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Finding Weakly Correlated Nodes in Random Variable networks

Operations Research Forum 2024年第4期5卷 1-14页

作者： Koldanov, Petr Koldanov, Alexander Semenov, Dmitry Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova street Nizhny Novgorod 603093 Russian Federation

The issue of identifying sets of weakly correlated stocks is explored. Four distinct methods for constructing these sets are compared: the traditional approach using Pearson correlation, the traditional approach using Kendall correlation, and multiple hypothesis testing methods, which apply both Pearson and Kendall correlations. To derive specific findings, we analyze daily returns of a selection of stocks listed on the Frankfurt (FWB), London (LSE), and Paris (Euronext Paris) stock exchanges. Our results reveal a significant difference between the identified sets of weakly correlated stocks in Pearson and Kendall correlation networks. Notably, this difference is more substantial in the statistically significant sets of weakly correlated stocks derived from multiple hypothesis testing methods than in those obtained through traditional procedures. We recommend for the use of multiple hypothesis testing methods based on Kendall correlation for analyzing market data. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2024.

关键词： Family-wise error rate (FWER) Kendall correlation Multiple hypotheses testing procedure Pearson correlation Random variable network Statistical significance Stock returns Weakly correlated stocks

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Heuristic for site-dependent truck and trailer routing problem with soft and hard time windows and split deliveries 1st

Heuristic for site-dependent truck and trailer routing probl...

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1st International Workshop on Machine Learning, Optimization, and Big Data, MOD 2015

作者： Batsyn, Mikhail Ponomarenko, Alexander Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova street Niznhy Novgorod Russia

ISBN: (纸本)9783319279251

In this paper we develop an iterative insertion heuristic for a site-dependent truck and trailer routing problem with soft and hard time windows and split deliveries. In the considered problem a truck can leave its trailer for unloading or parking, make a truck-subtour to serve truck-customers, and return back to take the trailer. This can be done several times in one route. In our heuristic every route is constructed by sequentially inserting customers to it in the way similar to Solomon’s (1987) approach developed for simple vehicle routes. Our contributions include: heuristic insertion procedure for complex truck and trailer routes with transshipment locations;efficient randomized mechanisms for choosing the first customer for insertion, for making time window violations, and for making split-deliveries;an improvement procedure shifting deliveries in a route to earlier time;an efficient approach dealing with site-dependency feature based on the transportation problem in case of arbitrary intersecting vehicle sets and a fast vehicle assignment procedure in case of nested vehicle sets. © Springer International Publishing Switzerland 2015.

关键词： Light trailers

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Step down and step up statistical procedures for stock selection with Sharp ratio 1st

Step down and step up statistical procedures for stock selec...

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1st International Workshop on Machine Learning, Optimization, and Big Data, MOD 2015

作者： Koldanov, A.P. Kalyagin, V.A. Pardalos, P.M. Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics Rodionova 136 Nizhny Novgorod603155 Russia

ISBN: (纸本)9783319279251

Stock selection by Sharp ratio is considered in the framework of multiple statistical hypotheses testing theory. The main attention is paid to comparison of Holm step down and Hochberg step up procedures for different loss functions. Comparison is made on the basis of conditional risk as a function of selection threshold. This approach allows to discover that properties of procedures depend not only on relationship between test statistics, but also depend on dispersion of Sharp ratios. Difference in error rate between two procedures is increasing when the concentration of Sharp ratios is increasing. When Sharp ratios do not have a concentration points there is no significant difference in quality of both procedures. © Springer International Publishing Switzerland 2015.

关键词： Statistical tests

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Tabu search for fleet size and mix vehicle routing problem with hard and soft time windows 7th

Tabu search for fleet size and mix vehicle routing problem w...

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7th International Conference on network analysis, NET 2017

作者： Batsyn, Mikhail Bychkov, Ilya Komosko, Larisa Nikolaev, Alexey Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova Nizhny Novgorod603093 Russia

ISBN: (纸本)9783319962467

The paper presents a tabu search heuristic for the Fleet Size and Mix Vehicle Routing Problem (FSMVRP) with hard and soft time windows. The objective function minimizes the sum of travel costs, fixed vehicle costs, and penalties for soft time window violations. The algorithm is based on the tabu search with several neighborhoods. The main contribution of the paper is the efficient algorithm for a real-life vehicle routing problem. To the best of our knowledge, there are no papers devoted to the FSMVRP problem with soft time windows, while in real-life problems, this is a usual case. We investigate the performance of the proposed heuristic on the classical Solomon instances with additional constraints. We also compare our approach without soft time windows and heterogeneous fleet of vehicles with the recently published results on the VRP problem with hard time windows. © Springer International Publishing AG, part of Springer Nature 2018.

关键词： Vehicle routing

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A hybrid approach for the capacitated vehicle routing problem with time windows

A hybrid approach for the capacitated vehicle routing proble...

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2018 School-Seminar on Optimization Problems and their Applications, OPTA-SCL 2018

作者： Bychkov, Ilya Batsyn, Mikhail Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova Nizhniy Novgorod603093 Russia

The Vehicle Routing Problem (VRP) is one of the most popular combinatorial optimization problems which is closely related to the real-life optimization challenges. Being developed for more than 60 years the problem has been considered in many different formulations. In real-life goods distribution such constraints as fleet size and mix, site-dependency constraints, hard and soft time windows, vehicle capacity constraints are very important. In this paper we consider Capacitated Vehicle Routing Problem with hard Time Windows. We propose a hybrid heuristic algorithm which contains elements of ant colony optimization strategy and tabu search technique. Our algorithm shows good performance and results for the well-known Solomon dataset. Copyright © by the paper's authors.

关键词： Ant colony optimization

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Fast Heuristic for Vehicle Routing Problem on Trees 19th

Fast Heuristic for Vehicle Routing Problem on Trees

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19th International Conference on Mathematical Optimization Theory and Operations Research,MOTOR 2020

作者： Utkina, Irina Bukanova, Olga Batsyn, Mikhail V. Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova Street Niznhy Novgorod Russia

ISBN: (纸本)9783030586560

In this paper we propose an efficient heuristic for the Vehicle Routing Problem on Trees (TVRP). An initial solution is constructed with a greedy algorithm based on the Depth-First Search (DFS) approach. To optimize initial solutions obtained by our DFS heuristic, Ruin-and-Recreate (RR) method is then applied. For diversification purposes a randomization mechanism is added to the construction of initial solutions and DFS+RR algorithm is executed multiple times until the best found solution stops changing. The results of our approach are compared with the solutions obtained by the exact model of Chandran & Raghavan (2008). The computational experiments show that the suggested heuristic is fast and finds solutions which differ from optimal ones less than by 1% in average. © 2020, Springer Nature Switzerland AG.

关键词： Heuristic methods

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Using modular decomposition technique to solve the maximum clique problem 7th

Using modular decomposition technique to solve the maximum c...

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7th International Conference on network analysis, NET 2017

作者： Utkina, Irina Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova Str. Nizhny Novgorod Russia

ISBN: (纸本)9783319962467

In this article, we use the modular decomposition technique to solve the weighted maximum clique problem exactly. Proposed algorithm takes the modular decomposition tree, constructed in linear time, and finds maximum weighted clique via recursive tree search (DFS).Wewant to showthat modular decomposition reduces calculation time. However, not all graphs have modules, so in the article there are algorithms to construct them. The results showcomparison of proposed solutionwith Ostergard’s algorithm on DIMACS benchmarks and on generated graphs. © Springer International Publishing AG, part of Springer Nature 2018.

关键词： Trees (mathematics)

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Comparison of statistical procedures for Gaussian graphical model selection 7th

Comparison of statistical procedures for Gaussian graphical ...

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7th International Conference on network analysis, NET 2017

作者： Grechikhin, Ivan S. Kalyagin, Valery A. Laboratory of Algorithms and Technologies for Network Analysis National Research University Higher School of Economics 136 Rodionova St Nizhny Novgorod603093 Russia

ISBN: (纸本)9783319962467

Graphical models are used in a variety of problems to uncover hidden structures. There is an important number of different identification procedures to recover graphical model from observations. In this paper, undirected Gaussian graphical models are considered. Some Gaussian graphical model identification statistical procedures are compared using different measures, such as Type I and Type II errors, ROC AUC. © Springer International Publishing AG, part of Springer Nature 2018.

关键词： Gaussian distribution

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Robustness of Graphical Lasso Optimization Algorithm for Learning a Graphical Model 23rd

Robustness of Graphical Lasso Optimization Algorithm for L...

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23rd International Conference on Mathematical Optimization Theory and Operations Research, MOTOR 2024

作者： Kalyagin, Valeriy Kostylev, Ilya HSE University Laboratory of Algorithms and Technologies for Network Analysis Nizhny Novgorod Russia Steklov Mathematical Institute Russian Academy of Sciences Moscow Russia

ISBN: (纸本)9783031627910

Problem of learning a graphical model (graphical model selection problem) consists of recovering a conditional dependence structure (concentration graph) from data given as a sample of observations from a random vector. Various algorithms to solve this problem are known. One class of algorithms is related with convex optimization problem with additional lasso regularization term. Such algorithms are called graphical lasso algorithms. Various properties and practical efficiency of graphical lasso algorithms were investigated in the literature. In the present paper we study sensitivity of uncertainty (level of error) of graphical lasso algorithms to the change of distribution of the random vector. This issue is not well studied yet. First, we show that uncertainty of the classical version of graphical lasso algorithm is very sensitive to the change of distribution. Next, we suggest simple modifications of this algorithm which are much more robust in the large class of distributions. Finally, we discuss a future development of the proposed approach. © The Author(s), under exclusive license to Springer Nature Switzerland AG 2024.

关键词： Graphic methods

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Iterative local search heuristic for truck and trailer routing problem 1

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6th International Conference on network analysis, NET 2016

作者： Grechikhin, Ivan S. National Research University Higher School of Economics Laboratory of Algorithms and Technologies for Network Analysis 136 Rodionova St Nizhny Novgorod603093 Russia

ISBN: (数字)9783319568294

ISBN: (纸本)9783319568287

Vehicle Routing Problem is a well-known problem in logistics and transportation. There is a big variety of VRP problems in the literature, as they arise in many real-life situations. It is a NP-hard combinatorial optimization problem and finding an exact optimal solution is practically impossible in real-life formulations. There is an important subclass of VRP, which is called Truck and Trailer Routing Problem. For this class of problems, every vehicle contains truck and, possibly, trailer parts. In this work, Site-Dependent Truck and Trailer Routing Problem with Hard and Soft TimeWindows and Split Deliveries are *** develop an Iterative Local Search heuristic for solving this problem. The heuristic is based on the local search approach and also allows infeasible solutions. A greedy heuristic is applied to construct an initial solution. © Springer International Publishing AG 2017.

关键词： Light trailers

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