正则稀疏化的多因子量化选股策略

针对高维度数据集特征之间的复杂性,而传统的L1惩罚项不满足Oracle性质的无偏性,将逻辑回归弹性网（LR-Elastic Net）中的L1惩罚项替换为SCAD（Smoothly Clipped Absolute Deviation）和MCP（Minimax Concave Penalty）惩罚项,分别构建了LR-SCAD和LR-MCP模型,在保留稀疏性的同时满足了无偏性,并利用ADMM（Alternating Direction Method of Multipliers）算法进行求解。通过模拟实验发现,LR-Elastic Net模型能很好地处理特征存在相关性的小样本数据,而LR-SCAD和LR-MCP模型在特征存在相关性的大样本数据中表现较好;建立LR-Elastic Net、LR-SCAD和LR-MCP策略,并应用于沪深300指数成分股数据。回测结果显示,LR-SCAD和LR-MCP策略在股票相关性很强的数据中比LR-Elastic Net策略表现更好。     

锚杆对含纵向裂隙砌体结构墙体刚度的数值模拟研究

本文提出了砌体结构墙体刚度的概念 ,并给出其表达式。运用SCAD有限元程序对含纵向裂隙砌体结构刚度进行分析 ,研究了裂隙的数目、长度及分布对墙体刚度的影响 ,以及锚杆对墙体的刚度及张开度的控制作用 ,分析结果表明 ,锚杆对含纵向裂隙的砌体墙体增加其刚度有重要的作用     

基于迭代近端投影的二维欠采样合成孔径雷达成像

合成孔径成像雷达(SAR)具有数据量大、采样率高等特点,针对传统压缩感知(CS)的SAR成像存在精度低及抗噪性能差的问题,该文提出一种基于迭代近端投影(IPP)的2维欠采样合成孔径雷达成像重建方法。即通过对雷达回波构建为距离频域-方位多普勒域的2维稀疏表示模型,在此基础上将成像问题转化为距离向和方位向压缩感知稀疏重构问题,利用迭代近端投影算法的函数优化模型来表示合成孔径雷达成像中的稀疏表示,最后采用平滑削边绝对偏离(SCAD)罚函数获得近端算子以求解该模型并进行成像。仿真与实测数据处理结果表明,所提方法成像效果更好。     

Total variation, adaptive total variation and nonconvex smoothly clipped absolute deviation penalty for denoising blocky images

The total variation-based image denoising model has been generalized and extended in numerous ways, improving its performance in different contexts. We propose a new penalty function motivated by the recent progress in the statistical literature on high-dimensional variable selection. Using a particular instantiation of the majorization-minimization algorithm, the optimization problem can be efficiently solved and the computational procedure realized is similar to the spatially adaptive total variation model. Our two-pixel image model shows theoretically that the new penalty function solves the bias problem inherent in the total variation model. The superior performance of the new penalty function is demonstrated through several experiments. Our investigation is limited to “blocky” images which have small total variation.     

CAM在模具渐开线齿轮中的应用

介绍了在模具生产中，线切割等数控机床在加工某些复杂工件时，很难解决的加工渐开线齿轮问题的处理方法。     

Quadratic approximation on SCAD penalized estimation

In this paper, we propose a method of quadratic approximation that unifies various types of smoothly clipped absolute deviation (SCAD) penalized estimations. For convenience, we call it the quadratically approximated SCAD penalized estimation (Q-SCAD). We prove that the proposed Q-SCAD estimator achieves the oracle property and requires only the least angle regression (LARS) algorithm for computation. Numerical studies including simulations and real data analysis confirm that the Q-SCAD estimator performs as efficient as the original SCAD estimator.     

阵元失效下基于核范数和SCAD惩罚的MIMO雷达DOA估计

阵元失效下多输入多输出(Multiple-Input Multiple-Output, MIMO)雷达虚拟阵列协方差矩阵出现大批整行整列元素缺失,破坏原有内在完整结构,导致波达方向(Direction of Arrival, DOA)估计性能下降。为此,提出一种联合核范数和SCAD(Smoothly Clipped Absolute Deviation)惩罚的完整协方差矩阵重构方法,以利于阵元失效下MIMO雷达DOA的有效估计。首先对待恢复的协方差矩阵建立核范数和SCAD惩罚双先验约束模型,并利用等正弦空间稀疏化方式划分粗网格空间,在可容忍的模型误差内能大大降低运算复杂度;然后利用ALM-ADMM(Augmented Lagrange Multipliers-Alternating Direction Method of Multipliers)算法对双先验约束模型进行求解,从而恢复协方差矩阵中大量整行整列的缺失数据;最后通过RD-ESPRIT(Reduced Dimensional ESPRIT)算法进行目标DOA估计。仿真结果验证该方法能快速恢复虚拟协方差矩阵中的缺失数据,从而有效...     

地区屯网SCADA实时系统应用软件的设计与研究

本文提出了一种新的电网SCADA系统应用软件的分析设计方法,它更有效、更适合于实时系统的软件设计。本文用实例说明了设计过程。     

Screening active factors in supersaturated designs

Identification of active factors in supersaturated designs (SSDs) has been the subject of much recent study. Although several methods have been previously proposed, a solution to the problem beyond one or two active factors still seems to be unsatisfactory. The smoothly clipped absolute deviation (SCAD) penalty function for variable selection has nice theoretical properties, but due to its nonconvex nature, it poses computational issues in model fitting. As a result, so far it has not shown much promise for SSDs. Another issue regarding its inefficiency, particularly for SSDs, has been the method used for choosing the SCAD sparsity tuning parameter. The selection of the SCAD sparsity tuning parameter using the AIC and BIC information criteria, generalized cross-validation, and a recently proposed method based on the norm of the error in the solution of systems of linear equations are investigated. This is performed in conjunction with a recently developed more efficient algorithm for implementing the SCAD penalty. The small sample bias-corrected cAIC is found to yield a model size closer to the true model size. Results of the numerical study and real data analyses reveal that the SCAD is a valuable tool for identifying active factors in SSDs.     

Domain selection for the varying coefficient model via local polynomial regression

In this article, we consider the varying coefficient model, which allows the relationship between the predictors and response to vary across the domain of interest, such as time. In applications, it is possible that certain predictors only affect the response in particular regions and not everywhere. This corresponds to identifying the domain where the varying coefficient is nonzero. Towards this goal, local polynomial smoothing and penalized regression are incorporated into one framework. Asymptotic properties of our penalized estimators are provided. Specifically, the estimators enjoy the oracle properties in the sense that they have the same bias and asymptotic variance as the local polynomial estimators as if the sparsity is known as a priori. The choice of appropriate bandwidth and computational algorithms are discussed. The proposed method is examined via simulations and a real data example.