ABSTRACTS

(In chronological order, grouped by topic)

A strong Tauberian theorem for characteristic functions
R. Ried and P.Gonçalves
Appl. Comput. Harmon. Anal.
Letter to the Editor, no 39, p 552-557, 2015

Using wavelet analysis we show that if the characteristic function of a random variable X can be approximated at 0 by some polynomial of even degree 2p then the moment of order 2p of X exists. This strengthens a Tauberian-type result by Ramachandran and implies that the characteristic function is actually 2p times differentiable at 0. This fact also provides the theoretical basis for a wavelet based non-parametric estimator of the tail index of a distribution.

Cascades Infiniment Divisibles
R. Riedi
Gazette des Mathématiciens (Soc. Math. France)
numéro spécial "Benoît Mandelbrot, Père de la géométrie fractale" 2013, no 136, p 119-128

L'objectif de cette contribution est de relier les méthodes de travail particulières et le génie innovateur de Benoît Mandelbrot. Le contexte choisi est le développement récent des cascades infiniment divisibles qui a été fortement influencé par Mandelbrot et qui a aidé à construire des ponts entre les domaines de la théorie multifractale et les processus stochastiques.

Brownian Motion
R. H. Riedi
in Encyclopedia of Environmetrics, A.-H. El-Shaarawi and W. Piegorsch (eds), John Wiley & Sons Ltd: Chichester, UK.
Published online 1/15/2013 at the home page of the Encyclopedia at Wiley Online Library

This article on Brownian motion starts with a short historical survey on its discovery and importance and continues with its most relevant properties. Mathematically detailed formulas are given and connections between the properties are indicated, however no derivations or proofs are provided.

The properties covered start with the mathematical modeling of Brownian motion via the Wiener process; equivalent definitions and constructions such as the Lévy characterization, the midpoint displacement and the re-scaled random walks are discussed. Basic properties given include uniqueness, symmetry, restarted Brownian motion, and time inversion. More advanced topics treated cover stopping times, the strong Markov property, the reflection principle, extreme values, escape times from a strip, and last visits. Discussed are also path oscillations, stationarity, Gaussian white noise, and Karhunen-Löwe expansions. Briefly mentioned are the Brownian motion with drift, the Brownian bridge, as well as intersections, recurrence and transience of Brownian motion in higher dimensions.

Multifractal Analysis of Infinite Products of Stationary Jump Processes
P. Mannersalo, I. Norros and R. Riedi
Journal of Probability and Statistics vol. 2010, Article ID 807491, 26 pages, (2010).
version with a higher level of details available as
Technical Report TR2009-02, Department of Statistics, Rice University, (June 2009)

There has been growing interest in constructing stationary measures with known multifractal properties. In an earlier paper, the authors introduced the multifractal products of stochastic processes (MPSP) and provided basic properties concerning convergence, non-degeneracy and scaling of moments. This paper considers a subclass of MPSP, termed multifractal jump process (MJP), which is determined by jump processes with i.i.d. exponentially distributed interjump times. In this paper, the information dimension and a multifractal spectrum of the MJP are computed. As a side result it is shown that the random partitions imprinted naturally by the Poisson arrivals are sufficient to determine the spectrum in this case.

Infinitely Divisible Shot-Noise: Modeling Fluctuations in Networking, Finance and Turbulence
R. Riedi and D. Gershman, ICNF 07, Proc.\ International Conference on Noise and Fluctuations, Tokyo, Japan, September 2007

Shot-Noise Cascades R. Riedi, Fractal Geometry & Stochastics 4, Greifswald, Germany, September 2008.

Infinitely Divisible Shot-Noise: Cascades of Non-Compact Pulses R. Riedi Technical Report TR2010-02, Department of Statistics, Rice University, (March 2009)

Both conference papers provide an overview over recent advances in the study of Cascades of Pulses, a generalization of the infinitely divisible cascades. Special cases of these cascades of pulses include the shot-noise cascades. To the best of our knowledge, this is the first analysis of cascades with pulses that are not compactly supported. Non-compact support allows for multiplying natural pulses such as exponentials, Gaussians, or mother wavelets.
The pulses having potentially infinite support precludes the use of certain standard techniques for establishing its multifractal properties. As a first step towards overcoming this hurdle, the paper establishes path regularity and scaling properties of the limiting cascade. Conditions and formulas take simple forms in the shot-noise cases.
The technical report provides technical details and proofs.

Measurement-Based Analysis, Modeling, and Synthesis of the Internet Delay Space
Bo Zhang, T. S. Eugene Ng, Animesh Nandi, Rudolf Riedi, Peter Druschel, Guohui Wang
Transactions on Networking 18(1), 229-242, 2010
presented at Internet Measurement Conference IMC2006, Rio de Janeiro, Brazil, October 2006.

The term 'Internet delay space' refers to the all-pairs set of static round-trip propagation delays among edge networks in the Internet. Understanding its characteristics is important for the design of global-scale distributed systems. For instance, self-organization algorithms used in overlay networks are sensitive to the triangle inequality violations and the growth properties within the Internet delay space. Since designers of distributed systems often rely on simulation and emulation to study design alternatives, having a realistic model of the Internet delay space is important.
Our analysis shows that existing delay space models do not adequately capture important properties of the Internet delay space. In this paper, we analyze measured delays among thousands of Internet edge networks and identify key properties that are important for distributed system design. Furthermore, we derive a simple model of the Internet delay space based on our analytical findings. This model preserves the relevant metrics far better than existing models, allows for a compact representation, and can be used to synthesize delay data for simulations and emulations at a scale where direct measurement and storage is impractical.

A Cloud Data Center Optimization Approach Using Dynamic Data Interchanges
Rappos Efstratios, Robert Stephan , Riedi Rudolf
IEEE 2nd International Conference on Cloud Networking (CloudNet),
San Francisco, CA, November 2013, p 175-179.

Distributed data center architectures have been recently developed for a more efficient and economical storage of data. In many models of distributed storage, the aim is to store the data in such a way so that the storage costs are minimized and increased redundancy requirements are maintained. However, many approaches do not fully consider issues relating to delivering the data to the end user and the associated costs that this creates. We present an integer programming optimization model for determining the optimal allocation of data components among a network of Cloud data servers in such a way that the total costs of additional storage, estimated data retrieval costs and network delay penalties is minimized. The method is suitable for periodic dynamic reconfiguration of the Cloud data servers, so that the when localized data request spikes occur the data can be moved to a closer or cheaper data server for cost reduction and increased efficiency.

Opportunities and Limits of Remote Timing Attacks
S. Crosby, R. Riedi and D. Wallach
ACM Transactions on Information and Systems Security (TISSEC)
12(3), 485--507, (January 2009).

Many algorithms can take a variable amount of time to complete depending on the data being processed. These timing differences can sometimes disclose confidential information. Indeed, researchers have been able to reconstruct an RSA private key purely by querying an SSL web server and timing the results. Our work analyzes the limits of attacks based on accurately measuring network response times and jitter over a local network and across the Internet.
We present the design of filters based on statistical methodologies to significantly reduce the effects of jitter, allowing an attacker to measure events with 15-100 micro-sec accuracy across the Internet, and as good as 100ns over a local network. Notably, security-related algorithms on web servers and other network servers need to be carefully engineered to avoid timing channel leaks at the accuracy demonstrated in this paper.

Safari: A Self-Organizing, Hierarchical Architecture for Scalable Ad Hoc Networking.
S. Du, A. Khan, S. PalChaudhuri, A. Post, A. Saha, P. Druschel, D. Johnson and R. Riedi
Ad Hoc Networks 6(4), 485--507, (2008).

As wireless devices become more pervasive, mobile ad hoc networks are gaining importance, motivating the development of highly scalable ad hoc networking techniques. In this paper, we give an overview of the Safari architecture for highly scalable ad hoc network routing, and we present the design and evaluation of a specific realization of the Safari architecture, which we call Masai. We focus in this work on the scalability of learning and maintaining the routing state necessary for a large ad hoc network. The Safari architecture provides scalable ad hoc network routing, the seamless integration of infrastructure networks when and where they are available, and the support of self-organizing, decentralized network applications.
Safari’s architecture is based on (1) a self-organizing network hierarchy that recursively groups participating nodes into an adaptive, locality-based hierarchy of cells; (2) a routing protocol that uses a hybrid of proactive and reactive routing information in the cells and scales to much larger numbers of nodes than previous ad hoc network routing protocols; and (3) a distributed hash table grounded in the network hierarchy, which supports decentralized network services on top of Safari.
We evaluate the Masai realization of the Safari architecture through analysis and simulations, under varying network sizes, fraction of mobile nodes, and offered traffic loads. Compared to both the DSR and the L+ routing protocols, our results show that the Masai realization of the Safari architecture is significantly more scalable, with much higher packet delivery ratio and lower overhead.
Keywords: Ad hoc network routing; Peer-to-peer networking; Landmark routing; Hierarchical routing; Reactive routing; Proactive routing; Hybrid routing; Safari; Masai

On the Impact of Realism of Mobility Models for Wireless Networks
H. Flores, R. Riedi, S. Eidenbenz and N. Hengartner
IEEE Globecom 2008, Global Communications Conference,
New Orleans, LA, December 2008.

We present PedSims, a suite of mobility models spanning the entire range from the classic Random Waypoint (RWP), to correlated movement, to trace-level-quality social- activity-based mobility. Instrumenting PedSims at various levels of structural complexity we assess and quantify the impact of real world mobility patterns, such as common interests or synchronous behavior, on ad hoc network performance. Thus, PedSims provides not only a flexible platform for mobility simulation but also a means to strike a trade-off between a tolerable error and computational complexity. Notably, as our study of DSR, AODV and SAFARI finds, neglecting to capture mobility patterns may result in inversion of the ranking of routing protocols as well as in over- and under-estimation of network performance. Further contributions include a bias correction for the sampling of node-to-node connection time.

Bounds on the Benefit of Network Coding: Throughput and Energy Saving in Wireless Networks
A. Keshavarz-Haddad, R. Riedi
IEEE INFOCOM 2008, 27th Ann. Conf. Computer Communications,
Phoenix, Arizona, April 2008.

Bounds on the Benefit of Network Coding for Wireless Multicast and Unicast
A. Keshavarz-Haddad and R. Riedi
IEEE Transactions on Mobile Computing
vol 13(1), 102-115, Jan 2014.

In this work we establish fundamental limitations to the benefit of network coding in terms of energy and throughput in multihop wireless networks. Thereby we adopt two well accepted scenarios in the field: single multicast session and multiple unicast sessions. Most of our results apply to arbitrary wireless network and are, in particular, not asymptotic in kind.
In terms of throughput and energy saving we prove that the gain of network coding of a single multicast session is at most a constant factor. Also, we present a lower bound on the expected number of transmissions of multiple unicast sessions under an arbitrary network coding. We identify scenarios for which the network coding gain for energy saving becomes surprisingly close to 1, in some cases even exactly 1, corresponding to no benefit at all. Interestingly, we prove that the gain of network coding in terms of transport capacity is bounded by a constant factor pi in any arbitrary wireless network and for all traditional channel models. This shows that the traditional bounds on the transport capacity do not change more than constant factor pi if we employ network coding. As a corollary, we find that the gain of network coding on the throughput of large scale homogeneous wireless networks is asymptotically bounded by a constant. Note that our result is more general than the previous work [5] and it is obtained by a different technique. In conclusion, we show that in contrast to wired networks, the network coding gain in wireless networks is constraint by fundamental limitations.

Multicast Capacity of Large Homogeneous Multihop Wireless Networks
A. Keshavarz-Haddad, R. Riedi
6th Intern. Symp. on Modeling and Optimization in Wireless Networks,
WiOPT’08, Berlin, Germany, April 2008.

Most existing work on multicast capacity of large homogeneous networks is based on a simple model for wireless channel, namely the Protocol Model. In this paper, we exploit a local capacity tool called arena which we introduced recently in order to render multicast accessible to analysis also under more realistic, and notably less pessimistic channel models. Through the present study we find three regimes of the multicast capacity for a homogeneous network depending on the ratio of terminals among the nodes of the network. We note that the upper bounds we establish under the more realistic channel assumptions are only root of log(n) larger than the existing bounds. Further, we propose a multicast routing and time scheduling scheme to achieve the computed asymptotic bound over all channel models except the simple Protocol Model. To this end, we employ percolation theory among other analytical tools. Finally, we compute the multicast capacity of large mobile wireless networks. Comparing the result to the static case reveals that mobility increases the multicast capacity. However, the mobility gain decreases when increasing the number of terminals in a fixed size mobile network.

Arena Function: A Framework for Computing Capacity Bounds in Wireless Networks
A. Keshavarz-Haddad and R. Riedi
IEEE Transactions on Wireless Communications
no 17, issue 2, p 1134-1146, 2018
Bounds for the Capacity of Wireless Multihop Networks Imposed by Topology and Demand
A. Keshavarz-Haddad and R. Riedi
MobiHoc 07, 8th ACM International Symposium on Mobile Ad Hoc Networking and Computing, September 2007

Bounds on the capacity of wireless networks often rely on simplifying assumptions and are given in terms of coarse network parameters such as the number of nodes. While useful due to their simplicity such bounds can significantly overestimate the achievable capacity in real world situations, ignoring actual network topology and traffic patterns.
The results of this paper improve such analytical results on network capacity in several ways. At the heart of our methodology lies the concept of transmission arenas which indicate the presence of active transmissions near any given location in the network. This novel space-based approach is well suited to untangle the interactions of simultaneous transmissions. Avoiding a graph-based model of the network it opens new avenues of studying capacities.
For homogeneous networks we recover classical bounds. However, our methodology applies to arbitrary networks and can, thus, inform placing and activating of nodes also in the presence of clustering. Our method works with all classical channel models and dimensions. It provides bounds on the transport capacity which involve only high level knowledge of node locations, such as the length of Euclidean Minimum Spanning Tree. As an additional novelty we establish bounds on wireless unicast and multicast capacities.

Broadcast Flooding Revisited: Survivability and Latency
P. Mannersalo, A. Keshavarz-Haddad, and R. Riedi
IEEE INFOCOM 2007, Anchorage, Alaska, USA, May 2007. 

This paper addresses the dynamics of broadcast flooding in random wireless ad hoc networks. In particular, we study the subset of nodes covered by a flood as well as timing issues related to the first (latency) and the last time (duration of back-chatter) at which a broadcast is received by a fixed node. Notably, this analysis takes into account the MAC-layer as well as background traffic which both are often neglected in related studies.
Assuming a protocol model for the transmission channel which accounts for carrier sensing and interference, we find bounds for the probability of survival of the flood and for its coverage probabilities. Moreover, under certain conditions on the parameters, we establish asymptotical linear bounds on the latency as the distance from the origin of the flood increases and show that the duration of the back-chatter is stochastically bounded. The analytical results are compared to simulation.
Towards obtaining our results using models from percolation theory proved to be crucial.

Broadcast Capacity in Multihop Wireless Networks
A. Keshavarz-Haddad, V. Ribeiro, R. Riedi, MobiCom’06, Los Angeles, CA, September 2006
On the Broadcast Capacity of Multihop Wireless Networks: Interplay of Power, Density and Interference
A. Keshavarz-Haddad and R. Riedi, SECON 2007, San Diego, CA, June 2007.

In these papers we study the broadcast capacity of multihop wireless networks which we define as the maximum rate at which broadcast packets can be generated in the network such that all nodes receive the packets successfully in a limited time.

In the MobiCom paper, we employ the Protocol Model for successful packet reception and provide novel upper and lower bounds for the broadcast capacity for arbitrary connected networks. In a homogeneous dense network these bounds simplify to O(W/max(1,D^d)) where W is the wireless channel capacity, D the interference parameter, and d the number of dimensions of space in which the network lies. Interestingly, we show that the broadcast capacity does not change by more than a constant factor when we vary the number of nodes, the radio range, the area of the network, and even the node mobility. To address the achievability of capacity, we demonstrate that any broadcast scheme based on a backbone of size proportional to the Minimum Connected Dominating Set guarantees a throughput within a constant factor of the broadcast capacity. Finally, we demonstrate that broadcast capacity, in stark contrast to unicast capacity, does not depend on the choice of source nodes or the dimension of the network.

In the SECON paper, we employ the Physical Model and teh Generalized Physical Model for the channel. Under the Physical Model, we find that the broadcast capacity is within a constant factor of the channel capacity for a wide class of network topologies. Under the Generalized Physical Model, on the other hand, the network configuration is divided into three regimes depending on how the power is tuned in relation to network density and size and in which the broadcast capacity is asymptotically either zero, constant or unbounded. As we show, the broadcast capacity is limited by distant nodes in the first regime and by interference in the second regime. In the second regime, which covers a wide class of networks, the broadcast capacity is within a constant factor of the bandwidth.

DRB and DCCB: Efficient and Robust Dynamic Broadcast for Ad Hoc and Sensor Networks
A. Keshavarz-Haddad, V. Ribeiro and R. Riedi
SECON 2007, San Diego, CA, June 2007.

Deterministic, timer-based broadcast schemes not only guarantee full reachability over an idealistic lossless MAC layer, they also stand out for their robustness against node failure as well as more general changes in the network topology. This paper proposes the first broadcast schemes in this class which provably perform within a factor of the optimal efficiency (in terms of number of rebroadcasts). To the best of our knowledge no other deterministic timer-based scheme possesses this property. NS-2 simulations employing the 802.11b MAC protocol confirm our analysis. The factor can be estimated to be quite small. Novel to the proposed schemes is also their hybrid backbone consisting of a given, static Dominating Set (DS) and a dynamically computed set of connecting nodes. As an additional contribution, this paper studies the trade-off of timer settings (and thus latency) against the number of rebroadcasts, as well as the robustness of the proposed algorithms. To the best of our knowledge, no prior study of these issues in the context of broadcast exists.

Data collected in realistic mobility traces for mobile ad hoc networks(MANETS) is intrinsically high dimensional. Principal Component Analysis (PCA) is a good tool for reducing the data dimension by extracting important features of the data. We propose a method for computing principal components using iterative regression for matrices with missing values with an application to node degree time series. We expand this method to handle an additional dimension of information for a defined neighborhood ancestry of node degree, exposing patterns when they exist. We test our methodology on node degree data from a simulated university campus model (Pedsims) and real campus data. Results indicate that in both cases, the student's major field of study along with class schedule are strong factors to differentiate mobile node degree time series. The ability to detect differences is a powerful tool for application specific network management, allowing for: optimal placement of routers, design of specialized protocols for various user populations and lending insight to gauging the energy/bandwidth needs of mobile devices.

This paper develops a novel color-based broadcast scheme for wireless ad hoc networks where each forwarding of the broadcast message is assigned a color from a given pool of colors. A node only forwards the message if it can assign it a color from the pool which it has not already overheard after a random time. In the closely related counter-based broadcast scheme a node simply counts the number of broadcasts not the colors overheard. The forwarding nodes form a so-called backbone, which is determined by the random timers and, thus, is random itself. Notably, any counter-generated backbone could result from pruning a color-generated backbone; the typical color-generated backbone, however, exhibits a connectivity graph richer than the counter-based ones. As a particular advantage, the colors reveal simple geometric properties of the backbones which we exploit to prove that the size of both, color- and counter-generated backbones are within a small constant factor of the optimum. We also propose two techniques, boosting and edge-growing, that improve the performance of color- and counter-based broadcast in terms of reachability and number of rebroadcasts. Experiments reveal that the powerful boosting method is considerably more effective with the color-based schemes.

P. Chainais, R. Riedi and P. Abry,

Multiplicative processes and multifractals proved useful in various applications ranging from hydrodynamic turbulence to computer network traffic, to name but two. Placing multifractal analysis in the more general framework of infinitely divisible laws, we design processes which possess at the same time stationary increments as well as multifractal and more general infinitely divisible scaling over a continuous range of scales. The construction is based on a Poissonian geometry to allow for continuous multiplication. As they possess compound Poissonian statistics we term the resulting processes compound Poisson cascades. We explain how to tune their correlation structure, as well as their scaling properties, and hint at how to go beyond scaling in form of pure power laws towards more general infinitely divisible scaling. Further, we point out that these cascades represent but the most simple and most intuitive case out of an entire array of infinitely divisible cascades allowing to construct general infinitely divisible processes with interesting scaling properties.
Keywords: Process synthesis, Infinitely divisible cascade, multifractal process, compound Poisson distribution, Brownian motion, multifractal time, random walk.

Diverging moments and parameter estimation
Paulo Goncalves and R. H. Riedi
J. American Statistical Association, 100 (472), 1382-1393, (December 2005). [PS]

Heavy tailed distributions enjoy increased popularity and become more readily applicable as the arsenal of analytical and numerical
tools grows. They play key roles in modeling approaches in networking, finance, hydrology to name but a few.
The tail parameter is of central importance as it governs both the existence of moments of positive order and the thickness of the tails of the distribution. Some of the best known tail estimators such as Koutrouvelis and Hill are either parametric or show lack in robustness or accuracy. This paper develops a shift and scale invariant, non-parametric estimator for both, upper and lower bounds for orders with finite moments. The estimator builds on the equivalence between tail behavior and the regularity of the characteristic function at the origin and achieves its goal by deriving a simplified wavelet analysis which is particularly suited to characteristic functions.

Keywords: Diverging moments, heavy tail distributions, characteristic functions, wavelet transform, multifractal analysis.

A strong Tauberian theorem for characteristic functions
R. Riedi and P.Gonçalves
Appl. Comput. Harmon. Anal.
Letter to the Editor, no 39, p 552-557, 2015

Using wavelet analysis we show that if the characteristic function of a random variable X can be approximated at 0 by some polynomial of even degree 2p then the moment of order 2p of X exists. This strengthens a Tauberian-type result by Ramachandran and implies that the characteristic function is actually 2p times differentiable at 0. This fact also provides the theoretical basis for a wavelet based non-parametric estimator of the tail index of a distribution.

Fractals in Networking: Modeling and Inference
R. Riedi, A. Keshavarz-Haddad, Shriram Sarvotham and Richard G. Baraniuk
Proceedings of Fractals 2004, Conference on ``Fractals and Complexity in Nature'', Vancouver, Canada, April~2004

The use of fractal models in computer networking has a strong tradition. Most prominently, fractional Brownian motion provides a parsimonious abstraction of aggregate traffic at time scales of roughly a second and beyond, which is found useful for design and management and which explains the occurrence of detrimental traffic bursts in terms of user behavior. At time scales small enough to be relevant for control, queueing and multiplexing, on the other side, multifractal cascades appear to be more accurate than self-similar models. cause two models and novel queueing approaches In measured traffic traces, alpha connection can easily subsume half of the bandwidth. Yet, they appear to offer workload at a constant but high rate to the queue. Thus, the On-Off burst model represents the current state of the internet more accurately than the self-similar burst model, where alpha connections are modelled as depositing their entire load instantaneously into the queue. Furthermore, since no increased loss is evident during the presence of alpha connections we must conclude that the condition $\rho

Network and User Driven On-Off Source Model for Network Traffic
Shriram Sarvotham, Rudolf H. Riedi, and Richard G. Baraniuk
Special Issue of the Computer Network Journal on "Long-range
Dependent Traffic", Computer Networks,  48 (2005), p 335-350

We shed light on the effect of network resources on user behavior through a physically motivated model for network traffic. The classical on-off model has been successful in capturing the correlation of traffic, in particular the long-range dependence, allowing to conclude that at timescales beyond round trip time the transport protocol mechanisms do not matter. However, the on-off model fails to capture small scale burstiness of the network traffic of relevance to transfer protocols and congestion control. Through observations at the connection-level we conclude that small rate sessions can be characterized by independent duration and rate, while large rate sessions show independent filesize and rate. In other words, patience is the limiting factor of the small bandwidth user, while users with large bandwidth freely choose their files. Incorporating this insight into the on-off model we arrive at a more realistic and accurate model which incorporates in a parsimonious way different user behavior as affected by the network resources and provides a deeper understanding of burstiness and long range dependence in network traffic.

Optimal sampling strategies for multiscale stochastic processes
IMS Lecture Notes–Monograph Series, 2nd Lehmann Symposium – Optimality 49, 266–290, (2006)
Sampling Strategies for Multiscale Models with Application to Network Traffic Estimation
Proceedings Workshop on Statistical Signal Processing SSP03, St. Louis, MO, Sept 2003
Optimal Sampling Strategies for Tree-based Time Series
TR2004-05, Rice University, Dept. of Statistics, August 2004
to be submitted to Proceedings Lehmann Symposium on Optimality

Vinay J. Ribeiro, Rudolf H. Riedi and Richard G. Baraniuk

In this paper, we determine which non-random sampling of fixed size gives the best linear predictor of the sum of a finite spatial population. We employ different multiscale superpopulation models and use the minimum mean-squared error as our optimality criterion. In multiscale superpopulation tree models, the leaves represent the units of the population, interior nodes represent partial sums of the population, and the root node represents the total sum of the population.We prove that the optimal sampling pattern varies dramatically with the correlation structure of the tree nodes. While uniform sampling is optimal for trees with “positive correlation progression”, it provides the worst possible sampling with “negative correlation progression.” As an analysis tool, we introduce and study a class of independent innovations trees that are of interest in their own right. We derive a fast water-filling algorithm to determine the optimal sampling of the leaves to estimate the root of an independent innovations tree.

pathChirp: Efficient Available Bandwidth Estimation for Network Paths
Vinay J. Ribeiro, Rudolf H. Riedi, Jiri Navratil, Les Cottrell, and Richard G. Baraniuk
Proceedings Workshop on Passive and Active Measurement PAM2003
Best Student Paper Award

This paper presents pathChirp, a new active probing tool for estimating the available bandwidth on a communication network path. Based on the concept of ``self-induced congestion,'' pathChirp features an exponential flight pattern of probes we call a chirp. Packet chips offer several significant advantages over current probing schemes based on packet pairs or packet trains. By rapidly increasing the probing rate within each chirp, pathChirp obtains a rich set of information from which to dynamically estimate the available bandwidth. Since it uses only packet interarrival times for estimation, pathChirp does not require synchronous nor highly stable clocks at the sender and receiver. We test pathChirp with simulations and Internet experiments and find that it provides good estimates of the available bandwidth while using only a fraction of the number of probe bytes that current state-of-the-art techniques use.
Keywords: probing, networks, bandwidth, available bandwidth, chirp, end-to-end, inference

The Multiscale Nature of Network Traffic: Discovery, Analysis, and Modelling
Patrice Abry, Richard Baraniuk, Patrick Flandrin, Rudolf Riedi, Darryl Veitch
IEEE Signal Processing Magazine vol 19, no 3, pp 28--46 (May 2002).

The complexity and richness of telecommunications traffic is such that one may despair to find any regularity or explanatory principles. Nonetheless, the discovery of scaling behavior in tele-traffic has provided hope that parsimonious models can be found. The statistics of scaling behavior present many challenges, especially in non-stationary environments. In this paper, we overview the state of the art in this area, focusing on the capabilities of the wavelet transform as a key tool for unravelling the mysteries of traffic statistics and dynamics.
Keywords: Computer network traffic, Tele-traffic, Wavelets, Scaling, Self-similarity, Long-Range Dependence, Fractals, Multifractals, Cascade Processes, Multiplicative Processes, Infinitely Divisible Cascades, Fractional Brownian Motion.

Long-Range Dependence: Now you see it now you don't! [PDF]
T. Karagiannis, M. Faloutsos and R. H. Riedi
Proceedings Global Internet, Taiwan, November 2002

Over the last few years, the network community has started to rely heavily on the use of novel concepts such as self-similarity and Long-Range Dependence (LRD).
Despite their wide use, there is still much confusion regarding the identification of such phenomena in real network traffic data. In this paper, we show that estimating Long Range Dependence is not straightforward: there is no systematic or definitive methodology. There exist several estimating methodologies, but they can give misleading and conflicting estimates. More specifically, we arrive at several conclusions that could provide guidelines for a systematic approach to LRD. First, long-range dependence may exist even, if the estimators have different estimates in value.
Second, long-range dependence is unlikely to exist, if there are several estimators that do not ``converge'' statistically to a value. Third, we show that periodicity can obscure the analysis of a signal giving partial evidence of long range dependence. Fourth, the Whittle estimator is the most accurate in finding the exact value when LRD exists, but it can be fooled easily by periodicity.
As a case-study, we analyze real round-trip time data. We find and remove a periodic component from the signal, before we can identify long-range dependence in the remaining signal.
Keywords: Long Range Dependence, parameter estimation, round-trip-time on the Internet.

Network Traffic Modeling using Connection-Level Information
Xin Wang, Shriram Sarvotham, Rudolf H. Riedi, and Richard G. Baraniuk
Proceedings SPIE ITCom, Boston, MA, August 2002
Network Traffic Analysis and Modeling at the Connection Level
S. Sarvotham, R. Riedi, and R. Baraniuk
Proceedings IEEE/ACM SIGCOMM Internet Measurement Workshop 2001, San Francisco, CA.
Related conference papers:
Additive and Multiplicative Mixture trees for Network Traffic Modeling
S. Sarvotham, X. Wang, R. Riedi, and R. Baraniuk
Proceedings ICASSP Orlando, FL, (May 2002).
Connection-Level Modeling of Network Traffic
X. Wang, S. Sarvotham, R. Riedi, and R. Baraniuk
Proceedings DIMACS Workshop on Internet and WWW Measurement, Mapping and Modeling, 2002, Rutgers, NJ, (February 2002).
Technical Report:
Technical Report, ECE Dept., Rice University, June 30, 2001

Network traffic analysis and modeling needs to reflect long-range-dependent (LRD) correlations and non-Gaussian marginal distributions, properties which affect performance, control, design and traffic management. The on/off model owes its success to its physical relevance, relating LRD to customer behavior, but it falls short in explaining convincingly the bursty behavior present from small time scale up to TCP round trip time and larger.
Importantly, in a model based on superposition of equal on/off sources, traffic bursts arise from many connections being active simultaneously. To the contrary, the careful analysis on the connection-level in this paper reveals that traffic bursts typically arise from a few high-volume connections (alpha traffic) that dominate all others. More importantly, we find that alpha traffic is caused uniquely by large files transmissions over high bandwidth links. Finally, we report a strong correlation between short round-trip times and large bandwidth, suggesting that actual geographical location and topology of a network has a strong influence on the burstiness of data traffic.
These observations lead naturally to our alpha-beta traffic model, where heavy-tailed connection durations give rise to LRD and, in conjunction with the heterogeneity of the network resources produce burstiness. Towards a better understanding of this phenomenon, we propose a novel tree-based model which is flexible enough to accommodate Gaussian as well as bursty behavior on different scales in a parsimonious way. Implication to network traffic simulation as well as performance related issues are discussed. We present a fast scheme to separate the alpha and beta components of traffic using wavelet denoising.

Multifractal products of stochastic processes: construction and some basic properties
[Preliminary results (COST 257 (1999) p31)]
P. Mannersalo, I. Norros and R. Riedi
Advances in Applied Probability, 34 (4), Dec 2002, pp 888-903.
 

In various fields, such as teletraffic and economics, measured times series have been reported to adhere to multifractal scaling. Classical cascading measures possess multifractal scaling, but their increments form a non-stationary process. To overcome this problem we introduce a construction of random multifractal measures based on iterative multiplication of stationary stochastic processes, a special form of T-martingales. We study L2-convergence, non-degeneracy and continuity of the limit process. Establishing a power law for its moments we obtain a formula for the multifractal spectrum and hint at how to prove the full formalism.

Zooming Statistics: Inference across scales
J. Hannig, J. S. Marron and R. H. Riedi
J. Korean Statistical Society 30(2) (June 2001), pp. 327--345

New statistical methods are needed to analyze data in a multi-scale way. Some multi-scale extensions of standard methods, including novel visualization using dynamic graphics are proposed. These tools are used to explore non-standard structure in internet traffic data.

Wavelets and Multifractals for network traffic modeling and inference
V. J. Ribeiro, R. H. Riedi and R. G. Baraniuk
Proceedings ICASSP Salt Lake City, Utah, (May 2001).

This paper reviews the multifractal wavelet model (MWM) and its applications to network traffic modeling and inference. The discovery of the fractal nature of traffic has made new models and analysis tools for traffic essential, since classical Poisson and Markov models do not capture important fractal properties like multiscale variability and burstiness that deleteriously affect performance.
Set in the framework of multiplicative cascades, the MWM provides a link to multifractal analysis, a natural tool to characterize burstiness. The simple structure of the MWM enables fast O(N) synthesis of traffic for simulations and a tractable queuing analysis, thus rendering it suitable for real networking applications including end-to-end path modeling.

Analyzing Robot Behavior in E-Business Sites
Virgílio Almeida, Daniel Menascé, Rudolf Riedi, Flávia Ribeiro, Rodrigo Fonseca, Wagner Meira Jr.,
IEEE Internet Computing submitted February 2001
Conference paper:
Analyzing Robot Behavior and their Impact on Caching Virgílio Almeida, Daniel Menascé, Rudolf Riedi, Flávia Ribeiro, Rodrigo Fonseca, Wagner Meira Jr.,
Workshop on Web Caching and Content Delivery June 2001
Analyzing Robot Behavior in E-Business Sites
Daniel Menascé, Virgílio Almeida, Rudolf Riedi, Flávia Ribeiro, Rodrigo Fonseca, Wagner Meira Jr.,
Proc. ACM SigMetrics'01 (June 2001)

Understanding the nature and characteristics of e-business workloads is an essential step to improve quality of service. Using a multi-layer hierarchical workload model, this paper presents a characterization of the workload generated by autonomous agents and robots. The characterization of the robot workload focuses on the statistical properties of the arrival process and on the robot behavior graph model. A multi-scale time analysis is used to understand the impact of robot workloads on the performance of e-business sites. Based on the workload characterization, we develop an analytical model for the interaction between robots and e-business sites. Using the model, we show the resource utilization associated with robots' requests. Multiple time-scale analysis point out that server overload may occur at fine time scales, even though average utilizations at larger time-scales do not show evidences of overloading. These results indicate not only the need for a better understanding of the behavior of robots, but also help to quantify the impact of robots on the quality of service provided by a site.

A Hierarchical and Multiscale Analysis of E-Business Workloads
Daniel Menascé, Virgílio Almeida, Rudolf Riedi, Flávia Ribeiro, Rodrigo Fonseca, Wagner Meira Jr.,
Performance Evaluation 54(1), Sept 2003, pp 33--57.

Understanding the nature and characteristics of E-business workloads is a crucial step to improve the quality of service offered to customers in electronic business environments. Using a multi-layer hierarchical model, this paper presents a detailed multiscale characterization of the workload of two actual E-business sites: an online bookstore and an electronic auction site. Our analysis of the workloads showed that the session length, measured in number of requests to execute E-business functions, is heavy-tailed, especially for sites subject to requests generated by robots. An overwhelming majority of the sessions consists of only a handful requests. This seems to suggest that most customers are human (as opposed to robots). A significant fraction of the functions requested by customers were found to be product selection functions as opposed to product ordering. An analysis of the popularity of search terms revealed that it follows a Zipf distribution. However, Zipf's law as applied to E-business is time scale dependent due to the shift in popularity of search terms. We also found that requests to execute frequent E-business functions exhibit a similar pattern of behavior as observed for the total number of HTTP requests. Finally, our analysis demonstrated that there is a strong correlation in the arrival process at the HTTP request level. These correlations are particularly stronger at intermediate time scales of a few minutes.
Keywords: E-business, WWW, workload characterization, performance modeling, heavy-tailed distribution

On the multiplicative structure of network traffic
Rudolf H. Riedi
Proceedings IMA Conference on Mathematics in Signal Processing, Warwick, (December 2000)

This is an overview of multiplicative analysis and modelling of network traffic, emphasizing the fact that multifractal structure is particularly present at small scales, and with an outlook to novel stationary multiplicative processes.

Multifractal Cross-Traffic Estimation
V. Ribeiro, M. Coates, R. Riedi, S. Sarvotham, B. Hendricks and R. Baraniuk,
Proceedings ITC Specialist Seminar on IP Traffic Measurement, Modeling and Management, September 2000, Monterey, CA

In this paper we develop a novel model-based technique, the Delphi algorithm, for inferring the instantaneous volume of competing cross-traffic across an end-to-end path. By using only end-to-end measurements, Delphi avoids the need for data collection within the Internet. Unique to the algorithm is an efficient exponentially spaced probing packet train and a parsimonious multifractal parametric model for the cross-traffic that captures its multiscale statistical properties (including long-range dependence) and queuing behavior. The algorithm is adaptive; it requires no a priori traffic statistics and effectively tracks changes in network conditions. ns (network simulator) experiments reveal that Delphi gives accurate cross-traffic estimates for higher link utilization levels while at lower utilizations it over-estimates the cross-traffic. Also, when Delphi's single bottleneck assumption does not hold it over-estimates the cross-traffic.

In Search of Invariants for E-Business Workloads
Daniel Menascé, Flávia Ribeiro, Virgílio Almeida, Rodrigo Fonseca, Rudolf Riedi, Wagner Meira Jr.,
Proceedings EC'00, Inst. Math. Appl., October 2000, Minneapolis, MN.

Understanding the nature and characteristics of e-business workloads is a crucial step to improve the quality of service offered to customers in electronic business environments. However, the variety and complexity of the interactions between customers and sites make the characterization of e-business workloads a challenging problem. Using a multi-layer hierarchical model, this paper presents a detailed characterization of the workload of two actual e-business sites: an online bookstore and an electronic auction site. Through the characterization process, we found the presence of autonomous agents, or robots, in the workload and used the hierarchical structure to determine their characteristics. We also found that search terms follow a Zipf distribution.
Keywords: e-commerce, WWW, workload characterization, performance modeling, heavy-tailed distribution

Multiplicative Multiscale Image Decompositions: Analysis and Modeling
Justin K. Romberg, Rolf H. Riedi, Hyeokho Choi, and Richard G. Baraniuk
Proceedings of the SPIE's 45th Annual Meeting, Internat. Symp. on Optical Science and Technology, August 2000, San Diego, CA.

Multiscale processing, in particular using the wavelet transform, has emerged as an incredibly effective paradigm for signal processing and analysis. In this paper, we discuss a close relative of the Haar wavelet transform, the multiscale multiplicative decomposition. While the Haar transform captures the differences between signal approximations at different scales, the multiplicative decomposition captures their ratio. The multiplicative decomposition has many of the properties that have made wavelets so successful. Most notably, the multipliers are a sparse representation for smooth signals, they have a dependency structure similar to wavelet coefficients, and they can be calculated efficiently.
The multiplicative decomposition is also a more natural signal representation than the wavelet transform for some problems. For example, it is extremely easy to incorporate positivity constraints into multiplier domain processing. In addition, there is a close relationship between the multiplicative decomposition and the Poisson process; a fact that has been exploited in the field of photon-limited imaging. In this paper, we will show that the multiplicative decomposition is also closely tied with the Kullback-Leibler distance between two signals. This allows us to derive an n-term KL approximation scheme using the multiplicative decomposition.

Multiscale Image Segmentation using Joint Texture and Shape analysis
Ramesh Neelamani, Justin Romberg, Hyeokho Choi, Rudolf Riedi, and Richard Baraniuk
Proceedings of the SPIE's 45th Annual Meeting, Internat. Symp. on Optical Science and Technology, August 2000, San Diego, CA.

We develop a general framework to simultaneously exploit texture and shape characterization in multiscale image segmentation. By posing multiscale segmentation as a model selection problem, we invoke the powerful framework offered by minimum description length (MDL). This framework dictates that multiscale segmentation comprises multiscale texture characterization and multiscale shape coding. Analysis of current multiscale maximum a posteriori (MAP) segmentation algorithms reveals that these algorithms implicitly use a shape coder with the aim to estimate the optimal MDL solution, but find only an approximate solution.
Towards achieving better segmentation estimates, we first propose a shape coding algorithm based on zero-trees which is well-suited to represent images with large homogeneous regions. For this coder, we design an efficient tree-based algorithm using dynamic programming that attains the optimal MDL segmentation estimate. To incorporate arbitrary shape coding techniques into segmentation, we design an iterative algorithm that uses dynamic programming for each iteration. Though the iterative algorithm is not guaranteed to attain exactly optimal estimates, it more effectively captures the prior set by the shape coder. Experiments demonstrate that the proposed algorithms yield excellent segmentation results on both synthetic and real world data examples.

Multifractal Processes
R. H. Riedi,
in Long range dependence : theory and applications,
eds. Doukhan, Oppenheim and Taqqu, (Birkh\"auser 2002) ISBN: 0817641688, pp 625-715.
12 page summary

Multifractal theory up to date has been concerned mostly with random and deterministic singular measures, with the notable exception of fractional Brownian motion and Lévy motion. Real world problems involved with the estimation of the singularity structure of both, measures and processes, has revealed the need to broaden the known `multifractal formalism' to include more sophisticated tools such as wavelets. Moreover, the pool of models available at present shows a gap between `classical' multifractal measures, i.e.\ cascades in all variations with rich scaling properties, and stochastic processes with nice statistical properties such as stationarity of increments, Gaussian marginals, and long-range dependence but with degenerate scaling characteristics.
This paper has two objectives, then. For one it develops the multifractal formalism in a context suitable for functions and processes. Second, it introduces truly multifractal processes, building a bridge between multifractal cascades and self-similar processes.
Keywords: Multifractal analysis, self-similar processes, fractional Brownian motion, Lévy flights, stable motion, wavelets, long-range dependence, multifractal subordinator.

Long-Range Dependence and Data Network Traffic
W. Willinger, V. Paxson, R. H. Riedi and M. S. Taqqu,
in Long range dependence : theory and applications,
eds. Doukhan, Oppenheim and Taqqu (Birkh\"auser 2002) ISBN: 0817641688.
 

This is an overview of a relatively recent application of long-range dependence (LRD) to the area of communication networks, in particular to problems concerned with the dynamic nature of packet flows in high-speed data networks such as the Internet. We demonstrate that this new application area offers unique opportunities for significantly advancing our understanding of LRD and related phenomena. These advances are made possible by moving beyond the conventional approaches associated with the wide-spread ``black-box'' perspective of traditional time series analysis and exploiting instead the physical mechanisms that exist in the networking context and that are intimately tied to the observed characteristics of measured network traffic. In order to describe this complexity we provide a basic understanding of the design, architecture and operations of data networks, including a description of the TCP/IP protocols used in today's Internet. LRD is observed in the large scale behavior of the data traffic and we provide a physical explanation for its presence. LRD tends to be caused by user and application characteristics and has little to do with the network itself. The network affects mostly small time scales, and this is why a rudimentary understanding of the main protocols is important. We illustrate why multifractals may be relevant for describing some aspects of the highly irregular traffic behavior over small time scales. We distinguish between a time-domain and wavelet-domain approach to analyzing the small time scale dynamics and discuss why the time-domain appears to be better suited for studying the performance (e.g., a queueing analysis) while the wavelet-domain approach appears to be better suited for identifying particular features in measured traffic with a dominant influence on particular time scales (e.g., relatively regular traffic patterns over certain time scales which have a direct networking interpretation in terms of ``round trip'' time behavior).
Keywords: Long-range dependence, network traffic, self-similar processes, fractional Brownian motion, multifractal analysis, cascades.

Network Traffic Modeling Using a Multifractal Wavelet Model
R. H. Riedi, V. J. Ribeiro, M. S. Crouse and R. G. Baraniuk
Proceedings European Congress of Mathematics, Barcelona 2000.

In this paper, we develop a simple and powerful multiscale model for synthesizing nonGaussian, long-range dependent (LRD) network traffic. Although wavelets effectively decorrelate LRD data, wavelet-based models have generally been restricted by a Gaussianity assumption that can be unrealistic for traffic. Using a multiplicative superstructure on top of the Haar wavelet transform, we exploit the decorrelating properties of wavelets while simultaneously capturing the positivity and ``spikiness'' of nonGaussian traffic. This leads to a swift O(N) algorithm for fitting and synthesizing N-point data sets. The resulting model belongs to the class of multifractal cascades, a set of processes with rich statistical properties. We elucidate our model's ability to capture the covariance structure of real data and then fit it to real traffic traces. Queueing experiments demonstrate the accuracy of the model for matching real data.

Multiscale Queuing Analysis of Long-Range-Dependent Network Traffic
V. J. Ribeiro, R. H. Riedi, M. S. Crouse and R. G. Baraniuk
IEEE Trans. on Networking, submitted
see also: Technical Report 99-08, ECE Dept., Rice University;
as well as: Proceedings of IEEE INFOCOM 2000, Tel Aviv, Israel, March 2000.
 

This paper develops a novel approach to queuing analysis tailor-made for multiscale long-range-dependent (LRD) traffic models. We review two such traffic models, the wavelet-domain independent Gaussian model (WIG) and the multifractal wavelet model (MWM). The WIG model is a recent generalization of the ubiquitous fractional Brownian motion process. Both models are based on a multiscale binary tree structure that captures the correlation structure of traffic and hence its LRD. Due to its additive nature, the WIG is inherently Gaussian, while the multiplicative MWM is non-Gaussian. The MWM is set within the framework of multifractals, which provide natural tools to measure the multiscale statistical properties of traffic loads, in particular their burstiness.
Our queuing analysis leverages the tree structure of the models and provides a simple closed-form approximation to the tail queue probability for any given queue size. This makes the WIG and MWM suitable for numerous practical applications, including congestion control, admission control, and cross-traffic estimation. The queuing analysis reveals that the marginal distribution and, in particular, the large values of traffic at different time scales strongly affect queuing. This implies that merely modeling the traffic variance at multiple time scales, or equivalently, the second-order correlation structure, can be insufficient for capturing the queuing behavior of real traffic. We confirm these analytical findings by comparing the queuing behavior of WIG and MWM traffic through simulations.

Toward an Improved Understanding of Network Traffic Dynamics [PDF]
R. H. Riedi and W. Willinger
in: Self-similar Network Traffic and Performance Evaluation
eds. Park and Willinger, (Wiley 2000), chapter 20 , pp 507-530.

Since the discovery of long range dependence in Ethernet LAN traces there has been significant progress in developing appropriate mathematical and statistical techniques that provide a physical-based, networking-related understanding of the observed fractal-like or self-similar scaling behavior of measured data traffic over time scales ranging from hundreds of milliseconds to seconds and beyond. These developments have helped immensely in demystifying fractal-based traffic modeling and have given rise to new insights and physical understanding of the effects of large-time scaling properties in measured network traffic on the design, management and performance of high-speed networks.
However, to provide a complete description of data network traffic, the same kind of understanding is necessary with respect to the dynamic nature of traffic over small time scales, from a few hundreds of milliseconds downwards. Because of the predominant protocols and end-to-end congestion control mechanisms that determine the flow of packets, studying the fine-time scale behavior or local characteristics of data traffic is intimately related to understanding the complex interactions that exist in data networks.
In this chapter, we first summarize the results that provide a unifying and consistent picture of the large-time scaling behavior of data traffic. We then report on recent progress in studying the small-time scaling behavior in data network traffic and outline a number of challenging open problems that stand in the way of providing an understanding of the local traffic characteristics that is as plausible, intuitive, appealing and relevant as the one that has been found for the global or large-time scaling properties of data traffic.

L'attracteur d'un systeme de fonctions itéré est le support d'une mesure dite invariante, ou auto-similaire: c'est le point fixe de l'opérateur de Markov dans l'espace métrique des mesures de probabilité a support compact. Un algorithme aléatoire permet la contruction de l'attracteur, qui est presque surement l'ensemble des points limites d'une orbite. Un théoreme ergodique permet de prouver que la fréquence de visite d'un ensemble par cette orbite est presque surement égale a la mesure invariante de cet ensemble. Nous donnons ici une démonstration simple de ce résultat connu.
Abstract in English:
The attractor of an iterated function system (IFS) is the support of a so-called invariant or self-similar measure: this measure is, more precisely, the unique fixed point of the Markov (or Hutchinson) operator which acts in the metric space of all compactly supported probability measures and is associated with the IFS. A simple iterative algorithm allows to produce a random orbit the limit points of which are almost surely the attractor of the IFS. This fact is an essential ingredient in fractal image compression. Moreover, an ergodic theorem states that the frequency of visits of a set by such a random orbit is almost surely equal to the probability assigned to that set by the invariant measure. Thus, the random orbit actually samples the self-similar measure almost surely. We give here a simple proof of this known result.

Wavelet Analysis of Fractional Brownian Motion in Multifractal Time
P. Gonçalvès and R. H. Riedi
Proceedings of the 17th Colloquium GRETSI, Vannes, France, Sept 1999.

We study fractional Brownian motions in multifractal time, a model for multifractal processes proposed recently in the context of economics. Our interest focuses on the statistical properties of the wavelet decomposition of these processes, such as residual correlations (LRD) and stationarity, which are instrumental towards computing the statistics of wavelet-based estimators of the multifractal spectrum.

Simulation of Non-Gaussian Long-Range-Dependent Traffic using Wavelets
V. J. Ribeiro, R. H. Riedi, M. S. Crouse and R. G. Baraniuk
Proc. ACM SigMetrics'99 (May 1999), 1-12

In this paper, we develop a simple and powerful multiscale model for the synthesis of nonGaussian, long-range dependent (LRD) network traffic. Although wavelets effectively decorrelate LRD data, wavelet-based models have generally been restricted by a Gaussianity assumption that can be unrealistic for traffic. Using a multiplicative superstructure on top of the Haar wavelet transform, we exploit the decorrelating properties of wavelets while simultaneously capturing the positivity and ``spikiness'' of nonGaussian traffic. This leads to a swift O(N) algorithm for fitting and synthesizing N-point data sets. The resulting model belongs to the class of multifractal cascades, a set of processes with rich statistical properties. We elucidate our model's ability to capture the covariance structure of real data and then fit it to real traffic traces. Queueing experiments demonstrate the accuracy of the model for matching real data. Our results indicate that the nonGaussian nature of traffic has a significant effect on queuing.

In this paper, we develop a new multiscale modeling framework for characterizing positive-valued data with long-range-dependent correlations (1/f noise). Using the Haar wavelet transform and a special multiplicative structure on the wavelet and scaling coefficients to ensure positive results, the model provides a rapid O(N) cascade algorithm for synthesizing N-point data sets. We study both the second-order and multifractal properties of the model, the latter after a tutorial overview of multifractal analysis. We derive a scheme for matching the model to real data observations and, to demonstrate its effectiveness, apply the model to network traffic synthesis. The flexibility and accuracy of the model and fitting procedure result in a close fit to the real data statistics (variance-time plots and moment scaling) and queuing behavior. Although for illustrative purposes we focus on applications in network traffic modeling, the multifractal wavelet model could be useful in a number of other areas involving positive data, including image processing, finance, and geophysics.
Keywords: Multifractals, long-range dependence, positive 1/f noise, wavelets, network traffic

The multifractal spectrum characterizes the scaling and singularity structures of signals and proves useful in numerous applications, from network traffic analysis to turbulence. Of great concern is the estimation of the spectrum from a finite data record. In this paper, we derive asymptotic expressions for the bias and variance of a wavelet-based estimator for a fractional Brownian motion (fBm) process. Numerous numerical simulations demonstrate the accuracy and utility of our results.

The apparent `fractal' properties of TCP data traffic have recently attracted considerable interest. Most prominently, fractional Brownian motion (FBM) has been used to model the long range dependence of traffic traces through self-similarity. Traffic being by nature a process of positive increments, though, a multifractal approach appears more natural. In this study, various traces of TCP traffic have been analyzed from both points of view. Though evidence for statistical self-similarity is present in certain `aspects' of the traffic, the multifractal scaling behavior is much more convincing. Furthermore, crucial LAN specific characteristics of data traffic are revealed by the multifractal analysis (MA) only. TCP traffic at Berkeley and at CNET, e.g., looks entirely different from a multifractal point of view while showing about the same self-similarity parameter H. As a further example, MA suggests that Lévy stable motion is in certain situations a more accurate model than FBM. In conclusion, to consider traffic traces as multifractal random measures rather than as (monofractal) self-similar processes is not only more natural but has also various numerical advantages. A novel approach to queueing supports this conclusion.

We analyze the fractal behavior of the high frequency part of the Fourier spectrum of fBm using multifractal analysis and show that it is not consistent with what is measured on real traffic traces. We propose two extensions of fBm which come closer to actual traffic traces multifractal properties.
Keywords: fractional Brownian motion, Multifractal analysis, TCP

In an earlier paper (Adv. Appl. Math. 18 (1997), 50--58) the authors introduced the inverse measure m' of a given measure m on [0,1] and presented the inversion formula f(a) = a f(1/a) which was argued to link the respective multifractal spectra of m and m'. A second paper (Adv. Appl. Math. 19 (1997), 332--354) established the formula under the assumption that m and m' are continuous measures.
Here, we investigate the general case which reveals telling details of interest to the full understanding of multifractals. Subjecting self-similar measures to the operation m->m' creates a new class of discontinuous multifractals. Calculating explicitly we find that the inversion formula holds only for the `fine' multifractal spectra and not for the `coarse' ones. As a consequence, the multifractal formalism fails for this class of measures. A natural explanation is found when drawing parallels to equilibrium measures of dynamical systems. In the context of our work it becomes natural to consider the degenerate Hölder exponents 0 and infinity.

In a previous paper (Adv. Appl. Math. 18 (1997), 50--58) the authors introduced the inverse measure m' of a probability measure m on [0,1]. It was argued that the respective multifractal spectra are linked by the inversion formula f'(a) = a f(1/a). Here, the statements of Part I are put in more mathematical terms and proofs are given for the inversion formula in the case of continuous measures. Thereby, f may stand for the Hausdorff spectrum, the pacing spectrum, or the coarse grained spectrum. With a closer look at the special case of self-similar measures we offer a motivation of the inversion formula as well as a discussion of possible generalizations. Doing so we find a natural extension of the scope of the notion `self-similar' and a failure of the usual multifractal formalism.

The present paper is part I of a series of three closely related papers in which the inverse measure m' of a given measure m on [0,1] is introduced. In the first case discussed in detail, both these measures are multifractal in the usual sense, that is, both are linearly self-similar and continuous but not differentiable and both are non--zero for every interval of [0,1]. Under these assumptions the Hölder multifractal spectra of the two measures are shown to be linked by the inversion formula f'(a) = a f(1/a) .
The inversion formula is then subjected to several diverse variations, which reveal telling details of interest to the full understanding of multifractals. The inverse of the uniform measure on a Cantor dust leads us to argue that this inversion formula applies to the Hausdorff spectrum even if the measures m and m' are not continuous while it may fail for the spectrum obtained by the Legendre path. This phenomenon goes along with a loss of concavity in the spectrum. Moreover, with the examples discussed it becomes natural to include the degenerate Hölder exponents 0 and infty in the Hölder spectra.
This present paper is the first of three closely related papers on inverse measures, introducing the new notion in a language adopted for the physicist. Parts II and III make rigorous what is argued with intuitive arguments here. Part II extends the common scope of the notion of self-similar measures. With this broader class of invariant measures part III shows that the multifractal formalism may fail.

The study of fractal quantities and structures exhibiting highly erratic features on all scales has proved to be of outstanding significance in various disciplines. While scaling phenomena are pervasive in natural and man-made constructs, such objects are less fractal than multifractal. In most simple terms this means that moments of different orders scale differently with increasing resolution.
This paper should be understood as a tutorial in multifractals and their analysis via wavelets, in view of possible applications in geophysics. It is elaborated how a description of the well log measurement through wavelets provides a new way of modeling reflection of waves in a material which is dependent on frequency. The wavelet analysis has the potential to provide an explanation for the inconsistencies that are observed when comparing subsurface models that have been constructed from measurements with different resolutions, such as surface seismic, vertical seismic profiles and well logs.

In the study of the involved geometry of singular distributions the use of fractal and multifractal analysis has shown results of outstanding significance. So far, the investigation has focused on structures produced by one single mechanism which were analyzed with respect to the ordinary metric or volume. Most prominent examples include self-similar measures and attractors of dynamical systems. In certain cases, the multifractal spectrum is known explicitly, providing a characterization in terms of the geometrical properties of the singularities of a distribution. Unfortunately, strikingly different measures may possess identical spectra. To overcome this drawback we propose two novel methods, the conditional and the relative multifractal spectrum, which allow for a direct comparison of two distributions. These notions measure the extent to which the singularities of two distributions `correlate'. Being based on multifractal concepts, however, they go beyond calculating correlations. As a particularly useful tool we develop the multifractal formalism and establish some basic properties of the new notions. With the simple example of Binomial multifractals we demonstrate how in the novel approach a distribution mimics a metric different from the usual one. Finally, the provided applications to real data show how to interpret the spectra in terms of mutual influence of dense and sparse parts of the distributions.

Usual fixed-size box-counting algorithms are inefficient for computing generalized fractal dimensions in the range of q<0. In this Letter we describe a new numerical algorithm specifically devised to estimate generalized dimensions for large negative q, providing evidence of its better performance. We compute the complete spectrum of the Hénon attractor, and interpret our results in terms of a ``phase transition'' between different multiplicative laws.

There are strong reasons to believe that the multifractal spectrum of DLA shows anomalies which have been termed left sided. In order to show that this is compatible with strictly multiplicative structures Mandelbrot et al. introduced a one parameter family of multifractal measures invariant under infinitely many linear maps on the real line. Under the assumption that the usual multifractal formalism holds, the authors showed that the multifractal spectrum of these measure is indeed left sided, i.e. they possess arbitrarily large Hölder exponents and the spectrum is increasing over the whole range of these values. Here, it is shown that the multifractal formalism for self-similar measures does indeed hold also in the infinite case, in particular that the singularity exponents D(q) satisfy the usual equation of self-similar measures and that the multifractal spectrum f(a) is the Legendre transform of (q-1)D(q).

To characterize the geometry of a measure, its so-called generalized dimensions D(q) have been introduced recently. The mathematically precise definition given by Falconer turns out to be unsatisfactory for reasons of convergence as well as of undesired sensitivity to the particular choice of coordinates in the negative q range. A new definition is introduced, which is based on box-counting too, but which carries relevant information also for negative q. In particular, rigorous proofs are provided for the Legendre connection between generalized dimensions and the so-called multifractal spectrum and for the implicit formula giving the generalized dimensions of self-similar measures, which was until now known only for positive q.

A lower bound of the Hausdorff dimension of certain self-affine sets is given. Moreover, this and other known bounds such as the box dimension are expressed in terms of solutions of simple equations involving the singular values of the affinities.

This document is a six page summary of my Ph.D. thesis in which multifractal formalism based on counting on coarse levels (as opposed to a dimensional approach) is developed (see also J. Math. Anal. Appl. 16 (1995) 132--150). This formalism is then applied to self-affine measures discovering phase transitions which are not present with self-similar measures.

This is an easy read introduction to multifractals. We start with a thorough study of the Binomial measure from a multifractal point of view, introducing the main multifractal tools. We then continue by showing how to generate more general multiplicative measures and close by presenting an extensive set of examples on which we elaborate how to `read' a multifractal spectrum.