Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

A Flow Trace Generator using Graph-based Traffic Classification Techniques

We propose a novel methodology to generate realistic network flow traces to enable systematic evaluation of network monitoring systems in various traffic conditions. Our technique uses a graph-based approach to model the communication structure observed in real-world traces and to extract traffic templates. By combining extracted and user-defined traffic templates, realistic network flow traces that comprise normal traffic and customized conditions are generated in a scalable manner. A proof-of-concept implementation demonstrates the utility and simplicity of our method to produce a variety of evaluation scenarios. We show that the extraction of templates from real-world traffic leads to a manageable number of templates that still enable accurate re-creation of the original communication properties on the network flow level.

Graph-Based Multi-Surface Segmentation of OCT Data Using Trained Hard and Soft Constraints

Optical coherence tomography (OCT) is a well-established image modality in ophthalmology and used daily in the clinic. Automatic evaluation of such datasets requires an accurate segmentation of the retinal cell layers. However, due to the naturally low signal to noise ratio and the resulting bad image quality, this task remains challenging. We propose an automatic graph-based multi-surface segmentation algorithm that internally uses soft constraints to add prior information from a learned model. This improves the accuracy of the segmentation and increase the robustness to noise. Furthermore, we show that the graph size can be greatly reduced by applying a smart segmentation scheme. This allows the segmentation to be computed in seconds instead of minutes, without deteriorating the segmentation accuracy, making it ideal for a clinical setup. An extensive evaluation on 20 OCT datasets of healthy eyes was performed and showed a mean unsigned segmentation error of 3.05 ±0.54 μm over all datasets when compared to the average observer, which is lower than the inter-observer variability. Similar performance was measured for the task of drusen segmentation, demonstrating the usefulness of using soft constraints as a tool to deal with pathologies.

A mixed-integer linear programming approach to the optimization of event-bus schedules: a scheduling application in the tourism sector

This paper deals with “The Enchanted Journey,” which is a daily event tour booked by Bollywood-film fans. During the tour, the participants visit original sites of famous Bollywood films at various locations in Switzerland; moreover, the tour includes stops for lunch and shopping. Each day, up to five buses operate the tour. For operational reasons, however, two or more buses cannot stay at the same location simultaneously. Further operative constraints include time windows for all activities and precedence constraints between some activities. The planning problem is how to compute a feasible schedule for each bus. We implement a two-step hierarchical approach. In the first step, we minimize the total waiting time; in the second step, we minimize the total travel time of all buses. We present a basic formulation of this problem as a mixed-integer linear program. We enhance this basic formulation by symmetry-breaking constraints, which reduces the search space without loss of generality. We report on computational results obtained with the Gurobi Solver. Our numerical results show that all relevant problem instances can be solved using the basic formulation within reasonable CPU time, and that the symmetry-breaking constraints reduce that CPU time considerably.

Invited Abstract: Issues with State-based Energy Consumption Modelling

Energy consumption modelling by state based approaches often assume constant energy consumption values in each state. However, it happens in certain situations that during state transitions or even during a state the energy consumption is not constant and does fluctuate. This paper discusses those issues by presenting some examples from wireless sensor and wireless local area networks for such cases and possible solutions.

Applied Graph Theory in Computer Vision and Pattern Recognition

This book will serve as a foundation for a variety of useful applications of graph theory to computer vision, pattern recognition, and related areas. It covers a representative set of novel graph-theoretic methods for complex computer vision and pattern recognition tasks. The first part of the book presents the application of graph theory to low-level processing of digital images such as a new method for partitioning a given image into a hierarchy of homogeneous areas using graph pyramids, or a study of the relationship between graph theory and digital topology. Part II presents graph-theoretic learning algorithms for high-level computer vision and pattern recognition applications, including a survey of graph based methodologies for pattern recognition and computer vision, a presentation of a series of computationally efficient algorithms for testing graph isomorphism and related graph matching tasks in pattern recognition and a new graph distance measure to be used for solving graph matching problems. Finally, Part III provides detailed descriptions of several applications of graph-based methods to real-world pattern recognition tasks. It includes a critical review of the main graph-based and structural methods for fingerprint classification, a new method to visualize time series of graphs, and potential applications in computer network monitoring and abnormal event detection.