In this paper however we establish a probabilistic relationship between the number of events and the time over which to observe them. The total time over which to observe a certain number of events is equivalent to the sum of their event inter-arrival times, making the number of events and the number of inter-arrival times in the sum also equivalent. By this sum of random variables, we establish a stochastic relationship between the number of events and the total time interval over which to observe them, allowing greater flexibility in characterizing the relationships between the underlying distributions. We also use this relationship to estimate the uncertainty in the time interval taken to observe a certain number of events and relate it to an uncertainty in the average number of events observed in that interval.
The event inter-arrival times are thus modeled as a sequence of random variables drawn from a single distribution. These random variables could be drawn from a distribution estimated from historical data governing the particular arrival process or from a particular distribution used to model it. The subject of this paper is then to utilize this idea to model the behaviour of a queue and server system where each state and the state transition probabilities are also stochastic. Clearer insights in to the performance of such systems is also envisaged with this type of analysis.
The event inter-arrival times are thus modeled as a sequence of random variables drawn from a single distribution. These random variables could be drawn from a distribution estimated from historical data governing the particular arrival process or from a particular distribution used to model it. The subject of this paper is then to utilize this idea to model the behaviour of a queue and server system where each state and the state transition probabilities are also stochastic. Clearer insights in to the performance of such systems is also envisaged with this type of analysis.
The document discusses state modeling and state diagrams. It defines states as representing intervals of time for objects and events as occurring at points in time. State diagrams graphically show the transitions between states caused by events. The document covers different types of events, states, activities, and advanced state modeling concepts like nested states, concurrency, and signal generalization.
This document provides an introduction to real-time systems. It defines real-time systems as those where timely response to external stimuli is critical. Real-time systems must not only produce correct results but also meet time constraints. Examples of real-time systems include cell phones, avionics systems, and industrial process control. The document discusses characteristics of real-time systems such as being event-driven, having high costs of failure, and requiring predictable behavior. It also covers types of real-time systems including hard, firm, and soft systems and gives examples to illustrate these concepts.
Ch5 transient and steady state response analyses(control)Elaf A.Saeed
Chapter 5 Transient and steady-state response analyses. From the book (Ogata Modern Control Engineering 5th).
5-1 introduction.
5-2 First-Order System.
5-3 second-order system.
5-6 Routh’s stability criterion.
5-8 Steady-state errors in unity-feedback control systems.
Dynamic vs. Traditional Probabilistic Risk Assessment Methodologies - by Huai...ASQ Reliability Division
The document compares dynamic and traditional probabilistic risk assessment methodologies. Traditional methodologies like fault trees, event sequence diagrams, and FMECA require analysts to assess possible system failures. Dynamic methodologies like Monte Carlo simulation use executable models to simulate system behavior probabilistically over time and automatically generate event sequences. Dynamic methods can address limitations of traditional approaches that rely heavily on analyst judgment.
The ppt contains detail about issues and scheduling technique of real-time systems. It includes scheduling both online and offline for uniprocessor system. The applications of real-time system is also there
Ch2 mathematical modeling of control system Elaf A.Saeed
Chapter 2 Mathematical modeling of control system From the book (Ogata Modern Control Engineering 5th).
2-1 introduction.
2-2 transfer function and impulse response function.
2-3 automatic control systems.
This document provides an introduction to distributed systems. It discusses why distributed systems are developed, defines what a distributed system is, and provides examples. It then compares different types of distributed systems and networked operating systems. The rest of the document outlines various concepts, issues, and algorithms related to distributed systems, including advantages and disadvantages over centralized systems, software concepts, mutual exclusion, synchronization, and clock synchronization.
1. Time is an important metric in distributed systems for consistency, transactions, and debugging. Hardware clocks can drift and skew over time compared to each other.
2. Several clock synchronization algorithms aim to minimize clock differences, including Cristian's method of periodically querying a time server, Berkeley's algorithm of polling slaves and adjusting, and NTP's hierarchical structure.
3. Logical clocks provide a partial ordering of events without exact timestamps, using happened-before relationships and monotonically increasing counters. Vector clocks extend this to multiple processes.
4. A global state represents all local process states and message contents at a consistent cut, where all message sends are recorded before corresponding receives. This is needed for tasks like distributed garbage collection
The document discusses state modeling and state diagrams. It defines states as representing intervals of time for objects and events as occurring at points in time. State diagrams graphically show the transitions between states caused by events. The document covers different types of events, states, activities, and advanced state modeling concepts like nested states, concurrency, and signal generalization.
This document provides an introduction to real-time systems. It defines real-time systems as those where timely response to external stimuli is critical. Real-time systems must not only produce correct results but also meet time constraints. Examples of real-time systems include cell phones, avionics systems, and industrial process control. The document discusses characteristics of real-time systems such as being event-driven, having high costs of failure, and requiring predictable behavior. It also covers types of real-time systems including hard, firm, and soft systems and gives examples to illustrate these concepts.
Ch5 transient and steady state response analyses(control)Elaf A.Saeed
Chapter 5 Transient and steady-state response analyses. From the book (Ogata Modern Control Engineering 5th).
5-1 introduction.
5-2 First-Order System.
5-3 second-order system.
5-6 Routh’s stability criterion.
5-8 Steady-state errors in unity-feedback control systems.
Dynamic vs. Traditional Probabilistic Risk Assessment Methodologies - by Huai...ASQ Reliability Division
The document compares dynamic and traditional probabilistic risk assessment methodologies. Traditional methodologies like fault trees, event sequence diagrams, and FMECA require analysts to assess possible system failures. Dynamic methodologies like Monte Carlo simulation use executable models to simulate system behavior probabilistically over time and automatically generate event sequences. Dynamic methods can address limitations of traditional approaches that rely heavily on analyst judgment.
The ppt contains detail about issues and scheduling technique of real-time systems. It includes scheduling both online and offline for uniprocessor system. The applications of real-time system is also there
Ch2 mathematical modeling of control system Elaf A.Saeed
Chapter 2 Mathematical modeling of control system From the book (Ogata Modern Control Engineering 5th).
2-1 introduction.
2-2 transfer function and impulse response function.
2-3 automatic control systems.
This document provides an introduction to distributed systems. It discusses why distributed systems are developed, defines what a distributed system is, and provides examples. It then compares different types of distributed systems and networked operating systems. The rest of the document outlines various concepts, issues, and algorithms related to distributed systems, including advantages and disadvantages over centralized systems, software concepts, mutual exclusion, synchronization, and clock synchronization.
1. Time is an important metric in distributed systems for consistency, transactions, and debugging. Hardware clocks can drift and skew over time compared to each other.
2. Several clock synchronization algorithms aim to minimize clock differences, including Cristian's method of periodically querying a time server, Berkeley's algorithm of polling slaves and adjusting, and NTP's hierarchical structure.
3. Logical clocks provide a partial ordering of events without exact timestamps, using happened-before relationships and monotonically increasing counters. Vector clocks extend this to multiple processes.
4. A global state represents all local process states and message contents at a consistent cut, where all message sends are recorded before corresponding receives. This is needed for tasks like distributed garbage collection
Chapter 1 Introduction to Control Systems From the book (Ogata Modern Control Engineering 5th).
1-1 introduction to control systems.
1-2 examples of control systems.
1-3 open loop vs. close loop.
1-4 design and compensation of control systems.
This document discusses time domain analysis of control systems. It introduces standard test signals used to analyze dynamic systems, including impulse, step, ramp, and parabolic signals. These signals mimic characteristics of actual inputs like sudden shock, changes, constant velocity, and acceleration. The time response of a system has two components - transient response as it moves from rest to steady state, and steady-state response once settled. Standard signals are used to examine a system's transient response and steady-state response depends on both system dynamics and input type.
This document provides an overview of concepts related to time and clock synchronization in distributed systems. It discusses the need to synchronize clocks across different computers to accurately timestamp events. Physical clocks drift over time so various clock synchronization algorithms like Cristian's algorithm and Berkeley algorithm are presented to synchronize clocks within a known bound. The Network Time Protocol (NTP) used on the internet to synchronize client clocks to UTC sources through a hierarchy of time servers is also summarized. Logical clocks provide an alternative to physical clock synchronization by assigning timestamps to events based on their order of occurrence.
ppt on Time Domain and Frequency Domain Analysissagar_kamble
in this presentation, you will be able to know what is this freq. and time domain analysis.
At last one example is illustreted with video, which distinguishes these two analysis
This document discusses several topics in industrial engineering including break-even analysis, forecasting, inventory, linear programming, transportation methods, project management, and queuing theory. It provides information on different forecasting techniques like regression analysis, time series analysis, moving averages, and exponential smoothing. It also covers inventory models for deterministic and uncertain demand, including the economic order quantity formula. Linear programming, transportation methods, and queuing theory are introduced.
This document provides an overview of elementary queuing theory and single server queues. It defines key characteristics of queuing systems such as the arrival process, service process, number of servers, system capacity, and queue discipline. Common distributions for arrivals (Poisson) and service times (exponential) are described. Performance measures of queuing systems like delay, queue length, throughput and utilization are introduced. Other concepts covered include PASTA properties, Kendall's notation, traffic intensity, Little's Law, Markov chains, and transition probability matrices. The document serves as a lecture on introductory queuing theory concepts.
This slide show contains a detailed explanation of the following topics from Control System:
1. Open loop & Closed loop
2. Mathematical modeling
3. f-v and f-i analogy
4. Block diagram reduction technique
5. Signal flow graph
Improving predictability and performance by relating the number of events and...Asoka Korale
Many processes require an estimate of the time over which to observe a certain number of events. The applications include queuing models and buffer management in electronics and telecommunications and the characterization of trading patterns in market surveillance. It is common practice in these applications to take a deterministic approach, modeling the events over intervals of time of a particular duration or considering the event inter-arrival times in order to estimate an average rate and a measure of its dispersion.
In this paper however we establish a probabilistic relationship between the number of events and the time over which to observe them. The total time over which to observe a certain number of events is equivalent to the sum of their event inter-arrival times, making the number of events and the number of inter-arrival times in the sum also equivalent. By this sum of random variables, we establish a stochastic relationship between the number of events and the total time interval over which to observe them, allowing greater flexibility in characterizing the relationships between the underlying distributions. We also use this relationship to estimate the uncertainty in the time interval taken to observe a certain number of events and relate it to an uncertainty in the average number of events observed in that interval.
The event inter-arrival times are thus modeled as a sequence of random variables drawn from a single distribution. These random variables could be drawn from a distribution estimated from historical data governing the particular arrival process or from a particular distribution used to model it. The subject of this paper is then to utilize this idea to model the behavior of a queue and server system where each state and the state transition probabilities are also stochastic. Clearer insights in to the performance of such systems is also envisaged with this type of analysis.
This document provides an overview of queuing systems and their analysis. It discusses key concepts like arrival and service processes, performance measures, steady-state analysis using Little's Law, and birth-death processes. An example M/M/1 queue is analyzed to find the steady-state probabilities and performance metrics like expected number in the system and average wait times. The methodology of setting up balance equations, solving for the steady-state distribution, and applying it to derive performance measures is demonstrated.
- The document details a state space solver approach for analog mixed-signal simulations using SystemC. It models analog circuits as sets of linear differential equations and solves them using the Runge-Kutta method of numerical integration.
- Two examples are provided: a digital voltage regulator simulation and a digital phase locked loop simulation. Both analog circuits are modeled in state space and simulated alongside a digital design to verify mixed-signal behavior.
- The state space approach allows modeling analog circuits without transistor-level details, improving simulation speed over traditional mixed-mode simulations while still capturing system-level behavior.
When Two Choices Are not Enough: Balancing at Scale in Distributed Stream Pro...Anis Nasir
This document proposes two algorithms, D-Choices and W-Choices, to improve load balancing in distributed stream processing systems. The algorithms identify "heavy hitters" or frequent keys in the data stream and process them using more than two workers to better balance load. Evaluation shows the algorithms provide up to 150% higher throughput and 60% lower latency compared to traditional partitioning approaches.
This document outlines the syllabus and course objectives for the digital signal processing course ECE2006 being offered in the fall semester of 2021. The course aims to teach students concepts related to signals and systems in the time and frequency domains, design of analog and digital filters, and realization of digital filters using various structures. The syllabus is divided into 7 modules covering topics such as Fourier analysis, design of IIR and FIR filters, and realization of lattice filters. Students will be evaluated through continuous assessments, quizzes, assignments, and a final exam.
Probabilistic slope stability analysis as a tool to optimise a geotechnical s...Mahdi_zoorabadi
This paper was presented in APSSIM 2016 (First Asia Pacific Slope Stability in Mining Conference). Probabilistic slope stability can be used to optimise the geotechnical studies.
Chapter 5 discusses synchronization in distributed systems. Synchronization mechanisms are needed to enforce correct interaction between processes that share resources and run concurrently. Clock synchronization and event ordering are important synchronization techniques. Clock synchronization aims to keep clocks across distributed nodes close together despite unpredictable delays. It can be achieved through centralized or distributed algorithms. Event ordering ensures a total order of all events in a distributed system through happened-before relations and logical clocks.
Computational Intelligence for Time Series PredictionGianluca Bontempi
This document provides an overview of computational intelligence methods for time series prediction. It begins with introductions to time series analysis and machine learning approaches for prediction. Specific models discussed include autoregressive (AR), moving average (MA), and autoregressive moving average (ARMA) processes. Parameter estimation techniques for AR models are also covered. The document outlines applications in areas like forecasting, wireless sensors, and biomedicine and concludes with perspectives on future directions.
This document provides an overview of discrete time systems and their representations. It discusses key concepts such as:
- The difference between continuous and discrete time systems
- Representing discrete time systems using difference equations and block diagrams
- Classifying systems as static/dynamic, time-variant/invariant, linear/nonlinear, causal/non-causal, and stable/unstable
- Examples are provided to illustrate different system types.
This document discusses quantitative analysis for queuing systems. It provides formulas for calculating total cost (TC), service cost (SC), and waiting cost (WC). It then gives examples of applying these concepts to optimize crew size for freight unloading and analyze different customer classes at a supermarket checkout. Key points covered include:
- TC = SC + WC
- WC is calculated based on expected waiting time and cost per unit of wait
- Optimal crew size balances increasing SC vs decreasing WC
- Customer classes and lanes can be modeled as separate queues
- Examples show calculating metrics like utilization, expected queue length, and wait time.
1. Real-time systems are systems where the correctness depends on both the logical result and the time at which the results are produced.
2. Real-time systems have performance deadlines where computations and actions must be completed. Deadlines can be time-driven or event-driven.
3. Real-time systems are classified as hard, firm, or soft depending on how critical meeting deadlines are. They are used in applications like medical equipment, automotive systems, and avionics.
Chapter 1 Introduction to Control Systems From the book (Ogata Modern Control Engineering 5th).
1-1 introduction to control systems.
1-2 examples of control systems.
1-3 open loop vs. close loop.
1-4 design and compensation of control systems.
This document discusses time domain analysis of control systems. It introduces standard test signals used to analyze dynamic systems, including impulse, step, ramp, and parabolic signals. These signals mimic characteristics of actual inputs like sudden shock, changes, constant velocity, and acceleration. The time response of a system has two components - transient response as it moves from rest to steady state, and steady-state response once settled. Standard signals are used to examine a system's transient response and steady-state response depends on both system dynamics and input type.
This document provides an overview of concepts related to time and clock synchronization in distributed systems. It discusses the need to synchronize clocks across different computers to accurately timestamp events. Physical clocks drift over time so various clock synchronization algorithms like Cristian's algorithm and Berkeley algorithm are presented to synchronize clocks within a known bound. The Network Time Protocol (NTP) used on the internet to synchronize client clocks to UTC sources through a hierarchy of time servers is also summarized. Logical clocks provide an alternative to physical clock synchronization by assigning timestamps to events based on their order of occurrence.
ppt on Time Domain and Frequency Domain Analysissagar_kamble
in this presentation, you will be able to know what is this freq. and time domain analysis.
At last one example is illustreted with video, which distinguishes these two analysis
This document discusses several topics in industrial engineering including break-even analysis, forecasting, inventory, linear programming, transportation methods, project management, and queuing theory. It provides information on different forecasting techniques like regression analysis, time series analysis, moving averages, and exponential smoothing. It also covers inventory models for deterministic and uncertain demand, including the economic order quantity formula. Linear programming, transportation methods, and queuing theory are introduced.
This document provides an overview of elementary queuing theory and single server queues. It defines key characteristics of queuing systems such as the arrival process, service process, number of servers, system capacity, and queue discipline. Common distributions for arrivals (Poisson) and service times (exponential) are described. Performance measures of queuing systems like delay, queue length, throughput and utilization are introduced. Other concepts covered include PASTA properties, Kendall's notation, traffic intensity, Little's Law, Markov chains, and transition probability matrices. The document serves as a lecture on introductory queuing theory concepts.
This slide show contains a detailed explanation of the following topics from Control System:
1. Open loop & Closed loop
2. Mathematical modeling
3. f-v and f-i analogy
4. Block diagram reduction technique
5. Signal flow graph
Improving predictability and performance by relating the number of events and...Asoka Korale
Many processes require an estimate of the time over which to observe a certain number of events. The applications include queuing models and buffer management in electronics and telecommunications and the characterization of trading patterns in market surveillance. It is common practice in these applications to take a deterministic approach, modeling the events over intervals of time of a particular duration or considering the event inter-arrival times in order to estimate an average rate and a measure of its dispersion.
In this paper however we establish a probabilistic relationship between the number of events and the time over which to observe them. The total time over which to observe a certain number of events is equivalent to the sum of their event inter-arrival times, making the number of events and the number of inter-arrival times in the sum also equivalent. By this sum of random variables, we establish a stochastic relationship between the number of events and the total time interval over which to observe them, allowing greater flexibility in characterizing the relationships between the underlying distributions. We also use this relationship to estimate the uncertainty in the time interval taken to observe a certain number of events and relate it to an uncertainty in the average number of events observed in that interval.
The event inter-arrival times are thus modeled as a sequence of random variables drawn from a single distribution. These random variables could be drawn from a distribution estimated from historical data governing the particular arrival process or from a particular distribution used to model it. The subject of this paper is then to utilize this idea to model the behavior of a queue and server system where each state and the state transition probabilities are also stochastic. Clearer insights in to the performance of such systems is also envisaged with this type of analysis.
This document provides an overview of queuing systems and their analysis. It discusses key concepts like arrival and service processes, performance measures, steady-state analysis using Little's Law, and birth-death processes. An example M/M/1 queue is analyzed to find the steady-state probabilities and performance metrics like expected number in the system and average wait times. The methodology of setting up balance equations, solving for the steady-state distribution, and applying it to derive performance measures is demonstrated.
- The document details a state space solver approach for analog mixed-signal simulations using SystemC. It models analog circuits as sets of linear differential equations and solves them using the Runge-Kutta method of numerical integration.
- Two examples are provided: a digital voltage regulator simulation and a digital phase locked loop simulation. Both analog circuits are modeled in state space and simulated alongside a digital design to verify mixed-signal behavior.
- The state space approach allows modeling analog circuits without transistor-level details, improving simulation speed over traditional mixed-mode simulations while still capturing system-level behavior.
When Two Choices Are not Enough: Balancing at Scale in Distributed Stream Pro...Anis Nasir
This document proposes two algorithms, D-Choices and W-Choices, to improve load balancing in distributed stream processing systems. The algorithms identify "heavy hitters" or frequent keys in the data stream and process them using more than two workers to better balance load. Evaluation shows the algorithms provide up to 150% higher throughput and 60% lower latency compared to traditional partitioning approaches.
This document outlines the syllabus and course objectives for the digital signal processing course ECE2006 being offered in the fall semester of 2021. The course aims to teach students concepts related to signals and systems in the time and frequency domains, design of analog and digital filters, and realization of digital filters using various structures. The syllabus is divided into 7 modules covering topics such as Fourier analysis, design of IIR and FIR filters, and realization of lattice filters. Students will be evaluated through continuous assessments, quizzes, assignments, and a final exam.
Probabilistic slope stability analysis as a tool to optimise a geotechnical s...Mahdi_zoorabadi
This paper was presented in APSSIM 2016 (First Asia Pacific Slope Stability in Mining Conference). Probabilistic slope stability can be used to optimise the geotechnical studies.
Chapter 5 discusses synchronization in distributed systems. Synchronization mechanisms are needed to enforce correct interaction between processes that share resources and run concurrently. Clock synchronization and event ordering are important synchronization techniques. Clock synchronization aims to keep clocks across distributed nodes close together despite unpredictable delays. It can be achieved through centralized or distributed algorithms. Event ordering ensures a total order of all events in a distributed system through happened-before relations and logical clocks.
Computational Intelligence for Time Series PredictionGianluca Bontempi
This document provides an overview of computational intelligence methods for time series prediction. It begins with introductions to time series analysis and machine learning approaches for prediction. Specific models discussed include autoregressive (AR), moving average (MA), and autoregressive moving average (ARMA) processes. Parameter estimation techniques for AR models are also covered. The document outlines applications in areas like forecasting, wireless sensors, and biomedicine and concludes with perspectives on future directions.
This document provides an overview of discrete time systems and their representations. It discusses key concepts such as:
- The difference between continuous and discrete time systems
- Representing discrete time systems using difference equations and block diagrams
- Classifying systems as static/dynamic, time-variant/invariant, linear/nonlinear, causal/non-causal, and stable/unstable
- Examples are provided to illustrate different system types.
This document discusses quantitative analysis for queuing systems. It provides formulas for calculating total cost (TC), service cost (SC), and waiting cost (WC). It then gives examples of applying these concepts to optimize crew size for freight unloading and analyze different customer classes at a supermarket checkout. Key points covered include:
- TC = SC + WC
- WC is calculated based on expected waiting time and cost per unit of wait
- Optimal crew size balances increasing SC vs decreasing WC
- Customer classes and lanes can be modeled as separate queues
- Examples show calculating metrics like utilization, expected queue length, and wait time.
1. Real-time systems are systems where the correctness depends on both the logical result and the time at which the results are produced.
2. Real-time systems have performance deadlines where computations and actions must be completed. Deadlines can be time-driven or event-driven.
3. Real-time systems are classified as hard, firm, or soft depending on how critical meeting deadlines are. They are used in applications like medical equipment, automotive systems, and avionics.
The document provides an overview of discrete time signal processing concepts including:
1) Signals can be classified as continuous, discrete, deterministic, random, periodic, and non-periodic. Systems can be linear, time-invariant, causal, stable/unstable, and recursive/non-recursive.
2) Digital signal processing has advantages over analog such as precision, stability and easy implementation of operations. It also has drawbacks like needing ADCs/DACs and being limited by sampling frequency.
3) Discrete time signals are only defined at discrete time instances while continuous time signals are defined for all time. Both can be represented graphically, functionally, through tables or sequences.
Time Series Analysis and Forecasting.pptssuser220491
This document discusses time series analysis and forecasting. It introduces time series data and examples. The main methods for forecasting time series are regression analysis and time series analysis (TSA), which examines past behavior to predict future behavior without causal variables. TSA involves analyzing trends, cycles, seasonality, and random variations. Forecasting accuracy is measured using techniques like mean absolute deviation and mean square error. Extrapolation models like moving averages, weighted moving averages, and exponential smoothing are discussed for forecasting, as well as approaches for stationary, additive seasonal, multiplicative seasonal, and trend data.
Novel price models in the capital marketAsoka Korale
This document summarizes several models for analyzing price movements in capital markets:
1. A stochastic volatility model treats price as a random walk process where each step is a random variable. This allows estimating the expected change and variance in prices over time horizons.
2. Prices can be simulated by estimating the underlying random process from historical first price differences. This generates multiple paths with the same distribution.
3. A regression model fits a line to consecutive prices using least squares. This estimates a trend between minimum and maximum prices over a period. The error distribution provides insight into normal and anomalous price deviations.
Modeling prices for capital market surveillanceAsoka Korale
We estimate the random process governing the movement in the price and simulate a series of realizations drawn from the same underlying process to gain insights in to unusual behavior that could manifest. In this modeling we estimate the distribution of the sequence of random variables governing the prices and generate a series of realizations or paths with the same underlying distribution. We also develop an equation to predict the expected deviation in price between two points in a sequence of prices and a measure of the uncertainty in this deviation.
In another contribution we model prices as a linear regression on consecutive prices to estimate its movement and arrive at an estimate for the distribution in the error of such a prediction. By these techniques we estimate the trend and maximum deviation in price that could be expected over a sequence of prices in order to optimize the alert thresholds.
Through these analyses we also observe that the variance in the price is dependent on the number of samples in a sequence of prices over which the measurement is made due to the behavior of the random process governing its movement and propose that the variance be estimated over a fixed number of consecutive prices ensuring a more stable and consistent estimate.
Entity profling and collusion detectionAsoka Korale
In this paper we present a novel trader profiling and collusion detection algorithm that models trading characteristics and detects collusive trading behavior. Traders place their orders in response to market conditions and the demand and supply for the security as observed in the order book. In the absence of information asymmetry, we would expect to see groups of traders follow similar trading strategies in search of profit or those that are fulfilling other roles like the provision of liquidity.
We employ two novel approaches to detecting potential collusive behaviour. In the first, the cumulative effect of trading between each pair of traders and their overall standing in the market in terms of the total number of trades and the total volume traded is observed. In the second, we create overlapping groups of traders by “fuzzy clustering” a set of features that characterize their trading behaviour and identify collusive behaviour through a process of cluster profiling and outlier detection.
Entity Profiling and Collusion DetectionAsoka Korale
We employ two novel approaches to detecting potential collusive behavior. In the first, the cumulative effect of trading between each pair of traders and their overall standing in the market in terms of the total number of trades and the total volume traded is observed. In the second, we create overlapping groups of traders by “fuzzy clustering” a set of features that characterize their trading behavior and identify collusive behavior through a process of cluster profiling and outlier detection.
Markov Decision Processes in Market SurveillanceAsoka Korale
In this paper we present an algorithm based on AI and machine learning techniques that estimates the average trading behavior of a trader by modeling the transactions performed in response to the observed state of the market and the expected profits and loses made with respect to each transaction. Through this modeling we can compare between the behaviors of different traders in addition to capturing the actions of individual traders in response to market conditions. Through this we aim to infer activities that provide certain participants an unfair advantage over others, allowing us to learn newer ways of market manipulation.
A framework for dynamic pricing electricity consumption patterns via time ser...Asoka Korale
Clustering individual household electricity consumption patterns enables a utility to design pricing plans catered to groups of households in a particular locality to more accurately reflect the cost of supply at a particular time of day.
In this paper we model each time series as an Autoregressive Moving Average (ARMA) process with an optimal model order determined by the Akaike Information Criterion when the parameters estimated by the Hannan-Rissanen algorithm converge. The estimated model has the representation of a transfer function with a frequency response defined by the ARMA parameters. We use the frequency response as the means to further refine the within cluster profiling and classification of the objects.
Through our modeling we are also able to identify instances where the consumption behavior exhibits patterns that are uncharacteristic or not in line with the behavior or consumption profiles of the other households in a particular locality providing insights in to potential faults, fraud or illegal activity.
A framework for dynamic pricing electricity consumption patterns via time ser...Asoka Korale
This document proposes a novel method for clustering time series data of electricity consumption patterns. The method involves:
1. Modeling each time series as an Autoregressive Moving Average (ARMA) process to capture its behavior over time.
2. Using the Akaike Information Criterion to select the optimal ARMA model order for each time series.
3. Clustering the time series based on their estimated ARMA parameters, grouping time series with similar models.
4. Analyzing the frequency responses of the ARMA models to further refine the clusters and characterize consumption patterns.
This allows electricity providers to design dynamic pricing plans tailored to different customer groups based on their typical consumption behaviors.
This document proposes improvements to existing customer lifetime value models. It discusses deriving current models A and B, which discount average revenues over a subscriber's expected duration. The improvements consider estimating future cash flows and growth rates through regression analysis, accounting for other revenue streams, and incorporating the value of a subscriber's social network. The proposed model uses discounted cash flow analysis and least squares regression to forecast revenues and growth rates for each subscriber, considering revenues from mobile, TV, broadband and the revenues of subscribers within their social network. It requires subscriber revenue and call data to implement the analysis.
Forecasting models for Customer Lifetime ValueAsoka Korale
The note presents some commonly used models in telecommunications demand forecasting. The models are presented for use in forecasting CLV with appropriately prepared revenue data.
Estimating cell load in WCDMA networks is complex as it depends on several variables including downlink measurements of transmitted carrier power and code tree utilization, and uplink measurements of noise rise. Optimization of cell utilization also considers the interaction of radio resource management algorithms that adjust transmission rates, allocate lower rate bearers, prioritize users, and reserve power. Direct measurements available from the RNC can provide estimates of received total wideband power, transmitted carrier power, and transmitted code power to analyze cell load levels.
Cell load KPIs in support of event triggered Cellular Yield MaximizationAsoka Korale
Cell load KPIs can be used to trigger events and identify candidate cells for cell yield management (CYM) by observing near real-time cell load measurements extracted from the RNC at intervals of around 15 minutes. The cell load will be quantified using KPI thresholds that compare measurements like transmitted carrier power, noise rise, code tree utilization, and channel element utilization against thresholds. Cells where the KPIs are below the thresholds will be identified as candidates for CYM offers to increase utilization. Specific counters from different RNC vendors can be used to calculate the KPI measures and determine if a cell is eligible as a CYM candidate.
This document discusses potential methods for monitoring vehicular traffic through location monitoring and position estimation of mobile users in Sri Lanka. It analyzes both passive methods that utilize existing network signaling and active methods involving paging users. While active paging offers accurate position estimates, it could overload the network. A handset-based application that reports user position and speed to an external server is proposed as the best solution, avoiding network constraints while providing accurate estimates. Technical feasibility has been established but market factors for the application need to be addressed. An algorithm would also be required to aggregate position samples across the network into traffic speed estimates on highways.
Mixed Numeric and Categorical Attribute Clustering AlgorithmAsoka Korale
A Matlab implementation of a Mixed Numeric and Categorical attribute clustering algorithm for digital marketing segmentations. Validated via distribution analysis and segment profile. Algorithm performance characterized through convergence of intermediate variables and parameters.
Introduction to Bit Coin Model describing the key underlying technological features, operational details, uses and applications. Implications for Mobile Operators.
Estimating Gaussian Mixture Densities via an implemetation of the Expectaatio...Asoka Korale
Estimating Gaussian Mixture Densities via a Matlab implementation of the Expectation Maximization Algorithm. Decomposing an arbitrary distribution in to component Normal Distributions to facilitate clustering, state modeling & profiling.
Mapping Mobile Average Revenue per User to Personal Income level via Househol...Asoka Korale
A method to estimate personal Income levels from Mobile Average Revenue per User determined through Household Income and Expenditure Surveys conducted by the Census Department. Districtwise blended ARPU adjusted to match with Household / Personal Mobile expenditures on a district level.
This document proposes a scheme to dynamically optimize cellular network utilization by encouraging subscribers to use services when certain cells are underutilized. It involves measuring cell load indicators like transmitted power and code usage. Cells with low load would be selected and subscribers in those cells would receive offers for reduced tariffs via cell broadcast to boost utilization. This aims to maximize revenue by increasing cellular yield without impacting highly loaded cells. Key performance indicators and an algorithm are presented for selecting candidate cells for this utilization enhancement scheme.
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3. APPLICATIONS OF RELATING TIME
AND EVENTS Call CentersTraffic Management
Transportation and Logistics
Packet Switching
Production Scheduling
Forecasting / Relating Time based Ev
4. INSIGHTS FROM RELATING TIME
AND EVENTS• Relate an interval of observation to a sum of inter-arrival time random
variables
• Relate the interval of observation to
• the total number of events observed in the interval
• the uncertainty associated with the average number of events in the
interval
• the sum of the number of inter-arrival time intervals that compose
the interval
• Establish a probabilistic relationship for the time taken to observe a
number of events
• Relate the uncertainty in the interval of observation to a number of
events
6. UNCERTAINTY ASSOCIATED WITH
EVENTS OVER TIME
E1 E2 EN-1 EN
∆𝑡1 ∆𝑡2 ∆𝑡 𝑁
𝑍 = ∆𝑡1 + ∆𝑡2 + ⋯ + ∆𝑡 𝑁
total time (Z) to observe a number of events (N) is a sum
of a similar number of inter-arrival time – time intervals
each inter-arrival time – time interval a random variable
(∆𝑡i)
total uncertainty in the time interval (Z) a reflection of
the uncertainty associated with each individual random
variable (∆𝑡i)
the dependence between random variables impacts the
total uncertainty associated with the sum
total uncertainty in the interval (Z) – leads to the
variance in the number of events observed in such an
interval
time interval Z to observe N events
inter-arrival time random
variables
distribution of inter-arrival
times
events
7. A SUM OF INTER-ARRIVAL TIME
RANDOM VARIABLES
E1 E2 EN-1 EN
∆𝑡1 ∆𝑡2 ∆𝑡 𝑁 𝑍 = ∆𝑡1 + ∆𝑡2 + ⋯ + ∆𝑡 𝑁
• Each event inter-arrival time ∆𝑡i is a random variable
• each such random variable has associated with it a certain uncertainty
• An N number of inter-arrival time random variables are required to observe an equivalent
number of events
• The total time Z taken to observe N events is a sum of N inter-arrival time random
variables
• The uncertainty associated with this sum of random variables – translates in to a number
of events
• a number of events associated with the uncertainty in the total time taken to observe
the events
• The distribution of the inter-arrival times may be estimated from historical data
8. RELATING TIME AND
EVENTS
E1 E2 EN-1 EN
∆𝑡1 ∆𝑡2 ∆𝑡 𝑁 𝑍 = ∆𝑡1 + ∆𝑡2 + ⋯ + ∆𝑡 𝑁
when the inter-arrival times are drawn from a single distribution and are independent (IID), Z has
mean and variance
E(Z) = 𝑁𝜇∆𝑡
Var Z = 𝑁𝜎∆𝑡
2
E(∆𝑡𝑖) = 𝜇∆𝑡
Var ∆𝑡𝑖 = 𝜎∆𝑡
2
when the events are correlated the variance of the sum of a number of inter-arrival times will
feature the covariance between each pair of random variables that compose the sum
𝑉𝑎𝑟 𝑍 = ∀𝑖 𝑉𝑎𝑟(∆𝑡𝑖) + ∀𝑖,𝑗 𝑖≠𝑗 𝐶𝑜𝑣(∆𝑡𝑖∆𝑡𝑗)
𝑁 =
𝑉𝑎𝑟(𝑍)
𝜇∆𝑡
=
𝑁𝜎∆𝑡
2
𝜇∆𝑡
𝑁 = 𝑁 ± 𝑘 ∗ 𝑁
• to observe 𝑁 number of events in a time interval of length Z
• scale the variance (or standard deviation) via constant k
• a measure of the degree of the uncertainty in N - a measure of its deviation
from the mean.
where
where
9. NOVEL STOCHASTIC MODEL OF AN
M/M/1 QUEUE SYSTEM
BY RELATING TIME AND EVENTS VIA A SUM OF INTER-ARRIVAL TIME RANDOM
VARIABLES
10. Birth – Death process model of an M/M/1
Queue System
Deterministic approach –
• rates are deterministic – usually measured over an
interval of time
λ
>
n=0
Po
<
µ
λ
>
λ
>
<
µ
<
µ
n=n
Pn
n= n-1
Pn-1
n=1
P1
n=2
P2
λ
>
<
µ
λ𝑃𝑛−1 = μ𝑃𝑛 𝑃𝑛 = (λ/μ) 𝑛
𝑃0
𝑛=0
𝑁
𝑃𝑛 = 1ρ = λ/μ
𝑃𝑛 = 𝜌 − 1 [ 𝜌 𝑁+1
− 1]ρ 𝑛
balance equations
traffic intensity
probability distribution of
state
use sum to solve
for Po
probability of
state
E1 E2 EN-1 EN
∆𝑡1 ∆𝑡2 ∆𝑡 𝑁
12. Probability of observing a particular sequence of
events
when inter-arrival times are independent the expectation of the product it the product
of the expectations
Let Z = 𝑃(∆𝑡1, ∆𝑡2, … , ∆𝑡 𝑁)
E1 E2 EN-1 EN
∆𝑡1 ∆𝑡2 ∆𝑡 𝑁
𝑃 𝑍 = 𝑖=1
𝑁
𝑃(∆𝑡𝑖)
𝐸 𝑃 𝑍 = 𝐸
𝑖=1
𝑁
)𝑃(∆𝑡𝑖 =
𝑖=1
𝑁
}𝐸{𝑃(∆𝑡𝑖)
probability of a sequence is the product of the individual probabilities of observing a
particular inter-arrival time
when inter-arrival times are independent – consistent with an M/M/1
scenario
13. ANOMALY DETECTION IN AN M/M/1
QUEUE SYSTEM
CHARACTERIZING PERFORMANCE OF A SOFTWARE COMPONENT
14. Anomaly Detection Scheme
• A system of components
• Each component a queue / server
Comp 1
Comp 2
Comp 3
Comp N
• Component Load Distribution of No of Messages in System
Arrivals – Departures in ∆𝑇
load trigger threshold
M (I)
State
N+1
Comp
1
Comp
2
Comp
3
Comp
N
Comp
1 1 1
State N
Comp
2
Comp
• Dispersion of anomaly across component sy
15. Estimating Load on a Software
Component
• Treat system as a network of components
• inter-arrival times help to characterize the performance best
• Model each component as queue – server system
• Queue – buffering messages into the component
• Server – processing all messages within a component
• No of messages in “system” (in queuing parlance)
• those waiting and in service – difference between arrivals and departures
• account for multiple queues within a component
--------------------------------------------------------------------------
• Common approach - threshold based alert system
• Thresholds commonly measure performance - at
• component level
• system level
• Typically Thresholds use – latencies, queue lengths,
16. Performance Measures - Software
Component
• Variation in the number of messages in “system” (in queuing parlance)
• Performance measures –
• Variance, Mean - of messages in the system
• Variance / Mean - of messages in the system
• Estimate Performance measure from the Distribution of
• no of messages
• Variance / Mean
• Threshold setting –
• detect an outlier
• a certain number of standard deviations from mean
• The time behavior of the distribution in the arrivals and departures will imp
envision time dependent thresholds
17. Characterizing Variation in the load
𝑍 𝐴
= ∆𝑇 = ∆𝑡1 𝐴 + ∆𝑡2 𝐴 + ⋯ + ∆𝑡 𝑁 𝐴
𝑍 𝐷
= ∆𝑇 = ∆𝑡1 𝐷 + ∆𝑡2 𝐷 + ⋯ + ∆𝑡 𝑁 𝐷
𝑁 𝐴 = 𝑘 𝐴
𝑉𝑎𝑟(𝑍 𝐴)
𝜇∆𝑡,𝐴
= 𝑘 𝐴
𝑁 𝐴 𝜎 𝐴
2
𝜇∆𝑡,𝐴
𝑁 𝐷 = 𝑘 𝐷
𝑉𝑎𝑟(𝑍 𝐷)
𝜇∆𝑡,𝐷
= 𝑘 𝐷
𝑁 𝐷 𝜎 𝐷
2
𝜇∆𝑡,𝐷
𝑁 = 𝐸{𝑁 𝐴
} − 𝐸{𝑁 𝐷
}
𝑉𝑎𝑟{𝑁 𝐴
− 𝑁 𝐷
} = 𝑉𝑎𝑟{𝑁 𝐴
} + Var{𝑁 𝐷
}
No of events in the system at the end of a common time interval ∆𝑇 is the difference
between those that arrive and those that depart
total number of arrivals in time interval ∆𝑇 is 𝑁 𝐴
total number of arrivals in time interval ∆𝑇
is 𝑁 𝐷
number of arrivals associated with the composition of 𝑁 𝐴
events in
time interval ∆𝑇
number of departures associated with the composition of 𝑁 𝐷
events
in time interval ∆𝑇
average number of events in the system at the end of time
interval ∆𝑇
variance in the number of events in the system at the end of
time interval ∆𝑇
The variance arises due to the contribution of the individual uncertainties associated with
the individual random variables that compose the sum ∆𝑇
18. Components
• Model the anomaly state (yes 1 / no 0) at each
component - interface
• Track anomalies across system and across
time via a transition matrix (M)
• Update transition matrix entries at each
change of state
• the difference between matrix M(I+1) and
M(I) will provide system state at M(I-1) and
also the
• The transition matrix gives insight in to how
M (I)
State
N+1
Comp
1
Comp
2
Comp
3
Comp
N
Comp
1 1 1
State N
Comp
2
Comp
3 1
Comp
N
Comp 1
Comp 2
Comp 3
Comp N
M (I+1)
State
N+1
Comp
1
Comp
2
Comp
3
Comp
N
Comp
1 2 1
State N
Comp
2
Comp
3 1
update when system state changes
record anomaly on a link-component
20. Test Scenarios and Validation of model
Test Scenarios:
• Different offered load and service discipline
• Poisson arrivals (exponential service time with
independent increments) Exponential service
time (independent increments)
Summary Results:
• Behavior of number in system
• Average number in system =
difference in mean arrivals and
departures
• Variance of number in system =
sum of variances in arrivals and
departures
Inter-Arrival Time (s) Scenario
I
Scenario
II
Scenario
III
Arrivals - Mean
Inter-Arrival Time
0.50 0.51 0.79
Arrivals - Variance
Inter-Arrival Time
0.26 0.26 0.62
Departures - Mean
Inter-Arrival Time
0.50 0.80 1.00
Departures -
Variance
Inter-Arrival Time
0.24 0.64 1.05
Number Over Window Scenario I Scenario II Scenario
III
Mean Arrivals 19.93 19.79 12.67
Variance in Arrivals 19.35 18.52 11.36
Mean Departures 20.05 12.39 9.99
Variance in Departures 18.71 10.98 10.41
Mean (Arrivals - Departures) -0.13 7.39 2.68
Variance (Arrivals - 37.57 29.45 21.38
21. Arrivals / Departures Process
• Exponential service time with mean 0.5
seconds
• Distribution of number of arrivals in an
interval of 10s
• The number of arrivals equivalent to the sum
of a number of inter-arrival times
• which is a sum of random variables
• the sum converges to a normal
22. Characterizing component load
• Use distribution of the average number of
events in the system into characterize the
load
• Variance in the number of events in
system
set thresholds to trigger at a probability level
23. Variation in the Variance
• Use cumulative distribution in the variance to
characterize the impact of variation in the
variance with window length
• Longer windows feature a larger number of
events – each event a inter-arrival time random
variable
• The uncertainty scales with the number of
random variables in the sum
• Longer intervals have larger uncertainty
associated with the composition of the time
interval –
• rightward shifting – flattening curves
𝑍 = ∆𝑡1 + ∆𝑡2 + ⋯ + ∆𝑡 𝑁
𝑁 =
𝑉𝑎𝑟(𝑍)
𝜇∆𝑡
=
𝑁𝜎∆𝑡
2
𝜇∆𝑡
25. SCHEDULING AND IMPACT ON
PERFORMANCE
• Introduce load balancing to intelligently route messages –
• Particularly in components with multiple queues
• Assign messages
• to queue with lowest load
• to queue that is most likely to process it fastest / most efficiently
• Characterizing
• processing time of messages as a function of
• Type of messages – and expected processing time
• messages in the queue …
• Model inter-arrival times – on a per queue basis –
• see appendix: on relating events and time taken to observe them
• Account for time dependence of statistics
26. ALERT THRESHOLDS
OPTIMIZATION
• Critical Stats guide uses a fixed set of thresholds
• Consider component load stat – use variation of number of messages in
• stat – based on existing / recoded measurements
• Performance at component level –
• irrespective of input conditions
• based on maximum design spec of component
• depending on input conditions – traffic / trading / time dependent
• set thresholds to account for behavior that is also depending on
• expected / normal traffic
• Determine threshold values based on Normal / Abnormal behavior
• amount of load that is historically observed
• Consider time based thresholds –
• if feasible – as offered load is time varying
• Tune anomaly threshold – based on time varying load
29. EVENT INTER –
ARRIVAL TIME
• Introduce a Feature to characterize the “Time property” in the Event based Model
• Each Event has a time stamp and between Events – an Event “Inter - Arrival time”
• Modeling this “time interval” will give insights in to “Time Patterns” of the Events in
characterizing Trading behavior
• Natural to consider basic statistics related to Inter- Arrival Time
• Descriptive Statistics – means, variances, Higher Order Statistics
• But they don’t necessarily capture the characteristics in the pattern of Event
Inter - Arrival Times
• Also fitting Distributions and estimating their characteristics may not be very viable /
reliable
• Data Dependent, too little data to estimate , degree of fit issues
A B C B …….. A C
E1 E2 E3 E4 …..... EN-1 EN
…….t1 t2 t3 tN-1
Event Type
Event No
30. MODELING THE - EVENT INTER-
ARRIVAL TIME
• This Time Series captures the time patterns in the placing of Market Orders and Trading
Event
• We characterize and quantify these patterns through Statistical Analysis that captures its
important properties
• The Randomness in the Event Inter - Arrival times – via Entropy
• Autocorrelation – measures degree of correlation between samples of inter arrival
times
A B C B …….. A C
E1 E2 E3 E4 .…..... EN-1 EN
…….t1 t2 t3 tN-1
1 2 3 ........... N-2 N-1
..…….
t1
t2
t3
tN-1
Event Type
Time Series of Event Inter - Arrival Time
Sample Number of time series
Event No
ti - Event inter-arrival time
31. A DISTRIBUTION INDEPENDENT OF
MEASUREMENT (TIME) WINDOW
• Observe the distribution of the time between each pair of events
• call it the event inter arrival time
• The distribution of this quantity does not change as its not dependent on a
window of measurement.
• purely a function of the event arrival (generative) process
• the process will depend on the particular quantity (orders, trades ect …) we are
observing
• The underlying distribution however is fixed for a particular data set
32. RELATING NUMBER OF EVENTS OBSERVED TO
INTERVALS OF TIME
E1 E2 E3 EN-1 EN
…….
Event No
∆𝑡 𝑁∆𝑡1 ∆𝑡2 ∆𝑡3
Z= ∆𝑡1 + ∆𝑡2 + ⋯ + ∆𝑡 𝑁
Let Z be the sum of N IID random variables drawn from the distribution of the
inter arrival time
E(Z) = 𝑁𝜇∆𝑡
Let the mean and variance of distribution of the inter-arrival time
be
E(∆𝑡) = 𝜇∆𝑡 Var(∆𝑡) = 𝜎∆𝑡
2
∆𝑡
Var(Z) = 𝑁𝜎∆𝑡
2
For large N
Z is a random variable and is the time taken to observe N events.
Its expected value (average) is E(Z)
A measure of the uncertainty in Z (about its mean) is its standard deviation
33. RELATING NUMBER OF EVENTS TO
INTERVALS OF TIME
E1 E2 E3 EN-1 EN
…….
Event No
∆𝑡 𝑁∆𝑡1 ∆𝑡2 ∆𝑡3
• The uncertainty in Z can be translated in to an average number of events
• As the total time and total the number of IID events observed in that time is
related probabilistically via the distribution in the inter arrival time
• So we may estimate an average number of events associated with this uncertainty
𝜎𝑧
2 = 𝑁𝜎∆𝑡
2
𝑁 =
𝜎𝑧
𝜇∆𝑡
=
𝑁𝜎∆𝑡
2
𝜇∆𝑡
Thus we may set a threshold “T” for the number of events observed in an interval of
length
to detect outliers
E(Z) = 𝑁𝜇∆𝑡
𝑇 > 𝑁 + 𝑎 𝑓𝑎𝑐𝑡𝑜𝑟 ∗ 𝑁
Editor's Notes
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …
The element by element difference of the prices provides insights in to the underlying random processes …