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 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."

An eigenproblem approach to classical screw theory

This paper presents a novel algebraic formulation of the central problem of screw theory, namely the determination of the principal screws of a given system. Using the algebra of dual numbers, it shows that the principal screws can be determined via the solution of a generalised eigenproblem of two real, symmetric matrices. This approach allows the study of the principal screws of the general two-, three-systems associated with a manipulator of arbitrary geometry in terms of closed-form expressions of its architecture and configuration parameters. We also present novel methods for the determination of the principal screws for four-, five-systems which do not require the explicit computation of the reciprocal systems. Principal screws of the systems of different orders are identified from one uniform criterion, namely that the pitches of the principal screws are the extreme values of the pitch.The classical results of screw theory, namely the equations for the cylindroid and the pitch-hyperboloid associated with the two-and three-systems, respectively have been derived within the proposed framework. Algebraic conditions have been derived for some of the special screw systems. The formulation is also illustrated with several examples including two spatial manipulators of serial and parallel architecture, respectively.

State Minimization of Incompletely Specified Sequential Machines

A simple procedure for the state minimization of an incompletely specified sequential machine whose number of internal states is not very large is presented. It introduces the concept of a compatibility graph from which the set of maximal compatibles of the machine can be very conveniently derived. Primary and secondary implication trees associated with each maximal compatible are then constructed. The minimal state machine covering the incompletely specified machine is then obtained from these implication trees.

Easily Diagnosable Sequential Machines

This correspondence throws some light into the area of easily diagnosable machines. Given the behavior of a sequential machine in terms of a state table it explores the possibilities of designing a structure, that facilitates easy diagnosis of faults. The objective is achieved through structural decomposition which has already claimed to produce simpler physical realization.

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

Mode of access: Internet.

Fuzzy logic power system stabilizer in multimachine stability studies

Power system stabilizers (PSS) work well at the particular network configuration and steady state conditions for which they were designed. Once conditions change, their performance degrades. This can be overcome by an intelligent nonlinear PSS based on fuzzy logic. Such a fuzzy logic power system stabilizer (FLPSS) is developed, using speed and power deviation as inputs, and provides an auxiliary signal for the excitation system of a synchronous motor in a multimachine power system environment. The FLPSS's effect on the system damping is then compared with a conventional power system stabilizer's (CPSS) effect on the system. The results demonstrate an improved system performance with the FLPSS and also that the FLPSS is robust

Identification and control of induction machines using artificial neural networks

This paper proposes the use of artificial neural networks (ANNs) to identify and control an induction machine. Two systems are presented: a system to adaptively control the stator currents via identification of the electrical dynamics; and a system to adaptively control the rotor speed via identification of the mechanical and current-fed system dynamics. Various advantages of these control schemes over other conventional schemes are cited and the performance of the combined speed and current control scheme is compared with that of the standard vector control scheme

Design optimisation of ironless motors based on magnet selection

This paper considers the design of a radial flux permanent magnet iron less core brushless DC motor for use in an electric wheel drive with an integrated epicyclic gear reduction. The motor has been designed for a continuous output torque of 30 Nm and peak rating of 60 Nm with a maximum operating speed of 7000 RPM. In the design of brushless DC motors with a toothed iron stator the peak air-gap magnetic flux density is typically chosen to be close to that of the remanence value of the magnets used. This paper demonstrates that for an ironless motor the optimal peak air-gap flux density is closer to the maximum energy product of the magnets used. The use of a radial flux topology allows for high frequency operation and can be shown to give high specific power output while maintaining a relatively low magnet mass. Two-dimensional finite element analysis is used to predict the air-gap flux density. The motor design is based around commonly available NdFeB bar magnet size