View fusion vis-à-vis a Bayesian interpretation of Black–Litterman for portfolio allocation

The Black–Litterman model extends the framework of the Markowitz modern portfolio theory to incorporate investor views. The authors consider a case in which multiple view estimates, including uncertainties, are given for the same underlying subset of assets at a point in time. This motivates their consideration of data fusion techniques for combining information from multiple sources. In particular, they consider consistency-based methods that yield fused view and uncertainty pairs; such methods are not common to the quantitative finance literature. They show a relevant, modern case of incorporating machine learning model-derived view and uncertainty estimates, and the impact on portfolio allocation, with an example subsuming arbitrage pricing theory. Hence, they show the value of the Black– Litterman model in combination with information fusion and artificial intelligence–grounded prediction methods

UAV Optimal Cooperative Obstacle Avoidance and Target Tracking in Dynamic Stochastic Environments

Cette thèse propose une stratégie de contrôle avancée pour guider une flotte d'aéronefs sans pilote (UAV) dans un environnement à la fois stochastique et dynamique. Pour ce faire, un simulateur de vol 3D a été développé avec MATLAB® pour tester les algorithmes de la stratégie de guidage en fonctions de différents scénarios. L'objectif des missions simulées est de s'assurer que chaque UAV intercepte une cible ellipsoïdale mobile tout en évitant une panoplie d'obstacles ellipsoïdaux mobiles détectés en route. Les UAVs situés à l'intérieur des limites de communication peuvent coopérer afin d'améliorer leurs performances au cours de la mission. Le simulateur a été conçu de façon à ce que les UAV soient dotés de capteurs et d'appareils de communication de portée limitée. De plus, chaque UAV possède un pilote automatique qui stabilise l'aéronef en vol et un planificateur de trajectoires qui génère les commandes à envoyer au pilote automatique. Au coeur du planificateur de trajectoires se trouve un contrôleur prédictif à horizon fuyant qui détermine les commandes à envoyer à l'UAV. Ces commandes optimisent un critère de performance assujetti à des contraintes. Le critère de performance est conçu de sorte que les UAV atteignent les objectifs de la mission, alors que les contraintes assurent que les commandes générées adhèrent aux limites de manoeuvrabilité de l'aéronef. La planification de trajectoires pour UAV opérant dans un environnement dynamique et stochastique dépend fortement des déplacements anticipés des objets (obstacle, cible). Un filtre de Kalman étendu est donc utilisé pour prédire les trajectoires les plus probables des objets à partir de leurs états estimés. Des stratégies de poursuite et d'évitement ont aussi été développées en fonction des trajectoires prédites des objets détectés. Pour des raisons de sécurité, la conception de stratégies d'évitement de collision à la fois efficaces et robustes est primordiale au guidage d'UAV. Une nouvelle stratégie d'évitement d'obstacles par approche probabiliste a donc été développée. La méthode cherche à minimiser la probabilité de collision entre l'UAV et tous ses obstacles détectés sur l'horizon de prédiction, tout en s'assurant que, à chaque pas de prédiction, la probabilité de collision entre l'UAV et chacun de ses obstacles détectés ne surpasse pas un seuil prescrit. Des simulations sont présentées au cours de cette thèse pour démontrer l'efficacité des algorithmes proposés

State Estimation for Distributed Systems with Stochastic and Set-membership Uncertainties

State estimation techniques for centralized, distributed, and decentralized systems are studied. An easy-to-implement state estimation concept is introduced that generalizes and combines basic principles of Kalman filter theory and ellipsoidal calculus. By means of this method, stochastic and set-membership uncertainties can be taken into consideration simultaneously. Different solutions for implementing these estimation algorithms in distributed networked systems are presented

Revisiting Security Estimation for LWE with Hints from a Geometric Perspective

The Distorted Bounded Distance Decoding Problem (DBDD) was introduced by Dachman-Soled et al. [Crypto ’20] as an intermediate problem between LWE and unique-SVP (uSVP). They presented an approach that reduces an LWE instance to a DBDD instance, integrates side information (or “hints”) into the DBDD instance, and finally reduces it to a uSVP instance, which can be solved via lattice reduction. They showed that this principled approach can lead to algorithms for side-channel attacks that perform better than ad-hoc algorithms that do not rely on lattice reduction. The current work focuses on new methods for integrating hints into a DBDD instance. We view hints from a geometric perspective, as opposed to the distributional perspective from the prior work. Our approach provides the rigorous promise that, as hints are integrated into the DBDD instance, the correct solution remains a lattice point contained in the specified ellipsoid. We instantiate our approach with two new types of hints: (1) Inequality hints, corresponding to the region of intersection of an ellipsoid and a halfspace; (2) Combined hints, corresponding to the region of intersection of two ellipsoids. Since the regions in (1) and (2) are not necessarily ellipsoids, we replace them with ellipsoidal approximations that circumscribe the region of intersection. Perfect hints are reconsidered as the region of intersection of an ellipsoid and a hyperplane, which is itself an ellipsoid. The compatibility of “approximate,” “modular,” and “short vector” hints from the prior work is examined. We apply our techniques to the decryption failure and side-channel attack settings. We show that “inequality hints” can be used to model decryption failures, and that our new approach yields a geometric analogue of the “failure boosting” technique of D’anvers et al. [ePrint, ’18]. We also show that “combined hints” can be used to fuse information from a decryption failure and a side-channel attack, and provide rigorous guarantees despite the data being non-Gaussian. We provide experimental data for both applications. The code that we have developed to implement the integration of hints and hardness estimates extends the Toolkit from prior work and has been released publicly

Structure-kinetics relationships in micellar solutions of nonionic surfactants

Micellar surfactant solutions are highly complex systems containing aggregates of different shapes and sizes all in dynamic equilibrium. I have undertaken an investigation into the kinetic processes that occur in micellar surfactant solutions subjected to both bulk perturbations and close to expanding surfaces. Supporting information regarding the equilibrium properties of surfactant micelles has been acquired using several experimental techniques including small-angle neutron scattering (SANS) and pulsed field gradient spin echo (PFGSE) nmr. Bulk exchange kinetics between micelles and monomers in solution have been investigated using both numerical modelling and stopped-flow dilution experiments. My results show that conventional theories of monomer-micelle exchange kinetics apply only under very limited conditions. In order to understand how micellesolutions respond to large perturbations from equilibrium a different approach is required. I have hypothesised an alternative monomer-micelle exchange mechanism. This hypothesis has been tested using numerical modelling and comparison of theoretical predictions with the results of stopped-flow perturbation experiments. These experimental results are consistent with my hypothesis. In addition to bulk exchange kinetics, I have also undertaken a detailed experimental investigation of adsorption kinetics from micellar systems on the millisecond timescale. Again my results indicate that conventional theoretical approaches are incomplete and I suggest an alternative adsorption pathway that should be included in future theories of adsorption from micellar surfactant solution

Linear Estimation in Interconnected Sensor Systems with Information Constraints

A ubiquitous challenge in many technical applications is to estimate an unknown state by means of data that stems from several, often heterogeneous sensor sources. In this book, information is interpreted stochastically, and techniques for the distributed processing of data are derived that minimize the error of estimates about the unknown state. Methods for the reconstruction of dependencies are proposed and novel approaches for the distributed processing of noisy data are developed

Linear Estimation in Interconnected Sensor Systems with Information Constraints

A ubiquitous challenge in many technical applications is to estimate an unknown state by means of data that stems from several, often heterogeneous sensor sources. In this book, information is interpreted stochastically, and techniques for the distributed processing of data are derived that minimize the error of estimates about the unknown state. Methods for the reconstruction of dependencies are proposed and novel approaches for the distributed processing of noisy data are developed

Analytical investigation of the effect of material and geometric imperfections on buckling strength of spherical shells

Spherical shells are extensively used as structural elements. As they are subjected to different loading conditions, compressive membrane forces develop causing failure due to compressive stability. In order that the shells perform their design function adequately, sufficient design margins should exist. These design margins are established by means of experimental tests and numerical analysis. Comparisons between classical, theoretical and experimental results for spherical shells subjected to external pressure loading demonstrated large discrepancies. These discrepancies are attributable to material and geometric imperfections resulting from fabrication methods.;Sufficient design information with respect to the imperfections is required to perform numerical analyses. The present study addresses these concerns with regard to three commonly occurring loading types, viz., external pressure, gradient loading and a ring loaded axisymmetric penetration.;The material imperfections were modeled by a stress strain curve derived from test results or by a cold bending simulation. For each of the loading cases, the perfect shell behavior was initially investigated. The worse axisymmetric imperfection was determined by examining the buckling loads due to various imperfection shapes using the derived stress strain curve. Sensitivity studies using the identified critical imperfection were performed over a range of shell radius to thickness ratios. The results were compared with the available experimental results in case of external pressure loading.;Based on the numerical analysis, appropriate design recommendations in the form of a worst imperfection were made for each of the loading cases. In addition, graphical design aids relating imperfection amplitudes and the ASME Boiler and Pressure Vessel Code recommended tolerances were presented for external pressure loading. The imperfection amplitudes with regard to other type of loadings were to be governed by the tolerances. It was also demonstrated that the derived stress strain curve can be used adequately to model the material imperfections by comparing the resulting buckling loads with those predicted by the cold bending simulation

Temporospatial Context-Aware Vehicular Crash Risk Prediction

With the demand for more vehicles increasing, road safety is becoming a growing concern. Traffic collisions take many lives and cost billions of dollars in losses. This explains the growing interest of governments, academic institutions and companies in road safety. The vastness and availability of road accident data has provided new opportunities for gaining a better understanding of accident risk factors and for developing more effective accident prediction and prevention regimes. Much of the empirical research on road safety and accident analysis utilizes statistical models which capture limited aspects of crashes. On the other hand, data mining has recently gained interest as a reliable approach for investigating road-accident data and for providing predictive insights. While some risk factors contribute more frequently in the occurrence of a road accident, the importance of driver behavior, temporospatial factors, and real-time traffic dynamics have been underestimated. This study proposes a framework for predicting crash risk based on historical accident data. The proposed framework incorporates machine learning and data analytics techniques to identify driving patterns and other risk factors associated with potential vehicle crashes. These techniques include clustering, association rule mining, information fusion, and Bayesian networks. Swarm intelligence based association rule mining is employed to uncover the underlying relationships and dependencies in collision databases. Data segmentation methods are employed to eliminate the effect of dependent variables. Extracted rules can be used along with real-time mobility to predict crashes and their severity in real-time. The national collision database of Canada (NCDB) is used in this research to generate association rules with crash risk oriented subsequents, and to compare the performance of the swarm intelligence based approach with that of other association rule miners. Many industry-demanding datasets, including road-accident datasets, are deficient in descriptive factors. This is a significant barrier for uncovering meaningful risk factor relationships. To resolve this issue, this study proposes a knwoledgebase approximation framework to enhance the crash risk analysis by integrating pieces of evidence discovered from disparate datasets capturing different aspects of mobility. Dempster-Shafer theory is utilized as a key element of this knowledgebase approximation. This method can integrate association rules with acceptable accuracy under certain circumstances that are discussed in this thesis. The proposed framework is tested on the lymphography dataset and the road-accident database of the Great Britain. The derived insights are then used as the basis for constructing a Bayesian network that can estimate crash likelihood and risk levels so as to warn drivers and prevent accidents in real-time. This Bayesian network approach offers a way to implement a naturalistic driving analysis process for predicting traffic collision risk based on the findings from the data-driven model. A traffic incident detection and localization method is also proposed as a component of the risk analysis model. Detecting and localizing traffic incidents enables timely response to accidents and facilitates effective and efficient traffic flow management. The results obtained from the experimental work conducted on this component is indicative of the capability of our Dempster-Shafer data-fusion-based incident detection method in overcoming the challenges arising from erroneous and noisy sensor readings