19,720 research outputs found
Sensitivity analysis of asset allocation : in the presence of correlation
Linearization of portfolio optimization plays a central role in financial studies, since linear problem allows for performing sensitivity analysis. This concept makes it possible to measure the variation of parameters as a result of variation of one parameter in a linear problem, without solving the problem from scratch. Based on the existing literatures, the approach of CVaR (conditional value at risk) method outperforms other methods, therefore in this study CVaR is applied as a constraint to change portfolio optimization problem into a linear problem. The coefficient of objective function of mentioned method for a portfolio includes average of asset returns, which are highly correlated. Here principal component analysis is employed to convert the correlation of the functional relations. An example of stock market is employed to substantiate the validity of method. Finally, we verify that the result of the presented method is closer to the ideal result.peer-reviewe
Some sensitivity results in stochastic optimal control: A Lagrange multiplier point of view
In this work we provide a first order sensitivity analysis of some
parameterized stochastic optimal control problems. The parameters can be given
by random processes. The main tool is the one-to-one correspondence between the
adjoint states appearing in a weak form of the stochastic Pontryagin principle
and the Lagrange multipliers associated to the state equation
Differential-Algebraic Equations and Beyond: From Smooth to Nonsmooth Constrained Dynamical Systems
The present article presents a summarizing view at differential-algebraic
equations (DAEs) and analyzes how new application fields and corresponding
mathematical models lead to innovations both in theory and in numerical
analysis for this problem class. Recent numerical methods for nonsmooth
dynamical systems subject to unilateral contact and friction illustrate the
topicality of this development.Comment: Preprint of Book Chapte
Low Energy Excitations in Spin Glasses from Exact Ground States
We investigate the nature of the low-energy, large-scale excitations in the
three-dimensional Edwards-Anderson Ising spin glass with Gaussian couplings and
free boundary conditions, by studying the response of the ground state to a
coupling-dependent perturbation introduced previously. The ground states are
determined exactly for system sizes up to 12^3 spins using a branch and cut
algorithm. The data are consistent with a picture where the surface of the
excitations is not space-filling, such as the droplet or the ``TNT'' picture,
with only minimal corrections to scaling. When allowing for very large
corrections to scaling, the data are also consistent with a picture with
space-filling surfaces, such as replica symmetry breaking. The energy of the
excitations scales with their size with a small exponent \theta', which is
compatible with zero if we allow moderate corrections to scaling. We compare
the results with data for periodic boundary conditions obtained with a genetic
algorithm, and discuss the effects of different boundary conditions on
corrections to scaling. Finally, we analyze the performance of our branch and
cut algorithm, finding that it is correlated with the existence of
large-scale,low-energy excitations.Comment: 18 Revtex pages, 16 eps figures. Text significantly expanded with
more discussion of the numerical data. Fig.11 adde
Modelling supported driving as an optimal control cycle: Framework and model characteristics
Driver assistance systems support drivers in operating vehicles in a safe,
comfortable and efficient way, and thus may induce changes in traffic flow
characteristics. This paper puts forward a receding horizon control framework
to model driver assistance and cooperative systems. The accelerations of
automated vehicles are controlled to optimise a cost function, assuming other
vehicles driving at stationary conditions over a prediction horizon. The
flexibility of the framework is demonstrated with controller design of Adaptive
Cruise Control (ACC) and Cooperative ACC (C-ACC) systems. The proposed ACC and
C-ACC model characteristics are investigated analytically, with focus on
equilibrium solutions and stability properties. The proposed ACC model produces
plausible human car-following behaviour and is unconditionally locally stable.
By careful tuning of parameters, the ACC model generates similar stability
characteristics as human driver models. The proposed C-ACC model results in
convective downstream and absolute string instability, but not convective
upstream string instability observed in human-driven traffic and in the ACC
model. The control framework and analytical results provide insights into the
influences of ACC and C-ACC systems on traffic flow operations.Comment: Submitted to Transportation Research Part C: Emerging Technologie
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