The paper presents an innovative approach that integrates the arbitrage pricing theory (APT) and artificial neural networks (ANN) to support portfolio management. The integrated approach takes advantage of the synergy between APT and ANN in extracting risk factors, predicting the trend of individual risk factor, generating candidate portfolios, and choosing the optimal portfolio. It uses quadra...

In this paper we deal with the problem of matching moving objects between multiple views using geometrical constraints. We consider systems of still, uncalibrated and partially overlapped cameras and design a method able to automatically learn the epipolar geometry of the scene. The matching step is based on a functional that computes the similarity between objects pairs jointly considering dif...

This paper presents robust fault diagnosis and estimation for the calibrated airspeed and angle-of-attack sensor faults in the RECONFIGURE benchmark. We adopt a low-order longitudinal kinematic model augmented with wind dynamics. In order to enhance sensitivity to faults in the presence of winds, we propose a constrained residual generator by formulating a constrained moving horizon estimation ...

this paper proposes a suitable benchmark for inefficient commercial bank branches by using data envelopment analysis (dea). in order to render an inefficient bank branch efficient, it is necessary to decrease inputs and increase outputs. as there are priorities for decreasing some certain inputs and increasing some certain outputs over other inputs and outputs, respectively, it is necessary to ...

The intelligent comparison tool (ICT) was developed to perform intelligent comparisons of text files. The purpose of the tool is to reduce the differences found when comparing two text files to only the meaningful or important ones. This tool contrasts with conventional differencing tools that find all literal differences. This tool was developed to help in the validation of software revisions ...

The unit root power envelope is used both as a benchmark and as a mechanism for generating feasible unit root tests, via quasi-differencing. This paper derives an explicit representation for the envelope, via direct saddlepoint expansions for the inversion formulae for both the null and alternative distributions of the set of point optimal tests. It is shown to be both more accurate and computa...

We study the uniqueness of multiple-spike solutions for some singularly perturbed Neumann problem in a ball. We are able to completely classify all two-peaked solutions. We can also classify all threepeaked solutions except some degenerate situations. Our main idea is by using the method of moving planes to show that two-peaks must be located on a line with the origin and the three-peaks must l...

This paper proposes a multimodal extension of PBILC based on Gaussian mixture models for solving dynamic optimization problems. By tracking multiple optima, the algorithm is able to follow the changes in objective functions more efficiently than in the unimodal case. The approach was validated on a set of synthetic benchmarks including Moving Peaks, dynamization of the Rosenbrock function and c...

We present a multipopulation concept that detaches global from local search. A search population constantly searches for new regions of high fitness, whereas colonies track already found fitness peaks. The colonies interact via a parameterless speciation criterion. In a performance test on multiple stochastically moving fitness peaks on the hypercube, we show that our approach outperforms tag s...