We determine an opportune time to rebalance a two-asset portfolio set up using the single period Markowitz framework. This is achieved by studying and comparing the nature of portfolio evolution when two extreme rebalancing strategies are used, viz. passive or buy-and-hold and active or continuous rebalancing. We compute the rebalance time as the period during which the passive strategy generates higher expected investor utility, the Sharpe ratio. We show that the rebalance time exists only for a certain class of assets driven by their correlation coefficient.

Portfolio rebalancing decisions are crucial to today's portfolio managers especially in high frequency trading environment. These decisions must be made fast in dynamic market conditions. We analyze the efficiency and scalability of a proposed discrete-time rebalancing algorithm suitable for log-optimal investors. These investors seek to maximize the expected value of log of portfolio growth in the long run. We incrementally utilize various computational and optimization techniques to develop a highly efficient version of the algorithm.

Directed Acyclic Graphs (DAGs), rooted at popular/default destinations, have emerged as a preferred mechanism to provide IPv6 routing functionality in large scale low power and lossy networks, that include wireless sensor networks and those based on power line communication. A DAG maintains its acyclic nature by requiring that each DAG node must have a higher 'rank' than any of its DAG parents. While a node may decrease its DAG rank safely, increasing its DAG rank to add a new parent may result in a routing loop if the new parent is also a descendant in the DAG. In this paper, we first study via simulations the time required by the network to converge to a stable, loop-free state following a rank increase operation and the number of routing messages generated (the network 'churn') during this time. Then, we describe the precautionary measures that can be used to avoid routing loops and evaluate via simulations how these measures affect the time and churn involved in reaching a stable state following a rank increase operation.

OSPF is a popular interior gateway routing protocol. Commercial OSPF routers limit their processing load by using a hold time between successive routing table calculations as new link state advertisements (LSAs) arrive following a topology change. A large hold time value limits the frequency of routing table calculations but also causes large delays in convergence to the topology change. Hence, commercial routers now use an exponential back off scheme, where the hold time is initially set to a small value that is expected to rapidly increase, and hence limit the frequency of routing table calculations, in face of continuous LSA arrivals. In this paper, we analyze the ability of different hold time schemes to limit the frequency of routing table calculations under continuous LSA arrivals starting with a small value for the hold time. This analysis is performed using Markov regenerative process based stochastic models as well as simulations using an extensively modified OSPFD simulator.

IEEE 802.15.4, a MAC/PHY protocol for low power and low data rate wireless networks, is emerging as the popular choice for various monitoring and control applications. Depending on the application, the traffic load on an IEEE 802.15.4 network may vary over a wide range. Hence, proper configuration is important for successful operation of the protocol under given traffic load conditions. In this paper, we examine the impact of different configuration parameters: namely, macMinBE, macMaxBE and macMaxCSMABackoffs, on the performance of beaconless IEEE 802.15.4 networks. The performance is measured in terms of the packet loss probability and the packet latency as the traffic load on the network increases. Based on this analysis, we suggest IEEE 802.15.4 configuration that results in a good tradeoff between the packet loss probability and the packet latency for a given traffic load range. This analysis is based on ns2 simulations.

IEEE 802.15.4, a MAC/PHY protocol for low power and low data rate wireless networks, is emerging as the popular choice for various monitoring and control applications. Depending on the application, the traffic load on an IEEE 802.15.4 network may vary over a wide range. The performance of the protocol, measured in terms of the packet loss probability and the packet latency, depends upon the prevailing traffic load as well as the configuration of IEEE 802.15.4 MAC parameters. Static configuration of IEEE 802.15.4 MAC parameters, good for a particular traffic load range, may result in bad performance when the traffic load changes beyond that range. In this paper, we present a scheme that can be used by an IEEE 802.15.4 node to dynamically adjust its MAC configuration based on the observed loss rate and latency suffered by recent packets generated by the node. The performance benefits of the proposed scheme are illustrated via NS2 simulations.

Fast convergence to topology changes is now a key requirement in routing infrastructures while reducing the routing protocol’s processing overhead continues to be as important as before. In this paper, we examine the problem of scheduling routing table updates in link state routing protocols. Commercial routers typically use a hold time based scheme to limit the number of routing table updates as new LSAs arrive at the router. The hold time schemes limit the number of routing table updates at the expense of increased delay in convergence to the new topology, which is clearly not acceptable any more. We analyze the performance of different hold time schemes and propose a new approach to schedule routing table updates, called LSA Correlation. Rather than using individual LSAs as triggers for routing table updates, LSA Correlation scheme correlates the information in the LSAs to identify the topology change that led to their generation. A routing table update is performed when a topology change has been identified. The analysis and simulation results presented in this paper suggest that the LSA Correlation scheme performs much better than the hold time based schemes for both isolated and large scale topology change scenarios.

In this paper, we analyze OSPF's interface state machine and propose modifications in order to reduce the time/processing requirements of the leader election process in a broadcast LAN environment. The proposed modifications are based on dynamic adjustment of wait time duration rather than using a static value.

A network running OSPF takes several tens of seconds to recover from a failure, using the current default parameter settings. The main component of this delay is the time required to detect a failure using the hello protocol. Reducing the value of the hellointerval can speed up the failure detection time. However, too small a value of the hellointerval can result in an increase in network congestion, potentially causing multiple consecutive hellos to be lost. This can lead to a false breakdown of adjacencies between routers. Such false alarms not only disrupt network traffic by causing unnecessary routing changes, but also increase the processing load on the routers, which may potentially lead to routing instability. In this paper, we investigate the following question - what is the optimal value for the hellointerval that will lead to fast failure detection in the network, while keeping occurrences of false alarms within acceptable limits? We examine the impact of both network congestion and the network topology on the optimal value for the hellointerval. Additionally, we investigate the effectiveness of faster failure detection in achieving fast failure recovery in OSPF networks.

In this paper, we wish to derive analytic models that predict the performance of TCP flows between specified endpoints using routinely observed network characteristics such as loss and delay. The ultimate goal of our approach is to convert network observables into representative user and application relevant performance metrics. The main contributions of this paper are in studying which network performance data sources are most reflective of session characteristics, and then in thoroughly investigating a new TCP model based on Padhye et al. (2000) that uses non-invasive network samples to predict the throughput of representative TCP flows between given end-points.

In large scale, operational Internet protocol networks, creating timely, accurate and network-wide views of the intradomain topology is a fundamental problem. Topical network backbones consist of hundreds of routers, which establish routing adjacencies with one another through static configuration and dynamic routing protocols, such as open shortest path first (OSPF). We describe the design of an OSPF topology server which tracks intradomain topology, by passively and safely listening into OSPFs reliable flooding mechanism, or by pushing and pulling information from the routers via the simple network management protocol. We provide a detailed evaluation and comparison of the two approaches in terms of operational issues, reliability and timeliness of information.

Exponential growth of Internet traffic and the proliferation of new user applications warrant the development of a new Internet infrastructure. Due to the fundamental satellite system characteristics such as global coverage, broadcast nature and bandwidth on demand, satellite systems are excellent candidates for providing high data rate Internet access and global connectivity accommodating multimedia applications. However, to meet this goal, provisioning of quality-of-service (QoS) within the advanced satellite network systems is the critical requirement. Congestion remains the main obstacle to QoS on the Internet. In today's TCP networks, explicit congestion notification (ECN) is the only explicit mechanism which delivers congestion signals to the source. We present a new traffic management scheme based on an enhanced ECN mechanism. In particular, we used multilevel ECN, which conveys more accurate feedback information about the network congestion status than the current ECN scheme. We have designed a TCP source reaction that takes advantage of the extra feedback information and tunes better its response to the congestion than the current schemes. Our analysis and simulations results show that our scheme performed better than the current ECN, having fewer losses, better network utilization, fewer delays, and the solution is scalable.

An explicit rate switch scheme monitors the load at each link and gives feedback to the sources. We define the overload factor as the ratio of the input rate to the available capacity. In this paper, we present three overload-based switch schemes which provide MCR (minimum cell rate) guarantees for the ATM (asynchronous transfer mode) ABR (available bit rate) service. The switch schemes proposed use the overload factor and other terms including current source rate and target utilization to calculate feedback rates. A dynamic queue control mechanism is used to achieve efficient usage of the link, control queues and, achieve constant queuing delay at steady state. The proposed algorithms are studied and compared using several configurations. The configurations were chosen to test the performance of the algorithms in the presence of link bottlenecks, source bottlenecks and transient sources. Finally, a comparison of the proposed algorithms based on the simulation results is given.

We give a general definition of weighted fairness and discuss how a pricing policy can be mapped to general weighted (GW) fairness. The GW fairness can be achieved by calculating the excess fairshare (weighted fairshare of the left over bandwidth) for each VC. We show how a switch algorithm can be modified to support the GW fairness by using the excess fairshare term. We use ERICA+ as an example switch algorithm and show how it can be modified to achieve the general fairness. Simulations results are presented to demonstrate that, the modified switch algorithm achieves GW fairness. An analytical proof for convergence of the modified ERICA+ algorithm is given in the appendix.