SUMMARY The goal of this project is to rapidly construct an order‐by‐order level snapshot of financial markets with nanosecond resolution time stamps. We are particularly interested in understanding the impact of high‐frequency traders on the security, stability, and fairness of these markets. In this paper, we describe our computational approach, the optimizations that were applied to improve the performance of the software by a factor of more than 125×, and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources. Copyright © 2014 John Wiley & Sons, Ltd.

This paper describes a studentized dynamical system (SDS) for robust target tracking using a subspace representation. Dynamical systems (DS) provide a powerful framework for the probabilistic modeling of temporal sequences. Visual tracking problems are often cast as a sequential inference problem within the DS framework and a compact way to model the observation distributions (i.e., object appearances) is through probabilistic principal component analysis (PPCA). PPCA is a classic Gaussian based subspace representation method and a popular tool for appearance modeling. Although Gaussian density has theoretically nice properties, resulting in models that are always tractable, they are also severely limited in practical settings. One of the central issues in the use of PPCA for target appearance modeling is that it is very sensitive to outliers. The Gaussian density has a very light tail, while real world data with outliers exhibit heavy tails. Recently, more heavy-tailed distributions (e.g., Student's t-distribution) have been introduced to increase the robustness of the original PPCA. We propose to augment the traditional target tracking DS by adding a set of auxiliary latent variables to adjust the shape of the observation distribution. We show that by carefully choosing the probability density of these auxiliary latent variables, a more robust observation distribution can be obtained with tails heavier than Gaussian. Numerical experiments verify that the proposed SDS has a better capability to handle considerable amount of outlier noise and an improved tracking performance over DS with a Gaussian based observation model.

In this paper, an alternative efficient energy functional is proposed for estimating optical flow. The problem of optical flow estimation is posed as one of solving for the minimum configurations of its two components in an L1 total variation framework augmented with a p-harmonic energy functional. A novel smooth term based on a p-harmonic map energy is added as a regularization constraint in the optical flow computation. The p-harmonic smooth term deals with the regularization of the angle of directional data, while preserving the magnitude. The proposed algorithm is based on separating the optical flow vector into its magnitude and angle, and then processing each one of these components iteratively, in a closed-loop manner. Experiments show that the proposed algorithm outperforms a recently published, top performing L1 total variation method, which shows the capability of the new regularization term in improving the optical flow estimation performance.

This paper presents a new general framework for contour tracking based on the synergy of two powerful segmentation tools, namely, spatial temporal conditional random fields (CRFs) and geodesic active contours (GACs). The contours of targets are modeled using a level set representation. The evolution of the level sets toward the target contours is formulated as one of the joint region-based (CRF) and boundary-based (GAC) segmentations under a unified Bayesian framework. A variational inference technique is used to solve this otherwise intractable inference problem, leading to approximate MAP solutions of both the new 3D spatial temporal CRF and the GAC model. The tracking result of the previous frame is used to initialize the curve in the current frame. Typical contour tracking problems are considered and experimental results are given to illustrate the robustness of the method against noise and its accurate performance in moving objects boundary localization.

In this paper, we describe a new method for restoring digitized vintage video with film wear artifacts. Such artifacts result in partially or completely missing information. To maximize use of observed data, we cast the problem as that of recovering mattes of artifacts. More specifically, we extract the distributions of artifact color and its fractional (alpha) contribution to the frame. To account for spatial color discontinuity and pixel occlusion or disocclusion, we introduce the alpha-modulated bilateral filter. The problem is solved as a 3-D spatio-temporal conditional random field (CRF) with artifact color and (discretized) alpha as states. Inference is done through belief propagation. Results verify the effectiveness of our method. Furthermore, we can produce a synthetically generated vintage footage using extracted artifact information from actual vintage video.

Principal component analysis (PCA) is a technique that is widely used for applications such as dimensionality reduction, image compression, feature extraction and data visualization. One of the key issues in the use of PCA for modelling is that it is very sensitive to outliers since its formulation is based on Gaussian density model. Lately, more heavy-tailed distribution (i.e., Student's t-distribution) is introduced to increase the robustness of traditional PCA. But the robust version of PCA is expressed as the maximum likelihood solution of a probabilistic latent variable model. This reformulation raises the question of how to determine the optimal number of principal components to be retained. In this paper, we develop a Bayesian model selection approach to estimate the true dimensionality of the data. The proposed algorithm is based on a new Bayesian treatment of robust Student's t-distribution PCA. A simple Expectation-Maximization (EM) solver is introduced to find approximate solutions for the model. Experiments show that the proposed model achieves simultaneous optimal dimensionality selection an.d accurate principal components recovery.

Principal component analysis (PCA) is a technique that is widely used for applications such as dimensionality reduction, image compression, feature extraction and data visualization. One of the key issues in the use of PCA for modelling is that it is very sensitive to outliers since its formulation is based on Gaussian density model. Lately, more heavy-tailed distribution (i.e., Student’s t-distribution) is introduced to increase the robustness of traditional PCA. But the robust version of PCA is expressed as the maximum likelihood solution of a probabilistic latent variable model. This reformulation raises the question of how to determine the optimal number of principal components to be retained. In this paper, we develop a Bayesian model selection approach to estimate the true dimensionality of the data. The proposed algorithm is based on a new Bayesian treatment of robust Student’s t-distribution PCA. A simple Expectation-Maximization (EM) solver is introduced to find approximate solutions for the model. Experiments show that the proposed model achieves simultaneous optimal dimensionality selection and accurate principal components recovery.

Augmenting electro-optical (EO) based target tracking systems with infrared (IR) modality has been shown to be effective in increasing the accuracy rate of the tracking system. A key issue in designing such a multimodal tracking system is how to combine information observed from different sensor types in a systematic way to obtain desirable performance. In this paper, we present an investigation into integrating EO and IR sensors within hidden Markov model (HMM) based frameworks. We propose to use a coupled hidden Markov model (CHMM) to improve upon the existing fusion schemes. Another contribution is that we propose to use a robustt-distribution based subspace representation in the CHMM to model appearance changes of the target. Numerical experiments demonstrate that the proposed CHMM tracking system has improved performance over other integration schemes for situations where the target object is corrupted by noise or occlusion.

This paper proposes an image registration method. Edges are detected from images and partitioned into segments as matching primitives. Then, corners on the edges are detected to guide registration. A similarity metric is proposed based on the number of pairs of matching segments. Corner mappings are sequentially tried along a segment, from which a transformation is obtained. The corner mappings are evaluated by the similarity metric under their resulting transformation. By this means, corner mappings are established by utilizing whole images. Since the sensitivity of transformation parameters to the accuracy of corner mappings, as many corner mappings as possible are used. Experimental results show that the proposed method is robust, especially when there is no integral corresponding edges between two images.

This paper describes a new, robustified Hidden Markov Model for target tracking using a subspace representation. The Hidden Markov Model (HMM) provides a powerful framework for the probabilistic modelling of observations and states. Visual tracking problems are often cast as an inference problem within the HMM framework. Probabilistic Principal Component Analysis (PPCA), a classic subspace representation method, is a popular tool for appearance modelling because it provides a compact representation for high-dimensional data. Previous subspace based tracking algorithms assume the image observations were generated from a Gaussian distribution parameterized by principal components. One drawback of using Gaussian density model is that atypical observations cannot be modelled well. Hence, they are very sensitive to outliers. To address this problem, we propose to augment the HMM by adding a set of latent variables {wi}ti=1 to adjust the shape of the observation distribution. By carefully choosing the distribution of {w i}ti=1, we obtain a more robust observation distribution with heavier tails than a Gaussian. Numerical experiments demonstrate the effectiveness of this new framework in cases where the target objects are corrupted by noise or occlusion.