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.

SEQUENTIAL DECISIONS AND PREDICTIONS IN NATURAL LANGUAGE PROCESSING

Natural language processing has achieved great success in a wide range of ap- plications, producing both commercial language services and open-source language tools. However, most methods take a static or batch approach, assuming that the model has all information it needs and makes a one-time prediction. In this disser- tation, we study dynamic problems where the input comes in a sequence instead of all at once, and the output must be produced while the input is arriving. In these problems, predictions are often made based only on partial information. We see this dynamic setting in many real-time, interactive applications. These problems usually involve a trade-off between the amount of input received (cost) and the quality of the output prediction (accuracy). Therefore, the evaluation considers both objectives (e.g., plotting a Pareto curve). Our goal is to develop a formal understanding of sequential prediction and decision-making problems in natural language processing and to propose efficient solutions. Toward this end, we present meta-algorithms that take an existent batch model and produce a dynamic model to handle sequential inputs and outputs. Webuild our framework upon theories of Markov Decision Process (MDP), which allows learning to trade off competing objectives in a principled way. The main machine learning techniques we use are from imitation learning and reinforcement learning, and we advance current techniques to tackle problems arising in our settings. We evaluate our algorithm on a variety of applications, including dependency parsing, machine translation, and question answering. We show that our approach achieves a better cost-accuracy trade-off than the batch approach and heuristic-based decision- making approaches. We first propose a general framework for cost-sensitive prediction, where dif- ferent parts of the input come at different costs. We formulate a decision-making process that selects pieces of the input sequentially, and the selection is adaptive to each instance. Our approach is evaluated on both standard classification tasks and a structured prediction task (dependency parsing). We show that it achieves similar prediction quality to methods that use all input, while inducing a much smaller cost. Next, we extend the framework to problems where the input is revealed incremen- tally in a fixed order. We study two applications: simultaneous machine translation and quiz bowl (incremental text classification). We discuss challenges in this set- ting and show that adding domain knowledge eases the decision-making problem. A central theme throughout the chapters is an MDP formulation of a challenging problem with sequential input/output and trade-off decisions, accompanied by a learning algorithm that solves the MDP.

Méthodologie de conversion de dictionnaires spécialisés en dictionnaires d’apprentissage : application au domaine de l’informatique

This work describes a methodology for converting a specialized dictionary into a learner’s dictionary. The dictionary to which we apply our conversion method is the DiCoInfo, Dictionnaire fondamental de l’informatique et de l’Internet. We focus on changes affecting the presentation of data categories. What is meant by specialized dictionary for learners, in our case, is a dictionary covering the field of computer science and Internet meeting our users’ needs in communicative and cognitive situations. Our dictionary is aimed at learners’ of the computing language. We start by presenting a detailed description of four dictionaries for learners. We explain how the observations made on these resources have helped us in developing our methodology.In order to develop our methodology, first, based on Bergenholtz and Tarp’s works (Bergenholtz 2003; Tarp 2008; Fuertes Olivera and Tarp 2011), we defined the type of users who may use our dictionary. Translators are our first intended users. Other users working in the fields related to translation are also targeted: proofreaders, technical writers, interpreters. We also determined the use situations of our dictionary. It aims to assist the learners in solving text reception and text production problems (communicative situations) and in studying the terminology of computing (cognitive situations). Thus, we could establish its lexicographical functions: communicative and cognitive functions. Then, we extracted 50 articles from the DiCoInfo to which we applied a number of changes in different aspects: the layout, the presentation of data, the navigation and the use of multimedia. The changes were made according to two fundamental parameters: 1) simplification of the presentation; 2) lexicographic functions (which include the intended users and user’s situations). In this way, we exploited the widgets offered by the technology to update the interface and layout. Strategies have been developed to organize a large number of lexical links in a simpler way. We associated these links with examples showing their use in specific contexts. Multimedia as audio pronunciation and illustrations has been used.

Análise teórica e experimental da energia despendida no exercício de extensão do joelho para aplicações em engenharia de reabilitação

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Sviluppo di un'applicazione bioinformatica per la gestione dei dati di antibiotico sensibilità di isolati clinici

Il problema dell'antibiotico-resistenza è un problema di sanità pubblica per affrontare il quale è necessario un sistema di sorveglianza basato sulla raccolta e l'analisi dei dati epidemiologici di laboratorio. Il progetto di dottorato è consistito nello sviluppo di una applicazione web per la gestione di tali dati di antibiotico sensibilità di isolati clinici utilizzabile a livello di ospedale. Si è creata una piattaforma web associata a un database relazionale per avere un’applicazione dinamica che potesse essere aggiornata facilmente inserendo nuovi dati senza dover manualmente modificare le pagine HTML che compongono l’applicazione stessa. E’ stato utilizzato il database open-source MySQL in quanto presenta numerosi vantaggi: estremamente stabile, elevate prestazioni, supportato da una grande comunità online ed inoltre gratuito. Il contenuto dinamico dell’applicazione web deve essere generato da un linguaggio di programmazione tipo “scripting” che automatizzi operazioni di inserimento, modifica, cancellazione, visualizzazione di larghe quantità di dati. E’ stato scelto il PHP, linguaggio open-source sviluppato appositamente per la realizzazione di pagine web dinamiche, perfettamente utilizzabile con il database MySQL. E’ stata definita l’architettura del database creando le tabelle contenenti i dati e le relazioni tra di esse: le anagrafiche, i dati relativi ai campioni, microrganismi isolati e agli antibiogrammi con le categorie interpretative relative al dato antibiotico. Definite tabelle e relazioni del database è stato scritto il codice associato alle funzioni principali: inserimento manuale di antibiogrammi, importazione di antibiogrammi multipli provenienti da file esportati da strumenti automatizzati, modifica/eliminazione degli antibiogrammi precedenti inseriti nel sistema, analisi dei dati presenti nel database con tendenze e andamenti relativi alla prevalenza di specie microbiche e alla chemioresistenza degli stessi, corredate da grafici. Lo sviluppo ha incluso continui test delle funzioni via via implementate usando reali dati clinici e sono stati introdotti appositi controlli e l’introduzione di una semplice e pulita veste grafica.

XML for Model Specification in Neuroscience

One of the main roles of the Neural Open Markup Language, NeuroML, is to facilitate cooperation in building, simulating, testing and publishing models of channels, neurons and networks of neurons. MorphML, which was developed as a common format for exchange of neural morphology data, is distributed as part of NeuroML but can be used as a stand-alone application. In this collection of tutorials and workshop summary, we provide an overview of these XML schemas and provide examples of their use in down-stream applications. We also summarize plans for the further development of XML specifications for modeling channels, channel distributions, and network connectivity.

Machine learning classification of surgical pathology reports and chunk recognition for information extraction noise reduction

Background and aims: Machine learning techniques for the text mining of cancer-related clinical documents have not been sufficiently explored. Here some techniques are presented for the pre-processing of free-text breast cancer pathology reports, with the aim of facilitating the extraction of information relevant to cancer staging.

Materials and methods: The first technique was implemented using the freely available software RapidMiner to classify the reports according to their general layout: ‘semi-structured’ and ‘unstructured’. The second technique was developed using the open source language engineering framework GATE and aimed at the prediction of chunks of the report text containing information pertaining to the cancer morphology, the tumour size, its hormone receptor status and the number of positive nodes. The classifiers were trained and tested respectively on sets of 635 and 163 manually classified or annotated reports, from the Northern Ireland Cancer Registry.

Results: The best result of 99.4% accuracy – which included only one semi-structured report predicted as unstructured – was produced by the layout classifier with the k nearest algorithm, using the binary term occurrence word vector type with stopword filter and pruning. For chunk recognition, the best results were found using the PAUM algorithm with the same parameters for all cases, except for the prediction of chunks containing cancer morphology. For semi-structured reports the performance ranged from 0.97 to 0.94 and from 0.92 to 0.83 in precision and recall, while for unstructured reports performance ranged from 0.91 to 0.64 and from 0.68 to 0.41 in precision and recall. Poor results were found when the classifier was trained on semi-structured reports but tested on unstructured.

Conclusions: These results show that it is possible and beneficial to predict the layout of reports and that the accuracy of prediction of which segments of a report may contain certain information is sensitive to the report layout and the type of information sought.

Entropy effect in quantum computing and information: an open-source environment simulation

The technologies are rapidly developing, but some of them present in the computers, as for instance their processing capacity, are reaching their physical limits. It is up to quantum computation offer solutions to these limitations and issues that may arise. In the field of information security, encryption is of paramount importance, being then the development of quantum methods instead of the classics, given the computational power offered by quantum computing. In the quantum world, the physical states are interrelated, thus occurring phenomenon called entanglement. This study presents both a theoretical essay on the merits of quantum mechanics, computing, information, cryptography and quantum entropy, and some simulations, implementing in C language the effects of entropy of entanglement of photons in a data transmission, using Von Neumann entropy and Tsallis entropy.

Street computing : towards an integrated open data Application Programming Interface (API) for cities

This special issue of the Journal of Urban Technology brings together five articles that are based on presentations given at the Street Computing workshop held on 24 November 2009 in Melbourne in conjunction with the Australian Computer-Human Interaction conference (OZCHI 2009). Our own article introduces the Street Computing vision and explores the potential, challenges and foundations of this research vision. In order to do so, we first look at the currently available sources of information and discuss their link to existing research efforts. Section 2 then introduces the notion of Street Computing and our research approach in more detail. Section 3 looks beyond the core concept itself and summarises related work in this field of interest.

Street computing : towards an integrated open data Application Programming Interface (API) for cities

This special issue of the Journal of Urban Technology brings together five articles that are based on presentations given at the Street Computing Workshop held on 24 November 2009 in Melbourne in conjunction with the Australian Computer- Human Interaction conference (OZCHI 2009). Our own article introduces the Street Computing vision and explores the potential, challenges, and foundations of this research trajectory. In order to do so, we first look at the currently available sources of information and discuss their link to existing research efforts. Section 2 then introduces the notion of Street Computing and our research approach in more detail. Section 3 looks beyond the core concept itself and summarizes related work in this field of interest. We conclude by introducing the papers that have been contributed to this special issue.

Building sensitising terms to understand free-play in open-ended interactive art environments

In this paper we introduce and discuss the nature of free-play in the context of three open-ended interactive art installation works. We observe the interaction work of situated free-play of the participants in these environments and, building on precedent work, devise a set of sensitising terms derived both from the literature and from what we observe from participants interacting there. These sensitising terms act as guides and are designed to be used by those who experience, evaluate or report on open-ended interactive art. That is, we propose these terms as a common-ground language to be used by participants communicating while in the art work to describe their experience, by researchers in the various stages of research process (observation, coding activity, analysis, reporting, and publication), and by inter-disciplinary researchers working across the fields of HCI and art. This work builds a foundation for understanding the relationship between free-play, open-ended environments, and interactive installations and contributes sensitising terms useful for the HCI community for discussion and analysis of open-ended interactive art works.

Identity, addressing, authenticity and audit requirements for trust in ERP, analytics and big/open data in a “Cloud” computing environment : a review and proposal

Enterprises, both public and private, have rapidly commenced using the benefits of enterprise resource planning (ERP) combined with business analytics and “open data sets” which are often outside the control of the enterprise to gain further efficiencies, build new service operations and increase business activity. In many cases, these business activities are based around relevant software systems hosted in a “cloud computing” environment. “Garbage in, garbage out”, or “GIGO”, is a term long used to describe problems in unqualified dependency on information systems, dating from the 1960s. However, a more pertinent variation arose sometime later, namely “garbage in, gospel out” signifying that with large scale information systems, such as ERP and usage of open datasets in a cloud environment, the ability to verify the authenticity of those data sets used may be almost impossible, resulting in dependence upon questionable results. Illicit data set “impersonation” becomes a reality. At the same time the ability to audit such results may be an important requirement, particularly in the public sector. This paper discusses the need for enhancement of identity, reliability, authenticity and audit services, including naming and addressing services, in this emerging environment and analyses some current technologies that are offered and which may be appropriate. However, severe limitations to addressing these requirements have been identified and the paper proposes further research work in the area.

Educational paradox : the hidden obstacles to the integration of mobile phones in the language classroom

This paper reports on the findings of an international telecollaboration study using Facebook, in which teachers studying in M. Ed programs in Australia and Greece, discussed the use of mobile phones in language classrooms. Results suggest that invisible barriers exist in the use of mobile phones in the classroom, including bans on use in schools, lack of familiarity with educational uses for mobile phones, and negative perceptions about mobile phones specifically in terms of classroom management.

An Open and Social Spaced Repetition System for Language Learning

In the last decades big improvements have been done in the field of computer aided learning, based on improvements done in computer science and computer systems. Although the field has been always a bit lagged, without using the latest solutions, it has constantly gone forward taking profit of the innovations as they show up. As long as the train of the computer science does not stop (and it won’t at least in the near future) the systems that take profit of those improvements will not either, because we humans will always need to study; Sometimes for pleasure and some other many times out of need. Not all the attempts in the field of computer aided learning have been in the same direction. Most of them address one or some few of the problems that show while studying and don’t take into account solutions proposed for some other problems. The reasons for this can be varied. Sometimes the solutions simply are not compatible. Some other times, because the project is an investigation it’s interesting to isolate the problem. And, in commercial products, licenses and patents often prevent the new projects to use previous work. The world moved forward and this is an attempt to use some of the options offered by technology, mixing some old ideas with new ones.

Open Issues on TCP for Mobile Computing

We discuss the design principles of TCP within the context of heterogeneous wired/wireless networks and mobile networking. We identify three shortcomings in TCP's behavior: (i) the protocol's error detection mechanism, which does not distinguish different types of errors and thus does not suffice for heterogeneous wired/wireless environments, (ii) the error recovery, which is not responsive to the distinctive characteristics of wireless networks such as transient or burst errors due to handoffs and fading channels, and (iii) the protocol strategy, which does not control the tradeoff between performance measures such as goodput and energy consumption, and often entails a wasteful effort of retransmission and energy expenditure. We discuss a solution-framework based on selected research proposals and the associated evaluation criteria for the suggested modifications. We highlight an important angle that did not attract the required attention so far: the need for new performance metrics, appropriate for evaluating the impact of protocol strategies on battery-powered devices.