Fuzzy Numbers and MCDM Methods for Portfolio Optimization

A new deployment of the multiple criteria decision making (MCDM) techniques: the Simple Additive Weighting (SAW), and the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS) for portfolio allocation, is demonstrated in this paper. Rather than exclusive reference to mean and variance as in the traditional mean-variance method, the criteria used in this demonstration are the first four moments of the portfolio distribution. Each asset is evaluated based on its marginal impacts to portfolio higher moments that are characterized by trapezoidal fuzzy numbers. Then centroid-based defuzzification is applied to convert fuzzy numbers to the crisp numbers by which SAW and TOPSIS can be deployed. Experimental results suggest the similar efficiency of these MCDM approaches to selecting dominant assets for an optimal portfolio under higher moments. The proposed approaches allow investors flexibly adjust their risk preferences regarding higher moments via different schemes adapting to various (from conservative to risky) kinds of investors. The other significant advantage is that, compared to the mean-variance analysis, the portfolio weights obtained by SAW and TOPSIS are consistently well-diversified.

Convergence Analysis of the Generalized Alternating Two-Stage Method

In this paper, we give the generalized alternating twostage method in which the inner iterations are accomplished by a generalized alternating method. And we present convergence results of the method for solving nonsingular linear systems when the coefficient matrix of the linear system is a monotone matrix or an H-matrix.

Preservation of Molecular Ozone in a Clathrate Hydrate : Three-Phase (Gas + Liquid + Hydrate) Equilibrium Measurements for O3 + O2 + CO2 + H2O Systems

This paper reports the three-phase (gas + liquid + hydrate) equilibrium pressure versus temperature data for a (O3 + O2 + CO2 + H2O) system for developing the hydrate-based technology to preserve ozone, a chemically unstable substance, for various industrial, medical and consumer uses. These data cover the temperature range from 272 K to 277 K, corresponding to pressures from 1.6 MPa to 3.1 MPa, for each of the three different (O3 + O2)-to-CO2 or O2-to-CO2 molar ratios in the gas phase, which are approximately 4 : 6, 5 : 5, respectively. The mole fraction of ozone in the gas phase was ~0.03 , which are the densest ozone fraction to artificially form O3 containing hydrate ever reported in the literature. Based on these data, the formation of hydrate containing high-concentration ozone, as high as 1 mass %, will be expected.

Parallel Block Backward Differentiation Formulas for Solving Ordinary Differential Equations

A parallel block method based on Backward Differentiation Formulas (BDF) is developed for the parallel solution of stiff Ordinary Differential Equations (ODEs). Most common methods for solving stiff systems of ODEs are based on implicit formulae and solved using Newton iteration which requires repeated solution of systems of linear equations with coefficient matrix, I - hβJ . Here, J is the Jacobian matrix of the problem. In this paper, the matrix operations is paralleled in order to reduce the cost of the iterations. Numerical results are given to compare the speedup and efficiency of parallel algorithm and that of sequential algorithm.

The Spiral_OWL Model – Towards Spiral Knowledge Engineering

The Spiral development model has been used successfully in many commercial systems and in a good number of defense systems. This is due to the fact that cost-effective incremental commitment of funds, via an analogy of the spiral model to stud poker and also can be used to develop hardware or integrate software, hardware, and systems. To support adaptive, semantic collaboration between domain experts and knowledge engineers, a new knowledge engineering process, called Spiral_OWL is proposed. This model is based on the idea of iterative refinement, annotation and structuring of knowledge base. The Spiral_OWL model is generated base on spiral model and knowledge engineering methodology. A central paradigm for Spiral_OWL model is the concentration on risk-driven determination of knowledge engineering process. The collaboration aspect comes into play during knowledge acquisition and knowledge validation phase. Design rationales for the Spiral_OWL model are to be easy-to-implement, well-organized, and iterative development cycle as an expanding spiral.

Shape Restoration of the Left Ventricle

This paper describes an automatic algorithm to restore the shape of three-dimensional (3D) left ventricle (LV) models created from magnetic resonance imaging (MRI) data using a geometry-driven optimization approach. Our basic premise is to restore the LV shape such that the LV epicardial surface is smooth after the restoration. A geometrical measure known as the Minimum Principle Curvature (κ2) is used to assess the smoothness of the LV. This measure is used to construct the objective function of a two-step optimization process. The objective of the optimization is to achieve a smooth epicardial shape by iterative in-plane translation of the MRI slices. Quantitatively, this yields a minimum sum in terms of the magnitude of κ 2, when κ2 is negative. A limited memory quasi-Newton algorithm, L-BFGS-B, is used to solve the optimization problem. We tested our algorithm on an in vitro theoretical LV model and 10 in vivo patient-specific models which contain significant motion artifacts. The results show that our method is able to automatically restore the shape of LV models back to smoothness without altering the general shape of the model. The magnitudes of in-plane translations are also consistent with existing registration techniques and experimental findings.

Revisiting the Concept of Risk Analysis within the Context of Geospatial Database Design: A Collaborative Framework

The aim of this research is to design a collaborative framework that integrates risk analysis activities into the geospatial database design (GDD) process. Risk analysis is rarely undertaken iteratively as part of the present GDD methods in conformance to requirement engineering (RE) guidelines and risk standards. Accordingly, when risk analysis is performed during the GDD, some foreseeable risks may be overlooked and not reach the output specifications especially when user intentions are not systematically collected. This may lead to ill-defined requirements and ultimately in higher risks of geospatial data misuse. The adopted approach consists of 1) reviewing risk analysis process within the scope of RE and GDD, 2) analyzing the challenges of risk analysis within the context of GDD, and 3) presenting the components of a risk-based collaborative framework that improves the collection of the intended/forbidden usages of the data and helps geo-IT experts to discover implicit requirements and risks.

Clamped-clamped Boundary Conditions for Analysis Free Vibration of Functionally Graded Cylindrical Shell with a Ring based on Third Order Shear Deformation Theory

In this paper a study on the vibration of thin cylindrical shells with ring supports and made of functionally graded materials (FGMs) composed of stainless steel and nickel is presented. Material properties vary along the thickness direction of the shell according to volume fraction power law. The cylindrical shells have ring supports which are arbitrarily placed along the shell and impose zero lateral deflections. The study is carried out based on third order shear deformation shell theory (T.S.D.T). The analysis is carried out using Hamilton-s principle. The governing equations of motion of FGM cylindrical shells are derived based on shear deformation theory. Results are presented on the frequency characteristics, influence of ring support position and the influence of boundary conditions. The present analysis is validated by comparing results with those available in the literature.

Comparison of Finite Difference Schemes for Water Flow in Unsaturated Soils

Flow movement in unsaturated soil can be expressed by a partial differential equation, named Richards equation. The objective of this study is the finding of an appropriate implicit numerical solution for head based Richards equation. Some of the well known finite difference schemes (fully implicit, Crank Nicolson and Runge-Kutta) have been utilized in this study. In addition, the effects of different approximations of moisture capacity function, convergence criteria and time stepping methods were evaluated. Two different infiltration problems were solved to investigate the performance of different schemes. These problems include of vertical water flow in a wet and very dry soils. The numerical solutions of two problems were compared using four evaluation criteria and the results of comparisons showed that fully implicit scheme is better than the other schemes. In addition, utilizing of standard chord slope method for approximation of moisture capacity function, automatic time stepping method and difference between two successive iterations as convergence criterion in the fully implicit scheme can lead to better and more reliable results for simulation of fluid movement in different unsaturated soils.

Quasilinearization–Barycentric Approach for Numerical Investigation of the Boundary Value Fin Problem

In this paper we improve the quasilinearization method by barycentric Lagrange interpolation because of its numerical stability and computation speed to achieve a stable semi analytical solution. Then we applied the improved method for solving the Fin problem which is a nonlinear equation that occurs in the heat transferring. In the quasilinearization approach the nonlinear differential equation is treated by approximating the nonlinear terms by a sequence of linear expressions. The modified QLM is iterative but not perturbative and gives stable semi analytical solutions to nonlinear problems without depending on the existence of a smallness parameter. Comparison with some numerical solutions shows that the present solution is applicable.

The Evaluation and Application of FMEA in Sepahan Oil Co

Failure modes and effects analysis (FMEA) is an effective technique for preventing potential problems and actions needed to error cause removal. On the other hand, the oil producing companies paly a critical role in the oil industry of Iran as a developing country out of which, Sepahan Oil Co. has a considerable contribution. The aim of this research is to show how FMEA could be applied and improve the quality of products at Sepahan Oil Co. For this purpose, the four liter production line of the company has been selected for investigation. The findings imply that the application of FMEA has reduced the scraps from 50000 ppm to 5000 ppm and has resulted in a 0.92 percent decrease of the oil waste.

Coping with the Rapidity of Information Technology Changes – A Comparison Reviewon Current Practices

Information technology managers nowadays are facing with tremendous pressure to plan, implement, and adopt new technology solution due to the rapidity of technology changes. Resulted from a lack of study that have been done in this topic, the aim of this paper is to provide a comparison review on current tools that are currently being used in order to respond to technological changes. The study is based on extensive literature review of published works with majority of them are ranging from 2000 to the first part of 2011. The works were gathered from journals, books, and other information sources available on the Web. Findings show that, each tools has different focus and none of the tools are providing a framework in holistic view, which should include technical, people, process, and business environment aspect. Hence, this result provides potential information about current available tools that IT managers could use to manage changes in technology. Further, the result reveals a research gap in the area where the industries a short of such framework.

Approaches to Determining Optimal Asset Structure for a Commercial Bank

Every commercial bank optimises its asset portfolio depending on the profitability of assets and chosen or imposed constraints. This paper proposes and applies a stylized model for optimising banks' asset and liability structure, reflecting profitability of different asset categories and their risks as well as costs associated with different liability categories and reserve requirements. The level of detail for asset and liability categories is chosen to create a suitably parsimonious model and to include the most important categories in the model. It is shown that the most appropriate optimisation criterion for the model is the maximisation of the ratio of net interest income to assets. The maximisation of this ratio is subject to several constraints. Some are accounting identities or dictated by legislative requirements; others vary depending on the market objectives for a particular bank. The model predicts variable amount of assets allocated to loan provision.

Parallel Double Splicing on Iso-Arrays

Image synthesis is an important area in image processing. To synthesize images various systems are proposed in the literature. In this paper, we propose a bio-inspired system to synthesize image and to study the generating power of the system, we define the class of languages generated by our system. We call image as array in this paper. We use a primitive called iso-array to synthesize image/array. The operation is double splicing on iso-arrays. The double splicing operation is used in DNA computing and we use this to synthesize image. A comparison of the family of languages generated by the proposed self restricted double splicing systems on iso-arrays with the existing family of local iso-picture languages is made. Certain closure properties such as union, concatenation and rotation are studied for the family of languages generated by the proposed model.

Performance Evaluation of Data Transfer Protocol GridFTP for Grid Computing

In Grid computing, a data transfer protocol called GridFTP has been widely used for efficiently transferring a large volume of data. Currently, two versions of GridFTP protocols, GridFTP version 1 (GridFTP v1) and GridFTP version 2 (GridFTP v2), have been proposed in the GGF. GridFTP v2 supports several advanced features such as data streaming, dynamic resource allocation, and checksum transfer, by defining a transfer mode called X-block mode. However, in the literature, effectiveness of GridFTP v2 has not been fully investigated. In this paper, we therefore quantitatively evaluate performance of GridFTP v1 and GridFTP v2 using mathematical analysis and simulation experiments. We reveal the performance limitation of GridFTP v1, and quantitatively show effectiveness of GridFTP v2. Through several numerical examples, we show that by utilizing the data streaming feature, the average file transfer time of GridFTP v2 is significantly smaller than that of GridFTP v1.

Surface Flattening based on Linear-Elastic Finite Element Method

This paper presents a linear-elastic finite element method based flattening algorithm for three dimensional triangular surfaces. First, an intrinsic characteristic preserving method is used to obtain the initial developing graph, which preserves the angles and length ratios between two adjacent edges. Then, an iterative equation is established based on linear-elastic finite element method and the flattening result with an equilibrium state of internal force is obtained by solving this iterative equation. The results show that complex surfaces can be dealt with this proposed method, which is an efficient tool for the applications in computer aided design, such as mould design.

Optimal Design of UPFC Based Damping Controller Using Iteration PSO

This paper presents a novel approach for tuning unified power flow controller (UPFC) based damping controller in order to enhance the damping of power system low frequency oscillations. The design problem of damping controller is formulated as an optimization problem according to the eigenvalue-based objective function which is solved using iteration particle swarm optimization (IPSO). The effectiveness of the proposed controller is demonstrated through eigenvalue analysis and nonlinear time-domain simulation studies under a wide range of loading conditions. The simulation study shows that the designed controller by IPSO performs better than CPSO in finding the solution. Moreover, the system performance analysis under different operating conditions show that the δE based controller is superior to the mB based controller.

The e-DELPHI Method to Test the Importance Competence and Skills: Case of the Lifelong Learning Spanish Trainers

The lifelong learning is a crucial element in the modernization of European education and training systems. The most important actors in the development process of the lifelong learning are the trainers, whose professional characteristics need new competences and skills in the current labour market. The main objective of this paper is to establish an importance ranking of the new competences, capabilities and skills that the lifelong learning Spanish trainers must possess nowadays. A wide study of secondary sources has allowed the design of a questionnaire that organizes the trainer-s skills and competences. The e-Delphi method is used for realizing a creative, individual and anonymous evaluation by experts on the importance ranking that presents the criteria, sub-criteria and indicators of the e-Delphi questionnaire. Twenty Spanish experts in the lifelong learning have participated in two rounds of the e- DELPHI method. In the first round, the analysis of the experts- evaluation has allowed to establish the ranking of the most importance criteria, sub-criteria and indicators and to eliminate the least valued. The minimum level necessary to reach the consensus among experts has been achieved in the second round.

Modified Fuzzy ARTMAP and Supervised Fuzzy ART: Comparative Study with Multispectral Classification

In this article a modification of the algorithm of the fuzzy ART network, aiming at returning it supervised is carried out. It consists of the search for the comparison, training and vigilance parameters giving the minimum quadratic distances between the output of the training base and those obtained by the network. The same process is applied for the determination of the parameters of the fuzzy ARTMAP giving the most powerful network. The modification consist in making learn the fuzzy ARTMAP a base of examples not only once as it is of use, but as many time as its architecture is in evolution or than the objective error is not reached . In this way, we don-t worry about the values to impose on the eight (08) parameters of the network. To evaluate each one of these three networks modified, a comparison of their performances is carried out. As application we carried out a classification of the image of Algiers-s bay taken by SPOT XS. We use as criterion of evaluation the training duration, the mean square error (MSE) in step control and the rate of good classification per class. The results of this study presented as curves, tables and images show that modified fuzzy ARTMAP presents the best compromise quality/computing time.

Component-based Segmentation of Words from Handwritten Arabic Text

Efficient preprocessing is very essential for automatic recognition of handwritten documents. In this paper, techniques on segmenting words in handwritten Arabic text are presented. Firstly, connected components (ccs) are extracted, and distances among different components are analyzed. The statistical distribution of this distance is then obtained to determine an optimal threshold for words segmentation. Meanwhile, an improved projection based method is also employed for baseline detection. The proposed method has been successfully tested on IFN/ENIT database consisting of 26459 Arabic words handwritten by 411 different writers, and the results were promising and very encouraging in more accurate detection of the baseline and segmentation of words for further recognition.