Data mining and knowledge discovery via statistical mechanics in nonlinear stochastic systems

  • Authors:

  • L. Ingber

  • Affiliations:

  • 1020 S. Wabash Ave., Chicago, IL 60605, U.S.A. and DRW Investments LLC, Chicago Mercantile Exchange Center 30 S. Wacker Dr., Suite 1516, Chicago, IL 60606, U.S.A.

  • Venue:
  • Mathematical and Computer Modelling: An International Journal
  • Year:
  • 1998

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Abstract

A modern calculus of multivariate nonlinear multiplicative Gaussian-Markovian systems provides models of many complex systems faithful to their nature, e.g., by not prematurely applying quasi-linear approximations for the sole purpose of easing analysis. To handle these complex algebraic constructs, sophisticated numerical tools have been developed, e.g., methods of adaptive simulated annealing (ASA) global optimization and of path integration (PATHINT). In-depth application to three quite different complex systems have yielded some insights into the benefits to be obtained by application of these algorithms and tools, in statistical mechanical descriptions of neocortex (short-term memory and electroencephalography), financial markets (interest-rate and trading models), and combat analysis (baselining simulations to exercise data).