pwc-archive/papers-with-abstracts huggingface dataset:
Channel Estimation for RIS-Aided Multi-User mmWave Systems with Uniform Planar Arrays
Authors: Zhendong Peng, Gui Zhou, Cunhua Pan, Hong Ren, A. Lee Swindlehurst, Petar Popovski, Gang Wu
Date: 2022-08-15 00:00:00

In this paper, we adopt a three-stage based uplink channel estimation protocol with reduced pilot overhead for an reconfigurable intelligent surface (RIS)-aided multi-user (MU) millimeter wave (mmWave) communication system, in which both the base station (BS) and the RIS are equipped with a uniform planar array (UPA). Specifically, in Stage I, the channel state information (CSI) of a typical user is estimated. To address the power leakage issue for the common angles-of-arrival (AoAs) estimation in this stage, we develop a low-complexity one-dimensional search method. In Stage II, a re-parameterized common BS-RIS channel is constructed with the estimated information from Stage I to estimate other users' CSI. In Stage III, only the rapidly varying channel gains need to re-estimated. Furthermore, the proposed method can be extended to multi-antenna UPA-type users, by decomposing the estimation of a multi-antenna channel with $J$ scatterers into estimating $J$ single-scatterer channels for a virtual single-antenna user. An orthogonal matching pursuit (OMP)-based method is proposed to estimate the angles-of-departure (AoDs) at the users. Simulation results demonstrate that the proposed algorithm significantly achieves high channel estimation accuracy, which approaches the genie-aided upper bound in the high SNR regime.
Beamforming Design for the Performance Optimization of Intelligent Reflecting Surface Assisted Multicast MIMO Networks
Authors: Songling Zhang, Zhaohui Yang, Mingzhe Chen, Danpu Liu, Kai-Kit Wong, H. Vincent Poor
Date: 2022-08-15 00:00:00

In this paper, the problem of maximizing the sum of data rates of all users in an intelligent reflecting surface (IRS)-assisted millimeter wave multicast multiple-input multiple-output communication system is studied. In the considered model, one IRS is deployed to assist the communication from a multiantenna base station (BS) to the multi-antenna users that are clustered into several groups. Our goal is to maximize the sum rate of all users by jointly optimizing the transmit beamforming matrices of the BS, the receive beamforming matrices of the users, and the phase shifts of the IRS. To solve this non-convex problem, we first use a block diagonalization method to represent the beamforming matrices of the BS and the users by the phase shifts of the IRS. Then, substituting the expressions of the beamforming matrices of the BS and the users, the original sum-rate maximization problem can be transformed into a problem that only needs to optimize the phase shifts of the IRS. To solve the transformed problem, a manifold method is used. Simulation results show that the proposed scheme can achieve up to 28.6% gain in terms of the sum rate of all users compared to the algorithm that optimizes the hybrid beamforming matrices of the BS and the users using our proposed scheme and randomly determines the phase shifts of the IRS.
Conformal Metasurfaces for Recovering Dynamic Blockage in Vehicular Systems
Authors: Marouan Mizmizi, Dario Tagliaferri, Misagh Khosronejad, Laura Resteghini, Gian Guido Gentili, Lorenza Draghi, Umberto Spagnolini
Date: 2022-08-14 00:00:00

Intelligent reflecting surfaces (IRS) will represent a key technology in the upcoming sixth-generation (6G) communication networks to extend the network coverage and overcome link blockage. Research on IRS is expected to take a giant leap in the coming years to address the current technological limitations, mainly regarding the IRS re-configuration in highly dynamic scenarios, such as vehicle-to-vehicle (V2V) ones. This paper proposes a fully passive and low-cost solution based on pre-configured IRS to be lodged on the vehicle's body, which does not require any signaling for re-configuration. However, conventional IRS are planar array and cannot fit with most vehicles' silhouettes. Hence, the proposed design targets conformal surfaces (C-IRS) with an arbitrary shape. In particular, this paper reveals the first experimental findings on the realization of C-IRS operating at 26 GHz and measurements in anechoic chamber, which validate the analytical derivations. To demonstrate the benefits of the proposed solution, numerical simulations in a V2V scenario show that, when the percentage of vehicles equipping a C-IRS increases, the communication becomes more robust to vehicles' blockage and the average end-to-end SNR is enhanced up to 25 dB.
Guard Beam: Protecting mmWave Communication through In-Band Early Blockage Prediction
Authors: Rizqi Hersyandika, Yang Miao, Sofie Pollin
Date: 2022-08-14 00:00:00

Human blockage is one of the main challenges for mmWave communication networks in dynamic environments. The shadowing by a human body results in significant received power degradation and could occur abruptly and frequently. A shadowing period of hundred milliseconds might interrupt the communication and cause significant data loss, considering the huge bandwidth utilized in mmWave communications. An even longer shadowing period might cause a long-duration link outage. Therefore, a blockage prediction mechanism has to be taken to detect the moving blocker within the vicinity of mmWave links. By detecting the potential blockage as early as possible, a user equipment can anticipate by establishing a new connection and performing beam training with an alternative base station before shadowing happens. This paper proposes an early moving blocker detection mechanism by leveraging an extra guard beam to protect the main communication beam. The guard beam is intended to sense the environment by expanding the field of view of a base station. The blockage can be detected early by observing received signal fluctuation resulting from the blocker's presence within the field of view. We derive a channel model for the pre-shadowing event, design a moving blockage detection algorithm for the guard beam, and evaluate the performance of the guard beam theoretically and experimentally based on the measurement campaign using our mmWave testbed. Our results demonstrate that the guard beam can extend the detection range and predict the blockage up to 360 ms before the shadowing occurs.
Joint Channel Estimation and Data Detection for Hybrid RIS aided Millimeter Wave OTFS Systems
Authors: Muye Li, Shun Zhang, Yao Ge, Feifei Gao, Pingzhi Fan
Date: 2022-08-14 00:00:00

For high mobility communication scenario, the recently emerged orthogonal time frequency space (OTFS) modulation introduces a new delay-Doppler domain signal space, and can provide better communication performance than traditional orthogonal frequency division multiplexing system. This article focuses on the joint channel estimation and data detection (JCEDD) for hybrid reconfigurable intelligent surface (HRIS) aided millimeter wave (mmWave) OTFS systems. Firstly, a new transmission structure is designed. Within the pilot durations of the designed structure, partial HRIS elements are alternatively activated. The time domain channel model is then exhibited. Secondly, the received signal model for both the HRIS over time domain and the base station over delay-Doppler domain are studied. Thirdly, by utilizing channel parameters acquired at the HRIS, an HRIS beamforming design strategy is proposed. For the OTFS transmission, we propose a JCEDD scheme over delay-Doppler domain. In this scheme, message passing (MP) algorithm is designed to simultaneously obtain the equivalent channel gain and the data symbols. On the other hand, the channel parameters, i.e., the Doppler shift, the channel sparsity, and the channel variance, are updated through expectation-maximization (EM) algorithm. By iteratively executing the MP and EM algorithm, both the channel and the unknown data symbols can be accurately acquired. Finally, simulation results are provided to validate the effectiveness of our proposed JCEDD scheme.
Joint Localization and Information Transfer for Reconfigurable Intelligent Surface Aided Full-Duplex Systems
Authors: Zhichao Shao, Xiaojun Yuan, Wei zhang, Marco Di Renzo
Date: 2022-08-13 00:00:00
Tasks: Compressive Sensing, Information Retrieval, Integrated sensing and communication, Retrieval

In this work, we investigate a reconfigurable intelligent surface (RIS) aided integrated sensing and communication scenario, where a base station (BS) communicates with multiple devices in a full-duplex mode, and senses the positions of these devices simultaneously. An RIS is assumed to be mounted on each device to enhance the reflected echoes. Meanwhile, the information of each device is passively transferred to the BS via reflection modulation. We aim to tackle the problem of joint localization and information retrieval at the BS. A grid based parametric model is constructed and the joint estimation problem is formulated as a compressive sensing problem. We propose a novel message-passing algorithm to solve the considered problem, and a progressive approximation method to reduce the computational complexity involved in the message passing. Moreover, an expectation-maximization (EM) algorithm is applied for tuning the grid parameters to mitigate the model mismatch problem. Finally, we analyze the efficacy of the proposed algorithm through the Bayesian Cram\'er-Rao bound. Numerical results demonstrate the feasibility of the proposed scheme and the superior performance of the proposed EM-based message-passing algorithm.
Physics-Inspired Regularized Pulse-Echo Quantitative Ultrasound: Efficient Optimization with ADMM
Authors: Noushin Jafarpisheh, Laura Castaneda Martinez, Hayley Whitson, Ivan M. Rosado-Mendez, Hassan Rivaz
Date: 2022-08-13 00:00:00

Pulse-echo Quantitative ultrasound (PEQUS), which estimates the quantitative properties of tissue microstructure, entails estimating the average attenuation and the backscatter coefficient (BSC). Growing recent research has focused on the regularized estimation of these parameters. Herein, we make two contributions to this field: First, we consider the physics of the average attenuation and backscattering to devise regularization terms accordingly. More specifically, since the average attenuation gradually alters in different parts of the tissue while BSC can vary markedly from tissue to tissue, we apply L2 and L1 norms for the average attenuation and the BSC, respectively. Second, we multiply different frequencies and depths of the power spectra with different weights according to their noise levels. Our rationale is that the high-frequency contents of the power spectra at deep regions have a low signal-to-noise ratio. We exploit the alternating direction method of multipliers (ADMM) for optimizing the cost function. Qualitative and quantitative evaluation of bias and variance exhibit that our proposed algorithm substantially improves the estimations of the average attenuation and the BSC.
An iterative warping and clustering algorithm to estimate multiple wave-shape functions from a nonstationary oscillatory signal
Authors: Marcelo A. Colominas, Hau-Tieng Wu
Date: 2022-08-12 00:00:00
Tasks: Clustering

Nonsinusoidal oscillatory signals are everywhere. In practice, the nonsinusoidal oscillatory pattern, modeled as a 1-periodic wave-shape function (WSF), might vary from cycle to cycle. When there are finite different WSFs, $s_1,\ldots,s_K$, so that the WSF jumps from one to another suddenly, the different WSFs and jumps encode useful information. We present an iterative warping and clustering algorithm to estimate $s_1,\ldots,s_K$ from a nonstationary oscillatory signal with time-varying amplitude and frequency, and hence the change points of the WSFs. The algorithm is a novel combination of time-frequency analysis, singular value decomposition entropy and vector spectral clustering. We demonstrate the efficiency of the proposed algorithm with simulated and real signals, including the voice signal, arterial blood pressure, electrocardiogram and accelerometer signal. Moreover, we provide a mathematical justification of the algorithm under the assumption that the amplitude and frequency of the signal are slowly time-varying and there are finite change points that model sudden changes from one wave-shape function to another one.
Stability Analysis of Delayed COVID-19 Models
Authors: Mohamed A. Zaitri, Cristiana J. Silva, Delfim F. M. Torres
Date: 2022-08-13 00:00:00

We analyze mathematical models for COVID-19 with discrete time delays and vaccination. Sufficient conditions for the local stability of the endemic and disease-free equilibrium points are proved for any positive time delay. The stability results are illustrated through numerical simulations performed in MATLAB.
Signature-based validation of real-world economic scenarios
Authors: Hervé Andrès, Alexandre Boumezoued, Benjamin Jourdain
Date: 2022-08-02 00:00:00

Motivated by insurance applications, we propose a new approach for the validation of real-world economic scenarios. This approach is based on the statistical test developed by Chevyrev and Oberhauser (2022) and relies on the notions of signature and maximum mean distance. This test allows to check whether two samples of stochastic processes paths come from the same distribution. Our contribution is to apply this test to a variety of stochastic processes exhibiting different pathwise properties (H{\"o}lder regularity, autocorrelation, regime switches) and which are relevant for the modelling of stock prices and stock volatility as well as of inflation in view of actuarial applications.
Exponential utility maximization in small/large financial markets
Authors: Miklós Rásonyi, Hasanjan Sayit
Date: 2022-08-13 00:00:00
Tasks: Portfolio Optimization

Obtaining utility maximizing optimal portfolios in closed form is a challenging issue when the return vector follows a more general distribution than the normal one. In this note, we give closed form expressions, in markets based on finitely many assets, for optimal portfolios that maximize the expected exponential utility when the return vector follows normal mean-variance mixture models. We then consider large financial markets based on normal mean-variance mixture models also and show that, under exponential utility, the optimal utilities based on small markets converge to the optimal utility in the large financial market. This result shows, in particular, that to reach optimal utility level investors need to diversify their portfolios to include infinitely many assets into their portfolio and with portfolios based on any set of only finitely many assets, they never be able to reach optimum level of utility. In this paper, we also consider portfolio optimization problems with more general class of utility functions and provide an easy-to-implement numerical procedure for locating optimal portfolios. Especially, our approach in this part of the paper reduces a high dimensional problem in locating optimal portfolio into a three dimensional problem for a general class of utility functions.
Asset Allocation: From Markowitz to Deep Reinforcement Learning
Authors: Ricard Durall
Date: 2022-07-14 00:00:00
Tasks: Deep Reinforcement Learning, reinforcement-learning, Reinforcement Learning, Reinforcement Learning (RL)

Asset allocation is an investment strategy that aims to balance risk and reward by constantly redistributing the portfolio's assets according to certain goals, risk tolerance, and investment horizon. Unfortunately, there is no simple formula that can find the right allocation for every individual. As a result, investors may use different asset allocations' strategy to try to fulfil their financial objectives. In this work, we conduct an extensive benchmark study to determine the efficacy and reliability of a number of optimization techniques. In particular, we focus on traditional approaches based on Modern Portfolio Theory, and on machine-learning approaches based on deep reinforcement learning. We assess the model's performance under different market tendency, i.e., both bullish and bearish markets. For reproducibility, we provide the code implementation code in this repository.
A Hybrid Approach on Conditional GAN for Portfolio Analysis
Authors: Jun Lu, Danny Ding
Date: 2022-07-13 00:00:00
Tasks: Generative Adversarial Network, Time Series, Time Series Analysis

Over the decades, the Markowitz framework has been used extensively in portfolio analysis though it puts too much emphasis on the analysis of the market uncertainty rather than on the trend prediction. While generative adversarial network (GAN), conditional GAN (CGAN), and autoencoding CGAN (ACGAN) have been explored to generate financial time series and extract features that can help portfolio analysis. The limitation of the CGAN or ACGAN framework stands in putting too much emphasis on generating series and finding the internal trends of the series rather than predicting the future trends. In this paper, we introduce a hybrid approach on conditional GAN based on deep generative models that learns the internal trend of historical data while modeling market uncertainty and future trends. We evaluate the model on several real-world datasets from both the US and Europe markets, and show that the proposed HybridCGAN and HybridACGAN models lead to better portfolio allocation compared to the existing Markowitz, CGAN, and ACGAN approaches.
Before and after default: information and optimal portfolio via anticipating calculus
Authors: José A. Salmerón, Giulia Di Nunno, Bernardo D'Auria
Date: 2022-07-05 00:00:00
Tasks: Management, Portfolio Optimization

Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additional assumptions are required to obtain the optimal solution in a before-and-after default context. We propose an alternative approach using forward integration, which allows to avoid one of the restrictive assumptions, the Jacod density hypothesis. We demonstrate that, in the case of logarithmic utility, the weaker intensity hypothesis is the appropriate condition for optimality. Furthermore, we establish the semimartingale decomposition of the risky asset in the filtration that is progressively enlarged to accommodate the default process, under the assumption of the existence of the optimal portfolio. This work aims to provide valueable insights for developing effective risk management strategies when facing default risk.
Stock Performance Evaluation for Portfolio Design from Different Sectors of the Indian Stock Market
Authors: Jaydip Sen, Arpit Awad, Aaditya Raj, Gourav Ray, Pusparna Chakraborty, Sanket Das, Subhasmita Mishra
Date: 2022-07-01 00:00:00
Tasks: Portfolio Optimization, Stock Price Prediction, Time Series Analysis

The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more accuracy in stock price prediction. Portfolio construction refers to the allocation of different sector stocks optimally to achieve a maximum return by taking a minimum risk. A good portfolio can help investors earn maximum profit by taking a minimum risk. Beginning with Dow Jones Theory a lot of advancement has happened in the area of building efficient portfolios. In this project, we have tried to predict the future value of a few stocks from six important sectors of the Indian economy and also built a portfolio. As part of the project, our team has conducted a study of the performance of various Time series, machine learning, and deep learning models in stock price prediction on selected stocks from the chosen six important sectors of the economy. As part of building an efficient portfolio, we have studied multiple portfolio optimization theories beginning with the Modern Portfolio theory. We have built a minimum variance portfolio and optimal risk portfolio for all the six chosen sectors by using the daily stock prices over the past five years as training data and have also conducted back testing to check the performance of the portfolio. We look forward to continuing our study in the area of stock price prediction and asset allocation and consider this project as the first stepping stone.
The Efficient Market Hypothesis for Bitcoin in the context of neural networks
Authors: Mike Kraehenbuehl, Joerg Osterrieder
Date: 2022-06-25 00:00:00

This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market inefficiencies could be exploited in Bitcoin. Several studies we refer to here discuss this topic in the context of Bitcoin using either statistical tests or machine learning methods, mostly relying exclusively on data from Bitcoin itself. Results regarding market efficiency vary from study to study. In this study, however, the focus is on applying various asset-related input features in a neural network. The aim is to investigate whether the prediction accuracy improves when adding equity stock indices (S&P 500, Russell 2000), currencies (EURUSD), 10 Year US Treasury Note Yield as well as Gold&Silver producers index (XAU), in addition to using Bitcoin returns as input feature. As expected, the results show that more features lead to higher training performance from 54.6% prediction accuracy with one feature to 61% with six features. On the test set, we observe that with our neural network methodology, adding additional asset classes, no increase in prediction accuracy is achieved. One feature set is able to partially outperform a buy-and-hold strategy, but the performance drops again as soon as another feature is added. This leads us to the partial conclusion that weak market inefficiencies for Bitcoin cannot be detected using neural networks and the given asset classes as input. Therefore, based on this study, we find evidence that the Bitcoin market is efficient in the sense of the efficient market hypothesis during the sample period. We encourage further research in this area, as much depends on the sample period chosen, the input features, the model architecture, and the hyperparameters.
G3Ms:Generalized Mean Market Makers
Authors: Daniel Z. Zanger
Date: 2022-08-15 00:00:00

In the Decentralized Finance (DeFi) setting, we present a new parametrized family of Constant Function Market Makers (CFMMs) which we call the Generalized Mean Market Makers (G3Ms), based on the generalized means. The G3Ms are intermediate between the Arithmetic Mean and Geometric Mean CFMM models, which G3Ms incorporate as special cases. We also present an extension of the G3Ms, based on the so-called Generalized f-Means, called Generalized f-Mean Market Makers (Gf3Ms). We show in addition that the G3Ms possess certain properties preferable to those exhibited by either the Arithmetic Mean CFMM or the Geometric Mean CFMM alone.