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.

Correlation of thermodynamic properties of chloromethanes

A correlation for entropy and enthalpy based on the two-parameter law of corresponding states and the reference substance concept has been obtained. For 199 points tested, the over-all average absolute deviation and the maximum deviations in the calculated values of entropy with the available data are 0.74 and 7.20%. The corresponding deviations of enthalpy are 1.86 and 15.0%, respectively. A compressibility chart for chloromethanes has been made and shown to be superior to existing charts. For 102 points tested, the average absolute and maximum deviations in the compressibilities were 1.80 and 19.5%, respectively.

Fugacity coefficients. Enthalpy, and second virial coefficients of boron trifluoride

Fugacity coefficients and isothermal changes of enthalpy have been calculated and reported. The calculations cover a temperature range of 0° to 75°C. up to gas densities of 1.0 gram per cc. The generalized Benedict-Webb-Rubin constants evaluated from generalized PVT relations is found to predict the experimental data with an over-all absolute deviation of 3.1%. Second virial coefficients and potential energy parameters for Lennard-Jones (12-6) potential energy function are reported also.

Performance analysis of adaptive physical layer network coding for wireless two-way Relaying

The analysis of modulation schemes for the physical layer network-coded two way relaying scenario is presented which employs two phases: Multiple access (MA) phase and Broadcast (BC) phase. Depending on the signal set used at the end nodes, the minimum distance of the effective constellation seen at the relay becomes zero for a finite number of channel fade states referred as the singular fade states. The singular fade states fall into the following two classes: (i) the ones which are caused due to channel outage and whose harmful effect cannot be mitigated by adaptive network coding called the non-removable singular fade states and (ii) the ones which occur due to the choice of the signal set and whose harmful effects can be removed called the removable singular fade states. In this paper, we derive an upper bound on the average end-to-end Symbol Error Rate (SER), with and without adaptive network coding at the relay, for a Rician fading scenario. It is shown that without adaptive network coding, at high Signal to Noise Ratio (SNR), the contribution to the end-to-end SER comes from the following error events which fall as SNR-1: the error events associated with the removable and nonremovable singular fade states and the error event during the BC phase. In contrast, for the adaptive network coding scheme, the error events associated with the removable singular fade states fall as SNR-2, thereby providing a coding gain over the case when adaptive network coding is not used. Also, it is shown that for a Rician fading channel, the error during the MA phase dominates over the error during the BC phase. Hence, adaptive network coding, which improves the performance during the MA phase provides more gain in a Rician fading scenario than in a Rayleigh fading scenario. Furthermore, it is shown that for large Rician factors, among those removable singular fade states which have the same magnitude, those which have the least absolute value of the phase - ngle alone contribute dominantly to the end-to-end SER and it is sufficient to remove the effect of only such singular fade states.

The study of artificial propagation efficiency and fingerlings production of Coregonus lavaretus

In order to study of the artificial propagation efficiency in white fish (Coregonus lavaretus) and its fingerlings producing in IRAN, a 9 mounts study project was been done which during it, the characteristics of the matures and brood stocks fishes, the condition of their natural and artificial propagation, and the characteristics of produced frys, were been studied. Throughout the total 82 pieces caught fishes during September til February 2003, 10 pieces of them were the female brood stocks which during the catch time did not have spouse. The study of these fishes showed that there was no significant correlation between their weight and their length. The most and the least absolute fecundity of these brood stocks were 19120 and 11496 respectively. The artificial propagation was been done by 5 males and 4 females broods took which 57602 ova, with 89/2% fertilization rate, earned from them. The incubation period prolonged 55 days in 8°c. At the end of the incubation, 23913 larvae released. So the artificial propagation efficiency was calculated 41/51% in this study. Yolk sack absorption prolonged 4 days. 3 different food treatment were considered for fry breeding which contain of Brachiouns plicatilis as live food, salmon starter food as commercial food, and the mixed of equal amounts of live and commercial foods as third treatment. For each treatment, 3 repeat has been considered. Breeding duration prolonged 13 weeks throughout this period, different characteristics of fry were been studied weekly. The breeding results showed that there was very significant correlation between the weight and the length of frys. However the live food provided better results in growth and survival rate of frys during breeding initial 6 weeks. More ever, commercial food, in some characteristics, provided more acceptable results in comparing the live food after sixth week. The results of this study project showed that the artificial propagation in whitefish is possible in IRAN and the producing of its frys in order to restocking or introducing this species to the other Iranian suitable water resources is executable. Based on the earned information from this study, the suitable time for natural spawning of whitefish in IRAN (Amirkabir dam lake) determined between 10th January til 20th February.

潮波模型的优化开边界方法研究

数值模式是潮波研究的一种有利手段，但在研究中会面临各种具体问题，包括开边界条件的确定、底摩擦系数和耗散系数的选取等。数据同化是解决这些问题的一种途径，即利用有限数量的潮汐观测资料对潮波进行最优估计，其根本目的是迫使模型预报值逼近观测值，使模式不要偏离实际情况太远。本文采用了一种优化开边界方法，沿着数值模型的开边界优化潮汐水位信息，目的是设法使数值解在动力约束的意义下接近观测值，获得研究区域的潮汐结果。边界值由指定优化问题的解来定，以提高模拟区域的潮汐精度，最优问题的解是基于通过开边界的能量通量的变化，处理开边界处的观测值与计算值之差的最小化。这里提供了辐射型边界条件，由Reid 和Bodine（本文简称为RB）推导，我们将采用的优化后的RB方法（称为ORB）是优化开边界的特殊情况。 本文对理想矩形海域（ E- E， N- N， 分辨率 ）进行了潮波模拟，有东部开边界，模式采用ECOM3D模式。对数据结果的误差分析采用，振幅平均偏差，平均绝对偏差，平均相对误差和均方根偏差四个值来衡量模拟结果的好坏程度。 需要优化入开边界的解析潮汐值本文采用的解析解由方国洪《海湾的潮汐与潮流》（1966年）方法提供，为验证本文所做的解析解和方文的一致，本文做了其第一个例子的关键值a,b,z,结果与其结果吻合的相当好。但略有差别，分析的可能原因是两法在具体迭代方案和计算机保留小数上有区别造成微小误差。另外，我们取m=20，得到更精确的数值，我们发现对前十项的各项参数值，取m=10,m=20各项参数略有改进。当然我们可以获得m更大的各项参数值。 同时为了检验解析解的正确性讨论m和l变化对边界值的影响，结果指出，增大m，m=20时，u的模最大在本身u1或u2的模的6%；m=100时，u的模最大在本身u1或u2的模的4%；m再增大，m=1000时，u的模最大在本身u1或u2的模的4%，改变不大。当l<1时， =0处u的模最大为2。当l=1时， =0处u的模最大为0.1，当l>1时，l越大，u的模越小，当l=10时，u的模最大为0.001，可以认为为0。 为检验该优化方法的应用情况，我们对理想矩形区域进行模拟，首先将本文所采用的优化开边界方法应用于30m的情况，在开边界优化入开边界得出模式解，所得模拟结果与解析解吻合得相当好，该模式解和解析解在整个区域上，振幅平均绝对偏差为9.9cm,相位平均绝对偏差只有4.0 ，均方根偏差只有13.3cm，说明该优化方法在潮波模型中有效。 为验证该优化方法在各种条件下的模拟结果情况，在下面我们做了三类敏感性试验： 第一类试验：为证明在开边界上使用优化方法相比于没有采用优化方法的模拟解更接近于解析解，我们来比较ORB条件与RB条件的优劣，我们模拟用了两个不同的摩擦系数，k分别为：0,0.00006。 结果显示，针对不同摩擦系数，显示在开边界上使用ORB条件的解比使用RB条件的解无论是振幅还是相位都有显著改善，两个试验均方根偏差优化程度分别为84.3%，83.7%。说明在开边界上使用优化方法相比于没有采用优化方法的模拟解更接近于解析解，大大提高了模拟水平。上述的两个试验得出， k=0.00006优化结果比k=0的好。 第二类试验，使用ORB条件确定优化开边界情况下，在东西边界加入出入流的情况，流考虑线性和非线性情况，结果显示，加入流的情况，潮汐模拟的效果降低不少，流为1Sv的情况要比5Sv的情况均方根偏差相差20cm,而不加流的情况只有0.2cm。线性流和非线性流情况两者模式解相差不大，振幅，相位各项指数都相近, 说明流的线性与否对结果影响不大。 第三类试验，不仅在开边界使用ORB条件，在模式内部也使用ORB条件，比较了内部优化和不优化情况与解析解的偏差。结果显示，选用不同的k,振幅都能得到很好的模拟，而相位相对较差。另外，在内部优化的情况下，考虑不同的k的模式解， 我们选用了与解析解相近的6个模式解的k,结果显示，不同的k,振幅都能得到很好的模拟，而相位较差。 总之，在开边界使用ORB条件比使用RB条件好，振幅相位都有大幅度改进，在加入出入流情况下，流的大小对模拟结果有影响，但线形流和非线性流差别不大。内部优化的结果显示，模式采用不同的k都能很好模拟解析解的振幅。

P(rho)T Measurements of Imidazolium-Based Ionic Liquids

Experimental density measurements are reported, and the derived thermodynamic properties, such as the isothermal compressibility, the isobaric expansivity, and the thermal pressure coefficient are presented as Supporting Information for several imidazolium-based ionic liquids (ILs), namely, 1-ethyl-3-methyl-imidazolium bis(trifluoromethylsulfonyl)imide [C2mim][NTf2], 1-heptyl-3-methyl-imidazolium bis(trifluoromethylsulfonyl)imide [C7mim][NTf2], 1-octyl-3-methyl-imidazolium bis(trifluoromethylsulfonyl)imide [C8mim][NTf2], 1-ethyl-3-methyl-imidazolium tetrafluoroborate [C2mim][BF4], and 1-butyl-3-methyl-imidazolium tricyanomethane [C4mim][C(CN)3] in the pressure (0.10 <p/MPa <30.00) and temperature (293.15 <T/K <393.15) domains. These ILs were chosen to provide an understanding of the influence of the cation alkyl chain length and the anion influence on the properties under study. Experimental densities are correlated with the Tait equation with an average absolute deviation (AAD) less than 0.04 %. Experimental densities are in good agreement with the densities obtained by some recent predictive methods proposed in the literature.

Heat capacities of ionic liquids as a function of temperature at 0.1 MPa. measurement and prediction

Heat capacities of nine ionic liquids were measured from (293 to 358) K by using a heat flux differential scanning calorimeter. The impact of impurities (water and chloride content) in the ionic liquid was analyzed to estimate the overall uncertainty. The Joback method for predicting ideal gas heat capacities has been extended to ionic liquids by the generation of contribution parameters for three new groups. The principle of corresponding states has been employed to enable the subsequent calculation of liquid heat capacities for ionic liquids, based on critical properties predicted using the modified Lydersen-Joback-Reid method, as a function of the temperature from (256 to 470) K. A relative absolute deviation of 2.9% was observed when testing the model against 961 data points from 53 different ionic liquids reported previously and measured within this study.

Solubility of carbon dioxide, ethane, methane, oxygen, nitrogen, hydrogen, argon, and carbon monoxide in 1-butyl-3-methylimidazolium tetrafluoroborate between temperatures 283 K and 343 K and at pressures close to atmospheric

Experimental values for the solubility of carbon dioxide, ethane, methane, oxygen, nitrogen, hydrogen, argon and carbon monoxide in 1-butyl-3- methylimidazolium tetrafluoroborate, [bmim][BF4] - a room temperature ionic liquid - are reported as a function of temperature between 283 K and 343 K and at pressures close to atmospheric. Carbon dioxide is the most soluble gas with mole fraction solubilities of the order of 10-2. Ethane and methane are one order of magnitude more soluble than the other five gases that have mole fraction solubilities of the order of 10-4. Hydrogen is the less soluble of the gaseous solutes studied. From the variation of solubility, expressed as Henry's law constants, with temperature, the partial molar thermodynamic functions of solvation such as the standard Gibbs energy, the enthalpy, and the entropy are calculated. The precision of the experimental data, considered as the average absolute deviation of the Henry's law constants from appropriate smoothing equations is of 1%. © 2005 Elsevier Ltd. All rights reserved.

Influence of the cation on the solubility of CO2 and H 2 in ionic liquids based on the bis(trifluoromethylsulfonyl)imide anion

Experimental values for the solubility of carbon dioxide and hydrogen in three room temperature ionic liquids based on the same anion- (bistrifluoromethylsulfonyl)imide [Ntf2]-and three different cations-1-butyl-3-methylimidazolium, [C4mim], 1-ethyl-3- methylimidazolium, [C2mim] and trimethyl-butylammonium, [N 4111]-are reported between 283 and 343 K and close to atmospheric pressure. Carbon dioxide, with a mole-fraction solubility of the order of 10-2, is two orders of magnitude more soluble than hydrogen. The solubility of CO2 is very similar in the three ionic liquids although slightly lower in the presence of the [C2mim] cation. In the case of H2, noticeable differences were observed with larger mole fraction solubilities in the presence of [N4111] followed by [C 4mim]. All of the mole-fraction solubilities decrease with increasing temperature. From the variation of Henry's law constants with temperature, the thermodynamic functions of solvation were calculated. The precision of the experimental data, considered as the average absolute deviation of the Henry's law constants from appropriate smoothing equations, is always better than ±1%. © Springer Science+Business Media, LLC 2007.

Thermophysical properties, low pressure solubilities and thermodynamics of solvation of carbon dioxide and hydrogen in two ionic liquids based on the alkylsulfate anion

Densities and viscosities of the ionic liquid 1-butyl-3-methylimidazolium octylsulfate, [C4C1Im][C8SO4] were measured as a function of temperature between 313 K and 395 K. Solubilities of hydrogen and carbon dioxide were determined, between 283 K and 343 K, and at pressures close to atmospheric in [C4C1Im][C 8SO4] and in another ionic liquid based on the alkylsulfate anion-1-ethyl-3-methylimidazolium ethylsulfate, [C 2C1Im][C2SO4]. Density and viscosity were measured using a vibrating tube densimeter from Anton Paar and a rheometer from Rheometrics Scientific with accuracies of 10-3 g cm -3 and 1%, respectively. Solubilities were obtained using an isochoric saturation technique and, from the variation of solubility with temperature, the partial molar thermodynamic functions of solvation, such as the standard Gibbs energy, the enthalpy, and the entropy, are calculated. The precision of the experimental data, considered as the average absolute deviation of the Henry's law constants from appropriate smoothing equations, is better than ±1%. © The Royal Society of Chemistry.

Assessing modern ground survey methods and airborne laser scanning for digital terrain modelling:A case study from the Lake District, England

This paper compares the applicability of three ground survey methods for modelling terrain: one man electronic tachymetry (TPS), real time kinematic GPS (GPS), and terrestrial laser scanning (TLS). Vertical accuracy of digital terrain models (DTMs) derived from GPS, TLS and airborne laser scanning (ALS) data is assessed. Point elevations acquired by the four methods represent two sections of a mountainous area in Cumbria, England. They were chosen so that the presence of non-terrain features is constrained to the smallest amount. The vertical accuracy of the DTMs was addressed by subtracting each DTM from TPS point elevations. The error was assessed using exploratory measures including statistics, histograms, and normal probability plots. The results showed that the internal measurement accuracy of TPS, GPS, and TLS was below a centimetre. TPS and GPS can be considered equally applicable alternatives for sampling the terrain in areas accessible on foot. The highest DTM vertical accuracy was achieved with GPS data, both on sloped terrain (RMSE 0.16. m) and flat terrain (RMSE 0.02. m). TLS surveying was the most efficient overall but veracity of terrain representation was subject to dense vegetation cover. Therefore, the DTM accuracy was the lowest for the sloped area with dense bracken (RMSE 0.52. m) although it was the second highest on the flat unobscured terrain (RMSE 0.07. m). ALS data represented the sloped terrain more realistically (RMSE 0.23. m) than the TLS. However, due to a systematic bias identified on the flat terrain the DTM accuracy was the lowest (RMSE 0.29. m) which was above the level stated by the data provider. Error distribution models were more closely approximated by normal distribution defined using median and normalized median absolute deviation which supports the use of the robust measures in DEM error modelling and its propagation. © 2012 Elsevier Ltd.

Structure and thermal properties of salicylate-based-protic ionic liquids as new heat storage media. COSMO-RS structure characterization and modeling of heat capacities

During this research, we present a study on the thermal properties, such as the melting, cold crystallization, and glass transition temperatures as well as heat capacities from 293.15 K to 323.15 K of nine in-house synthesized protic ionic liquids based on the 3-(alkoxymethyl)-1H-imidazol-3-ium salicylate ([H-Im-C₁OC_n][Sal]) with n = 3–11. The 3D structures, surface charge distributions and COSMO volumes of all investigated ions are obtained by combining DFT calculations and the COSMO-RS methodology. The heat capacity data sets as a function of temperature of the 3-(alkoxymethyl)-1H-imidazol-3-ium salicylate are then predicted using the methodology originally proposed in the case of ionic liquids by Ge et al. 3-(Alkoxymethyl)-1H-imidazol-3-ium salicylate based ionic liquids present specific heat capacities higher in many cases than other ionic liquids that make them suitable as heat storage media and in heat transfer processes. It was found experimentally that the heat capacity increases linearly with increasing alkyl chain length of the alkoxymethyl group of 3-(alkoxymethyl)-1H-imidazol-3-ium salicylate as was expected and predicted using the Ge et al. method with an overall relative absolute deviation close to 3.2% for temperatures up to 323.15 K.

On Regression Methods for Virtual Metrology in Semiconductor Manufacturing

Virtual metrology (VM) aims to predict metrology values using sensor data from production equipment and physical metrology values of preceding samples. VM is a promising technology for the semiconductor manufacturing industry as it can reduce the frequency of in-line metrology operations and provide supportive information for other operations such as fault detection, predictive maintenance and run-to-run control. The prediction models for VM can be from a large variety of linear and nonlinear regression methods and the selection of a proper regression method for a specific VM problem is not straightforward, especially when the candidate predictor set is of high dimension, correlated and noisy. Using process data from a benchmark semiconductor manufacturing process, this paper evaluates the performance of four typical regression methods for VM: multiple linear regression (MLR), least absolute shrinkage and selection operator (LASSO), neural networks (NN) and Gaussian process regression (GPR). It is observed that GPR performs the best among the four methods and that, remarkably, the performance of linear regression approaches that of GPR as the subset of selected input variables is increased. The observed competitiveness of high-dimensional linear regression models, which does not hold true in general, is explained in the context of extreme learning machines and functional link neural networks.

A new Nawaz–Enscore–Ham-based heuristic for permutation flow-shop problem with bicriteria of makespan and machine idle-time

A new heuristic based on Nawaz–Enscore–Ham (NEH) algorithm is proposed for solving permutation flowshop scheduling problem in this paper. A new priority rule is proposed by accounting for the average, mean absolute deviation, skewness and kurtosis, in order to fully describe the distribution style of processing times. A new tie-breaking rule is also introduced for achieving effective job insertion for the objective of minimizing both makespan and machine idle-time. Statistical tests illustrate better solution quality of the proposed algorithm, comparing to existing benchmark heuristics.