Hybridization of a class of "second order" models of traffic flow

Despite the simultaneous progress of traffic modelling both on the macroscopic and microscopic front, recent works [E. Bourrel, J.B. Lessort, Mixing micro and macro representation of traffic flow: a hybrid model based on the LWR theory, Transport. Res. Rec. 1852 (2003) 193–200; D. Helbing, M. Treiber, Critical discussion of “synchronized flow”, Coop. Transport. Dyn. 1 (2002) 2.1–2.24; A. Hennecke, M. Treiber, D. Helbing, Macroscopic simulations of open systems and micro–macro link, in: D. Helbing, H.J. Herrmann, M. Schreckenberg, D.E. Wolf (Eds.), Traffic and Granular Flow ’99, Springer, Berlin, 2000, pp. 383–388] highlighted that one of the most promising way to simulate efficiently traffic flow on large road networks is a clever combination of both traffic representations: the hybrid modelling. Our focus in this paper is to propose two hybrid models for which the macroscopic (resp. mesoscopic) part is based on a class of second order model [A. Aw, M. Rascle, Resurection of second order models of traffic flow?, SIAM J. Appl. Math. 60 (2000) 916–938] whereas the microscopic part is a Follow-the Leader type model [D.C. Gazis, R. Herman, R.W. Rothery, Nonlinear follow-the-leader models of traffic flow, Oper. Res. 9 (1961) 545–567; R. Herman, I. Prigogine, Kinetic Theory of Vehicular Traffic, American Elsevier, New York, 1971]. For the first hybrid model, we define precisely the translation of boundary conditions at interfaces and for the second one we explain the synchronization processes. Furthermore, through some numerical simulations we show that the waves propagation is not disturbed and the mass is accurately conserved when passing from one traffic representation to another.

Memory-Centric Hardware Synthesis from Dataflow Models

Generation of hardware architectures directly from dataflow representations is increasingly being considered as research moves toward system level design methodologies. Creation of networks of IP cores to implement actor functionality is a common approach to the problem, but often the memory sub-systems produced using these techniques are inefficiently utilised. This paper explores some of the issues in terms of memory organisation and accesses when developing systems from these high level representations. Using a template matching design study, challenges such as modelling memory reuse and minimising buffer requirements are examined, yielding results with significantly less memory requirements and costly off-chip memory accesses.

SoC memory hierarchy derivation from dataflow graphs

Hardware synthesis from dataflow graphs of signal processing systems is a growing research area as focus shifts to high level design methodologies. For data intensive systems, dataflow based synthesis can lead to an inefficient usage of memory due to the restrictive nature of synchronous dataflow and its inability to easily model data reuse. This paper explores how dataflow graph changes can be used to drive both the on-chip and off-chip memory organisation and how these memory architectures can be mapped to a hardware implementation. By exploiting the data reuse inherent to many image processing algorithms and by creating memory hierarchies, off-chip memory bandwidth can be reduced by a factor of a thousand from the original dataflow graph level specification of a motion estimation algorithm, with a minimal increase in memory size. This analysis is verified using results gathered from implementation of the motion estimation algorithm on a Xilinx Virtex-4 FPGA, where the delay between the memories and processing elements drops from 14.2 ns down to 1.878 ns through the refinement of the memory architecture. Care must be taken when modeling these algorithms however, as inefficiencies in these models can be easily translated into overuse of hardware resources.

Incorporating Higher Moments into Value at Risk Forecasting

Value-at-risk (VaR) forecasting generally relies on a parametric density function of portfolio returns that ignores higher moments or assumes them constant. In this paper, we propose a simple approach to forecasting of a portfolio VaR. We employ the Gram-Charlier expansion (GCE) augmenting the standard normal distribution with the first four moments, which are allowed to vary over time. In an extensive empirical study, we compare the GCE approach to other models of VaR forecasting and conclude that it provides accurate and robust estimates of the realized VaR. In spite of its simplicity, on our dataset GCE outperforms other estimates that are generated by both constant and time-varying higher-moments models.

Dynamic Density Forecasts for Multivariate Asset Returns

We propose a simple and flexible framework for forecasting the joint density of asset returns. The multinormal distribution is augmented with a polynomial in (time-varying) non-central co-moments of assets. We estimate the coefficients of the polynomial via the Method of Moments for a carefully selected set of co-moments. In an extensive empirical study, we compare the proposed model with a range of other models widely used in the literature. Employing a recently proposed as well as standard techniques to evaluate multivariate forecasts, we conclude that the augmented joint density provides highly accurate forecasts of the “negative tail” of the joint distribution.

On the Distribution of Signal Phase in Body Area Networks

In this letter, we investigate the distribution of the phase component of the complex received signal observed in practical experiments using body area networks. Two phase distributions, the recently proposed kappa-mu and eta-mu probability densities, which together encompass the most widely used fading models, namely Semi-Gaussian, Rayleigh, Hoyt, Rice, and Nakagami-m, have been compared with measurement data. The kappa-mu distribution has been found to provide the best fit over a range of on-body links, while the user was mobile. The experiments were carried out in two dissimilar indoor environments at opposite ends of the multipath spectrum. It has also been found that the uniform phase distribution has not arisen in anyone of the experiments.

Rigorous conditions for food-web intervality in high-dimensional trophic niche spaces

Food webs represent trophic (feeding) interactions in ecosystems. Since the late 1970s, it has been recognized that food-webs have a surprisingly close relationship to interval graphs. One interpretation of food-web intervality is that trophic niche space is low-dimensional, meaning that the trophic character of a species can be expressed by a single or at most a few quantitative traits. In a companion paper we demonstrated, by simulating a minimal food-web model, that food webs are also expected to be interval when niche-space is high-dimensional. Here we characterize the fundamental mechanisms underlying this phenomenon by proving a set of rigorous conditions for food-web intervality in high-dimensional niche spaces. Our results apply to a large class of food-web models, including the special case previously studied numerically.

NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Inferring the conservative causal core of gene regulatory networks

Background
Inferring gene regulatory networks from large-scale expression data is an important problem that received much attention in recent years. These networks have the potential to gain insights into causal molecular interactions of biological processes. Hence, from a methodological point of view, reliable estimation methods based on observational data are needed to approach this problem practically.

Results
In this paper, we introduce a novel gene regulatory network inference (GRNI) algorithm, called C3NET. We compare C3NET with four well known methods, ARACNE, CLR, MRNET and RN, conducting in-depth numerical ensemble simulations and demonstrate also for biological expression data from E. coli that C3NET performs consistently better than the best known GRNI methods in the literature. In addition, it has also a low computational complexity. Since C3NET is based on estimates of mutual information values in conjunction with a maximization step, our numerical investigations demonstrate that our inference algorithm exploits causal structural information in the data efficiently.

Conclusions
For systems biology to succeed in the long run, it is of crucial importance to establish methods that extract large-scale gene networks from high-throughput data that reflect the underlying causal interactions among genes or gene products. Our method can contribute to this endeavor by demonstrating that an inference algorithm with a neat design permits not only a more intuitive and possibly biological interpretation of its working mechanism but can also result in superior results.

Algorithmic computation of knot polynomials of secondary structure elements of proteins

The classification of protein structures is an important and still outstanding problem. The purpose of this paper is threefold. First, we utilize a relation between the Tutte and homfly polynomial to show that the Alexander-Conway polynomial can be algorithmically computed for a given planar graph. Second, as special cases of planar graphs, we use polymer graphs of protein structures. More precisely, we use three building blocks of the three-dimensional protein structure-alpha-helix, antiparallel beta-sheet, and parallel beta-sheet-and calculate, for their corresponding polymer graphs, the Tutte polynomials analytically by providing recurrence equations for all three secondary structure elements. Third, we present numerical results comparing the results from our analytical calculations with the numerical results of our algorithm-not only to test consistency, but also to demonstrate that all assigned polynomials are unique labels of the secondary structure elements. This paves the way for an automatic classification of protein structures.