Doctoral Thesis
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- Kaiserslautern - Fachbereich Mathematik (278)
- Kaiserslautern - Fachbereich Informatik (218)
- Kaiserslautern - Fachbereich Maschinenbau und Verfahrenstechnik (143)
- Kaiserslautern - Fachbereich Chemie (79)
- Kaiserslautern - Fachbereich Elektrotechnik und Informationstechnik (64)
- Kaiserslautern - Fachbereich Biologie (54)
- Kaiserslautern - Fachbereich Sozialwissenschaften (26)
- Landau - Fachbereich Natur- und Umweltwissenschaften (23)
- Kaiserslautern - Fachbereich Wirtschaftswissenschaften (19)
- Kaiserslautern - Fachbereich Physik (9)
Advantage of Filtering for Portfolio Optimization in Financial Markets with Partial Information
(2016)
In a financial market we consider three types of investors trading with a finite
time horizon with access to a bank account as well as multliple stocks: the
fully informed investor, the partially informed investor whose only source of
information are the stock prices and an investor who does not use this infor-
mation. The drift is modeled either as following linear Gaussian dynamics
or as being a continuous time Markov chain with finite state space. The
optimization problem is to maximize expected utility of terminal wealth.
The case of partial information is based on the use of filtering techniques.
Conditions to ensure boundedness of the expected value of the filters are
developed, in the Markov case also for positivity. For the Markov modulated
drift, boundedness of the expected value of the filter relates strongly to port-
folio optimization: effects are studied and quantified. The derivation of an
equivalent, less dimensional market is presented next. It is a type of Mutual
Fund Theorem that is shown here.
Gains and losses eminating from the use of filtering are then discussed in
detail for different market parameters: For infrequent trading we find that
both filters need to comply with the boundedness conditions to be an advan-
tage for the investor. Losses are minimal in case the filters are advantageous.
At an increasing number of stocks, again boundedness conditions need to be
met. Losses in this case depend strongly on the added stocks. The relation
of boundedness and portfolio optimization in the Markov model leads here to
increasing losses for the investor if the boundedness condition is to hold for
all numbers of stocks. In the Markov case, the losses for different numbers
of states are negligible in case more states are assumed then were originally
present. Assuming less states leads to high losses. Again for the Markov
model, a simplification of the complex optimal trading strategy for power
utility in the partial information setting is shown to cause only minor losses.
If the market parameters are such that shortselling and borrowing constraints
are in effect, these constraints may lead to big losses depending on how much
effect the constraints have. They can though also be an advantage for the
investor in case the expected value of the filters does not meet the conditions
for boundedness.
All results are implemented and illustrated with the corresponding numerical
findings.
Whole-body vibrations (WBV) have adverse effects on ride comfort and human health. Suspension seats have an important influence on the WBV severity. In this study, WBV were measured on a medium-sized compact wheel loader (CWL) in its typical operations. The effect of short-term exposure to the WBV on the ride comfort was evaluated according to ISO 2631-1:1985 and ISO 2631-1:1997. ISO 2631-1:1997 and ISO 2631-5:2004 were adopted to evaluate the effect of long-term exposure to the WBV on the human health. Reasons for the different evaluation results obtained according to ISO 2631-1:1997 and ISO 2631-5:2004 were explained in this study. The WBV measurements were carried out in cases where the driver wore a lap belt or a four-point seat harness and in the case where the driver did not wear any safety belt. The seat effective amplitude transmissibility (SEAT) and the seat transmissibility in the frequency domain in these three cases were analyzed to investigate the effect of a safety belt on the seat transmissibility. Seat tests were performed on a multi-axis shaking table in laboratory to study the dynamic behavior of a suspension seat under the vibration excitations measured on the CWL. The WBV intensity was reduced by optimizing the vertical and the longitudinal seat suspension systems with the help of computational simulations. For the optimization multi-body models of the seat-dummy system in the laboratory seat tests and the seat-driver system in the field vibration measurements were built and validated.
The recently established technologies in the areas of distributed measurement and intelligent
information processing systems, e.g., Cyber Physical Systems (CPS), Ambient
Intelligence/Ambient Assisted Living systems (AmI/AAL), the Internet of Things
(IoT), and Industry 4.0 have increased the demand for the development of intelligent
integrated multi-sensory systems as to serve rapid growing markets [1, 2]. These increase
the significance of complex measurement systems, that incorporate numerous advanced
methodological implementations including electronics circuit, signal processing,
and multi-sensory information fusion. In particular, in multi-sensory cognition applications,
to design such systems, the skill-required tasks, e.g., method selection, parameterization,
model analysis, and processing chain construction are elaborated with immense
effort, which conventionally are done manually by the expert designer. Moreover, the
strong technological competition imposes even more complicated design problems with
multiple constraints, e.g., cost, speed, power consumption,
exibility, and reliability.
Thus, the conventional human expert based design approach may not be able to cope
with the increasing demand in numbers, complexity, and diversity. To alleviate the issue,
the design automation approach has been the topic for numerous research works [3-14]
and has been commercialized to several products [15-18]. Additionally, the dynamic
adaptation of intelligent multi-sensor systems is the potential solution for developing
dependable and robust systems. Intrinsic evolution approach and self-x properties [19],
which include self-monitoring, -calibrating/trimming, and -healing/repairing, are among
the best candidates for the issue. Motivated from the ongoing research trends and based
on the background of our research work [12, 13] among the pioneers in this topic, the
research work of the thesis contributes to the design automation of intelligent integrated
multi-sensor systems.
In this research work, the Design Automation for Intelligent COgnitive system with self-
X properties, the DAICOX, architecture is presented with the aim of tackling the design
effort and to providing high quality and robust solutions for multi-sensor intelligent
systems. Therefore, the DAICOX architecture is conceived with the defined goals as
listed below.
Perform front to back complete processing chain design with automated method
selection and parameterization,
Provide a rich choice of pattern recognition methods to the design method pool,
Associate design information via interactive user interface and visualization along
with intuitive visual programming,
Deliver high quality solutions outperforming conventional approaches by using
multi-objective optimization,
Gain the adaptability, reliability and robustness of designed solutions with self-x
properties,
Derived from the goals, several scientific methodological developments and implementations,
particularly in the areas of pattern recognition and computational intelligence,
will be pursued as part of the DAICOX architecture in the research work of this thesis.
The method pool is aimed to contain a rich choice of methods and algorithms covering
data acquisition and sensor configuration, signal processing and feature computation,
dimensionality reduction, and classification. These methods will be selected and parameterized
automatically by the DAICOX design optimization to construct a multi-sensory
cognition processing chain. A collection of non-parametric feature quality assessment
functions for the purpose of Dimensionality Reduction (DR) process will be presented.
In addition, to standard DR methods, the variations of feature selection method, in
particular, feature weighting will be proposed. Three different classification categories
shall be incorporated in the method pool. Hierarchical classification approach will be
proposed and developed to serve as a multi-sensor fusion architecture at the decision
level. Beside multi-class classification, one-class classification methods, e.g., One-Class
SVM and NOVCLASS will be presented to extend functionality of the solutions, in particular,
anomaly and novelty detection. DAICOX is conceived to effectively handle the
problem of method selection and parameter setting for a particular application yielding
high performance solutions. The processing chain construction tasks will be carried
out by meta-heuristic optimization methods, e.g., Genetic Algorithms (GA) and Particle
Swarm Optimization (PSO), with multi-objective optimization approach and model
analysis for robust solutions. In addition, to the automated system design mechanisms,
DAICOX will facilitate the design tasks with intuitive visual programming and various
options of visualization. Design database concept of DAICOX is aimed to allow the
reusability and extensibility of the designed solutions gained from previous knowledge.
Thus, the cooperative design of machine and knowledge from the design expert can also
be utilized for obtaining fully enhanced solutions. In particular, the integration of self-x
properties as well as intrinsic optimization into the system is proposed to gain enduring
reliability and robustness. Hence, DAICOX will allow the inclusion of dynamically
reconfigurable hardware instances to the designed solutions in order to realize intrinsic
optimization and self-x properties.
As a result from the research work in this thesis, a comprehensive intelligent multisensor
system design architecture with automated method selection, parameterization,
and model analysis is developed with compliance to open-source multi-platform software.It is integrated with an intuitive design environment, which includes visual programming
concept and design information visualizations. Thus, the design effort is minimized as
investigated in three case studies of different application background, e.g., food analysis
(LoX), driving assistance (DeCaDrive), and magnetic localization. Moreover, DAICOX
achieved better quality of the solutions compared to the manual approach in all cases,
where the classification rate was increased by 5.4%, 0.06%, and 11.4% in the LoX,
DeCaDrive, and magnetic localization case, respectively. The design time was reduced
by 81.87% compared to the conventional approach by using DAICOX in the LoX case
study. At the current state of development, a number of novel contributions of the thesis
are outlined below.
Automated processing chain construction and parameterization for the design of
signal processing and feature computation.
Novel dimensionality reduction methods, e.g., GA and PSO based feature selection
and feature weighting with multi-objective feature quality assessment.
A modification of non-parametric compactness measure for feature space quality
assessment.
Decision level sensor fusion architecture based on proposed hierarchical classification
approach using, i.e., H-SVM.
A collection of one-class classification methods and a novel variation, i.e.,
NOVCLASS-R.
Automated design toolboxes supporting front to back design with automated
model selection and information visualization.
In this research work, due to the complexity of the task, neither all of the identified goals
have been comprehensively reached yet nor has the complete architecture definition been
fully implemented. Based on the currently implemented tools and frameworks, ongoing
development of DAICOX is pursuing towards the complete architecture. The potential
future improvements are the extension of method pool with a richer choice of methods
and algorithms, processing chain breeding via graph based evolution approach, incorporation
of intrinsic optimization, and the integration of self-x properties. According to
these features, DAICOX will improve its aptness in designing advanced systems to serve
the increasingly growing technologies of distributed intelligent measurement systems, in
particular, CPS and Industrie 4.0.
In this thesis we develop a shape optimization framework for isogeometric analysis in the optimize first–discretize then setting. For the discretization we use
isogeometric analysis (iga) to solve the state equation, and search optimal designs in a space of admissible b-spline or nurbs combinations. Thus a quite
general class of functions for representing optimal shapes is available. For the
gradient-descent method, the shape derivatives indicate both stopping criteria and search directions and are determined isogeometrically. The numerical treatment requires solvers for partial differential equations and optimization methods, which introduces numerical errors. The tight connection between iga and geometry representation offers new ways of refining the geometry and analysis discretization by the same means. Therefore, our main concern is to develop the optimize first framework for isogeometric shape optimization as ground work for both implementation and an error analysis. Numerical examples show that this ansatz is practical and case studies indicate that it allows local refinement.
In this thesis we developed a desynchronization design flow in the goal of easing the de- velopment effort of distributed embedded systems. The starting point of this design flow is a network of synchronous components. By transforming this synchronous network into a dataflow process network (DPN), we ensures important properties that are difficult or theoretically impossible to analyze directly on DPNs are preserved by construction. In particular, both deadlock-freeness and buffer boundedness can be preserved after desyn- chronization. For the correctness of desynchronization, we developed a criteria consisting of two properties: a global property that demands the correctness of the synchronous network, as well as a local property that requires the latency-insensitivity of each local synchronous component. As the global property is also a correctness requirement of synchronous systems in general, we take this property as an assumption of our desyn- chronization. However, the local property is in general not satisfied by all synchronous components, and therefore needs to be verified before desynchronization. In this thesis we developed a novel technique for the verification of the local property that can be carried out very efficiently. Finally we developed a model transformation method that translates a set of synchronous guarded actions – an intermediate format for synchronous systems – to an asynchronous actor description language (CAL). Our theorem ensures that one passed the correctness verification, the generated DPN of asynchronous pro- cesses (or actors) preserves the functional behavior of the original synchronous network. Moreover, by the correctness of the synchronous network, our theorem guarantees that the derived DPN is deadlock-free and can be implemented with only finitely bounded buffers.
This thesis deals with the development of a tractor front loader scale which measures payload continuously, independent of the center of gravity of the payload, and unaffected of the position and movements of the loader. To achieve this, a mathematic model of a common front loader is simplified which makes it possible to identify its parameters by a repeatable and automatic procedure. By measuring accelerations as well as cylinder forces, the payload is determined continuously during the working process. Finally, a prototype was build and the scale was tested on a tractor.
In this thesis, collision-induced dissociation (CID) studies serve to elucidate relative stabilities and to determine bond strengths within a given structure type of transition metal complexes. The infrared multi photon dissociation (IRMPD) spectroscopy combined with density functional theory (DFT) allow for structural analysis and provide insights into the coordination sphere of transition metal centers. The used combination of CID and IRMPD experiments is a powerful tool to obtain a detailed and comprehensive characterization and understanding of interactions between transition metals and organic ligands. The compounds’ spectrum comprises mono- or oligonuclear transition metal complexes containing iron, palladium, and ruthenium as well as lanthanide containing single molecule magnets (SMM). The presented investigations on the different transition metal complexes reveal manifold effects for each species leading to valuable results. A fundamental understanding of metal to ligand interactions is mandatory for the development of new and better organometallic complexes with catalytic, optical or magnetic properties.
The main goal of this thesis is twofold. First, the thesis aims at bridging the gap between existing Pattern Recognition (PR) methods of automatic signature verification and the requirements for their application in forensic science. This gap, attributed by various factors ranging from system definition to evaluation, prevents automatic methods from being used by Forensic Handwriting Examiners (FHEs). Second, the thesis presents novel signature verification methods developed particularly considering the implications of forensic casework, and outperforming the state-of-the-art PR methods.
The first goal of the thesis is attributed by four important factors, i.e., data, terminology, output reporting, and how evaluation of automatic systems is carried out today. It is argued that traditionally the signature data used in PR are not actual/close representative of the real world data (especially that available in forensic cases). The systems trained on such data are, therefore, not suitable for forensic environments. This situation can be tackled by providing more realistic data to PR researchers. To this end, various signature and handwriting datasets are gathered in collaboration with FHEs and are made publicly available through the course of this thesis. A special attention is given to disguised signatures--where authentic authors purposefully make their signatures look like a forgery. This genre was at large neglected in PR research previously.
The terminology used, in the two communities - PR and FHEs, differ greatly. In fact, even in PR, there is no standard terminology and people often differ in the usage of various terms particularly related to various types of forged signatures/handwriting. The thesis presents a new terminology that is equally useful for both forensic scientists and PR researchers. The proposed terminology is hoped to increase the general acceptability of automatic signature analysis systems in forensic science.
The outputs reported by general signature verification systems are not acceptable for FHEs and courts as they are either binary (yes/no) or score (raw evidence) based on similarity/difference. The thesis describes that automatic systems should rather report the probability of observing the evidence (e.g., a certain similarity/difference score) given the signature belongs to the acclaimed identity, and the probability of observing the same evidence given the signature does not belong to the acclaimed identity. This will take automatic systems from hard decisions to soft decisions, thereby enabling them to report likelihood ratios that actually represent the evidential value of the score rather than the raw score (evidence).
When automatic systems report soft decisions (as in the form of likelihood ratios), the thesis argues that there must be some methods to evaluate such systems. This thesis presents one such adaptation. The thesis argues that the state-of-the-art evaluation methods, like equal error rate and area under curve, do not address the needs of forensic science. These needs require an assessment of the evidential value of signature verification, rather than a hard/pure classification (accept/reject binary decision). The thesis demonstrates and validates a relatively simple adaptation of the current verification methods based on the Bayesian inference dependent calibration of continuous scores rather than hard classifications (binary and/or score based classification).
The second goal of this thesis is to introduce various local features based techniques which are capable of performing signature verification in forensic cases and reporting results as anticipated by FHEs and courts. This is an important contribution of the thesis because of the following two reasons. First, to the best of author's knowledge, local feature descriptors are for the first time used for development of signature verification systems for forensic environments (particularly considering disguised signatures). Previously, such methods have been heavily used for recognition tasks, rather than verification of writing behaviors, such as character and digit recognition. Second, the proposed methods not only report the more traditional decisions (like scores-usually reported in PR) but also the Bayesian inference based likelihood ratios (suitable for courts and forensic cases).
Furthermore, the thesis also provides a detailed man vs. machine comparison for signature verification tasks. The men, in this comparison, are forensic scientists serving as forensic handwriting examiners and having experience of varying number of years. The machines are the local features based methods proposed in this thesis, along with various other state-of-the-art signature verification systems. The proposed methods clearly outperform the state-of-the-art systems, and sometimes the human experts.
Finally, the thesis details various tasks that have been performed in the areas closely related to signature verification and its application in forensic casework. These include, developing novel local feature based methods for extraction of signatures/handwritten text from document images, hyper-spectral image analysis for extraction of signatures from forensic documents, and analysis of on-line signatures acquired through specialized pens equipped with Accelerometer and Gyroscope. These tasks are important as they enable the thesis to take PR systems one step further close to direct application in forensic cases.
This thesis treats the application of configurational forces for the evaluation of fracture processes in Antarctic ice shelves. FE simulations are used to analyze the influence of geometric scales, material parameters and boundary conditions on single surface cracks. A break-up event at the Wilkins Ice Shelf that coincided with a major temperature drop motivates the consideration of frost wedging as a mechanism for ice shelf disintegration. An algorithm for the evaluation of the crack propagation direction is used to analyze the horizontal growth of rifts. Using equilibrium considerations for a viscoelastic fluid, a method is introduced to compute viscous volume forces from measured velocity fields as loads for a linear elastic fracture mechanical analysis.
Attention-awareness is a key topic for the upcoming generation of computer-human interaction. A human moves his or her eyes to visually attends to a particular region in a scene. Consequently, he or she can process visual information rapidly and efficiently without being overwhelmed by vast amount of information from the environment. Such a physiological function called visual attention provides a computer system with valuable information of the user to infer his or her activity and the surrounding environment. For example, a computer can infer whether the user is reading text or not by analyzing his or her eye movements. Furthermore, it can infer with which object he or she is interacting by recognizing the object the user is looking at. Recent developments of mobile eye tracking technologies enable us
to capture human visual attention in ubiquitous everyday environments. There are various types of applications where attention-aware systems may be effectively incorporated. Typical examples are augmented reality (AR) applications such as Wikitude which overlay virtual information onto physical objects. This type of AR application presents augmentative information of recognized objects to the user. However, if it presents information of all recognized objects at once, the over
ow of information could be obtrusive to the user. As a solution for such a problem, attention-awareness can be integrated into a system. If a
system knows to which object the user is attending, it can present only the information of
relevant objects to the user.
Towards attention-aware systems in everyday environments, this thesis presents approaches
for analysis of user attention to visual content. Using a state-of-the-art wearable eye tracking device, one can measure the user's eye movements in a mobile scenario. By capturing the user's eye gaze position in a scene and analyzing the image where the eyes focus, a computer can recognize the visual content the user is currently attending to. I propose several image analysis methods to recognize the user-attended visual content in a scene image. For example, I present an application called Museum Guide 2.0. In Museum Guide 2.0, image-based object recognition and eye gaze analysis are combined together to recognize user-attended objects in a museum scenario. Similarly, optical character recognition
(OCR), face recognition, and document image retrieval are also combined with eye gaze analysis to identify the user-attended visual content in respective scenarios. In addition to Museum Guide 2.0, I present other applications in which these combined frameworks are effectively used. The proposed applications show that the user can benefit from active information presentation which augments the attended content in a virtual environment with
a see-through head-mounted display (HMD).
In addition to the individual attention-aware applications mentioned above, this thesis
presents a comprehensive framework that combines all recognition modules to recognize the user-attended visual content when various types of visual information resources such as text, objects, and human faces are present in one scene. In particular, two processing strategies are proposed. The first one selects an appropriate image analysis module according to the user's current cognitive state. The second one runs all image analysis modules simultaneously and merges the analytic results later. I compare these two processing strategies in terms of user-attended visual content recognition when multiple visual information resources are present in the same scene.
Furthermore, I present novel interaction methodologies for a see-through HMD using eye gaze input. A see-through HMD is a suitable device for a wearable attention-aware system for everyday environments because the user can also view his or her physical environment
through the display. I propose methods for the user's attention engagement estimation with the display, eye gaze-driven proactive user assistance functions, and a method for interacting
with a multi-focal see-through display.
Contributions of this thesis include:
• An overview of the state-of-the-art in attention-aware computer-human interaction
and attention-integrated image analysis.
• Methods for the analysis of user-attended visual content in various scenarios.
• Demonstration of the feasibilities and the benefits of the proposed user-attended visual content analysis methods with practical user-supportive applications.
• Methods for interaction with a see-through HMD using eye gaze.
• A comprehensive framework for recognition of user-attended visual content in a complex
scene where multiple visual information resources are present.
This thesis opens a novel field of wearable computer systems where computers can understand the user attention in everyday environments and provide with what the user wants. I will show the potential of such wearable attention-aware systems for everyday
environments for the next generation of pervasive computer-human interaction.