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Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt 2012 The University of Western Ontario

Approximate Methods For Dynamic Portfolio Allocation Under Transaction Costs, Nabeel Butt

Electronic Thesis and Dissertation Repository

The thesis provides robust and efficient lattice based algorithms for solving dynamic portfolio allocation problems under transaction costs. The early part of the thesis concentrates upon developing a toolbox based on multinomial trees. The multinomial trees are shown to provide a reasonable approximation for most popular transaction cost models in the academic literature. The tool, once forged, is implemented in the powerful Mathematica based parallel computing environment. In the second part of the thesis we provide applications of our framework to real world problems. We show re-balancing portfolios is more valuable in an investment environment where the growth and volatility ...


Preoperative Planning Of Robotics-Assisted Minimally Invasive Cardiac Surgery Under Uncertainty, Hamidreza Azimian 2012 The University of Western Ontario

Preoperative Planning Of Robotics-Assisted Minimally Invasive Cardiac Surgery Under Uncertainty, Hamidreza Azimian

Electronic Thesis and Dissertation Repository

In this thesis, a computational framework for patient-specific preoperative planning of Robotics-Assisted Minimally Invasive Cardiac Surgery (RAMICS) is developed. It is expected that preoperative planning of RAMICS will improve the rate of success by considering robot kinematics, patient-specific thoracic anatomy, and procedure-specific intraoperative conditions. Given the significant anatomical features localized in the preoperative computed tomography images of a patient's thorax, port locations and robot orientations (with respect to the patient's body coordinate frame) are determined to optimize characteristics such as dexterity, reachability, tool approach angles and maneuverability. In this thesis, two approaches for preoperative planning of RAMICS are ...


Latin Hypercube Sampling And Partial Rank Correlation Coefficient Analysis Applied To An Optimal Control Problem, Boloye Gomero 2012 University of Tennessee, Knoxville

Latin Hypercube Sampling And Partial Rank Correlation Coefficient Analysis Applied To An Optimal Control Problem, Boloye Gomero

Masters Theses

Latin Hypercube Sampling/Partial Rank Correlation Coefficient (LHS/PRCC) sensitivity analysis is an efficient tool often employed in uncertainty analysis to explore the entire parameter space of a model. Despite the usefulness of LHS/PRCC sensitivity analysis in studying the sensitivity of a model to the parameter values used in the model, no study has been done that fully integrates Latin Hypercube sampling with optimal control analysis.

In this thesis, we couple the optimal control numerical procedure to the LHS/PRCC procedure and perform a simultaneous examination of the effects of all the LHS parameter on the objective functional value ...


Analysis Of Solvability And Applications Of Stochastic Optimal Control Problems Through Systems Of Forward-Backward Stochastic Differential Equations., Kirill Yevgenyevich Yakovlev 2012 University of Tennessee, Knoxville

Analysis Of Solvability And Applications Of Stochastic Optimal Control Problems Through Systems Of Forward-Backward Stochastic Differential Equations., Kirill Yevgenyevich Yakovlev

Doctoral Dissertations

A stochastic metapopulation model is investigated. The model is motivated by a deterministic model previously presented to model the black bear population of the Great Smoky Mountains in east Tennessee. The new model involves randomness and the associated methods and results differ greatly from the deterministic analogue. A stochastic differential equation is studied and the associated results are stated and proved. Connections between a parabolic partial differential equation and a system of forward-backward stochastic differential equations is analyzed.

A ``four-step'' numerical scheme and a Markovian type iterative numerical scheme are implemented. Algorithms and programs in the programming languages C and ...


The Discrete Yang-Fourier Transforms In Fractal Space, Yang Xiao-Jun 2012 China University of Mining & Technology

The Discrete Yang-Fourier Transforms In Fractal Space, Yang Xiao-Jun

Xiao-Jun Yang

The Yang-Fourier transform (YFT) in fractal space is a generation of Fourier transform based on the local fractional calculus. The discrete Yang-Fourier transform (DYFT) is a specific kind of the approximation of discrete transform, used in Yang-Fourier transform in fractal space. This paper points out new standard forms of discrete Yang-Fourier transforms (DYFT) of fractal signals, and both properties and theorems are investigated in detail.


Expression Of Generalized Newton Iteration Method Via Generalized Local Fractional Taylor Series, Yang Xiao-Jun 2012 China University of Mining & Technology

Expression Of Generalized Newton Iteration Method Via Generalized Local Fractional Taylor Series, Yang Xiao-Jun

Xiao-Jun Yang

Local fractional derivative and integrals are revealed as one of useful tools to deal with everywhere continuous but nowhere differentiable functions in fractal areas ranging from fundamental science to engineering. In this paper, a generalized Newton iteration method derived from the generalized local fractional Taylor series with the local fractional derivatives is reviewed. Operators on real line numbers on a fractal space are induced from Cantor set to fractional set. Existence for a generalized fixed point on generalized metric spaces may take place.


The Zero-Mass Renormalization Group Differential Equations And Limit Cycles In Non-Smooth Initial Value Problems, Yang Xiaojun 2012 China University of Mining & Technology

The Zero-Mass Renormalization Group Differential Equations And Limit Cycles In Non-Smooth Initial Value Problems, Yang Xiaojun

Xiao-Jun Yang

In the present paper, using the equation transform in fractal space, we point out the zero-mass renormalization group equations. Under limit cycles in the non-smooth initial value, we devote to the analytical technique of the local fractional Fourier series for treating zero-mass renormalization group equations, and investigate local fractional Fourier series solutions.


A Novel Approach To Processing Fractal Dynamical Systems Using The Yang-Fourier Transforms, Yang Xiaojun 2012 China University of Mining & Technology

A Novel Approach To Processing Fractal Dynamical Systems Using The Yang-Fourier Transforms, Yang Xiaojun

Xiao-Jun Yang

In the present paper, local fractional continuous non-differentiable functions in fractal space are investigated, and the control method for processing dynamic systems in fractal space are proposed using the Yang-Fourier transform based on the local fractional calculus. Two illustrative paradigms for control problems in fractal space are given to elaborate the accuracy and reliable results.


Theory And Applications Of Local Fractional Fourier Analysis, Yang Xiaojun 2012 China University of Mining & Technology

Theory And Applications Of Local Fractional Fourier Analysis, Yang Xiaojun

Xiao-Jun Yang

Local fractional Fourier analysis is a generalized Fourier analysis in fractal space. The local fractional calculus is one of useful tools to process the local fractional continuously non-differentiable functions (fractal functions). Based on the local fractional derivative and integration, the present work is devoted to the theory and applications of local fractional Fourier analysis in generalized Hilbert space. We investigate the local fractional Fourier series, the Yang-Fourier transform, the generalized Yang-Fourier transform, the discrete Yang-Fourier transform and fast Yang-Fourier transform.


Heat Transfer In Discontinuous Media, Yang Xiaojun 2012 China University of Mining & Technology

Heat Transfer In Discontinuous Media, Yang Xiaojun

Xiao-Jun Yang

From the fractal geometry point of view, the interpretations of local fractional derivative and local fractional integration are pointed out in this paper. It is devoted to heat transfer in discontinuous media derived from local fractional derivative. We investigate the Fourier law and heat conduction equation (also local fractional instantaneous heat conduct equation) in fractal orthogonal system based on cantor set, and extent them. These fractional differential equations are described in local fractional derivative sense. The results are efficiently developed in discontinuous media.


A Short Note On Local Fractional Calculus Of Function Of One Variable, Yang Xiaojun 2012 China University of Mining & Technology

A Short Note On Local Fractional Calculus Of Function Of One Variable, Yang Xiaojun

Xiao-Jun Yang

Local fractional calculus (LFC) handles everywhere continuous but nowhere differentiable functions in fractal space. This note investigates the theory of local fractional derivative and integral of function of one variable. We first introduce the theory of local fractional continuity of function and history of local fractional calculus. We then consider the basic theory of local fractional derivative and integral, containing the local fractional Rolle’s theorem, L’Hospital’s rule, mean value theorem, anti-differentiation and related theorems, integration by parts and Taylor’ theorem. Finally, we study the efficient application of local fractional derivative to local fractional extreme value of non-differentiable ...


A New Successive Approximation To Non-Homogeneous Local Fractional Volterra Equation, Yang Xiaojun 2012 China University of Mining & Technology

A New Successive Approximation To Non-Homogeneous Local Fractional Volterra Equation, Yang Xiaojun

Xiao-Jun Yang

A new successive approximation approach to the non-homogeneous local fractional Valterra equation derived from local fractional calculus is proposed in this paper. The Valterra equation is described in local fractional integral operator. The theory of local fractional derivative and integration is one of useful tools to handle the fractal and continuously non-differentiable functions, was successfully applied in engineering problem. We investigate an efficient example of handling a non-homogeneous local fractional Valterra equation.


Advanced Local Fractional Calculus And Its Applications, Yang Xiaojun 2012 China University of Mining & Technology

Advanced Local Fractional Calculus And Its Applications, Yang Xiaojun

Xiao-Jun Yang

This book is the first international book to study theory and applications of local fractional calculus (LFC). It is an invitation both to the interested scientists and the engineers. It presents a thorough introduction to the recent results of local fractional calculus. It is also devoted to the application of advanced local fractional calculus on the mathematics science and engineering problems. The author focuses on multivariable local fractional calculus providing the general framework. It leads to new challenging insights and surprising correlations between fractal and fractional calculus. Keywords: Fractals - Mathematical complexity book - Local fractional calculus- Local fractional partial derivatives - Fractal ...


A Short Introduction To Yang-Laplace Transforms In Fractal Space, Yang Xiaojun 2012 China University of Mining & Technology

A Short Introduction To Yang-Laplace Transforms In Fractal Space, Yang Xiaojun

Xiao-Jun Yang

The Yang-Laplace transforms [W. P. Zhong, F. Gao, In: Proc. of the 2011 3rd International Conference on Computer Technology and Development, 209-213, ASME, 2011] in fractal space is a generalization of Laplace transforms derived from the local fractional calculus. This letter presents a short introduction to Yang-Laplace transforms in fractal space. At first, we present the theory of local fractional derivative and integral of non-differential functions defined on cantor set. Then the properties and theorems for Yang-Laplace transforms are tabled, and both the initial value theorem and the final value theorem are investigated. Finally, some applications to the wave equation ...


Local Fractional Integral Equations And Their Applications, Yang Xiaojun 2012 China University of Mining & Technology

Local Fractional Integral Equations And Their Applications, Yang Xiaojun

Xiao-Jun Yang

This letter outlines the local fractional integral equations carried out by the local fractional calculus (LFC). We first introduce the local fractional calculus and its fractal geometrical explanation. We then investigate the local fractional Volterra/ Fredholm integral equations, local fractional nonlinear integral equations, local fractional singular integral equations and local fractional integro-differential equations. Finally, their applications of some integral equations to handle some differential equations with local fractional derivative and local fractional integral transforms in fractal space are discussed in detail.


Local Fractional Partial Differential Equations With Fractal Boundary Problems, Yang Xiaojun 2012 China University of Mining & Technology

Local Fractional Partial Differential Equations With Fractal Boundary Problems, Yang Xiaojun

Xiao-Jun Yang

This letter points out the new alternative approaches to processing local fractional partial differential equations with fractal boundary conditions. Applications of the local fractional Fourier series, the Yang-Fourier transforms and the Yang-Laplace transforms to solve of local fractional partial differential equations with fractal boundary conditions are investigated in detail.


Local Fractional Kernel Transform In Fractal Space And Its Applications, Yang Xiaojun 2012 China University of Mining & Technology

Local Fractional Kernel Transform In Fractal Space And Its Applications, Yang Xiaojun

Xiao-Jun Yang

In the present paper, we point out the local fractional kernel transform based on local fractional calculus (FLC), and its applications to the Yang-Fourier transform, the Yang-Laplace transform, the local fractional Z transform, the local fractional Stieltjes transform, the local fractional volterra/ Fredholm integral equations, the local fractional volterra/ Fredholm integro-differential equations, the local fractional variational iteration algorithms, the local fractional variational iteration algorithms with an auxiliary fractal parameter, the modified local fractional variational iteration algorithms, and the modified local fractional variational iteration algorithms with an auxiliary fractal parameter.


A New Viewpoint To Fourier Analysis In Fractal Space, Yang Xiaojun 2012 China University of Mining & Technology

A New Viewpoint To Fourier Analysis In Fractal Space, Yang Xiaojun

Xiao-Jun Yang

Fractional analysis is an important method for mathematics and engineering [1-21], and fractional differentiation inequalities are great mathematical topic for research [22-24]. In the present paper we point out a new viewpoint to Fourier analysis in fractal space based on the local fractional calculus [25-58], and propose the local fractional Fourier analysis. Based on the generalized Hilbert space [48, 49], we obtain the generalization of local fractional Fourier series via the local fractional calculus. An example is given to elucidate the signal process and reliable result.


Generalized Sampling Theorem For Fractal Signals, Yang Xiaojun 2012 China University of Mining & Technology

Generalized Sampling Theorem For Fractal Signals, Yang Xiaojun

Xiao-Jun Yang

Local fractional calculus deals with everywhere continuous but nowhere differentiable functions in fractal space. The local fractional Fourier series is a generalization of Fourier series in fractal space, and the Yang-Fourier transform is a generalization of Fourier transform in fractal space. This letter points out the generalized sampling theorem for fractal signals (local fractional continuous signals) by using the local fractional Fourier series and Yang-Fourier transform techniques based on the local fractional calculus. This result is applied to process the local fractional continuous signals.


Picard’S Approximation Method For Solving A Class Of Local Fractional Volterra Integral Equations, Yang Xiaojun 2012 China University of Mining & Technology

Picard’S Approximation Method For Solving A Class Of Local Fractional Volterra Integral Equations, Yang Xiaojun

Xiao-Jun Yang

In this letter, we fist consider the Picard’s successive approximation method for solving a class of the Volterra integral equations in local fractional integral operator sense. Special attention is devoted to the Picard’s successive approximate methodology for handling local fractional Volterra integral equations. An illustrative paradigm is shown the accuracy and reliable results.


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