A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.

A deadline-constrained 802.11 MAC Protocol with QoS differentiation for soft real-time control

As one of the most widely used wireless network technologies, IEEE 802.11 wireless local area networks (WLANs) have found a dramatically increasing number of applications in soft real-time networked control systems (NCSs). To fulfill the real-time requirements in such NCSs, most of the bandwidth of the wireless networks need to be allocated to high-priority data for periodic measurements and control with deadline requirements. However, existing QoS-enabled 802.11 medium access control (MAC) protocols do not consider the deadline requirements explicitly, leading to unpredictable deadline performance of NCS networks. Consequentially, the soft real-time requirements of the periodic traffic may not be satisfied, particularly under congested network conditions. This paper makes two main contributions to address this problem in wireless NCSs. Firstly, a deadline-constrained MAC protocol with QoS differentiation is presented for IEEE 802.11 soft real-time NCSs. It handles periodic traffic by developing two specific mechanisms: a contention-sensitive backoff mechanism, and an intra-traffic-class QoS differentiation mechanism. Secondly, a theoretical model is established to describe the deadline-constrained MAC protocol and evaluate its performance of throughput, delay and packet-loss ratio in wireless NCSs. Numerical studies are conducted to validate the accuracy of the theoretical model and to demonstrate the effectiveness of the new MAC protocol.

Adsorption isotherms-microscopic modelling

The phenomenon of adsorption is governed by the various interactions among the constituents of the interface and the forms of adsorption isotherms hold the clue to the nature of the se in teractions. An understanding of this phenomenon may be said to be complete only when the parameters occurring in such expres - sions for isotherms are interpretable in terms of molecular/electronic interactions.This objective viz. expressing the composition of the isotherm parameters through a microscopic modelling is by no means a simple one. Such a task is particularly made difficult in the case of charged interfaces where idealisation is difficult to make and, when made, not so easy to justify.

Coarse-Grained Molecular Dynamics Simulation of the Aggregation Properties of Multiheaded Cationic Surfactants in Water

The aggregation property of multiheaded surfactants has been investigated by constant pressure molecular dynamics (MD) simulation in aqueous medium. The model multiheaded surfactants contain more than one headgroup (x = 2, 3, and 4) for a single tail group. This increases the hydrophilic charge progressively over the hydrophobic tail which has dramatic consequences in the aggregation behavior. In particular, we have looked at the change in the aggregation property such as critical micellar concentration (cmc), aggregation number, and size of the micelles for the multiheaded surfactants in water. We find with increasing number of headgroups of the Multiheaded surfactants that the cmc values increase and the aggregation numbers as well as the size of the micelles decrease. These trends are in agreement with the experimental findings as reported earlier with x = 1, 2, and 3. We also predict the aggregation properties of multiheaded surfactant With four headgroups (x = 4) for which no experimental studies exist yet.

Graphical simulation of Petri Nets

An interactive graphics package for modeling with Petri Nets has been implemented. It uses the VT-11 graphics terminal supported on the PDP-11/35 computer to draw, execute, analyze, edit and redraw a Petri Net. Each of the above mentioned tasks can be performed by selecting appropriate items from a menu displayed on the screen. Petri Nets with a reasonably large number of nodes can be created and analyzed using this package. The number of nodes supported may be increased by making simple changes in the program. Being interactive, the program seeks information from the user after displaying appropriate messages on the terminal. After completing the Petri Net, it may be executed step by step and the changes in the number of tokens may be observed on the screen, at each place. Some properties of Petri Nets like safety, boundedness, conservation and redundancy can be checked using this package. This package can be used very effectively for modeling asynchronous (concurrent) systems with Petri Nets and simulating the model by “graphical execution.”

Can current force fields reproduce ring puckering in 2-O-sulfo-α-l-iduronic acid? A molecular dynamics simulation study

The monosaccharide 2-O-sulfo-α-l-iduronic acid (IdoA2S) is one of the major components of glycosaminoglycans. The ability of molecular mechanics force fields to reproduce ring-puckering conformational equilibrium is important for the successful prediction of the free energies of interaction of these carbohydrates with proteins. Here we report unconstrained molecular dynamics simulations of IdoA2S monosaccharide that were carried out to investigate the ability of commonly used force fields to reproduce its ring conformational flexibility in aqueous solution. In particular, the distribution of ring conformer populations of IdoA2S was determined. The GROMOS96 force field with the SPC/E water potential can predict successfully the dominant skew-boat to chair conformational transition of the IdoA2S monosaccharide in aqueous solution. On the other hand, the GLYCAM06 force field with the TIP3P water potential sampled transitional conformations between the boat and chair forms. Simulations using the GROMOS96 force field showed no pseudorotational equilibrium fluctuations and hence no inter-conversion between the boat and twist boat ring conformers. Calculations of theoretical proton NMR coupling constants showed that the GROMOS96 force field can predict the skew-boat to chair conformational ratio in good agreement with the experiment, whereas GLYCAM06 shows worse agreement. The omega rotamer distribution about the C5–C6 bond was predicted by both force fields to have torsions around 10°, 190°, and 360°.

Molecular dynamics simulation of the phosphorylation-induced conformational changes of a tau peptide fragment

Aggregation of the microtubule associated protein tau (MAPT) within neurons of the brain is the leading cause of tauopathies such as Alzheimer's disease. MAPT is a phospho-protein that is selectively phosphorylated by a number of kinases in vivo to perform its biological function. However, it may become pathogenically hyperphosphorylated, causing aggregation into paired helical filaments and neurofibrillary tangles. The phosphorylation induced conformational change on a peptide of MAPT (htau225−250) was investigated by performing molecular dynamics simulations with different phosphorylation patterns of the peptide (pThr231 and/or pSer235) in different simulation conditions to determine the effect of ionic strength and phosphate charge. All phosphorylation patterns were found to disrupt a nascent terminal β-sheet pattern (226VAVVR230 and 244QTAPVP249), replacing it with a range of structures. The double pThr231/pSer235 phosphorylation pattern at experimental ionic strength resulted in the best agreement with NMR structural characterization, with the observation of a transient α-helix (239AKSRLQT245). PPII helical conformations were only found sporadically throughout the simulations. Proteins 2014; 82:1907–1923. © 2014 Wiley Periodicals, Inc.

Enhancing 'Mobility' through Integrated Transportation and Traffic Management

During the course of preparation of a master plan for the transportation networks in Bangalore city, mapping the various initiatives and interventions planned towards addressing mobility, existing situation and implications of some of the proposed interventions was analysed. The inferences are based on existing transportation network; synthesis of various transportation related studies and proposed infrastructure initiatives (road works) in Bangalore. Broadly, they can be summarized as following five aspects: I. Need for ~Sreclassifying~T existing road networks (arterial and sub-arterial) with effective geospatial database in the back-end. II. The proposed Core Ring Road at surface grade may not be feasible. III. Current interventions encouraging more independent motorable transport by way of road widening, construction of underpasses, flyovers and grade-separators would not ease traffic congestion when addressed in isolation. IV. Factors affecting time and cost-overruns in infrastructure projects and ways to tackle are discussed. V. Initiatives required for addressing effective planning for operations recommended.

Besides tracking: Simulation of RFID marketing and beyond

This paper asks a new question: how we can use RFID technology in marketing products in supermarkets and how we can measure its performance or ROI (Return-on-Investment). We try to answer the question by proposing a simulation model whereby customers become aware of other customers' real-time shopping behavior and may hence be influenced by their purchases and the levels of purchases. The proposed model is orthogonal to sales model and can have the similar effects: increase in the overall shopping volume. Managers often struggle with the prediction of ROI on purchasing such a technology, this simulation sets to provide them the answers of questions like the percentage of increase in sales given real-time purchase information to other customers. The simulation is also flexible to incorporate any given model of customers' behavior tailored to particular supermarket, settings, events or promotions. The results, although preliminary, are promising to use RFID technology for marketing products in supermarkets and provide several dimensions to look for influencing customers via feedback, real-time marketing, target advertisement and on-demand promotions. Several other parameters have been discussed including the herd behavior, fake customers, privacy, and optimality of sales-price margin and the ROI of investing in RFID technology for marketing purposes. © 2010 Springer Science+Business Media B.V.

Influencing customers through customers: Simulation of herd behavior in supermarkets

This work proposes a supermarket optimization simulation model called Swarm-Moves is based on self organized complex system studies to identify parameters and their values that can influence customers to buy more on impulse in a given period of time. In the proposed model, customers are assumed to have trolleys equipped with technology like RFID that can aid the passing of products' information directly from the store to them in real-time and vice-versa. Therefore, they can get the information about other customers purchase patterns and constantly informing the store of their own shopping behavior. This can be easily achieved because the trolleys "know" what products they contain at any point. The Swarm-Moves simulation is the virtual supermarket providing the visual display to run and test the proposed model. The simulation is also flexible to incorporate any given model of customers' behavior tailored to particular supermarket, settings, events or promotions. The results, although preliminary, are promising to use RFID technology for marketing products in supermarkets and provide several dimensions to look for influencing customers via feedback, real-time marketing, target advertisement and on-demand promotions. ©2009 IEEE.

Simulation of laminar flow in a three-dimensional lid-driven cavity by lattice Boltzmann method

Purpose - The purpose of this paper is to apply lattice Boltzmann equation method (LBM) with multiple relaxation time (MRT) model, to investigate lid-driven flow in a three-dimensional (3D), rectangular cavity, and compare the results with flow in an equivalent two-dimensional (2D) cavity. Design/methodology/approach - The second-order MRT model is implemented in a 3D LBM code. The flow structure in cavities of different aspect ratios (0.25-4) and Reynolds numbers (0.01-1000) is investigated. The LBM simulation results are compared with those from numerical solution of Navier-Stokes (NS) equations and with available experimental data. Findings - The 3D simulations demonstrate that 2D models may predict the flow structure reasonably well at low Reynolds numbers, but significant differences with experimental data appear at high Reynolds numbers. Such discrepancy between 2D and 3D results are attributed to the effect of boundary layers near the side-walls in transverse direction (in 3D), due to which the vorticity in the core-region is weakened in general. Secondly, owing to the vortex stretching effect present in 3D flow, the vorticity in the transverse plane intensifies whereas that in the lateral plane decays, with increase in Reynolds number. However, on the symmetry-plane, the flow structure variation with respect to cavity aspect ratio is found to be qualitatively consistent with results of 2D simulations. Secondary flow vortices whose axis is in the direction of the lid-motion are observed; these are weak at low. Reynolds numbers, but become quite strong at high Reynolds numbers. Originality/value - The findings will be useful in the study of variety of enclosed fluid flows.

Modeling finite buffer effects on TCP traffic over an IEEE 802.11 infrastructure WLAN

The network scenario is that of an infrastructure IEEE 802.11 WLAN with a single AP with which several stations (STAs) are associated. The AP has a finite size buffer for storing packets. In this scenario, we consider TCP-controlled upload and download file transfers between the STAs and a server on the wireline LAN (e.g., 100 Mbps Ethernet) to which the AP is connected. In such a situation, it is well known that because of packet losses due to finite buffers at the AP, upload file transfers obtain larger throughputs than download transfers. We provide an analytical model for estimating the upload and download throughputs as a function of the buffer size at the AP. We provide models for the undelayed and delayed ACK cases for a TCP that performs loss recovery only by timeout, and also for TCP Reno. The models are validated incomparison with NS2 simulations.

A real-time algorithm for simulation of flexible objects and hyper-redundant manipulators

Flexible objects such as a rope or snake move in a way such that their axial length remains almost constant. To simulate the motion of such an object, one strategy is to discretize the object into large number of small rigid links connected by joints. However, the resulting discretised system is highly redundant and the joint rotations for a desired Cartesian motion of any point on the object cannot be solved uniquely. In this paper, we revisit an algorithm, based on the classical tractrix curve, to resolve the redundancy in such hyper-redundant systems. For a desired motion of the `head' of a link, the `tail' is moved along a tractrix, and recursively all links of the discretised objects are moved along different tractrix curves. The algorithm is illustrated by simulations of a moving snake, tying of knots with a rope and a solution of the inverse kinematics of a planar hyper-redundant manipulator. The simulations show that the tractrix based algorithm leads to a more `natural' motion since the motion is distributed uniformly along the entire object with the displacements diminishing from the `head' to the `tail'.

Automatic wildfire detection and simulation using optical information from unmanned aerial systems

In many parts of the world, uncontrolled fires in sparsely populated areas are a major concern as they can quickly grow into large and destructive conflagrations in short time spans. Detecting these fires has traditionally been a job for trained humans on the ground, or in the air. In many cases, these manned solutions are simply not able to survey the amount of area necessary to maintain sufficient vigilance and coverage. This paper investigates the use of unmanned aerial systems (UAS) for automated wildfire detection. The proposed system uses low-cost, consumer-grade electronics and sensors combined with various airframes to create a system suitable for automatic detection of wildfires. The system employs automatic image processing techniques to analyze captured images and autonomously detect fire-related features such as fire lines, burnt regions, and flammable material. This image recognition algorithm is designed to cope with environmental occlusions such as shadows, smoke and obstructions. Once the fire is identified and classified, it is used to initialize a spatial/temporal fire simulation. This simulation is based on occupancy maps whose fidelity can be varied to include stochastic elements, various types of vegetation, weather conditions, and unique terrain. The simulations can be used to predict the effects of optimized firefighting methods to prevent the future propagation of the fires and greatly reduce time to detection of wildfires, thereby greatly minimizing the ensuing damage. This paper also documents experimental flight tests using a SenseFly Swinglet UAS conducted in Brisbane, Australia as well as modifications for custom UAS.