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2018 10th International Congress on Ultra Modern Telecommunications and Control Systems and Workshops (ICUMT)最新文献

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On Value-at-Risk and Expected Shortfall of Financial Asset with Stochastic Pricing 基于随机定价的金融资产风险价值与预期亏损研究
M. Fomin, S. Shorokhov
We study the problem of measuring market risk of financial asset with stochastic pricing. Market risk metrics under study are Value-at- Risk and Expected Shortfall. The price of the financial asset is assumed to satisfy a given stochastic differential equation with diffusion coefficient being a function of asset price and time. We investigate various models of asset price dynamics, including well-known lognormal Black-Scholes model, shifted lognormal model, Bachelier and Cox-Ross normal models and a new stochastic model with hyperbolic sine function. For stochastic models under study we derive explicit analytic expressions for loss distribution function, Value-at- Risk and Expected Shortfall. Dependence of derived Value-at- Risk and Expected Shortfall functions on confidence level is shown on the plots. The possibility of using derived formulae for market risk estimation for equity traded on financial markets is demonstrated. We show that the highest estimate of market risk is given by hyperbolic sine and Cox-Ross models, the lowest estimate is given by Black-Scholes model and shifted lognormal model with negative model parameter.
研究了基于随机定价的金融资产市场风险度量问题。所研究的市场风险指标是风险价值和预期不足。假设金融资产的价格满足给定的随机微分方程,扩散系数是资产价格和时间的函数。我们研究了多种资产价格动态模型,包括著名的对数正态Black-Scholes模型、移位对数正态模型、Bachelier和Cox-Ross正态模型以及一种新的双曲正弦函数随机模型。对于所研究的随机模型,我们导出了损失分布函数、风险价值和预期损失的显式解析表达式。图中显示了衍生的风险价值和预期缺口函数对置信度的依赖关系。推导出的公式对金融市场上交易的股票进行市场风险估计的可能性。研究表明,双曲正弦模型和Cox-Ross模型对市场风险的估计最高,Black-Scholes模型和负模型参数的移位对数正态模型对市场风险的估计最低。
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引用次数: 0
Wideband 3D-Printed Reflectarray of Closed-Volume Elements 封闭体积元件的宽带3d打印反射
Yury Antonov, S. Ballandovich, G. Kostikov, Liubov M. Liubina, M. Sugak
In this paper both numerical simulation and experimental measurement of 3D-printed K-band reflectarray prototypes of closed-volume elements are performed. 3D printing technology allows designing and fabricating antenna arrays consisting of complicated-form elements. Using of closed-volume elements (air-filled hollows in a dielectric layer) enables the dielectric layer to combine functions of phase correction and protection. Some aspects of 3D-printing technology for dielectric flat lens antennas of closed-volume elements are considered.
本文对3d打印的k波段封闭体积元件反射射线原型进行了数值模拟和实验测量。3D打印技术允许设计和制造由复杂形式元素组成的天线阵列。使用封闭体积元件(介电层中充满空气的空心)使介电层能够结合相位校正和保护的功能。对闭合体积元件介质平面透镜天线的3d打印技术进行了研究。
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引用次数: 1
Parametric Robust Control Law Design for DC-DC FB Converter DC-DC FB变换器参数鲁棒控制律设计
S. Alexandrova, N. Nikolaev, O. Slita, A. Musayev, Elena Karpenko
The high power DC-DC full-bridge converter with 175...320 VDC supply voltage is considered. Due to the difficulty of the transformer leakage inductance measuring with the sufficient accuracy and the change of supply voltage the plant with uncertain parameters is given in the interval form. The problem is solved by the median modal control method based on the relative interval value of the system state matrix trace which is changed by median component variation. This approach is realized by add-on feedback on the object state vector. The designed closed-loop system allows to obtain a desired stabilized output voltage.
高功率DC-DC全桥变换器具有175考虑直流供电电压。考虑到变压器漏感测量难以达到足够的精度和电源电压的变化,对具有不确定参数的装置以区间形式给出。利用系统状态矩阵轨迹的相对区间值随中值分量的变化而变化的中值模态控制方法解决了这一问题。这种方法是通过对对象状态向量的附加反馈实现的。所设计的闭环系统可以获得所需的稳定输出电压。
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引用次数: 0
From Mobility Analysis to Mobility Hubs Discovery: A Concept Based on Using CDR Data of the Mobile Networks 从移动性分析到移动性中心发现:基于使用移动网络CDR数据的概念
Amnir Hadachi, Artjom Lind, Joonas Lomps, P. Piksarv
Understanding human mobility in dynamic environments, such as our cities, is a crucial step toward the development of our economy, our environment, our transportation, as well as our well-being. Therefore, there is a need to rely on a sensor or a source of information, such as mobile phone data, that can help us to sense these urban dynamics. From this viewpoint, we are focusing on demonstrating and presenting our concept idea that relies on a new method based on switching Kalman filter that enables the extraction of mobility patterns and through its analysis discovering mobility hubs where the urban mobility converges or diverges using mobile data, especially CDR data.
了解人类在动态环境中的流动性,比如我们的城市,是迈向我们的经济、环境、交通和福祉发展的关键一步。因此,有必要依靠传感器或信息源,例如手机数据,来帮助我们感知这些城市动态。从这个角度来看,我们专注于展示和展示我们的概念,该概念依赖于一种基于切换卡尔曼滤波器的新方法,该方法可以提取移动模式,并通过分析发现使用移动数据(特别是CDR数据)的城市移动聚集或发散的移动枢纽。
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引用次数: 6
Music Information Retrieval Techniques for Determining the Place of Origin of a Music Interpretation 音乐信息检索技术确定音乐演绎的原产地
Tomas Kiska, Z. Galaz, Vojtech Zvoncak, Jan Mucha, J. Mekyska, Z. Smékal
Determining the place of origin of the musical compositions is a modern area of research in the field of music information retrieval (MIR). The musical interpretation of one piece carries a variety of author's intentions that influence the musical character of the resulting composition. These aspects may include rhythm, dynamics, timbre, or tonality. This paper introduces a novel methodology for determining the place of origin of a music interpretation based on advanced signal processing and machine learning techniques. For this purpose, we collected a database of 35 different interpretations of Leos Janacek's String Quartet No.1, “Kreutzer Sonat”: IV. Con Moto-Adagio. Employing random forests classifier, we achieved classification accuracy over 97 % using features derived from Mel-frequency cepstral coefficients. This paper proves it is possible to use MRI for determining the origin of a music interpretation with very high accuracy.
确定音乐作品的原产地是音乐信息检索(MIR)领域的一个现代研究领域。对一首作品的音乐诠释承载着作者的多种意图,这些意图会影响最终作品的音乐特征。这些方面可能包括节奏、动态、音色或调性。本文介绍了一种基于先进信号处理和机器学习技术的新方法,用于确定音乐解释的起源。为此,我们收集了利奥斯·雅纳切克(leo Janacek)第一弦乐四重奏“Kreutzer Sonat”:IV. Con Moto-Adagio的35种不同的解读数据库。使用随机森林分类器,我们使用mel频率倒谱系数衍生的特征实现了97%以上的分类准确率。本文证明了用核磁共振成像来确定音乐解释的起源具有很高的准确性。
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引用次数: 2
Peculiarity of the Internet of Thing Traffic Routing, Selection of the Gateway Location 物联网流量路由的特殊性,网关位置的选择
O. A. Mahmood, A. Paramonov
Gateway location selection is one of the main tasks for Internet of Thing networks as it affects both the route length and the quality of the network in general. Objective: This article presents a gateway selection approach for Internet of Things and introduces a selection method for the gateway location, taking into account the quality of its individual sections. Method: The method uses the Floyd-Warshall algorithm and at this end, a simulation model was developed using Mathcad engineering software. Results: As a result, for networks with a high density of nodes, this method allows the network administrator to select the gateway location and accurately select the geometrical service center. Conclusions: The gateway location in the IoT wireless sensor network influences the quality of service and the quality of the network generally.
网关位置选择是物联网网络的主要任务之一,因为它既影响路由长度,也影响网络质量。目的:本文提出了一种物联网网关选择方法,并介绍了一种考虑其各个部分质量的网关位置选择方法。方法:采用Floyd-Warshall算法,并利用Mathcad工程软件建立仿真模型。结果:对于节点密度较高的网络,该方法可以让网络管理员选择网关位置,准确选择几何服务中心。结论:物联网无线传感器网络中的网关位置影响服务质量和网络质量。
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引用次数: 3
On Conditional Monte Carlo for the Failure Probability Estimation 失效概率估计的条件蒙特卡罗方法
A. Borodina, O. Lukashenko, E. Morozov
We consider the system with gradual and instantaneous failures described in terms of the so-called degradation process composed by a sum of the successive phases, where preventive repair is used to prevent an instantaneous failure. The calculating the failure probability is an important and hard problem, arising in the optimal control of such a systems. The required performance measure is usually not analytically available. Thus, one has to rely on simulation technique. We develop a variance reduction technique to estimate the target failure probability using a conditional Monte Carlo method is based on the algorithm proposed by Asmussen and Kroese in [1]. The effectiveness of the proposed approach is investigated through simulations in terms of relative error. We present a few numerical results which indicate that proposed approach provides comparatively accurate results.
我们考虑具有渐进和瞬时故障的系统,用所谓的退化过程来描述,退化过程由连续阶段的总和组成,其中预防性修复用于防止瞬时故障。失效概率的计算是这类系统最优控制中一个重要而又困难的问题。所需的性能度量通常无法分析得到。因此,必须依靠模拟技术。基于Asmussen和Kroese在b[1]中提出的算法,我们开发了一种方差缩减技术,利用条件蒙特卡罗方法估计目标失效概率。通过相对误差仿真验证了该方法的有效性。我们给出了一些数值结果,表明该方法提供了比较准确的结果。
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引用次数: 2
Image Background Noise Impact on Convolutional Neural Network Training 图像背景噪声对卷积神经网络训练的影响
Martin Rajnoha, Radim Burget, Lukas Povoda
Small size dataset is general issue that we may encounter when training neural networks for analysis of image data. There are many cases when networks can not start training even with data augmentation. This paper proposes a new method how to allow training of image classification even when traditional approaches fail. It presents an experiment, which shows that subtraction of redundant background from images can significantly improve convergence of neural network training. Improvement is not in accuracy matter but it means that neural network is able to train and to start convergence. For experimental evaluation, person binary classification was used and compared to experiments, where the background was removed.
小数据集是我们在训练用于图像数据分析的神经网络时可能遇到的普遍问题。在很多情况下,即使有数据增强,网络也无法开始训练。本文提出了一种新的方法,可以在传统方法失败的情况下进行图像分类训练。实验结果表明,从图像中去除冗余背景可以显著提高神经网络训练的收敛性。改进与准确性无关,但它意味着神经网络能够训练并开始收敛。为了进行实验评价,使用人物二分类,并与去除背景的实验进行比较。
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引用次数: 7
Improvement of Inverter Efficiency of Three-phase Induction Motor Control System by Space Vector Pulse-width Modulation Method 空间矢量脉宽调制方法提高三相异步电机控制系统的逆变效率
Nguyen Huu Nam, Pham Tuan Thanh, Le Duc Tiep, Averin Sergey Vladimirovich
The algorithms of space vector pulse-width modulation (SVPWM) with the use of additional reference vectors are proposed in this article. The proposed algorithms increase the efficiency of the frequency converter, which will eliminate the through currents in the voltage source inverter (VSI) and reduce amount of calculation in the microcontroller. In this paper the simulation model of the induction motor (IM) with SVPWM control constructed in MATLAB is studies. The results of simulation modeling of the proposed algorithms are presented using different trajectories of the voltage space vector. Comparative analysis of the results is provided based on the type of trajectories and on the number of voltage space vectors being generated for the fluctuations speed, torque, and current of the IM's stator. Result analysis showed that the proposed algorithms using additional reference vectors, not only eliminate the through currents in a three-phase VSI, but also reduce the variations in fluctuations speed, motor torque and stator current, and improve the speed of the electric drive.
本文提出了利用附加参考矢量的空间矢量脉宽调制算法。所提出的算法能够有效地消除电压源逆变器(VSI)中的通流,提高变频器的效率,减少单片机的计算量。本文研究了在MATLAB中建立异步电动机SVPWM控制的仿真模型。利用电压空间矢量的不同轨迹,给出了所提算法的仿真建模结果。根据轨迹的类型和为IM定子的波动速度、转矩和电流产生的电压空间矢量的数量,对结果进行了比较分析。结果分析表明,采用附加参考矢量的算法不仅消除了三相VSI中的通流,而且减小了波动速度、电机转矩和定子电流的变化,提高了电驱动的速度。
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引用次数: 0
Analysis of SDN Traffic using Full-scale Modeling SDN流量全尺寸建模分析
Oleg Usmanov, A. Muthanna, A. Paramonov
The present work is devoted to the analysis and investigation of traffic in software defined networks (SDN). This article describes the main provisions of the SDN concept, the task of investigating traffic is presented, and a possible way to solve it is considered. The task of traffic research includes an analysis of the basic characteristics and traffic indicators of SDN. As a possible solution, a method of full-scale modeling is proposed. In this paper, a full-scale experiment was performed on a real network for the modeling and analysis of SDN traffic. Also in the work, the obtained result is approximated to understand to which theoretical distribution law the empirical distribution obtained in the experiment described in this article is closer. In addition, in this scientific paper, self-similarity of SDN traffic simulated to the experiment input is estimated.
目前的工作致力于分析和研究软件定义网络(SDN)中的流量。本文介绍了SDN概念的主要规定,提出了调查流量的任务,并考虑了一种可能的解决方法。流量研究的任务包括分析SDN的基本特征和流量指标。作为一种可能的解决方案,提出了一种全尺寸建模方法。本文在真实网络上进行了全尺寸实验,对SDN流量进行建模和分析。文中还对所得结果进行了近似,以了解本文实验所得的经验分布与哪一种理论分布规律更接近。此外,本文还对模拟SDN流量与实验输入的自相似度进行了估计。
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引用次数: 2
期刊
2018 10th International Congress on Ultra Modern Telecommunications and Control Systems and Workshops (ICUMT)
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