Noisy Monte Carlo: convergence of Markov chains with approximate transition kernels

Monte Carlo algorithms often aim to draw from a distribution π by simulating a Markov chain with transition kernel P such that π is invariant under P. However, there are many situations for which it is impractical or impossible to draw from the transition kernel P. For instance, this is the case with massive datasets, where is it prohibitively expensive to calculate the likelihood and is also the case for intractable likelihood models arising from, for example, Gibbs random fields, such as those found in spatial statistics and network analysis. A natural approach in these cases is to replace P by an approximation Pˆ. Using theory from the stability of Markov chains we explore a variety of situations where it is possible to quantify how ’close’ the chain given by the transition kernel Pˆ is to the chain given by P . We apply these results to several examples from spatial statistics and network analysis.

Applying robust control theory to solve problems in bio-medical sciences: study of an apoptotic model

Biological models of an apoptotic process are studied using models describing a system of differential equations derived from reaction kinetics information. The mathematical model is re-formulated in a state-space robust control theory framework where parametric and dynamic uncertainty can be modelled to account for variations naturally occurring in biological processes. We propose to handle the nonlinearities using neural networks.

A robust two-dimensional hydrogen-bonded network for the predictable assembly of ternary co-crystals of furosemide

Consideration of the geometrical features of the functional groups present in furosemide has enabled synthesis of a series of ternary co-crystals with predictable structural features, containing a robust asymmetric two-dimensional network.

Plane wave discontinuous Galerkin methods: exponential convergence of the hp-version

We consider the two-dimensional Helmholtz equation with constant coefficients on a domain with piecewise analytic boundary, modelling the scattering of acoustic waves at a sound-soft obstacle. Our discretisation relies on the Trefftz-discontinuous Galerkin approach with plane wave basis functions on meshes with very general element shapes, geometrically graded towards domain corners. We prove exponential convergence of the discrete solution in terms of number of unknowns.

Convergence and accommodation development is pre-programmed in premature infants

Purpose This study investigated whether vergence and accommodation development in pre-term infants is pre-programmed or is driven by experience. Methods 32 healthy infants, born at mean 34 weeks gestation (range 31.2-36 weeks) were compared with 45 healthy full-term infants (mean 40.0 weeks) over a 6 month period, starting at 4-6 weeks post-natally. Simultaneous accommodation and convergence to a detailed target were measured using a Plusoptix PowerRefII infra-red photorefractor as a target moved between 0.33m and 2m. Stimulus/response gains and responses at 0.33m and 2m were compared by both corrected (gestational) age and chronological (post-natal) age. Results When compared by their corrected age, pre-term and full-term infants showed few significant differences in vergence and accommodation responses after 6-7 weeks of age. However, when compared by chronological age, pre-term infants’ responses were more variable, with significantly reduced vergence gains, reduced vergence response at 0.33m, reduced accommodation gain, and increased accommodation at 2m, compared to full-term infants between 8-13 weeks after birth. Conclusions When matched by corrected age, vergence and accommodation in pre-term infants show few differences from full-term infants’ responses. Maturation appears pre-programmed and is not advanced by visual experience. Longer periods of immature visual responses might leave pre-term infants more at risk of development of oculomotor deficits such as strabismus.  

Asset liability modelling and pension schemes: the application of robust optimization to USS

This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximise the Sharpe ratio. We disaggregate pension liabilities into three components - active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes-Stein, and Black-Litterman models as well as the actual USS investment decisions. Over a 144 month out-of-sample period robust optimization is superior to the four benchmarks across 20 performance criteria, and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

Follow the leaders? An analysis of convergence and innovation of faculty recruiting practices in US business schools

The debate associated with the qualifications of business school faculty has raged since the 1959 release of the Gordon–Howell and Pierson reports, which encouraged business schools in the USA to enhance their legitimacy by increasing their faculties’ doctoral qualifications and scholarly rigor. Today, the legitimacy of specific faculty qualifications remains one of the most discussed topics in management education, attracting the interest of administrators, faculty, and accreditation agencies. Based on new institutional theory and the institutional logics perspective, this paper examines convergence and innovation in business schools through an analysis of faculty hiring criteria. The qualifications examined are academic degree, scholarly publications, teaching experience, and professional experience. Three groups of schools are examined based on type of university, position within a media ranking system, and accreditation by the Association to Advance Collegiate Schools of Business. Data are gathered using a content analysis of 441 faculty postings from business schools based in the USA over two time periods. Contrary to claims of global convergence, we find most qualifications still vary by group, even in the mature US market. Moreover, innovative hiring is more likely to be found in non-elite schools.

A robust sclera segmentation algorithm

Sclera segmentation is shown to be of significant importance for eye and iris biometrics. However, sclera segmentation has not been extensively researched as a separate topic, but mainly summarized as a component of a broader task. This paper proposes a novel sclera segmentation algorithm for colour images which operates at pixel-level. Exploring various colour spaces, the proposed approach is robust to image noise and different gaze directions. The algorithm’s robustness is enhanced by a two-stage classifier. At the first stage, a set of simple classifiers is employed, while at the second stage, a neural network classifier operates on the probabilities’ space generated by the classifiers at stage 1. The proposed method was ranked the 1st in Sclera Segmentation Benchmarking Competition 2015, part of BTAS 2015, with a precision of 95.05% corresponding to a recall of 94.56%.

Robust multimodal face and fingerprint fusion in the presence of spoofing attacks

Anti-spoofing is attracting growing interest in biometrics, considering the variety of fake materials and new means to attack biometric recognition systems. New unseen materials continuously challenge state-of-the-art spoofing detectors, suggesting for additional systematic approaches to target anti-spoofing. By incorporating liveness scores into the biometric fusion process, recognition accuracy can be enhanced, but traditional sum-rule based fusion algorithms are known to be highly sensitive to single spoofed instances. This paper investigates 1-median filtering as a spoofing-resistant generalised alternative to the sum-rule targeting the problem of partial multibiometric spoofing where m out of n biometric sources to be combined are attacked. Augmenting previous work, this paper investigates the dynamic detection and rejection of livenessrecognition pair outliers for spoofed samples in true multi-modal configuration with its inherent challenge of normalisation. As a further contribution, bootstrap aggregating (bagging) classifiers for fingerprint spoof-detection algorithm is presented. Experiments on the latest face video databases (Idiap Replay- Attack Database and CASIA Face Anti-Spoofing Database), and fingerprint spoofing database (Fingerprint Liveness Detection Competition 2013) illustrate the efficiency of proposed techniques.

On fusion for robust motion segmentation

While a multitude of motion segmentation algorithms have been presented in the literature, there has not been an objective assessment of different approaches to fusing their outputs. This paper investigates the application of 4 different fusion schemes to the outputs of 3 probabilistic pixel-level segmentation algorithms. We performed an extensive experimentation using 6 challenge categories from the changedetection.net dataset demonstrating that in general simple majority vote proves to be more effective than more complex fusion schemes.

Robust comparison of climate models with observations using blended land air and ocean sea surface temperatures

The level of agreement between climate model simulations and observed surface temperature change is a topic of scientific and policy concern. While the Earth system continues to accumulate energy due to anthropogenic and other radiative forcings, estimates of recent surface temperature evolution fall at the lower end of climate model projections. Global mean temperatures from climate model simulations are typically calculated using surface air temperatures, while the corresponding observations are based on a blend of air and sea surface temperatures. This work quantifies a systematic bias in model-observation comparisons arising from differential warming rates between sea surface temperatures and surface air temperatures over oceans. A further bias arises from the treatment of temperatures in regions where the sea ice boundary has changed. Applying the methodology of the HadCRUT4 record to climate model temperature fields accounts for 38% of the discrepancy in trend between models and observations over the period 1975–2014.

Robust future changes in temperature variability under greenhouse gas forcing and the relationship with thermal advection

Recent temperature extremes have highlighted the importance of assessing projected changes in the variability of temperature as well as the mean. A large fraction of present day temperature variance is associated with thermal advection, as anomalous winds blow across the land-sea temperature contrast for instance. Models project robust heterogeneity in the 21st century warming pattern under greenhouse gas forcing, resulting in land-sea temperature contrasts increasing in summer and decreasing in winter, and the pole-to-equator temperature gradient weakening in winter. In this study, future monthly variability changes in the 17 member ensemble ESSENCE are assessed. In winter, variability in midlatitudes decreases while in very high latitudes and the tropics it increases. In summer, variability increases over most land areas and in the tropics, with decreasing variability in high latitude oceans. Multiple regression analysis is used to determine the contributions to variability changes from changing temperature gradients and circulation patterns. Thermal advection is found to be of particular importance in the northern hemisphere winter midlatitudes, where the change in mean state temperature gradients alone could account for over half the projected changes. Changes in thermal advection are also found to be important in summer in Europe and coastal areas, although less so than in winter. Comparison with CMIP5 data shows that the midlatitude changes in variability are robust across large regions, particularly high northern latitudes in winter and mid northern latitudes in summer.

Essays on robust portfolio selection and pension finance

This thesis examines three different, but related problems in the broad area of portfolio management for long-term institutional investors, and focuses mainly on the case of pension funds. The first idea (Chapter 3) is the application of a novel numerical technique – robust optimization – to a real-world pension scheme (the Universities Superannuation Scheme, USS) for first time. The corresponding empirical results are supported by many robustness checks and several benchmarks such as the Bayes-Stein and Black-Litterman models that are also applied for first time in a pension ALM framework, the Sharpe and Tint model and the actual USS asset allocations. The second idea presented in Chapter 4 is the investigation of whether the selection of the portfolio construction strategy matters in the SRI industry, an issue of great importance for long term investors. This study applies a variety of optimal and naïve portfolio diversification techniques to the same SRI-screened universe, and gives some answers to the question of which portfolio strategies tend to create superior SRI portfolios. Finally, the third idea (Chapter 5) compares the performance of a real-world pension scheme (USS) before and after the recent major changes in the pension rules under different dynamic asset allocation strategies and the fixed-mix portfolio approach and quantifies the redistributive effects between various stakeholders. Although this study deals with a specific pension scheme, the methodology can be applied by other major pension schemes in countries such as the UK and USA that have changed their rules.