The Motif Tracking Algorithm

The search for patterns or motifs in data represents a problem area of key interest to finance and economic researchers. In this paper we introduce the Motif Tracking Algorithm, a novel immune inspired pattern identification tool that is able to identify unknown motifs of a non specified length which repeat within time series data. The power of the algorithm comes from the fact that it uses a small number of parameters with minimal assumptions regarding the data being examined or the underlying motifs. Our interest lies in applying the algorithm to financial time series data to identify unknown patterns that exist. The algorithm is tested using three separate data sets. Particular suitability to financial data is shown by applying it to oil price data. In all cases the algorithm identifies the presence of a motif population in a fast and efficient manner due to the utilisation of an intuitive symbolic representation. The resulting population of motifs is shown to have considerable potential value for other applications such as forecasting and algorithm seeding.

Optimization models and methods for real-time transportation planning in forestry

Lors du transport du bois de la forêt vers les usines, de nombreux événements imprévus peuvent se produire, événements qui perturbent les trajets prévus (par exemple, en raison des conditions météo, des feux de forêt, de la présence de nouveaux chargements, etc.). Lorsque de tels événements ne sont connus que durant un trajet, le camion qui accomplit ce trajet doit être détourné vers un chemin alternatif. En l’absence d’informations sur un tel chemin, le chauffeur du camion est susceptible de choisir un chemin alternatif inutilement long ou pire, qui est lui-même "fermé" suite à un événement imprévu. Il est donc essentiel de fournir aux chauffeurs des informations en temps réel, en particulier des suggestions de chemins alternatifs lorsqu’une route prévue s’avère impraticable. Les possibilités de recours en cas d’imprévus dépendent des caractéristiques de la chaîne logistique étudiée comme la présence de camions auto-chargeurs et la politique de gestion du transport. Nous présentons trois articles traitant de contextes d’application différents ainsi que des modèles et des méthodes de résolution adaptés à chacun des contextes. Dans le premier article, les chauffeurs de camion disposent de l’ensemble du plan hebdomadaire de la semaine en cours. Dans ce contexte, tous les efforts doivent être faits pour minimiser les changements apportés au plan initial. Bien que la flotte de camions soit homogène, il y a un ordre de priorité des chauffeurs. Les plus prioritaires obtiennent les volumes de travail les plus importants. Minimiser les changements dans leurs plans est également une priorité. Étant donné que les conséquences des événements imprévus sur le plan de transport sont essentiellement des annulations et/ou des retards de certains voyages, l’approche proposée traite d’abord l’annulation et le retard d’un seul voyage, puis elle est généralisée pour traiter des événements plus complexes. Dans cette ap- proche, nous essayons de re-planifier les voyages impactés durant la même semaine de telle sorte qu’une chargeuse soit libre au moment de l’arrivée du camion à la fois au site forestier et à l’usine. De cette façon, les voyages des autres camions ne seront pas mo- difiés. Cette approche fournit aux répartiteurs des plans alternatifs en quelques secondes. De meilleures solutions pourraient être obtenues si le répartiteur était autorisé à apporter plus de modifications au plan initial. Dans le second article, nous considérons un contexte où un seul voyage à la fois est communiqué aux chauffeurs. Le répartiteur attend jusqu’à ce que le chauffeur termine son voyage avant de lui révéler le prochain voyage. Ce contexte est plus souple et offre plus de possibilités de recours en cas d’imprévus. En plus, le problème hebdomadaire peut être divisé en des problèmes quotidiens, puisque la demande est quotidienne et les usines sont ouvertes pendant des périodes limitées durant la journée. Nous utilisons un modèle de programmation mathématique basé sur un réseau espace-temps pour réagir aux perturbations. Bien que ces dernières puissent avoir des effets différents sur le plan de transport initial, une caractéristique clé du modèle proposé est qu’il reste valable pour traiter tous les imprévus, quelle que soit leur nature. En effet, l’impact de ces événements est capturé dans le réseau espace-temps et dans les paramètres d’entrée plutôt que dans le modèle lui-même. Le modèle est résolu pour la journée en cours chaque fois qu’un événement imprévu est révélé. Dans le dernier article, la flotte de camions est hétérogène, comprenant des camions avec des chargeuses à bord. La configuration des routes de ces camions est différente de celle des camions réguliers, car ils ne doivent pas être synchronisés avec les chargeuses. Nous utilisons un modèle mathématique où les colonnes peuvent être facilement et naturellement interprétées comme des itinéraires de camions. Nous résolvons ce modèle en utilisant la génération de colonnes. Dans un premier temps, nous relaxons l’intégralité des variables de décision et nous considérons seulement un sous-ensemble des itinéraires réalisables. Les itinéraires avec un potentiel d’amélioration de la solution courante sont ajoutés au modèle de manière itérative. Un réseau espace-temps est utilisé à la fois pour représenter les impacts des événements imprévus et pour générer ces itinéraires. La solution obtenue est généralement fractionnaire et un algorithme de branch-and-price est utilisé pour trouver des solutions entières. Plusieurs scénarios de perturbation ont été développés pour tester l’approche proposée sur des études de cas provenant de l’industrie forestière canadienne et les résultats numériques sont présentés pour les trois contextes.

The deterministic Dendritic Cell Algorithm

The Dendritic Cell Algorithm is an immune-inspired algorithm originally based on the function of natural dendritic cells. The original instantiation of the algorithm is a highly stochastic algorithm. While the performance of the algorithm is good when applied to large real-time datasets, it is difficult to analyse due to the number of random-based elements. In this paper a deterministic version of the algorithm is proposed, implemented and tested using a port scan dataset to provide a controllable system. This version consists of a controllable amount of parameters, which are experimented with in this paper. In addition the effects are examined of the use of time windows and variation on the number of cells, both which are shown to influence the algorithm. Finally a novel metric for the assessment of the algorithms output is introduced and proves to be a more sensitive metric than the metric used with the original Dendritic Cell Algorithm.

H-infinity control design for time-delay linear systems: a rational transfer function based approach

The aim of this paper is to present new results on H-infinity control synthesis for time-delay linear systems. We extend the use of a finite order LTI system, called comparison system to H-infinity analysis and design. Differently from what can be viewed as a common feature of other control design methods available in the literature to date, the one presented here treats time-delay systems control design with classical numeric routines based on Riccati equations arisen from H-infinity theory. The proposed algorithm is simple, efficient and easy to implement. Some examples illustrating state and output feedback design are solved and discussed in order to put in evidence the most relevant characteristic of the theoretical results. Moreover, a practical application involving a 3-DOF networked control system is presented.

A Mapping-Scheduling Algorithm for Hardware Acceleration on Reconfigurable Platforms

Reconfigurable platforms are a promising technology that offers an interesting trade-off between flexibility and performance, which many recent embedded system applications demand, especially in fields such as multimedia processing. These applications typically involve multiple ad-hoc tasks for hardware acceleration, which are usually represented using formalisms such as Data Flow Diagrams (DFDs), Data Flow Graphs (DFGs), Control and Data Flow Graphs (CDFGs) or Petri Nets. However, none of these models is able to capture at the same time the pipeline behavior between tasks (that therefore can coexist in order to minimize the application execution time), their communication patterns, and their data dependencies. This paper proves that the knowledge of all this information can be effectively exploited to reduce the resource requirements and the timing performance of modern reconfigurable systems, where a set of hardware accelerators is used to support the computation. For this purpose, this paper proposes a novel task representation model, named Temporal Constrained Data Flow Diagram (TCDFD), which includes all this information. This paper also presents a mapping-scheduling algorithm that is able to take advantage of the new TCDFD model. It aims at minimizing the dynamic reconfiguration overhead while meeting the communication requirements among the tasks. Experimental results show that the presented approach achieves up to 75% of resources saving and up to 89% of reconfiguration overhead reduction with respect to other state-of-the-art techniques for reconfigurable platforms.

POSITIVE FILTERED P_N METHOD FOR LINEAR TRANSPORT EQUATIONS AND THE ASSOCIATED OPTIMIZATION ALGORITHM

We propose a positive, accurate moment closure for linear kinetic transport equations based on a filtered spherical harmonic (FP_N) expansion in the angular variable. The FP_N moment equations are accurate approximations to linear kinetic equations, but they are known to suffer from the occurrence of unphysical, negative particle concentrations. The new positive filtered P_N (FP_N+) closure is developed to address this issue. The FP_N+ closure approximates the kinetic distribution by a spherical harmonic expansion that is non-negative on a finite, predetermined set of quadrature points. With an appropriate numerical PDE solver, the FP_N+ closure generates particle concentrations that are guaranteed to be non-negative. Under an additional, mild regularity assumption, we prove that as the moment order tends to infinity, the FP_N+ approximation converges, in the L2 sense, at the same rate as the FP_N approximation; numerical tests suggest that this assumption may not be necessary. By numerical experiments on the challenging line source benchmark problem, we confirm that the FP_N+ method indeed produces accurate and non-negative solutions. To apply the FP_N+ closure on problems at large temporal-spatial scales, we develop a positive asymptotic preserving (AP) numerical PDE solver. We prove that the propose AP scheme maintains stability and accuracy with standard mesh sizes at large temporal-spatial scales, while, for generic numerical schemes, excessive refinements on temporal-spatial meshes are required. We also show that the proposed scheme preserves positivity of the particle concentration, under some time step restriction. Numerical results confirm that the proposed AP scheme is capable for solving linear transport equations at large temporal-spatial scales, for which a generic scheme could fail. Constrained optimization problems are involved in the formulation of the FP_N+ closure to enforce non-negativity of the FP_N+ approximation on the set of quadrature points. These optimization problems can be written as strictly convex quadratic programs (CQPs) with a large number of inequality constraints. To efficiently solve the CQPs, we propose a constraint-reduced variant of a Mehrotra-predictor-corrector algorithm, with a novel constraint selection rule. We prove that, under appropriate assumptions, the proposed optimization algorithm converges globally to the solution at a locally q-quadratic rate. We test the algorithm on randomly generated problems, and the numerical results indicate that the combination of the proposed algorithm and the constraint selection rule outperforms other compared constraint-reduced algorithms, especially for problems with many more inequality constraints than variables.

Exploration of the dendritic cell algorithm with the duration calculus

As one of the newest members in Articial Immune Systems (AIS), the Dendritic Cell Algorithm (DCA) has been applied to a range of problems. These applications mainly belong to the eld of anomaly detection. However, real-time detection, a new challenge to anomaly detection, requires improvement on the real-time capability of the DCA. To assess such capability, formal methods in the research of real-time systems can be employed. The ndings of the assessment can provide guideline for the future development of the algorithm. Therefore, in this paper we use an interval logic based method, named the Duration Calcu- lus (DC), to specify a simplied single-cell model of the DCA. Based on the DC specications with further induction, we nd that each individual cell in the DCA can perform its function as a detector in real-time. Since the DCA can be seen as many such cells operating in parallel, it is potentially capable of performing real-time detection. However, the analysis process of the standard DCA constricts its real-time capability. As a result, we conclude that the analysis process of the standard DCA should be replaced by a real-time analysis component, which can perform periodic analysis for the purpose of real-time detection.

Sparse time-frequency data analysis : a multi-scale approach

In this work, we further extend the recently developed adaptive data analysis method, the Sparse Time-Frequency Representation (STFR) method. This method is based on the assumption that many physical signals inherently contain AM-FM representations. We propose a sparse optimization method to extract the AM-FM representations of such signals. We prove the convergence of the method for periodic signals under certain assumptions and provide practical algorithms specifically for the non-periodic STFR, which extends the method to tackle problems that former STFR methods could not handle, including stability to noise and non-periodic data analysis. This is a significant improvement since many adaptive and non-adaptive signal processing methods are not fully capable of handling non-periodic signals. Moreover, we propose a new STFR algorithm to study intrawave signals with strong frequency modulation and analyze the convergence of this new algorithm for periodic signals. Such signals have previously remained a bottleneck for all signal processing methods. Furthermore, we propose a modified version of STFR that facilitates the extraction of intrawaves that have overlaping frequency content. We show that the STFR methods can be applied to the realm of dynamical systems and cardiovascular signals. In particular, we present a simplified and modified version of the STFR algorithm that is potentially useful for the diagnosis of some cardiovascular diseases. We further explain some preliminary work on the nature of Intrinsic Mode Functions (IMFs) and how they can have different representations in different phase coordinates. This analysis shows that the uncertainty principle is fundamental to all oscillating signals.

Real-time alert correlation with type graphs

The premise of automated alert correlation is to accept that false alerts from a low level intrusion detection system are inevitable and use attack models to explain the output in an understandable way. Several algorithms exist for this purpose which use attack graphs to model the ways in which attacks can be combined. These algorithms can be classified in to two broad categories namely scenario-graph approaches, which create an attack model starting from a vulnerability assessment and type-graph approaches which rely on an abstract model of the relations between attack types. Some research in to improving the efficiency of type-graph correlation has been carried out but this research has ignored the hypothesizing of missing alerts. Our work is to present a novel type-graph algorithm which unifies correlation and hypothesizing in to a single operation. Our experimental results indicate that the approach is extremely efficient in the face of intensive alerts and produces compact output graphs comparable to other techniques.

DEVELOPMENT OF AN OFF-LINE RAINFLOW COUNTING ALGORITHM WITH TEMPORAL PARAMETERS AND DATA REDUCTION

Rainflow counting methods convert a complex load time history into a set of load reversals for use in fatigue damage modeling. Rainflow counting methods were originally developed to assess fatigue damage associated with mechanical cycling where creep of the material under load was not considered to be a significant contributor to failure. However, creep is a significant factor in some cyclic loading cases such as solder interconnects under temperature cycling. In this case, fatigue life models require the dwell time to account for stress relaxation and creep. This study develops a new version of the multi-parameter rainflow counting algorithm that provides a range-based dwell time estimation for use with time-dependent fatigue damage models. To show the applicability, the method is used to calculate the life of solder joints under a complex thermal cycling regime and is verified by experimental testing. An additional algorithm is developed in this study to provide data reduction in the results of the rainflow counting. This algorithm uses a damage model and a statistical test to determine which of the resultant cycles are statistically insignificant to a given confidence level. This makes the resulting data file to be smaller, and for a simplified load history to be reconstructed.

L1 track finding for a time multiplexed trigger

At the HL-LHC, proton bunches will cross each other every 25. ns, producing an average of 140 pp-collisions per bunch crossing. To operate in such an environment, the CMS experiment will need a L1 hardware trigger able to identify interesting events within a latency of 12.5. μs. The future L1 trigger will make use also of data coming from the silicon tracker to control the trigger rate. The architecture that will be used in future to process tracker data is still under discussion. One interesting proposal makes use of the Time Multiplexed Trigger concept, already implemented in the CMS calorimeter trigger for the Phase I trigger upgrade. The proposed track finding algorithm is based on the Hough Transform method. The algorithm has been tested using simulated pp-collision data. Results show a very good tracking efficiency. The algorithm will be demonstrated in hardware in the coming months using the MP7, which is a μTCA board with a powerful FPGA capable of handling data rates approaching 1. Tb/s.

The multiscale entropy algorithm and its variants: a review

International audience

An adaptive neighborhood search algorithm for optimizing stochastic mining complexes

Les métaheuristiques sont très utilisées dans le domaine de l'optimisation discrète. Elles permettent d’obtenir une solution de bonne qualité en un temps raisonnable, pour des problèmes qui sont de grande taille, complexes, et difficiles à résoudre. Souvent, les métaheuristiques ont beaucoup de paramètres que l’utilisateur doit ajuster manuellement pour un problème donné. L'objectif d'une métaheuristique adaptative est de permettre l'ajustement automatique de certains paramètres par la méthode, en se basant sur l’instance à résoudre. La métaheuristique adaptative, en utilisant les connaissances préalables dans la compréhension du problème, des notions de l'apprentissage machine et des domaines associés, crée une méthode plus générale et automatique pour résoudre des problèmes. L’optimisation globale des complexes miniers vise à établir les mouvements des matériaux dans les mines et les flux de traitement afin de maximiser la valeur économique du système. Souvent, en raison du grand nombre de variables entières dans le modèle, de la présence de contraintes complexes et de contraintes non-linéaires, il devient prohibitif de résoudre ces modèles en utilisant les optimiseurs disponibles dans l’industrie. Par conséquent, les métaheuristiques sont souvent utilisées pour l’optimisation de complexes miniers. Ce mémoire améliore un procédé de recuit simulé développé par Goodfellow & Dimitrakopoulos (2016) pour l’optimisation stochastique des complexes miniers stochastiques. La méthode développée par les auteurs nécessite beaucoup de paramètres pour fonctionner. Un de ceux-ci est de savoir comment la méthode de recuit simulé cherche dans le voisinage local de solutions. Ce mémoire implémente une méthode adaptative de recherche dans le voisinage pour améliorer la qualité d'une solution. Les résultats numériques montrent une augmentation jusqu'à 10% de la valeur de la fonction économique.

A dedicated greedy pursuit algorithm for sparse spectral representation of music sound

A dedicated algorithm for sparse spectral representation of music sound is presented. The goal is to enable the representation of a piece of music signal as a linear superposition of as few spectral components as possible, without affecting the quality of the reproduction. A representation of this nature is said to be sparse. In the present context sparsity is accomplished by greedy selection of the spectral components, from an overcomplete set called a dictionary. The proposed algorithm is tailored to be applied with trigonometric dictionaries. Its distinctive feature being that it avoids the need for the actual construction of the whole dictionary, by implementing the required operations via the fast Fourier transform. The achieved sparsity is theoretically equivalent to that rendered by the orthogonal matching pursuit (OMP) method. The contribution of the proposed dedicated implementation is to extend the applicability of the standard OMP algorithm, by reducing its storage and computational demands. The suitability of the approach for producing sparse spectral representation is illustrated by comparison with the traditional method, in the line of the short time Fourier transform, involving only the corresponding orthonormal trigonometric basis.

An adaptive neighborhood search algorithm for optimizing stochastic mining complexes

Les métaheuristiques sont très utilisées dans le domaine de l'optimisation discrète. Elles permettent d’obtenir une solution de bonne qualité en un temps raisonnable, pour des problèmes qui sont de grande taille, complexes, et difficiles à résoudre. Souvent, les métaheuristiques ont beaucoup de paramètres que l’utilisateur doit ajuster manuellement pour un problème donné. L'objectif d'une métaheuristique adaptative est de permettre l'ajustement automatique de certains paramètres par la méthode, en se basant sur l’instance à résoudre. La métaheuristique adaptative, en utilisant les connaissances préalables dans la compréhension du problème, des notions de l'apprentissage machine et des domaines associés, crée une méthode plus générale et automatique pour résoudre des problèmes. L’optimisation globale des complexes miniers vise à établir les mouvements des matériaux dans les mines et les flux de traitement afin de maximiser la valeur économique du système. Souvent, en raison du grand nombre de variables entières dans le modèle, de la présence de contraintes complexes et de contraintes non-linéaires, il devient prohibitif de résoudre ces modèles en utilisant les optimiseurs disponibles dans l’industrie. Par conséquent, les métaheuristiques sont souvent utilisées pour l’optimisation de complexes miniers. Ce mémoire améliore un procédé de recuit simulé développé par Goodfellow & Dimitrakopoulos (2016) pour l’optimisation stochastique des complexes miniers stochastiques. La méthode développée par les auteurs nécessite beaucoup de paramètres pour fonctionner. Un de ceux-ci est de savoir comment la méthode de recuit simulé cherche dans le voisinage local de solutions. Ce mémoire implémente une méthode adaptative de recherche dans le voisinage pour améliorer la qualité d'une solution. Les résultats numériques montrent une augmentation jusqu'à 10% de la valeur de la fonction économique.