Resource allocation with stochastic optimal control approach

A control-theoretic decision making system is proposed for an agent (decision maker) to “optimally” allocate and deploy his/her resources over time among a dynamically changing list of opportunities (e.g., financial assets), in an uncertain market environment. The solution is a sequence of actions with the objective of optimizing total reward function. This control-theoretic approach is unique in a sense that it solves the problem at distinct time epochs over a finite time horizon and strategies are discovered directly. Rather than basing a decision making system on forecasts or training via a reinforcement learning algorithm using current state data, we train our system via a Q-learning algorithm using Geometric Brownian Motion as an asset price function. While the above problem is quite general, we focus solely on the problem of dynamic financial portfolio management with the objective of maximizing the expected utility for a given risk level. The performance functions that we consider for our system are realized mean return, drawdown and standard deviation. We find that our model achieves a better return and drawdown compared to a known market index as a benchmark.     

Multiple solutions for non-homogeneous degenerate Schrödinger equations in cone Sobolev spaces

The present paper deals with the study of semilinear and non-homogeneous Schrödinger equations on a manifold with conical singularity. We provide a suitable constant by Sobolev embedding constant and for p ∈ (2, 2?) with respect to non-homogeneous term g(x) ∈ L ₂ ^n/2 (B), which helps to find multiple solutions of our problem. More precisely, we prove the existence of two solutions to the problem 1.1 with negative and positive energy in cone Sobolev space H _2,0 ^1,n/2 (B). Finally, we consider p = 2 and we prove the existence and uniqueness of Fuchsian-Poisson problem.     

Some properties of almostS-continuous functions

Noiri et al. in [16] introduced and investigated the notion of almosts-continuous functions. The object of this paper is to investigate some more properties of this type of functions.     

Simulation of viscoelastic fluids in a 2D abrupt contraction by spectral element method

This study presents the vortex structure and numerical instability increase occurring when the level of elasticity is enhanced in inertial flows in planar contraction configuration for finitely extensible nonlinear elastic model by Peterlin (FENE‐P) fluid 1 . The re‐entrant corner effect on corner vortices is also considered. The calculations are performed using extended matrix logarithm formulation described in a previous paper: A. Jafari et al. A new extended matrix logarithm formulation for the simulation of viscoelastic fluids by spectral elements. Computer & Fluids 2010; 39 (9):1425–1438. In that reference, the proposed algorithm has been tested for simple geometry such as Poiseuille flow. In this study, we are interested in the capability of this algorithm for more complex geometry. This formulation helps to reach higher values of the Weissenberg number when compared with the classical one. Copyright © 2015 John Wiley & Sons, Ltd.     

Coefficient rings of numerical semigroup algebras

Numerical semigroup rings are investigated from the relative viewpoint. It is known that algebraic properties such as singularities of a numerical semigroup ring are properties of a flat numerical semigroup algebra. In this paper, we show that arithmetic and set-theoretic properties of a numerical semigroup ring are properties of an equi-gcd numerical semigroup algebra.

     

An admissible minimax estimator of a bounded scale-parameter in a subclass of the exponential family under scale-invariant squared-error loss

A subclass of the scale-parameter exponential family is considered and for the rth power of the scale parameter, which is lower bounded, an admissible minimax estimator under scale-invariant squared-error loss is presented. Also, an admissible minimax estimator of a lower-bounded parameter in the family of transformed chi-square distributions is given. These estimators are the pointwise limits of a sequence of Bayes estimators. Some examples are given.     

On pre-Λ-Sets and pre-v-Sets

We introduce the notions of a pre--set and a pre-V-set in a topological space. We study the fundamental properties of pre--sets and pre-V-sets and investigate the topologies defined by these families of sets.     

Selecting symmetric weights as a secondary goal in DEA cross-efficiency evaluation

In data envelopment analysis (DEA), the cross-efficiency evaluation method introduces a cross-efficiency matrix, in which the units are self and peer evaluated. A problem that possibly reduces the usefulness of the cross-efficiency evaluation method is that the cross-efficiency scores may not be unique due to the presence of alternate optima. So, it is recommended that secondary goals be introduced in cross-efficiency evaluation. In this paper we propose the symmetric weight assignment technique (SWAT) that does not affect feasibility and rewards decision making units (DMUs) that make a symmetric selection of weights. A numerical example is solved by our proposed method and its solution is compared with those of alternative approaches.     

On the Roman Bondage Number of Planar Graphs

A Roman dominating function on a graph G is a function f : V(G) → {0, 1, 2} satisfying the condition that every vertex u for which f (u) = 0 is adjacent to at least one vertex v for which f (v) = 2. The weight of a Roman dominating function is the value f (V(G)) = ?_{u ? V(G)} f (u){f (V(G)) = \sum_{u\in V(G)} f (u)}. The Roman domination number, γ _R (G), of G is the minimum weight of a Roman dominating function on G. The Roman bondage number b _R (G) of a graph G with maximum degree at least two is the minimum cardinality of all sets E^￠ í E(G){E^{\prime} \subseteq E(G)} for which γ _R (G − E′) > γ _R (G). In this paper we present different bounds on the Roman bondage number of planar graphs.