Sequential Machine learning Approaches for Portfolio Management

Cette thèse envisage un ensemble de méthodes permettant aux algorithmes d'apprentissage statistique de mieux traiter la nature séquentielle des problèmes de gestion de portefeuilles financiers. Nous débutons par une considération du problème général de la composition d'algorithmes d'apprentissage devant gérer des tâches séquentielles, en particulier celui de la mise-à-jour efficace des ensembles d'apprentissage dans un cadre de validation séquentielle. Nous énumérons les desiderata que des primitives de composition doivent satisfaire, et faisons ressortir la difficulté de les atteindre de façon rigoureuse et efficace. Nous poursuivons en présentant un ensemble d'algorithmes qui atteignent ces objectifs et présentons une étude de cas d'un système complexe de prise de décision financière utilisant ces techniques. Nous décrivons ensuite une méthode générale permettant de transformer un problème de décision séquentielle non-Markovien en un problème d'apprentissage supervisé en employant un algorithme de recherche basé sur les K meilleurs chemins. Nous traitons d'une application en gestion de portefeuille où nous entraînons un algorithme d'apprentissage à optimiser directement un ratio de Sharpe (ou autre critère non-additif incorporant une aversion au risque). Nous illustrons l'approche par une étude expérimentale approfondie, proposant une architecture de réseaux de neurones spécialisée à la gestion de portefeuille et la comparant à plusieurs alternatives. Finalement, nous introduisons une représentation fonctionnelle de séries chronologiques permettant à des prévisions d'être effectuées sur un horizon variable, tout en utilisant un ensemble informationnel révélé de manière progressive. L'approche est basée sur l'utilisation des processus Gaussiens, lesquels fournissent une matrice de covariance complète entre tous les points pour lesquels une prévision est demandée. Cette information est utilisée à bon escient par un algorithme qui transige activement des écarts de cours (price spreads) entre des contrats à terme sur commodités. L'approche proposée produit, hors échantillon, un rendement ajusté pour le risque significatif, après frais de transactions, sur un portefeuille de 30 actifs.

Corrector d’autòmats per la plataforma ACME : mòdul pertanyent al Projecte ACME

Fa uns anys un grup de professors del departament d’Informàtica i Matemàtica Aplicada de la Universitat de Girona va decidir endinsar-se al món de l’ensenyament a través d’Internet (e-learning). D’aquí va néixer el projecte ACME (Avaluació Continuada i Millora de l’Ensenyament). Inicialment l’ACME anava dirigit a reduir l’elevat fracàs dels alumnes a les assignatures de matemàtiques. El resultat va ser tan bo que es va ampliar a altrescamps d’estudi com la química o la informàtica, amb tot i això encara hi ha moltes matèries a les quals no dóna suport. Aquest Projecte Final de Carrera neix per donar suport a un nou tipus de problemes dins de la plataforma ACME, els autòmats finits. Aquest nou mòdul inclourà les eines necessàries per poder generar diferents tipus de problemes sobre autòmats finits i la seva posterior correcció, donant suport a les assignatures de LGA (Llenguatges, Gramàtiques i Autòmats) i TALLF (Teoria d’Autòmats i Llenguatges Formals)

Corrector d’autòmats per la plataforma ACME : mòdul pertanyent al Projecte ACME

Fa uns anys un grup de professors del departament d’Informàtica i Matemàtica Aplicada de la Universitat de Girona va decidir endinsar-se al món de l’ensenyament a través d’Internet (e-learning). D’aquí va néixer el projecte ACME (Avaluació Continuada i Millora de l’Ensenyament). Inicialment l’ACME anava dirigit a reduir l’elevat fracàs dels alumnes a les assignatures de matemàtiques. El resultat va ser tan bo que es va ampliar a altres camps d’estudi com la química o la informàtica, amb tot i això encara hi ha moltes matèries a les quals no dóna suport. Aquest Projecte Final de Carrera neix per donar suport a un nou tipus de problemes dins de la plataforma ACME, els autòmats finits. Aquest nou mòdul inclourà les eines necessàries per poder generar diferents tipus de problemes sobre autòmats finits i la seva posterior correcció, donant suport a les assignatures de LGA (Llenguatges, Gramàtiques i Autòmats) i TALLF (Teoria d’Autòmats i Llenguatges Formals)

Partially ordered classes of finite automata /

Vita.

The automorphism group of a strongly connected automaton and its quotient automata /

"February 14, 1966."

On the structure and automorphisms of finite automata /

Issued also as thesis, University of Illinois.

Generalized decomposition of incomplete finite automata /

Vita.

A four function calculator /

"Report No. UIUCDCS-R-75-692"

A linear algorithm for testing equivalence of finite automata /

"AD735159."

Machine intelligence and robotics : report of the NASA Study Group : final report.

Mode of access: Internet.

Teoria para o trabalho de expansão aplicada às brisas do nordeste Brasileiro

Neste artigo investiga-se numericamente a interação entre brisas marítima-terrestre e de vale-montanha, que ocorrem no nordeste brasileiro devido à presença do Planalto da Borborema, aplicando o trabalho de expansão associado ao ramo inferior das circulações. Resultados da teoria da máquina térmica são comparados aos resultados 3D, obtidos com a versão brasileira do modelo RAMS. Os resultados indicaram que o efeito do contraste de temperatura no trabalho ligado às circulações (Wa), isoladamente, contribui para a formação de brisas marítimas mais intensas e de brisas terrestres menos intensas. Na realidade, o que se observa são brisas terrestres com intensidades iguais ou até maiores que das brisas marítimas. Assim, a contribuição da montanha para a intensidade das circulações de brisa no período noturno mostra-se extremamente não-linear. O trabalho de expansão que realmente está ligado às circulações, contribui em apenas 7% para o trabalho total. Dessa forma, a maior parte do trabalho total está associada ao trabalho de compressão que a atmosfera realiza para compensar a perda por resfriamento radiativo, e muito da energia disponibilizada para as circulações é gasta para vencer os processos dissipativos.

Integrating structural and input design of a 2-DOF high-speed parallel manipulator: A flexible model-based approach

This paper discusses the integrated design of parallel manipulators, which exhibit varying dynamics. This characteristic affects the machine stability and performance. The design methodology consists of four main steps: (i) the system modeling using flexible multibody technique, (ii) the synthesis of reduced-order models suitable for control design, (iii) the systematic flexible model-based input signal design, and (iv) the evaluation of some possible machine designs. The novelty in this methodology is to take structural flexibilities into consideration during the input signal design; therefore, enhancing the standard design process which mainly considers rigid bodies dynamics. The potential of the proposed strategy is exploited for the design evaluation of a two degree-of-freedom high-speed parallel manipulator. The results are experimentally validated. (C) 2010 Elsevier Ltd. All rights reserved.

Ball Bearing Model Performance on Various Sized Rotors with and without Centrifugal and Gyroscopic Forces

Bearing performance signi cantly a ects the dynamic behaviors and estimated working life of a rotating system. A common bearing type is the ball bearing, which has been under investigation in numerous published studies. The complexity of the ball bearing models described in the literature varies. Naturally, model complexity is related to computational burden. In particular, the inclusion of centrifugal forces and gyroscopic moments signi cantly increases the system degrees of freedom and lengthens solution time. On the other hand, for low or moderate rotating speeds, these e ects can be neglected without signi cant loss of accuracy. The objective of this paper is to present guidelines for the appropriate selection of a suitable bearing model for three case studies. To this end, two ball bearing models were implemented. One considers high-speed forces, and the other neglects them. Both models were used to study a three structures, and the simulation results were.

An O(N) Algorithm for Three-Dimensional N-Body Simulations

We develop an algorithm that computes the gravitational potentials and forces on N point-masses interacting in three-dimensional space. The algorithm, based on analytical techniques developed by Rokhlin and Greengard, runs in order N time. In contrast to other fast N-body methods such as tree codes, which only approximate the interaction potentials and forces, this method is exact ?? computes the potentials and forces to within any prespecified tolerance up to machine precision. We present an implementation of the algorithm for a sequential machine. We numerically verify the algorithm, and compare its speed with that of an O(N2) direct force computation. We also describe a parallel version of the algorithm that runs on the Connection Machine in order 0(logN) time. We compare experimental results with those of the sequential implementation and discuss how to minimize communication overhead on the parallel machine.

Instrumentação eletrônica para experimentação do modelo Bouncer Ball dissipativo

In our experiments, we studied the classical dynamic of a particle in vertical motion subject to a constant gravitational field and the partial shock with an elastic wall with oscillatory motion located below the particle. The motion of the particle was confined to the vertical direction by a glass guide tube, which was initially evacuated, allowing viscous drag forces to be disregarded. The time between impacts, as well as the time between the reference phase of the movement of the base and the moment of impact and the period of oscillation of the base will be acquired by a hardware and software to obtain the phases space to be compared later with the description of the system through mapping discrete variables via the 'particle velocity immediately after shock 'and' phase of the movement of the base at the instant of shock 'obtained by computer simulation. This requires developing an electronic analog system followed by Digital implemented in reconfigurable logic, more specifically a sequential machine able to discriminate the impact with the metal base from the impacts of the glass guide tube, based on the frequency spectrum of the response of the microphone to these different impacts