Maximum Likelihood Estimation of the Cox–Ingersoll–Ross Model Using Particle Filters

This paper shows how to build in a computationally efficient way a maximum simulated likelihood procedure to estimate the Cox–Ingersoll–Ross model from multivariate time series. The advantage of this estimator is that it takes into account the exact likelihood function while avoiding the huge computational burden associated with MCMC methods and without the ad hoc assumption that certain bond yields are measured without error. The proposed methodology is implemented and tested on simulated data. For realistic parameter values the estimator seems to have good small sample properties, compared to the popular quasi maximum likelihood approach, even using moderate simulation sizes. The effect of simulation errors does not seem to undermine the estimation procedure.     

A goal-based framework for contextual requirements modeling and analysis

Requirements engineering (RE) research often ignores or presumes a uniform nature of the context in which the system operates. This assumption is no longer valid in emerging computing paradigms, such as ambient, pervasive and ubiquitous computing, where it is essential to monitor and adapt to an inherently varying context. Besides influencing the software, context may influence stakeholders’ goals and their choices to meet them. In this paper, we propose a goal-oriented RE modeling and reasoning framework for systems operating in varying contexts. We introduce contextual goal models to relate goals and contexts; context analysis to refine contexts and identify ways to verify them; reasoning techniques to derive requirements reflecting the context and users priorities at runtime; and finally, design time reasoning techniques to derive requirements for a system to be developed at minimum cost and valid in all considered contexts. We illustrate and evaluate our approach through a case study about a museum-guide mobile information system.     

A coarse-grain reconfigurable architecture for multimedia applications supporting subword and floating-point calculations

Signal processors exploiting ASIC acceleration suffer from sky-rocketing manufacturing costs and long design cycles. FPGA-based systems provide a programmable alternative for exploiting computation parallelism, but the flexibility they provide is not as high as in processor-oriented architectures: HDL or C-to-HDL flows still require specific expertise and a hardware knowledge background. On the other hand, the large size of the configuration bitstream and the inherent complexity of FPGA devices make their dynamic reconfiguration not a very viable approach. Coarse-grained reconfigurable architectures (CGRAs) are an appealing solution but they pose implementation problems and tend to be application specific. This paper presents a scalable CGRA which eases the implementation of algorithms on field programmable gate array (FPGA) platforms. This design option is based on two levels of programmability: it takes advantage of performance and reliability provided by state-of-the-art FPGA technology, and at the same time it provides the user with flexibility, performance and ease of reconfiguration typical of standard CGRAs. The basic cell template provides advanced features such as sub-word SIMD integer and floating-point computation capabilities, as well as saturating arithmetic. Multiple reconfiguration contexts and partial run-time reconfiguration capabilities are provided, tackling this way the problem of high reconfiguration overhead typical of FPGAs. Selected instances of the proposed architecture have been implemented on an Altera Stratix II EP2S180 FPGA. On this system, we mapped some common DSP, image processing, 3D graphics and audio compression algorithms in order to validate our approach and to demonstrate its effectiveness by benchmarking the benefits achieved.     

CAD based shape optimization for gas turbine component design

In order to improve product characteristics, engineering design makes increasing use of Robust Design and Multidisciplinary Design Optimisation. Common to both methodologies is the need to vary the object’s shape and to assess the resulting change in performance, both executed within an automatic loop. This shape change can be realised by modifying the parameter values of a suitably parameterised Computer Aided Design (CAD) model. This paper presents the adopted methodology and the achieved results when performing optimisation of a gas turbine disk. Our approach to hierarchical modelling employing design tables is presented, with methods to ensure satisfactory geometry variation by commercial CAD systems. The conducted studies included stochastic and probabilistic design optimisation. To solve the multi-objective optimisation problem, a Pareto optimum criterion was used. The results demonstrate that CAD centric approach enables significant progress towards automating the entire process while achieving a higher quality product with the reduced susceptibility to manufacturing imperfections.     

The MORPHEUS Heterogeneous Dynamically Reconfigurable Platform

Reconfigurable computing offers a wide range of low cost and efficient solutions for embedded systems. The proper choice of the reconfigurable device, the granularity of its processing elements and its memory architecture highly depend on the type of application and their data flow. Existing solutions either offer fine grain FPGAs, which rely on a hardware synthesis flow and offer the maximum degree of flexibility, or coarser grain solutions, which are usually more suitable for a particular type of data flow and applications. In this paper, we present the MORPHEUS architecture, a versatile reconfigurable heterogeneous System-on-Chip targeting streaming applications. The presented architecture exploits different reconfigurable technologies at several computation granularities that efficiently address the different applications needs. In order to efficiently exploit the presented architecture, we implemented a complete software solution to map C applications to the reconfigurable architecture. In this paper, we describe the complete toolset and provide concrete use cases of the architecture.     

Path dependent stochastic models to detect planned and actual technology use: A case study of OpenOffice

Context

Adopting IT innovation in organizations is a complex decision process driven by technical, social and economic issues. Thus, those organizations that decide to adopt innovation take a decision of uncertain success of implementation, as the actual use of a new technology might not be the one expected. The misalignment between planned and effective use of innovation is called assimilation gap.

Objective

This research aims at defining a quantitative instrument for measuring the assimilation gap and applying it to the case of the adoption of OSS.

Method

In this paper, we use the theory of path dependence and increasing returns of Arthur. In particular, we model the use of software applications (planned or actual) by stochastic processes defined by the daily amounts of files created with the applications. We quantify the assimilation gap by comparing the resulting models by measures of proximity.

Results

We apply and validate our method to a real case study of introduction of OpenOffice. We have found a gap between the planned and the effective use despite well-defined directives to use the new OS technology. These findings suggest a need of strategy re-calibration that takes into account environmental factors and individual attitudes.

Conclusions

The theory of path dependence is a valid instrument to model the assimilation gap provided information on strategy toward innovation and quantitative data on actual use are available.     

Numerical approximation of incompressible flows with net flux defective boundary conditions by means of penalty techniques

We consider incompressible flow problems with defective boundary conditions prescribing only the net flux on some inflow and outflow sections of the boundary. As a paradigm for such problems, we simply refer to Stokes flow. After a brief review of the problem and of its well posedness, we discretize the corresponding variational formulation by means of finite elements and looking at the boundary conditions as constraints, we exploit a penalty method to account for them. We perform the analysis of the method in terms of consistency, boundedness and stability of the discrete bilinear form and we show that the application of the penalty method does not affect the optimal convergence properties of the finite element discretization. Since the additional terms introduced to account for the defective boundary conditions are non-local, we also analyze the spectral properties of the equivalent algebraic formulation and we exploit the analysis to set up an efficient solution strategy. In contrast to alternative discretization methods based on Lagrange multipliers accounting for the constraints on the boundary, the present scheme is particularly effective because it only mildly affects the structure and the computational cost of the numerical approximation. Indeed, it does not require neither multipliers nor sub-iterations or additional adjoint problems with respect to the reference problem at hand.     

A Brief Critique of Pure Hypercomputation

Hypercomputation—the hypothesis that Turing-incomputable objects can be computed through infinitary means—is ineffective, as the unsolvability of the halting problem for Turing machines depends just on the absence of a definite value for some paradoxical construction; nature and quantity of computing resources are immaterial. The assumption that the halting problem is solved by oracles of higher Turing degree amounts just to postulation; infinite-time oracles are not actually solving paradoxes, but simply assigning them conventional values. Special values for non-terminating processes are likewise irrelevant, since diagonalization can cover any amount of value assignments. This should not be construed as a restriction of computing power: Turing’s uncomputability is not a ‘barrier’ to be broken, but simply an effect of the expressive power of consistent programming systems.     

A Note on the Equivalence of Coherence and Constrained Coherence

Constrained coherence is compared to coherence and its role in the behavioural interpretation of coherence is discussed. The equivalence of these two notions is proven for coherent conditional previsions, showing that the same course of reasoning applies to several similar concepts developed in the realm of imprecise probability theory.