Search results for: financial time series.

Authors: Wudhichai Assawinchaichote, Sing Kiong Nguang

Abstract:

This paper examines the problem of designing a robust H8 state-feedback controller for a class of nonlinear two-time scale systems with Markovian Jumps described by a Takagi-Sugeno (TS) fuzzy model. Based on a linear matrix inequality (LMI) approach, LMI-based sufficient conditions for the uncertain Markovian jump nonlinear two-time scale systems to have an H8 performance are derived. The proposed approach does not involve the separation of states into slow and fast ones and it can be applied not only to standard, but also to nonstandard nonlinear two-time scale systems. A numerical example is provided to illustrate the design developed in this paper.

Keywords: TS fuzzy, Markovian jumps, LMI, two-time scale systems.

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Authors: Dimitra Alexiou

Abstract:

During the last 10 years, in spite of the economic crisis, the number of tourists arriving in Greece has increased, particularly during the tourist season from April to October. In this paper, the number of annual tourist arrivals is studied to explore their preferences with regard to the month of travel, the selected destinations, as well the amount of money spent. The collected data are processed with statistical methods, yielding numerical and graphical results. From the computation of statistical parameters and the forecasting with exponential smoothing, useful conclusions are arrived at that can be used by the Greek tourism authorities, as well as by tourist organizations, for planning purposes for the coming years. The results of this paper and the computed forecast can also be used for decision making by private tourist enterprises that are investing in Greece. With regard to the statistical methods, the method of Simple Exponential Smoothing of time series of data is employed. The search for a best forecast for 2017 and 2018 provides the value of the smoothing coefficient. For all statistical computations and graphics Microsoft Excel is used.

Keywords: Tourism, statistical methods, exponential smoothing, land spatial planning, economy, Microsoft Excel.

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Authors: T. S. Serniabat, M. N. N. Khan, M. F. M. Zain

Abstract:

Climate change and environmental pressures are major international issues nowadays. It is time when governments, businesses and consumers have to respond through more environmentally friendly and aware practices, products and policies. This is the prime time to develop alternative sustainable construction materials, reduce greenhouse gas emissions, save energy, look to renewable energy sources and recycled materials, and reduce waste. The utilization of waste materials (slag, fly ash, glass beads, plastic and so on) in concrete manufacturing is significant due to its engineering, financial, environmental and ecological benefits. Thus, utilization of waste materials in concrete production is very much helpful to reach the goal of the sustainable construction. Therefore, this study intends to use glass beads in concrete production. The paper reports on the performance of 9 different concrete mixes containing different ratios of glass crushed to 5 mm - 20 mm maximum size and glass marble of 20 mm size as coarse aggregate. Ordinary Portland cement type 1 and fine sand less than 0.5 mm were used to produce standard concrete cylinders. Compressive strength tests were carried out on concrete specimens at various ages. Test results indicated that the mix having the balanced ratio of glass beads and round marbles possess maximum compressive strength which is 3889 psi, as glass beads perform better in bond formation but have lower strength, on the other hand marbles are strong in themselves but not good in bonding. These mixes were prepared following a specific W/C and aggregate ratio; more strength can be expected to achieve from different W/C, aggregate ratios, adding admixtures like strength increasing agents, ASR inhibitor agents etc.

Keywords: Waste glass, recycling, environmentally friendly, glass aggregate, strength development.

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Authors: Carlos Sanchís-Pedregosa, José A. D. M achuca, María del Mar González-Zamora

Abstract:

The growing outsourcing of logistics services resulting from the ongoing current in firms of costs reduction/increased efficiency means that it is becoming more and more important for the companies doing the outsourcing to carry out a proper evaluation. The multiple definitions and measures of logistics service performance found in research on the topic create a certain degree of confusion and do not clear the way towards the proper measurement of their performance. Do a model and a specific set of indicators exist that can be considered appropriate for measuring the performance of logistics services outsourcing in industrial environments? Are said indicators in keeping with the objectives pursued by outsourcing? We aim to answer these and other research questions in the study we have initiated in the field within the framework of the international High Performance Manufacturing (HPM) project of which this paper forms part. As the first stage of this research, this paper reviews articles dealing with the topic published in the last 15 years with the aim of detecting the models most used to make this measurement and determining which performance indicators are proposed as part of said models and which are most used. The first steps are also taken in determining whether these indicators, financial and operational, cover the aims that are being pursued when outsourcing logistics services. The findings show there is a wide variety of both models and indicators used. This would seem to testify to the need to continue with our research in order to try to propose a model and a set of indicators for measuring the performance of logistics services outsourcing in industrial environments.

Keywords: Logistics, objectives, outsourcing, performancemeasurement systems

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Authors: Seyed Mohammad Reza Hosseini

Abstract:

The new institutional Economics helps generalization and expansion of new classic by adding the institution theories to Economic. It is clear that the appropriate institution is among the factors that lead to success in Economic programs. If the institutional are appropriate, the society will save the source and when we make use of time to apply the program, there will be welfare and average revenue product will also increase. In Economy, one should not expect the real manifestation of Economic programs only with a model for estimating and predicting rather institutions of the same purpose and along with production are needed to form the process of growth and development costs. In this research, the institution role in transaction costs, financial markets, distribution of revenue and capital and its influence on the process of growth and development are investigated so that handicaps and problems of Iran Economic Institutions can be recognized. In other words, incapability, non productivity and ambiguity of the institution in Iran Economic are some of the factors that handicap Economic growth and development. For example, Iran government as an important institution while having 20 ministries,83 organizations and 60 years of programming could not go along the growth and development but why?

Keywords: Institution, New institutional economics, Transaction costs.

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Authors: Sašo Pečnik, Borut Žalik

Abstract:

This paper presents a real-time visualization technique and filtering of classified LiDAR point clouds. The visualization is capable of displaying filtered information organized in layers by the classification attribute saved within LiDAR datasets. We explain the used data structure and data management, which enables real-time presentation of layered LiDAR data. Real-time visualization is achieved with LOD optimization based on the distance from the observer without loss of quality. The filtering process is done in two steps and is entirely executed on the GPU and implemented using programmable shaders.

Keywords: Filtering, graphics, level-of-details, LiDAR, realtime visualization.

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Authors: K. P. Oyeduntan, K. Oshinubi

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Nigeria is referred as the ‘Giant of Africa’ due to high population, land mass and large economy. However, it still trails far behind many smaller economies in the continent in terms of maritime operations. As we have seen that the maritime industry is the sparkplug for national growth, because it houses the most crucial infrastructure that generates wealth for a nation, it is worrisome that a nation with six seaports lag in maritime activities. In this research, we have studied how the Gross Domestic Product (GDP) of the maritime transport influences the Nigerian economy. To do this, we applied Simple Linear Regression (SLR), Support Vector Machine (SVM), Polynomial Regression Model (PRM), Generalized Additive Model (GAM) and Generalized Linear Mixed Model (GLMM) to model the relationship between the nation’s Total GDP (TGDP) and the Maritime Transport GDP (MGDP) using a time series data of 20 years. The result showed that the MGDP is statistically significant to the Nigerian economy. Amongst the statistical tool applied, the PRM of order 4 describes the relationship better when compared to other methods. The recommendations presented in this study will guide policy makers and help improve the economy of Nigeria.

Keywords: Economy, GDP, maritime transport, port, regression.

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Authors: Rami El-Hajj Mohamad, Mahmoud Skafi, Ali Massoud Haidar

Abstract:

Several meteorological parameters were used for the  prediction of monthly average daily global solar radiation on  horizontal using recurrent neural networks (RNNs). Climatological  data and measures, mainly air temperature, humidity, sunshine  duration, and wind speed between 1995 and 2007 were used to design  and validate a feed forward and recurrent neural network based  prediction systems. In this paper we present our reference system  based on a feed-forward multilayer perceptron (MLP) as well as the  proposed approach based on an RNN model. The obtained results  were promising and comparable to those obtained by other existing  empirical and neural models. The experimental results showed the  advantage of RNNs over simple MLPs when we deal with time series  solar radiation predictions based on daily climatological data.

Keywords: Recurrent Neural Networks, Global Solar Radiation, Multi-layer perceptron, gradient, Root Mean Square Error.

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Authors: C. B. Vishwakarma

Abstract:

The author presented a method for model order reduction of large-scale time-invariant systems in time domain. In this approach, two modified Hankel matrices are suggested for getting reduced order models. The proposed method is simple, efficient and retains stability feature of the original high order system. The viability of the method is illustrated through the examples taken from literature.

Keywords: Model Order Reduction, Stability, Hankel Matrix, Time-Domain, Integral Square Error.

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Authors: Emad Amar, Tawfik Khattab, Fatma Zada

Abstract:

Predicting earthquakes is an important issue in the study of geography. Accurate prediction of earthquakes can help people to take effective measures to minimize the loss of personal and economic damage, such as large casualties, destruction of buildings and broken of traffic, occurred within a few seconds. United States Geological Survey (USGS) science organization provides reliable scientific information about Earthquake Existed throughout history & the Preliminary database from the National Center Earthquake Information (NEIC) show some useful factors to predict an earthquake in a seismic area like Aleutian Arc in the U.S. state of Alaska. The main advantage of this prediction method that it does not require any assumption, it makes prediction according to the future evolution of the object's time series. The article compares between simulation data result from trained BP and RBF neural network versus actual output result from the system calculations. Therefore, this article focuses on analysis of data relating to real earthquakes. Evaluation results show better accuracy and higher speed by using radial basis functions (RBF) neural network.

Keywords: BP neural network, Prediction, RBF neural network.

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Authors: Shu Lü, Shouming Zhong, Zixin Liu

Abstract:

In this paper, the robust exponential stability problem of discrete-time uncertain stochastic neural networks with timevarying delays is investigated. By introducing a new augmented Lyapunov function, some delay-dependent stable results are obtained in terms of linear matrix inequality (LMI) technique. Compared with some existing results in the literature, the conservatism of the new criteria is reduced notably. Three numerical examples are provided to demonstrate the less conservatism and effectiveness of the proposed method.

Keywords: Robust exponential stability, delay-dependent stability, discrete-time neural networks, stochastic, time-varying delays.

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Authors: Xiangbin Zhu

Abstract:

EDF (Early Deadline First) algorithm is a very important scheduling algorithm for real- time systems . The EDF algorithm assigns priorities to each job according to their absolute deadlines and has good performance when the real-time system is not overloaded. When the real-time system is overloaded, many misdeadlines will be produced. But these misdeadlines are not uniformly distributed, which usually focus on some tasks. In this paper, we present an adaptive fuzzy control scheduling based on EDF algorithm. The improved algorithm can have a rectangular distribution of misdeadline ratios among all real-time tasks when the system is overloaded. To evaluate the effectiveness of the improved algorithm, we have done extensive simulation studies. The simulation results show that the new algorithm is superior to the old algorithm.

Keywords: Fuzzy control, real-time systems, EDF, misdeadline ratio.

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Authors: Irena Palić

Abstract:

The main objective of the research in this paper is to empirically assess the causal relationship of private savings and economic growth in the Republic of Croatia. Households’ savings are approximated by household deposits in banks, while domestic income is approximated by industrial production volume indices. Vector Autoregression model and Granger causality tests are used to in order to analyse the relationship among private savings and economic growth. Since ADF unit root tests have shown that both mentioned series are non stationary at levels, series are first differenced in order to become stationary. Therefore, VAR model is estimated with percentage change in private savings and percentage change in domestic income, which can be interpreted as economic growth in case of positive percentage change in domestic income. The Granger causality test has shown that there is no causal relationship among private savings and economic growth in Croatia. The impulse response functions have shown that the impact of shock in domestic income on private savings change is stronger than the impact of private saving on growth. Variance decompositions show that both economic growth and private saving change explain the largest part of its own forecast variance. The research has shown that the link between private savings economic and growth in Croatia is weak, what is in line with relevant empirical research in small open economies.

Keywords: Economic growth, Granger causality, innovation analysis, private savings, Vector Autoregression model.

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Authors: Fazeera Ujin, Kamran Shavarebi Ali, Zarina Yasmin Hanur Harith

Abstract:

This research paper reports on the feasibility and viability of eggshells ash and its effects on the water content and setting time of cement. An experiment was carried out to determine the quantity of water required in order to follow standard cement paste of normal consistency in accordance with MS EN 196-3:2007. The eggshells ash passing the 90µm sieve was used in the investigation. Eggshells ash with percentage of 0%, 0.1%, 0.5%, 1.0%, 1.5% and 2.0% were constituted to replace the cement. Chemical properties of both eggshells ash and cement are compared. From the results obtained, both eggshells ash and cement have the same chemical composition and primary composition which is the calcium compounds. Results from the setting time show that by adding the eggshells ash to the cement, the setting time of the cement decreases. In short, the higher amount of eggshells ash, the faster the rate of setting and apply to all percentage of eggshells ash that were used in this investigation. Both initial and final setting times fulfill the setting time requirements by Malaysian Standard. Hence, it is suggested that eggshells ash can be used as an admixture in concrete mix.

Keywords: Construction Materials, Eggshells Ash, Solid Waste, Setting Time.

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Authors: Eleni Giouli

Abstract:

Distance learning provides a flexible approach to education, enabling busy learners to complete their coursework at their own pace, on their own schedule, and from a convenient location. This flexibility combined with a series of other issues; make the benefits of lifelong distance learning numerous. The purpose of the paper is to investigate whether distance education can contribute to the improvement of adult skills in Greece, highlighting in this way the necessity of the lifelong distance learning. To investigate this goal, a questionnaire is constructed and analyzed based on responses from 3,016 attendees of lifelong distance learning programs in the e-learning of the National and Kapodistrian University of Athens in Greece. In order to do so, a series of relationships is examined including the effects of a) the gender, b) the previous educational level, c) the current employment status, and d) the method used in the distance learning program, on the development of new general, technical, administrative, social, cultural, entrepreneurial and green skills. The basic conclusions that emerge after using a binary logistic framework are that the following factors are critical in order to develop new skills: the gender, the education level and the educational method used in the lifelong distance learning program. The skills more significantly affected by those factors are the acquiring new skills in general, as well as acquiring general, language and cultural, entrepreneurial and green skills, while for technical and social skills only gender and educational method play a crucial role. Moreover, routine skills and social skills are not affected by the four factors included in the analysis.

Keywords: Adult skills, distance learning, education, lifelong learning.

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Authors: Lianglin Xiong, Shouming Zhong, Mao Ye

Abstract:

This paper considers the robust exponential stability issues for a class of uncertain switched neutral system which delays switched according to the switching rule. The system under consideration includes both stable and unstable subsystems. The uncertainties considered in this paper are norm bounded, and possibly time varying. Based on multiple Lyapunov functional approach and dwell-time technique, the time-dependent switching rule is designed depend on the so-called average dwell time of stable subsystems as well as the ratio of the total activation time of stable subsystems and unstable subsystems. It is shown that by suitably controlling the switching between the stable and unstable modes, the robust stabilization of the switched uncertain neutral systems can be achieved. Two simulation examples are given to demonstrate the effectiveness of the proposed method.

Keywords: Switched neutral system, exponential stability, multiple Lyapunov functional, dwell time technique, time-dependent switching rule.

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Authors: Liyakathunisa, V. K. Ananthashayana

Abstract:

Crucial information barely visible to the human eye is often embedded in a series of low resolution images taken of the same scene. Super resolution reconstruction is the process of combining several low resolution images into a single higher resolution image. The ideal algorithm should be fast, and should add sharpness and details, both at edges and in regions without adding artifacts. In this paper we propose a super resolution blind reconstruction technique for linearly degraded images. In our proposed technique the algorithm is divided into three parts an image registration, wavelets based fusion and an image restoration. In this paper three low resolution images are considered which may sub pixels shifted, rotated, blurred or noisy, the sub pixel shifted images are registered using affine transformation model; A wavelet based fusion is performed and the noise is removed using soft thresolding. Our proposed technique reduces blocking artifacts and also smoothens the edges and it is also able to restore high frequency details in an image. Our technique is efficient and computationally fast having clear perspective of real time implementation.

Keywords: Affine Transforms, Denoiseing, DWT, Fusion, Image registration.

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Authors: H. D. Ibrahim, H. C. Chinwenyi, A. H. Usman

Abstract:

Valuing derivatives (options, futures, swaps, forwards, etc.) is one uneasy task in financial mathematics. The two ways this problem can be effectively resolved in finance is by the use of two methods (Martingales and Partial Differential Equations (PDEs)) to obtain their respective options price valuation formulas. This research paper examined two different stochastic financial models which are Constant Elasticity of Variance (CEV) model and Black-Karasinski term structure model. Assuming their respective option price valuation formulas, we proved the analogous of the Martingales and PDEs options price valuation formulas for the two different Stochastic Differential Equation (SDE) models. This was accomplished by using the applications of Girsanov theorem for defining an Equivalent Martingale Measure (EMM) and the Feynman-Kac theorem. The results obtained show the systematic proof for analogous of the two (Martingales and PDEs) options price valuation formulas beginning with the Martingales option price formula and arriving back at the Black-Scholes parabolic PDEs and vice versa.

Keywords: Option price valuation, Martingales, Partial Differential Equations, PDEs, Equivalent Martingale Measure, Girsanov Theorem, Feyman-Kac Theorem, European Put Option.

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Authors: S. Kamyabi, M. Salari, H. Shahabi

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One of the processes of slope that occurs every year in Iran and some parts of world and cause a lot of criminal and financial harms is called landslide. They are plenty of method to stability landslide in soil and rock slides. The use of the best method with the least cost and in the shortest time is important for researchers. In this research, determining the best method of stability is investigated by using of Decision Support systems. DSS is made for this purpose and was used (for Hasan Salaran area in Kurdistan). Field study data from topography, slope, geology, geometry of landslide and the related features was used. The related data entered decision making managements programs (DSS) (ALES).Analysis of mass stability indicated the instability potential at present. Research results show that surface and sub surface drainage the best method of stabilizing. Analysis of stability shows that acceptable increase in security coefficient is a consequence of drainage.

Keywords: Landslide, Decision Support systems, stability, Hasan Salaran landslide, Kurdistan province, Iran.

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Authors: Ting (Grace) Lin, Jianhong (Cecilia) Xia, Todd Robinson

Abstract:

Accessibility analysis, examining people’s ability to access facilities and destinations, is a fundamental assessment for transport planning, policy making, and social exclusion research. Dynamic accessibility which measures accessibility in real-time traffic environment has been an advanced accessibility indicator in transport research. It is also a useful indicator to help travelers to understand travel time daily variability, assists traffic engineers to monitor traffic congestions, and finally develop effective strategies in order to mitigate traffic congestions. This research involved real-time traffic information by collecting travel time data with 15-minute interval via the TomTom^® API. A framework for measuring dynamic accessibility was then developed based on the gravity theory and accessibility dichotomy theory through space and time interpolation. Finally, the dynamic accessibility can be derived at any given time and location under dynamic accessibility spatial analysis framework.

Keywords: Dynamic accessibility, space-time continuum, transport research, TomTom® API.

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Authors: Haoyu Ma, Bin Hu, Mike Jackson, Jingzhi Yan, Wen Zhao

Abstract:

In this paper we propose a new classification method for automatic sleep scoring using an artificial neural network based decision tree. It attempts to treat sleep scoring progress as a series of two-class problems and solves them with a decision tree made up of a group of neural network classifiers, each of which uses a special feature set and is aimed at only one specific sleep stage in order to maximize the classification effect. A single electroencephalogram (EEG) signal is used for our analysis rather than depending on multiple biological signals, which makes greatly simplifies the data acquisition process. Experimental results demonstrate that the average epoch by epoch agreement between the visual and the proposed method in separating 30s wakefulness+S1, REM, S2 and SWS epochs was 88.83%. This study shows that the proposed method performed well in all the four stages, and can effectively limit error propagation at the same time. It could, therefore, be an efficient method for automatic sleep scoring. Additionally, since it requires only a small volume of data it could be suited to pervasive applications.

Keywords: Sleep, Sleep stage, Automatic sleep scoring, Electroencephalography, Decision tree, Artificial neural network

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Authors: Xinhui Wang, Xiuyong Ding

Abstract:

This paper addresses the controller synthesis problem of discrete-time switched positive systems with bounded time-varying delays. Based on the switched copositive Lyapunov function approach, some necessary and sufficient conditions for the existence of state-feedback controller are presented as a set of linear programming and linear matrix inequality problems, hence easy to be verified. Another advantage is that the state-feedback law is independent on time-varying delays and initial conditions. A numerical example is provided to illustrate the effectiveness and feasibility of the developed controller.

Keywords: Switched copositive Lyapunov functions, positive linear systems, switched systems, time-varying delays, stabilization.

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Authors: Mengzhuo Luo, Shouming Zhong

Abstract:

This paper investigates the problem of exponential stability for a class of uncertain discrete-time stochastic neural network with time-varying delays. By constructing a suitable Lyapunov-Krasovskii functional, combining the stochastic stability theory, the free-weighting matrix method, a delay-dependent exponential stability criteria is obtained in term of LMIs. Compared with some previous results, the new conditions obtain in this paper are less conservative. Finally, two numerical examples are exploited to show the usefulness of the results derived.

Keywords: Delay-dependent stability, Neural networks, Time varying delay, Linear matrix inequality (LMI).

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Authors: A. Al Drees, A. Alahmari, R. Almuwayshir

Abstract:

The advanced information technology is becoming an important factor in the development of financial services industry, especially the banking industry. It has introduced new ways of delivering banking to the customer, such as Internet Banking. Banks began to look at electronic banking (e-banking) as a means to replace some of their traditional branch functions using the Internet as a new distribution channel. Some consumers have at least more than one account, and across banks, and access these accounts using e-banking services. To look at the current net worth position, customers have to login to each of their accounts and get the details and work on consolidation. This not only takes ample time but it is a repetitive activity at a specified frequency. To address this point, an account aggregation concept is added as a solution. E-banking account aggregation, as one of the e-banking types, appeared to build a stronger relationship with customers. Account Aggregation Service generally refers to a service that allows customers to manage their bank accounts maintained in different institutions through a common Internet banking operating a platform, with a high concern to security and privacy. This paper presents an overview of an e-banking account aggregation approach as a new service in the e-banking field.

Keywords: E-banking, security, account aggregation, enterprise application development.

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Authors: Yingguo Li

Abstract:

In this paper, we consider a discrete Gompertz model with time delay. Firstly, the stability of the equilibrium of the system is investigated by analyzing the characteristic equation. By choosing the time delay as a bifurcation parameter, we prove that Neimark- Sacker bifurcations occur when the delay passes a sequence of critical values. The direction and stability of the Neimark-Sacker are determined by using normal forms and centre manifold theory. Finally, some numerical simulations are given to verify the theoretical analysis.

Keywords: Gompertz system, Neimark-Sacker bifurcation, stability, time delay.

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Authors: Y. Huang, Q. J. Tian, L. T. Du, J. Liu, S. S. Li

Abstract:

Understanding how precipitation inter-annually changes and its implication in agricultural drought and production change in winter wheat (Triticum aestivum L.) growth season is critical for crop production in China. MODIS Temperature-Vegetation Dryness Index (TVDI) and daily mean precipitation time series for the main growth season(Feb. to May) of winter wheat from 2000 to 2010 were used to analyze the distribution of trends of precipitation, agricultural drought and winter wheat yield change respectively, and relationships between them in North China region(Huang-huai-hai region, HHH region), China. The results indicated that the trend of precipitation in HHH region past 11 years was increasing, which had induced generally corresponding decreasing trend of agricultural drought and increasing trend of wheat yield, while the trend of drought was spatially diverse. The study could provide a basis for agricultural drought research during winter wheat season in HHH region under the ground of climate change.

Keywords: drought, MODIS, precipitation change, TVDI, winter wheat production

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Authors: Jin A Ryu, Ga Ye Kim, Hee Sun Kim

Abstract:

As the number of fire accidents is gradually raising, many studies have been reported on evacuation. Previous studies have mostly focused on evaluating the safety of evacuation and the risk of fire in particular buildings. However, studies on effects of various parameters on evacuation have not been nearly done. Therefore, this paper aims at observing evacuation time under the effect of fire initiated location. In this study, evacuation simulations are performed on a 5-floor building located in Seoul, South Korea using the commercial program, Fire Dynamics Simulator with Evacuation (FDS+EVAC). Only the fourth and fifth floors are modeled with an assumption that fire starts in a room located on the fourth floor. The parameter for evacuation simulations is location of fire initiation to observe the evacuation time and safety. Results show that the location of fire initiation is closer to exit, the more time is taken to evacuate. The case having the nearest location of fire initiation to exit has the lowest ratio of successful occupants to the total occupants. In addition, for safety evaluation, the evacuation time calculated from computer simulation model is compared with the tolerable evacuation time according to code in Japan. As a result, all cases are completed within the tolerable evacuation time. This study allows predicting evacuation time under various conditions of fire and can be used to evaluate evacuation appropriateness and fire safety of building.

Keywords: Evacuation safety, Evacuation simulation, FDS+Evac, Time.

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Authors: Taylan Kabbani, Ekrem Duman

Abstract:

Deep Reinforcement Learning (DRL) algorithms can scale to previously intractable problems. The automation of profit generation in the stock market is possible using DRL, by combining  the financial assets price ”prediction” step and the ”allocation” step of the portfolio in one unified process to produce fully autonomous systems capable of interacting with its environment to make optimal decisions through trial and error. This work represents a DRL model to generate profitable trades in the stock market, effectively overcoming the limitations of supervised learning approaches. We formulate the trading problem as a Partially observed Markov Decision Process (POMDP) model, considering the constraints imposed by the stock market, such as liquidity and transaction costs. We then solved the formulated POMDP problem using the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm and achieved a 2.68 Sharpe ratio on the test dataset. From the point of view of stock market forecasting and the intelligent decision-making mechanism, this paper demonstrates the superiority of DRL in financial markets over other types of machine learning and proves its credibility and advantages of strategic decision-making.

Keywords: Autonomous agent, deep reinforcement learning, MDP, sentiment analysis, stock market, technical indicators, twin delayed deep deterministic policy gradient.

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Authors: Sahar Sohrabi

Abstract:

The emergence of Cloud data centers has revolutionized the IT industry. Private Clouds in specific provide Cloud services for certain group of customers/businesses. In a real-time private Cloud each task that is given to the system has a deadline that desirably should not be violated. Scheduling tasks in a real-time private CLoud determine the way available resources in the system are shared among incoming tasks. The aim of the scheduling policy is to optimize the system outcome which for a real-time private Cloud can include: energy consumption, deadline violation, execution time and the number of host switches. Different scheduling policies can be used for scheduling. Each lead to a sub-optimal outcome in a certain settings of the system. A Bayesian Scheduling strategy is proposed for scheduling to further improve the system outcome. The Bayesian strategy showed to outperform all selected policies. It also has the flexibility in dealing with complex pattern of incoming task and has the ability to adapt.

Keywords: Bayesian, cloud computing, real-time private cloud, scheduling.

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Authors: Giovanni Masala, Stefania Marica

Abstract:

Forecasting electricity load plays a crucial role regards decision making and planning for economical purposes. Besides, in the light of the recent privatization and deregulation of the power industry, the forecasting of future electricity load turned out to be a very challenging problem. Empirical data about electricity load highlights a clear seasonal behavior (higher load during the winter season), which is partly due to climatic effects. We also emphasize the presence of load periodicity at a weekly basis (electricity load is usually lower on weekends or holidays) and at daily basis (electricity load is clearly influenced by the hour). Finally, a long-term trend may depend on the general economic situation (for example, industrial production affects electricity load). All these features must be captured by the model. The purpose of this paper is then to build an hourly electricity load model. The deterministic component of the model requires non-linear regression and Fourier series while we will investigate the stochastic component through econometrical tools. The calibration of the parameters’ model will be performed by using data coming from the Italian market in a 6 year period (2007- 2012). Then, we will perform a Monte Carlo simulation in order to compare the simulated data respect to the real data (both in-sample and out-of-sample inspection). The reliability of the model will be deduced thanks to standard tests which highlight a good fitting of the simulated values.

Keywords: ARMA-GARCH process, electricity load, fitting tests, Fourier series, Monte Carlo simulation, non-linear regression.

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