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Development of a computer risk-return model for the formation of a real estate investment portfolio

AIP Conference Proceedings 2023年第1期2948卷

作者： O. Basharina S. Begicheva E. Butsenko Ural State University of Economics Yekaterinburg Russia Matrosov Institute for System Dynamics and Control Theory of SB RAS Irkutsk Russia

The article demonstrates the application of the Return-Risk model to develop a synthesized investment strategy. The following parameters of the model are determined as the main sought-for parameters: the size of the time interval, the frequency of portfolio structure revision and the optimal length of the training set. On the example of indices of real estate investment trusts, computational experiments were carried out. Most databases on prices and dividends of financial instruments are updated monthly, so 1 month is chosen as the time interval. The sliding verification method was used to calculate the optimal frequency of revising the portfolio structure in terms of profitability – twice a year. With this frequency, the average portfolio returns increased by 1.5 times. More frequent restructuring reduces the profitability and stability of the portfolio. The search for the optimal length of the training sample was made by the method of coordinate descent and amounted to 5 years. The average monthly expected return on one instrument with this parameter was 0.4%. The evaluation of the resulting synthesized portfolio showed its superiority in terms of profitability over the S&P 500 stock index by almost 2 times.

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Microservice approach to the qualitative study of attractors of binary dynamic systems based on the Boolean constraint method

Microservice approach to the qualitative study of attractors...

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Proceedings of the International Convention MIPRO

作者： G.A. Oparin V.G. Bogdanova A.A Pashinin Matrosov Institute for System Dynamics and Control Theory of SB RAS Irkutsk Russia

ISBN: (数字)9789532330991

ISBN: (纸本)9781728153391

In recent years, due to the active development of distributed computing technologies, the automation of computations based on these technologies became very important for solving the problems of qualitative research of binary dynamic systems, which are widely used as mathematical models in cryptography, bioinformatics, the study of fault tolerance of computer networks, and some other domains. In this regard, the issues are actualized of developing tools and providing infrastructures for the microservice-based implementation of scientific applications, which are characterized by the dynamism of resource requirements and oriented to use in a hybrid cloud environment. We offer microservice-oriented tools for the automation of solving computationally complex problems of a qualitative study of attractors of binary dynamic systems in a hybrid computing environment. This study is based on the Boolean constraint method and allows the finding of evolutionary parameters of system states (such as, for example, radius, period, and branching) without modeling system dynamics. These tools provide the agents implemented as web-services for the integration of resources of on-premises computers with cloud resources using Dew computing. An example of the application of the developed tools is given.

关键词： Automation system dynamics Computational modeling Tools Software Synchronization Dynamical systems

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Angular coefficients of the Drell-Yan process across different rapidity and kinematical ranges

arXiv

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arXiv 2025年

作者： Lyubovitskij, Valery E. Zhevlakov, Alexey S. Anikin, Iurii A. Institut für Theoretische Physik Universität Tübingen Auf der Morgenstelle 14 TübingenD-72076 Germany of ANID Fernández Concha 700 Santiago Chile Bogoliubov Laboratory of Theoretical Physics Joint Institute for Nuclear Research Dubna141980 Russia Matrosov Institute for System Dynamics and Control Theory SB RAS Lermontov str. 134 Irkutsk664033 Russia Department of Physics Tomsk State University Tomsk634050 Russia

We present comprehensive analysis of the angular structure of the Drell-Yan process at different rapidity and kinematical ranges using data of the ATLAS, LHCb, and CMS Collaborations at CERN LHC. From theory side we discuss next-to-leading order calculations in the framework of the collinear perturbative QCD and geometrical method. © 2025, CC BY.

关键词： Angular distribution

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Applied digital platform for remote sensing data processing 3

Applied digital platform for remote sensing data processing

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3rd Scientific-Practical Workshop Information Technologies: Algorithms, Models, systems, ITAMS 2020

作者： Avramenko, Yuriy V. Fedorov, Roman K. Matrosov Institute for System Dynamics and Control Theory Siberian Branch of Russian Academy of Sciences Irkutsk664033 Russia

New methods and techniques developed small research teams for processing remote sensing that are rarely available to other teams. For the exchange of new methods among users, it is necessary to develop an applied digital platform that will allow publishing new methods, applying and comparing the results obtained to choose the best one in solving their problems. This article presents an applied digital platform being developed at the IDSCT sb ras, which allows the user to quickly receive and process remote sensing data for the region of interest. The goals and requirements of creating an applied digital platform are considered, a general architecture, individual components and examples of its application are considered. © 2020 for this paper by its authors. Use permitted under Creative Commons License Attribution 4.0 International (CC BY 4.0).

关键词： Landsat

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Zero-Order Stochastic Conditional Gradient Sliding Method for Non-smooth Convex Optimization

arXiv

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arXiv 2023年

作者： Lobanov, Aleksandr Anikin, Anton Gasnikov, Alexander Gornov, Alexander Chukanov, Sergey Moscow Institute of Physics and Technology Dolgoprudny Russia ISP RAS Research Center for Trusted Artificial Intelligence Moscow Russia Moscow Aviation Institute Moscow Russia Matrosov Institute for System Dynamics and Control Theory Irkutsk Russia Institute for Information Transmission Problems RAS Moscow Russia Caucasus Mathematical Center Adyghe State University Maikop Russia Federal Research Center"Computer Science and Control" RAS Moscow Russia

The conditional gradient idea proposed by Marguerite Frank and Philip Wolfe in 1956 was so well received by the community that new algorithms (also called Frank-Wolfe type algorithms) are still being actively created. In this paper, we study a non-smooth stochastic convex optimization problem with constraints. Using a smoothing technique and based on an accelerated batched first-order Stochastic Conditional Gradient Sliding method, we propose a novel gradient-free Frank-Wolfe type algorithm called Zero-Order Stochastic Conditional Gradient Sliding (ZO-SCGS). This algorithm is robust not only for the class of non-smooth problems, but surprisingly also for the class of smooth black box problems, outperforming the SOTA algorithms in the smooth case in term oracle calls. In practical experiments we confirm our theoretical results. Copyright © 2023, The Authors. All rights reserved.

关键词： Stochastic systems

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The space-time representation for optimal impulsive control problems with hysteresis 9th

The space-time representation for optimal impulsive control ...

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9th International Conference on Optimization and Applications, OPTIMA 2018

作者： Samsonyuk, Olga N. Matrosov Institute for System Dynamics and Control Theory SB RAS Irkutsk Russia

ISBN: (纸本)9783030109332

An optimal control problem for a sweeping process driven by impulsive controls is considered. The control system we study is described by both a measure-driven differential equation and a differential inclusion. This system is the impulsive-trajectory relaxation of an ordinary control system with nonlinearity of hysteresis type, in which the hysteresis is modeled by the play operator and considered as a particular case of a nonconvex sweeping process. The concept of a sweeping process for the so-called graph completions of functions of bounded variation, defining the corresponding moving set, is developed. The space-time representation based on the singular space-time transformation and a method to obtain optimality conditions for impulsive processes are proposed. By way of motivation, an example from mathematical economics is considered. © Springer Nature Switzerland AG 2019.

关键词： Differential equations

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HPC-based parallel software for solving applied Boolean satisfiability problems

HPC-based parallel software for solving applied Boolean sati...

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Proceedings of the International Convention MIPRO

作者： V.G. Bogdanova S.A. Gorsky A.A. Pashinin Matrosov Institute for System Dynamics and Control Theory of SB RAS Irkutsk Russia

ISBN: (数字)9789532330991

ISBN: (纸本)9781728153391

Boolean satisfiability is one of the fundamental problems in mathematical logic and the theory of computation. Many practical problems can be formulated as problems of Boolean satisfiability (solving a system of Boolean equations). These include the tasks of cryptography, qualitative research of binary dynamic systems, logical programming, robot action planning, and many others. NP-complexity of the Boolean satisfiability problem actualizes the development of parallel software for solving it in a high-performance computing environment. We focus on the development of specialized parallel solvers for Boolean satisfiability problems oriented to the application in the qualitative study of binary dynamic systems based on the Boolean constraint method. The Boolean constraint method uses a formal definition of the dynamical property, presented in the language of predicate logic with limited existential and universal quantifiers. Based on this definition, a model of dynamical property is formed in the form of Boolean constraints by a series of sequential formal transformations. The developed parallel solvers provide a conclusion on the feasibility of Boolean constraints, interpret this conclusion accordingly the tested property, and find, unlike similar software tools, all sets of values of Boolean variables that lead to this conclusion. An example of applying the developed solver to constructing cycles of a given length of stream ciphers based on shift registers is considered. The results confirming the effectiveness and scalability of the developed software are presented.

关键词： Scalability Tools Shift registers Dynamical systems Software tools Task analysis Robots

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Using Decision Diagrams of Special Kind for Compactification of Conflict Data Bases Generated by CDCL SAT Solvers

Using Decision Diagrams of Special Kind for Compactification...

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Proceedings of the International Convention MIPRO

作者： Victor Kondratiev Ilya Otpuschennikov Alexander Semenov Matrosov Institute for System Dynamics and Control Theory SB RAS Irkutsk Russia

ISBN: (数字)9789532330991

ISBN: (纸本)9781728153391

In the paper we propose new algorithms for constructing compact representations of databases of conflict clauses accumulated by state-of-the-art CDCL SAT solvers. These algorithms use the Decision Diagrams of a special kind (the so-called Disjunctive Diagrams). We consider several families of hard SAT instances and use them to compare the implementations of the proposed algorithms and the well-known CUDD package that uses Zero-Suppressed Binary Decision Diagrams (ZBDD) for solving similar problems. The computational experiments clearly show that our algorithm that uses Disjunctive Diagrams has better effectiveness compared to CUDD.

关键词： Databases Binary decision diagrams

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Constructing a Set of Weak Values for Full-round MD4 Hash Function

Constructing a Set of Weak Values for Full-round MD4 Hash Fu...

引用

Proceedings of the International Convention MIPRO

作者： Irina Gribanova Alexander Semenov Matrosov Institute for System Dynamics and Control Theory SB RAS Irkutsk Russia

ISBN: (数字)9789532330991

ISBN: (纸本)9781728153391

In this paper we describe the construction of a set of full-round MD4 compression function values, which are weak against the preimage attack of a special kind. The cardinality estimation for this set, obtained by using an effective probabilistic algorithm, is close to 2 32 . According to this, the fraction of weak outputs in the set of all outputs of the MD4 compression function is about $2^{-96}$. Thus, the probability to obtain an easyinvertible output by choosing a random input is significantly higher than $2^{-128}$. These results demonstrate that the full-round MD4 compression function does not have the properties of a random oracle.

关键词： Hash functions Estimation Probabilistic logic

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Ontology Engineering at the Assertion Level Based on Semantic Annotation of Tabular Data

Ontology Engineering at the Assertion Level Based on Semanti...

引用

Ivannikov Memorial Workshop (IVMEM)

作者： Nikita O. Dorodnykh Aleksandr Yu. Yurin Alexey O. Shigarov Denis Yu. Turdakov Matrosov Institute for System Dynamics and Control Theory (ISDCT) Irkutsk Russia Ivannikov Institute for System Programming of the Russian Academy of Sciences (ISP RAS) Moscow Russia

ISBN: (纸本)9781665423281

Web tables are an important source of knowledge and can be used for ontology engineering. In this paper, we propose the approach for the semi-automated formation of domain ontologies at the assertion level (ABox) based on web tables. The proposed approach consists of 6 steps and is based on the use of the semantic annotation of separate elements of web tables. With the use of the semantic annotation procedure, we extract specific entities (ontology instances) from table cells. Our approach is implemented in the form of a web-based tool. We present a description of the architecture of this tool, as well as its experimental evaluation in the case of domain ontology engineering for the TALISMAN framework. We have formed a special dataset for our experiment. The results obtained show the prospects of using our approach and tool to support ontology engineering based on the semantic annotation of web tables.

关键词： Annotations Knowledge acquisition Conferences Semantics Ontologies

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