Search results for " optimization"
showing 10 items of 2367 documents
A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market
2007
In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.
Fuzzy Portfolio Selection Models: A Numerical Study
2012
In this chapter we analyze the numerical performance of some possibilistic models for selecting portfolios in the framework of risk-return trade-off. Portfolio optimization deals with the problem of how to allocate wealth among several assets, taking into account the uncertainty involved in the behavior of the financial markets. Different approaches for quantifying the uncertainty of the future return on the investment are considered: either assuming that the return on every individual asset is modeled as a fuzzy number or directly measuring the uncertainty associated with the return on a given portfolio. Conflicting goals representing the uncertain return on and risk of a fuzzy portfolio a…
Optimal Flight Path Determination in Turbulent Air: A Modified EKF Approach
2018
By using the Extended Kalman Filter an accurate path following in turbulent air is performed. The procedure employs simultaneously two dierent EKFs: the rst one estimates disturbances, the second one aords to determine the necessary controls displacements for rejecting those ones. To tune the EKFs an optimization algorithm has been designed to automatically determine Process Noise Covariance and Measurement Noise Covariance matrices. The rst lter, by using instrumental measurements gathered in turbulent air, estimates wind components. The second one obtains command laws able to follow the desired ight path. To perform this task aerodynamic coecients have been modied. Such a procedure leads …
Adaptive memory programing for the robust capacitated international sourcing problem
2008
The International Sourcing Problem consists of selecting a subset from an available set of potential suppliers internationally located. The selected suppliers must meet the demand for items from a set of plants, which are also located worldwide. Since the costs are affected by macroeconomic conditions in the countries where the supplier and the plant are located, the formulation considers the uncertainty associated with changes in these conditions. We formulate the robust capacitated international sourcing problem by means of a scenario-optimization approach. When dealing with uncertainty, one of the most common approaches in the literature is to formulate the problem via a set of possible …
Scatter Search and Path Relinking: Foundations and Advanced Designs
2004
Scatter Search and its generalized form Path Relinking, are evolutionary methods that have been successfully applied to hard optimization problems. Unlike genetic algorithms, they operate on a small set of solutions and employ diversification strategies of the form proposed in Tabu Search, which give precedence to strategic learning based on adaptive memory, with limited recourse to randomization. The fundamental concepts and principles were first proposed in the 1970s as an extension of formulations, dating back to the 1960s, for combining decision rules and problem constraints. (The constraint combination approaches, known as surrogate constraint methods, now independently provide an impo…
Determining the Parameters of a Sugeno Fuzzy Controller Using a Parallel Genetic Algorithm
2013
Developed in the mid 1970s, the technique based on genetic algorithms proved its usefulness in finding optimal or near optimal solutions to problems for which accurate solving strategies are either non-existent or require excessively long running time. We implemented a genetic algorithm to determine the parameters of a Sugeno fuzzy controller for the Truck Backer-Upper problem (This problem is considered an acknowledged benchmark in nonlinear system identification.). Less known at first than Mamdami fuzzy controllers, Sugeno fuzzy controllers became popular once they were included into the ANFIS neuro-fuzzy Matlab library. By their nature, Sugeno controllers can be regarded as interpolation…
Optimization design process of a morphing winglet
2018
Aeronautic and aerospace engineering is recently moving in the direction of developing morphing wing devices, with the aim of making adaptable the aerodynamic shapes to different operational conditions. Those devices may be classified according to two different conceptual architectures: kinematic or compliant systems. Both of them embed within their body all the active components (actuators and sensors), necessary to their operations. In the first case, the geometry variation is achieved through an augmented classical mechanism, while in the second case the form modification is due to a special arrangement of the inner structure creating a distributed elastic hinges arrangement. Whatever is…
Mycotoxin Analysis of Human Urine by LC-MS/MS: A Comparative Extraction Study
2017
The lower mycotoxin levels detected in urine make the development of sensitive and accurate analytical methods essential. Three extraction methods, namely salting-out liquid–liquid extraction (SALLE), miniQuEChERS (quick, easy, cheap, effective, rugged, and safe), and dispersive liquid–liquid microextraction (DLLME), were evaluated and compared based on analytical parameters for the quantitative LC-MS/MS measurement of 11 mycotoxins (AFB1, AFB2, AFG1, AFG2, OTA, ZEA, BEA, EN A, EN B, EN A1 and EN B1) in human urine. DLLME was selected as the most appropriate methodology, as it produced better validation results for recovery (79–113%), reproducibility (RSDs < 12%), and repeatability (RSDs…
Uncertainty quantification in simulations of epidemics using polynomial chaos.
2012
Mathematical models based on ordinary differential equations are a useful tool to study the processes involved in epidemiology. Many models consider that the parameters are deterministic variables. But in practice, the transmission parameters present large variability and it is not possible to determine them exactly, and it is necessary to introduce randomness. In this paper, we present an application of the polynomial chaos approach to epidemiological mathematical models based on ordinary differential equations with random coefficients. Taking into account the variability of the transmission parameters of the model, this approach allows us to obtain an auxiliary system of differential equa…
Robust consensus in social networks and coalitional games
2014
We study an n-player averaging process with dynamics subject to controls and adversarial disturbances. The model arises in two distinct application domains: i) coalitional games with transferable utilities (TU) and ii) opinion propagation. We study conditions under which the average allocations achieve robust consensus to some predefined target set.