CROWD FLOW SEGMENTATION IN COMPRESSED DOMAIN USING CRF

Crowd flow segmentation is an important step in many video surveillance tasks. In this work, we propose an algorithm for segmenting flows in H.264 compressed videos in a completely unsupervised manner. Our algorithm works on motion vectors which can be obtained by partially decoding the compressed video without extracting any additional features. Our approach is based on modelling the motion vector field as a Conditional Random Field (CRF) and obtaining oriented motion segments by finding the optimal labelling which minimises the global energy of CRF. These oriented motion segments are recursively merged based on gradient across their boundaries to obtain the final flow segments. This work in compressed domain can be easily extended to pixel domain by substituting motion vectors with motion based features like optical flow. The proposed algorithm is experimentally evaluated on a standard crowd flow dataset and its superior performance in both accuracy and computational time are demonstrated through quantitative results.

Burst Detection in Turbulent Channel Flows Based on Large Eddy Simulation Databases

Reliable turbulent channel flow databases at several Reynolds numbers have been established by large eddy simulation (LES), with two of them validated by comparing with typical direct numerical simulation (DNS) results. Furthermore, the statistics, such as velocity profile, turbulent intensities and shear stress, were obtained as well as the temporal and spatial structure of turbulent bursts. Based on the LES databases available, the conditional sampling methods are used to detect the structures of burst events. A method to deterimine the grouping parameter from the probability distribution function (pdf) curve of the time separation between ejection events is proposed to avoid the errors in detected results. And thus, the dependence of average burst period on thresholds is considerably weakened. Meanwhile, the average burst-to-bed area ratios are detected. It is found that the Reynolds number exhibits little effect on the burst period and burst-to-bed area ratio.

Mapping Closure Approximation for Reactive Scalars in Random Flows

The Mapping Closure Approximation (MCA) approach is developed to describe the statistics of both conserved and reactive scalars in random flows. The statistics include Probability Density Function (PDF), Conditional Dissipation Rate (CDR) and Conditional Laplacian (CL). The statistical quantities are calculated using the MCA and compared with the results of the Direct Numerical Simulation (DNS). The results obtained from the MCA are in agreement with those from the DNS. It is shown that the MCA approach can predict the statistics of reactive scalars in random flows.

Optimal bounded control of first-passage failure of quasi-integrable Hamiltonian systems with wide-band random excitation

The optimal bounded control of quasi-integrable Hamiltonian systems with wide-band random excitation for minimizing their first-passage failure is investigated. First, a stochastic averaging method for multi-degrees-of-freedom (MDOF) strongly nonlinear quasi-integrable Hamiltonian systems with wide-band stationary random excitations using generalized harmonic functions is proposed. Then, the dynamical programming equations and their associated boundary and final time conditions for the control problems of maximizinig reliability and maximizing mean first-passage time are formulated based on the averaged It$\ddot{\rm o}$ equations by applying the dynamical programming principle. The optimal control law is derived from the dynamical programming equations and control constraints. The relationship between the dynamical programming equations and the backward Kolmogorov equation for the conditional reliability function and the Pontryagin equation for the conditional mean first-passage time of optimally controlled system is discussed. Finally, the conditional reliability function, the conditional probability density and mean of first-passage time of an optimally controlled system are obtained by solving the backward Kolmogorov equation and Pontryagin equation. The application of the proposed procedure and effectiveness of control strategy are illustrated with an example.

Reversible jump sampler for autoregressive time series

We use reversible jump Markov chain Monte Carlo (MCMC) methods to address the problem of model order uncertainty in autoregressive (AR) time series within a Bayesian framework. Efficient model jumping is achieved by proposing model space moves from the full conditional density for the AR parameters, which is obtained analytically. This is compared with an alternative method, for which the moves are cheaper to compute, in which proposals are made only for new parameters in each move. Results are presented for both synthetic and audio time series.

Bayesian separation and recovery of convolutively mixed autoregressive sources

In this paper we address the problem of the separation and recovery of convolutively mixed autoregressive processes in a Bayesian framework. Solving this problem requires the ability to solve integration and/or optimization problems of complicated posterior distributions. We thus propose efficient stochastic algorithms based on Markov chain Monte Carlo (MCMC) methods. We present three algorithms. The first one is a classical Gibbs sampler that generates samples from the posterior distribution. The two other algorithms are stochastic optimization algorithms that allow to optimize either the marginal distribution of the sources, or the marginal distribution of the parameters of the sources and mixing filters, conditional upon the observation. Simulations are presented.

First-passage failure and its feedback minimization of quasi-partially integrable Hamiltonian systems

An n degree-of-freedom Hamiltonian system with r (1¡r¡n) independent 0rst integrals which are in involution is calledpartially integrable Hamiltonian system. A partially integrable Hamiltonian system subject to light dampings andweak stochastic excitations is called quasi-partially integrable Hamiltonian system. In the present paper, the procedures for studying the 0rst-passage failure and its feedback minimization of quasi-partially integrable Hamiltonian systems are proposed. First, the stochastic averaging methodfor quasi-partially integrable Hamiltonian systems is brie4y reviewed. Then, basedon the averagedIt ˆo equations, a backwardKolmogorov equation governing the conditional reliability function, a set of generalized Pontryagin equations governing the conditional moments of 0rst-passage time and their boundary and initial conditions are established. After that, the dynamical programming equations and their associated boundary and 0nal time conditions for the control problems of maximization of reliability andof maximization of mean 0rst-passage time are formulated. The relationship between the backwardKolmogorov equation andthe dynamical programming equation for reliability maximization, andthat between the Pontryagin equation andthe dynamical programming equation for maximization of mean 0rst-passage time are discussed. Finally, an example is worked out to illustrate the proposed procedures and the e9ectiveness of feedback control in reducing 0rst-passage failure.

First-passage failure of quasi-integrable Hamiltonian systems

The first-passage failure of quasi-integrable Hamiltonian si-stems (multidegree-of-freedom integrable Hamiltonian systems subject to light dampings and weakly random excitations) is investigated. The motion equations of such a system are first reduced to a set of averaged Ito stochastic differential equations by using the stochastic averaging method for quasi-integrable Hamiltonian systems. Then, a backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function, and the conditional probability density and moments of first-passage time are obtained by solving these equations with suitable initial and boundary conditions. Two examples are given to illustrate the proposed procedure and the results from digital simulation are obtained to verify the effectiveness of the procedure.

First-passage time of Duffing oscillator under combined harmonic and white-noise excitations

The first-passage time of Duffing oscillator under combined harmonic and white-noise excitations is studied. The equation of motion of the system is first reduced to a set of averaged Ito stochastic differential equations by using the stochastic averaging method. Then, a backward Kolmogorov equation governing the conditional reliability function and a set of generalized Pontryagin equations governing the conditional moments of first-passage time are established. Finally, the conditional reliability function, and the conditional probability density and moments of first-passage time are obtained by solving the backward Kolmogorov equation and generalized Pontryagin equations with suitable initial and boundary conditions. Numerical results for two resonant cases with several sets of parameter values are obtained and the analytical results are verified by using those from digital simulation.

Optimal bounded control of first-passage failure of strongly non-linear oscillators under combined harmonic and white-noise excitations

A procedure for designing the optimal bounded control of strongly non-linear oscillators under combined harmonic and white-noise excitations for minimizing their first-passage failure is proposed. First, a stochastic averaging method for strongly non-linear oscillators under combined harmonic and white-noise excitations using generalized harmonic functions is introduced. Then, the dynamical programming equations and their boundary and final time conditions for the control problems of maximizing reliability and of maximizing mean first-passage time are formulated from the averaged Ito equations by using the dynamical programming principle. The optimal control law is derived from the dynamical programming equations and control constraint. Finally, the conditional reliability function, the conditional probability density and mean of the first-passage time of the optimally controlled system are obtained from solving the backward Kolmogorov equation and Pontryagin equation. An example is given to illustrate the proposed procedure and the results obtained are verified by using those from digital simulation. (C) 2003 Elsevier Ltd. All rights reserved.

Study of the shock motion in a hypersonic shock system turbulent boundary-layer interaction

Wall pressure fluctuations and surface heat transfer signals have been measured in the hypersonic turbulent boundary layer over a number of compression-corner models. The distributions of the separation shock oscillation frequencies and periods have been calculated using a conditional sampling algorithm. In all cases the oscillation frequency distributions are of broad band, but the most probable frequencies are low. The VITA method is used for deducing large scale disturbances at the wall in the incoming boundary layer and the separated flow region. The results at present showed the existence of coherent structures in the two regions. The zero-cross frequencies of the large scale structures in the two regions are of the same order as that of the separation shock oscillation. The average amplitude of the large scale structures in the separated region is much higher than that in the incoming boundary layer. The length scale of the separation shock motion region is found to increase with the disturbance strength. The results show that the shock oscillation is of inherent nature in the shock wave/turbulent boundary layer interaction with separation. The shock oscillation is considered to be the consequence of the coherent structures in the separated region.

The Relationship between Risk and Expected Return in Europe

Revised: 2006-07

A Non-Parametric Dimension Test of the Term Structure

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.