| 961. |
- Bielecki, Tomasz R., et al.
(författare)
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Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model
- 2014
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Ingår i: Journal of Optimization Theory and Applications. - : Springer Science and Business Media LLC. - 0022-3239 .- 1573-2878. ; 161:1, s. 90-102
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Tidskriftsartikel (refereegranskat)abstract
- We devise a bottom-up dynamic model of portfolio credit risk where instantaneous contagion is represented by the possibility of simultaneous defaults. Due to a Markovian copula nature of the model, calibration of marginals and dependence parameters can be performed separately using a two-step procedure, much like in a standard static copula setup. In this sense this solves the bottom-up top-down puzzle which the CDO industry had been trying to do for a long time. This model can be used for any dynamic portfolio credit risk issue, such as dynamic hedging of CDOs by CDSs, or CVA computations on credit portfolios.
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| 962. |
- Bierkens, Joris, et al.
(författare)
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A piecewise deterministic Monte Carlo method for diffusion bridges
- 2021
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Ingår i: Statistics and Computing. - : Springer Science and Business Media LLC. - 0960-3174 .- 1573-1375. ; 31:3
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Tidskriftsartikel (refereegranskat)abstract
- We introduce the use of the Zig-Zag sampler to the problem of sampling conditional diffusion processes (diffusion bridges). The Zig-Zag sampler is a rejection-free sampling scheme based on a non-reversible continuous piecewise deterministic Markov process. Similar to the Lévy–Ciesielski construction of a Brownian motion, we expand the diffusion path in a truncated Faber–Schauder basis. The coefficients within the basis are sampled using a Zig-Zag sampler. A key innovation is the use of the fully local algorithm for the Zig-Zag sampler that allows to exploit the sparsity structure implied by the dependency graph of the coefficients and by the subsampling technique to reduce the complexity of the algorithm. We illustrate the performance of the proposed methods in a number of examples.
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| 963. |
- Bierkens, Joris, et al.
(författare)
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Sticky PDMP samplers for sparse and local inference problems
- 2023
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Ingår i: Statistics and Computing. - : Springer Science and Business Media LLC. - 0960-3174 .- 1573-1375. ; 33
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Tidskriftsartikel (refereegranskat)abstract
- We construct a new class of efficient Monte Carlo methods based on continuous-time piecewise deterministic Markov processes (PDMPs) suitable for inference in high dimensional sparse models, i.e. models for which there is prior knowledge that many coordinates are likely to be exactly 0. This is achieved with the fairly simple idea of endowing existing PDMP samplers with “sticky” coordinate axes, coordinate planes etc. Upon hitting those subspaces, an event is triggered during which the process sticks to the subspace, this way spending some time in a sub-model. This results in non-reversible jumps between different (sub-)models. While we show that PDMP samplers in general can be made sticky, we mainly focus on the Zig-Zag sampler. Compared to the Gibbs sampler for variable selection, we heuristically derive favourable dependence of the Sticky Zig-Zag sampler on dimension and data size. The computational efficiency of the Sticky Zig-Zag sampler is further established through numerical experiments where both the sample size and the dimension of the parameter space are large.
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| 964. |
- Biganda, Pitos, 1981-, et al.
(författare)
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PageRank and perturbed Markov chains
- 2019
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Ingår i: Proceedings of 18th Applied Stochastic Models and Data Analysis International Conference with the Demographics 2019 Workshop, Florence, Italy: 11-14 June, 2019. - : ISAST: International Society for the Advancement of Science and Technology. - 9786185180331 ; , s. 233-247
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Konferensbidrag (refereegranskat)abstract
- PageRank is a widely-used hyperlink-based algorithm to estimate the relative importance of nodes in networks [11]. Since many real world networks are large sparse networks, this makes efficient calculation of PageRank complicated. Moreover, one needs to escape from dangling effects in some cases as well as slow convergence of the transition matrix. Primitivity adjustment with a damping (perturbation) parameter ε(0,ε0] (for fixed ε0 0.15) is one of the essential procedure that is known to ensure convergence of the transition matrix [24]. If ε is large, the transition matrix looses information due to shift of information to teleportation matrix [27]. In this paper, we formulate PageRank problem as the first and second order Markov chains perturbation problem. Using numerical experiments, we compare convergence rates for the two problems for different values of ε on different graph structures and investigate the difference in ranks for the two problems.
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| 965. |
- Björk, Tomas, et al.
(författare)
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Optimal investment under partial information
- 2010
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Ingår i: Mathematical Methods of Operations Research. - : Springer Science and Business Media LLC. - 1432-2994 .- 1432-5217. ; 71:2, s. 371-399
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Tidskriftsartikel (refereegranskat)abstract
- We consider the problem of maximizing terminal utility in a model where asset prices are driven by Wiener processes, but where the various rates of returns are allowed to be arbitrary semimartingales. The only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot be observed directly. This leads to an optimal control problem under partial information and for the cases of power, log, and exponential utility we manage to provide a surprisingly explicit representation of the optimal terminal wealth as well as of the optimal portfolio strategy. This is done without any assumptions about the dynamical structure of the return processes. We also show how various explicit results in the existing literature are derived as special cases of the general theory.
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| 966. |
- Björnberg, Jakob, 1983, et al.
(författare)
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Critical parameter of random loop model on trees
- 2018
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Ingår i: Annals of Applied Probability. - 1050-5164. ; 28:4, s. 2063-2082
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Tidskriftsartikel (refereegranskat)abstract
- We give estimates of the critical parameter for random loop models that are related to quantum spin systems. A special case of the model that we consider is the interchange- or random-stirring process. We consider here the model defined on regular trees of large degrees, which are expected to approximate high spatial dimensions. We find a critical parameter that indeed shares similarity with existing numerical results for the cubic lattice. In the case of the interchange process, our results improve on earlier work by Angel and by Hammond, in that we determine the second-order term of the critical parameter.
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| 967. |
- Bliek, Laurens, et al.
(författare)
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Hospital simulation model optimisation with a random ReLU expansion surrogate model
- 2021
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Ingår i: GECCO 2021 Companion - Proceedings of the 2021 Genetic and Evolutionary Computation Conference Companion. - New York, NY, USA : ACM. ; , s. 13-14
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Konferensbidrag (refereegranskat)abstract
- The industrial challenge of the GECCO 2021 conference is an expensive optimisation problem, where the parameters of a hospital simulation model need to be tuned to optimality. We show how a surrogate-based optimisation framework, with a random ReLU expansion as the surrogate model, outperforms other methods such as Bayesian optimisation, Hyperopt, and random search on this problem.
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| 968. |
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| 969. |
- Bogsjö, Klas, et al.
(författare)
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Vehicle fatigue damage caused by road irregularities
- 2009
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Ingår i: Fatigue and Fracture of Engineering Materials and Structures. - : Wiley. - 8756-758X .- 1460-2695. ; 32:5, s. 391-402
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Tidskriftsartikel (refereegranskat)abstract
- Road roughness causes fatigue-inducing loads in travelling vehicles. Road sections with a high degree of roughness are of special interest because these have a significant impact on vehicle's fatigue life. This study is focused on the statistical description and analysis of vehicle damage caused by irregularities. Standard statistical analysis tools are not straightforwardly applicable because of the non-stationary property of the irregularities. However, it is found that the road irregularities' influence on vehicles can be accurately described using a 'local' narrow-band approximation of the fatigue damage intensity. © 2009 Blackwell Publishing.
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| 970. |
- Botha, Matthys, 1976, et al.
(författare)
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Results in quadrature error estimation for weak near-singular MoM integrals
- 2017
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Ingår i: 2017 IEEE INTERNATIONAL SYMPOSIUM ON ANTENNAS AND PROPAGATION & USNC/URSI NATIONAL RADIO SCIENCE MEETING. - 1522-3965. - 9781538632840 ; , s. 1555-1556
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Konferensbidrag (refereegranskat)abstract
- In the method of moments (MoM) for integral equation based numerical electromagnetic field calculation, weakly singular and near-singular surface integrals must be routinely evaluated. Applicable numerical integration schemes are standard Gaussian quadrature or specialized singularity cancellation transformation quadrature. When applying numerical integration, an error is incurred. Qualitative knowledge of the error behaviour and quantitative error estimates are valuable to MoM developers in identifying appropriate quadrature schemes and orders, which lead to increased efficiency and reliability of MoM implementations. An accurate, closed-form error estimate is presented for direct Gaussian product-rule quadrature, as well as for the Radial-Angular-R1-Sqrt transformation scheme.
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