CVaR számítás SRA algoritmussal (CVaR minimization by the SRA algorithm)

A CV aR kockázati mérték egyre nagyobb jelentőségre tesz szert portfóliók kockázatának megítélésekor. A portfolió egészére a CVaR kockázati mérték minimalizálását meg lehet fogalmazni kétlépcsős sztochasztikus feladatként. Az SRA algoritmus egy mostanában kifejlesztett megoldó algoritmus sztochasztikus programozási feladatok optimalizálására. Ebben a cikkben az SRA algoritmussal oldottam meg CV aR kockázati mérték minimalizálást. ___________ The risk measure CVaR is becoming more and more popular in recent years. In this paper we use CVaR for portfolio optimization. We formulate the problem as a two-stage stochastic programming model. We apply the SRA algorithm, which is a recently developed heuristic algorithm, to minimizing CVaR.

Extending the Simple Knowledge Organization System for Concept Management in Vocabulary Development Applications

In this article, we describe the development of an exten- sion to the Simple Knowledge Organization System (SKOS) to accommodate the needs of vocabulary devel- opment applications (VDA) managing metadata schemes and requiring close tracking of change to both those schemes and their member concepts. We take a neo- pragmatic epistemic stance in asserting the need for an entity in SKOS modeling to mediate between the abstract concept and the concrete scheme. While the SKOS model sufficiently describes entities for modeling the current state of a scheme in support of indexing and search on the Semantic Web, it lacks the expressive power to serve the needs of VDA needing to maintain scheme historical continuity. We demonstrate prelimi- narily that conceptualizations drawn from empirical work in modeling entities in the bibliographic universe, such as works, texts, and exemplars, can provide the basis for SKOS extension in ways that support more rig- orous demands of capturing concept evolution in VDA.

Calculations of Boiling Two-Phase Flow Using a Porous Media Model

Boiling two-phase flow and the equations governing the motion of fluid in two-phase flows are discussed in this thesis. Disposition of the governing equations in three-dimensional complex geometries is considered from the perspective of the porous medium concept. The equations governing motion in two-phase flows were formulated, discretized and implemented in a subroutine for pressure-velocity solution utilizing the SIMPLE algorithm modified for two-phase flow. The subroutine was included in PORFLO, which is a three-dimensional 5-equation porous media model developed at VTT by Jaakko Miettinen. The development of two-phase flow and the resulting void fraction distribution was predicted in a geometry resembling a section of BWR fuel bundle in a couple of test cases using PORFLO.

Convecção natural em cavidades triangulares

Pós-graduação em Engenharia Mecânica - FEG

Convecção mista em cavidades com fontes de calor aletadas

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Constructing and evaluating alternative prediction models for identifying clinically relevant cases in an STD clinic

Thesis (Master's)--University of Washington, 2016-06

Energy balance model applied to pasture experimental areas in São Paulo State, Brazil.

The Simple Algorithm for Evapotranspiration Retrieving (SAFER) was used to estimate biophysical parameters and theenergy balance components in two different pasture experimental areas, in the São Paulo state, Brazil. The experimentalpastures consist in six rotational (RGS) and three continuous grazing systems (CGS) paddocks. Landsat-8 images from2013 and 2015 dry and rainy seasons were used, as these presented similar hydrological cycle, with 1,600 mm and 1,613mm of annual precipitation, resulting in 19 cloud-free images. Bands 1 to 7 and thermal bands 10 and 11 were used withweather data from a station located nearthe experimental area. NDVI, biomass, evapotranspiration and latent heat flux(λE) temporal values statistically differ CGS from RGS areas. Grazing systems influences the energy partition and theseresults indicate that RGS benefits biomass production, evapotranspiration and the microclimate, due higher LE values.SAFER is a feasible tool to estimate biophysical parameters and energy balance components in pasture and has potentialto discriminate continuous and rotation grazing systems in a temporal analysis.

The subcycled Newmark algorithm

The popular Newmark algorithm, used for implicit direct integration of structural dynamics, is extended by means of a nodal partition to permit use of different timesteps in different regions of a structural model. The algorithm developed has as a special case an explicit-explicit subcycling algorithm previously reported by Belytschko, Yen and Mullen. That algorithm has been shown, in the absence of damping or other energy dissipation, to exhibit instability over narrow timestep ranges that become narrower as the number of degrees of freedom increases, making them unlikely to be encountered in practice. The present algorithm avoids such instabilities in the case of a one to two timestep ratio (two subcycles), achieving unconditional stability in an exponential sense for a linear problem. However, with three or more subcycles, the trapezoidal rule exhibits stability that becomes conditional, falling towards that of the central difference method as the number of subcycles increases. Instabilities over narrow timestep ranges, that become narrower as the model size increases, also appear with three or more subcycles. However by moving the partition between timesteps one row of elements into the region suitable for integration with the larger timestep these the unstable timestep ranges become extremely narrow, even in simple systems with a few degrees of freedom. As well, accuracy is improved. Use of a version of the Newmark algorithm that dissipates high frequencies minimises or eliminates these narrow bands of instability. Viscous damping is also shown to remove these instabilities, at the expense of having more effect on the low frequency response.

A fast linear-in-the-parameters classifier construction algorithm using orthogonal forward selection to minimize leave-one-out misclassification rate

We propose a simple and computationally efficient construction algorithm for two class linear-in-the-parameters classifiers. In order to optimize model generalization, a forward orthogonal selection (OFS) procedure is used for minimizing the leave-one-out (LOO) misclassification rate directly. An analytic formula and a set of forward recursive updating formula of the LOO misclassification rate are developed and applied in the proposed algorithm. Numerical examples are used to demonstrate that the proposed algorithm is an excellent alternative approach to construct sparse two class classifiers in terms of performance and computational efficiency.

Modelling and control of Hammerstein system using B-spline approximation and the inverse of De Boor algorithm

In this article a simple and effective controller design is introduced for the Hammerstein systems that are identified based on observational input/output data. The nonlinear static function in the Hammerstein system is modelled using a B-spline neural network. The controller is composed by computing the inverse of the B-spline approximated nonlinear static function, and a linear pole assignment controller. The contribution of this article is the inverse of De Boor algorithm that computes the inverse efficiently. Mathematical analysis is provided to prove the convergence of the proposed algorithm. Numerical examples are utilised to demonstrate the efficacy of the proposed approach.

Algorithm for computing the propagator for higher derivative gravity theories

A simple algorithm for computing the propagator for higher derivative gravity theories based on the Barnes-Rivers operators is presented. The prescription is used, among other things, to obtain the propagator for quadratic gravity in an unconventional gauge. We also find the propagator for both gravity and quadratic gravity in an interesting gauge recently baptized the Einstein gauge [Hitzer and Dehnen, Int. J. Theor. Phys. 36 (1997), 559].

A simple genetic algorithm for calibration of stochastic rock discontinuity networks

Este artículo propone un método para llevar a cabo la calibración de las familias de discontinuidades en macizos rocosos. We present a novel approach for calibration of stochastic discontinuity network parameters based on genetic algorithms (GAs). To validate the approach, examples of application of the method to cases with known parameters of the original Poisson discontinuity network are presented. Parameters of the model are encoded as chromosomes using a binary representation, and such chromosomes evolve as successive generations of a randomly generated initial population, subjected to GA operations of selection, crossover and mutation. Such back-calculated parameters are employed to make assessments about the inference capabilities of the model using different objective functions with different probabilities of crossover and mutation. Results show that the predictive capabilities of GAs significantly depend on the type of objective function considered; and they also show that the calibration capabilities of the genetic algorithm can be acceptable for practical engineering applications, since in most cases they can be expected to provide parameter estimates with relatively small errors for those parameters of the network (such as intensity and mean size of discontinuities) that have the strongest influence on many engineering applications.

Classification of Biomedical Signals using the Dynamics of the False Nearest Neighbours (DFNN) Algorithm

* This study was supported in part by the Natural Sciences and Engineering Research Council of Canada, and by the Gastrointestinal Motility Laboratory (University of Alberta Hospitals) in Edmonton, Alberta, Canada.