Models of Alternating Renewal Process at Discrete Time

We study a class of models used with success in the modelling of climatological sequences. These models are based on the notion of renewal. At first, we examine the probabilistic aspects of these models to afterwards study the estimation of their parameters and their asymptotical properties, in particular the consistence and the normality. We will discuss for applications, two particular classes of alternating renewal processes at discrete time. The first class is defined by laws of sojourn time that are translated negative binomial laws and the second class, suggested by Green is deduced from alternating renewal process in continuous time with sojourn time laws which are exponential laws with parameters α^0 and α^1 respectively.

Notes on the Solution of Dynamic Optimization Problems with Explicit Controls in Discrete-Time Economic Models

Йордан Йорданов, Андрей Василев - В работата се изследват методи за решаването на задачи на оптималното управление в дискретно време с безкраен хоризонт и явни управления. Дадена е обосновка на една процедура за решаване на такива задачи, базирана на множители на Лагранж, коята често се употребява в икономическата литература. Извеждени са необходимите условия за оптималност на базата на уравнения на Белман и са приведени достатъчни условия за оптималност при допускания, които често се използват в икономиката.

An edge-based matching kernel through discrete-time quantum walks

In this paper, we propose a new edge-based matching kernel for graphs by using discrete-time quantum walks. To this end, we commence by transforming a graph into a directed line graph. The reasons of using the line graph structure are twofold. First, for a graph, its directed line graph is a dual representation and each vertex of the line graph represents a corresponding edge in the original graph. Second, we show that the discrete-time quantum walk can be seen as a walk on the line graph and the state space of the walk is the vertex set of the line graph, i.e., the state space of the walk is the edges of the original graph. As a result, the directed line graph provides an elegant way of developing new edge-based matching kernel based on discrete-time quantum walks. For a pair of graphs, we compute the h-layer depth-based representation for each vertex of their directed line graphs by computing entropic signatures (computed from discrete-time quantum walks on the line graphs) on the family of K-layer expansion subgraphs rooted at the vertex, i.e., we compute the depth-based representations for edges of the original graphs through their directed line graphs. Based on the new representations, we define an edge-based matching method for the pair of graphs by aligning the h-layer depth-based representations computed through the directed line graphs. The new edge-based matching kernel is thus computed by counting the number of matched vertices identified by the matching method on the directed line graphs. Experiments on standard graph datasets demonstrate the effectiveness of our new kernel.

A quantum Jensen-Shannon graph kernel using discrete-time quantum walks

In this paper, we develop a new graph kernel by using the quantum Jensen-Shannon divergence and the discrete-time quantum walk. To this end, we commence by performing a discrete-time quantum walk to compute a density matrix over each graph being compared. For a pair of graphs, we compare the mixed quantum states represented by their density matrices using the quantum Jensen-Shannon divergence. With the density matrices for a pair of graphs to hand, the quantum graph kernel between the pair of graphs is defined by exponentiating the negative quantum Jensen-Shannon divergence between the graph density matrices. We evaluate the performance of our kernel on several standard graph datasets, and demonstrate the effectiveness of the new kernel.

Discrete Time Bisexual Branching Processes in Varying Environments

2000 Mathematics Subject Classification: 60J80

A Computational Approach for the Statistical Estimation of Discrete Time Branching Processes with Immigration

2010 Mathematics Subject Classification: 60J80.

Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Perturbative discrete-time multivariate fiber channel model with finite memory

We introduce a discrete-time fibre channel model that provides an accurate analytical description of signal-signal and signal-noise interference with memory defined by the interplay of nonlinearity and dispersion. Also the conditional pdf of signal distortion, which captures non-circular complex multivariate symbol interactions, is derived providing the necessary platform for the analysis of channel statistics and capacity estimations in fibre optic links.

Noise resilient discrete-time cross-relation sensor characterisation

In-situ characterisation of thermocouple sensors is a challenging problem. Recently the authors presented a blind characterisation technique based on the cross-relation method of blind identification. The method allows in-situ identification of two thermocouple probes, each with a different dynamic response, using only sampled sensor measurement data. While the technique offers certain advantages over alternative methods, including low estimation variance and the ability to compensate for noise induced bias, the robustness of the method is limited by the multimodal nature of the cost function. In this paper, a normalisation term is proposed which improves the convexity of
the cost function. Further, a normalisation and bias compensation hybrid approach is presented that exploits the advantages of both normalisation and bias compensation. It is found that the optimum of the hybrid cost function is less biased and more stable than when only normalisation is applied. All results were verified by simulation.

A Valuation Analysis of the Physical Oceanographic Real Time System (PORTS)

This analysis estimates several economic benefits derived from national implementation of the National Oceanic and Atmospheric Administration’s Physical Oceanographic Real-Time System (PORTS®) at the 175 largest ports in the United States. Significant benefits were observed owing to: (1) lower commercial marine accident rates and resultant reductions in morbidity, mortality and property damage; (2) reduced pollution remediation costs; and, (3) increased productivity associated with operation of more fully loaded commercial vessels. Evidence also suggested additional benefits from heightened commercial and recreational fish catch and diminished recreational boating accidents. Annual gross benefits from 58 current PORTS® locations exceeded $217 million with an addition $83 million possible if installed at the largest remaining 117 ports in the United States. Over the ten-year economic life of PORTS® instruments, the present value for installation at all 175 ports could approach $2.5 billion.

Rational Function Interpolation of Electromagnetic Transfer Functions of High-Speed Interconnect Systems from Discrete Time-Domain and Frequency-Domain Data

We present new methodologies to generate rational function approximations of broadband electromagnetic responses of linear and passive networks of high-speed interconnects, and to construct SPICE-compatible, equivalent circuit representations of the generated rational functions. These new methodologies are driven by the desire to improve the computational efficiency of the rational function fitting process, and to ensure enhanced accuracy of the generated rational function interpolation and its equivalent circuit representation. Toward this goal, we propose two new methodologies for rational function approximation of high-speed interconnect network responses. The first one relies on the use of both time-domain and frequency-domain data, obtained either through measurement or numerical simulation, to generate a rational function representation that extrapolates the input, early-time transient response data to late-time response while at the same time providing a means to both interpolate and extrapolate the used frequency-domain data. The aforementioned hybrid methodology can be considered as a generalization of the frequency-domain rational function fitting utilizing frequency-domain response data only, and the time-domain rational function fitting utilizing transient response data only. In this context, a guideline is proposed for estimating the order of the rational function approximation from transient data. The availability of such an estimate expedites the time-domain rational function fitting process. The second approach relies on the extraction of the delay associated with causal electromagnetic responses of interconnect systems to provide for a more stable rational function process utilizing a lower-order rational function interpolation. A distinctive feature of the proposed methodology is its utilization of scattering parameters. For both methodologies, the approach of fitting the electromagnetic network matrix one element at a time is applied. It is shown that, with regard to the computational cost of the rational function fitting process, such an element-by-element rational function fitting is more advantageous than full matrix fitting for systems with a large number of ports. Despite the disadvantage that different sets of poles are used in the rational function of different elements in the network matrix, such an approach provides for improved accuracy in the fitting of network matrices of systems characterized by both strongly coupled and weakly coupled ports. Finally, in order to provide a means for enforcing passivity in the adopted element-by-element rational function fitting approach, the methodology for passivity enforcement via quadratic programming is modified appropriately for this purpose and demonstrated in the context of element-by-element rational function fitting of the admittance matrix of an electromagnetic multiport.

Development of a Real Time System in Algol 68.

For various reasons, many Algol 68 compilers do not directly implement the parallel processing operations defined in the Revised Algol 68 Report. It is still possible however, to perform parallel processing, multitasking and simulation provided that the implementation permits the creation of a master routine for the coordination and initiation of processes under its control. The package described here is intended for real time applications and runs in conjunction with the Algol 68R system; it extends and develops the original Algol 68RT package, which was designed for use with multiplexers at the Royal Radar Establishment, Malvern. The facilities provided, in addition to the synchronising operations, include an interface to an ICL Communications Processor enabling the abstract processes to be realised as the interaction of several teletypes or visual display units with a real time program providing a useful service.

Decoherence models for discrete-time quantum walks and their application to neutral atom experiments

We discuss decoherence in discrete-time quantum walks in terms of a phenomenological model that distinguishes spin and spatial decoherence. We identify the dominating mechanisms that affect quantum-walk experiments realized with neutral atoms walking in an optical lattice. From the measured spatial distributions, we determine with good precision the amount of decoherence per step, which provides a quantitative indication of the quality of our quantum walks. In particular, we find that spin decoherence is the main mechanism responsible for the loss of coherence in our experiment. We also find that the sole observation of ballistic-instead of diffusive-expansion in position space is not a good indicator of the range of coherent delocalization. We provide further physical insight by distinguishing the effects of short- and long-time spin dephasing mechanisms. We introduce the concept of coherence length in the discrete-time quantum walk, which quantifies the range of spatial coherences. Unexpectedly, we find that quasi-stationary dephasing does not modify the local properties of the quantum walk, but instead affects spatial coherences. For a visual representation of decoherence phenomena in phase space, we have developed a formalism based on a discrete analogue of the Wigner function. We show that the effects of spin and spatial decoherence differ dramatically in momentum space.

Quantum kernels for unattributed graphs using discrete-time quantum walks

In this paper, we develop a new family of graph kernels where the graph structure is probed by means of a discrete-time quantum walk. Given a pair of graphs, we let a quantum walk evolve on each graph and compute a density matrix with each walk. With the density matrices for the pair of graphs to hand, the kernel between the graphs is defined as the negative exponential of the quantum Jensen–Shannon divergence between their density matrices. In order to cope with large graph structures, we propose to construct a sparser version of the original graphs using the simplification method introduced in Qiu and Hancock (2007). To this end, we compute the minimum spanning tree over the commute time matrix of a graph. This spanning tree representation minimizes the number of edges of the original graph while preserving most of its structural information. The kernel between two graphs is then computed on their respective minimum spanning trees. We evaluate the performance of the proposed kernels on several standard graph datasets and we demonstrate their effectiveness and efficiency.

Optimal simultaneous maximum a posterioriestimation of states, noise statistics and parameters I. Algorithm

The simultaneous state and parameter estimation problem for a linear discrete-time system with unknown noise statistics is treated as a large-scale optimization problem. The a posterioriprobability density function is maximized directly with respect to the states and parameters subject to the constraint of the system dynamics. The resulting optimization problem is too large for any of the standard non-linear programming techniques and hence an hierarchical optimization approach is proposed. It turns out that the states can be computed at the first levelfor given noise and system parameters. These, in turn, are to be modified at the second level.The states are to be computed from a large system of linear equations and two solution methods are considered for solving these equations, limiting the horizon to a suitable length. The resulting algorithm is a filter-smoother, suitable for off-line as well as on-line state estimation for given noise and system parameters. The second level problem is split up into two, one for modifying the noise statistics and the other for modifying the system parameters. An adaptive relaxation technique is proposed for modifying the noise statistics and a modified Gauss-Newton technique is used to adjust the system parameters.