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2022 IEEE International Conference on Industrial engineering and engineering management, IEEM 2022

作者： Rebualos, R.A. Young, M.N. Prasetyo, Y.T. Nadlifatin, R. Mapúa University School of Graduate Studies Manila Philippines Mapúa University School of Industrial Engineering and Engineering Management Manila Philippines Institut Teknologi Sepuluh Nopember Department of Information Systems Kampus ITSSukolilo Surabaya Indonesia

ISBN: (数字)9781665486873

ISBN: (纸本)9781665486873

This paper presents a framework for portfolio selection using the mean-variance model utilizing Australian fintech company stocks before and during the COVID-19 pandemic. The investment pool consisting of fintech companies undergo a series of criteria to be determined. Mean-variance model is applied to identify the optimal portfolio using equally likely historical return estimates. The market was used as a benchmark to compare the portfolio performance. Back-test pre and during COVID show that most portfolios can outperform the benchmark in terms of returns while most portfolios also have a higher risk than the benchmark. The findings of this study may provide an alternative portfolio selection framework for any investor type considering the financial technology sector. © 2022 IEEE.

关键词： COVID-19

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Mean-variance and Safety-first Portfolio Selection Utilizing Historical Returns of Forbes Asia's Fab50 Companies

Mean-variance and Safety-first Portfolio Selection Utilizing...

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2022 IEEE International Conference on Industrial engineering and engineering management, IEEM 2022

作者： Altes, G.C. Young, M.N. Prasetyo, Y.T. Nadlifatin, R. Mapúa University School of Graduate Studies Manila Philippines Mapúa University School of Industrial Engineering and Engineering Management Manila Philippines Institut Teknologi Sepuluh November Kampus Its Sukolilo Department of Information Systems Surabaya Indonesia

ISBN: (数字)9781665486873

ISBN: (纸本)9781665486873

Portfolio selection maximizes investment returns with acceptable risk. Mean-variance (MV) and Safety-first (SF) are two methods to achieve this goal. MV explains that an investor will choose an investment with a high return over another if it has the same risk. In contrast, SF focuses on minimizing the investment loss by establishing a loss threshold for the portfolio. This study presents a framework for selecting the portfolio that could outperform the benchmark using MV and SF methods and utilizing the historical returns of Forbes Asia's Fab50 companies. Back-test shows that portfolios have the potential to earn twice as much as the benchmark using MV, but these have high standard deviation or risk. Compared to MV models, SF models are observed with lower risk. Both MV and SF models were found to have exceeded the p-value criterion, indicating that these were unable to outperform the benchmark. Nevertheless, this study found an acceptable portfolio with a marginal p-value but high investment return using one of the MV models. This study serves as a reference for Operation Research application in Finance. © 2022 IEEE.

关键词： Investments

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Unified Modeling of Multi-Talker Overlapped Speech Recognition and Diarization with a Sidecar Separator

arXiv

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arXiv 2023年

作者： Meng, Lingwei Kang, Jiawen Cui, Mingyu Wu, Haibin Wu, Xixin Meng, Helen Dept. of Systems Engineering & Engineering Management The Chinese University of Hong Kong Hong Kong Graduate Institute of Communication Engineering National Taiwan University Taiwan

Multi-talker overlapped speech poses a significant challenge for speech recognition and diarization. Recent research indicated that these two tasks are inter-dependent and complementary, motivating us to explore a unified modeling method to address them in the context of overlapped speech. A recent study proposed a cost-effective method to convert a single-talker automatic speech recognition (ASR) system into a multi-talker one, by inserting a Sidecar separator into the frozen well-trained ASR model. Extending on this, we incorporate a diarization branch into the Sidecar, allowing for unified modeling of both ASR and diarization with a negligible overhead of only 768 parameters. The proposed method yields better ASR results compared to the baseline on LibriMix and LibriSpeechMix datasets. Moreover, without sophisticated customization on the diarization task, our method achieves acceptable diarization results on the two-speaker subset of CALLHOME with only a few adaptation steps. © 2023, CC BY.

关键词： Speech recognition

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An explainable framework based on counterfactual explanations for multi-class financial distress prediction of small and medium enterprises

An explainable framework based on counterfactual explanation...

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2024 IEEE International Conference on Big Data, BigData 2024

作者： Ando, Renon Kawamata, Yuji Takeda, Toshihiko Okada, Yukihiko University of Tsukuba Graduate School of Science and Technology Tsukuba Japan University of Tsukuba Center for Artificial Intelligence Research Tsukuba Japan Mito Shinkin Bank Operations Management Dept. Mito Japan University of Tsukuba Institute of Systems and Information Engineering Tsukuba Institute for Advanced Research Center for Artificial Intelligence Research Tsukuba Japan

ISBN: (纸本)9798350362480

Small and medium enterprises (SMEs) play a crucial role in supporting the global economy by contributing significantly to employment and value creation. Therefore, accurately predicting early signs of financial distress in SMEs and taking timely management improvement actions is of paramount importance. However, there is a lack of research on developing multi-class financial distress prediction (MFDP) models specifically for SMEs. Moreover, traditional MFDP models often lack interpretability. To address this, this study proposes definitions for multi-class financial distress in SMEs and constructs a MFDP model using machine learning. Additionally, it introduces an explainable framework to interpret the constructed model. Specifically, the study classifies SMEs' financial conditions into three categories: healthy, mild financial distress, and severe financial distress. It conducts a comparative analysis of six machine learning models. Furthermore, it proposes new interpretation methods for the MFDP model using SHapley Additive exPlanations (SHAP) and counterfactual explanations (CE), both of which are explainable artificial intelligence techniques. The empirical results reveal that the MFDP model, which adjusts data balance using random oversampling and integrates LightGBM with a one-versus-rest decomposition method, demonstrates the highest performance. Moreover, the proposed explainable framework demonstrates that it can provide practical and concrete improvement strategies to the model users, such as managers and financial institutions. © 2024 IEEE.

关键词： Learning systems

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A Comparison of Impermant Loss for Various CFMMs

A Comparison of Impermant Loss for Various CFMMs

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IEEE International Conference on Blockchain (Blockchain)

作者： Hyoung Joong Kim Gyu M. Lee Jongwon Lee Sora Kang Seong Wook Chae Jun-Seok Park Department of Digital Finance Management Hoseo University Cheonan Korea Department of Industrial Engineering Pusan National University Busan Korea Graduate School of Management of Technology Hoseo University Asan Korea Department of Electronics and Information Systems Engineering Kookmin University Seoul Korea

ISBN: (数字)9798350351590

ISBN: (纸本)9798350351606

Decentralized exchanges are one of the revolutionary inventions in cryptocurrency trading. Decentralized exchanges present a way to set prices mathematically without maintaining an order book. Order books have been a widely-known method of determining prices for over 400 years in the stock markets and even in decentralized cryptocurrency exchanges. Recently, a new type of decentralized exchange devised a constant function market maker to mathematically determine prices. Among them, constant product market makers are the most widely used. In addition, several constant function market makers have been proposed. However, there was no discussion about the desirable requirements of a constant function market maker in terms of impermanent loss. In this paper, we discuss the desirable requirements of a constant function market maker and analyze the impermanent loss of various market makers. Note that two market makers, LMSR and CCMM, show impermanent gain in the mathematical derivation, but their price functions violate the principle of supply and demand. Therefore, AMMs with impermanent gain while following the principle of supply and demand need to be studied further. A comparison study of impermanent loss for some CFMMs shows interesting results, too.

关键词： Technological innovation Supply and demand Cost function Cryptocurrency Blockchains Stock markets Contracts

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Comprehensive Overview of Multi-agent systems for Controlling Smart Grids

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CSEE Journal of Power and Energy systems 2022年第1期8卷 115-131页

作者： Om Prakash Mahela Mahdi Khosravy Neeraj Gupta Baseem Khan Hassan Haes Alhelou Rajendra Mahla Nilesh Patel Pierluigi Siano Power System Planning Division Rajasthan Rajya Vidyut Prasaran Nigam Ltd.Jaipur-302005India Media Integrated Communication Laboratory Graduate School of EngineeringOsaka UniversityOsakaJapan Computer Science and Engineering Department Oakland UniversityRochesterUSA Department of Electrical and Computer Engineering Hawassa UniversityHawassa 1530Ethiopia Faculty of Mechanical and Electrical Engineering Tishreen UniversityLattakiaSyria Department of Electrical Engineering National Institute of Technology Kurukshetra Department of Management&Innovation Systems University of Salerno84084 SalernoItaly

Agents are intelligent entities that act flexibly and autonomously and make wise decisions based on their intelligence and experience.A multi-agent system(MAS)contains multiple,intelligent,and interconnected collaborating agents for solving a problem beyond the ability of a single agent.A smart grid(SG)combines advanced intelligent systems,control techniques,and sensing methods with an existing utility power *** controlling smart grids,various control systems with different architectures have already been ***-based control of power system operations has been shown to overcome the limitations of time required for analysis,relaying,and protection;transmission switching;communication protocols;and management of plant *** systems provide an alternative for fast and accurate power network *** paper provides a comprehensive overview of MASs used for the control of smart *** paper provides a wide-spectrum view of the status of smart grids,MAS-based control techniques and their implementation for the control of smart *** of MASs in the control of various aspects of smart grids-including the management of energy,marketing energy,pricing,scheduling energy,reliability,network security,fault handling capability,communication between agents,SG-electrical vehicles,SG-building energy systems,and soft grids—have been critically *** than a hundred publications on the topic of MAS-based control of smart grids have been critically examined,classified,and arranged for fast reference.

关键词： Coordinated control multi-agent systems renewable energy sources smart energy infrastructure smart grid

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Finding the Important Elements Linked to Integration Problems in the Use of Enterprise Resource Planning systems

Finding the Important Elements Linked to Integration Problem...

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International Conference on Information management and Technology (ICIMTech)

作者： Wahyu Sardjono Desi Maya Kristin Dewi Sagita Pranata Information Systems Management Department BINUS Graduate Program - Master of Information Systems Management Bina Nusantara University Jakarta Indonesia Information Systems Department School of Information Systems Bina Nusantara University Jakarta Indonesia Department of Informatics Cyber Security Studi Program Faculty of Natural Mathematical & Engineering Sciences King's College London UK

ISBN: (数字)9798350390025

ISBN: (纸本)9798350390032

Organizations face an urgent need to become faster, more efficient, and more successful in their commercial operations, given the current state of technological evolution and the arrival of Industry 4.0. Many businesses have adopted the idea of enterprise resource planning (ERP) systems to achieve this goal. The ERP system is expected to increase worker productivity, improve business performance to maximize profitability and profits, and provide accurate and up-to-date data and information to management and stakeholders. This research aims to find new variables related to integration problems in the use of ERP systems. Using the SPSS statistical program, the data collected will be examined using quantitative exploratory factor analysis (EFA). Data processing then includes collecting demographic information from respondents, reliability testing, conducting the Kaiser-Meyer-Olkin (KMO) test, testing using an anti-image matrix, and deriving new factors using a rotation component matrix. This research seeks to identify new elements underlying ongoing integration problems in ERP system implementation. The research results show several reasons for underlying integration problems and offer in-depth information to management that can be used to analyze and evaluate the ERP system in their company appropriately in the future so that the company's performance becomes superior to the competition.

关键词： Training Standards organizations Companies Enterprise resource planning Business process re-engineering Stakeholders Reliability Best practices System implementation Testing

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Light Cone Cancellation for Variational Quantum Eigensolver Ansatz

arXiv

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arXiv 2024年

作者： Yan, Xinjian Lee, Xinwei Xie, Ningyi Saito, Yoshiyuki Kurosawa, Leo Asai, Nobuyoshi Cai, Dongsheng Lau, Hoong Chuin Graduate School of Science and Technology University of Tsukuba Japan School of Computing and Information Systems Singapore Management University Singapore Graduate School of Computer Science and Engineering University of Aizu Japan School of Computer Science and Engineering University of Aizu Japan Faculty of Engineering Information and Systems University of Tsukuba Japan

Variational Quantum Algorithms (VQAs) represent a class of algorithms that utilize a hybrid approach, combining classical and quantum computing techniques. In this approach, classical computers serve as optimizers that update circuit parameters to find approximate solutions to complex problems. In this study, we apply a method known as Light Cone Cancellation (LCC) to optimize variational circuits, effectively reducing the required number of qubits and gates for circuit simulation. We then evaluate the performance of LCC one of the VQAs—the Variational Quantum Eigensolver (VQE)—to address the Max-Cut problem. Compared with the Quantum Approximate Optimization Algorithm (QAOA), VQE offers greater degrees of freedom and promising results at lower circuit depths. By applying LCC to VQE, we can shift the complexity of circuit simulation from the number of qubits to the number of edges in the graph, i.e., from exponential time to polynomial time. This enables us to solve large problems up to 100 vertices, without actually simulating the entire circuit. From our simulation in a 7-qubit and a 27-qubit fake backends, we show that LCC yields higher approximation ratios than those cases without LCC, implying that the effect of noise is reduced when LCC is applied. © 2024, CC BY.

关键词： Qubits

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A Quantum Q-Learning Model for the Capacitated Vehicle Routing Problem

A Quantum Q-Learning Model for the Capacitated Vehicle Routi...

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IEEE International Symposium on Embedded Multicore Socs (MCSoC)

作者： Jiahua Xu Ningyi Xie Xinwei Lee Yoshiyuki Saito Nobuyoshi Asai Dongsheng Cai Graduate School of Science and Technology University of Tsukuba Japan School of Computing and Information Systems Singapore Management University Singapore Graduate School of Computer Science and Engineering University of Aizu Japan School of Computer Science and Engineering University of Aizu Japan Faculty of Engineering Information and Systems University of Tsukuba Japan

ISBN: (数字)9798331530471

ISBN: (纸本)9798331530488

The research on Variational Quantum Algorithms (VQAs) has gained significant momentum because of their promising practicality in the noisy intermediate-scale quantum (NISQ) era. Recent studies highlight the potential of VQAs in reinforcement learning (RL) by replacing classical components with parameterized quantum circuits (PQCs). Building on this, we propose a quantum Q-learning model for the Capacitated Vehicle Routing Problem (CVRP), combining a PQC with an RL training process. We present a PQC for embedding both static and dynamic states in RL environments. The proposed PQC approximates the Q-value function by using the expectation values of different observables. Experimental results demonstrate that the proposed PQC outperforms the existing PQC for the CVRP with fewer quantum resources. Furthermore, our method shows competitive performance compared to the classical counterpart.

关键词： Training Q-learning Quantum algorithm Multicore processing Vehicle routing Buildings Noise measurement Integrated circuit modeling Vehicle dynamics Quantum circuit

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Sustainable container distribution by alternatively fueled vehicles under customer and technical constraints

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IFAC-PapersOnLine 2022年第10期55卷 836-841页

作者： Sezgi Tekil-Ergün Erwin Pesch Katarzyna Anna Kuzmicz Institute of Information Systems Faculty III University of Siegen Siegen Center for Advanced Studies in Management HHL Leipzig Graduate School of Management Leipzig Germany Faculty of Engineering Management Bialystok University of Technology Bialystok Poland

The scale of freight forwarding to the hinterland becomes an issue from the perspective of both – transport policy and cost efficiency of service providers. This problem is sharply visible in areas where ports, depots, inland intermodal terminals, exporters and importers are located, and full and empty containers satisfying demand and supply are frequently distributed creating a lot of traffic. Therefore solutions meeting the challenges of sustainable transport, responding to climate change and regulation of CO2 emissions are in need. In this paper, a variant of a Mixed Fleet Heterogeneous Dial-a-Ride Problem is proposed for optimal routing of trucks carrying full and empty 20-foot and 40-foot containers, with multiple pick-ups and deliveries. Transportation is performed by alternatively fueled vehicles (AFVs) for environmental reasons which causes a constraint of a limited driving range and a need of refueling. The main objective is minimising the total distance subject to matching the empty container demand and supply, necessary refueling of the trucks, and service time windows.

关键词： heterogeneous dial-a-ride problem full empty container transportation green vehicle routing problem mixed-integer programming Lagrange relaxation

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