4,344 research outputs found

    Toward Autonomous Power Control in Semi-Grant-Free NOMA Systems: A Power Pool-Based Approach

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    In this paper, we design a resource block (RB) oriented power pool (PP) for semi-grant-free non-orthogonal multiple access (SGF-NOMA) in the presence of residual errors resulting from imperfect successive interference cancellation (SIC). In the proposed method, the BS allocates one orthogonal RB to each grant-based (GB) user, and determines the acceptable received power from grant-free (GF) users and calculates a threshold against this RB for broadcasting. Each GF user as an agent, tries to find the optimal transmit power and RB without affecting the quality-of-service (QoS) and ongoing transmission of the GB user. To this end, we formulate the transmit power and RB allocation problem as a stochastic Markov game to design the desired PPs and maximize the long-term system throughput. The problem is then solved using multi-agent (MA) deep reinforcement learning algorithms, such as double deep Q networks (DDQN) and Dueling DDQN due to their enhanced capabilities in value estimation and policy learning, with the latter performing optimally in environments characterized by extensive states and action spaces. The agents (GF users) undertake actions, specifically adjusting power levels and selecting RBs, in pursuit of maximizing cumulative rewards (throughput). Simulation results indicate computational scalability and minimal signaling overhead of the proposed algorithm with notable gains in system throughput compared to existing SGF-NOMA systems. We examine the effect of SIC error levels on sum rate and user transmit power, revealing a decrease in sum rate and an increase in user transmit power as QoS requirements and error variance escalate. We demonstrate that PPs can benefit new (untrained) users joining the network and outperform conventional SGF-NOMA without PPs in spectral efficiency

    Agent-based Modeling And Market Microstructure

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    In most modern financial markets, traders express their preferences for assets by making orders. These orders are either executed if a counterparty is willing to match them or collected in a priority queue, called a limit order book. Such markets are said to adopt an order-driven trading mechanism. A key question in this domain is to model and analyze the strategic behavior of market participants, in response to different definitions of the trading mechanism (e.g., the priority queue changed from the continuous double auctions to the frequent call market). The objective is to design financial markets where pernicious behavior is minimized.The complex dynamics of market activities are typically studied via agent-based modeling (ABM) methods, enriched by Empirical Game-Theoretic Analysis (EGTA) to compute equilibria amongst market players and highlight the market behavior (also known as market microstructure) at equilibrium. This thesis contributes to this research area by evaluating the robustness of this approach and providing results to compare existing trading mechanisms and propose more advanced designs.In Chapter 4, we investigate the equilibrium strategy profiles, including their induced market performance, and their robustness to different simulation parameters. For two mainstream trading mechanisms, continuous double auctions (CDAs) and frequent call markets (FCMs), we find that EGTA is needed for solving the game as pure strategies are not a good approximation of the equilibrium. Moreover, EGTA gives generally sound and robust solutions regarding different market and model setups, with the notable exception of agents’ risk attitudes. We also consider heterogeneous EGTA, a more realistic generalization of EGTA whereby traders can modify their strategies during the simulation, and show that fixed strategies lead to sufficiently good analyses, especially taking the computation cost into consideration.After verifying the reliability of the ABM and EGTA methods, we follow this research methodology to study the impact of two widely adopted and potentially malicious trading strategies: spoofing and submission of iceberg orders. In Chapter 5, we study the effects of spoofing attacks on CDA and FCM markets. We let one spoofer (agent playing the spoofing strategy) play with other strategic agents and demonstrate that while spoofing may be profitable in both market models, it has less impact on FCMs than on CDAs. We also explore several FCM mechanism designs to help curb this type of market manipulation even further. In Chapter 6, we study the impact of iceberg orders on the price and order flow dynamics in financial markets. We find that the volume of submitted orders significantly affects the strategy choice of the other agents and the market performance. In general, when agents observe a large volume order, they tend to speculate instead of providing liquidity. In terms of market performance, both efficiency and liquidity will be harmed. We show that while playing the iceberg-order strategy can alleviate the problem caused by the high-volume orders, submitting a large enough order and attracting speculators is better than taking the risk of having fewer trades executed with iceberg orders.We conclude from Chapters 5 and 6 that FCMs have some exciting features when compared with CDAs and focus on the design of trading mechanisms in Chapter 7. We verify that CDAs constitute fertile soil for predatory behavior and toxic order flows and that FCMs address the latency arbitrage opportunities built in those markets. This chapter studies the extent to which adaptive rules to define the length of the clearing intervals — that might move in sync with the market fundamentals — affect the performance of frequent call markets. We show that matching orders in accordance with these rules can increase efficiency and selfish traders’ surplus in a variety of market conditions. In so doing, our work paves the way for a deeper understanding of the flexibility granted by adaptive call markets

    A Trust Management Framework for Vehicular Ad Hoc Networks

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    The inception of Vehicular Ad Hoc Networks (VANETs) provides an opportunity for road users and public infrastructure to share information that improves the operation of roads and the driver experience. However, such systems can be vulnerable to malicious external entities and legitimate users. Trust management is used to address attacks from legitimate users in accordance with a user’s trust score. Trust models evaluate messages to assign rewards or punishments. This can be used to influence a driver’s future behaviour or, in extremis, block the driver. With receiver-side schemes, various methods are used to evaluate trust including, reputation computation, neighbour recommendations, and storing historical information. However, they incur overhead and add a delay when deciding whether to accept or reject messages. In this thesis, we propose a novel Tamper-Proof Device (TPD) based trust framework for managing trust of multiple drivers at the sender side vehicle that updates trust, stores, and protects information from malicious tampering. The TPD also regulates, rewards, and punishes each specific driver, as required. Furthermore, the trust score determines the classes of message that a driver can access. Dissemination of feedback is only required when there is an attack (conflicting information). A Road-Side Unit (RSU) rules on a dispute, using either the sum of products of trust and feedback or official vehicle data if available. These “untrue attacks” are resolved by an RSU using collaboration, and then providing a fixed amount of reward and punishment, as appropriate. Repeated attacks are addressed by incremental punishments and potentially driver access-blocking when conditions are met. The lack of sophistication in this fixed RSU assessment scheme is then addressed by a novel fuzzy logic-based RSU approach. This determines a fairer level of reward and punishment based on the severity of incident, driver past behaviour, and RSU confidence. The fuzzy RSU controller assesses judgements in such a way as to encourage drivers to improve their behaviour. Although any driver can lie in any situation, we believe that trustworthy drivers are more likely to remain so, and vice versa. We capture this behaviour in a Markov chain model for the sender and reporter driver behaviours where a driver’s truthfulness is influenced by their trust score and trust state. For each trust state, the driver’s likelihood of lying or honesty is set by a probability distribution which is different for each state. This framework is analysed in Veins using various classes of vehicles under different traffic conditions. Results confirm that the framework operates effectively in the presence of untrue and inconsistent attacks. The correct functioning is confirmed with the system appropriately classifying incidents when clarifier vehicles send truthful feedback. The framework is also evaluated against a centralized reputation scheme and the results demonstrate that it outperforms the reputation approach in terms of reduced communication overhead and shorter response time. Next, we perform a set of experiments to evaluate the performance of the fuzzy assessment in Veins. The fuzzy and fixed RSU assessment schemes are compared, and the results show that the fuzzy scheme provides better overall driver behaviour. The Markov chain driver behaviour model is also examined when changing the initial trust score of all drivers

    LIPIcs, Volume 251, ITCS 2023, Complete Volume

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    LIPIcs, Volume 251, ITCS 2023, Complete Volum

    Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals

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    In this article we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight and easily interpretable. We achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as "Signature Trading" or "Sig-Trading"). This allows the modeller to efficiently encode the evolution of past time-series observations into the optimisation problem. In particular, we derive a concise formulation of the dynamic mean-variance criterion alongside an explicit solution in our setting, which naturally incorporates a drawdown control in the optimal strategy over a finite time horizon. Secondly, we draw parallels between classical portfolio stategies and Sig-Trading strategies and explain how the latter leads to a pathwise extension of the classical setting via the "Signature Efficient Frontier". Finally, we give examples when trading under an exogenous signal as well as examples for momentum and pair-trading strategies, demonstrated both on synthetic and market data. Our framework combines the best of both worlds between classical theory (whose appeal lies in clear and concise formulae) and between modern, flexible data-driven methods that can handle more realistic datasets. The advantage of the added flexibility of the latter is that one can bypass common issues such as the accumulation of heteroskedastic and asymmetric residuals during the optimisation phase. Overall, Sig-Trading combines the flexibility of data-driven methods without compromising on the clarity of the classical theory and our presented results provide a compelling toolbox that yields superior results for a large class of trading strategies

    Evaluating Architectural Safeguards for Uncertain AI Black-Box Components

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    Although tremendous progress has been made in Artificial Intelligence (AI), it entails new challenges. The growing complexity of learning tasks requires more complex AI components, which increasingly exhibit unreliable behaviour. In this book, we present a model-driven approach to model architectural safeguards for AI components and analyse their effect on the overall system reliability

    Bayesian Conditional Diffusion Models for Versatile Spatiotemporal Turbulence Generation

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    Turbulent flows have historically presented formidable challenges to predictive computational modeling. Traditional numerical simulations often require vast computational resources, making them infeasible for numerous engineering applications. As an alternative, deep learning-based surrogate models have emerged, offering data-drive solutions. However, these are typically constructed within deterministic settings, leading to shortfall in capturing the innate chaotic and stochastic behaviors of turbulent dynamics. We introduce a novel generative framework grounded in probabilistic diffusion models for versatile generation of spatiotemporal turbulence. Our method unifies both unconditional and conditional sampling strategies within a Bayesian framework, which can accommodate diverse conditioning scenarios, including those with a direct differentiable link between specified conditions and generated unsteady flow outcomes, and scenarios lacking such explicit correlations. A notable feature of our approach is the method proposed for long-span flow sequence generation, which is based on autoregressive gradient-based conditional sampling, eliminating the need for cumbersome retraining processes. We showcase the versatile turbulence generation capability of our framework through a suite of numerical experiments, including: 1) the synthesis of LES simulated instantaneous flow sequences from URANS inputs; 2) holistic generation of inhomogeneous, anisotropic wall-bounded turbulence, whether from given initial conditions, prescribed turbulence statistics, or entirely from scratch; 3) super-resolved generation of high-speed turbulent boundary layer flows from low-resolution data across a range of input resolutions. Collectively, our numerical experiments highlight the merit and transformative potential of the proposed methods, making a significant advance in the field of turbulence generation.Comment: 37 pages, 31 figure

    Cognitive Energy Cost of Informed Decisions

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    Time irreversibility in neuronal dynamics has recently been demonstrated to correlate with various indicators of cognitive effort in living systems. Using Landauer's principle, which posits that time-irreversible information processing consumes energy, we establish a thermodynamically consistent measure of cognitive energy cost associated with belief dynamics. We utilize this concept to analyze a two-armed bandit game, a standard decision-making framework under uncertainty, considering exploitation, finite memory, and concurrent allocation to both game options or arms. Through exploitative, prediction-error-based belief dynamics, the decision maker incurs a cognitive energy cost. Initially, we observe the rise of dissipative structures in the steady state of the belief space due to time-reversal symmetry breaking at intermediate exploitative levels. To delve deeper into the belief dynamics, we liken it to the behavior of an active particle subjected to state-dependent noise. This analogy enables us to relate emergent risk aversion to standard thermophoresis, connecting two apparently unrelated concepts. Finally, we numerically compute the time irreversibility of belief dynamics in the steady state, revealing a strong correlation between elevated - yet optimized - cognitive energy cost and optimal decision-making outcomes. This correlation suggests a mechanism for the evolution of living systems towards maximally out-of-equilibrium structures
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