Fitting the control parameters of a genetic algorithm: An application to technical trading systems design

This paper studies the problem of how changes in the design of the genetic algorithm (GA) have an effect on the results obtained in real-life applications. In this study, focused on the application of a GA to the tuning of technical trading rules in the context of financial markets, our tentative thesis is that the GA is robust with respect to design changes. The optimization of technical trading systems is a suitable area for the application of the GA metaheuristic, as the complexity of the problem grows exponentially as new technical rules are added to the system and as the answer time is crucial when applying the system to real-time data. Up to now, most of GAs applications to this subject obviated the question of possible “design dependence” in their results. The data we report, based on our experiments, do not allow us to refute the hypothesis of robustness of the GA to design implementation, when applying to technical trading systems tuning.     

一类三参数混沌动力学系统模型及其在经济增长研究中的应用

从非线性自回归模型Xt+1=-αXtλ+1+βXt+γ出发,通过变量替换Xt=aYt,推出三参数混沌动力学系统模型Yt+1=kYt(1-Ytλ)+c;采用线性回归与非线性回归相结合的改进的混合法,对模型参数作了估计;实际研究表明,该模型可以用于对国内生产总值GDP增长的研究.     

Difference Families in Z2d+1⊕Z2d+1 and Infinite Translation Designs in Z⊕Z

We analyse 3-subset difference families of Z_2d+1⊕Z_2d+1 arising as reductions (mod 2d+1) of particular families of 3-subsets of Z⊕Z. The latter structures, namely perfect d-families, can be viewed as 2-dimensional analogues of difference triangle sets having the least scope. Indeed, every perfect d-family is a set of base blocks which, under the natural action of the translation group Z⊕Z, cover all edges {(x,y),(x′,y′)} such that |x−x′|, |y−y′|≤d. In particular, such a family realises a translation invariant (G,K₃)-design, where V(G)=Z⊕Z and the edges satisfy the above constraint. For that reason, we regard perfect families as part of the hereby defined translation designs, which comprise and slightly generalise many structures already existing in the literature. The geometric context allows some suggestive additional definitions. The main result of the paper is the construction of two infinite classes of d-families. Furthermore, we provide two sporadic examples and show that a d-family may exist only if d≡0,3,8,11 (mod 12).     

Vehicle density and velocity estimation on highways for on-ramp metering control

A scheme for vehicle density and velocity estimation in a stretch of highway based on a modified cell transmission model [C. F. Daganzo, Transportation Research, Part B, 28B(4),269–287, 1994. Elsevier is presented. The scheme is intended for use with on-ramp metering control algorithms, providing local knowledge of densities and velocities that is helpful to improve on-ramp metering control performance. Estimation of density is obtained by nonlinear estimators, while velocity estimation is obtained by gradient algorithms. There is one density–velocity estimator for free traffic flow and other for congested traffic flow. Both estimator schemes work in parallel. The final estimation of density and velocity results from a convex combination of the predictions of the two estimators. This combination depends on occupancy or density measurements at the boundaries of the stretch and is produced by a fuzzy inference system. Stability and convergence of the density and velocity estimation scheme is proved by Lyapunov based techniques. Simulation results comparing measured and estimated traffic data are presented. They confirm good performance of the estimators. Research sponsored by grants UNAM PAPIIT IN110403 and CONACYT 47583.     

Survivable network design under optimal and heuristic interdiction scenarios

We examine the problem of building or fortifying a network to defend against enemy attacks in various scenarios. In particular, we examine the case in which an enemy can destroy any portion of any arc that a designer constructs on the network, subject to some interdiction budget. This problem takes the form of a three-level, two-player game, in which the designer acts first to construct a network and transmit an initial set of flows through the network. The enemy acts next to destroy a set of constructed arcs in the designer’s network, and the designer acts last to transmit a final set of flows in the network. Most studies of this nature assume that the enemy will act optimally; however, in real-world scenarios one cannot necessarily assume rationality on the part of the enemy. Hence, we prescribe optimal network design algorithms for three different profiles of enemy action: an enemy destroying arcs based on capacities, based on initial flows, or acting optimally to minimize our maximum profits obtained from transmitting flows.     

Corrected mirror systems with double reflection

We propose objectives consisting of two mirrors with central holes for passage of a light beam. The optical layout ensures multiple reflection of rays from both mirrors. We consider several approaches to calculating the design parameters for which three and four aberrations do not occur. The objectives can be used in optical devices operating in the UV and IR regions of the spectrum. __________ Translated from Zhurnal Prikladnoi Spektroskopii, Vol. 74, No. 2, pp. 267–270, March–April, 2007.     

Self-Orthogonal 3-(56,12,65) Designs and Extremal Doubly-Even Self-Dual Codes of Length 56

In this paper, we show that the code generated by the rows of a block-point incidence matrix of a self-orthogonal 3-(56,12,65) design is a doubly-even self-dual code of length 56. As a consequence, it is shown that an extremal doubly-even self-dual code of length 56 is generated by the codewords of minimum weight. We also demonstrate that there are more than one thousand inequivalent extremal doubly-even self-dual [56,28,12] codes. This result shows that there are more than one thousand non-isomorphic self-orthogonal 3-(56,12,65) designs. AMS Classification: 94B05, 05B05     

Electrochemical reduction of sodium metavanadate in an equimolar KCl-NaCl melt

Electrochemical reduction of sodium metavanadate in an equimolar KCl-NaCl melt and the effect of acid-base properties of environment on this process are studied by a voltammetry method on a stationary platinum electrode. It is established that the limiting current of the NaVO₃ electroreduction process has a kinetic nature. The process proceeds via an autoinhibition scheme and its rate is limited by an acid-base reaction conjugated with an irreversible charge transfer reaction. A substantial role of cationic composition of the melt is revealed experimentally. Following acidification of the KCl-NaCl-NaVO₃ melt by Mg²⁺ (from MgCl₂), the process passes from an irreversible kinetic regime into a reversible diffusion (quasi-diffusion) process. Values of stability constants for vanadates produced with the aid of acid-base titration of vanadium pentoxide by oxygen ions in experimental conditions are presented. These values are taken into account when calculating kinetic parameters of the NaVO₃ electroreduction.     

短波通滤光片膜系设计

详细介绍用等效折射率概念设计短波通滤光片的原理和计算方法。根据原理和方法，选择二氧化钛（TiO2）作为高折射率材料、二氧化硅（SiO2）作为低折射率材料。首先从理论上计算出用这2种材料设计的波长λ=950～1150nm的短波通滤光片所需要的周期数，然后给出短波通滤光片的主膜系和光谱曲线。由于据此周期数设计出的膜系光谱曲线在750～810nm处的透过率不符合要求，因此对该膜系进行了改进。依照改进的设计进行多次制备，最终制备出了符合要求的短波通滤光片，找到了最佳制备工艺和方法。最后，对制备出来的短波通滤光片薄膜进行了各种环境实验。实验结果表明，膜层的各项指标符合设计要求。     

Parking Capacity and Pricing in Park'n Ride Trips: A Continuous Equilibrium Network Design Problem

In this paper we consider the problem of designing parking facilities for park'n ride trips. We present a new continuous equilibrium network design problem to decide the capacity and fare of these parking lots at a tactical level. We assume that the parking facilities have already been located and other topological decisions have already been taken.The modeling approach proposed is mathematical programming with equilibrium constraints. In the outer optimization problem, a central Authority evaluates the performance of the transport network for each network design decision. In the inner problem a multimodal traffic assignment with combined modes, formulated as a variational inequality problem, generates the share demand for modes of transportation, and for parking facilities as a function of the design variables of the parking lots. The objective is to make optimal parking investment and pricing decisions in order to minimize the total travel cost in a subnetwork of the multimodal transportation system.We present a new development in model formulation based on the use of generalized parking link cost as a design variable.The bilevel model is solved by a simulated annealing algorithm applied to the continuous and non-negative design decision variables. Numerical tests are reported in order to illustrate the use of the model, and the ability of the approach to solve applications of moderate size.