ARC Centre of Excellence for Mathematical and Statistical Frontiers of Big Data, Big Models, New Insights. In today's world, massive amounts of data in a variety of forms are collected daily from a multitude of sources. Many of the resulting data sets have the potential to make vital contributions to society, business and government, as well as impact on international developments, but are so large or complex that they are difficult to process and analyse using traditional tools. The aim of this ....ARC Centre of Excellence for Mathematical and Statistical Frontiers of Big Data, Big Models, New Insights. In today's world, massive amounts of data in a variety of forms are collected daily from a multitude of sources. Many of the resulting data sets have the potential to make vital contributions to society, business and government, as well as impact on international developments, but are so large or complex that they are difficult to process and analyse using traditional tools. The aim of this Centre is to create innovative mathematical and statistical models that can uncover the knowledge concealed within the size and complexity of these big data sets, with a focus on using the models to deliver insight into problems vital to the Centre's Collaborative Domains: Healthy People, Sustainable Environments and Prosperous Societies.Read moreRead less
Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and ....Quantitative and qualitative aspects of Asian and Australian options. While Asian options are highly popular and traded over the counter all over the world, they are traded on an institutional basis in only very few countries. Australia is one of them. Variable purchase options (VPO's), where the payoff is determined by the quotient of a stock and its average price, are traded on the Australian stock exchange since 1992. They build an important component of the Australian derivatives market and are particularly interesting for foreign investors, who are not able to find this sort of financial product on their domestic markets. A better understanding of these products is necessary to maximize the benefits for Australia's financial markets and economy. Read moreRead less
Australian Laureate Fellowships - Grant ID: FL130100039
Funder
Australian Research Council
Funding Amount
$2,750,000.00
Summary
New stochastic models for Science, Economics, Social Science and Engineering. Stochastic, or random, phenomena abound in society. This project will combine advancement of the theory of stochastic models at a deep level with application to problems arising in science, economics, social science and engineering, and outreach to educate members of the public about random processes of significance in their lives.
WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling ....WaterLog - A mathematical model to implement recommendations of The Wentworth Group. In 2003, The Wentworth Group of Concerned Scientists released their 'Blueprint for a national water plan' with the primary objective to 'protect river health and the rights of all Australians to clean usable water'. Currently, there are significant water restrictions in all the Australian mainland capital cities. In January 2007, the Prime Minister of Australia, announced a bold plan to rescue the Murray-Darling Basin. The plan incorporates political management changes, and an investment of $10Bn. Now is the time to develop improved techniques for management of water storage systems. This project will develop the fundamental mathematical principles required for this improved management.Read moreRead less
Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunicati ....Problems of identification and inference for 'non-standard' models in complex systems with special reference to finance and teletraffic. The project is concerned with 'non-standard' models needed to deal with complex systems, such as those exhibiting scaling and fractal properties. There is a focus on methods for dealing with heavy tailed distributions and long range dependent observations, for which most standard statistical methods break down, and on applications in finance and telecommunications. An important part of the project concerns model validation for Heyde's fractal activity time geometric Brownian motion model, a candidate minimal description risky asset model to replace the geometric Brownian motion paradigm.Read moreRead less
Congestion recovery and optimisation of patient flows. Australian public hospitals often experience congestion due to growing demand and limited resources, resulting in disruptions in service delivery and risks in quality of care. This project will apply advanced techniques and methodologies from mathematical sciences and computer modelling to alleviate this important healthcare delivery problem.
Large Markov decision processes and combinatorial optimisation. Markov decision processes continue to gain in popularity for modelling a wide range of applications ranging from analysis of supply chains and queueing networks to cognitive science and control of autonomous vehicles. Nonetheless, they tend to become numerically intractable as the size of the model grows fast. Recent works use machine learning techniques to overcome this crucial issue, but with no convergence guarantee. This project ....Large Markov decision processes and combinatorial optimisation. Markov decision processes continue to gain in popularity for modelling a wide range of applications ranging from analysis of supply chains and queueing networks to cognitive science and control of autonomous vehicles. Nonetheless, they tend to become numerically intractable as the size of the model grows fast. Recent works use machine learning techniques to overcome this crucial issue, but with no convergence guarantee. This project aims to provide theoretically sound frameworks for solving large Markov decision processes, and exploit them to solve important combinatorial optimisation problems. This timely project can promote Australia's position in the development of such novel frameworks for many scientific and industrial applications.Read moreRead less
Mechanism design for next generation random access wireless protocols. Australia is well placed to take the lead in replacing carbon-intensive travel by teleconferencing, because of its isolation and geographic dispersion. Because these large distances introduce inevitable delays, it is important that the network itself add as little delay as possible for such real-time services. Our novel and practical resource allocation scheme will enable Australians (including Australian industries and rural ....Mechanism design for next generation random access wireless protocols. Australia is well placed to take the lead in replacing carbon-intensive travel by teleconferencing, because of its isolation and geographic dispersion. Because these large distances introduce inevitable delays, it is important that the network itself add as little delay as possible for such real-time services. Our novel and practical resource allocation scheme will enable Australians (including Australian industries and rural communities) to receive better service at lower cost. This project will put Australia on the international stage as a leading contributor to wireless Internet technology. We will provide training for PhD students and postdoctoral fellows in this important area.Read moreRead less
Doubly Stochastic Matrices & The Hamiltonian Cycle Problem. The classical hard problem of determining whether a given graph possesses a Hamiltonian cycle contains the essential difficulty of the famous 'Travelling Salesman Problem'. A characterisation of this difficulty in terms of variability of returns (to the initial state) in a controlled stochastic process will be a significant conceptual advance with repercussions in a number of fields including optimisation and theoretical computer scien ....Doubly Stochastic Matrices & The Hamiltonian Cycle Problem. The classical hard problem of determining whether a given graph possesses a Hamiltonian cycle contains the essential difficulty of the famous 'Travelling Salesman Problem'. A characterisation of this difficulty in terms of variability of returns (to the initial state) in a controlled stochastic process will be a significant conceptual advance with repercussions in a number of fields including optimisation and theoretical computer science. Algorithmic advances exploiting such a characterisation will significantly contribute to existing technologies for solving problems in applications ranging from logistics to cryptography. Since TSP describes certain efficient ways of routing its applicability to information networks is clear.Read moreRead less
Time consistency, risk-mitigation and partially observable systems. This project aims to find optimal decision rules that mitigate risk in a time consistent manner for partially observable systems. Many problems in conservation management and engineering systems are dependent on random environments and entail risk of failure. The challenge of consistently minimising such a risk while achieving satisfactory and sustainable resource consumption is considerable. This project aims to develop analyti ....Time consistency, risk-mitigation and partially observable systems. This project aims to find optimal decision rules that mitigate risk in a time consistent manner for partially observable systems. Many problems in conservation management and engineering systems are dependent on random environments and entail risk of failure. The challenge of consistently minimising such a risk while achieving satisfactory and sustainable resource consumption is considerable. This project aims to develop analytical and numerical methods for optimal control in such scenarios. These methods will have application to fishery management, communication networks, power systems and social resource allocation scenarios.Read moreRead less