Search results for "NEA"
showing 10 items of 16082 documents
Twister Tries
2015
Many commonly used data-mining techniques utilized across research fields perform poorly when used for large data sets. Sequential agglomerative hierarchical non-overlapping clustering is one technique for which the algorithms’ scaling properties prohibit clustering of a large amount of items. Besides the unfavorable time complexity of O(n 2 ), these algorithms have a space complexity of O(n 2 ), which can be reduced to O(n) if the time complexity is allowed to rise to O(n 2 log2 n). In this paper, we propose the use of locality-sensitive hashing combined with a novel data structure called twister tries to provide an approximate clustering for average linkage. Our approach requires only lin…
Reduced Order Models for Pricing European and American Options under Stochastic Volatility and Jump-Diffusion Models
2017
Abstract European options can be priced by solving parabolic partial(-integro) differential equations under stochastic volatility and jump-diffusion models like the Heston, Merton, and Bates models. American option prices can be obtained by solving linear complementary problems (LCPs) with the same operators. A finite difference discretization leads to a so-called full order model (FOM). Reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD). The early exercise constraint of American options is enforced by a penalty on subset of grid points. The presented numerical experiments demonstrate that pricing with ROMs can be orders of magnitude faster within a give…
Reduced Order Models for Pricing American Options under Stochastic Volatility and Jump-diffusion Models
2016
American options can be priced by solving linear complementary problems (LCPs) with parabolic partial(-integro) differential operators under stochastic volatility and jump-diffusion models like Heston, Merton, and Bates models. These operators are discretized using finite difference methods leading to a so-called full order model (FOM). Here reduced order models (ROMs) are derived employing proper orthogonal decomposition (POD) and non negative matrix factorization (NNMF) in order to make pricing much faster within a given model parameter variation range. The numerical experiments demonstrate orders of magnitude faster pricing with ROMs. peerReviewed
Iterative Methods for Pricing American Options under the Bates Model
2013
We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG meth…
Exploiting ongoing EEG with multilinear partial least squares during free-listening to music
2016
During real-world experiences, determining the stimulus-relevant brain activity is excitingly attractive and is very challenging, particularly in electroencephalography. Here, spectrograms of ongoing electroencephalogram (EEG) of one participant constructed a third-order tensor with three factors of time, frequency and space; and the stimulus data consisting of acoustical features derived from the naturalistic and continuous music formulated a matrix with two factors of time and the number of features. Thus, the multilinear partial least squares (PLS) conforming to the canonical polyadic (CP) model was performed on the tensor and the matrix for decomposing the ongoing EEG. Consequently, we …
IMEX schemes for pricing options under jump–diffusion models
2014
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump-diffusion process. The schemes include the families of IMEX-midpoint, IMEX-CNAB and IMEX-BDF2 schemes. Each family is defined by a convex combination parameter [email protected]?[0,1], which divides the zeroth-order term due to the jumps between the implicit and explicit parts in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restric…
Cluster-Based RF Fingerprint Positioning Using LTE and WLAN Outdoor Signals
2015
In this paper we evaluate user-equipment (UE) positioning performance of three cluster-based RF fingerprinting methods using LTE and WLAN signals. Real-life LTE and WLAN data were collected for the evaluation purpose using consumer cellular-mobile handset utilizing ‘Nemo Handy’ drive test software tool. Test results of cluster-based methods were compared to the conventional grid-based RF fingerprinting. The cluster-based methods do not require grid-cell layout and training signature formation as compared to the gridbased method. They utilize LTE cell-ID searching technique to reduce the search space for clustering operation. Thus UE position estimation is done in short time with less comput…
Depth perception in tablet-based augmented reality at medium- and far-field distances
2013
Current augmented reality (AR) systems often fail to indicate the distance between the user and points of interest in the environment. Empirical evaluations of human depth perception in AR settings compared to real world settings are needed. Our goal in this study was to understand tablet-based AR depth perception by comparing it with real-world depth perception.
Towards Computer-based Exams in CS1
2017
Even though IDEs are often a central tool when learning to program in CS1, many teachers still lean on paper-based exams. In this study, we examine the “test mode effect” in CS1 exams using the Rainfall problem. The test mode was two-phased. Half of the participants started working on the problem with pen and paper, while the other half had access to an IDE. After submitting their solution, all students could rework their solution on an IDE. The experiment was repeated twice during subsequent course instances. The results were mixed. From the marking perspective, there was no statistically significant difference resulting from the mode. However, the students starting with the paper-based pa…
The challenges of analysing blood stains with hyperspectral imaging
2014
Hyperspectral imaging is a potential noninvasive technology for detecting, separating and identifying various substances. In the forensic and military medicine and other CBRNE related use it could be a potential method for analyzing blood and for scanning other human based fluids. For example, it would be valuable to easily detect whether some traces of blood are from one or more persons or if there are some irrelevant substances or anomalies in the blood. This article represents an experiment of separating four persons' blood stains on a white cotton fabric with a SWIR hyperspectral camera and FT-NIR spectrometer. Each tested sample includes standardized 75 _l of 100 % blood. The results s…