Journal of Mathematics in Industry最新文献

{"title":"Stochastic perturbation of the Lighthill–Whitham–Richards model via the method of stochastic characteristics","authors":"Nora Müller, Wolfgang Bock","doi":"10.1186/s13362-021-00103-w","DOIUrl":"https://doi.org/10.1186/s13362-021-00103-w","url":null,"abstract":"In this paper we apply the method of stochastic characteristics to a Lighthill–Whitham–Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density. For concrete examples we solve the equation perturbed by a standard Brownian motion and the geometric Brownian motion without drift.","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512908","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}

{"title":"Negative selection—a new performance measure for automated order execution","authors":"Miles Kumaresan, Nataša Krejić, Sanja Lončar","doi":"10.1186/s13362-021-00102-x","DOIUrl":"https://doi.org/10.1186/s13362-021-00102-x","url":null,"abstract":"Automated Order Execution is the dominant way of trading at stock markets. Performance of numerous execution algorithms is measured through slippage from some benchmark. But measuring true slippage in algorithmic execution is a difficult task since the execution as well as benchmarks are function of market activity. In this paper, we propose a new performance measure for execution algorithms. The measure, named Negative Selection, takes a posterior look at the trading window and allows us to determine what would have been the optimal order placement if we knew in advance, before the actual trading, the complete market information during the trading window. We define the performance measure as the difference between the hypothetical optimal trading position and the actual execution. This difference is calculated taking into account all prices and traded quantities within the considered time window. Thus, we are capturing the impact caused by our own trading as a cost that affects all trades. Properties of Negative Selection, which make it well defined and objective are discussed. Some empirical results on real trade data are presented.","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512887","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}

{"title":"Inverse ray mapping in phase space for two-dimensional reflective optical systems","authors":"Carmela Filosa, Jan ten Thije Boonkkamp, Wilbert IJzerman","doi":"10.1186/s13362-021-00100-z","DOIUrl":"https://doi.org/10.1186/s13362-021-00100-z","url":null,"abstract":"A new method to compute the target photometric variables of non-imaging optical systems is presented. The method is based on the phase space representation of each surface that forms the optical system. All surfaces can be modeled as detectors of the incident light and emitters of the reflected light. Moreover, we assume that the source can only emit light and the target can only receive light. Therefore, one phase space is taken into account for the source and one for the target. For the other surfaces both the source and target phase spaces are considered. The output intensity is computed from the rays that leave the source and hit the target. We implement the method for two-dimensional optical systems, and we compare the new method with Monte Carlo (MC) ray tracing. This paper is a proof of principle. Therefore, we present the results for systems formed by straight lines which are all located in the same medium. Numerical results show that the intensity found with the ray mapping method equals the exact intensity. Accuracy and speed advantages of several orders are observed with the new method.","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-02-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138512876","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}

{"title":"Pharmaceutical portfolio optimization under cost uncertainty via chance constrained-type method","authors":"Maboubeh Farid, A. Chaudhry, Magnus Ytterstad, S. Wiklund","doi":"10.1186/s13362-021-00099-3","DOIUrl":"https://doi.org/10.1186/s13362-021-00099-3","url":null,"abstract":"","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-02-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s13362-021-00099-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"65846574","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}

{"title":"Flattening the curves: on-off lock-down strategies for COVID-19 with an application to Brazil.","authors":"Luís Tarrataca, Claudia Mazza Dias, Diego Barreto Haddad, Edilson Fernandes De Arruda","doi":"10.1186/s13362-020-00098-w","DOIUrl":"10.1186/s13362-020-00098-w","url":null,"abstract":"<p><p>The current COVID-19 pandemic is affecting different countries in different ways. The assortment of reporting techniques alongside other issues, such as underreporting and budgetary constraints, makes predicting the spread and lethality of the virus a challenging task. This work attempts to gain a better understanding of how COVID-19 will affect one of the least studied countries, namely Brazil. Currently, several Brazilian states are in a state of lock-down. However, there is political pressure for this type of measures to be lifted. This work considers the impact that such a termination would have on how the virus evolves locally. This was done by extending the SEIR model with an on / off strategy. Given the simplicity of SEIR we also attempted to gain more insight by developing a neural regressor. We chose to employ features that current clinical studies have pinpointed has having a connection to the lethality of COVID-19. We discuss how this data can be processed in order to obtain a robust assessment.</p><p><strong>Supplementary information: </strong>The online version contains supplementary material available at 10.1186/s13362-020-00098-w.</p>","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s13362-020-00098-w","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39145016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Cost effective reproduction number based strategies for reducing deaths from COVID-19.","authors":"Christopher Thron, Vianney Mbazumutima, Luis V Tamayo, Léonard Todjihounde","doi":"10.1186/s13362-021-00107-6","DOIUrl":"10.1186/s13362-021-00107-6","url":null,"abstract":"<p><p>In epidemiology, the effective reproduction number <math><msub><mi>R</mi> <mi>e</mi></msub> </math> is used to characterize the growth rate of an epidemic outbreak. If <math><msub><mi>R</mi> <mi>e</mi></msub> <mo>></mo> <mn>1</mn></math> , the epidemic worsens, and if <math><msub><mi>R</mi> <mi>e</mi></msub> <mo><</mo> <mn>1</mn></math> , then it subsides and eventually dies out. In this paper, we investigate properties of <math><msub><mi>R</mi> <mi>e</mi></msub> </math> for a modified SEIR model of COVID-19 in the city of Houston, TX USA, in which the population is divided into low-risk and high-risk subpopulations. The response of <math><msub><mi>R</mi> <mi>e</mi></msub> </math> to two types of control measures (testing and distancing) applied to the two different subpopulations is characterized. A nonlinear cost model is used for control measures, to include the effects of diminishing returns. Lowest-cost control combinations for reducing instantaneous <math><msub><mi>R</mi> <mi>e</mi></msub> </math> to a given value are computed. We propose three types of heuristic strategies for mitigating COVID-19 that are targeted at reducing <math><msub><mi>R</mi> <mi>e</mi></msub> </math> , and we exhibit the tradeoffs between strategy implementation costs and number of deaths. We also consider two variants of each type of strategy: basic strategies, which consider only the effects of controls on <math><msub><mi>R</mi> <mi>e</mi></msub> </math> , without regard to subpopulation; and high-risk prioritizing strategies, which maximize control of the high-risk subpopulation. Results showed that of the three heuristic strategy types, the most cost-effective involved setting a target value for <math><msub><mi>R</mi> <mi>e</mi></msub> </math> and applying sufficient controls to attain that target value. This heuristic led to strategies that begin with strict distancing of the entire population, later followed by increased testing. Strategies that maximize control on high-risk individuals were less cost-effective than basic strategies that emphasize reduction of the rate of spreading of the disease. The model shows that delaying the start of control measures past a certain point greatly worsens strategy outcomes. We conclude that the effective reproduction can be a valuable real-time indicator in determining cost-effective control strategies.</p>","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":1.2,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8237561/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39151219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Mathematical Modeling, Simulation and Optimization for Power Engineering and Management","authors":"","doi":"10.1007/978-3-030-62732-4","DOIUrl":"https://doi.org/10.1007/978-3-030-62732-4","url":null,"abstract":"","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84512062","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}

{"title":"Dynamics of epidemic diseases without guaranteed immunity.","authors":"Kurt Langfeld","doi":"10.1186/s13362-021-00101-y","DOIUrl":"10.1186/s13362-021-00101-y","url":null,"abstract":"<p><p>The pandemic of Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) suggests a novel type of disease spread dynamics. We here study the case where infected agents recover and only develop immunity if they are continuously infected for some time <i>τ</i>. For large <i>τ</i>, the disease model is described by a statistical field theory. Hence, the phases of the underlying field theory characterise the disease dynamics: (i) a pandemic phase and (ii) a response regime. The statistical field theory provides an upper bound of the peak rate of infected agents. An effective control strategy needs to aim to keep the disease in the response regime (no 'second' wave). The model is tested at the quantitative level using an idealised disease network. The model excellently describes the epidemic spread of the SARS-CoV-2 outbreak in the city of Wuhan, China. We find that only 30% of the recovered agents have developed immunity.</p>","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7898496/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"25415550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"German Success Stories in Industrial Mathematics","authors":"","doi":"10.1007/978-3-030-81455-7","DOIUrl":"https://doi.org/10.1007/978-3-030-81455-7","url":null,"abstract":"","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86607568","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}

{"title":"Mathematical models of the spread and consequences of the SARS-CoV-2 pandemics: Effects on health, society, industry, economics and technology.","authors":"Alessandra Micheletti,&nbsp;Adérito Araújo,&nbsp;Neil Budko,&nbsp;Ana Carpio,&nbsp;Matthias Ehrhardt","doi":"10.1186/s13362-021-00111-w","DOIUrl":"https://doi.org/10.1186/s13362-021-00111-w","url":null,"abstract":"","PeriodicalId":44012,"journal":{"name":"Journal of Mathematics in Industry","volume":null,"pages":null},"PeriodicalIF":2.6,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8451388/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"39452558","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}