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Decision of a Steel Company Trading with Emissions
Zapletal, F.; Šmíd, Martin
2016 - English
We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the missing/redundant ones have to be bought/sold on a market. To manage their risk, the company can use derivatives on emissions allowances (in particular futures and options), in addition to spot values of allowances. We solve the decision problem for the case of an real-life Czech steel company for different levels of risk aversion and different scenarios of the demand. We show that the necessity of emissions trading generally, and the risk caused by the trading in particular, can influence the production significantly even when the risk is decreased by means of derivatives. The results of the study show that even for low levels of the risk aversion, futures on allowances are optimal to use in order to reduce the risk caused by the emissions trading.
Keywords:
CVaR; emission trading; optimization; allowances; EU ETS
Fulltext is available at external website.
Decision of a Steel Company Trading with Emissions
We formulate a Mean-CVaR decision problem of a production company obliged to cover its CO2 emissions by allowances. Certain amount of the allowances is given to the company for free, the ...
Robot Control in Terms of Hamiltonian Mechanics
Záda, V.; Belda, Květoslav
2016 - English
The paper deals with a mathematical modeling of robot motion and control. Instead of frequently used Lagrangian formulation of robot dynamics, this paper presents robot dynamics by Hamiltonian formulation. This formulation leads to different physical descriptive quantities considered for control design. In the paper, as a comparative control approach, PD control with gravity compensation is considered. The control approach considering Hamiltonian formulation is demonstrated for simplicity on two-mass robot-arm system. However, the explained modeling approach is general and it can be applied, e.g., to usual industrial articulated robots-manipulators with multiple degrees of freedom.
Keywords:
Robot-manipulator; Hamiltonian formalism; Modeling; Robot control; PD control
Fulltext is available at external website.
Robot Control in Terms of Hamiltonian Mechanics
The paper deals with a mathematical modeling of robot motion and control. Instead of frequently used Lagrangian formulation of robot dynamics, this paper presents robot dynamics by Hamiltonian ...
Transient and Average Markov Reward Chains with Applications to Finance
Sladký, Karel
2016 - English
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the variances for transient and average models are reported along with sketches of algorithmic procedures for finding policies guaranteeing minimal variance in the class of policies with a given transient or average reward. Application of the obtained results to financial models is indicated.
Keywords:
dynamic programming; transient and average Markov reward chains; reward-variance optimality; optimality in financial models
Fulltext is available at external website.
Transient and Average Markov Reward Chains with Applications to Finance
The article is devoted to Markov reward chains, in particular, attention is primarily focused on the reward variance arising by summation of generated rewards. Explicit formulae for calculating the ...
Capital market efficiency in the Ising model environment: Local and global effects
Krištoufek, Ladislav; Vošvrda, Miloslav
2016 - English
Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromag- netism) mimicking the most important stylized facts of financial returns such as no serial correlation, fat tails, volatility clustering and volatility persistence on the verge of non-stationarity. We present results of Monte Carlo simulation study investigating the relationship between parameters of the model (related to herding and minority game behaviors) and crucial characteristics of capital market e ciency (with respect to the e cient market hypothesis). We find a strongly non-linear relationship between these which opens possibilities for further research. Specifically, the existence of both herding and minority game behavior of market participants are necessary for attaining the e cient market in the sense of the e cient market hypothesis.
Keywords:
Ising model; efficient market hypothesis; Monte Carlo simulation
Fulltext is available at external website.
Capital market efficiency in the Ising model environment: Local and global effects
Financial Ising model is one of the simplest agent-based models (building on a parallel between capital markets and the Ising model of ferromag- netism) mimicking the most important stylized facts of ...
Diffusion MCMC for Mixture Estimation
Reichl, Jan; Dedecius, Kamil
2016 - English
Distributed inference of parameters of mixture models by a network of cooperating nodes (sensors) with computational and communication capabilities still represents a challenging task. In the last decade, several methods were proposed to solve this issue, predominantly formulated within the expectation-maximization framework and with the assumption of mixture components normality. The present paper adopts the Bayesian approach to inference of general (non-normal) mixtures via the Markov chain Monte Carlo simulation from the parameter posterior distribution. By collaborative tuning of node chains, the method allows reliable estimation even at nodes with significantly worse observational conditions, where the components may tend to merge due to high variances. The method runs in the diffusion networks, where the nodes communicate only with their adjacent neighbors within 1 hop distance.
Keywords:
Mixture; mixture estimation; MCMC
Fulltext is available at external website.
Diffusion MCMC for Mixture Estimation
Distributed inference of parameters of mixture models by a network of cooperating nodes (sensors) with computational and communication capabilities still represents a challenging task. In the last ...
Adaptive Blind Separation of Instantaneous Linear Mixtures of Independent Sources
Šembera, Ondřej; Tichavský, Petr; Koldovský, Zbyněk
2016 - English
In many applications, there is a need to blindly separate independent sources from their linear instantaneous mixtures while the mixing matrix or source properties are slowly or abruptly changing in time. The easiest way to separate the data is to consider off-line estimation of the model parameters repeatedly in time shifting window. Another popular method is the stochastic natural gradient algorithm, which relies on non-Gaussianity of the separated signals and is adaptive by its nature. In this paper, we propose an adaptive version of two blind source separation algorithms which exploit non-stationarity of the original signals. The results indicate that the proposed algorithms slightly outperform the natural gradient in the trade-off between the algorithm’s ability to quickly adapt to changes in the mixing matrix and the variance of the estimate when the mixing is stationary.
Keywords:
blind separation; algorithms; block gaussian separation
Fulltext is available at external website.
Adaptive Blind Separation of Instantaneous Linear Mixtures of Independent Sources
In many applications, there is a need to blindly separate independent sources from their linear instantaneous mixtures while the mixing matrix or source properties are slowly or abruptly changing in ...
Basic facts concerning extreme supermodular functions
Studený, Milan
2016 - English
Elementary facts and observations on the cone of supermodular set functions are recalled. The manuscript deals with such operations with set functions which preserve supermodularity\nand the emphasis is put on those such operations which even preserve extremality (of a supermodular function). These involve a few self-transformations of the cone of supermodular set functions. Moreover, projections to the (less-dimensional) linear space of set functions for a subset of the variable set are discussed. Finally, several extensions to the (more-dimensional) linear space of set functions for a superset of the variable set are shown to be both preserving supermodularity and extremality.
Keywords:
supermodular function; standardizations; extreme supermodular function
Fulltext is available at external website.
Basic facts concerning extreme supermodular functions
Elementary facts and observations on the cone of supermodular set functions are recalled. The manuscript deals with such operations with set functions which preserve supermodularity\nand the emphasis ...
DCTOOL-A3
Bakule, Lubomír; Papík, Martin; Rehák, Branislav
2016 - English
DCTOOL-A3 is a documentation of Matlab routines developed for the design of decentralized control of large scale complex systems. The current beta version covers three areas as follows:\nReport 4.1 deals with the event-triggered control design for unstructured uncertain systems. Both non-quantized and quantized feedback is analyzed. The results are given in terms of linear matrix inequalities (LMIs). Logarithmic quantizer is used. Numerical example illustrates the effectiveness of the presented results.\nReport 4.2 presents a new decentralized overlapping wireless control design with a switched communication protocol. The method is applied by simulations on the 20-story building structure including the test of robustness of the methods against sensor failures and network node dropouts of a digital network.\nReport 4.3 presents the construction of a new decentralized wireless controller and a set of heuristic algorithms for evaluation of packet dropouts, sensor faults and actuator faults. The digital network operates at the standard frequency used in well-known widely-used industrial protocols. The results are tested at the Benchmark model decomposed into two disjoint substructures. The results are published. Thus, the details are omitted here.
Keywords:
event-triggered control; networked control systems; large scale complex systems
Available at various institutes of the ASCR
DCTOOL-A3
DCTOOL-A3 is a documentation of Matlab routines developed for the design of decentralized control of large scale complex systems. The current beta version covers three areas as follows:\nReport 4.1 ...
Information Geometry and its Applications IV
Kratochvíl, Václav
2016 - English
The aim of the conference is to highlight recent developments within the field of information geometry and to identify new directions of research. We are confident that we have put together an exciting program consisting of invited talks and contributed poster presentations. All titles and abstracts are included in this book. We thank Václav Kratochvíl for his terrific work with the local organisation! Special thanks go to Antje Vandenberg who managed all the administrative work in Leipzig. We are also grateful for the support that we received from Milan Studený
Keywords:
Information Geometry
Fulltext is available at external website.
Information Geometry and its Applications IV
The aim of the conference is to highlight recent developments within the field of information geometry and to identify new directions of research. We are confident that we have put together an ...
Comparison of mixture-based classification with the data-dependent pointer model for various types of components
Likhonina, Raissa; Suzdaleva, Evgenia; Nagy, Ivan
2016 - English
The presented report is devoted to the analysis of a data-dependent pointer model, whether it brings some advantages in comparison with a data-independent pointer model at simulation and estimation of components referring to different types of distribution, including categorical, uniform, exponential and state-space components for a dynamic data-dependent model, and normal components for a static data-dependent pointer model.
Keywords:
mixture-based classification; data-dependent pointer; recurisive mixture estimation
Fulltext is available at external website.
Comparison of mixture-based classification with the data-dependent pointer model for various types of components
The presented report is devoted to the analysis of a data-dependent pointer model, whether it brings some advantages in comparison with a data-independent pointer model at simulation and estimation of ...
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