Robust portfolio optimization via solution to the Hamilton–Jacobi–Bellman equation

We consider a problem of dynamic stochastic portfolio optimization modelled by a fully non-linear Hamilton–Jacobi–Bellman (HJB) equation. Using the Riccati transformation, the HJB equation is transformed to a simpler quasi-linear partial differential equation. An auxiliary quadratic programming problem is obtained, which involves a vector of expected asset returns and a covariance matrix of the returns as input parameters. Since this problem can be sensitive to the input data, we modify the problem from fixed input parameters to worst-case optimization over convex or discrete uncertainty sets both for asset mean returns and their covariance matrix. Qualitative as well as quantitative properties of the value function are analysed along with providing illustrative numerical examples. We show application to robust portfolio optimization for the German DAX30 Index.     

Integrated control design for driver assistance systems based on LPV methods

The paper proposes a control design method for a driver assistance system. In the operation of the system, a predefined trajectory required by the driver with a steering command is followed. During manoeuvres the control system generates differential brake moment and the auxiliary front-wheel steering angle and changes the camber angles of the wheels in order to improve the tracking of the road trajectory. The performance specifications are guaranteed by the local controllers, i.e. the brake, the steering, and the suspension systems, while the coordination of these components is provided by the supervisor. The advantage of this architecture is that local controllers are designed independently, which is ensured by the fact that the monitoring signals are taken into consideration in the formalisation of their performance specifications. The fault-tolerant control can be achieved by incorporating the detected fault signals in their performance specifications. The control system also uses a driver model, with which the reference signal can be generated. In the control design, the parameter-dependent linear parameter-varyingmethod, which meets the performance specifications, is used. The operation of the control system is illustrated through different normal and emergency vehicle manoeuvres with a high-accuracy simulation software.     

Condition-based diagnosis of mechatronic systems using a fractional calculus approach

While fractional calculus (FC) is as old as integer calculus, its application has been mainly restricted to mathematics. However, many real systems are better described using FC equations than with integer models. FC is a suitable tool for describing systems characterised by their fractal nature, long-term memory and chaotic behaviour. It is a promising methodology for failure analysis and modelling, since the behaviour of a failing system depends on factors that increase the model’s complexity. This paper explores the proficiency of FC in modelling complex behaviour by tuning only a few parameters. This work proposes a novel two-step strategy for diagnosis, first modelling common failure conditions and, second, by comparing these models with real machine signals and using the difference to feed a computational classifier. Our proposal is validated using an electrical motor coupled with a mechanical gear reducer.     

Using new scheduling heuristics based on resource consumption information for increasing throughput on rule‐based spam filtering systems

The large increase of spam deliveries since the first half of 2013 entailed hard to solve troubles in spam filters. In order to adequately fight spam, the throughput of spam filtering platforms should be necessarily increased. In this context, and taking into consideration the widespread utilization of rule‐based filtering frameworks in the spam filtering domain, this work proposes three novel scheduling strategies for optimizing the time needed to classify new incoming e‐mails through an intelligent management of computational resources depending on the Central Processing Unit (CPU) usage and Input/Output (I/O) delays. In order to demonstrate the suitability of our approaches, we include in our experiments a comparative study in contrast to other successful heuristics previously published in the scientific literature. Results achieved demonstrated that one of our alternative heuristics allows time savings of up to 10% in message filtering, while keeping the same classification accuracy. Copyright © 2015 John Wiley & Sons, Ltd.     

A protocol for the ranking of interpolation algorithms based on confidence levels

The choice of the best interpolation algorithm of data gathered at a finite number of locations has been a persistently relevant topic. Typical papers take a single data set, a single set of data points, and a handful of algorithms. The process considers a subset I of the data points as known, builds the interpolant with each algorithm, applies it to the points of another subset C, and evaluates the MAE (mean absolute error), the RMSE (root mean square error), or any other metric over such points. The less these statistics are, the better the algorithm is, so a deterministic ranking between methods (without confidence level) can be derived based upon it. Ties between methods are usually not considered. In this article a complete protocol is proposed in order to build, with a modest additional effort, a ranking with a confidence level. To illustrate this point, the results of two tests are shown. In the first one, a simple Monte Carlo experiment was devised using irregularly distributed points taken from a reference DEM (digital elevation model) in raster format. Different metrics led to different rankings, suggesting that the choice of the metric to define the ‘best interpolation algorithm’ would need a trade-off. The second experiment used mean daily radiation data from an international interpolation comparison exercise and RMSE as the metric of success. Only five simple interpolation methods were employed. The ranking using this protocol anticipated correctly the first and second place, afterwards confirmed employing independent control data.     

Retailoring Box Splines to Lattices for Highly Isotropic Volume Representations

3D box splines are defined by convolving a 1D box function with itself along different directions. In volume visualization, box splines are mainly used as reconstruction kernels that are easy to adapt to various sampling lattices, such as the Cartesian Cubic (CC), Body‐Centered Cubic (BCC), and Face‐Centered Cubic (FCC) lattices. The usual way of tailoring a box spline to a specific lattice is to span the box spline by exactly those principal directions that span the lattice itself. However, in this case, the preferred directions of the box spline and the lattice are the same, amplifying the anisotropic effects of each other. This leads to an anisotropic volume representation with strongly preferred directions. Therefore, in this paper, we retailor box splines to lattices such that the sets of vectors that span the box spline and the lattice are disjoint sets. As the preferred directions of the box spline and the lattice compensate each other, a more isotropic volume representation can be achieved. We demonstrate this by comparing different combinations of box splines and lattices concerning their anisotropic behavior in tomographic reconstruction and volume visualization.     

ITEA—interactive trajectories and events analysis: exploring sequences of spatio-temporal events in movement data

Widespread use of GPS and similar technologies makes it possible to collect extensive amounts of trajectory data. These data sets are essential for reasonable decision making in various application domains. Additional information, such as events taking place along a trajectory, makes data analysis challenging, due to data size and complexity. We present an integrated solution for interactive visual analysis and exploration of events along trajectories data. Our approach supports analysis of event sequences at three different levels of abstraction, namely spatial, temporal, and events themselves. Customized views as well as standard views are combined to form a coordinated multiple views system. In addition to trajectories and events, we include on-the-fly derived data in the analysis. We evaluate our integrated solution using the IEEE VAST 2015 Challenge data set. A successful detection and characterization of malicious activity indicate the usefulness and efficiency of the presented approach.     

Reduced Aggregate Scattering Operators for Path Tracing

Aggregate scattering operators (ASOs) describe the overall scattering behavior of an asset (i.e., an object or volume, or collection thereof) accounting for all orders of its internal scattering. We propose a practical way to precompute and compactly store ASOs and demonstrate their ability to accelerate path tracing. Our approach is modular avoiding costly and inflexible scene‐dependent precomputation. This is achieved by decoupling light transport within and outside of each asset, and precomputing on a per‐asset level. We store the internal transport in a reduced‐dimensional subspace tailored to the structure of the asset geometry, its scattering behavior, and typical illumination conditions, allowing the ASOs to maintain good accuracy with modest memory requirements. The precomputed ASO can be reused across all instances of the asset and across multiple scenes. We augment ASOs with functionality enabling multi‐bounce importance sampling, fast short‐circuiting of complex light paths, and compact caching, while retaining rapid progressive preview rendering. We demonstrate the benefits of our ASOs by efficiently path tracing scenes containing many instances of objects with complex inter‐reflections or multiple scattering.     

Fractional Control of a Humanoid Robot Reduced Model with Model Disturbances

There is an open discussion between those who defend mass-distributed models for humanoid robots and those in favor of simple concentrated models. Even though each of them has its advantages and disadvantages, little research has been conducted analyzing the control performance due to the mismatch between the model and the real robot, and how the simplifications affect the controller’s output. In this article we address this problem by combining a reduced model of the humanoid robot, which has an easier mathematical formulation and implementation, with a fractional order controller, which is robust to changes in the model parameters. This controller is a generalization of the well-known proportional–integral–derivative (PID) structure obtained from the application of Fractional Calculus for control, as will be discussed in this article. This control strategy guarantees the robustness of the system, minimizing the effects from the assumption that the robot has a simple mass distribution. The humanoid robot is modeled and identified as a triple inverted pendulum and, using a gain scheduling strategy, the performances of a classical PID controller and a fractional order PID controller are compared, tuning the controller parameters with a genetic algorithm.