937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.
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Purpose - The aim of this paper is to present a synthetic chart based on the non-central chi-square statistic that is operationally simpler and more effective than the joint X̄ and R chart in detecting assignable cause(s). This chart will assist in identifying which (mean or variance) changed due to the occurrence of the assignable causes. Design/methodology/approach - The approach used is based on the non-central chi-square statistic and the steady-state average run length (ARL) of the developed chart is evaluated using a Markov chain model. Findings - The proposed chart always detects process disturbances faster than the joint X̄ and R charts. The developed chart can monitor the process instead of looking at two charts separately. Originality/value - The most important advantage of using the proposed chart is that practitioners can monitor the process by looking at only one chart instead of looking at two charts separately. © Emerald Group Publishing Limted.
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The Capacitated Arc Routing Problem (CARP) is a well-known NP-hard combinatorial optimization problem where, given an undirected graph, the objective is to find a minimum cost set of tours servicing a subset of required edges under vehicle capacity constraints. There are numerous applications for the CARP, such as street sweeping, garbage collection, mail delivery, school bus routing, and meter reading. A Greedy Randomized Adaptive Search Procedure (GRASP) with Path-Relinking (PR) is proposed and compared with other successful CARP metaheuristics. Some features of this GRASP with PR are (i) reactive parameter tuning, where the parameter value is stochastically selected biased in favor of those values which historically produced the best solutions in average; (ii) a statistical filter, which discard initial solutions if they are unlikely to improve the incumbent best solution; (iii) infeasible local search, where high-quality solutions, though infeasible, are used to explore the feasible/infeasible boundaries of the solution space; (iv) evolutionary PR, a recent trend where the pool of elite solutions is progressively improved by successive relinking of pairs of elite solutions. Computational tests were conducted using a set of 81 instances, and results reveal that the GRASP is very competitive, achieving the best overall deviation from lower bounds and the highest number of best solutions found. © 2011 Elsevier Ltd. All rights reserved.
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This paper presents a climatic and statistical analysis of global, direct horizontal and diffuse radiation from a database of solar radiation measured from 1996 to 2006 in the city of Botucatu, SP, Brazil. Variation intervals of hourly and daily irradiation, annual mean 〈H̄G〉, 〈H̄bh〉 and 〈H̄d〉 irradiation, monthly mean 〈H̄G〉, 〈H̄ bh〉 and 〈H̄d〉 irradiation and monthly mean 〈K̄t〉, 〈K̄bh〉 and 〈K̄d〉 fractions were determined. Results showed that values of hourly and daily annual mean irradiation were as follows: 〈H̄G〉=1.49MJ/m2 and 〈H̄ G〉=17.74MJ/m2; 〈H̄bh〉=0. 90MJ/m2 and 〈H̄bh〉=10.33MJ/m2 and 〈H̄d〉=0.57 MJ/m2 and 〈H̄d〉=7.09MJ/m2, respectively. Variation intervals of hourly monthly mean irradiation were as follows: 〈H̄G〉 ranged from 1.65MJ/m2 in March to 1.16MJ/m2 in June; 〈H̄bh〉 ranged from 1.06MJ/m2 in April to 0.79MJ/m2 in June, and 〈H̄d〉 ranged from 0.70MJ/m2 in January to 0.37MJ/m2 in June and July. Similarly, daily 〈H̄ G〉 irradiation ranged from 21.35MJ/m2 in November to 12.94MJ/m2 in June; 〈H̄bh〉 ranged from 11.83MJ/m2 in April to 8.49MJ/m2 in June, and 〈H̄d〉 ranged from 10.29MJ/m2 in December to 4.38MJ/m2 in June. Variation intervals of hourly monthly mean fractions were as follows: 〈K̄t〉 ranged from 43.5% in January to 54.2% in April; 〈K̄bh〉 ranged from 33.6% in January to 58.0% in April and 〈K̄d〉 ranged from 66.4% in January to 42.0% in April. In the same way, daily 〈K̄ t〉 fractions ranged from 45.5% in January to 59.8% in August; 〈K̄bh〉 ranged from 38.9% in January to 62.0% in August and 〈K̄d〉 ranged from 61.1% in January to 37.7% in July.
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Includes bibliography
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Conselho Nacional de Desenvolvimento CientÃfico e Tecnológico (CNPq)
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Coordenação de Aperfeiçoamento de Pessoal de NÃvel Superior (CAPES)
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Conselho Nacional de Desenvolvimento CientÃfico e Tecnológico (CNPq)
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Pós-graduação em Pediatria - FMB
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O objetivo central deste trabalho é o estudo e a aplicação do método Kalman-Bucy no processo de deconvolução ao impulso e de deconvolução com predição, onde é considerado que os dados observados são classificados como não-estacionários. Os dados utilizados neste trabalho são sintéticos e, com isto, esta Tese tem caracterÃsticas de um exercÃcio numérico e investigativo. O operador de deconvolução ao impulso é obtido a partir da teoria de CRUMP (1974) fazendo uso das soluções das equações Wiener-Hopf apresentadas por KALMAN-BUCY (1961) nas formas contÃnuas e discretas considerando o processo como não estacionário. O operador de predição (KBCP) está baseado nas teorias de CRUMP (1974) e MENDEL ET AL (1979). Sua estrutura assemelha-se ao filtro Wiener-Hopf onde os coeficientes do operador (WHLP) são obtidos através da autocorrelação, e no caso (KBCP) são obtidos a partir da função b<sub>i</sub>(k). o problema é definido em duas etapas: a primeira consta da geração do sinal, e a segunda da sua avaliação. A deconvolução realizada aqui é classificada como estatÃstica, e é um modelo fortemente baseado nas propriedades do sinal registrado e de sua representação. Os métodos foram aplicados apenas em dados sintéticos de seção fonte-comum obtida a partir dos modelos com interfaces contÃnuas e camadas homogêneas.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Conselho Nacional de Desenvolvimento CientÃfico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento CientÃfico e Tecnológico (CNPq)
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The identification of tree species is a key step for sustainable management plans of forest resources, as well as for several other applications that are based on such surveys. However, the present available techniques are dependent on the presence of tree structures, such as flowers, fruits, and leaves, limiting the identification process to certain periods of the year Therefore, this article introduces a study on the application of statistical parameters for texture classification of tree trunk images. For that, 540 samples from five Brazilian native deciduous species were acquired and measures of entropy, uniformity, smoothness, asymmetry (third moment), mean, and standard deviation were obtained from the presented textures. Using a decision tree, a biometric species identification system was constructed and resulted to a 0.84 average precision rate for species classification with 0.83accuracy and 0.79 agreement. Thus, it can be considered that the use of texture presented in trunk images can represent an important advance in tree identification, since the limitations of the current techniques can be overcome.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)