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Proceedings of the IEEE/IAFE computational Intelligence for Financial engineering (CIFEr)

作者： Z. Sun M. A. Wiering N. Petkov Johann Bernoulli Institute of Mathematics and Computing Science University of Groningen Groningen the Netherlands Institute of Artificial Intelligence and Cognitive Engineering University of Groningen Groningen the Netherlands

Due to the economic recession in the recent years, more and more mortgage customers default on the payments. This brings tremendous losses to banks and forces their arrear management departments to develop more efficient processes. In this paper, we propose a classification system to predict the outcome of a mortgage arrear. Each customer who delays a monthly mortgage rate payment is assigned a label with two possible values: a delayer, who will pay the rate before the end of the month, and a defaulter, who will fail to do so. In this way, the arrear management department only needs to treat defaulters intensively. We use arrear history records obtained from a data warehouse of one Dutch bank. We apply basic classifiers, ensemble methods and sampling techniques to this classification problem. The obtained results show that sampling techniques and ensemble learning improve the performance of basic classifiers considerably. We choose balanced random forests to build the ultimate classification system. The resulting system has already been deployed in the daily work of the arrear management department of the concerned bank, and this leads to huge cost savings.

关键词： Loans and mortgages Bagging Logistics Bars Measurement Decision trees Banking

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A Stochastic Maximum Principle for Risk-Sensitive Mean-Field-Type Control

A Stochastic Maximum Principle for Risk-Sensitive Mean-Field...

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IEEE Annual Conference on Decision and Control

作者： Boualem Djehiche Hamidou Tembine Raul Tempone Department of Mathematics KTH Royal Institute of Technology Stockholm Sweden SRI Uncertainty Quantification Center in Computational Science and Engineering CEMSE KAUST KSA

ISBN: (纸本)9781467360890

In this paper we study mean-field type control problems with risk-sensitive performance functionals. We establish a stochastic maximum principle for optimal control of stochastic differential equations of mean-field type, in which the drift and the diffusion coefficients as well as the performance functional depend not only on the state and the control but also on the mean of the distribution of the state. Our result extends to optimal control problems for non-Markovian dynamics which may be time-inconsistent in the sense that the Bellman optimality principle does not hold. For a general action space a Peng's type stochastic maximum principle is derived, specifying the necessary conditions for optimality. Two examples are carried out to illustrate the proposed risk-sensitive mean-field type under linear stochastic dynamics with exponential quadratic cost function. Explicit characterizations are given for both mean-field free and mean-field risk-sensitive models.

关键词： Equations Stochastic processes Optimal control Process control Mathematical model Couplings Yttrium

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A New Analysis on the Barzilai-Borwein Gradient Method

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Journal of the Operations Research Society of China 2013年第2期1卷 187-198页

作者： Yu-Hong Dai State Key Laboratory of Scientific and Engineering Computing Institute of Computational Mathematics and Scientific/Engineering ComputingAcademy of Mathematics and Systems ScienceChinese Academy of SciencesP.O.Box 2719Beijing 100190P.R.China

Due to its simplicity and efficiency,the Barzilai and Borwein(BB)gradi-ent method has received various attentions in different *** paper presents a new analysis of the BB method for two-dimensional strictly convex quadratic *** analysis begins with the assumption that the gradient norms at the first two iterations are *** show that there is a superlinear convergence step in at most three consecutive ***,we provide a better convergence relation for the BB *** influence of the starting point and the condition number to the convergence rate is comprehensively addressed.

关键词： Unconstrained optimization Barzilai and Borwein gradient method Quadratic function R-superlinear convergence Condition number

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Variational Image Decomposition in Shearlet Smoothness Spaces

Variational Image Decomposition in Shearlet Smoothness Space...

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International Conference on computational Intelligence and Security

作者： Min Li Xiaoli Sun Chen Xu College of Mathematics and Computational Science Shenzhen University Shenzhen Guangdong P. R. China Institute of Intelligent Computing Science Shenzhen University Shenzhen Guangdong P. R. China

ISBN: (纸本)9781479974351

Shearlet representation has gained more prominence in recent year as a flexible mathematical framework which enables the efficient analysis of anisotropic phenomena by combining multiscale analysis with the ability to handle directional information. Based on this, we present a new variational model for image decomposition in shearlet smoothness spaces. The new model can be seen as generalizations of Daubechies -Teschke's model. By replacing the Besov regularization term by a shearlet-based regularization term, and writing the problem in a shearlet framework, we obtain elegant shearlet shrinkage schemes. The experiments on decomposition of images show that our algorithm is very efficient.

关键词： Noise measurement Image decomposition Mathematical model Noise reduction Minimization PSNR

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Reputation Monitoring over Rule-stringent Social Media based on Advanced Wrapper Technologies

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Procedia - Social and Behavioral sciences 2014年 148卷 559-566页

作者： Klimis Ntalianis Nikolaos Papadakis Petros Tomaras Technological Educational Institute of Athens Department of Marketing – Online Computing Group 12210 Egaleo Athens GREECE Hellenic Army Academy Faculty of Mathematics and Engineering Science 16673 Vari Athens GREECE

The so-called real-time web (RTW) is a web of opinions, comments, and personal viewpoints, providing personalized commentary in real-time. Facebook is undoubtedly the king of the RTW. It boasts 1+ billion users that spend about 23 billion minutes per day, generating in the region of 60 million posts per day. This RTW data is far from structured (in contrast to data such as ratings, product features, etc.), but it is very useful to consider for reputation monitoring. For enterprises in particular, being present and aware of what is discussed on social media about their products and services has become a must. It allows them to establish a communication channel with their customers, market their products, build brand equity and boost clientele faithfulness. However, as social media are two-way channels, they require effort and care to manage this communication. Dissatisfied customers can protest out loud, easily influence many other customers and damage the brand's image. In order to avoid these risks, several social media monitoring tools have been implemented, enabling enterprises to have access to real customers’ opinions, complaints and questions at real time in a highly scalable manner. Characteristic examples include the SM2 tool of Alterian, Brandwatch, Converseon, Cymfony Maestro, My BuzzMetrics, Radian6, Sysomos and others. Even though very interesting and somehow effectively performing on open social media (twitter, blogs, microblogs etc), most aforementioned tools have very limited performance on rule-stringent media (where tough access policies are imposed). Furthermore usually extensive human guidance is needed and raw-tag manipulations are necessary. In order to bypass these problems, in this paper we propose an intelligent wrapper system that automatically segments closed social media web pages into structural tokens, extracts and associates opinions to each token. A key step towards retrieving the data of interest is to discover the sections contained

关键词： Reputation monitoring Social media Wrapper technologies Facebook

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Scaling Laws of the Two-Electron Sum-Energy Spectrum in Strong-Field Double Ionization

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Physical Review Letters 2015年第12期115卷 123001-123001页

作者： Difa Ye Min Li Libin Fu Jie Liu Qihuang Gong Yunquan Liu J. Ullrich Institute of Applied Physics and Computational Mathematics Beijing 100088 People’s Republic of China Department of Physics and State Key Laboratory for Mesoscopic Physics Peking University Beijing 100871 People’s Republic of China Collaborative Innovation Center of Quantum Matter Beijing 100871 People’s Republic of China CAPT HEDPS and IFSA Collaborative Innovation Center of MoE Peking University Beijing 100871 People’s Republic of China Center for Fusion Energy Science and Technology China Academy of Engineering Physics Beijing 100088 People’s Republic of China Max-Planck-Institut für Kernphysik Saupfercheckweg 1 69117 Heidelberg Germany Physikalisch-Technische Bundesanstalt Bundesallee 100 38116 Braunschweig Germany

The sum-energy spectrum of two correlated electrons emitted in nonsequential strong-field double ionization (SFDI) of Ar was studied for intensities of 0.3 to 2×1014 W/cm2. We find the mean sum energy, the maximum of the distributions as well as the high-energy tail of the scaled (to the ponderomotive energy) spectra increase with decreasing intensity below the recollision threshold (BRT). At higher intensities the spectra collapse into a single distribution. This behavior can be well explained within a semiclassical model providing clear evidence of the importance of multiple recollisions in the BRT regime. Here, ultrafast thermalization between both electrons is found occurring within three optical cycles only and leaving its clear footprint in the sum-energy spectra.

关键词： IONIZATION (Atomic physics) THERMAL neutrons ELECTRONS ELECTRON distribution ELECTRON transport

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Investigation of Wave-Structure Interaction Using State of the Art CFD Techniques

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Open Journal of Fluid Dynamics 2014年第1期4卷 18-43页

作者： Jan Westphalen Deborah M. Greaves Alison Raby Zheng Zheng Hu Derek M. Causon Clive G. Mingham Pourya Omidvar Peter K. Stansby Benedict D. Rogers School of Computing Mathematics and Digital Technology Manchester Metropolitan University Manchester UK School of Marine Science and Engineering Marine Institute University of Plymouth Plymouth UK School of Mechanical Aerospace and Civil Engineering University of Manchester Manchester UK

The suitability of computational fluid dynamics (CFD) for marine renewable energy research and development and in particular for simulating extreme wave interaction with a wave energy converter (WEC) is considered. Fully nonlinear time domain CFD is often considered to be an expensive and computationally intensive option for marine hydrodynamics and frequency-based methods are traditionally preferred by the industry. However, CFD models capture more of the physics of wave-structure interaction, and whereas traditional frequency domain approaches are restricted to linear motions, fully nonlinear CFD can simulate wave breaking and overtopping. Furthermore, with continuing advances in computing power and speed and the development of new algorithms for CFD, it is becoming a more popular option for design applications in the marine environment. In this work, different CFD approaches of increasing novelty are assessed: two commercial CFD packages incorporating recent advances in high resolution free surface flow simulation;a finite volume based Euler equation model with a shock capturing technique for the free surface;and meshless Smoothed Particle Hydrodynamics (SPH) method. These different approaches to fully nonlinear time domain simulation of free surface flow and wave structure interaction are applied to test cases of increasing complexity and the results compared with experimental data. Results are presented for regular wave interaction with a fixed horizontal cylinder, wave generation by a cone in driven vertical motion at the free surface and extreme wave interaction with a bobbing float (The Manchester Bobber WEC). The numerical results generally show good agreement with the physical experiments and simulate the wave-structure interaction and wave loading satisfactorily. The grid-based methods are shown to be generally less able than the meshless SPH to capture jet formation at the face of the cone, the resolution of the jet being grid dependent.

关键词： Wave Loading Wave Energy Wave-Structure Interaction Manchester Bobber CFD Physical Experiments FV CV-FE SPH Cartesian-Cut-Cell SPHysics AMAZON SC STAR CCM+ CFX

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Implementation and test of human-operated and human-like adaptive impedance controls on Baxter robot

Implementation and test of human-operated and human-like ada...

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15th Annual Conference on Advances in Autonomous Robotics Systems, TAROS 2014

作者： Liang, Peidong Yang, Chenguang Wang, Ning Li, Zhijun Li, Ruifeng Burdet, Etienne Centre for Robotics and Neural Systems School of Computing and Mathematics Plymouth University United Kingdom MOE Key Lab. of Autonomous System and Network Control College of Automation Science and Engineering South China University of Technology China State Key Laboratory of Robotics and System Harbin Institute of Technology China Department of Computer Science and Engineering Chinese University of Hong Kong Hong Kong Department of Bioengineering Imperial College of Science Technology and Medicine London United Kingdom

ISBN: (纸本)9783319104003

This paper presents an improved method to teleoperate impedance of a robot based on surface electromyography (EMG) and test it experimentally. Based on a linear mapping between EMG amplitude and stiffness, an incremental stiffness extraction method is developed, which uses instantaneous amplitude identified from EMG in a high frequency band, compensating for non-linear residual error in the linear mapping and preventing muscle fatigue from affecting the control. Experiments on one joint of the Baxter robot are carried out to test the approach in a disturbance attenuation task, and to compare it with automatic human-like impedance adaptation. The experimental results demonstrate that the new human operated impedance method is successful at attenuating disturbance, and results similarly to as automatic disturbance attenuation, thus demonstrating its efficiency. © 2014 Springer International Publishing.

关键词： Stiffness

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Separate node ascending derivatives expansion (SNADE) for univariate functions: Polynomial recursions, remainder bounds and the convergence

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AIP Conference Proceedings 2015年第1期1648卷

作者： N. A. Baykara Metin Demiralp *Marmara University Faculty of Sciences and Letters Mathematics Department Göztepe Campus 34730 İstanbul Türkiye (Turkey) †İstanbul Technical University Informatics Institute Computational Science and Engineering Department Maslak 34469 İstanbul Türkiye (Turkey)

A novel method which has been developed in Demiralp’s group and has been named “Separate Node Ascending Derivatives Expansion (SNADE) for Univariate Functions” is the content of the first one of four companion papers to appear in this proceedings. This work focuses on the construction of basic recursions amongst the SNADE polynomials and also construction of a bound to SNADE remainder term. These goals are achieved. The convergence of SNADE could have also been proven by using the derived remainder bound. The recursions are constructed in both implicit and explicit form.

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Phonon Softening Induced Intrinsic Thermal Resistance in Individual Single-layer Graphene

Phonon Softening Induced Intrinsic Thermal Resistance in Ind...

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The 2nd International Conference on Phononics and thermal Energy science(PTES2014)(第二届国际声子学与热能科学大会)

作者： Wen Xu Gang Zhang Baowen Li NUS Graduate School for Integrative Sciences and Engineering National University of SingaporeKent Ridge 119620Singapore Department of Physics and Centre for Computational Science and Engineering National University of SingaporeSingapore 117546Singapore Center for Phononics and Thermal Energy Science School of Physics Science and EngineeringTongji University200092 ShanghaiChina Institute of High Performance Computing A*STARSingapore 138632Singapore Institute of High Performance ComputingA*STARSingapore 138632Singapore Department of Physics and Centre for Computational Science and EngineeringNational University of SingaporeSingapore 117546Singapore

With molecular dynamics simulations,we systematically uncover a new kind of intrinsic thermal resistance that exists in two-dimensional materials under uneven external perturbation,by using partly encased graphene as a typical *** with lattice dynamics analysis,we demonstrate that this intrinsic thermal resistance originates from the softening of flexural phonons partly in graphene induced by inhomogeneous external potential field or substrates which serve as *** the interface between graphene sections with and without external potential field,in-plane phonon modes can transmit well,whereas,low frequency flexural phonon modes are reflected,leading to this nontrivial intrinsic thermal resistance in the individual single-layer *** intrinsic thermal resistance closely depends on coupling strength between graphene and substrates,and could be significant when the coupling is ***,it is suppressed at high *** is also found that this intrinsic thermal resistance depends on the size of the system to some extent,and a length independent value is ***,we demonstrate that thermal rectification can be realized by including the uneven external *** study provides new insight to better understand thermal transport in two-dimensional materials.

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