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UAVs are increasingly becoming vital tools in various wireless communication applications including internet of things (IoT) and sensor networks, thanks to their rapid and agile non-terrestrial mobility. Despite recent research, planning three-dimensional (3D) UAV trajectories over a continuous temporal-spatial domain remains challenging due to the need to solve computationally intensive optimization problems. In this paper, we study UAV-assisted IoT data collection aimed at minimizing total energy consumption while accounting for the UAV's physical capabilities, the heterogeneous data demands of IoT nodes, and 3D terrain. We propose a matrix-based differential evolution with constraint handling (MDE-CH), a computation-efficient evolutionary algorithm designed to address non-convex constrained optimization problems with several different types of constraints. Numerical evaluations demonstrate that the proposed MDE-CH algorithm provides a continuous 3D temporal-spatial UAV trajectory capable of efficiently minimizing energy consumption under various practical constraints and outperforms the conventional fly-hover-fly model for both two-dimensional (2D) and 3D trajectory planning.

We propose the Chiarella-Heston model, a new agent-based model for improving the effectiveness of deep hedging strategies. This model includes momentum traders, fundamental traders, and volatility traders. The volatility traders participate in the market by innovatively following a Heston-style volatility signal. The proposed model generalises both the extended Chiarella model and the Heston stochastic volatility model, and is calibrated to reproduce as many empirical stylized facts as possible. According to the stylised facts distance metric, the proposed model is able to reproduce more realistic financial time series than three baseline models: the extended Chiarella model, the Heston model, and the Geometric Brownian Motion. The proposed model is further validated by the Generalized Subtracted L-divergence metric. With the proposed Chiarella-Heston model, we generate a training dataset to train a deep hedging agent for optimal hedging strategies under various transaction cost levels. The deep hedging agent employs the Deep Deterministic Policy Gradient algorithm and is trained to maximize profits and minimize risks. Our testing results reveal that the deep hedging agent, trained with data generated by our proposed model, outperforms the baseline in most transaction cost levels. Furthermore, the testing process, which is conducted using empirical data, demonstrates the effective performance of the trained deep hedging agent in a realistic trading environment., Comment: Accepted in the 4th ACM International Conference on AI in Finance (ICAIF'23)

The local geometrical randomness of metal foams brings complexities to the performance prediction of porous structures. Although the relative density is commonly deemed as the key factor, the stochasticity of internal cell sizes and shapes has an apparent effect on the porous structural behaviour but the corresponding measurement is challenging. To address this issue, we are aimed to develop an assessment strategy for efficiently examining the foam properties by combining multiscale modelling and deep learning. The multiscale modelling is based on the finite element (FE) simulation employing representative volume elements (RVEs) with random cellular morphologies, mimicking the typical features of closed-cell Aluminium foams. A deep learning database is constructed for training the designed convolutional neural networks (CNNs) to establish a direct link between the mesoscopic porosity characteristics and the effective Youngs modulus of foams. The error range of CNN models leads to an uncertain mechanical performance, which is further evaluated in a structural uncertainty analysis on the FG porous three-layer beam consisting of two thin high-density layers and a thick low-density one, where the imprecise CNN predicted moduli are represented as triangular fuzzy numbers in double parametric form. The uncertain beam bending deflections under a mid-span point load are calculated with the aid of Timoshenko beam theory and the Ritz method. Our findings suggest the success in training CNN models to estimate RVE modulus using images with an average error of 5.92%. The evaluation of FG porous structures can be significantly simplified with the proposed method and connects to the mesoscopic cellular morphologies without establishing the mechanics model for local foams., Comment: Book chapter in MACHINE LEARNING AIDED ANALYSIS, DESIGN, AND ADDITIVE MANUFACTURING OF FUNCTIONALLY GRADED POROUS COMPOSITE STRUCTURES, 20 pages, 10 figures

This article presents XGB-Chiarella, a powerful new approach for deploying agent-based models to generate realistic intra-day artificial financial price data. This approach is based on agent-based models, calibrated by XGBoost machine learning surrogate. Following the Extended Chiarella model, three types of trading agents are introduced in this agent-based model: fundamental traders, momentum traders, and noise traders. In particular, XGB-Chiarella focuses on configuring the simulation to accurately reflect real market behaviours. Instead of using the original Expectation-Maximisation algorithm for parameter estimation, the agent-based Extended Chiarella model is calibrated using XGBoost machine learning surrogate. It is shown that the machine learning surrogate learned in the proposed method is an accurate proxy of the true agent-based market simulation. The proposed calibration method is superior to the original Expectation-Maximisation parameter estimation in terms of the distance between historical and simulated stylised facts. With the same underlying model, the proposed methodology is capable of generating realistic price time series in various stocks listed at three different exchanges, which indicates the universality of intra-day price formation process. For the time scale (minutes) chosen in this paper, one agent per category is shown to be sufficient to capture the intra-day price formation process. The proposed XGB-Chiarella approach provides insights that the price formation process is comprised of the interactions between momentum traders, fundamental traders, and noise traders. It can also be used to enhance risk management by practitioners., Comment: Published in WILMOTT Magazine: May 2022 issue. arXiv admin note: text overlap with arXiv:2208.13654

This paper describes simulations and analysis of flash crash scenarios in an agent-based modelling framework. We design, implement, and assess a novel high-frequency agent-based financial market simulator that generates realistic millisecond-level financial price time series for the E-Mini S&P 500 futures market. Specifically, a microstructure model of a single security traded on a central limit order book is provided, where different types of traders follow different behavioural rules. The model is calibrated using the machine learning surrogate modelling approach. Statistical test and moment coverage ratio results show that the model has excellent capability of reproducing realistic stylised facts in financial markets. By introducing an institutional trader that mimics the real-world Sell Algorithm on May 6th, 2010, the proposed high-frequency agent-based financial market simulator is used to simulate the Flash Crash that took place that day. We scrutinise the market dynamics during the simulated flash crash and show that the simulated dynamics are consistent with what happened in historical flash crash scenarios. With the help of Monte Carlo simulations, we discover functional relationships between the amplitude of the simulated 2010 Flash Crash and three conditions: the percentage of volume of the Sell Algorithm, the market maker inventory limit, and the trading frequency of fundamental traders. Similar analyses are carried out for mini flash crash events. An innovative "Spiking Trader" is introduced to the model, aiming at precipitating mini flash crash events. We analyse the market dynamics during the course of a typical simulated mini flash crash event and study the conditions affecting its characteristics. The proposed model can be used for testing resiliency and robustness of trading algorithms and providing advice for policymakers.

This study introduces a novel computational framework for Robust Topology Optimization (RTO) considering imprecise random field parameters. Unlike the worst-case approach, the present method provides upper and lower bounds for the mean and standard deviation of compliance as well as the optimized topological layouts of a structure for various scenarios. In the proposed approach, the imprecise random field variables are determined utilizing parameterized p-boxes with different confidence intervals. The Karhunen-Lo\`eve (K-L) expansion is extended to provide a spectral description of the imprecise random field. The linear superposition method in conjunction with a linear combination of orthogonal functions is employed to obtain explicit mathematical expressions for the first and second order statistical moments of the structural compliance. Then, an interval sensitivity analysis is carried out, applying the Orthogonal Similarity Transformation (OST) method with the boundaries of each of the intermediate variable searched efficiently at every iteration using a Combinatorial Approach (CA). Finally, the validity, accuracy, and applicability of the work are rigorously checked by comparing the outputs of the proposed approach with those obtained using the particle swarm optimization (PSO) and Quasi-Monte-Carlo Simulation (QMCS) methods. Three different numerical examples with imprecise random field loads are presented to show the effectiveness and feasibility of the study.

We provide a mutual information lower bound that can be used to analyze the effect of training in models with unknown parameters. For large-scale systems, we show that this bound can be calculated using the difference between two derivatives of a conditional entropy function. The bound does not require explicit estimation of the unknown parameters. We provide a step-by-step process for computing the bound, and provide an example application. A comparison with known classical mutual information bounds is provided., Comment: This work has been submitted to the IEEE for possible publication. arXiv admin note: substantial text overlap with arXiv:2012.00970

We show that a quantized large-scale system with unknown parameters and training signals can be analyzed by examining an equivalent system with known parameters by modifying the signal power and noise variance in a prescribed manner. Applications to training in wireless communications and signal processing are shown. In wireless communications, we show that the optimal number of training signals can be significantly smaller than the number of transmitting elements. Similar conclusions can be drawn when considering the symbol error rate in signal processing applications, as long as the number of receiving elements is large enough. We show that a linear analysis of training in a quantized system can be accurate when the thermal noise is high or the system is operating near its saturation rate.

We analyze phase transitions in the conditional entropy of a sequence caused by a change in the conditional variables. Such transitions happen, for example, when training to learn the parameters of a system, since the transition from the training phase to the data phase causes a discontinuous jump in the conditional entropy of the measured system response. For large-scale systems, we present a method of computing a bound on the mutual information obtained with one-shot training, and show that this bound can be calculated using the difference between two derivatives of a conditional entropy. The system model does not require Gaussianity or linearity in the parameters, and does not require worst-case noise approximations or explicit estimation of any unknown parameters. The model applies to a broad range of algorithms and methods in communication, signal processing, and machine learning that employ training as part of their operation.

Recent efforts to obtain high data rates in wireless systems have focused on what can be achieved in systems that have nonlinear or coarsely quantized transceiver architectures. Estimating the channel in such a system is challenging because the nonlinearities distort the channel estimation process. It is therefore of interest to determine how much training is needed to estimate the channel sufficiently well so that the channel estimate can be used during data communication. We provide a way to determine how much training is needed by deriving a lower bound on the achievable rate in a training-based scheme that can be computed and analyzed even when the number of antennas is very large. This lower bound can be tight, especially at high SNR. One conclusion is that the optimal number of training symbols may paradoxically be smaller than the number of transmitters for systems with coarsely-quantized transceivers. We show how the training time can be strongly dependent on the number of receivers, and give an example where doubling the number of receivers reduces the training time by about 37 percent., Comment: presented in ITA in 2019 Feb

We analyze the channel capacity of a system with a large number of one-bit transceivers in a classical Rayleigh environment with perfect channel information at the receiver. With $M$ transmitters and $N=\alpha M$ receivers, we derive an expression of the capacity per transmitter $\mathcal{C}$, where $\mathcal{C}\leq\min(1,\alpha)$, as a function of $\alpha$ and signal-to-noise ratio (SNR) $\rho$, when $M\to\infty$. We show that our expression is a good approximation for small $M$, and provide simple approximations of $\mathcal{C}$ for various ranges of $\alpha$ and SNR $\rho$. We conclude that at high SNR, $\mathcal{C}$ reaches its upper limit of one only if the ratio $\alpha>1.24$. Expressions for determining when $\mathcal{C}$ "saturates" as a function of $\alpha$ and $\rho$ are given., Comment: 6 pages, to be published in IEEE WCNC 2018, Barcelona, Spain

Classical beamforming techniques rely on highly linear transmitters and receivers to allow phase-coherent combining at the transmitter and receiver. The transmitter uses beamforming to steer signal power towards the receiver, and the receiver uses beamforming to gather and coherently combine the signals from multiple receiver antennas. When the transmitters and receivers are instead constrained for power and cost reasons to be non-linear one-bit devices, the potential advantages and performance metrics associated with beamforming are not as well understood. We define beamforming at the transmitter as a codebook design problem to maximize the minimum distance between codewords. We define beamforming at the receiver as the maximum likelihood detector of the transmitted codeword. We show that beamforming with one-bit transceivers is a constellation design problem, and that we can come within a few dB SNR of the capacity attained by linear transceivers., Comment: 7 pages, presented in 2018 Information Theory and Applications Workshop

We present a tracking algorithm to maintain the communication link between a base station (BS) and a mobile station (MS) in a millimeter wave (mmWave) communication system, where antenna arrays are used for beamforming in both the BS and MS. Downlink transmission is considered, and the tracking is performed at the MS as it moves relative to the BS. Specifically, we consider the case that the MS rotates quickly due to hand movement. The algorithm estimates the angle of arrival (AoA) by using variations in the radiation pattern of the beam as a function of this angle. Numerical results show that the algorithm achieves accurate beam alignment when the MS rotates in a wide range of angular speeds. For example, the algorithm can support angular speeds up to 800 degrees per second when tracking updates are available every 10 ms., Comment: 6 pages, to be published in Proc. IEEE GLOBECOM 2016, Washington, D.C., USA

Analog beamforming with phased arrays is a promising technique for 5G wireless communication at millimeter wave frequencies. Using a discrete codebook consisting of multiple analog beams, each beam focuses on a certain range of angles of arrival or departure and corresponds to a set of fixed phase shifts across frequency due to practical hardware considerations. However, for sufficiently large bandwidth, the gain provided by the phased array is actually frequency dependent, which is an effect called beam squint, and this effect occurs even if the radiation pattern of the antenna elements is frequency independent. This paper examines the nature of beam squint for a uniform linear array (ULA) and analyzes its impact on codebook design as a function of the number of antennas and system bandwidth normalized by the carrier frequency. The criterion for codebook design is to guarantee that each beam's minimum gain for a range of angles and for all frequencies in the wideband system exceeds a target threshold, for example 3 dB below the array's maximum gain. Analysis and numerical examples suggest that a denser codebook is required to compensate for beam squint. For example, 54% more beams are needed compared to a codebook design that ignores beam squint for a ULA with 32 antennas operating at a carrier frequency of 73 GHz and bandwidth of 2.5 GHz. Furthermore, beam squint with this design criterion limits the bandwidth or the number of antennas of the array if the other one is fixed., Comment: 6 pages, to be published in Proc. IEEE GLOBECOM 2016, Washington, D.C., USA