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Computation Theory eJournal最新文献

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Lee and Carter go Machine Learning: Recurrent Neural Networks Lee和Carter去了机器学习:循环神经网络
Computation Theory eJournal Pub Date : 2019-08-22 DOI: 10.2139/ssrn.3441030
Ronald Richman, Mario V. Wuthrich
{"title":"Lee and Carter go Machine Learning: Recurrent Neural Networks","authors":"Ronald Richman, Mario V. Wuthrich","doi":"10.2139/ssrn.3441030","DOIUrl":"https://doi.org/10.2139/ssrn.3441030","url":null,"abstract":"In this tutorial we introduce recurrent neural networks (RNNs), and we describe the two most popular RNN architectures. These are the long short-term memory (LSTM) network and gated recurrent unit (GRU) network. Their common field of application is time series modeling, and we demonstrate their use on a mortality rate prediction problem using data from the Swiss female and male populations.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132349416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Mean-Variance and Mean-Variance-Correlation Neural Network Regression Models 均值-方差和均值-方差-相关神经网络回归模型
Computation Theory eJournal Pub Date : 2019-08-16 DOI: 10.2139/ssrn.3438332
Andrea Gabrielli
{"title":"Mean-Variance and Mean-Variance-Correlation Neural Network Regression Models","authors":"Andrea Gabrielli","doi":"10.2139/ssrn.3438332","DOIUrl":"https://doi.org/10.2139/ssrn.3438332","url":null,"abstract":"We introduce two neural network models designed for application in statistical learning. The mean-variance neural network regression model allows us to simultaneously model the mean and the variance of a response variable. In case of a two-dimensional response vector, the mean-variance-correlation neural network regression model enables us to jointly model the means, the variances and the correlation.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130862454","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
The Two-Dimensional Tree–Grid Method 二维树形网格法
Computation Theory eJournal Pub Date : 2019-08-14 DOI: 10.21314/JCF.2019.373
Igor Kossaczký, M. Ehrhardt, M. Günther
{"title":"The Two-Dimensional Tree–Grid Method","authors":"Igor Kossaczký, M. Ehrhardt, M. Günther","doi":"10.21314/JCF.2019.373","DOIUrl":"https://doi.org/10.21314/JCF.2019.373","url":null,"abstract":"In this paper, we introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton– Jacobi–Bellman equation. This new method can be seen as a generalization of the tree–grid method for SCPs with one space dimension that was recently developed by the authors. The method is unconditionally stable and no 2D interpolation is needed in the stencil construction. We prove the convergence of the method and exemplify it in our application to a two-factor uncertain volatility model.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":" 14","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132093931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Competitive Ratio of Threshold Policies for Online Unit-density Knapsack Problems 在线单位密度背包问题阈值策略的竞争比
Computation Theory eJournal Pub Date : 2019-07-20 DOI: 10.2139/ssrn.3423199
Will Ma, D. Simchi-Levi, Jinglong Zhao
{"title":"The Competitive Ratio of Threshold Policies for Online Unit-density Knapsack Problems","authors":"Will Ma, D. Simchi-Levi, Jinglong Zhao","doi":"10.2139/ssrn.3423199","DOIUrl":"https://doi.org/10.2139/ssrn.3423199","url":null,"abstract":"We study an online knapsack problem where the items arrive sequentially and must be either immediately packed into the knapsack or irrevocably discarded. Each item has a different size and the objective is to maximize the total size of items packed. We focus on the class of randomized algorithms which initially draw a threshold from some distribution, and then pack every fitting item whose size is at least that threshold. Threshold policies satisfy many desiderata including simplicity, fairness, and incentive-alignment. We derive two optimal threshold distributions, the first of which implies a competitive ratio of 0.432 relative to the optimal offline packing, and the second of which implies a competitive ratio of 0.428 relative to the optimal fractional packing. \u0000 \u0000We also consider the generalization to multiple knapsacks, where an arriving item has a different size in each knapsack and must be placed in at most one. This is equivalent to the AdWords problem where item truncation is not allowed. We derive a randomized threshold algorithm for this problem which is 0.214-competitive. We also show that any randomized algorithm for this problem cannot be more than 0.461-competitive, providing the first upper bound which is strictly less than 0.5. \u0000 \u0000This online knapsack problem finds applications in many areas, like supply chain ordering, online advertising, and healthcare scheduling, refugee integration, and crowdsourcing. We show how our optimal threshold distributions can be naturally implemented in the warehouses for a Latin American chain department store. We run simulations on their large-scale order data, which demonstrate the robustness of our proposed algorithms.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124437206","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Synthetic Instrumental Variables 综合工具变量
Computation Theory eJournal Pub Date : 2019-07-15 DOI: 10.2139/ssrn.3370143
Ratbek Dzhumashev, A. Tursunalieva
{"title":"Synthetic Instrumental Variables","authors":"Ratbek Dzhumashev, A. Tursunalieva","doi":"10.2139/ssrn.3370143","DOIUrl":"https://doi.org/10.2139/ssrn.3370143","url":null,"abstract":"This paper presents a new method for synthesizing instrumental variables using only the dependent and endogenous explanatory variables of the regression model. We show that a valid instruments can be spanned using the dependent and endogenous variables. Then based on this rationale, we construct an estimator that uses moment conditions stemming from the validity of such synthetic instruments. We demonstrate the consistency of the newly-developed estimator using synthetic variables. A computational algorithm is developed using the moments conditions stemming from the consistency of the estimator. One can use this synthetic instrumental variables method as an alternative to traditional external instruments methods.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131069131","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
An Empirical Study of the Dynamic and Differential Effects of Prefunding 预融资的动态效应与差异效应实证研究
Computation Theory eJournal Pub Date : 2019-07-05 DOI: 10.2139/ssrn.3415736
X. Wei, Weijia You, Ming Fan, Yong Tan
{"title":"An Empirical Study of the Dynamic and Differential Effects of Prefunding","authors":"X. Wei, Weijia You, Ming Fan, Yong Tan","doi":"10.2139/ssrn.3415736","DOIUrl":"https://doi.org/10.2139/ssrn.3415736","url":null,"abstract":"This paper investigates the dynamic and differential effects of prefunding on reward-based crowdfunding markets plagued by information asymmetry. Prefunding, an innovative feature in crowdfunding, enables founders to share project information with potential backers before fundraising begins. By collecting and analyzing daily project-level panel data from one of the world’s largest crowdfunding platforms, we found that projects with the prefunding feature were more likely to succeed in reaching their funding goals and the effects of prefunding on the amount of funds raised remained positive and significant over time. In probing why this occurred, we used text analyses and revealed that the mechanism driving the funding premium was the specific types of prefunding information shared between founders and potential backers (volume, length, and sentiment). Further, in examining the sources of funds, we found that prefunding information first attracts funding from regular backers, followed by lottery backers. This herding behavior creates two intertwined funding streams—a primary and a secondary—for prefunding projects. Finally, using counterfactual decomposition analysis, we identified the types of projects that benefited the most from prefunding and found that prefunding democratizes funding outcomes. These findings and insights into information sharing, herding, and differential effects of prefunding contribute to the OM-IS research on operational designs of reward-based crowdfunding platforms that serve early-stage ventures in online environments with minimal informational oversight and regulations.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128054416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Application of Computer Algebra Methods for Investigation of the Stationary Motions of the System of Two Connected Bodies Moving along a Circular Orbit 应用计算机代数方法研究沿圆轨道运动的两连通体系统的静止运动
Computation Theory eJournal Pub Date : 2019-06-17 DOI: 10.2139/ssrn.3498500
S. Gutnik, V. Sarychev
{"title":"Application of Computer Algebra Methods for Investigation of the Stationary Motions of the System of Two Connected Bodies Moving along a Circular Orbit","authors":"S. Gutnik, V. Sarychev","doi":"10.2139/ssrn.3498500","DOIUrl":"https://doi.org/10.2139/ssrn.3498500","url":null,"abstract":"Computer algebra and numeric methods are used to investigate properties of a nonlinear algebraic system that determines the equilibrium orientations for a system of two bodies connected by a spherical hinge that moves along a circular orbit under the action of gravitational torque. The main attention is paid to study the conditions of existence of the equilibrium orientations for the system of two bodies for special cases, when one of the principal axes of inertia both the first and second body coincides with the normal to the orbital plane, with radius vector or tangent to the orbit. To determine the equilibrium orientations for the system of two bodies, the system of 12 stationary algebraic equations is decomposed into 9 subsystems. The computer algebra method based on the algorithm for the construction of a Gröbner basis applied to solve the stationary motion system of algebraic equations. Depending on the parameters of the problem, the number of equilibria is found by numerical analysis of the real roots of the algebraic equations from the Gröbner basis constructed.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116484880","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fuzzy Ideals and Fuzzy Dot Ideals on Bh-Algebras h-代数上的模糊理想和模糊点理想
Computation Theory eJournal Pub Date : 2019-04-30 DOI: 10.34218/IJARET.10.2.2019.034
K. Anitha, Dr. N. Kandaraj
{"title":"Fuzzy Ideals and Fuzzy Dot Ideals on Bh-Algebras","authors":"K. Anitha, Dr. N. Kandaraj","doi":"10.34218/IJARET.10.2.2019.034","DOIUrl":"https://doi.org/10.34218/IJARET.10.2.2019.034","url":null,"abstract":"In this paper we introduce the notions of Fuzzy Ideals in BH-algebras and the notion of fuzzy dot Ideals of BH-algebras and investigate some of their results.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134318420","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Peculiarities in the Distribution of Temperature under the Influence of a Laser Beam in a Multilayered Medium 多层介质中激光束影响下温度分布的特殊性
Computation Theory eJournal Pub Date : 2019-03-01 DOI: 10.2139/ssrn.3362317
T. Petrova, Z. Petrov
{"title":"Peculiarities in the Distribution of Temperature under the Influence of a Laser Beam in a Multilayered Medium","authors":"T. Petrova, Z. Petrov","doi":"10.2139/ssrn.3362317","DOIUrl":"https://doi.org/10.2139/ssrn.3362317","url":null,"abstract":"One of the most widely used ways for modeling the propagation of laser beams in biological tissues is through the Monte Carlo method. This article focuses on the distribution of temperature in human skin based on the results of the Monte Carlo method for a laser beam with wavelength of 800. A mathematical model of the heat transfer process, based on the solution of the differential equations through the finite element method, was introduced. Simulations of the laser beam propagation and the distribution of temperature in the skin were performed for two types of beams. The results of this work can be used to make an assessment of the energy levels of pulse laser radiation with different durations, during which a damage of biological tissue is observed, as well as to create standards for the safe use of laser systems.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123001643","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles 约束风险预算组合:理论、算法、应用与难题
Computation Theory eJournal Pub Date : 2019-02-08 DOI: 10.2139/ssrn.3331184
J. Richard, T. Roncalli
{"title":"Constrained Risk Budgeting Portfolios: Theory, Algorithms, Applications & Puzzles","authors":"J. Richard, T. Roncalli","doi":"10.2139/ssrn.3331184","DOIUrl":"https://doi.org/10.2139/ssrn.3331184","url":null,"abstract":"This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the optimization program is particularly critical in order to determine the right risk budgeting portfolio. We also show that numerical solutions can be found using methods that are used in large-scale machine learning problems. Indeed, we develop an algorithm that mixes the method of cyclical coordinate descent (CCD), alternating direction method of multipliers (ADMM), proximal operators and Dykstra's algorithm. This theoretical body is then applied to some investment problems. In particular, we show how to dynamically control the turnover of a risk parity portfolio and how to build smart beta portfolios based on the ERC approach by improving the liquidity of the portfolio or reducing the small cap bias. Finally, we highlight the importance of the homogeneity property of risk measures and discuss the related scaling puzzle.","PeriodicalId":363330,"journal":{"name":"Computation Theory eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-02-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133852772","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
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