An improved method for discovering link criticality in transport networks

Quantitatively assessing the importance or criticality of each link in a network is of practical value to operators, as that can help them to increase the network's resilience, provide more efficient services, or improve some other aspect of the service. Betweenness is a graph-theoretical measure of centrality that can be applied to communication networks to evaluate link importance. However, as we illustrate in this paper, the basic definition of betweenness centrality produces inaccurate estimations as it does not take into account some aspects relevant to networking, such as the heterogeneity in link capacity or the difference between node-pairs in their contribution to the total traffic. A new algorithm for discovering link centrality in transport networks is proposed in this paper. It requires only static or semi-static network and topology attributes, and yet produces estimations of good accuracy, as verified through extensive simulations. Its potential value is demonstrated by an example application. In the example, the simple shortest-path routing algorithm is improved in such a way that it outperforms other more advanced algorithms in terms of blocking ratio

Estimation of the probability of congestion using Monte Carlo method in OPS networks

In networks with small buffers, such as optical packet switching based networks, the convolution approach is presented as one of the most accurate method used for the connection admission control. Admission control and resource management have been addressed in other works oriented to bursty traffic and ATM. This paper focuses on heterogeneous traffic in OPS based networks. Using heterogeneous traffic and bufferless networks the enhanced convolution approach is a good solution. However, both methods (CA and ECA) present a high computational cost for high number of connections. Two new mechanisms (UMCA and ISCA) based on Monte Carlo method are proposed to overcome this drawback. Simulation results show that our proposals achieve lower computational cost compared to enhanced convolution approach with an small stochastic error in the probability estimation

QRP: An improved secure authentication method using QR codes

This paper presents the design and implementation of QRP, an open source proof-of-concept authentication system that uses a two-factorauthentication by combining a password and a camera-equipped mobile phone, acting as an authentication token. QRP is extremely secure asall the sensitive information stored and transmitted is encrypted, but it isalso an easy to use and cost-efficient solution. QRP is portable and can be used securely in untrusted computers. Finally, QRP is able to successfully authenticate even when the phone is offline.

Real-Time implementation of a blind authentication method using self-synchronous speech watermarking

A blind speech watermarking scheme that meets hard real-time deadlines is presented and implemented. In addition, one of the key issues in these block-oriented watermarking techniques is to preserve the synchronization. Namely, to recover the exact position of each block in the mark extract process. In fact, the presented scheme can be split up into two distinguished parts, the synchronization and the information mark methods. The former is embedded into the time domain and it is fast enough to be run meeting real-time requirements. The latter contains the authentication information and it is embedded into the wavelet domain. The synchronization and information mark techniques are both tunable in order to allow a con gurable method. Thus, capacity, transparency and robustness can be con gured depending on the needs. It makes the scheme useful for professional applications, such telephony authentication or even sending information throw radio applications.

A block solver for the exponentally fitted IIPG-0 method

We consider an exponentially fitted discontinuous Galerkin method for advection dominated problems and propose a block solver for the resulting linear systems. In the case of strong advection the solver is robust with respect to the advection direction and the number of unknowns.

Schwarz methods for a preconditioned WOPSIP method for elliptic problems

We construct and analyze non-overlapping Schwarz methods for a preconditioned weakly over-penalized symmetric interior penalty (WOPSIP) method for elliptic problems.

An energy preserving discontinouous Galerkin method for Vlasov-Poisson system

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Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

Asymmetric tunnels in P2MP LSPs as a label space reduction method

The objective of traffic engineering is to optimize network resource utilization. Although several works have been published about minimizing network resource utilization, few works have focused on LSR (label switched router) label space. This paper proposes an algorithm that takes advantage of the MPLS label stack features in order to reduce the number of labels used in LSPs. Some tunnelling methods and their MPLS implementation drawbacks are also discussed. The described algorithm sets up NHLFE (next hop label forwarding entry) tables in each LSR, creating asymmetric tunnels when possible. Experimental results show that the described algorithm achieves a great reduction factor in the label space. The presented works apply for both types of connections: P2MP (point-to-multipoint) and P2P (point-to-point)

Markov chain montecarlo method applied to rounding zeros of compositional data: first approach

As stated in Aitchison (1986), a proper study of relative variation in a compositional data set should be based on logratios, and dealing with logratios excludes dealing with zeros. Nevertheless, it is clear that zero observations might be present in real data sets, either because the corresponding part is completelyabsent –essential zeros– or because it is below detection limit –rounded zeros. Because the second kind of zeros is usually understood as “a trace too small to measure”, it seems reasonable to replace them by a suitable small value, and this has been the traditional approach. As stated, e.g. by Tauber (1999) and byMartín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000), the principal problem in compositional data analysis is related to rounded zeros. One should be careful to use a replacement strategy that does not seriously distort the general structure of the data. In particular, the covariance structure of the involvedparts –and thus the metric properties– should be preserved, as otherwise further analysis on subpopulations could be misleading. Following this point of view, a non-parametric imputation method isintroduced in Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2000). This method is analyzed in depth by Martín-Fernández, Barceló-Vidal, and Pawlowsky-Glahn (2003) where it is shown that thetheoretical drawbacks of the additive zero replacement method proposed in Aitchison (1986) can be overcome using a new multiplicative approach on the non-zero parts of a composition. The new approachhas reasonable properties from a compositional point of view. In particular, it is “natural” in the sense thatit recovers the “true” composition if replacement values are identical to the missing values, and it is coherent with the basic operations on the simplex. This coherence implies that the covariance structure of subcompositions with no zeros is preserved. As a generalization of the multiplicative replacement, in thesame paper a substitution method for missing values on compositional data sets is introduced

A hybrid method for sag source location in power network

The work presented in this paper belongs to the power quality knowledge area and deals with the voltage sags in power transmission and distribution systems. Propagating throughout the power network, voltage sags can cause plenty of problems for domestic and industrial loads that can financially cost a lot. To impose penalties to responsible party and to improve monitoring and mitigation strategies, sags must be located in the power network. With such a worthwhile objective, this paper comes up with a new method for associating a sag waveform with its origin in transmission and distribution networks. It solves this problem through developing hybrid methods which hire multiway principal component analysis (MPCA) as a dimension reduction tool. MPCA reexpresses sag waveforms in a new subspace just in a few scores. We train some well-known classifiers with these scores and exploit them for classification of future sags. The capabilities of the proposed method for dimension reduction and classification are examined using the real data gathered from three substations in Catalonia, Spain. The obtained classification rates certify the goodness and powerfulness of the developed hybrid methods as brand-new tools for sag classification

An alternative method for dating unknown tephras based on a segmented regression model

In CoDaWork’05, we presented an application of discriminant function analysis (DFA) to 4 differentcompositional datasets and modelled the first canonical variable using a segmented regression modelsolely based on an observation about the scatter plots. In this paper, multiple linear regressions areapplied to different datasets to confirm the validity of our proposed model. In addition to dating theunknown tephras by calibration as discussed previously, another method of mapping the unknown tephrasinto samples of the reference set or missing samples in between consecutive reference samples isproposed. The application of these methodologies is demonstrated with both simulated and real datasets.This new proposed methodology provides an alternative, more acceptable approach for geologists as theirfocus is on mapping the unknown tephra with relevant eruptive events rather than estimating the age ofunknown tephra.Kew words: Tephrochronology; Segmented regression

Elemental analysis of New Zealand Nephrite Jade (pounamu) for forensic purposes

Pounamu (NZ jade), or nephrite, is a protected mineral in its natural form following thetransfer of ownership back to Ngai Tahu under the Ngai Tahu (Pounamu Vesting) Act 1997.Any theft of nephrite is prosecutable under the Crimes Act 1961. Scientific evidence isessential in cases where origin is disputed. A robust method for discrimination of thismaterial through the use of elemental analysis and compositional data analysis is required.Initial studies have characterised the variability within a given nephrite source. This hasincluded investigation of both in situ outcrops and alluvial material. Methods for thediscrimination of two geographically close nephrite sources are being developed.Key Words: forensic, jade, nephrite, laser ablation, inductively coupled plasma massspectrometry, multivariate analysis, elemental analysis, compositional data analysis

Doppler ultrasound in the measurement of pulse wave velocity: agreement with the Complior method

Aortic stiffness is an independent predictor factor for cardiovascular risk. Different methods for determining pulse wave velocity (PWV) are used, among which the most common are mechanical methods such as SphygmoCor or Complior, which require specific devices and are limited by technical difficulty in obtaining measurements. Doppler guided by 2D ultrasound is a good alternative to these methods. We studied 40 patients (29 male, aged 21 to 82 years) comparing the Complior method with Doppler. Agreement of both devices was high (R = 0.91, 0.84-0.95, 95% CI). The reproducibility analysis revealed no intra-nor interobserver differences. Based on these results, we conclude that Doppler ultrasound is a reliable and reproducible alternative to other established methods for themeasurement of aortic PWV

A Monte Carlo method for accelerating the computation of animated radiosity sequences

Realistic rendering animation is known to be an expensive processing task when physically-based global illumination methods are used in order to improve illumination details. This paper presents an acceleration technique to compute animations in radiosity environments. The technique is based on an interpolated approach that exploits temporal coherence in radiosity. A fast global Monte Carlo pre-processing step is introduced to the whole computation of the animated sequence to select important frames. These are fully computed and used as a base for the interpolation of all the sequence. The approach is completely view-independent. Once the illumination is computed, it can be visualized by any animated camera. Results present significant high speed-ups showing that the technique could be an interesting alternative to deterministic methods for computing non-interactive radiosity animations for moderately complex scenarios