HMM based scenario generation for an investment optimisation problem

This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series. An important criticism of this method is that the parameters of the GBM are assumed to be constants; due to this fact, important features of the time series, like extreme behaviour or volatility clustering cannot be captured. We propose an approach by which the parameters of the GBM are able to switch between regimes, more precisely they are governed by a hidden Markov chain. Thus, we model the financial time series via a hidden Markov model (HMM) with a GBM in each state. Using this approach, we generate scenarios for a financial portfolio optimisation problem in which the portfolio CVaR is minimised. Numerical results are presented.This study was funded by NET ACE at OptiRisk Systems

Monitoring with uncertainty

We discuss the problem of runtime verification of an instrumented program that misses to emit and to monitor some events. These gaps can occur when a monitoring overhead control mechanism is introduced to disable the monitor of an application with real-time constraints. We show how to use statistical models to learn the application behavior and to "fill in" the introduced gaps. Finally, we present and discuss some techniques developed in the last three years to estimate the probability that a property of interest is violated in the presence of an incomplete trace.Comment: In Proceedings HAS 2013, arXiv:1308.490

Onset Event Decoding Exploiting the Rhythmic Structure of Polyphonic Music

(c)2011 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other users, including reprinting/ republishing this material for advertising or promotional purposes, creating new collective works for resale or redistribution to servers or lists, or reuse of any copyrighted components of this work in other works. Published version: IEEE Journal of Selected Topics in Signal Processing 5(6): 1228-1239, Oct 2011. DOI:10.1109/JSTSP.2011.214622

An intelligent information forwarder for healthcare big data systems with distributed wearable sensors

© 2016 IEEE. An increasing number of the elderly population wish to live an independent lifestyle, rather than rely on intrusive care programmes. A big data solution is presented using wearable sensors capable of carrying out continuous monitoring of the elderly, alerting the relevant caregivers when necessary and forwarding pertinent information to a big data system for analysis. A challenge for such a solution is the development of context-awareness through the multidimensional, dynamic and nonlinear sensor readings that have a weak correlation with observable human behaviours and health conditions. To address this challenge, a wearable sensor system with an intelligent data forwarder is discussed in this paper. The forwarder adopts a Hidden Markov Model for human behaviour recognition. Locality sensitive hashing is proposed as an efficient mechanism to learn sensor patterns. A prototype solution is implemented to monitor health conditions of dispersed users. It is shown that the intelligent forwarders can provide the remote sensors with context-awareness. They transmit only important information to the big data server for analytics when certain behaviours happen and avoid overwhelming communication and data storage. The system functions unobtrusively, whilst giving the users peace of mind in the knowledge that their safety is being monitored and analysed