Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Process Monitoring and Defect Detection of Additive Manufacturing Using Inline Coherent Imaging

With applications ranging from aerospace to biomedicine, additive manufacturing (AM) has been revolutionizing the manufacturing industry. The ability of additive techniques, such as selective laser melting (SLM), to create fully functional, geometrically complex, and unique parts out of high strength materials is of great interest. Unfortunately, despite numerous advantages afforded by this technology, its widespread adoption is hindered by a lack of on-line, real time feedback control and quality assurance techniques. In this thesis, inline coherent imaging (ICI), a broadband, spatially coherent imaging technique, is used to observe the SLM process in 15 - 45 $\mu m$ 316L stainless steel. Imaging of both single and multilayer builds is performed at a rate of 200 $kHz$, with a resolution of tens of microns, and a high dynamic range rendering it impervious to blinding from the process beam. This allows imaging before, during, and after laser processing to observe changes in the morphology and stability of the melt. Galvanometer-based scanning of the imaging beam relative to the process beam during the creation of single tracks is used to gain a unique perspective of the SLM process that has been so far unobservable by other monitoring techniques. Single track processing is also used to investigate the possibility of a preliminary feedback control parameter based on the process beam power, through imaging with both coaxial and 100 $\mu m$ offset alignment with respect to the process beam. The 100 $\mu m$ offset improved imaging by increasing the number of bright A-lines (i.e. with signal greater than the 10 $dB$ noise floor) by 300\%. The overlap between adjacent tracks in a single layer is imaged to detect characteristic fault signatures. Full multilayer builds are carried out and the resultant ICI images are used to detect defects in the finished part and improve upon the initial design of the build system. Damage to the recoater blade is assessed using powder layer scans acquired during a 3D build. The ability of ICI to monitor SLM processes at such high rates with high resolution offers extraordinary potential for future advances in on-line feedback control of additive manufacturing.

Searching for Predictive Subgroups

Thesis (Ph.D.)--University of Washington, 2016-08

Security and Trust in Distributed Computation

We propose three research problems to explore the relations between trust and security in the setting of distributed computation. In the first problem, we study trust-based adversary detection in distributed consensus computation. The adversaries we consider behave arbitrarily disobeying the consensus protocol. We propose a trust-based consensus algorithm with local and global trust evaluations. The algorithm can be abstracted using a two-layer structure with the top layer running a trust-based consensus algorithm and the bottom layer as a subroutine executing a global trust update scheme. We utilize a set of pre-trusted nodes, headers, to propagate local trust opinions throughout the network. This two-layer framework is flexible in that it can be easily extensible to contain more complicated decision rules, and global trust schemes. The first problem assumes that normal nodes are homogeneous, i.e. it is guaranteed that a normal node always behaves as it is programmed. In the second and third problems however, we assume that nodes are heterogeneous, i.e, given a task, the probability that a node generates a correct answer varies from node to node. The adversaries considered in these two problems are workers from the open crowd who are either investing little efforts in the tasks assigned to them or intentionally give wrong answers to questions. In the second part of the thesis, we consider a typical crowdsourcing task that aggregates input from multiple workers as a problem in information fusion. To cope with the issue of noisy and sometimes malicious input from workers, trust is used to model workers' expertise. In a multi-domain knowledge learning task, however, using scalar-valued trust to model a worker's performance is not sufficient to reflect the worker's trustworthiness in each of the domains. To address this issue, we propose a probabilistic model to jointly infer multi-dimensional trust of workers, multi-domain properties of questions, and true labels of questions. Our model is very flexible and extensible to incorporate metadata associated with questions. To show that, we further propose two extended models, one of which handles input tasks with real-valued features and the other handles tasks with text features by incorporating topic models. Our models can effectively recover trust vectors of workers, which can be very useful in task assignment adaptive to workers' trust in the future. These results can be applied for fusion of information from multiple data sources like sensors, human input, machine learning results, or a hybrid of them. In the second subproblem, we address crowdsourcing with adversaries under logical constraints. We observe that questions are often not independent in real life applications. Instead, there are logical relations between them. Similarly, workers that provide answers are not independent of each other either. Answers given by workers with similar attributes tend to be correlated. Therefore, we propose a novel unified graphical model consisting of two layers. The top layer encodes domain knowledge which allows users to express logical relations using first-order logic rules and the bottom layer encodes a traditional crowdsourcing graphical model. Our model can be seen as a generalized probabilistic soft logic framework that encodes both logical relations and probabilistic dependencies. To solve the collective inference problem efficiently, we have devised a scalable joint inference algorithm based on the alternating direction method of multipliers. The third part of the thesis considers the problem of optimal assignment under budget constraints when workers are unreliable and sometimes malicious. In a real crowdsourcing market, each answer obtained from a worker incurs cost. The cost is associated with both the level of trustworthiness of workers and the difficulty of tasks. Typically, access to expert-level (more trustworthy) workers is more expensive than to average crowd and completion of a challenging task is more costly than a click-away question. In this problem, we address the problem of optimal assignment of heterogeneous tasks to workers of varying trust levels with budget constraints. Specifically, we design a trust-aware task allocation algorithm that takes as inputs the estimated trust of workers and pre-set budget, and outputs the optimal assignment of tasks to workers. We derive the bound of total error probability that relates to budget, trustworthiness of crowds, and costs of obtaining labels from crowds naturally. Higher budget, more trustworthy crowds, and less costly jobs result in a lower theoretical bound. Our allocation scheme does not depend on the specific design of the trust evaluation component. Therefore, it can be combined with generic trust evaluation algorithms.

MICROSCALE DIELECTRIC ANTI-REFLECTION COATINGS FOR PHOTOVOLTAICS

In order to power our planet for the next century, clean energy technologies need to be developed and deployed. Photovoltaic solar cells, which convert sunlight into electricity, are a clear option; however, they currently supply 0.1% of the US electricity due to the relatively high cost per Watt of generation. Thus, our goal is to create more power from a photovoltaic device, while simultaneously reducing its price. To accomplish this goal, we are creating new high efficiency anti-reflection coatings that allow more of the incident sunlight to be converted to electricity, using simple and inexpensive coating techniques that enable reduced manufacturing costs. Traditional anti-reflection coatings (consisting of thin layers of non-absorbing materials) rely on the destructive interference of the reflected light, causing more light to enter the device and subsequently get absorbed. While these coatings are used on nearly all commercial cells, they are wavelength dependent and are deposited using expensive processes that require elevated temperatures, which increase production cost and can be detrimental to some temperature sensitive solar cell materials. We are developing two new classes of anti-reflection coatings (ARCs) based on textured dielectric materials: (i) a transparent, flexible paper technology that relies on optical scattering and reduced refractive index contrast between the air and semiconductor and (ii) silicon dioxide (SiO2) nanosphere arrays that rely on collective optical resonances. Both techniques improve solar cell absorption and ultimately yield high efficiency, low cost devices. For the transparent paper-based ARCs, we have recently shown that they improve solar cell efficiencies for all angles of incident illumination reducing the need for costly tracking of the sun’s position. For a GaAs solar cell, we achieved a 24% improvement in the power conversion efficiency using this simple coating. Because the transparent paper is made from an earth abundant material (wood pulp) using an easy, inexpensive and scalable process, this type of ARC is an excellent candidate for future solar technologies. The coatings based on arrays of dielectric nanospheres also show excellent potential for inexpensive, high efficiency solar cells. The fabrication process is based on a Meyer rod rolling technique, which can be performed at room-temperature and applied to mass production, yielding a scalable and inexpensive manufacturing process. The deposited monolayer of SiO2 nanospheres, having a diameter of 500 nm on a bare Si wafer, leads to a significant increase in light absorption and a higher expected current density based on initial simulations, on the order of 15-20%. With application on a Si solar cell containing a traditional anti-reflection coating (Si3N4 thin-film), an additional increase in the spectral current density is observed, 5% beyond what a typical commercial device would achieve. Due to the coupling between the spheres originated from Whispering Gallery Modes (WGMs) inside each nanosphere, the incident light is strongly coupled into the high-index absorbing material, leading to increased light absorption. Furthermore, the SiO2 nanospheres scatter and diffract light in such a way that both the optical and electrical properties of the device have little dependence on incident angle, eliminating the need for solar tracking. Because the layer can be made with an easy, inexpensive, and scalable process, this anti-reflection coating is also an excellent candidate for replacing conventional technologies relying on complicated and expensive processes.

Optimization of Pattern Matching Algorithms for Multi- and Many-Core Platforms

Image and video compression play a major role in the world today, allowing the storage and transmission of large multimedia content volumes. However, the processing of this information requires high computational resources, hence the improvement of the computational performance of these compression algorithms is very important. The Multidimensional Multiscale Parser (MMP) is a pattern-matching-based compression algorithm for multimedia contents, namely images, achieving high compression ratios, maintaining good image quality, Rodrigues et al. [2008]. However, in comparison with other existing algorithms, this algorithm takes some time to execute. Therefore, two parallel implementations for GPUs were proposed by Ribeiro [2016] and Silva [2015] in CUDA and OpenCL-GPU, respectively. In this dissertation, to complement the referred work, we propose two parallel versions that run the MMP algorithm in CPU: one resorting to OpenMP and another that converts the existing OpenCL-GPU into OpenCL-CPU. The proposed solutions are able to improve the computational performance of MMP by 3 and 2:7 , respectively. The High Efficiency Video Coding (HEVC/H.265) is the most recent standard for compression of image and video. Its impressive compression performance, makes it a target for many adaptations, particularly for holoscopic image/video processing (or light field). Some of the proposed modifications to encode this new multimedia content are based on geometry-based disparity compensations (SS), developed by Conti et al. [2014], and a Geometric Transformations (GT) module, proposed by Monteiro et al. [2015]. These compression algorithms for holoscopic images based on HEVC present an implementation of specific search for similar micro-images that is more efficient than the one performed by HEVC, but its implementation is considerably slower than HEVC. In order to enable better execution times, we choose to use the OpenCL API as the GPU enabling language in order to increase the module performance. With its most costly setting, we are able to reduce the GT module execution time from 6.9 days to less then 4 hours, effectively attaining a speedup of 45 .

A link density clustering algorithm based on automatically selecting density peaks for overlapping community detection

Peer reviewed

Pose-based SLAM with probabilistic scan matching algorithm using a mechanical scanned imaging sonar

This paper proposes a pose-based algorithm to solve the full SLAM problem for an autonomous underwater vehicle (AUV), navigating in an unknown and possibly unstructured environment. The technique incorporate probabilistic scan matching with range scans gathered from a mechanical scanning imaging sonar (MSIS) and the robot dead-reckoning displacements estimated from a Doppler velocity log (DVL) and a motion reference unit (MRU). The proposed method utilizes two extended Kalman filters (EKF). The first, estimates the local path travelled by the robot while grabbing the scan as well as its uncertainty and provides position estimates for correcting the distortions that the vehicle motion produces in the acoustic images. The second is an augment state EKF that estimates and keeps the registered scans poses. The raw data from the sensors are processed and fused in-line. No priory structural information or initial pose are considered. The algorithm has been tested on an AUV guided along a 600 m path within a marina environment, showing the viability of the proposed approach

Pose-based SLAM with probabilistic scan matching algorithm using a mechanical scanned imaging sonar

This paper proposes a pose-based algorithm to solve the full SLAM problem for an autonomous underwater vehicle (AUV), navigating in an unknown and possibly unstructured environment. The technique incorporate probabilistic scan matching with range scans gathered from a mechanical scanning imaging sonar (MSIS) and the robot dead-reckoning displacements estimated from a Doppler velocity log (DVL) and a motion reference unit (MRU). The proposed method utilizes two extended Kalman filters (EKF). The first, estimates the local path travelled by the robot while grabbing the scan as well as its uncertainty and provides position estimates for correcting the distortions that the vehicle motion produces in the acoustic images. The second is an augment state EKF that estimates and keeps the registered scans poses. The raw data from the sensors are processed and fused in-line. No priory structural information or initial pose are considered. The algorithm has been tested on an AUV guided along a 600 m path within a marina environment, showing the viability of the proposed approach

Sparse kernel density estimator using orthogonal regression based on D-optimality experimental design

A novel sparse kernel density estimator is derived based on a regression approach, which selects a very small subset of significant kernels by means of the D-optimality experimental design criterion using an orthogonal forward selection procedure. The weights of the resulting sparse kernel model are calculated using the multiplicative nonnegative quadratic programming algorithm. The proposed method is computationally attractive, in comparison with many existing kernel density estimation algorithms. Our numerical results also show that the proposed method compares favourably with other existing methods, in terms of both test accuracy and model sparsity, for constructing kernel density estimates.

Regression based D-optimality experimental design for sparse kernel density estimation

This paper derives an efficient algorithm for constructing sparse kernel density (SKD) estimates. The algorithm first selects a very small subset of significant kernels using an orthogonal forward regression (OFR) procedure based on the D-optimality experimental design criterion. The weights of the resulting sparse kernel model are then calculated using a modified multiplicative nonnegative quadratic programming algorithm. Unlike most of the SKD estimators, the proposed D-optimality regression approach is an unsupervised construction algorithm and it does not require an empirical desired response for the kernel selection task. The strength of the D-optimality OFR is owing to the fact that the algorithm automatically selects a small subset of the most significant kernels related to the largest eigenvalues of the kernel design matrix, which counts for the most energy of the kernel training data, and this also guarantees the most accurate kernel weight estimate. The proposed method is also computationally attractive, in comparison with many existing SKD construction algorithms. Extensive numerical investigation demonstrates the ability of this regression-based approach to efficiently construct a very sparse kernel density estimate with excellent test accuracy, and our results show that the proposed method compares favourably with other existing sparse methods, in terms of test accuracy, model sparsity and complexity, for constructing kernel density estimates.

Adaptive nonlinear equalizer using a mixture of gaussians based on-line density estimator

This paper introduces a new adaptive nonlinear equalizer relying on a radial basis function (RBF) model, which is designed based on the minimum bit error rate (MBER) criterion, in the system setting of the intersymbol interference channel plus a co-channel interference. Our proposed algorithm is referred to as the on-line mixture of Gaussians estimator aided MBER (OMG-MBER) equalizer. Specifically, a mixture of Gaussians based probability density function (PDF) estimator is used to model the PDF of the decision variable, for which a novel on-line PDF update algorithm is derived to track the incoming data. With the aid of this novel on-line mixture of Gaussians based sample-by-sample updated PDF estimator, our adaptive nonlinear equalizer is capable of updating its equalizer’s parameters sample by sample to aim directly at minimizing the RBF nonlinear equalizer’s achievable bit error rate (BER). The proposed OMG-MBER equalizer significantly outperforms the existing on-line nonlinear MBER equalizer, known as the least bit error rate equalizer, in terms of both the convergence speed and the achievable BER, as is confirmed in our simulation study

Segmentation of Scanning Electron Microscopy Images From Natural Rubber Samples With Gold Nanoparticles Using Starlet Wavelets

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Next-Generation Sequencing-Based Mutations Scanning Strategy of the BCR-ABL Kinase Domain in Patients with PhiladelPhia-Chromosome Positive Leukemias Treated with Tyrosine Kinase Inhibitors

In chronic myeloid leukemia and Philadelphia-positive acute lymphoblastic leukemia patients resistant to tyrosine kinase inhibitors (TKIs), BCR-ABL kinase domain mutation status is an essential component of the therapeutic decision algorithm. The recent development of Ultra-Deep Sequencing approach (UDS) has opened the way to a more accurate characterization of the mutant clones surviving TKIs conjugating assay sensitivity and throughput. We decided to set-up and validated an UDS-based for BCR-ABL KD mutation screening in order to i) resolve qualitatively and quantitatively the complexity and the clonal structure of mutated populations surviving TKIs, ii) study the dynamic of expansion of mutated clones in relation to TKIs therapy, iii) assess whether UDS may allow more sensitive detection of emerging clones, harboring critical 2GTKIs-resistant mutations predicting for an impending relapse, earlier than SS. UDS was performed on a Roche GS Junior instrument, according to an amplicon sequencing design and protocol set up and validated in the framework of the IRON-II (Interlaboratory Robustness of Next-Generation Sequencing) International consortium.Samples from CML and Ph+ ALL patients who had developed resistance to one or multiple TKIs and collected at regular time-points during treatment were selected for this study. Our results indicate the technical feasibility, accuracy and robustness of our UDS-based BCR-ABL KD mutation screening approach. UDS was found to provide a more accurate picture of BCR-ABL KD mutation status, both in terms of presence/absence of mutations and in terms of clonal complexity and showed that BCR-ABL KD mutations detected by SS are only the “tip of iceberg”. In addition UDS may reliably pick 2GTKIs-resistant mutations earlier than SS in a significantly greater proportion of patients.The enhanced sensitivity as well as the possibility to identify low level mutations point the UDS-based approach as an ideal alternative to conventional sequencing for BCR-ABL KD mutation screening in TKIs-resistant Ph+ leukemia patients

Estimation of tool pose based on force-density correlation during robotic drilling

The application of image-guided systems with or without support by surgical robots relies on the accuracy of the navigation process, including patient-to-image registration. The surgeon must carry out the procedure based on the information provided by the navigation system, usually without being able to verify its correctness beyond visual inspection. Misleading surrogate parameters such as the fiducial registration error are often used to describe the success of the registration process, while a lack of methods describing the effects of navigation errors, such as those caused by tracking or calibration, may prevent the application of image guidance in certain accuracy-critical interventions. During minimally invasive mastoidectomy for cochlear implantation, a direct tunnel is drilled from the outside of the mastoid to a target on the cochlea based on registration using landmarks solely on the surface of the skull. Using this methodology, it is impossible to detect if the drill is advancing in the correct direction and that injury of the facial nerve will be avoided. To overcome this problem, a tool localization method based on drilling process information is proposed. The algorithm estimates the pose of a robot-guided surgical tool during a drilling task based on the correlation of the observed axial drilling force and the heterogeneous bone density in the mastoid extracted from 3-D image data. We present here one possible implementation of this method tested on ten tunnels drilled into three human cadaver specimens where an average tool localization accuracy of 0.29 mm was observed.