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A parallel workflow for online correlation and clique-finding : with applications to finance Rostoker, Camilo 2007

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A Parallel Workfiow for Online Correlation and Clique-finding With Applications to Finance by Camilo Rostoker B.Sc., University of Regina, 2004 A THESIS SUBMITTED IN PARTIAL FULFILMENT OF THE REQUIREMENTS FOR THE DEGREE OF Master of Science in The Faculty of Graduate Studies (Computer Science) The University Of British Columbia February, 2007 © Camilo Rostoker 2007 Abstract This thesis investigates how a state-of-the-art Stochastic Local Search (SLS) algorithm for the maximum clique problem can be adapted for and employed within a fully distributed parallel workfiow environment. First we present parallel variants of Dynamic Local Search (DLS-MC) and Phased Local Search (PLS), demonstrating how a simple yet effective multiple indepen dent runs strategy can offer superior speedup performance with minimal communication overhead. We then extend PLS into an online algorithm so that it can operate in a dynamic environment where the input graph is constantly changing, and show that in most cases trajectory continuation is more efficient than restarting the search from scratch. Finally, we embed our new algorithm within a data processing pipeline that performs high- throughput correlation and clique-based clustering of thousands of variables from a high-frequency data stream. For communication within and between system components, we use MPI, the de-facto standard API for message passing in high-performance computing. We present algorithmic and system performance results using synthetically generated data streams, as well as a preliminary investigation into the applicability of our system for processing high-frequency, real-life intra-day stock market data in order to determine clusters of stocks exhibiting highly correlated short-term trading patterns. 11 Table of Contents Abstract ii Table of Contents iii List of Tables vi List of Figures viii 1 Introduction 1 2 Background 6 2.1 Network Models of Complex Systems 6 2.2 Graph Theory Basics 8 2.3 The (Unweighted) Maximum Clique and Maximum Indepen dent Set Problems 10 2.4 Stochastic Local Search for Combinatorial Optimization . 11 3 Related Work 14 3.1 Stochastic Local Search for the Maximum Clique Problem 14 3.2 Applications Reducing to the Maximum Clique Problem 19 3.3 Parallel Metaheuristics 20 3.4 Stochastic Local Search in Dynamic Environments 23 3.5 Online Graph Algorithms for Dynamic Environments . . 26 3.6 Computational and High Frequency Finance 30 4 Parallel Dynamic Local Search and Phased Local Search 32 4.1 Independent Multiple Runs 33 4.1.1 Overview 33 4.1.2 Implementation Considerations 34 4.1.3 Cost Model 36 4.2 Cooperative Search Strategy 39 4.3 Empirical Analysis 42 111 Table of Contents 4.4 Results 4.4.1 PPLS and PDLS-MC 4.4.2 CPPLS 4.5 Summary 5 Online Phased Local Search 5.1 From Offline to Online 5.2 Implementation Details 5.3 Adding Edges 5.4 Removing Edges 5.5 Empirical Analysis 5.6 Results 5.6.1 Synthetic Dynamic Graph Series . 5.6.2 Mann-Whitney U Test 5.6.3 Stock Market Dynamic Graph Series 5.6.4 Discussion 5.7 Summary 6 The Parallel Workflow 6.1 System Design and Architecture 6.1.1 Inter-process Communication 6.1.2 Pipeline Architecture 6.1.3 Processor Farm Architecture 6.1.4 Mapping Processes to Processors 6.2 Time Series Data 6.3 Correlation Calculation 6.3.1 Maintaining the Real-time Correlation Matrix . . 6.3.2 Communication of Correlation Updates 6.4 Clique-based Clustering 6.4.1 Thresholding 6.4.2 Online Parallel PLS 6.4.3 Recording Sets of Maximal Cliques 6.4.4 Polling for Messages 6.5 Evaluation 6.6 Summary 7 A Real-time Stock Market Application 7.1 Technical Analysis 7.2 Stock Market Time Series Data . . 7.2.1 Historical Data 109 110 111 111 47 47 50 52 64 64 68 70 71 74 77 78 80 81 82 83 92 93 95 95 95 96 97 99 99 101 101 101 101 102 103 104 106 iv 7.4.4 Clique-based Clustering . 7.4.5 A Prototype Visualization Client 7.5 Evaluation 7.5.1 Homogeneous Time Series 7.5.2 Inhomogeneous Time Series 7.6 Potential Applications 7.7 Summary 112 114 • 117 118 120 120 121 121 122 125 126 129 130 133 8 Conclusion 135 Bibliography Appendices 141 A Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 153 B Performance Results for OPPLS 166 Table of Contents 7.2.2 Intra-day Data 7.2.3 Working With Multiple Time Series 7.3 Technical Indicators as a Similarity Measure 7.4 A Parallel Workflow for High-Frequency Stock Market Data 7.4.1 Computing Environment 7.4.2 Correlation Calculation 7.4.3 Maintaining the Dynamic Intra-day Market Graph v List of Tables 4.1 Values for 2’ and 77,, determined on our reference machine on each of our four benchmark instances; see text for details. . 38 4.2 Estimated run-time (Est), actual run-time (Act), and estima tion error (Err) for DLS-MC and PLS on our four benchmark instances using the cost model defined in Equation 4.1.3. . . 38 4.3 Properties of our selected DIMACS benchmark instances. . 43 4.4 Observed speedup when starting with unique seed vertices using 13 search processes 48 4.5 Speedup and Efficiency for PDLS-MC and PPLS relative to the corresponding sequential versions 49 5.1 Search step improvement using trajectory continuation on ad ditive series 79 5.2 Search step improvement using trajectory continuation on subtractive series 79 5.3 Search step improvement using trajectory continuation on mixed series 79 5.4 Number of stage transitions in which the maximum clique size changes 79 5.5 Percentage of stages for which the null hypothesis was rejected with a = 0.5 81 5.6 Performance differences between PLS with and without TC on the dynamic market graph series 81 6.1 Speedup for workfiow environment with 2000 stocks and batch size 2000 106 6.2 Response time statistics for varying processor configurations 107 7.1 One second of sample quote data from the TSX 113 7.2 Quote frequency distributions from our sample TSX quote data. Q(0.9) and Q(0.1) are the 0.9 and 0.1 quantiles, re spectively 115 vi List of Tables 7.3 Hypothetical correlation matrix for five stocks 121 vii List of Figures 2.1 A graph with a maximum clique and maximum independent set of size 4 9 3.1 A sample graph showing K, Co(K) and C1(K) 19 3.2 A star cover before (A) and after (B) a new vertex is added. . 29 4.1 Flowchart of multiple independent runs parallelization strategy. 35 4.2 Two sample scatter plots for PPLS, showing the correlation between run-length (x-axis) and run-time (y-axis) 40 4.3 RLD and RTDs for the C1000.9 instance using 16 search pro cesses 45 4.4 Sample Scalability and Speedup results for PPLS. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run- length 54 4.5 Sample Scalability and Speedup for PDLS-MC. Plot (a) shows for varying number of processors the RLDs while (b) shows the corresponding speedup based on median run-length. . . . 55 4.6 Empirical RLDs and corresponding approximated RLDs with exponential distribution for PDLS-MC on the keller6 instance. 56 4.7 Sample Scalability and Speedup results for CPPLS. Plot (a) shows speedup based on the median run-length, while plot (b) shows speedup based on the median run-time 57 4.8 A surprising Scalability and speedup result for CPPLS. Plot (a) shows speedup based on the median run-length, while plot (b) shows speedup based on the median run-time 58 4.9 Comparing RLDs for PPLS and CPPLS with 1 search process on two of our four benchmark instances 59 4.10 Comparing Scalability (left) and Speedup (right) of CPPLS to PPLS. Plot (a) shows speedup with respect to the median run-length, while plot (b) shows speedup with respect to the median run-time 60 yin List of Figures 4.11 Comparing Scalability (left) and Speedup (right) of CPPLS to PPLS. Plot (a) shows speedup with respect to the median run-length, while plot (b) shows speedup with respect to the median run-time 61 4.12 Impact of the value of MAX..ELITE parameter on CPPLS, applied to the keller6 problem instance 62 4.13 Impact of the value of /3 parameter on the RTD of CPPLS, applied to the keller6 problem instance over two search pro cess configurations. The three 3 parameter values are 50, 100 and 200; the CPPLS RTDs are compared against the PPLS RTDs with 2 and 8 search processes respectively 63 5.1 RLDs (top) and RTDs (bottom) for PLS with and without the sparse graph enhancement 71 5.2 Maximum clique size in the brock200A mixed dynamic graph series with n = 40 76 5.3 Speedup observed when using Trajectory Continuation with various dynamic graph series 78 5.4 Online performance results for the pJiat500-1 mixed series with n = 10; the top figure is selections per graph, the bottom figure is cumulative selections 84 5.5 Online performance for the p.hat500-1 mixed series with n = 20; the top figure is selections per graph, the bottom figure is cumulative selections 85 5.6 Online performance for the p_hat500-1 mixed series with n = 40; the top figure is selections per graph, the bottom figure is cumulative selections 86 5.7 Two different but typical RLDs for the additive series with n=20 87 5.8 Typical RLDs for the subtractive series with n = 20 88 5.9 Maximum clique size trace through the dynamic market graph series 89 5.10 Edge count and edge density as a function of correlation threshold 90 5.11 Vertex degree distributions on the dynamic market graph se ries for correlation thresholds t = {0.3,0.4,0.5,0.6} 91 6.1 Topology of process structure and communication model . . 94 6.2 Processor farm architecture and communication timeline. . 96 6.3 Data sample queues for all N variables at time t 98 ix List of Figures 6.4 Communication timeline between Maronna and OPPLS. . . . 103 6,5 poll_interval trace with using a 5 second sampling interval. . 105 6.6 Response time for a dataset with 2000 variables, batch size 2000, and three processor configurations 106 7.1 Two inhomogeneous time series with OHLC format. Each ‘Q’ represents a single quote 114 7.2 An instance of the parallel workfiow for real-time stock mar ket analysis 119 7.3 Constructing thresholded market graphs from a complete mar ket graph 122 7.4 Snapshot of a market graph with positive correlations 123 7.5 Energy stocks showing correlated QFSMA indicators with 3 minute sampling interval 127 7.6 Energy stocks showing correlated QFSMA indicators with 1 minute sampling interval 128 7.7 Resource and other stocks showing correlated QFSMA indi cators with 1 minute sampling interval 129 7.8 Gold stocks showing correlated QVSMA indicators with a 30 second sampling interval 130 7.9 Correlated QFSMA indicators over a 2.5 minute time window with a 3 second sampling interval 131 7.10 Three pair-wise correlation scatter plots for the stocks in Fig ure 7.9. The first company name corresponds to the values on the X-ads, the second name to the Y-axis 131 7.11 Correlated event-based QMROC patterns 132 7.12 The underlying time series for the QMROC events in Fig ure 7.11 132 A.1 Scalability and Speedup results for PPLS on the brock800_1 instance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 154 A.2 Scalability and Speedup results for PPLS on the p_hatl500-1 instance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 155 x List of Figures A.3 Scalability and Speedup results for PPLS on the C1000.9 in stance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 156 A.4 Scalability and Speedup results for PPLS on the keller6 in stance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 157 A.5 Scalability and Speedup results for PDLS-MC on the brock800_1 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 158 A.6 Scalability and Speedup results for PDLS-MC on the phat 1500- 1 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 159 A.7 Scalability and Speedup results for PDLS-MC on the C1000.9 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 160 A.8 Scalability and Speedup results for PDLS-MC on the keller6 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length 161 A.9 Scalability and Speedup results for CPPLS on the brock800A instance. Plot (a) shows speedup based on the median run- length, while plot (b) shows Speedup based on the median run-time 162 A.10 Scalability and Speediip results for CPPLS on the phatl500- 1 instance. Plot (a) shows speedup based on the median run- length, while plot (b) shows Speedup based on the median run-time 163 A.11 Scalability and Speedup results for CPPLS on the C1000.9 instance. Plot (a) shows speedup based on the median run- length, while plot (b) shows Speedup based on the median run-time 164 A.12 Scalability and Speedup results for CPPLS on the keller6 in stance. Plot (a) shows speedup based on the median run length, while plot (b) shows Speedup based on the median run-time 165 xi List of Figures B.1 Online Performance for phat500-1 20-stage Additive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 167 B.2 Online Performance for brock200_1 20-stage Additive Dy namic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 168 B.3 Online Performance for keller4 20-stage Additive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 169 B.4 Online Performance for phat500-1 20-stage Subtractive Dy namic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 170 B.5 Online Performance for brock200ll 20-stage Subtractive Dy namic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 171 B.6 Online Performance for keller4 20-stage Subtractive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 172 B.7 Online Performance for phat500-1 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 173 B.8 Online Performance for brock200_1 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 174 B.9 Online Performance for keller4 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 175 xii List of Figures B.10 Online Performance for p.that500-1 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 176 B.11 Online Performance for brock200ll 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 177 B.12 Online Performance for keller4 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 178 B.13 Online Performance for phat500-1 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 179 B.14 Online Performance for brock200J 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. . 180 B.15 Online Performance for keller4 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 181 B.16 Online Performance for the Additive Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 182 B.17 Online Performance for the Subtractive Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 183 B.18 Online Performance for the Mixed Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections 184 xiu Chapter 1 Introduction Each day around the world, dozens of stock exchanges combined are host ing tens of thousands of stocks, executing millions of trades, processing and matching billions of quotes, with total dollar values of more than a hundred billion dollars. The NASDAQ alone, one of the biggest exchanges in the world, averaged 66 million quotes, 6.5 million trades, 1.6 billion shares exe cuted, and $51 billion in dollar volume over first three quarters in 2006 [1]. At the heart of these exchanges are powerful electronic transaction systems; the sheer frequency of the input data is so enormous that they require spe cialized algorithms and data-processing techniques. Moreover, within this high-frequency stream of data lies hidden information, from which mean ingful economical knowledge can be extracted. For this reason, brokerage firms are racing to continously improve their complex financial models, gear ing them towards analyzing market data in real-time, to find patterns and trends in order to predict price movements, with the bottom-line objec tive of maximizing their clients return on investment (ROT). Data-mining and computational intelligence practitioners have, for some time, been us ing statistical analysis and advanced algorithmic techniques to analyze the massive amount of financial data. Such methods are useful for finding valu able information in large static datasets, with applications in portfolio and risk management, money-laundering detection, credit rating analysis and long-term trading rule selection [2]. Due to the recent shift away from traditional (physical) stock markets to electronic markets (partially or completely), the ability to perform real-time computational analysis has become a major focus for many financial insti tutions. The evidence is a growing number of high-throughput electronic exchanges offering real-time, low-latency data feeds. The result is an elec tronic trading environment where in order to out-compete, you not only need to out-smart, but you also need to out-compute. It is already accepted in the industry that both computational speed and computational intelligence will be critical components for any successful next-generation financial trad ing platform [3, 4]. At the heart of this transition is the new field of High Frequency Finance, a systematic and algorithmic approach to analyzing, 1 Chapter 1. Introduction modeling and inference of high-frequency financial time series — the source of the price formation process [31 Results from the past decade’s worth of research on high-frequency finance has formed the foundation for Automated and Algorithmic Trading. While often used interchangeably, “Automated Trading” refers to the action of automatically deciding what to buy/sell, whereas Algorithmic Trading usually specifies how to buy/sell a chosen stock most efficiently; e.g., breaking a large order into multiple smaller orders to minimize the market impact. These new trading systems depend on the ability to process and analyze high-frequency, multi-dimensional and inho mogeneous time-series data streams as quickly and efficiently as possible, in an on-line fashion. Unfortunately, like in other real-world problems, the issue of data processing and analysis becomes increasingly complex as the size and frequency of data increases. As a result, many new challenges and opportunities exist in the area of high-performance computing for real-time data acquisition and processing. With that in mind, the goal of this thesis was to develop a system that is capable of processing such high-frequency financial data streams in real time. The result is a data processing pipeline composed of multiple comput ing components working in parallel. To explore the feasibility of predicting short-term movements, we have proposed a system that performs correla tion and clustering of the input data (e.g., real-time stock market trade and quote orders). The core components in our system perform correlation and clustering, both of which are computationally intensive tasks. In order to perform these tasks in real-time, we use online and parallel versions of Maronna, a robust correlation method, and Phased Local Search (PLS), a graph-theoretic clustering method. The output from the system are subsets of stocks showing highly correlated (or anti-correlated) short-term activity. Since processor speeds have reached their limits, two trends are emerging as the main approaches for increasing overall computing speeds. Compute clusters — often referred to as Beowulf clusters when assembled from off- the-shelf hardware and software are attractive for small-to-medium sized companies who need access to such high-performance computing (HPC) in frastructures, but cannot afford the large-scale supercomputers offered by the major supercomputing vendors such as IBM, SGI and Cray. More re cently, multi-core processors for the consumer PC have emerged, indicating yet another opportunity for commodity hardware to be used within an HPC context. On the software side, many open-source projects for parallel com puting and HPC are gaining market share in the wake of this hardware paradigm shift. For example, consider MPI (Message Passing Interface), the de-facto API for message passing applications in high-performance corn 2 Chapter 1. Introduction puting [5]. Due to the openness and wide-spread usage of these projects, MPI runs over almost all kinds of network infrastructures including TCP/IP, allowing the system components to be effortless distributed over a wide-area network(WANs). While MPI has seen widespread usage for over 10 years in academia and specialized research centers, various open-source implementa tions of MPI such as LAM [6], OpenMPI [7] and MPICH [8] are continously improving, offering a cost-effective alternative to parallel computing. It is believed that the stock market is a complex system, continously evolving with every new piece of information [9]. By collecting massive amounts of data from the stock market, researchers are able to empirically measure the intrinsic properties and behavioral characteristics of the system that may otherwise go unnoticed by the passive observer. A general method of modeling complex systems is by means of a network: a set of vertices (or nodes) connected to each other by edges (or links). The exact semantics of the vertices and edges, and the process by which the network is constructed, depends on the system under consideration and which aspects of it are to be modeled. This thesis is motivated by a recent line of research that examines the stock market as a network of interacting components exhibiting complex correlation patterns. A stock market network, often referred to as a market graph, is a model in which stocks are nodes, and links between nodes repre sent a relationship between the stocks [10]. In most cases, the relationship — herewithin referred to as a similarity measure — is the cross-correlation of the two stocks’ log daily price return over a given time period. In this market graph model, the graph is assumed to be static (i.e., edges are not added or removed), and thus the exact configuration and topology of the graph reflects the stock market network over the time period in which the data was collected. Previous research on stock market networks have fo cused on historical data [10, 11, 12, 13, 14], leading to detailed analyses of the evolution and characteristics of the historical (long-term) market graph. Different similarity functions will produce vastly different network mod els. A limitation of the historical market graph is that while it can be used to detect long-term trends, it does not provide much information on the short-term (intra-day) dynamics. An alternative approach is to consider the stock market as a system that continously evolves over time, from which valuable information can be extracted at any given point. For example, both human day traders and automated trading systems would benefit from knowing which clusters of stocks exhibit highly correlated short-term trading patterns. In this thesis we present an approach which utilizes newly avail able high-frequency intra-day data to compute and construct the dynamic intra-day market graph, which is essentially a series of consecutive (and re 3 Chapter 1 Introduction lated) graphs representing the evolution of the intra-day market graph. In this model, the high-frequency, dynamic and unpredictable nature of the underlying data demands massive computing power and scalable, online al gorithms to ensure real-time responses, since even the smallest unit of infor mation (e.g., a single stock quote) has the potential to change the underlying configuration of the market graph. Due to the unpredictable frequency and distribution of incoming data, re-computing solutions from scratch would not only be a waste of computing resources, but also impose even tighter time constraints in a system where time is already the limiting factor. Our system attempts to address this issue by using online algorithms that are designed to operate efficiently on real-time dynamic data flows, resulting in more accurate and timely information dissemination. Some of the key questions we wish to explore in this thesis are: • Which parallel implementations of PLS is most appropriate for use within the system? • How well do the parallel implementations scale as additional processors are used? • How can FLS exploit the fact that clique solutions between consecutive graphs are often very similar? • How fast can we update the dynamic graph and subsequently find the new set of clique solutions? Similarly, the application of our system to high-frequency financial time series allows us to explore answers to questions such as: • What are the key issues in maintaining (in real-time) the dynamic intra-day market graph? • What kind of trends/patterns, if any, exist in the dynamic intra-day market graph? • If any such patterns exist, how can they be interpreted in a meaningful way? This thesis addresses these questions by introducing novel parallel and online algorithms that we believe are well-suited for this problem. First, we designed and implemented a parallel version of Phased Local Search (PLS) [15], a Stochastic Local Search (SLS) algorithm for the maximum clique problem, and find it achieves near-optimal speedup using independent 4 Chapter 1. Introduction multiple search, a very basic yet highly efficient parallelization strategy. Be sides the source code being easily accessible, PLS was chosen because it is state-of-the-art for a wide range of benchmark problem instances. Motivated by our target application, we also extend PLS to find not just the maximum clique, but a large set of maximal cliques within the evolving intra-day mar ket graph. We then designed and implemented an online version of PLS that performs trajectory continuation, a technique that allows PLS to operate in dynamic environments by eliminating the need to restart the search from scratch each time the underlying graph changes. We then take an existing parallel implementation of a robust correlation method called Maronna [16], and introduce minor modifications that allows it to efficiently compute an arbitrary subset of pair-wise correlation coefficients from thousands of high- frequency time-series. Finally, we tie these pieces together within a fully distributed, highly-parallel workflow environment designed to meet the de manding computational requirements outlined above. Parts of this thesis will appear as a technical paper in the proceedings of the 21st IEEE International Parallel & Distributed Processing Sympo sium [17]. The remainder of this thesis is organized as follows. Chapter 2 provides basic background material on several Computer Science topics used throughout the thesis, while Chapter 3 discusses related work which moti vates much of the research presented in the following chapters. Chapter 4 presents parallel variants of Phased Local Search (PLS) and Dynamic Local Search (DLS-MC), two state-of-the-art SLS algorithms for the maximum clique problem, and in Chapter 5 we introduce our online variant of PLS. Chapter 6 introduces the parallel workfiow environment, describes how the data is transformed as it flows through the pipeline, and outlines the commu nication protocol used by the pipeline components. Chapter 7 describes an application of our system within the context of real-time stock market anal ysis. Finally, Chapter 8 provides concluding remarks and discusses several exciting avenues for future research. 5 Chapter 2 Background This thesis spans several areas in Computer Science including Combinatorial Optimization, Graph Theory, Artifical Inteffigence, Parallel Algorithms and High-Performance Computing, and so we devote this chapter to introducing relevant background information that will prepare the reader for the content to follow. 2.1 Network Models of Complex Systems In a world where data is being generated faster than even before, there is a need for new and improved data analysis techniques. In many contexts, the data under consideration represents networks of interacting agents or components (also known as complex systems). The general representation of such networks is by means of a graph, which consists of a set of vertices (or nodes) connected to each other by edges (or links). The specific meaning of the nodes and edges, and the process by which the network is constructed, depends on the exact context under consideration. In this section we review several examples of real world datasets that can be accurately represented by a network model. Perhaps the most famous and intensely studied class of network models are the broad class of social networks, which have been the object of fruit ful research in a field referred to as Social Network Analysis (SNA). SNA, in general, aims to rigorously define, analyze and characterize the complex underlying patterns and regularities among interacting units [18]. As most of us have witnessed, humans tend to naturally form friendship networks by organizing into smaller and more manageable groups; when this occurs, everyone in the group knows each other, and a “clique” is formed. This type of social “clustering” is the emergent phenomenom of self-organization, and happens throughout cultures across the world [19]. Other social network representations include co-authorship networks, which represent groups of authors who have written papers or books together [20]. Various corpo rations, governments and institutions use SNA techniques to analyze their management structure and communication patterns within their organiza 6 Chapter 2. Background tions [21]. Military security projects construct and analyze social networks to monitor and identify possible terrorist groups [22]. Online sites such as Friendster (social networking) [23], CiteSeer (scientific digital library) [24] and Linked-In (personal and professional networking) [25] utilize these social network models to delivery sophisticated and personalized services. Com mon to all these social networks is that the underlying data is dynamic and complex, requiring state-of-the-art computational methods to efficiently ex tract interesting and useful information. In fields such as biology and biochemistry, gene co-regulation and protein- protein interaction networks provide valuable insights into complex biolog ical systems. In the past, such research was mostly based on experiments performed in wet labs, using only a small set of genes (proteins), and would take months and years to complete. Now, in the emerging field of bioin formatics, new computational methods for analyzing network models of biological systems are helping researchers to construct large-scale experi ments to determine genome-.wide groups of highly correlated genes (or pro teins) [26, 27, 28, 29]. The main advantage of this new approach is that it provides a global view of the networks under consideration, rather than a small subset of it in isolation, which has not only vastly helped to improve our understanding of known genes and proteins, but also helped to char acterize and classify functional activity of previously unknown genes and proteins. We point out that small subsets of genes and proteins are often still analyzed by means of specialized experiments for purposes of validation or elaboration of scientific hypotheses related to the biological processes. Another network is the World Wide Web (WWW), or Internet. In this network, nodes are web pages while edges between nodes represent hyper links between the pages. From the network representation of the WWW a variety of useful information can be extracted. For example, it has been shown that highly connected subsets of nodes in the WWW graph may rep resent link spam, i.e., websites that attempt to increase their search engine rankings by constructing highly inter-linked groups of similar websites [30]. Another common use is to cluster the network into groups of similar web pages for purposes such as classification, hierarchical organization and gen eral group-based data analysis [31]. Like other network models, the data in this network changes on a daily basis as pages and hyperlinks are updated, added or become obsolete. Another massive network which continously produces a large amount of daily data is the so-called call graph, a network whose nodes are phone numbers and edges represent phone calls between the two numbers. Large telecom companies rely heavily on efficient communication processes within 7 Chapter 2. Background their physical network in order to optimize performance and minimize over head costs. Several recent papers have analyzed call graphs from AT&T net works containing hundreds of millions of nodes and billions of edges [32, 33]. An important aspect of this model is that it can be constructed to model the short-term structure of the call network; i.e., edges are added to the graph as calls are made while existing edges representing calls older than a specified time period are removed. Finally, the finance industry has taken a keen interest in modeling the stock market as a complex network [10, 11, 12, 13], with recent findings suggesting that it exhibits non-random properties [14] and is composed of many interacting subsystems [34]. Due to the recent shift away from tradi tional (physical) stock markets to (partially or completely) electronic mar kets, massive amounts of detailed intra-day trading data is now easily acces sible. A stock market network, often referred to as a market graph [10], is a network model in which nodes are stocks and links between nodes represent some relationship between the stocks. In most studies, the relationship is the cross-correlation of a pair of stocks log daily price returns over a spec ified time period. Valuable information can be extracted from the market graph using standard graph theory analysis (see Section 2.2). For example, a fully connected subset of the market graph represents stocks which tend to have correlated (or anti-correlated) price trajectories, suggesting they have similar risk profiles. Similarly, a subset of stocks with few or no edges be tween them would suggest they are highly non-correlated, thus representing a well-diversified portfolio. Such information is valuable for constructing portfolios with optimal sector allocations and hedging strategies, but also to maintain diversification in order to avoid exposure to excessive risk. 2.2 Graph Theory Basics In this section we briefly review some graph theory concepts used throughout the remainder of this thesis. Given an undirected, unweighted graph G (V, E), V is the set of vertices and E is the set of edges. The common convention is to label the elements of V as integers 1 through n, while elements in E can be specified as a set of pairs of vertices, i.e. (u,v), where {u,v} E V. Furthermore, since G is undirected, Vu,v, (u,v)e E (v,u) e E. The size of the vertex and edge sets are V I and I Ej, respectively. We say the degree of a vertex v is the number of edges incident to it; i.e. deg’ree(v) = d implies vertex v is incident to exactly d edges. Two nodes are adjacent to each other if they 8 Chapter 2. Background are incident to the same edge. The neighbourhood set of a given vertex v is denoted as N(v), and represents the set of all vertices which are adjacent to v, i.e., N(v) = {u e VI(u,v) E E}. Clearly, N(v)I = degree(v). For a subset of vertices S ç V, we define the subgraph induced by S as C(S) (8, E fl S x 5). A graph G = (V,E) is complete if Vi, j e V, (i,j) E E,i j. A clique C is a subset of V such that G(C) is complete. A maximal clique is a clique that is not a subset of any other cliques. A maximum clique of a given graph G is the clique(s) with greatest cardinality’. In Figure 2.1 there are many maximal cliques (vertex sets {3,4,5,6}, {1,3,5} and {7,8,9} are a few examples), but there is only one maximum clique, formed by the vertex set {3,4,5,6}. © Figure 2.1: A graph with a maximum clique and maximum independent set of size 4. An independent set I C V is a set such that Vi,j E V, (i,j) E, i.e., there are no edges between any of the vertices in I. In Figure 2.1, vertices f 1,2,7,1O} form an independent set, because there are no edges between them. Throughout this thesis we work only with unweighted graphs. For con text, a weighted graph C = (V, E, w) is one where each edge (i,j)E E is associated with a weight w3. A weighted graph can be converted to an un weighted one simply by specifying some edge threshold and deleting edges whose weights fall below the threshold. Formally, we can define the thresh olding function as Thresh(G, 0) = (V, E9) where C = (V, E, w) is a weighted graph and E0 = (i,j) e EIw 0, i j is the set of edges whose correspond ing weights are greater than or equal to 0. ‘There can be multiple maximum cliques with the same cardinality. 9 Chapter 2. Background 2.3 The (Unweighted) Maximum Clique and Maximum Independent Set Problems Given an undirected, unweighted graph G = (V, E), the maximum clique problem is to find in G a clique with maximum cardinality. The decision variant is to determine if a maximal clique of size k exists in G. Simi larly, the maximum independent set problem is to find in G an indepen dent set of maximum cardinality, while the decision variant is to deter mine if a maximum independent set of size k exists in G. Furthermore, the complement graph of C (V, E) is defined as C (V,E), where = {(i,j) I i,j e V, i j and (i,j) E}. Notice that in G, all ver tices that were part of an independent set in C are now fully connected, thus forming a clique. From this observation we can see that the problem of finding a maximum independent set in C is equivalent to finding a maximum clique in . The maximum clique and maximum independent set problems have been studied intensely for decades by computer scientists and mathematicians be cause of its prominent role in graph theory and complexity theory, as well as having many practical applications such as navigation for robotics [35, 36], image recognition [37], air traffic control [38], financial portfolio optimiza tion [10], bioinformatics [26, 27, 28, 29] and sensor network routing [39]. The search variant of the maximum clique and maximum independent problems are NP-hard while their associated decision problems are NP- complete [40]. Furthermore, it has recently been shown that no deterministic polynomial-time algorithm can find cliques of size V I 1E for any € > 0, un less of course NP = ZPP [41] 2 The number of maximal cliques within a graph can grow exponentially in the size of the graph. If N=IVI is the number of vertices in C, then the upper limit on the number of maximal cliques is 3N/3; e.g., consider a graph with N=2000 vertices — then there can be up to 5.8 x maximal cliques in the graph! Even though the problem is intractable, years of research has been de voted to complete enumeration algorithms. One of the main enumeration approaches was developed in 1973 by Bron and Kerbosch [42]; this proce dure is based on a backtracking method incorporating heuristics to prune the search tree early in the search process. Since then, numerous variations of the algorithm have been proposed. Bomze et al. [43] provide a survey of 2This is because the ZPP class of problems can be solved by probabilistic algorithms with zero error probability in expected run-time that is polynomial in the size of the given input. 10 Chapter 2. Background the last decade’s developments in maximal clique enumeration methods. In order to perform many of the experiments throughout this thesis, clique enumeration was performed on small graphs (up to 500 vertices) to find the maximum clique size. A version of the Bron and Kerbosch algorithm called MBK [44] was used for clique enumeration since it provided good run- time performance, but also because the author was very helpful by making available the source code and offering useful feedback. The modification introduced in MBK removes the need to choose the next vertex to add to the currently expanding clique (the next branch in the search tree), which runs in quadratic time. Instead, the BK algorithm is used to search each subgraph S (where 1 <i <n), induced by vertex i and its neighbors N(i). This results in a recursive procedure that finds maximal cliques constrained to involve only vertices j i, if the subgraphs S are explored in order of increasing i. For larger graphs, however, we had to resort to using the empirical maximum, which is the best observed solution over many test runs using heuristic search methods. As we can see, clique enumeration methods are severely limited by the size of the graph. For this reason, numerous heuristic methods have been developed to efficiently solve the maximum clique problem. They are discussed in Section 3.1. 2.4 Stochastic Local Search for Combinatorial Optimization Informally, combinatorial optimization is defined as “the mathematical study of finding an optimal arrangement, grouping, ordering or selection of discrete objects usually finite in number” [45]. Stochastic Local Search (SLS) is a class of randomized search algorithms for solving complex combinatorial op timization problems (COPs), and are particularly useful in real-time appli cations, or when knowledge about the problem domain is rather limited [46]. Some well known SLS methods, often (although somewhat imprecisely) re ferred to as metaheuristics, include Genetic Algorithms, Ant Colony op timization, Neural Networks, Simulated Annealing and Tabu Search. SLS algorithms, and metaheuristics in general, are extremely well-suited to solve hard COPs from a vast array of application domains such as economics [47], finance [48, 49], vehicle routing [50, 51, 52], network design [53], schedul ing [54] and bioinformatics [46, 55]. SLS methods include a wide variety of techniques that exploit certain properties of the underlying search space topology to find the optimal (or close-to-optimal) solutions to a given instance of a combinatorial optimiza 11 Chapter 2. Background tion problem. In general, an SLS algorithm searches for a solution to a given problem instance in the space of (complete or partial) candidate solu tions. The algorithm starts by selecting an initial candidate solution (chosen randomly or by a construction heuristic), and proceeds by moving from one candidate solution to a neighbouring one. At each search step, only a limited amount of local information is used to choose from the set of neighbouring candidate solutions. An evaluation function is often used to determine which of the candidate solutions should be accepted. In the case of the maximum clique problem, an evaluation function can be as simple as comparing the maximum clique size (since the goal is to find the maximal clique of great est cardinality). In many cases, however, randomized decisions are used to choose from the set of candidate solutions. All state-of-the-art SLS algorithms implement two important mecha nisms within the search strategy, namely intensification and diversifica tion [46]. Intensification is the process of greedily improving the current solution quality within a small area of the search space (neighbourhood) for a local optimum, while diversification is used to prevent stagnation by ensuring that the search process explores a broad region of the search space, rather than being confined to a small area that may contain only subopti mal solutions. Random decisions has proven to be an efficient diversifica tion mechanism, while intensification can be achieved through a variety of techniques such as iterative improvement or the selection step in a genetic algorithm. Furthermore, it has recently been shown that the performance of SLS algorithms are robust to the quality of the underlying random number generator [56]. An important feature of SLS methods (and local search in general) is that they are ideal algorithms for operating in dynamic environments where the problem is continously changing. The reasons are twofold: first, as already mentioned, SLS algorithms are able to quickly locate promising regions of the solution space, meaning that if the problem changes, a simple restart of the algorithm can quickly rebuild a high quality solution. The second reason is that an SLS algorithm can be altered so that it does not need to restart after the problem changes. The intuition here is that in many dynamic environments, the change is relatively minor and a restart would ignore this fact. Instead, the algorithm makes the necessary adjustments to its internal state and continues the search from the same (or nearby) position in the search space. While most SLS algorithms are not guaranteed to to find the optimal 12 Chapter 2. Background solution3, they are able to quickly locate promising regions of the search space containing high-quality solutions — this is a very desirable character istic for real-time systems with tight time constraints. To emphasize this point, let us contrast SLS methods with complete (exhaustive) methods which systematically search the entire space of possible solutions. While these approaches are usually guaranteed to find the optimal solution (if one exists), early decisions often lead the search into sub-optimal regions of the solution space, thus making them more susceptible to finding poor solutions in time constrained contexts. 3Many SLS algorithms are Probabilistically Approximately Complete (PAC), meaning that if allowed to run long enough, the probability of finding the optimal/target solution converges to 1.0 [46]. 13 Chapter 3 Related Work This chapter reviews related work from the various areas of Computer Sci ence touched upon in this thesis. 3.1 Stochastic Local Search for the Maximum Clique Problem A problem posing many challenges for graph-based algorithms is the sheer size and complexity of the networks under consideration. As outlined in Sec tion 2.1, a growing number of datasets are being modeled as networks, with many such networks containing millions of vertices and edges. Complete enumeration of maximal cliques for the purpose of finding the maximum clique is not a feasible approach for these large problems, and even for many smaller problems if there are stringent time constraints. As a result, many heuristic algorithms have been developed to address this issue. We now review several of the more recent state-of-the-art approaches. Following the success of the Reactive Tabu Search framework [57], Bat titi developed Reactive Local Search (RLS) [58], a reactive SLS algorithm for the maximum clique problem which complements local search with a prohibition-based diversification mechanism. The amount of diversification is dynamically controlled via a history-sensitive feedback scheme which is able to detect and deter cycles in the search trajectory. Since its incep tion, RLS has enjoyed much attention and for many years served as one the best performing heuristic for the maximum clique problem. Although more recent algorithms have been developed that outperform RLS on many benchmark instances, especially for large and harder instances such as the Brockington-Culberson [59] and Keller [60] graphs, it remains an important high-performance algorithm that is often used in competitive studies. Grosso and Locatelli proposed Deep Adaptive Greedy Search (DAGS) [61], which aims to combine the simple yet efficient GRASP (Greedy Random ized Adaptive Search Procedure) approach with concepts from the “restart adaptive” methods proposed by Jagota and Sanchis [62]. In short, DAGS 14 Chapter 3. Related Work is a two-phase heuristic: the first phase uses a multistart improving greedy procedure which builds a number of good cliques and then scores nodes by the number of cliques they belong; the second phase is based on a pure greedy approach which uses the weights obtained in the first phase to search “deeper” into the surrounding neighbourhood. DAGS has been shown to be superior to many earlier algorithms, although for some harder instances it fails to compete with RLS [61]. Katayana et al. showed how to efficiently solve the maximum clique problem using k-opt Local Search 163]. Their algorithm is based on Vari able Depth Search (VDS) [461, in which each iteration a series of successive add or drop moves are made within a given neighbourhood until no im proving solutions can be found. Although k-opt Local Search was shown to perform better than RLS on many DIMACS instances, it is outperformed by Dynamic Local Search and Phased Local Search on nearly all DIMACS instances [15, 64]. The authors, however, are quick to point out that its true potential lies in the ability to integrate it within a more powerful meta heuristic framework. Reactive Prohibition-based Ant Colony Optimization (RPACO) [65] com bines the intelligent search strategies from Ant Colony Optimization (ACO) with a prohibition-based local search heuristic to solve the maximum clique problem. The main advantage of this approach is that it provides a natu ral and intuitive parallel formulation, for both deploying a number of ant colonies that search the graph in tandem as well as functionally decomposing the local search procedure. RPACO was shown to be competitive with RLS in terms of the average solution results for a range of DIMACS benchmark instances. However, its run-time performance relative to RLS and other algorithms is unknown. More recently, Pullan and Hoos proposed Dynamic Local Search (DLS MC) [64], a stochastic local search algorithm which alternates between phases of iterative improvement, where suitable vertices are added to the current clique, and plateau search, where vertices in the current clique are swapped out and replaced by other vertices. Integer penalties are assigned to vertices as they are considered in the current clique, providing a means of diversification so that the search can effectively avoid previously encountered local optima (i.e., maximal cliques). Vertex penalties are dynamically up dated through the search every pd (penalty delay) iterations. Finally, search stagnation is resolved using a perturbation mechanism that works differently depending on the value of pd. If pd > 1, i.e., penalties are decreased only occasionally, then the perturbation mechanism reduces the current clique to the last vertex v that was added to it. The rationale is that since the re 15 Chapter 3. Related Work moved vertices all have penalties, they are unlikely to be added back into the current clique during the next iterative improvement phase. Otherwise, if pd = 1, penalties are effectively not used at all (since an increase in any ver tex penalty is immediately undone), and thus the perturbation mechanism instead chooses a random vertex v e V, adds it to the current clique K, and removes all vertices v e K that are not adjacent to v. DLS-MC reaches state-of-the-art performance on many DIMACS benchmark instances and shows considerable improvement over other approaches such as RLS and DAGS. Phased Local Search Shortly after DLS-MC was proposed, the work was further extended into Phased Local Search (PLS) [15]. PLS, like its predecessor DLS-MC, uses dy namic vertex penalties to ensure diversity throughout the search. However, unlike DLS-MC, PLS uses an adaptive penalty delay parameter, resolving the issue of instance-specific parameter tuning. In particular, the optimal penalty delay parameter calculated by DLS-MC was found to be correlated with the percentage of vertices having Pd > 0, and thus PLS, after each penalty update, adjusts the pd parameter so that 75% of the total vertices have pd> 0. PLS achieves state-of-the-art performance on many DIMACS benchmark instances, and recently discovered a larger maximum clique than the one previously thought to be optimal for one of the DIMACS benchmark graphs [661. PLS was previously applied to the optimal protein structure alignment problem [29], and in our work is being used for clustering stock market data. Algorithms 1 and 2 show the PLS pseudo-code. The set C0(K) contains vertices adjacent to all vertices in K, while C1(K) contains vertices adjacent to all but one vertex in K. Thus, the sets Co(K) and C1 (K) contain vertices corresponding to the iterative improve ment and plateau moves, respectively. Generalizing, we can define C(K) as the set of all vertices not adjacent to exactly p vertices in K. Formally, C(K) —{iE V : IK\N(i)I =r}’ oE {0,1} In this definition, p is restricted to 0,1, since any other set C(K) for p> 1 represents downhill moves, and PLS does not perform any downhill moves. Instead, the Initialize and Reinitialize functions represent pertur bation mechanisms which help to diversify the search and escape from local optimum. The Perturb function performs either a minor perturbation or a relatively large perturbation of the current solution. The less destructive 16 Chapter 3. Related Work Algorithm 1 The Original (Sequential) PLS Algorithm Algorithm PLS (G, tcs, max_selections) Input: graph G, integers tes (target clique size) and max_selections Output: A clique of cardinality tcs or ‘failed’ selections — 0 U-O <Randomly select a vertex v E V, K +— {v}> repeat Phase(50,RandomSelect,Reinitialize) if (IK tcs) then return K Phase(50,PenaltySelect,Reinitialize) if (IKI = tcs) then return K Phase( 100,DegreeSelect,Initialize) f (IKI = tcs) then return K until (selections max_selections) return ‘failed’ perturbation, also called Reinitialization, randomly chooses a vertex v and adds it to K, then removes all vertices in K not connected to v (in order to maintain a proper clique). The more destructive perturbation mechanism, also referred to as Initialization, resets the current clique K to contain only one randomly chosen vertex. The three phases, also called the sub-algorithms, are Random, Degree and Penalty, and are wholly contained within the Select and Perturb func tions. Within the Select function, the sub-algorithms choose vertices from C0(K) or Ci(K); Random chooses uniformly at random, Degree chooses a vertex with maximum degree in G(V), and Penalty chooses the vertex with a minimum vertex penalty. In both the Degree and Penalty sub-algorithm, ties are broken uniformly at random. Figure 3.1 illustrates an example of the algorithm on a small graph. K = {A,B,C}, Co(K) {D,E,F} and C1(K) {G}. If the algorithm is starting a new iteration using the Degree sub-algorithm, then it will choose randomly from Co(K). If node D is selected, then K = {A,B,C,D}, Co(K) {E} and C1(K) = {F}. We also point out here the ability of PLS to find not only maximum cliques, but also maximal cliques. In fact, in each iteration of PLS (one exe cution of the outer-most ioop in the Phase function), at least one maximal clique is discovered. Recall that PLS alternates between phases of iterative improvement and plateau search. During the iterative improvement phase, 17 Chapter 3. Related Work Algorithm 2 The Phase Function for PLS function Phase (iterations, Select, Perturb) Input: iterations, function Select, function Perturb Output: K (current maximum clique) repeat repeat while (C0K) \U 0) do V — Select(Co(K)) K .— K U {v} selections — selections + 1 if (1K! = tcs) then return K U4—0 end while if (Ci(K) \U # 0) then V 4— Select (C1K)\U) K.— fKU{v}1 \{i}, U4—UU{i}, where {i) .—K\N(v) selections — selections + 1 end if until (C0K) = 0 and C1(K) \U = 0) iterations €— iterations - 1 UpdatePenalties() Perturb() until (selections > max_selections or iterations <0) return K 18 Chapter 3. Related Work Figure 3.1: A sample graph showing K, C0(K) and C1(K). a single maximal clique is greedily expanded by adding vertices that are con nected to all others in the current clique. Upon reaching a plateau (when Co(K) becomes empty), the current clique is maximal and as such the algo rithm has reached a local optimum. The plateau search phase of PLS then commences, and every time a vertex of the current clique is swapped out for other one, a new clique is formed and greedily expanded until it becomes maximal. 3.2 Applications Reducing to the Maximum Clique Problem We now review a few interesting applications that are reduced to the maxi mum clique problem. While there are many more than are listed here, these ones in particular are appealing because they could potentially be applied in an online scenario, and would benefit from a parallel online maximum clique algorithm such as the one presented in this thesis. Bailey et al. present a graph-based data association method to handle batch observations, which is used to assist mobile robot navigation [36j. Batch observations (i.e., from scanning laser, radar, video) detect sets of features simultaneously (or within sufficiently minimal temporal differences) such that the features can be represented using precise relative coordinates. More specifically, the paper uses a maximum clique approach to the Maxi mum Common Subgraph problem, where each subgraph is a feature graph from a single observation. From each pair of feature graphs, a correspon dence graph is generated, and from that the maximum clique is extracted, which represents the maximal set of common features from the two feature graphs. 19 Chapter 3. Related Work In a more recent paper [35], which builds on the work by Baily et al. de scribed above, maximum cliques are extracted from correspondence graphs of invariant features, which are then used to solve the well known problem of simultaneous localization and mapping (SLAM). In this approach, a cor respondence graph is used whose nodes represent potential matches (i.e., an observation o is matched to some landmark li), and the edges represent the relationship “is consistent with”. The maximum clique in this correspon dence graph is the maximum subset of matches which are all consistent with each other, signaling a high probability that a landmark has been identified. Barnier et al. describe how an air traffic network is converted to a constraint graph, such that the decision variables in the original problem becomes nodes in the graph, and edges connecting nodes indicate one or more constraints have been violated [38]. The basic idea is that these cliques correspond to the most constrained part of the network, and that early instantiations of these variables can result in efficient domain reductions. A simple greedy heuristic is used to find cliques within the constraint graph. From each node in the graph, the algorithm incrementally builds a clique using the node’s adjacency list. Finally, the set of obtained cliques is filtered and only distinct cliques of size greater than two are kept. With the rise of economical wireless sensor networks, large networks of connected sensors have emerged, requiring new methods to facilitate com munication amongst them. Furthermore, minimizing energy consumption is a core challenge since sensors are often deployed in remote areas. To address this problem, Chu et al. have shown how approximate data queries can he used to minimize communication from sensor nodes to base stations, thus minimizing energy consumption [39]. Their approach casts the attributes of the sensor network into a Clique Partitioning problem. An exhaustive and greedy algorithm is then used to extract the cliques from the graph that contain the highest per-attribute data reduction factor (i.e., the data approximation factor). If the sensor nodes are collecting streaming data to be monitored in real-time, then the clique partitioning algorithm must extremely fast and efficient. 3.3 Parallel Metaheuristics For many years, parallel computing has enabled researchers, in academia as well as industry, to solve many of the most complex problems known to date by harnessing the power of multiple networked computers to accomplish the task in parallel. As described in Section 2.4, SLS methods (and heuristics in 20 Chapter 3. Related Work general) have emerged as a practical means of solving complex combinato rial optimization problems. Parallel implementations of heuristic algorithms not only reduce computation time, but can also be used to achieve better solution qualities in the same time as the sequential counterpart. This is a critical feature for large-scale combinatorial optimization systems, espe cially for those operating in real-time and dynamic environments. Unlike complete, systematic search algorithms, heuristic approaches are inherently well-suited for such dynamic environments. Most well designed randomized heuristics are able to quickly escape from sub-optimal regions of the search space, and have the ‘anytime property’, meaning they can return the cur rent best solution at any point in time. Furthermore, randomized heuristic algorithms are attractive from a parallelization point of view because inde pendent concurrent runs can, in principle, give better solutions. In a comprehensive report detailing strategies for the parallel implemen tation of metaheuristics [67], a basic classification is described, distinguish ing between two main approaches: single run and multiple runs. It should be noted here that the terms “single run” and “multiple runs” are used interchangeably with “single walk” and “multiple walks” respectively. In a single run parallelization, the search follows one unique trajectory. Each move through the search space is executed in parallel either by a parallel eval uation of the cost function or by domain decomposition. Multiple runs are further divided into independent and cooperative searches. An independent multiple runs strategy is one in which p search processes start from indepen dently chosen initial points and execute their (potentially different) search strategies independently of one another — no attempt is made to exchange information during the search. When all processes are finished searching, the solutions are gathered (usually by a designated process) and the best overall solution is reported. The other major parallelization strategy, which has gained much attention in recent years, is that of cooperative searching. Many novel metaheuristics have been proposed using a cooperative search framework, and positive results have been reported for a wide range of appli cations such as bioinformatics [55], network design [68], vehicle routing [51], as well as other fundamental combinatorial problems such as the p-Median problem [69] and the sequential ordering problem [70). The main advan tage of these cooperative approaches is that they are conceptually intuitive, and important aspects of the underlying algorithmic approach can be easily modeled. In general, the consensus is that while parallelization strategies can offer great speed-up potential, cooperative search methods also increase global search robustness [52], allowing for a more thorough exploration of the solution space. While there are many important considerations when 21 Chapter 3. Related Work designing a cooperative search strategy, a complete characterization can be achieved by specifying (a) the information which is to be shared, (b) when communications may occur, (c) between which processes information is to be exchanged, and (d) how processes utilize the imported information [71]. Crainic also suggests further classifying parallel cooperative strategies ac cording to whether the information exchanged represents partial or com plete solutions [72]. Storing and exchanging partial solutions are typical of adaptive memory strategies which retain high-quality partial configurations in order to avoid unnecessary work such as initial solution construction. Strategies whith exchange complete solutions all have a common mecha nism by which the solutions are stored and accessed — common names for this type of mechanism include central memory, solution warehouses, pools of solutions or reference sets. In an initial attempt to rigorously define and characterize parallel meta heuristic search strategies, Crainic et al. propose a comprehensive classifi cation with three dimensions: Search Control Cardinality, Search Differen tiation and Search Control and Communication [73]. Although Tabu Search is used as the motivating example, a majority of the results can be gener alized to other metaheuristics and stochastic local search methods. Search Control Cardinality examines how the global search is controlled, i.e., either by a single master process or by several master processes, corresponding to 1-control (1C) and p-control (pC) respectively. A typical 1-control strat egy would implement a manager-worker architecture, where the manager performs the search and distributes compute intensive tasks (such as the neighourhood evaluation) to the worker processes. Search Differentiation specifies whether search processes start from the same or different initial starting points, and whether they use the same or different search strategies (even a difference in one or more parameter settings can be considered a different strategy). Four cases are proposed, which are Same Initial Point and Same Search Strategy (SPSS), Same Initial Point and Different Search Strategy (SPDS), Multiple Initial Points and Same Search Strategy (MPSS) and Multiple Initial Points and Different Search Strategies (MPDS). The last dimension of classification corresponds to Search Control and Commu nications, which define the exchange of information and are encapsulated within the following four classes: Rigid Synchronization (RS), Knowledge Synchronization (KS), Collegial (C) and Knowledge Collegial (KC). Rigid Synchronization describes independent search strategies that do not share any information during the search, and some form of synchronization is usu ally hard-coded or pre-determined using some parameters. Synchronization in this context refers to portions of code that all processes must execute. 22 Chapter 3. Related Work For example, an extreme case is where all processes must reach and exe cute the same synchronization code before any of the others can continue. Knowledge Synchronization endures the same synchronization constraints as Rigid Synchronization, but allows for some basic communication of informa tion between search processes. The two collegial classes exploit asynchronous communication by using internal logic-driven messaging, thus avoiding hard- coded or pre-determined checkpoints. The main difference between Collegial and Knowledge Collegial is that the former uses basic communication in the sense that the same messages are sent and received, while the latter describes much more complex communication schemes where the messages sent and received are conditioned on a variety of run-time variables. According to this classification scheme, an independent multiple runs search strategy falls within the pC/RS taxonomy, since each process is in control of its own search trajectory (pC) and no information is exchanged during the search (RS). Cooperative searches, however, belong to the pC/C or pC/KC classes of parallel algorithms, since each process is in control of its own search trajectory (pC) and some amount of information is commu nicated during the search (C or KC). 3.4 Stochastic Local Search in Dynamic Environments This thesis considers the online maximum clique problem where edges are dynamically added to or removed from the graph. There is an abundance of literature on dynamic graph problems, but very little which is specific to stochastic local search. In this section we review recent work which addresses the issue of stochastic local search algorithms which can operate in dynamic environments where the underlying problem is constantly changing. Stochastic Local Search Methods for Dynamic SAT One of the most prominent problems to which SLS algorithms have been successfully applied is the Satisfiability problem (SAT). While this thesis does not deal specifically with SAT problems, many combinatorial prob lems can be encoded into SAT and then solved using any SAT solver. This strong correspondence between SAT and other combinatorial problems al lows many of techniques used in solving SAT problems to be generalized to other problem domains utilizing SLS algorithms. Hoos and O’Neill were the first to introduce the dynamic SAT problem (DynSAT). They present an 23 Chapter 3. Related Work initial investigation that considers several approaches for solving this prob lem [74]. DynSAT is a generalization of conventional SAT problems which allows for changes in the problem over time. Four approaches are proposed for dealing with the dynamic SAT prob lem: 1. Solve a series of SAT instances using existing SAT methods with no alterations. Each new instance is solved by restarting the search when the problem changes. In the case of an SLS algorithm with random initialization, this approach is referred to as random restart. 2. Using an existing SAT algorithm, but rather than restarting the search for each new instance, continue the search from the point in the search trajectory where the change occurred. This is referred to as trajectory continuation. 3. Design a specialized algorithm that tries to locate promising starting points after a change has occurred. 4. Design a specialized algorithm that exploits given or learned knowledge about the dynamics of the problem, i.e., statistical information about the frequency, magnitude and probability of certain changes in order to steer the search towards solutions which tend to be more robust with respect to anticipated future changes. Their paper only attempts to address approaches 1 and 2, since they require few modification and are not problem specific like the last two ap proaches. In the paper the authors test their hypothesis on both Random 3-SAT instances and SAT-encoded Graph Colouring instances taken from the SATLIB Benchmark Library [75]. For each test instance used, a 10-stage DynSAT instance was constructed, such that each consecutive stage ensures a different SAT model than the previous stage. The results show that for the Random 3-SAT instances, the search cost using trajectory continuation is approximately a factor of 2 lower than when using random restart, while for the structured Graph Colouring instances it provide little or no benefits. The trajectory continuation approach is enhanced for structured instances by incorporating a soft restart strategy, which essentially performs a ran dom restart when no improvement over the incumbent solution has been made in a given number of search steps. Furthermore, it was found that the improvement seen by using trajectory continuation is orthogonal to the underlying algorithm used, and independent of specific problem instance. 24 Chapter 3. Related Work As we will see throughout this thesis, well-designed randomized heuristic mechanisms that make SLS algorithms ideal for hard combinatorial prob lems, also make them ideal candidate algorithms for time-constrained dy namic environments where the underlying problem is constantly changing. Online Stochastic and Robust Optimization The work of Bent and Van Hentenryck considers online stochastic optimiza tion problems where time constraints limit the number of offline computa tions that can be made in between online processing (76j. The proposed algorithms are general and applicable to many problems, but they are pre sented in the context of the packet scheduling and multiple vehicle routing (MVR) problems. As in other online problems, the data is assumed not to be available a priori, but rather it is revealed incrementally during algorithm execution. The framework presented assumes that a distribution of future requests is available for sampling. Algorithm 3 depicts the generic online op timization routine described in the paper, and works as follows: given a time horizon H, a number of requests Rj available at each H E H, and a score w(r) associated with each request, find a feasible solution o maximizing ZtEH w(o(t)). Offline optimizations are encapsulated in ChooseRequest, and due to time constraints, may only be executed a certain number of times at each step. Furthermore, in their paper, several variants of the on line algorithm are given, all of which differ only in the way they implement the ChooseRequest function. Algorithm 3 Online Optimization input: time horizon H [Ho,Hf R+—O The first two variants of the online algorithm are Expectation and Hedging. Expectation chooses the action maximizing expectation at each time step by generating future requests by sampling, and evaluating each available request against the sampled requests. If there is enough time for w÷-O for t € H do R .— AvailableRequests(R,t) U NewRequests(t) r — ChooseRequest(R,t) ServeRequest(r,t) w <— w + w(r) R÷-R\{r} 25 Chapter 3. Related Work offline samples in between each online optimization, then each request is evaluated against /IAI scenarios; this is appropriate when is large enough to make the sampling process meaningful, but if is too small, the algo rithms do not yield much information. Hedging is an online adaptation of robust optimization, which as the name suggests, attempts to hedge against the worst-case scenario. At each time step, a solution is sought whose de viation with respect to the optimal solution is minimal over all scenarios. Like Expectation, the Hedging algorithm samples future requests and uses these to choose a request such that the deviation is minimized. As men tioned previously, these two online algorithms are completely encapsulated within the ChooseRequest function of the generic online algorithm. The next two variants, Consensus and Regret, are used to approximate Expectation and Hedging when the time in between optimizations is small and there is a large number of requests to serve. They key idea behind these algorithms is that instead of evaluating q/ IA I scenarios for each available request, q! scenarios are evaluated by evaluating each sample once against all available and sampled requests. The main benefit is that the samples do not need to be partitioned among available requests, but the limitation is that only one request is chosen to be optimal for each sample while other requests are simply ignored. This is important considering that several requests may be almost identical for a given sample, or that some requests may not be the best overall for a single sample, but may be the best in terms of robustness over all the samples. In other words, the Consensus algorithm is very greedy and elitist, while the Regret algorithm addresses these issues without performing additional optimizations. This work demonstrates how online stochastic algorithms can improve the quality and robustness of their solutions if the distribution of incoming data is known. This solution is particularly important for problems where a limited amount of time is available for off-line computation, for example real-time financial analysis where the data arrival rate is often sporadic. 3.5 Online Graph Algorithms for Dynamic Environments This section presents two recent papers which deal with dynamic graph prob lems relevant to the one presented in this thesis. The first is particularly relevant as it considers the problem of tracking all maximal cliques in a dy namic graph. The second one is presented as an illustration of a graph-based clustering algorithm which is able to operate in a dynamic environment. 26 Chapter 3. Related Work Finding All Maximal Cliques in Dynamic Graphs Recently, Stix presented an algorithm for tracking all maximal cliques in a dynamic graph [77]. A dynamic graph is represented as a series of graphs G0,G1,. .. , GT with a constant set of vertices and a changing set of edges. Each graph G (V, E), with 0 j T, corresponds to the graph at time i obtained by thresholding the complete graph using a threshold value of t; i.e., (u, v) E E if distance(u,v) t. More specifically, the threshold t [0, cc], thus 0 i T represents a discrete set of threshold values, so we can revise the last definition to be (u, v) E if distance(u,v) t, where t is the threshold level at time i. Increasing the threshold can only remove edges, while decreasing the threshold can only add edges. Thus, because the adding/removing of vertices is monotone with respect to the directional change of the threshold, the dynamic graph problem considered in this paper is an incremental/decremental one. The key advantage to the algorithm by Stix is that the information about cliques obtained for C can be used to efficiently determine the new set of maximal cliques in G+1 without having to recalculate the entire problem from scratch. Moreover, knowledge of the complete set of maximal cliques directly implies knowledge of the maximum clique. Most research thus far in dynamic graph optimization has focused on connectivity and related problems. In these contexts, the graph is parti tioned into a crisp set of non-overlapping elements. In this paper, the result over the dynamic graph is a fuzzy clustering representing sets of maximal cliques obtained from the graph constructed by incrementally increasing or decreasing the threshold value. Furthermore, a nice by-product of this ap proach is that a hierarchical structure evolves as the threshold increases or decreases. The author provides two algorithms, one for adding edges (decreasing t), and one for removing edges (increasing t). The problem is formulated as a single step decomposition, meaning that only one edge is added each time. Although it can be expected that more than one edge will be added from G to G+i, one can easily construct a new series of graphs such that each one corresponds to adding exactly one edge: IE*i\E*i_l =1 i=1,...,T (3.1) The above construction can be realized by constructing k—i intermediate graphs whenever IE* \ E*j_lI = k> 1. The following theorems for adding and removing edges are proposed. Supporting lemmas are given in the paper, but are left out here for brevity. 27 Chapter 3. Related Work Adding Edges Let G, (V,E) be a graph at time i, and (u,v) be an edge added from time i to i + 1. Furthermore, let C be the set of maximal cliques in G. Then: 1. All cliques in C that do not contain either u or v are also in C,1. 2. For all pairs of cliques (A,B) E C such that u E A and v E B (or vice-versa), the following statements are true: (a) L (A fl B) U {u, v} is a clique and L E C1 if it is maximal. (b) A \ Bj = 1 = A C1; otherwise A E C1 if it is maximal. An analogous statement holds for lB \ Al = 1. 3. The set C1 is fully determined by the above statements. Statement 1 says that cliques that do not contain either u and v are not affected by the addition of the edge (u, v). Statement 2 addresses pairs of cliques (A, B) that contain either u or v; clearly, a single clique cannot contain both, since this implies that the edge (u, v) was already present. Statement 2(a) addresses the possible formation of a new maximal clique, while 2(b) considers whether the existing cliques containing t or v become subsets of the new clique L (in which case they are not maximal and thus not in C+1). Removing Edges Let G (V,E) be a graph at time i, and (u,v) be an edge removed from time i to i + 1. Furthermore, let C be the set of maximal cliques in G. Then: 1. All cliques in C that do not contain both u and v are also in 2. For all A e C such that (u, v) E A, the following statements are true: (a) A (b) L = A \ {u} is clique and is in C+1 if it is maximal. An analogous statement holds for L = A \ {v}. 3. The set Cj1 is fully determined by the above statements. 28 Chapter 3. Related Work Statement 1 simply says that a clique is not affected by a removal of an edge if it didn’t contain that edge. Statement 2(a) states that any clique containing the edge (u, v) is destroyed and cannot be in Statement 2(b) describes the resulting cliques when u and u are removed from consideration. This work is relevant in the context of this thesis because it introduces the first maximal enumeration algorithm for dynamic graphs. Unfortu nately, these theorems and supporting lemmas do not hold for randomized algorithms since no guarantees can be made with respect to the completeness of the set maximal cliques at any given time. The Star Clustering Algorithm Aslam et al. present an online graph-theoretic clustering algorithm that uses an approximate clique cover to produce a clustering of the elements (i.e., the vertices of the given graph) [78]. More specifically, their method identifies a set of dense star-shaped subgraphs to cover the vertices of a graph G thus producing a fuzzy clustering of the elements of C. Each star-shaped subgraph is composed of a star center and multiple satellite vertices, where an edge exists between each satellite and the star-center, but not necessarily between satellite vertices. Figure 3.2 (A) shows a star cover for a small set of vertices, where larger circles are the star centers and smaller circles are the satellites adjacent to each star center. This approach guarantees pairwise similarities between satellites and the star-centers, while only a lower-bound and expected similarity between satellite vertices is given. The Figure 3.2: A star cover before (A) and after (B) a new vertex is added. authors present both offline and online algorithms for producing a clustering by star covers of a given graph. The online algorithm assumes a cluster exists and new vertices arrive incrementally over time (insertion), and also that existing vertices can become obsolete (deletion). No consideration is made for edge removals or additions with respect to existing vertices. When a (A) (B) 29 Chapter 3. Related Work new vertex v is added to the graph, the degree of that vertex determines how the existing clusters will be affected. If v does not have an edge to any existing star center, then it becomes a star center. If v is connected to any other vertex u such that degree(u) degree(v), then v becomes a satellite of u. These are the simple cases; the difficult cases are (1) the degree of v is greater than all other star centers it is connected to, and (2) adding v increases the degree of an adjacent satellite such that it has a higher degree than its associated star center. In these cases, the existing star cover is broken and must be re-calculated. All affected vertices (i.e., those adjacent to v or in the broken star cover) are enqueued into a list so that the star cover can be re-calculated. The star cover reconstruction process is started using the vertices in this list. These local changes may further break other star covers, causing more vertices to be added to the list. This entire process is repeated until all affected vertices have been processed and form a new stable star cover. Figure 3.2 shows the star cover before (A) and after (B) the addition of a single vertex which results in the current star cover being broken and re-organized. Unlike the algorithm described in 3.5, where the number of vertices re main constant and only edges are added or removed, the star clustering algo rithm demonstrates how a clustering of the graph vertices can be maintained when new vertices are added or removed from the graph. Furthermore, sim ilar to the other approaches described in this section, the algorithm is able to repair the set of clusters (star covers) without re-starting from scratch. 3.6 Computational and High Frequency Finance The work we present in this thesis is partially motivated by several other projects that have demonstrated the ability to extract meaningful informa tion from stock market data. Stock market data can be roughly categorized into ‘historical’ and ‘real-time’ data. Until recently, historical data has been available and more easily accessible than real-time data. Like many other businesses, financial institutions consider their data as a competitive edge and rarely provide this data to the public, or even academic institutions for that matter. Fortunately, recent technological movements in the financial industry have resulted in stock markets moving to either partially or com pletely electronic-based systems. For example, the NASDAQ is a completely electronic exchange that not only distributes the trade and quote data in real-time, but also accepts new trade and quote orders electronically. The following describes several research projects which motivate our approach. 30 Chapter 3. Related Work Boginski et al. use historical prices to reveal complex price-price inter action networks [13]. Using these networks, they are able to find clusters of stocks which have highly correlated price trajectories over a long time interval. In a similar study, the stock market is shown to be a nearly- decomposable network which comprises hierarchic subsystems [34]. This approach also uses historical data, but emphasizes the ability to further classify stocks into multiple levels using the price-price interaction patterns. Another interesting project is by Nesbitt and Barrass who attempt to find trading patterns using a combination of visual and auditory displays [791. In this project, day traders can visualize real-time quote data using a novel bid-ask-landscape, complemented with auditory cues, in order to accurately predict short-term price movements. While this approach emphasizes a user- driven trading system, the authors suggest that through supervised training models, heuristics could potentially be extracted from the trader and used in an automated trading environment. Michael Kearns et al. have developed the Penn-Lehman Automated Trading Project (PLAT) [801, which is a state-of-the-art simulation plat form for developing and testing automated trading agents. Each trading agent employs a particular trading strategy, and aims to maximize profits for a single stock over a single trading day. All trading strategies attempt to completely unwind share positions before the end of the trading day. Dempster et al. have produced a series of interesting research papers that explore the profitability of real-time technical analysis trading in the for eign exchange (FX) market [81, 82, 83, 84]. The main conclusions of their work was that using single technical indicators in isolation ultimately re sults in a loss-making strategy [821. Further research by the group, however, showed that by combining multiple technical indicators and strategies using genetic programming, they were able to produce a statistically significant profit-making strategy returning 7% per annum [83]. 31 Chapter 4 Parallel Dynamic Local Search and Phased Local Search Even when intelligent heuristics are designed to efficiently find the maximal clique in a graph, the inherent complexity of the problem makes it challeng ing to produce accurate results within reasonable times. While researchers continue to produce new algorithms for tackling these difficult problems, the most promising approach for cutting down the overall computation time required to find high-quality solutions within tight time constraints is par allelization. Parallel SLS algorithms provide a natural way to design and implement efficient and robust algorithms for solving hard combinatorial optimization problems. By robust, we mean the algorithms offer a consis tently high level of performance over a variety of problem instances, and efficiency means that it can solve large problems within a reasonable time — where “reasonable” depends on the context under consideration; e.g., an offline problem using a massive data set versus an online/real-time problem with a smaller data set but more stringent time constraints. Thus, parallel SLS is an attractive approach for achieving high-quality solutions in time- constrained systems, and in particular, when there is a trade-off between compute time and solution quality. The focus of this chapter is on the de sign, implementation and empirical analysis of parallel versions of two new state-of-the-art algorithms for the maximum clique problem: Dynamic Lo cal Search (DLS-MC) [64] and Phased Local Search (PLS) [15]. We show the speedup obtained through multiple independent runs, a very basic yet highly efficient parallelization strategy. For both implementations we pro vide a detailed empirical analysis on their scalability up to 32 processors using a small but representative set of DIMACS benchmark instances. 32 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 4.1 Independent Multiple Runs A multiple independent runs parallelization strategy is essentially launching p independent runs of the algorithm in parallel, where “independent” refers to the fact that individual search processes do not share information during the search (and hence do not act upon any external information to bias their own search trajectory). To be completely independent, search processes must also perform independent initialization, ruling any out possibility of correlation in the search trajectory. We take a slightly different approach to this strategy in that we perform a controlled initialization where the manager process seeds each worker process with a unique starting vertex.4 Although one could argue that the runs are not completely independent, the randomness involved in DLS-MC and PLS (and for any SLS algorithm in general) will cause the search trajectories to become quickly iincorrelated. In Section 4.4.1 we perform a small test to show how our modified approach to multiple independent runs affects the overall speedup results. For simplicity, through this chapter and the remainder of the thesis, we refer to our modified scheme as multiple independent runs. 4.1.1 Overview This section discusses the design and implementation of Parallel Phased Lo cal Search (PPLS) and Parallel Dynamic Local Search (PDLS-MC), parallel implementations conforming to the multiple independent runs strategy. In our implementation, a manager-worker architecture is used to control the communication that is needed to exchange and report on solutions obtained after each run. We point out here that a “run” refers to a single search tra jectory that terminates when either the target clique size has been found, or a user-specified limit on the run-time (either in terms of CPU time or search steps) has been reached. Unless otherwise noted, our experiments use the known optimal clique size as the target clique size. In our manager- worker architecture there is one manager and many worker processes, and the manager process does not perform any searching. For our experiments, each process is mapped to a single processor, although this is not strictly necessary to obtain empirical speedup results, since we can measure the run length and convert it to run-time (see Section 4.1.3 for details). For example, “Parallel PLS with eight search processes” means we have one manager pro 41n the case where there are more workers than vertices, some workers will be assigned the same starting vertex. 33 Chapter 4. Parallel Dynamic Local Search and Phased Local Search cess, eight worker processes, executing on nine different processors.5 Because no information is exchanged between the individual runs, the only work performed by the manager is at the beginning and end of each run. At the start, the manager seeds the workers with a unique starting vertex, and then waits for a worker to indicate it has quit searching. If a worker quits searching because it found the target clique size, it sends a ‘SO LUTIONYOUND’ message to the manager, who then relays this message to the other workers; otherwise if the manager receives a ‘TIMEEXCEEDED’ message, it does not need to pass on this message, since this simply indicates that the worker who sent the message has exceeded its maximum run time or number of search steps. When a worker receives the message indicating that another worker has found the target clique size, it exits the search rou tine immediately. The manager then gathers the best clique sizes from all the workers, determines the largest size and the set of all cliques of that size (since more than one maximum clique may have been found), and then pro ceeds by requesting the actual solutions (vertices in the maximum clique) from the appropriate worker(s). This exposes a large-grained parallelization architecture as the only communication performed during the run is non- blocking asynchronous message-checking, and synchronization between the worker processes is only performed at the beginning and the end of each run. Figure 4.1 shows a flowchart of the multiple independent runs parallelization strategy. As outlined in Section 3.3, parallel SLS methods can be catego rized according to several criteria. Following the proposed notation, our particular implementations conform to a p-Control, Rigid Synchronization, and Multiple Point Single Strategy (pC/RS/MPSS) parallelization scheme: all processes control their own search, no information is exchanged and/or used during the search, and processes execute the same search algorithm starting from different initial points. 4.1.2 Implementation Considerations Upon finding a solution, the worker process must notify the others so that they can terminate their search. In order to implement this, worker pro cesses must occasionally check for the ‘SOLUTIONFOUND’ message. The interval at which to check for this message is a user-defined parameter called polLinterval. In general, most SLS algorithms are designed such that they rely on very efficient and fast iteration cycles, and checking for these mes sages every iteration would certainly cause the performance of the algorithm 5Some of our machines have dual CPU’s, in which case two processes may be mapped to the same machine, but they are executing on different processors. 34 Chapter 4. Parallel Dynamic Local Search and Phased Local Search to degrade considerably. Conversely, if no polling mechanism exists, then when one process finds the target clique size, all others will continue search ing until either they too find the target clique size, or the maximum number of iterations is exceeded. Clearly, this is a waste of valuable computing resources, both in practice and within a testing environment. Instead, we simply choose to poli in regular intervals throughout the search (i.e., every k steps for some parameter value k) such that performance is not hindered, yet provides a reasonable upper bound on the duration between successive message checks. More details on this specific issue are discussed in Sec tion 4.3. Another topic worthy of discussion here is that of accurate timing. The first round of experiments was timed using MPI’s MPLWtime() method call, which measures wall clock time. We soon found out that this approach is prone to being inaccurate if the machine load cannot be precisely controlled. Furthermore, for hard instances which required considerable compute time, the variable containing the elapsed time in milliseconds was often subject to an overflow error. To remedy this problem, we measured the exact num ber of CPU cycles using assembly code to directly access the CPU counter register [85j. We then extracted the executing machine’s exact CPU speed from /proc/cpuinfo (the “cpu MHz” line) in order to obtain a precise mea surement of elapsed run-time. Perform POLL INTERVAL selections (or until MAX_SELECTIONS reached) using N independent search processes Figure 4.1: Flowchart of multiple independent runs parallelization strategy. 35 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 4.1.3 Cost Model Due to the inherent added complexity when parallelizing a sequential algo rithm, we provide a basic cost model describing the algorithm’s run-time that incorporates the communication overhead, enabling us to estimate the portion of run-time spent on communication versus searching. Furthermore, the cost model allows us to calculate the run-time of the algorithm by mea suring the run-length, which is important for an empirical analysis if ded icated machine resources are hard to obtain. In our implementation of an multiple independent runs algorithm, a worker process only communicates with the manager to check for a termination condition (i.e., to see if another worker has found the target clique size). We define the run-time cost model as: RT = (selections x T8) + (num_polls x T) (4.1) where selections is the number of selections made during the execution of the algorithm, num_polls is the number of times the process checks for incoming messages, T is the time (in CPU seconds) per poli, and T8 is the time (in CPU seconds) per selection, which depends on both the algorithm and the problem instance on which it is measured. The num_polls variable is dependent on a user-defined parameter poll_interval, which specifies how often to poil for messages; thus we can easily calculate num_polls as follows: I selections num_polls = I Lpoll_znterval We can then rewrite Equation 4.1 as I selections IRT—(selectionsxT8)+(i I xT,) Lp011_interval j Rearranging to solve for T, we get: RT — (selections x T8) — sejections (4.2) [poll_interval In order to determine T5 or RT, we need a second equation. Fortunately, we can approximate the value of 7’ by calculating the CPU time for a single vertex selection when the algorithm runs without message polling (this is essentially equivalent to the corresponding sequential algorithm, except with some minor differences in the startup and shutdown cost factors such as MPI 36 Chapter 4. Parallel Dynamic Local Search and Phased Local Search initialization and seeding of unique starting vertices). We then obtain this simplified run-time model: RT* = (selections x T3*) and rearranging for T3* we get T3* = RT* (4.3) selectzons We calculated T5* by running 100 independent runs on a controlled ma chine, with no other user processes competing for CPU cycles. Our ref erence machine contains a single Intel Pentium 4, 2.80GHz processor CPU with 512KB cache, 512MB of RAM, running SuSe Linux with kernel version 2.6.16.13-4-smp. For each run we specified a target clique size larger than existed in the graph, forcing the algorithm to perform an exact number of selections, and thus ensuring that T’ was truly representative of the average time per selec tion, taking into account that the algorithm executes different parts of the code depending on the current state of the search. For example, when doing plateau search, a vertex v is taken from the set C1(K) and swapped with a vertex v in the current clique K if (v, v*) E. DLS-MC and PLS choose between two options for finding v*: look through vertices in K for one not connected to v, or traverse U (v’s complementary adjacency list) until v is found. Clearly, both of these operations are linear in the size of K and U, respectively, but for efficiency reasons choosing to search for v in the smaller of the two is desirable. This run-time decision causes slight varia tions in time required for a single selection, and so by running the algorithm for a large number of selections, we are able to record an average over all selections representing a reasonable approximation for (see Table 4.1). To calculate T, we used the same reference machine and test setup as used for calculating T8*. The only difference is that we used the PPLS algorithm with polling, setting poll_interval = 10 (selections). The reason for choosing this value, which may seem quite low, is twofold. First, we felt that it was important to verify how such frequent polling impacted the algorithm, because when used in an online setting, it must have a fast response time. Second, this value is a reasonable balance between polling too often and degrading the performance of the algorithm, and polling too little, resulting in a waste of value computing resources. Refer to Table 4.1 for full results. A more practical solution to this problem of determining an optimal polling interval is addressed in Section 6.4.4 in the context of an 37 Chapter 4. Parallel Dynamic Local Search and Phased Local Search PLS DLS-MC Instance * *T5 [sec] T [see] 7’ [sec] T [see] brock800_1 4.322 x 10—6 1.565 x 10—6 8.552 x 10—6 1.447 x i0 keller6 9.454 x 10—6 3.134 x 106 2.211 x 1O 2.969 x iO C1000.9 2.174 x 10—6 2.150 x 10—6 4.581 x 10—6 4.051 x 10—6 p_hatl500-1 1.458 x 10 2.524 x 10—6 2.805 x 10 3.693 x 10 Table 4.1: Values for T5 and T determined on our reference machine on each of our four benchmark instances; see text for details. online workfiow environment, where we discuss how to adaptively tune the poll_interval parameter to optimize the load-balancing requirements of the system. Although we calculate T independently for each instance, it is clear that the value should be independent of the instance since the same logic is executed every time regardless of the particular instance. In fact, it is more reasonable to assume that the value for T1,, is architecture-dependent, rather than instance-dependent, since polling uses MPI routines which in turn use system-level calls. Our final value for 2; was calculated by taking the average over all of our benchmark instances, resulting in 2; 4.51 x 10—6 seconds. Once 2; and T5* are known, we are able to estimate the run-time using Equation 4.1. To assess the cost model for each algorithm, we ran 100 inde pendent runs on each instance with a fixed polling interval of 10, specifying exactly 10 million selections and a target clique size greater than the known optimal for the respective instance. Table 4.2 displays the estimated and actual run-times, and the corresponding cost model estimation error. DLS-MC PLS Instance Est [secj Act [sec] Err [%] Est [sec] Act [sec] Err [%] brock800i 97.4 92.9 4.9 47.3 45.8 3.4 keller6 248.9 231.8 7.4 96.7 96.9 0.2 C1000.9 52.7 48.9 8.5 26.3 24.3 8.4 p_hatl500-1 291.9 292.3 0.1 148.5 149.8 0.9 Table 4.2: Estimated run-time (Est), actual run-time (Act), and estimation error (Err) for DLS-MC and PLS on our four benchmark instances using the cost model defined in Equation 4.1.3. The estimate for the p.hatl500-1 was very close for both algorithms, 38 Chapter 4. Parallel Dynamic Local Search and Phased Local Search while the estimation error for the brock800ll and C1000.9 instances was off for both DLS-MC and PLS. The keller6 estimate was close for PLS but not for DLS-MC (0.1% and 7.4% respectively). One possibility points to the small run-time values, especially for C1000.9 and phatl500-1, which invite a greater chance of timing errors. Another possibility is a bad estimate for the value of T, which would in turn affect the estimated run-time. Since performing a message probe using MPI makes a series of system calls, it is possible that subtle low-level system events such context switching or page faults could have affected the measurement of T. Finally, considering the granularity of our timing measurements, even small rounding errors in the calculations could be to blame. In retrospect, it would have been better to devise an experimental approach which was less sensitive to precise timing measurements. We also note that the difficulties endured in these timing experiments highlight the fact that the excellent performance of SLS algorithms stems from the fact that many cheap steps can be performed within relatively short periods of CPU times. The final step in presenting the cost model is to verify that the par allelization does not affect the relationship between search selections and run-time. Figure 4.2 shows two scatter plots for PPLS illustrating how the number of selections is correlated with the run-time. Each point on the plot represents the time needed to execute the corresponding number of se lections. For the case of a sequential algorithm, each run of the algorithm produces a single point on a scatter plot. Similarly, for the parallel case, each run with p processors results in p points on the scatter plot. These results confirm there is a linear relationship between the number of selec tions and run-time for both the sequential and multiple independent runs versions. 4.2 Cooperative Search Strategy This section explores the effectiveness of a cooperative search paralleliza tion strategy for PLS. The resulting algorithm, called Cooperative Parallel Phased Local Search (CPPLS) is similar to the non-cooperative variant in troduced earlier in that the communication model follows a manager-worker architecture. The difference now is that worker processes are able to com municate with the manager during the search to participate in a solution exchange mechanism. Following the strategy used in several recent coop erative search methods [51, 52, 68, 70], we allow worker processes to share their incumbent solutions (current working clique) during the search. This 39 Chapter 4. Parallel Dynamic Local Search and Phased Local Search S I S I- Figure 4.2: Two sample scatter plots for PPLS, showing the correlation between run-length (x-axis) and ruu-time (y-axis). concept of sharing elite solutions is a popular strategy with many similar names: central memory, solution poois, solution warehouse or elite solution set. The intuitive aim of such elite solution sharing is to bias the search to Run-length [selections] (a) brock$OO_1 300000 400000 500000 Run-length [selections] (b) p_hatl500-1 40 Chapter 4. Parallel Dynamic Local Search and Phased Local Search look in more promising regions of the solution space [701. Cooperative Parallel Phased Local Search (CPPLS) Referring to the proposed notation for parallelization classification (dis cussed in Section 3.3), our particular implementation conforms to a p Control, Collegial, and Multiple Point Single Strategy (pC/C/MPSS) ap proach: all processes control their own search, information is exchanged and used during the search but the type of information is limited to elite solutions, and processes execute the same search algorithm starting from different initial points. Previous studies have shown that cooperation through asynchronous ex changes of information is superior to synchronous approaches [73]. We there fore use a strictly asynchronous communication framework to allow for max imum flexibility between the individual processes. In our framework, worker processes send their solution to the manager after every non-successive im provement; e.g., all improvements except during the initial greedy iterative improvement phase where the current solution is improved after every se lection. The rational here is that the search has then found an exit of a plateau, and sharing the incumbent solution then allows other search pro cesses to jump” over to the same area, but with a perturbed landscape due to the different vertex penalties. The exchange mechanism works as follows: process A sends the size of its incumbent solution to the manager, who then determines if it is better than the worst of the elite solutions. The manager then sends a boolean response indicating whether it wants the solution; if so, process A sends the actual solution (vertices of the clique), otherwise, the manager rejects the incoming solution and the exchange process is aborted. This approach was evaluated using a parallel cooperative GRASP with path-relinking heuristic for the 2-path network design problem [86], and was found to be superior to always sending the solution to the manager without first checking its quality rela tive to the other elite solutions. The manager stores all the elite solutions in memory and distributes to the workers when requested. A solution is chosen uniformly at random from the set of all elite solutions. The number of elite solutions to store at any given time is currently a user-defined parameter to the algorithm. Too many elite solutions means that many sub-optimal solutions will be collected, while too few elite solutions results in poor di versification since the algorithm will explore the same regions of the search space. A basic empirical evaluation was conducted to determine an optimal value of 10 for our given subset of problem instances. See Section 4.4.2 for 41 Chapter 4. Parallel Dynamic Local Search and Phased Local Search details. Workers processes request an elite solution from the manager when they feel that the search has stagnated. In particular, we have adopted the approach used by Battiti et al. in the Reactive Local Search (RLS) al gorithm [58] to detect stagnation: after a specified number of selections since the last improvement or restart, the search is restarted. We employ the same stagnation detection mechanism expect that instead of restart ing, a worker requests an elite solution and continues the search using the newly imported solution as its working clique. A solution is imported when the condition selections - lastimproved > STAGDELAY is true, where selections is the current selection (steps) of the algorithm, last improved in dicates when the incumbent solution was last improved, and STAGDELAY is a parameter which specifies how many selections without improvement are considered indicative of search stagnation. We use the same calculation for STAGDELAY as used in the RLS algorithm, which is STAGDELAY = 3 x KI, where /3 is a user-defined parameter and K is the size of best so lution obtained so far. Including IKI into the calculation ensures that the stagnation threshold increases relative to the maximum clique size. Another interesting approach that we did not explore, although it may be of interest for future work, is the ability to share vertex penalties asso ciated with the current clique. The idea here is that since vertex penalties are associated with recently selected vertices, we can explicitly control the convergence to, or divergence from, certain areas of the solution space. For example, if process A finds a high-quality solution and we want processes B to explore that area, then we could adjust B’s vertex penalties to increase the chances that the region found by process A is explored in the near fu ture. Similarly, we could adjust the vertex penalties to force the search to diverge from a specific region. 4.3 Empirical Analysis This section describes the experimental framework used to empirically ana lyze the performance of PDLS-MC, PPLS and CPPLS. The main questions we wish to answer are which of these algorithms performs best, and in par ticular, whether the cooperative approach outperforms the (much simpler) multiple independent runs method. Furthermore, we wish to examine to what extent these parallel implementations scale as additional processors are used. Our evaluation consists of measuring the run-time and run-length distributions on various benchmark instances for PDLS-MC and PPLS, and 42 Chapter 4. Parallel Dynamic Local Search and Phased Local Search comparing the results against their respective sequential versions. We also measure the speedup obtained by executing an increasing number of inde pendent runs in parallel. For CPPLS, we do the same and also measure the speedup relative to PPLS in order to determine how well the cooperative version performs relative to the non-cooperative variant. The small subset of benchmark instances used in this evaluation are C1000.9, brock800l, p.hatl500-1 and keller6. The C1000.9 graph is from the random graph family and originally created for graph colouring prob lems [87]; an instance of the form Cx.y has x nodes and 0.y edge probability. The brock800_1 instance is from the Brockington-Culberson graph family, a set of benchmark instances originally designed to be hard Maximum Inde pendent Set problems by use of “camouflaging” [59]. Both the C1000.9 and brock800_1 instances were chosen because they were the subjects of thorough empirical analysis in the original DLS-MC paper, and thus detailed perfor mance results for the sequential version were already available. The phat family of benchmark graphs are generalizations of the classical uniform ran dom graph generator, having a wider node degree spread and larger cliques than uniform graphs [88]. The keller graph instances are graph-theoretic for mulations of Keller’s conjuncture [60], and are generally hard for maximum clique solvers, including DLS-MC and PLS. Table 4.3 shows the details for each of these instances, with w represent ing the best known clique size. Instance # Vertices # Edges w C1000.9 1,000 450,079 68 p_hatl500-1 1,500 284,923 12 brock800i 800 207,505 23 keller6 3,361 4,619,898 59 Table 4.3: Properties of our selected DIMACS benchmark instances. For each algorithm and benchmark instance, 100 independent runs were performed. No search time limit was given, however a large selection limit of 200 million was given to allow as many runs as possible to find the target clique size. In all experiments for each instance, with the exception of the keller6 instance, both PDLS-MC and PPLS found the optimal clique size in every run. For the keller6 instance, PDLS-MC always found the target clique size within the given selection limit, but PPLS fell short, only finding the target clique size in 62/100 runs when using one processor and in 86/100 runs when using two processors. 43 Chapter 4. Parallel Dynamic Local Search and Phased Local Search There are two general approaches for empirically measuring the perfor mance of SLS algorithms. The more common method is to measure the actual wall-clock execution time of the algorithm over a range of benchmark instances. The other method measures the performance with respect to the number of elementary operations (e.g., selections or steps), which in the context of DLS-MC and PLS refers to a single vertex addition or removal. These two approaches can always be converted from one to the other using a cost model that specifies the “time per elementary operation” (see Sec tion 4.1.3 for details). Empirically measuring the run-time performance of an algorithm is relatively straightforward for non-randomized algorithms. For SLS algorithms, the idea is to to determine the probability that the algorithm will find the optimal solution within a given time t. If RT is the time it takes for an algorithm to find the optimal solution, then the solution probabilities, PS(RT t), can be empirically measured yielding the Run- time Distribution (RTD). The following definition is taken from Chapter Empirical Analysis of the book by Hoos and Stützle [46]: Definition: Consider a Las Vegas algorithm A for decision problems class H, and letP5(RTA, t) denote the probability that A finds a solution for a soluble instance ir II in time less than or equal to t. The run-time distribution (RTD) of A on ir is the probability distribution of the random variable RTA,T, which is characterized by the run-time distribution function rtd: 1R ‘—b [0, 1] defined as rtd(t) =P8(RTA, t). The definition of a Run-length Distribution (RLD) differs from that of an RTD only in that run-time is measured in terms of the number of steps/selections taken to find the optimal solution. As we mentioned previ ously, RLDs and RTDs can be converted from one to another by knowing the precise timing of the underlying elementary operations. Figure 4.3 shows the RLD for DLS-MC on the C1000.9 instance using 16 processors (a), and the two corresponding RTDs (b), one of which was calculated using the measured wall-clock time, while the other was calcu lated using the cost model as described in Section 4.1.3. These plots show how the cost model can use the run-length to generate a reasonably good estimate of the true run-time. When using the multiple independent runs parallelization strategy, if the run-time (or run-length) of the underlying se quential algorithm is exponentially distributed, then a linear speedup can be achieved [46]. This is because of a well-known statistical result which states that if the probability of finding a solution in time at least t is exponentially distributed with median m, then the probability of finding the same solution 44 Chapter 4. Parallel Dynamic Local Search and Phased Local Search / 100 1000 10000 100000 le+06 log Run-steps (a) RLD I non-cahbrate calibrutod 0 0.001 0.01 0.1 log Run-time (seconds) (b) RTD Figure 4.3: RLD and RTDs for the C1000.9 instance using 16 search pro cesses. 45 Chapter 4. Parallel Dynamic Local Search and Phased Local Search or better using p processes is distributed with median ! [89j. This means that success probability of the algorithm when run for t time units is the same as the success probability when running the algorithm p times for — time units each. Based on these observations, if the RTD of the sequen tial algorithm is exponentially distributed, then it follows theoretically that we should get optimal parallelization speedup with respect to the number of processors. However, in practice SLS algorithms do not have perfectly exponential RTDs and thus the observed speedup is not always optimal. To measure the actual parallel speedup of the multiple independent runs strategy, we perform the search using a varying number of processors and record the number of selections (run-length) needed to find the target clique size (recall that any run-length distribution can be converted to a run-time distribution). If RTA8 is the CPU time required by the sequential algorithm A8, and RTA is the time taken by A, a parallel version of A5 using p processors, then the relative speedup SA of the parallel algorithm is defined as RTAS SA RTA Similarly, we can substitute run-time RT for run-length RL and get an equivalent definition for speedup: SA RLAB (4.4) RLA The efficiency of a parallel algorithm describes the average fraction of time that the processors are being effectively utilized. The formula for mea suring the efficiency ‘IJA is given by: = (4.5) Clearly, the maximal efficiency of 1 occurs when SA = p, meaning that the speedup is linear with respect to the number of processors. Environment The underlying distributed communications utilizes the Message Passing Interface (MPI), the de-facto standard message passing library for high per formance parallel computing. In particular, we use LAM/MPI version 7.1.1, 46 Chapter 4. Parallel Dynamic Local Search and Phased Local Search which is a high-quality, open-source implementation of MPI [61. MPI sup ports multiple platforms in a variety of heterogeneous computing environ ments, providing a solid basis for designing and implementing scalable par allel architectures for use in a variety of contexts from single multi-processor machines to arbitrary-sized compute clusters. Our primary testing environ ment consisted of a cluster of 14 PC workstations each equipped with dual Intel Xeon 3.06GHz CPUs with 2GB of RAM, running SuSe Linux 9.1 with kernel version 2.6.5-7.252-smp. Some experiments required more than 28 processors; in these cases, spare (idle) machines were used, and only the RLDs were measured to avoid problems with varying CPU speeds. 4.4 Results In this section we describe results obtained from the empirical analysis of PDLS-MC, PPLS and CPPLS. In order to keep this section reasonably small and easy to read, we present only sample and illustrative results. The full set of results using all four of our benchmark instances can be found in Appendix A. 4.4.1 PPLS and PDLS-MC As mentioned at the start of this chapter, we did not implement a true multiple independent runs parallelization strategy. The minor difference is that processes do not begin the search with an independently chosen seed vertex. Instead, the manager assigns a unique seed vertex to each worker, thus ensuring a unique starting point for each search trajectory (unless of course there are more workers than vertices, in which case some trajectories may start from the same seed vertex). Table 4.4 shows the performance difference between a multiple independent runs strategy with and without unique seed initialization. The experiment was performed using 200 independent runs per instance using 13 search processes per run, with a maximum search selection limit of 100,000,000. The target clique size was achieved in all runs for each instance, except for one failed run on keller6 when not using unique seed vertices. As we expected, the results show that using unique seed vertices improves performance on some instances, but also degrades it for others, and that most likely the overall effect is dependent on the problem instance. Further experiments on a wider range of instances would allow us to more thoroughly characterize the performance effect when using unique seed vertices. 47 Chapter 4. Parallel Dynamic Local Search and Phased Local Search Median Run-length [selections] Instance Speedup Without unique seeding With unique seeding C1000.9 68,457 44,815 1.53 brock800_1 433,510 442,511 0.98 p_hatl500-1 20,701 9,182 2.25 keller6 10,340,507 11,367,093 0.91 Table 4.4: Observed speedup when starting with unique seed vertices using 13 search processes. Table 4.5 shows the raw numbers for the speedup and efficiency on our four benchmark instances for PDLS-MC and PPLS in terms median run- length. Figures 4.4 and 4.5 show sample scalability and speedup results for PPLS and PDLS-MC respectively. These plots show the scalability and speedup results for only the brock800_1 instance, although we note that the results were for the most part similar across the different test instances. As men tioned previously, the full set of results for the benchmark instances can be found in Appendix A. Figure 4.6 contains two related RLD plots for PDLS-MC with 1 and 4 search processes on the keller6 instance. Each plot contains the empirically measured RLD, along with an approximated RLD with an exponential dis tribution function ed[m](x) = 1 — 2—x/m, where m is the median run-length from the RLD.6 Discussion In order to accommodate a wide range of application scenarios, SLS al gorithms must maximize their parallelization speedup; in other words, if we perform a search using p processes, we want to achieve a speedup of p (assuming a one-to-one mapping between processes and processors). We previously defined efficiency as the ratio between speedup and p; in other words, efficiency can be thought of as the fraction of time that the processors are being effectively utilized, which is especially important in industry where effective resource management is a key component to any computing infras tructure. Our results indicated near-linear speedup for 2 and 4 processors, but reduced slightly thereafter, with an average efficiency of approximately 0.5 for the 32 processor tests. 6According to Pullan and Hoos [64], the run-time of DLS-MC tends to be exponentially distributed. 48 Chapter 4. Parallel Dynamic Local Search and Phased Local Search DLS-MC PPLS Instance # Proc Speedup Efficiency Speedup Efficiency 1 1 1.000 1.00 1.00 2 2.038 1.019 2.038 1.019 4 3.367 0.842 3.367 0.842 i 8 5.591 0.699 5.591 0.699 . 16 11.402 0.713 11.402 0.713 32 12.900 0.403 13.602 0.425 1 1 1.000 1.00 1.00 2 2.629 1.315 2.629 1.315 4 2.792 0.698 2.792 0.698 8 5.218 0.652 5.218 0.652 16 13.735 0.858 13.736 0.859 32 18.231 0.600 22.002 0.688 1 1 1.000 1.00 1.00 2 1.682 0.841 1.682 0.841 4 3.253 0.813 3.253 0.813 8 6.854 0.857 6.854 0.857 16 11.2853 0.705 11.285 0.705 32 16.756 0.524 18.534 0.579 1 1 1.000 1.00 1.00 2 2.572 1.264 1.39 0.70 cc 4 5.120 1.280 2.47 0.62 8 7.768 0.971 4.57 0.57 16 14.244 0.890 10.32 0.65 32 28.733 0.900 16.04 0.50 Table 4.5: Speedup and Efficiency for PDLS-MC and PPLS relative to the corresponding sequential versions. The multiple independent runs strategy described in this chapter is easy to implement and requires no communication overhead during the search. This course-grained approach is ideal for execution on wide area networks with any amount of latency. The independence of the search processes means that the compute cluster can scale considerably before worrying about per formance degradation due to a bottlenecks in the communication model. 49 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 4.4.2 CPPLS In this section we explore the performance of Cooperative PPLS. Like pre vious sections, only sample results are shown here; please see Appendix A for full results. We measure the scalability and speedup of CPPLS with respect to its sequential counterpart, and also against the sequential version of PLS. The plots in Figure 4.7 and 4.8 show the scalability and speedup on two of our four benchmark instances with respect to Cooperative PLS with only one search processes; e.g., one worker process which is searching and one manager process which is accepting and distributing solutions from the pooi of elite solutions. Plots (a) in both figures show the speedup with respect to median run-length, while plot (b) shows the speedup with respect to median run-time. Because we did not develop a cost model for Cooperative PLS, we had to measure run-time directly and ensure all search processes were executing on identical machines. For this reason, the speedup results based on run-time is limited to 16 processors, since that is the maximum number of identical machines we could access. The results seem to indicate that CPPLS scales better than PPLS, rela tive to the one process search executions. In particular the speedup in search steps on the keller6 instance is quite surprising as it appears to be super- linear. However, the reason for this result could be that (1) CPPLS does scale better than PPLS, or (2) the single-process search execution of CPPLS performs poor relative to the multi-process searches. To determine which of these two cases apply, Figure 4.9 compares the RLDs of PPLS and CPPLS on the brock800A and keller6 instances using only a single search process. These results show that the RLDs of CPPLS are relatively similar to that of PPLS (except for the keller6 instance where CPPLS outperforms PPLS), suggesting that CPPLS scales better than PPLS, at least in terms of median number of selections required to find the target clique size. Figures 4.10 and 4.11 show two sample scalability and speedup results of CPPLS with re spect to the sequential version of PLS. Using this approach, we can see the scalability and speedup of CPPLS relative to PPLS. Similar to before, plot (a) is the speedup with respect to run-length, while plot (b) is the speedup with respect to run-time. The results confirm that for all but the keller6 instance, CPPLS is significantly slower. However, we were surprised to see that CPPLS seems to outperform PPLS on the keller6 instance by several orders of magnitude. In maintaining a pool of elite solutions, one obvious design question is “how many elite solutions should be kept?”. Too few elite solutions re 50 Chapter 4. Parallel Dynamic Local Search and Phased Local Search duces diversity and essentially causes the algorithm to repeatedly search sub-optimal regions; too many implies there are more sub-optimal solutions to choose from, decreasing the potential of requesting a good starting point from the pooi of elite solutions. Figure 4.12 shows what happens when we varied the maximum number of elite solutions on the keller6 instance and observed the corresponding performance. While there is no clear evidence indicating an optimal value, we can see that extreme ends of the parameter values displayed the worst performance. Table 4.13 shows the results when we varied the STAGDELAY param eter on the keller6 instance over two process configurations. As mentioned before, STAGDELAY is calculated as STAGDELAY = /3 x IKI; thus, to see the performance impact of varying STAGDELAY we actually varied the /3 parameter. These results show that for the keller6 instance, we found the optimal value for /3 to be around 100. When using other values, the performance is noticeably degraded. Setting /3 too small causes the search to stop its current trajectory prematurely, which may have led to the target solution, while setting 3 too high delays stagnation from being detected, re sulting in unnecessary exploration of the surrounding (sub-optimal) search space. Discussion Our results indicate that in most cases, the performance with respect to run-length is comparable to the non-cooperative variant, although in most cases, the performance with respect to run-time is significantly worse. The most obvious explanation for this is that the extra complexity (and hence CPU time) involved in the cooperative communication mechanism outweighs the reduction in CPU time required to find the maximum clique for a given problem instance. On a positive note, very little effort was made to optimize the efficiency of the cooperative mechanisms, and thus with some code and design optimization, the costly overhead could be significantly reduced. It should be noted that our empirical analysis is somewhat limited by the fact that we did not thoroughly explore and validate the full range of algorithmic design options for a cooperative search procedure. For example, we were unable to perform a thorough investigation on STAGDELAY pa rameter, although preliminary tests have shown that the optimal value for /3 on other instances was close to 100. Further empirical analysis may allow us to incorporate an adaptive mechanism wherein the value of /3 is reac tively updated to reflect the current state space or specific properties of the problem instance. Other future work on the cooperative search procedure 51 Chapter 4. Parallel Dynamic Local Search and Phased Local Search might include using a different communication scheme besides our tradi tional manager-worker protocol or exchanging other types of information besides the current maximum clique, such as vertex penalties. 4.5 Summary In this chapter we showed how two state-of-the-art SLS algorithms scaled reasonably well up to 32 processors using a basic yet efficient multiple in dependent runs parallelization strategy. Unfortunately, the speedup and efficiency results were not quite as good as expected. One reason for this, which is a result of our original hypothesis, is that the underlying sequen tial algorithm’s RTD does not conform to an exact exponential distribution, suggesting that it would be impossible to achieve linear speedup using the multiple independent runs parallelization strategy. However, in practice, one could argue that a target compute time could be achieved by simply adding more processors to the compute cluster, even if it meant less-than- optimal processor efficiency. It is also possible that future improvements to PLS and DLS-MC may lead to RTDs that are even closer to perfect expo nential distributions, which in turn, would lead to improved parallelization speedup. To further analyze the communication vs. computation trade-off in the multiple independent runs parallelization strategy, we introduced a basic cost model that describes the expected run-time performance while tak ing into account a realistic polling overhead. The polling issue is further examined in Chapter 6 where we describe a functional parallel workflow environment that uses Parallel PLS. One improvement we could have made to the cost model estimation strategy, was to calculate T by running the experiments on a cluster of machines, instead of the same control (reference) machine that was used to determine T3*, since the normal environment of the polling operation is more like a large compute cluster, and not within a single machine where communication is much faster through the loop-back network interface. In the second part of this chapter, we introduced a cooperative search strategy in which search processes share information in the form of high quality incumbent solutions found during the search. Some believe that cooperative search strategies have become popular mainly because they al low a more natural formulation of complex algorithms, e.g., memory-based searches, where past information is saved and used throughout the search. Additional motivation for such cooperative search approaches stems from 52 Chapter 4. Parallel Dynamic Local Search and Phased Local Search the fact that cooperative organisms like ants, bees and even humans, have been known to accomplish certain tasks much more efficiently as a collective group than by individuals working in isolation. Although our cooperative strategy was found to be typically much slower than its non-cooperative vari ant, exceptional performance was observed on a particular problem instance, indicating a potential improvement in the underlying sequential algorithm. While there may be promise in further exploring cooperative variants of PPLS, for the remainder of this thesis we focus on the simple multiple in dependent runs version of PPLS. 53 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 25 30 35 Figure 4.4: Sample Scalability and Speedup results for PPLS. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corre sponding speedup based on median run-length. 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 10000 35 — 30 25 20 0 0. 0. z t 0, a 0 100000 le+06 15+07 log Run-steps (a) brock800_1 le+08 15 10 5 0 brock800_1 Unea 0 5 10 15 20 # of Processors (b) brock800_1 54 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 0 0 a a 0 V a) a 0) 8 # of Processors (b) brock800_1 Figure 4.5: Sample Scalability and Speedup for PDLS-MC. Plot (a) shows for varying number of processors the RLDs while (b) shows the correspond ing speedup based on median run-length. log Run-steps (a) brock800_1 55 Chapter 4. Parallel Dynamic Local Search and Phased Local Search S 0 a a, S 0 a, a- log Run-time (search steps) (a) 1 processes 1— 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 10000 / I / Empirical RTI) — —. — 100000 le+06 le+07 le+08 log Run-lime (search steps) (b) 4 processes Figure 4.6: Empirical RLDs and corresponding approximated RLDs with exponential distribution for PDLS-MC on the keller6 instance. 56 Chapter 4. Parallel Dynamic Local Search and Phased Local Search Figure 4.7: Sample Scalability and Speedup results for CPPLS. Plot (a) shows speedup based on the median run-length, while plot (b) shows speedup based on the median run-time. 57 30 25 20 V / --a, a 15 -- 10 - FPL 5 10 15 20 25 30 # of Processors (a) brock800_1 a V a, a, a 0 6 8 10 12 14 # of Processors (b) brock800A 16 Chapter 4. Parallel Dynamic Local Search and Phased Local Search a •0 5 a, a 0 a a, a, a 0 80 70 60 50 40 30 20 10 16 14 12 10 8 6 4 2 0 35 2 4 6 8 10 12 14 16 # of Processors (b) keller6 Figure 4.8: A surprising Scalability and speedup result for CPPLS. Plot (a) shows speedup based on the median run-length, while plot (b) shows speedup based on the median run-time. #0! Processors (a) keller6 4 t CPPLS —i— Linear --<- 58 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 0 0.4 0 0. log Run-length (b) keller6 Figure 4.9: Comparing RLDs for PPLS and CPPLS with 1 search process on two of our four benchmark instances. 0.8 0.6 0.2 log Run-length (a) brock800_1 59 Chapter 4. Parallel Dynamic Local Search and Phased Local Search a V a) a 0 a a, a, a 0 16 14 12 10 8 16 14 12 10 8 6 Figure 4.10: Comparing Scalability (left) and Speedup (right) of CPPLS to PPLS. Plot (a) shows speedup with respect to the median run-length, while plot (b) shows speedup with respect to the median run-time. # of Processors (a) brock800A 8 # of Processors (b) brock800A 60 Chapter 4. Parallel Dynamic Local Search and Phased Local Search 500 PPLS CPPLS 450 Linear •-*- 400 350 300 a 250 - a(0 200 150 100 50 0 —. __.4..4”.’ j — 0 5 10 15 20 25 30 35 # 01 Processors (a) keller6 140 I PPLS CPPLS Linear --* - 120 100 80 a a 60 40 20 0 : 105 30 #01 Processors (b) keller6 Figure 4.11: Comparing Scalability (left) and Speedup (right) of CPPLS to PPLS. Plot (a) shows speedup with respect to the median run-length, while plot (b) shows speedup with respect to the median run-time. 61 Chapter 4. Parallel Dynamic Local Search and Phased Local Search I Dl proc.2 proc04 proc Figure 4.12: Impact of the value of MAX..ELITE parameter on CPPLS, applied to the keller6 problem instance. maximum number elite solutions 62 Chapter 4. Parallel Dynamic Local Search and Phased Local Search (b) 8 processes Figure 4.13: Impact of the value of 3 parameter on the RTD of CPPLS, applied to the keller6 problem instance over two search process configu rations. The three 3 parameter values are 50, 100 and 200; the CPPLS RTDs are compared against the PPLS RTDs with 2 and 8 search processes respectively. S 0 0. 0) S 0 0 log Run-time (seconds) (a) 2 processes 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0— 10000 50— 100 200 PPLS/8 100000 le+06 le+07 log Run-time (seconds) le+08 le+09 63 Chapter 5 Online Phased Local Search This chapter describes how Phased Local Search was adapted to operate in a dynamic environment where the input graph is subject to continuous modification. We present the changes made to the offline PLS algorithm which enables it to run in an online mode using trajectory continuation to resume the search with as little disruption as possible, while maintaining a high-quality incumbent solution. The algorithm is presented from both the oretical and implementation perspectives. We also provide some additional details which describe how online PLS fits within the context of a parallel workflow in which its job is to maintain a large set of maximal cliques from a dynamic graph. A detailed empirical analysis is conducted to examine its performance on a variety of hand-crafted dynamic graph series. 5.1 From Offline to Online Our motivation behind online PLS is that of a parallel workfiow which in corporates PLS, where the input graph to PLS is subject to modification at any point in time. Consider a system which is severely time-constrained, where high-quality solutions (i.e., cliques) from the updated graph must be discovered with minimal search time. In Section 3.2 we reviewed several applications which are based on solving the maximum clique problem and could be deployed in an online setting. Several of the examples used max imum cliques for feature matching and localization, a prominent problem in computer vision. Clearly, to use such an approach in an online set ting, the maximum clique solver must be extremely fast if the features and landmarks are to be extracted in real-time. Another example stems from interactive applications for combinatorial optimization problems. In such interactive systems, when a user dynamically modifies parameters or spec ifies new constraints, the underlying search space is also perturbed. The optimization algorithm must be able to adjust accordingly and recover solu tions as quickly as possible in order to provide accurate real-time feedback 64 Chapter 5. Online Phased Local Search to the user.7 Finally, consider a system which performs automated stock trading by constructing and analyzing a network model of the stock mar ket using real-time data. The high-frequency nature of the data means the input graph is rapidly changing, and thus minimizing the time delay in find ing maximal cliques in this dynamic graph is crucial for maximizing profits from time-sensitive opportunities. All of these examples mentioned above motivate the need for an online SLS algorithm that can adapt to dynamic changes while maintaining high-quality solutions. While PLS was designed to find the maximum clique in a static graph, only minor modifications were necessary to make it work on a dynamic graph. When the input graph changes, two main tasks are performed. First, the data structures representing the graph are updated. At this point the search could simply restart using the new graph and proceed as if it had started an entirely new problem instance. However, this simple scheme for solving online clique finding problems does not take into account that in many cases, the changes occurring with each update of the graph are fairly small. It has been previously shown for other combinatorial problems sub ject to dynamic changes over time that SLS algorithms often work best in finding solutions to the corresponding series of related problem instances when not forced to restart the search process after each change [74]. Instead, it is beneficial to continue the search across changes in the input data with as little disruption as possible. This approach is known as trajectory contin uation (TC) and can be easily applied to most SLS algorithms. Our online implementation of PLS exploits the power of trajectory continuation in order to consistently return a high-quality incumbent solution with minimal search cost. The pseudo-code for online PLS is given in Algorithm 4. Online PLS is realized as a wrapper around the FLSsearch routine, which is the orig inal (offline) PLS algorithm with minor modifications. The two parameters poll_interval and tcs define the termination criteria for the PLS_search subroutine. Specifically, tcs is the target clique size8, while poll_interval specifies the number of search selections PLS_search should perform be fore returning control to the main algorithm (this is the equivalent of the max_selections parameter in the original algorithm; see Section 3.1 for de tails). After every poll_interval selections, the algorithm checks for incom ing “update messages”. If an update message is available, the appropriate 7The general idea of allowing user interaction to guide an optimization algorithm as it works on a COP is called ‘Mixed-Initiative Optimization (MIO)’; see for example, Kirk patrick et al. [90], who describe a framework for such an interactive system. 51n our experiments the target clique size was known, but in a real-world setting it will likely not be known, and thus the termination criteria would depend only on pollinterval. 65 Chapter 5. Online Phased Local Search routines are called to maintain the dynamic graph and perform trajectory continuation. Otherwise, if no update is available, PLS_search continues exactly as before and the search trajectory remains unchanged. The main terminating criteria for online PLS is a boolean variable called online, which is conditioned on a total selection limit (sum of all poll_interval selections performed in each PLS.search invocation), or a message from an external program, such as a “shutdown” message. Recall that PLS incrementally improves on its current solution as it searches. Therefore, each time PLS pauses the search to check for an update, we use this opportunity to see if any new maximal cliques have been found since the last check, and if so, output the updated solution set. Next, the algorithm checks for dynamic update messages. Update messages come from an external source and spec ify a dynamic change in the input graph or parameters. There are currently three types of update messages: • EDG&UPDATE — indicates updated graph edges are available; • THRESHOLDUPDATE — indicates a new graph threshold has been specified; • TERMINATE — signals the termination of the algorithm. A set of weighted edges E* is returned from the get_updated_edges rou tine which is executed after a message of type EDGEUPDATE is received. Because PLS operates on unweighted graphs, we simply use the current edge_threshold parameter to filter out edges which do not meet the minimum weight criteria. The do_thresholding routine is called with E and E (the edges currently in the graph and a set of updated weighted edges, respec tively) to determine which edges need to be added or removed. Algorithm 5 shows this routine. If the incoming message is THRESHOLD.IIPDATE, a new edge threshold value has been specified (by an interactive user, for example), and so the original weighted edges need to be re-examined. To accommodate this dynamic change in the threshold parameter, we need to store E, the most recent edge weights for all edges in the complete weighted graph. We can then simply call dothresholding with E instead of E*, which will return the set of edges that must be added and removed to satisfy the new threshold value. 66 Chapter 5. Online Phased Local Search Algorithm 4 Online PLS 1: Algorithm Online PPLS (poll_interval, edge_threshold) 2: Input: poll_interval, initial selection limit for PLS subroutine, and edgeJhreshold, the initial threshold value 3: online — true 4: while (online) do 5: MC — PLS.search(poll_interval, tcs) // output new solutions, if any 6: if (MCi \ MCt_i 0) then 7: outputCliqueResults(MCt) 8: end if / / check for messages 9: mflag <— false 10: msg .— check_for_rnessages() 11: if (msg = EDGEUPDATE) then 12: Ew* geLupdatededges() 13: (Ea ,Er) = do_thresholding(E * ,E, edge_threshold) 14: mflag — true 15: else if (msg = THRESHOLDUPDATE) then 16: edge_threshold €— getupdated_threshold() 17: (Ea,Er) — dothresholding(E, E, edgeJhreshold) 18: mf lag — true 19: else if (msg = TERMINATE) then 20: online — false 21: end if 22: if (mf lag = true) then 23: addedges(Ea) 24: remove_edges(Er) 25: poll_interval f— update_poll_interval () 26: end if 27: end while 67 Chapter 5. Online Phased Local Search Algorithm 5 The dothresholding Routine 1: Algorithm do_thresholding(E,E, edge_threshold) 2: Input: E is a set of weighted edges, E are unweighted edges currently in the graph, edge_threshold specifies the current edge threshold value 3: Output: Ea is the set of edges to add the graph, Er is the set of edges to remove from the graph 4: Ea : 0 5: Er 0 6: for all e in E do 7: if e.weight <edg&threshold and e E E then 8: ErErUe 9: else if e.weight edgethreshold and e E then 10: Ea4EaUe 11: end for all 12: return (Ea, Er) 5.2 Implementation Details In order to work online and perform trajectory continuation, several data structures and variables need to be dynamically updated to reflect the new state of the graph. We note here that these are algorithm-specific, and that implementing trajectory continuation on a different algorithm will require maintaining a different set of data structures and variables. In order for PLS to work online without trajectory continuation, it would be sufficient to update only the following graph data structures: • M and M, the adjacency and complementary adjacency matrices re spectively; • L and L, the adjacency and complementary adjacency lists respec tively. The actual task of trajectory continuation requires additional data struc tures and variables to be maintained; they are: • K, the current clique in the local search; • C(K), the set of vertices adjacent to all but p vertices in K. C(K) is only maintained for p = 0 (the iterative improvement set) and p = 1 (the plateau set); 68 Chapter 5. Online Phased Local Search • missing ,a counter array that stores for each vertex the number of missing edges to the current clique K. For example, missing[vi]=O means that vertex v1 is adjacent to all vertices in K; • KB, the vertices of the best (largest) clique found so far during the search; • KR, the vertices of the working clique used by the RANDOM sub- algorithm; • KD, the vertices working clique used by the DEGREE sub-algorithm. The actual task of trajectory continuation is realized by updating the data structures listed above, although clearly the graph data structures must be correctly updated first. For this reason, we combine the logic for updat ing the graph and trajectory continuation into two routines, add.edges and remove_edges. Enhancing PLS for Sparse Graphs The way in which we maintain the dynamic graph, vertices are never truly removed from the data structure, even when they have no edges. The ver tices in the graph are ordered from 1 . . . N, where N = IVI. Because we implement the graph using a N x N adjacency matrix, it is not possible to simply ‘delete’ a vertex when it no longer has any edges, since this would require re-indexing all the vertices and subsequently re-calculating all the other data structures dependent on the vertex index. While we did not actually attempt to do this and evaluate the resulting performance, our as sumption is that it would cause serious performance degradation, especially when the graph is sparse and edge additions/deletions occur frequently. The main PLS algorithm works by incrementally updating an adjacency matrix and adjacency list, from which it can avoid choosing vertices with no edges. However, the random initialization routine chooses uniformly at random from all vertices, regardless of whether they have any edges. The reason for this is purely because the algorithm was originally designed to read DIMACS instance files which contain only vertices with at least one edge. Therefore, we made a minor modification to the initialize and reinitial ize routines such that they choose a vertex uniformly at random from the set of vertices that have at least one edge. Clearly, this change introduces some additional complexity in checking each vertex degree, or maintaining a list of connected vertices, but the tradeoff becomes more favourable when the 69 Chapter 5. Online Phased Local Search graph is so sparse that PLS would spend a majority of the search time se lecting vertices with no edges. This minor modification enables PLS to start with a connected vertex, and thus find the solution much more efficiently in a sparse graph. Figure 5.1 shows two RLDs for PLS with and without the sparse graph enhancement using one worker process. The graph under consideration was constructed from a correlation matrix of stock prices and contains 6556 vertices. Thresholding the graph edges with a threshold of 0.75 resulted in a graph with only 147 vertices which had one or more edges, a total of 764 edges and an edge density of 0.000036. The RLDs and RTDs are averaged over 200 independent runs. We can see from the plots that PLS with the sparse graph enhancement dominates the original PLS algorithm both in terms of run-length and run-time. 5.3 Adding Edges When adding an edge (u,v), it is not possible to destroy the current clique K, but it may become non-maximal if v is in the plateau set and u is in the current clique, since the result is that v is then adjacent to all other vertices in K. When this happens, we say that v is “promoted” to the expand list, Co(K). Similarly, a vertex u can be promoted to the plateau list when the addition of an edge (u,u*) with u E K results in u missing only one edge to K. When PLS resumes after the update, if any vertices were promoted as just described, then we can guarantee that one of Co(K) or Ci(K) are non- empty sets. Algorithm 6 shows the pseudo-code for the add_edges routine. Updating the adjacency and complementary matrix, executing the promote routine, and checking if a vertex is in the current clique are all 0(1) opera tions, while updating the adjacency and complementary lists for each vertex has time complexity 0(1 V I). Thus the complexity of the entire addedges routine is 0(IEaIIVI). Promoting Vertices The promote(v) routine is called when missing[v] decreases, which can hap pen if an edge is added between v and another vertex u E K, or if a vertex Ur is removed from K and (Ur,V) E. Algorithm 7 shows the pseudo-code for this routine. The missing counter for v is decremented and v is moved to Co(K) from C1(K) (when missing[v] = 0), or added to C1(K) (when missing[v] = 1). 70 Figure 5.1: RLDs (top) and RTDs (bottom) for PLS with and without the sparse graph enhancement. 5.4 Removing Edges Removing edges from the graph requires more care than adding edges, as current and best cliques can be “broken”. As when adding edges, some Chapter 5. Online Phased Local Search 0.9 0.8 0.7 0.6 0.5 0.3 0.2 0.1 log Run-length (a) RLD 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 / Orinat PLS PL.wrTh sparse graph enhancement 0’000•l 0.001 0.01 log Run-time (seconds) (b) RTD 0.1 71 Chapter 5. Online Phased Local Search Algorithm 6 The addedges Routine 1: Algorithm add_edges (Ea) 2: Input: Ea, the set of edges to add to the dynamic graph 3: for all (u,v) E Ea do // Update graph-related data structures 4: — 1; Me,, — 0 5: L+LvU{u}; L,*—LU{v} 6: LLv\{u}; L—L\{v} // Maintain search state for trajectory continuation 7: ifueKthen 8: promote(v) 9: else if v E K then 10: promote(u) 11: end if 12: end for all Algorithm 7 the promote function 1: Algorithm promote (v) 2: Input: a vertex v K to be promoted 3: missirig[vj +— missing[v] - 1 4: if missing[v] = 0 then 5: C1(K) ÷— Ci(K) \{v} 6: Co(K) +— Co(K) U{v} 7: else if missing[v] = 1 then 8: C1(K) — Ci(K) U{v} 9: end if basic internal data structures need to be updated to reflect the new graph. If an edge (u,v) is removed with u K and v E K, then u is demoted from C0(K) or C1(K). If an edge is removed connecting two vertices which are both in a working clique (e.g., KB, KR or KD), we repair the broken clique by removing one of the end vertices of the removed edge. Specif ically, we choose to retain the vertex with the higher degree as this will cause less disruption to C1 (K), and provide a greater chance of new vertices being promoted to Co(K). If both vertices have the same degree, one is chosen uniformly at random. Algorithm 8 shows the pseudo-code for the remov&edges routine. Similar to the addedges routine, updating the ad jacency and complementary adjacency matrix, executing the promote and demote routines and checking to see if a vertex is in the current clique are 72 Chapter 5. Online Phased Local Search Algorithm 8 The removeedges Routine 1: Algorithm remove_edges (Er) 2: Input: Er, the set of edges to be removed from the dynamic graph 3: for all (u,v) E Er do // Update graph-related data structures 4: — 0; — 1 5: L — L, \ {u}; L <— L \ {u} 6: Lv—rvU{u}; L—ZU{v} // Maintain search state for trajectory continuation 7: Vm = mindegree(u,v) 8: for all K E {KD,KR,KB} do 9: if u K, and v e K then 10: K : K\ { V } 11: end for all 12: ifuEKandvEKthen 13: demote(vm) 14: for all v V do 15: if v K and (Vi,Vm) E then 16: promote(v) 17: end if 18: end for all 19: elseifuéKthen 20: demote(v) 21: else if v K then 22: demote(u) 23: end if 24: end for all all 0(1) operations. The complexity of repairing the working cliques (lines 8-11) depends on their respective sizes, but in the worst case they are 0(IVI) operations. Updating the adjacency and complementary lists for each ver tex, as well as searching for vertices not connected to Vm (lines 14-18) run in time 0(IVI). Thus the complexity of the entire remov&edges routine is alsO 0(IEaIIVI). Demoting Vertices The demote(v) routine is similar to promote(v), but is called when missing[v] increases, which can happen if an edge (‘u,v) is removed such that (u,v) 73 Chapter 5. Online Phased Local Search e G(K) or (u,v) G(K) with u E K and v K. Algorithm 9 shows the pseudo-code for this routine. The missing counter for v is incremented, and v is moved from Co(K) to C1(K) (if missing[v] = 1), or simply removed from C1(K) (if missing[vj > 1). Algorithm 9 the demote function 1: Algorithm demote (v) 2: Input: a vertex v to be demoted 3: missing[v] — missing[v] + 1 4: If missing[v] = 1 then 5: ifvéKthen 6: K4—K\{v} 7: else 8: C0(K) — Co(K) \{v} 9: end if 10: Ci(K) +— Ci(K) U{v} 11: else 12: C1(K) +— C1(K) \{v} 13: end if 5.5 Empirical Analysis This section contains a detailed empirical analysis of online PLS. We show how it can maintain its internal state and continue the search trajectory in order to find the maximum clique much more efficiently than a naive algorithm which restarts the search every time the graph changes. In general, dynamic graph algorithms have been studied quite intensively in the past decade, although mainly from a theoretical perspective (see [91] for a good review of dynamic graph algorithms for undirected graphs). Fur thermore, most algorithms studied in an online context tend to be deter ministic algorithms, as randomized algorithms are harder to compare using competitive analysis, a theoretical measurement of the relative performance of an online algorithm against its optimal offline variant. As a result, ex .isting literature on SLS algorithms for dynamic graph problems is scarce, and in particular no such empirical evaluations exist for the online maximum clique problem, although a recent paper provides a detailed theoretical anal ysis on a related (generalized) problem, the online maximum-order induced hereditary subgraph problem [92]). Thus, due to the lack of previous research 74 Chapter 5. Online Phased Local Search on the online maximum clique problem, there are no established benchmark tests that we could use to evaluate online PLS. For this reason, we generated our own dynamic graph series for use within our empirical analysis. Generation of Dynamic Graph Series The first approach was to take existing DIMACS benchmark instances[931 and to decompose them into a series of graphs. The specific benchmark instances we used are keller4, brock200_1, and p_hat500-1, which have 400, 200 and 500 vertices respectively. These instances were chosen because they are relatively small and thus a complete enumeration of all maximum cliques was feasible, allowing us to measure the performance with respect to the guaranteed optimal solution. To start with, we created the “additive series” and “subtractive series”, in which consecutive graphs have a monotonically increasing or decreasing number of edges respectively. These series are formally defined as: r’ADD — rriADD ,-‘ADD rADD — 1 ‘—‘1 , ‘—‘2 , and rSUB — rr’SUB ,‘SUB r’SUB — 1 ‘—‘1 , ‘-‘2 , , with n = {5, 10, 20}. Furthermore, we define GDD = (V,E) and GUB = (V,EUB) for 1 i n. Thus V, the set of vertices, remains constant through the dynamic series, but the set of edges is monotically increasing or decreasing. The cardinalities of the edge set for each graph are ordered as follows: 0< EDDj < m2—m EBI> EBI >0 for 1 j < n and m = VJ, which states that each graph in the additive or subtractive series has the same set of vertices but a different set of edges (with monotically increasing and decreasing cardinality, respectively). The additive series was constructed by starting with an empty graph and incre mentally adding edges from the original benchmark graph, and continuing until the original graph was reconstructed. The subtractive series was cre ated similarly, except that instead we started with the complete graph over V and incrementally removed edges until the original graph was revealed. The number of edges added or removed at each stage depends on the number 75 Chapter 5. Online Phased Local Search of graphs per series; e.g., for the 10-graph series, each graph contained 10% more (or fewer) edges as the previous one. Neither the empty graph or the complete graph are included in any of the series as their solution is trivial. We then merged the additive and subtractive series into a single series to produce the “mixed series”, GMIX. More precisely, GM is a random per mutation of GADDUGSUB , resulting in the series {Gx, G”,... , G’} for n = {5, 10, 20}. Thus, the mixed series contains twice as many graphs as the additive or subtractive series. More importantly though, the maximum clique size and edge set cardinality in each consecutive graph is not mono- tonically increasing or decreasing. Figure 5.2 shows an example of how the maximum clique size changes for the brock200ll dynamic graph series, with n = 40 for the mixed series. 0 N 0 a, a C.) Figure 5.2: Maximum clique size in series with n 40. the brock200.J mixed dynamic graph The second approach to creating dynamic graph series is to take a corre lation or similarity matrix and convert it to a complete weighted graph, and then construct a series of unweighted graphs using varying threshold levels. We use the same historical stock market data presented in [13] (and sub sequently in [12]), which contains the daily closing price of 6556 US-listed securities over the time period 1998 to 2002. The average correlation coeffi cient for this data was shown to be approximately 0.05; for our experiment 0 5 10 15 20 25 30 35 40 Stage 76 Chapter 5. Online Phased Local Search we study the market graphs constructed by using a correlation threshold range of [0.3,0.75) with an interval of 0.05, resulting in a 10-stage dynamic graph series. The importance of creating such a dynamic graph series in this fashion is to model the application scenario described in Section 5.1 where a user dynamically changes a parameter (e.g., the graph threshold value), and in turn is presented with the corresponding unweighted graph as well as the new clique results. In order to evaluate online PLS on our hand-crafted dynamic graph se ries, we needed to know the optimal clique size for each graph. The only way to guarantee an optimal clique size is to exhaustively enumerate all possible cliques. As mentioned previously, the first set of dynamic graph series used small instances so that complete enumeration was feasible. For these graphs, all maximal cliques were enumerated using the MBK algorithm [44] as an implementation was easily accessible and provided decent run-time perfor mance. For example, the time to enumerate the GSUB series for phat500-1 and keller4 was approximately 38 minutes and 6 minutes respectively, while the brock200_1 series took over 18 hours. For comparison, our preliminary attempts to enumerate dynamic series constructed from larger but related instances (e.g., pJiatl500-1, brock800_1 and keller6) did not finish execut ing after severals days. The stock market graphs, however, contain 6556 vertices, and so clique enumeration for this series was immediately deemed impractical given our experience with the other instances described above. Instead, we resorted to using the empirical optimum, which is defined as the largest clique found by using several state-of-the-art heuristic algorithms to search for the largest clique possible, and then taking the largest clique found by any of them to be the best known solution. This approach is commonly used when a provably optimal solution cannot be determined (see [94] for another recent and related paper which uses this approach). The represen tative algorithms we used to determine the empirical optimum were RLS, DLS-MC and PLS. For each algorithm and each graph, we ran 100 indepen dent trials using a very large upper limit on search selections (30 million) or time (1 hour). 5.6 Results In the following, we compare PLS without trajectory continuation to PLS with trajectory continuation on the set of dynamic graph series previously described. The statistical significance of our results are also verified using the Mann-Whitney U test. 77 Chapter 5. Online Phased Local Search 5.6.1 Synthetic Dynamic Graph Series For each stage G, we show that the search cost is lower when continuing the search instead of restarting from scratch. Although we provide results for the additive, subtractive and mixed series, we focus more on the mixed series. The rational is that in practice one would expect the dynamic graph to have characteristics similar to the mixed series rather than the additive or subtractive series, in the sense that edges can be added or removed between consecutive graphs, rather than strictly one or the other. Full results for the additive and subtractive series are given in Appendix B. Figure 5.3 summarizes the speedup results for all the mixed graph se ries, showing that trajectory continuation does indeed decrease the time to reach an empirical optimal solution after the underlying graph has changed. For brevity, Tables 5.1, 5.2 and 5.3 summarize the performance over the 1.60 1.40 1.20 øbrock200_1 i.oo IkeIIer4 0.80 op_hat500-1 0.60 0.40 0.20 0.00 Figure 5.3: Speedup observed when using Trajectory Continuation with various dynamic graph series. additive, subtractive and mixed series for each of the three instances. Each table shows the total (cumulative) search selections needed to find the max imum clique at every stage through the series. Like usual, the total search selections is an average over 100 independent runs. Table 5.4 shows the number of stages for each series for which the optimal clique size changes. The results show that the optimal clique size changes infrequently in the additive series, most of the time in the mixed series, and always in the subtractive series. The plots in Figures 5.4, 5.5 and 5.6 show how the online algorithm performs on three dynamic series of the same Number oF Stages 78 Chapter 5. Online Phased Local Search 5-stage Series 10-stage Series 20-stage SeriesGADD No TO TO No TO No TC TC NoTC No TC TO NoTC TC brock200_1 2093 1844 1.14 29243 27065 1.08 63525 29614 2.15 keller4 1190 1284 0.93 901 563 1.60 1846 805 2.29 pJiat500-1 745 44-4 1.68 7347 4429 1.66 14263 5068 2.81 Table 5.1: Search step improvement using trajectory continuation on addi tive series. 5-stage Series 10-stage Series 20-stage SeriesGSUB NoTC NoTC NoTC No TO TO No TO TO No TO TOTC TC brock200_1 4955 2667 1,86 21654 12694 1.71 50246 40317 1.25 keller4 1213 489 2.48 7880 6043 1.30 8505 5908 1.44 p_hat500-1 10027 8680 1.16 30683 21354 1.44 68345 49272 1.39 Table 5.2: Search step improvement using trajectory continuation on sub tractive series. 10-stage Series 20-stage Series 40-stage SeriesCMIX No TO TO NoTC No TO TO NoTC No TO TO No TO Te brock200_1 7666 4227 1.81 47682 39724 1.2 123377 102875 1.20 keller4 2745 2003 1.37 8068 6979 1.16 11357 6918 1.64 p_hat500-1 14338 7330 1.96 42310 25449 1.66 84189 52158 1.61 Table 5.3: Search step improvement using trajectory continuation on mixed series. 5 10 20 Add Sub Mixed Add Sub Mixed Add Sub Mixed brock200_1 5 5 10 7 10 20 10 20 39 keller4 3 5 9 5 10 19 6 20 36 p_hat500-1 3 5 9 3 10 17 4 20 32 Table 5.4: Number of stage transitions in which the maximum clique size changes. instance but with a different number of stages. The corresponding plots for the other instances can be found in Appendix B. As can be seen in the plots, PLS with TC (the lighter line) requires few search selections than PLS without TC (darker line) to find the target clique size at most stages through the series. The most obvious advantage for PLS with TC occurs 79 Chapter 5. Online Phased Local Search when the target clique size does not change between successive stages. All the results presented above show the performance over the entire series. For thoroughness, we also show some representative RLDs for individual graphs from each series. The plots in Figure 5.7 show some typical RLDs for the additive series with n = 20. In particular, plot (a) is illustrative of cases when PLS with TC requires very few (or none) search selections to find the target clique size. On the other hand, plot (b) is illustrative of RLDs for stages in which there is no clear advantage for either PLS with or without TC. The plots in Figure 5.8 show two typical RLDs for the brock200ll and keller4 subtractive series with n = 20. In general, it can be seen that PLS with TC outperforms PLS without TC. 5.6.2 Mann-Whitney U Test To further validate the statistical significance of our tests, we use the Mann- Whitney U test to compare the RLDs for PLS with and without TC for each graph in a given series. In particular, we test the null hypothesis that the two RLDs have the same distribution. The alternative hypothesis is that the distributions are not equal and differ with respect to their medians. The Mann-Whitney test is calculated as follows. First, calculate U: —R1 (5.1) where n1 and 2 are the two sample sizes, e.g., the number of independent runs performed on each graph. R1 is the sum of ranks in sample 1, which is calculated by arranging both sets of samples (run-lengths) in a single ranked series, and then adding up the ranks corresponding to the items from sample 1. In our experiments we perform 100 independent runs for each experi ment. When performing the U test, if sample sizes are greater than 20, U is approximately normal and the standard normal distribution is used with = (U-v) /nin2(ni + fl2 + 1) V 12 z’s significance can be checked in a normal distribution table to validate the null hypothesis. For reporting results, we use a 0.5 as the significance level at which to accept or reject the null hypothesis. Table 5.5 shows the percentage of stages in each series for which the 80 Chapter 5. Online Phased Local Search difference in the median run-length of PLS with and without TC were sig nificantly different; in other words, the percentage of U tests for which the null hypothesis was rejected. # of stagesDynamic Graph Series 10 20 40 brock200A 20 50 65 p_hat500-1 20 70 63 keller4 30 55 70 Table 5.5: Percentage of stages for which the null hypothesis was rejected with c = 0.5. 5.6.3 Stock Market Dynamic Graph Series We now evaluate our online algorithm using a dynamic graph series con structed from real data as described in Section 5.5. Table 5.6 shows the online performance for the resulting dynamic graph series. The correspond ing performance graphs showing individual and cumulative selections at each stage can be found in Appendix B. # Search stepsSeries # Stages SpeedupNoTCI TC add 10 8355 I 3009 2.78 remove 10 8 336 1 920 4.34 mixed 20 16683 5769 2.89 Table 5.6: Performance differences between PLS with and without TC on the dynamic market graph series. Figure 5.9 shows how the maximum clique size changes throughout the dynamic graph series. The plot shows the trace through the additive, sub tractive and mixed series. The plots in Figure 5.10 show the number of edges (a) and edge density (b) with respect to the correlation threshold from the stock market dataset used to construct the dynamic market graph series. Previous research on the market graph tends to exhibit small-world charac teristics such as the power-law (scale-free) property [181. Figure 5.11 shows the vertex degree distributions for the graphs corresponding to correlation thresholds t = 0.3 and t = 0.6. For brevity we omitted the other graphs for thresholds within the interval (0.3, 0.6), but we note that their distributions were nearly identical to those shown here. The fact that the distribution 81 Chapter 5. Online Phased Local Search plots are relatively stable for various threshold values and can be approxi mated be a straight line confirms that our dynamic market graph series is also characterized by a power-law distribution. 5.6.4 Discussion One assumption that was made when considering this approach is that the changes to the underlying search space can be expected to be relatively minor, and thus continuing the search is more efficient than starting from scratch. In other words, we expected online PLS to perform better when the distance between the two consecutive graphs is minimal, where distance refers to the number of edge additions or removals required to transform graph GPYN to GN. As it turns out, our results show that recovering a new solution from an old one is almost always beneficial, regardless of the severity of the graph change. Although the speedup afforded by the online adaptation is not overwhelming, when operating in a highly time-constrained environment, every bit of speedup counts. Furthermore, even fairly drastic changes to the graph often have little or no affect on the maximum clique. Table 5.4 shows how the maximum clique size changes throughout each of the dynamic graph series; we can see that in several series, there are numerous graph transitions in which the maximum clique size does not change. In order to validate this assumption, we created dynamic graph series with varying number of stages. Recall the when creating the dynamic series, we added a constant percentage of edges at each stage; in other words, more stages means fewer edge additions or removals at each stage. The results shown in Table 5.5 validate our assumptions, showing that the number of improvements which were statistically significant increases with the number of stages in the dynamic graph series. The actual speedup, however, seems to have no correlation with the number of stages. Figure 5.3 shows the speedup when using TC for the three sets of graph series, and a visual inspection shows there is no clear correlation between the observed speedup and the number of stages. The results from the market graph series show that online PLS with TC tends to perform better than online PLS without TC on graphs constructed from real-world data. One possible explanation for this points to the fact that vertex degrees through our market graph series exhibit a power-law distribution (see Figure 5.11). In such a graph, we can expect the maximum clique to be found in one of the dense areas. Accordingly, previous research on market graphs has shown they exhibit such scale-free properties [10]. Therefore, assuming a relatively minor modification to the graph, we might 82 Chapter 5. Online Phased Local Search expect that the new solution (i.e., the new maximum clique) would be in the same dense region of the search space, thus allowing trajectory continuation to more easily converge to the new solution. 5.7 Summary In a dynamic environment, the ability to operate online is a clear advantage for any algorithm which must return near-optimal solutions within a fixed time frame. In particular, we consider applications which run in a real time environment, and emphasize that time is often highly constrained and near optimal solutions are always preferred to no solutions at all (or more likely, the possibility of receiving low-quality solutions). For this reason, online stochastic local search algorithms offer substantial advantages over traditional complete search methods as they are able to quickly recover high-quality solutions in a dynamically changing problem space. In this chapter we presented an online implementation of Phased Local Search which uses trajectory continuation to resume the search instead of restarting from scratch each time the input graph changes. Our results con firm that the trajectory continuation method reduces the number of search steps (and hence the run-time) needed to find the target clique size in a series of related graphs, and that its performance improvement over the non-trajectory continuation variant is most significant when the perturba tion to the input graph is relatively minor. By combining the scalable parallelization strategy as discussed in Chap ter 4 with the online searching capabilities described in this chapter, our algorithm has the power to operate in highly dynamic and time-sensitive environments such as the stock market. 83 Chapter 5. Online Phased Local Search 8000 7000 6000 5000 0 4000 C)(0 3000 2000 1000 0 0 C) C) CC) C) > C) 9 0 1 2 3 9 10 Figure 5.4: Online performance results for the p_hat500-1 mixed series with n = 10; the top figure is selections per graph, the bottom figure is cumulative selections. Dynamic Graph Sequence (a) n=1O 4 5 6 7 8 Dynamic Graph Sequence (b) n=1O 84 Chapter 5. Online Phased Local Search 0 a, ‘a C’) 0 a, a, 0 a’ C’ CD E C) Figure 5.5: Online performance for the phat500-1 mixed series with n = 20; the top figure is selections per graph, the bottom figure is cumulative selections. Dynamic Graph Sequence (a) n2O 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) n=20 85 Chapter 5. Online Phased Local Search 18000 16000 14000 12000 10000 8000 6000 4000 2000 0 90000 80000 70000 , 60000 0 0 50000 0 0) > 40000 S 30000 20000 10000 0 15 20 25 Dynamic Graph Sequence (b) n=40 Figure 5.6: Online performance for the phat500-1 mixed series with n = 40; the top figure is selections per graph, the bottom figure is cumulative selections. 10 15 20 25 30 35 Dynamic Graph Sequence (a) n=40 40 86 Chapter 5. Online Phased Local Search > 0 0 0.9 0.8 0.7 0.6 0.5 0 U, 0 0,4 0.3 0.2 0.1 1000 log Run-steps (b) phat500-1 Figure 5.7: Two different but typical RLDs for the additive series with n = 20. 10 100 log Run-steps (a) brock200_1 87 0.9 0.8 0.7 0.6 0.5 0 5- 0.4 0.3 0.2 0.1 0 0.9 0.8 0.7 0.6 0.5 0 5- 0.4 0.3 0.2 0.1 0 Chapter 5. Online Phased Local Search 100000 100 log Run-steps (b) keller4 Figure 5.8: Typical RLDs for the subtractive series with n = 20. 10000 10 100 1000 10000 log Run-steps (a) brock200_1 10 1000 88 Chapter 5. Online Phased Local Search 300 I I I I Additive - Subtractrve -- • Mixed 250 200 ci, ci’ 150 U C) 100 50 . 0 I I I 0 2 4 6 8 10 12 14 16 18 20 Stage Figure 5.9: Maximum clique size trace through the dynamic market graph series. 89 Chapter 5. Online Phased Local Search a, 0) a, .0 E z 0.016 0.014 0.012 0.01 a, 0.008 0.006 0.004 0.002 0.3 0.35 0.4 0.45 0.5 0.55 0.6 0.65 0.7 0.75 Threshold (b) Edge density Figure 5.10: Edge count and edge density as a function of correlation thresh old. Threshold (a) Edge count 90 Chapter 5. Online Phased Local Search 1000 U)Q) 100 C.) . a) > • • 0a ci) .0 • .. • E • .• •s •• 10 - . • a ae •e• •• • .e• • e • 0 • ee. a. a • • •. 0 .aaee ne.ee • •.. 0• • _ • 11 10 io — 1000 Degree (a) t=0.3 1000 U)(1) 100 C) a) > ‘S • a) .0 • E D 10 •.•z . a • • •e •S.a a a 1 . p as 1 10 100 1000 Degree (b) t0.6 Figure 5.11: Vertex degree distributions on the dynamic market graph series for correlation thresholds t = {O.3,O.4,0.5,O.6}. 91 Chapter 6 The Parallel Workflow In this chapter we investigate the design and implementation of a fully dis tributed parallel workfiow environment for problems in which high-volume, high-frequency time series must be analyzed online and in (near) real-time. The system we propose can perform online correlation analysis and clus tering of thousands of variables within high-frequency time series, offer ing opportunities for automated control systems and knowledge discovery within a broad range of application domains such as finance, bioinformatics and physics. The correlation analysis is performed using Maronna [16], a robust correlation method amenable to parallelization and online computa tion, while clustering is achieved using Online Parallel PLS (OPPLS), our clique-finding algorithm described in Chapters 4 and 5. Typical of many real-world problems, data processing and subsequent analysis is becoming increasingly complex as the size and frequency of data increases. Furthermore, much of this data is now being offered through real time streams, presenting yet another level of complexity. In many cases, the frequency and distribution of incoming data is not known a priori, and even the smallest change in the input data has the potential to dramatically perturb the underlying problem space. Clearly, re-computing the solution from scratch each time there is a small change is not only a waste of valuable computing resources, but also detrimental to performance in a system where time is already severely constrained. Our system addresses this issue by using novel online algorithms that are designed to operate efficiently on dynamic data streams, resulting in more accurate and timely information dissemination. Given the sporadic nature of the data as just described, the challenge was to design a system with the following properties: • The system must be able to operate on a real-time flow of data and thus the algorithms in the system must be online and attempt to minimize the calculation for each of the steps. • The system must be able to scale to the size of the input data for the computationally intense methods such as correlation and clique 92 Chapter 6. The Parallel Workilow finding, and obtain high quality solutions in a reasonable amount of time. • The system must be robust to noisy, missing and unpredictable data. • The system must be flexible in order to support a variety of user- defined configurations. For example, consider stock trading systems that must process, in real time, the trade and quote information for all the stocks on a given ex change. Furthermore, consider new electronic exchange integration hubs such as INET that offers direct access to over 7,200 US exchange-listed se curities, with approximately 65 million quotes and 5.7 million trades per day [95]. The goal of the system is to correlate and cluster high-frequency data streams such as the ones just described in order to construct and analyze dynamic graphs in real-time. The output from this real-time analysis can be redirected to various components, such as a visualization client, decision support system, or a closed-loop automated trading system. 6.1 System Design and Architecture At the basic level, our system utilizes a generic pipeline processing architec ture called the Pipeline Processor Farm (PPF) [96], which aims to increase throughput and reduce latency by exploiting the fact that the system can be decomposed into independent components. The PPF architecture was first introduced to parallelize real-time embedded image processing appli cations, and has since been used in a variety of real-time applications such as completion detection in dynamic CMOS logic [97] and real-time OCR applications [98]. Figure 6.1 shows a generalized system architecture diagram of the dis tributed communication model we employ within our framework. The entire system is first split into two parts: the control process and controlled pro cesses. The controlling process is a single (sequential) process which can be controlled externally using standard TCP/IP sockets. This allows a direct point of communication between an external network and the distributed components. The remaining system processes are further divided into their respective groups, which are also referred to as the compute stages. Within each compute stage, a single process is designated as the leader, and is re sponsible for communicating with the control process and relaying messages to the other processes in the stage. 93 Chapter 6. The Parallel Workflow The system is composed of five main programs (components), two of which perform the bulk of the computation. We briefly summarize each of the components below. • Data Collector: Reads data from a variety of external sources, in cluding files, databases and live feeds. • Filter and Accumulator: Receives individual data items from the Data Collector, performs any necessary data cleaning, and prepares data samples to be sent to the correlation component. • Parallel Robust Correlation: This is the first major component, and conforms to a processor farm model. The manager process in this component receives the input data samples and decides how many new correlation values must be calculated. It then continously assigns worker processes to tasks until the correlation calculation is complete, where a ‘task’ is defined as computing a single correlation value. Refer to Section 6.3 for details. • Parallel Clique-based Clustering: This is the second major com ponent. The manager process receives updated correlation coefficients, which are used to update the pair-wise similarity measures for the data points being clustered. Refer to Section 4 for for details. • Results Analysis Server: This is the final component in the pipeline and comprises only a single thread of execution. This component is Figure 6.1: Topology of process structure and communication model 94 Chapter 6. The Parallel Workfiow a simple TCP/IP server which receives the set of clusters (cliques), packages it up into XML file, and then transmits the data to external clients. 6.1.1 Inter-process Communication Inter-process Communication (IPC) is an important design criteria for any distributed system. There are several factors that affect the decision, includ ing target architectures, run-time environments, latency requirements and shared memory requirements. For communication within and between sys tem components, we have chosen to use LAM and MPICH, two open source implementations of the Message Passing Interface (MPI), the de-facto stan dard API for message passing in parallel computing. We note that although our implementation uses these open-source packages, it should run on any MPI implementation. Due to its openness and wide-spread usage, MPI runs over most network infrastructures including TCP/IP, allowing the system components to be effortless distributed over a wide-area network (WANs). Furthermore, the LAM and MPICH implementations have recently been re designed to work with Stream Control Transmission Protocol (SCTP) [99] to reduce the effect of latency on task farm programs such as the ones used in our workfiow. 6.1.2 Pipeline Architecture Our system is embodied within a pipeline architecture, in which data flows downstream, and at each stage in the pipeline, output from one component becomes input to the next. The pipeline is comprised of independent pro grams working in parallel on different sets of data, thus conforming to a Multiple Program Multiple Data (MPMD) model. The datasets, however, are related, in a sense that they all originated from the same source, except that the data is transformed (e.g., a correlation matrix is created from the data samples) or abstracted (e.g., correlation coefficients map to edges in the dynamic graph model) as it passes through the various stages. 6.1.3 Processor Farm Architecture The two main parallel components within our system utilize a processor farm architecture. Figure 6.2 (a) shows a generic processor farm where a manager “farms” out tasks to the worker processes until the entire computation is complete. In the case of parallel Maronna, worker processes are given a batch of jobs to compute, where a job corresponds to calculating a single 95 Chapter 6. The Parallel Workflow Worker- Manager- Manager- do task Create Task Process Results Req5 [ Crests .-I——-J lock 1 _ak_ I lack 1 Requ55 [, create Conpot, Task 2 (b) Timeline Figure 6.2: Processor farm architecture and communication timeline. correlation co-efficient. Upon completion the worker sends back the batch of results and subsequently asks for another batch of jobs. This continues until the correlation computation is complete. In OPPLS, each worker process searches the dynamic market graph for maximal cliques. After performing a given number of search steps, the worker checks for a message from the manager which is either a graph update or termination notice. If no message is present the worker performs another round of searching. The number of search steps performed by each worker process depends on the load levels of the executing machine’s CPU. An adaptive load-balancing scheme for estimating the number of search steps is described in Section 6.4.4. Both components employ a course-grained communication model which makes it convenient to overlap communication with computation, thus hiding the effects of latency (See Figure 6.2 (b)). 6.1.4 Mapping Processes to Processors The design of the communication protocol used between OPPLS and Maronna allows us to overlap the two stages onto the same processors. This this is possible because of their inter-dependence on the data. In other words, when one task is executing, the other need not be, thus guaranteeing that only one of the two tasks is utilizing the system resources at any given time. For example, when Maronna is computing correlation values, OPPLS is waiting to receive those updated values, and when the correlation task is complete, OPPLS searches for cliques in the new graph while Maronna waits for the next batch of data samples. As previously mentioned, OPPLS performs a given number of iterations before checking to see if Maronna is ready to start working again. If a message from Maronna is present, OPPLS terminates (a) Architecture 96 Chapter 6. The Parallel Workflow the search and releases the compute resources; otherwise, OPPLS continues searching for improved clique solutions. 6.2 Time Series Data In this thesis we consider the time series consisting of a set of M data points P = {po, p1, ..., pivi—i} sampled from a function F over some time period. Each data point pj is a tuple of the form {d, -r}, where r is the time stamp and d F(r), the value of the function sampled at time T. We also assume here that the values of Ti span a finite time window of T time units. In the case where a data stream contains time series data for N variables, we can partition the data points into N separate time series D, for i 1,... , N, giving one D for each variable x e X, where X = {x1,... , XN} denotes the set of all variables. D is thus defined as: I O<kK} (6.1) with dk and Tik representing the k-th data point and time stamp, re spectively, for x. K is the total number of data points for variable x. Because the system is operating in an online mode, data samples are continously arriving, and the total number of samples for each variable used in the correlation analysis is also increasing. If all K samples for each variable were kept indefinitely, then the correlation patterns under consid eration would span the entire time period associated with the data samples. In our system, we are interested in recent, short-term patterns, and so our correlation analysis uses only the most recent data samples. Specifically, our solution is to keep a finite-sized first-in-first-out (FIFO) queue of data samples for each variable (see Figure 6.3). The set of data samples in the queue (of length Q) for variable x at time t is Dt) ç D and is defined as Dt) = {dk I Tik e [t — Qt,t],O k Q} (6.2) The data samples Dt) fall within the time window {t — Q1t, t], which is the last Q samples taken with sampling interval t. All data points are ordered by their time stamp (where resolution of time depends on context) and there may be several data points with the exact time stamp, thus holding only a weak inequality condition ‘rk Aggregation and interpolation methods can be used to deal with multiple or missing data points within a time window; an example of this applied to stock market data is presented 97 Chapter 6. The Parallel Workflow ___ ft New data samples enter the queue, old ones are removed Figure 6.3: Data sample queues for all N variables at time t. in Section 7.2. When using a synchronous sampling strategy, sampling of the data stream is performed at a regular interval of Lt time units. The matter is complicated when asynchronous sampling is performed. The next section discusses this issue. Asynchronous Sampling At a given time t, the set X(t) ç X denotes all variables for which at least one data sample arrived within the last time window [t — t, tj. More formally, we define X(t) as X(t) = {x1 E Xj(d1,T) s.t. € [t — t, tj} (6.3) When using a synchronous sampling strategy, X(t) = X, since there will be a new data sample for each variable (either a new data item was received, or one was created via interpolation). However, when using asynchronous sampling, if a variable x does not receive a data sample during the current time window (i.e. x X(t)), then its queue will remain unchanged. If 98 Chapter 6. The Parallel Workflow the sample queues for two variables x and xj do not change between suc cessive time windows, then their correlation coefficient will not change either. The exact number of correlation values which need updating can be calculated using Equation 6.4. By only using the subset of variables X(t) in each new correlation calcu lation, our system has the ability to correlate an event-series, as opposed to a time series, where an “event” is the data sample, and the exact meaning depends on the context. This approach allows us to correlate events that are occurring opposed to the lack of events within some time interval. 6.3 Correlation Calculation Calculating the correlation between a collection of random variables is a standard technique used to determine the strength of a linear relationship between variables. A correlation matrix records the correlation coefficients between all pairs of variables. Unfortunately, correlation analysis is very sensitive to the presence of outliers in the data. Our solution to this problem is to use a robust correlation technique called the Maronna method [16]. The computational time complexity of the Maronna method is (9(MN2)for N variables and M data samples. However, as shown by Chilson et aL, it can be easily parallelized and scales to large numbers of processors [100]. The Maronna method can be structured into an embarrassing parallel algorithm where each pairwise correlation coefficient can be calculated independently. The pairwise correlation calculation is an iterative process with two control parameters that allow us to specify the accuracy of the correlation as well as the maximum number of iterations. These two controls can be used reduce the computation time, offering a flexible trade-off between the precision of the results and response time. Details on the Maronna method and its parallelization are described in [16] and [100], respectively. 6.3.1 Maintaining the Real-time Correlation Matrix As data samples enter the system we can re-compute the correlation coeffi cient between variables x and xj at time t by calling the following function: = maronna_corre1ation(Dt) ,Dt) ,n,E,limit) where Dt) D and Dt) are the data samples in the queue for variables x and xj at time t, and n = min(Dt)I,Dt)I). The parameter 99 Chapter 6. The Parallel Workflow € is the precision at which the iteration of the correlation of two variables stop, while limit specifies the maximum number of iterations. As previ ously mentioned, these control parameters can be used to fine-tune the level of precision. In order to avoid insignificant correlations, we only calculate correlations coefficients between two variables xj and xj if they have a min imum number of data samples in their queues (in our experiments we use 50 as the minimum). When a new data sample is received for variable x, its correlation co efficients with all other variables need to be updated; that is, we need to re-compute p) for all j E {l, ..., N} \ {i}. Recall that X(t) is the set of variables that received at least one data sample within the last time win dow. Now, let M(t) = X(t)p, then we can calculate dt), the exact number of correlation coefficients that will need updating at time t as follows: = N(N — 1) — (N — p,g-(t))(N — Ivr(t) — 1) = N — pJ(t)(pJ(t) — 1) 2 2 2 (6.4) An interesting observation is that as M(t) increases, there is less dupli cated computation, since the correlation coefficients between the variables within a batch are calculated only once. Furthermore, as M(t) decreases, the resolution at which the correlation matrix is updated becomes finer. For example, if M(t) = 1, then the correlation matrix is updated after each new data sample. Unfortunately, given the high-frequency nature of the data streams under consideration, it is not efficient to perform this calculation on a per-update basis. Therefore, we define a time window where data is ‘batched’ and subsequently sent to the Maronna stage. The Maronna stage then broadcasts the updated samples to the workers, and the processor farm is started. A manager process dispatches correlation tasks to work ers who perform the independent correlation computation and return the result. Thus, there is a trade-off between having a small batch size that re sults in some wasted calculation but faster response time, versus larger batch sizes over larger time windows that give a slower response time. Depending on the application context, the response time in updating the correlations might need to be minimized; e.g., a non-interactive automated stock trad ing agent that relies on sub-millisecond response times, versus an interactive visualization system which may only require correlation updates every few seconds. 100 Chapter 6. The Parallel Workflow 6.3.2 Communication of Correlation Updates Recall that each variable x e X corresponds to a vertex uj E V in the dynamic graph, and p, the correlation value between variables x and xj at time t, is used to determine if the edge (i,j) is present in the dynamic graph. Thus, each time a correlation coefficient is recalculated the corresponding edge in the dynamic graph needs to be re-examined. Equation 6.3 defines X(t) as the number of variables with at least one data sample in the time window [t — t,t], while Equation 6.4 defines (t) as the total number of correlation coefficients that need to be re-calculated. Mapping these to into graph notation, we obtain V* c V, the set of vertices for which at least one edge was affected, and E* ç E with IE* I = <t), the set of edges corresponding to the updated correlation coefficients. In fact, the edge set E* corresponds to the edges of C(V*), the complete subgraph induced by V*. Therefore, after each correlation update the complete sub- graph G(V*) needs to be re-examined by OPPLS in order to update its dynamic graph model (see Section 5.2 for details). 6.4 Clique-based Clustering Clustering of the dynamic graph is achieved by finding a large set of maximal cliques using the OPPLS algorithm described in Chapters 4 and 5. 6.4.1 Thresholding In order to limit the size of the graph, and to focus on highly correlated variables, PLS removes edges corresponding to correlation coefficients that fall below a user-specified threshold. In our experiments, the thresholding process uses the absolute value of the correlation coefficients; that is, given a threshold value thresh [—1, 1], the thresholded graph has an edge set Ethresh, where e E Ethresh weight(e)I > t. Of course, there may be situations where one is only interested in correlations strictly greater or less than a given threshold; e.g., e E Ethresh == weight(e) > t or e e Ethresh weight(e) t. 6.4.2 Online Parallel PLS In a realistic setting, where the graph changes dynamically in response to real-time data input or user interaction, maximum clique sizes will not be known a priori. Therefore, rather than specifying a target clique size, we 101 Chapter 6. The Parallel Workflow run each PLS process for the same amount of time and subsequently deter mine which of them have achieved the largest clique size. As a consequence of the high-frequency data monitored by our system, the graph analyzed by PLS is subject to frequent modifications. In response to any such mod ification, we need to solve the clique finding problem for the new graph before further changes may invalidate the new solutions. In principle, the scalable parallelization of PLS allows us to address this challenge in a very simple manner, namely by solving the problem instance arising from each modification of the graph by performing parallel PLS on sufficiently many processors. Furthermore, SLS algorithms such as PLS have a desirable ‘any time property’, in that at any point during the search they can return the best candidate solution found so far. Therefore, even if parallel PLS has not found a maximal clique before the graph changes, it can produce a mean ingful suboptimal solution. However, this simple scheme for solving online clique finding problems does not take into account that in many cases, the changes occurring with each update of the graph are fairly small. Instead, we use trajectory continuation to continue the search across changes in the input data with as little disruption as possible. Parallel and Online PLS are described in detail in Chapters 4 and 5, respectively. 6.4.3 Recording Sets of Maximal Cliques Our final modification to the PLS algorithm is motivated by the fact that in our clique-based analysis of the dynamic graph, we are interested in finding not just a single maximum clique, but a large and diverse set of maximal cliques. As a first way of addressing this goal, we modified online parallel PLS to record the set of all maximal cliques encountered since the initial ization of the search or last change in the dynamic graph. While it would be relatively easy to extend the mechanism used for checking and repairing the current and best cliques after each change in the graph, further empiri cal analysis is required to determine whether the computational cost of this process is amortized. Currently, the set of maximal cliques collected by OPPLS are combined into the so-called 1-clique graph (an instance of a k-clique graph), whose vertices corresponds to those involved in at least one maximal clique and whose edges are precisely those found in the set of maximal cliques [101]. We have a simple visualization client that can be used to explore this graph. Clearly, the clique data collected by our algorithm contains additional useful information that can be extracted by further analysis. For example, we have now started analyzing the clique overlap structure, which has been shown 102 Chapter 6. The Parallel Workfiow to exhibit small-world scaling properties [1021. 6.4.4 Polling for Messages Because information is constantly flowing through the pipeline, OPPLS only needs to search for cliques while the information it has is ‘up-to-date’. Fig ure 6.4 shows the communication timeline between Maronna and OPPLS. In order to implement this scheme, OPPLS needs to poll for messages from DATA INPUT MARONNA PLS UPDATE SERVER BATCH Øf Figure 6.4: Communication timeline between Maronna and OPPLS. Maronna that indicate a correlation computation is commencing. Similar to the polling issue described in Section 4.1.2, there is a trade-off between polling too often and slowing down the search, and polling too little result ing in unnecessary searching. For example, if the incoming data frequency is high enough such that Maronna is continously working, OPPLS performs only a minimal number of search steps between successive graph updates. However, if the incoming data frequency is low and Maronna is idling (wait ing for data), then OPPLS continues to refine the clique results until new data is received. Algorithm 8 shows our proposed solution, which is an adaptive polling mechanism that dynamically adjusts the polling interval based on the re cent incoming data frequency. The parameter m is the number of consecu tive times OPPLS stopped searching to check for an update message. This parameter informs the adaptive polling mechanism that incoming data fre quency is decreasing, and thus OPPLS should increase the polling interval. If m = 0, then a message was waiting as soon as OPPLS finished its first 103 Chapter 6. The Parallel Workflow poll_interval selections, indicating that the data frequency is increasing and that poll_interval should be decreased. The exact function we use to adapt pollinterval has not been optimized or fully evaluated, but initial experi ments suggests that it maintains a reasonable value for the polling interval with respect to the incoming data frequency. Figure 6.5 shows a trace of Algorithm 10 Update Polling Interval Algorithm updatePollinglnterval(m) Input: m, the number of times OPPLS unsuccessfully polled for mes sages since the last update Output: poll_interval, the dynamically adapted polling interval if m = 0 then pollinterval — MAX( polLinterval ,MINPOLL) else polLinterval — MAX(polLinterval x (1 + ),MIN_POLL) end if polLinterval — MIN(polLinterval ,MAX_POLL) return poll_interval the poii interval parameter value from an experiment using a 5 second sam pling interval. It can be seen that there is some fluctuation in the parameter value as it tries to adapt to the varying data input frequencies, however the range of values is relatively stable considering how many search selections the OPPLS algorithm can perform per second. 6.5 Evaluation This section provides system performance and scalability results using syn thetic data. The results show how our intelligent parallel architecture en ables state-of-the-art parallel methods to scale-up by simply by increasing the number of processors. For synthetic data testing, we created a simple multivariate time series data stream generator. The data stream generator can be made to produce arbitrary-sized subsets of variables that are highly correlated with the re maining variable exhibiting random values. The chosen subsets of variables form a maximal clique in the dynamic graph, which OPPLS detects and outputs to its downstream component (the Results Analysis Server). We tested the scalability and throughput of the system by varying the number of processors and measuring the time delay of the data passing 104 16000 14000 6000 4000 2000 0 Chapter 6. The Parallel Workilow .—.12000 C’) C 0 t 10000 a) a) 8000 a) C 0 Update # Figure 6.5: poll_interval trace with using a 5 second sampling interval. through the pipeline. Our current testing environment is a small compute cluster comprised of 14 dual Intel Xeon 3.06GHz CPU’s with 2GB RAM, and another small cluster with 6 dual Intel Xeon 2.0GHz CPU’s with 4GB RAM. We tested the scalability and throughput of the system by varying the number of processors and measuring the time delay through the pipeline. Figure 6.6 shows the result of executing the system with 5, 10 and 18 pro cessors on Maronna and PLS. We do not include the processors executing the single processes corresponding to the first two stages, the last stage and the control process. The batch size specifies how many variables receive new data values at each sample period. By setting the value of batch size equal to the number of variables, we are simulating a complete synchronous sam pling; i.e., all N variables received new data during each sample period. The response time increases at the beginning of each run because as the input queue for each stock fills, the size of the samples for correlation increases. Eventually the queues fill, after which the sample sizes remain constant. Table 6.1 shows the speedup results of the average response times for each of the series shown in Figure 6.6. Table 6.2 reports several response time statistics for various processor configurations. It is worth noting that the standard deviation (stddev) and variance (var) of the response times de crease when more CPU’s are used — a result of the inherent load-balancing 105 Chapter 6. The Parallel Workflow 16 *ti1r4 irWriiifl iiIwnrie 14 12 I 10 C 0 6 *._ L ___ 2 5 Processors + 10 Processors x 18 Processors s 0 I I I I I 0 500 1000 1500 2000 2500 3000 3500 4000 4500 5000 Batch Figure 6.6: Response time for a dataset with 2000 variables, batch size 2000, and three processor configurations. Number of Avg. response time Speedup Processors (seconds) (w.r.t. 5) 5 14.49 1 10 6.83 2.12 18 3.74 3.87 Table 6.1: Speedup for workfiow environment with 2000 stocks and batch size 2000. mechanism of the task farm architecture. 6.6 Summary The design and implementation of the parallel workfiow presented in this section offers some insights into the challenges of processing and analyzing high-frequency time series data. First, we proposed an architecture that allows the system to execute on a cluster of heterogenous machines within 106 Chapter 6. The Parallel Workilow Number of Response time statistics (seconds) Processors avg med stddev var 5 14.49 14.55 0.69 0.48 10 6.83 6.85 0.32 0.10 18 3.74 3.73 0.23 0.054 Table 6.2: Response time statistics for varying processor configurations. a wide-area network. The main reason for this is so the system can scale as the size and frequency of the input data increases. While a system designed for shared-memory machines may have a lower communication overhead, the scalability of such a system is constrained by the hardware limitations. A major challenge was deciding how to, if at all, homogenize the inde pendent streams of high-frequency data. There is a vast array of research dedicated to time series analysis, with many different approaches for dealing with missing or duplicate data samples. For simplicity, we transform inho mogeneous time series into homogeneous ones through interpolation and aggregation. The process is performed on the streaming data online and in real-time. In fact, a strict requirement of our system from the start was that all the processing in the pipeline should be performed online and in real time. While this may seem trivial for simple tasks such as filtering, robust correlation and clique-finding are computationally-intensive and thus are the obvious candidates for a bottle-neck in the overall system response time. To determine the scalability of the system as a whole, we ran the system using an increasing number of processors for these two computationally-intensive stages. To get a sense of the workload requirements of a real-life stock ex change, we fixed the problem size at 2000 variables, which is roughly the number of securities traded on the Toronto Stock Exchange. As shown in Section 6.5, the system scales linearly up to 36 processors (18 for each of the robust correlation and clique-finding stages ). Average response times of 14.49, 6.83 and 3.74 seconds were achieved using 5, 10 and 18 processors respectively. Interpolating from these results, we believe that our workflow could process a 2000 variable data stream in under a second using approx imately 128 processors for the entire system. The final requirement of our system was that it should be flexible enough to support a variety of user defined configurations. Our solution to this problem was the control process that communicates with the leaders of each stage, allowing for the dynamic adjustment of control parameters during the execution of the system. The system described in this chapter is a working prototype, and the 107 Chapter 6. The Parallel Workfiow implementation of it has been an iterative process. Like any other piece of software, there is always room for improvements. One challenge we have encountered thus far is how to efficiently transmit the output to the end-user. Each time new data enters the system, the updated results must somehow be disseminated to the end-user or application. While many application-specific design considerations must be taken into account, the key factor common to all is the speed at which the results can be sent over the network. For example, if the target application is high-speed automated trading, then the results must be summarized/compressed in such a way that they can be transmitted with minimum response time. If the data is being used in a human-centered visualization system, then a delayed response time of a second or two might be acceptable, allowing for extra time to provide more detailed results. Our original approach to transmitting the data to the client was to package the results in XML and send through a standard TCP/IP socket connection. Since then, it has become clear that for real-time transmissions, a more clever encoding scheme must be used to minimize the data size of the results. Potential future work in this area involves designing and implementing a data delivery protocol and format that satisfies the aforementioned latency requirements. Another issue worthy of discussion is with respect to the adaptive mes sage polling mechanism described in Section 6.4.4. Currently, all OPPLS processes are synchronized with the same poll_interval value after every graph update. In our original experiments this approach worked well since the cluster machines were all the same speed and had minimal work loads. However, when the cluster is composed of heterogenous machines with vary ing work loads, enforcing processes to synchronize the value of their poll_interval parameter prohibits the system from performing load-balancing in the OP PLS component. This is because processes on slower machines will take longer to execute the poll_interval search steps, while processes on faster machines will execute the same number of search steps much quicker, but subsequently be forced to wait for the slower processes to finish before re synchronizing the poll_interval parameter. Instead, we have realized that allowing each search process to independently update its own poll_interval parameter is a better solution since it allows for load-balancing amongst the OPPLS search processes. 108 Chapter 7 A Real-time Stock Market Application In this chapter we investigate a direct application of the system proposed in Chapter 6 targeted towards the financial industry. The goal of our system is to perform real-time correlation analysis and clustering of high-frequency intra-day trading data. The output from the system can potentially be used by pre-trade analytic tools for automated/algorithmic trading or knowledge discovery applications in high-throughput electronic exchanges. The stock market is a dynamic system, composed of multiple heteroge nous agents acting to maximize his/her own utility [3]. Within this complex financial network, researchers are finding subtle hints of emergent complex ity and non-random patterns [9, 14]. Special “momentum” indicators previ ously known to exist on physical stock market floors are emerging in digital form [103]. LeBaron suggests that patterns within financial time-series span multiple time scales, and are somehow connected to the emergent behaviour of investors [104]. Intelligent automated trading agents and algorithms have been designed to exploit minor price inefficiencies [4, 80, 83, 105]. With de cision response times being a critical factor in maximizing returns, the rush is on to design online and adaptive algorithms powered by high-performance parallel computing frameworks [4, 106]. All this suggest that, to some ex tent, the market is not as efficient as once believed, and that predictable, short-term patterns may be present within high-frequency data. This work builds on a long list of recent research that examines stock market networks as complex systems [10, 11, 12, 13, 14, 107]. In most cases, edges represent the cross-correlation of the two stocks’ log daily price return over a given time period (usually several years). Our approach considers the dynamics involved with the intra-day evolution of the market graph. The topology of this graph, which we call the dynamic intra-day market graph, is a snapshot of the system at a specific moment it evolves over time. At any point in time, potentially useful information can be extracted from the dynamic intra-day market graph, and further computational analysis can be employed to find clusters or “cliques” of stocks that exhibit highly 109 Chapter 7. A Real-time Stock Market Application correlated trading patterns. While market graph studies involving long-term data focus on price-price interaction patterns, our method utilizes newly available high-frequency intra-day data to construct a dynamic intra-day market graph whose edge weights correspond to the correlation coefficients between pairs of evenly spaced technical indicator time series. These higher-frequency time series represent alternative views of the underlying market microstructure, from which potentially economical information can be extracted [14; 34, 79, 108]. Similar to existing approaches, we are looking for groups of stocks exhibiting highly correlated trading activity, but rather than restricting our correlation analysis to stock returns, we study the correlation dynamics of the technical indicator time series. 7.1 Technical Analysis Technical analysis is a form of statistical analysis of financial data that assumes that past price and volume provide indicators of future price move ments [109]. Unfortunately, there is much controversy over the usefulness of technical analysis, due to the theoretical results of the Efficient Market Hypothesis (EMH). The EMH states that a market is efficient with respect to information set 12, if it is impossible to make economic profits by trading on the basis of information set 12. While there are several forms of this hy pothesis, each one representing a different set of information 12, all reduce to suggest that when new information about a stock is released to the public, the share price already has that information factored into the price, and thus there is no profit-making opportunities using technical analysis. How ever, as trading data has become increasingly available, several studies have shown that there are indeed anomalies within the market[110, 111, 112, 113], suggesting that perhaps the market is not perfectly efficient as some claim. The subject of EMH, however, is an ongoing debate, and thus out of scope for this thesis. In this chapter, we explore whether there may be useful information in correlating time series of evenly spaced technical indicator values. While the standard approach for correlation in finance is to use the time series of daily log returns, we are exploring a new realm of correlation analysis on the assumption that the technical indicators hold intrinsic value with respect to the price of the underlying financial instrument. It is important to note that the particular indicators we have chosen in this study are not particularly significant. However, some technical indica 110 Chapter 7. A Real-time Stock Market Application tors do not produce a numeric value; they only result in discrete answers like “buy/sell”, or “yes/no”. Thus the only condition we impose when choos ing a technical indicators is that it must produce a numerical value, i.e., a continuous signal from which we can periodically sample. 7.2 Stock Market Time Series Data Financial time series are broadly divided into two categories: long-term his torical price time series and short-term intra-day time series. Long-term price time series involves sampling the daily closing price of a stock over a span of many years; usually, the longer the time period the better, as it results in more robust models less susceptible to over-fitting of a par ticular short-term trend. Short-term intra-day time series can be further sub-divided into two types of time series: trades and quotes. An intra-day trade time series records the actual trades (and hence current stock price), while a quote time series represents the sequence of best bid and ask prices for a given stock. The bid price is the highest price someone is willing to pay for a stock, and the ask price is the lowest price someone is willing to sell a stock. The average of the bid and ask is called the midpoint or midprice, while the difference is called the spread. The following subsections further discuss these two types of financial time series. The data we used in this study is Trade and Quote (TAQ) data from the Toronto Stock Exchange (TSX). The specific data set we investigate is from March 2005, and contains 1920 stocks with approximately 200,000 trades and 1,000,000 quotes per day. The main reason we chose this data was because it was easily accessible, although we were also keen on encour aging research on Canadian markets. Unfortunately, however, the TSX is a small exchange in comparison to other exchanges, for example the NASDAQ, which have significantly higher volume of both trades and quotes. There fore, while the analysis undertaken in this thesis uses data from the TSX, our system is built to handle larger exchanges with much higher frequency and volume of trades and quotes. 7.2.1 Historical Data When analyzing long-term financial time series data, a commonly used met ric is the log return, which for stock s is calculated as 111 Chapter 7. A Real-time Stock Market Application R = log P(t) — log P(t — 1) log P—i) where P(t) is the closing price of stock s at time t (where time is usually measured in days). This metric has been applied to daily return data in various market graph studies [10, 11, 12, 13], resulting in a network model showing historical price-price interactions. More specifically, the equal-time correlation coefficient Pu between for the returns Ri and R3 of stocks s and s is calculated as - (RR)-(Rj)(R) 1”j — _____________________ — (R)2)(R, — (R)2) where (Rj) and R) denote the average of the return vectors R and R, respectively, over the given time period; e.g., if the time period under con sideration is N days, then () = R(t). Such a model is often used by portfolio managers to maximize diversity (and hence reduce risk) and to ensure proper allocation of total portfolio funds to various classes/sectors of assets. Unfortunately, this approach only works with historical data, and a different metric must be used to analyze intra-day data, since it would result in only a single sample. Even if R was evaluated using P(t) as the price after each trade, the number of trades within a day for most stocks are too few to justify a statistically significant correlation. One solution is to use a modified version of this metric which utilizes intra-day quote data, which is higher frequency data and is a good approximation of the true price of the asset [3]. 7.2.2 Intra-day Data High-frequency, intra-day quote data is the finest resolution of financial data available. Only recently has such data become easily accessible to the public. The research team of Olsen et al. have spent the last decade studying such high-frequency (primarily currency) data [3]. Table 7.1 shows sample quote data from the Toronto Stock Exchange This example illustrates how there can be multiple quotes every second, and sometimes multiple quotes per symbol every second. Using Equation 6.1 from the previous chapter, we can analogously par 112 Chapter 7. A Real-time Stock Market Application Timestamp Symbol Bid Price Ask Price Bid Size Ask Size 13:23:02 AE.DB 161.506 173.804 454 104 13:23:02 AVN.DB 145.202 158.8 450 150 13:23:02 AY.DB 113.9 113.603 113 503 13:23:02 G 22.708 23.008 128 98 13:23:02 G 22.708 23.008 138 98 13:23:02 IAI.SV.A 40.404 36.905 95 35 13:23:02 RGL 31.502 23.603 303 13 13:23:02 RIM 103.305 104.505 65 65 13:23:02 RIM 103.305 104.505 75 65 13:23:02 RIM 103.305 104.505 75 75 13:23:02 RIM 103.305 104.505 65 75 13:23:02 RIM 103.305 104.505 135 75 13:23:02 RIM 103.305 104.505 135 65 13:23:02 SJR.NV.B 29.304 30.004 44 14 13:23:02 SW 18.1 18.2 80 90 13:23:02 TRP 37.509 38.009 429 829 13:23:02 WRM 9.904 1 0.004 2464 454 Table 7.1: One second of sample quote data from the TSX. tition the full set of quotes for a single trading day into into N sets of quotes Q, for i = 1,.. . , N, giving one Q for each stock s S, where S = {Si,... , SN} denotes the set of stocks. Q is thus defined as = {(qJ,rii) I 0 j <K} where qij and Tjj represent the j-th midpoint and time stamp, respectively, for stock s. K is the total number of quotes for stock s. Each quote qij contains, among other things, the bid/ask price and the bid/ask size (quantity of shares to buy/sell at the specified price). In order for us to to use the quote data within our calculations, we derive a new time series using a combination of the midpoint and open-high-low- close (OHLC) formats, as introduced in [82]. The midpoint format is simply the midpoint of the bid and ask price, e.g., (bid+ask). The OHLC format creates new data samples, often referred to as bars, by aggregating multiple quotes within a given time window. The OHLC format is formally described next. The set of ticks Q for stock s is converted to a set e of OHLC tuples using a time window of Lt seconds. After aggregation, the data can be 113 Chapter 7. A Real-time Stock Market Application expressed as the set: 9={(ok,hk,lk,ck,bk) I O<kL;ke} where L = is the number of bars when using time window t, T is the total number of seconds in a trading day, and 0k hk, 1k, Ck denote, respectively, the open, high, low and close midpoint price for bar bk. Each tuple in e by definition aggregates multiple ticks within the given time window into a single OHLC data sample. For example, if Lt = 5, then each OJ{LC sample specifies the open, high, low and close midpoint values over the quotes within the corresponding 5-second time window. Due to the sporadic nature of the data, a more rigorous definition of 0k, hk, 1k and Ck is required to handle special cases (e.g., extended periods of time with no data); for details we refer to the literature [83]. 7.2.3 Working With Multiple Time Series Because of the sporadic nature of the data, a naive sampling of the time series data for multiple stocks will result in sample points which are not evenly aligned in time. See Figure 7.1 for an example of this problem with two stocks using a sampling period of /t = 1 second. At time t 5, stock A will have 4 data samples but stock B will have only 2. In this b5 b8 p — I I p i i i p I IQuotedata I p p I I I I forstockA P0 00 10 10001 P 10 10 10 I I TIME—.. 0 12 3 4 5 6 7 9 10111213 Quotedata I I IQ I IQQ IQ I I IQ IQQ I I forstockB111 I I I Ii, b I I4 b5 Figure 7.1: Two inhomogeneous time series with OHLC format. Each ‘Q’ represents a single quote. thesis we concentrate mainly on homogenous time series, although we make a preliminary investigation into the usefulness of examining inhomogeneous time series. Homogenous Time Series Most correlation-based analysis methods require the time series to be ho mogenized using an interpolation scheme. In order to produce multiple ho mogeneous time series, we force each sample to include a technical indicator 114 Chapter 7. A Real-time Stock Market Application 1 sec 2 sec 3 sec 4 sec 5 sec mm 0 0 0 0 0 max 157 240 351 442 510 avg 24.42 49.75 75.08 100.41 125.75 med 24 51 80 109 138 Q(O.9) 39 81 121 161 203 Q(O.1) 0 0 1 2 3 stddev 22.27 43.22 63.76 84.05 104.25 variance 496.14 1867.61 4065.93 7065.19 10867.88 varcoeff 0.91 0.87 0.85 0.84 0.83 Table 7.2: Quote frequency distributions from our sample TSX quote data. Q(0.9) and Q(0.1) are the 0.9 and 0.1 quantiles, respectively. value for every stock. We do this by converting quote data to OHLC data points as described above, and complement with previous-tic interpolation to fill in for missing samples if no new quotes arrive within the time interval. As previously mentioned, the process of aggregation via OHLC formatting was discussed in [83] for a single time series. Similarly, previous-tic inter polation is a standard method for homogenizing financial time series with missing data [3]. To our knowledge, the culmination of these two ideas, along with the use of a technical indicator (rather than using the raw trade or quote time series), is a novel approach. There is an obvious trade-off in the frequency at which data is sampled. Sampling very frequently, e.g., every second or two, brings the analysis closer to ‘real time’. The problem, however, is that for most stocks, the frequency of quote updates is much slower than this sampling rate, and when inter polation is applied, the result is many consecutive constant values, giving rise to numerical stability issues in the correlation computation. On the other hand, if we increase the sampling window, for example to 30 or 60 seconds, the number of constant values decrease, but the result response time also increases. A particular challenge in this respect is choosing a sam pling frequency which works well for as many stocks as possible. Table 7.2 shows quote statistics for a normal day of TSX trading using varying time windows.9 9We determined ‘normal’ by calculating averages for volume, price volatility and num ber of quotes over the entire month (March 2005), and then chose the day showing the least deviation from these averages (March 22). 115 Chapter 7. A Real-time Stock Market Application Inhomogeneous Time Series The issue of dealing with inhomogeneous, high-frequency stock market data is an open problem [4, 114, 115]. The the usual approach is to homogenize the data samples through interpolation and aggregation before performing the correlation analysis. Recent work suggests that the temporal irregular ity of the time series should be considered a feature of the system, rather than a problem which needs to be eliminated through interpolation or similar smoothing mechanisms [4]. Others believe that the irregular time series may exhibit patterns spanning multiple time scales, and are somehow connected to the emergent behaviour of investors [104]. Other recent approaches to dealing with inhomogeneous financial time series include Fast Fourier trans forms [114] and covolatility-weighted sampling to adjust for data frequency differentials [3]. It has been shown that the simpler methods such as the interpolation and aggregation make inherent assumptions which may not hold in practice, and can introduce data bias into the analysis [3]. For this reason, and by extrapolating from the several lines of experimental work described above, we believe there is useful information to be discovered by analyzing the correlation behaviour between multiple, inhomogeneous time series. For example, when considering homogenous time series data, the patterns under investigation are assumed to be correlated in time. But what if there exist correlated patterns across a spectrum of time scales? This is the question we wish to address by treating the presence of new data samples (e.g., quotes) as events; that is, we do not synchronize data elements over time. Instead, we sample the data stream at regular intervals, but do not use interpolation to generate new data points in the presence of missing data. We do however, retain the OHLC format to compress multiple data points within the time window into a single data point. By taking this approach, we are able to detect correlated patterns across different time scales. Another advantage is that only a subset of the correlations need to be recalculated each time. This approach, however, also presents challenges of its own, raising questions such as “How can such patterns be interpreted?”, or “What does it mean for these events to be correlated?”. Because high-frequency stock market data analysis is a relatively new concept, there are no obvious answers to these questions. By providing a framework such as the one proposed in this thesis, we offer a novel tool for investors and market analysts to interactively explore this new and interest ing information space. 116 Chapter 7. A Real-time Stock Market Application 7.3 Technical Indicators as a Similarity Measure Deciding on an appropriate measure for correlation is a difficult problem which depends on many factors, such as the time scale on which patterns are sought, how and by whom the results are to be interpreted, and the number and variety of stocks included in the analysis. Different similarity functions will produce vastly different market graphs. As discussed in Sec tion 7.2.1, previous market graph research uses daily closing prices to model long-term price-price interactions using the log return metric. Thus, to con struct the intra-day market graph, different data and metrics must be used. Fortunately, the rapid advancement of electronically-driven stock markets has enabled access to both historical and real-time high-frequency intra-day data. Using this newly available data, we construct the intra-day market graph where the edge weights are the correlation coefficients of the time series produced by calculating a technical indicator at evenly spaced time intervals. These higher-frequency time series represent alternative views of the underlying market microstructure, from which potentially economical information can be extracted [14, 34, 79, 108]. Our approach is partially motivated by Dempster et al., who use ge netic programming to construct an optimal portfolio of short-term tech nical indicators for use within their automated trading system [82, 83, 84] While they use several advanced indicators for trend identification and move ment prediction, for simplicity we experimented with three basic indicators: the Quote Midprice Rate of Change (QMROC), Quote Frequency Simple Moving Average (QFSMA) and the Quote Volume Simple Moving Average (QVSMA). The quote midprice is a close approximation of the true price, while other measurements such as the spread, quote frequency and arrival times are all closely linked with liquidity and volatility. We now formally define the three technical indicators used in our study. The Quote Midprice Rate of Change (QMROC) indicator at bar m using a n-period time window, where 0 <n m, is calculated as: QMROC(m, n) = (1)100 cm_n where Cj is the closing price at bar i. The Quote Frequency Simple Moving Average (QFSMA) indicator is meant to measure the level of “activity” of a stock, and is defined similarly to the price simple moving average, but rather than using the closing price at each bar, we use the number of quote updates. Formally, the Quote Frequency Simple Moving Average at bar m, where 0 < n m, is defined as: 117 Chapter 7. A Real-time Stock Market Application QFSMA(m,n) = am_i where a is the number of quotes at bar i, and is defined as = {q e Qltimestamp(q) e [t — Lt,t1} Finally, we define QFSMA(m,1)=am. We also investigate the dynamics of the quote volume (size of bid/ask quotes) by calculating the Quote Volume Simple Moving Average (QVSMA). The calculation is defined almost identically to the QFSMA above, except rather than counting the number of quotes in each time window, we count the sizes of each quote bid and ask. Formally, the Quote Volume Simple Moving Average at bar m, where 0 <n m, is defined as: QVSMA(m,n) = where v is the sum of the quote bid and ask sizes at bar i, and is defined as v = v + v8k where v and v8k are the sizes (volumes) of the j-th bid and ask quotes respectively, and M is the number of quotes received during the last time interval, i.e., M = {q E Qltimestamp(q) [t — t,t]} Again, we define QVSMA(m,1)=vm. 7.4 A Parallel Workflow for High-Frequency Stock Market Data This section describes how we tailor the generic parallel workfiow system described in Chapter 6 to handle real-time, high-frequency intra-day stock market data. Figure 7.2 illustrates the specialized system components. The Data Collector currently pulls quotes from a database or file. This component can be replaced by one which connects to a live data feed over the Internet without affecting the rest of the pipeline. The Filter Ac cumulator batches up quotes within the specified time window (every Lt seconds) and calculates the new technical indicator values for each stock. 118 Chapter 7. A Real-time Stock Market Application The technical indicator values are then passed as the new set of data sam ples to the Robust Correlation component, which updates its internal data sample queue, dropping older samples if necessary. Robust Correlation then recalculates the correlation coefficients and passes these values as edge weights to the Clique-based Clustering component, which updates its in ternal graph data structure as necessary. Finally, after searching for cliques for a given time (dependent on data input frequency), the cliques, represent ing clusters of highly correlated stocks, are sent to the Results Analysis Server which transmits the information to a remote client application on an external network. The main difference between the application-specific instantiation shown here in Figure 7.2, and the generic process structure shown in Figure 6.1, is the process by which input data is collected and processed before sending to the Robust Correlation and Clique-based Clus tering stages. The generic workflow generalizes the input data to a set of time series streams sampled discretely at a regular interval. In this instanti ation, the input data is a stream of quote data containing time series for all stocks in the TSX, and the variables to be correlated (the data samples) are the technical indicators calculated after every sampling period. The corre lation and clique-finding stages work the same for both instantiations. The last stage of the pipeline (Results Analysis Server) is also customized to this stock market application in the sense that the output has specific mean ing; e.g., a subset of stocks showing correlated behaviour of some technical Figure 7.2: An instance of the parallel workfiow for real-time stock market analysis. 119 Chapter 7. A Real-time Stock Market Application indicator over a given time window. 7.4.1 Computing Environment Our current testing environment is comprised of two small compute clusters. The first contains 14 PCs, each equipped with dual Intel Xeon 3.06GHz CPUs with 1GB of cache, 2GB of RAM, running SuSe Linux 9.1 with kernel version 2.6.5-7.252-smp. The second cluster contains 6 PCs, each equipped with dual Intel Xeon 2.0GHz CPUs with 512KB of cache, 4GB of RAM, also running SuSe Linux 9.1 with kernel version 2.6.5-7.252-smp. While this seems to be sufficient for handling the TSX data with minimal response time, the system would undoubtedly need to scale several orders of magnitude to process data from larger exchanges in real-time. Just to provide some comparison, the TSX contains just under 2,000 stocks with approximately 1 million quotes and 200,000 trades recorded per day. INET [95], an electronic exchange hub which integrates several other exchanges, offers direct access to over 7,200 US exchange-listed securities, with approximately 65 million quotes and 5.7 million trades per day — a significantly higher volume and frequency in comparison to the TSX. 7.4.2 Correlation Calculation Correlation analysis is widely used in finance for portfolio optimization, derivatives pricing, risk management and pairs/spread trading [114]. The correlation calculate is performed exactly as described in Section 6.3.1, ex cept now variables are stocks, and data samples are technical indicators. Each time a new quote is received for stock Si, its correlations between all other stocks needs to be computed. Using Equation 6.4, we can calculate the exact number of correlation values which need updating at time t. This value will vary depending on whether the system is using asynchronous or synchronous data sampling. If synchronous data sampling is used, then at each bar there will be exactly one new data sample for each variable, and N2-N SO = 2 where N is the total number of stocks in the system.’° Otherwise, the value of represents only those correlation coefficients which were affected by the new data samples. ‘°As discussed in Section 6.2, synchronous sampling often requires data interpolation and/or aggregation to homogenize the time series. 120 Chapter 7. A Real-time Stock Market Application 7.4.3 Maintaining the Dynamic Intra-day Market Graph In order to create a network model representation of our data, a similarity measure needs to be defined. As discussed in Section 7.4.2, our system maintains the real-time N x N correlation matrix for a set of N stocks. We define the similarity between stocks s and s to be Pij their correlation coefficient. similarity(s,s) = Pu, where Pu E [-1,11 for 1 < i,j < N, i i The exact variables used in the correlation analysis have been discussed in detail in Section 7.3. Then for each pair of stocks .s and s in the network, we connect them with an edge with weight simi1arity(sj,s). Table 7.3 shows a hypothetical correlation matrix for five stocks. SUNW RHAT INTC G000 ADBE SUNW 1 0.05 0.87 0.60 0.27 RHAT 1 0.42 -0.35 0.95 INTC 1 0.66 0.75 GOOG 1 -0.59 ADBE 1 Table 7.3: Hypothetical correlation matrix for five stocks. After the correlation matrix is calculated, the graph is then constructed and thresholded as shown in Figure 7.3. 7.4.4 Clique-based Clustering As described previously, we use OPPLS to find not only the maximum clique, but also as many maximal cliques as possible. Because there is an exponen tial number of maximal cliques, we currently set a maximum limit on the number of maximal cliques which OPPLS stores at any given time.11 This way, we approach the problem of clustering by finding a large set of maxi mal cliques from which we can extract the most tightly connected (and thus correlated) subsets of stocks. The current implementation of OPPLS in cludes only one minor modification which addresses a specific characteristic “In our experiments we use a limit of 5000-10000, although this value is somewhat arbitrary and may be changed to suit other constraints (e.g., RAM). 121 Chapter 7. A Real-time Stock Market Application threshold O.3O/ Figure 7.3: Constructing thresholded market graphs from a complete market graph. of the stock market graph. In general, one is interested in only sufficiently high correlations, and thus the resulting market graph can be expected to be relatively sparse. Section 5.2 describes the modification which improves the performance of OPPLS on sparse graphs. The use of a parallel and online algorithm is key for extracting clusters in the rapidly changing mar ket graph. Because even the smallest time delay can potentially result in significant profits (or losses), it is important to utilize every possible means of speedup in order to exploit time-sensitive opportunities. 7.4.5 A Prototype Visualization Client In this section we present our solution to the market graph visualization problem. First we describe how nodes and edges are drawn, and then we describe how we use a force-directed layout algorithm to provide additional visual indicators of clustering results. Figure 7.4 shows a typical closeup view of a small area of the market graph, displaying only positively correlated threshold = 0.65 122 Chapter 7. A Real-time Stock Market Application stocks passing the user-defined threshold. Developing our tool was greatly simplified by prefuse[116], a powerful Java-based toolkit for interactive visualization of graphs. Our approach is essentially another application of Jeff Heer’s recent Vizster [117] project, which is a visualization tool for exploring online social networks. Social networks, along with many other real-world networks, exhibit the same scale- free properties [107]. Scale-free networks are a class of network models where some vertices are adjacent to many edges, thus acting as “hubs”, while most vertices have a low degree. Furthermore, a scale-free network implies that the network characteristics (such as the one just mentioned) are independent of the number of vertices in the network. We implemented several of the same visualization techniques with slight modifications to suit our application, as it has been shown that financial networks also exhibit small-world properties [13]. We note here that our approach to visualizing -v I ll — I!1 —— u ou Mull — — I1 A 44 / 1 J EtJ 4) lL 4 I4LI1w Exjr] I ri ‘P. 4144.).. l4L)l (44444 JYIl. Fill., 441 I h4l4 £dl)F lh)4)1101l1i144 IL 014 LU 4)11,141111,0,1011 ill,lllLuI 1. 41444 44,iq 410111104 ill 4 roe- ut 4111 Lo1o1utu P11,1 1( Figure 7.4: Snapshot of a market graph with positive correlations. the output is only one of many possibilities. Depending on how the output of the system is to be used, different visualization methods may be desired. It may also be the case that no visualization of the output is required; e.g., 123 Chapter 7. A Real-time Stock Market Application the output of our system is used as direct input into an automated trading system. Force-Directed Layout To effectively visualize the subgraphs of the market graph, we use a force- directed layout algorithm. Briefly, a force-directed layout algorithm ab stracts edges into springs and vertices into electrically charged particles. The graph then represents a physical system, whereby “forces” are applied to the particles (vertices) causing them to expand or contract under the ten sion of the springs. The algorithm proceeds iteratively until an equilibrium state is reached. For simplicity, we use the default force-directed algorithm provided by the prefuse toolkit, and tweak the edge length and spring coefficient functions to optimize the layout, such that highly related clus ters appear close together, while independent clusters and minimally-related clusters are placed further apart. Interaction and Information Integration We utilized many of the built-in features from the prefuse toolkit such as geometric pan and zoom, overview display for retaining global context, and animations for interpolating the color and size of display objects during tran sitions between states. One advantage to working with stock market data is that information is readily available from a variety of sources. Additional in formation for each stock can be accessed via a context menu which supports on-demand retrieval of live news feeds for real-time stock news, aggregated from various sources using RSS technology. Other context menu options provide convenient access to a Google search or Yahoo Finance quote page for the stock under consideration. Visualizing the Dynamic Market Graph As discussed earlier, a major goal of this system was to support the visu alization of real-time market data. Thus, we have designed our system so that it is capable of performing dynamic graph layout as updates are re ceived in real time. Upon startup, the visualization client connects to the Results Analysis Server, the data output stage of the pipeline. Clique re sults are passed to the Results Analysis Server which are then transmitted via a standard TCP socket connection to the client, which then updates the visualization display accordingly. 124 Chapter 7. A Real-time Stock Market Application Analyzing Clique Overlap Since the state of the market market is constantly evolving, the set of com puted cliques is also constantly changing. We therefore need a method that can appropriately handle dynamic clique sets and produce meaningful out put. One such approach is based on analyzing the extent of clique overlap in the market graph. Two specific methods for analyzing clique overlap are the co-clique matrix (CCM) approach and the k-clique graph approach. A co-clique matrix (CCM) measures for each pair of stocks the number of times they appeared together in a clique. Specifically, each entry (i,j) in a co-clique matrix specifies how many times stock s appeared in a clique with stock sj. Recent research has shown that the overlapping clique structure within real-world networks (e.g., collaboration, word-association and protein interaction networks) exhibit non-trivial correlations and small-world scaling properties [102]. Because our system produces a series of dynamic market graphs, we also dynamically maintain the co-clique matrix; thus, we are simultaneously tracking and analyzing the evolution of the underlying clique overlap structure. Formally, a co-clique matrix CCM(t) for N stocks is a N x N matrix where CCM(t)(i,j) = {c E C(t)Ii,j e c}I, where C(t) is the set of all maximal cliques discovered by OPPLS during the time interval [t — t, t]. Furthermore, the matrix diagonal (i,i) specifies the number of cliques containing stock s, which can also be considered a measure of si’s centrality [101]. Stocks with high clique overlap are of particular interest because removing them tends to dramatically change the market graph and corresponding clique overlap structure. A k-clique graph G(t) (k) is a graph that contains only edges whose cor responding co-clique value at time t is greater than k; that is, G(t)(k) (V,E(k)), where V is the set of all stocks in the underlying graph G(t) = (V,E), and E(k) = {(i,j) e EICCM(t)(i,j) > k, i j}. For example, when k = 1, then G(t) (1) is simply the graph containing all the vertices and edges from the set of maximal cliques found during the time interval [t — t, tj. In the context of financial networks, both of these approaches have not been previously explored and thus we take a first step at investigating the nature of overlapping clique structures within the market graph. 7.5 Evaluation In this section, we present some anecdotal results obtained by running our system on real-world market data. The current system was tested on a dataset consisting of the Trade and Quote (TAQ) data from the Toronto 125 Chapter 7. A Real-time Stock Market Application Stock Exchange (TSX) for March 2005; additionally, we performed some tests on synthetic data to ensure the correctness of the techniques. Further more, our investigation is the first (to our knowledge) which attempts to study the evolving intra-day market graph. We stress here that our goal is not to show ground-breaking discoveries on short-term correlation patterns, but rather to demonstrate how basic clique information representing cor related sets of stocks can be extracted from the dynamic intra-day market graph. 7.5.1 Homogeneous Time Series Interpreting homogeneous time series correlations is a relative easy task. Determining the cause of the correlation is another question altogether (and hence out of the scope of this thesis). As discussed in Section 7.3, applying standard time series analysis to high-frequency data is problematic as it re sults in many constant values. For example, we found that correlating our indicators using a sampling frequency of less than 10 seconds often resulted in many consecutive constant values, which gave rise to an undefined cor relation coefficient (since standard deviations of zero occur). Our original hypothesis was that using high-frequency data would eliminate this prob lem; we see now that while the frequency of the input data has increased, much of this data is essentially repetitive, offering little or no change to the underlying time series. As a result, we have a small but representa tive example of the type of cliques we wish to extract from the intra-day market graph. For this analysis we did not perform any back-testing over longer time durations. Instead, we just extracted a single day of trading data which we calculated as a ‘normal’ day on the TSX.12 Because the TSX data we currently have is relatively low-frequency, in our experiments we use a longer sampling interval to reduce the number of interpolations required to account for missing data. This problem will be much less pronounced for higher-frequency data from exchanges such as the NASDAQ or NYSE. Figures 7.5, 7.6 and 7.7 are results showing correlated QFSMA indica tors. Figure 7.5 shows three energy stocks (two Encana stocks and Talis man), and CP Holdrstm, a holdings company for Canadian Pacific Railway, which have highly correlated QFSMA indicators using a 3 minute sampling period and a sample size of 50. We can see that the two Encana stocks have nearly identical curves, while Talisman and CP Holdrstm follow suit with ‘2We did this by calculating averages for volume, price volatility and number of quotes over the entire month (March 2005), and then chose the day showing the lea.st deviation from those averages (March 22). 126 Chapter 7. A Real-time Stock Market Application similarly correlated curves. The average pair-wise correlation over these stocks as computed by the Maronna method is p = 0.89. 110 I I I 100 90 ECA.TO (Encana Cor( — 10 TLM.TO (r1flECA.U.TO (Encana Corp) HCHTO (CP Hodrstm) 0 I I I 0 5 10 15 20 25 30 35 40 45 50 Bars (3 mins) Figure 7.5: Energy stocks showing correlated QFSMA indicators with 3 minute sampling intervai. Figures 7.6 and 7.7 are taken from the same experiment, which shows correlated QFSMA indicators using a 1 minute sampling period with a sam- pie queue size of 100. Figure 7.6 shows three energy trust funds, whose QF SMA indicators exhibit a spike at approximately the same time. This sudden flurry of activity could represent, for instance, an important news release. Detecting such spikes in activity would be a valuable tool for momentum traders who rely on the ability to identify short-term movements. Figure 7.7 shows four stocks (AberDiamond, Advantage Energy Trust, Cameco and Gerdau Ameristeel) that are somewhat related in the sense that they are in a resource or related industry, as well as one non-related stock (Cognos). The pair-wise correlation co-efficients for these time series are all between 0.9 and 1.0. While at first glance these values may seem surprisingly high, the robustness of Maronna essentially down-weights outlier samples that would otherwise decrease the correlation. Their QFSMA charts are somewhat op posite to the previous chart in the sense that the indicator values appear highly correlated for some time, and then they all suddenly drop to a very weak signal. This type of activity could represent the situation when all the 127 Chapter 7. A Real-time Stock Market Application stocks were simultaneously correcting (reversing a recent gain/loss surge). 0 a, C •0 C Figure 7.8 shows stocks which exhibit correlated QVSMA indicators us ing a 30 second sampling period. The QVSMA indicator we use combines both bid/ask volumes, and so it represents a general liquidity indicator. Calculating the QVSMA indicator using only one of the bid or ask volumes would provide an indication of current buy or sell liquidity, respectively. The resulting time series for Cambior and PlacerDome (both gold mining compa nies) are positively correlated with p = 0.84. TLC Vision is also found to be positively correlated with Cambior (p = 0.95) and PlacerDome (p = 0.80), although the magnitude of change in the indicator series is noticeably less (which may indicate a spurious result due to noise). Weston Foods, on the other hand, exhibits a QVSMA indicator series which is highly nega tively correlated to all three stocks, with an average correlation co-efficient of p = —0.82. Figure 7.9 shows three stocks (Agrium, Cott Corp, Russel Metals) ex hibiting correlated QFSMA indicators using a 3 second sampling period. Figure 7.10 shows scatter plots of the indicator values for each pair of stocks over the same time interval. Each point in the plot represents the indicator value for the two stocks at that moment in time. The average correlation 40 35 30 25 20 15 10 5 0 0 Figure 7.6: Energy minute sampling interval. 10 20 30 40 50 60 70 80 Bars (1 mm) stocks showing correlated 90 100 QFSMA indicators with 1 128 Chapter 7. A Real-time Stock Market Application 50 I I I I I ABZ (Aber Diamond Carp) —+-— AVNDB (Advantage Fnnrgy Incamo Fund) -v 45 9. cco (Cameco) CSN (Cognon) C GNA (Go-dan AmvrislevI Cnrp • 40 to a •itj 30 abot o 25 r > a bd 005 or 1g20 V S 15 1: 0 o 1020 30 405060708090100 Bars (1 mm) Figure 7.7: Resource and other stocks showing correlated QFSMA indicators with 1 minute sampling interval. coefficient between the three pairs is p = 0.92. 7.5.2 Inhomogeneous Time Series Analyzing correlated behaviour from inhomogeneous time series is difficult because of the potential variations in frequencies between the time series. For example, consider the extreme case where two inhomogeneous timeseries containing 100 data samples each span non-overlapping time windows — one series may represent data between the interval 9:00-9:05, and the other may represent the time interval 10:15-14:00. While our initial intuition rejects the validity of correlating these time series, we believe there may be useful information to be extracted from time series which are inhomogeneous, but with a less extreme temporal shift as the case presented above. That is, we wish to consider inhomogeneous time series with partially overlapping time windows and approximately equal durations. Furthermore, depending on the degree of time window overlap, the results may represent a time-lagged correlation; e.g., the case where the time windows spanned by the two in- homogeneous time series are approximately the same size and one is shifted forward or backwards in time. How exactly to extract meaningful economic information from such results is another question, and answering it is bet- 129 Chapter 7. A Real-time Stock Market Application 0 ter left to potential users of the system (day traders, automated/algorithmic traders, portfolio managers, etc). Figure 7.11 shows three stocks exhibiting correlated event-based patterns using the QMROC indicator. The average correlation coefficient of these time series is p = 0.52; while not convincingly high, a quick glance a the chart shows a clear co-movement in the indica tor values. The three stocks are Otelco Inc (OTTO-UN.TO), a provider of wireline telephone services, Rogers Communications (RCI-B.TO), and Spectrum Signals (SSY.TO), software developer for defense electronics ap plications. Figure 7.12 shows the same data points when they are shown in their correct time series order. It is difficult to discern a relationship between those same stocks. 7.6 Potential Applications This section discusses several potential applications of our system. The first application of our system is to serve as a data exploration and knowledge discovery tool. Using advanced visualization and interaction techniques, end-users can navigate and explore through the evolving market graph in order to gain a deeper understanding of the complex underlying CBJTO (Cambior) PDG ro iPLce Doroo ‘- TLC.TO (TLC Vision) WNDB TO (Waston Foods) c I 16000 14000 12000 10000 8000 6000 4000 2000 0 0 0 0 0 00 10 20 30 40 50 60 70 80 90 100 Bars (30 seconds) Figure 7.8: Gold stocks showing correlated QVSMA second sampling interval. indicators with a 30 130 (.0 U 0 0, ‘U > 0 ‘U C, V Chapter 7. A Real-time Stock Market Application Figure 7.10: Three pair-wise correlation scatter plots for the stocks in Fig ure 7.9. The first company name corresponds to the values on the X-axis, the second name to the Y-axis. correlation-based dependencies. The second application is that of a decision support and recommenda tion system, which would provide valuable on-demand information using a combination of historical and real-time information from the market net work model. Our vision for this model works as follows: A day trader makes a trade decision on a single stock using their preferred strategy (e.g., some combination of technical indicators and rule-based strategies). The Agrum Inc. Cott Corp. --->-• 0.8 Russel Metals Inc a-- 0.7 0.6 7: 0.1 0 5 10 15 20 25 30 35 Bars (3 seconds) Figure 7.9: Correlated QFSMA indicators over a 2.5 with a 3 second sampling interval. 40 4550 minute time window (a) Agrium/Russel Metals (b) Agrium/Cott (c) Cott/Russel Metals 131 Chapter 7. A Real-time Stock Market Application Figure 7.12: The underlying time series for the QMROC events in Fig ure 7.11. 0 0 0 a, 0 C0 V 0 a, ‘a > 0 ‘a 0 V 0 5 10 15 20 25 30 35 40 45 50 Bar (10 aeconds) 1200 1000 800 600 400 200 -200 Figure 7.11: Correlated event-based QMROC patterns. 1200 — 1000 800 600 400 200 0 -200 — 10500 On-UNTO —4--- RC[•B.TO SSY.TO •-.%-- 11000 11500 12000 12500 Bar values (elapsed seconds since start of trading day) 13000 13500 132 Chapter 7. A Real-time Stock Market Application day trader could then query our system to find stocks to which it has highly correlated short-term patterns. The trader would then manually assess the recommendations to find additional trading opportunities. The third application of our system is geared towards automated trading strategies, and in particular, automated pairs trading. Pairs trading involves finding a pair of stocks (in general, any pair of financial instruments can be used) which are known to be highly correlated, and when their price ratio diverges past a critical point, the two stocks are simultaneously bought long and shorted13 The recent increase in access to historical and real-time trad ing data is leading to improved pairs trading models [119, 120, 121]. As pairs trading relies heavily on correlation analysis, the ability to compute a (near) real-time market-wide correlation analysis may offer new opportu nities to perform accurate, real-time pairs trading for all possible pairs of stocks. 7.7 Summary In this chapter we have proposed the use of a highly parallel workfiow en vironment for correlating and clustering data from thousands of stocks in (near) real-time. As shown in Chapter 6, our system can process a data stream of 2000 time series with an average response time of 3.74 seconds. Our proposed method of correlating and clustering short-term indicators is a novel concept, but there are clearly many issues which need to be further addressed. For example, some of the results presented in Section 7.5 show correlated behaviour between stocks which, at least intuitively, appear to have no clear connection between them. These results are accurate in the sense that the indicator values form time series that are actually correlated, and the system correctly identifies them; however, many patterns of this nature may be spurious. It is well-known that common, market-wide fac tors (e.g., interest rates, foreign affairs, etc) contribute to some degree to the correlated behaviour. One way to address this issue is to divide the indicator value into its common and private components [3]. The common component value reflects information from market-wide factors and is com mon across all stocks (at least in a particular industry), whereas the private 13 long” is what most people are familiar with — shares are bought at or near the current price, and later sold for a profit (or loss); the positions are reversed when the price ratio converges to some pre-determined level [118]. “Shorting” a stock means selling a stock first (technically, the shares are borrowed from a bank or similar institution), until a later time when the shorted shares can be bought back for a profit (or loss). 133 Chapter 7. A Real-time Stock Market Application component value reflects the information specific to the stock. Correlat ing the private component value would result in a measure which excludes the common information, potentially leading to correlations which can more precisely predict co-movements. Furthermore, we have found through a trial-and-error approach that the correlation of indicators on such short-term time scales are highly sensitive to the sampling period as well as to the queue length (number of samples used in the correlation). For example, indicators based on rate of change require that the queue size and sampling period match the time window in which the change is expected, otherwise sudden surges of activity will not be detected since the robust correlation calculation will treat those data samples as outliers. If the time window spanned by data samples in queue can closely approximate the time window of the activity, then the spikes in the indicator chart will span a larger portion of the time window, and thus the spikes will not be seen as outliers. On the other hand, detecting trends like moving averages requires a longer sampling period, otherwise the indicators tend to have a fiat signal (no change), which results in an uninformative positive correlation. Another interesting and open question is how to analyze the cliques dis covered in multiple consecutive market graphs. Previous research on clique overlap [26, 101, 102] have focused on static graphs. To our knowledge, there is no existing work which examines how the clique overlap structure evolves within a dynamic graph. The ability to precisely characterize and quan tify the temporal evolution of clique overlap structures within the dynamic intra-day market graph may yield valuable information about short-term movements. 134 Chapter 8 Conclusion In the investing world, timing is key. When information pertaining to a stock is released, investors react, and the share price is adjusted accord ingly. As described in this thesis, stocks can be modeled as a network, where network connections define some relationship or similarity measure between stocks. With each passing second of the day, new information is disseminated through various communication mediums, ultimately perturb ing the current state of the network. Thus, the topology of the network is continously evolving. A high-performance compute infrastructure with scalable, robust algorithms is essential in order to capture meaningful and economical information from this dynamic network of stocks. Two specific ways of exploiting information in this data is through correlation and clus tering. Furthermore, as we have shown in this thesis, correlation analysis can be used to create a network model of a stock market using a variety of user-defined similarity measures. Then, further information can be ex tracted from the network model using a clustering technique such as clique- finding to identify subsets of stocks exhibiting highly correlated similarity measures. Unfortunately, due to the complexity of the computations in volved, correlating and clustering thousands of variables in real-time is an extremely challenging task, and even minor accuracy errors or incorrect de cisions could result in significant financial loses. In light of all this, we see a clear path to addressing this challenging problem. Thanks to advances in high-speed Internet links, affordable commodity clusters and multi-core chips, we believe the solutions lies in exploiting sophisticated parallel and online algorithms. Throughout this thesis we demonstrate how a stochastic local search algorithm is inherently well-suited to handle a large-scale, time-sensitive combinatorial optimization problem such as clustering. We introduce the sequential, offline versions of DLS-MC and PLS, two state-of-the-art SLS algorithms designed for the maximum clique problem, and show how they can be adapted and employed within a fully distributed parallel workfiow environment. First, we developed parallel PLS and parallel DLS-MC, which through the basic yet powerful multiple independent runs parallelization 135 Chapter 8. Conclusion strategy, are able to achieve impressing speedup results over a wide range of problem instances. Next, we armed parallel PLS with trajectory continua tion, a technique which enables it to operate in a dynamic environment where the input graph is subject to continuous modifications. The final result is online parallel Phased Local Search, which is a scalable and adaptive SLS algorithm capable of finding high-quality cliques within a dynamic graph. We also presented preliminary results using a cooperative search strategy, which although on average was out-performed by its non-cooperative vari ant, was dominant by several orders of magnitude for a particularly hard problem instance. This suggests that the modifications introduced in the cooperative variant may offer some clues on how to improve the original PLS algorithm. We then integrated online parallel PLS into a parallel workfiow environ ment where it operates on a dynamic graph with an objective to find as many maximal cliques as possible, under extremely tight time constraints. The dynamic graph is constructed from the real-time correlation matrix of a larger number of variables within a high-frequency time series data stream. The correlation matrix is dynamically maintained using an online parallel implementation of Maronna, a powerful correlation method for dynamic data streams, robust to outliers and noisy data a key features for dealing with sporadic, highly irregular time-series. We also introduced several other im portant but non-parallel data processing components, and describe how they fit within our data processing pipeline. In the same chapter we presented timing results using synthetically generated data streams, and showed that by using 36 processors we were able to process a high-frequency data stream with 2000 input variables using time windows as small as 3.74 seconds. In the final chapter, we performed a preliminary investigation into the applicability of our system for processing high-frequency intra-day stock market data in order to determine clusters of stocks exhibiting highly cor related time series of short-term technical indicator values. Our novel ap proach emphasizes a real-time market-wide analysis, and the flexible system design enables easy interchanging of computational components, creating a powerful framework for designing, testing and evaluating high-frequency financial applications. With potential applications ranging from automated trading systems to exploratory knowledge discovery, we believe our system can empower its users with a deeper insight into the complex underlying network structure of the stock market. 136 Chapter 8. Conclusion Future Work The design and implementation of this system has been an iterative process. As with any research which is actively on the frontier of innovation, we were forced to make initial assumptions many of which were revisited — to reduce the scope of the design space. The need for high-performance com puting in the finance industry is clear; the question is how to best approach the problem. In this thesis we have presented a system which we believe is on the right track to meeting the computationally demanding requirements outlined above. The system is loosely coupled, with modularity in mind, meaning we consider the current configuration of computing components one instance of the parallel workflow environment. For example, OPPLS is just one approach to finding highly correlated subsets of stocks in the market graph. We could easily swap OPPLS for a different graph-based clustering algorithm, or, alternatively, the entire market graph model could be removed, leaving only the dynamic correlation matrix which could then be used as input into a different clustering algorithm. In general, this thesis has explored the design space of a system for real time analysis of high-frequency data streams. More importantly, though, this research has exposed many interesting and open problems in regards to high-performance computing within the context of high-frequency finance. The following section discusses many exciting extensions to our work. Alternative Clustering Approaches Our current clustering method is only one of many possible choices. Clus tering is perhaps one of the most difficult data mining tasks as it requires a notion of similarity a priori, making the results susceptible to user bias. In particular, our method of clique-based clustering, while extremely rele vant in some contexts, could be replaced by other graph-based clustering methods. For example, clustering by maximum-weight clique partitioning would avoid the problem of specifying a threshold value from which to ac cept or reject edges. Similarly, we could extract quasi-cliques instead of maximal cliques from the dynamic graph. A quasi-clique is a highly dense, but not necessarily complete, subgraph. By allowing quasi-cliques instead of maximal cliques, we could provide a more robust set of potential solutions. Furthermore, we believe it may be interesting to allow multiple clustering methods to be executed on the same dynamic graph, producing a set of (possible different) clustering results. 137 Chapter 8. Conclusion Correlating Multiple Metrics for Multi-objective Optimization It has been shown that automated trading of technical indicators in isolation are profit-losing strategies. However, when multiple technical indicators are used simultaneously, profitable trading strategies emerge. We are therefore keen on utilizing our massively parallel system to synchronously correlated multiple variables for each stock. Several approaches for dealing with mul tiple objectives exist. One solution is to employ a multi-objective cluster ing algorithm that can optimize over the wide range of (possibly weighted) variables. Multi-objective Variable Neighbourhood Search (MOVND) is a novel Stochastic Local Search algorithm for clustering weighted graphs using multiple scoring functions. The solution space forms a Pareto front of high- quality solutions, which could be explored by an interactive user in order to find an optimal portfolio weighting. Correlating Time-Series on Multiple Time Scales Currently, our system samples the data stream every Lt seconds. If we sample evenly across all stocks every zt seconds, and retain Q data samples in our data queue, we end up with a homogenous time series (assuming we used interpolation/aggregation to homogenize where necessary) spanning a time window of QZt seconds. This means the correlations must exist within that time window. But what happens if we don’t know exactly what time window in which such correlated behaviour occurs? Or what if we want to compare correlations across multiple time scales? In this case, the solution would be to compute correlations on multiple time scales. For example, after the first 60 seconds (i.e., t 60), there are 60 data points with LS.t 1, 30 data points with 1t = 2, 15 data points Lt = 4, 5 data points with 12 and 1 data point with Lt = 60. At time t 120, the number of data points for each time interval is doubled, as well as a single data point with Lt = 120 The idea of finding related patterns across multiple time scales is discussed in a recent paper by LeBaron [104]. Time-Lagged Correlations Our correlation method currently performs correlation on time series which span identical time windows. Calculating time-lagged correlations could provide useful information with regards to predicting future price move ments. Our current implementation of online parallel Maronna could be modified to calculate a time-lagged correlation simply by using using data 138 Chapter 8. Conclusion samples from a time-shifted window. For example, consider the data sets {djt+Q, dt_Q_1,... , d} and {dt_Q, dJt_Q+1,. .. , dfi} which represent the Q most recent data samples for stocks s and s, respectively, at time t. Assuming Lt 1 second, then a lagged correlation with lag of 1 time unit would correlate {djt_Q,dt_Q+1,.. . with {dit_Q_1,djt_q,... ,d_1}, or vice-versa. Dealing With Inhomogeneous Time Series While the problem of inhomogeneous time-series is a known problem in the area of statistical analysis and data-mining, until recently it has not been studied in the context of high-frequency, short-term stock market data. Re cently it was shown that a standard correlation calculation can be modified to take into account the frequency differentials in the data between two time series [3]. The modification requires only minimal additional computation and could be easily integrated into the Maronna method. Clustering Data Streams There is a large body of work dealing with data stream clustering [122, 123, 124]. Data stream clustering is the problem of how to maintain a consistently good clustering of a sequence of data points. One of the main differences between our clustering approach and data stream clustering approaches is that the data streams they consider are not online. Instead, the data streams represent data sets which are far too big to fit into main memory, making random access very expensive, and thus necessitating the need for single-pass scans through the data. More recently, however, there has been a dramatic increase in online data streams, which has spurred the development of novel online data stream clustering approaches[125, 126, 127]. While this thesis addresses the problem of online data stream clustering by finding cliques in a dynamic graph, we believe that future work in this area could involve applying online data stream clustering methods to the raw data streams before they are transformed and correlated. Exploiting Additional Data The high-frequency financial data stream used in this thesis (the bid-and-ask data) contains more data fields than we currently use. Our calculations only use the bid/ask price, bid/ask volume, and the time stamp for each data point. Each data point contains additional information, such as a buyer and seller ID, unique identifiers for each entity that submits orders into the 139 Chapter 8. Conclusion electronic market system. Also, there is potentially valuable information to be extracted from the depth-of-market data (also known as the limit order book), which is all bid/ask quotes other than the current best. This data is particularly useful in ultra short-term trading because it shows such things as how many people are buy and selling and at what price, the liquidity of the stock and the potential short-term direction of the stock. Clique Coverage While the original PLS algorithm is optimized for finding the maximum clique, OPPLS was designed to find a large set of maximal cliques. The “clique coverage” ability of a heuristic algorithm refers to the time and ef ficiency for approximating the full set of maximal cliques. Future work in this area would include a rigorous empirical analysis to accurately quantify the clique coverage performance of OPPLS. While this thesis did report any results on this issue, preliminary (but undocumented) experiments showed promising results. In order to measure the clique coverage performance of OPPLS, we had to record all unique maximal cliques that were discovered during the search. Obviously, with 3 potential maximum cliques, some care must be taken to efficiently store and compare the maximal cliques. To implement this idea, we borrowed a technique used in the Reactive Search Framework [58] for detecting cycles in the search trajectory using an incre mental hash function. We use the same hash function to generate a unique clique identification number, and store that instead of the clique vertices. 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Zhu and D. Shasha, “Statstream: Statistical monitoring of thousands of data streams in real time,” 2002. [Online]. Available: citeseer.ist.psu.edu/zhuo2statstream.html 152 Appendix A Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS This appendix provides full results on the scalability and speedup experi ments from Chapter 4. 153 30 25 20 0 a> a 15 10 5 0 0 5 10 15 20 25 30 35 # of Processors (b) brock800_1 Figure A.1: Scalability and Speedup results for PPLS on the brock800_1 instance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and GPPLS 0.9 0.8 0.7 0.6 0.5 0 0.4 0.3 0.2 0.1 0 10000 100000 le+06 le+07 log Run-steps (a) brock800_1 lei-08 brock800_1 —4— Linear 154 Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS a, 0 a. a V a, a 0) 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 35 5 # of Processors (b) p..hatl500-1 le+06 Figure A.2: Scalability and Speedup results for PPLS on the pJiatl500-1 instance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. log Run-steps (a) phatl500-1 30 25 20 15 10 0 5 10 15 20 25 30 35 p_hatl500-1.speodup Linear 155 0 > 0 0 a. 0a, 0 0. C,) 35 30 25 20 15 10 0 0 5 10 15 20 # of ProcessoTs (b) C1000.9 25 30 35 Figure A.3: Scalability and Speedup results for PPLS on the C1000.9 in stance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0— 100 _*r_1 32proc 1000 10000 100000 le+06 le+07 log Run-steps (a) C1000.9 C1000.9 —-—I— Linear 156 a 20 0 cD 5) a 0 Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS 0.9 0.8 0.7 0.6 1 -o ci. 0.4 0.3 0.2 0.1 log Run-steps (a) keller6 35 - 30 25 15 10 5 0 1 5 10 15 20 8 of Processors o!Ier6 —4--— 25 30 35 (b) keller6 Figure A.4: Scalability and Speedup results for PPLS on the keller6 instance. Plot (a) shows for varying numbers of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. 157 Appendix A. Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 0 a a 0 w C a Co 14 12 10 8 6 4 2 (b) brock800A Figure A.5: Scalability and Speedup results for PDLS-MC on the brock800ll instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. 16 log Run-steps (a) brock800A 8 # ot Processors 158 Appendix A. Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 0. z t Figure A.6: Scalability and Speedup results for PDLS-MC on the phatl500- 1 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. 0) > 0 a _••j/ 32 proc - - 0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 16 14 12 10 10 100 1000 10000 100000 log Run-steps (a) phatl500-1 le+06 10+07 le+08 6 4 8 # of Processors (b) phatl500-1 159 Appendix A. Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 0 Co 0. a Co a C0 8 # of Processors (b) C1000.9 Figure A.7: Scalability and Speedup results for PDLS-MC on the C1000.9 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. log Run-steps (a) C1000.9 160 Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS a, a) 0 a- a •0 a) a 0) 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 16 14 12 10 4 # of Processors (b) keller6 16 Figure A.8: Scalability and Speedup results for PDLS-MC on the keller6 instance. Plot (a) shows for varying number of processors the RLDs while plot (b) shows the corresponding speedup based on median run-length. 0.9 log Run-steps (a) keller6 6 8 10 12 14 161 Appendix A. Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 20 V a, a, °‘ 15 10 5 Figure A.9: Scalability and Speedup results for CPPLS on the brock800_1 instance. Plot (a) shows speedup based on the median run-length, while plot (b) shows Speedup based on the median run-time. 35 - 30 25 0 5 10 15 20 25 30 # of Processors (a) brock800A a V a Ci) 8 # of Processors (b) brock8O&1 162 Appendix A. Scalability and Speedup Results for PPLS, PDLS-MC and CPPLS 50 45 40 35 30 :: 15 10 5 0 Figure A.1O: Scalability and Speedup results for CPPLS on the phatl500-1 instance. Plot (a) shows speedup based on the median run-length, while plot (b) shows Speedup based on the median run-time. # of Processors (a) pJiatl500-1 20 18 16 14 12 8 # of Processors (b) phatl500-1 10 12 14 16 163 Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS a V 0 0 a 0, a V a 0) Figure All: Scalability and Speedup results for CPPLS on the Cl000.9 instance. Plot (a) shows speedup based on the median run-length, while plot (b) shows Speedup based on the median run-time. # of Processors (a) C1000.9 8 # of Processors (b) C1000.9 164 Appendix A. Scalability and Speed up Results for PPLS, PDLS-MC and CPPLS a 0 0 a C,, a V a, a(0 8 # of Processors (b) keller6 Figure A.12: Scalability and Speedup results for CPPLS on the keller6 in stance. Plot (a) shows speedup based on the median run-length, while plot (b) shows Speedup based on the median run-time. 8 of Processors (a) keller6 165 Appendix B Performance Results for OPPLS This appendix provides full results from the dynamic graph series experi ments in Chapter 5. 166 Appendix B. Performance Results for OPPLS I000c NoTC 2mm162o Dynamic Graph Sequence (a) p.hat500-1 100000 NoTC I 1000 OS 100 In I I I I I 0 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) phat500-1 / Cumulative Figure B,1: Online Performance for phat500-1 20-stage Additive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 167 0a) 0 (a S 0 0 Appendix B. Performance Results for OPPLS Figure B.2: Online Performance for brock200A 20-stage Additive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 100000 I I I NoTC l 0 2 4 14 16 18 206 8 10 12 Dynamic Graph Sequence (a) brock200_1 10 100000 10000 1000 100 10 0 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) brock200J / Cumulative 168 Appendix B. Performance Results for OPPLS ‘9 0 a, a, 0) 0 1000 100 10 1 2 3 4 5 6 Dynamic Graph Sequence (a) keller4 1000 Co 0 a, tiC C,, 100 ‘a E 0 0 0 10 7 8 9 10 10 (b) keller4 / Cumulative Figure B.3: Online Performance for keller4 20-stage Additive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. NoTC IC 3 4 5 6 7 8 9 Dynamic Graph Sequence 169 0a) a) C0 0) 0 10000 a) Co E 0 1000 Figure B.4: Online Performance for p±at500-1 20-stage Subtractive Dy namic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 170 4 Appendix B. Performance Results for OPPLS 100000 10000 1000 100 10 100000 Dynamic Graph Sequence (a) phat500-1 NoTC - --- - 100 0 6 8 10 12 14 Dynamic Graph Sequence (b) p.hat500-1 / Cumulative 16 18 20 Appendix B. Performance Results for OPPLS 100000 10000 to 0 1000 09 100 10 100000 10000 0 a, U, a, ‘a E 0 1000 100 0 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) brock200.1 / Cumulative Figure B.5: Online Performance for brock200_1 20-stage Subtractive Dy namic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 0 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (a) brock200_1 No TC TC /;.. 171 Appendix B. Performance Results for OPPLS 10000 1000 C 0 a, (0 0( 0 100 10 10000 0 a, a, a, .l000 Ca E 0 0 100 (b) keller4 / Cumulative Figure B.6: Online Performance for keller4 20-stage Subtractive Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) keller4 5 6 Dynamic Graph Sequence 172 Appendix B. Performance Results for OPPLS 8000 7000 6000 5000 a, 0 4000 a, (0 3000 2000 1000 0 16000 14000 12000 10000 a, 8000 6000 0 4000 2000 0 Figure B.7: Online Performance for phat500-1 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) phat500-1 3 4 5 6 7 8 9 10 Dynamic Graph Sequence (b) phat500-1 / Cumulative 173 Appendix B. Performance Results for OPPLS 0 0)(0 8000 7000 6000 j 5000 II 4000 )‘O z 3000 C) 2000 1000 0 Figure B.8: Online Performance for brock200i 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) brock200A 2 3 4 5 6 7 8 9 10 Dynamic Graph Sequence (b) brock200_1 / Cumulative 174 Appendix B. Performance Results for OPPLS 0 1; a, 0 a, ‘a C C) (b) keller4 / Cumulative Figure B.9: Online Performance for kellerd 10-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Co 0 a’ ‘a 0 1tlL,,J I NoTC —— TC 1200 A 1000 :/ : /\ 400 / 200 — — 45 6 789 10 Dynamic Graph Sequence (a) keller4 3000 2500 2000 1500 1000 500 2 3 4 5 6 7 8 9 Dynamic Graph Sequence 10 175 Appendix B. Performance Results for OPPLS 16000 14000 12000 10000 0 a, , 8000 6000 4000 0 Co a, (a E C) Figure B. 10: Online Performance for phat500-1 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 18000 2000 Dynamic Gaph Sequence (a) pJat5OO-1 0 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) p..hat500-1 / Cumulative 176 Appendix B. Performance Results for OPPLS Os 0 Os Os Co Os Os Os E 0 (b) brock200i / Cumulative Figure B.11: Online Performance for brock200ll 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. C 0 Os e Co 8 10 12 14 16 Dynamic Graph Sequence (a) brock200_1 50000 45000 40000 35000 30000 25000 20000 15000 10000 5000 0 NoTC TC / ( 8 202 4 6 8 10 12 14 Dynamic Graph Sequence 177 S 0 a 0 > C 0 Appendix B. Performance Results for OPPLS 0 a a(0 8500 8000 8 10 12 14 16 Dynamic Graph Sequence (a) keller4 7500 7000 6500 6000 5500 5000 4500 4000 3500 NoTC - TC 2 4 6 8 10 12 14 16 18 20 Dynamic Graph Sequence (b) keller4 / Cumulative Figure B.12: Online Performance for keller4 20-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 178 0C 0 0 C 0 C > C E 0 Appendix B. Performance Results for OPPLS 40 Figure B.13: Online Performance for phat500-1 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) p.hat500-1 15 20 25 Dynamic Graph Sequence (b) p.hat500-1 / Cumulative 179 00) 0) 0 C 0 0) 0) 0 0) > )0 E 0 Appendix B. Performance Results for OPPLS Figure B.14: Online Performance for brock200J 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 140000 120000 100000 80000 60000 40000 20000 Dynamic Graph Sequence (a) brock200_1 15 20 25 Dynamic Graph Sequence (b) brock200J / Cumulative 180 Appendix B. Performance Results for OPPLS U) 0 a, Co 0 a, a, Co ‘a z E 0 Figure B. 15: Online Performance for keller4 40-stage Mixed Dynamic Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) keller4 8 10 12 Dynamic Graph Sequence (b) keller4 / Cumulative 181 Appendix B. Performance Results for OPPLS 1800 1600 1400 1200 1000 0 t 0) 800 600 400 200 0 0 a,(0 a, > (U S 0 10 Dynamic Graph Sequence (b) Additive / Cumulative Figure B.16: Online Performance for the Additive Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) Additive 1 2 3 4 5 6 7 182 0a, ci) ‘a E () Appendix B. Performance Results for OPPLS Dynamic Graph Sequence (a) Subtractive 1800 1600 1400 1200 1000 0 ‘a 800 600 400 200 0 9000 8000 7000 6000 5000 4000 3000 2000 1000 0 1 9 10 (b) Subtractive / Cumulative Figure B.17: Online Performance for the Subtractive Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. 2 3 4 5 6 7 8 Dynamic Graph Sequence 183 Appendix B. Performance Results for OPPLS 2500 2000 1500 0 a) C), 1000 500 0 18000 16000 14000 , 12000 10000 6000 E o 6000 4000 2000 0 Figure B.18: Online Performance for the Mixed Dynamic Market Graph Series. Plot (a) shows the individual number of search steps needed to find the maximal clique at each stage in the series, while plot (b) shows the total cumulative selections. Dynamic Graph Sequence (a) Mixed 8 10 12 14 16 18 Dynamic Graph Sequence (b) Mixed / Cumulative 184

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