Quadratic programming versus second order con programming in portfolio optimization

Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.

Implementação de um modelo de geometric semantic genetic programming para aplicação naval

Recaí sob a responsabilidade da Marinha Portuguesa a gestão da Zona Económica Exclusiva de Portugal, assegurando a sua segurança da mesma face a atividades criminosas. Para auxiliar a tarefa, é utilizado o sistema Oversee, utilizado para monitorizar a posição de todas as embarcações presentes na área afeta, permitindo a rápida intervenção da Marinha Portuguesa quando e onde necessário. No entanto, o sistema necessita de transmissões periódicas constantes originadas nas embarcações para operar corretamente – casos as transmissões sejam interrompidas, deliberada ou acidentalmente, o sistema deixa de conseguir localizar embarcações, dificultando a intervenção da Marinha. A fim de colmatar esta falha, é proposto adicionar ao sistema Oversee a capacidade de prever as posições futuras de uma embarcação com base no seu trajeto até à cessação das transmissões. Tendo em conta os grandes volumes de dados gerados pelo sistema (históricos de posições), a área de Inteligência Artificial apresenta uma possível solução para este problema. Atendendo às necessidades de resposta rápida do problema abordado, o algoritmo de Geometric Semantic Genetic Programming baseado em referências de Vanneschi et al. apresenta-se como uma possível solução, tendo já produzido bons resultados em problemas semelhantes. O presente trabalho de tese pretende integrar o algoritmo de Geometric Semantic Genetic Programming desenvolvido com o sistema Oversee, a fim de lhe conceder capacidades preditivas. Adicionalmente, será realizado um processo de análise de desempenho a fim de determinar qual a ideal parametrização do algoritmo. Pretende-se com esta tese fornecer à Marinha Portuguesa uma ferramenta capaz de auxiliar o controlo da Zona Económica Exclusiva Portuguesa, permitindo a correta intervenção da Marinha em casos onde o atual sistema não conseguiria determinar a correta posição da embarcação em questão.

Non emergency patients transport - a mixed integer linear programming

This work presents a model and a heuristic to solve the non-emergency patients transport (NEPT) service issues given the new rules recently established in Portugal. The model follows the same principle of the Team Orienteering Problem by selecting the patients to be included in the routes attending the maximum reduction in costs when compared with individual transportation. This model establishes the best sets of patients to be transported together. The model was implemented in AMPL and a compact formulation was solved using NEOS Server. A heuristic procedure based on iteratively solving problems with one vehicle was presented, and this heuristic provides good results in terms of accuracy and computation time.

Logic programming and artificial neural networks in breast cancer detection

About 90% of breast cancers do not cause or are capable of producing death if detected at an early stage and treated properly. Indeed, it is still not known a specific cause for the illness. It may be not only a beginning, but also a set of associations that will determine the onset of the disease. Undeniably, there are some factors that seem to be associated with the boosted risk of the malady. Pondering the present study, different breast cancer risk assessment models where considered. It is our intention to develop a hybrid decision support system under a formal framework based on Logic Programming for knowledge representation and reasoning, complemented with an approach to computing centered on Artificial Neural Networks, to evaluate the risk of developing breast cancer and the respective Degree-of-Confidence that one has on such a happening.

Towards the design and implementation of aspect-oriented programming for spreadsheets

A spreadsheet usually starts as a simple and singleuser software artifact, but, as frequent as in other software systems, quickly evolves into a complex system developed by many actors. Often, different users work on different aspects of the same spreadsheet: while a secretary may be only involved in adding plain data to the spreadsheet, an accountant may define new business rules, while an engineer may need to adapt the spreadsheet content so it can be used by other software systems.Unfortunately,spreadsheetsystemsdonotoffermodular mechanisms, and as a consequence, some of the previous tasks may be defined by adding intrusive “code” to the spreadsheet. In this paper we go through the design and implementation of an aspect-oriented language for spreadsheets so that users can work on different aspects of a spreadsheet in a modular way. For example, aspects can be defined in order to introduce new business rules to an existing spreadsheet, or to manipulate the spreadsheet data to be ported to another system. Aspects are defined as aspect-oriented program specifications that are dynamically woven into the underlying spreadsheet by an aspect weaver. In this aspect-oriented style of spreadsheet development, differentusers develop,orreuse,aspects withoutaddingintrusive code to the original spreadsheet. Such code is added/executed by the spreadsheet weaving mechanism proposed in this paper.

Metaphorisms in programming

This paper introduces the metaphorism pattern of relational specification and addresses how specification following this pattern can be refined into recursive programs. Metaphorisms express input-output relationships which preserve relevant information while at the same time some intended optimization takes place. Text processing, sorting, representation changers, etc., are examples of metaphorisms. The kind of metaphorism refinement proposed in this paper is a strategy known as change of virtual data structure. It gives sufficient conditions for such implementations to be calculated using relation algebra and illustrates the strategy with the derivation of quicksort as example.

Convex and toric geometry to analyze complex dynamics in chemical reaction systems

Convex cone, toric variety, graph theory, electrochemical catalysis, oxidation of formic acid, feedback-loopsbifurcations, enzymatic catalysis, Peroxidase reaction, Shil'nikov chaos

Adelic convex geometry of numbers

Magdeburg, Univ., Fak. für Mathematik, Diss., 2014

Contractions in the 2-wasserstein lenght space and thermalization of granular media

An algebraic decay rate is derived which bounds the time required for velocities to equilibrate in a spatially homogeneous flow-through model representing the continuum limit of a gas of particles interacting through slightly inelastic collisions. This rate is obtained by reformulating the dynamical problem as the gradient flow of a convex energy on an infinite-dimensional manifold. An abstract theory is developed for gradient flows in length spaces, which shows how degenerate convexity (or even non-convexity) | if uniformly controlled | will quantify contractivity (limit expansivity) of the flow.

Infinite index subgroups and finiteness properties of intersections of geometrically finite groups

We explore which types of finiteness properties are possible for intersections of geometrically finite groups of isometries in negatively curved symmetric rank one spaces. Our main tool is a twist construction which takes as input a geometrically finite group containing a normal subgroup of infinite index with given finiteness properties and infinite Abelian quotient, and produces a pair of geometrically finite groups whose intersection is isomorphic to the normal subgroup.

Infinite time aggregation for the critical Patlak-Keller-Segel model in R2

We analyze the two-dimensional parabolic-elliptic Patlak-Keller-Segel model in the whole Euclidean space R2. Under the hypotheses of integrable initial data with finite second moment and entropy, we first show local in time existence for any mass of "free-energy solutions", namely weak solutions with some free energy estimates. We also prove that the solution exists as long as the entropy is controlled from above. The main result of the paper is to show the global existence of free-energy solutions with initial data as before for the critical mass 8 Π/Χ. Actually, we prove that solutions blow-up as a delta dirac at the center of mass when t→∞ keeping constant their second moment at any time. Furthermore, all moments larger than 2 blow-up as t→∞ if initially bounded.

Permutations defining convex permutominoes

"Vegeu el resum a l'inici del document del fitxer adjunt."

Nondictatorial Arrovian Social Welfare Functions: An Integer Programming Approach

In the line opened by Kalai and Muller (1997), we explore new conditions on prefernce domains which make it possible to avoid Arrow's impossibility result. In our main theorem, we provide a complete characterization of the domains admitting nondictorial Arrovian social welfare functions with ties (i.e. including indifference in the range) by introducing a notion of strict decomposability. In the proof, we use integer programming tools, following an approach first applied to social choice theory by Sethuraman, Teo and Vohra ((2003), (2006)). In order to obtain a representation of Arrovian social welfare functions whose range can include indifference, we generalize Sethuraman et al.'s work and specify integer programs in which variables are allowed to assume values in the set {0, 1/2, 1}: indeed, we show that, there exists a one-to-one correspondence between solutions of an integer program defined on this set and the set of all Arrovian social welfare functions - without restrictions on the range.

Integer Programming on Domains Containing Inseparable Ordered Paris

Using the integer programming approach introduced by Sethuraman, Teo, and Vohra (2003), we extend the analysis of the preference domains containing an inseparable ordered pair, initiated by Kalai and Ritz (1978). We show that these domains admit not only Arrovian social welfare functions \without ties," but also Arrovian social welfare functions \with ties," since they satisfy the strictly decomposability condition introduced by Busetto, Codognato, and Tonin (2012). Moreover, we go further in the comparison between Kalai and Ritz (1978)'s inseparability and Arrow (1963)'s single-peak restrictions, showing that the former condition is more \respectable," in the sense of Muller and Satterthwaite (1985).

On a size-structured two-phase population model with infinite states-at-birth

In this work we introduce and analyze a linear size-structured population model with infinite states-at-birth. We model the dynamics of a population in which individuals have two distinct life-stages: an “active” phase when individuals grow, reproduce and die and a second “resting” phase when individuals only grow. Transition between these two phases depends on individuals’ size. First we show that the problem is governed by a positive quasicontractive semigroup on the biologically relevant state space. Then we investigate, in the framework of the spectral theory of linear operators, the asymptotic behavior of solutions of the model. We prove that the associated semigroup has, under biologically plausible assumptions, the property of asynchronous exponential growth.