616 research outputs found
Mean-risk models using two risk measures: A multi-objective approach
This paper proposes a model for portfolio optimisation, in which distributions are characterised and compared on the basis of three statistics: the expected value, the variance and the CVaR at a specified confidence level. The problem is multi-objective and transformed into a single objective problem in which variance is minimised while constraints are imposed on the expected value and CVaR. In the case of discrete random variables, the problem is a quadratic program. The mean-variance (mean-CVaR) efficient solutions that are not dominated with respect to CVaR (variance) are particular efficient solutions of the proposed model. In addition, the model has efficient solutions that are discarded by both mean-variance and mean-CVaR models, although they may improve the return distribution. The model is tested on real data drawn from the FTSE 100 index. An analysis of the return distribution of the chosen portfolios is presented
A Self Healing Microservices Architecture: A Case Study in Docker Swarm Cluster
One desired aspect of a self-adapting microservices architecture is the ability to continuously monitor the operational environment, detect and observe anomalous behaviour as well as implement a reasonable policy for self-scaling, self-healing, and self-tuning the computational resources in order to dynamically respond to a sudden change in its operational environment. Often the behaviour of a microservices architecture continuously changes over time and the identification of both normal and abnormal behaviours of running services becomes a challenging task. This paper proposes a self-healing Microservice architecture that continuously monitors the operational environment, detects and observes anomalous behaviours, and provides a reasonable adaptation policy using a multi-dimensional utility-based model. This model preserves the cluster state and prevents multiple actions to taking place at the same time. It also guarantees that the executed adaptation action fits the current execution context and achieves the adaptation goals. The results show the ability of this model to dynamically scale the architecture horizontally or vertically in response to the context changes
First-Digit Law in Nonextensive Statistics
Nonextensive statistics, characterized by a nonextensive parameter , is a
promising and practically useful generalization of the Boltzmann statistics to
describe power-law behaviors from physical and social observations. We here
explore the unevenness of the first digit distribution of nonextensive
statistics analytically and numerically. We find that the first-digit
distribution follows Benford's law and fluctuates slightly in a periodical
manner with respect to the logarithm of the temperature. The fluctuation
decreases when increases, and the result converges to Benford's law exactly
as approaches 2. The relevant regularities between nonextensive statistics
and Benford's law are also presented and discussed.Comment: 11 pages, 3 figures, published in Phys. Rev.
A Model of User Preferences for Semantic Services Discovery and Ranking
Current proposals on Semantic Web Services discovery and
ranking are based on user preferences descriptions that often come with
insufficient expressiveness, consequently making more difficult or even
preventing the description of complex user desires. There is a lack of a
general and comprehensive preference model, so discovery and ranking
proposals have to provide ad hoc preference descriptions whose expressiveness
depends on the facilities provided by the corresponding technique,
resulting in user preferences that are tightly coupled with the
underlying formalism being used by each concrete solution. In order to
overcome these problems, in this paper an abstract and sufficiently expressive
model for defining preferences is presented, so that they may be
described in an intuitively and user-friendly manner. The proposed model
is based on a well-known query preference model from database systems,
which provides highly expressive constructors to describe and compose
user preferences semantically. Furthermore, the presented proposal is independent
from the concrete discovery and ranking engines selected, and
may be used to extend current Semantic Web Service frameworks, such
as wsmo, sawsdl, or owl-s. In this paper, the presented model is also
validated against a complex discovery and ranking scenario, and a concrete
implementation of the model in wsmo is outlined.Comisión Interministerial de Ciencia y Tecnología TIN2006-00472Comisión Interministerial de Ciencia y Tecnología TIN2009-07366Junta de Andalucía TIC-253
Behavioral implications of shortlisting procedures
We consider two-stage “shortlisting procedures” in which the menu of alternatives is first pruned by some process or criterion and then a binary relation is maximized. Given a particular first-stage process, our main result supplies a necessary and sufficient condition for choice data to be consistent with a procedure in the designated class. This result applies to any class of procedures with a certain lattice structure, including the cases of “consideration filters,” “satisficing with salience effects,” and “rational shortlist methods.” The theory avoids background assumptions made for mathematical convenience; in this and other respects following Richter’s classical analysis of preference-maximizing choice in the absence of shortlisting
Under stochastic dominance Choquet-expected utility and anticipated utility are identical
The aim of this paper is to convince the reader that Choquet-expected utility, as initiated by Schmeidler (1982, 1989) for decision making under uncertainty, when formulated for decision making under risk naturally leads to anticipated utility, as initiated by Quiggin/Yaari. Thus the two generalizations of expected utility in fact are one
Statistical mechanics of voting
Decision procedures aggregating the preferences of multiple agents can
produce cycles and hence outcomes which have been described heuristically as
`chaotic'. We make this description precise by constructing an explicit
dynamical system from the agents' preferences and a voting rule. The dynamics
form a one dimensional statistical mechanics model; this suggests the use of
the topological entropy to quantify the complexity of the system. We formulate
natural political/social questions about the expected complexity of a voting
rule and degree of cohesion/diversity among agents in terms of random matrix
models---ensembles of statistical mechanics models---and compute quantitative
answers in some representative cases.Comment: 9 pages, plain TeX, 2 PostScript figures included with epsf.tex
(ignore the under/overfull \vbox error messages
Galactic vs. Extragalactic Origin of the Peculiar Transient SCP 06F6
We study four scenarios for the SCP 06F6 transient event that was announced
recently. Some of these were previously briefly discussed as plausible models
for SCP 06F6, in particular with the claimed detection of a z=0.143
cosmological redshift of a Swan spectrum of a carbon rich envelope. We adopt
this value of z for extragalactic scenarios. We cannot rule out any of these
models, but can rank them from most to least preferred. Our favorite model is a
tidal disruption of a CO white dwarf (WD) by an intermediate-mass black hole
(IMBH). To account for the properties of the SCP 06F6 event, we have to assume
the presence of a strong disk wind that was not included in previous numerical
simulations. If the IMBH is the central BH of a galaxy, this explains the non
detection of a bright galaxy in the direction of SCP 06F6. Our second favorite
scenario is a type Ia-like SN that exploded inside the dense wind of a carbon
star. The carbon star is the donor star of the exploded WD. Our third favorite
model is a Galactic source of an asteroid that collided with a WD. Such a
scenario was discussed in the past as the source of dusty disks around WDs, but
no predictions exist regarding the appearance of such an event. Our least
favorite model is of a core collapse SN. The only way we can account for the
properties of SCP 06F6 with a core collapse SN is if we assume the occurrence
of a rare type of binary interaction.Comment: Accepted by New Astronom
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