In this work we focus on the regression models with asymmetrical error distribution,
more precisely, with extreme value error distributions. This thesis arises in the framework
of the project "Robust Risk Estimation". Starting from July 2011, this project won
three years funding by the Volkswagen foundation in the call "Extreme Events: Modelling,
Analysis, and Prediction" within the initiative "New Conceptual Approaches to
Modelling and Simulation of Complex Systems". The project involves applications in
Financial Mathematics (Operational and Liquidity Risk), Medicine (length of stay and
cost), and Hydrology (river discharge data). These applications are bridged by the
common use of robustness and extreme value statistics.
Within the project, in each of these applications arise issues, which can be dealt with by
means of Extreme Value Theory adding extra information in the form of the regression
models. The particular challenge in this context concerns asymmetric error distributions,
which significantly complicate the computations and make desired robustification
extremely difficult. To this end, this thesis makes a contribution.
This work consists of three main parts. The first part is focused on the basic notions
and it gives an overview of the existing results in the Robust Statistics and Extreme
Value Theory. We also provide some diagnostics, which is an important achievement of
our project work. The second part of the thesis presents deeper analysis of the basic
models and tools, used to achieve the main results of the research.
The second part is the most important part of the thesis, which contains our personal
contributions. First, in Chapter 5, we develop robust procedures for the risk management
of complex systems in the presence of extreme events. Mentioned applications use time
structure (e.g. hydrology), therefore we provide extreme value theory methods with time
dynamics. To this end, in the framework of the project we considered two strategies. In
the first one, we capture dynamic with the state-space model and apply extreme value
theory to the residuals, and in the second one, we integrate the dynamics by means of
autoregressive models, where the regressors are described by generalized linear models.
More precisely, since the classical procedures are not appropriate to the case of outlier
presence, for the first strategy we rework classical Kalman smoother and extended
Kalman procedures in a robust way for different types of outliers and illustrate the performance
of the new procedures in a GPS application and a stylized outlier situation.
To apply approach to shrinking neighborhoods we need some smoothness, therefore for
the second strategy, we derive smoothness of the generalized linear model in terms of
L2 differentiability and create sufficient conditions for it in the cases of stochastic and
deterministic regressors. Moreover, we set the time dependence in these models by
linking the distribution parameters to the own past observations. The advantage of
our approach is its applicability to the error distributions with the higher dimensional
parameter and case of regressors of possibly different length for each parameter. Further,
we apply our results to the models with generalized Pareto and generalized extreme value
Finally, we create the exemplary implementation of the fixed point iteration algorithm
for the computation of the optimally robust in
uence curve in R. Here we do not aim to
provide the most
exible implementation, but rather sketch how it should be done and
retain points of particular importance. In the third part of the thesis we discuss three applications,
operational risk, hospitalization times and hydrological river discharge data,
and apply our code to the real data set taken from Jena university hospital ICU and
provide reader with the various illustrations and detailed conclusions.
We consider the multiscale model for glioma growth introduced in a previous work and extend it to account
for therapy effects. Thereby, three treatment strategies involving surgical resection, radio-, and
chemotherapy are compared for their efficiency. The chemotherapy relies on inhibiting the binding
of cell surface receptors to the surrounding tissue, which impairs both migration and proliferation.
This diploma thesis sets out to analyse the applicability of the instrument ’European Grouping of
Territorial Cooperation (EGTC)’ in the transnational and interregional non-contiguous cooperation.
EGTCs that are applied in spatially non-contiguous cooperations are called ’Network-EGTCs’. As
no scientific research about network-EGTCs has been made so far, this diploma thesis fills this
As a basis for the analysis, a literature review on the instrument EGTC in general and its historic
background was conducted. In addition the scientific literature has been searched for characteristics
of non-contiguous cooperations and different stakeholders were interviewed for their
estimations about network-EGTCs. The so far existing and planned network-EGTCs have been
explored. Out of these network-EGTCs two case studies – the E.G.T.C. Amphictyony and the
planned CETC-EGTC – have been examined in depth. Their characteristics have further been
compared with the information about EGTCs and non contiguous-cooperations in general.
It was found out that network-EGTCs show advantages from ordinary non-contiguous cooperations.
Additionally, it was discovered that network-EGTCs do not differ in their character as much
as it had been expected from EGTCs established in the cross-border cooperation. This applies
also to the establishment process as well as to the fulfilment of the instrument’s potentials. In
general all EGTCs show discrepancies between planning and practice. Only a few differences
have been discovered. Contrary to expectation network-EGTCs show only certain disadvantages
but also advantages compared to EGTCs in the cross-border cooperation.
This thesis delivers evidence that EGTCs are applicable in the transnational and interregional
cooperation when certain preconditions are fulfilled. Then they can contribute to a successful
transnational and interregional cooperation.
Recommendations were given to territorial non-contiguous cooperations that are considering to
establish an EGTC.
It is expected that more network-EGTCs will be established in the future due to the higher experience
and knowledge about network-EGTCs.
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.
We intend to find optimal deterministic and randomized algorithms for three related problems: multivariate integration, parametric multivariate integration, and parametric initial value problems. The main interest is concentrated on the question, in how far randomization affects the precision of an approximation. We want to understand when and to which extent randomized algorithms are superior to deterministic ones.
All problems are studied for Banach space valued input functions. The analysis of Banach space valued problems is motivated by the investigation of scalar parametric problems; these can be understood as particular cases of Banach space valued problems. The gain achieved by randomization depends on the underlying Banach space.
For each problem, we introduce deterministic and randomized algorithms and provide the corresponding convergence analysis.
Moreover, we also provide lower bounds for the general Banach space valued settings, and thus, determine the complexity of the problems. It turns out that the obtained algorithms are order optimal in the deterministic setting. In the randomized setting, they are order optimal for certain classes of Banach spaces, which includes the L_p spaces and any finite dimensional Banach space. For general Banach spaces, they are optimal up to an arbitrarily small gap in the order of convergence.
This paper describes an audio interface written in VHDL, that connects the ADAU1761 audio codec on the Zedboard to the Zynq PL. Audio signals can be received in stereo from the line in jack and/or transmitted to the headphone out jack.
Nitrogen element is preponderant in Nature. Found in its simplest form as diatomic gas in the air, as well as in elaborated molecules such as the double helix of DNA, this element is indisputably essential for life. Indeed, nitrogen is omnipresent in all metabolic pathways.
With the advent of green chemistry, researchers attempt to functionalize arenes without pre-functionalization of the later for the establishment of C-C bond formation. Why not C-N bond formation?
We investigated new oxidative amination reactions by cross-dehydrogenative-coupling. Concerned by atom economy and green processes, our objectives were: 1) to obviate pre-activation or pre-oxidation of both C-H coupling partner and N-aminating agent. 2) to avoid the use of chelating directing group.
We achieved C-N bond formation for some classes of amines. Thus, we will describe the reactivity of cyclic secondary amines: carbazole, in presence of catalytic amount of ruthenium (II) and copper (II) to build the challenging C-N bond between two carbazoles. The initial mechanistic experiments will be present and discuss.
Then, we will describe more challenging hetero-coupling formation between diarylamines and carbazoles. The new ruthenium (II)/ copper (II) catalytic system allowed forming the ortho-N-carbazolation of diarylamines. This reaction performed under mild conditions (O2 as terminal oxidant) displays an unusual intramolecular N-H••N interaction in the novel class of compounds.
Finally, we will present a surprising metal free C-N bond formation between the ubiquitous phenols and the phenothiazines. Initially conducted in the presence of transition metals (RuII/CuII), this reaction proved to be efficient with the only effect of cumene and O2. Those components suggest a mechanism initiated by a Hock process. An initial infra-red analysis might point out a strong intramolecular O-H••N interaction in the resulting products.
These first elements of reactivity, developed within the laboratory for “modern dehydrogenative amination reactions”, will be presented and discussed.
In embedded systems, there is a trend of integrating several different functionalities on a common platform. This has been enabled by increasing processing power and the arise of integrated system-on-chips.
The composition of safety-critical and non-safety-critical applications results in mixed-criticality systems. Certification Authorities (CAs) demand the certification of safety-critical applications with strong confidence in the execution time bounds. As a consequence, CAs use conservative assumptions in the worst-case execution time (WCET) analysis which result in more pessimistic WCETs than the ones used by designers. The existence of certified safety-critical and non-safety-critical applications can be represented by dual-criticality systems, i.e., systems with two criticality levels.
In this thesis, we focus on the scheduling of mixed-criticality systems which are subject to certification. Scheduling policies cognizant of the mixed-criticality nature of the systems and the certification requirements are needed for efficient and effective scheduling. Furthermore, we aim at reducing the certification costs to allow faster modification and upgrading, and less error-prone certification. Besides certification aspects, requirements of different operational modes result in challenging problems for the scheduling process. Despite the mentioned problems, schedulers require a low runtime overhead for an efficient execution at runtime.
The presented solutions are centered around time-triggered systems which feature a low runtime overhead. We present a transformation to include event-triggered activities, represented by sporadic tasks, already into the offline scheduling process. Further, this transformation can also be applied on periodic tasks to shorten the length of schedule tables which reduces certification costs. These results can be used in our method to construct schedule tables which creates two schedule tables to fulfill the requirements of dual-criticality systems using mode changes at runtime. Finally, we present a scheduler based on the slot-shifting algorithm for mixed-criticality systems. In a first version, the method schedules dual-criticality jobs without the need for mode changes. An already certified schedule table can be used and at runtime, the scheduler reacts to the actual behavior of the jobs and thus, makes effective use of the available resources. Next, we extend this method to schedule mixed-criticality job sets with different operational modes. As a result, we can schedule jobs with varying parameters in different modes.
In this thesis, an approach is presented that turns the currently unstructured process of automotive hazard analysis and risk assessments (HRA), which relies on creativity techniques, into a structured, model-based approach that makes the HRA results less dependent on experts' experience, more consistent, and gives them higher quality. The challenge can be subdivided into two steps. The first step is to improve the HRA as it is performed in current practice. The second step is to go beyond the current practice and consider not only single service failures as relevant hazards, but also multiple service failures. For the first step, the most important aspect is to formalize the operational situation of the system and to determine its likelihood. Current approaches use natural-language textual descriptions, which makes it hard to ensure consistency and increase efficiency through reuse. Furthermore, due to ambiguity in natural language, it is difficult to ensure consistent likelihood estimates for situations.
The main aspect of the second step is that considering multiple service failures as hazards implies that one needs to analyze an exponential number of hazards. Due to the fact that hazard assessments are currently done purely manually, considering multiple service failures is not possible. The only way to approach this challenge is to formalize the HRA and make extensive use of automation support.
In SAHARA we handle these challenges by first introducing a model-based representation of an HRA with GOBI. Based on this, we formalized the representation of operational situations and their likelihood assessment in OASIS and HEAT, respectively. We show that more consistent situation assessments are possible and that situations (including their likelihood) can be efficiently reused. The second aspect, coping with multiple service failures, is addressed in ARID. We show that using our tool-supported HRA approach, 100% coverage of all possible hazards (including multiple service failures) can be achieved by relying on very limited manual effort. We furthermore show that not considering multiple service failures results in insufficient safety goals.
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.