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Application of multistage stochastic programs solved in parallel in portfolio management

PARALLEL COMPUTING 2008年第6-8期34卷 469-485页

作者： Lucka, Maria Melichercik, Igor Halada, Ladislav Univ Trnava Fac Educ Trnava 91843 Slovakia Comenius Univ Fac Math Phys & Informat Dept Appl Math & Stat Bratislava 84248 Slovakia Slovak Acad Sci Inst Informat Bratislava 84237 Slovakia Univ Vienna Inst Comp Sci A-1090 Vienna Austria

We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates. We compare a two-stage and a three-stage stochastic programming model from a financial performance point of view. For solving two-stage and three-stage stochastic programs the interior point method (IPM) in the frame of the primal-dual path following formulation is used. An application of the Birge and Qi factorization to the IPM allows decomposition of large linear system to smaller blocks allowing thus to solve it in parallel. The parallel code is written in the Fortran programming language, using the message passing interface (MPI) for communication. Parallel and financial performance is illustrated on experiments executed on the IBM 1350 Linux cluster. (C) 2008 Elsevier B.V. All rights reserved.

关键词： portfolio management interior point method parallel computing large-scale optimization multistage stochastic programming

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A QoS-aware multicast overlay spanning tree protocol for multimedia applications in MANETs

A QoS-aware multicast overlay spanning tree protocol for mul...

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4th international Telecommunication Networking workshop on QoS in Multiservice IP Networks

作者： Badis, Hakim Univ Paris Est CNRS LABINFO IGM UMR 8049 Paris France

ISBN: (纸本)9781424418442

Many real-time applications, such as video conferencing, require the transmission of flows from a sender to multiple receivers subject to Quality of Service (QoS) delivery constraints (e.g. bounded delay). Traditional multicast routing algorithms used for solving the Steiner tree problem cannot be used in this scenario, because QoS constraints on links are not considered. Moreover, with QoS metrics consideration, the problem of computing optimal constrained multicast tree is known as NP-complete. In this paper, we propose a new QoS-aware Multicast Overlay Spanning Tree (QMOST) protocol to support multiple-metric routing criteria in mobile ad hoc networks. It computes low cost trees with multiple-metric bounded paths in polynomial time using an efficient source-based optimization heuristic. Unlike common multicast protocols where data packets are transmitted in a broadcast mode, in QMOST data packets are encapsulated in unicast packets before being forwarded to the overlay tunnels. Multicasting is achieved when each node forwards multicast packets to its successors in the overlay tree. QMOST must be used in conjunction with a unicast QoS link state protocol (QOLSR) and can be integrated in a QoS model. This later offers the needed service guarantee using distributed admission control to check if the multicast QoS flows are admissible, resource reservation mechanism and congestion control. Simulation results show that our QMOST protocol achieves better performance than the QOLSR protocol.

关键词： Quality of service

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Languages and Compilers for Parallel Computing - 21st international workshop, LCPC 2008, Revised Selected Papers

Languages and Compilers for Parallel Computing - 21st Intern...

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21st international workshop on Languages and Compilers for Parallel Computing, LCPC 2008

ISBN: (纸本)3540897399

The proceedings contain 24 papers. The topics discussed include: CUDA-lite: reducing GPU programming complexity;MCUDA: an efficient implementation of CUDA kernels for multi-core CPUs;on the scalability of an automatically parallelized irregular application, statistically analyzing execution variance for soft real-time applications, minimum lock assignment: a method for exploiting concurrency among critical sections;set-congruence dynamic analysis for thread-level speculation (TLS);thread safety through partition and effect agreements;a fully parallel LISP2 compactor with preservation of the sliding properties;design for interoperability in STAPL: pMatrices and linear algebra algorithms;implementation of sensitivity analysis for automatic parallelization;just-in-time locality and percolation for optimizing irregular applications on a manycore architecture;and exploring the optimization space of dense linear algebra kernels.

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Approximation, Randomization and Combinatorial optimization. algorithms and Techniques 2008

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丛书名： Lecture Notes in Computer Science

2008年

作者： Ashish Goel Klaus Jansen José Rolim Ronitt Rubinfeld

ISBN: (数字)9783540853633

ISBN: (纸本)9783540853626

This book constitutes the joint refereed proceedings of the 11th international workshop on Approximation algorithms for Combinatorial optimization Problems, APPROX 2008 and the 12th international workshop on Randomization and Computation, RANDOM 2008, held in Boston, MA, USA, in August 2008. The 20 revised full papers of the APPROX 2008 workshop were carefully reviewed and selected from 42 submissions and focus on algorithmic and complexity issues surrounding the development of efficient approximate solutions to computationally difficult problems. RANDOM 2008 is concerned with applications of randomness to computational and combinatorial problems and accounts for 27 revised full papers, also diligently reviewed and selected out of 52 workshop submissions.

关键词： Computer science Statistical methods Congresses. Computer algorithms Congresses. Approximation theory Data processing Congresses. Combinatorial optimization Data processing Congresses.

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Supporting fault-tolerance in streaming grid applications

Supporting fault-tolerance in streaming grid applications

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10th workshop on Advances in Parallel and Distributed Computational Models/22nd IEEE international Parallel and Distributed Processing Symposium

作者： Zhu, Qian Chen, Liang Agrawal, Gagan Ohio State Univ Dept Comp Sci & Engn Columbus OH 43210 USA

ISBN: (纸本)9781424416936

This paper considers the problem of supporting and efficiently implementing fault-tolerance for tightly-coupled and pipelined applications, especially streaming applications, in a grid environment. We provide an alternative to basic checkpointing and use the notion of Light-weight Summary Structure(LSS) to enable efficient failure-recovery. The idea behind LSS is that at certain points during the execution of a processing stage, the state of the program can be summarized by a small amount of memory. This allows us to store copies of LSS for enabling failure-recovery, which causes low overhead fault-tolerance. Our work can be viewed as an optimization and adaptation of the idea of application-level checkpointing to a different execution environment, and for a different class of applications. Our implementation and evaluation of LSS based failure-recovery has been in the context of the GATES (Grid-based AdapTive Execution on Streams) middleware. An observation we use for providing very low overhead support for fault-tolerance is that algorithms analyzing data streams are only allowed to take a single pass over data, which means they only perform approximate processing. Therefore, we believe that in supporting fault-tolerant execution for these applications, it is acceptable to not analyze a small number of packets of data during failure-recovery. We show how we perform failure-recovery and also demonstrate how we could use additional buffers to limit data loss during the recovery procedure. We also present an efficient algorithm for allocating a new computation resource for failure-recovery at runtime. We have extensively evaluated our implementation using three stream data processing applications, and shown that the use of LSS allows effective and low-overhead failure-recovery.

关键词： Fault tolerance

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Performance Comparison of Evolutionary algorithms in the Task of optimization of Chaos Control

Performance Comparison of Evolutionary Algorithms in the Tas...

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international workshop on Database and Expert Systems applications

作者： Ivan Zelinka Roman Senkerik Zuzana Oplatkova Faculty of Applied Informatics Tomas Bata University Zlin Zlin Czech Republic

This work deals with optimization of the control of chaos by means of the evolutionary algorithms. The main aim of this work is to show that evolutionary algorithms are capable of optimization of chaos control leading to satisfactory results and mainly to compare their performance in this task. As a model of deterministic chaotic system, the one dimensional logistic equation was used. The evolutionary algorithms, SOMA (self-organizing migrating algorithm) and DE (differential evolution) were used in several versions. for each version, simulations were repeated 50 times to show and check robustness of the used method and constructed cost function. Within this work the results of optimized chaos control for both evolutionary algorithms are compared in statistical overview.

关键词： Chaos Orbits optimization Evolutionary computation Mathematical model Equations Cost function

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Evolutionary Approaches to Linear Ordering Problem

Evolutionary Approaches to Linear Ordering Problem

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international workshop on Database and Expert Systems applications

作者： Václav Snášel Pavel Krömer Jan Platoš FEECS Department of Computer Science VšB Technical University of Ostrava Ostrava Czech Republic FEECS VÅ B - Technical University of Ostrava Ostrava-Poruba Czech Republic

Linear ordering problem (LOP) is a well know optimization problem attractive for its complexity (it is a NP hard problem), rich collection of testing data and variety of real world applications. In this paper, we investigate the usage and performance of two variants of genetic algorithms - mutation only genetic algorithms and higher level chromosome genetic algorithms - on the linear ordering problem. Both methods are tested and evaluated on a collection of real world and artificial LOP instances.

关键词： Genetic algorithms Biological cells Gallium Algorithm design and analysis Evolution (biology) Approximation algorithms optimization

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Particle Swarm optimization Using Adaptive Mutation

Particle Swarm Optimization Using Adaptive Mutation

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international workshop on Database and Expert Systems applications

作者： Millie Pant Radha Thangaraj Ajith Abraham Department. of Paper Technology Indian Institute of Technology Roorkee India Center of Excellence Quantifiable Quality of Service Norwegian University of Science and Technology Norway

Two new variants of particle swarm optimization (PSO) called AMPSO1 and AMPSO2 are proposed for global optimization problems. Both the algorithms use adaptive mutation using beta distribution. AMPSO1 mutates the personal best position of the swarm and AMPSO2, mutates the global best swarm position. The performance of proposed algorithms is evaluated on twelve unconstrained test problems and three real life constrained problems taken from the field of electrical engineering. The numerical results show the competence of the proposed algorithms with respect some other contemporary techniques.

关键词： Particle swarm optimization Programming Evolutionary computation Benchmark testing optimization Mathematical model Equations

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Genetic algorithms for Better Turbo Codes

Genetic Algorithms for Better Turbo Codes

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international workshop on Database and Expert Systems applications

作者： Václav Snášel Jan Platoš Pavel Krömer Nabil Ouddane FEECS Department of Computer Science VšB Technical University of Ostrava Ostrava Czech Republic FEECS VÅ B - Technical University of Ostrava Ostrava-Poruba Czech Republic FEECS Department of Telecommunications VšB Technical University of Ostrava Ostrava Czech Republic

Throughout the past decade, the discovery of turbo codes has been considered as one of the most successful researches whose impact significantly enhanced the quality of modern communication systems. To obtain an excellent performance, it is necessary to design robust turbo code interleaver. In the recent time, there were several attempts to apply genetic algorithms to improve the performance of turbo codes by optimization of the interleaver. This paper investigates the optimization of turbo code interleaver with free distance as a fitness function.

关键词： Turbo codes Distance measurement Genetic algorithms optimization Bit error rate Encoding Biological cells

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Evolutionary algorithms in Aircraft Trim optimization

Evolutionary Algorithms in Aircraft Trim Optimization

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international workshop on Database and Expert Systems applications

作者： Jaroslav Tupy Ivan Zelinka Department of Applied Informatics Tomas Bata University Zlin Zlin Czech Republic

In this paper, the calculation of aircraft trimming process is presented in a sufficiently understandable way using a unique combination of global optimization theory and the direct hand-on computer simulation. The methods of artificial intelligence and heuristic algorithms handling with the equations of airplane motion are presented in this paper. The main aim was to use them for trimming the flying aircraft to the steady state flight upon setting the flight conditions of various kinds. New approach of SOMA (self organizing migrating algorithm) has been used here to find the vehicle equilibrium state. The method can be practically utilized in construction of airplanes as well as the flight simulators design.

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