In several problems of portfolio selection the reward-risk ratio criterion is optimized to search for a risky portfolio offering the maximum increase of the mean return, compared to the risk-free investment opportunit...
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ISBN:
(纸本)9789881404725
In several problems of portfolio selection the reward-risk ratio criterion is optimized to search for a risky portfolio offering the maximum increase of the mean return, compared to the risk-free investment opportunities. We analyze such a model with the CVaR type risk measure. Exactly the deviation type of risk measure must be used, i.e. The so-called conditional drawdown measure. We analyze both the theoretical properties (SSD consistency) and the computational complexity (LP models).
Two-dimensional(2D) systems are characterized by two independent information propagation directions. They can be applied as well to analyze spatially interconnected systems, as for example ladder circuits. Then the ti...
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ISBN:
(纸本)9789881563910
Two-dimensional(2D) systems are characterized by two independent information propagation directions. They can be applied as well to analyze spatially interconnected systems, as for example ladder circuits. Then the time and the cell number are two independent variables. This paper shows new results in modeling and control of such systems.
There are many different ways of discovering knowledge in large databases but in all of them the same problem arises: how rigorously the results of discovery answer the purpose? In the paper we discuss some sources of...
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This paper considers on-line training of feadforward neural networks. Training examples are only available sampled randomly from a given generator. What emerges in this setting is the problem of step-sizes, or learnin...
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This paper describes implementation of the Dynamic Matrix control (DMC) algorithm using a microcontroller with the ARM Cortex R5 core. Two versions of the DMC algorithm are considered: the classical one and the simpli...
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The objective of this paper is to describe an implementation of a Dynamic Matrix control (DMC) algorithm for a Field Programmable Gate Array (FPGA). The DMC algorithm is implemented in a universal version for multiple...
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The problem under consideration is to determine an activation policy of discrete scanning sensors for identification of unknown parameters in distributed systems in the situation when some resource related constraints...
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The portfolio optimisation problem is modelled as a mean-risk bicriteria optimisation problem where the expected return is maximised and some (scalar) risk measure is minimised. In the original Markowitz model the ris...
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ISBN:
(纸本)9788847014800
The portfolio optimisation problem is modelled as a mean-risk bicriteria optimisation problem where the expected return is maximised and some (scalar) risk measure is minimised. In the original Markowitz model the risk is measured by the variance while several polyhedral risk measures have been introduced leading to Linear Programming (LP) computable portfolio optimisation models in the case of discrete random variables represented by their realisations under specified scenarios. Recently, the second order quantile risk measures have been introduced and become popular in finance and banking. The simplest such measure, now commonly called the Conditional Value at Risk (CVaR) or Tail VaR, represents the mean shortfall at a specified confidence level. The corresponding portfolio optimisation models can be solved with general purpose LP solvers. However, in the case of more advanced simulation models employed for scenario generation one may get several thousands of scenarios. This may lead to the LP model with a huge number of variables and constraints, thus decreasing the computational efficiency of the model. We show that the computational efficiency can be then dramatically improved with an alternative model taking advantages of the LP duality. Moreover, similar reformulation can be applied to more complex quantile risk measures like Gini's mean difference as well as to the mean absolute deviation.
Fault-tolerant control for a wide spectrum of lumped processes is well established. Therefore, there is strong interest in developing designs that would produce similar flexibility for classes of distributed-parameter...
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A vital problem of energy management in a High Performance Computing (HPC) system comprised of remote clusters and data centers is investigated. The paper presents the results of research on energy-efficient managemen...
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