Efficient Frontier for Robust Higher-order Moment Portfolio Selection

This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and focus on various illustrations of a four-dimensional set of the first four L-moment primal efficient portfolios. our empirical findings, using a large European stock database, mainly rediscover the earlier works by Jean (1973) and Ingersoll (1975), regarding the shape of the extended higher-order moment efficient frontier, and confirm the seminal prediction by Levy and Markowitz (1979) about the accuracy of the mean-variance criterion.Efficient frontier, portfolio selection, robust higher L-moments, shortage function, goal attainment application.

AI and OR in management of operations: history and trends

The last decade has seen a considerable growth in the use of Artificial Intelligence (AI) for operations management with the aim of finding solutions to problems that are increasing in complexity and scale. This paper begins by setting the context for the survey through a historical perspective of OR and AI. An extensive survey of applications of AI techniques for operations management, covering a total of over 1200 papers published from 1995 to 2004 is then presented. The survey utilizes Elsevier's ScienceDirect database as a source. Hence, the survey may not cover all the relevant journals but includes a sufficiently wide range of publications to make it representative of the research in the field. The papers are categorized into four areas of operations management: (a) design, (b) scheduling, (c) process planning and control and (d) quality, maintenance and fault diagnosis. Each of the four areas is categorized in terms of the AI techniques used: genetic algorithms, case-based reasoning, knowledge-based systems, fuzzy logic and hybrid techniques. The trends over the last decade are identified, discussed with respect to expected trends and directions for future work suggested

Dendritic inhibition enhances neural coding properties.

The presence of a large number of inhibitory contacts at the soma and axon initial segment of cortical pyramidal cells has inspired a large and influential class of neural network model which use post-integration lateral inhibition as a mechanism for competition between nodes. However, inhibitory synapses also target the dendrites of pyramidal cells. The role of this dendritic inhibition in competition between neurons has not previously been addressed. We demonstrate, using a simple computational model, that such pre-integration lateral inhibition provides networks of neurons with useful representational and computational properties which are not provided by post-integration inhibition

Types of Machine Learning Algorithms

Non

Exploratory Analysis of Functional Data via Clustering and Optimal Segmentation

We propose in this paper an exploratory analysis algorithm for functional data. The method partitions a set of functions into $K$ clusters and represents each cluster by a simple prototype (e.g., piecewise constant). The total number of segments in the prototypes, $P$, is chosen by the user and optimally distributed among the clusters via two dynamic programming algorithms. The practical relevance of the method is shown on two real world datasets

Text mining with the WEBSOM

The emerging field of text mining applies methods from data mining and exploratory data analysis to analyzing text collections and to conveying information to the user in an intuitive manner. Visual, map-like displays provide a powerful and fast medium for portraying information about large collections of text. Relationships between text items and collections, such as similarity, clusters, gaps and outliers can be communicated naturally using spatial relationships, shading, and colors. In the WEBSOM method the self-organizing map (SOM) algorithm is used to automatically organize very large and high-dimensional collections of text documents onto two-dimensional map displays. The map forms a document landscape where similar documents appear close to each other at points of the regular map grid. The landscape can be labeled with automatically identified descriptive words that convey properties of each area and also act as landmarks during exploration. With the help of an HTML-based interactive tool the ordered landscape can be used in browsing the document collection and in performing searches on the map. An organized map offers an overview of an unknown document collection helping the user in familiarizing herself with the domain. Map displays that are already familiar can be used as visual frames of reference for conveying properties of unknown text items. Static, thematically arranged document landscapes provide meaningful backgrounds for dynamic visualizations of for example time-related properties of the data. Search results can be visualized in the context of related documents. Experiments on document collections of various sizes, text types, and languages show that the WEBSOM method is scalable and generally applicable. Preliminary results in a text retrieval experiment indicate that even when the additional value provided by the visualization is disregarded the document maps perform at least comparably with more conventional retrieval methods.reviewe

Market_based Framework for Mobile Surveillance Systems

The active surveillance of public and private sites is increasingly becoming a very important and critical issue. It is therefore, imperative to develop mobile surveillance systems to protect these sites. Modern surveillance systems encompass spatially distributed mobile and static sensors in order to provide effective monitoring of persistent and transient objects and events in a given Area Of Interest (AOI). The realization of the potential of mobile surveillance requires the solution of different challenging problems such as task allocation, mobile sensor deployment, multisensor management, cooperative object detection and tracking, decentralized data fusion, and interoperability and accessibility of system nodes. This thesis proposes a market-based framework that can be used to handle different problems of mobile surveillance systems. Task allocation and cooperative target-tracking are studied using the proposed framework as two challenging problems of mobile surveillance systems. These challenges are addressed individually and collectively

An analytics-based heuristic decomposition of a bilevel multiple-follower cutting stock problem

This paper presents a new class of multiple-follower bilevel problems and a heuristic approach to solving them. In this new class of problems, the followers may be nonlinear, do not share constraints or variables, and are at most weakly constrained. This allows the leader variables to be partitioned among the followers. We show that current approaches for solving multiple-follower problems are unsuitable for our new class of problems and instead we propose a novel analytics-based heuristic decomposition approach. This approach uses Monte Carlo simulation and k-medoids clustering to reduce the bilevel problem to a single level, which can then be solved using integer programming techniques. The examples presented show that our approach produces better solutions and scales up better than the other approaches in the literature. Furthermore, for large problems, we combine our approach with the use of self-organising maps in place of k-medoids clustering, which significantly reduces the clustering times. Finally, we apply our approach to a real-life cutting stock problem. Here a forest harvesting problem is reformulated as a multiple-follower bilevel problem and solved using our approachThis publication has emanated from research conducted with the financial support of Science Foundation Ireland (SFI) under Grant Number SFI/12/RC/228

Geographic Information System and Geoportal "River basins of the European Russia"

The geoinformation system (GIS) and Geoportal with open access "River basins of the European part of Russia" were introduced. The GIS includes the results of spatial analysis and modeling, in particular, the assessment of anthropogenic impact on river basins; estimates of water flow and precipitation; climatic, geomorphological and landscape zoning of the European part of Russi

Pre-integration lateral inhibition enhances unsupervised learning

A large and influential class of neural network architectures use post-integration lateral inhibition as a mechanism for competition. We argue that these algorithms are computationally deficient in that they fail to generate, or learn, appropriate perceptual representations under certain circumstances. An alternative neural network architecture is presented in which nodes compete for the right to receive inputs rather than for the right to generate outputs. This form of competition, implemented through pre-integration lateral inhibition, does provide appropriate coding properties and can be used to efficiently learn such representations. Furthermore, this architecture is consistent with both neuro-anatomical and neuro-physiological data. We thus argue that pre-integration lateral inhibition has computational advantages over conventional neural network architectures while remaining equally biologically plausible