Local Search Techniques for Constrained Portfolio Selection Problems

We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the cardinality of the portfolio and on the quantity of individual shares. Such constraints better capture the real-world trading system, but make the problem more difficult to be solved with exact methods. We explore the use of local search techniques, mainly tabu search, for the portfolio selection problem. We compare and combine previous work on portfolio selection that makes use of the local search approach and we propose new algorithms that combine different neighborhood relations. In addition, we show how the use of randomization and of a simple form of adaptiveness simplifies the setting of a large number of critical parameters. Finally, we show how our techniques perform on public benchmarks.Comment: 22 pages, 3 figure

Research assessment: A contribution to solving the publication credit allocation problem

In allocation problems, a given set of goods are assigned to agents in such a way that the social welfare is maximised, that is, the largest possible global worth is achieved. When goods are indivisible, it is possible to use money compensation to perform a fair allocation taking into account the actual contribution of all agents to the social welfare. Coalitional games provide a formal mathematical framework to model such problems, in particular the Shapley value is a solution concept widely used for assigning worths to agents in a fair way. Unfortunately, computing this value is a #P-hard problem, so that applying this good theoretical notion is often quite difficult in real-world problems

Addressing the tacit knowledge of a digital library system

Recent surveys, about the Linked Data initiatives in library organizations, report the experimental nature of related projects and the difficulty in re-using data to provide improvements of library services. This paper presents an approach for managing data and its "tacit" organizational knowledge, as the originating data context, improving the interpretation of data meaning. By analyzing a Digital Libray system, we prototyped a method for turning data management into a "semantic data management", where local system knowledge is managed as a data, and natively foreseen as a Linked Data. Semantic data management aims to curates the correct consumers' understanding of Linked Datasets, driving to a proper re-use

Expressing the tacit knowledge of a digital library system as linked data

Library organizations have enthusiastically undertaken semantic web initiatives and in particular the data publishing as linked data. Nevertheless, different surveys report the experimental nature of initiatives and the consumer difficulty in re-using data. These barriers are a hindrance for using linked datasets, as an infrastructure that enhances the library and related information services. This paper presents an approach for encoding, as a Linked Vocabulary, the "tacit" knowledge of the information system that manages the data source. The objective is the improvement of the interpretation process of the linked data meaning of published datasets. We analyzed a digital library system, as a case study, for prototyping the "semantic data management" method, where data and its knowledge are natively managed, taking into account the linked data pillars. The ultimate objective of the semantic data management is to curate the correct consumers' interpretation of data, and to facilitate the proper re-use. The prototype defines the ontological entities representing the knowledge, of the digital library system, that is not stored in the data source, nor in the existing ontologies related to the system's semantics. Thus we present the local ontology and its matching with existing ontologies, Preservation Metadata Implementation Strategies (PREMIS) and Metadata Objects Description Schema (MODS), and we discuss linked data triples prototyped from the legacy relational database, by using the local ontology. We show how the semantic data management, can deal with the inconsistency of system data, and we conclude that a specific change in the system developer mindset, it is necessary for extracting and "codifying" the tacit knowledge, which is necessary to improve the data interpretation process

The size of BDDs and other data structures in temporal logics model checking

Temporal Logic Model Checking is a verification method in which we describe a system, the model, and then we verify whether important properties, expressed in a temporal logic formula, hold in the system. Many Model Checking tools employ BDDs or some other data structure to represent sets of states. It has been empirically observed that the BDDs used in these algorithms may grow exponentially as the model and formula increase in size. We formally prove that no kind of data structure of polynomial size can represent the set of valid initial states for all models and all formulae. This result holds for all data structures where a state can be checked in polynomial time. Therefore, it holds not only for all types of BDDs regardless of variable ordering, but also for more powerful data structures, such as RBCs, MTBDDs, ADDs and SDDs. Thus, the size explosion of BDDs is not a limit of these specific data representation structures, but is unavoidable: every formalism used in the same way would lead to an exponential size blow up

Adaptive Load Balancing: A Study in Multi-Agent Learning

We study the process of multi-agent reinforcement learning in the context of load balancing in a distributed system, without use of either central coordination or explicit communication. We first define a precise framework in which to study adaptive load balancing, important features of which are its stochastic nature and the purely local information available to individual agents. Given this framework, we show illuminating results on the interplay between basic adaptive behavior parameters and their effect on system efficiency. We then investigate the properties of adaptive load balancing in heterogeneous populations, and address the issue of exploration vs. exploitation in that context. Finally, we show that naive use of communication may not improve, and might even harm system efficiency.Comment: See http://www.jair.org/ for any accompanying file

Accuracy of Author Names in Bibliographic Data Sources: An Italian Case Study

We investigate the accuracy of how author names are reported in bibliographic records excerpted from four prominent sources: WoS, Scopus, PubMed, and CrossRef. We take as a case study 44,549 publications stored in the internal database of Sapienza University of Rome, one of the largest universities in Europe. While our results indicate generally good accuracy for all bibliographic data sources considered, we highlight a number of issues that undermine the accuracy for certain classes of author names, including compound names and names with diacritics, which are common features to Italian and other Western languages

Decidable Reasoning in Terminological Knowledge Representation Systems

Terminological knowledge representation systems (TKRSs) are tools for designing and using knowledge bases that make use of terminological languages (or concept languages). We analyze from a theoretical point of view a TKRS whose capabilities go beyond the ones of presently available TKRSs. The new features studied, often required in practical applications, can be summarized in three main points. First, we consider a highly expressive terminological language, called ALCNR, including general complements of concepts, number restrictions and role conjunction. Second, we allow to express inclusion statements between general concepts, and terminological cycles as a particular case. Third, we prove the decidability of a number of desirable TKRS-deduction services (like satisfiability, subsumption and instance checking) through a sound, complete and terminating calculus for reasoning in ALCNR-knowledge bases. Our calculus extends the general technique of constraint systems. As a byproduct of the proof, we get also the result that inclusion statements in ALCNR can be simulated by terminological cycles, if descriptive semantics is adopted.Comment: See http://www.jair.org/ for any accompanying file

Design, Engineering, and Experimental Analysis of a Simulated Annealing Approach to the Post-Enrolment Course Timetabling Problem

The post-enrolment course timetabling (PE-CTT) is one of the most studied timetabling problems, for which many instances and results are available. In this work we design a metaheuristic approach based on Simulated Annealing to solve the PE-CTT. We consider all the different variants of the problem that have been proposed in the literature and we perform a comprehensive experimental analysis on all the public instances available. The outcome is that our solver, properly engineered and tuned, performs very well on all cases, providing the new best known results on many instances and state-of-the-art values for the others

The adaptive control system of quadrocopter motion

In this paper we present a system for automatic control of a quadrocopter based on the adaptive control system. The task is to ensure the motion of the quadrocopter along the given route and to control the stabilization of the quadrocopter in the air in a horizontal or in a given angular position by sending control signals to the engines. The nonlinear model of a quadrocopter is expressed in the form of a linear non-stationary system