We consider an investment model where the objective is to overperform a given benchmark or index. We study this portfolio management problem for a long term horizon. This asymptotic criterion leads to a large deviation probability control problem. Its dual problem is an ergodic risk sensitive control problem on the optimal logarithmicmoment generating function that is explicitly derived.A caref...

This paper concentrates on a new procedure which experimentally recognises gears and bearings faults of a typical gearbox system using a least square support vector machine (LSSVM). Two wavelet selection criteria Maximum Energy to Shannon Entropy ratio and Maximum Relative Wavelet Energy are used and compared to select an appropriate wavelet for feature extraction. The fault diagnosis method co...

We consider multi-attribute Bayesian optimization, where each design in an optimization problem’s feasible space is associated with a vector of attributes that can be evaluated via a time-consuming computer code, and each vector of attributes is assigned a utility according to a decision-maker’s utility function. A standard Bayesian optimization approach could be applied if the utility function...

A robust probabilistic classification technique, using expectation maximization of finite mixture models, is used to analyze multi-frequency fisheries acoustic data. The number of clusters is chosen using the Bayesian Information Criterion. Probabilities of membership to clusters are used to classify each sample. The utility of the technique is demonstrated using two examples: the Gulf of Alask...

Computing the exact ideal and nadir criterion values is a very ‎important subject in ‎multi-‎objective linear programming (MOLP) ‎problems‎‎. In fact‎, ‎these values define the ideal and nadir points as lower and ‎upper bounds on the nondominated points‎. ‎Whereas determining the ‎ideal point is an easy work‎, ‎because it is equivalent to optimize a ‎convex function (linear function) over a con...

Decentralized resource allocation is a key problem for large-scale autonomic (or self-managing) computing systems. Motivated by a data center scenario, we explore efficient techniques for resolving resource conflicts via cooperative negotiation. Rather than computing in advance the functional dependence of each element’s utility upon the amount of resource it receives, which could be prohibitiv...

In the present work, we introduce a new performance evaluation measure for assessing the capacity of voice conversion systems to modify the speech of one speaker (source) so that it sounds as if it was uttered by another speaker (target). This measure relies on a GMM-UBM-based likelihood estimator that estimates the degree of proximity between an utterance of the converted voice and the predefi...

In a Phase II RCT with multiple active treatments, we may often wish to take forward a treatment to Phase III based on multiple criteria and outcomes. In addition to efficacy, factors such as cost and the adverse event rate may play a key role in the decision making process. Using a Bayesian analysis, all relevant criteria can be considered, and a utility function employed to obtain the optimal...