Computation of risk measures in finance and parallel real-time scheduling

Many application areas employ various risk measures, such as a quantile, to assess risks. For example, in finance, risk managers employ a quantile to help determine appropriate levels of capital needed to be able to absorb (with high probability) large unexpected losses in credit portfolios comprising loans, bonds, and other financial instruments subject to default. This dissertation discusses the computation of risk measures in finance and parallel real-time scheduling. Firstly, two estimation approaches are compared for one risk measure, a quantile, via randomized quasi-Monte Carlo (RQMC) in an asymptotic setting where the number of randomizations for RQMC grows large, but the size of the low-discrepancy point set remains fixed. In the first method, for each randomization, it computes an estimator of the cumulative distribution function (CDF), which is inverted to obtain a quantile estimator, and the overall quantile estimator is the sample average of the quantile estimators across randomizations. The second approach instead computes a single quantile estimator by inverting one CDF estimator across all randomizations. Because quantile estimators are generally biased, the first method leads to an estimator that does not converge to the true quantile as the number of randomizations goes to infinity. In contrast, the second estimator does, and a central limit theorem is established for it. To get an improvement, we use conditional Monte Carlo (CMC) to obtain a smoother estimate of the distribution function, and we combine this with the second RQMC to further reduce the variance. The result is a much more accurate quantile estimator, whose mean square error can converge even faster than the canonical rate of O(1/n). Secondly, another risk measure is estimated, namely economic capital (EC), which is defined as the difference between a quantile and the mean of the loss distribution, given a stochastic model for a portfolio’s loss over a given time horizon. This work applies measure-specific importance sampling to separately estimate the two components of the EC, which can lead to a much smaller variance than when estimating both terms simultaneously. Finally, for parallel real-time tasks, the federated scheduling paradigm, which assigns each parallel task a set of dedicated cores, achieves good theoretical bounds by ensuring exclusive use of processing resources to reduce interferences. However, because cores share the last-level cache and memory bandwidth resources, in practice tasks may still interfere with each other despite executing on dedicated cores. To tackle this issue, this work presents a holistic resource allocation framework for parallel real-time tasks under federated scheduling. Under the proposed framework, in addition to dedicated cores, each parallel task is also assigned with dedicated cache and memory bandwidth resources. This work also shows the study of the characteristics of parallel tasks upon different resource allocations following a measurement-based approach and proposes a technique to handle the challenge of tremendous profiling for all resource allocation combinations under this approach. Further, it proposes a holistic resource allocation algorithm that well balances the allocation between different resources to achieve good schedulability. Additionally, this work provides a full implementation of the framework by extending the federated scheduling system with Intel’s Cache Allocation Technology and MemGuard. It also demonstrates the practicality of the proposed framework via extensive numerical evaluations and empirical experiments using real benchmark programs. In the end, the discussion about the application of risk measures for real-time scheduling is given for future work

Special Topics in Information Technology

This open access book presents thirteen outstanding doctoral dissertations in Information Technology from the Department of Electronics, Information and Bioengineering, Politecnico di Milano, Italy. Information Technology has always been highly interdisciplinary, as many aspects have to be considered in IT systems. The doctoral studies program in IT at Politecnico di Milano emphasizes this interdisciplinary nature, which is becoming more and more important in recent technological advances, in collaborative projects, and in the education of young researchers. Accordingly, the focus of advanced research is on pursuing a rigorous approach to specific research topics starting from a broad background in various areas of Information Technology, especially Computer Science and Engineering, Electronics, Systems and Control, and Telecommunications. Each year, more than 50 PhDs graduate from the program. This book gathers the outcomes of the thirteen best theses defended in 2020-21 and selected for the IT PhD Award. Each of the authors provides a chapter summarizing his/her findings, including an introduction, description of methods, main achievements and future work on the topic. Hence, the book provides a cutting-edge overview of the latest research trends in Information Technology at Politecnico di Milano, presented in an easy-to-read format that will also appeal to non-specialists

Model for WCET prediction, scheduling and task allocation for emergent agent-behaviours in real-time scenarios

[ES]Hasta el momento no se conocen modelos de tiempo real específicamente desarrollados para su uso en sistemas abiertos, como las Organizaciones Virtuales de Agentes (OVs). Convencionalmente, los modelos de tiempo real se aplican a sistemas cerrados donde todas las variables se conocen a priori. Esta tesis presenta nuevas contribuciones y la novedosa integración de agentes en tiempo real dentro de OVs. Hasta donde alcanza nuestro conocimiento, éste es el primer modelo específicamente diseñado para su aplicación en OVs con restricciones temporales estrictas. Esta tesis proporciona una nueva perspectiva que combina la apertura y dinamicidad necesarias en una OV con las restricciones de tiempo real. Ésto es una aspecto complicado ya que el primer paradigma no es estricto, como el propio término de sistema abierto indica, sin embargo, el segundo paradigma debe cumplir estrictas restricciones. En resumen, el modelo que se presenta permite definir las acciones que una OV debe llevar a cabo con un plazo concreto, considerando los cambios que pueden ocurrir durante la ejecución de un plan particular. Es una planificación de tiempo real en una OV. Otra de las principales contribuciones de esta tesis es un modelo para el cálculo del tiempo de ejecución en el peor caso (WCET). La propuesta es un modelo efectivo para calcular el peor escenario cuando un agente desea formar parte de una OV y para ello, debe incluir sus tareas o comportamientos dentro del sistema de tiempo real, es decir, se calcula el WCET de comportamientos emergentes en tiempo de ejecución. También se incluye una planificación local para cada nodo de ejecución basada en el algoritmo FPS y una distribución de tareas entre los nodos disponibles en el sistema. Para ambos modelos se usan modelos matemáticos y estadísticos avanzados para crear un mecanismo adaptable, robusto y eficiente para agentes inteligentes en OVs. El desconocimiento, pese al estudio realizado, de una plataforma para sistemas abiertos que soporte agentes con restricciones de tiempo real y los mecanismos necesarios para el control y la gestión de OVs, es la principal motivación para el desarrollo de la plataforma de agentes PANGEA+RT. PANGEA+RT es una innovadora plataforma multi-agente que proporciona soporte para la ejecución de agentes en ambientes de tiempo real. Finalmente, se presenta un caso de estudio donde robots heterogéneos colaboran para realizar tareas de vigilancia. El caso de estudio se ha desarrollado con la plataforma PANGEA+RT donde el modelo propuesto está integrado. Por tanto al final de la tesis, con este caso de estudio se obtienen los resultados y conclusiones que validan el modelo

Providing QoS with Reduced Energy Consumption via Real-Time Voltage Scaling on Embedded Systems

Low energy consumption has emerged as one of the most important design objectives for many modern embedded systems, particularly the battery-operated PDAs. For some soft real-time applications such as multimedia applications, occasional deadline misses can be tolerated. How to leverage this feature to save more energy while still meeting the user required quality of service (QoS) is the research topic this thesis focuses on. We have proposed a new probabilistic design methodology, a set of energy reduction techniques for single and multiple processor systems by using dynamic voltage scaling (DVS), the practical solutions to voltage set-up problem for multiple voltage DVS system, and a new QoS metric. Most present design space exploration techniques, which are based on application's worst case execution time, often lead to over-designing systems. We have proposed the probabilistic design methodology for soft real-time embedded systems by using detailed execution time information in order to reduce the system resources while delivering the user required QoS probabilistically. One important phase in the probabilistic design methodology is the offline/online resource management. As an example, we have proposed a set of energy reduction techniques by employing DVS techniques to exploit the slacks arising from the tolerance to deadline misses for single and multiple processor systems while meeting the user required completion ratio statistically. Multiple-voltage DVS system is predicted as the future low-power system by International Technology Roadmap for Semiconductors (ITRS). In order to find the best way to employ DVS, we have formulated the voltage set-up problem and provided its practical solutions that seek the most energy efficient voltage setting for the design of multiple-voltage DVS systems. We have also presented a case study in designing energy-efficient dual voltage soft real-time system with (m, k)-firm deadline guarantee. Although completion ratio is widely used as a QoS metric, it can only be applied to the applications with independent tasks. We have proposed a new QoS metric that differentiates firm and soft deadlines and considers the task dependency as well. Based on this new metric, we have developed a set of online scheduling algorithms that enhance quality of presentation (QoP) significantly, particularly for overloaded systems

Special Topics in Information Technology

This open access book presents thirteen outstanding doctoral dissertations in Information Technology from the Department of Electronics, Information and Bioengineering, Politecnico di Milano, Italy. Information Technology has always been highly interdisciplinary, as many aspects have to be considered in IT systems. The doctoral studies program in IT at Politecnico di Milano emphasizes this interdisciplinary nature, which is becoming more and more important in recent technological advances, in collaborative projects, and in the education of young researchers. Accordingly, the focus of advanced research is on pursuing a rigorous approach to specific research topics starting from a broad background in various areas of Information Technology, especially Computer Science and Engineering, Electronics, Systems and Control, and Telecommunications. Each year, more than 50 PhDs graduate from the program. This book gathers the outcomes of the thirteen best theses defended in 2020-21 and selected for the IT PhD Award. Each of the authors provides a chapter summarizing his/her findings, including an introduction, description of methods, main achievements and future work on the topic. Hence, the book provides a cutting-edge overview of the latest research trends in Information Technology at Politecnico di Milano, presented in an easy-to-read format that will also appeal to non-specialists