Determining state transition probabilities using multi-objective optimisation

  • Authors:
  • Carl Sandrock;Philip L. de Vaal

  • Affiliations:
  • University of Pretoria;University of Pretoria

  • Venue:
  • MS '08 Proceedings of the 19th IASTED International Conference on Modelling and Simulation
  • Year:
  • 2008

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Abstract

An important aspect of stochastic simulation is the development of realistic input scenarios. This work describes a technique for determining the frequencies of transitions between input prototypes by fitting historic data. Instead of deciding on a single objective function, multiple curves are fit that are Pareto optimal in terms of a number of objectives using the Multi-objective Particle Swarm Optimisation algorithm. The objectives are: fit error, number of curves and curvature of the prototypes. For this study, prototypes were chosen that represent first order step responses. The fit prototypes are then interpreted as being a certain type of event. The resulting list of possible event sequences is used to populate an event transition probability matrix with better coverage than any one fit would have given.