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This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part.
Abstract
Purpose
This paper aims to study the conditions for the hedging portfolio of any contingent claim on bonds to have no bank account part.
Design/methodology/approach
Hedging and Malliavin calculus techniques recently developed under a stochastic string framework are applied.
Findings
A necessary and sufficient condition for the hedging portfolio to have no bank account part is found. This condition is applied to a barrier option, and an example of a contingent claim whose hedging portfolio has a bank account part different from zero is provided.
Originality/value
To the best of the authors’ knowledge, this is the first time that this issue has been addressed in the literature.
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Zengxin Kang, Jing Cui and Zhongyi Chu
Accurate segmentation of artificial assembly action is the basis of autonomous industrial assembly robots. This paper aims to study the precise segmentation method of manual…
Abstract
Purpose
Accurate segmentation of artificial assembly action is the basis of autonomous industrial assembly robots. This paper aims to study the precise segmentation method of manual assembly action.
Design/methodology/approach
In this paper, a temporal-spatial-contact features segmentation system (TSCFSS) for manual assembly actions recognition and segmentation is proposed. The system consists of three stages: spatial features extraction, contact force features extraction and action segmentation in the temporal dimension. In the spatial features extraction stage, a vectors assembly graph (VAG) is proposed to precisely describe the motion state of the objects and relative position between objects in an RGB-D video frame. Then graph networks are used to extract the spatial features from the VAG. In the contact features extraction stage, a sliding window is used to cut contact force features between hands and tools/parts corresponding to the video frame. Finally, in the action segmentation stage, the spatial and contact features are concatenated as the input of temporal convolution networks for action recognition and segmentation. The experiments have been conducted on a new manual assembly data set containing RGB-D video and contact force.
Findings
In the experiments, the TSCFSS is used to recognize 11 kinds of assembly actions in demonstrations and outperforms the other comparative action identification methods.
Originality/value
A novel manual assembly actions precisely segmentation system, which fuses temporal features, spatial features and contact force features, has been proposed. The VAG, a symbolic knowledge representation for describing assembly scene state, is proposed, making action segmentation more convenient. A data set with RGB-D video and contact force is specifically tailored for researching manual assembly actions.
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Science of systems requires a specific and constructive mathematical model and language, which describe jointly such systemic categories as adaptation, self‐organization…
Abstract
Purpose
Science of systems requires a specific and constructive mathematical model and language, which describe jointly such systemic categories as adaptation, self‐organization, complexity, evolution, and bring the applied tools for building a system model for each specific object of a diverse nature. This formalism should be connected directly with a world of information and computer applications of systemic model, developed for a particular object. The considered information systems theory (IST) is aimed at building a bridge between the mathematical systemic formalism and information technologies to develop a constructive systemic model of revealing information regularities and specific information code for each object.
Design/methodology/approach
To fulfill this goal and the considered systems' definition, the IST joins two main concepts: unified information description of interacted flows, initiated by the sources of different nature, with common information language and systems modeling methodology, applied to distinct interdisciplinary objects; general system's information formalism for building the model, which allows expressing mathematically the system's regularities and main systemic mechanisms.
Findings
The formalism of informational macrodynamics (IMD), based of the minimax variational principle, reveals the system model's main layers: microlevel stochastics, macrolevel dynamics, hierarchical dynamic network (IN) of information structures, its minimal logic, and optimal code of communication language, generated by the IN hierarchy, dynamics, and geometry. The system's complex dynamics originate information geometry and evolution with the functional information mechanisms of ordering, cooperation, mutation, stability, diversity, adaptation, self‐organization, and the double helix's genetic code.
Practical implications
The developed IMD's theoretical computer‐based methodology and the software has been applied to such areas as technology, communications, computer science, intelligent processes, biology, economy, management, and other nonphysical and physical subjects.
Originality/value
The IMD's macrodynamics of uncertainties connect randomness and regularities, stochastic and determinism, reversibility and irreversibility, symmetry and asymmetry, stability and instability, structurization and stochastization, order and disorder, as a result of micro‐macrolevel's interactions for an open system, when the external environment can change the model's structure.
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Chueh-Yung Tsao and Shu-Heng Chen
In this study, the performance of ordinal GA-based trading strategies is evaluated under six classes of time series model, namely, the linear ARMA model, the bilinear model, the…
Abstract
In this study, the performance of ordinal GA-based trading strategies is evaluated under six classes of time series model, namely, the linear ARMA model, the bilinear model, the ARCH model, the GARCH model, the threshold model and the chaotic model. The performance criteria employed are the winning probability, accumulated returns, Sharpe ratio and luck coefficient. Asymptotic test statistics for these criteria are derived. The hypothesis as to the superiority of GA over a benchmark, say, buy-and-hold, can then be tested using Monte Carlo simulation. From this rigorously-established evaluation process, we find that simple genetic algorithms can work very well in linear stochastic environments, and that they also work very well in nonlinear deterministic (chaotic) environments. However, they may perform much worse in pure nonlinear stochastic cases. These results shed light on the superior performance of GA when it is applied to the two tick-by-tick time series of foreign exchange rates: EUR/USD and USD/JPY.
Turan GÖNEN and John C. THOMPSON
A new stochastic load forecasting model to predict load growth on radial feeders has been developed. Present methods of making such predictions have no underlying a priori model…
Abstract
A new stochastic load forecasting model to predict load growth on radial feeders has been developed. Present methods of making such predictions have no underlying a priori model on which to rely. This paper summarizes an attempt to apply developmental models to the load growth prediction problem. A parameter study is described which suggests the relative importance of the model's parameters. Using actual data obtained from a utility company, forecasts are compared with network growth.
Abdelrahman E.E. Eltoukhy, Felix T.S. Chan and S.H. Chung
The purpose of this paper is twofold: first to carry out a comprehensive literature review for state of the art regarding airline schedule planning and second to identify some new…
Abstract
Purpose
The purpose of this paper is twofold: first to carry out a comprehensive literature review for state of the art regarding airline schedule planning and second to identify some new research directions that might help academic researchers and practitioners.
Design/methodology/approach
The authors mainly focus on the research work appeared in the last three decades. The search process was conducted in database searches using four keywords: “Flight scheduling,” “Fleet assignment,” “Aircraft maintenance routing” (AMR), and “Crew scheduling”. Moreover, the combination of the keywords was used to find the integrated models. Any duplications due to database variety and the articles that were written in non-English language were discarded.
Findings
The authors studied 106 research papers and categorized them into five categories. In addition, according to the model features, subcategories were further identified. Moreover, after discussing up-to-date research work, the authors suggested some future directions in order to contribute to the existing literature.
Research limitations/implications
The presented categories and subcategories were based on the model characteristics rather than the model formulation and solution methodology that are commonly used in the literature. One advantage of this classification is that it might help scholars to deeply understand the main variation between the models. On the other hand, identifying future research opportunities should help academic researchers and practitioners to develop new models and improve the performance of the existing models.
Practical implications
This study proposed some considerations in order to enhance the efficiency of the schedule planning process practically, for example, using the dynamic Stackelberg game strategy for market competition in flight scheduling, considering re-fleeting mechanism under heterogeneous fleet for fleet assignment, and considering the stochastic departure and arrival times for AMR.
Originality/value
In the literature, all the review papers focused only on one category of the five categories. Then, this category was classified according to the model formulation and solution methodology. However, in this work, the authors attempted to propose a comprehensive review for all categories for the first time and develop new classifications for each category. The proposed classifications are hence novel and significant.
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K. Prasad, N.C. Sahoo, R. Ranjan and A. Chaturvedi
This research paper reports a novel genetic algorithm (GA)‐based approach for reconfiguration of radial distribution networks for real loss minimization and power quality…
Abstract
Purpose
This research paper reports a novel genetic algorithm (GA)‐based approach for reconfiguration of radial distribution networks for real loss minimization and power quality improvement.
Design/methodology/approach
A fuzzy controlled GA has been used for efficient reconfiguration of radial distribution systems for loss minimization and power quality improvement. The special features of the proposed algorithm are: an improved chromosome coding/decoding for network representation so as to preserve the radial property without islanding any load after reconfiguration and an efficient convergence characteristics attributed to fuzzy controlled mutation.
Findings
The proposed network reconfiguration algorithm is very much effective in arriving at the global optimal solution (minimum loss network structure) because of efficient search of the solution space. Also, no invalid chromosomes are generated in the genetic evolution because of appropriate coding/decoding. The algorithm is found to be very much suitable for real time implementations.
Research limitations/implications
This research paper provides the power distribution engineers with a computationally efficient approach for optimal operation of distribution systems.
Practical implications
The algorithm proposed in this paper is computationally much faster compared to most of the present day mathematical programming approaches for distribution system operation. This makes it very much attractive for online implementations in any radial distribution network.
Originality/value
This paper has proposed a novel chromosome coding/decoding technique for radial distribution system and a fuzzy logic‐based mutation probability controller for efficient search of global solution space to be used in GA‐based optimal operation of radial distribution systems.
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The purpose of this paper is to discuss the recognizability of Cantorian stochastic automata by generalized entropy‐like qualities.
Abstract
Purpose
The purpose of this paper is to discuss the recognizability of Cantorian stochastic automata by generalized entropy‐like qualities.
Design/methodology/approach
The paper gives a necessary entropy condition, valid for all sequences on the alphabet {0, 1} read by lumping and generated by a Cantorian stochastic automaton.
Findings
The paper finds that, on this basis, once can determine that a given sequence is not generated by Cantorian stochastic automata and reconstruct the automaton when the sequence is generated by a Cantorian stochastic automaton.
Originality/value
This paper derives a new diagnostic for Cantorian stochastic automata, which could find a direct application to biology, where there is a recent claim that the coding regions of chromosomes form Cantor sets.
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Chingping Han and Montri Damrongwongsiri
To establish a strategic resource allocation model to capture and encapsulate the complexity of the modern global supply chain management problem.
Abstract
Purpose
To establish a strategic resource allocation model to capture and encapsulate the complexity of the modern global supply chain management problem.
Design/methodology/approach
A mathematical model was constructed to describe the stochastic multiple‐period two‐echelon inventory with the many‐to‐many demand‐supplier network problem. Genetic algorithm (GA) was applied to derive optimal solutions through a two‐stage optimization process. A practical example and its solution were included to illustrate the GA‐based solution procedure.
Findings
The model simultaneously constitutes the inventory control and transportation parameters as well as price uncertainty factors.
Originality/value
The model can be utilized as a collaborative supply chain strategic planning tool to determine efficiently the appropriate inventory allocation and effectively manage the distribution/re‐distribution process according to real‐time demand.
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Presents the scientific methodology from the enlarged cybernetical perspective that recognizes the anisotropy of time, the probabilistic character of natural laws, and the entry…
Abstract
Presents the scientific methodology from the enlarged cybernetical perspective that recognizes the anisotropy of time, the probabilistic character of natural laws, and the entry that the incomplete determinism in Nature opens to the occurrence of innovation, growth, organization, teleology communication, control, contest and freedom. The new tier to the methodological edifice that cybernetics provides stands on the earlier tiers, which go back to the Ionians (c. 500 BC). However, the new insights reveal flaws in the earlier tiers, and their removal strengthens the entire edifice. The new concepts of teleological activity and contest allow the clear demarcation of the military sciences as those whose subject matter is teleological activity involving contest. The paramount question “what ought to be done”, outside the empirical realm, is embraced by the scientific methodology. It also embraces the cognitive sciences that ask how the human mind is able to discover, and how the sequence of discoveries might converge to a true description of reality.
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