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1 – 10 of 534
Article
Publication date: 27 September 2019

Alberto Bueno-Guerrero

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.

Details

Studies in Economics and Finance, vol. 37 no. 1
Type: Research Article
ISSN: 1086-7376

Keywords

Article
Publication date: 21 August 2023

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.

Details

Robotic Intelligence and Automation, vol. 43 no. 5
Type: Research Article
ISSN: 2754-6969

Keywords

Article
Publication date: 20 February 2007

Vladimir S. Lerner

Science of systems requires a specific and constructive mathematical model and language, which describe jointly such systemic categories as adaptation, self‐organization…

1184

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.

Details

Kybernetes, vol. 36 no. 2
Type: Research Article
ISSN: 0368-492X

Keywords

Book part
Publication date: 1 January 2004

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.

Details

Applications of Artificial Intelligence in Finance and Economics
Type: Book
ISBN: 978-1-84950-303-7

Article
Publication date: 1 March 1985

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.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering, vol. 4 no. 3
Type: Research Article
ISSN: 0332-1649

Article
Publication date: 10 July 2017

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…

2695

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.

Details

Industrial Management & Data Systems, vol. 117 no. 6
Type: Research Article
ISSN: 0263-5577

Keywords

Article
Publication date: 1 October 2006

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.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering, vol. 25 no. 4
Type: Research Article
ISSN: 0332-1649

Keywords

Article
Publication date: 12 June 2009

Konstantinos Karamanos

The purpose of this paper is to discuss the recognizability of Cantorian stochastic automata by generalized entropy‐like qualities.

158

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.

Details

Kybernetes, vol. 38 no. 6
Type: Research Article
ISSN: 0368-492X

Keywords

Article
Publication date: 1 January 2005

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.

2732

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.

Details

Journal of Manufacturing Technology Management, vol. 16 no. 1
Type: Research Article
ISSN: 1741-038X

Keywords

Article
Publication date: 1 June 1994

P.R. Masani

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.

Details

Kybernetes, vol. 23 no. 4
Type: Research Article
ISSN: 0368-492X

Keywords

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