Search results for: fiber beam-column model
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 7829

Search results for: fiber beam-column model

7409 Analysis of Explosive Shock Wave and its Application in Snow Avalanche Release

Authors: Mahmoud Zarrini, R. N. Pralhad

Abstract:

Avalanche velocity (from start to track zone) has been estimated in the present model for an avalanche which is triggered artificially by an explosive devise. The initial development of the model has been from the concept of micro-continuum theories [1], underwater explosions [2] and from fracture mechanics [3] with appropriate changes to the present model. The model has been computed for different slab depth R, slope angle θ, snow density ¤ü, viscosity μ, eddy viscosity η*and couple stress parameter η. The applicability of the present model in the avalanche forecasting has been highlighted.

Keywords: Snow avalanche velocity, avalanche zones, shockwave, couple stress fluids.

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7408 Solitons in Nonlinear Optical Lattices

Authors: Tapas Kumar Sinha, Joseph Mathew

Abstract:

Based on the Lagrangian for the Gross –Pitaevskii equation as derived by H. Sakaguchi and B.A Malomed [5] we have derived a double well model for the nonlinear optical lattice. This model explains the various features of nonlinear optical lattices. Further, from this model we obtain and simulate the probability for tunneling from one well to another which agrees with experimental results [4].

Keywords: Double well model, nonlinear optical lattice, Solitons, tunneling.

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7407 Calculation of Masses and Magnetic Moment of the Nucleon using the MIT Bag Model

Authors: Mahvash Zandy Navgaran, Maryam Momeni Feili

Abstract:

The bag radius of the nucleon can be determined by MIT bag model based on electric and magnetic form factors of the nucleon. Also we determined the masses and magnetic moment of the nucleon with MIT bag model, using bag radius and compared with other results, suggests a suitable compatibility.

Keywords: MIT bag model, masses and magnetic moment of thenucleon, bag radius of the nucleon.

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7406 Reduction of Rotor-Bearing-Support Finite Element Model through Substructuring

Authors: Abdur Rosyid, Mohamed El-Madany, Mohanad Alata

Abstract:

Due to simplicity and low cost, rotordynamic system is often modeled by using lumped parameters. Recently, finite elements have been used to model rotordynamic system as it offers higher accuracy. However, it involves high degrees of freedom. In some applications such as control design, this requires higher cost. For this reason, various model reduction methods have been proposed. This work demonstrates the quality of model reduction of rotor-bearing-support system through substructuring. The quality of the model reduction is evaluated by comparing some first natural frequencies, modal damping ratio, critical speeds, and response of both the full system and the reduced system. The simulation shows that the substructuring is proven adequate to reduce finite element rotor model in the frequency range of interest as long as the number and the location of master nodes are determined appropriately. However, the reduction is less accurate in an unstable or nearly-unstable system.

Keywords: Finite element model, rotordynamic system, model reduction, substructuring.

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7405 Validation of a Fluid-Structure Interaction Model of an Aortic Dissection versus a Bench Top Model

Authors: K. Khanafer

Abstract:

The aim of this investigation was to validate the fluid-structure interaction (FSI) model of type B aortic dissection with our experimental results from a bench-top-model. Another objective was to study the relationship between the size of a septectomy that increases the outflow of the false lumen and its effect on the values of the differential of pressure between true lumen and false lumen. FSI analysis based on Galerkin’s formulation was used in this investigation to study flow pattern and hemodynamics within a flexible type B aortic dissection model using boundary conditions from our experimental data. The numerical results of our model were verified against the experimental data for various tear size and location. Thus, CFD tools have a potential role in evaluating different scenarios and aortic dissection configurations.

Keywords: Aortic dissection, fluid-structure interaction, in vitro model, numerical.

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7404 Neuro-fuzzy Model and Regression Model a Comparison Study of MRR in Electrical Discharge Machining of D2 Tool Steel

Authors: M. K. Pradhan, C. K. Biswas,

Abstract:

In the current research, neuro-fuzzy model and regression model was developed to predict Material Removal Rate in Electrical Discharge Machining process for AISI D2 tool steel with copper electrode. Extensive experiments were conducted with various levels of discharge current, pulse duration and duty cycle. The experimental data are split into two sets, one for training and the other for validation of the model. The training data were used to develop the above models and the test data, which was not used earlier to develop these models were used for validation the models. Subsequently, the models are compared. It was found that the predicted and experimental results were in good agreement and the coefficients of correlation were found to be 0.999 and 0.974 for neuro fuzzy and regression model respectively

Keywords: Electrical discharge machining, material removal rate, neuro-fuzzy model, regression model, mountain clustering.

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7403 Nonlinear Model Predictive Control for Solid Oxide Fuel Cell System Based On Wiener Model

Authors: T. H. Lee, J. H. Park, S. M. Lee, S. C. Lee

Abstract:

In this paper, we consider Wiener nonlinear model for solid oxide fuel cell (SOFC). The Wiener model of the SOFC consists of a linear dynamic block and a static output non-linearity followed by the block, in which linear part is approximated by state-space model and the nonlinear part is identified by a polynomial form. To control the SOFC system, we have to consider various view points such as operating conditions, another constraint conditions, change of load current and so on. A change of load current is the significant one of these for good performance of the SOFC system. In order to keep the constant stack terminal voltage by changing load current, the nonlinear model predictive control (MPC) is proposed in this paper. After primary control method is designed to guarantee the fuel utilization as a proper constant, a nonlinear model predictive control based on the Wiener model is developed to control the stack terminal voltage of the SOFC system. Simulation results verify the possibility of the proposed Wiener model and MPC method to control of SOFC system.

Keywords: SOFC, model predictive control, Wiener model.

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7402 Markov Chain Monte Carlo Model Composition Search Strategy for Quantitative Trait Loci in a Bayesian Hierarchical Model

Authors: Susan J. Simmons, Fang Fang, Qijun Fang, Karl Ricanek

Abstract:

Quantitative trait loci (QTL) experiments have yielded important biological and biochemical information necessary for understanding the relationship between genetic markers and quantitative traits. For many years, most QTL algorithms only allowed one observation per genotype. Recently, there has been an increasing demand for QTL algorithms that can accommodate more than one observation per genotypic distribution. The Bayesian hierarchical model is very flexible and can easily incorporate this information into the model. Herein a methodology is presented that uses a Bayesian hierarchical model to capture the complexity of the data. Furthermore, the Markov chain Monte Carlo model composition (MC3) algorithm is used to search and identify important markers. An extensive simulation study illustrates that the method captures the true QTL, even under nonnormal noise and up to 6 QTL.

Keywords: Bayesian hierarchical model, Markov chain MonteCarlo model composition, quantitative trait loci.

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7401 Optimal Network of Secondary Warehouses for Production-Distribution Inventory Model

Authors: G. M. Arun Prasath, N. Arthi

Abstract:

This work proposed a multi-objective mathematical programming approach to select the appropriate supply network elements. The multi-item multi-objective production-distribution inventory model is formulated with possible constraints under fuzzy environment. The unit cost has taken under fuzzy environment. The inventory model and warehouse location model has combined to formulate the production-distribution inventory model. Warehouse location is important in supply chain network. Particularly, if a company maintains more selling stores it cannot maintain individual secondary warehouse near to each selling store. Hence, maintaining the optimum number of secondary warehouses is important. Hence, the combined mathematical model is formulated to reduce the total expenditure of the organization by arranging the network of minimum number of secondary warehouses. Numerical example has been taken to illustrate the proposed model.

Keywords: Fuzzy inventory model, warehouse location model, triangular fuzzy number, secondary warehouse, LINGO software.

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7400 Forecasting Materials Demand from Multi-Source Ordering

Authors: Hui Hsin Huang

Abstract:

The downstream manufactures will order their materials from different upstream suppliers to maintain a certain level of the demand. This paper proposes a bivariate model to portray this phenomenon of material demand. We use empirical data to estimate the parameters of model and evaluate the RMSD of model calibration. The results show that the model has better fitness.

Keywords: Farlie-Gumbel-Morgenstern family of bivariate distributions, multi-source ordering, materials demand quantity, recency, ordering time.

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7399 Framework of TAZ_OPT Model for Ambulance Location and Allocation Problem

Authors: Adibah Shuib, Zati Aqmar Zaharudin

Abstract:

Our study is concerned with the development of an Emergency Medical Services (EMS) ambulance location and allocation model called the Time-based Ambulance Zoning Optimization Model (TAZ_OPT). This paper presents the framework of the study. The model is formulated using the goal programming (GP), where the goals are to determine the satellite locations of ambulances and the number of ambulances to be allocated at these locations. The model aims at maximizing the expected demand coverage based on probability of reaching the emergency location within targetted time, and minimizing the ambulance busyness likelihood value. Among the benefits of the model is the increased accessibility and availability of ambulances, thus, enhanced quality of the EMS ambulance services.

Keywords: Optimization, Ambulance Location, Location facilities.

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7398 SiC Merged PiN and Schottky (MPS) Power Diodes Electrothermal Modeling in SPICE

Authors: A. Lakrim, D. Tahri

Abstract:

This paper sets out a behavioral macro-model of a Merged PiN and Schottky (MPS) diode based on silicon carbide (SiC). This model holds good for both static and dynamic electrothermal simulations for industrial applications. Its parameters have been worked out from datasheets curves by drawing on the optimization method: Simulated Annealing (SA) for the SiC MPS diodes made available in the industry. The model also adopts the Analog Behavioral Model (ABM) of PSPICE in which it has been implemented. The thermal behavior of the devices was also taken into consideration by making use of Foster’ canonical network as figured out from electro-thermal measurement provided by the manufacturer of the device.

Keywords: SiC MPS Diode, electro-thermal, SPICE Model.

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7397 Multisymplectic Geometry and Noether Symmetries for the Field Theories and the Relativistic Mechanics

Authors: H. Loumi-Fergane, A. Belaidi

Abstract:

The problem of symmetries in field theory has been analyzed using geometric frameworks, such as the multisymplectic models by using in particular the multivector field formalism. In this paper, we expand the vector fields associated to infinitesimal symmetries which give rise to invariant quantities as Noether currents for classical field theories and relativistic mechanic using the multisymplectic geometry where the Poincaré-Cartan form has thus been greatly simplified using the Second Order Partial Differential Equation (SOPDE) for multi-vector fields verifying Euler equations. These symmetries have been classified naturally according to the construction of the fiber bundle used.  In this work, unlike other works using the analytical method, our geometric model has allowed us firstly to distinguish the angular moments of the gauge field obtained during different transformations while these moments are gathered in a single expression and are obtained during a rotation in the Minkowsky space. Secondly, no conditions are imposed on the Lagrangian of the mechanics with respect to its dependence in time and in qi, the currents obtained naturally from the transformations are respectively the energy and the momentum of the system.

Keywords: Field theories, relativistic mechanics, Lagrangian formalism, multisymplectic geometry, symmetries, Noether theorem, conservation laws.

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7396 Parametric Study of Vertical Diffusion Still for Water Desalination

Authors: A. Seleem, M. Mortada, M. El Morsi, M. Younan

Abstract:

Diffusion stills have been effective in water desalination. The present work represents a model of the distillation process by using vertical single-effect diffusion stills. A semianalytical model has been developed to model the process. A software computer code using Engineering Equation Solver EES software has been developed to solve the equations of the developed model. An experimental setup has been constructed, and used for the validation of the model. The model is also validated against former literature results. The results obtained from the present experimental test rig, and the data from the literature, have been compared with the results of the code to find its best range of validity. In addition, a parametric analysis of the system has been developed using the model to determine the effect of operating conditions on the system's performance. The dominant parameters that affect the productivity of the still are the hot plate temperature that ranges from (55- 90°C) and feed flow rate in range of (0.00694-0.0211 kg/m2-s).

Keywords: Analytical Model, Solar Distillation, Sustainable Water Systems, Vertical Diffusion Still.

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7395 A Numerical Model for Studying Convectional Lifting Processes in the Tropics

Authors: Chantawan Noisri, Robert Harold Buchanan Exell

Abstract:

A simple model for studying convectional lifting processes in the tropics is described in this paper with some tests of the model in dry air. The model consists of the density equation, the wind equation, the vertical velocity equation, and the temperature equation. The model domain is two-dimensional with length 100 km and height 17.5 km. Plan for experiments to investigate the effects of the heating surface, the deep convection approximation and the treatment of velocities at the boundaries are discussed. Equations for the simplified treatment of moisture in the atmosphere in future numerical experiments are also given.

Keywords: Numerical weather prediction, Finite differences, Convection lifting.

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7394 Validity Domains of Beams Behavioural Models: Efficiency and Reduction with Artificial Neural Networks

Authors: Keny Ordaz-Hernandez, Xavier Fischer, Fouad Bennis

Abstract:

In a particular case of behavioural model reduction by ANNs, a validity domain shortening has been found. In mechanics, as in other domains, the notion of validity domain allows the engineer to choose a valid model for a particular analysis or simulation. In the study of mechanical behaviour for a cantilever beam (using linear and non-linear models), Multi-Layer Perceptron (MLP) Backpropagation (BP) networks have been applied as model reduction technique. This reduced model is constructed to be more efficient than the non-reduced model. Within a less extended domain, the ANN reduced model estimates correctly the non-linear response, with a lower computational cost. It has been found that the neural network model is not able to approximate the linear behaviour while it does approximate the non-linear behaviour very well. The details of the case are provided with an example of the cantilever beam behaviour modelling.

Keywords: artificial neural network, validity domain, cantileverbeam, non-linear behaviour, model reduction.

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7393 MPC of Single Phase Inverter for PV System

Authors: Irtaza M. Syed, Kaamran Raahemifar

Abstract:

This paper presents a model predictive control (MPC) of a utility interactive (UI) single phase inverter (SPI) for a photovoltaic (PV) system at residential/distribution level. The proposed model uses single-phase phase locked loop (PLL) to synchronize SPI with the grid and performs MPC control in a dq reference frame. SPI model consists of boost converter (BC), maximum power point tracking (MPPT) control, and a full bridge (FB) voltage source inverter (VSI). No PI regulators to tune and carrier and modulating waves are required to produce switching sequence. Instead, the operational model of VSI is used to synthesize sinusoidal current and track the reference. Model is validated using a three kW PV system at the input of UI-SPI in Matlab/Simulink. Implementation and results demonstrate simplicity and accuracy, as well as reliability of the model.

Keywords: Matlab/Simulink, Model Predictive Control, Phase Locked Loop, Single Phase Inverter, Voltage Source Inverter.

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7392 Model of Appropriate Science Teaching for Mathayomsuksa 3 (Grade 9) in Ang-Thong Province

Authors: Lertlop, W

Abstract:

This research aims to study the appropriate model of Science teaching for students, academic achievement and to survey students- attitudes toward using appropriate for students in Mathayomsuksa 3 in Ang-Thong province. The research results were as follows: 1. The appropriate model of Science teaching for Mathayomsuksa 3 students in Ang-Thong province including these following five steps: Step 1. The introduction of the lessons. Step 2. Setting the hypothesis. Step 3. Doing the experiment /survey. Step 4. Making conclusion. Step 5. Applying to daily life or other subjects. 2. There is no significant difference between using appropriate model teaching and regular teaching at 0.05 level significant difference. 3. There is a significant difference between before and after teaching using appropriate model of Science teaching at 0.05 level. 4. The satisfaction of students- attitudes to using the appropriate model of Science teaching for students was in intermediate level.

Keywords: Pedagogy, science teaching model, Ang-Thong province.

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7391 Knowledge Management Model for Research Projects Masters Program

Authors: Víctor Hugo Medina García, Darío Alejandro Segura Torres

Abstract:

This paper presents the adaptation of the knowledge management model and intellectual capital measurement NOVA to the needs of work or research project must be developed when conducting a program of graduate-level master. Brackets are added in each of the blocks which is represented in the original model NOVA and which allows to represent those involved in each of these.

Keywords: Knowledge management, masters programs, Nova model, research projects

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7390 Toward a Risk Assessment Model Based On Multi-Agent System for Cloud Consumer

Authors: Saadia Drissi, Siham Benhadou, Hicham Medromi

Abstract:

The cloud computing is an innovative paradigm that introduces several changes in technology that have resulted a new ways for cloud providers to deliver their services to cloud consumers mainly in term of security risk assessment, thus, adapting a current risk assessment tools to cloud computing is a very difficult task due to its several characteristics that challenge the effectiveness of risk assessment approaches. As consequence, there is a need of risk assessment model adapted to cloud computing. This paper requires a new risk assessment model based on multi-agent system and AHP model as fundamental steps towards the development of flexible risk assessment approach regarding cloud consumers.

Keywords: Cloud computing, risk assessment model, multi-agent system, AHP model, cloud consumer.

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7389 2D and 3D Unsteady Simulation of the Heat Transfer in the Sample during Heat Treatment by Moving Heat Source

Authors: Z. Veselý, M. Honner, J. Mach

Abstract:

The aim of the performed work is to establish the 2D and 3D model of direct unsteady task of sample heat treatment by moving source employing computer model on the basis of finite element method. Complex boundary condition on heat loaded sample surface is the essential feature of the task. Computer model describes heat treatment of the sample during heat source movement over the sample surface. It is started from 2D task of sample cross section as a basic model. Possibilities of extension from 2D to 3D task are discussed. The effect of the addition of third model dimension on temperature distribution in the sample is showed. Comparison of various model parameters on the sample temperatures is observed. Influence of heat source motion on the depth of material heat treatment is shown for several velocities of the movement. Presented computer model is prepared for the utilization in laser treatment of machine parts.

Keywords: Computer simulation, unsteady model, heat treatment, complex boundary condition, moving heat source.

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7388 Adaptive Gaussian Mixture Model for Skin Color Segmentation

Authors: Reza Hassanpour, Asadollah Shahbahrami, Stephan Wong

Abstract:

Skin color based tracking techniques often assume a static skin color model obtained either from an offline set of library images or the first few frames of a video stream. These models can show a weak performance in presence of changing lighting or imaging conditions. We propose an adaptive skin color model based on the Gaussian mixture model to handle the changing conditions. Initial estimation of the number and weights of skin color clusters are obtained using a modified form of the general Expectation maximization algorithm, The model adapts to changes in imaging conditions and refines the model parameters dynamically using spatial and temporal constraints. Experimental results show that the method can be used in effectively tracking of hand and face regions.

Keywords: Face detection, Segmentation, Tracking, Gaussian Mixture Model, Adaptation.

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7387 External Effects on Dynamic Competitive Model of Domestic Airline and High Speed Rail

Authors: Shih-Ching Lo, Yu-Ping Liao

Abstract:

Social-economic variables influence transportation demand largely. Analyses of discrete choice model consider social-economic variables to study traveler-s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. Also, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil aviation are employed to calibrate and validate the model. In this study, models with different social-economic variables, which are oil price, GDP per capita, CPI and economic growth rate, are compared. From the results, the model with the oil price is better than models with the other social-economic variables.

Keywords: forecasting, passenger volume, dynamic competitive model, social-economic variables, oil price.

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7386 Javanese Character Recognition Using Hidden Markov Model

Authors: Anastasia Rita Widiarti, Phalita Nari Wastu

Abstract:

Hidden Markov Model (HMM) is a stochastic method which has been used in various signal processing and character recognition. This study proposes to use HMM to recognize Javanese characters from a number of different handwritings, whereby HMM is used to optimize the number of state and feature extraction. An 85.7 % accuracy is obtained as the best result in 16-stated vertical model using pure HMM. This initial result is satisfactory for prompting further research.

Keywords: Character recognition, off-line handwritingrecognition, Hidden Markov Model.

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7385 Analytical Model to Predict the Shear Capacity of Reinforced Concrete Beams Externally Strengthened with CFRP Composites Conditions

Authors: Rajai Al-Rousan

Abstract:

This paper presents a proposed analytical model for predicting the shear strength of reinforced concrete beams strengthened with CFRP composites as external reinforcement. The proposed analytical model can predict the shear contribution of CFRP composites of RC beams with an acceptable coefficient of correlation with the tested results. Based on the comparison of the proposed model with the published well-known models (ACI model, Triantafillou model, and Colotti model), the ACI model had a wider range of 0.16 to 10.08 for the ratio between tested and predicted ultimate shears at failure. Also, an acceptable range of 0.27 to 2.78 for the ratio between tested and predicted ultimate shears by the Triantafillou model. Finally, the best prediction (the ratio between the tested and predicted ones) of the ultimate shear capacity is observed by using Colotti model with a range of 0.20 to 1.78. Thus, the contribution of the CFRP composites as external reinforcement can be predicted with high accuracy by using the proposed analytical model.

Keywords: Predicting, shear capacity, reinforced concrete, beams, strengthened, externally, CFRP composites.

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7384 An Enhanced Artificial Neural Network for Air Temperature Prediction

Authors: Brian A. Smith, Ronald W. McClendon, Gerrit Hoogenboom

Abstract:

The mitigation of crop loss due to damaging freezes requires accurate air temperature prediction models. An improved model for temperature prediction in Georgia was developed by including information on seasonality and modifying parameters of an existing artificial neural network model. Alternative models were compared by instantiating and training multiple networks for each model. The inclusion of up to 24 hours of prior weather information and inputs reflecting the day of year were among improvements that reduced average four-hour prediction error by 0.18°C compared to the prior model. Results strongly suggest model developers should instantiate and train multiple networks with different initial weights to establish appropriate model parameters.

Keywords: Time-series forecasting, weather modeling.

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7383 Potential of Henna Leaves as Dye and Its Fastness Properties on Fabric

Authors: Nkem Angela Udeani

Abstract:

Despite the wide spread use of synthetic dyes, natural dyes are still exploited and used to enhance its inherent aesthetic qualities as a major material for beautification of the body. Centuries before the discovery of synthetic dyes, natural dyes were the only source of dye open to mankind. Dyes are extracted from plant - leaves, roots and barks, insect secretions, and minerals. However, research findings have made it clear that of all, plants- leaves, roots, barks or flowers are the most explored and exploited in which henna (Lawsonia innermis L.) is one of those plants. Experiment has also shown that henna is used in body painting in conjunction with an alkaline (Ammonium Sulphate) as a fixing agent. This of course gives a clue that if colour derived from henna is properly investigated, it may not only be used for body decoration but possibly, may have affinity to fiber substrate. This paper investigates the dyeing potentials – dye ability and fastness qualities of henna dye extracts on cotton and linen fibers using mordants like ammonium sulphate and other alkalis (hydrosulphate and caustic soda, potash, common salt, potassium alum). Hot and cold water and ethanol solvent were used in the extraction of the dye to investigate the most effective method, dye ability, and fastness qualities of these extracts under room temperature. The results of the experiment show that cotton have a high rate of dye intake than other fiber. On a similar note, the colours obtained depend most on the solvent used. In conclusion, hot water extraction appears more effective. While the colours obtained from ethanol and both cold hot methods of extraction range from light to dark yellow, light green to army green and to some extent shades of brown hues.

Keywords: Dye, fabrics, henna leaves, potential.

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7382 Constitutive Modeling of Different Types of Concrete under Uniaxial Compression

Authors: Mostafa Jafarian Abyaneh, Khashayar Jafari, Vahab Toufigh

Abstract:

The cost of experiments on different types of concrete has raised the demand for prediction of their behavior with numerical analysis. In this research, an advanced numerical model has been presented to predict the complete elastic-plastic behavior of polymer concrete (PC), high-strength concrete (HSC), high performance concrete (HPC) along with different steel fiber contents under uniaxial compression. The accuracy of the numerical response was satisfactory as compared to other conventional simple models such as Mohr-Coulomb and Drucker-Prager. In order to predict the complete elastic-plastic behavior of specimens including softening behavior, disturbed state concept (DSC) was implemented by nonlinear finite element analysis (NFEA) and hierarchical single surface (HISS) failure criterion, which is a failure surface without any singularity.

Keywords: Disturbed state concept, hierarchical single surface, failure criterion, high performance concrete, high-strength concrete, nonlinear finite element analysis, polymer concrete, steel fibers, uniaxial compression test.

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7381 Discovering the Dimension of Abstractness: Structure-Based Model that Learns New Categories and Categorizes on Different Levels of Abstraction

Authors: Georgi I. Petkov, Ivan I. Vankov, Yolina A. Petrova

Abstract:

A structure-based model of category learning and categorization at different levels of abstraction is presented. The model compares different structures and expresses their similarity implicitly in the forms of mappings. Based on this similarity, the model can categorize different targets either as members of categories that it already has or creates new categories. The model is novel using two threshold parameters to evaluate the structural correspondence. If the similarity between two structures exceeds the higher threshold, a new sub-ordinate category is created. Vice versa, if the similarity does not exceed the higher threshold but does the lower one, the model creates a new category on higher level of abstraction.

Keywords: Analogy-making, categorization, learning of categories, abstraction, hierarchical structure.

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7380 A Mean–Variance–Skewness Portfolio Optimization Model

Authors: Kostas Metaxiotis

Abstract:

Portfolio optimization is one of the most important topics in finance. This paper proposes a mean–variance–skewness (MVS) portfolio optimization model. Traditionally, the portfolio optimization problem is solved by using the mean–variance (MV) framework. In this study, we formulate the proposed model as a three-objective optimization problem, where the portfolio's expected return and skewness are maximized whereas the portfolio risk is minimized. For solving the proposed three-objective portfolio optimization model we apply an adapted version of the non-dominated sorting genetic algorithm (NSGAII). Finally, we use a real dataset from FTSE-100 for validating the proposed model.

Keywords: Evolutionary algorithms, portfolio optimization, skewness, stock selection.

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