Search results for: explicit algorithm

Authors: Thang V. Kieu, Long P. Nguyen

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Kernelized Correlation Filter (KCF) based trackers have gained a lot of attention recently because of their accuracy and fast calculation speed. However, this algorithm is not robust in cases where the object is lost by a sudden change of direction, being obscured or going out of view. In order to improve KCF performance in long-term tracking, this paper proposes an anomaly detection method for target loss warning by analyzing the response map of each frame, and a classification algorithm for reliable target re-locating mechanism by using Random fern. Being tested with Visual Tracker Benchmark and Visual Object Tracking datasets, the experimental results indicated that the precision and success rate of the proposed algorithm were 2.92 and 2.61 times higher than that of the original KCF algorithm, respectively. Moreover, the proposed tracker handles occlusion better than many state-of-the-art long-term tracking methods while running at 60 frames per second.

Keywords: correlation filter, long-term tracking, random fern, real-time tracking

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Authors: J. G. Batista, T. S. Santiago, E. A. Ribeiro, G. A. P. Thé

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This work deals with parameter identification of permanent magnet motors, a class of ac motor which is particularly important in industrial automation due to characteristics like applications high performance, are very attractive for applications with limited space and reducing the need to eliminate because they have reduced size and volume and can operate in a wide speed range, without independent ventilation. By using experimental data and genetic algorithm we have been able to extract values for both the motor inductance and the electromechanical coupling constant, which are then compared to measure and/or expected values.

Keywords: modeling, AC servomotor, permanent magnet synchronous motor-PMSM, genetic algorithm, vector control, robotic manipulator, control

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Authors: A. Belmeguenai, K. Mansouri, R. Djemili

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This work present a new algorithm based on the nonlinear filter generator for speech encryption and decryption. The proposed algorithm consists on the use a linear feedback shift register (LFSR) whose polynomial is primitive and nonlinear Boolean function. The purpose of this system is to construct Keystream with good statistical properties, but also easily computable on a machine with limited capacity calculated. This proposed speech encryption scheme is very simple, highly efficient, and fast to implement the speech encryption and decryption. We conclude the paper by showing that this system can resist certain known attacks.

Keywords: nonlinear filter generator, stream ciphers, speech encryption, security analysis

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Authors: Victor Abu

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Background: Social justice ideals are considered as the foundation of nursing practice. These ideals are not always clearly integrated into nursing professional standards or curricula. This hinders concerted global nursing agendas for becoming aware of social injustice or engaging in action for social justice to improve the health of individuals and groups. Aim and objectives: The aim was to create an educational framework for empowering nursing students for social justice awareness and action. This purpose was attained by understanding the meaning of social justice, the effect of social injustice, the visibility of social justice learning, and ways of integrating social justice in nursing education and practice. Methods: Critical interpretive methodologies and constructivist grounded theory research designs guided the processes of recruiting nursing students (n = 11) and nurse educators (n = 11) at a London nursing university to participate in interviews and focus groups, which were analysed by coding systems. Findings: Firstly, social justice was described as ethical practices that enable individuals and groups to have good access to health resources. Secondly, social injustice was understood as unfair practices that caused minimal access to resources, social deprivation, and poor health. Thirdly, social justice learning was considered to be invisible in nursing education due to a lack of explicit modules, educator knowledge, and organisational support. Lastly, explicit modules, educating educators, and attracting leaders’ support were suggested as approaches for the visible integration of social justice in nursing education and practice. Discussion: This research proposes approaches for nursing awareness and action for the development of critical active nurse-learner, critical conscious nurse-educator, and servant nurse leader. The framework on Awareness for Social Justice Action (ASJA) created in this research is an approach for empowering nursing students for social justice practices. Conclusion: This research contributes to and advocates for greater nursing scholarship to raise the spotlight on social justice in the profession.

Keywords: social justice, nursing practice, nursing education, nursing curriculum, social justice awareness, social justice action, constructivist grounded theory

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Authors: Qing Lyu, Hang Zhu

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Various flows in the network require to go through different types of middlebox. The improper placement of network middlebox and path assignment for flows could greatly increase the network latency and also decrease the performance of network. Minimizing the total end to end latency of all the ows requires to assign path for the incoming flows. In this paper, the flow path assignment problem in regard to the placement of various kinds of middlebox is studied. The flow path assignment problem is formulated to a linear programming problem, which is very time consuming. On the other hand, a naive greedy algorithm is studied. Which is very fast but causes much more latency than the linear programming algorithm. At last, the paper presents a heuristic algorithm named FPA, which takes bottleneck link information and estimated bandwidth occupancy into consideration, and achieves near optimal latency in much less time. Evaluation results validate the effectiveness of the proposed algorithm.

Keywords: flow path, latency, middlebox, network

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Authors: Jorge A. Ruiz-Vanoye, Ocotlán Díaz-Parra, Alejandro Fuentes-Penna, Daniel Vélez-Díaz, Edith Olaco García

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In this paper, we present the use of the discriminant analysis to select evolutionary algorithms that better solve instances of the vehicle routing problem with time windows. We use indicators as independent variables to obtain the classification criteria, and the best algorithm from the generic genetic algorithm (GA), random search (RS), steady-state genetic algorithm (SSGA), and sexual genetic algorithm (SXGA) as the dependent variable for the classification. The discriminant classification was trained with classic instances of the vehicle routing problem with time windows obtained from the Solomon benchmark. We obtained a classification of the discriminant analysis of 66.7%.

Keywords: Intelligent Transportation Systems, data-mining techniques, evolutionary algorithms, discriminant analysis, machine learning

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Authors: Adilah Abdul Ghapor, Yong Zulina Zubairi, A. H. M. R. Imon

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Missing value problem is common in statistics and has been of interest for years. This article considers two modern techniques in handling missing data for linear functional relationship model (LFRM) namely the Expectation-Maximization (EM) algorithm and Expectation-Maximization with Bootstrapping (EMB) algorithm using three performance indicators; namely the mean absolute error (MAE), root mean square error (RMSE) and estimated biased (EB). In this study, we applied the methods of imputing missing values in two types of LFRM namely the full model of LFRM and in LFRM when the slope is estimated using a nonparametric method. Results of the simulation study suggest that EMB algorithm performs much better than EM algorithm in both models. We also illustrate the applicability of the approach in a real data set.

Keywords: expectation-maximization, expectation-maximization with bootstrapping, linear functional relationship model, performance indicators

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Authors: Jamileh Darsareh, Mohammad Nikafrooz

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Some teachers and e-content producers, based on their experiences, try to produce educational videos using screen recording software. There are many challenges that they may encounter while producing screen-recorded videos. These are in the domains of technical and pedagogical challenges like designing the roadmap, preparing the screen, setting the recording software and recording the screen, editing, etc. This study is a descriptive study and tries to present some procedures for producing acceptable and well-made videos. These procedures are presented in the form of an algorithm for producing screen-recorded video. This algorithm presents the main producing phases, including design, pre-production, production, post-production, and distribution. These phases consist of some steps which are supported by several technical and pedagogical considerations. Following these phases and steps according to the suggested order helps the producers to produce their intended and desired video by saving time and also facing fewer technical problems. It is expected that by using this algorithm, e-content producers and teachers gain better performance in producing educational videos.

Keywords: e-content producing algorithm, screen-recorded videos, screen recording software, technical and pedagogical considerations

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Authors: Rimmy Yadav, Avtar Singh

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—Ant Colony Optimization (ACO) is a promising modern approach to the unused combinatorial optimization. Here ACO is applied to finding the shortest during communication link failure. In this paper, the performances of the prim’s and ACO algorithm are made. By comparing the time complexity and program execution time as set of parameters, we demonstrate the pleasant performance of ACO in finding excellent solution to finding shortest path during communication link failure.

Keywords: ant colony optimization, link failure, prim’s algorithm, shortest path

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Authors: Jiahe Liu, Hongyang Yu, Feng Qian, Miao Luo

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SMPL-X was a powerful parametric human body model that included male, neutral, and female models, with significant gender differences between these three models. During the process of 3D human body reconstruction, the correct selection of standard templates was crucial for obtaining accurate results. To address this issue, we developed an efficient gender classification algorithm to automatically select the appropriate template for 3D human body reconstruction. The key to this gender classification algorithm was the precise analysis of human body features. By using the SMPL-X model, the algorithm could detect and identify gender features of the human body, thereby determining which standard template should be used. The accuracy of this algorithm made the 3D reconstruction process more accurate and reliable, as it could adjust model parameters based on individual gender differences. SMPL-X and the related gender classification algorithm have brought important advancements to the field of 3D human body reconstruction. By accurately selecting standard templates, they have improved the accuracy of reconstruction and have broad potential in various application fields. These technologies continue to drive the development of the 3D reconstruction field, providing us with more realistic and accurate human body models.

Keywords: gender classification, joint detection, SMPL-X, 3D reconstruction

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Authors: Arslan Ellahi, Syed Amjad Hussain

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Software Testing is a vital process in software development life cycle. We can attain the quality of software after passing it through software testing phase. We have tried to find out automatic test data generation techniques that are a key research area of software testing to achieve test automation that can eventually decrease testing time. In this paper, we review some of the approaches presented in the literature which use evolutionary search based algorithms like Genetic Algorithm, Particle Swarm Optimization (PSO), etc. to validate the test data generation process. We also look into the quality of test data generation which increases or decreases the efficiency of testing. We have proposed test data generation techniques for model-based testing. We have worked on tuning and fitness function of PSO algorithm.

Keywords: search based, evolutionary algorithm, particle swarm optimization, genetic algorithm, test data generation

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Authors: P. K. Singhal, R. Naresh, V. Sharma

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This paper presents the three optimization models, namely New Binary Artificial Bee Colony (NBABC) algorithm, NBABC with Local Search (NBABC-LS), and NBABC with Genetic Crossover (NBABC-GC) for solving the Wind-Thermal Unit Commitment (WTUC) problem. The uncertain nature of the wind power is incorporated using the Weibull probability density function, which is used to calculate the overestimation and underestimation costs associated with the wind power fluctuation. The NBABC algorithm utilizes a mechanism based on the dissimilarity measure between binary strings for generating the binary solutions in WTUC problem. In NBABC algorithm, an intelligent scout bee phase is proposed that replaces the abandoned solution with the global best solution. The local search operator exploits the neighboring region of the current solutions, whereas the integration of genetic crossover with the NBABC algorithm increases the diversity in the search space and thus avoids the problem of local trappings encountered with the NBABC algorithm. These models are then used to decide the units on/off status, whereas the lambda iteration method is used to dispatch the hourly load demand among the committed units. The effectiveness of the proposed models is validated on an IEEE 10-unit thermal system combined with a wind farm over the planning period of 24 hours.

Keywords: artificial bee colony algorithm, economic dispatch, unit commitment, wind power

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Authors: Ira Slabodar

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Autonomous learning in English as a Foreign Language (EFL) refers to the use of target language, learner collaboration and students’ responsibility for their learning. Teachers play a vital role of mediators and facilitators in self-regulated method. Thus, their perception of self-guided practices dictates their implementation of this approach. While research has predominantly focused on inadequate administration of autonomous learning in school mostly due to lack of appropriate teacher training, this study examined whether novice teachers who were exposed to extensive autonomous practices were likely to implement this method in their teaching. Twelve novice teachers were interviewed to examine their perception of learner autonomy and their administration of this method. It was found that three-thirds of the respondents experienced a gap between familiarity with autonomous learning and a favorable attitude to this approach and their deficient integration of self-directed learning. Although learner-related and institution-oriented factors played a role in this gap, it was mostly caused by the respondents’ not being genuinely autonomous. This may be due to indirect exposure rather than explicit introduction of the learner autonomy approach. The insights of this research may assist curriculum designers and heads of teacher training programs to rethink course composition to guarantee the transfer of methodologies into EFL classes.

Keywords: learner autonomy, teacher training, english as a foreign language (efl), genuinely autonomous teachers, explicit instruction, self-determination theory

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Authors: Deepa Das, Susmita Das

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Cognitive Radio (CR) is an emerging technology to combat the spectrum scarcity issues. This is achieved by consistently sensing the spectrum, and detecting the under-utilized frequency bands without causing undue interference to the primary user (PU). In soft decision fusion (SDF) based cooperative spectrum sensing, various evolutionary algorithms have been discussed, which optimize the weight coefficient vector for maximizing the detection performance. In this paper, we propose the hybrid invasive weed optimization and particle swarm optimization (IWO/PSO) algorithm as a fast and global optimization method, which improves the detection probability with a lesser sensing time. Then, the efficiency of this algorithm is compared with the standard invasive weed optimization (IWO), particle swarm optimization (PSO), genetic algorithm (GA) and other conventional SDF based methods on the basis of convergence and detection probability.

Keywords: cognitive radio, spectrum sensing, soft decision fusion, GA, PSO, IWO, hybrid IWO/PSO

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Authors: Jiahe Liu, HongyangYu, Feng Qian, Miao Luo

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The aim of this study was to improve the effects of human body 3D reconstruction. The MvP algorithm was adopted to obtain key point information from multiple perspectives. This algorithm allowed the capture of human posture and joint positions from multiple angles, providing more comprehensive and accurate data. The study also incorporated the SMPL-X model, which has been widely used for human body modeling, to achieve more accurate 3D reconstruction results. The use of the MvP algorithm made it possible to observe the reconstructed object from multiple angles, thus reducing the problems of blind spots and missing information. This algorithm was able to effectively capture key point information, including the position and rotation angle of limbs, providing key data for subsequent 3D reconstruction. Compared with traditional single-view methods, the method of multi-view fusion significantly improved the accuracy and stability of reconstruction. By combining the MvP algorithm with the SMPL-X model, we successfully achieved better human body 3D reconstruction effects. The SMPL-X model is highly scalable and can generate highly realistic 3D human body models, thus providing more detail and shape information.

Keywords: 3D human reconstruction, multi-view, joint point, SMPL-X

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Authors: Mafarja Majdi, Salwani Abdullah, Najmeh S. Jaddi

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One of the global combinatorial optimization problems in machine learning is feature selection. It concerned with removing the irrelevant, noisy, and redundant data, along with keeping the original meaning of the original data. Attribute reduction in rough set theory is an important feature selection method. Since attribute reduction is an NP-hard problem, it is necessary to investigate fast and effective approximate algorithms. In this paper, we proposed two feature selection mechanisms based on memetic algorithms (MAs) which combine the genetic algorithm with a fuzzy record to record travel algorithm and a fuzzy controlled great deluge algorithm to identify a good balance between local search and genetic search. In order to verify the proposed approaches, numerical experiments are carried out on thirteen datasets. The results show that the MAs approaches are efficient in solving attribute reduction problems when compared with other meta-heuristic approaches.

Keywords: rough set theory, attribute reduction, fuzzy logic, memetic algorithms, record to record algorithm, great deluge algorithm

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Authors: Qazi Salman Khalid, Muhammad Khalid, Shahid Maqsood

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This paper presents a solution for optimizing the cycle time in an assembly line with human-robot collaboration and diverse operators. A genetic algorithm with tailored parameters is used to address the assembly line balancing problem in the automobile sector. A mathematical model is developed, depicting the problem. Currently, the firm runs on the largest candidate rule; however, it causes a lag in orders, which ultimately gets penalized. The results of the study show that the proposed GA is effective in providing efficient solutions and that the cycle time has significantly impacted productivity.

Keywords: line balancing, cycle time, genetic algorithm, productivity

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Authors: Zhang Xiaodong, Tang Zixin, Liu Xin

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In order to avoid self-collision of space manipulators during operation process, a real-time detection method is proposed in this paper. The manipulator is fitted into a cylinder enveloping surface, and then the detection algorithm of collision between cylinders is analyzed. The collision model of space manipulator self-links can be detected by using this algorithm in real-time detection during the operation process. To ensure security of the operation, a safety threshold is designed. The simulation and experiment results verify the effectiveness of the proposed algorithm for a 7-DOF space manipulator.

Keywords: space manipulator, collision detection, self-collision, the real-time collision detection

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Authors: Mahtab Makaremi Masouleh, Günter Wozniak

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This work is part of a major research project concerning the design of a light temporary installable textile flood control structure. The motivation for this work is the great need of applying light structures for the protection of coastal areas from detrimental effects of rapid water runoff. The prime objective of the study is the numerical analysis of the interaction among free surface water flow and slender shaped pliable structures, playing a key role in safety performance of the intended system. First, the behavior of down scale membrane is examined under hydrostatic pressure by the Abaqus explicit solver, which is part of the finite element based commercially available SIMULIA software. Then the procedure to achieve a stable and convergent solution for strongly coupled media including fluids and structures is explained. A partitioned strategy is imposed to make both structures and fluids be discretized and solved with appropriate formulations and solvers. In this regard, finite element method is again selected to analyze the structural domain. Moreover, computational fluid dynamics algorithms are introduced for solutions in flow domains by means of a commercial package of Star CCM+. Likewise, SIMULIA co-simulation engine and an implicit coupling algorithm, which are available communication tools in commercial package of the Star CCM+, enable powerful transmission of data between two applied codes. This approach is discussed for two different cases and compared with available experimental records. In one case, the down scale membrane interacts with open channel flow, where the flow velocity increases with time. The second case illustrates, how the full scale flexible flood barrier behaves when a massive flotsam is accelerated towards it.

Keywords: finite element formulation, finite volume algorithm, fluid-structure interaction, light pliable structure, VOF multiphase model

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Authors: Konstantinos Metaxiotis, Konstantinos Liagkouras

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The objective of this study is to examine the performance of three well-known multiobjective evolutionary algorithms for solving optimization problems. The first algorithm is the Non-dominated Sorting Genetic Algorithm-II (NSGA-II), the second one is the Strength Pareto Evolutionary Algorithm 2 (SPEA-2), and the third one is the Multiobjective Evolutionary Algorithms based on decomposition (MOEA/D). The examined multiobjective algorithms are analyzed and tested on the ZDT set of test functions by three performance metrics. The results indicate that the NSGA-II performs better than the other two algorithms based on three performance metrics.

Keywords: MOEAs, multiobjective optimization, ZDT test functions, evolutionary algorithms

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Authors: Rosa L. Figueroa, Christopher A. Flores, Qing Zeng-Treitler

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A regular expression consists of sequence characters which allow describing a text path. Usually, in clinical research, regular expressions are manually created by programmers together with domain experts. Lately, there have been several efforts to investigate how to generate them automatically. This article presents a text classification algorithm based on regexes. The algorithm named REX was designed, and then, implemented as a simplified method to create regexes to classify Spanish text automatically. In order to classify ambiguous cases, such as, when multiple labels are assigned to a testing example, REX includes an information gain method Two sets of data were used to evaluate the algorithm’s effectiveness in clinical text classification tasks. The results indicate that the regular expression based classifier proposed in this work performs statically better regarding accuracy and F-measure than Support Vector Machine and Naïve Bayes for both datasets.

Keywords: information gain, regular expressions, smith-waterman algorithm, text classification

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Authors: Ernesto Linan, Linda Cruz, Lucero Becerra

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In this paper, a new hybridized algorithm based on Chemical Reaction Optimization and Simulated Annealing is proposed to solve the alignment sequence Problem. The Chemical Reaction Optimization is a population-based meta-heuristic algorithm based on the principles of a chemical reaction. Simulated Annealing is applied to solve a large number of combinatorial optimization problems of general-purpose. In this paper, we propose hybridization between Chemical Reaction Optimization algorithm and Simulated Annealing in order to solve the Sequence Alignment Problem. An initial population of molecules is defined at beginning of the proposed algorithm, where each molecule represents a sequence alignment problem. In order to simulate inter-molecule collisions, the process of Chemical Reaction is placed inside the Metropolis Cycle at certain values of temperature. Inside this cycle, change of molecules is done due to collisions; some molecules are accepted by applying Boltzmann probability. The results with the hybrid scheme are better than the results obtained separately.

Keywords: chemical reaction optimization, sequence alignment problem, simulated annealing algorithm, metaheuristics

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Authors: Ousmane Youme, Jean Marie Dembele, Eugene Ezin, Christophe Cambier

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In recent years, the convolutional neural networks (CNN) architectures designed by evolution algorithms have proven to be competitive with handcrafted architectures designed by experts. However, these algorithms need a lot of computational power, which is beyond the capabilities of most researchers and engineers. To overcome this problem, we propose an evolution architecture under length constraints. It consists of two algorithms: a search length strategy to find an optimal space and a search architecture strategy based on a genetic algorithm to find the best individual in the optimal space. Our algorithms drastically reduce resource costs and also keep good performance. On the Cifar-10 dataset, our framework presents outstanding performance with an error rate of 5.12% and only 4.6 GPU a day to converge to the optimal individual -22 GPU a day less than the lowest cost automatic evolutionary algorithm in the peer competition.

Keywords: CNN architecture, genetic algorithm, evolution algorithm, length constraints

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Authors: Yan-Ren Chen, Jenn-Kaie Lain

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This paper proposes a novel indoor positioning algorithm based on visible light communications, implemented by light-emitting diode fixtures. In the proposed positioning algorithm, distances between light-emitting diode fixtures and mobile terminal are derived from the assumption of ideal Lambertian optic radiation model, and Trilateration positioning method is proceeded immediately to get the coordinates of mobile terminal. The proposed positioning algorithm directly obtains distance information from the optical signal modeling, and therefore, statistical distribution of received signal strength at different positions in interior space has no need to be pre-established. Numerically, simulation results have shown that the proposed indoor positioning algorithm can provide accurate location coordinates estimation.

Keywords: indoor positioning, received signal strength, trilateration, visible light communications

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Authors: Abdel-Maksoud Abdel-Kader Soliman

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The General Regularized Long Wave (GRLW) equation is solved numerically by giving a new algorithm based on collocation method using quartic B-splines at the mid-knot points as element shape. Also, we use the Fourth Runge-Kutta method for solving the system of first order ordinary differential equations instead of finite difference method. Our test problems, including the migration and interaction of solitary waves, are used to validate the algorithm which is found to be accurate and efficient. The three invariants of the motion are evaluated to determine the conservation properties of the algorithm.

Keywords: generalized RLW equation, solitons, quartic b-spline, nonlinear partial differential equations, difference equations

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Authors: Felix Givois, Nicolas R. Gauger, Matthias Kabel

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The efficient digital material characterization is of great interest to many fields of application. It consists of the following three steps. First, a 3D reconstruction of 2D scans must be performed. Then, the resulting gray-value image of the material sample is enhanced by image processing methods. Finally, partial differential equations (PDE) are solved on the segmented image, and by averaging the resulting solutions fields, effective properties like stiffness or conductivity can be computed. Due to the high resolution of current CT images, the latter is typically performed with matrix-free solvers. Among them, a solver that uses the explicit formula of the Green-Eshelby operator in Fourier space has been proposed by Moulinec and Suquet. Its algorithmic, most complex part is the Fast Fourier Transformation (FFT). In our talk, we will discuss the potential quantum advantage that can be obtained by replacing the FFT with the Quantum Fourier Transformation (QFT). We will especially show that the data transfer for noisy intermediate-scale quantum (NISQ) devices can be improved by using appropriate boundary conditions for the PDE, which also allows using semi-classical versions of the QFT. In the end, we will compare the results of the QFT-based algorithm for simple geometries with the results of the FFT-based homogenization method.

Keywords: most likelihood amplitude estimation (MLQAE), numerical homogenization, quantum Fourier transformation (QFT), NISQ devises

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Authors: Seyyedeh Faezeh Hassani Ziabari, Sadegh Eskandari, Maziar Salahi

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Infinite Feature Selection (IFS) algorithm is an efficient feature selection algorithm that selects a subset of features of all sizes (including infinity). In this paper, we present an improved version of it, called clustering IFS (CIFS), by clustering the dataset in advance. To do so, first, we apply the K-means algorithm to cluster the dataset, then we apply IFS. In the CIFS method, the spatial and temporal complexities are reduced compared to the IFS method. Experimental results on 6 datasets show the superiority of CIFS compared to IFS in terms of accuracy, running time, and memory consumption.

Keywords: feature selection, infinite feature selection, clustering, graph

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Authors: Clarinda V. Nhangumbe, Ercília Sousa

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Weather Derivatives are financial instruments used to cover non-catastrophic weather events and can be expressed in the form of standard or plain vanilla products, structured or exotics products. The underlying asset, in this case, is the weather index, such as temperature, rainfall, humidity, wind, and snowfall. The complexity of the Weather Derivatives structure shows the weakness of the Black Scholes framework. Therefore, under the risk-neutral probability measure, the option price of a weather contract can be given as a unique solution of a two-dimensional partial differential equation (parabolic in one direction and hyperbolic in other directions), with an initial condition and subjected to adequate boundary conditions. To calculate the price of the option, one can use numerical methods such as the Monte Carlo simulations and implicit finite difference schemes conjugated with Semi-Lagrangian methods. This paper is proposed two explicit methods, namely, first-order upwind in the hyperbolic direction combined with Lax-Wendroff in the parabolic direction and first-order upwind in the hyperbolic direction combined with second-order upwind in the parabolic direction. One of the advantages of these methods is the fact that they take into consideration the boundary conditions obtained from the financial interpretation and deal efficiently with the different choices of the convection coefficients.

Keywords: incomplete markets, numerical methods, partial differential equations, stochastic process, weather derivatives

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Authors: Alireza Gholami, Amir H. D. Markazi

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In this paper, an observer-based direct adaptive fuzzy sliding mode (OAFSM) algorithm is proposed. In the proposed algorithm, the zero-input dynamics of the plant could be unknown. The input connection matrix is used to combine the sliding surfaces of individual subsystems, and an adaptive fuzzy algorithm is used to estimate an equivalent sliding mode control input directly. The fuzzy membership functions, which were determined by time consuming try and error processes in previous works, are adjusted by adaptive algorithms. The other advantage of the proposed controller is that the input gain matrix is not limited to be diagonal, i.e. the plant could be over/under actuated provided that controllability and observability are preserved. An observer is constructed to directly estimate the state tracking error, and the nonlinear part of the observer is constructed by an adaptive fuzzy algorithm. The main advantage of the proposed observer is that, the measured outputs is not limited to the first entry of a canonical-form state vector. The closed-loop stability of the proposed method is proved using a Lyapunov-based approach. The proposed method is applied numerically on a multi-link robot manipulator, which verifies the performance of the closed-loop control. Moreover, the performance of the proposed algorithm is compared with some conventional control algorithms.

Keywords: adaptive algorithm, fuzzy systems, membership functions, observer

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Authors: Peter Shi

Abstract:

Algorithmic trading is a rapidly expanding domain within quantitative finance, constituting a substantial portion of trading volumes in the US financial market. The demand for rigorous and robust mathematical theories underpinning these trading algorithms is ever-growing. In this study, the author establishes a new stock market model that integrates the Efficient Market Hypothesis and the statistical arbitrage. The model, for the first time, finds probabilistic relations between the rational price and the market price in terms of the conditional expectation. The theory consequently leads to a mathematical justification of the old market adage: buy-low and sell-high. The thresholds for “low” and “high” are precisely derived using a max-min operation on Bayes’s error. This explicit connection harmonizes the Efficient Market Hypothesis and Statistical Arbitrage, demonstrating their compatibility in explaining market dynamics. The amalgamation represents a pioneering contribution to quantitative finance. The study culminates in comprehensive numerical tests using historical market data, affirming that the “buy-low” and “sell-high” algorithm derived from this theory significantly outperforms the general market over the long term in four out of six distinct market environments.

Keywords: efficient market hypothesis, behavioral finance, Bayes' decision, algorithmic trading, risk control, stock market

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