Correlation stress testing is employed in several financial models for determining the value-at-risk (VaR) of a financial institution’s portfolio. The possible lack of mathematical consistence in the target correlation matrix, which must be positive semidefinite, often causes breakdown of these models. The target matrix is obtained by fixing some of the correlations (often contained in blocks o...

The notion of fuzzy function based on many-valued equivalence relations (many-valued similarity relations (equalities) [17, 18, 19], fuzzy equivalence relations [4, 6, 7, 21, 22, 26], similarity relations [1, 2, 3, 15, 28], indistinguishability operators [27], etc.) has been introduced by several authors, and applied to category theory [5], approximate reasoning and fuzzy control theory [8, 10,...

H. Ghezelayagh and K. Y. Lee are with the Department of Electrical Engineering, The Pennsylvania State University, University Park, PA16802, USA (e-mail: [email protected]). Abstract In an intelligent predictive controller, a neuro-fuzzy identifier predicts the response of the plant in future time interval, and provides a non-model based control approach. This identifier generates fuzzy rules an...

A one parameter family of iteration functions for finding roots is derived. ] h e family includes the Laguerre, Halley, Ostrowski and Euler methods and, as a limiting case, Newton's method. All the methods of the family are cubically convergent for a simple root (except Newton's which is quadratically convergent). The superior behavior of Laguerre's method, when starting from a point z for whic...