An acceleration simulation method for power law priority traffic

A method for accelerated simulation for simulated self-similar processes is proposed. This technique simplifies the simulation model and improves the efficiency by using excess packets instead of packet-by-packet source traffic for a FIFO and non-FIFO buffer scheduler. In this research is focusing on developing an equivalent model of the conventional packet buffer that can produce an output analysis (which in this case will be the steady state probability) much faster. This acceleration simulation method is a further development of the Traffic Aggregation technique, which had previously been applied to FIFO buffers only and applies the Generalized Ballot Theorem to calculate the waiting time for the low priority traffic (combined with prior work on traffic aggregation). This hybrid method is shown to provide a significant reduction in the process time, while maintaining queuing behavior in the buffer that is highly accurate when compared to results from a conventional simulatio

A hybrid queueing model for fast broadband networking simulation

PhDThis research focuses on the investigation of a fast simulation method for broadband telecommunication networks, such as ATM networks and IP networks. As a result of this research, a hybrid simulation model is proposed, which combines the analytical modelling and event-driven simulation modelling to speeding up the overall simulation. The division between foreground and background traffic and the way of dealing with these different types of traffic to achieve improvement in simulation time is the major contribution reported in this thesis. Background traffic is present to ensure that proper buffering behaviour is included during the course of the simulation experiments, but only the foreground traffic of interest is simulated, unlike traditional simulation techniques. Foreground and background traffic are dealt with in a different way. To avoid the need for extra events on the event list, and the processing overhead, associated with the background traffic, the novel technique investigated in this research is to remove the background traffic completely, adjusting the service time of the queues for the background traffic to compensate (in most cases, the service time for the foreground traffic will increase). By removing the background traffic from the event-driven simulator the number of cell processing events dealt with is reduced drastically. Validation of this approach shows that, overall, the method works well, but the simulation using this method does have some differences compared with experimental results on a testbed. The reason for this is mainly because of the assumptions behind the analytical model that make the modelling tractable. Hence, the analytical model needs to be adjusted. This is done by having a neural network trained to learn the relationship between the input traffic parameters and the output difference between the proposed model and the testbed. Following this training, simulations can be run using the output of the neural network to adjust the analytical model for those particular traffic conditions. The approach is applied to cell scale and burst scale queueing to simulate an ATM switch, and it is also used to simulate an IP router. In all the applications, the method ensures a fast simulation as well as an accurate result

Concurrent cell rate simulation of ATM telecommunications network.

PhDAbstract not availabl

American Option Pricing using Self-Attention GRU and Shapley Value Interpretation

Options, serving as a crucial financial instrument, are used by investors to manage and mitigate their investment risks within the securities market. Precisely predicting the present price of an option enables investors to make informed and efficient decisions. In this paper, we propose a machine learning method for forecasting the prices of SPY (ETF) option based on gated recurrent unit (GRU) and self-attention mechanism. We first partitioned the raw dataset into 15 subsets according to moneyness and days to maturity criteria. For each subset, we matched the corresponding U.S. government bond rates and Implied Volatility Indices. This segmentation allows for a more insightful exploration of the impacts of risk-free rates and underlying volatility on option pricing. Next, we built four different machine learning models, including multilayer perceptron (MLP), long short-term memory (LSTM), self-attention LSTM, and self-attention GRU in comparison to the traditional binomial model. The empirical result shows that self-attention GRU with historical data outperforms other models due to its ability to capture complex temporal dependencies and leverage the contextual information embedded in the historical data. Finally, in order to unveil the "black box" of artificial intelligence, we employed the SHapley Additive exPlanations (SHAP) method to interpret and analyze the prediction results of the self-attention GRU model with historical data. This provides insights into the significance and contributions of different input features on the pricing of American-style options.Comment: Working pape

Research Projects, Technical Reports and Publications

The Research Institute for Advanced Computer Science (RIACS) was established by the Universities Space Research Association (USRA) at the NASA Ames Research Center (ARC) on June 6, 1983. RIACS is privately operated by USRA, a consortium of universities with research programs in the aerospace sciences, under contract with NASA. The primary mission of RIACS is to provide research and expertise in computer science and scientific computing to support the scientific missions of NASA ARC. The research carried out at RIACS must change its emphasis from year to year in response to NASA ARC's changing needs and technological opportunities. A flexible scientific staff is provided through a university faculty visitor program, a post doctoral program, and a student visitor program. Not only does this provide appropriate expertise but it also introduces scientists outside of NASA to NASA problems. A small group of core RIACS staff provides continuity and interacts with an ARC technical monitor and scientific advisory group to determine the RIACS mission. RIACS activities are reviewed and monitored by a USRA advisory council and ARC technical monitor. Research at RIACS is currently being done in the following areas: Advanced Methods for Scientific Computing High Performance Networks During this report pefiod Professor Antony Jameson of Princeton University, Professor Wei-Pai Tang of the University of Waterloo, Professor Marsha Berger of New York University, Professor Tony Chan of UCLA, Associate Professor David Zingg of University of Toronto, Canada and Assistant Professor Andrew Sohn of New Jersey Institute of Technology have been visiting RIACS. January 1, 1996 through September 30, 1996 RIACS had three staff scientists, four visiting scientists, one post-doctoral scientist, three consultants, two research associates and one research assistant. RIACS held a joint workshop with Code 1 29-30 July 1996. The workshop was held to discuss needs and opportunities in basic research in computer science in and for NASA applications. There were 14 talks given by NASA, industry and university scientists and three open discussion sessions. There were approximately fifty participants. A proceedings is being prepared. It is planned to have similar workshops on an annual basis. RIACS technical reports are usually preprints of manuscripts that have been submitted to research 'ournals or conference proceedings. A list of these reports for the period January i 1, 1996 through September 30, 1996 is in the Reports and Abstracts section of this report

Center for Aeronautics and Space Information Sciences

This report summarizes the research done during 1991/92 under the Center for Aeronautics and Space Information Science (CASIS) program. The topics covered are computer architecture, networking, and neural nets

High-performance and hardware-aware computing: proceedings of the second International Workshop on New Frontiers in High-performance and Hardware-aware Computing (HipHaC\u2711), San Antonio, Texas, USA, February 2011 ; (in conjunction with HPCA-17)

High-performance system architectures are increasingly exploiting heterogeneity. The HipHaC workshop aims at combining new aspects of parallel, heterogeneous, and reconfigurable microprocessor technologies with concepts of high-performance computing and, particularly, numerical solution methods. Compute- and memory-intensive applications can only benefit from the full hardware potential if all features on all levels are taken into account in a holistic approach

A formalism for describing and simulating systems with interacting components.

This thesis addresses the problem of descriptive complexity presented by systems involving a high number of interacting components. It investigates the evaluation measure of performability and its application to such systems. A new description and simulation language, ICE and it's application to performability modelling is presented. ICE (Interacting ComponEnts) is based upon an earlier description language which was first proposed for defining reliability problems. ICE is declarative in style and has a limited number of keywords. The ethos in the development of the language has been to provide an intuitive formalism with a powerful descriptive space. The full syntax of the language is presented with discussion as to its philosophy. The implementation of a discrete event simulator using an ICE interface is described, with use being made of examples to illustrate the functionality of the code and the semantics of the language. Random numbers are used to provide the required stochastic behaviour within the simulator. The behaviour of an industry standard generator within the simulator and different methods of number allocation are shown. A new generator is proposed that is a development of a fast hardware shift register generator and is demonstrated to possess good statistical properties and operational speed. For the purpose of providing a rigorous description of the language and clarification of its semantics, a computational model is developed using the formalism of extended coloured Petri nets. This model also gives an indication of the language's descriptive power relative to that of a recognised and well developed technique. Some recognised temporal and structural problems of system event modelling are identified. and ICE solutions given. The growing research area of ATM communication networks is introduced and a sophisticated top down model of an ATM switch presented. This model is simulated and interesting results are given. A generic ICE framework for performability modelling is developed and demonstrated. This is considered as a positive contribution to the general field of performability research