The first moment and second central moments of the portfolio return, a.k.a. mean variance, have been widely employed to assess expected profit risk portfolio. Investors pursue higher lower variance when designing portfolios. two can well describe distribution return it follows Gaussian distribution. However, real world assets is usually asymmetric heavy-tailed, which far from being a asymmetry ...

IN THIS paper we present some successive approximation methods for the solution of a general class of optimal control problems. The class of problems considered is known as the Bolxa Problem in the Calculus of Variations [l]. The algorithms considered are extensions of the gradient methods due to KELLEY [2] and BRYSON [3] and similar to the methods proposed by MIRIAM [4, s]. MERRIAM approaches ...

This paper studies the coordinated beamforming (CoBF) design for the multiple-input single-output interference channel, provided that only channel distribution information is known to the transmitters. The problem under consideration is a probabilistically constrained optimization problem which maximizes a predefined system utility subject to constraints on rate outage probability and power bud...

A procedure for the numerical approximation of high-dimensional Hamilton-JacobiBellman (HJB) equations associated to optimal feedback control problems for semilinear parabolic equations is proposed. Its main ingredients are a pseudospectral collocation approximation of the PDE dynamics, and an iterative method for the nonlinear HJB equation associated to the feedback synthesis. The latter is kn...

This paper presents an improved method of speaker verification using the sequential probability ratio test (SPRT), which can treat the correlation between successive feature vectors. The hidden Markov model with the mean field approximation enables us to consider the correlation in the SPRT, i.e., using the mean field of previous state, probability computation can be carried out as if input sam...

A fundamental variance reduction technique for Monte Carlo integration in the framework of integro-approximation problems is presented. Using the method of dependent tests a successive hierarchical function approximation algorithm is developed, which captures discontinuities and exploits smoothness in the target function. The general mathematical scheme and its highly efficient implementation a...

Almost all studies that estimate phylogenies from DNA sequence data under the maximum-likelihood (ML) criterion employ an approximate approach. Most commonly, model parameters are estimated on some initial phylogenetic estimate derived using a rapid method (neighbor-joining or parsimony). Parameters are then held constant during a tree search, and ideally, the procedure is repeated until conver...

Fractional calculus has been used to model the physical and engineering processes that have found to be best described by fractional differential equations. For that reason, we need a reliable and efficient technique for the solution of fractional differential equations. The aim of this paper is to present an analytical approximation solution for linear and nonlinear multi-order fractional diff...