Robust portfolio management with multiple financial analysts

Portfolio selection theory, developed by Markowitz (1952), is one of the best known and widely applied methods for allocating funds among possible investment choices, where investment decision making is a trade-off between the expected return and risk of the portfolio. Many portfolio selection models have been developed on the basis of Markowitz’s theory. Most of them assume that complete investment information is available and that it can be accurately extracted from the historical data. However, this complete information never exists in reality. There are many kinds of ambiguity and vagueness which cannot be dealt with in the historical data but still need to be considered in portfolio selection. For example, to address the issue of uncertainty caused by estimation errors, the robust counterpart approach of Ben-Tal and Nemirovski (1998) has been employed frequently in recent years. Robustification, however, often leads to a more conservative solution. As a consequence, one of the most common critiques against the robust counterpart approach is the excessively pessimistic character of the robust asset allocation. This thesis attempts to develop new approaches to improve on the respective performances of the robust counterpart approach by incorporating additional investment information sources, so that the optimal portfolio can be more reliable and, at the same time, achieve a greater return. [Continues.

Operation and planning of distribution networks with integration of renewable distributed generators considering uncertainties: a review

YesDistributed generators (DGs) are a reliable solution to supply economic and reliable electricity to customers. It is the last stage in delivery of electric power which can be defined as an electric power source connected directly to the distribution network or on the customer site. It is necessary to allocate DGs optimally (size, placement and the type) to obtain commercial, technical, environmental and regulatory advantages of power systems. In this context, a comprehensive literature review of uncertainty modeling methods used for modeling uncertain parameters related to renewable DGs as well as methodologies used for the planning and operation of DGs integration into distribution network.This work was supported in part by the SITARA project funded by the British Council and the Department for Business, Innovation and Skills, UK and in part by the University of Bradford, UK under the CCIP grant 66052/000000

Interval and Possibilistic Methods for Constraint-Based Metabolic Models

This thesis is devoted to the study and application of constraint-based metabolic models. The objective was to find simple ways to handle the difficulties that arise in practice due to uncertainty (knowledge is incomplete, there is a lack of measurable variables, and those available are imprecise). With this purpose, tools have been developed to model, analyse, estimate and predict the metabolic behaviour of cells. The document is structured in three parts. First, related literature is revised and summarised. This results in a unified perspective of several methodologies that use constraint-based representations of the cell metabolism. Three outstanding methods are discussed in detail, network-based pathways analysis (NPA), metabolic flux analysis (MFA), and flux balance analysis (FBA). Four types of metabolic pathways are also compared to clarify the subtle differences among them. The second part is devoted to interval methods for constraint-based models. The first contribution is an interval approach to traditional MFA, particularly useful to estimate the metabolic fluxes under data scarcity (FS-MFA). These estimates provide insight on the internal state of cells, which determines the behaviour they exhibit at given conditions. The second contribution is a procedure for monitoring the metabolic fluxes during a cultivation process that uses FS-MFA to handle uncertainty. The third part of the document addresses the use of possibility theory. The main contribution is a possibilistic framework to (a) evaluate model and measurements consistency, and (b) perform flux estimations (Poss-MFA). It combines flexibility on the assumptions and computational efficiency. Poss-MFA is also applied to monitoring fluxes and metabolite concentrations during a cultivation, information of great use for fault-detection and control of industrial processes. Afterwards, the FBA problem is addressed.Llaneras Estrada, F. (2011). Interval and Possibilistic Methods for Constraint-Based Metabolic Models [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/10528Palanci

Inflation: a Python library for classical and quantum causal compatibility

We introduce Inflation, a Python library for assessing whether an observed probability distribution is compatible with a causal explanation. This is a central problem in both theoretical and applied sciences, which has recently witnessed important advances from the area of quantum nonlocality, namely, in the development of inflation techniques. Inflation is an extensible toolkit that is capable of solving pure causal compatibility problems and optimization over (relaxations of) sets of compatible correlations in both the classical and quantum paradigms. The library is designed to be modular and with the ability of being ready-to-use, while keeping an easy access to low-level objects for custom modifications.Comment: 18 pages, 2 figures. The Inflation GitHub repository is in https://www.github.com/ecboghiu/inflation and the Inflation documentation is in https://ecboghiu.github.io/inflatio

Construction of a support tool for the design of the activity structures based computer system architectures

This thesis was submitted for the degree of Doctor of Philosophy and was awarded by Brunel University.This thesis is a reapproachment of diverse design concepts, brought to bear upon the computer system engineering problem of identification and control of highly constrained multiprocessing (HCM) computer machines. It contributes to the area of meta/general systems methodology, and brings a new insight into the design formalisms, and results afforded by bringing together various design concepts that can be used for the construction of highly constrained computer system architectures. A unique point of view is taken by assuming the process of identification and control of HCM computer systems to be the process generated by the Activity Structures Methodology (ASM). The research in ASM has emerged from the Neuroscience research, aiming at providing the techniques for combining the diverse knowledge sources that capture the 'deep knowledge' of this application field in an effective formal and computer representable form. To apply the ASM design guidelines in the realm of the distributed computer system design, we provide new design definitions for the identification and control of such machines in terms of realisations. These realisation definitions characterise the various classes of the identification and control problem. The classes covered consist of: 1. the identification of the designer activities, 2. the identification and control of the machine's distributed structures of behaviour, 3. the identification and control of the conversational environment activities (i.e. the randomised/ adaptive activities and interactions of both the user and the machine environments), 4. the identification and control of the substrata needed for the realisation of the machine, and 5. the identification of the admissible design data, both user-oriented and machineoriented, that can force the conversational environment to act in a self-regulating manner. All extent results are considered in this context, allowing the development of both necessary conditions for machine identification in terms of their distributed behaviours as well as the substrata structures of the unknown machine and sufficient conditions in terms of experiments on the unknown machine to achieve the self-regulation behaviour. We provide a detailed description of the design and implementation of the support software tool which can be used for aiding the process of constructing effective, HCM computer systems, based on various classes of identification and control. The design data of a highly constrained system, the NUKE, are used to verify the tool logic as well as the various identification and control procedures. Possible extensions as well as future work implied by the results are considered.Government of Ira