pwc-archive/papers-with-abstracts huggingface dataset:
A Hybrid Optimization and Deep Learning Algorithm for Cyber-resilient DER Control
Authors: Mohammad Panahazari, Matthew Koscak, Jianhua Zhang, Daqing Hou, Jing Wang, David Wenzhong Gao
Date: 2023-07-31 00:00:00

With the proliferation of distributed energy resources (DERs) in the distribution grid, it is a challenge to effectively control a large number of DERs resilient to the communication and security disruptions, as well as to provide the online grid services, such as voltage regulation and virtual power plant (VPP) dispatch. To this end, a hybrid feedback-based optimization algorithm along with deep learning forecasting technique is proposed to specifically address the cyber-related issues. The online decentralized feedback-based DER optimization control requires timely, accurate voltage measurement from the grid. However, in practice such information may not be received by the control center or even be corrupted. Therefore, the long short-term memory (LSTM) deep learning algorithm is employed to forecast delayed/missed/attacked messages with high accuracy. The IEEE 37-node feeder with high penetration of PV systems is used to validate the efficiency of the proposed hybrid algorithm. The results show that 1) the LSTM-forecasted lost voltage can effectively improve the performance of the DER control algorithm in the practical cyber-physical architecture; and 2) the LSTM forecasting strategy outperforms other strategies of using previous message and skipping dual parameter update.
Analysis and Design of Uncertain Cyber-Physical Systems
Authors: Alessandro Pinto
Date: 2023-07-31 00:00:00
Tasks: Decision Making

Several sources of uncertainty have to be taken into account in the analysis and design of CPS. The set of parameters used in the model of the physical plant of a CPS may be uncertain due, for example, to manufacturing processes that are precise up to some bounded tolerance. Physical quantities are sensed by electronic components that add noise to the sensed signals. Abstraction of the physical world, which is often necessary to limit the complexity of the models used in analysis and at run-time in decision-making, leads to non-determinism. The cyber side of a CPS, which includes both hardware and software components, exposes several types of uncertainty such as failures, latency, and implementation errors. Design processes and tools allow engineers to minimize the impact of these types of uncertainty, and to deliver systems which can be operated with an acceptable level of risk. In the past several years, cyber-physical systems have evolved, primarily due to pervasive connectivity, miniaturization, cost-effectiveness of hardware, and advances in the area of Artificial Intelligence. This new class of applications features an environment that is much more complex to model than traditional physical systems due not only to their scale, but also to new sources and types of uncertainty. Consider, for example, the typical case of echo chambers which is attributed to the effect that machine learning algorithms have on the bias of people. Such behavior is not easily predictable because of high uncertainty in the environment (people), which is only approximately represented by machine learning models, but that is inherently due to lack of knowledge. New models and analysis methods are therefore needed to capture different types of uncertainties, and to analyze these new classes of systems.
Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years
Authors: Yuki Sato, Kiyoshi Kanazawa
Date: 2023-08-02 00:00:00

In this research, we focus on the order-splitting behavior. The order splitting is a trading strategy to execute their large potential metaorder into small pieces to reduce transaction cost. This strategic behavior is believed to be important because it is a promising candidate for the microscopic origin of the long-range correlation (LRC) in the persistent order flow. Indeed, in 2005, Lillo, Mike, and Farmer (LMF) introduced a microscopic model of the order-splitting traders to predict the asymptotic behavior of the LRC from the microscopic dynamics, even quantitatively. The plausibility of this scenario has been qualitatively investigated by Toth et al. 2015. However, no solid support has been presented yet on the quantitative prediction by the LMF model in the lack of large microscopic datasets. In this report, we have provided the first quantitative statistical analysis of the order-splitting behavior at the level of each trading account. We analyse a large dataset of the Tokyo stock exchange (TSE) market over nine years, including the account data of traders (called virtual servers). The virtual server is a unit of trading accounts in the TSE market, and we can effectively define the trader IDs by an appropriate preprocessing. We apply a strategy clustering to individual traders to identify the order-splitting traders and the random traders. For most of the stocks, we find that the metaorder length distribution obeys power laws with exponent $\alpha$, such that $P(L)\propto L^{-\alpha-1}$ with the metaorder length $L$. By analysing the sign correlation $C(\tau)\propto \tau^{-\gamma}$, we directly confirmed the LMF prediction $\gamma \approx \alpha-1$. Furthermore, we discuss how to estimate the total number of the splitting traders only from public data via the ACF prefactor formula in the LMF model. Our work provides the first quantitative evidence of the LMF model.
Finite population effects on optimal communication for social foragers
Authors: Hyunjoong Kim, Yoichiro Mori, Joshua B Plotkin
Date: 2023-08-01 00:00:00

Foraging is crucial for animals to survive. Many species forage in groups, as individuals communicate to share information about the location of available resources. For example, eusocial foragers, such as honey bees and many ants, recruit members from their central hive or nest to a known foraging site. However, the optimal level of communication and recruitment depends on the overall group size, the distribution of available resources, and the extent of interference between multiple individuals attempting to forage from a site. In this paper, we develop a discrete-time Markov chain model of eusocial foragers, who communicate information with a certain probability. We compare the stochastic model and its corresponding infinite-population limit. We find that foraging efficiency tapers off when recruitment probability is too high -- a phenomenon that does not occur in the infinite-population model, even though it occurs for any finite population size. The marginal inefficiency at high recruitment probability increases as the population increases, similar to a boundary layer. In particular, we prove there is a significant gap between the foraging efficiency of finite and infinite population models in the extreme case of complete communication. We also analyze this phenomenon by approximating the stationary distribution of foragers over sites in terms of mean escape times from multiple quasi-steady states. We conclude that for any finite group of foragers, an individual who has found a resource should only sometimes recruit others to the same resource. We discuss the relationship between our analysis and multi-agent multi-arm bandit problems.
EC-Conf: An Ultra-fast Diffusion Model for Molecular Conformation Generation with Equivariant Consistency
Authors: Zhiguang Fan, Yuedong Yang, Mingyuan Xu, Hongming Chen
Date: 2023-08-01 00:00:00
Tasks: Denoising

Despite recent advancement in 3D molecule conformation generation driven by diffusion models, its high computational cost in iterative diffusion/denoising process limits its application. In this paper, an equivariant consistency model (EC-Conf) was proposed as a fast diffusion method for low-energy conformation generation. In EC-Conf, a modified SE (3)-equivariant transformer model was directly used to encode the Cartesian molecular conformations and a highly efficient consistency diffusion process was carried out to generate molecular conformations. It was demonstrated that, with only one sampling step, it can already achieve comparable quality to other diffusion-based models running with thousands denoising steps. Its performance can be further improved with a few more sampling iterations. The performance of EC-Conf is evaluated on both GEOM-QM9 and GEOM-Drugs sets. Our results demonstrate that the efficiency of EC-Conf for learning the distribution of low energy molecular conformation is at least two magnitudes higher than current SOTA diffusion models and could potentially become a useful tool for conformation generation and sampling. We release our code at https://github.com/zhi520/EcConf.
Phase Diverse Phase Retrieval for Microscopy: Comparison of Gaussian and Poisson Approaches
Authors: Nikolaj Reiser, Min Guo, Hari Shroff, Patrick J. La Riviere
Date: 2023-08-01 00:00:00
Tasks: Diversity, Retrieval

Phase diversity is a widefield aberration correction method that uses multiple images to estimate the phase aberration at the pupil plane of an imaging system by solving an optimization problem. This estimated aberration can then be used to deconvolve the aberrated image or to reacquire it with aberration corrections applied to a deformable mirror. The optimization problem for aberration estimation has been formulated for both Gaussian and Poisson noise models but the Poisson model has never been studied in microscopy nor compared with the Gaussian model. Here, the Gaussian- and Poisson-based estimation algorithms are implemented and compared for widefield microscopy in simulation. The Poisson algorithm is found to match or outperform the Gaussian algorithm in a variety of situations, and converges in a similar or decreased amount of time. The Gaussian algorithm does perform better in low-light regimes when image noise is dominated by additive Gaussian noise. The Poisson algorithm is also found to be more robust to the effects of spatially variant aberration and phase noise. Finally, the relative advantages of re-acquisition with aberration correction and deconvolution with aberrated point spread functions are compared.
Testing for Threshold Effects in Presence of Heteroskedasticity and Measurement Error with an application to Italian Strikes
Authors: Francesco Angelini, Massimiliano Castellani, Simone Giannerini, Greta Goracci
Date: 2023-08-01 00:00:00
Tasks: Time Series

Many macroeconomic time series are characterised by nonlinearity both in the conditional mean and in the conditional variance and, in practice, it is important to investigate separately these two aspects. Here we address the issue of testing for threshold nonlinearity in the conditional mean, in the presence of conditional heteroskedasticity. We propose a supremum Lagrange Multiplier approach to test a linear ARMA-GARCH model against the alternative of a TARMA-GARCH model. We derive the asymptotic null distribution of the test statistic and this requires novel results since the difficulties of working with nuisance parameters, absent under the null hypothesis, are amplified by the non-linear moving average, combined with GARCH-type innovations. We show that tests that do not account for heteroskedasticity fail to achieve the correct size even for large sample sizes. Moreover, we show that the TARMA specification naturally accounts for the ubiquitous presence of measurement error that affects macroeconomic data. We apply the results to analyse the time series of Italian strikes and we show that the TARMA-GARCH specification is consistent with the relevant macroeconomic theory while capturing the main features of the Italian strikes dynamics, such as asymmetric cycles and regime-switching.
Randomization Inference of Heterogeneous Treatment Effects under Network Interference
Authors: Julius Owusu
Date: 2023-07-31 00:00:00
Tasks: valid

We develop randomization-based tests for heterogeneous treatment effects in the presence of network interference. Leveraging the exposure mapping framework, we study a broad class of null hypotheses that represent various forms of constant treatment effects in networked populations. These null hypotheses, unlike the classical Fisher sharp null, are not sharp due to unknown parameters and multiple potential outcomes. Existing conditional randomization procedures either fail to control size or suffer from low statistical power in this setting. We propose a testing procedure that constructs a data-dependent focal assignment set and permits variation in focal units across focal assignments. These features complicate both estimation and inference, necessitating new technical developments. We establish the asymptotic validity of the proposed procedure under general conditions on the test statistic and characterize the asymptotic size distortion in terms of observable quantities. The procedure is applied to experimental network data and evaluated via Monte Carlo simulations.
What's Logs Got to do With it: On the Perils of log Dependent Variables and Difference-in-Differences
Authors: Brendon McConnell
Date: 2023-07-31 00:00:00

The log transformation of the dependent variable is not innocuous when using a difference-in-differences (DD) model. With a dependent variable in logs, the DD term captures an approximation of the proportional difference in growth rates across groups. As I show with both simulations and two empirical examples, if the baseline outcome distributions are sufficiently different across groups, the DD parameter for a log-specification can be different in sign to that of a levels-specification. I provide a condition, based on (i) the aggregate time effect, and (ii) the difference in relative baseline outcome means, for when the sign-switch will occur.
Change-Point Testing for Risk Measures in Time Series
Authors: Lin Fan, Peter W. Glynn, Markus Pelger
Date: 2018-09-07 00:00:00
Tasks: Time Series

We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal distributions of time series under general assumptions. Self-normalization allows us to avoid the issues of standard error estimation. The theoretical foundations for our methods are functional central limit theorems, which we develop under weak assumptions. An empirical study of S&P 500 and US Treasury bond returns illustrates the practical use of our methods in detecting and quantifying market instability via the tails of financial time series.
Towards Climate Neutrality: A Comprehensive Overview of Sustainable Operations Management, Optimization, and Wastewater Treatment Strategies
Authors: Vasileios Alevizos, Ilias Georgousis, Anna-Maria Kapodistria
Date: 2023-08-01 00:00:00
Tasks: Management

Various studies have been conducted in the fields of sustainable operations management, optimization, and wastewater treatment, yielding unsubstantiated recovery. In the context of Europes climate neutrality vision, this paper reviews effective decarbonization strategies and proposes sustainable approaches to mitigate carbonization in various sectors such as building, energy, industry, and transportation. The study also explores the role of digitalization in decarbonization and reviews decarbonization policies that can direct governments action towards a climate-neutral society. The paper also presents a review of optimization approaches applied in the fields of science and technology, incorporating modern optimization techniques based on various peer-reviewed published research papers. It emphasizes non-conventional energy and distributed power generating systems along with the deregulated and regulated environment. Additionally, this paper critically reviews the performance and capability of micellar enhanced ultrafiltration (MEUF) process in the treatment of dye wastewater. The review presents evidence of simultaneous removal of co-existing pollutants and explores the feasibility and efficiency of biosurfactant in-stead of chemical surfactant. Lastly, the paper proposes a novel firm-regulator-consumer interaction framework to study operations decisions and interactive cooperation considering the interactions among three agents through a comprehensive literature review on sustainable operations management. The framework provides support for exploring future research opportunities.
Position Uncertainty in a Sequential Public Goods Game: An Experiment
Authors: Chowdhury Mohammad Sakib Anwar, Konstantinos Georgalos
Date: 2023-07-31 00:00:00
Tasks: Position

Gallice and Monz\'on (2019) present a natural environment that sustains full co-operation in one-shot social dilemmas among a finite number of self-interested agents. They demonstrate that in a sequential public goods game, where agents lack knowledge of their position in the sequence but can observe some predecessors' actions, full contribution emerges in equilibrium due to agents' incentive to induce potential successors to follow suit. In this study, we aim to test the theoretical predictions of this model through an economic experiment. We conducted three treatments, varying the amount of information about past actions that a subject can observe, as well as their positional awareness. Through rigorous structural econometric analysis, we found that approximately 25% of the subjects behaved in line with the theoretical predictions. However, we also observed the presence of alternative behavioural types among the remaining subjects. The majority were classified as conditional co-operators, showing a willingness to cooperate based on others' actions. Some subjects exhibited altruistic tendencies, while only a small minority engaged in free-riding behaviour.
Control and Spread of Contagion in Networks
Authors: John Higgins, Tarun Sabarwal
Date: 2023-07-31 00:00:00

We study proliferation of an action in binary action network coordination games that are generalized to include global effects. This captures important aspects of proliferation of a particular action or narrative in online social networks, providing a basis to understand their impact on societal outcomes. Our model naturally captures complementarities among starting sets, network resilience, and global effects, and highlights interdependence in channels through which contagion spreads. We present new, natural, and computationally tractable algorithms to define and compute equilibrium objects that facilitate the general study of contagion in networks and prove their theoretical properties. Our algorithms are easy to implement and help to quantify relationships previously inaccessible due to computational intractability. Using these algorithms, we study the spread of contagion in scale-free networks with 1,000 players using millions of Monte Carlo simulations. Our analysis provides quantitative and qualitative insight into the design of policies to control or spread contagion in networks. The scope of application is enlarged given the many other situations across different fields that may be modeled using this framework.
Duopoly insurers' incentives for data quality under a mandatory cyber data sharing regime
Authors: Carlos Barreto, Olof Reinert, Tobias Wiesinger, Ulrik Franke
Date: 2023-05-29 00:00:00

We study the impact of data sharing policies on cyber insurance markets. These policies have been proposed to address the scarcity of data about cyber threats, which is essential to manage cyber risks. We propose a Cournot duopoly competition model in which two insurers choose the number of policies they offer (i.e., their production level) and also the resources they invest to ensure the quality of data regarding the cost of claims (i.e., the data quality of their production cost). We find that enacting mandatory data sharing sometimes creates situations in which at most one of the two insurers invests in data quality, whereas both insurers would invest when information sharing is not mandatory. This raises concerns about the merits of making data sharing mandatory.
Circumvent spherical Bessel function nulls for open sphere microphone arrays with physics informed neural network
Authors: Fei Ma, Thushara D. Abhayapala, Prasanga N. Samarasinghe
Date: 2023-08-01 00:00:00

Open sphere microphone arrays (OSMAs) are simple to design and do not introduce scattering fields, and thus can be advantageous than other arrays for implementing spatial acoustic algorithms under spherical model decomposition. However, an OSMA suffers from spherical Bessel function nulls which make it hard to obtain some sound field coefficients at certain frequencies. This paper proposes to assist an OSMA for sound field analysis with physics informed neural network (PINN). A PINN models the measurement of an OSMA and predicts the sound field on another sphere whose radius is different from that of the OSMA. Thanks to the fact that spherical Bessel function nulls vary with radius, the sound field coefficients which are hard to obtain based on the OSMA measurement directly can be obtained based on the prediction. Simulations confirm the effectiveness of this approach and compare it with the rigid sphere approach.
The role of vowel and consonant onsets in neural tracking of natural speech
Authors: Mohammad Jalilpour Monesi, Jonas Vanthornhout, Hugo Van hamme, Tom Francart
Date: 2023-07-31 00:00:00
Tasks: EEG

To investigate how the auditory system processes natural speech, models have been created to relate the electroencephalography (EEG) signal of a person listening to speech to various representations of the speech. Mainly the speech envelope has been used, but also phonetic representations. We investigated to which degree of granularity phonetic representations can be related to the EEG signal. We used recorded EEG signals from 105 subjects while they listened to fairy tale stories. We utilized speech representations, including onset of any phone, vowel-consonant onsets, broad phonetic class (BPC) onsets, and narrow phonetic class (NPC) onsets, and related them to EEG using forward modeling and match-mismatch tasks. In forward modeling, we used a linear model to predict EEG from speech representations. In the match-mismatch task, we trained a long short term memory (LSTM) based model to determine which of two candidate speech segments matches with a given EEG segment. Our results show that vowel-consonant onsets outperform onsets of any phone in both tasks, which suggests that neural tracking of the vowel vs. consonant exists in the EEG to some degree. We also observed that vowel (syllable nucleus) onsets are better related to EEG compared to syllable onsets. Finally, our findings suggest that neural tracking previously thought to be associated with broad phonetic classes might actually originate from vowel-consonant onsets rather than the differentiation between different phonetic classes.