Unified Noncrossing Multiple Quantile Regressions Tree

In this article, we consider the estimation problem of a tree model for multiple conditional quantile functions of the response. Using the generalized, unbiased interaction detection and estimation algorithm, the quantile regression tree (QRT) method has been developed to construct a tree model for an individual quantile function. However, QRT produces different tree models across quantile levels because it estimates several QRT models separately. Furthermore, the estimated quantile functions from QRT often cross each other and consequently violate the basic properties of quantiles. This undesirable phenomenon reduces prediction accuracy and makes it difficult to interpret the resulting tree models. To overcome such limitations, we propose the unified noncrossing multiple quantile regressions tree (UNQRT) method, which constructs a common tree structure across all interesting quantile levels for better data visualization and model interpretation. Furthermore, the UNQRT estimates noncrossing multiple quantile functions simultaneously by enforcing noncrossing constraints, resulting in the improvement of prediction accuracy. The numerical results are presented to demonstrate the competitive performance of the proposed UNQRT over QRT. Supplementary materials for this article are available online.     

分式规划模糊投资组合模型的遗传算法求解

将预期收益率表示为模糊数,以E-SV风险测度为基础给出了组合证券投资决策的效用函数,并建立了基于分式规划的模糊投资组合选择模型,考虑到模型求解的复杂性,我们利用遗传算法构造罚函数对模型进行了求解,并通过实例,验证了该模型解法的可行性和有效性.     

Exploring greedy criteria for the dynamic traveling purchaser problem

Given a set of products and a set of markets, the traveling purchaser problem looks for a tour visiting a subset of the markets to satisfy products demand at the minimum purchasing and traveling costs. In this paper, we analyze the dynamic variant of the problem (D-TPP) where the quantity made available in each market for each product may decrease over time. We introduce and compare several greedy strategies and test their impact on the solution in terms of feasibility and costs. In particular, we study an incremental approach where an initial naive strategy is improved and refined by a number of variants. Some of the proposed heuristics take into account either one of the two objective costs, while others are based on both traveling and purchasing costs. Extensive computational results are also provided on randomly generated instances.     

Maps of several variables of finite total variation. II. E. Helly-type pointwise selection principles

Given a=(a₁,…,an), b=(b₁,…,bn)∈Rn with a<b componentwise and a map f from the rectangle into a metric semigroup M=(M,d,+), denote by the Hildebrandt-Leonov total variation of f on , which has been recently studied in [V.V. Chistyakov, Yu.V. Tretyachenko, Maps of several variables of finite total variation. I, J. Math. Anal. Appl. (2010), submitted for publication]. The following Helly-type pointwise selection principle is proved: If a sequence{fj}_j∈Nof maps frominto M is such that the closure in M of the set{fj(x)}_j∈Nis compact for eachandis finite, then there exists a subsequence of{fj}_j∈N, which converges pointwise onto a map f such that. A variant of this result is established concerning the weak pointwise convergence when values of maps lie in a reflexive Banach space (M,‖⋅‖) with separable dual M^∗.     

Addendum to “Variations of selective separability” [Topology Appl. 156 (7) (2009) 1241-1252]

Two proofs omitted in the paper mentioned in the title are presented.     

均值-方差准则及其应用

在位置-尺度分布族中研究了均值-方差准则与期望效用理论的一致性,特别指出当均值相等时或源的支撑可达到负无穷时,均值-方差准则与期望效用理论是完全一致的,这表明可以用均值-方差准则研究满足条件的经济问题、管理问题.还介绍了均值-方差准则在金融中的一些应用.     

Mean-variance Hedging for Pricing European-type Contingent Claims with Transaction Costs

In this paper,a European-type contingent claim pricing problem with transaction costs is considered by a mean-variance hedging argument.The investor has to pay transaction costs which areproportional to the amount of stock transacted.The writer‘‘s hedging object is to minimize the hedgingrisk,defined as the variance of hedging error at expiration,with a proper expected excess return level.At first, we consider the mean-variance hedging problem:for initial hedging wealth f,maximizing the excess expected return under the minimum hedging risk level V0.On the other hand,we consider a mean-variance portfolio problem,which is to maximize the expected return with initial wealth 0 under the same risk level V0.The minimum initial hedging wealth f,which can offset the difference of the maximum expected return of these two problems,is the writer‘s price.     

图模型及其在统计建模中的应用

图模型是近年来兴起的一个新的统计研究方向,主要借助拓扑图的直观形式对多维概率分布进行统计推断和因果分析。本文对图模型的基本概念、原理、建模及应用进行了简单介绍。     

Affirmative action algorithms

Affirmative action is a new variety of selection rule which employs historical information to favor the choice of elements that have not been selected in the past. We categorize three implementations of this principle and discuss their application to the simplex method, to Bard-type schemes for the linear complementarity problem, and to augmenting path methods for network flow problems. We present analytical and computational results, and some open questions.Research supported by the Georgia Institute of Technology.Research supported by the New Faculty Research Development Program of the Georgia Institute of Technology. Reproduction in whole or in part is permitted for any purpose of the U.S. Government.