Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a bond. In the considered model firstly proposed by [3], the mean returns of individual assets are explicitly affected by underlying Gaussian economic factors. Using past and present information of the asset prices, a partial-information stochastic optimal control problem with random coefficients is formulated. Here, the partial information is due to the fact that the economic factors can not be directly observed. Via dynamic programming theory, the optimal portfolio strategy can be constructed by solving a deterministic forward Riccati-type ordinary differential equation and two linear deterministic backward ordinary differential equations

A New Optimization Algorithm for Single Hidden Layer Feedforward Neural Networks

Feedforward neural networks are the most commonly used function approximation techniques in neural networks. By the universal approximation theorem, it is clear that a single-hidden layer feedforward neural network (FNN) is sufficient to approximate the corresponding desired outputs arbitrarily close. Some researchers use genetic algorithms (GAs) to explore the global optimal solution of the FNN structure. However, it is rather time consuming to use GA for the training of FNN. In this paper, we propose a new optimization algorithm for a single-hidden layer FNN. The method is based on the convex combination algorithm for massaging information in the hidden layer. In fact, this technique explores a continuum idea which combines the classic mutation and crossover strategies in GA together. The proposed method has the advantage over GA which requires a lot of preprocessing works in breaking down the data into a sequence of binary codes before learning or mutation can apply. Also, we set up a new error function to measure the performance of the FNN and obtain the optimal choice of the connection weights and thus the nonlinear optimization problem can be solved directly. Several computational experiments are used to illustrate the proposed algorithm, which has good exploration and exploitation capabilities in search of the optimal weight for single hidden layer FNNs

On a real-time blind signal separation noise reduction system

Blind signal separation has been studied extensively in order to tackle the cocktail party problem. It explores spatial diversity of the received mixtures of sources by different sensors. By using the kurtosis measure, it is possible to select the source of interest out of a number of separated BSS outputs. Further noise cancellation can be achieved by adding an adaptive noise canceller (ANC) as postprocessing. However, the computation is rather intensive and an online implementation of the overall system is not straightforward. This paper intends to fill the gap by developing an FPGA hardware architecture to implement the system. Subband processing is explored and detailed functional operations are profiled carefully. The final proposed FPGA system is able to handle signals with sample rate over 20000 samples per second.</p

Optimal Microphone Array Placement Design Using the Bayesian Optimization Method

In addition to the filter coefficients, the location of the microphone array is a crucial factor in improving the overall performance of a beamformer. The optimal microphone array placement can considerably enhance speech quality. However, the optimization problem with microphone configuration variables is non-convex and highly non-linear. Heuristic algorithms that are frequently employed take a long time and have a chance of missing the optimal microphone array placement design. We extend the Bayesian optimization method to solve the microphone array configuration design problem. The proposed Bayesian optimization method does not depend on gradient and Hessian approximations and makes use of all the information available from prior evaluations. Furthermore, Gaussian process regression and acquisition functions make up the Bayesian optimization method. The objective function is given a prior probabilistic model through Gaussian process regression, which exploits this model while integrating out uncertainty. The acquisition function is adopted to decide the next placement point based upon the incumbent optimum with the posterior distribution. Numerical experiments have demonstrated that the Bayesian optimization method could find a similar or better microphone array placement compared with the hybrid descent method and computational time is significantly reduced. Our proposed method is at least four times faster than the hybrid descent method to find the optimal microphone array configuration from the numerical results