Nonlinear diffusion and exclusion processes with contact interactions

Exclusion processes on a regular lattice are used to model many biological and physical systems at a discrete level. The average properties of an exclusion process may be described by a continuum model given by a partial differential equation. We combine a general class of contact interactions with an exclusion process. We determine that many different types of contact interactions at the agent-level always give rise to a nonlinear diffusion equation, with a vast variety of diffusion functions D(C). We find that these functions may be dependent on the chosen lattice and the defined neighborhood of the contact interactions. Mild to moderate contact interaction strength generally results in good agreement between discrete and continuum models, while strong interactions often show discrepancies between the two, particularly when D(C) takes on negative values. We present a measure to predict the goodness of fit between the discrete and continuous model, and thus the validity of the continuum description of a motile, contact-interacting population of agents. This work has implications for modeling cell motility and interpreting cell motility assays, giving the ability to incorporate biologically realistic cell-cell interactions and develop global measures of discrete microscopic data.

Bounded parameter Markov Decision Processes with average reward criterion

Bounded parameter Markov Decision Processes (BMDPs) address the issue of dealing with uncertainty in the parameters of a Markov Decision Process (MDP). Unlike the case of an MDP, the notion of an optimal policy for a BMDP is not entirely straightforward. We consider two notions of optimality based on optimistic and pessimistic criteria. These have been analyzed for discounted BMDPs. Here we provide results for average reward BMDPs. We establish a fundamental relationship between the discounted and the average reward problems, prove the existence of Blackwell optimal policies and, for both notions of optimality, derive algorithms that converge to the optimal value function.

Measurements of particle emissions from nanotechnology processes, with assessment of measuring techniques and workplace controls

The overall aim of this project was to contribute to existing knowledge regarding methods for measuring characteristics of airborne nanoparticles and controlling occupational exposure to airborne nanoparticles, and to gather data on nanoparticle emission and transport in various workplaces. The scope of this study involved investigating the characteristics and behaviour of particles arising from the operation of six nanotechnology processes, subdivided into nine processes for measurement purposes. It did not include the toxicological evaluation of the aerosol and therefore, no direct conclusion was made regarding the health effects of exposure to these particles. Our research included real-time measurement of sub, and supermicrometre particle number and mass concentration, count median diameter, and alveolar deposited surface area using condensation particle counters, an optical particle counter, DustTrak photometer, scanning mobility particle sizer, and nanoparticle surface area monitor, respectively. Off-line particle analysis included scanning and transmission electron microscopy, energy-dispersive x-ray spectrometry, and thermal optical analysis of elemental carbon. Sources of fibrous and non-fibrous particles were included.

Velocity jump processes with proliferation

Cell invasion involves a population of cells that migrate along a substrate and proliferate to a carrying capacity density. These two processes, combined, lead to invasion fronts that move into unoccupied tissues. Traditional modelling approaches based on reaction–diffusion equations cannot incorporate individual–level observations of cell velocity, as information propagates with infinite velocity according to these parabolic models. In contrast, velocity jump processes allow us to explicitly incorporate individual–level observations of cell velocity, thus providing an alternative framework for modelling cell invasion. Here, we introduce proliferation into a standard velocity–jump process and show that the standard model does not support invasion fronts. Instead, we find that crowding effects must be explicitly incorporated into a proliferative velocity–jump process before invasion fronts can be observed. Our observations are supported by numerical and analytical solutions of a novel coupled system of partial differential equations, including travelling wave solutions, and associated random walk simulations.

Analytical model of reactive transport processes with spatially variable coefficients

Analytical solutions of partial differential equation (PDE) models describing reactive transport phenomena in saturated porous media are often used as screening tools to provide insight into contaminant fate and transport processes. While many practical modelling scenarios involve spatially variable coefficients, such as spatially variable flow velocity, v(x), or spatially variable decay rate, k(x), most analytical models deal with constant coefficients. Here we present a framework for constructing exact solutions of PDE models of reactive transport. Our approach is relevant for advection-dominant problems, and is based on a regular perturbation technique. We present a description of the solution technique for a range of one-dimensional scenarios involving constant and variable coefficients, and we show that the solutions compare well with numerical approximations. Our general approach applies to a range of initial conditions and various forms of v(x) and k(x). Instead of simply documenting specific solutions for particular cases, we present a symbolic worksheet, as supplementary material, which enables the solution to be evaluated for different choices of the initial condition, v(x) and k(x). We also discuss how the technique generalizes to apply to models of coupled multispecies reactive transport as well as higher dimensional problems.

Context change archetypes : understanding the impact of context change on business processes

The emergence of Enterprise Resource Planning systems and Business Process Management have led to improvements in the design, implementation, and overall management of business processes. However, the typical focus of these initiatives has been on internal business operations, assuming a defined and stable context in which the processes are designed to operate. Yet, a lack of context-awareness for external change leads to processes and supporting information systems that are unable to react appropriately and timely enough to change. To increase the alignment of processes with environmental change, we propose a conceptual framework that facilitates the identification of context change. Based on a secondary data analysis of published case studies about process adaptation, we exemplify the framework and identify four general archetypes of context-awareness. The framework, in combination with the learning from the case analysis, provides a first understanding of what, where, how, and when processes are subjected to change.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Bootstrap approaches for estimation and confidence intervals of long term memory processes

In this work, we investigate an alternative bootstrap approach based on a result of Ramsey [F.L. Ramsey, Characterization of the partial autocorrelation function, Ann. Statist. 2 (1974), pp. 1296-1301] and on the Durbin-Levinson algorithm to obtain a surrogate series from linear Gaussian processes with long range dependence. We compare this bootstrap method with other existing procedures in a wide Monte Carlo experiment by estimating, parametrically and semi-parametrically, the memory parameter d. We consider Gaussian and non-Gaussian processes to prove the robustness of the method to deviations from normality. The approach is also useful to estimate confidence intervals for the memory parameter d by improving the coverage level of the interval.

Performance analysis of adaptive lattice filters for FM signals and alpha-stable processes

The performance of an adaptive filter may be studied through the behaviour of the optimal and adaptive coefficients in a given environment. This thesis investigates the performance of finite impulse response adaptive lattice filters for two classes of input signals: (a) frequency modulated signals with polynomial phases of order p in complex Gaussian white noise (as nonstationary signals), and (b) the impulsive autoregressive processes with alpha-stable distributions (as non-Gaussian signals). Initially, an overview is given for linear prediction and adaptive filtering. The convergence and tracking properties of the stochastic gradient algorithms are discussed for stationary and nonstationary input signals. It is explained that the stochastic gradient lattice algorithm has many advantages over the least-mean square algorithm. Some of these advantages are having a modular structure, easy-guaranteed stability, less sensitivity to the eigenvalue spread of the input autocorrelation matrix, and easy quantization of filter coefficients (normally called reflection coefficients). We then characterize the performance of the stochastic gradient lattice algorithm for the frequency modulated signals through the optimal and adaptive lattice reflection coefficients. This is a difficult task due to the nonlinear dependence of the adaptive reflection coefficients on the preceding stages and the input signal. To ease the derivations, we assume that reflection coefficients of each stage are independent of the inputs to that stage. Then the optimal lattice filter is derived for the frequency modulated signals. This is performed by computing the optimal values of residual errors, reflection coefficients, and recovery errors. Next, we show the tracking behaviour of adaptive reflection coefficients for frequency modulated signals. This is carried out by computing the tracking model of these coefficients for the stochastic gradient lattice algorithm in average. The second-order convergence of the adaptive coefficients is investigated by modeling the theoretical asymptotic variance of the gradient noise at each stage. The accuracy of the analytical results is verified by computer simulations. Using the previous analytical results, we show a new property, the polynomial order reducing property of adaptive lattice filters. This property may be used to reduce the order of the polynomial phase of input frequency modulated signals. Considering two examples, we show how this property may be used in processing frequency modulated signals. In the first example, a detection procedure in carried out on a frequency modulated signal with a second-order polynomial phase in complex Gaussian white noise. We showed that using this technique a better probability of detection is obtained for the reduced-order phase signals compared to that of the traditional energy detector. Also, it is empirically shown that the distribution of the gradient noise in the first adaptive reflection coefficients approximates the Gaussian law. In the second example, the instantaneous frequency of the same observed signal is estimated. We show that by using this technique a lower mean square error is achieved for the estimated frequencies at high signal-to-noise ratios in comparison to that of the adaptive line enhancer. The performance of adaptive lattice filters is then investigated for the second type of input signals, i.e., impulsive autoregressive processes with alpha-stable distributions . The concept of alpha-stable distributions is first introduced. We discuss that the stochastic gradient algorithm which performs desirable results for finite variance input signals (like frequency modulated signals in noise) does not perform a fast convergence for infinite variance stable processes (due to using the minimum mean-square error criterion). To deal with such problems, the concept of minimum dispersion criterion, fractional lower order moments, and recently-developed algorithms for stable processes are introduced. We then study the possibility of using the lattice structure for impulsive stable processes. Accordingly, two new algorithms including the least-mean P-norm lattice algorithm and its normalized version are proposed for lattice filters based on the fractional lower order moments. Simulation results show that using the proposed algorithms, faster convergence speeds are achieved for parameters estimation of autoregressive stable processes with low to moderate degrees of impulsiveness in comparison to many other algorithms. Also, we discuss the effect of impulsiveness of stable processes on generating some misalignment between the estimated parameters and the true values. Due to the infinite variance of stable processes, the performance of the proposed algorithms is only investigated using extensive computer simulations.

Hypergraph-based modeling of ad-hoc business processes

Process models are usually depicted as directed graphs, with nodes representing activities and directed edges control flow. While structured processes with pre-defined control flow have been studied in detail, flexible processes including ad-hoc activities need further investigation. This paper presents flexible process graph, a novel approach to model processes in the context of dynamic environment and adaptive process participants’ behavior. The approach allows defining execution constraints, which are more restrictive than traditional ad-hoc processes and less restrictive than traditional control flow, thereby balancing structured control flow with unstructured ad-hoc activities. Flexible process graph focuses on what can be done to perform a process. Process participants’ routing decisions are based on the current process state. As a formal grounding, the approach uses hypergraphs, where each edge can associate any number of nodes. Hypergraphs are used to define execution semantics of processes formally. We provide a process scenario to motivate and illustrate the approach.

Minimizing overprocessing waste in business processes via predictive activity ordering

Overprocessing waste occurs in a business process when effort is spent in a way that does not add value to the customer nor to the business. Previous studies have identied a recurrent overprocessing pattern in business processes with so-called "knockout checks", meaning activities that classify a case into "accepted" or "rejected", such that if the case is accepted it proceeds forward, while if rejected, it is cancelled and all work performed in the case is considered unnecessary. Thus, when a knockout check rejects a case, the effort spent in other (previous) checks becomes overprocessing waste. Traditional process redesign methods propose to order knockout checks according to their mean effort and rejection rate. This paper presents a more fine-grained approach where knockout checks are ordered at runtime based on predictive machine learning models. Experiments on two real-life processes show that this predictive approach outperforms traditional methods while incurring minimal runtime overhead.