The History of the Quantitative Methods in Finance Conference Series. 1992-2007

This report charts the history of the Quantitative Methods in Finance (QMF) conference from its beginning in 1993 to the 15th conference in 2007. It lists alphabetically the 1037 speakers who presented at all 15 conferences and the titles of their papers.

Accelerating Reconfigurable Financial Computing

This thesis proposes novel approaches to the design, optimisation, and management of reconfigurable computer accelerators for financial computing. There are three contributions. First, we propose novel reconfigurable designs for derivative pricing using both Monte-Carlo and quadrature methods. Such designs involve exploring techniques such as control variate optimisation for Monte-Carlo, and multi-dimensional analysis for quadrature methods. Significant speedups and energy savings are achieved using our Field-Programmable Gate Array (FPGA) designs over both Central Processing Unit (CPU) and Graphical Processing Unit (GPU) designs. Second, we propose a framework for distributing computing tasks on multi-accelerator heterogeneous clusters. In this framework, different computational devices including FPGAs, GPUs and CPUs work collaboratively on the same financial problem based on a dynamic scheduling policy. The trade-off in speed and in energy consumption of different accelerator allocations is investigated. Third, we propose a mixed precision methodology for optimising Monte-Carlo designs, and a reduced precision methodology for optimising quadrature designs. These methodologies enable us to optimise throughput of reconfigurable designs by using datapaths with minimised precision, while maintaining the same accuracy of the results as in the original designs

Multi-robot task allocation for safe planning under dynamic uncertainties

This paper considers the problem of multi-robot safe mission planning in uncertain dynamic environments. This problem arises in several applications including safety-critical exploration, surveillance, and emergency rescue missions. Computation of a multi-robot optimal control policy is challenging not only because of the complexity of incorporating dynamic uncertainties while planning, but also because of the exponential growth in problem size as a function of the number of robots. Leveraging recent works obtaining a tractable safety maximizing plan for a single robot, we propose a scalable two-stage framework to solve the problem at hand. Specifically, the problem is split into a low-level single-agent planning problem and a high-level task allocation problem. The low-level problem uses an efficient approximation of stochastic reachability for a Markov decision process to handle the dynamic uncertainty. The task allocation, on the other hand, is solved using polynomial-time forward and reverse greedy heuristics. The safety objective of our multi-robot safe planning problem allows an implementation of the greedy heuristics through a distributed auction-based approach. Moreover, by leveraging the properties of the safety objective function, we ensure provable performance bounds on the safety of the approximate solutions proposed by these two heuristics. Our result is illustrated through case studies

Aging concrete structures: a review of mechanics and concepts

The safe and cost-efficient management of our built infrastructure is a challenging task considering the expected service life of at least 50 years. In spite of time-dependent changes in material properties, deterioration processes and changing demand by society, the structures need to satisfy many technical requirements related to serviceability, durability, sustainability and bearing capacity. This review paper summarizes the challenges associated with the safe design and maintenance of aging concrete structures and gives an overview of some concepts and approaches that are being developed to address these challenges

A Trapezoidal Fuzzy Membership Genetic Algorithm (TFMGA) for Energy and Network Lifetime Maximization under Coverage Constrained Problems in Heterogeneous Wireless Sensor Networks

Network lifetime maximization of Wireless Heterogeneous Wireless Sensor Networks (HWSNs) is a difficult problem. Though many methods have been introduced and developed in the recent works to solve network lifetime maximization. However, in HWSNs, the energy efficiency of sensor nodes becomes also a very difficult issue. On the other hand target coverage problem have been also becoming most important and difficult problem. In this paper, new Markov Chain Monte Carlo (MCMC) is introduced which solves the energy efficiency of sensor nodes in HWSN. At initially graph model is modeled to represent HWSNs with each vertex representing the assignment of a sensor nodes in a subset. At the same time, Trapezoidal Fuzzy Membership Genetic Algorithm (TFMGA) is proposed to maximize the number of Disjoint Connected Covers (DCC) and K-Coverage (KC) known as TFMGA-MDCCKC. Based on gene and chromosome information from the TFMGA, the gene seeks an optimal path on the construction graph model that maximizes the MDCCKC. In TFMGA gene thus focuses on finding one more connected covers and avoids creating subsets particularly. A local search procedure is designed to TFMGA thus increases the search efficiency. The proposed TFMGA-MDCCKC approach has been applied to a variety of HWSNs. The results show that the TFMGA-MDCCKC approach is efficient and successful in finding optimal results for maximizing the lifetime of HWSNs. Experimental results show that proposed TFMGA-MDCCKC approach performs better than Bacteria Foraging Optimization (BFO) based approach, Ant Colony Optimization (ACO) method and the performance of the TFMGA-MDCCKC approach is closer to the energy-conserving strategy

Theory of Resource Allocation for Robust Distributed Computing

Lately, distributed computing (DC) has emerged in several application scenarios such as grid computing, high-performance and reconfigurable computing, wireless sensor networks, battle management systems, peer-to-peer networks, and donation grids. When DC is performed in these scenarios, the distributed computing system (DCS) supporting the applications not only exhibits heterogeneous computing resources and a significant communication latency, but also becomes highly dynamic due to the communication network as well as the computing servers are affected by a wide class of anomalies that change the topology of the system in a random fashion. These anomalies exhibit spatial and/or temporal correlation when they result, for instance, from wide-area power or network outages These correlated failures may not only inflict a large amount of damage to the system, but they may also induce further failures in other servers as a result of the lack of reliable communication between the components of the DCS. In order to provide a robust DC environment in the presence of component failures, it is key to develop a general framework for accurately modeling the complex dynamics of a DCS. In this dissertation a novel approach has been undertaken for modeling a general class of DCSs and for analytically characterizing the performance and reliability of parallel applications executed on such systems. A general probabilistic model has been constructed by assuming that the random times governing the dynamics of the DCS follow arbitrary probability distributions with heterogeneous parameters. Auxiliary age variables have been introduced in the modeling of a DCS and a hybrid continuous and discrete state-space model the system has been constructed. This hybrid model has enabled the development of an age-dependent stochastic regeneration theory, which, in turn, has been employed to analytically characterize the average execution time, the quality-of-service and the reliability in serving an application. These are three metrics of performance and reliability of practical interest in DC. Analytical approximations as well as mathematical lower and upper bounds for these metrics have also been derived in an attempt to reduce the amount of computational resources demanded by the exact characterizations. In order to systematically assess the reliability of DCSs in the presence of correlated component failures, a novel probabilistic model for spatially correlated failures has been developed. The model, based on graph theory and Markov random fields, captures both geographical and logical correlations induced by the arbitrary topology of the communication network of a DCS. The modeling framework, in conjunction with a general class of dynamic task reallocation (DTR) control policies, has been used to optimize the performance and reliability of applications in the presence of independent as well as spatially correlated anomalies. Theoretical predictions, Monte- Carlo simulations as well as experimental results have shown that optimizing these metrics can significantly impact the performance of a DCS. Moreover, the general setting developed here has shed insights on: (i) the effect of different stochastic mod- els on the accuracy of the performance and reliability metrics, (ii) the dependence of the DTR policies on system parameters such as failure rates and task-processing rates, (iii) the severe impact of correlated failures on the reliability of DCSs, (iv) the dependence of the DTR policies on degree of correlation in the failures, and (v) the fundamental trade-off between minimizing the execution time of an application and maximizing its reliability