Message passing algorithms for non-linear nodes and data compression

The use of parity-check gates in information theory has proved to be very efficient. In particular, error correcting codes based on parity checks over low-density graphs show excellent performances. Another basic issue of information theory, namely data compression, can be addressed in a similar way by a kind of dual approach. The theoretical performance of such a Parity Source Coder can attain the optimal limit predicted by the general rate-distortion theory. However, in order to turn this approach into an efficient compression code (with fast encoding/decoding algorithms) one must depart from parity checks and use some general random gates. By taking advantage of analytical approaches from the statistical physics of disordered systems and SP-like message passing algorithms, we construct a compressor based on low-density non-linear gates with a very good theoretical and practical performance.Comment: 13 pages, European Conference on Complex Systems, Paris (Nov 2005

Local Rigidity in Sandpile Models

We address the problem of the role of the concept of local rigidity in the family of sandpile systems. We define rigidity as the ratio between the critical energy and the amplitude of the external perturbation and we show, in the framework of the Dynamically Driven Renormalization Group (DDRG), that any finite value of the rigidity in a generalized sandpile model renormalizes to an infinite value at the fixed point, i.e. on a large scale. The fixed point value of the rigidity allows then for a non ambiguous distinction between sandpile-like systems and diffusive systems. Numerical simulations support our analytical results.Comment: to be published in Phys. Rev.

The Boson peak and the phonons in glasses

Despite the presence of topological disorder, phonons seem to exist also in glasses at very high frequencies (THz) and they remarkably persist into the supercooled liquid. A universal feature of such a systems is the Boson peak, an excess of states over the standard Debye contribution at the vibrational density of states. Exploiting the euclidean random matrix theory of vibrations in amorphous systems we show that this peak is the signature of a phase transition in the space of the stationary points of the energy, from a minima-dominated phase (with phonons) at low energy to a saddle-point dominated phase (without phonons). The theoretical predictions are checked by means of numeric simulations.Comment: to appear in the proceedings of the conference "Slow dynamics in complex sistems", Sendai (Japan) 200

Risk Minimization through Portfolio Replication

We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short with respect to the size of the portfolio. We also study the noise sensitivity of portfolio allocation when this transition is approached. We consider explicitely the cases where the absolute deviation and the conditional value-at-risk are chosen as a risk measure. We show how the replica method can study a wide range of risk measures, and deal with various types of time series correlations, including realistic ones with volatility clustering.Comment: 12 pages, APFA5 conferenc

Linear Complexity Lossy Compressor for Binary Redundant Memoryless Sources

A lossy compression algorithm for binary redundant memoryless sources is presented. The proposed scheme is based on sparse graph codes. By introducing a nonlinear function, redundant memoryless sequences can be compressed. We propose a linear complexity compressor based on the extended belief propagation, into which an inertia term is heuristically introduced, and show that it has near-optimal performance for moderate block lengths.Comment: 4 pages, 1 figur