The residual dependence index of bivariate Gaussian distributions is determined by the correlation coefficient. This tail index is of certain statistical importance when extremes and related rare events of bivariate s...
详细信息
The residual dependence index of bivariate Gaussian distributions is determined by the correlation coefficient. This tail index is of certain statistical importance when extremes and related rare events of bivariate samples with asymptotic independent components are being modeled. In this paper we calculate the partial residual dependence indices of a multivariate elliptical random vector assuming that the associated random radius has distribution function in the Gumbel max-domain of attraction. Furthermore, we discuss the estimation of these indices when the associated random radius possesses a Weibull-tail distribution. (C) 2010 Elsevier B.V. All rights reserved.
作者:
Shi, XiashengSu, YanxuMu, ChaoxuSun, ChangyinAnhui Univ
Engn Res Ctr Autonomous Unmanned Syst Technol Minist Educ Hefei 230601 Peoples R China Anhui Univ
Anhui Prov Engn Res Ctr Unmanned Syst & Intelligen Hefei 230601 Peoples R China Anhui Univ
Sch Artificial Intelligence Hefei 230601 Peoples R China Tianjin Univ
Sch Elect & Informat Engn Tianjin 300072 Peoples R China
Thispaper studies the neural network-based distributed constrained k-winners-take-all (kWTA) problem, which aims to select k largest inputs from amount of inputs under two types of global coupled constraints. Namely, ...
详细信息
Thispaper studies the neural network-based distributed constrained k-winners-take-all (kWTA) problem, which aims to select k largest inputs from amount of inputs under two types of global coupled constraints. Namely, equality and inequality constrained kWTA problems. By selecting the proper parameter, the two constrained kWTA problems can be transformed into two continuous constrained quadratic programming problems. Subsequently, we propose a derivative feedback-based modified primal-dual fully distributed algorithm for the kWTA problem with a global coupled equality constraint by utilizing Karush-Kuhn-Tucker (KKT) conditions and the gradient flow method. In addition, the developed derivative feedback-based distributed neurodynamic method is initialization-free. Furthermore, the above method is revised via a maximal projection operator for the kWTA problem with a global coupled inequality constraint. The two methods are rigorously proved to asymptotically solve the distributed constrained kWTA models in accordance with LaSalle's invariance principle. The performance of our designed methods is tested via four simulation examples.
A method is presented for generating linkage mechanisms consisting of frame members. A quadratic programming problem is solved to obtain an infinitesimal mechanism allowing a hinge rotating about an axis in arbitraril...
详细信息
A method is presented for generating linkage mechanisms consisting of frame members. A quadratic programming problem is solved to obtain an infinitesimal mechanism allowing a hinge rotating about an axis in arbitrarily inclined direction. The problem is equivalent to a plastic limit analysis problem with quadratic yield functions with respect to member-end moments and axial force. The directions of hinges are obtained from the ratios of member-end moments along the local axes. A finite mechanism is generated by carrying out geometrically nonlinear analysis and adding hinges, if necessary. Effectiveness of the proposed method is demonstrated through examples of 3-dimensional mechanisms. (C) 2016 Elsevier Ltd. All rights reserved.
We derive the exact asymptotics of P{ sup(t >= 0) (X-1(t) - mu(1)t) > u,sup(s >= 0) (X-2(s) - mu(2)s) > u }, u -> infinity. where (X-1(t),X-2(s))(t,s >= 0) is a correlated two-dimensional Brownian mo...
详细信息
We derive the exact asymptotics of P{ sup(t >= 0) (X-1(t) - mu(1)t) > u,sup(s >= 0) (X-2(s) - mu(2)s) > u }, u -> infinity. where (X-1(t),X-2(s))(t,s >= 0) is a correlated two-dimensional Brownian motion with correlation rho is an element of [- 1,1] and mu(1), mu(2) > 0. It appears that the play between rho and mu(1), mu(2) leads to several types of asymptotics. Although the exponent in the asymptotics as a function of rho is continuous, one can observe different types of prefactor functions depending on the range of rho, which constitute a phase-type transition phenomena.
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probabili...
详细信息
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative Parisian ruin probability as the initial capital tends to infinity. An asymptotic distribution for the conditional cumulative Parisian ruin time is also derived. The obtained results on the cumulative Parisian ruin can be seen as generalisations of some of the results derived in Dbicki et al. [(2018). Extremal behavior of hitting a cone by correlated Brownian motion with drift. Stochastic Processes and Their Applications 128, 4171-4206]. As a particular interesting case, the two-dimensional Brownian motion risk model is discussed in detail.
This paper investigates accurate approximations of marginal moment excess, marginal conditional tail moment and marginal moment shortfall for multivariate Gaussian system risks. Based on the dimension reduction proper...
详细信息
This paper investigates accurate approximations of marginal moment excess, marginal conditional tail moment and marginal moment shortfall for multivariate Gaussian system risks. Based on the dimension reduction property via the quadratic programming problem, the super-exponential and polynomial convergence speeds are specified. Two interesting questions involved in risk management are well addressed, namely the minimal additional risk capital injection to avoid infinite risk contagion and a sufficient and necessary condition to alternate the convergence speeds. Numerical study and typical examples are given to illustrate the efficiency of our findings. Due to the flexible moment order, additional applications may involve in risk management, including tail mean-variance portfolio and multivariate conditional risk measures of tail covariance, tail skewness with dependence and extremal risk contagion under consideration. (C) 2019 Elsevier B.V. All rights reserved.
Volterra integral equations of the first kind on a bounded interval are considered. It is assumed that the kernel and the right-hand side of an equation are sufficiently smooth functions, the kernel does not vanish on...
详细信息
Volterra integral equations of the first kind on a bounded interval are considered. It is assumed that the kernel and the right-hand side of an equation are sufficiently smooth functions, the kernel does not vanish on the diagonal, while the right-hand side vanishes at the initial integration moment. For the numerical solution to such equations, single-step methods based on two-step quadrature rules are proposed. Discretization of this type yields an underdetermined system of linear algebraic equations, which has infinitely many solutions. The system is supplemented with the condition that the norm of the approximate solution is minimal in some analogues of a Sobolev space to uniquely determine the approximate solution at discretization nodes. Such methods are always stable in the case of a second-order approximation and converge to the exact solution with the second order. Numerical results produced by the proposed methods as applied to well-known test examples are presented.
problems of unilateral discrete contact between an elastic half-space and a rigid punch of finite size with a surface microrelief are considered. A variational formulation of the problems is obtained in the form of a ...
详细信息
problems of unilateral discrete contact between an elastic half-space and a rigid punch of finite size with a surface microrelief are considered. A variational formulation of the problems is obtained in the form of a boundary variational inequality using the Poincare-Steklov operator, which maps normal stresses into normal displacements on a part of the boundary of the elastic half-space. A minimization problem equivalent to the variational inequality is presented, as a result of the approximation of which a quadratic programming problem subject to equality and inequality constraints is obtained. To solve this problem, a new computational algorithm based on the conjugate gradient method is proposed, which includes three equations of punch equilibrium in the calculation. The algorithm belongs to the class of active set methods and takes into account the specifics of the set of constraints. Some patterns of contact interaction of surfaces with a regular microrelief are established.
The problem of minimizing a convex twice differentiable function on the set-theoretic difference between a convex set and the union of several convex sets is considered. A generalization of Newton's method for sol...
详细信息
The problem of minimizing a convex twice differentiable function on the set-theoretic difference between a convex set and the union of several convex sets is considered. A generalization of Newton's method for solving problems with convex constraints is proposed. The convergence of the algorithm is analyzed.
The present paper proposes new approaches for recommendation tasks based on one-class support vector machines (1-SVMs) with graph kernels generated from a Laplacian matrix. We introduce new formulations for the 1-SVM ...
详细信息
The present paper proposes new approaches for recommendation tasks based on one-class support vector machines (1-SVMs) with graph kernels generated from a Laplacian matrix. We introduce new formulations for the 1-SVM that can manipulate graph kernels quite efficiently. We demonstrate that the proposed formulations fully utilize the sparse structure of the Laplacian matrix, which enables the proposed approaches to be applied to recommendation tasks having a large number of customers and products in practical computational times. Results of various numerical experiments demonstrating the high performance of the proposed approaches are presented.
暂无评论