Displaying similar documents to “Calculating the variance in Markov-processes with random reward.”

Modelling stock returns with AR-GARCH processes.

Elzbieta Ferenstein, Miroslaw Gasowski (2004)

SORT

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Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to...

Solving the Task Assignment Problem with a Variable Neighborhood Search

Kratica, Jozef, Savić, Aleksandar, Filipović, Vladimir, Milanović, Marija (2010)

Serdica Journal of Computing

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In this paper a variable neighborhood search (VNS) approach for the task assignment problem (TAP) is considered. An appropriate neighborhood scheme along with a shaking operator and local search procedure are constructed specifically for this problem. The computational results are presented for the instances from the literature, and compared to optimal solutions obtained by the CPLEX solver and heuristic solutions generated by the genetic algorithm. It can be seen that the proposed...

CAPS in Z(2,n)

Kurz, Sascha (2009)

Serdica Journal of Computing

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We consider point sets in (Z^2,n) where no three points are on a line – also called caps or arcs. For the determination of caps with maximum cardinality and complete caps with minimum cardinality we provide integer linear programming formulations and identify some values for small n.

Weighting quantitative and qualitative variables in clustering methods.

Karina Gibert, Ulises Cortés (1997)

Mathware and Soft Computing

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Description of individuals in ill-structured domains produces messy data matrices. In this context, automated classification requires the management of those kind of matrices. One of the features involved in clustering is the evaluation of distances between individuals. Then, a special function to calculate distances between individuals partially simultaneously described by qualitative and quantitative variables is required. In this paper properties and details of the metrics...

Genetic Algorithm Approach for Solving the Task Assignment Problem

Savić, Aleksandar, Tošić, Dušan, Marić, Miroslav, Kratica, Jozef (2008)

Serdica Journal of Computing

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This research was partially supported by the Serbian Ministry of Science and Ecology under project 144007. The authors are grateful to Ivana Ljubić for help in testing and to Vladimir Filipović for useful suggestions and comments. In this paper a genetic algorithm (GA) for the task assignment problem (TAP) is considered.An integer representation with standard genetic operators is used. Computational results are presented for instances from the literature, and compared to...

Knowledge discovery in data using formal concept analysis and random projections

Cherukuri Aswani Kumar (2011)

International Journal of Applied Mathematics and Computer Science

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In this paper our objective is to propose a random projections based formal concept analysis for knowledge discovery in data. We demonstrate the implementation of the proposed method on two real world healthcare datasets. Formal Concept Analysis (FCA) is a mathematical framework that offers a conceptual knowledge representation through hierarchical conceptual structures called concept lattices. However, during the design of a concept lattice, complexity plays a major role.