Imposing no‐arbitrage conditions in implied volatilities using constrained smoothing splines

We apply constrained smoothing B‐splines to the construction of arbitrage‐free implied volatilities and derived measures. The constrained smoothing B‐splines allows the imposition of the constraints of monotonicity and convexity given by the no‐arbitrage conditions in the pricing function. We illustrate the methodology in the construction of implied volatilities and also in the construction of derived measures such as risk‐neutral densities, showing that it can be used as an effective tool for general treatment of option prices. Copyright © 2011 John Wiley & Sons, Ltd.     

反射分量分离的特征融合图像翻拍检测

针对翻拍图像对相关人脸识别系统的欺骗性,将基于同态滤波的反射分量分离特征作为新特征加入图像中,形成四通道图像,并将其作为简单卷积神经网络的输入的翻拍图像检测方法.结果表明:在拍摄环境复杂、干扰噪音较多、活体数量较大的环境下,该方法有较高且稳定的准确率、较好的鲁棒性及使用价值.     

光滑化牛顿法求解广义绝对值方程

本文研究了广义绝对值方程Ax-|Bx-c|=b的求解问题.利用一个光滑的NCP函数将广义绝对值方程转化为等价的光滑方程组,获得了算法全局超线性收敛性的结果.并给出数值实验验证了理论分析及算法的有效性.     

Sequential smoothing for turning point detection with application to financial decisions

A fundamental problem in financial trading is the correct and timely identification of turning points in stock value series. This detection enables to perform profitable investment decisions, such as buying‐at‐low and selling‐at‐high. This paper evaluates the ability of sequential smoothing methods to detect turning points in financial time series. The novel idea is to select smoothing and alarm coefficients on the gain performance of the trading strategy. Application to real data shows that recursive smoothers outperform two‐sided filters at the out‐of‐sample level. Copyright © 2012 John Wiley & Sons, Ltd.     

二元三次样条空间S31,2(Δmn(2)) 的样条拟插值

本文首先利用由两组具有局部最小支集的样条所组成的基函数,构造非均匀2 型三角剖分上二元三次样条空间S₃^1,2(Δ_mn⁽²⁾)的若干样条拟插值算子. 这些变差缩减算子由样条函数B_ij¹支集上5 个网格点或中心和样条函数B_ij²支集上5 个网格点处函数值定义. 这些样条拟插值算子具有较好的逼近性,甚至算子V_mn（f） 能保持近最优的三次多项式性. 然后利用连续模,分析样条拟插值算子V_mn（f）一致逼近于充分光滑的实函数. 最后推导误差估计.     

Nonlinear fusion filters based on prediction and smoothing

To attenuate white noise, nonstationary noise and impulse noise are important for signal processing. In this letter, we present nonlinear fusion filters (NFF) based on prediction and smoothing. By means of least square fitting of a polynomial, we define and give the operators of left prediction and right prediction, left smoothing and right smoothing, central smoothing and cross-validation smoothing. In simulated experiments, it is shown that the present method is an effective one.     

Analytic smoothing effect for global solutions to nonlinear Schrödinger equations

We prove the global existence of analytic solutions to the Cauchy problem for the cubic Schrödinger equation in space dimension n?3 for sufficiently small data with exponential decay at infinity. Minimal regularity assumption regarding scaling invariance is imposed on the Cauchy data.     

Combining the independent pixel and point-spread function approaches to simulate the actinic radiation field in moderately inhomogeneous 3D cloudy media

A fast method is presented for gaining 3D actinic flux density fields, F_act, in clouds employing the Independent Pixel Approximation (IPA) with a parameterized horizontal photon transport to imitate radiative smoothing effects. For 3D clouds the IPA is an efficient method to simulate radiative transfer, but it suffers from the neglect of horizontal photon fluxes leading to significant errors (up to locally 30% in the present study). Consequently, the resulting actinic flux density fields exhibit an unrealistically rough and rugged structure. In this study, the radiative smoothing is approximated by applying a physically based smoothing algorithm to the calculated IPA actinic flux field.     

改进的分级图像矢量量化

提出了一种基于Ｐｅａｎｏ扫描的分级矢量量化算法，通过有效地利用数据间的相关性，改进了ＶＱ的性能．该算法先通过能比光栅扫描更好地保存二维数据间的相关性的Ｐｅａｎｏ扫描对原始图像进行预处理，再根据信号特性进行分级ＶＱ；还提出了基于Ｐｅａｎｏ扫描的平滑算法，有效地减小了方块效应的影响     

一种广义互补问题的磨光方法

文章基于文献[1]中一种广义互补问题的转化模型，建立了一种磨光牛顿算法，并在适当的条件下，证明了这种算法的超线性收敛性和Q-二次收敛性．