Computing Markowitz efficient frontiers using a spreadsheet optimiser

Markowitz showed that assets can be combined to produce an 'Efficient' portfolio that will give the highest level of portfolio return for any level of portfolio risk, as measured by the variance or standard deviation. These portfolios can then be connected to generate what is termed an 'Efficient Frontier' (EF). In this paper we discuss the calculation of the Efficient Frontier for combinations of assets, again using the spreadsheet Optimiser. To illustrate the derivation of the Efficient Frontier, we use the data from the Investment Property Databank Long Term Index of Investment Returns for the period 1971 to 1993. Many investors might require a certain specific level of holding or a restriction on holdings in at least some of the assets. Such additional constraints may be readily incorporated into the model to generate a constrained EF with upper and/or lower bounds. This can then be compared with the unconstrained EF to see whether the reduction in return is acceptable. To see the effect that these additional constraints may have, we adopt a fairly typical pension fund profile, with no more than 20% of the total held in Property. The paper shows that it is now relatively easy to use the Optimiser available in at least one spreadsheet (EXCEL) to calculate efficient portfolios for various levels of risk and return, both constrained and unconstrained, so as to be able to generate any number of Efficient Frontiers.

Toward a new generation of world climate research and computing facilities

The impending threat of global climate change and its regional manifestations is among the most important and urgent problems facing humanity. Society needs accurate and reliable estimates of changes in the probability of regional weather variations to develop science-based adaptation and mitigation strategies. Recent advances in weather prediction and in our understanding and ability to model the climate system suggest that it is both necessary and possible to revolutionize climate prediction to meet these societal needs. However, the scientific workforce and the computational capability required to bring about such a revolution is not available in any single nation. Motivated by the success of internationally funded infrastructure in other areas of science, this paper argues that, because of the complexity of the climate system, and because the regional manifestations of climate change are mainly through changes in the statistics of regional weather variations, the scientific and computational requirements to predict its behavior reliably are so enormous that the nations of the world should create a small number of multinational high-performance computing facilities dedicated to the grand challenges of developing the capabilities to predict climate variability and change on both global and regional scales over the coming decades. Such facilities will play a key role in the development of next-generation climate models, build global capacity in climate research, nurture a highly trained workforce, and engage the global user community, policy-makers, and stakeholders. We recommend the creation of a small number of multinational facilities with computer capability at each facility of about 20 peta-flops in the near term, about 200 petaflops within five years, and 1 exaflop by the end of the next decade. Each facility should have sufficient scientific workforce to develop and maintain the software and data analysis infrastructure. Such facilities will enable questions of what resolution, both horizontal and vertical, in atmospheric and ocean models, is necessary for more confident predictions at the regional and local level. Current limitations in computing power have placed severe limitations on such an investigation, which is now badly needed. These facilities will also provide the world's scientists with the computational laboratories for fundamental research on weather–climate interactions using 1-km resolution models and on atmospheric, terrestrial, cryospheric, and oceanic processes at even finer scales. Each facility should have enabling infrastructure including hardware, software, and data analysis support, and scientific capacity to interact with the national centers and other visitors. This will accelerate our understanding of how the climate system works and how to model it. It will ultimately enable the climate community to provide society with climate predictions, which are based on our best knowledge of science and the most advanced technology.

Pocket data mining: towards collaborative data mining in mobile computing environments

Pocket Data Mining (PDM) is our new term describing collaborative mining of streaming data in mobile and distributed computing environments. With sheer amounts of data streams are now available for subscription on our smart mobile phones, the potential of using this data for decision making using data stream mining techniques has now been achievable owing to the increasing power of these handheld devices. Wireless communication among these devices using Bluetooth and WiFi technologies has opened the door wide for collaborative mining among the mobile devices within the same range that are running data mining techniques targeting the same application. This paper proposes a new architecture that we have prototyped for realizing the significant applications in this area. We have proposed using mobile software agents in this application for several reasons. Most importantly the autonomic intelligent behaviour of the agent technology has been the driving force for using it in this application. Other efficiency reasons are discussed in details in this paper. Experimental results showing the feasibility of the proposed architecture are presented and discussed.

Grid computing solutions for distributed repositories of protein folding and unfolding simulations

The P-found protein folding and unfolding simulation repository is designed to allow scientists to perform analyses across large, distributed simulation data sets. There are two storage components in P-found: a primary repository of simulation data and a data warehouse. Here we demonstrate how grid technologies can support multiple, distributed P-found installations. In particular we look at two aspects, first how grid data management technologies can be used to access the distributed data warehouses; and secondly, how the grid can be used to transfer analysis programs to the primary repositories --- this is an important and challenging aspect of P-found because the data volumes involved are too large to be centralised. The grid technologies we are developing with the P-found system will allow new large data sets of protein folding simulations to be accessed and analysed in novel ways, with significant potential for enabling new scientific discoveries.

A design of evaluation method for SaaS in cloud computing

Purpose: This paper aims to design an evaluation method that enables an organization to assess its current IT landscape and provide readiness assessment prior to Software as a Service (SaaS) adoption. Design/methodology/approach: The research employs a mixed of quantitative and qualitative approaches for conducting an IT application assessment. Quantitative data such as end user’s feedback on the IT applications contribute to the technical impact on efficiency and productivity. Qualitative data such as business domain, business services and IT application cost drivers are used to determine the business value of the IT applications in an organization. Findings: The assessment of IT applications leads to decisions on suitability of each IT application that can be migrated to cloud environment. Research limitations/implications: The evaluation of how a particular IT application impacts on a business service is done based on the logical interpretation. Data mining method is suggested in order to derive the patterns of the IT application capabilities. Practical implications: This method has been applied in a local council in UK. This helps the council to decide the future status of the IT applications for cost saving purpose.

FAMOUS, faster: using parallel computing techniques to accelerate the FAMOUS/HadCM3 climate model with a focus on the radiative transfer algorithm

We have optimised the atmospheric radiation algorithm of the FAMOUS climate model on several hardware platforms. The optimisation involved translating the Fortran code to C and restructuring the algorithm around the computation of a single air column. Instead of the existing MPI-based domain decomposition, we used a task queue and a thread pool to schedule the computation of individual columns on the available processors. Finally, four air columns are packed together in a single data structure and computed simultaneously using Single Instruction Multiple Data operations. The modified algorithm runs more than 50 times faster on the CELL’s Synergistic Processing Elements than on its main PowerPC processing element. On Intel-compatible processors, the new radiation code runs 4 times faster. On the tested graphics processor, using OpenCL, we find a speed-up of more than 2.5 times as compared to the original code on the main CPU. Because the radiation code takes more than 60% of the total CPU time, FAMOUS executes more than twice as fast. Our version of the algorithm returns bit-wise identical results, which demonstrates the robustness of our approach. We estimate that this project required around two and a half man-years of work.

Ubiquitous grid resource monitoring

In any wide-area distributed system there is a need to communicate and interact with a range of networked devices and services ranging from computer-based ones (CPU, memory and disk), to network components (hubs, routers, gateways) and specialised data sources (embedded devices, sensors, data-feeds). In order for the ensemble of underlying technologies to provide an environment suitable for virtual organisations to flourish, the resources that comprise the fabric of the Grid must be monitored in a seamless manner that abstracts away from the underlying complexity. Furthermore, as various competing Grid middleware offerings are released and evolve, an independent overarching monitoring service should act as a corner stone that ties these systems together. GridRM is a standards-based approach that is independent of any given middleware and that can utilise legacy and emerging resource-monitoring technologies. The main objective of the project is to produce a standardised and extensible architecture that provides seamless mechanisms to interact with native monitoring agents across heterogeneous resources.

The Impact of office productivity cloud computing on energy consumption and greenhouse gas emissions

Cloud computing is usually regarded as being energy efficient and thus emitting less greenhouse gases (GHG) than traditional forms of computing. When the energy consumption of Microsoft’s cloud computing Office 365 (O365) and traditional Office 2010 (O2010) software suites were tested and modeled, some cloud services were found to consume more energy than the traditional form. The developed model in this research took into consideration the energy consumption at the three main stages of data transmission; data center, network, and end user device. Comparable products from each suite were selected and activities were defined for each product to represent a different computing type. Microsoft provided highly confidential data for the data center stage, while the networking and user device stages were measured directly. A new measurement and software apportionment approach was defined and utilized allowing the power consumption of cloud services to be directly measured for the user device stage. Results indicated that cloud computing is more energy efficient for Excel and Outlook which consumed less energy and emitted less GHG than the standalone counterpart. The power consumption of the cloud based Outlook (8%) and Excel (17%) was lower than their traditional counterparts. However, the power consumption of the cloud version of Word was 17% higher than its traditional equivalent. A third mixed access method was also measured for Word which emitted 5% more GHG than the traditional version. It is evident that cloud computing may not provide a unified way forward to reduce energy consumption and GHG. Direct conversion from the standalone package into the cloud provision platform can now consider energy and GHG emissions at the software development and cloud service design stage using the methods described in this research.

Data stream mining in ubiquitous environments: state-of-the-art and current directions

In this article, we review the state-of-the-art techniques in mining data streams for mobile and ubiquitous environments. We start the review with a concise background of data stream processing, presenting the building blocks for mining data streams. In a wide range of applications, data streams are required to be processed on small ubiquitous devices like smartphones and sensor devices. Mobile and ubiquitous data mining target these applications with tailored techniques and approaches addressing scarcity of resources and mobility issues. Two categories can be identified for mobile and ubiquitous mining of streaming data: single-node and distributed. This survey will cover both categories. Mining mobile and ubiquitous data require algorithms with the ability to monitor and adapt the working conditions to the available computational resources. We identify the key characteristics of these algorithms and present illustrative applications. Distributed data stream mining in the mobile environment is then discussed, presenting the Pocket Data Mining framework. Mobility of users stimulates the adoption of context-awareness in this area of research. Context-awareness and collaboration are discussed in the Collaborative Data Stream Mining, where agents share knowledge to learn adaptive accurate models.