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Raphael Hauser

Publications and source records attributed to Raphael Hauser.

27 records · Page 2Linked to original sources

Letter Change Bias and Local Uniqueness in Optimal Sequence Alignments

Considering two optimally aligned random sequences, we investigate the effect on the alignment score caused by changing a random letter in one of the two sequences. Using this idea in conjunction with large deviations theory, we show that in alignments with a low proportion of gaps the optimal alignment is locally unique in most places with high probability. This has implications in the design of recently pioneered alignment methods that use the local uniqueness as a homology indicator.

math.PR

A Monte Carlo Approach to the Fluctuation Problem in Optimal Alignments of Random Strings

The problem of determining the correct order of fluctuation of the optimal alignment score of two random strings of length $n$ has been open for several decades. It is known that the biased expected effect of a random letter-change on the optimal score implies an order of fluctuation linear in $\sqrt{n}$. However, in many situations where such a biased effect is observed empirically, it has been impossible to prove analytically. The main result of this paper shows that when the rescaled-limit of the optimal alignment score increases in a certain direction, then the biased effect exists. On the basis of this result one can quantify a confidence level for the existence of such a biased effect and hence of an order $\sqrt{n}$ fluctuation based on simulation of optimal alignments scores.This is an important step forward, as the correct order of fluctuation was previously known only for certain special distributions. To illustrate the usefulness of our new methodology, we apply it to optimal alignments of strings written in the DNA-alphabet. As scoring function, we use the BLASTZ default-substitution matrix together with a realistic gap penalty. BLASTZ is one of the most widely used sequence alignment methodologies in bioinformatics. For this DNA-setting, we show that with a high level of confidence, the fluctuation of the optimal alignment score is of order $Θ(\sqrt{n})$. An important special case of optimal alignment score is the Longest Common Subsequence (LCS) of random strings. For binary sequences with equiprobable symbols, the question of the fluctuation of the LCS remains open. The symmetry in that case does not allow for our method. On the other hand, in real-life DNA sequences, it is not the case that all letters occur with the same frequency. Thus, for many real life situations, our method allows to determine the order of the fluctuation up to a high confidence level.

math.PR

Distribution of Aligned Letter Pairs in Optimal Alignments of Random Sequences

Considering the optimal alignment of two i.i.d. random sequences of length $n$, we show that when the scoring function is chosen randomly, almost surely the empirical distribution of aligned letter pairs in all optimal alignments converges to a unique limiting distribution as $n$ tends to infinity. This result is interesting because it helps understanding the microscopic path structure of a special type of last passage percolation problem with correlated weights, an area of long-standing open problems. Characterizing the microscopic path structure yields furthermore a robust alternative to optimal alignment scores for testing the relatedness of genetic sequences.

math.PR

Adversarial Smoothed Analysis

The purpose of this note is to extend the results on uniform smoothed analysis of condition numbers from \cite{BuCuLo:07} to the case where the perturbation follows a radially symmetric probability distribution. In particular, we will show that the bounds derived in \cite{BuCuLo:07} still hold in the case of distributions whose density has a singularity at the center of the perturbation, which we call {\em adversarial}.

math.NA

Kalman Filtering with Equality and Inequality State Constraints

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited for these applications. We define the Kalman Filter and discuss two different approaches to incorporating constraints. Each of these approaches are first applied to equality constraints and then extended to inequality constraints. We discuss methods for dealing with nonlinear constraints and for constraining the state prediction. Finally, some experiments are provided to indicate the usefulness of such methods.

math.OC

Inferring the Composition of a Trader Population in a Financial Market

We discuss a method for predicting financial movements and finding pockets of predictability in the price-series, which is built around inferring the heterogeneity of trading strategies in a multi-agent trader population. This work explores extensions to our previous framework (arXiv:physics/0506134). Here we allow for more intelligent agents possessing a richer strategy set, and we no longer constrain the estimate for the heterogeneity of the agents to a probability space. We also introduce a scheme which allows the incorporation of models with a wide variety of agent types, and discuss a mechanism for the removal of bias from relevant parameters.

cs.CE

Using Artificial Market Models to Forecast Financial Time-Series

We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction - in particular, forecasting financial time-series by training a third-party or 'black box' game on the financial data itself -- was discussed by Johnson et al. in cond-mat/0105303 and cond-mat/0105258 and was based on some encouraging preliminary investigations of the dollar-yen exchange rate, various individual stocks, and stock market indices. However, the initial attempts lacked a clear formal methodology. Here we present a detailed methodology, using optimization techniques to build an estimate of the strategy distribution across the multi-trader population. In contrast to earlier attempts, we are able to present a systematic method for identifying 'pockets of predictability' in real-world markets. We find that as each pocket closes up, the black-box system needs to be 'reset' - which is equivalent to saying that the current probability estimates of the strategy allocation across the multi-trader population are no longer accurate. Instead, new probability estimates need to be obtained by iterative updating, until a new 'pocket of predictability' emerges and reliable prediction can resume.

physics.soc-ph

On Tail Decay and Moment Estimates of a Condition Number for Random Linear Conic Systems

In this paper we study the distribution tails and the moments of a condition number which arises in the study of homogeneous systems of linear inequalities. We consider the case where this system is defined by a Gaussian random matrix and characterise the exact decay rates of the distribution tails, improve the existing moment estimates, and prove various limit theorems for large scale systems. Our results are of complexity theoretic interest, because interior-point methods and relaxation methods for the solution of systems of linear inequalities have running times that are bounded in terms of the logarithm and the square of the condition number respectively.

math.NA

Self-scaled barrier functions on symmetric cones and their classification

Self-scaled barrier functions on self-scaled cones were introduced through a set of axioms in 1994 by Y.E. Nesterov and M.J. Todd as a tool for the construction of long-step interior point algorithms. This paper provides firm foundation for these objects by exhibiting their symmetry properties, their intimate ties with the symmetry groups of their domains of definition, and subsequently their decomposition into irreducible parts and algebraic classification theory. In a first part we recall the characterisation of the family of self-scaled cones as the set of symmetric cones and develop a primal-dual symmetric viewpoint on self-scaled barriers, results that were first discovered by the second author. We then show in a short, simple proof that any pointed, convex cone decomposes into a direct sum of irreducible components in a unique way, a result which can also be of independent interest. We then show that any self-scaled barrier function decomposes in an essentially unique way into a direct sum of self-scaled barriers defined on the irreducible components of the underlying symmetric cone. Finally, we present a complete algebraic classification of self-scaled barrier functions using the correspondence between symmetric cones and Euclidean Jordan algebras.

math.OC