An asset and liability management (ALM) model using integrated chance constraints

This paper discusses and develops a Two Stage Integrated Chance Constraints Programming for the Employees Provident Fund Malaysia. The main aim is to manage, that is, balance assets and liabilities. Integrated Chance Constraints not only limit the event of underfunding but also the amount of underfunding. This paper includes the numerical illustration

The scheduling of sparse matrix-vector multiplication on a massively parallel dap computer

An efficient data structure is presented which supports general unstructured sparse matrix-vector multiplications on a Distributed Array of Processors (DAP). This approach seeks to reduce the inter-processor data movements and organises the operations in batches of massively parallel steps by a heuristic scheduling procedure performed on the host computer. The resulting data structure is of particular relevance to iterative schemes for solving linear systems. Performance results for matrices taken from well known Linear Programming (LP) test problems are presented and analysed

Thermally-Assisted Spin-Transfer Torque Magnetization Reversal in Uniaxial Nanomagnets

We simulate the stochastic Landau-Lifshitz-Gilbert (LLG) dynamics of a uniaxial nanomagnet out to sub-millisecond timescales using a graphical processing unit based micromagnetic code and determine the effect of geometrical tilts between the spin-current and uniaxial anisotropy axes on the thermally assisted reversal dynamics. The asymptotic behavior of the switching time ($I\rightarrow 0$, $\propto\exp(-\xi(1-I)^2)$) is approached gradually, indicating a broad crossover regime between ballistic and thermally assisted spin transfer reversal. Interestingly, the mean switching time is shown to be nearly independent of the angle between the spin current and magnet's uniaxial axes. These results have important implications for modeling the energetics of thermally assisted magnetization reversal of spin transfer magnetic random access memory bit cells.Comment: 4 pages, 2 figure

Portfolio optimisation models and properties of return distributions

Mean-risk models have been widely used in portfolio optimisation. However, such models may produce portfolios that are dominated with respect to second order stochastic dominance and therefore not optimal for rational and risk-averse investors. This paper considers the problem of constructing a portfolio which is nondominated with respect to second order stochastic dominance and whose return distribution has specified desirable properties. The problem is multi-objective and is transformed into a single objective problem by using the reference point method, in which target levels, known as aspiration points, are specified for the objective function values. A model is proposed in which the aspiration points relate to ordered return outcomes of the portfolio return. The model is extended by additionally specifying reservation points, which act pre-emptively in the optimisation. The theoretical properties of the models are studied. The performance of the models on real data drawn from the Hang Seng index is also investigated

On arbitrary-level IIR and FIR filters

A recently published method for designing IIR (infinite-impulse-response) digital filters with multilevel magnitude responses is reinterpreted from a different viewpoint. On the basis of this interpretation, techniques for extending these results to the case of finite-impulse-response (FIR) filters are developed. An advantage of the authors' method is that, when the arbitrary-level filter is implemented, its power-complementary filter, which may be required in specific applications, is obtained simultaneously. Also, by means of a tuning factor (a parameter of the scaling matrix), it is possible to generate a whole family of arbitrary-level filters

Evidence for a Finite Temperature Insulator

In superconductors the zero-resistance current-flow is protected from dissipation at finite temperatures (T) by virtue of the short-circuit condition maintained by the electrons that remain in the condensed state. The recently suggested finite-T insulator and the "superinsulating" phase are different because any residual mechanism of conduction will eventually become dominant as the finite-T insulator sets-in. If the residual conduction is small it may be possible to observe the transition to these intriguing states. We show that the conductivity of the high magnetic-field insulator terminating superconductivity in amorphous indium-oxide exhibits an abrupt drop, and seem to approach a zero conductance at T<0.04 K. We discuss our results in the light of theories that lead to a finite-T insulator

Quantum Information Paradox: Real or Fictitious?

One of the outstanding puzzles of theoretical physics is whether quantum information indeed gets lost in the case of Black Hole (BH) evaporation or accretion. Let us recall that Quantum Mechanics (QM) demands an upper limit on the acceleration of a test particle. On the other hand, it is pointed out here that, if a Schwarzschild BH would exist, the acceleration of the test particle would blow up at the event horizon in violation of QM. Thus the concept of an exact BH is in contradiction of QM and quantum gravity (QG). It is also reminded that the mass of a BH actually appears as an INTEGRATION CONSTANT of Einstein equations. And it has been shown that the value of this integration constant is actually zero. Thus even classically, there cannot be finite mass BHs though zero mass BH is allowed. It has been further shown that during continued gravitational collapse, radiation emanating from the contracting object gets trapped within it by the runaway gravitational field. As a consequence, the contracting body attains a quasi-static state where outward trapped radiation pressure gets balanced by inward gravitational pull and the ideal classical BH state is never formed in a finite proper time. In other words, continued gravitational collapse results in an "Eternally Collapsing Object" which is a ball of hot plasma and which is asymptotically approaching the true BH state with M=0 after radiating away its entire mass energy. And if we include QM, this contraction must halt at a radius suggested by highest QM acceleration. In any case no EH is ever formed and in reality, there is no quantum information paradox.Comment: 8 pages in Pramana Style, 6 in Revtex styl