fundamental solution of the adjoint equation. This fundamental
solution leads to a singular integral equation. The conservation laws, usually applied to avoid
this integration, do not hold when a chemical reaction is taking place. Then, the integrals
are successfully computed using Telles’ technique. The application of the BEM for this
particular equation is discussed in detail in this work.
Next, the steady-state problem for variable velocity fields is presented and investigated.
The velocity field is divided into an average value plus a perturbation. The perturbation is
taken to the right-hand-side of the equation generating a non-homogeneous term. This nonhomogeneous
equation is treated by utilising the DRM approach resulting in a boundary-only
equation. Then, an integral equation formulation for the transient problem with constant
velocity is derived, based on the DRM approach utilising the fundamental solution of the
steady-state case. Therefore, the convective terms will be encompassed by the fundamental
solution and lie within the boundary integral after application of Greens’s second identity,
leaving on the right-hand-side of the equation a domain integral involving the time-derivative
only. The proposed DRM method needs the time-derivative to be expanded as a series of
functions that will allow the domain integral to be moved to the boundary. The expansion
required by the DRM uses functions which take into account the geometry and physics of
the problem, if velocity-dependent terms are used.
After that, a novel DRBEM model for transient convection-diffusion-reaction problems
with variable velocity field is investigated and validated. The fundamental solution for the
corresponding steady-state problem is adopted in this formulation. The variable velocity
is decomposed into an average which is included into the fundamental solution of the
corresponding equation with constant coefficients, and a perturbation which is treated using
the DRM approximation. The mathematical formulation permits the numerical solution to be
represented in terms of boundary-only integrals.
Finally, a new formulation for non-homogeneous convection-diffusion-reaction problems
with variable source term is achieved using RIBEM. The RIM is adopted to convert the
domain integrals into boundary-only integrals. The proposed technique shows very good
solution behaviour and accuracy in all cases studied.
The convergence of the methods has been examined by implementing different error norm
indicators and increasing the number of boundary elements in all cases.
Numerical test cases are presented throughout this research work. Their results are sufficiently
encouraging to recommend the use of the techniques developed for solution of general
convection-diffusion-reaction problems. All the simulated solutions for several examples
showed very good agreement with available analytical solutions, with no numerical problems
of oscillation and damping of sharp fronts.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2018-01-01T00:00:00Z