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Yield Curves and Chance-Risk Classification: Modeling, Forecasting, and Pension Product Portfolios
(2021)
This dissertation consists of three independent parts: The yield curve shapes generated by interest rate models, the yield curve forecasting, and the application of the chance-risk classification to a portfolio of pension products. As a component of the capital market model, the yield curve influences the chance-risk classification which was introduced to improve the comparability of pension products and strengthen consumer protection. Consequently, all three topics have a major impact on this essential safeguard.
Firstly, we focus on the obtained yield curve shapes of the Vasicek interest rate models. We extend the existing studies on the attainable yield curve shapes in the one-factor Vasicek model by analysis of the curvature. Further, we show that the two-factor Vasicek model can explain significantly more effects that are observed at the market than its one-factor variant. Among them is the occurrence of dipped yield curves.
We further introduce a general change of measure framework for the Monte Carlo simulation of the Vasicek model under a subjective measure. This can be used to avoid the occurrence of a far too high frequency of inverse yield curves with growing time.
Secondly, we examine different time series models including machine learning algorithms forecasting the yield curve. For this, we consider statistical time series models such as autoregression and vector autoregression. Their performances are compared with the performance of a multilayer perceptron, a fully connected feed-forward neural network. For this purpose, we develop an extended approach for the hyperparameter optimization of the perceptron which is based on standard procedures like Grid and Random Search but allows to search a larger hyperparameter space. Our investigation shows that multilayer perceptrons outperform statistical models for long forecast horizons.
The third part deals with the chance-risk classification of state-subsidized pension products in Germany as well as its relevance for customer consulting. To optimize the use of the chance-risk classes assigned by Produktinformationsstelle Altersvorsorge gGmbH, we develop a procedure for determining the chance-risk class of different portfolios of state-subsidized pension products under the constraint that the portfolio chance-risk class does not exceed the customer's risk preference. For this, we consider a portfolio consisting of two new pension products as well as a second one containing a product already owned by the customer as well as the offer of a new one. This is of particular interest for customer consulting and can include other assets of the customer. We examine the properties of various chance and risk parameters as well as their corresponding mappings and show that a diversification effect exists. Based on the properties, we conclude that the average final contract values have to be used to obtain the upper bound of the portfolio chance-risk class. Furthermore, we develop an approach for determining the chance-risk class over the contract term since the chance-risk class is only assigned at the beginning of the accumulation phase. On the one hand, we apply the current legal situation, but on the other hand, we suggest an approach that requires further simulations. Finally, we translate our results into recommendations for customer consultation.
Wreath product groups \(C_\ell \wr \mathfrak{S}_n\) have a rich combinatorial representation theory coming from the symmetric group case and involving partitions, Young tableaux, and Specht modules. To such a wreath product group \(W\), one can associate various algebras and geometric objects: Hecke algebras, quantum groups, Hilbert schemes, Calogero--Moser spaces, and (restricted) rational Cherednik algebras. Over the years, surprising connections have been made between a lot of these objects, with many of these connections having been traced back to combinatorial constructions and properties of the group \(W\) itself.
In this thesis, we have studied one of the algebras, namely the restricted rational Cherednik algebra \(\overline{\mathsf{H}}_\mathbf{c}(W)\), in order to find combinatorial models which describe certain representation theoretical phenomena around \(\overline{\mathsf{H}}_\mathbf{c}(W)\). In particular, we generalize a result by Gordon and describe the graded \(W\)-characters of the simple modules of \(\overline{\mathsf{H}}_\mathbf{c}(W)\) for generic parameter \(\mathbf{c}\) using Haiman's wreath Macdonald polynomials. These graded \(W\)-characters turn out to be specializations of Haiman's wreath Macdonald polynomials. In the non-generic parameter case, we use recent results by Maksimau to combinatorially express an inductive rule of \(\overline{\mathsf{H}}_\mathbf{c}(W)\)-modules first described by Bellamy. We use our results in type \(B\) to describe the (ungraded) \(B_n\)-character of simple \(\overline{\mathsf{H}}_\mathbf{c}(B_n)\)-modules associated to bipartitions with one empty part. Afterwards, we relate this combinatorial induction to various other algebras and families of \(W\)-characters found in the literature such as Lusztig's constructible characters, as well as detail some connections between generic and non-generic parameter using wreath Macdonald polynomials.
In this thesis we extend the worst-case modeling approach as first introduced by Hua and Wilmott (1997) (option pricing in discrete time) and Korn and Wilmott (2002) (portfolio optimization in continuous time) in various directions.
In the continuous-time worst-case portfolio optimization model (as first introduced by Korn and Wilmott (2002)), the financial market is assumed to be under the threat of a crash in the sense that the stock price may crash by an unknown fraction at an unknown time. It is assumed that only an upper bound on the size of the crash is known and that the investor prepares for the worst-possible crash scenario. That is, the investor aims to find the strategy maximizing her objective function in the worst-case crash scenario.
In the first part of this thesis, we consider the model of Korn and Wilmott (2002) in the presence of proportional transaction costs. First, we treat the problem without crashes and show that the value function is the unique viscosity solution of a dynamic programming equation (DPE) and then construct the optimal strategies. We then consider the problem in the presence of crash threats, derive the corresponding DPE and characterize the value function as the unique viscosity solution of this DPE.
In the last part, we consider the worst-case problem with a random number of crashes by proposing a regime switching model in which each state corresponds to a different crash regime. We interpret each of the crash-threatened regimes of the market as states in which a financial bubble has formed which may lead to a crash. In this model, we prove that the value function is a classical solution of a system of DPEs and derive the optimal strategies.
In 2002, Korn and Wilmott introduced the worst-case scenario optimal portfolio approach.
They extend a Black-Scholes type security market, to include the possibility of a
crash. For the modeling of the possible stock price crash they use a Knightian uncertainty
approach and thus make no probabilistic assumption on the crash size or the crash time distribution.
Based on an indifference argument they determine the optimal portfolio process
for an investor who wants to maximize the expected utility from final wealth. In this thesis,
the worst-case scenario approach is extended in various directions to enable the consideration
of stress scenarios, to include the possibility of asset defaults and to allow for parameter
uncertainty.
Insurance companies and banks regularly have to face stress tests performed by regulatory
instances. In the first part we model their investment decision problem that includes stress
scenarios. This leads to optimal portfolios that are already stress test prone by construction.
The solution to this portfolio problem uses the newly introduced concept of minimum constant
portfolio processes.
In the second part we formulate an extended worst-case portfolio approach, where asset
defaults can occur in addition to asset crashes. In our model, the strictly risk-averse investor
does not know which asset is affected by the worst-case scenario. We solve this problem by
introducing the so-called worst-case crash/default loss.
In the third part we set up a continuous time portfolio optimization problem that includes
the possibility of a crash scenario as well as parameter uncertainty. To do this, we combine
the worst-case scenario approach with a model ambiguity approach that is also based on
Knightian uncertainty. We solve this portfolio problem and consider two concrete examples
with box uncertainty and ellipsoidal drift ambiguity.
Distributed systems are omnipresent nowadays and networking them is fundamental for the continuous dissemination and thus availability of data. Provision of data in real-time is one of the most important non-functional aspects that safety-critical networks must guarantee. Formal verification of data communication against worst-case deadline requirements is key to certification of emerging x-by-wire systems. Verification allows aircraft to take off, cars to steer by wire, and safety-critical industrial facilities to operate. Therefore, different methodologies for worst-case modeling and analysis of real-time systems have been established. Among them is deterministic Network Calculus (NC), a versatile technique that is applicable across multiple domains such as packet switching, task scheduling, system on chip, software-defined networking, data center networking and network virtualization. NC is a methodology to derive deterministic bounds on two crucial performance metrics of communication systems:
(a) the end-to-end delay data flows experience and
(b) the buffer space required by a server to queue all incoming data.
NC has already seen application in the industry, for instance, basic results have been used to certify the backbone network of the Airbus A380 aircraft.
The NC methodology for worst-case performance analysis of distributed real-time systems consists of two branches. Both share the NC network model but diverge regarding their respective derivation of performance bounds, i.e., their analysis principle. NC was created as a deterministic system theory for queueing analysis and its operations were later cast in a (min,+)-algebraic framework. This branch is known as algebraic Network Calculus (algNC). While algNC can efficiently compute bounds on delay and backlog, the algebraic manipulations do not allow NC to attain the most accurate bounds achievable for the given network model. These tight performance bounds can only be attained with the other, newly established branch of NC, the optimization-based analysis (optNC). However, the only optNC analysis that can currently derive tight bounds was proven to be computationally infeasible even for the analysis of moderately sized networks other than simple sequences of servers.
This thesis makes various contributions in the area of algNC: accuracy within the existing framework is improved, distributivity of the sensor network calculus analysis is established, and most significantly the algNC is extended with optimization principles. They allow algNC to derive performance bounds that are competitive with optNC. Moreover, the computational efficiency of the new NC approach is improved such that this thesis presents the first NC analysis that is both accurate and computationally feasible at the same time. It allows NC to scale to larger, more complex systems that require formal verification of their real-time capabilities.
Crowd condition monitoring concerns the crowd safety and concerns business performance metrics. The research problem to be solved is a crowd condition estimation approach to enable and support the supervision of mass events by first-responders and marketing experts, but is also targeted towards supporting social scientists, journalists, historians, public relations experts, community leaders, and political researchers. Real-time insights of the crowd condition is desired for quick reactions and historic crowd conditions measurements are desired for profound post-event crowd condition analysis.
This thesis aims to provide a systematic understanding of different approaches for crowd condition estimation by relying on 2.4 GHz signals and its variation in crowds of people, proposes and categorizes possible sensing approaches, applies supervised machine learning algorithms, and demonstrates experimental evaluation results. I categorize four sensing approaches. Firstly, stationary sensors which are sensing crowd centric signals sources. Secondly, stationary sensors which are sensing other stationary signals sources (either opportunistic or special purpose signal sources). Thirdly, a few volunteers within the crowd equipped with sensors which are sensing other surrounding crowd centric device signals (either individually, in a single group or collaboratively) within a small region. Fourthly, a small subset of participants within the crowd equipped with sensors and roaming throughout a whole city to sense wireless crowd centric signals.
I present and evaluate an approach with meshed stationary sensors which were sensing crowd centric devices. This was demonstrated and empirically evaluated within an industrial project during three of the world-wide largest automotive exhibitions. With over 30 meshed stationary sensors in an optimized setup across 6400m2 I achieved a mean absolute error of the crowd density of just 0.0115
people per square meter which equals to an average of below 6% mean relative error from the ground truth. I validate the contextual crowd condition anomaly detection method during the visit of chancellor Mrs. Merkel and during a large press conference during the exhibition. I present the approach of opportunistically sensing stationary based wireless signal variations and validate this during the Hannover CeBIT exhibition with 80 opportunistic sources with a crowd condition estimation relative error of below 12% relying only on surrounding signals in influenced by humans. Pursuing this approach I present an approach with dedicated signal sources and sensors to estimate the condition of shared office environments. I demonstrate methods being viable to even detect low density static crowds, such as people sitting at their desks, and evaluate this on an eight person office scenario. I present the approach of mobile crowd density estimation by a group of sensors detecting other crowd centric devices in the proximity with a classification accuracy of the crowd density of 66 % (improvement of over 22% over a individual sensor) during the crowded Oktoberfest event. I propose a collaborative mobile sensing approach which makes the system more robust against variations that may result from the background of the people rather than the crowd condition with differential features taking information about the link structure between actively scanning devices, the ratio between values observed by different devices, ratio of discovered crowd devices over time, team-wise diversity of discovered devices, number of semi- continuous device visibility periods, and device visibility durations into account. I validate the approach on multiple experiments including the Kaiserslautern European soccer championship public viewing event and evaluated the collaborative mobile sensing approach with a crowd condition estimation accuracy of 77 % while outperforming previous methods by 21%. I present the feasibility of deploying the wireless crowd condition sensing approach to a citywide scale during an event in Zurich with 971 actively sensing participants and outperformed the reference method by 24% in average.
Reading as a cultural skill is acquired over a long period of training. This thesis supports the idea that reading is based on specific strategies that result from modification and coordination of earlier developed object recognition strategies. The reading-specific processing strategies are considered to be more analytic compared to object recognition strategies, which are described as holistic. To enable proper reading skills these strategies have to become automatized. Study 1 (Chapter 4) examined the temporal and visual constrains of letter recognition strategies. In the first experiment two successively presented stimuli (letters or non-letters) had to be classified as same or different. The second stimulus could either be presented in isolation or surrounded by a shape, which was either similar (congruent) or different (incongruent) in its geometrical properties to the stimulus itself. The non-letter pairs were presented twice as often as the letter pairs. The results demonstrated a preference for the holistic strategy also in letters, even if the non- letter set was presented twice as often as the letter set, showing that the analytic strategy does not replace the holistic one completely, but that the usage of both strategies is task-sensitive. In Experiment 2, we compared the Global Precedence Effect (GPE) for letters and non-letters in central viewing, with the global stimulus size close to the functional visual field in whole word reading (6.5◦ of visual angle) and local stimuli close to the critical size for fluent reading of individual letters (0.5◦ of visual angle). Under these conditions, the GPE remained robust for non-letters. For letters, however, it disappeared: letters showed no overall response time advantage for the global level and symmetric congruence effects (local-to-global as well as global-to-local interference). These results indicate that reading is based on resident analytic visual processing strategies for letters. In Study 2 (Chapter 5) we replicated the latter result with a large group of participants as part of a study in which pairwise associations of non-letters and phonological or non-phonological sounds were systematically trained. We investigated whether training would eliminate the GPE also for non-letters. We observed, however, that the differentiation between letters and non-letter shapes persists after training. This result implies that pairwise association learning is not sufficient to overrule the process differentiation in adults. In addition, subtle effects arising in the letter condition (due to enhanced power) enable us to further specify the differentiation in processing between letters and non-letter shapes. The influence of reading ability on the GPE was examined in Study 3 (Chapter 6). Children with normal reading skills and children with poor reading skills were instructed to detect a target in Latin or Hebrew Navon letters. Children with normal reading skills showed a GPE for Latin letters, but not for Hebrew letters. In contrast, the dyslexia group did not show GPE for either kind of stimuli. These results suggest that dyslexic children are not able to apply the same automatized letter processing strategy as children with normal reading skills do. The difference between the analytic letter processing and the holistic non-letter processing was transferred to the context of whole word reading in Study 4 (Chapter 7). When participants were instructed to detect either a letter or a non-letter in a mixed character string, for letters the reaction times and error rates increased linearly from the left to the right terminal position in the string, whereas for non-letters a symmetrical U-shaped function was observed. These results suggest, that the letter-specific processing strategies are triggered automatically also for more word-like material. Thus, this thesis supports and expands prior results of letter-specific processing and gives new evidences for letter-specific processing strategies.
In an overall effort to contribute to the steadily expanding EO literature, this cumulative dissertation aims to help the literature to advance with greater clarity, comprehensive modeling, and more robust research designs. To achieve this, the first paper of this dissertation focuses on the consistency and coherence in variable choices and modeling considerations by conducting a systematic quantitative review of the EO-performance literature. Drawing on the plethora of previous EO studies, the second paper employs a comprehensive meta-analytic structural equation modeling approach (MASEM) to explore the potential for unique component-level relationships among EO’s three core dimensions in antecedent to outcome relationships. The third paper draws on these component-level insights and performs a finer-grained replication of the seminal MASEM of Rosenbusch, Rauch, and Bausch (2013) that proposes EO as a full mediator between the task environment and firm performance. The fourth and final paper of this cumulative dissertation illustrates exigent endogeneity concerns inherent in observational EO-performance research and provides guidance on how researchers can move towards establishing causal relationships.
Wetting of a solid surface with liquids is an important parameter in the chemical engineering process such as distillation, absorption and desorption. The degree of wetting in packed columns mainly contributes in the generating of the effective interfacial area and then enhancing of the heat and mass transfer process. In this work the wetting of solid surfaces was studied in real experimental work and virtually through three dimensional CFD simulations using the multiphase flow VOF model implemented in the commercial software FLUENT. That can be used to simulate the stratified flows [1]. The liquid rivulet flow which is a special case of the film flow and mostly found in packed columns has been discussed. Wetting of a solid flat and wavy metal plate with rivulet liquid flow was simulated and experimentally validated. The local rivulet thickness was measured using an optically assisted mechanical sensor using a needle which is moved perpendicular to the plate surface with a step motor and in the other two directions using two micrometers. The measured and simulated rivulet profiles were compared to some selected theoretical models founded in the literature such as Duffy & Muffatt [2], Towell & Rothfeld [3] and Al-Khalil et al. [4]. The velocity field in a cross section of a rivulet flow and the non-dimensional maximum and mean velocity values for the vertical flat plate was also compared with models from Al-Khalil et al. [4] and Allen & Biggin [5]. Few CFD simulations for the wavy plate case were compared to the experimental findings, and the Towel model for a flat plate [3]. In the second stage of this work 3-D CFD simulations and experimental study has been performed for wetting of a structured packing element and packing sheet consisting of three elements from the type Rombopak 4M, which is a product of the company Kuhni, Switzerland. The hydrodynamics parameters of a packed column, e. i. the degree of wetting, the interfacial area and liquid hold-up have been depicted from the CFD simulations for different liquid systems and liquid loads. Flow patterns on the degree of wetting have been compared to that of the experiments, where the experimental values for the degree of wetting were estimated from the snap shooting of the flow on the packing sheet in a test rig. A new model to describe the hydrodynamics of packed columns equipped with Rombopak 4M was derived with help of the CFD–simulation results. The model predicts the degree of wetting, the specific or interfacial area and liquid hold-up at different flow conditions. This model was compared to Billet & Schultes [6], the SRP model Rocha et al. [7-9], to Shi & Mersmann [10] and others. Since the pressure drop is one of the most important parameter in packed columns especially for vacuum operating columns, few CFD simulations were performed to estimate the dry pressure drop in a structured and flat packing element and were compared to the experimental results. It was found a good agreement from one side, between the experimental and the CFD simulation results, and from the other side between the simulations and theoretical models for the rivulet flow on an inclined plate. The flow patterns and liquid spreading behaviour on the packing element agrees well with the experimental results. The VOF (Volume of Fluid) was found very sensitive to different liquid properties and can be used in optimization of the packing geometries and revealing critical details of wetting and film flow. An extension of this work to perform CFD simulations for the flow inside a block of the packing to get a detailed picture about the interaction between the liquid and packing surfaces is recommended as further perspective.
This research explores the development of web based reference software for
characterisation of surface roughness for two-dimensional surface data. The reference software used for verification of surface characteristics makes the evaluation methods easier for clients. The algorithms used in this software
are based on International ISO standards. Most software used in industrial measuring
instruments may give variations in the parameters calculated due to numerical changes in
calculation. Such variations can be verified using the proposed reference software.
The evaluation of surface roughness is carried out in four major steps: data capture, data
align, data filtering and parameter calculation. This work walks through each of these steps
explaining how surface profiles are evaluated by pre-processing steps called fitting and
filtering. The analysis process is then followed by parameter evaluation according to DIN EN
ISO 4287 and DIN EN ISO 13565-2 standards to extract important information from the
profile to characterise surface roughness.
Wearable activity recognition aims to identify and assess human activities with the help
of computer systems by evaluating signals of sensors which can be attached to the human
body. This provides us with valuable information in several areas: in health care, e.g. fluid
and food intake monitoring; in sports, e.g. training support and monitoring; in entertainment,
e.g. human-computer interface using body movements; in industrial scenarios, e.g.
computer support for detected work tasks. Several challenges exist for wearable activity
recognition: a large number of nonrelevant activities (null class), the evaluation of large
numbers of sensor signals (curse of dimensionality), ambiguity of sensor signals compared
to the activities and finally the high variability of human activity in general.
This thesis develops a new activity recognition strategy, called invariants classification,
which addresses these challenges, especially the variability in human activities. The
core idea is that often even highly variable actions include short, more or less invariant
sub-actions which are due to hard physical constraints. If someone opens a door, the
movement of the hand to the door handle is not fixed. However the door handle has to
be pushed to open the door. The invariants classification algorithm is structured in four
phases: segmentation, invariant identification, classification, and spotting. The segmentation
divides the continuous sensor data stream into meaningful parts, which are related
to sub-activities. Our segmentation strategy uses the zero crossings of the central difference
quotient of the sensor signals, as segment borders. The invariant identification finds
the invariant sub-activities by means of clustering and a selection strategy dependent on
certain features. The classification identifies the segments of a specific activity class, using
models generated from the invariant sub-activities. The models include the invariant
sub-activity signal and features calculated on sensor signals related to the sub-activity. In
the spotting, the classified segments are used to find the entire activity class instances in
the continuous sensor data stream. For this purpose, we use the position of the invariant
sub-activity in the related activity class instance for the estimation of the borders of the
activity instances.
In this thesis, we show that our new activity recognition strategy, built on invariant
sub-activities, is beneficial. We tested it on three human activity datasets with wearable
inertial measurement units (IMU). Compared to previous publications on the same
datasets we got improvement in the activity recognition in several classes, some with a
large margin. Our segmentation achieves a sensible method to separate the sensor data in
relation to the underlying activities. Relying on sub-activities makes us independent from
imprecise labels on the training data. After the identification of invariant sub-activities,
we calculate a value called cluster precision for each sensor signal and each class activity.
This tells us which classes can be easily classified and which sensor channels support
the classification best. Finally, in the training for each activity class, our algorithm selects
suitable signal channels with invariant sub-activities on different points in time and
with different length. This makes our strategy a multi-dimensional asynchronous motif
detection with variable motif length.
The thesis is concerned with the modelling of ionospheric current systems and induced magnetic fields in a multiscale framework. Scaling functions and wavelets are used to realize a multiscale analysis of the function spaces under consideration and to establish a multiscale regularization procedure for the inversion of the considered operator equation. First of all a general multiscale concept for vectorial operator equations between two separable Hilbert spaces is developed in terms of vector kernel functions. The equivalence to the canonical tensorial ansatz is proven and the theory is transferred to the case of multiscale regularization of vectorial inverse problems. As a first application, a special multiresolution analysis of the space of square-integrable vector fields on the sphere, e.g. the Earth’s magnetic field measured on a spherical satellite’s orbit, is presented. By this, a multiscale separation of spherical vector-valued functions with respect to their sources can be established. The vector field is split up into a part induced by sources inside the sphere, a part which is due to sources outside the sphere and a part which is generated by sources on the sphere, i.e. currents crossing the sphere. The multiscale technqiue is tested on a magnetic field data set of the satellite CHAMP and it is shown that crustal field determination can be improved by previously applying our method. In order to reconstruct ionspheric current systems from magnetic field data, an inversion of the Biot-Savart’s law in terms of multiscale regularization is defined. The corresponding operator is formulated and the singular values are calculated. Based on the konwledge of the singular system a regularzation technique in terms of certain product kernels and correponding convolutions can be formed. The method is tested on different simulations and on real magnetic field data of the satellite CHAMP and the proposed satellite mission SWARM.
Nanotechnology is now recognized as one of the most promising areas for technological
development in the 21st century. In materials research, the development of
polymer nanocomposites is rapidly emerging as a multidisciplinary research activity
whose results could widen the applications of polymers to the benefit of many different
industries. Nanocomposites are a new class of composites that are particle-filled
polymers for which at least one dimension of the dispersed particle is in the nanometer
range. In the related area polymer/clay nanocomposites have attracted considerable
interest because they often exhibit remarkable property improvements when
compared to virgin polymer or conventional micro- and macro- composites.
The present work addresses the toughening and reinforcement of thermoplastics via
a novel method which allows us to achieve micro- and nanocomposites. In this work
two matrices are used: amorphous polystyrene (PS) and semi-crystalline polyoxymethylene
(POM). Polyurethane (PU) was selected as the toughening agent for POM
and used in its latex form. It is noteworthy that the mean size of rubber latices is
closely matched with that of conventional toughening agents, impact modifiers.
Boehmite alumina and sodium fluorohectorite (FH) were used as reinforcements.
One of the criteria for selecting these fillers was that they are water swellable/
dispersible and thus their nanoscale dispersion can be achieved also in aqueous
polymer latex. A systematic study was performed on how to adapt discontinuousand
continuous manufacturing techniques for the related nanocomposites.
The dispersion of nanofillers was characterized by transmission, scanning electron
and atomic force microcopy (TEM, SEM and AFM respectively), X-ray diffraction
(XRD) techniques, and discussed. The crystallization of POM was studied by means
of differential scanning calorimetry and polarized light optical microscopy (DSC and
PLM, respectively). The mechanical and thermomechanical properties of the composites
were determined in uniaxial tensile, dynamic-mechanical thermal analysis
(DMTA), short-time creep tests, and thermogravimetric analysis (TGA).
PS composites were produced first by a discontinuous manufacturing technique,
whereby FH or alumina was incorporated in the PS matrix by melt blending with and
without latex precompounding of PS latex with the nanofiller. It was found that direct melt mixing (DM) of the nanofillers with PS resulted in micro-, whereas the latex mediated
pre-compounding (masterbatch technique, MB) in nanocomposites. FH was
not intercalated by PS when prepared by DM. On the other hand, FH was well dispersed
(mostly intercalated) in PS via the PS latex-mediated predispersion of FH following
the MB route. The nanocomposites produced by MB outperformed the DM
compounded microcomposites in respect to properties like stiffness, strength and
ductility based on dynamic-mechanical and static tensile tests. It was found that the
resistance to creep (summarized in master curves) of the nanocomposites were improved
compared to those of the microcomposites. Master curves (creep compliance
vs. time), constructed based on isothermal creep tests performed at different temperatures,
showed that the nanofiller reinforcement affects mostly the initial creep
compliance.
Next, ternary composites composed of POM, PU and boehmite alumina were produced
by melt blending with and without latex precompounding. Latex precompounding
served for the predispersion of the alumina particles. The related MB was produced
by mixing the PU latex with water dispersible boehmite alumina. The composites
produced by the MB technique outperformed the DM compounded composites in
respect to most of the thermal and mechanical characteristics.
Toughened and/or reinforced PS- and POM-based composites have been successfully
produced by a continuous extrusion technique, too. This technique resulted in
good dispersion of both nanofillers (boehmite) and impact modifier (PU). Compared
to the microcomposites obtained by conventional DM, the nanofiller dispersion became
finer and uniform when using the water-mediated predispersion. The resulting
structure markedly affected the mechanical properties (stiffness and creep resistance)
of the corresponding composites. The impact resistance of POM was highly
enhanced by the addition of PU rubber when manufactured by the continuous extrusion
manufacturing technique. This was traced to the dispersed PU particle size being
in the range required from conventional, impact modifiers.
In urban planning, sophisticated simulation models are key tools to estimate future population growth for measuring the impact of planning decisions on urban developments and the environment. Simulated population projections usually result in large, macro-scale, multivariate geospatial data sets. Millions of records have to be processed, stored, and visualized to help planners explore and analyze complex population patterns. We introduce a database driven framework for visualizing geospatial multidimensional simulation data based on the output from UrbanSim, a software for the analysis and planning of urban developments. The designed framework is extendable and aims at integrating empirical-stochastic methods and urban simulation models with techniques developed for information visualization and cartography. First, we develop an empirical model for the estimation of residential building types based on demographic household characteristics. The predicted dwelling type information is important for the analysis of future material use, carbon footprint calculations, and for visualizing simultaneously the results of land usage, density, and other significant parameters in 3D space. Our model uses multinomial logistic regression to derive building types at different scales. The estimated regression coefficients are applied to UrbanSim output in order to predict residential building types. The simulation results and the estimated building types are managed in an object-relational geodatabase. From the database, density, building types, and significant demographic variables are visually encoded as scalable, georeferenced 3D geometries and displayed on top of aerial photographs in a Google Earth visual synthesis. The geodatabase can be accessed and the visualization parameters can be chosen through a web-based user interface. The geometries are encoded in KML, Google's markup language, as ready-to-visualize data sets. The goal is to enhance human cognition by displaying abstract representations of multidimensional data sets in a realistic context and thus to support decision making in planning processes.
Due to the steadily growing flood of data, the appropriate use of visualizations for efficient data analysis is as important today as it has never been before. In many application domains, the data flood is based on processes that can be represented by node-link diagrams. Within such a diagram, nodes may represent intermediate results (or products), system states (or snapshots), milestones or real (and possibly georeferenced) objects, while links (edges) can embody transition conditions, transformation processes or real physical connections. Inspired by the engineering sciences application domain and the research project “SinOptiKom: Cross-sectoral optimization of transformation processes in municipal infrastructures in rural areas”, a platform for the analysis of transformation processes has been researched and developed based on a geographic information system (GIS). Caused by the increased amount of available and interesting data, a particular challenge is the simultaneous visualization of several visible attributes within one single diagram instead of using multiple ones. Therefore, two approaches have been developed, which utilize the available space between nodes in a diagram to display additional information.
Motivated by the necessity of appropriate result communication with various stakeholders, a concept for a universal, dashboard-based analysis platform has been developed. This web-based approach is conceptually capable of displaying data from various data sources and has been supplemented by collaboration possibilities such as sharing, annotating and presenting features.
In order to demonstrate the applicability and usability of newly developed applications, visualizations or user interfaces, extensive evaluations with human users are often inevitable. To reduce the complexity and the effort for conducting an evaluation, the browser-based evaluation framework (BREF) has been designed and implemented. Through its universal and flexible character, virtually any visualization or interaction running in the browser can be evaluated with BREF without any additional application (except for a modern web browser) on the target device. BREF has already proved itself in a wide range of application areas during the development and has since grown into a comprehensive evaluation tool.
The visualization of numerical fluid flow datasets is essential to the engineering processes that motivate their computational simulation. To address the need for visual representations that convey meaningful relations and enable a deep understanding of flow structures, the discipline of Flow Visualization has produced many methods and schemes that are tailored to a variety of visualization tasks. The ever increasing complexity of modern flow simulations, however, puts an enormous demand on these methods. The study of vortex breakdown, for example, which is a highly transient and inherently three-dimensional flow pattern with substantial impact wherever it appears, has driven current techniques to their limits. In this thesis, we propose several novel visualization methods that significantly advance the state of the art in the visualization of complex flow structures. First, we propose a novel scheme for the construction of stream surfaces from the trajectories of particles embedded in a flow. These surfaces are extremely useful since they naturally exploit coherence between neighboring trajectories and are highly illustrative in nature. We overcome the limitations of existing stream surface algorithms that yield poor results in complex flows, and show how the resulting surfaces can be used a building blocks for advanced flow visualization techniques. Moreover, we present a visualization method that is based on moving section planes that travel through a dataset and sample the flow. By considering the changes to the flow topology on the plane as it moves, we obtain a method of visualizing topological structures in three-dimensional flows that are not accessible by conventional topological methods. On the same algorithmic basis, we construct an algorithm for the tracking of critical points in such flows, thereby enabling the treatment of time-dependent datasets. Last, we address some problems with the recently introduced Lagrangian techniques. While conceptually elegant and generally applicable, they suffer from an enormous computational cost that we significantly use by developing an adaptive approximation algorithm. This allows the application of such methods on very large and complex numerical simulations. Throughout this thesis, we will be concerned with flow visualization aspect of general practical significance but we will particularly emphasize the remarkably challenging visualization of the vortex breakdown phenomenon.
In urban planning, both measuring and communicating sustainability are among the most recent concerns. Therefore, the primary emphasis of this thesis concerns establishing metrics and visualization techniques in order to deal with indicators of sustainability.
First, this thesis provides a novel approach for measuring and monitoring two indicators of sustainability - urban sprawl and carbon footprints – at the urban neighborhood scale. By designating different sectors of relevant carbon emissions as well as different household categories, this thesis provides detailed information about carbon emissions in order to estimate impacts of daily consumption decisions and travel behavior by household type. Regarding urban sprawl, a novel gridcell-based indicator model is established, based on different dimensions of urban sprawl.
Second, this thesis presents a three-step-based visualization method, addressing predefined requirements for geovisualizations and visualizing those indicator results, introduced above. This surface-visualization combines advantages from both common GIS representation and three-dimensional representation techniques within the field of urban planning, and is assisted by a web-based graphical user interface which allows for accessing the results by the public.
In addition, by focusing on local neighborhoods, this thesis provides an alternative approach in measuring and visualizing both indicators by utilizing a Neighborhood Relation Diagram (NRD), based on weighted Voronoi diagrams. Thus, the user is able to a) utilize original census data, b) compare direct impacts of indicator results on the neighboring cells, and c) compare both indicators of sustainability visually.
Nowadays, the increasing demand for ever more customizable products has emphasized the need for more flexible and fast-changing manufacturing systems. In this environment, simulation has become a strategic tool for the design, development, and implementation of such systems. Simulation represents a relatively low-cost and risk-free alternative for testing the impact and effectiveness of changes in different aspects of manufacturing systems.
Systems that deal with this kind of data for its use in decision making processes are known as Simulation-Based Decision Support Systems (SB-DSS). Although most SB-DSS provide a powerful variety of tools for the automatic and semi-automatic analysis of simulations, visual and interactive alternatives for the manual exploration of the results are still open to further development.
The work in this dissertation is focused on enhancing decision makers’ analysis capabilities by making simulation data more accessible through the incorporation of visualization and analysis techniques. To demonstrate how this goal can be achieved, two systems were developed. The first system, viPhos – standing for visualization of Phos: Greek for light –, is a system that supports lighting design in factory layout planning. viPhos combines simulation, analysis, and visualization tools and techniques to facilitate the global and local (overall factory or single workstations, respectively) interactive exploration and comparison of lighting design alternatives.
The second system, STRAD - standing for Spatio-Temporal Radar -, is a web-based systems that considers the spatio/attribute-temporal analysis of event data. Since decision making processes in manufacturing also involve the monitoring of the systems over time, STRAD enables the multilevel exploration of event data (e.g., simulated or historical registers of the status of machines or results of quality control processes).
A set of four case studies and one proof of concept prepared for both systems demonstrate the suitability of the visualization and analysis strategies adopted for supporting decision making processes in diverse application domains. The results of these case studies indicate that both, the systems as well as the techniques included in the systems can be generalized and extended to support the analysis of different tasks and scenarios.
Due to remarkable technological advances in the last three decades the capacity of computer systems has improved tremendously. Considering Moore's law, the number of transistors on integrated circuits has doubled approximately every two years and the trend is continuing. Likewise, developments in storage density, network bandwidth, and compute capacity show similar patterns. As a consequence, the amount of data that can be processed by today's systems has increased by orders of magnitude. At the same time, however, the resolution of screens has hardly increased by a factor of ten. Thus, there is a gap between the amount of data that can be processed and the amount of data that can be visualized. Large high-resolution displays offer a way to deal with this gap and provide a significantly increased screen area by combining the images of multiple smaller display devices. The main objective of this dissertation is the development of new visualization and interaction techniques for large high-resolution displays.
This dissertation focuses on the visualization of urban microclimate data sets,
which describe the atmospheric impact of individual urban features. The application
and adaptation of visualization and analysis concepts to enhance the
insight into observational data sets used this specialized area are explored, motivated
through application problems encountered during active involvement
in urban microclimate research at the Arizona State University in Tempe, Arizona.
Besides two smaller projects dealing with the analysis of thermographs
recorded with a hand-held device and visualization techniques used for building
performance simulation results, the main focus of the work described in
this document is the development of a prototypic tool for the visualization
and analysis of mobile transect measurements. This observation technique involves
a sensor platform mounted to a vehicle, which is then used to traverse
a heterogeneous neighborhood to investigate the relationships between urban
form and microclimate. The resulting data sets are among the most complex
modes of in-situ observations due to their spatio-temporal dependence, their
multivariate nature, but also due to the various error sources associated with
moving platform observations.
The prototype enables urban climate researchers to preprocess their data,
to explore a single transect in detail, and to aggregate observations from multiple
traverses conducted over diverse routes for a visual delineation of climatic
microenvironments. Extending traditional analysis methods, the suggested visualization
tool provides techniques to relate the measured attributes to each
other and to the surrounding land cover structure. In addition to that, an
improved method for sensor lag correction is described, which shows the potential
to increase the spatial resolution of measurements conducted with slow
air temperature sensors.
In summary, the interdisciplinary approach followed in this thesis triggers
contributions to geospatial visualization and visual analytics, as well as to urban
climatology. The solutions developed in the course of this dissertation are
meant to support domain experts in their research tasks, providing means to
gain a qualitative overview over their specific data sets and to detect patterns,
which can then be further analyzed using domain-specific tools and methods.
The focus of this work is to provide and evaluate a novel method for multifield topology-based analysis and visualization. Through this concept, called Pareto sets, one is capable to identify critical regions in a multifield with arbitrary many individual fields. It uses ideas found in graph optimization to find common behavior and areas of divergence between multiple optimization objectives. The connections between the latter areas can be reduced into a graph structure allowing for an abstract visualization of the multifield to support data exploration and understanding.
The research question that is answered in this dissertation is about the general capability and expandability of the Pareto set concept in context of visualization and application. Furthermore, the study of its relations, drawbacks and advantages towards other topological-based approaches. This questions is answered in several steps, including consideration and comparison with related work, a thorough introduction of the Pareto set itself as well as a framework for efficient implementation and an attached discussion regarding limitations of the concept and their implications for run time, suitable data, and possible improvements.
Furthermore, this work considers possible simplification approaches like integrated single-field simplification methods but also using common structures identified through the Pareto set concept to smooth all individual fields at once. These considerations are especially important for real-world scenarios to visualize highly complex data by removing small local structures without destroying information about larger, global trends.
To further emphasize possible improvements and expandability of the Pareto set concept, the thesis studies a variety of different real world applications. For each scenario, this work shows how the definition and visualization of the Pareto set is used and improved for data exploration and analysis based on the scenarios.
In summary, this dissertation provides a complete and sound summary of the Pareto set concept as ground work for future application of multifield data analysis. The possible scenarios include those presented in the application section, but are found in a wide range of research and industrial areas relying on uncertainty analysis, time-varying data, and ensembles of data sets in general.
The safety of embedded systems is becoming more and more important nowadays. Fault Tree Analysis (FTA) is a widely used technique for analyzing the safety of embedded systems. A standardized tree-like structure called a Fault Tree (FT) models the failures of the systems. The Component Fault Tree (CFT) provides an advanced modeling concept for adapting the traditional FTs to the hierarchical architecture model in system design. Minimal Cut Set (MCS) analysis is a method that works for qualitative analysis based on the FTs. Each MCS represents a minimal combination of component failures of a system called basic events, which may together cause the top-level system failure. The ordinary representations of MCSs consist of plain text and data tables with little additional supporting visual and interactive information. Importance analysis based on FTs or CFTs estimates the contribution of each potential basic event to a top-level system failure. The resulting importance values of basic events are typically represented in summary views, e.g., data tables and histograms. There is little visual integration between these forms and the FT (or CFT) structure. The safety of a system can be improved using an iterative process, called the safety improvement process, based on FTs taking relevant constraints into account, e.g., cost. Typically, relevant data regarding the safety improvement process are presented across multiple views with few interactive associations. In short, the ordinary representation concepts cannot effectively facilitate these analyses.
We propose a set of visualization approaches for addressing the issues above mentioned in order to facilitate those analyses in terms of the representations.
Contribution:
1. To support the MCS analysis, we propose a matrix-based visualization that allows detailed data of the MCSs of interest to be viewed while maintaining a satisfactory overview of a large number of MCSs for effective navigation and pattern analysis. Engineers can also intuitively analyze the influence of MCSs of a CFT.
2. To facilitate the importance analysis based on the CFT, we propose a hybrid visualization approach that combines the icicle-layout-style architectural views with the CFT structure. This approach facilitates to identify the vulnerable components taking the hierarchies of system architecture into account and investigate the logical failure propagation of the important basic events.
3. We propose a visual safety improvement process that integrates an enhanced decision tree with a scatter plot. This approach allows one to visually investigate the detailed data related to individual steps of the process while maintaining the overview of the process. The approach facilitates to construct and analyze improvement solutions of the safety of a system.
Using our visualization approaches, the MCS analysis, the importance analysis, and the safety improvement process based on the CFT can be facilitated.
The present research combines different paradigm in the area of visual perception of letter and words. These experiments aimed to understand the deficit underlying the problem associated with the faulty visual processing of letters and words. The present work summarizes the findings from two different types of population: (1) Dyslexics (reading-disabled children) and (2) Illiterates (adults who cannot read). In order to compare the results, comparisons were made between literate and illiterate group; dyslexics and control group (normal reading children). Differences for Even related potentials (ERP’s) between dyslexics and control children were made using mental rotation task for letters. According to the ERP’s, the effect of the mental rotation task of letter perception resulted as a delayed positive component and the component becomes less positive when the task becomes more difficult (Rotation related Negativity – RRN). The component was absent for dyslexics and present for controls. Dyslexics also showed some late effects in comparison to control children and this could be interpreted as problems at the decision stage where they are confused as to the letter is normal or mirrored. Dyslexics also have problems in responding to the letters having visual or phonological similarities (e.g. b vs d, p vs q). Visually similar letters were used to compare dyslexics and controls on a symmetry generalization task in two different contrast conditions (low and high). Dyslexics showed a similar pattern of response, and were overall slower in responding to the task compared to controls. The results were interpreted within the framework of the Functional Coordination Deficit (Lachmann, 2002). Dyslexics also showed delayed response in responding to the word recognition task during motion. Using red background decreases the Magnocellular pathway (M-pathway) activity, making more difficult to identify letters and this effect was worse for dyslexics because their M-pathway is weaker. In dyslexics, the M-pathway is worse; using a red background decreases the M activity and increases the difficulty in identifying lexical task in motion. This effect generated worse response to red compared to the green background. The reaction times with red were longer than those with green background. Further, Illiterates showed an analytic approach to responding to letters as well as on shapes. The analytic approach does not result from an individual capability to read, but is a primary base of visual organization or perception.
Today's ubiquity of visual content as driven by the availability of broadband Internet, low-priced storage, and the omnipresence of camera equipped mobile devices conveys much of our thinking and feeling as individuals and as a society. As a result the growth of video repositories is increasing at enourmous rates with content now being embedded and shared through social media. To make use of this new form of social multimedia, concept detection, the automatic mapping of semantic concepts and video content has to be extended such that concept vocabularies are synchronized with current real-world events, systems can perform scalable concept learning with thousands of concepts, and high-level information such as sentiment can be extracted from visual content. To catch up with these demands the following three contributions are made in this thesis: (i) concept detection is linked to trending topics, (ii) visual learning from web videos is presented including the proper treatment of tags as concept labels, and (iii) the extension of concept detection with adjective noun pairs for sentiment analysis is proposed.
In order for concept detection to satisfy users' current information needs, the notion of fixed concept vocabularies has to be reconsidered. This thesis presents a novel concept learning approach built upon dynamic vocabularies, which are automatically augmented with trending topics mined from social media. Once discovered, trending topics are evaluated by forecasting their future progression to predict high impact topics, which are then either mapped to an available static concept vocabulary or trained as individual concept detectors on demand. It is demonstrated in experiments on YouTube video clips that by a visual learning of trending topics, improvements of over 100% in concept detection accuracy can be achieved over static vocabularies (n=78,000).
To remove manual efforts related to training data retrieval from YouTube and noise caused by tags being coarse, subjective and context-depedent, this thesis suggests an automatic concept-to-query mapping for the retrieval of relevant training video material, and active relevance filtering to generate reliable annotations from web video tags. Here, the relevance of web tags is modeled as a latent variable, which is combined with an active learning label refinement. In experiments on YouTube, active relevance filtering is found to outperform both automatic filtering and active learning approaches, leading to a reduction of required label inspections by 75% as compared to an expert annotated training dataset (n=100,000).
Finally, it is demonstrated, that concept detection can serve as a key component to infer the sentiment reflected in visual content. To extend concept detection for sentiment analysis, adjective noun pairs (ANP) as novel entities for concept learning are proposed in this thesis. First a large-scale visual sentiment ontology consisting of 3,000 ANPs is automatically constructed by mining the web. From this ontology a mid-level representation of visual content – SentiBank – is trained to encode the visual presence of 1,200 ANPs. This novel approach of visual learning is validated in three independent experiments on sentiment prediction (n=2,000), emotion detection (n=807) and pornographic filtering (n=40,000). SentiBank is shown to outperform known low-level feature representations (sentiment prediction, pornography detection) or perform comparable to state-of-the art methods (emotion detection).
Altogether, these contributions extend state-of-the-art concept detection approaches such that concept learning can be done autonomously from web videos on a large-scale, and can cope with novel semantic structures such as trending topics or adjective noun pairs, adding a new dimension to the understanding of video content.
This PhD thesis is concerned with the visual analysis of time-dependent scalar field ensembles as occur in climate simulations.
Modern climate projections consist of multiple simulation runs (ensemble members) that vary in parameter settings and/or initial values, which leads to variations in the resulting simulation data.
The goal of ensemble simulations is to sample the space of possible futures under the given climate model and provide quantitative information about uncertainty in the results.
The analysis of such data is challenging because apart from the spatiotemporal data, also variability has to be analyzed and communicated.
This thesis presents novel techniques to analyze climate simulation ensembles visually.
A central question is how the data can be aggregated under minimized information loss.
To address this question, a key technique applied in several places in this work is clustering.
The first part of the thesis addresses the challenge of finding clusters in the ensemble simulation data.
Various distance metrics lend themselves for the comparison of scalar fields which are explored theoretically and practically.
A visual analytics interface allows the user to interactively explore and compare multiple parameter settings for the clustering and investigate the resulting clusters, i.e. prototypical climate phenomena.
A central contribution here is the development of design principles for analyzing variability in decadal climate simulations, which has lead to a visualization system centered around the new Clustering Timeline.
This is a variant of a Sankey diagram that utilizes clustering results to communicate climatic states over time coupled with ensemble member agreement.
It can reveal
several interesting properties of the dataset, such as:
into how many inherently similar groups the ensemble can be divided at any given time,
whether the ensemble diverges in general,
whether there are different phases in the time lapse, maybe periodicity, or outliers.
The Clustering Timeline is also used to compare multiple climate simulation models and assess their performance.
The Hierarchical Clustering Timeline is an advanced version of the above.
It introduces the concept of a cluster hierarchy that may group the whole dataset down to the individual static scalar fields into clusters of various sizes and densities recording the nesting relationship between them.
One more contribution of this work in terms of visualization research is, that ways are investigated how to practically utilize a hierarchical clustering of time-dependent scalar fields to analyze the data.
To this end, a system of different views is proposed which are linked through various interaction possibilities.
The main advantage of the system is that a dataset can now be inspected at an arbitrary level of detail without having to recompute a clustering with different parameters.
Interesting branches of the simulation can be expanded to reveal smaller differences in critical clusters or folded to show only a coarse representation of the less interesting parts of the dataset.
The last building block of the suit of visual analysis methods developed for this thesis aims at a robust, (largely) automatic detection and tracking of certain features in a scalar field ensemble.
Techniques are presented that I found can identify and track super- and sub-levelsets.
And I derive “centers of action” from these sets which mark the location of extremal climate phenomena that govern the weather (e.g. Icelandic Low and Azores High).
The thesis also presents visual and quantitative techniques to evaluate the temporal change of the positions of these centers; such a displacement would be likely to manifest in changes in weather.
In a preliminary analysis with my collaborators, we indeed observed changes in the loci of the centers of action in a simulation with increased greenhouse gas concentration as compared to pre-industrial concentration levels.
Synapses play a central role in the information propagation in the nervous system. A better understanding of synaptic structures and processes is vital for advancing nervous disease research. This work is part of an interdisciplinary project that aims at the quantitative examination of components of the neuromuscular junction, a synaptic connection between a neuron and a muscle cell.
The research project is based on image stacks picturing neuromuscular junctions captured by modern electron microscopes, which permit the rapid acquisition of huge amounts of image data at a high level of detail. The large amount and sheer size of such microscopic data makes a direct visual examination infeasible, though.
This thesis presents novel problem-oriented interactive visualization techniques that support the segmentation and examination of neuromuscular junctions.
First, I introduce a structured data model for segmented surfaces of neuromuscular junctions to enable the computational analysis of their properties. However, surface segmentation of neuromuscular junctions is a very challenging task due to the extremely intricate character of the objects of interest. Hence, such problematic segmentations are often performed manually by non-experts and thus requires further inspection.
With NeuroMap, I develop a novel framework to support proofreading and correction of three-dimensional surface segmentations. To provide a clear overview and to ease navigation within the data, I propose the surface map, an abstracted two-dimensional representation using key features of the surface as landmarks. These visualizations are augmented with information about automated segmentation error estimates. The framework provides intuitive and interactive data correction mechanisms, which in turn permit the expeditious creation of high-quality segmentations.
While analyzing such segmented synapse data, the formulation of specific research questions is often impossible due to missing insight into the data. I address this problem by designing a generic parameter space for segmented structures from biological image data. Furthermore, I introduce a graphical interface to aid its exploration, combining both parameter selection as well as data representation.
Graphs and flow networks are important mathematical concepts that enable the modeling and analysis of a large variety of real world problems in different domains such as engineering, medicine or computer science. The number, sizes and complexities of those problems permanently increased during the last decades. This led to an increased demand of techniques that help domain experts in understanding their data and its underlying structure to enable an efficient analysis and decision making process.
To tackle this challenge, this work presents several new techniques that utilize concepts of visual analysis to provide domain scientists with new visualization methodologies and tools. Therefore, this work provides novel concepts and approaches for diverse aspects of the visual analysis such as data transformation, visual mapping, parameter refinement and analysis, model building and visualization as well as user interaction.
The presented techniques form a framework that enriches domain scientists with new visual analysis tools and help them analyze their data and gain insight from the underlying structures. To show the applicability and effectiveness of the presented approaches, this work tackles different applications such as networking, product flow management and vascular systems, while preserving the generality to be applicable to further domains.
In this thesis viscoelastic material models are established to investigate the nature of continuous calving processes at Antarctic ice shelves. Physics-based descriptions of calving require appropriate fracture criteria to separate icebergs from the remaining ice shelf. Hence, criteria of the stress, the strain, and the self-similarity criterion are considered within finite-element computations. Crucial parameters in the models to determine the position of calving are the accurate knowledge of the geometry, especially the freeboard height, while the material parameters mainly influence the time span between two successive calving events. The extension to nonlinear material models is necessary to properly analyze the internal forces also for large deformations that occur for longer times of the viscous ice flow.
In the presented work, I evaluate if and how Virtual Reality (VR) technologies can be used to support researchers working in the geosciences by providing immersive, collaborative visualization systems as well as virtual tools for data analysis. Technical challenges encountered in the development of theses systems are identified and solutions for these are provided.
To enable geologists to explore large digital terrain models (DTMs) in an immersive, explorative fashion within a VR environment, a suitable terrain rendering algorithm is required. For realistic perception of planetary curvature at large viewer altitudes, spherical rendering of the surface is necessary. Furthermore, rendering must sustain interactive frame rates of about 30 frames per second to avoid sensory confusion of the user. At the same time, the data structures used for visualization should also be suitable for efficiently computing spatial properties such as height profiles or volumes in order to implement virtual analysis tools. To address these requirements, I have developed a novel terrain rendering algorithm based on tiled quadtree hierarchies using the HEALPix parametrization of a sphere. For evaluation purposes, the system is applied to a 500 GiB dataset representing the surface of Mars.
Considering the current development of inexpensive remote surveillance equipment such as quadcopters, it seems inevitable that these devices will play a major role in future disaster management applications. Virtual reality installations in disaster management headquarters which provide an immersive visualization of near-live, three-dimensional situational data could then be a valuable asset for rapid, collaborative decision making. Most terrain visualization algorithms, however, require a computationally expensive pre-processing step to construct a terrain database.
To address this problem, I present an on-the-fly pre-processing system for cartographic data. The system consists of a frontend for rendering and interaction as well as a distributed processing backend executing on a small cluster which produces tiled data in the format required by the frontend on demand. The backend employs a CUDA based algorithm on graphics cards to perform efficient conversion from cartographic standard projections to the HEALPix-based grid used by the frontend.
Measurement of spatial properties is an important step in quantifying geological phenomena. When performing these tasks in a VR environment, a suitable input device and abstraction for the interaction (a “virtual tool”) must be provided. This tool should enable the user to precisely select the location of the measurement even under a perspective projection. Furthermore, the measurement process should be accurate to the resolution of the data available and should not have a large impact on the frame rate in order to not violate interactivity requirements.
I have implemented virtual tools based on the HEALPix data structure for measurement of height profiles as well as volumes. For interaction, a ray-based picking metaphor was employed, using a virtual selection ray extending from the user’s hand holding a VR interaction device. To provide maximum accuracy, the algorithms access the quad-tree terrain database at the highest available resolution level while at the same time maintaining interactivity in rendering.
Geological faults are cracks in the earth’s crust along which a differential movement of rock volumes can be observed. Quantifying the direction and magnitude of such translations is an essential requirement in understanding earth’s geological history. For this purpose, geologists traditionally use maps in top-down projection which are cut (e.g. using image editing software) along the suspected fault trace. The two resulting pieces of the map are then translated in parallel against each other until surface features which have been cut by the fault motion come back into alignment. The amount of translation applied is then used as a hypothesis for the magnitude of the fault action. In the scope of this work it is shown, however, that performing this study in a top-down perspective can lead to the acceptance of faulty reconstructions, since the three-dimensional structure of topography is not considered.
To address this problem, I present a novel terrain deformation algorithm which allows the user to trace a fault line directly within a 3D terrain visualization system and interactively deform the terrain model while inspecting the resulting reconstruction from arbitrary perspectives. I demonstrate that the application of 3D visualization allows for a more informed interpretation of fault reconstruction hypotheses. The algorithm is implemented on graphics cards and performs real-time geometric deformation of the terrain model, guaranteeing interactivity with respect to all parameters.
Paleoceanography is the study of the prehistoric evolution of the ocean. One of the key data sources used in this research are coring experiments which provide point samples of layered sediment depositions at the ocean floor. The samples obtained in these experiments document the time-varying sediment concentrations within the ocean water at the point of measurement. The task of recovering the ocean flow patterns based on these deposition records is a challenging inverse numerical problem, however.
To support domain scientists working on this problem, I have developed a VR visualization tool to aid in the verification of model parameters by providing simultaneous visualization of experimental data from coring as well as the resulting predicted flow field obtained from numerical simulation. Earth is visualized as a globe in the VR environment with coring data being presented using a billboard rendering technique while the
time-variant flow field is indicated using Line-Integral-Convolution (LIC). To study individual sediment transport pathways and their correlation with the depositional record, interactive particle injection and real-time advection is supported.
Virtual Possibilities: Exploring the Role of Emerging Technologies in Work and Learning Environments
(2024)
The present work aims to investigate whether virtual reality can support learning as well as vocational work environments. To this end, four studies were conducted, with the first set investigating the demands for vocational workers and the impact of input methods on participant performance. These studies laid the foundation needed to create studies incorporating virtual reality research. The second set of studies was concerned with the impact of virtual reality on learning performance as well as the influence of binaural stimuli presentation on task performance. Results of each study are discussed individually and in conjunction with one another. The four studies are further supplemented with further research conducted by the author as well as an analysis of the growing field of virtual reality-based research. The thesis closes by embedding the discussed work into the scientific landscape and tries to give an outlook for virtual reality-based use cases in the future.
To improve efficiency of memory accesses, modern multiprocessor architectures implement a whole range of different weak memory models. The behavior of performance-critical code depends on the underlying hardware. There is a rising demand for verification tools that take the underlying memory model into account. This work examines a variety of prevalent problems in the field of program verification of increasing complexities: testing, reachability, portability and memory model synthesis.
We give efficient tools to solve these problems. What sets the presented methods apart is that they are not limited to some few given architectures. They are universal: The memory model is given as part of the input. We make use of the CAT language to succinctly describe axiomatic memory models. CAT has been used to define the semantics of assembly for x86/TSO, ARMv7, ARMv8, and POWER but also the semantics of programming languages such as C/C++, including the Linux kernel concurrency primitives.
This work shows that even the simple testing problem is NP-hard for most memory models. It does so using a general reduction technique that applies to a range of models. It examines the more difficult program verification under a memory model and introduces Dartagnan, a bounded model checker (BMC) that encodes the problem as an SMT-query and makes use of advanced encoding techniques. The program portability problem is shown to be even harder. Despite this, it is solved efficiently by the tool Porthos which uses a guided search to produce fast results for most practical instances. A memory model is synthesized by Aramis for a given set of reachability results. Concurrent program verification is generally undecidable even for sequential consistency. As an alternative to BMC, we propose a new CEGAR method for Petri net invariant synthesis. We again use SMT-queries as a back-end.
Knowing the extent to which we rely on technology one may think that correct programs are nowadays the norm. Unfortunately, this is far from the truth. Luckily, possible reasons why program correctness is difficult often come hand in hand with some solutions. Consider concurrent program correctness under Sequential Consistency (SC). Under SC, instructions of each program's concurrent component are executed atomically and in order. By using logic to represent correctness specifications, model checking provides a successful solution to concurrent program verification under SC. Alas, SC’s atomicity assumptions do not reflect the reality of hardware architectures. Total Store Order (TSO) is a less common memory model implemented in SPARC and in Intel x86 multiprocessors that relaxes the SC constraints. While the architecturally de-atomized execution of stores under TSO speeds up program execution, it also complicates program verification. To be precise, due to TSO’s unbounded store buffers, a program’s semantics under TSO might be infinite. This, for example, turns reachability under SC (a PSPACE-complete task) into a non-primitive-recursive-complete problem under TSO. This thesis develops verification techniques targeting TSO-relaxed programs. To be precise, we present under- and over-approximating heuristics for checking reachability in TSO-relaxed programs as well as state-reducing methods for speeding up such heuristics. In a first contribution, we propose an algorithm to check reachability of TSO-relaxed programs lazily. The under-approximating refinement algorithm uses auxiliary variables to simulate TSO’s buffers along instruction sequences suggested by an oracle. The oracle’s deciding characteristic is that if it returns the empty sequence then the program’s SC- and TSO-reachable states are the same. Secondly, we propose several approaches to over-approximate TSO buffers. Combined in a refinement algorithm, these approaches can be used to determine safety with respect to TSO reachability for a large class of TSO-relaxed programs. On the more technical side, we prove that checking reachability is decidable when TSO buffers are approximated by multisets with tracked per address last-added-values. Finally, we analyze how the explored state space can be reduced when checking TSO and SC reachability. Intuitively, through the viewpoint of Shasha-and-Snir-like traces, we exploit the structure of program instructions to explain several state-space reducing methods including dynamic and cartesian partial order reduction.
A wide range of methods and techniques have been developed over the years to manage the increasing
complexity of automotive Electrical/Electronic systems. Standardization is an example
of such complexity managing techniques that aims to minimize the costs, avoid compatibility
problems and improve the efficiency of development processes.
A well-known and -practiced standard in automotive industry is AUTOSAR (Automotive
Open System Architecture). AUTOSAR is a common standard among OEMs (Original Equipment
Manufacturer), suppliers and other involved companies. It was developed originally with
the goal of simplifying the overall development and integration process of Electrical/Electronic
artifacts from different functional domains, such as hardware, software, and vehicle communication.
However, the AUTOSAR standard, in its current status, is not able to manage the problems
in some areas of the system development. Validation and optimization process of system configuration
handled in this thesis are examples of such areas, in which the AUTOSAR standard
offers so far no mature solutions.
Generally, systems developed on the basis of AUTOSAR must be configured in a way that all
defined requirements are met. In most cases, the number of configuration parameters and their
possible settings in AUTOSAR systems are large, especially if the developed system is complex
with modules from various knowledge domains. The verification process here can consume a
lot of resources to test all possible combinations of configuration settings, and ideally find the
optimal configuration variant, since the number of test cases can be very high. This problem is
referred to in literature as the combinatorial explosion problem.
Combinatorial testing is an active and promising area of functional testing that offers ideas
to solve the combinatorial explosion problem. Thereby, the focus is to cover the interaction
errors by selecting a sample of system input parameters or configuration settings for test case
generation. However, the industrial acceptance of combinatorial testing is still weak because of
the deficiency of real industrial examples.
This thesis is tempted to fill this gap between the industry and the academy in the area
of combinatorial testing to emphasizes the effectiveness of combinatorial testing in verifying
complex configurable systems.
The particular intention of the thesis is to provide a new applicable approach to combinatorial
testing to fight the combinatorial explosion problem emerged during the verification and
performance measurement of transport protocol parallel routing of an AUTOSAR gateway. The
proposed approach has been validated and evaluated by means of two real industrial examples
of AUTOSAR gateways with multiple communication buses and two different degrees of complexity
to illustrate its applicability.
The present work deals with the (global and local) modeling of the windfield on the real topography of Rheinland-Pfalz. Thereby the focus is on the construction of a vectorial windfield from low, irregularly distributed data given on a topographical surface. The developed spline procedure works by means of vectorial (homogeneous, harmonic) polynomials (outer harmonics) which control the oscillation behaviour of the spline interpoland. In the process the characteristic of the spline curvature which defines the energy norm is assumed to be on a sphere inside the Earth interior and not on the Earth’s surface. The numerical advantage of this method arises from the maximum-minimum principle for harmonic functions.
In this thesis we classify simple coherent sheaves on Kodaira fibers of types II, III and IV (cuspidal and tacnode cubic curves and a plane configuration of three concurrent lines). Indecomposable vector bundles on smooth elliptic curves were classified in 1957 by Atiyah. In works of Burban, Drozd and Greuel it was shown that the categories of vector bundles and coherent sheaves on cycles of projective lines are tame. It turns out, that all other degenerations of elliptic curves are vector-bundle-wild. Nevertheless, we prove that the category of coherent sheaves of an arbitrary reduced plane cubic curve, (including the mentioned Kodaira fibers) is brick-tame. The main technical tool of our approach is the representation theory of bocses. Although, this technique was mainly used for purely theoretical purposes, we illustrate its computational potential for investigating tame behavior in wild categories. In particular, it allows to prove that a simple vector bundle on a reduced cubic curve is determined by its rank, multidegree and determinant, generalizing Atiyah's classification. Our approach leads to an interesting class of bocses, which can be wild but are brick-tame.
Monte Carlo simulation is one of the commonly used methods for risk estimation on financial markets, especially for option portfolios, where any analytical approximation is usually too inaccurate. However, the usually high computational effort for complex portfolios with a large number of underlying assets motivates the application of variance reduction procedures. Variance reduction for estimating the probability of high portfolio losses has been extensively studied by Glasserman et al. A great variance reduction is achieved by applying an exponential twisting importance sampling algorithm together with stratification. The popular and much faster Delta-Gamma approximation replaces the portfolio loss function in order to guide the choice of the importance sampling density and it plays the role of the stratification variable. The main disadvantage of the proposed algorithm is that it is derived only in the case of Gaussian and some heavy-tailed changes in risk factors.
Hence, our main goal is to keep the main advantage of the Monte Carlo simulation, namely its ability to perform a simulation under alternative assumptions on the distribution of the changes in risk factors, also in the variance reduction algorithms. Step by step, we construct new variance reduction techniques for estimating the probability of high portfolio losses. They are based on the idea of the Cross-Entropy importance sampling procedure. More precisely, the importance sampling density is chosen as the closest one to the optimal importance sampling density (zero variance estimator) out of some parametric family of densities with respect to Kullback - Leibler cross-entropy. Our algorithms are based on the special choices of the parametric family and can now use any approximation of the portfolio loss function. A special stratification is developed, so that any approximation of the portfolio loss function under any assumption of the distribution of the risk factors can be used. The constructed algorithms can easily be applied for any distribution of risk factors, no matter if light- or heavy-tailed. The numerical study exhibits a greater variance reduction than of the algorithm from Glasserman et al. The use of a better approximation may improve the performance of our algorithms significantly, as it is shown in the numerical study.
The literature on the estimation of the popular market risk measures, namely VaR and CVaR, often refers to the algorithms for estimating the probability of high portfolio losses, describing the corresponding transition process only briefly. Hence, we give a consecutive discussion of this problem. Results necessary to construct confidence intervals for both measures under the mentioned variance reduction procedures are also given.
Properties of vapor-liquid interfaces play an important role in many processes, but corresponding data is scarce, especially for mixtures. Therefore, two independent routes were employed in the present work to study them: molecular dynamics (MD) simulations using classical force fields as well as density gradient theory (DGT) in combination with theoretically-based equations of state (EOS). The investigated interfacial properties include: interfacial tension, adsorption, and the enrichment of components, which
quantifies the interesting effect that in many systems the density of certain components in the interfacial region is much higher than in either of the bulk phases. As systematic investigations of the enrichment were lacking, it was comprehensively studied here by considering a large number of Lennard-Jones (LJ) mixtures with different phase behavior; also the dependence of the enrichment on temperature and concentration was elucidated and a conformal solution theory for describing the interfacial properties of LJ mixtures was developed. Furthermore, general relations of interfacial properties and the phase behavior were revealed and the relation between the enrichment and the wetting behavior of fluid interfaces was elucidated. All studies were carried out by both MD and DGT, which were found to agree well in most cases. The results were extended to real mixtures, which were studied not only by simulations but also in laboratory experiments. In connection with these investigations, three literature reviews were prepared which cover: a) simulation data on thermophysical properties of the LJ fluid; b) the performance of different EOS of the LJ fluid on that simulation data; c) data on the enrichment at vapor-liquid interfaces. Electronic databases were established for a) - c). Based on c), a short-cut method for the prediction of the enrichment from readily available vapor-liquid equilibrium data was developed. Last not least, an MD method for studying the influence of mass transfer on interfacial properties was developed and applied to investigate the influence of the enrichment on the mass transfer.
In this work two main approaches for the evaluation of credit derivatives are analyzed: the copula based approach and the Markov Chain based approach. This work gives the opportunity to use the advantages and avoid disadvantages of both approaches. For example, modeling of contagion effects, i.e. modeling dependencies between counterparty defaults, is complicated under the copula approach. One remedy is to use Markov Chain, where it can be done directly. The work consists of five chapters. The first chapter of this work extends the model for the pricing of CDS contracts presented in the paper by Kraft and Steffensen (2007). In the widely used models for CDS pricing it is assumed that only borrower can default. In our model we assume that each of the counterparties involved in the contract may default. Calculated contract prices are compared with those calculated under usual assumptions. All results are summarized in the form of numerical examples and plots. In the second chapter the copula and its main properties are described. The methods of constructing copulas as well as most common copulas families and its properties are introduced. In the third chapter the method of constructing a copula for the existing Markov Chain is introduced. The cases with two and three counterparties are considered. Necessary relations between the transition intensities are derived to directly find some copula functions. The formulae for default dependencies like Spearman's rho and Kendall's tau for defined copulas are derived. Several numerical examples are presented in which the copulas are built for given Markov Chains. The fourth chapter deals with the approximation of copulas if for a given Markov Chain a copula cannot be provided explicitly. The fifth chapter concludes this thesis.
Die Anwendung von tragbare Sensorik im Bereich der Bewegungsanalyse ist mittlerweile zu einem zentralen Bestandteil in der Medizin und im Sport geworden. In den letzten Jahren befinden sich vor allem Inertiale Messeinheiten (IMU) auf dem Vormarsch. Durch die Fusion mehrerer Sensoren erlauben es IMU Systeme komplexe Informationen wie etwa Gelenkwinkel und spatio-temporale Parameter (STP) zu gewinnen. Viele der heute verfügbaren IMU Systeme befinden sich in der Entwicklungsphase und wurden noch nicht adäquat für den klinischen oder den sportspezifischen Einsatz auf Validität und Reliabilität getestet. Dieses Prozedere ist nach wissenschaftlichen Gesichtspunkten unerlässlich bevor ein System zur biomechanischen Analyse herangezogen und basierend auf dessen Ergebnissen etwa klinische Entscheidungen getroffen werden können. Folglich wurde in der vorliegenden Arbeit ein neu entwickeltes IMU System, dass, basierend auf Akzelerometer und Gyroskop Daten, spatio-temporale Gangparameter und Gelenkswinkel der unteren Extremität berechnet, hinsichtlich dieser Kriterien evaluiert. Zu diesem Zweck wurden mit Hilfe dieses IMU Systems Daten von unterschiedlich dynamischen Bewegungen in zwei verschiedenen Probandengruppen, einer gesunden, jungen Gruppe und einer Gruppe mit Patienten nach totaler Hüftarthroplastik (THA), aufgenommen. Daraus wurden die 3D Winkel des Hüft-, Knie- und Sprunggelenks sowie die globale Bewegung des Beckens berechnet. Weiter wurden gangspezifische STP, z.B. Schrittlänge, Schreitlänge, Kadenz, berechnet. Aber auch STP die typischerweise nur mit alternativen Systemen zuverlässig zu messen sind, z.B. Spurbreite und Durchschwungbreite, wurden erhoben. Die Ergebnisse aus dem IMU System wurden gegen ein etabliertes Referenzsystem im Bereich der Bewegungsanalyse, in Form eines markerbasierten stereophotogrammetrischen Systems, verglichen. Die vorliegenden Ergebnisse zeigen in beiden Gruppen eine starke Korrelation zwischen den Systemen in den Gelenkwinkeln der sagittalen und frontalen Ebene, sowie den STP. Es zeigte sich aber auch, dass die Übereinstimmung des IMU Systems mit dem kamerabasierten System vor allem in den Winkeln der Transversalebene, i.e. Rotationsbewegungen, und hier vor allem im Bereich des Kniegelenks leicht abnimmt. Weiter zeigte sich, dass die Genauigkeit des IMU Systems bei dynamischeren Bewegungen ebenfalls abnimmt. Bezüglich der Test-Retest Reliabilität zeigen die aktuellen Daten eine hohe Verlässlichkeit der Messergebnisse.
In einem zweiten Schritt wurde mit Hilfe der Daten des nun validierten IMU Systems versucht pathologische Gangmuster, in dem konkreten Fall das Gangmuster von Patienten nach THA, von physiologischen zu differenzieren. Hierzu wurde ein Algorithmus des maschinellen Lernens angewandt um an Hand von ausgewählten, klinisch relevanten Parametern eine Klassifikation vorzunehmen. Diese Methode wurde ebenfalls sowohl an Hand von IMU Daten und Daten des Referenzsystems evaluiert. Es zeigte sich kein Unterschied in der Klassifikationsgenauigkeit zwischen den Systemen. Die Genauigkeit, mit der pathologische Gangmuster erkannt wurden, lag in beiden Fällen über 96 %.
Die vorliegende Arbeit beschreibt im Detail die Vor- und Nachteile eines neu entwickelten, mobilen IMU Systems, das komplexe Parameter der Kinematik mit hoher Genauigkeit und Verlässlichkeit erfasst. Besonders die erfolgreiche Evaluierung dieses Systems in einer klinisch relevanten Applikation zeigt das große Potential von IMU Systemen in der klinischen Anwendung.
Utilization of Correlation Matrices in Adaptive Array Processors for Time-Slotted CDMA Uplinks
(2002)
It is well known that the performance of mobile radio systems can be significantly enhanced by the application of adaptive antennas which consist of multi-element antenna arrays plus signal processing circuitry. In the thesis the utilization of such antennas as receive antennas in the uplink of mobile radio air interfaces of the type TD-CDMA is studied. Especially, the incorporation of covariance matrices of the received interference signals into the signal processing algorithms is investigated with a view to improve the system performance as compared to state of the art adaptive antenna technology. These covariance matrices implicitly contain information on the directions of incidence of the interference signals, and this information may be exploited to reduce the effective interference power when processing the signals received by the array elements. As a basis for the investigations, first directional models of the mobile radio channels and of the interference impinging at the receiver are developed, which can be implemented on the computer at low cost. These channel models cover both outdoor and indoor environments. They are partly based on measured channel impulse responses and, therefore, allow a description of the mobile radio channels which comes sufficiently close to reality. Concerning the interference models, two cases are considered. In the one case, the interference signals arriving from different directions are correlated, and in the other case these signals are uncorrelated. After a visualization of the potential of adaptive receive antennas, data detection and channel estimation schemes for the TD-CDMA uplink are presented, which rely on such antennas under the consideration of interference covariance matrices. Of special interest is the detection scheme MSJD (Multi Step Joint Detection), which is a novel iterative approach to multi-user detection. Concerning channel estimation, the incorporation of the knowledge of the interference covariance matrix and of the correlation matrix of the channel impulse responses is enabled by an MMSE (Minimum Mean Square Error) based channel estimator. The presented signal processing concepts using covariance matrices for channel estimation and data detection are merged in order to form entire receiver structures. Important tasks to be fulfilled in such receivers are the estimation of the interference covariance matrices and the reconstruction of the received desired signals. These reconstructions are required when applying MSJD in data detection. The considered receiver structures are implemented on the computer in order to enable system simulations. The obtained simulation results show that the developed schemes are very promising in cases, where the impinging interference is highly directional, whereas in cases with the interference directions being more homogeneously distributed over the azimuth the consideration of the interference covariance matrices is of only limited benefit. The thesis can serve as a basis for practical system implementations.
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk measures. It is therefore aimed at readers interested in both, the theory of static and dynamic financial risk measures in the sense of Artzner, Delbaen, Eber and Heath [7], [8] and the theory of preferences in the tradition of von Neumann and Morgenstern [134].
A main contribution of this thesis is the introduction of optimal expected utility (OEU) risk measures as a new class of utility-based risk measures. We introduce OEU, investigate its main properties, and its applicability to risk measurement and put it in perspective to alternative risk measures and notions of certainty equivalents. To the best of our knowledge, OEU is the only existing utility-based risk measure that is (non-trivial and) coherent if the utility function u has constant relative risk aversion. We present several different risk measures that can be derived with special choices of u and illustrate that OEU reacts in a more sensitive way to slight changes of the probability of a financial loss than value at risk (V@R) and average value at risk.
Further, we propose implied risk aversion as a coherent rating methodology for retail structured products (RSPs). Implied risk aversion is based on optimal expected utility risk measures and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor's risk aversion: A product is attractive (unattractive) for an investor if its implied risk aversion is higher (lower) than his individual risk aversion. We illustrate this approach in a case study with more than 15,000 warrants on DAX ® and find that implied risk aversion is able to identify favorable products; in particular, implied risk aversion is not necessarily increasing with respect to the strikes of call warrants.
Another main focus of this thesis is on consistency of dynamic risk measures. To this end, we study risk measures on the space of distributions, discuss concavity on the level of distributions and slightly generalize Weber's [137] findings on the relation of time consistent dynamic risk measures to static risk measures to the case of dynamic risk measures with time-dependent parameters. Finally, this thesis investigates how recursively composed dynamic risk measures in discrete time, which are time consistent by construction, can be related to corresponding dynamic risk measures in continuous time. We present different approaches to establish this link and outline the theoretical basis and the practical benefits of this relation. The thesis concludes with a numerical implementation of this theory.
This thesis deals with the relationship between no-arbitrage and (strictly) consistent price processes for a financial market with proportional transaction costs
in a discrete time model. The exact mathematical statement behind this relationship is formulated in the so-called Fundamental Theorem of Asset Pricing (FTAP). Among the many proofs of the FTAP without transaction costs there
is also an economic intuitive utility-based approach. It relies on the economic
intuitive fact that the investor can maximize his expected utility from terminal
wealth. This approach is rather constructive since the equivalent martingale measure is then given by the marginal utility evaluated at the optimal terminal payoff.
However, in the presence of proportional transaction costs such a utility-based approach for the existence of consistent price processes is missing in the literature. So far, rather deep methods from functional analysis or from the theory of random sets have been used to show the FTAP under proportional transaction costs.
For the sake of existence of a utility-maximizing payoff we first concentrate on a generic single-period model with only one risky asset. The marignal utility evaluated at the optimal terminal payoff yields the first component of a
consistent price process. The second component is given by the bid-ask prices
depending on the investors optimal action. Even more is true: nearby this consistent price process there are many strictly consistent price processes. Their exact structure allows us to apply this utility-maximizing argument in a multi-period model. In a backwards induction we adapt the given bid-ask prices in such a way so that the strictly consistent price processes found from maximizing utility can be extended to terminal time. In addition possible arbitrage opportunities of the 2nd kind vanish which can present for the original bid-ask process. The notion of arbitrage opportunities of the 2nd kind has been so
far investigated only in models with strict costs in every state. In our model
transaction costs need not be present in every state.
For a model with finitely many risky assets a similar idea is applicable. However, in the single-period case we need to develop new methods compared
to the single-period case with only one risky asset. There are mainly two reasons
for that. Firstly, it is not at all obvious how to get a consistent price process
from the utility-maximizing payoff, since the consistent price process has to be
found for all assets simultaneously. Secondly, we need to show directly that the
so-called vector space property for null payoffs implies the robust no-arbitrage condition. Once this step is accomplished we can à priori use prices with a
smaller spread than the original ones so that the consistent price process found
from the utility-maximizing payoff is strictly consistent for the original prices.
To make the results applicable for the multi-period case we assume that the prices are given by compact and convex random sets. Then the multi-period case is similar to the case with only one risky asset but more demanding with regard to technical questions.
Using Enhanced Logic Programming Semantics for Extending and Optimizing Synchronous System Design
(2021)
The semantics of programming languages assign a meaning to the written program syntax.
Currently, the meaning of synchronous programming languages, which are especially designed to develop programs for reactive and embedded systems, is based on a formal semantics definition similar to Fitting`s fixpoint semantics for logic programs.
Nevertheless, it is possible to write a synchronous program code that does not evaluate to concrete values with the current semantics, which means those programs are currently seen to be not constructive.
In the last decades, the theoretical knowledge and representation of semantics for logic programming has increased, but not all theoretical results and achievements have found their way to practice and application in system design.
This thesis, in a first part, focuses on extensions to the semantics of synchronous programming languages to an evaluation similar to a well-founded semantics as defined in logic programming by van Gelder, Ross and Schlipf and to the stable model semantics as defined by Gelfond and Lifschitz. Particularly, this allows an evaluation for some of the currently not constructive programs where the semantics based on Fitting`s fixpoint fails.
It is shown that the extension to well-founded semantics is a conservative extension of Fitting`s semantics, so that the meaning for programs which were already constructive does not change. Finally, it is considered how one can still generate circuits that implement the considered synchronous programs with the well-founded semantics. Again, this is a conservative approach that does not modify the circuits generated by the so-far used synthesis procedures.
Answer set programming and the underlying stable model semantics describe problems by constraints and the related answer set solvers give all solutions to that problem as so-called answers. This allows the formulation of searching and planning problems as well as efficient solutions without having the need to develop special and possibly error-prone algorithms for every single application.
The semantics of the synchronous programming language Quartz is also extended to the stable model semantics. For this extension, two alternatives are discussed: First of all, a direct extension similar to the extension to well-founded semantics is discussed. Second, a transformation of synchronous programs to the available answer set programming languages is given, as this allows to directly use answer set solvers for the synthesis and optimization of synchronous systems.
The second part of the thesis contains further examples of the use of answer set programming in system design to emphasis their benefits for system design in general. The first example is hereby the generation of optimal/minimal interconnection-networks which allow non-blocking connections between n sources and n targets in parallel. As a second example, the stable model semantics is used to build a complete compiler chain, which transforms a given program to an optimal assembler code (called move code) for the new SCAD processor architecture which was developed at the University of Kaiserslautern. As a final part, the lessons learned from the two examples are shown by the means of some enhancement ideas for the synchronous programming language paradigm.
The last couple of years have marked the entire field of information technology with the introduction of a new global resource, called data. Certainly, one can argue that large amounts of information and highly interconnected and complex datasets were available since the dawn of the computer and even centuries before. However, it has been only a few years since digital data has exponentially expended, diversified and interconnected into an overwhelming range of domains, generating an entire universe of zeros and ones. This universe represents a source of information with the potential of advancing a multitude of fields and sparking valuable insights. In order to obtain this information, this data needs to be explored, analyzed and interpreted.
While a large set of problems can be addressed through automatic techniques from fields like artificial intelligence, machine learning or computer vision, there are various datasets and domains that still rely on the human intuition and experience in order to parse and discover hidden information. In such instances, the data is usually structured and represented in the form of an interactive visual representation that allows users to efficiently explore the data space and reach valuable insights. However, the experience, knowledge and intuition of a single person also has its limits. To address this, collaborative visualizations allow multiple users to communicate, interact and explore a visual representation by building on the different views and knowledge blocks contributed by each person.
In this dissertation, we explore the potential of subjective measurements and user emotional awareness in collaborative scenarios as well as support flexible and user- centered collaboration in information visualization systems running on tabletop displays. We commence by introducing the concept of user-centered collaborative visualization (UCCV) and highlighting the context in which it applies. We continue with a thorough overview of the state-of-the-art in the areas of collaborative information visualization, subjectivity measurement and emotion visualization, combinable tabletop tangibles, as well as browsing history visualizations. Based on a new web browser history visualization for exploring user parallel browsing behavior, we introduce two novel user-centered techniques for supporting collaboration in co-located visualization systems. To begin with, we inspect the particularities of detecting user subjectivity through brain-computer interfaces, and present two emotion visualization techniques for touch and desktop interfaces. These visualizations offer real-time or post-task feedback about the users’ affective states, both in single-user and collaborative settings, thus increasing the emotional self-awareness and the awareness of other users’ emotions. For supporting collaborative interaction, a novel design for tabletop tangibles is described together with a set of specifically developed interactions for supporting tabletop collaboration. These ring-shaped tangibles minimize occlusion, support touch interaction, can act as interaction lenses, and describe logical operations through nesting operations. The visualization and the two UCCV techniques are each evaluated individually capturing a set of advantages and limitations of each approach. Additionally, the collaborative visualization supported by the two UCCV techniques is also collectively evaluated in three user studies that offer insight into the specifics of interpersonal interaction and task transition in collaborative visualization. The results show that the proposed collaboration support techniques do not only improve the efficiency of the visualization, but also help maintain the collaboration process and aid a balanced social interaction.
The main goal of this work was the study of the applicability of a polymer film heat exchanger concept for the applications in the chemical industry, such as the condensation of organic solvents. The polymer film heat exchanger investigated is a plate heat exchanger with very thin (0.025 – 0.1 mm) plates or films, which separate the fluids and enable the heat transfer. After a successful application of this concept to seawater desalination in a previous work, a further step is in chemical engineering, where the good chemical resistance of polymers in aggressive fluids is the challenge.
Two approaches were performed in this work. The first one was experimental and included the study of the chemical and mechanical resistance of preselected films, made of polymer materials, such as polyimide (PI), polyethylene terephthalate (PET) and polytetrafluoroethylene (PTFE). To simulate realistic operating conditions in a heat exchanger the films were exposed to a combined thermal (up to 90°C) and mechanical pressure loads (4-6 bar) with permanent contact with the relevant organic solvents, such as toluene, hexane, heptane and tetrahydrofuran (THF). Furthermore, a lab-scale apparatus and a full-scale demonstrator were manufactured in cooperation with two industrial partners. These were used for the investigation of the heat transfer performance for operating modes with and without phase change.
In addition to the experimental work, a coupled finite element –computational fluid dynamics (FEM-CFD)-model was developed, based on the fluid-structure-interaction (FSI). Two major tasks had to be solved here. The first one was the modelling of the condensation process, based on available mathematical models and energy balances. The second one was the consideration of the partially reversible deformation of the used film during operation. Since this deformation changes the geometry of the fluid channels also has an influence on the overall performance of the apparatus, a coupled FEM-CFD model was developed.
During the experimental study of the chemical resistance of the films, the PTFE film showed the best performance, and hence can be used for all four tested solvents. For the polyimide film, failures while exposed to THF were observed, and the PET film can only be used with water and hexane. With the used lab-scale heat exchanger and the full-scale demonstrator competitive overall heat transfer coefficients between 270 W/m²K and 700 W/m²K could be reached for the liquid-liquid (water-water, water-hexane) operation mode without phase change. For the condensation process, overall heat transfer coefficients of up to 1700/m²K could be obtained.
The numerical approach led to a well-functioning coupled model in a very small scale (1 cm²). An upscale, however, failed due to enormous hardware resources necessary required for the simulation of the entire full-scale demonstrator. The main reason for this is the very low thickness of the films, which leads to tiny mesh element sizes (<0.05 mm) necessary to model the deformation of the film. The modelling of the liquid-liquid heat transfer provided an acceptable accuracy (approx. 10%), but at very low rates the deviations were then higher (over 30%). The results of the condensation modelling were ambivalent. One the one hand a physically plausible model was developed, which could map the entire condensation process. On the other hand, the corresponding energy balance revealed major inaccuracy and hence could not be used for the determination of the overall heat transfer and showed the current limits of the FEM-CFD approach.
Urban Design Guidelines have been used in Jakarta for controlling the form of the built environment. This planning instrument has been implemented in several central city redevelopment projects particularly in superblock areas. The instrument has gained popularity and implemented in new development and conservation areas as well. Despite its popularity, there is no formal literature on the Indonesian Urban Design Guideline that systematically explain its contents, structure and the formulation process. This dissertation attempts to explain the substantive of urban design guideline and the way to control its implementation. Various streams of urban design theories are presented and evaluated in term of their suitability for attaining a high urbanistic quality in major Indonesian cities. The explanation on the form and the practical application of this planning instrument is elaborated in a comparative investigation of similar instrument in other countries; namely the USA, Britain and Germany. A case study of a superblock development in Jakarta demonstrates the application of the urban design theories and guideline. Currently, the role of computer in the process of formulating the urban design guideline in Indonesia is merely as a replacement of the manual method, particularly in areas of worksheet calculation and design presentation. Further support of computer for urban planning and design tasks has been researched in developed countries, which shows its potential in supporting decision-making process, enabling public participation, team collaboration, documentation and publication of urban design decisions and so on. It is hoped that the computer usage in Indonesian urban design process can catch up with the global trend of multimedia, networking (Internet/Intranet) and interactive functions that is presented with examples from developed countries.
This Ph.D. project as a landscape research practice focuses on the less widely studied aspects of urban agriculture landscape and its application in recreation and leisure, as well as landscape beautification. I research on the edible landscape planning and design, its criteria, possibilities, and traditional roots for the particular situation of Iranian cities and landscapes. The primary objective is preparing a conceptual and practical framework for Iranian professions to integrate the food landscaping into the new greenery and open spaces developments. Furthermore, finding the possibilities of synthesis the traditional utilitarian gardening with the contemporary pioneer viewpoints of agricultural landscapes is the other significant proposed achievement.
Finished tasks and list of achieved results:
• Recognition the software and hardware principles of designing the agricultural landscape based on the Persian gardens
• Multidimensional identity of agricultural landscape in Persian gardens
• Principles of architectural integration and the characteristics of the integrative landscape in Persian gardens
• Distinctive characteristics of agricultural landscape in Persian garden
• Introducing the Persian and historical gardens as the starting point for reentering the agricultural phenomena into the Iranian cities and landscape
• Assessment the structure of Persian gardens based on the new achievements and criteria of designing the urban agriculture
• Investigate the role of Persian gardens in envisioning the urban agriculture in
Iranian cities’ landscape.
Lithium-ion batteries are broadly used nowadays in all kinds of portable electronics, such as laptops, cell phones, tablets, e-book readers, digital cameras, etc. They are preferred to other types of rechargeable batteries due to their superior characteristics, such as light weight and high energy density, no memory effect, and a big number of charge/discharge cycles. The high demand and applicability of Li-ion batteries naturally give rise to the unceasing necessity of developing better batteries in terms of performance and lifetime. The aim of the mathematical modelling of Li-ion batteries is to help engineers test different battery configurations and electrode materials faster and cheaper. Lithium-ion batteries are multiscale systems. A typical Li-ion battery consists of multiple connected electrochemical battery cells. Each cell has two electrodes - anode and cathode, as well as a separator between them that prevents a short circuit.
Both electrodes have porous structure composed of two phases - solid and electrolyte. We call macroscale the lengthscale of the whole electrode and microscale - the lengthscale at which we can distinguish the complex porous structure of the electrodes. We start from a Li-ion battery model derived on the microscale. The model is based on nonlinear diffusion type of equations for the transport of Lithium ions and charges in the electrolyte and in the active material. Electrochemical reactions on the solid-electrolyte interface couple the two phases. The interface kinetics is modelled by the highly nonlinear Butler-Volmer interface conditions. Direct numerical simulations with standard methods, such as the Finite Element Method or Finite Volume Method, lead to ill-conditioned problems with a huge number of degrees of freedom which are difficult to solve. Therefore, the aim of this work is to derive upscaled models on the lengthscale of the whole electrode so that we do not have to resolve all the small-scale features of the porous microstructure thus reducing the computational time and cost. We do this by applying two different upscaling techniques - the Asymptotic Homogenization Method and the Multiscale Finite Element Method (MsFEM). We consider the electrolyte and the solid as two self-complementary perforated domains and we exploit this idea with both upscaling methods. The first method is restricted only to periodic media and periodically oscillating solutions while the second method can be applied to randomly oscillating solutions and is based on the Finite Element Method framework. We apply the Asymptotic Homogenization Method to derive a coupled macro-micro upscaled model under the assumption of periodic electrode microstructure. A crucial step in the homogenization procedure is the upscaling of the Butler-Volmer interface conditions. We rigorously determine the asymptotic order of the interface exchange current densities and we perform a comprehensive numerical study in order to validate the derived homogenized Li-ion battery model. In order to upscale the microscale battery problem in the case of random electrode microstructure we apply the MsFEM, extended to problems in perforated domains with Neumann boundary conditions on the holes. We conduct a detailed numerical investigation of the proposed algorithm and we show numerical convergence of the method that we design. We also apply the developed technique to a simplified two-dimensional Li-ion battery problem and we show numerical convergence of the solution obtained with the MsFEM to the reference microscale one.
This thesis addresses the need for a new approach to hardware sign-off verification which guarantees the security of processors at the Register Transfer Level (RTL). To this end, we introduce a formal definition of security with respect to microarchitectural vulnerabilities, formulated as a hardware property.
We present a formal proof methodology based on Unique Program Execution Checking (UPEC) which can be used to systematically detect all vulnerabilities to transient execution attacks in RTL designs. UPEC does not exploit any a priori knowledge on known attacks and can therefore detect also vulnerabilities based on new, so far unknown, types of channels. This is demonstrated by the new attack scenarios discovered in our experiments with UPEC. UPEC operates on a verification model consisting of two identical instances of the SoC design under verification. The SoC instances in the model execute the same program.
The only difference between the two instances is the content of the protected part of the memory, i.e., the secret.
The aim of this dissertation is to explain processes in recruitment by gaining a better understanding of how perceptions evolve and how recruitment outcomes and perceptions are influenced. To do so, this dissertation takes a closer look at the formation of fit perceptions, the effects of top employer awards on pre-hire recruitment outcomes, and on how perceptions about external sources are influenced.