scholarly journals Diversification of Time-Varying Tangency Portfolio under Nonlinear Constraints through Semi-Integer Beetle Antennae Search Algorithm

AppliedMath ◽  
2021 ◽  
Vol 1 (1) ◽  
pp. 63-73
Author(s):  
Vasilios N. Katsikis ◽  
Spyridon D. Mourtas
Keyword(s):  
Nonlinear Programming ◽  
Real World ◽  
Capital Market ◽  
Search Algorithm ◽  
Efficient Frontier ◽  
Intersection Point ◽  
Time Varying ◽  
Nonlinear Constraints ◽  
Evolutionary Methods ◽  
Real World Datasets

In finance, the most efficient portfolio is the tangency portfolio, which is formed by the intersection point of the efficient frontier and the capital market line. This paper defines and explores a time-varying tangency portfolio under nonlinear constraints (TV-TPNC) problem as a nonlinear programming (NLP) problem. Because meta-heuristics are commonly used to solve NLP problems, a semi-integer beetle antennae search (SIBAS) algorithm is proposed for solving cardinality constrained NLP problems and, hence, to solve the TV-TPNC problem. The main results of numerical applications in real-world datasets demonstrate that our method is a splendid substitute for other evolutionary methods.

scholarly journals Binary Beetle Antennae Search Algorithm for Tangency Portfolio Diversification

2021 ◽  
Vol 13 (1) ◽  
pp. 44-50
Author(s):  
Vasilios N. Katsikis ◽  
Spyridon D. Mourtas
Keyword(s):  
Nonlinear Programming ◽  
Evolutionary Algorithms ◽  
Capital Market ◽  
Search Algorithm ◽  
Efficient Frontier ◽  
Portfolio Diversification ◽  
Cardinality Constraint ◽  
Market Portfolio ◽  
Real World Datasets ◽  
Intercept Point

The tangency portfolio, also known as the market portfolio, is the most efficient portfolio and arises from the intercept point of the Capital Market Line (CML) and the efficient frontier. In this paper, a binary optimal tangency portfolio under cardinality constraint (BOTPCC) problem is defined and studied as a nonlinear programming (NLP) problem. Because such NLP problems are widely approached by heuristic, a binary beetle antennae search algorithm is employed to provide a solution to the BTPSCC problem. Our method proved to be a magnificent substitute to other evolutionary algorithms in real-world datasets, based on numerical applications and computer simulations.

scholarly journals State Variable Effects in Graphical Event Models

2020 ◽  
Author(s):  
Debarun Bhattacharjya ◽  
Dharmashankar Subramanian ◽  
Tian Gao
Keyword(s):  
Real World ◽  
Continuous Time ◽  
Point Processes ◽  
Temporal Dynamics ◽  
Search Algorithm ◽  
State Variables ◽  
Discrete State ◽  
State Variable ◽  
Event Models ◽  
Real World Datasets

Many real-world domains involve co-evolving relationships between events, such as meals and exercise, and time-varying random variables, such as a patient's blood glucose levels. In this paper, we propose a general framework for modeling joint temporal dynamics involving continuous time transitions of discrete state variables and irregular arrivals of events over the timeline. We show how conditional Markov processes (as represented by continuous time Bayesian networks) and multivariate point processes (as represented by graphical event models) are among various processes that are covered by the framework. We introduce and compare two simple and interpretable yet practical joint models within the framework with relevant baselines on simulated and real-world datasets, using a graph search algorithm for learning. The experiments highlight the importance of jointly modeling event arrivals and state variable transitions to better fit joint temporal datasets, and the framework opens up possibilities for models involving even more complex dynamics whenever suitable.

Time-Efficient Ensemble Learning with Sample Exchange for Edge Computing

2021 ◽  
Vol 21 (3) ◽  
pp. 1-17
Author(s):  
Wu Chen ◽  
Yong Yu ◽  
Keke Gai ◽  
Jiamou Liu ◽  
Kim-Kwang Raymond Choo
Keyword(s):  
Ensemble Learning ◽  
Real World ◽  
Interaction Mechanism ◽  
Training Model ◽  
Edge Computing ◽  
Learning Techniques ◽  
Multi Agent ◽  
Real World Datasets ◽  
Entire Dataset ◽  
Exchange Data

In existing ensemble learning algorithms (e.g., random forest), each base learner’s model needs the entire dataset for sampling and training. However, this may not be practical in many real-world applications, and it incurs additional computational costs. To achieve better efficiency, we propose a decentralized framework: Multi-Agent Ensemble. The framework leverages edge computing to facilitate ensemble learning techniques by focusing on the balancing of access restrictions (small sub-dataset) and accuracy enhancement. Specifically, network edge nodes (learners) are utilized to model classifications and predictions in our framework. Data is then distributed to multiple base learners who exchange data via an interaction mechanism to achieve improved prediction. The proposed approach relies on a training model rather than conventional centralized learning. Findings from the experimental evaluations using 20 real-world datasets suggest that Multi-Agent Ensemble outperforms other ensemble approaches in terms of accuracy even though the base learners require fewer samples (i.e., significant reduction in computation costs).

scholarly journals OFCOD: On the Fly Clustering Based Outlier Detection Framework

Data ◽  
2020 ◽  
Vol 6 (1) ◽  
pp. 1
Author(s):  
Ahmed Elmogy ◽  
Hamada Rizk ◽  
Amany M. Sarhan
Keyword(s):  
Data Mining ◽  
Image Processing ◽  
Intrusion Detection ◽  
Real Time ◽  
Outlier Detection ◽  
Real World ◽  
Medical Data ◽  
Experimental Results ◽  
Real Time Applications ◽  
Real World Datasets

In data mining, outlier detection is a major challenge as it has an important role in many applications such as medical data, image processing, fraud detection, intrusion detection, and so forth. An extensive variety of clustering based approaches have been developed to detect outliers. However they are by nature time consuming which restrict their utilization with real-time applications. Furthermore, outlier detection requests are handled one at a time, which means that each request is initiated individually with a particular set of parameters. In this paper, the first clustering based outlier detection framework, (On the Fly Clustering Based Outlier Detection (OFCOD)) is presented. OFCOD enables analysts to effectively find out outliers on time with request even within huge datasets. The proposed framework has been tested and evaluated using two real world datasets with different features and applications; one with 699 records, and another with five millions records. The experimental results show that the performance of the proposed framework outperforms other existing approaches while considering several evaluation metrics.

scholarly journals Overlapping Community Detection Based on Attribute Augmented Graph

Entropy ◽  
2021 ◽  
Vol 23 (6) ◽  
pp. 680
Author(s):  
Hanyang Lin ◽  
Yongzhao Zhan ◽  
Zizheng Zhao ◽  
Yuzhong Chen ◽  
Chen Dong
Keyword(s):  
Community Detection ◽  
Real World ◽  
Detection Algorithm ◽  
Overlapping Community Detection ◽  
Overlapping Communities ◽  
Adjustment Strategy ◽  
Topology Information ◽  
Overlapping Community ◽  
Real World Datasets ◽  
Community Detection Algorithm

There is a wealth of information in real-world social networks. In addition to the topology information, the vertices or edges of a social network often have attributes, with many of the overlapping vertices belonging to several communities simultaneously. It is challenging to fully utilize the additional attribute information to detect overlapping communities. In this paper, we first propose an overlapping community detection algorithm based on an augmented attribute graph. An improved weight adjustment strategy for attributes is embedded in the algorithm to help detect overlapping communities more accurately. Second, we enhance the algorithm to automatically determine the number of communities by a node-density-based fuzzy k-medoids process. Extensive experiments on both synthetic and real-world datasets demonstrate that the proposed algorithms can effectively detect overlapping communities with fewer parameters compared to the baseline methods.

Review Summary Generation in Online Systems: Frameworks for Supervised and Unsupervised Scenarios

2021 ◽  
Vol 15 (3) ◽  
pp. 1-33
Author(s):  
Wenjun Jiang ◽  
Jing Chen ◽  
Xiaofei Ding ◽  
Jie Wu ◽  
Jiawei He ◽  
...  
Keyword(s):  
Decision Making ◽  
Real World ◽  
Text Summarization ◽  
Experimental Results ◽  
Product Review ◽  
Comprehensive Review ◽  
Online Systems ◽  
Real World Datasets ◽  
Different Characteristics

In online systems, including e-commerce platforms, many users resort to the reviews or comments generated by previous consumers for decision making, while their time is limited to deal with many reviews. Therefore, a review summary, which contains all important features in user-generated reviews, is expected. In this article, we study “how to generate a comprehensive review summary from a large number of user-generated reviews.” This can be implemented by text summarization, which mainly has two types of extractive and abstractive approaches. Both of these approaches can deal with both supervised and unsupervised scenarios, but the former may generate redundant and incoherent summaries, while the latter can avoid redundancy but usually can only deal with short sequences. Moreover, both approaches may neglect the sentiment information. To address the above issues, we propose comprehensive Review Summary Generation frameworks to deal with the supervised and unsupervised scenarios. We design two different preprocess models of re-ranking and selecting to identify the important sentences while keeping users’ sentiment in the original reviews. These sentences can be further used to generate review summaries with text summarization methods. Experimental results in seven real-world datasets (Idebate, Rotten Tomatoes Amazon, Yelp, and three unlabelled product review datasets in Amazon) demonstrate that our work performs well in review summary generation. Moreover, the re-ranking and selecting models show different characteristics.

scholarly journals Multityped Community Discovery in Time-Evolving Heterogeneous Information Networks Based on Tensor Decomposition

Complexity ◽  
2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Jibing Wu ◽  
Lianfei Yu ◽  
Qun Zhang ◽  
Peiteng Shi ◽  
Lihua Liu ◽  
...  
Keyword(s):  
Real World ◽  
Tensor Decomposition ◽  
Information Networks ◽  
Community Discovery ◽  
Star Network ◽  
Heterogeneous Information ◽  
Heterogeneous Information Networks ◽  
General Network ◽  
Real World Datasets ◽  
Discovery Method

The heterogeneous information networks are omnipresent in real-world applications, which consist of multiple types of objects with various rich semantic meaningful links among them. Community discovery is an effective method to extract the hidden structures in networks. Usually, heterogeneous information networks are time-evolving, whose objects and links are dynamic and varying gradually. In such time-evolving heterogeneous information networks, community discovery is a challenging topic and quite more difficult than that in traditional static homogeneous information networks. In contrast to communities in traditional approaches, which only contain one type of objects and links, communities in heterogeneous information networks contain multiple types of dynamic objects and links. Recently, some studies focus on dynamic heterogeneous information networks and achieve some satisfactory results. However, they assume that heterogeneous information networks usually follow some simple schemas, such as bityped network and star network schema. In this paper, we propose a multityped community discovery method for time-evolving heterogeneous information networks with general network schemas. A tensor decomposition framework, which integrates tensor CP factorization with a temporal evolution regularization term, is designed to model the multityped communities and address their evolution. Experimental results on both synthetic and real-world datasets demonstrate the efficiency of our framework.

scholarly journals Evolutionary Algorithms for Constrained Parameter Optimization Problems

1996 ◽  
Vol 4 (1) ◽  
pp. 1-32 ◽  
Author(s):  
Zbigniew Michalewicz ◽  
Marc Schoenauer
Keyword(s):  
Nonlinear Programming ◽  
Evolutionary Algorithms ◽  
Evolutionary Computation ◽  
Numerical Optimization ◽  
Optimization Problems ◽  
Optimization Techniques ◽  
Test Cases ◽  
Nonlinear Constraints ◽  
Nonlinear Programming Problem ◽  
General Nonlinear Programming

Evolutionary computation techniques have received a great deal of attention regarding their potential as optimization techniques for complex numerical functions. However, they have not produced a significant breakthrough in the area of nonlinear programming due to the fact that they have not addressed the issue of constraints in a systematic way. Only recently have several methods been proposed for handling nonlinear constraints by evolutionary algorithms for numerical optimization problems; however, these methods have several drawbacks, and the experimental results on many test cases have been disappointing. In this paper we (1) discuss difficulties connected with solving the general nonlinear programming problem; (2) survey several approaches that have emerged in the evolutionary computation community; and (3) provide a set of 11 interesting test cases that may serve as a handy reference for future methods.

scholarly journals Dimension Reduction for Objects Composed of Vector Sets

2017 ◽  
Vol 27 (1) ◽  
pp. 169-180 ◽  
Author(s):  
Marton Szemenyei ◽  
Ferenc Vajda
Keyword(s):  
Machine Learning ◽  
Data Mining ◽  
Feature Selection ◽  
Discriminant Analysis ◽  
Probability Distribution ◽  
Dimension Reduction ◽  
Pose Estimation ◽  
Real World ◽  
Single Object ◽  
Real World Datasets

Abstract Dimension reduction and feature selection are fundamental tools for machine learning and data mining. Most existing methods, however, assume that objects are represented by a single vectorial descriptor. In reality, some description methods assign unordered sets or graphs of vectors to a single object, where each vector is assumed to have the same number of dimensions, but is drawn from a different probability distribution. Moreover, some applications (such as pose estimation) may require the recognition of individual vectors (nodes) of an object. In such cases it is essential that the nodes within a single object remain distinguishable after dimension reduction. In this paper we propose new discriminant analysis methods that are able to satisfy two criteria at the same time: separating between classes and between the nodes of an object instance. We analyze and evaluate our methods on several different synthetic and real-world datasets.

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