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 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.
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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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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This paper is concerned with a computationally efficient Model Predictive control (MPC) algorithm for control and set-point computation. The underlying idea consists in integrating the economic optimisation task and m...
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The work discusses nonmonotonicity in terms of trust management systems and presents model allowing for credential revocation in the Role-based Trust-management Framework. A freshness constraints have been adopted int...
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The problem of determining optimal observation strategies for identification of unknown parameters in distributed systems is discussed. Particularly, a setting where the measurement process is performed by collecting ...
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The ordered weighted averaging (OWA) operator uses the weights assigned to the ordered values of the attributes. This allows one to model various aggregation preferences characterized by the so-called orness measure. ...
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One of the approaches for documenting software architecture is to treat it as a set of architectural design decisions. Such decisions are always made in the context of requirements that must be fulfilled and in the co...
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