Search results for: Donatello Materassi
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In this article we present a method to reconstruct the interconnectedness of dynamically related stochastic processes, where the interactions are bi-directional and the underlying topology is a tree. Our approach is based on multivariate Wiener filtering which recovers spurious edges apart from the true edges in the topology reconstruction. The main contribution of this work is to show that all spurious...
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The accurate computation of statistical quantities from sampled data is of paramount importance in the analysis of economic and financial time series. The Epps effect is an empirically observed phenomenon where the sample correlation between the logarithmic returns of two stock prices decreases as the sampling frequency of data increases. The full explanation of this phenomenon is currently an open...
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This paper addresses the issue of determining the causal link structure of a network of dynamical systems from time series. Such problem is relevant in contexts where time series data is abundant but causal relationships are unknown. Complex systems, where interaction can rarely be derived from first principles constitute a main target of this effort. Applications abound in biology, environmental...
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2016 IEEE 55th Conference on Decision and Control (CDC) > 3356 - 3362
Intracellular transport of cargoes inside eukaryotic cells is primarily carried out by bio-mechanical machines called molecular motors. These motors facilitate the directed transfer of intracellular cargo to desired locations inside the cell. In vivo modes of transport often involve multiple agents, possibly of different types, teaming up to carry a common cargo. We analyze the stochastic dynamics...
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2016 IEEE 55th Conference on Decision and Control (CDC) > 4618 - 4623
In many application scenarios the underlying structure of a distributed system is described by using a graph representing the influence among its individual components. Indeed, given an unknown complex system, deriving information about its connectivity structure is often the first step to understand its fundamental mechanisms. There are several techniques in the scientific literature to infer influence...
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The paper tackles the problem of identifying an individual transfer function in a network of linear dynamical systems in the presence of loops under the assumptions that (i) only a subset of the nodes is observable, and (ii) data are being passively recorded (i.e. it is not possible to intervene on any part of the system by actively injecting an input). Such a scenario is often encountered in the...
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The paper deals with the problem of unveiling the link structure of a network of linear dynamical systems. A technique is provided guaranteeing an exact detection of the links of a network of dynamical systems with no undirected cycles (Linear Dynamic Polytrees). In particular, the presence of unobserved (latent) nodes is taken into account. Knowledge on the specific number of hidden processes is...
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The talk tackles the problem of reconstructing the tree-like topological structure of a network of linear dynamical systems. A distance function is defined in order to evaluate the “closeness” of two processes and some useful mathematical properties are derived. Theoretical results to guarantee the correctness of the identification procedure for networked linear systems characterized by a tree topology...
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The NASDAQ is an electronic stock market which is run entirely by high-speed computers. With this as context, the main objectives of this tutorial are as follows: First Objective: To demonstrate that NASDAQ order book dynamics provide a rich source of many new research problems of a control-theoretic nature. Second Objective: To provide context and motivation driving new order book research in the...
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There is extensive literature on the description of joint probability distributions via graphs, where each node represents a random variable and the edges describe a form of coupling among the variables. The connections in these graphical models do not necessarily represent forms of input/output relations among the variables involved. Instead, they typically represent a convenient factorization of...
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There are striking similarities between network of dynamic systems and results developed in the area of machine learning for Bayesian Networks. Given these similarities, a fundamental goal is to formulate the problem of reconstructing a network of stochastic processes on the ground of general theoretical foundations. To this aim, we will rely on the mathematical framework provided by the theory of...
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The concept of d-Separation is a key tool to analyze stochastic models defined by probability distributions of random variables that admit a factorization described by a Directed Acyclic Graph. However, in the area of dynamical systems, and especially control theory, it is common to find network models involving stochastic processes that influence each other according to a directed network where feedback...
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The article tackles the problem of inferring information about the unknown structure of a network of dynamic systems under the assumption that the systems are connected according to a tree topology. In particular, the article introduces methodologies to address the presence of hidden (unmeasured) nodes in a scenario where only non-invasive observations are available. By non-invasive observations,...
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The article presents methodologies for the prediction of the aggregate consumption of a large number of heterogeneous energy users with deferrable loads. It is assumed that the users respond to an identical coordinating signal (e.g. a price) broadcast by the system operator. The main contributions of the article are two: (i) the presence of heterogeneous users is explicitely addressed by considering...
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Understanding Complex Systems > Modelling, Estimation and Control of Networked Complex Systems > System Science > 161-175
This contribution deals with the problem of finding models and dependencies within a large set of time series or processes. Nothing is assumed about their mutual influences and connections. The problem can not be tackled efficiently, starting from a classical system identification approach. Indeed, the general optimal solution would provide a large number of models, since it would consider every possible...
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Many complex systems can be described by agents that can be modeled as a network of dynamically interacting cyclo-stationary processes. Such systems arise in areas like power systems and climate sciences. For many of these systems a key objective is to understand mutual influences between various subsystems without altering the natural behavior of the system. Such an objective translates to unveiling...
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2015 54th IEEE Conference on Decision and Control (CDC) > 1563 - 1568
The paper tackles the problem of identifying an individual transfer function in a network of linear dynamical systems in the presence of loops under the assumptions that (i) only a subset of the nodes is observable, and (ii) data are being passively recorded (i.e. it is not possible to intervene on any part of the system by actively injecting an input). Such a scenario is often encountered in the...
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IEEE Transactions on Smart Grid > 2015 > 6 > 4 > 1884 - 1892
This paper analyzes the response of an individual consumer with a flexible demand for electricity to exogenous and stochastic electricity prices. The contributions of this paper are twofold. First, we propose a comprehensive model for which the optimal policy can be explicitly computed. The proposed consumer model features a time varying bound on power consumption, the presence of a nondeferrable...
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Lur'e systems are the feedback interconnection of a linear time-invariant system with a memoryless static operator. In this paper, we derive an algorithmic method to incorporate the information given by additional Lyapunov functions in order to enlarge the estimate of the domain of attraction of a Lur'e system. The methodology, limited for simplicity to quadratic Lyapunov functions, relies on the...
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The paper analyzes the optimal response of an individual consumer, with a deferrable demand for electricity, to exogenous stochastic prices. The main goal of the paper is (i) to introduce a model where many realistic features are taken into account (such as the presence of bounds on power consumption, the possibility of curtailment, and time correlation in the price process) (ii) determine an explicit...
