We present a universal method for algorithmic trading in Stock Market which performs asymptotically at least as well as any stationary trading strategy that computes the investment at each step using a continuous func...
详细信息
ISBN:
(纸本)9783642409349;9783642409356
We present a universal method for algorithmic trading in Stock Market which performs asymptotically at least as well as any stationary trading strategy that computes the investment at each step using a continuous function of the side information. In the process of the game, a trader makes decisions using predictions computed by a randomized well-calibrated algorithm. We use Dawid's notion of calibration with more general checking rules and some modification of Kakade and Foster's randomized rounding algorithm for computing the well-calibrated forecasts. The method of randomized calibration is combined with Vovk's method of defensive forecasting in RKHS. Unlike in statistical theory, no stochastic assumptions are made about the stock prices.
The protocol to identify and confirm effective soluble solids absorption wavelengths and to develop universal calibration equations for many kinds of fresh fruit juices was discussed and conducted. Near infrared trans...
详细信息
The protocol to identify and confirm effective soluble solids absorption wavelengths and to develop universal calibration equations for many kinds of fresh fruit juices was discussed and conducted. Near infrared transmittance of sugar solutions (glucose, fructose, and sucrose), ready-to-serve, and fresh fruit juices (orange, apple, grapefruit, grape, pear, pineapple, and sugarcane) was analyzed in the range from 1000 nm to 2500 nm. Absorbance at 2270 nm was found to be a dominant factor in estimating Brix values in fruit juices. The single-wavelength (2270 nm) universal calibration equation with r(2) = 0.982, SEC = 0.518, SEP = 0.621, bias = -0.025 was developed for fresh fruit juices. The validation of developed calibration equations by cantaloupe, papaya, and peach fresh juices enhanced the applicability to other fruit juices and confirmed the reliability of universality.
We present a universal algorithm for the classical online problem of caching or demand paging. We consider the caching problem when the page request sequence is drawn from an unknown probability distribution and the g...
详细信息
We present a universal algorithm for the classical online problem of caching or demand paging. We consider the caching problem when the page request sequence is drawn from an unknown probability distribution and the goal is to devise an efficient algorithm whose performance is close to the optimal online algorithm which has full knowledge of the underlying distribution. Most previous works have devised such algorithms for specific classes of distributions with the assumption that the algorithm has full knowledge of the source. In this paper, we present a universal and simple algorithm based on pattern matching for mixing sources (includes Markov sources). The expected performance of our algorithm is within 4+o(1) times the optimal online algorithm (which has full knowledge of the input model and can use unbounded resources).
There exists a typical problem in Monte Carlo neutron transport: the effective multiplication factor sensitivity to geometric parameter. In several methods attempting to solve it, Monte Carlo adjoint-weighted theory h...
详细信息
ISBN:
(纸本)9780791851531
There exists a typical problem in Monte Carlo neutron transport: the effective multiplication factor sensitivity to geometric parameter. In several methods attempting to solve it, Monte Carlo adjoint-weighted theory has been proven to be quite effective. The major obstacle of adjoint-weighted theory is calculating derivative of cross section with respect to geometric parameter. In order to fix this problem, Heaviside step function and Dirac delta function are introduced to describe cross section and its derivative. This technique is crucial, and it establishes the foundation of further research. Based on above work, adjoint-weighted method is developed to solve geometric sensitivity. However, this method is limited to surfaces which are uniformly expanded or contracted with respect to its origin, such as vertical movement of plane or expansion of sphere. Rotation and translation are not allowed, while these two transformation types are more common and more important in engineering projects. In this paper, a more universal method, Cell Constraint Condition Perturbation (CCCP) method, is developed and validated. Different from traditional method, CCCP method for the first time explicitly articulates that the perturbed quantity is the parameter of spatial analytic geometry equations that used to describe surface. Thus, the CCCP can treat arbitrary one-parameter geometric perturbation of arbitrary surface as long as this surface can be described by spatial analytic geometry equation. Furthermore, CCCP can treat the perturbation of the whole cell, such as translation, rotation, expansion and constriction. Several examples are calculated to confirm the validity of CCCP method.
This article presents a general-purpose full-speed sensorless control scheme for interior permanent magnet synchronous motors (IPMSMs). By applying a quadratic extended back electromotive force (QBEMF) model, the inje...
详细信息
This article presents a general-purpose full-speed sensorless control scheme for interior permanent magnet synchronous motors (IPMSMs). By applying a quadratic extended back electromotive force (QBEMF) model, the injection-based and model-based position estimations can be combined into a universal sensorless control strategy for the full-speed operation. At low speed, the QBEMF model acts as a self-demodulator that can extract position information from arbitrary high-frequency currents without using digital filters. Therefore, it is suitable for any type of injection signals and can eliminate the adverse effect of filters. When the injection is removed at high speed, the same QBEMF model can still be used for position estimation, thereby solving the conventional transition issue from low-speed to high-speed sensorless control. In consequence, a unified algorithm is designed to achieve arbitrary injection for low-speed sensorless control and seamless transition across full-speed region. The proposed scheme is hence simpler and more effective compared to conventional full-speed sensorless methods. Finally, the feasibility of the proposed estimation algorithm is verified for a 15-kW IPMSM drive.
In the first part of this paper, a universal fluid velocity based algorithm for simulating hydraulic fracture with leak-off, previously demonstrated for the PKN and KGD models, is extended to obtain solutions for a pe...
详细信息
In the first part of this paper, a universal fluid velocity based algorithm for simulating hydraulic fracture with leak-off, previously demonstrated for the PKN and KGD models, is extended to obtain solutions for a penny-shaped crack. The numerical scheme is capable of dealing with both the viscosity and toughness dominated regimes, with the fracture being driven by a power-law fluid. The computational approach utilizes two dependent variables;the fracture aperture and the reduced fluid velocity. The latter allows for the application of a local condition of the Stefan type (the speed equation) to trace the fracture front. The obtained numerical solutions are carefully tested using various methods, and are shown to achieve a high level of accuracy.
Several fuzzy decision models are proposed in literature to solve urban planning problems. In this research we present a novel GIS-based framework to solve decision problems in urban planning based on a System of Fuzz...
详细信息
Several fuzzy decision models are proposed in literature to solve urban planning problems. In this research we present a novel GIS-based framework to solve decision problems in urban planning based on a System of Fuzzy Relation Equations in which the unknowns represent characteristics affecting observable facts constituting the input variables. Aim of this research is to partition the urban study area into subzones, each of which identifies a sub-area of the study area within which the set of analyzed characteristics are homogeneous. The study area is initially decomposed in atomic urban areas called microzones;for each microzone are calculated the greatest and lowest solutions of a System of Fuzzy Relation Equations by using the universal solution algorithm and are calculated and fuzzified the values of the output variables. Spatially adjoining microzones with same output variables are dissolved forming homogeneous urban areas with reference to the problem analyzed, called Urban Contexts. For each output variable a thematic map is constructed;in addition, a thematic map of its reliability is created. This framework is tested on a study area given by the district of Ponticelli in the municipality of Naples (Italy);comparison tests performed with respect to a previous GIS-based framework based on a System of Fuzzy Relation Equations show that our method provides a more detailed knowledge of the characteristics of the urban study area with reference to the problem dealt with.
We consider a generalization of the best choice problem to upward directed graphs. We describe a strategy for choosing a maximal element (i.e., an element with no outgoing edges) when a selector knows in advance only ...
详细信息
We consider a generalization of the best choice problem to upward directed graphs. We describe a strategy for choosing a maximal element (i.e., an element with no outgoing edges) when a selector knows in advance only the number n of vertices of the graph. We show that, as long as the number of elements dominated directly by the maximal ones is not greater than c(1)root n for some positive constant c(1) and the indegree of remaining vertices is bounded by a constant D, the probability p(n) of the right choice according to our strategy satisfies lim inf(n ->infinity) p(n) root n >= delta > 0, where delta is a constant depending on c(1) and D. (c) 2012 Elsevier B.V. All rights reserved.
We consider the Wyner-Ziv (WZ) problem of lossy compression where the decompressor observes a noisy version of the source, whose statistics are unknown. A new family of WZ coding algorithms is proposed and their unive...
详细信息
We consider the Wyner-Ziv (WZ) problem of lossy compression where the decompressor observes a noisy version of the source, whose statistics are unknown. A new family of WZ coding algorithms is proposed and their universal optimality is proven. Compression consists of sliding-window processing followed by Lempel-Ziv (LZ) compression, while the decompressor is based on a modification of the discrete universal denoiser (DUDE) algorithm to take advantage of side information. The new algorithms not only universally attain the fundamental limits, but also suggest a paradigm for practical WZ coding. The effectiveness of our approach is illustrated with experiments on binary images, and English text using a low complexity algorithm motivated by our class of universally optimal WZ codes.
We extend the Markov Chain Tree Theorem to general commutative semirings, and we generalize the State Reduction algorithm to general commutative semifields. This leads to a new universal algorithm, whose prototype is ...
详细信息
We extend the Markov Chain Tree Theorem to general commutative semirings, and we generalize the State Reduction algorithm to general commutative semifields. This leads to a new universal algorithm, whose prototype is the State Reduction algorithm which computes the Markov chain tree vector of a stochastic matrix. (C) 2014 The Authors. Published by Elsevier Inc.
.jpg?site=8fa65c6403e3f8b5b3923814eda18bd0){kind=spacer}
暂无评论