In this paper, we introduce a new linear programming second-order stochastic dominance (SSD) portfolio efficiency test for portfolios with scenario approach for distribution of outcomes and a new SSD portfolio inefficiency measure. The test utilizes the relationship between CVaR and dual second-order stochastic dominance, and contrary to tests in Post \cite{Post} and Kuosmanen \cite{Kuosmanen}, our test detects a dominating portfolio which is SSD efficient. We derive also a necessary condition for SSD efficiency using convexity property of CVaR to speed up the computation. The efficiency measure represents a distance between the tested portfolio and its least risky dominating SSD efficient portfolio. We show that this measure is consistent with the second-order stochastic dominance relation. We find out that this measure is convex and we use this result to describe the set of SSD efficient portfolios. Finally, we illustrate our results on a numerical example.
This paper presents a segmentation technique to handwritten word recognition. This technique implements an algorithm based on an analytical approach. It uses a letter sweeping procedure with a step equal to the Euclidean distance between an established reference index and the entity (the alphabet letter). Then a dissociation of this entity is achieved when this distance will reach a rate of 80%. Our experience about this segmentation technique gives a rate of 81.05% of recognition. A neural multi-layer perceptron classifier confirms the extracted segment. This procedure is successively repeated from the beginning until the end of the word. A concatenation technique is finally used to the word reconstitution.
This work presents a Self Organizing Map (SOM) based queue management approach against congestion in autonomous Internet Protocol (IP) networks. The new queue management approach is proposed with consideration to the pros and cons of two well-known queue management algorithms: Random Early Detection (RED) and Drop Tail (DT). At the beginning of this study, RED and DT are compared by observing their effects on two important indicators of congestion: end-to-end delay and delay variation. This comparison reveals that the performances of RED and DT vary according to the level of global congestion: under low congestion conditions, when packet losses caused by congestion are unlikely, DT outperforms RED; while under high congestion, RED is superior to DT. The SOM based approach takes into account the variations in the global congestion levels and makes decisions to optimise congestion avoidance. A centralized observation unit is designed for monitoring global congestion levels in autonomous IP networks. A traffic flow is generated between each router and the observation unit so as to follow the changes in the global congestion level. For this purpose, IP routers are specialized to send packets carrying queue length information to the observation unit. A SOM based decision mechanism is used by the observation unit, to make predictions on the future congestion behavior of the network and inform the routers. Routers use this information to update their congestion avoidance behavior, as their ability to update their RED parameters is enhanced by the congestion notifications sent by the observation unit. In this work, multiple simulations are undertaken in order to test the performance of the proposed SOM-based method. A considerable improvement is observed from the point of view of end-to-end delays and delay variations, by comparison with DT and RED as used in recent IP networks.
A binocular model for the prenatal development of the visual nervous
systém is proposed. The model is able to reproduce some properties observed in mammals at the moment of birth such as retinotopy, oriented receptive fields, and ocular dominance. One of the outstanding features of the model architecture is the existence of dendrodendritic interaction within each layer. The spontaneous activity of the neurons of the input layer is modeled by spatially and temporally decorrelated activity. The evolution of a connection depends on the output activity of both connected neurons. Hebbian learning has been used for the afferent excitatory connections and anti-Hebbian learning for the lateral inhibitory connections. The model is reduced to a set of ordinary differential equations obtained from a statistical treatment of the dynamics that avoids its explicit dependence on the spontaneous activity.
In this paper, we establish a separation principle for a class of time-delay nonlinear systems satisfying some relaxed triangular-type condition. Under delay independent conditions, we propose a nonlinear time-delay observer to estimate the system states, a state feedback controller and we prove that the observer-based controller stabilizes the system.
The method of projections onto convex sets to find a point in the intersection of a finite number of closed convex sets in a Euclidean space, may lead to slow convergence of the constructed sequence when that sequence enters some narrow “corridor” between two or more convex sets. A way to leave such corridor consists in taking a big step at different moments during the iteration, because in that way the monotoneous behaviour that is responsible for the slow convergence may be interrupted. In this paper we present a technique that may introduce interruption of the monotony for a sequential algorithm, but that at the same time guarantees convergence of the constructed sequence to a point in the intersection of the sets. We compare experimentally the behaviour concerning the speed of convergence of the new algorithm with that of an existing monotoneous algorithm.
Let $\Omega $ be a bounded open set in $\mathbb R^n$, $n \geq 2$. In a well-known paper {\it Indiana Univ. Math. J.}, 20, 1077--1092 (1971) Moser found the smallest value of $K$ such that $$ \sup \bigg \{\int _{\Omega } \exp \Big (\Big (\frac {\left |f(x)\right |}K\Big )^{n/(n-1)}\Big )\colon f\in W^{1,n}_0(\Omega ),\|\nabla f\|_{L^n}\leq 1\bigg \}<\infty . $$ We extend this result to the situation in which the underlying space $L^n$ is replaced by the generalized Zygmund space $L^n\log ^{n-1}L \log ^{\alpha }\log L$ $(\alpha <n-1)$, the corresponding space of exponential growth then being given by a Young function which behaves like $\exp (\exp (t^{n/(n-1-\alpha )}))$ for large $t$. We also discuss the case of an embedding into triple and other multiple exponential cases.
Assume that $X$, $Y$ are continuous-path martingales taking values in $\mathbb R^\nu $, $\nu \geq 1$, such that $Y$ is differentially subordinate to $X$. The paper contains the proof of the maximal inequality $$ \|\sup _{t\geq 0} |Y_t| \|_1\leq 2\|\sup _{t\geq 0} |X_t| \|_1. $$ The constant $2$ is shown to be the best possible, even in the one-dimensional setting of stochastic integrals with respect to a standard Brownian motion. The proof uses Burkholder's method and rests on the construction of an appropriate special function.
We obtain a sharp upper bound for the spectral radius of a nonnegative matrix. This result is used to present upper bounds for the adjacency spectral radius, the Laplacian spectral radius, the signless Laplacian spectral radius, the distance spectral radius, the distance Laplacian spectral radius, the distance signless Laplacian spectral radius of an undirected graph or a digraph. These results are new or generalize some known results., Lihua You, Yujie Shu, Xiao-Dong Zhang., and Obsahuje seznam literatury
The theorem about the characterization of a GS-quasigroup by means of a commutative group in which there is an automorphism which satisfies certain conditions, is proved directly.