Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması

Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing return and minimizing risk. The problem of determining an efficient frontier is known to be NP-hard. Due to the complexity of the problem, genetic algorithms have been widely employed by a growing number of researchers to solve this problem. In this study, a literature review of genetic algorithms implementations on mean-variance portfolio optimization is examined from the recent published literature. Main specifications of the problems studied and the specifications of suggested genetic algorithms have been summarized

Clafer: Lightweight Modeling of Structure, Behaviour, and Variability

Embedded software is growing fast in size and complexity, leading to intimate mixture of complex architectures and complex control. Consequently, software specification requires modeling both structures and behaviour of systems. Unfortunately, existing languages do not integrate these aspects well, usually prioritizing one of them. It is common to develop a separate language for each of these facets. In this paper, we contribute Clafer: a small language that attempts to tackle this challenge. It combines rich structural modeling with state of the art behavioural formalisms. We are not aware of any other modeling language that seamlessly combines these facets common to system and software modeling. We show how Clafer, in a single unified syntax and semantics, allows capturing feature models (variability), component models, discrete control models (automata) and variability encompassing all these aspects. The language is built on top of first order logic with quantifiers over basic entities (for modeling structures) combined with linear temporal logic (for modeling behaviour). On top of this semantic foundation we build a simple but expressive syntax, enriched with carefully selected syntactic expansions that cover hierarchical modeling, associations, automata, scenarios, and Dwyer's property patterns. We evaluate Clafer using a power window case study, and comparing it against other notations that substantially overlap with its scope (SysML, AADL, Temporal OCL and Live Sequence Charts), discussing benefits and perils of using a single notation for the purpose

Best Subset Selection via a Modern Optimization Lens

In the last twenty-five years (1990-2014), algorithmic advances in integer optimization combined with hardware improvements have resulted in an astonishing 200 billion factor speedup in solving Mixed Integer Optimization (MIO) problems. We present a MIO approach for solving the classical best subset selection problem of choosing $k$ out of $p$ features in linear regression given $n$ observations. We develop a discrete extension of modern first order continuous optimization methods to find high quality feasible solutions that we use as warm starts to a MIO solver that finds provably optimal solutions. The resulting algorithm (a) provides a solution with a guarantee on its suboptimality even if we terminate the algorithm early, (b) can accommodate side constraints on the coefficients of the linear regression and (c) extends to finding best subset solutions for the least absolute deviation loss function. Using a wide variety of synthetic and real datasets, we demonstrate that our approach solves problems with $n$ in the 1000s and $p$ in the 100s in minutes to provable optimality, and finds near optimal solutions for $n$ in the 100s and $p$ in the 1000s in minutes. We also establish via numerical experiments that the MIO approach performs better than {\texttt {Lasso}} and other popularly used sparse learning procedures, in terms of achieving sparse solutions with good predictive power.Comment: This is a revised version (May, 2015) of the first submission in June 201

Verification of Agent-Based Artifact Systems

Artifact systems are a novel paradigm for specifying and implementing business processes described in terms of interacting modules called artifacts. Artifacts consist of data and lifecycles, accounting respectively for the relational structure of the artifacts' states and their possible evolutions over time. In this paper we put forward artifact-centric multi-agent systems, a novel formalisation of artifact systems in the context of multi-agent systems operating on them. Differently from the usual process-based models of services, the semantics we give explicitly accounts for the data structures on which artifact systems are defined. We study the model checking problem for artifact-centric multi-agent systems against specifications written in a quantified version of temporal-epistemic logic expressing the knowledge of the agents in the exchange. We begin by noting that the problem is undecidable in general. We then identify two noteworthy restrictions, one syntactical and one semantical, that enable us to find bisimilar finite abstractions and therefore reduce the model checking problem to the instance on finite models. Under these assumptions we show that the model checking problem for these systems is EXPSPACE-complete. We then introduce artifact-centric programs, compact and declarative representations of the programs governing both the artifact system and the agents. We show that, while these in principle generate infinite-state systems, under natural conditions their verification problem can be solved on finite abstractions that can be effectively computed from the programs. Finally we exemplify the theoretical results of the paper through a mainstream procurement scenario from the artifact systems literature

Tree rules in probabilistic transition system specifications with negative and quantitative premises

Probabilistic transition system specifications (PTSSs) in the ntmufnu/ntmuxnu format provide structural operational semantics for Segala-type systems that exhibit both probabilistic and nondeterministic behavior and guarantee that isimilarity is a congruence.Similar to the nondeterministic case of rule format tyft/tyxt, we show that the well-foundedness requirement is unnecessary in the probabilistic setting. To achieve this, we first define an extended version of the ntmufnu/ntmuxnu format in which quantitative premises and conclusions include nested convex combinations of distributions. This format also guarantees that bisimilarity is a congruence. Then, for a given (possibly non-well-founded) PTSS in the new format, we construct an equivalent well-founded transition system consisting of only rules of the simpler (well-founded) probabilistic ntree format. Furthermore, we develop a proof-theoretic notion for these PTSSs that coincides with the existing stratification-based meaning in case the PTSS is stratifiable. This continues the line of research lifting structural operational semantic results from the nondeterministic setting to systems with both probabilistic and nondeterministic behavior.Comment: In Proceedings EXPRESS/SOS 2012, arXiv:1208.244