Backtesting portfolio value-at-risk with estimated portfolio weights

This article theoretically and empirically analyzes backtesting portfolio value-at-risk (VaR) with estimation risk in an intrinsically multi-variate framework. It particularly takes into account the estimation of portfolio weights in forecasting portfolio VaR and its impact on backtesting. It shows that the estimation risk from estimating portfolio weights and that from estimating the multi-variate dynamic model make the existing methods in a univariate framework inapplicable. It proposes a general theory to quantify estimation risk applicable to the present problem and suggests practitioners a simple but effective way to implement valid inference to overcome the effect of estimation risk in backtesting portfolio VaR. In particular, we apply our theory to the efficient mean-variance-skewness portfolio for a multi-variate generalized autoregressive conditional heteroscedasticity model with multi-variate general hyperbolic distributed innovations. Some Monte Carlo simulations and an empirical application demonstrate the merits of our method.     

A web-based software tool for participatory optimization of conservation practices in watersheds

WRESTORE (Watershed Restoration Using Spatio-Temporal Optimization of Resources) is a web-based, participatory planning tool that can be used to engage with watershed stakeholder communities, and involve them in using science-based, human-guided, interactive simulation–optimization methods for designing potential conservation practices on their landscape. The underlying optimization algorithms, process simulation models, and interfaces allow users to not only spatially optimize the locations and types of new conservation practices based on quantifiable goals estimated by the dynamic simulation models, but also to include their personal subjective and/or unquantifiable criteria in the location and design of these practices. In this paper, we describe the software, interfaces, and architecture of WRESTORE, provide scenarios for implementing the WRESTORE tool in a watershed community's planning process, and discuss considerations for future developments.     

Managing readiness-relevant activities for the organizational dimension of ERP implementation

An organization requires performing readiness-relevant activities to ensure successful implementation of an enterprise resource planning (ERP) system. This paper develops a novel approach to managing these interrelated activities to get ready for implementing an ERP system. The approach enables an organization to evaluate its ERP implementation readiness by assessing the degree to which it can achieve the interrelated readiness relevant activities using fuzzy cognitive maps. Based on the interrelationship degrees among the activities, the approach clusters the activities into manageable groups and prioritizes them. To help work out a readiness improvement plan, scenario analysis is conducted.     

Coupling in situ experiments and modeling – Opportunities for data fusion,machine learning,and discovery of emergent behavior

This paper reviews recent studies, that not only includes both experiments and modeling components, but celebrates a close coupling between these techniques, in order to provide insights into the plasticity and failure of polycrystalline metals. Examples are provided of studies across multiple-scales, including, but not limited to, density functional theory combined with atom probe tomography, molecular dynamics combined with in situ transmission electron miscopy, discrete dislocation dynamics combined with nanopillars experiments, crystal plasticity combined with digital image correlation, and crystal plasticity combined with in situ high energy X-ray diffraction. The close synergy between in situ experiments and modeling provides new opportunities for model calibration, verification, and validation, by providing direct means of comparison, thus removing aspects of epistemic uncertainty in the approach. Further, data fusion between in situ experimental and model-based data, along with data driven approaches, provides a paradigm shift for determining the emergent behavior of deformation and failure, which is the foundation that underpins the mechanical behavior of polycrystalline materials.     

优化军工科研项目管理的具体策略

我国的军工科研所成立于上世纪，它以军工项目的科研、预研为主，为我国的国防军工提供研发产品。伴随着我国经济实力的增强和科技军事力量的增长，军工科研院所也转变了原有的工业专属性质，走上了军民两用、寓军于民的道路，并在时代的进步中成为了我国先进装备制造业的重要科研力量和科技创新支柱。凸现军事工业“高、精、尖”的特点，以项目管理的优化为具体策略进行军工科研开发工作。     

基于MF-R和AWS密钥管理机制的物联网健康监测大数据分析系统

带有传感器的可穿戴式医疗设备不断生成大量数据，由于数据的复杂性，难以通过处理和分析大数据来找到有价值的决策信息。为了解决这个问题，提出了一种新的物联网体系结构，用于存储和处理医疗应用的可扩展传感器数据（大数据）。所提出的架构主要由两个子架构组成：Meta Fog重定向（MF-R）架构和AWS密钥管理机制。MF-R架构使用Apache Pig和Apache HBase等大数据技术来收集和存储不同传感器设备生成的传感器数据，并利用卡尔曼滤波消除噪声。AWS密钥管理机制使用密钥管理方案，目的是保护云中的数据，防止未经授权的访问。当数据存储在云中时，所提出的系统能够使用随机梯度下降算法和逻辑回归来开发心脏病的预测模型。仿真实验表明，和其他几种算法相比，提出的算法具有更小的误差，且在吞吐量、准确度等方面具有一定的优越性。     

Automated network management and configuration using Probabilistic Trans-Algorithmic Search

Online configuration of large-scale systems such as networks requires parameter optimization within a limited amount of time, especially when configuration is needed as a response to recover from a failure in the system. To quickly configure such systems in an online manner, we propose a Probabilistic Trans-Algorithmic Search (PTAS) framework which leverages multiple optimization search algorithms in an iterative manner. PTAS applies a search algorithm to determine how to best distribute available experiment budget among multiple optimization search algorithms. It allocates an experiment budget to each available search algorithm and observes its performance on the system-at-hand. PTAS then probabilistically reallocates the experiment budget for the next round proportional to each algorithm’s performance relative to the rest of the algorithms. This “roulette wheel” approach probabilistically favors the more successful algorithm in the next round. Following each round, the PTAS framework “transfers” the best result(s) among the individual algorithms, making our framework a trans-algorithmic one. PTAS thus aims to systematize how to “search for the best search” and hybridize a set of search algorithms to attain a better search. We use three individual search algorithms, i.e., Recursive Random Search (RRS) (Ye and Kalyanaraman, 2004), Simulated Annealing (SA) (Laarhoven and Aarts, 1987), and Genetic Algorithm (GA) (Goldberg, 1989), and compare PTAS against the performance of RRS, GA, and SA. We show the performance of PTAS on well-known benchmark objective functions including scenarios where the objective function changes in the middle of the optimization process. To illustrate applicability of our framework to automated network management, we apply PTAS on the problem of optimizing link weights of an intra-domain routing protocol on three different topologies obtained from the Rocketfuel dataset. We also apply PTAS on the problem of optimizing aggregate throughput of a wireless ad hoc network by tuning datarates of traffic sources. Our experiments show that PTAS successfully picks the best performing algorithm, RRS or GA, and allocates the time wisely. Further, our results show that PTAS’ performance is not transient and steadily improves as more time is available for search.     

Levelized cost of energy definition – An economic paradox

Using mean value theorem for integrals we show that the well-known LCOE definition is incorrect.     

A probabilistic load shedding concept considering highly volatile local generation

Automatic load shedding is the ultimate countermeasure against imbalance in a power system and can effectively help preventing large blackouts. Taking into account a high penetration of renewable energy sources (RES) in the distribution grid, a clear distinction between load and generation at the PCC becomes increasingly more difficult. For that reason an adaptation of frequency relay parameters and their locations of installation are necessary. In Europe this is rest on a multi-step plan based on values such as the yearly peak load. In this paper a novel probabilistic method for automatic load shedding is presented that uses the average values instead of peak values for load shedding. Its applicability is verified by a dynamic power system model that was developed to compare the classical and novel probabilistic load shedding principle. The method is verified using data from a German TSO.     

A two stage heuristic algorithm for the integrated aircraft and crew schedule recovery problems

Airline disruptions incurred huge cost for airlines and serious inconvenience for travelers. In this paper, we study the integrated aircraft and crew schedule recovery problem. A two stage heuristic algorithm for the integrated recovery problem is proposed. In the first stage, the integrated aircraft recovery and flight-rescheduling model with partial crew consideration is built. This model is based on the traditional multi-commodity network model for the aircraft schedule recovery problem. The objective of this model also includes minimization of the original crew connection disruption. In the second stage, the integrated crew schedule recovery and flight re-scheduling model with partial aircraft consideration is built. We proposed a new multi-commodity model for the crew schedule recovery. The main advantage of such model is that it is much more efficient to integrate the flight-scheduling and aircraft consideration. New constraints are incorporated to guarantee that the aircraft connections generated in the stage 1 are still feasible. Two stages are run iteratively until no improvement can be achieved. Experimental results show that our method can provide better recovery solutions compared with the benchmark algorithms.