Sparse robust portfolio optimization via NLP regularizations
Branda, Martin; Červinka, Michal; Schwartz, A.
2016 - English We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional Value-at-Risk under normal distribution of returns and their robust counterparts are derived under moment conditions, all leading to nonconvex objective functions. We propose four solution approaches: a mixed-integer formulation, a relaxation of an alternative mixed-integer reformulation and two NLP regularizations. In a numerical study, we compare their computational performance on a large number of simulated instances taken from the literature. We deal with investment problems where we minimize a risk measure\nunder a condition on the sparsity of the portfolio. Various risk measures\nare considered including Value-at-Risk and Conditional Value-at-Risk\nunder normal distribution of returns and their robust counterparts are\nderived under moment conditions, all leading to nonconvex objective\nfunctions. We propose four solution approaches: a mixed-integer formulation,\na relaxation of an alternative mixed-integer reformulation and\ntwo NLP regularizations. In a numerical study, we compare their computational\nperformance on a large number of simulated instances taken\nfrom the literature. Keywords: Conditional Value-at-Risk; Value-at-Risk; risk measure Fulltext is available at external website. Sparse robust portfolio optimization via NLP regularizations

We deal with investment problems where we minimize a risk measure under a condition on the sparsity of the portfolio. Various risk measures are considered including Value-at-Risk and Conditional ...

Branda, Martin; Červinka, Michal; Schwartz, A.
Ústav teorie informace a automatizace, 2016

New Quasi-Newton Method for Solving Systems of Nonlinear Equations
Lukšan, Ladislav; Vlček, Jan
2016 - English Keywords: nonlinear equations; systems of equations; trust-region methods; quasi-Newton methods; adjoint Broyden methods; numerical algorithms; numerical experiments Available in a digital repository NRGL New Quasi-Newton Method for Solving Systems of Nonlinear Equations

Lukšan, Ladislav; Vlček, Jan
Ústav informatiky, 2016

Neural Networks Between Integer and Rational Weights
Šíma, Jiří
2016 - English The analysis of the computational power of neural networks with the weight parameters between integer and rational numbers is refined. We study an intermediate model of binary-state neural networks with integer weights, corresponding to finite automata, which is extended with an extra analog unit with rational weights, as already two additional analog units allow for Turing universality. We characterize the languages that are accepted by this model in terms of so-called cut languages which are combined in a certain way by usual string operations. We employ this characterization for proving that the languages accepted by neural networks with an analog unit are context-sensitive and we present an explicit example of such non-context-free languages. In addition, we formulate a sufficient condition when these networks accept only regular languages in terms of quasi-periodicity of parameters derived from their weights. Keywords: neural networks; analog unit; rational weight; cut languages; computational power Available in a digital repository NRGL Neural Networks Between Integer and Rational Weights

The analysis of the computational power of neural networks with the weight parameters between integer and rational numbers is refined. We study an intermediate model of binary-state neural networks ...

Šíma, Jiří
Ústav informatiky, 2016

Detection of Differential Item Functioning with Non-Linear Regression: Non-IRT Approach Accounting for Guessing
Drabinová, Adéla; Martinková, Patrícia
2016 - English In this article, we present a new method for estimation of Item Response Function and for detection of uniform and non-uniform Differential Item Functioning (DIF) in dichotomous items based on Non-Linear Regression (NLR). Proposed method extends Logistic Regression (LR) procedure by including pseudoguessing parameter. NLR technique is compared to LR procedure and Lord’s and Raju’s statistics for three-parameter Item Response Theory (IRT) models in simulation study based on Graduate Management Admission Test. NLR shows superiority in power at low rejection rate over IRT methods and outperforms LR procedure in power for case of uniform DIF detection. Our research suggests that the newly proposed non-IRT procedure is an attractive and user friendly approach to DIF detection. Keywords: differential item functioning; non-linear regression; logistic regression; item response theory Available in a digital repository NRGL Detection of Differential Item Functioning with Non-Linear Regression: Non-IRT Approach Accounting for Guessing

In this article, we present a new method for estimation of Item Response Function and for detection of uniform and non-uniform Differential Item Functioning (DIF) in dichotomous items based on ...

Drabinová, Adéla; Martinková, Patrícia
Ústav informatiky, 2016

Discerning Two Words by a Minimum Size Automaton
Wiedermann, Jiří
2016 - English Keywords: finite automaton; discerning two words; complexity Available in a digital repository NRGL Discerning Two Words by a Minimum Size Automaton

Wiedermann, Jiří
Ústav informatiky, 2016

Report on the Last Work by Dr. Erich Nuding
Rohn, Jiří
2016 - English This is a facsimile copy of a 1994 report on the unpublished last paper by Dr. Erich Nuding. It is being made public here in the hope that even after twenty-two years it may be of interest for researchers working in the area of interval computations because of the intriguing concept of the "fourth modality" which has not been rediscovered during a quarter of century which has elapsed since its original formulation. Keywords: set-valued mapping; interval linear equations; solution set; fourth modality Available in a digital repository NRGL Report on the Last Work by Dr. Erich Nuding

This is a facsimile copy of a 1994 report on the unpublished last paper by Dr. Erich Nuding. It is being made public here in the hope that even after twenty-two years it may be of interest for ...

Rohn, Jiří
Ústav informatiky, 2016

Information fusion with functional Bregman divergence
Dedecius, Kamil
2015 - English The report summarizes the basics of the Bregman divergence, its functional form and potential use for information fusion. Keywords: information fusion; bregman divergence; entropy Fulltext is available at external website. Information fusion with functional Bregman divergence

The report summarizes the basics of the Bregman divergence, its functional form and potential use for information fusion.

Dedecius, Kamil
Ústav teorie informace a automatizace, 2015

Measures for Classification Results Evaluation
Řezanková, Hana; Húsek, Dušan
2015 - English Keywords: similarity measures; measures of agreement; success rate of classification Available in a digital repository NRGL Measures for Classification Results Evaluation

Řezanková, Hana; Húsek, Dušan
Ústav informatiky, 2015

Causation Entropy Principle and Bayesian Inference to Causal Networks
Coufal, David; Hlinka, Jaroslav
2015 - English Keywords: causal links; causation entropy; Bayesian inference Available in a digital repository NRGL Causation Entropy Principle and Bayesian Inference to Causal Networks

Coufal, David; Hlinka, Jaroslav
Ústav informatiky, 2015

Prediction of Pedestrian Movement During The Egress Situation
Hrabák, Pavel; Ticháček, O.
2015 - English The report summarizes the up-to-now progress in the application of the recursive estimation on the prediction of the pedestrian movement during the egress or evacuation situation. For these purposes a simple decision-making model has been introduced taking into account only the forward and sideways movement of pedestrians. Based on this model, a test simulation has been developed in order to test the applicability of the estimation tool to the stated decision-making model. Two main approaches of the decision process incorporated in the simulation are discussed and a modified version of the original model is presented. The report contains a manual to the used Matlab scripts and functions. The codes of needed m-files are incorporated as well. Keywords: Recursive estimation; mixture of Markov chains; pedestrian movement; egress simulation Fulltext is available at external website. Prediction of Pedestrian Movement During The Egress Situation

The report summarizes the up-to-now progress in the application of the recursive estimation on the prediction of the pedestrian movement during the egress or evacuation situation. For these purposes ...

Hrabák, Pavel; Ticháček, O.
Ústav teorie informace a automatizace, 2015