scholarly journals On Calculating Method of the Kelly Criterion for Financial Investment in Single Risky Asset with Various Distributions of Returns

2021 ◽  
pp. 42-46
Author(s):  
Naohiro Yoshida ◽  
Keyword(s):  
Optimization Technique ◽  
Random Variables ◽  
Optimal Solution ◽  
Asset Returns ◽  
Risky Asset ◽  
Main Interest ◽  
Financial Investment ◽  
Kelly Criterion ◽  
Calculating Method ◽  
Investment Return

In this paper, the expectation of the reciprocal of first-degree polynomials of non-negative valued random variables is calculated. This is motivated to compute the Kelly criterion, which is the optimal solution of the maximization of the expected logarithm of the investment return. As soon as the expectation of the reciprocal of first-degree polynomials of asset returns is calculated, which is our main interest, the Kelly criterion can be obtained by using the ordinary optimization technique or applying the appropriate algorithm.

Well Placement Technique and Production Optimization for Mature Field - A Case Study of L-X Field

2020 ◽  
Vol 46 ◽  
pp. 168-179
Author(s):  
Patrick Nwafor ◽  
Kelani Bello
Keyword(s):  
Oil And Gas ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Oil And Gas Industry ◽  
Optimization Method ◽  
Simulation Software ◽  
Production Optimization ◽  
Direct Optimization ◽  
Well Placement ◽  
Local Optimal Solution

A Well placement is a well-known technique in the oil and gas industry for production optimization and are generally classified into local and global methods. The use of simulation software often deployed under the direct optimization technique called global method. The production optimization of L-X field which is at primary recovery stage having five producing wells was the focus of this work. The attempt was to optimize L-X field using a well placement technique.The local methods are generally very efficient and require only a few forward simulations but can get stuck in a local optimal solution. The global methods avoid this problem but require many forward simulations. With the availability of simulator software, such problem can be reduced thus using the direct optimization method. After optimization an increase in recovery factor of over 20% was achieved. The results provided an improvement when compared with other existing methods from the literatures.

Application of UPFC for enhancement of voltage profile and minimization of losses using Fast Voltage Stability Index (FVSI)

2012 ◽  
Vol 61 (2) ◽  
pp. 239-250 ◽  
Author(s):  
M. Kumar ◽  
P. Renuga
Keyword(s):  
Power System ◽  
Voltage Stability ◽  
Reactive Power ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Stability Index ◽  
Test System ◽  
Unified Power Flow Controller ◽  
Voltage Profile ◽  
Voltage Stability Index

Application of UPFC for enhancement of voltage profile and minimization of losses using Fast Voltage Stability Index (FVSI)Transmission line loss minimization in a power system is an important research issue and it can be achieved by means of reactive power compensation. The unscheduled increment of load in a power system has driven the system to experience stressed conditions. This phenomenon has also led to voltage profile depreciation below the acceptable secure limit. The significance and use of Flexible AC Transmission System (FACTS) devices and capacitor placement is in order to alleviate the voltage profile decay problem. The optimal value of compensating devices requires proper optimization technique, able to search the optimal solution with less computational burden. This paper presents a technique to provide simultaneous or individual controls of basic system parameter like transmission voltage, impedance and phase angle, thereby controlling the transmitted power using Unified Power Flow Controller (UPFC) based on Bacterial Foraging (BF) algorithm. Voltage stability level of the system is defined on the Fast Voltage Stability Index (FVSI) of the lines. The IEEE 14-bus system is used as the test system to demonstrate the applicability and efficiency of the proposed system. The test result showed that the location of UPFC improves the voltage profile and also minimize the real power loss.

Prophet Inequalities for Independent and Identically Distributed Random Variables from an Unknown Distribution

2021 ◽  
Author(s):  
José Correa ◽  
Paul Dütting ◽  
Felix Fischer ◽  
Kevin Schewior
Keyword(s):  
Stopping Time ◽  
Random Variables ◽  
Optimal Solution ◽  
Random Order ◽  
Secretary Problem ◽  
Maximum Value ◽  
Optimal Stopping Theory ◽  
Long Time ◽  
Object Of Study ◽  
Independent And Identically Distributed

A central object of study in optimal stopping theory is the single-choice prophet inequality for independent and identically distributed random variables: given a sequence of random variables [Formula: see text] drawn independently from the same distribution, the goal is to choose a stopping time τ such that for the maximum value of α and for all distributions, [Formula: see text]. What makes this problem challenging is that the decision whether [Formula: see text] may only depend on the values of the random variables [Formula: see text] and on the distribution F. For a long time, the best known bound for the problem had been [Formula: see text], but recently a tight bound of [Formula: see text] was obtained. The case where F is unknown, such that the decision whether [Formula: see text] may depend only on the values of the random variables [Formula: see text], is equally well motivated but has received much less attention. A straightforward guarantee for this case of [Formula: see text] can be derived from the well-known optimal solution to the secretary problem, where an arbitrary set of values arrive in random order and the goal is to maximize the probability of selecting the largest value. We show that this bound is in fact tight. We then investigate the case where the stopping time may additionally depend on a limited number of samples from F, and we show that, even with o(n) samples, [Formula: see text]. On the other hand, n samples allow for a significant improvement, whereas [Formula: see text] samples are equivalent to knowledge of the distribution: specifically, with n samples, [Formula: see text] and [Formula: see text], and with [Formula: see text] samples, [Formula: see text] for any [Formula: see text].

Towards Intelligent Road Traffic Management over Weighted Large Graphs Hybrid Meta-heuristic-Based Approach

2022 ◽  
Vol 24 (3) ◽  
pp. 0-0
Keyword(s):  
Traffic Management ◽  
Large Scale ◽  
Road Traffic ◽  
Optimization Technique ◽  
Shortest Paths ◽  
Hybrid Genetic Algorithm ◽  
Optimal Solution ◽  
Computation Time ◽  
Exact Algorithm ◽  
On The Road

This paper introduces a new approach of hybrid meta-heuristics based optimization technique for decreasing the computation time of the shortest paths algorithm. The problem of finding the shortest paths is a combinatorial optimization problem which has been well studied from various fields. The number of vehicles on the road has increased incredibly. Therefore, traffic management has become a major problem. We study the traffic network in large scale routing problems as a field of application. The meta-heuristic we propose introduces new hybrid genetic algorithm named IOGA. The problem consists of finding the k optimal paths that minimizes a metric such as distance, time, etc. Testing was performed using an exact algorithm and meta-heuristic algorithm on random generated network instances. Experimental analyses demonstrate the efficiency of our proposed approach in terms of runtime and quality of the result. Empirical results obtained show that the proposed algorithm outperforms some of the existing technique in term of the optimal solution in every generation.

The Student Subordinator Model with Dependence for Risky Asset Returns

2011 ◽  
Vol 40 (19-20) ◽  
pp. 3509-3523 ◽  
Author(s):  
N. N. Leonenko ◽  
S. Petherick ◽  
A. Sikorskii
Keyword(s):  
Asset Returns ◽  
Risky Asset

Performance Evaluation of Population Seeding Techniques of Permutation-Coded GA Traveling Salesman Problems Based Assessment

2021 ◽  
pp. 1074-1115
Author(s):  
Victer Paul ◽  
Ganeshkumar C ◽  
Jayakumar L
Keyword(s):  
Genetic Algorithms ◽  
Nearest Neighbor ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Computation Time ◽  
Search Space ◽  
Population Based ◽  
Vital Role ◽  
Traveling Salesman ◽  
Performance Criteria

Genetic algorithms (GAs) are a population-based meta-heuristic global optimization technique for dealing with complex problems with a very large search space. The population initialization is a crucial task in GAs because it plays a vital role in the convergence speed, problem search space exploration, and also the quality of the final optimal solution. Though the importance of deciding problem-specific population initialization in GA is widely recognized, it is hardly addressed in the literature. In this article, different population seeding techniques for permutation-coded genetic algorithms such as random, nearest neighbor (NN), gene bank (GB), sorted population (SP), and selective initialization (SI), along with three newly proposed ordered-distance-vector-based initialization techniques have been extensively studied. The ability of each population seeding technique has been examined in terms of a set of performance criteria, such as computation time, convergence rate, error rate, average convergence, convergence diversity, nearest-neighbor ratio, average distinct solutions and distribution of individuals. One of the famous combinatorial hard problems of the traveling salesman problem (TSP) is being chosen as the testbed and the experiments are performed on large-sized benchmark TSP instances obtained from standard TSPLIB. The scope of the experiments in this article is limited to the initialization phase of the GA and this restricted scope helps to assess the performance of the population seeding techniques in their intended phase alone. The experimentation analyses are carried out using statistical tools to claim the unique performance characteristic of each population seeding techniques and best performing techniques are identified based on the assessment criteria defined and the nature of the application.

scholarly journals Robust Approximate Optimality Conditions for Uncertain Nonsmooth Optimization with Infinite Number of Constraints

Mathematics ◽  
2018 ◽  
Vol 7 (1) ◽  
pp. 12 ◽  
Author(s):  
Xiangkai Sun ◽  
Hongyong Fu ◽  
Jing Zeng
Keyword(s):  
Optimality Conditions ◽  
Optimization Problem ◽  
Constraint Qualification ◽  
Optimization Problems ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Sufficient Optimality Conditions ◽  
Convex Constraint ◽  
Approximate Optimality Conditions ◽  
Necessary And Sufficient

This paper deals with robust quasi approximate optimal solutions for a nonsmooth semi-infinite optimization problems with uncertainty data. By virtue of the epigraphs of the conjugates of the constraint functions, we first introduce a robust type closed convex constraint qualification. Then, by using the robust type closed convex constraint qualification and robust optimization technique, we obtain some necessary and sufficient optimality conditions for robust quasi approximate optimal solution and exact optimal solution of this nonsmooth uncertain semi-infinite optimization problem. Moreover, the obtained results in this paper are applied to a nonsmooth uncertain optimization problem with cone constraints.

scholarly journals An Enhanced Partial Search to Particle Swarm Optimization for Unconstrained Optimization

Mathematics ◽  
2019 ◽  
Vol 7 (4) ◽  
pp. 357 ◽  
Author(s):  
Shu-Kai S. Fan ◽  
Chih-Hung Jen
Keyword(s):  
Particle Swarm Optimization ◽  
Unconstrained Optimization ◽  
Optimization Technique ◽  
Particle Swarm ◽  
Optimal Solution ◽  
Pso Algorithm ◽  
Particle Swarm Optimizer ◽  
Swarm Optimization ◽  
Searching Strategy ◽  
Wide Range

Particle swarm optimization (PSO) is a population-based optimization technique that has been applied extensively to a wide range of engineering problems. This paper proposes a variation of the original PSO algorithm for unconstrained optimization, dubbed the enhanced partial search particle swarm optimizer (EPS-PSO), using the idea of cooperative multiple swarms in an attempt to improve the convergence and efficiency of the original PSO algorithm. The cooperative searching strategy is particularly devised to prevent the particles from being trapped into the local optimal solutions and tries to locate the global optimal solution efficiently. The effectiveness of the proposed algorithm is verified through the simulation study where the EPS-PSO algorithm is compared to a variety of exiting “cooperative” PSO algorithms in terms of noted benchmark functions.

A new metaheuristic unscented Kalman filter for state vector estimation of the induction motor based on Ant Lion optimizer

2018 ◽  
Vol 37 (3) ◽  
pp. 1054-1068 ◽  
Author(s):  
Marouane Rayyam ◽  
Malika Zazi ◽  
Youssef Barradi
Keyword(s):  
Kalman Filter ◽  
Induction Motor ◽  
Kalman Filtering ◽  
Unscented Kalman Filter ◽  
Dynamic Performance ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Content Type ◽  
Ant Lion Optimization ◽  
Ant Lion

PurposeTo improve sensorless control of induction motor using Kalman filtering family, this paper aims to introduce a new metaheuristic optimizer algorithm for online rotor speed and flux estimation.Design/methodology/approachThe main problem with unscented Kalman filter (UKF) observer is its sensibility to the initial values of Q and R. To solve the optimal solution of these matrices, a novel alternative called ant lion optimization (ALO)-UKF is introduced. It is based on the combination of the classical UKF observer and a nature-inspired metaheuristic algorithm, ALO.FindingsSynthesized ALO-UKF has given good results over the famous extended Kalman filter and the classical UKF observer in terms of accuracy and dynamic performance. A comparison between ALO and particle swarm optimization (PSO) was established. Simulations illustrate that ALO recovers rapidly and accurately while PSO has a slower convergence.Originality/valueUsing the proposed approach, tuning the design matrices Q and R in Kalman filtering becomes an easy task with a high degree of accuracy and the constraints of time cost are surmounted. Also, ALO-UKF is an efficient tool to improve estimation performance of states and parameters’ uncertainties of the induction motor. Related optimization technique can be extended to faults monitoring by online identification of their corresponding signatures.

scholarly journals Grand Tour Algorithm: Novel Swarm-Based Optimization for High-Dimensional Problems

Processes ◽  
2020 ◽  
Vol 8 (8) ◽  
pp. 980
Author(s):  
Gustavo Meirelles ◽  
Bruno Brentan ◽  
Joaquín Izquierdo ◽  
Edevar Luvizotto
Keyword(s):  
Systems Engineering ◽  
Collective Behavior ◽  
Optimization Problems ◽  
Optimization Technique ◽  
Optimal Solution ◽  
Sensitivity Analyses ◽  
Grand Tour ◽  
Agent Based ◽  
Local Optimal Solution ◽  
Classical Optimization

Agent-based algorithms, based on the collective behavior of natural social groups, exploit innate swarm intelligence to produce metaheuristic methodologies to explore optimal solutions for diverse processes in systems engineering and other sciences. Especially for complex problems, the processing time, and the chance to achieve a local optimal solution, are drawbacks of these algorithms, and to date, none has proved its superiority. In this paper, an improved swarm optimization technique, named Grand Tour Algorithm (GTA), based on the behavior of a peloton of cyclists, which embodies relevant physical concepts, is introduced and applied to fourteen benchmarking optimization problems to evaluate its performance in comparison to four other popular classical optimization metaheuristic algorithms. These problems are tackled initially, for comparison purposes, with 1000 variables. Then, they are confronted with up to 20,000 variables, a really large number, inspired in the human genome. The obtained results show that GTA clearly outperforms the other algorithms. To strengthen GTA’s value, various sensitivity analyses are performed to verify the minimal influence of the initial parameters on efficiency. It is demonstrated that the GTA fulfils the fundamental requirements of an optimization algorithm such as ease of implementation, speed of convergence, and reliability. Since optimization permeates modeling and simulation, we finally propose that GTA will be appealing for the agent-based community, and of great help for a wide variety of agent-based applications.

Sign in / Sign up

Export Citation Format

Share Document