Search results for "optimization"

Filtering with dissipativity for T-S fuzzy systems with time-varying delay: Reciprocally convex approach

2013

This paper is focused on the problem of reliable filter design with strictly dissipativity for a class of discrete-time T-S fuzzy time-delay systems. Our attention is paid on the design of reliable filter to ensure a strictly dissipative performance for the filtering error system. By employing the reciprocally convex approach, a sufficient condition of dissipativity analysis is obtained for T-S fuzzy delayed systems with sensor failures. A desired reliable filter is designed by solving a convex optimization problem.

Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK Case

2006

Abstract Modern insurance products are becoming increasingly complex, offering various guarantees, surrender options and bonus provisions. A case in point are the with-profits insurance policies offered by UK insurers. While these policies have been offered in some form for centuries, in recent years their structure and management have become substantially more involved. The products are particularly complicated due to the wide discretion they afford insurers in determining the bonuses policyholders receive. In this paper, we study the problem of an insurance firm attempting to structure the portfolio underlying its with-profits fund. The resulting optimization problem, a non-linear program…

The impact of systemic and illiquidity risk on financing with risky collateral

2015

Abstract Repurchase agreements (repos) are one of the most important sources of funding liquidity for many financial investors and intermediaries. In a repo, some assets are given by a borrower as collateral in exchange of funding. The capital given to the borrower is the market value of the collateral, reduced by an amount termed as haircut (or margin). The haircut protects the capital lender from loss of value of the collateral contingent on the borrower׳s default. For this reason, the haircut is typically calculated with a simple Value at Risk estimation of the collateral for the purpose of preventing the risk associated to volatility. However, other risk factors should be included in th…

Application of Operator Splitting Methods in Finance

2016

Financial derivatives pricing aims to find the fair value of a financial contract on an underlying asset. Here we consider option pricing in the partial differential equations framework. The contemporary models lead to one-dimensional or multidimensional parabolic problems of the convection-diffusion type and generalizations thereof. An overview of various operator splitting methods is presented for the efficient numerical solution of these problems.

An Introduction to the GAMS Modeling System

2010

DESIGN OPTIMIZATION AND ANALYSIS OF A NEW REAR UNDERRUN PROTECTIVE DEVICE FOR TRUCK

2010

In this paper the optimization process of a new High Energy Absorption Rear Underrun Protective Device called HEARUPD is discussed. The main objectives of the HEARUPD design optimization process have been related to the reduction in car decelerations (high crashworthiness) and avoiding the car underrun (high structure stability). In the implemented optimization process, the crash between an economy car (GEO Metro) and the rear part of a truck has been simulated by numerical models. A linear function of the decelerations measured on the car has been used as objective to minimize, the main dimensional values of the rear underrun protective device, instead, have been chosen as design variables…

FPGA-based embedded Logic Controllers

2014

In general case, reconfigurable logic controllers (RLC) are included into reactive digital embedded systems, carrying out control for several processes proceeding concurrently. The paper presents a practical application of a formal, rule-based specification language in Gentzen sequent logic, which is used as an intermediate textual description of a control interpreted Petri net. On the other hand exactly the same description serves also as logic design expressions, related with different versions of functionally equivalent concurrent state machine models, considered on Register Transfer Level. The symbolic rule-based specification of Petri net-based embedded Logic Controllers (LCs) can be s…

Predicting Heuristic Search Performance with PageRank Centrality in Local Optima Networks

2015

Previous studies have used statistical analysis of fitness landscapes such as ruggedness and deceptiveness in order to predict the expected quality of heuristic search methods. Novel approaches for predicting the performance of heuristic search are based on the analysis of local optima networks (LONs). A LON is a compressed stochastic model of a fitness landscape's basin transitions. Recent literature has suggested using various LON network measurements as predictors for local search performance.In this study, we suggest PageRank centrality as a new measure for predicting the performance of heuristic search methods using local search. PageRank centrality is a variant of Eigenvector centrali…

Recovery of oil with unsaturated fatty acids and polyphenols from chaenomelessinensis (Thouin) Koehne: Process optimization of pilot-scale subcritica…

2017

The potential effects of three modern extraction technologies (cold-pressing, microwaves and subcritical fluids) on the recovery of oil from Chaenomelessinensis (Thouin) Koehne seeds have been evaluated and compared to those of conventional chemical extraction methods (Soxhlet extraction). This oil contains unsaturated fatty acids and polyphenols. Subcritical fluid extraction (SbFE) provided the highest yield—25.79 g oil/100 g dry seeds—of the three methods. Moreover, the fatty acid composition in the oil samples was analysed using gas chromatography–mass spectrometry. This analysis showed that the percentages of monounsaturated (46.61%), and polyunsaturated fatty acids (42.14%), after appl…

Factorial graphical models for dynamic networks

2015

AbstractDynamic network models describe many important scientific processes, from cell biology and epidemiology to sociology and finance. Estimating dynamic networks from noisy time series data is a difficult task since the number of components involved in the system is very large. As a result, the number of parameters to be estimated is typically larger than the number of observations. However, a characteristic of many real life networks is that they are sparse. For example, the molecular structure of genes make interactions with other components a highly-structured and, therefore, a sparse process. Until now, the literature has focused on static networks, which lack specific temporal inte…