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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
    Authors: Víctor Elvira; Émilie Chouzenoux; Ömer Deniz Akyildiz; Luca Martino;

    International audience; Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability distribution. The performance of IS heavily depends on the appropriate selection of the proposal distributions where the samples are simulated from. In this paper, we propose an adaptive importance sampler, called GRAMIS, that iteratively improves the set of proposals. The algorithm exploits geometric information of the target to adapt the location and scale parameters of those proposals. Moreover, in order to allow for a cooperative adaptation, a repulsion term is introduced that favors a coordinated exploration of the state space. This translates into a more diverse exploration and a better approximation of the target via the mixture of proposals. Moreover, we provide a theoretical justification of the repulsion term. We show the good performance of GRAMIS in two problems where the target has a challenging shape and cannot be easily approximated by a standard uni-modal proposal.

    image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Hyper Article en Lig...arrow_drop_down
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    Other literature type . 2022
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    Journal of the Franklin Institute
    Article . 2023 . Peer-reviewed
    License: CC BY NC ND
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    Article . 2023
    License: CC BY
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    https://doi.org/10.48550/arxiv...
    Article . 2022
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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
    Authors: Assalé Adjé; Pierre-Loïc Garoche; Victor Magron;

    In order to address the imprecision often introduced by widening operators in static analysis, policy iteration based on min-computations amounts to considering the characterization of reachable value set of a program as an iterative computation of policies, starting from a post-fixpoint. Computing each policy and the associated invariant relies on a sequence of numerical optimizations. While the early research efforts relied on linear programming (LP) to address linear properties of linear programs, the current state of the art is still limited to the analysis of linear programs with at most quadratic invariants, relying on semidefinite programming (SDP) solvers to compute policies, and LP solvers to refine invariants. We propose here to extend the class of programs considered through the use of Sums-of-Squares (SOS) based optimization. Our approach enables the precise analysis of switched systems with polynomial updates and guards. The analysis presented has been implemented in Matlab and applied on existing programs coming from the system control literature, improving both the range of analyzable systems and the precision of previously handled ones. Comment: 29 pages, 4 figures

    image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Spiral - Imperial Co...arrow_drop_down
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    Spiral - Imperial College Digital Repository
    Report . 2015
    License: rioxx All Rights Reserved
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    Other literature type . 2017
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    Nonlinear Analysis Hybrid Systems
    Article . 2017 . Peer-reviewed
    License: Elsevier TDM
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    https://doi.org/10.48550/arxiv...
    Article . 2015
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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/

    To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by characteristics of the order flows and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allows the study of how the optimal order placement decision depends on the interplay between the state of order books, the fee structure, order flow properties and the aversion to execution risk. In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. For the general case of order placement across multiple exchanges, we propose a stochastic algorithm that computes the optimal routing policy and study the sensitivity of the solution to various parameters. Our algorithm does not require an explicit statistical model of order flow but exploits data on recent order fills across exchanges in the numerical implementation of the algorithm to acquire this information through a supervised learning procedure.

    image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Oxford University Re...arrow_drop_down
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    Oxford University Research Archive; Quantitative Finance
    Other literature type . Article . 2018 . 2016 . Peer-reviewed
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    Other literature type . 2012
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    https://doi.org/10.48550/arxiv...
    Article . 2012
    License: arXiv Non-Exclusive Distribution
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    SSRN Electronic Journal
    Article . 2012 . Peer-reviewed
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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
    Authors: Brook, N.; Bogdanchikov, A.; Buckley, A.; Closier, J.; +26 Authors

    This paper describes DIRAC, the LHCb Monte Carlo production system. DIRAC has a client/server architecture based on: Compute elements distributed among the collaborating institutes; Databases for production management, bookkeeping (the metadata catalogue) and software configuration; Monitoring and cataloguing services for updating and accessing the databases. Locally installed software agents implemented in Python monitor the local batch queue, interrogate the production database for any outstanding production requests using the XML-RPC protocol and initiate the job submission. The agent checks and, if necessary, installs any required software automatically. After the job has processed the events, the agent transfers the output data and updates the metadata catalogue. DIRAC has been successfully installed at 18 collaborating institutes, including the DataGRID, and has been used in recent Physics Data Challenges. In the near to medium term future we must use a mixed environment with different types of grid middleware or no middleware. We describe how this flexibility has been achieved and how ubiquitously available grid middleware would improve DIRAC. Comment: Talk from the 2003 Computing in High Energy and Nuclear Physics (CHEP03), La Jolla, Ca, USA, March 2003, 8 pages, Word, 5 figures. PSN TUAT006

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    CERN Document Server
    Other literature type . 2003
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    https://doi.org/10.48550/arxiv...
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      CERN Document Server
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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
    Authors: Víctor Elvira; Émilie Chouzenoux; Ömer Deniz Akyildiz; Luca Martino;

    International audience; Importance sampling (IS) is a powerful Monte Carlo methodology for the approximation of intractable integrals, very often involving a target probability distribution. The performance of IS heavily depends on the appropriate selection of the proposal distributions where the samples are simulated from. In this paper, we propose an adaptive importance sampler, called GRAMIS, that iteratively improves the set of proposals. The algorithm exploits geometric information of the target to adapt the location and scale parameters of those proposals. Moreover, in order to allow for a cooperative adaptation, a repulsion term is introduced that favors a coordinated exploration of the state space. This translates into a more diverse exploration and a better approximation of the target via the mixture of proposals. Moreover, we provide a theoretical justification of the repulsion term. We show the good performance of GRAMIS in two problems where the target has a challenging shape and cannot be easily approximated by a standard uni-modal proposal.

    image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ Hyper Article en Lig...arrow_drop_down
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    Other literature type . 2022
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    Journal of the Franklin Institute
    Article . 2023 . Peer-reviewed
    License: CC BY NC ND
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    Article . 2023
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  • image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
    Authors: Assalé Adjé; Pierre-Loïc Garoche; Victor Magron;

    In order to address the imprecision often introduced by widening operators in static analysis, policy iteration based on min-computations amounts to considering the characterization of reachable value set of a program as an iterative computation of policies, starting from a post-fixpoint. Computing each policy and the associated invariant relies on a sequence of numerical optimizations. While the early research efforts relied on linear programming (LP) to address linear properties of linear programs, the current state of the art is still limited to the analysis of linear programs with at most quadratic invariants, relying on semidefinite programming (SDP) solvers to compute policies, and LP solvers to refine invariants. We propose here to extend the class of programs considered through the use of Sums-of-Squares (SOS) based optimization. Our approach enables the precise analysis of switched systems with polynomial updates and guards. The analysis presented has been implemented in Matlab and applied on existing programs coming from the system control literature, improving both the range of analyzable systems and the precision of previously handled ones. Comment: 29 pages, 4 figures

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    Spiral - Imperial College Digital Repository
    Report . 2015
    License: rioxx All Rights Reserved
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    Nonlinear Analysis Hybrid Systems
    Article . 2017 . Peer-reviewed
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    To execute a trade, participants in electronic equity markets may choose to submit limit orders or market orders across various exchanges where a stock is traded. This decision is influenced by characteristics of the order flows and queue sizes in each limit order book, as well as the structure of transaction fees and rebates across exchanges. We propose a quantitative framework for studying this order placement problem by formulating it as a convex optimization problem. This formulation allows the study of how the optimal order placement decision depends on the interplay between the state of order books, the fee structure, order flow properties and the aversion to execution risk. In the case of a single exchange, we derive an explicit solution for the optimal split between limit and market orders. For the general case of order placement across multiple exchanges, we propose a stochastic algorithm that computes the optimal routing policy and study the sensitivity of the solution to various parameters. Our algorithm does not require an explicit statistical model of order flow but exploits data on recent order fills across exchanges in the numerical implementation of the algorithm to acquire this information through a supervised learning procedure.

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    Oxford University Research Archive; Quantitative Finance
    Other literature type . Article . 2018 . 2016 . Peer-reviewed
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    https://doi.org/10.48550/arxiv...
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    SSRN Electronic Journal
    Article . 2012 . Peer-reviewed
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    Authors: Brook, N.; Bogdanchikov, A.; Buckley, A.; Closier, J.; +26 Authors

    This paper describes DIRAC, the LHCb Monte Carlo production system. DIRAC has a client/server architecture based on: Compute elements distributed among the collaborating institutes; Databases for production management, bookkeeping (the metadata catalogue) and software configuration; Monitoring and cataloguing services for updating and accessing the databases. Locally installed software agents implemented in Python monitor the local batch queue, interrogate the production database for any outstanding production requests using the XML-RPC protocol and initiate the job submission. The agent checks and, if necessary, installs any required software automatically. After the job has processed the events, the agent transfers the output data and updates the metadata catalogue. DIRAC has been successfully installed at 18 collaborating institutes, including the DataGRID, and has been used in recent Physics Data Challenges. In the near to medium term future we must use a mixed environment with different types of grid middleware or no middleware. We describe how this flexibility has been achieved and how ubiquitously available grid middleware would improve DIRAC. Comment: Talk from the 2003 Computing in High Energy and Nuclear Physics (CHEP03), La Jolla, Ca, USA, March 2003, 8 pages, Word, 5 figures. PSN TUAT006

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