Model specification and forecasting foreign exchange rates with vector autoregressions

This study examines the forecasting accuracy of alternative vector autoregressive models each in a seven-variable system that comprises in turn of daily, weekly and monthly foreign exchange (FX) spot rates. The vector autoregressions (VARs) are in non-stationary, stationary and error-correction forms and are estimated using OLS. The imposition of Bayesian priors in the OLS estimations also allowed us to obtain another set of results. We find that there is some tendency for the Bayesian estimation method to generate superior forecast measures relatively to the OLS method. This result holds whether or not the data sets contain outliers. Also, the best forecasts under the non-stationary specification outperformed those of the stationary and error-correction specifications, particularly at long forecast horizons, while the best forecasts under the stationary and error-correction specifications are generally similar. The findings for the OLS forecasts are consistent with recent simulation results. The predictive ability of the VARs is very weak.

A mathematical model for dynamic efficiency using data envelopment analysis

In this paper we propose a data envelopment analysis (DEA) based method for assessing the comparative efficiencies of units operating production processes where input-output levels are inter-temporally dependent. One cause of inter-temporal dependence between input and output levels is capital stock which influences output levels over many production periods. Such units cannot be assessed by traditional or 'static' DEA which assumes input-output correspondences are contemporaneous in the sense that the output levels observed in a time period are the product solely of the input levels observed during that same period. The method developed in the paper overcomes the problem of inter-temporal input-output dependence by using input-output 'paths' mapped out by operating units over time as the basis of assessing them. As an application we compare the results of the dynamic and static model for a set of UK universities. The paper is suggested that dynamic model capture the efficiency better than static model. © 2003 Elsevier Inc. All rights reserved.

Dynamics and topographic organization of recursive self-organizing maps

Recently there has been an outburst of interest in extending topographic maps of vectorial data to more general data structures, such as sequences or trees. However, there is no general consensus as to how best to process sequences using topographicmaps, and this topic remains an active focus of neurocomputational research. The representational capabilities and internal representations of the models are not well understood. Here, we rigorously analyze a generalization of the self-organizingmap (SOM) for processing sequential data, recursive SOM (RecSOM) (Voegtlin, 2002), as a nonautonomous dynamical system consisting of a set of fixed input maps. We argue that contractive fixed-input maps are likely to produce Markovian organizations of receptive fields on the RecSOM map. We derive bounds on parameter β (weighting the importance of importing past information when processing sequences) under which contractiveness of the fixed-input maps is guaranteed. Some generalizations of SOM contain a dynamic module responsible for processing temporal contexts as an integral part of the model. We show that Markovian topographic maps of sequential data can be produced using a simple fixed (nonadaptable) dynamic module externally feeding a standard topographic model designed to process static vectorial data of fixed dimensionality (e.g., SOM). However, by allowing trainable feedback connections, one can obtain Markovian maps with superior memory depth and topography preservation. We elaborate on the importance of non-Markovian organizations in topographic maps of sequential data. © 2006 Massachusetts Institute of Technology.

The design of robust protocols for distributed real-time systems

Modern distributed control systems comprise of a set of processors which are interconnected using a suitable communication network. For use in real-time control environments, such systems must be deterministic and generate specified responses within critical timing constraints. Also, they should be sufficiently robust to survive predictable events such as communication or processor faults. This thesis considers the problem of coordinating and synchronizing a distributed real-time control system under normal and abnormal conditions. Distributed control systems need to periodically coordinate the actions of several autonomous sites. Often the type of coordination required is the all or nothing property of an atomic action. Atomic commit protocols have been used to achieve this atomicity in distributed database systems which are not subject to deadlines. This thesis addresses the problem of applying time constraints to atomic commit protocols so that decisions can be made within a deadline. A modified protocol is proposed which is suitable for real-time applications. The thesis also addresses the problem of ensuring that atomicity is provided even if processor or communication failures occur. Previous work has considered the design of atomic commit protocols for use in non time critical distributed database systems. However, in a distributed real-time control system a fault must not allow stringent timing constraints to be violated. This thesis proposes commit protocols using synchronous communications which can be made resilient to a single processor or communication failure and still satisfy deadlines. Previous formal models used to design commit protocols have had adequate state coverability but have omitted timing properties. They also assumed that sites communicated asynchronously and omitted the communications from the model. Timed Petri nets are used in this thesis to specify and design the proposed protocols which are analysed for consistency and timeliness. Also the communication system is mcxielled within the Petri net specifications so that communication failures can be included in the analysis. Analysis of the Timed Petri net and the associated reachability tree is used to show the proposed protocols always terminate consistently and satisfy timing constraints. Finally the applications of this work are described. Two different types of applications are considered, real-time databases and real-time control systems. It is shown that it may be advantageous to use synchronous communications in distributed database systems, especially if predictable response times are required. Emphasis is given to the application of the developed commit protocols to real-time control systems. Using the same analysis techniques as those used for the design of the protocols it can be shown that the overall system performs as expected both functionally and temporally.

Nonlinear dynamics of a periodically driven Duffing resonator coupled to a Van der Pol oscillator

We explore the dynamics of a periodically driven Duffing resonator coupled elastically to a van der Pol oscillator in the case of 1?:?1 internal resonance in the cases of weak and strong coupling. Whilst strong coupling leads to dominating synchronization, the weak coupling case leads to a multitude of complex behaviours. A two-time scales method is used to obtain the frequency-amplitude modulation. The internal resonance leads to an antiresonance response of the Duffing resonator and a stagnant response (a small shoulder in the curve) of the van der Pol oscillator. The stability of the dynamic motions is also analyzed. The coupled system shows a hysteretic response pattern and symmetry-breaking facets. Chaotic behaviour of the coupled system is also observed and the dependence of the system dynamics on the parameters are also studied using bifurcation analysis.

Dynamic simulation of chemical processes

This thesis describes the design and implementation of an interactive dynamic simulator called DASPRII. The starting point of this research has been an existing dynamic simulation package, DASP. DASPII is written in standard FORTRAN 77 and is implemented on universally available IBM-PC or compatible machines. It provides a means for the analysis and design of chemical processes. Industrial interest in dynamic simulation has increased due to the recent increase in concern over plant operability, resiliency and safety. DASPII is an equation oriented simulation package which allows solution of dynamic and steady state equations. The steady state can be used to initialise the dynamic simulation. A robust non linear algebraic equation solver has been implemented for steady state solution. This has increased the general robustness of DASPII, compared to DASP. A graphical front end is used to generate the process flowsheet topology from a user constructed diagram of the process. A conversational interface is used to interrogate the user with the aid of a database, to complete the topological information. An original modelling strategy implemented in DASPII provides a simple mechanism for parameter switching which creates a more flexible simulation environment. The problem description generated is by a further conversational procedure using a data-base. The model format used allows the same model equations to be used for dynamic and steady state solution. All the useful features of DASPI are retained in DASPII. The program has been demonstrated and verified using a number of example problems, Significant improvements using the new NLAE solver have been shown. Topics requiring further research are described. The benefits of variable switching in models has been demonstrated with a literature problem.

The design of fault tolerant software for loosely coupled distributed systems

Requirements for systems to continue to operate satisfactorily in the presence of faults has led to the development of techniques for the construction of fault tolerant software. This thesis addresses the problem of error detection and recovery in distributed systems which consist of a set of communicating sequential processes. A method is presented for the `a priori' design of conversations for this class of distributed system. Petri nets are used to represent the state and to solve state reachability problems for concurrent systems. The dynamic behaviour of the system can be characterised by a state-change table derived from the state reachability tree. Systematic conversation generation is possible by defining a closed boundary on any branch of the state-change table. By relating the state-change table to process attributes it ensures all necessary processes are included in the conversation. The method also ensures properly nested conversations. An implementation of the conversation scheme using the concurrent language occam is proposed. The structure of the conversation is defined using the special features of occam. The proposed implementation gives a structure which is independent of the application and is independent of the number of processes involved. Finally, the integrity of inter-process communications is investigated. The basic communication primitives used in message passing systems are seen to have deficiencies when applied to systems with safety implications. Using a Petri net model a boundary for a time-out mechanism is proposed which will increase the integrity of a system which involves inter-process communications.

Dynamic simulation of chemical plant

This thesis describes the design and implementation of a new dynamic simulator called DASP. It is a computer program package written in standard Fortran 77 for the dynamic analysis and simulation of chemical plants. Its main uses include the investigation of a plant's response to disturbances, the determination of the optimal ranges and sensitivities of controller settings and the simulation of the startup and shutdown of chemical plants. The design and structure of the program and a number of features incorporated into it combine to make DASP an effective tool for dynamic simulation. It is an equation-oriented dynamic simulator but the model equations describing the user's problem are generated from in-built model equation library. A combination of the structuring of the model subroutines, the concept of a unit module, and the use of the connection matrix of the problem given by the user have been exploited to achieve this objective. The Executive program has a structure similar to that of a CSSL-type simulator. DASP solves a system of differential equations coupled to nonlinear algebraic equations using an advanced mixed equation solver. The strategy used in formulating the model equations makes it possible to obtain the steady state solution of the problem using the same model equations. DASP can handle state and time events in an efficient way and this includes the modification of the flowsheet. DASP is highly portable and this has been demonstrated by running it on a number of computers with only trivial modifications. The program runs on a microcomputer with 640 kByte of memory. It is a semi-interactive program, with the bulk of all input data given in pre-prepared data files with communication with the user is via an interactive terminal. Using the features in-built in the package, the user can view or modify the values of any input data, variables and parameters in the model, and modify the structure of the flowsheet of the problem during a simulation session. The program has been demonstrated and verified using a number of example problems.

The relative performance of scalable load balancing algorithms in loosely-coupled distributed systems. Available in 2 volumes.

The computer systems of today are characterised by data and program control that are distributed functionally and geographically across a network. A major issue of concern in this environment is the operating system activity of resource management for different processors in the network. To ensure equity in load distribution and improved system performance, load balancing is often undertaken. The research conducted in this field so far, has been primarily concerned with a small set of algorithms operating on tightly-coupled distributed systems. More recent studies have investigated the performance of such algorithms in loosely-coupled architectures but using a small set of processors. This thesis describes a simulation model developed to study the behaviour and general performance characteristics of a range of dynamic load balancing algorithms. Further, the scalability of these algorithms are discussed and a range of regionalised load balancing algorithms developed. In particular, we examine the impact of network diameter and delay on the performance of such algorithms across a range of system workloads. The results produced seem to suggest that the performance of simple dynamic policies are scalable but lack the load stability of more complex global average algorithms.

Management information:design of a system for change identification

This thesis deals with the problem of Information Systems design for Corporate Management. It shows that the results of applying current approaches to Management Information Systems and Corporate Modelling fully justify a fresh look to the problem. The thesis develops an approach to design based on Cybernetic principles and theories. It looks at Management as an informational process and discusses the relevance of regulation theory to its practice. The work proceeds around the concept of change and its effects on the organization's stability and survival. The idea of looking at organizations as viable systems is discussed and a design to enhance survival capacity is developed. It takes Ashby's theory of adaptation and developments on ultra-stability as a theoretical framework and considering conditions for learning and foresight deduces that a design should include three basic components: A dynamic model of the organization- environment relationships; a method to spot significant changes in the value of the essential variables and in a certain set of parameters; and a Controller able to conceive and change the other two elements and to make choices among alternative policies. Further considerations of the conditions for rapid adaptation in organisms composed of many parts, and the law of Requisite Variety determine that successful adaptive behaviour requires certain functional organization. Beer's model of viable organizations is put in relation to Ashby's theory of adaptation and regulation. The use of the Ultra-stable system as abstract unit of analysis permits developing a rigorous taxonomy of change; it starts distinguishing between change with in behaviour and change of behaviour to complete the classification with organizational change. It relates these changes to the logical categories of learning connecting the topic of Information System design with that of organizational learning.

Two-wave mixing in BTO in the presence of detuning

The gain of a weak signal beam is measured in the usual two-wave mixing configuration in a photorefractive BTO crystal by varying a set of parameters, namely the applied electric field, the detuning, the beam ratio and the input intensity of the pump beam. All the experimental results are shown to be in good agreement with a theory based on that of Kukhtarev et al.

Dynamic QoS management and optimisation in service-based systems

Service-based systems that are dynamically composed at run time to provide complex, adaptive functionality are currently one of the main development paradigms in software engineering. However, the Quality of Service (QoS) delivered by these systems remains an important concern, and needs to be managed in an equally adaptive and predictable way. To address this need, we introduce a novel, tool-supported framework for the development of adaptive service-based systems called QoSMOS (QoS Management and Optimisation of Service-based systems). QoSMOS can be used to develop service-based systems that achieve their QoS requirements through dynamically adapting to changes in the system state, environment and workload. QoSMOS service-based systems translate high-level QoS requirements specified by their administrators into probabilistic temporal logic formulae, which are then formally and automatically analysed to identify and enforce optimal system configurations. The QoSMOS self-adaptation mechanism can handle reliability- and performance-related QoS requirements, and can be integrated into newly developed solutions or legacy systems. The effectiveness and scalability of the approach are validated using simulations and a set of experiments based on an implementation of an adaptive service-based system for remote medical assistance.

Agent Based Models of Competition and Collaboration

Swarm intelligence is a popular paradigm for algorithm design. Frequently drawing inspiration from natural systems, it assigns simple rules to a set of agents with the aim that, through local interactions, they collectively solve some global problem. Current variants of a popular swarm based optimization algorithm, particle swarm optimization (PSO), are investigated with a focus on premature convergence. A novel variant, dispersive PSO, is proposed to address this problem and is shown to lead to increased robustness and performance compared to current PSO algorithms. A nature inspired decentralised multi-agent algorithm is proposed to solve a constrained problem of distributed task allocation. Agents must collect and process the mail batches, without global knowledge of their environment or communication between agents. New rules for specialisation are proposed and are shown to exhibit improved eciency and exibility compared to existing ones. These new rules are compared with a market based approach to agent control. The eciency (average number of tasks performed), the exibility (ability to react to changes in the environment), and the sensitivity to load (ability to cope with differing demands) are investigated in both static and dynamic environments. A hybrid algorithm combining both approaches, is shown to exhibit improved eciency and robustness. Evolutionary algorithms are employed, both to optimize parameters and to allow the various rules to evolve and compete. We also observe extinction and speciation. In order to interpret algorithm performance we analyse the causes of eciency loss, derive theoretical upper bounds for the eciency, as well as a complete theoretical description of a non-trivial case, and compare these with the experimental results. Motivated by this work we introduce agent "memory" (the possibility for agents to develop preferences for certain cities) and show that not only does it lead to emergent cooperation between agents, but also to a signicant increase in efficiency.

Kineto-elastodynamic analysis of high-speed four-bar mechanism

This thesis addresses the kineto-elastodynamic analysis of a four-bar mechanism running at high-speed where all links are assumed to be flexible. First, the mechanism, at static configurations, is considered as structure. Two methods are used to model the system, namely the finite element method (FEM) and the dynamic stiffness method. The natural frequencies and mode shapes at different positions from both methods are calculated and compared. The FEM is used to model the mechanism running at high-speed. The governing equations of motion are derived using Hamilton's principle. The equations obtained are a set of stiff ordinary differential equations with periodic coefficients. A model is developed whereby the FEM and the dynamic stiffness method are used conjointly to provide high-precision results with only one element per link. The principal concern of the mechanism designer is the behaviour of the mechanism at steady-state. Few algorithms have been developed to deliver the steady-state solution without resorting to costly time marching simulation. In this study two algorithms are developed to overcome the limitations of the existing algorithms. The superiority of the new algorithms is demonstrated. The notion of critical speeds is clarified and a distinction is drawn between "critical speeds", where stresses are at a local maximum, and "unstable bands" where the mechanism deflections will grow boundlessly. Floquet theory is used to assess the stability of the system. A simple method to locate the critical speeds is derived. It is shown that the critical speeds of the mechanism coincide with the local maxima of the eigenvalues of the transition matrix with respect to the rotational speed of the mechanism.

The economic impact of high growth start-ups:understanding the challenge for policy in the UK

Objectives The creation of more high-growth firms continues to be a key component of enterprise policy throughout the countries of the OECD. In the UK the developing enterprise policy framework highlights the importance of supporting businesses with growth potential. The difficulty, of course, is the ability of those delivering business support policies to accurately identify those businesses, especially at start-up, which will benefit from interventions and experiences an enhanced growth performance. This paper has a core objective of presenting new data on the number of high growth firms in the UK and providing an assessment of their economic significance. Approach This paper uses a specially created longitudinal firm-level database based on the Inter-Departmental Business Register (IDBR) held by the Office of National Statistics (ONS) for all private sector businesses in the UK for the period 1997-2008 to investigate the share of high-growth firms (including a sub-set of start-up more commonly referred to as gazelles) in successive cohorts of start-ups. We apply OECD definitions of high growth and gazelles to this database and are able to quantify for the first time their number (disaggregated by sector, region, size) and importance (employment and sales). Prior Work However, what is lacking at the core of this policy focus is any comprehensive statistical analysis of the scale and nature of high-growth firms in cohorts of new and established businesses. The evidence base in response to the question “Why do high-growth firms matter?” is surprisingly weak. Important work in this area has been initiated by Bartelsman et al., (2003),Hoffman and Jünge (2006) and Henreksen and Johansson (2009) but to date work in the UK has been limited (BERR, 2008b). Results We report that there are ~11,500 high growth firms in the UK in both 2005 and 2008. The share of high growth start-ups in the UK in 2005 (6.3%) was, contrary to the widely held perception in policy circles, higher than in the United States (5.2%). Of particular interest in the analysis are the growth trajectories (pattern of growth) of these firms as well as the extent to which they are restricted to technology-based or knowledge-based sectors. Implications and Value Using hitherto unused population data for the first time we have answered a fundamental research and policy question on the number and scale of high growth firms in the UK. We draw the conclusion that this ‘rare’ event does not readily lend itself to policy intervention on the grounds that the significant effort needed to identify such businesses ex ante would appear unjustified even if it was possible.