Global ETD Search

241	Robust Portfolio Optimization : Construction and analysis of a robust mixed-integer linear program for use in portfolio optimization Bjurström, Tobias, Gabrielsson Baas, Sebastian January 2024 (has links) When making an investment, it is desirable to maximize the profits while minimizingthe risk. The theory of portfolio optimization is the mathematical approach to choosingwhat assets to invest in, and distributing the capital accordingly. Usually, the objectiveof the optimization is to maximize the return or minimize the risk. This report aims toconstruct and analyze a robust optimization model with MILP in order to determine ifthat model is more suitable for portfolio optimization than earlier models. This is doneby creating a robust MILP model, altering its parameters, and comparing the resultingportfolios with portfolios from older models. Our conclusion is that the constructed modelis appropriate to use for portfolio optimization. In particular, a robust approach is wellsuited for portfolio optimization, and the added MILP-part allows users of the model tospecialize the portfolio to their own preferences. Portfolio optimization robust optimization MILP Markowitz model MPT duality Mathematics Matematik
242	Application of the Duality Theory Lorenz, Nicole 15 August 2012 (has links) (PDF) The aim of this thesis is to present new results concerning duality in scalar optimization. We show how the theory can be applied to optimization problems arising in the theory of risk measures, portfolio optimization and machine learning. First we give some notations and preliminaries we need within the thesis. After that we recall how the well-known Lagrange dual problem can be derived by using the general perturbation theory and give some generalized interior point regularity conditions used in the literature. Using these facts we consider some special scalar optimization problems having a composed objective function and geometric (and cone) constraints. We derive their duals, give strong duality results and optimality condition using some regularity conditions. Thus we complete and/or extend some results in the literature especially by using the mentioned regularity conditions, which are weaker than the classical ones. We further consider a scalar optimization problem having single chance constraints and a convex objective function. We also derive its dual, give a strong duality result and further consider a special case of this problem. Thus we show how the conjugate duality theory can be used for stochastic programming problems and extend some results given in the literature. In the third chapter of this thesis we consider convex risk and deviation measures. We present some more general measures than the ones given in the literature and derive formulas for their conjugate functions. Using these we calculate some dual representation formulas for the risk and deviation measures and correct some formulas in the literature. Finally we proof some subdifferential formulas for measures and risk functions by using the facts above. The generalized deviation measures we introduced in the previous chapter can be used to formulate some portfolio optimization problems we consider in the fourth chapter. Their duals, strong duality results and optimality conditions are derived by using the general theory and the conjugate functions, respectively, given in the second and third chapter. Analogous calculations are done for a portfolio optimization problem having single chance constraints using the general theory given in the second chapter. Thus we give an application of the duality theory in the well-developed field of portfolio optimization. We close this thesis by considering a general Support Vector Machines problem and derive its dual using the conjugate duality theory. We give a strong duality result and necessary as well as sufficient optimality conditions. By considering different cost functions we get problems for Support Vector Regression and Support Vector Classification. We extend the results given in the literature by dropping the assumption of invertibility of the kernel matrix. We use a cost function that generalizes the well-known Vapnik's ε-insensitive loss and consider the optimization problems that arise by using this. We show how the general theory can be applied for a real data set, especially we predict the concrete compressive strength by using a special Support Vector Regression problem. Konjugierte Dualität konvexe Analysis Fencheldualität Lagrangedualität Regularitätsbedingungen schwache Dualität starke Dualität Portfoliooptimierung innere Punktbedingungen Regularitätsbedingungen Risikomaße Support Vektor Regression Suport Vektor Klassifikation Machinelles Lernen Conjugate duality convex duality theory Fenchel duality Lagrange duality Fenchel-Lagrange duality regularity conditions perturbation functions composed convex optimization problems geometric constraints cone constraints weak and strong duality scalar optimization interior point regularity condition conjugate functions convex risk measures convex deviation measures portfolio optimization optimality conditions stochastic programming chance constraints machine learning Tikhonov regularization loss functions Support Vector Regression Support Vector Classification concrete compressive strength ddc:515 Maschinelles Lernen Konjugierte Dualität konvexe Analysis
243	Application of the Duality Theory: New Possibilities within the Theory of Risk Measures, Portfolio Optimization and Machine Learning Lorenz, Nicole 28 June 2012 (has links) The aim of this thesis is to present new results concerning duality in scalar optimization. We show how the theory can be applied to optimization problems arising in the theory of risk measures, portfolio optimization and machine learning. First we give some notations and preliminaries we need within the thesis. After that we recall how the well-known Lagrange dual problem can be derived by using the general perturbation theory and give some generalized interior point regularity conditions used in the literature. Using these facts we consider some special scalar optimization problems having a composed objective function and geometric (and cone) constraints. We derive their duals, give strong duality results and optimality condition using some regularity conditions. Thus we complete and/or extend some results in the literature especially by using the mentioned regularity conditions, which are weaker than the classical ones. We further consider a scalar optimization problem having single chance constraints and a convex objective function. We also derive its dual, give a strong duality result and further consider a special case of this problem. Thus we show how the conjugate duality theory can be used for stochastic programming problems and extend some results given in the literature. In the third chapter of this thesis we consider convex risk and deviation measures. We present some more general measures than the ones given in the literature and derive formulas for their conjugate functions. Using these we calculate some dual representation formulas for the risk and deviation measures and correct some formulas in the literature. Finally we proof some subdifferential formulas for measures and risk functions by using the facts above. The generalized deviation measures we introduced in the previous chapter can be used to formulate some portfolio optimization problems we consider in the fourth chapter. Their duals, strong duality results and optimality conditions are derived by using the general theory and the conjugate functions, respectively, given in the second and third chapter. Analogous calculations are done for a portfolio optimization problem having single chance constraints using the general theory given in the second chapter. Thus we give an application of the duality theory in the well-developed field of portfolio optimization. We close this thesis by considering a general Support Vector Machines problem and derive its dual using the conjugate duality theory. We give a strong duality result and necessary as well as sufficient optimality conditions. By considering different cost functions we get problems for Support Vector Regression and Support Vector Classification. We extend the results given in the literature by dropping the assumption of invertibility of the kernel matrix. We use a cost function that generalizes the well-known Vapnik's ε-insensitive loss and consider the optimization problems that arise by using this. We show how the general theory can be applied for a real data set, especially we predict the concrete compressive strength by using a special Support Vector Regression problem. info:eu-repo/classification/ddc/515 ddc:515
244	Estudo de sistemas de spins a duas dimensões e de calibre a quatro dimensões com simetria Z(N) / Spin systems in two dimensions and Gauge theories in four dimensions with Z(N) symmetry Alcaraz, Francisco Castilho 28 August 1980 (has links) Usando uma transformação de dualidade generalizada, considerações de simetria e supondo que as superfície críticas sejam contínuas, obtivemos o dia grama de fase para sistemas de spins Z (N) bidimensionais e sistemas com invariança de calibre Z (N) a quatro dimensões. Caracterizamos as diversas fases dos sistemas de spins pelo valor esperado das potências dos operadores de ordem e desordem. No sistema com invariança de calibre, por outro lado, estas fases caracterizadas pelo comportamento do valor esperado das potências das alças de Wilson e de \'t Hooft. Obtivemos para ambos os sistemas fases moles em que no caso de spins 2D (calibre 4D) todas as potências dos parâmetros de ordem e desordem ( todas as potências das alças de Wilson e \'t Hooft) são nulas (exibem decaimento com o perímetro da alça). Enquanto no sistema com invariança de calibre todas as combinações de decaimento (área ou perímetro) das alças de Wilson e \'t Hooft são permitidas, as relações de comutação no sistema de spins proíbe a existência de fases em que tanto o parâmetro de ordem como o de desordem são não nulos (exceto quando estes operadores comutam). Apresentamos por completeza as relações de dualidade para sistemas de calibre Z (N) com campos de Higgs a três dimensões. / Using a generalized duality transformation, symetry considerations and assuming that criticality is continuous in the system?s parameters, we obtain the phase diagram for two-dimensional Z (N) spins system?s and four-dimensional gauge Z (N) system\'s. For spins system we characterize the various phases by the expectation value of powers of the order and disorder operators. For gauge systems, on the other hand, the characterization is via decay law of powers of Wilson and \'t Hooft loops. We obtain soft phases for both systems, with the folowing, behaviour: for spins system all powers of order and disorder parameters vanish, whereas for gauge systems all powers of Wilson and \'t Hooft loops decay like the perimeter. Whereas all combinations of area and perimeter decay are allowed for Wilson\'s and \'t Hooft\'s loops, the Z (N) commutation relations for spin systems forbid the simultaneous non-vanishing of order and disorder parameters (except when these operators commute). For completeness we include the duality relations for three-dimensional gauge plus Higgs Z(N) systems. Autodualidade em duas dimensões Autodualidade em quatro dimensões Lattice Gauge theories Modelos de spins Simetria Z(N) Self duality for spin systems Spin systems with Z(N) symetry Teorias de Gauge na rede
245	Modélisation et simulation numériques de l'érosion par méthode DDFV / Modelling and numerical simulation of erosion by DDFV method Lakhlili, Jalal 20 November 2015 (has links) L’objectif de cette étude est de simuler l’érosion d’un sol cohésif sous l’effet d’un écoulement incompressible. Le modèle élaboré décrit une vitesse d’érosion interfaciale qui dépend de la contrainte de cisaillement de l’écoulement. La modélisation numérique proposée est une approche eulérienne, où une méthode de pénalisation de domaines est utilisée pour résoudre les équations de Navier-Stokes autour d’un obstacle. L’interface eau/sol est décrite par une fonction Level Set couplée à une loi d’érosion à seuil.L’approximation numérique est basée sur un schéma DDFV (Discrete Duality Finite Volume) autorisant des raffinements locaux sur maillages non-conformes et non-structurés. L’approche par pénalisation a mis en évidence une couche limite d'inconsistance à l'interface fluide/solide lors du calcul de la contrainte de cisaillement. Deux approches sont proposées pour estimer précisément la contrainte de ce problème à frontière libre. La pertinence du modèle à prédire l’érosion interfaciale du sol est confirmée par la présentation de plusieurs résultats de simulation, qui offrent une meilleure évaluation et compréhension des phénomènes d'érosion / This study focuses on the numerical modelling of the interfacial erosion occurring at a cohesive soil undergoing an incompressible flow process. The model assumes that the erosion velocity is driven by a fluid shear stress at the water/soil interface. The numerical modelling is based on the eulerian approach: a penalization procedure is used to compute Navier-Stokes equations around soil obstacle, with a fictitious domain method, in order to avoid body- fitted unstructured meshes. The water/soil interface’s evolution is described by a Level Set function coupled to a threshold erosion law.Because we use adaptive mesh refinement, we develop a Discrete Duality Finite Volume scheme (DDFV), which allows non-conforming and non-structured meshes. The penalization method, used to take into account a free velocity in the soil with non-body-fitted mesh, introduces an inaccurate shear stress at the interface. We propose two approaches to compute accurately the erosion velocity of this free boundary problem. The ability of the model to predict the interfacial erosion of soils is confirmed by presenting several simulations that provide better evaluation and comprehension of erosion phenomena. Érosion interfaciale Écoulement incompressible Domaines ficifs Level Set Discrete Duality Finite Volume Adaptative Mesh Refinement Algorithme de projection Problème à frontière libre Interfacial erosion Incompressible flow Fictitious domains Level Set Discrete Duality Finite Volume Adaptative Mesh Refinement Projection algorithm Free boundary problem
246	Fenchel duality-based algorithms for convex optimization problems with applications in machine learning and image restoration Heinrich, André 27 March 2013 (has links) (PDF) The main contribution of this thesis is the concept of Fenchel duality with a focus on its application in the field of machine learning problems and image restoration tasks. We formulate a general optimization problem for modeling support vector machine tasks and assign a Fenchel dual problem to it, prove weak and strong duality statements as well as necessary and sufficient optimality conditions for that primal-dual pair. In addition, several special instances of the general optimization problem are derived for different choices of loss functions for both the regression and the classifification task. The convenience of these approaches is demonstrated by numerically solving several problems. We formulate a general nonsmooth optimization problem and assign a Fenchel dual problem to it. It is shown that the optimal objective values of the primal and the dual one coincide and that the primal problem has an optimal solution under certain assumptions. The dual problem turns out to be nonsmooth in general and therefore a regularization is performed twice to obtain an approximate dual problem that can be solved efficiently via a fast gradient algorithm. We show how an approximate optimal and feasible primal solution can be constructed by means of some sequences of proximal points closely related to the dual iterates. Furthermore, we show that the solution will indeed converge to the optimal solution of the primal for arbitrarily small accuracy. Finally, the support vector regression task is obtained to arise as a particular case of the general optimization problem and the theory is specialized to this problem. We calculate several proximal points occurring when using difffferent loss functions as well as for some regularization problems applied in image restoration tasks. Numerical experiments illustrate the applicability of our approach for these types of problems. Konjugierte Dualität Glättungsverfahren Maschinelles Lernen schwache und starke Dualität conjugate duality constraint qualification double smoothing fast gradient algorithm Fenchel duality image deblurring image denoising machine learning regularization support vector machines ddc:510 Konjugierte Dualität Maschinelles Lernen Regularisierung
247	Bounded sets in topological groups Chis, Cristina 09 February 2010 (has links) A boundedness structure (bornology) on a topological space is an ideal of subsets containing all singletons, that is, closed under taking subsets and unions of finitely many elements. In this paper we deal with the structure of the whole family of bounded subsets rather than the specific properties of them by means of certain functions that we define on a metrizable topological group. Our motivation is twofold: on the one hand, we obtain useful information about the structural features of certain remarkable classes of bounded systems, cofinality, local properties, etc. For example, we estimate the cofinality of these boundedness notions. In the second part of the paper, we apply duality methods in order to obtain estimations of the size of a local base for an important class of groups. This translation, which has been widely exhibited in the Pontryagin-van Kampen duality theory of locally compact abelian groups, is often very relevant and has been extended by many authors to more general classes of topological groups. In this work we follow basically the pattern and terminology given by Vilenkin in 1998. tightness Pontryagin-van Kampen duality theory duality theory invariant cardinals bornology boundedness bounded set general topology topological spaces harmonic analysis topological groups character weight cofinality local base 51 512 515.1 517
248	Estudo de sistemas de spins a duas dimensões e de calibre a quatro dimensões com simetria Z(N) / Spin systems in two dimensions and Gauge theories in four dimensions with Z(N) symmetry Francisco Castilho Alcaraz 28 August 1980 (has links) Usando uma transformação de dualidade generalizada, considerações de simetria e supondo que as superfície críticas sejam contínuas, obtivemos o dia grama de fase para sistemas de spins Z (N) bidimensionais e sistemas com invariança de calibre Z (N) a quatro dimensões. Caracterizamos as diversas fases dos sistemas de spins pelo valor esperado das potências dos operadores de ordem e desordem. No sistema com invariança de calibre, por outro lado, estas fases caracterizadas pelo comportamento do valor esperado das potências das alças de Wilson e de \'t Hooft. Obtivemos para ambos os sistemas fases moles em que no caso de spins 2D (calibre 4D) todas as potências dos parâmetros de ordem e desordem ( todas as potências das alças de Wilson e \'t Hooft) são nulas (exibem decaimento com o perímetro da alça). Enquanto no sistema com invariança de calibre todas as combinações de decaimento (área ou perímetro) das alças de Wilson e \'t Hooft são permitidas, as relações de comutação no sistema de spins proíbe a existência de fases em que tanto o parâmetro de ordem como o de desordem são não nulos (exceto quando estes operadores comutam). Apresentamos por completeza as relações de dualidade para sistemas de calibre Z (N) com campos de Higgs a três dimensões. / Using a generalized duality transformation, symetry considerations and assuming that criticality is continuous in the system?s parameters, we obtain the phase diagram for two-dimensional Z (N) spins system?s and four-dimensional gauge Z (N) system\'s. For spins system we characterize the various phases by the expectation value of powers of the order and disorder operators. For gauge systems, on the other hand, the characterization is via decay law of powers of Wilson and \'t Hooft loops. We obtain soft phases for both systems, with the folowing, behaviour: for spins system all powers of order and disorder parameters vanish, whereas for gauge systems all powers of Wilson and \'t Hooft loops decay like the perimeter. Whereas all combinations of area and perimeter decay are allowed for Wilson\'s and \'t Hooft\'s loops, the Z (N) commutation relations for spin systems forbid the simultaneous non-vanishing of order and disorder parameters (except when these operators commute). For completeness we include the duality relations for three-dimensional gauge plus Higgs Z(N) systems. Autodualidade em duas dimensões Autodualidade em quatro dimensões Modelos de spins Simetria Z(N) Teorias de Gauge na rede Lattice Gauge theories Self duality for spin systems Spin systems with Z(N) symetry
249	A duality approach to gap functions for variational inequalities and equilibrium problems Lkhamsuren, Altangerel 25 July 2006 (has links) This work aims to investigate some applications of the conjugate duality for scalar and vector optimization problems to the construction of gap functions for variational inequalities and equilibrium problems. The basic idea of the approach is to reformulate variational inequalities and equilibrium problems into optimization problems depending on a fixed variable, which allows us to apply duality results from optimization problems. Based on some perturbations, first we consider the conjugate duality for scalar optimization. As applications, duality investigations for the convex partially separable optimization problem are discussed. Afterwards, we concentrate our attention on some applications of conjugate duality for convex optimization problems in finite and infinite-dimensional spaces to the construction of a gap function for variational inequalities and equilibrium problems. To verify the properties in the definition of a gap function weak and strong duality are used. The remainder of this thesis deals with the extension of this approach to vector variational inequalities and vector equilibrium problems. By using the perturbation functions in analogy to the scalar case, different dual problems for vector optimization and duality assertions for these problems are derived. This study allows us to propose some set-valued gap functions for the vector variational inequality. Finally, by applying the Fenchel duality on the basis of weak orderings, some variational principles for vector equilibrium problems are investigated. info:eu-repo/classification/ddc/510 ddc:510 Dualitätstheorie Konvexe Analysis Conjugate duality Conjugate map Duality for vector optimization Equilibrium problems Gap function Variational inequalities Variational principle Vector equilibrium problems Vector variational inequalities
250	Electric and magnetic aspects of gravitational theories Dehouck, François 23 September 2011 (has links) Cette thèse se consacre premièrement à certains aspects de la définition de charges conservées en relativité générale pour les espaces asymptotiquement plats à l’infini spatial. À l’aide de la dualité gravitationnelle, présente au niveau linéarisé, on étudie également l’existence de charges topologiques, magnétiques, ainsi que leurs contributions aux superalgèbres dans les théories de supergravité N = 1 et N = 2 à quatre dimensions. La thèse est divisée en trois parties.<p>Dans la première partie, les espaces asymptotiquement plats à l’infini spatial sont décrits à l’aide d’une généralisation de la métrique de type Beig-Schmidt. La construction de charges à partir de l’étude des équations du mouvement et de la classification de tenseurs symétriques et de divergences nulles nous permet de démontrer l’unicité des charges de Poincaré pour l’ansatz non-généralisé en présence de conditions de parité. L’équivalence des charges de Ashtekar- Hansen et Mann-Marolf est ainsi revisitée. Dans le cas d’un ansatz généralisé, une régulation de la forme symplectique divergente, à l’aide de contre-termes rajoutés à l’action de Mann-Marolf, nous donne la possibilité de considérer un espace des phases sans conditions de parité, tout en gardant un principe variationnel bien défini. Le groupe asymptotique comprend alors, en plus des charges de Poincaré où les charges de Lorentz ne sont plus asymptotiquement linéaires, des charges non-triviales associées aux supertranslations et aux transformations logarithmiques.<p>Dans la deuxième partie, on étudie la dualité gravitationnelle et la définition de charges magnétiques en gravitation linéarisée. On revisite la dualité et on montre qu’une dualisation sur les indices de Lorentz facilite la compréhension de celle-ci. Les dix charges de Poincaré ainsi que leurs duales magnétiques sont alors exprimées en termes d’intégrales de surface. Nous illustrons ensuite nos résultats à travers l’étude des sources de certaines solutions électriques et de leur duales magnétiques. Les solutions électriques envisagées sont :les trous noirs de type Schwarzschild et de type Kerr ainsi que les ondes de chocs de type pp.<p>Dans la dernière partie, on établit la supersymétrie des espaces de type Taub-NUT lorentzien chargés électriquement et magnétiquement dans la supergravité N = 2. Motivé par l’existence d’une égalité BPS, on entreprend alors une recherche sur l’inclusion de la charge NUT dans l’algèbre de supersymétrie. Grâce à une complexification de la forme de Witten-Nester, cette contribution de la charge NUT à la superalgèbre est comprise comme une déformation topologique, symétrique, au crochet antisymétrique des super-charges. Ce résultat est alors appliqué à la superalgèbre N = 1 à travers l’étude des ondes de chocs de type pp.<p> / Doctorat en Sciences / info:eu-repo/semantics/nonPublished Physique Sciences exactes et naturelles Gravitation General relativity (Physics) Space and time Hyperspace Gravitation Relativité générale (Physique) Espace et temps Hyperespace spatial infinity Lorentz charges Noether asymptotically flat spacetimes electromagnetic duality general relativity conserved charges gravitational duality

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