Scalable Approach to Uncertainty Quantification and Robust Design of Interconnected Dynamical Systems

Development of robust dynamical systems and networks such as autonomous aircraft systems capable of accomplishing complex missions faces challenges due to the dynamically evolving uncertainties coming from model uncertainties, necessity to operate in a hostile cluttered urban environment, and the distributed and dynamic nature of the communication and computation resources. Model-based robust design is difficult because of the complexity of the hybrid dynamic models including continuous vehicle dynamics, the discrete models of computations and communications, and the size of the problem. We will overview recent advances in methodology and tools to model, analyze, and design robust autonomous aerospace systems operating in uncertain environment, with stress on efficient uncertainty quantification and robust design using the case studies of the mission including model-based target tracking and search, and trajectory planning in uncertain urban environment. To show that the methodology is generally applicable to uncertain dynamical systems, we will also show examples of application of the new methods to efficient uncertainty quantification of energy usage in buildings, and stability assessment of interconnected power networks

Developing a combined quantitative benchmarking system for the performance of local health authorities: The case of the Tuscany Region in Italy

This paper proposes an integrated quantitative benchmarking approach for the measurement of the performance of Local Health Authorities (LHAs). It is based on a sound balanced scorecard approach developed and implemented in the Tuscany Region by the Management and Health Laboratory of Sant’Anna School combined with a bias corrected measure of technical efficiency, estimated using a bootstrap based Data Envelopment Analysis. The empirical results show that the typical LHA in Tuscany experienced 14% bias-corrected inefficiency in 2007. Using correlation analysis and mapping quadrants, the paper shows the relationships among technical efficiency and quality and appropriateness as well as analyses the impact of organizational factors on the performance of LHAs. Finally, this combined benchmarking approach is illustrated as a useful and important managerial tool both for regional and local authorities.appropriateness, bias correction, data envelopment analysis, local health authorities, performance evaluation system

A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

We present a parallel algorithm for solving backward stochastic differential equations (BSDEs in short) which are very useful theoretic tools to deal with many financial problems ranging from option pricing option to risk management. Our algorithm based on Gobet and Labart (2010) exploits the link between BSDEs and non linear partial differential equations (PDEs in short) and hence enables to solve high dimensional non linear PDEs. In this work, we apply it to the pricing and hedging of American options in high dimensional local volatility models, which remains very computationally demanding. We have tested our algorithm up to dimension 10 on a cluster of 512 CPUs and we obtained linear speedups which proves the scalability of our implementationComment: 25 page

Fast Locality-Sensitive Hashing Frameworks for Approximate Near Neighbor Search

The Indyk-Motwani Locality-Sensitive Hashing (LSH) framework (STOC 1998) is a general technique for constructing a data structure to answer approximate near neighbor queries by using a distribution $\mathcal{H}$ over locality-sensitive hash functions that partition space. For a collection of $n$ points, after preprocessing, the query time is dominated by $O(n^{\rho} \log n)$ evaluations of hash functions from $\mathcal{H}$ and $O(n^{\rho})$ hash table lookups and distance computations where $\rho \in (0,1)$ is determined by the locality-sensitivity properties of $\mathcal{H}$. It follows from a recent result by Dahlgaard et al. (FOCS 2017) that the number of locality-sensitive hash functions can be reduced to $O(\log^2 n)$, leaving the query time to be dominated by $O(n^{\rho})$ distance computations and $O(n^{\rho} \log n)$ additional word-RAM operations. We state this result as a general framework and provide a simpler analysis showing that the number of lookups and distance computations closely match the Indyk-Motwani framework, making it a viable replacement in practice. Using ideas from another locality-sensitive hashing framework by Andoni and Indyk (SODA 2006) we are able to reduce the number of additional word-RAM operations to $O(n^\rho)$.Comment: 15 pages, 3 figure

Separable approximations of optimal value functions under a decaying sensitivity assumption

A new approach for the construction of separable approximations of optimal value functions from interconnected optimal control problems is presented. The approach is based on assuming decaying sensitivities between subsystems, enabling a curse-of-dimensionality free approximation, for instance by deep neural networks

Angle Tree: Nearest Neighbor Search in High Dimensions with Low Intrinsic Dimensionality

We propose an extension of tree-based space-partitioning indexing structures for data with low intrinsic dimensionality embedded in a high dimensional space. We call this extension an Angle Tree. Our extension can be applied to both classical kd-trees as well as the more recent rp-trees. The key idea of our approach is to store the angle (the "dihedral angle") between the data region (which is a low dimensional manifold) and the random hyperplane that splits the region (the "splitter"). We show that the dihedral angle can be used to obtain a tight lower bound on the distance between the query point and any point on the opposite side of the splitter. This in turn can be used to efficiently prune the search space. We introduce a novel randomized strategy to efficiently calculate the dihedral angle with a high degree of accuracy. Experiments and analysis on real and synthetic data sets shows that the Angle Tree is the most efficient known indexing structure for nearest neighbor queries in terms of preprocessing and space usage while achieving high accuracy and fast search time.Comment: To be submitted to IEEE Transactions on Pattern Analysis and Machine Intelligenc