Non-Markovian stochastic processes and their applications: from anomalous diffusion to time series analysis

This work provides a forward step in the study and comprehension of the relationships between stochastic processes and a certain class of integral-partial differential equation, which can be used in order to model anomalous diffusion and transport in statistical physics. In the first part, we brought the reader through the fundamental notions of probability and stochastic processes, stochastic integration and stochastic differential equations as well. In particular, within the study of H-sssi processes, we focused on fractional Brownian motion (fBm) and its discrete-time increment process, the fractional Gaussian noise (fGn), which provide examples of non-Markovian Gaussian processes. The fGn, together with stationary FARIMA processes, is widely used in the modeling and estimation of long-memory, or long-range dependence (LRD). Time series manifesting long-range dependence, are often observed in nature especially in physics, meteorology, climatology, but also in hydrology, geophysics, economy and many others. We deepely studied LRD, giving many real data examples, providing statistical analysis and introducing parametric methods of estimation. Then, we introduced the theory of fractional integrals and derivatives, which indeed turns out to be very appropriate for studying and modeling systems with long-memory properties. After having introduced the basics concepts, we provided many examples and applications. For instance, we investigated the relaxation equation with distributed order time-fractional derivatives, which describes models characterized by a strong memory component and can be used to model relaxation in complex systems, which deviates from the classical exponential Debye pattern. Then, we focused in the study of generalizations of the standard diffusion equation, by passing through the preliminary study of the fractional forward drift equation. Such generalizations have been obtained by using fractional integrals and derivatives of distributed orders. In order to find a connection between the anomalous diffusion described by these equations and the long-range dependence, we introduced and studied the generalized grey Brownian motion (ggBm), which is actually a parametric class of H-sssi processes, which have indeed marginal probability density function evolving in time according to a partial integro-differential equation of fractional type. The ggBm is of course Non-Markovian. All around the work, we have remarked many times that, starting from a master equation of a probability density function f(x,t), it is always possible to define an equivalence class of stochastic processes with the same marginal density function f(x,t). All these processes provide suitable stochastic models for the starting equation. Studying the ggBm, we just focused on a subclass made up of processes with stationary increments. The ggBm has been defined canonically in the so called grey noise space. However, we have been able to provide a characterization notwithstanding the underline probability space. We also pointed out that that the generalized grey Brownian motion is a direct generalization of a Gaussian process and in particular it generalizes Brownain motion and fractional Brownain motion as well. Finally, we introduced and analyzed a more general class of diffusion type equations related to certain non-Markovian stochastic processes. We started from the forward drift equation, which have been made non-local in time by the introduction of a suitable chosen memory kernel K(t). The resulting non-Markovian equation has been interpreted in a natural way as the evolution equation of the marginal density function of a random time process l(t). We then consider the subordinated process Y(t)=X(l(t)) where X(t) is a Markovian diffusion. The corresponding time-evolution of the marginal density function of Y(t) is governed by a non-Markovian Fokker-Planck equation which involves the same memory kernel K(t). We developed several applications and derived the exact solutions. Moreover, we considered different stochastic models for the given equations, providing path simulations.

Duality in complex stochastic boolean systems

[EN]Many different complex systems depend on a large number n of mutually independent random Boolean variables. The most useful representation for these systems –usually called complex stochastic Boolean systems (CSBSs)– is the intrinsic order graph. This is a directed graph on 2n vertices, corresponding to the 2n binary n-tuples (u1, . . . , un) ∈ {0, 1} n of 0s and 1s. In this paper, different duality properties of the intrinsic order graph are rigorously analyzed in detail. The results can be applied to many CSBSs arising from any scientific, technical or social area…

Complex stochastic boolean systems: comparing bitstrings with the same hamming weight

[EN]A complex stochastic Boolean system (CSBS) is a complex system depending on an arbitrarily large number

Analysis of ion channel stochastic signals for biosensing

In biological world, life of cells is guaranteed by their ability to sense and to respond to a large variety of internal and external stimuli. In particular, excitable cells, like muscle or nerve cells, produce quick depolarizations in response to electrical, mechanical or chemical stimuli: this means that they can change their internal potential through a quick exchange of ions between cytoplasm and the external environment. This can be done thanks to the presence of ion channels, proteins that span the lipid bilayer and act like switches, allowing ionic current to flow opening and shutting in a stochastic way. For a particular class of ion channels, ligand-gated ion channels, the gating processes is strongly influenced by binding between receptive sites located on the channel surface and specific target molecules. These channels, inserted in biomimetic membranes and in presence of a proper electronic system for acquiring and elaborating the electrical signal, could give us the possibility of detecting and quantifying concentrations of specific molecules in complex mixtures from ionic currents across the membrane; in this thesis work, this possibility is investigated. In particular, it reports a description of experiments focused on the creation and the characterization of artificial lipid membranes, the reconstitution of ion channels and the analysis of their electrical and statistical properties. Moreover, after a chapter about the basis of the modelling of the kinetic behaviour of ligand gated ion channels, a possible approach for the estimation of the target molecule concentration, based on a statistical analysis of the ion channel open probability, is proposed. The fifth chapter contains a description of the kinetic characterisation of a ligand gated ion channel: the homomeric α2 isoform of the glycine receptor. It involved both experimental acquisitions and signal analysis. The last chapter represents the conclusions of this thesis, with some remark on the effective performance that may be achieved using ligand gated ion channels as sensing elements.

Application-oriented Mixed Integer Non-Linear Programming

In the most recent years there is a renovate interest for Mixed Integer Non-Linear Programming (MINLP) problems. This can be explained for different reasons: (i) the performance of solvers handling non-linear constraints was largely improved; (ii) the awareness that most of the applications from the real-world can be modeled as an MINLP problem; (iii) the challenging nature of this very general class of problems. It is well-known that MINLP problems are NP-hard because they are the generalization of MILP problems, which are NP-hard themselves. However, MINLPs are, in general, also hard to solve in practice. We address to non-convex MINLPs, i.e. having non-convex continuous relaxations: the presence of non-convexities in the model makes these problems usually even harder to solve. The aim of this Ph.D. thesis is to give a flavor of different possible approaches that one can study to attack MINLP problems with non-convexities, with a special attention to real-world problems. In Part 1 of the thesis we introduce the problem and present three special cases of general MINLPs and the most common methods used to solve them. These techniques play a fundamental role in the resolution of general MINLP problems. Then we describe algorithms addressing general MINLPs. Parts 2 and 3 contain the main contributions of the Ph.D. thesis. In particular, in Part 2 four different methods aimed at solving different classes of MINLP problems are presented. Part 3 of the thesis is devoted to real-world applications: two different problems and approaches to MINLPs are presented, namely Scheduling and Unit Commitment for Hydro-Plants and Water Network Design problems. The results show that each of these different methods has advantages and disadvantages. Thus, typically the method to be adopted to solve a real-world problem should be tailored on the characteristics, structure and size of the problem. Part 4 of the thesis consists of a brief review on tools commonly used for general MINLP problems, constituted an integral part of the development of this Ph.D. thesis (especially the use and development of open-source software). We present the main characteristics of solvers for each special case of MINLP.

Enhanced Mixed Integer Programming Techniques and Routing Problems

Mixed integer programming is up today one of the most widely used techniques for dealing with hard optimization problems. On the one side, many practical optimization problems arising from real-world applications (such as, e.g., scheduling, project planning, transportation, telecommunications, economics and finance, timetabling, etc) can be easily and effectively formulated as Mixed Integer linear Programs (MIPs). On the other hand, 50 and more years of intensive research has dramatically improved on the capability of the current generation of MIP solvers to tackle hard problems in practice. However, many questions are still open and not fully understood, and the mixed integer programming community is still more than active in trying to answer some of these questions. As a consequence, a huge number of papers are continuously developed and new intriguing questions arise every year. When dealing with MIPs, we have to distinguish between two different scenarios. The first one happens when we are asked to handle a general MIP and we cannot assume any special structure for the given problem. In this case, a Linear Programming (LP) relaxation and some integrality requirements are all we have for tackling the problem, and we are ``forced" to use some general purpose techniques. The second one happens when mixed integer programming is used to address a somehow structured problem. In this context, polyhedral analysis and other theoretical and practical considerations are typically exploited to devise some special purpose techniques. This thesis tries to give some insights in both the above mentioned situations. The first part of the work is focused on general purpose cutting planes, which are probably the key ingredient behind the success of the current generation of MIP solvers. Chapter 1 presents a quick overview of the main ingredients of a branch-and-cut algorithm, while Chapter 2 recalls some results from the literature in the context of disjunctive cuts and their connections with Gomory mixed integer cuts. Chapter 3 presents a theoretical and computational investigation of disjunctive cuts. In particular, we analyze the connections between different normalization conditions (i.e., conditions to truncate the cone associated with disjunctive cutting planes) and other crucial aspects as cut rank, cut density and cut strength. We give a theoretical characterization of weak rays of the disjunctive cone that lead to dominated cuts, and propose a practical method to possibly strengthen those cuts arising from such weak extremal solution. Further, we point out how redundant constraints can affect the quality of the generated disjunctive cuts, and discuss possible ways to cope with them. Finally, Chapter 4 presents some preliminary ideas in the context of multiple-row cuts. Very recently, a series of papers have brought the attention to the possibility of generating cuts using more than one row of the simplex tableau at a time. Several interesting theoretical results have been presented in this direction, often revisiting and recalling other important results discovered more than 40 years ago. However, is not clear at all how these results can be exploited in practice. As stated, the chapter is a still work-in-progress and simply presents a possible way for generating two-row cuts from the simplex tableau arising from lattice-free triangles and some preliminary computational results. The second part of the thesis is instead focused on the heuristic and exact exploitation of integer programming techniques for hard combinatorial optimization problems in the context of routing applications. Chapters 5 and 6 present an integer linear programming local search algorithm for Vehicle Routing Problems (VRPs). The overall procedure follows a general destroy-and-repair paradigm (i.e., the current solution is first randomly destroyed and then repaired in the attempt of finding a new improved solution) where a class of exponential neighborhoods are iteratively explored by heuristically solving an integer programming formulation through a general purpose MIP solver. Chapters 7 and 8 deal with exact branch-and-cut methods. Chapter 7 presents an extended formulation for the Traveling Salesman Problem with Time Windows (TSPTW), a generalization of the well known TSP where each node must be visited within a given time window. The polyhedral approaches proposed for this problem in the literature typically follow the one which has been proven to be extremely effective in the classical TSP context. Here we present an overall (quite) general idea which is based on a relaxed discretization of time windows. Such an idea leads to a stronger formulation and to stronger valid inequalities which are then separated within the classical branch-and-cut framework. Finally, Chapter 8 addresses the branch-and-cut in the context of Generalized Minimum Spanning Tree Problems (GMSTPs) (i.e., a class of NP-hard generalizations of the classical minimum spanning tree problem). In this chapter, we show how some basic ideas (and, in particular, the usage of general purpose cutting planes) can be useful to improve on branch-and-cut methods proposed in the literature.

A study on set variable representations in constraint programming

Il lavoro presentato in questa tesi si colloca nel contesto della programmazione con vincoli, un paradigma per modellare e risolvere problemi di ricerca combinatoria che richiedono di trovare soluzioni in presenza di vincoli. Una vasta parte di questi problemi trova naturale formulazione attraverso il linguaggio delle variabili insiemistiche. Dal momento che il dominio di tali variabili può essere esponenziale nel numero di elementi, una rappresentazione esplicita è spesso non praticabile. Recenti studi si sono quindi focalizzati nel trovare modi efficienti per rappresentare tali variabili. Pertanto si è soliti rappresentare questi domini mediante l'uso di approssimazioni definite tramite intervalli (d'ora in poi rappresentazioni), specificati da un limite inferiore e un limite superiore secondo un'appropriata relazione d'ordine. La recente evoluzione della ricerca sulla programmazione con vincoli sugli insiemi ha chiaramente indicato che la combinazione di diverse rappresentazioni permette di raggiungere prestazioni di ordini di grandezza superiori rispetto alle tradizionali tecniche di codifica. Numerose proposte sono state fatte volgendosi in questa direzione. Questi lavori si differenziano su come è mantenuta la coerenza tra le diverse rappresentazioni e su come i vincoli vengono propagati al fine di ridurre lo spazio di ricerca. Sfortunatamente non esiste alcun strumento formale per paragonare queste combinazioni. Il principale obiettivo di questo lavoro è quello di fornire tale strumento, nel quale definiamo precisamente la nozione di combinazione di rappresentazioni facendo emergere gli aspetti comuni che hanno caratterizzato i lavori precedenti. In particolare identifichiamo due tipi possibili di combinazioni, una forte ed una debole, definendo le nozioni di coerenza agli estremi sui vincoli e sincronizzazione tra rappresentazioni. Il nostro studio propone alcune interessanti intuizioni sulle combinazioni esistenti, evidenziandone i limiti e svelando alcune sorprese. Inoltre forniamo un'analisi di complessità della sincronizzazione tra minlex, una rappresentazione in grado di propagare in maniera ottimale vincoli lessicografici, e le principali rappresentazioni esistenti.

Designing and Programming Organizational Infrastructures for Agents situated in Artifact-based Environments

Actual trends in software development are pushing the need to face a multiplicity of diverse activities and interaction styles characterizing complex and distributed application domains, in such a way that the resulting dynamics exhibits some grade of order, i.e. in terms of evolution of the system and desired equilibrium. Autonomous agents and Multiagent Systems are argued in literature as one of the most immediate approaches for describing such a kind of challenges. Actually, agent research seems to converge towards the definition of renewed abstraction tools aimed at better capturing the new demands of open systems. Besides agents, which are assumed as autonomous entities purposing a series of design objectives, Multiagent Systems account new notions as first-class entities, aimed, above all, at modeling institutional/organizational entities, placed for normative regulation, interaction and teamwork management, as well as environmental entities, placed as resources to further support and regulate agent work. The starting point of this thesis is recognizing that both organizations and environments can be rooted in a unifying perspective. Whereas recent research in agent systems seems to account a set of diverse approaches to specifically face with at least one aspect within the above mentioned, this work aims at proposing a unifying approach where both agents and their organizations can be straightforwardly situated in properly designed working environments. In this line, this work pursues reconciliation of environments with sociality, social interaction with environment based interaction, environmental resources with organizational functionalities with the aim to smoothly integrate the various aspects of complex and situated organizations in a coherent programming approach. Rooted in Agents and Artifacts (A&A) meta-model, which has been recently introduced both in the context of agent oriented software engineering and programming, the thesis promotes the notion of Embodied Organizations, characterized by computational infrastructures attaining a seamless integration between agents, organizations and environmental entities.

Hybrid Methods for Resource Allocation and Scheduling Problems in Deterministic and Stochastic Environments

This work presents exact, hybrid algorithms for mixed resource Allocation and Scheduling problems; in general terms, those consist into assigning over time finite capacity resources to a set of precedence connected activities. The proposed methods have broad applicability, but are mainly motivated by applications in the field of Embedded System Design. In particular, high-performance embedded computing recently witnessed the shift from single CPU platforms with application-specific accelerators to programmable Multi Processor Systems-on-Chip (MPSoCs). Those allow higher flexibility, real time performance and low energy consumption, but the programmer must be able to effectively exploit the platform parallelism. This raises interest in the development of algorithmic techniques to be embedded in CAD tools; in particular, given a specific application and platform, the objective if to perform optimal allocation of hardware resources and to compute an execution schedule. On this regard, since embedded systems tend to run the same set of applications for their entire lifetime, off-line, exact optimization approaches are particularly appealing. Quite surprisingly, the use of exact algorithms has not been well investigated so far; this is in part motivated by the complexity of integrated allocation and scheduling, setting tough challenges for ``pure'' combinatorial methods. The use of hybrid CP/OR approaches presents the opportunity to exploit mutual advantages of different methods, while compensating for their weaknesses. In this work, we consider in first instance an Allocation and Scheduling problem over the Cell BE processor by Sony, IBM and Toshiba; we propose three different solution methods, leveraging decomposition, cut generation and heuristic guided search. Next, we face Allocation and Scheduling of so-called Conditional Task Graphs, explicitly accounting for branches with outcome not known at design time; we extend the CP scheduling framework to effectively deal with the introduced stochastic elements. Finally, we address Allocation and Scheduling with uncertain, bounded execution times, via conflict based tree search; we introduce a simple and flexible time model to take into account duration variability and provide an efficient conflict detection method. The proposed approaches achieve good results on practical size problem, thus demonstrating the use of exact approaches for system design is feasible. Furthermore, the developed techniques bring significant contributions to combinatorial optimization methods.

Algoritmi esatti per il Job Shop Scheduling: approcci Mathematical Programming

In questa tesi ci occuperemo di fornire un modello MIP di base e di alcune sue varianti, realizzate allo scopo di comprenderne il comportamento ed eventualmente migliorarne l’efficienza. Le diverse varianti sono state costruite agendo in particolar modo sulla definizione di alcuni vincoli, oppure sui bound delle variabili, oppure ancora nell’obbligare il risolutore a focalizzarsi su determinate decisioni o specifiche variabili. Sono stati testati alcuni dei problemi tipici presenti in letteratura e i diversi risultati sono stati opportunamente valutati e confrontati. Tra i riferimenti per tale confronto sono stati considerati anche i risultati ottenibili tramite un modello Constraint Programming, che notoriamente produce risultati apprezzabili in ambito di schedulazione. Un ulteriore scopo della tesi è, infatti, comparare i due approcci Mathematical Programming e Constraint Programming, identificandone quindi i pregi e gli svantaggi e provandone la trasferibilità al modello raffrontato.

Decomposition and reformulation of integer linear programming problems

This thesis deals with an investigation of Decomposition and Reformulation to solve Integer Linear Programming Problems. This method is often a very successful approach computationally, producing high-quality solutions for well-structured combinatorial optimization problems like vehicle routing, cutting stock, p-median and generalized assignment . However, until now the method has always been tailored to the specific problem under investigation. The principal innovation of this thesis is to develop a new framework able to apply this concept to a generic MIP problem. The new approach is thus capable of auto-decomposition and autoreformulation of the input problem applicable as a resolving black box algorithm and works as a complement and alternative to the normal resolving techniques. The idea of Decomposing and Reformulating (usually called in literature Dantzig and Wolfe Decomposition DWD) is, given a MIP, to convexify one (or more) subset(s) of constraints (slaves) and working on the partially convexified polyhedron(s) obtained. For a given MIP several decompositions can be defined depending from what sets of constraints we want to convexify. In this thesis we mainly reformulate MIPs using two sets of variables: the original variables and the extended variables (representing the exponential extreme points). The master constraints consist of the original constraints not included in any slaves plus the convexity constraint(s) and the linking constraints(ensuring that each original variable can be viewed as linear combination of extreme points of the slaves). The solution procedure consists of iteratively solving the reformulated MIP (master) and checking (pricing) if a variable of reduced costs exists, and in which case adding it to the master and solving it again (columns generation), or otherwise stopping the procedure. The advantage of using DWD is that the reformulated relaxation gives bounds stronger than the original LP relaxation, in addition it can be incorporated in a Branch and bound scheme (Branch and Price) in order to solve the problem to optimality. If the computational time for the pricing problem is reasonable this leads in practice to a stronger speed up in the solution time, specially when the convex hull of the slaves is easy to compute, usually because of its special structure.

Hybrid constraint programming and metaheuristic methods for large scale optimization problems

This work presents hybrid Constraint Programming (CP) and metaheuristic methods for the solution of Large Scale Optimization Problems; it aims at integrating concepts and mechanisms from the metaheuristic methods to a CP-based tree search environment in order to exploit the advantages of both approaches. The modeling and solution of large scale combinatorial optimization problem is a topic which has arisen the interest of many researcherers in the Operations Research field; combinatorial optimization problems are widely spread in everyday life and the need of solving difficult problems is more and more urgent. Metaheuristic techniques have been developed in the last decades to effectively handle the approximate solution of combinatorial optimization problems; we will examine metaheuristics in detail, focusing on the common aspects of different techniques. Each metaheuristic approach possesses its own peculiarities in designing and guiding the solution process; our work aims at recognizing components which can be extracted from metaheuristic methods and re-used in different contexts. In particular we focus on the possibility of porting metaheuristic elements to constraint programming based environments, as constraint programming is able to deal with feasibility issues of optimization problems in a very effective manner. Moreover, CP offers a general paradigm which allows to easily model any type of problem and solve it with a problem-independent framework, differently from local search and metaheuristic methods which are highly problem specific. In this work we describe the implementation of the Local Branching framework, originally developed for Mixed Integer Programming, in a CP-based environment. Constraint programming specific features are used to ease the search process, still mantaining an absolute generality of the approach. We also propose a search strategy called Sliced Neighborhood Search, SNS, that iteratively explores slices of large neighborhoods of an incumbent solution by performing CP-based tree search and encloses concepts from metaheuristic techniques. SNS can be used as a stand alone search strategy, but it can alternatively be embedded in existing strategies as intensification and diversification mechanism. In particular we show its integration within the CP-based local branching. We provide an extensive experimental evaluation of the proposed approaches on instances of the Asymmetric Traveling Salesman Problem and of the Asymmetric Traveling Salesman Problem with Time Windows. The proposed approaches achieve good results on practical size problem, thus demonstrating the benefit of integrating metaheuristic concepts in CP-based frameworks.

Theoretical and implementation aspects in the mechanization of the metatheory of programming languages

Interactive theorem provers are tools designed for the certification of formal proofs developed by means of man-machine collaboration. Formal proofs obtained in this way cover a large variety of logical theories, ranging from the branches of mainstream mathematics, to the field of software verification. The border between these two worlds is marked by results in theoretical computer science and proofs related to the metatheory of programming languages. This last field, which is an obvious application of interactive theorem proving, poses nonetheless a serious challenge to the users of such tools, due both to the particularly structured way in which these proofs are constructed, and to difficulties related to the management of notions typical of programming languages like variable binding. This thesis is composed of two parts, discussing our experience in the development of the Matita interactive theorem prover and its use in the mechanization of the metatheory of programming languages. More specifically, part I covers: - the results of our effort in providing a better framework for the development of tactics for Matita, in order to make their implementation and debugging easier, also resulting in a much clearer code; - a discussion of the implementation of two tactics, providing infrastructure for the unification of constructor forms and the inversion of inductive predicates; we point out interactions between induction and inversion and provide an advancement over the state of the art. In the second part of the thesis, we focus on aspects related to the formalization of programming languages. We describe two works of ours: - a discussion of basic issues we encountered in our formalizations of part 1A of the Poplmark challenge, where we apply the extended inversion principles we implemented for Matita; - a formalization of an algebraic logical framework, posing more complex challenges, including multiple binding and a form of hereditary substitution; this work adopts, for the encoding of binding, an extension of Masahiko Sato's canonical locally named representation we designed during our visit to the Laboratory for Foundations of Computer Science at the University of Edinburgh, under the supervision of Randy Pollack.