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A comparison of algorithms for the multivariate L <Subscript>1</Subscript>-median

Fritz, Heinrich; Filzmoser, Peter; Croux, Christophe - In: Computational Statistics 27 (2012) 3, pp. 393-410

, but also general optimization routines. The aim is to compare different algorithms with respect to their precision and … environment R. In most situations, the algorithm based on the optimization routine NLM (non-linear minimization) clearly …

Persistent link: https://www.econbiz.de/10010998479

Performance of derivative free search ANN training algorithm with time series and classification problems

Ahmed, Shamsuddin - In: Computational Statistics 28 (2013) 5, pp. 1881-1914

A Manhattan search algorithm to minimize artificial neural network error function is outlined in this paper. From an existing position in Cartesian coordinate, a search vector moves in orthogonal directions to locate minimum function value. The search algorithm computes optimized step length for...

Persistent link: https://www.econbiz.de/10010998486

Proposal adaptation in simulated annealing for continuous optimization problems

Solonen, Antti - In: Computational Statistics 28 (2013) 5, pp. 2049-2065

adaptation mechanisms can be used in Simulated Annealing (SA), a popular optimization method based on MCMC. The difficulty in … can significantly improve optimization results compared to non-adaptive SA. The approach is presented for continuous … optimization problems and generalization to integer and mixed-integer problems is a topic of future research. Copyright Springer …

Persistent link: https://www.econbiz.de/10010998510

Degeneracy degrees of constraint collections

Sierksma, Gerard; Tijssen, Gert A. - In: Computational Statistics 57 (2003) 3, pp. 437-448

This paper presents an unifying approach to the theory of degeneracy of basic feasible solutions, vertices, faces, and all subsets of polyhedra. It is a generalization of the usual concept of degeneracy defined for basic feasible solutions of an LP-problem. We use the concept of degeneracy...

Persistent link: https://www.econbiz.de/10010847504

An Optimal Congestion and Cost-sharing Pricing Scheme for Multiclass Services

Hayel, Yezekael; Tuffin, Bruno - In: Computational Statistics 64 (2006) 3, pp. 445-465

We study in this paper a social welfare optimal congestion-pricing scheme for multiclass queuing services which can be applied to telecommunication networks. Most of the literature has focused on the marginal price. Unfortunately, it does not share the total cost among the different classes. We...

Persistent link: https://www.econbiz.de/10010847572

Modelling the effects of interconnection between electricity markets subject to uncertainty

Anderson, E.; Philpott, A.; Xu, H. - In: Computational Statistics 65 (2007) 1, pp. 1-26

Interconnecting distinct electricity markets by adding a new transmission line affects the outcomes in these markets in a complicated way when there is uncertainty in demand or participant behaviour. We use market distribution functions to examine the effects of interconnection using a single...

Persistent link: https://www.econbiz.de/10010847597

Convex games and feasible sets in control theory

Pickl, Stefan - In: Computational Statistics 53 (2001) 1, pp. 51-66

The presented TEM-model describes the economical interaction between several actors (players) which intend to minimize their emissions (E i ) caused by technologies (T i ) by means of expenditures of money (M i ) or financial means, respectively. The index stands for the i-th player, i=1, …...

Persistent link: https://www.econbiz.de/10010847604

A minimax rule for portfolio selection in frictional markets

Wang, Shou-Yang; Yamamoto, Y.; Yu, Mei - In: Computational Statistics 57 (2003) 1, pp. 141-155

In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless asset. Furthermore, the relation and main...

Persistent link: https://www.econbiz.de/10010847803

Estimating allocations for Value-at-Risk portfolio optimization

Charpentier, Arthur; Oulidi, Abder - In: Computational Statistics 69 (2009) 3, pp. 395-410

in portfolio optimization). Furthermore, it is also known as having poor behavior in risk estimation (which has been …

Persistent link: https://www.econbiz.de/10010847843

Portfolio management with stable distributions

Rachev, Svetlozar; Han, Seonkoo - In: Computational Statistics 51 (2000) 2, pp. 341-352

The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management. Copyright Springer-Verlag Berlin Heidelberg 2000

Persistent link: https://www.econbiz.de/10010847921