arXiv subjects

Bruno Scalzo Dees

Publications and source records attributed to Bruno Scalzo Dees.

9 recordsLinked to original sources

arXiv2021

Graph Theory for Metro Traffic Modelling

A unifying graph theoretic framework for the modelling of metro transportation networks is proposed. This is achieved by first introducing a basic graph framework for the modelling of the London underground system from a diffusion law point of view. This forms a basis for the analysis of both station importance and their vulnerability, whereby the concept of graph vertex centrality plays a key role. We next explore k-edge augmentation of a graph topology, and illustrate its usefulness both for improving the network robustness and as a planning tool. Upon establishing the graph theoretic attributes of the underlying graph topology, we proceed to introduce models for processing data on such a metro graph. Commuter movement is shown to obey the Fick's law of diffusion, where the graph Laplacian provides an analytical model for the diffusion process of commuter population dynamics. Finally, we also explore the application of modern deep learning models, such as graph neural networks and hyper-graph neural networks, as general purpose models for the modelling and forecasting of underground data, especially in the context of the morning and evening rush hours. Comprehensive simulations including the passenger in- and out-flows during the morning rush hour in London demonstrates the advantages of the graph models in metro planning and traffic management, a formal mathematical approach with wide economic implications.

cs.LG↗

arXiv2020

A Class of Doubly Stochastic Shift Operators for Random Graph Signals and their Boundedness

A class of doubly stochastic graph shift operators (GSO) is proposed, which is shown to exhibit: (i) lower and upper $L_{2}$-boundedness for locally stationary random graph signals; (ii) $L_{2}$-isometry for \textit{i.i.d.} random graph signals with the asymptotic increase in the incoming neighbourhood size of vertices; and (iii) preservation of the mean of any graph signal. These properties are obtained through a statistical consistency analysis of the graph shift, and by exploiting the dual role of the doubly stochastic GSO as a Markov (diffusion) matrix and as an unbiased expectation operator. Practical utility of the class of doubly stochastic GSOs is demonstrated in a real-world multi-sensor signal filtering setting.

eess.SP↗

arXiv2019

Graph Theory and Metro Traffic Modelling

In this article we demonstrate how graph theory can be used to identify those stations in the London underground network which have the greatest influence on the functionality of the traffic, and proceed, in an innovative way, to assess the impact of a station closure on service levels across the city. Such underground network vulnerability analysis offers the opportunity to analyse, optimize and enhance the connectivity of the London underground network in a mathematically tractable and physically meaningful manner.

eess.SP↗

arXiv2019

Analysing Global Fixed Income Markets with Tensors

Global fixed income returns span across multiple maturities and economies, that is, they naturally reside on multi-dimensional data structures referred to as tensors. In contrast to standard "flat-view" multivariate models that are agnostic to data structure and only describe linear pairwise relationships, we introduce a tensor-valued approach to model the global risks shared by multiple interest rate curves. In this way, the estimated risk factors can be analytically decomposed into maturity-domain and country-domain constituents, which allows the investor to devise rigorous and tractable global portfolio management and hedging strategies tailored to each risk domain. An empirical analysis confirms the existence of global risk factors shared by eight developed economies, and demonstrates their ability to compactly describe the global macroeconomic environment.

q-fin.PM↗

arXiv2019

A Statistically Identifiable Model for Tensor-Valued Gaussian Random Variables

Real-world signals typically span across multiple dimensions, that is, they naturally reside on multi-way data structures referred to as tensors. In contrast to standard ``flat-view'' multivariate matrix models which are agnostic to data structure and only describe linear pairwise relationships, we introduce the tensor-valued Gaussian distribution which caters for multilinear interactions -- the linear relationship between fibers -- which is reflected by the Kronecker separable structure of the mean and covariance. By virtue of the statistical identifiability of the proposed distribution formulation, whereby different parameter values strictly generate different probability distributions, it is shown that the corresponding likelihood function can be maximised analytically to yield the maximum likelihood estimator. For rigour, the statistical consistency of the estimator is also demonstrated through numerical simulations. The probabilistic framework is then generalised to describe the joint distribution of multiple tensor-valued random variables, whereby the associated mean and covariance exhibit a Khatri-Rao separable structure. The proposed models are shown to serve as a natural basis for gridded atmospheric climate modelling.

eess.SP↗

arXiv2019

Tight Lower Bound on the Tensor Rank based on the Maximally Square Unfolding

Tensors decompositions are a class of tools for analysing datasets of high dimensionality and variety in a natural manner, with the Canonical Polyadic Decomposition (CPD) being a main pillar. While the notion of CPD is closely intertwined with that of the tensor rank, $R$, unlike the matrix rank, the computation of the tensor rank is an NP-hard problem, owing to the associated computational burden of evaluating the CPD. To address this issue, we investigate tight lower bounds on $R$ with the aim to provide a reduced search space, and hence to lessen the computational costs of the CPD evaluation. This is achieved by establishing a link between the maximum attainable lower bound on $R$ and the dimensions of the matrix unfolding of the tensor with aspect ratio closest to unity (maximally square). Moreover, we demonstrate that, for a generic tensor, such lower bound can be attained under very mild conditions, whereby the tensor rank becomes detectable. Numerical examples demonstrate the benefits of this result.

eess.SP↗

arXiv2019

Robust Principal Component Analysis Based On Maximum Correntropy Power Iterations

Principal component analysis (PCA) is recognised as a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known sensitivity of PCA to non-Gaussian samples and/or outliers often makes it unreliable in practice. To this end, a robust formulation of PCA is derived based on the maximum correntropy criterion (MCC) so as to maximise the expected likelihood of Gaussian distributed reconstruction errors. In this way, the proposed solution reduces to a generalised power iteration, whereby: (i) robust estimates of the principal components are obtained even in the presence of outliers; (ii) the number of principal components need not be specified in advance; and (iii) the entire set of principal components can be obtained, unlike existing approaches. The advantages of the proposed maximum correntropy power iteration (MCPI) are demonstrated through an intuitive numerical example.

stat.ML↗

arXiv2019

Portfolio Cuts: A Graph-Theoretic Framework to Diversification

Investment returns naturally reside on irregular domains, however, standard multivariate portfolio optimization methods are agnostic to data structure. To this end, we investigate ways for domain knowledge to be conveniently incorporated into the analysis, by means of graphs. Next, to relax the assumption of the completeness of graph topology and to equip the graph model with practically relevant physical intuition, we introduce the portfolio cut paradigm. Such a graph-theoretic portfolio partitioning technique is shown to allow the investor to devise robust and tractable asset allocation schemes, by virtue of a rigorous graph framework for considering smaller, computationally feasible, and economically meaningful clusters of assets, based on graph cuts. In turn, this makes it possible to fully utilize the asset returns covariance matrix for constructing the portfolio, even without the requirement for its inversion. The advantages of the proposed framework over traditional methods are demonstrated through numerical simulations based on real-world price data.

eess.SP↗

arXiv2019

Unitary Shift Operators on a Graph

A unitary shift operator (GSO) for signals on a graph is introduced, which exhibits the desired property of energy preservation over both backward and forward graph shifts. For rigour, the graph differential operator is also derived in an analytical form. The commutativity relation of the shift operator with the Fourier transform is next explored in conjunction with the proposed GSO to introduce a graph discrete Fourier transform (GDFT) which, unlike existing approaches, ensures the orthogonality of GDFT bases and admits a natural frequency-domain interpretation. The proposed GDFT is shown to allow for a coherent definition of the graph discrete Hilbert transform (GDHT) and the graph analytic signal. The advantages of the proposed GSO are demonstrated through illustrative examples.

eess.SP↗