Prediction of Facies Distribution in a Clastic Reservoir Using a Hidden Markov Model Combined With an Expectation-Maximization Algorithm

2016 ◽  
Author(s):  
Hwasoo Suk ◽  
Baehyun Min ◽  
Joe M. Kang ◽  
Cheolkyun Jeong
Keyword(s):  
Probability Distribution ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Expectation Maximization ◽  
Hidden Markov ◽  
Transition Probability ◽  
Expectation Maximization Algorithm ◽  
Model Parameters ◽  
Facies Distribution ◽  
Clastic Reservoir

This study determines facies distribution in a clastic reservoir using a hidden Markov model combined with an Expectation-Maximization algorithm. Iterating expectation and maximization steps of the algorithm builds the hidden Markov model by tuning the model parameters including initial state distribution, state transition probability distribution, and observable symbol probability distribution. Optimized model parameters contribute to improving the predictability of facies distribution along the well trajectory using core and logging data.

Point and Figure Portfolio Optimization using Hidden Markov Models and Its Application on the Bumi Resources Tbk Shares

2021 ◽  
Vol 3 (1) ◽  
pp. 44-52
Author(s):  
Kastolan Kastolan ◽  
Berlian Setiawaty ◽  
N. K. Kutha Ardana
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Portfolio Optimization ◽  
Expectation Maximization ◽  
Stock Prices ◽  
Stock Price ◽  
Hidden Markov ◽  
Expectation Maximization Algorithm ◽  
Percentage Error ◽  
Time Sampling

AbstractThe problem of portfolio optimization is to select a trading strategy which maximizes the expected terminal wealth. Since the stocks are traded at discrete random times in a real-world market, we are interested in a time sampling method. The sampling of stock price is obtained from the process of time sampling which is used in a point and figure chart. Point and figure (PF) chart displays the up and down movements of unbalanced stock prices. The basic idea is to describe essential movements of the unbalanced stock prices using a hidden Markov model. The model parameters are transition probability matrices. They are estimated using maximum likelihood method and expectation maximization algorithm. The estimation procedure involves change of measure. The model is then applied to the stock price of Bumi Resources Tbk. collected on a daily basis. The estimated parameters are used to calculate the optimal portfolio using a recursive algorithm. The results show that the discrete hidden Markov model can be applied to describe essential movements of the stock price. The best result gives 93.63% accuracy of the estimate of observation sequence with mean absolute percentage error (MAPE) 3.63%. The numerical calculation shows that the optimal logarithmic PF-portfolio increases the wealth.Keywords: point and figure portfolio; optimization portfolio; discrete hidden Markov model; expectation maximization algorithm; stock price of Bumi Resources Tbk. AbstrakMasalah pengoptimalan portofolio adalah pemilihan strategi perdagangan yang dapat memaksimalkan kekayaan terminal yang diharapkan. Karena di pasar dunia nyata, saham diperdagangkan pada waktu acak yang berbeda, sehingga kami tertarik pada metode pengambilan sampel waktu. Proses pengambilan sampel waktu diperoleh sampling harga saham yang digunakan dalam diagram point and figure (PF-chart). Grafik point and figure hanya menampilkan pergerakan naik atau turun harga saham yang tidak seimbang. Ide dasarnya adalah untuk mendeskripsikan pergerakan esensial dari harga saham yang tidak seimbang menggunakan model hidden Markov. Parameter dari model ini adalah matriks probabilitas transisi. Parameter diestimasi menggunakan metode maximum likelihood dan algoritma expectation maximization. Prosedur estimasi melibatkan perubahan ukuran. Model ini kemudian diaplikasikan pada harga saham Bumi Resources Tbk. dari tanggal 2 Januari 2007 sampai dengan 31 Januari 2011. Hasil estimasi parameter tersebut digunakan untuk menghitung portofolio optimal menggunakan algoritma rekursif. Hasil penelitian ini menunjukkan bahwa model hidden Markov diskrit dapat diterapkan untuk menggambarkan pergerakan esensial dari harga saham. Model terbaik memberikan akurasi 93.63% dari estimasi deretan observasi dengan mean absolute percentage error (MAPE) 3,63% dan 5 faktor penyebab kejadian. Perhitungan numerik menunjukkan bahwa logaritma portofolio-PF yang optimal dapat meningkatkan kekayaan.Kata kunci: portofolio point and figure; optimalisasi portofolio; model hidden Markov diskrit; algoritma expectation maximization; harga saham PT Bumi Resources.

scholarly journals Estimasi Parameter Model Poisson Hidden Markov Pada Data Banyaknya Kedatangan Klaim Asuransi Jiwa

2020 ◽  
Vol 1 (2) ◽  
pp. 65
Author(s):  
Vieri Koerniawan ◽  
Nurtiti Sunusi ◽  
Raupong Raupong
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Life Insurance ◽  
Expectation Maximization ◽  
Numerical Solutions ◽  
Likelihood Function ◽  
Hidden Markov ◽  
Information Criterion ◽  
Model Parameters ◽  
Insurance Data

The Poisson hidden Markov model is a model that consists of two parts. The first part is the cause of events that are hidden or cannot be observed directly and form a Markov chain, while the second part is the process of observation or observable parts that depend on the cause of the event and following the Poisson distribution. The Poisson hidden Markov model parameters are estimated using the Maximum Likelihood Estimator (MLE). But it is difficult to find analytical solutions from the ln-likelihood function. Therefore, the Expectation Maximization (EM) algorithm is used to obtain its numerical solutions which are then applied to life insurance data. The best model is obtained with 2 states or m = 2 based on the smallest Bayesian Information Criterion (BIC) value of 338,778 and the average predicted number of claims arrivals is 0.385 per day.

scholarly journals Bearing Diagnostics of Hydro Power Plants Using Wavelet Packet Transform and a Hidden Markov Model with Orbit Curves

2018 ◽  
Vol 2018 ◽  
pp. 1-12 ◽  
Author(s):  
Gabriel Pino ◽  
José Roberto Ribas ◽  
Luciana Fernandes Guimarães
Keyword(s):  
Probability Distribution ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Power Plants ◽  
Hidden Markov ◽  
Wavelet Packet ◽  
Transition Probability ◽  
Peak Load ◽  
Wavelet Packet Transform ◽  
Hydro Power

The contribution of a medium-sized hydro power plant to the power grid can be either at base load or at peak load. When the latter is the most common operation mode, it increases the start and stop frequency, intensifying the hydro turbine components’ degradation, such as the guide bearings. This happens due to more frequent operation in transient states, which means being outside the service point of the machines’ nominal condition, consisting of speed, flow, and gross head. Such transient state operation increases the runner bearings’ mechanical vibration. The readings are acquired during the runner start-ups and filtered by a DC component mean value and a wavelet packet transform. The filtered series are used to estimate the relationship between the maximum orbit curve displacement and the accumulated operating hours. The estimated equation associated with the ISO 7919-5 vibration standards establishes the sojourn times of the degradation states, sufficient to obtain the transition probability distribution. Thereafter, a triangular probability function is used to determine the observation probability distribution in each state. Both matrices are inputs required by a hidden Markov model aiming to simulate the equipment deterioration process, given a sequence of maximum orbit curve displacements.

On-line Estimation of Hidden Markov Model Parameters

2000 ◽  
pp. 155-169 ◽  
Author(s):  
Jun Mizuno ◽  
Tatsuya Watanabe ◽  
Kazuya Ueki ◽  
Kazuyuki Amano ◽  
Eiji Takimoto ◽  
...  
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Model Parameters ◽  
On Line

scholarly journals Detection of contributing object to driving operations based on hidden Markov model

2019 ◽  
Vol 16 (5) ◽  
pp. 172988141987679
Author(s):  
Kohjiro Hashimoto ◽  
Tetsuyasu Yamada ◽  
Takeshi Tsuchiya ◽  
Kae Doki ◽  
Yuki Funabora ◽  
...  
Keyword(s):  
Time Series ◽  
Markov Model ◽  
Hidden Markov Model ◽  
Cognitive Performance ◽  
Traffic Accidents ◽  
Hidden Markov ◽  
Model Parameters ◽  
Detection Accuracy ◽  
Cognitive Support ◽  
Object Based

With increase in the number of elderly people in the Japanese society, traffic accidents caused by elderly driver is considered problematic. The primary factor of the traffic accidents is a reduction in their driving cognitive performance. Therefore, a system that supports the cognitive performance of drivers can greatly contribute in preventing accidents. Recently, the development of devices for visually providing information, such as smart glasses or head up display, is in progress. These devices can provide more effective supporting information for cognitive performance. In this article, we focus on the selection problem of information to be presented for drivers to realize the cognitive support system. It has been reported that the presentation of excessive information to a driver reduces the judgment ability of the driver and makes the information less trustworthy. Thus, indiscriminate presentation of information in the vision of the driver is not an effective cognitive support. Therefore, a mechanism for determining the information to be presented to the driver based on the current driving situation is required. In this study, the object that contributes to execution of avoidance driving operation is regarded as the object that drivers must recognize and present for drivers. This object is called as contributing object. In this article, we propose a method that selects contributing objects among the appeared objects on the current driving scene. The proposed method expresses the relation between the time series change of an appeared object and avoidance operation of the driver by a mathematical model. This model can predict execution timing of avoidance driving operation and estimate contributing object based on the prediction result of driving operation. This model named as contributing model consisted of multi-hidden Markov models. Hidden Markov model is time series probabilistic model with high readability. This is because that model parameters express the probabilistic distribution and its statistics. Therefore, the characteristics of contributing model are that it enables the designer to understand the basis for the output decision. In this article, we evaluated detection accuracy of contributing object based on the proposed method, and readability of contributing model through several experiments. According to the results of these experiments, high detection accuracy of contributing object was confirmed. Moreover, it was confirmed that the basis of detected contributing object judgment can be understood from contributing model.

Analysis of Consumption of Rural Residents in Jilin Province Based on Hidden Markov Model

2014 ◽  
Vol 971-973 ◽  
pp. 2281-2284
Author(s):  
Xin Zhao ◽  
Qian Sun ◽  
Yan Hong Huang Fu ◽  
Chao Ran Li
Keyword(s):  
Markov Model ◽  
Hidden Markov Model ◽  
Hidden Markov ◽  
Transition Probability ◽  
Jilin Province ◽  
Probability Estimation ◽  
Rural Residents ◽  
Future Situation ◽  
Estimation Function ◽  
Sample Interval

Analysis status consumption of residents according to the statistical data in the recently twenty years of rural residents in Jilin province the Engel Coefficient.Select the sample interval properly based on hidden markov model,modeled using MATLAB and estimate the transition probability between states using probability estimation function of MATLAB’s hidden markov model toolbox, contact probability estimation in Markov model toolbox function, and predicting the Engel Coefficients of rural residents in the province for the next ten years (2013-2022). Studies have shown that, using the hidden Markov model established by MATLAB can accurately predict the future situation of residents consumption.

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