Deploy and search strategy for multi-agent systems using Voronoi partitions

In this paper we analyze a deploy and search strategy for multi-agent systems. Mobile agents equipped with sensors carry out search operation in the search space. The lack of information about the search space is modeled as an uncertainty density distribution over the space, and is assumed to be known to the agents a priori. In each step, the agents deploy themselves in an optimal way so as to maximize per step reduction in the uncertainty density. We analyze the proposed strategy for convergence and spatial distributedness. The control law moving the agents has been analyzed for stability and convergence using LaSalle's invariance principle, and for spatial distributedness under a few realistic constraints on the control input such as constant speed, limit on maximum speed, and also sensor range limits. The simulation experiments show that the strategy successfully reduces the average uncertainty density below the required level.

Average-Delay Optimal Policies for the Point-to-Point Channel

Average-delay optimal scheduflng of messages arriving to the transmitter of a point-to-point channel is considered in this paper. We consider a discrete time batch-arrival batch-service queueing model for the communication scheme, with service time that may be a function of batch size. The question of delay optimality is addressed within the semi-Markov decision-theoretic framework. Approximations to the average-delay optimal policy are obtained.

Mapping of Average Shear Wave Velocity for Bangalore Region: A Case Study

Mapping the shear wave velocity profile is an important part in seismic hazard and microzonation studies. The shear wave velocity of soil in the city of Bangalore was mapped using the Multichannel Analysis of Surface Wave (MASW) technique. An empirical relationship was found between the Standard Penetration Test (SPT) corrected N value ((N1)60cs) and measured shear wave velocity (Vs). The survey points were selected in such a way that the results represent the entire Bangalore region, covering an area of 220 km2. Fifty-eight 1-D and 20 2-D MASW surveys were performed and their velocity profiles determined. The average shear wave velocity of Bangalore soils was evaluated for depths of 5 m, 10 m, 15 m, 20 m, 25 m and 30 m. The sub-soil classification was made for seismic local site effect evaluation based on average shear wave velocity of 30-m depth (Vs30) of sites using the National Earthquake Hazards Reduction Program (NEHRP) and International Building Code (IBC) classification. Mapping clearly indicates that the depth of soil obtained from MASW closely matches with the soil layers identified in SPT bore holes. Estimation of local site effects for an earthquake requires knowledge of the dynamic properties of soil, which is usually expressed in terms of shear wave velocity. Hence, to make use of abundant SPT data available on many geotechnical projects in Bangalore, an attempt was made to develop a relationship between Vs (m/s) and (N1)60cs. The measured shear wave velocity at 38 locations close to SPT boreholes was used to generate the correlation between the corrected N values and shear wave velocity. A power fit model correlation was developed with a regression coefficient (R2) of 0.84. This relationship between shear wave velocity and corrected SPT N values correlates well with the Japan Road Association equations.

On the Average Case Communication Complexity for Detection in Sensor Networks

The problem of sensor-network-based distributed intrusion detection in the presence of clutter is considered. It is argued that sensing is best regarded as a local phenomenon in that only sensors in the immediate vicinity of an intruder are triggered. In such a setting, lack of knowledge of intruder location gives rise to correlated sensor readings. A signal-space viewpoint is introduced in which the noise-free sensor readings associated to intruder and clutter appear as surfaces $\mathcal{S_I}$ and $\mathcal{S_C}$ and the problem reduces to one of determining in distributed fashion, whether the current noisy sensor reading is best classified as intruder or clutter. Two approaches to distributed detection are pursued. In the first, a decision surface separating $\mathcal{S_I}$ and $\mathcal{S_C}$ is identified using Neyman-Pearson criteria. Thereafter, the individual sensor nodes interactively exchange bits to determine whether the sensor readings are on one side or the other of the decision surface. Bounds on the number of bits needed to be exchanged are derived, based on communication complexity (CC) theory. A lower bound derived for the two-party average case CC of general functions is compared against the performance of a greedy algorithm. The average case CC of the relevant greater-than (GT) function is characterized within two bits. In the second approach, each sensor node broadcasts a single bit arising from appropriate two-level quantization of its own sensor reading, keeping in mind the fusion rule to be subsequently applied at a local fusion center. The optimality of a threshold test as a quantization rule is proved under simplifying assumptions. Finally, results from a QualNet simulation of the algorithms are presented that include intruder tracking using a naive polynomial-regression algorithm.

Visual performance at passive level crossings with long sighting distances

The third edition of the Australian Standard AS1742 Manual of Uniform Traffic Control Devices Part 7 provides a method of calculating the sighting distance required to safely proceed at passive level crossings based on the physics of moving vehicles. This required distance becomes greater with higher line speeds and slower, heavier vehicles so that it may return quite a long sighting distance. However, at such distances, there are also concerns around whether drivers would be able to reliably identify a train in order to make an informed decision regarding whether it would be safe to proceed across the level crossing. In order to determine whether drivers are able to make reliable judgements to proceed in these circumstances, this study assessed the distance at which a train first becomes identifiable to a driver as well as their, ability to detect the movement of the train. A site was selected in Victoria, and 36 participants with good visual acuity observed 4 trains in the 100-140 km/h range. While most participants could detect the train from a very long distance (2.2 km on average), they could only detect that the train was moving at much shorter distances (1.3 km on average). Large variability was observed between participants, with 4 participants consistently detecting trains later than other participants. Participants tended to improve in their capacity to detect the presence of the train with practice, but a similar trend was not observed for detection of the movement of the train. Participants were consistently poor at accurately judging the approach speed of trains, with large underestimations at all investigated distances.

Pathways to health : Determinants of health, health behaviour and health inequalities in early adulthood

There is increasing evidence that the origins of poor adult health and health inequalities can be traced back to circumstances preceding current socioeconomic position and living conditions. The life-course approach to examining the determinants of health has emphasised that exposure to adverse social and economic circumstances in earlier life or concurrent adverse circumstances due to unfavourable living conditions in earlier life may lead to poor health, health-damaging behaviour, disease or even premature death in adulthood. There is, however, still a lack of knowledge about the contribution of social and economic circumstances in childhood and youth to adult health and health inequalities, and even less is known about how environmental and behavioural factors in adulthood mediate the effects of earlier adverse experiences. The main purpose of this study was to deepen our understanding of the development of poor health, health-damaging behaviours and health inequalities during the life-course. Its aim was to find out which factors in earlier and current circumstances determine health, the most detrimental indicators of health behaviour (smoking, heavy drinking and obesity as a proxy for the balance between nutrition and exercise), and educational health differences in young adults in Finland. Following the ideas of the social pathway theory, it was assumed that childhood environment affects adult health and its proximal determinants via different pathways, including educational, work and family careers. Early adulthood was studied as a significant phase of life when many behavioural patterns and living conditions relevant to health are established. In addition, socioeconomic health inequalities seem to emerge rapidly when moving into adulthood; they are very small or non-existent in childhood and adolescence, but very marked by early middle age. The data of this study were collected in 2000 2001 as part of the Health 2000 Survey (N = 9,922), a cross-sectional and nationally representative health interview and examination survey. The main subset of data used in this thesis was the one comprising the age group 18 29 years (N = 1,894), which included information collected by standardised structured computer-aided interviews and self-administered questionnaires. The survey had a very high participation rate at almost 90% for the core questions. According to the results of this study, childhood circumstances predict the health of young adults. Almost all the childhood adversities studied were found to be associated with poor self-rated health and psychological distress in early adulthood, although fewer associations were found with the somatic morbidity typical of young adults. These effects seemed to be more or less independent of the young adult s own education. Childhood circumstances also had a strong effect on smoking and heavy drinking, although current circumstances and education in particular, played a role in mediating this effect. Parental smoking and alcohol abuse had an influence on the corresponding behaviours of offspring. Childhood circumstances had a role in the development of obesity and, to a lesser extent, overweight, particularly in women. The findings support the notion that parental education has a strong effect on early adult obesity, even independently of the young adult s own educational level. There were marked educational differences in self-rated health in early adulthood: those in the lowest educational category were most likely to have average or poorer health. Childhood social circumstances seemed to explain a substantial part of these educational differences. In addition, daily smoking and heavy drinking contributed substantially to educational health differences. However, the contribution of childhood circumstances was largely shared with health behaviours adopted by early adulthood. Employment also shared the effects of childhood circumstances on educational health differences. The results indicate that childhood circumstances are important in determining health, health behaviour and health inequalities in early adulthood. Early recognition of childhood adversities followed by relevant support measures may play an important role in preventing the unfortunate pathways leading to the development of poor health, health-damaging behaviour and health inequalities. It is crucially important to recognise the needs of children living in adverse circumstances as well as children of substance abusing parents. In addition, single-parent families would benefit from support. Differences in health and health behaviours between different sub-groups of the population mean that we can expect to see ever greater health differences when today s generation of young adults grows older. This presents a formidable challenge to national health and social policy as well as health promotion. Young adults with no more than primary level education are at greatest risk of poor health. Preventive policies should emphasise the role of low educational level as a key determinant of health-damaging behaviours and poor health. Keywords: health, health behaviour, health inequalities, life-course, socioeconomic position, education, childhood circumstances, self-rated health, psychological distress, somatic morbidity, smoking, heavy drinking, BMI, early adulthood

Hybrid moving block bootstrap for stochastic simulation of multi-site multi-season streamflows

The Hybrid approach introduced by the authors for at-site modeling of annual and periodic streamflows in earlier works is extended to simulate multi-site multi-season streamflows. It bears significance in integrated river basin planning studies. This hybrid model involves: (i) partial pre-whitening of standardized multi-season streamflows at each site using a parsimonious linear periodic model; (ii) contemporaneous resampling of the resulting residuals with an appropriate block size, using moving block bootstrap (non-parametric, NP) technique; and (iii) post-blackening the bootstrapped innovation series at each site, by adding the corresponding parametric model component for the site, to obtain generated streamflows at each of the sites. It gains significantly by effectively utilizing the merits of both parametric and NP models. It is able to reproduce various statistics, including the dependence relationships at both spatial and temporal levels without using any normalizing transformations and/or adjustment procedures. The potential of the hybrid model in reproducing a wide variety of statistics including the run characteristics, is demonstrated through an application for multi-site streamflow generation in the Upper Cauvery river basin, Southern India. (C) 2004 Elsevier B.V. All rights reserved.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Inference on Cointegration in Vector Autoregressive Models (summary section only)

In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis.

Optimal infinite-horizon feedback laws for a general class of constrained discrete-time systems: stability and moving-horizon approximations

Stability results are given for a class of feedback systems arising from the regulation of time-varying discrete-time systems using optimal infinite-horizon and moving-horizon feedback laws. The class is characterized by joint constraints on the state and the control, a general nonlinear cost function and nonlinear equations of motion possessing two special properties. It is shown that weak conditions on the cost function and the constraints are sufficient to guarantee uniform asymptotic stability of both the optimal infinite-horizon and movinghorizon feedback systems. The infinite-horizon cost associated with the moving-horizon feedback law approaches the optimal infinite-horizon cost as the moving horizon is extended.

Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Flow And Heat-Transfer Over An Upstream Moving Wall With A Magnetic-Field And A Parallel Free Stream

The flow and heat transfer over an upstream moving non-isothermal wall with a parallel free stream have been considered. The magnetic field has been applied in the free stream parallel to the wall and the effect of induced magnetic field has been included in the analysis. The boundary layer equations governing the steady incompressible electrically conducting fluid flow have been solved numerically using a shooting method. This problem is interesting because a solution exists only when the ratio of the wall velocity does not exceed a certain critical value and this critical value depends on the magnetic field and magnetic Prandtl number. Also dual solutions exist for a certain range of wall velocity.

Non-Newtonian boundary layers on a moving cylinder

The analysis of steady laminar forced convection boundary layer of power-law non-Newtonian fluids on a continuously moving cylinder with the surface maintained at a uniform temperature or uniform heat flux is presented. Of interest were the effects of power-law viscosity index, transverse curvature, generalized Prandtl number and streamwise coordinate on the local Nusselt number as well as on the velocity and temperature profiles. The two thermal boundary conditions yield quite similar results. Comparison of the calculated results with available series expansion solutions for a Newtonian fluid shows a very good performance of the present numerical procedure.