A Stochastic Approach for Finding of Semantically Related Words

2000 Mathematics Subject Classification: 62P99, 68T50

An Adaptation of the Hoshen-Kopelman Cluster Counting Algorithm for Honeycomb Networks

We develop a simplified implementation of the Hoshen-Kopelman cluster counting algorithm adapted for honeycomb networks. In our implementation of the algorithm we assume that all nodes in the network are occupied and links between nodes can be intact or broken. The algorithm counts how many clusters there are in the network and determines which nodes belong to each cluster. The network information is stored into two sets of data. The first one is related to the connectivity of the nodes and the second one to the state of links. The algorithm finds all clusters in only one scan across the network and thereafter cluster relabeling operates on a vector whose size is much smaller than the size of the network. Counting the number of clusters of each size, the algorithm determines the cluster size probability distribution from which the mean cluster size parameter can be estimated. Although our implementation of the Hoshen-Kopelman algorithm works only for networks with a honeycomb (hexagonal) structure, it can be easily changed to be applied for networks with arbitrary connectivity between the nodes (triangular, square, etc.). The proposed adaptation of the Hoshen-Kopelman cluster counting algorithm is applied to studying the thermal degradation of a graphene-like honeycomb membrane by means of Molecular Dynamics simulation with a Langevin thermostat. ACM Computing Classification System (1998): F.2.2, I.5.3.

Efficient computation of decoherent quantum walks through eigenvalue perturbation

A number of recent studies have investigated the introduction of decoherence in quantum walks and the resulting transition to classical random walks. Interestingly,it has been shown that algorithmic properties of quantum walks with decoherence such as the spreading rate are sometimes better than their purely quantum counterparts. Not only quantum walks with decoherence provide a generalization of quantum walks that naturally encompasses both the quantum and classical case, but they also give rise to new and different probability distribution. The application of quantum walks with decoherence to large graphs is limited by the necessity of evolving state vector whose sizes quadratic in the number of nodes of the graph, as opposed to the linear state vector of the purely quantum (or classical) case. In this technical report,we show how to use perturbation theory to reduce the computational complexity of evolving a continuous-time quantum walk subject to decoherence. More specifically, given a graph over n nodes, we show how to approximate the eigendecomposition of the n2×n2 Lindblad super-operator from the eigendecomposition of the n×n graph Hamiltonian.

Hybrid sampling on mutual information entropy-based clustering ensembles for optimizations

In this paper, we focus on the design of bivariate EDAs for discrete optimization problems and propose a new approach named HSMIEC. While the current EDAs require much time in the statistical learning process as the relationships among the variables are too complicated, we employ the Selfish gene theory (SG) in this approach, as well as a Mutual Information and Entropy based Cluster (MIEC) model is also set to optimize the probability distribution of the virtual population. This model uses a hybrid sampling method by considering both the clustering accuracy and clustering diversity and an incremental learning and resample scheme is also set to optimize the parameters of the correlations of the variables. Compared with several benchmark problems, our experimental results demonstrate that HSMIEC often performs better than some other EDAs, such as BMDA, COMIT, MIMIC and ECGA. © 2009 Elsevier B.V. All rights reserved.

A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

Experimental and Analytical Methodologies for Predicting Peak Loads on Building Envelopes and Roofing Systems

The performance of building envelopes and roofing systems significantly depends on accurate knowledge of wind loads and the response of envelope components under realistic wind conditions. Wind tunnel testing is a well-established practice to determine wind loads on structures. For small structures much larger model scales are needed than for large structures, to maintain modeling accuracy and minimize Reynolds number effects. In these circumstances the ability to obtain a large enough turbulence integral scale is usually compromised by the limited dimensions of the wind tunnel meaning that it is not possible to simulate the low frequency end of the turbulence spectrum. Such flows are called flows with Partial Turbulence Simulation. In this dissertation, the test procedure and scaling requirements for tests in partial turbulence simulation are discussed. A theoretical method is proposed for including the effects of low-frequency turbulences in the post-test analysis. In this theory the turbulence spectrum is divided into two distinct statistical processes, one at high frequencies which can be simulated in the wind tunnel, and one at low frequencies which can be treated in a quasi-steady manner. The joint probability of load resulting from the two processes is derived from which full-scale equivalent peak pressure coefficients can be obtained. The efficacy of the method is proved by comparing predicted data derived from tests on large-scale models of the Silsoe Cube and Texas-Tech University buildings in Wall of Wind facility at Florida International University with the available full-scale data. For multi-layer building envelopes such as rain-screen walls, roof pavers, and vented energy efficient walls not only peak wind loads but also their spatial gradients are important. Wind permeable roof claddings like roof pavers are not well dealt with in many existing building codes and standards. Large-scale experiments were carried out to investigate the wind loading on concrete pavers including wind blow-off tests and pressure measurements. Simplified guidelines were developed for design of loose-laid roof pavers against wind uplift. The guidelines are formatted so that use can be made of the existing information in codes and standards such as ASCE 7-10 on pressure coefficients on components and cladding.

Estudo da transição de fase da percolação através da entropia da informação

Various physical systems have dynamics that can be modeled by percolation processes. Percolation is used to study issues ranging from fluid diffusion through disordered media to fragmentation of a computer network caused by hacker attacks. A common feature of all of these systems is the presence of two non-coexistent regimes associated to certain properties of the system. For example: the disordered media can allow or not allow the flow of the fluid depending on its porosity. The change from one regime to another characterizes the percolation phase transition. The standard way of analyzing this transition uses the order parameter, a variable related to some characteristic of the system that exhibits zero value in one of the regimes and a nonzero value in the other. The proposal introduced in this thesis is that this phase transition can be investigated without the explicit use of the order parameter, but rather through the Shannon entropy. This entropy is a measure of the uncertainty degree in the information content of a probability distribution. The proposal is evaluated in the context of cluster formation in random graphs, and we apply the method to both classical percolation (Erd¨os- R´enyi) and explosive percolation. It is based in the computation of the entropy contained in the cluster size probability distribution and the results show that the transition critical point relates to the derivatives of the entropy. Furthermore, the difference between the smooth and abrupt aspects of the classical and explosive percolation transitions, respectively, is reinforced by the observation that the entropy has a maximum value in the classical transition critical point, while that correspondence does not occurs during the explosive percolation.

Estudo da transição de fase da percolação através da entropia da informação

Various physical systems have dynamics that can be modeled by percolation processes. Percolation is used to study issues ranging from fluid diffusion through disordered media to fragmentation of a computer network caused by hacker attacks. A common feature of all of these systems is the presence of two non-coexistent regimes associated to certain properties of the system. For example: the disordered media can allow or not allow the flow of the fluid depending on its porosity. The change from one regime to another characterizes the percolation phase transition. The standard way of analyzing this transition uses the order parameter, a variable related to some characteristic of the system that exhibits zero value in one of the regimes and a nonzero value in the other. The proposal introduced in this thesis is that this phase transition can be investigated without the explicit use of the order parameter, but rather through the Shannon entropy. This entropy is a measure of the uncertainty degree in the information content of a probability distribution. The proposal is evaluated in the context of cluster formation in random graphs, and we apply the method to both classical percolation (Erd¨os- R´enyi) and explosive percolation. It is based in the computation of the entropy contained in the cluster size probability distribution and the results show that the transition critical point relates to the derivatives of the entropy. Furthermore, the difference between the smooth and abrupt aspects of the classical and explosive percolation transitions, respectively, is reinforced by the observation that the entropy has a maximum value in the classical transition critical point, while that correspondence does not occurs during the explosive percolation.

A bidding strategy for minimizing the imbalances costs for renewable generators in Spanish power markets

The aim of this paper is to suggest a simple methodology to be used by renewable power generators to bid in Spanish markets in order to minimize the cost of their imbalances. As it is known, the optimal bid depends on the probability distribution function of the energy to produce, of the probability distribution function of the future system imbalance and of its expected cost. We assume simple methods for estimating any of these parameters and, using actual data of 2014, we test the potential economic benefit for a wind generator from using our optimal bid instead of just the expected power generation. We find evidence that Spanish wind generators savings would be from 7% to 26%.

On Provable Algorithms for Determination of Continuous Protein Interdomain Motions from Residual Dipolar Couplings

Dynamics of biomolecules over various spatial and time scales are essential for biological functions such as molecular recognition, catalysis and signaling. However, reconstruction of biomolecular dynamics from experimental observables requires the determination of a conformational probability distribution. Unfortunately, these distributions cannot be fully constrained by the limited information from experiments, making the problem an ill-posed one in the terminology of Hadamard. The ill-posed nature of the problem comes from the fact that it has no unique solution. Multiple or even an infinite number of solutions may exist. To avoid the ill-posed nature, the problem needs to be regularized by making assumptions, which inevitably introduce biases into the result.

Here, I present two continuous probability density function approaches to solve an important inverse problem called the RDC trigonometric moment problem. By focusing on interdomain orientations we reduced the problem to determination of a distribution on the 3D rotational space from residual dipolar couplings (RDCs). We derived an analytical equation that relates alignment tensors of adjacent domains, which serves as the foundation of the two methods. In the first approach, the ill-posed nature of the problem was avoided by introducing a continuous distribution model, which enjoys a smoothness assumption. To find the optimal solution for the distribution, we also designed an efficient branch-and-bound algorithm that exploits the mathematical structure of the analytical solutions. The algorithm is guaranteed to find the distribution that best satisfies the analytical relationship. We observed good performance of the method when tested under various levels of experimental noise and when applied to two protein systems. The second approach avoids the use of any model by employing maximum entropy principles. This 'model-free' approach delivers the least biased result which presents our state of knowledge. In this approach, the solution is an exponential function of Lagrange multipliers. To determine the multipliers, a convex objective function is constructed. Consequently, the maximum entropy solution can be found easily by gradient descent methods. Both algorithms can be applied to biomolecular RDC data in general, including data from RNA and DNA molecules.

Numerical detection of the Gardner transition in a mean-field glass former.

Recent theoretical advances predict the existence, deep into the glass phase, of a novel phase transition, the so-called Gardner transition. This transition is associated with the emergence of a complex free energy landscape composed of many marginally stable sub-basins within a glass metabasin. In this study, we explore several methods to detect numerically the Gardner transition in a simple structural glass former, the infinite-range Mari-Kurchan model. The transition point is robustly located from three independent approaches: (i) the divergence of the characteristic relaxation time, (ii) the divergence of the caging susceptibility, and (iii) the abnormal tail in the probability distribution function of cage order parameters. We show that the numerical results are fully consistent with the theoretical expectation. The methods we propose may also be generalized to more realistic numerical models as well as to experimental systems.

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Work Fluctuations in Bosonic Josephson Junctions

We calculate the first two moments and full probability distribution of the work performed on a system of bosonic particles in a two-mode Bose-Hubbard Hamiltonian when the self-interaction term is varied instantaneously or with a finite-time ramp. In the instantaneous case, we show how the irreversible work scales differently depending on whether the system is driven to the Josephson or Fock regime of the bosonic Josephson junction. In the finite-time case, we use optimal control techniques to substantially decrease the irreversible work to negligible values. Our analysis can be implemented in present-day experiments with ultracold atoms and we show how to relate the work statistics to that of the population imbalance of the two modes.

Stochastic Modeling of Reversible Biochemical Reaction-Diffusion Systems and High-Resolution Shock-Capturing Methods for Fluid Interfaces

Thesis (Ph.D.)--University of Washington, 2016-08