A fast dual algorithm for kernel logistic regression

This paper gives a new iterative algorithm for kernel logistic regression. It is based on the solution of a dual problem using ideas similar to those of the Sequential Minimal Optimization algorithm for Support Vector Machines. Asymptotic convergence of the algorithm is proved. Computational experiments show that the algorithm is robust and fast. The algorithmic ideas can also be used to give a fast dual algorithm for solving the optimization problem arising in the inner loop of Gaussian Process classifiers.

Conformal Field Theory Methods for Variants of Schramm-Loewner Evolutions

This thesis consists of an introduction, four research articles and an appendix. The thesis studies relations between two different approaches to continuum limit of models of two dimensional statistical mechanics at criticality. The approach of conformal field theory (CFT) could be thought of as the algebraic classification of some basic objects in these models. It has been succesfully used by physicists since 1980's. The other approach, Schramm-Loewner evolutions (SLEs), is a recently introduced set of mathematical methods to study random curves or interfaces occurring in the continuum limit of the models. The first and second included articles argue on basis of statistical mechanics what would be a plausible relation between SLEs and conformal field theory. The first article studies multiple SLEs, several random curves simultaneously in a domain. The proposed definition is compatible with a natural commutation requirement suggested by Dubédat. The curves of multiple SLE may form different topological configurations, ``pure geometries''. We conjecture a relation between the topological configurations and CFT concepts of conformal blocks and operator product expansions. Example applications of multiple SLEs include crossing probabilities for percolation and Ising model. The second article studies SLE variants that represent models with boundary conditions implemented by primary fields. The most well known of these, SLE(kappa, rho), is shown to be simple in terms of the Coulomb gas formalism of CFT. In the third article the space of local martingales for variants of SLE is shown to carry a representation of Virasoro algebra. Finding this structure is guided by the relation of SLEs and CFTs in general, but the result is established in a straightforward fashion. This article, too, emphasizes multiple SLEs and proposes a possible way of treating pure geometries in terms of Coulomb gas. The fourth article states results of applications of the Virasoro structure to the open questions of SLE reversibility and duality. Proofs of the stated results are provided in the appendix. The objective is an indirect computation of certain polynomial expected values. Provided that these expected values exist, in generic cases they are shown to possess the desired properties, thus giving support for both reversibility and duality.

Stability of scheduled multi-access communication over quasi-static flat fading channels with random coding and independent decoding

The stability of scheduled multiaccess communication with random coding and independent decoding of messages is investigated. The number of messages that may be scheduled for simultaneous transmission is limited to a given maximum value, and the channels from transmitters to receiver are quasistatic, flat, and have independent fades. Requests for message transmissions are assumed to arrive according to an i.i.d. arrival process. Then, we show the following: (1) in the limit of large message alphabet size, the stability region has an interference limited information-theoretic capacity interpretation, (2) state-independent scheduling policies achieve this asymptotic stability region, and (3) in the asymptotic limit corresponding to immediate access, the stability region for non-idling scheduling policies is shown to be identical irrespective of received signal powers.

Approximate solutions for the structure of shock waves

Approximate solutions of the B-G-K model equation are obtained for the structure of a plane shock, using various moment methods and a least squares technique. Comparison with available exact solution shows that while none of the methods is uniformly satisfactory, some of them can provide accurate values for the density slope shock thickness delta n . A detailed error analysis provides explanations for this result. An asymptotic analysis of delta n for largeMach numbers shows that it scales with theMaxwell mean free path on the hot side of the shock, and that their ratio is relatively insensitive to the viscosity law for the gas.

Stability of systems with power-law non-linearities

It is shown that a sufficient condition for the asymptotic stability-in-the-large of an autonomous system containing a linear part with transfer function G(jω) and a non-linearity belonging to a class of power-law non-linearities with slope restriction [0, K] in cascade in a negative feedback loop is ReZ(jω)[G(jω) + 1 K] ≥ 0 for all ω where the multiplier is given by, Z(jω) = 1 + αjω + Y(jω) - Y(-jω) with a real, y(t) = 0 for t < 0 and ∫ 0 ∞ |y(t)|dt < 1 2c2, c2 being a constant associated with the class of non-linearity. Any allowable multiplier can be converted to the above form and this form leads to lesser restrictions on the parameters in many cases. Criteria for the case of odd monotonic non-linearities and of linear gains are obtained as limiting cases of the criterion developed. A striking feature of the present result is that in the linear case it reduces to the necessary and sufficient conditions corresponding to the Nyquist criterion. An inequality of the type |R(T) - R(- T)| ≤ 2c2R(0) where R(T) is the input-output cross-correlation function of the non-linearity, is used in deriving the results.

Application of ultraspherical polynomials to non-linear autonomous systems

This paper deals with the approximate solutions of non-linear autonomous systems by the application of ultraspherical polynomials. From the differential equations for amplitude and phase, set up by the method of variation of parameters, the approximate solutions are obtained by a generalized averaging technique based on the ultraspherical polynomial expansions. The method is illustrated with examples and the results are compared with the digital and analog computer solutions. There is a close agreement between the analytical and exact results.

Equivalent constitutive model-based design of wave-absorbing material system and controller

A design methodology for wave-absorbing active material system is reported. The design enforces equivalence between an assumed material model having wave-absorbing behavior and a set of target feedback controllers for an array of microelectro-mechanical transducers which are integral part of the active material system. The proposed methodology is applicable to problems involving the control of acoustic waves in passive-active material system with complex constitutive behavior at different length-scales. A stress relaxation type one-dimensional constitutive model involving viscous damping mechanism is considered, which shows asymmetric wave dispersion characteristics about the half-line. The acoustic power flow and asymptotic stability of such material system are studied. A single sensor non-collocated linear feedback control system in a one-dimensional finite waveguide, which is a representative volume element in an active material system, is considered. Equivalence between the exact dynamic equilibrium of these two systems is imposed. It results in the solution space of the design variables, namely the equivalent damping coefficient, the wavelength(s) to be controlled and the location of the sensor. The characteristics of the controller transfer functions and their pole-placement problem are studied. (c) 2005 Elsevier Ltd. All rights reserved.

An approximate analysis of non-linear non-conservative systems subjected to step function excitation

This paper deals with the approximate analysis of the step response of non-linear nonconservative systems by the application of ultraspherical polynomials. From the differential equations for amplitude and phase, set up by the method of variation of parameters, the approximate solutions are obtained by a generalized averaging technique based on ultraspherical polynomial expansions. The Krylov-Bogoliubov results are given by a particular set of these polynomials. The method has been applied to study the step response of a cubic spring mass system in presence of viscous, material, quadratic, and mixed types of damping. The approximate results are compared with the digital and analogue computer solutions and a close agreement has been found between the analytical and the exact results.

Asymtotic solution of the Frieman and Book equation for the pair-correlation function

Using Thomé's procedure, the asymptotic solutions of the Frieman and Book equation for the two-particle correlation in a plasma have been obtained in a complete form. The solution is interpreted in terms of the Lorentz distance. The exact expressions for the internal energy and pressure are evaluated and they are found to be a generalization of the result obtained earlier by others.

Topics in Spatial Econometrics - With Applications to House Prices

Topics in Spatial Econometrics — With Applications to House Prices Spatial effects in data occur when geographical closeness of observations influences the relation between the observations. When two points on a map are close to each other, the observed values on a variable at those points tend to be similar. The further away the two points are from each other, the less similar the observed values tend to be. Recent technical developments, geographical information systems (GIS) and global positioning systems (GPS) have brought about a renewed interest in spatial matters. For instance, it is possible to observe the exact location of an observation and combine it with other characteristics. Spatial econometrics integrates spatial aspects into econometric models and analysis. The thesis concentrates mainly on methodological issues, but the findings are illustrated by empirical studies on house price data. The thesis consists of an introductory chapter and four essays. The introductory chapter presents an overview of topics and problems in spatial econometrics. It discusses spatial effects, spatial weights matrices, especially k-nearest neighbours weights matrices, and various spatial econometric models, as well as estimation methods and inference. Further, the problem of omitted variables, a few computational and empirical aspects, the bootstrap procedure and the spatial J-test are presented. In addition, a discussion on hedonic house price models is included. In the first essay a comparison is made between spatial econometrics and time series analysis. By restricting the attention to unilateral spatial autoregressive processes, it is shown that a unilateral spatial autoregression, which enjoys similar properties as an autoregression with time series, can be defined. By an empirical study on house price data the second essay shows that it is possible to form coordinate-based, spatially autoregressive variables, which are at least to some extent able to replace the spatial structure in a spatial econometric model. In the third essay a strategy for specifying a k-nearest neighbours weights matrix by applying the spatial J-test is suggested, studied and demonstrated. In the final fourth essay the properties of the asymptotic spatial J-test are further examined. A simulation study shows that the spatial J-test can be used for distinguishing between general spatial models with different k-nearest neighbours weights matrices. A bootstrap spatial J-test is suggested to correct the size of the asymptotic test in small samples.

Denoising signals corrupted by chaotic noise

We consider the problem of signal estimation where the observed time series is modeled as y(i) = x(i) + s(i) with {x(i)} being an orbit of a chaotic self-map on a compact subset of R-d and {s(i)} a sequence in R-d converging to zero. This model is motivated by experimental results in the literature where the ocean ambient noise and the ocean clutter are found to be chaotic. Making use of observations up to time n, we propose an estimate of s(i) for i < n and show that it approaches s(i) as n -> infinity for typical asymptotic behaviors of orbits. (C) 2010 Elsevier B.V. All rights reserved.

Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series

The likelihood ratio test of cointegration rank is the most widely used test for cointegration. Many studies have shown that its finite sample distribution is not well approximated by the limiting distribution. The article introduces and evaluates by Monte Carlo simulation experiments bootstrap and fast double bootstrap (FDB) algorithms for the likelihood ratio test. It finds that the performance of the bootstrap test is very good. The more sophisticated FDB produces a further improvement in cases where the performance of the asymptotic test is very unsatisfactory and the ordinary bootstrap does not work as well as it might. Furthermore, the Monte Carlo simulations provide a number of guidelines on when the bootstrap and FDB tests can be expected to work well. Finally, the tests are applied to US interest rates and international stock prices series. It is found that the asymptotic test tends to overestimate the cointegration rank, while the bootstrap and FDB tests choose the correct cointegration rank.

Stability of scheduled message communication over degraded broadcast channels

We develop a multi-class discrete-time processor-sharing queueing model for scheduled message communication over a discrete memoryless degraded broadcast channel. The framework we consider here models both the random message arrivals and the subsequent reliable communication by suitably combining techniques from queueing theory and information theory. Requests for message transmissions are assumed to arrive according to i.i.d. arrival processes. Then, (i) we derive an outer bound to the stability region of message arrival rate vectors achievable by the class of stationary scheduling policies, (ii) we show for any message arrival rate vector that satisfies the outer bound, that there exists a stationary "state-independent" policy that results in a stable system for the corresponding message arrival processes, and (iii) under an asymptotic regime, we show that the stability region of information arrival rate vectors is the information-theoretic capacity region of a degraded broadcast channel.

SPSA algorithms with measurement reuse

Four algorithms, all variants of Simultaneous Perturbation Stochastic Approximation (SPSA), are proposed. The original one-measurement SPSA uses an estimate of the gradient of objective function L containing an additional bias term not seen in two-measurement SPSA. As a result, the asymptotic covariance matrix of the iterate convergence process has a bias term. We propose a one-measurement algorithm that eliminates this bias, and has asymptotic convergence properties making for easier comparison with the two-measurement SPSA. The algorithm, under certain conditions, outperforms both forms of SPSA with the only overhead being the storage of a single measurement. We also propose a similar algorithm that uses perturbations obtained from normalized Hadamard matrices. The convergence w.p. 1 of both algorithms is established. We extend measurement reuse to design two second-order SPSA algorithms and sketch the convergence analysis. Finally, we present simulation results on an illustrative minimization problem.

The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings.