Determining State Transition Probabilities using Multi-Objective Optimisation

C. Sandrock and P.L. de Vaal (South Africa)


Multi-objective, stochastic, particle swarm, curve fitting, Pareto optimality


An important aspect of stochastic simulation is the devel opment of realistic input scenarios. This work describes a technique for determining the frequencies of transitions be tween 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 al gorithm. 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.

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