Explore the work we do through the papers published by people on the Invenia Labs team.
https://www.invenia.ca/wp-content/uploads/Correlations-and-Clustering-in-Wholesale-Electricity-Markets-thumbnail.jpg
Correlations and Clustering in Wholesale Electricity Markets
We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the locational structure of the grid. We study various clustering methods and introduce a type of correlation function based on event synchronization for spiky time series, and another based on string correlations of location names provided by the markets. This allows us to reconstruct aspects of the locational structure of the grid.
https://www.invenia.ca/wp-content/uploads/Correlations-and-Clustering-in-Wholesale-Electricity-Markets.pdf
Tianyu Cui, Francesco Caravelli, Cozmin Ududec
https://www.invenia.ca/wp-content/uploads/edges.png
The mise en scène of memristive networks: effective memory, dynamics and learning
We discuss the properties of the dynamics of purely memristive circuits. In particular, we show that the amount of memory in a memristive circuit is constrained by the conservation laws of the circuit, and that the dynamics preserves the symmetry by means of a projection on this subspace. We obtain these results both for current and voltage controlled linear memristors. Moreover, we discuss the symmetries of the dynamics which are due to the circuit cohomology, and study the weak and strong non-linear regimes.
https://arxiv.org/abs/1611.02104
Francesco Caravelli
https://www.invenia.ca/wp-content/uploads/memristors.png
The complex dynamics of memristive circuits: analytical results and universal slow relaxation
Networks with memristive elements (resistors with memory) are being explored for a variety of applications ranging from unconventional computing to models of the brain. However, analytical results that highlight the role of the graph connectivity on the memory dynamics are still a few, thus limiting our understanding of these important dynamical systems. In this paper, we derive an exact matrix equation of motion that takes into account all the network constraints of a purely memristive circuit, and we employ it to derive analytical results regarding its relaxation properties. We are able to describe the memory evolution in terms of orthogonal projection operators onto the subspace of fundamental loop space of the underlying circuit. This orthogonal projection explicitly reveals the coupling between the spatial and temporal sectors of the memristive circuits and compactly describes the circuit topology. For the case of disordered graphs, we are able to explain the emergence of a power law relaxation as a superposition of exponential relaxation times with a broad range of scales using random matrices. This power law is also {\it universal}, namely independent of the topology of the underlying graph but dependent only on the density of loops. In the case of circuits subject to alternating voltage instead, we are able to obtain an approximate solution of the dynamics, which is tested against a specific network topology. These result suggest a much richer dynamics of memristive networks than previously considered.
https://arxiv.org/abs/1608.08651
Francesco Caravelli, Fabio Lorenzo Traversa, Massimiliano Di Ventra
https://www.invenia.ca/wp-content/uploads/2016/08/stat.png
Emergence of strongly connected giant components in continuum disk-spin percolation
We propose a continuum model of percolation in two dimensions for overlapping disks with spin. In this model the existence of bonds is determined by the distance between the centers of the disks, and by the scalar product of the (randomly) directed spin with the direction of the vector connecting the centers of neighboring disks. The direction of a single spin is controlled by a "temperature", representing the amount of polarization of the spins in the direction of an external field. Our model is inspired by biological neuronal networks and aims to characterize their topological properties when axonal guidance plays a major role. We numerically study the phase diagram of the model observing the emergence of a giant strongly connected component, representing the portion of neurons that are causally connected. We provide strong evidence that the critical exponents depend on the temperature.
http://arxiv.org/abs/1511.06512
Francesco Caravelli, Marco Bardoscia, Fabio Caccioli
https://www.invenia.ca/wp-content/uploads/2016/08/memr.png
Trajectories entropy in dynamical graphs with memory
In this paper we investigate the application of non-local graph entropy to evolving and dynamical graphs. The measure is based upon the notion of Markov diffusion on a graph, and relies on the entropy applied to trajectories originating at a specific node. In particular, we study the model of reinforcement-decay graph dynamics, which leads to scale free graphs. We find that the node entropy characterizes the structure of the network in the two parameter phase-space describing the dynamical evolution of the weighted graph. We then apply an adapted version of the entropy measure to purely memristive circuits. We provide evidence that meanwhile in the case of DC voltage the entropy based on the forward probability is enough to characterize the graph properties, in the case of AC voltage generators one needs to consider both forward and backward based transition probabilities. We provide also evidence that the entropy highlights the self-organizing properties of memristive circuits, which re-organizes itself to satisfy the symmetries of the underlying graph.
http://arxiv.org/abs/1511.07135
Francesco Caravelli
https://www.invenia.ca/wp-content/uploads/2016/08/tutte.png
On an ordering dependent generalization of Tutte polynomial
A generalization of Tutte polynomial involved in the evaluation of the moments of the integrated geometric Brownian in the Ito formalism is discussed. The new combinatorial invariant depends on the order in which the sequence of contraction-deletions have been performed on the graph. Thus, this work provides a motivation for studying an order-dependent Tutte polynomial in the context of stochastic differential equations. We show that in the limit of the control parameters encoding the ordering going to zero, the multivariate Tutte-Fortuin-Kasteleyn polynomial is recovered.
http://arxiv.org/abs/1512.02278
Joseph Ben Geloun, Francesco Caravelli
https://www.invenia.ca/wp-content/uploads/2016/08/conformity-driven.png
Conformity Driven Agents Support Ordered Phases in the Spatial Public Goods Game
We investigate the spatial Public Goods Game in the presence of conformity-driven agents on a bi-dimensional lattice with periodic boundary conditions. The present setting usually considers fitness-driven agents, i.e., agents that tend to imitate the strategy of their fittest neighbors. Here, fitness is a general property usually adopted to quantify the extent to which individuals are able to succeed, or at least to survive, in a competitive environment. However, when social systems are considered, the evolution of a population might be affected also by social behaviors as conformity, stubbornness, altruism, and selfishness. Although the term evolution can assume different meanings depending on the considered domain, here it corresponds to the set of processes that lead a system towards an equilibrium or a steady-state. In doing so, we use two types of strategy update rules: fitness-driven and conformity-driven. We map fitness to the agents' payoff so that richer agents are those most imitated by fitness-driven agents, while conformity-driven agents tend to imitate the strategy assumed by the majority of their neighbors. Numerical simulations aim to identify critical phenomena, on varying the amount of the relative density of conformity-driven agents in the population, and to study the nature of related equilibria. Remarkably, we find that conformity fosters ordered phases and may also lead to bistable behaviors.
http://arxiv.org/abs/1602.01808
Marco Alberto Javarone, Alberto Antonioni, Francesco Caravelli
https://www.invenia.ca/wp-content/uploads/Optimal-growth-paper-logo.png
Optimal growth trajectories with finite carrying capacity
We investigate the spatial Public Goods Game in the presence of conformity-driven agents on a bi-dimensional lattice with periodic boundary conditions. The present setting usually considers fitness-driven agents, i.e., agents that tend to imitate the strategy of their fittest neighbors. Here, fitness is a general property usually adopted to quantify the extent to which individuals are able to succeed, or at least to survive, in a competitive environment. However, when social systems are considered, the evolution of a population might be affected also by social behaviors as conformity, stubbornness, altruism, and selfishness. Although the term evolution can assume different meanings depending on the considered domain, here it corresponds to the set of processes that lead a system towards an equilibrium or a steady-state. In doing so, we use two types of strategy update rules: fitness-driven and conformity-driven. We map fitness to the agents' payoff so that richer agents are those most imitated by fitness-driven agents, while conformity-driven agents tend to imitate the strategy assumed by the majority of their neighbors. Numerical simulations aim to identify critical phenomena, on varying the amount of the relative density of conformity-driven agents in the population, and to study the nature of related equilibria. Remarkably, we find that conformity fosters ordered phases and may also lead to bistable behaviors.
http://arxiv.org/abs/1602.01808
Marco Alberto Javarone, Alberto Antonioni, Francesco Caravelli
https://www.invenia.ca/wp-content/uploads/2016/06/Neurogensis-Paradoxically.png
Neurogenesis Paradoxically Decreases Both Pattern Separation and Memory Interference
The hippocampus has been the focus of memory research for decades. While the functional role of this structure is not fully understood, it is widely recognized as being vital for rapid yet accurate encoding and retrieval of associative memories. Since the discovery of adult hippocampal neurogenesis in the dentate gyrus by Altman and Das in the 1960's, many theories and models have been put forward to explain the functional role it plays in learning and memory. These models postulate different ways in which new neurons are introduced into the dentate gyrus and their functional importance for learning and memory. Few if any previous models have incorporated the unique properties of young adult-born dentate granule cells and the developmental trajectory. In this paper, we propose a novel computational model of the dentate gyrus that incorporates the developmental trajectory of the adult-born dentate granule cells, including changes in synaptic plasticity, connectivity, excitability and lateral inhibition, using a modified version of the Restricted Boltzmann machine. Our results show superior performance on memory reconstruction tasks for both recent and distally learned items, when the unique characteristics of young dentate granule cells are taken into account. Even though the hyperexcitability of the young neurons generates more overlapping neural codes, reducing pattern separation, the unique properties of the young neurons nonetheless contribute to reducing retroactive and proactive interference, at both short and long time scales. The sparse connectivity is particularly important for generating distinct memory traces for highly overlapping patterns that are learned within the same context.
http://journal.frontiersin.org/article/10.3389/fnsys.2015.00136/full
Becker, Finnegan
https://www.invenia.ca/wp-content/uploads/2016/06/Correlation-Structure.png
Correlation Structure of Spiky Financial Data: The Case of Congestion in Day-Ahead Energy Markets
I study the correlation structure and argue that these should be ltered. I propose the use of di erent correlation measures other than Pearson, in particular a modi cation of Event Synchronization adapted to negative values or a ltered correlation matrix.
https://www.invenia.ca/wp-content/uploads/Internal2_Caravelli.pdf
Caravelli
https://www.invenia.ca/wp-content/uploads/2016/06/integrated-expontential.png
On Moments of the Integrated Exponential Brownian Motion
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito’s Wiener process. We then apply the obtained exact formulas to computing averages of the solution of the logistic stochastic differential equation via a series expansion, and compare the results to the solution obtained via Monte Carlo.
http://arxiv.org/abs/1509.05980
Caravelli, Mansur, Severini, Sindoni
https://www.invenia.ca/wp-content/uploads/2016/06/Bounds-on-Transient.png
Bounds on Transient Instability For Complex Ecosystems
Stability is a desirable property of complex ecosystems. If a community of interacting species is at a stable equilibrium point then it is able to withstand small perturbations without any adverse effect. In ecology, the Jacobian matrix evalufated at an equilibrium point is known as the community matrix, which represents the population dynamics of interacting species. The system’s asymptotic short- and long-term behaviour can be determined from eigenvalues derived from the community matrix. Here we use results from the theory of pseudospectra to describe intermediate, transient dynamics. We show that the transition from stable to unstable dynamics includes a region of transient instability, where the effect of a small perturbation is amplified before ultimately decaying. The shift from stability to transient instability depends on the magnitude of a perturbation, and we show how to determine lower and upper bounds to the maximum amplitude of perturbations. Of five different types of community matrix, we find that amplification is least severe with predatorprey interactions. This analysis is relevant to other systems whose dynamics can be expressed in terms of the Jacobian matrix. Through understanding transient instability, we can learn under what conditions multiple perturbations—multiple external shocks—will irrecoverably break stability.
http://arxiv.org/pdf/1506.06971.pdf
Caravelli, Staniczenko
https://www.invenia.ca/wp-content/uploads/2016/06/Geometric-Phases.png
Geometric Phases and Cyclic Isotropic Cosmologies
In the present paper we study the evolution of the modes of a scalar field in a cyclic cosmology. In order to keep the discussion clear, we study the features of a scalar field in a toy model, a Friedman-Robertson-Walker universe with a periodic scale factor, in which the universe expands, contracts and bounces infinite times, in the approximation in which the dynamic features of this universe are driven by some external factor, without the backreaction of the scalar field under study. In particular, we show that particle production exhibits features of the cyclic cosmology. Also, by studying the Berry phase of the scalar field, we show that contrarily to what is commonly believed, the scalar field carries information from one bounce to another in the form of a global phase which occurs to be generically non-zero.
http://arxiv.org/pdf/1411.7553v4.pdf
Banchi, Caravelli
https://www.invenia.ca/wp-content/uploads/2016/06/multi1.png
Multi-scaling of wholesale electricity prices
We empirically analyze the most volatile component of the electricity price time series from two North-American wholesale electricity markets. We show that these time series exhibit fluctuations which are not described by a Brownian Motion, as they show multi-scaling, high Hurst exponents and sharp price movements. We use the generalized Hurst exponent (GHE, H(q)) to show that although these time-series have strong cyclical components, the fluctuations exhibit persistent behaviour, i.e., H(q)>0.5. We investigate the effectiveness of the GHE as a predictive tool in a simple linear forecasting model, and study the forecast error as a function of H(q), with q=1 and q=2. Our results suggest that the GHE can be used as prediction tool for these time series when the Hurst exponent is dynamically evaluated on rolling time windows of size ≈50−100 hours. These results are also compared to the case in which the cyclical components have been subtracted from the time series, showing the importance of cyclicality in the prediction power of the Hurst exponent.
http://arxiv.org/abs/1507.06219
Ashtari, Aste, Caravelli, Di Matteo, Requeima, Ududec
https://www.invenia.ca/wp-content/uploads/2016/05/gcomp1.png
Ranking nodes according to their path-complexity
Thermalization is one of the most important phenomena in statistical physics. Often, the transition probabilities between different states in the phase space is or can be approximated by constants. In this case, the system can be described by Markovian transition kernels, and when the phase space is discrete, by Markov chains. In this paper, we introduce a macroscopic entropy on the states of paths of length k and, studying the recursion relation, obtain a fixed point entropy. This analysis leads to a centrality approach to Markov chains entropy.
http://arxiv.org/pdf/1410.2638v2.pdf
Caravelli
https://www.invenia.ca/wp-content/uploads/2016/05/memr1.png
Scale-free networks as an epiphenomenon of memory
Many realistic networks are scale-free, with small characteristic path lengths, high clustering, and power law in their degree distribution. They can be obtained by dynamical networks in which a preferential attachment process takes place. However, this mechanism is nonlocal, in the sense that it requires knowledge of the whole graph in order for the graph to be updated. Instead, if preferential attachment and realistic networks occur in physical systems, these features need to emerge from a local model. In this paper, we propose a local model and show that a possible ingredient (which is often underrated) for obtaining scale-free networks with local rules is memory. Such a model can be realised in solid-state circuits, using non-linear passive elements with memory such as memristors, and thus can be tested experimentally.
http://arxiv.org/pdf/1312.2289.pdf
Caravelli, Di Ventra, Hamma
