A Simple Approach for Multi‐fidelity Experimentation Applied to Financial Engineering

In practical applications, information about the accuracy or ‘fidelity’ of alternative surrogate systems may be ambiguous and difficult to determine. To address this problem, we propose to treat surrogate system fidelity level as a categorical factor in optimal response surface design. To design the associated experiments, we apply the Expected Integrated Mean Squared Error optimal design criterion, which takes into account both variance and bias errors. The performance of the proposed design was compared using three test cases to four types of alternatives using the Empirical Integrated Squared Error. Because of its ability to foster relatively accurate predictions, the proposed design is recommended in fidelity experimental design, particularly when the experimenters lack sufficient information about the fidelity levels of surrogate systems. The method was applied to the case of intraday trading optimization in which data were collected from the Taiwan Futures Exchange. We also calculated the implied volatility from the Merton's Jump‐diffusion model via the fast Fourier transform algorithm with three different models of varying fidelity levels. Copyright © 2014 John Wiley & Sons, Ltd.     

Solving a multi-objective simulation model using a hybrid response surface method and lexicographical goal programming approach—a case study on integrated circuit ink-marking machines

In an integrated circuit (IC) packaging plant, the ink-marking machine has a significantly higher throughput than the other processing machines. When periodic demand surges result in backlog orders or in lost customers, there is a need to increase system throughput. To resolve this problem, the purchase of a new machine often results in excess capacity in addition to added operation and acquisition costs. Therefore, the productivity improvement effort has priority over the machine purchase decision. This paper seeks to optimize both throughput and cycle time performance for IC ink-marking machines. While throughput increase is the primary objective, there is an acceptable cycle time limit for a feasible solution. It is a multi-objective problem. The proposed solution methodology constructed a simulation metamodel for the ink-marking operation by using a fractional factorial experimental design and regression analysis. It is then solved by a hybrid response surface method and lexicographical goal programming approach. Solution results illustrated a successful application.     

Atomic Xα calculations based on EHFS(α) = Eexp

The total energies and one-electron energies for first- and second-row atoms were calculated by using the Hartree–Fock and the Hartree–Fock-Slater Hamiltonian with X_α orbitals, u_i(α_exp); α was parametrized from E^HFS (α_exp) = E^exp. The E^HF (α_exp) total energies are always higher than the Hartree–Fock energies for the atoms. The relation of the calculated ionization potential to the experimental ionization potential depends on the α used to define u_i(α), α_exp, or α_HF.     

The quantum orbifold cohomology of weighted projective spaces

We calculate the small quantum orbifold cohomology of arbitrary weighted projective spaces. We generalize Givental’s heuristic argument, which relates small quantum cohomology to S ¹-equivariant Floer cohomology of loop space, to weighted projective spaces and use this to conjecture an explicit formula for the small J-function, a generating function for certain genus-zero Gromov–Witten invariants. We prove this conjecture using a method due to Bertram. This provides the first non-trivial example of a family of orbifolds of arbitrary dimension for which the small quantum orbifold cohomology is known. In addition we obtain formulas for the small J-functions of weighted projective complete intersections satisfying a combinatorial condition; this condition naturally singles out the class of orbifolds with terminal singularities.     

Note on Characterization of Projective Spaces

We prove a numerical characterization of ?ⁿ for varieties with at worst isolated local complete intersection quotient singularities. In dimension 3, we prove such a numerical characterization of ?³ for normal ?-Gorenstein projective varieties.     

Some Methods Based on the D-Gap Function for Solving Monotone Variational Inequalities

The D-gap function has been useful in developing unconstrained descent methods for solving strongly monotone variational inequality problems. We show that the D-gap function has certain properties that are useful also for monotone variational inequality problems with bounded feasible set. Accordingly, we develop two unconstrained methods based on them that are similar in spirit to a feasible method of Zhu and Marcotte based on the regularized-gap function. We further discuss a third method based on applying the D-gap function to a regularized problem. Preliminary numerical experience is also reported.     

Nearest q-Flat to m Points

Recently, Bradley and Mangasarian studied the problem of finding the nearest plane to m given points in ⁿ in the least square sense. They showed that the problem reduces to finding the least eigenvalue and associated eigenvector of a certain n×n symmetric positive-semidefinite matrix. We extend this result to the general problem of finding the nearest q-flat to m points, with 0qn–1.     

A high-gain porous silicon metal–semiconductor–metal photodetector through rapid thermal oxidation and rapid thermal annealing

2 tungsten lamp at 1.83 mA excited by a 0.85-mW 675-nm laser diode. We also demonstrate that the dark current could be greatly reduced through rapid thermal oxidation and rapid thermal annealing. Received: 4 August 1997/Accepted: 28 May 1998     

Exposure assessment of process by-product nanoparticles released during the preventive maintenance of semiconductor fabrication facilities

This study characterized the process by-product particles (mostly nanoparticles) released during the preventive maintenance of semiconductor fabrication facilities, such as chemical mechanical planarization (CMP), plasma-enhanced chemical vapor deposition (PECVD), and ion implantation. Manual sampling and real-time measurements with direct reading instruments were conducted to assess the exposure levels of nanoparticles and their physical and chemical properties. Significant amount of nanoparticles were observed in the breathing zone of the workers during the maintenance of the PECVD and ion implanters with the peak number concentrations as high as 6,470,000 and 65,444 #/cm³, respectively, indicating that the deposited residual chemicals in the reaction chambers were released as airborne nanoparticles by the maintenance activities. In contrast, nanoparticles released during the maintenance of the local scrubber, CMP, and replacing CMP slurry drums were insignificant. Causes of the particle release were discussed and suggestions were made to mitigate the nanoparticle release and reduce the exposure levels.