beyond deterministic optimization

i've come to realize that my multiobjective optimization problem is far from simple, with a lot of functions with noise-induced multimodality (FNIM) (numerical noise creating local minima). so i've been looking for previous work on how to deal with it. the fnim literature i've found seems to be very navel-gazing in that they look at how global minima bifurcate at the noise level is increased. but not as much on how to overcome the problem.

the term 'robust optimization' seems to be dominated by some guys from stanford, mit/singapore, and israel who have a particular framework that is not so useful to me right now. they assume the data going into the objective function are from a distribution that is an unknown member of a set of possible distros, and they want to protect against the worst-case from that set while strictly obeying the constraints. i think it's more of a mini-max problem, and what i need is to account for the uncertainty without needing to be so conservative. also, most, though not all, of the applications have a linear programming bend.

i'm not sure if stochastic optimization is what i need, but i'll check it out.

proposition 8 decision

the emergency motion to stay judge walker's ruling is a well-written review and critique of the district court's prop 8 decision, especially the first 3 pages (even though it's a summary, it's a thorough summary). actually, the whole thing is pretty good although there are a couple of pages in the middle that are more dense.

trading hocus pocus

i think i found the source for that reference to the use of fibonacci numbers in trading. there's a charlatan in peddling books and software based on numerological mysticism. i can't believe people are paying $500 a pop for his stupid software and >$150 for the book. really makes me wonder why i can't put together some of my code and sell it, if anyone is willing to buy that bovine byproduct. check out this gem from his website:

What's in the book: Fibonacci ratios as market tools.

For centuries, scientists, mathematicians, and artisans have discovered that the Fibonacci sequence of numbers is replicated throughout nature. This amazing number series defines the appearance of physical structures, as well as the PROGRESS OF CHANGE AND GROWTH governing dynamic structures and systems.

The Fibonacci sequence is found in the structures of trees, plants, and flowers. A regular sequence of Fibonacci numbers occurs in the relationship between a particular branch and the next branch. Fibonacci relationships also exist between leaves and stems. Radio signals generated by pulsars conform to Fibonacci numbers. Research reveals that many natural crystals contain the Fibonacci golden ratio, 1.618. There is even speculation by Dr. John Penrose of the Institute of Mathematics at Oxford, that the golden ratio may provide the crucial link between the sub-atomic and the supra-atomic world!

Human behavior has a dualistic nature. We think and act both as individuals and as part of a crowd. A crowd has its own energy and collective mind. It can be viewed as a dynamic system and, as such, it is governed by the same laws that exist throughout nature. Since a crowd is a dynamic system, and since financial and agricultural markets exhibit crowd behavior, it follows logically that Fibonacci relationships should be intrinsic to all liquid markets. These all important numbers and ratios indicate areas of contraction and expansion in price-wave movements. The concepts of Fibonacci support, resistance, and expansion in price function due to the principle inherent in the unfolding of all natural phenomena, including the behavior of crowds and the collective mind. The real difficulty is in the PROPER AND PRACTICAL APPLICATION of this natural phenomena to price movements. It is precisely that difficulty which DiNapoli Levels is designed to address. The text puts it all together in a unified trading approach you can act on!

This book also dispels myths about Fibonacci analysis and only covers those techniques that are useful and practical to employ in real life trading situations.

oh, good. it dispels all the myths and only covers the practical parts of this nonsense.

forecasting commodity markets: using technical, fundamental, and econometric analysis

1995 book by julian roche is a bit disappointing and maybe just dated; it mentions that less work has been done with commodity price prediction than in other markets, and the fact that i have had such a hard time finding refs on it bears that out. refers briefly, though apparently seriously, to the idea of using numerical patterns from astrological sources and the fibonacci series... yikes! it also briefly mentions the possibility of using futures for prediction, but then cops out with some easily overcome excuses about how hard it might be. the types of technical analysis that it cites are really dirt dumb simple, though it does justify that by stating that those predictions are only good in the short term anyway, and you're not going to have enough data to fit a complex model reliably.

one very worthwhile part of the book is the table of forecasting approaches on pages 175-179 (heavily adapted from strategic business forecasting, pp 159-164) and their characteristics, including short-, medium-, and long-term accuracies. looks like trend analysis, seasonal adjustments, and box-jenkins type arima models are easy ways to the top of the game.

chaco, traits callbacks, and garbage collection

i just learned something about traits (from enthought) the hard way.... if you allow the object that has a trait callback defined on it to drop all references to it (other than adding it to a container), the callback won't work. in my case, i had a lasso selection turned on for a chaco plot that was put into a HPlotContainer. it plotted just fine, interaction tools were fine.... but no reaction to the selection.

all i had to do was hang onto a reference to that traits object, and the selection worked. tough, tough bug to find. i feel cheated somehow.