A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Enhanced earth grid performance by improved conductor properties

Encroaching built environment with increased fault current levels is demanding a robust design approach and prolonged improved performance of the earth grid. With this in mind, the aim of the project was to perform a sensitivity analysis of the earth grid and an earthing performance evaluation with graphene coated conductors. Subsequent to these, a conceptual design to continuously monitor the performance of the earth grid was developed. In this study, earth grid design standards were compared to evaluate their appropriate use in determining the safety condition. A process to grow a thin film of graphene on the surface of cylindrical copper rods was developed to evaluate earthing performance in terms of conductivity and corrosion susceptibility.

MnOx/carbon nanotube/reduced graphene oxide nanohybrids as high-performance supercapacitor electrodes

Nanohybrids consisting of both carbon and pseudocapacitive metal oxides are promising as high-performance electrodes to meet the key energy and power requirements of supercapacitors. However, the development of high-performance nanohybrids with controllable size, density, composition and morphology remains a formidable challenge. Here, we present a simple and robust approach to integrating manganese oxide (MnOx) nanoparticles onto flexible graphite paper using an ultrathin carbon nanotube/reduced graphene oxide (CNT/RGO) supporting layer. Supercapacitor electrodes employing the MnOx/CNT/RGO nanohybrids without any conductive additives or binders yield a specific capacitance of 1070 F g−1 at 10 mV s−1, which is among the highest values reported for a range of hybrid structures and is close to the theoretical capacity of MnOx. Moreover, atmospheric-pressure plasmas are used to functionalize the CNT/RGO supporting layer to improve the adhesion of MnOx nanoparticles, which results in theimproved cycling stability of the nanohybrid electrodes. These results provide information for the utilization of nanohybrids and plasma-related effects to synergistically enhance the performance of supercapacitors and may create new opportunities in areas such as catalysts, photosynthesis and electrochemical sensors

Study of robust H(infinity) filtering application in loosely coupled INS/GPS system

Since a celebrate linear minimum mean square (MMS) Kalman filter in integration GPS/INS system cannot guarantee the robustness performance, a H(infinity) filtering with respect to polytopic uncertainty is designed. The purpose of this paper is to give an illustration of this application and a contrast with traditional Kalman filter. A game theory H(infinity) filter is first reviewed; next we utilize linear matrix inequalities (LMI) approach to design the robust H(infinity) filter. For the special INS/GPS model, unstable model case is considered. We give an explanation for Kalman filter divergence under uncertain dynamic system and simultaneously investigate the relationship between H(infinity) filter and Kalman filter. A loosely coupled INS/GPS simulation system is given here to verify this application. Result shows that the robust H(infinity) filter has a better performance when system suffers uncertainty; also it is more robust compared to the conventional Kalman filter.

Robust face clustering for real-world data

This thesis has investigated how to cluster a large number of faces within a multi-media corpus in the presence of large session variation. Quality metrics are used to select the best faces to represent a sequence of faces; and session variation modelling improves clustering performance in the presence of wide variations across videos. Findings from this thesis contribute to improving the performance of both face verification systems and the fully automated clustering of faces from a large video corpus.

Robust automatic face clustering in news video

Clustering identities in a video is a useful task to aid in video search, annotation and retrieval, and cast identification. However, reliably clustering faces across multiple videos is challenging task due to variations in the appearance of the faces, as videos are captured in an uncontrolled environment. A person's appearance may vary due to session variations including: lighting and background changes, occlusions, changes in expression and make up. In this paper we propose the novel Local Total Variability Modelling (Local TVM) approach to cluster faces across a news video corpus; and incorporate this into a novel two stage video clustering system. We first cluster faces within a single video using colour, spatial and temporal cues; after which we use face track modelling and hierarchical agglomerative clustering to cluster faces across the entire corpus. We compare different face recognition approaches within this framework. Experiments on a news video database show that the Local TVM technique is able effectively model the session variation observed in the data, resulting in improved clustering performance, with much greater computational efficiency than other methods.