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Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series 金融时间序列高维因子模型中的块对角特异性协方差估计
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-06-06 DOI: 10.1016/j.jocs.2024.102348
Lucija Žignić , Stjepan Begušić , Zvonko Kostanjčar

Estimation of high-dimensional covariance matrices in latent factor models is an important topic in many fields and especially in finance. Since the number of financial assets grows while the estimation window length remains of limited size, the often used sample estimator yields noisy estimates which are not even positive definite. Under the assumption of latent factor models, the covariance matrix is decomposed into a common low-rank component and a full-rank idiosyncratic component. In this paper we focus on the estimation of the idiosyncratic component, under the assumption of a grouped structure of the time series, which may arise due to specific factors such as industries, asset classes or countries. We propose a generalized methodology for estimation of the block-diagonal idiosyncratic component by clustering the residual series and applying shrinkage to the obtained blocks in order to ensure positive definiteness. We derive two different estimators based on different clustering methods and test their performance using simulation and historical data. The proposed methods are shown to provide reliable estimates and outperform other state-of-the-art estimators based on thresholding methods.

潜在因素模型中高维协方差矩阵的估计是许多领域,尤其是金融领域的一个重要课题。由于金融资产的数量不断增加,而估计窗口的长度仍然有限,因此经常使用的样本估计器会产生噪声估计,甚至不是正定估计。在潜在因素模型的假设下,协方差矩阵被分解为一个共同的低秩分量和一个全秩的特异分量。在本文中,我们将重点关注在时间序列分组结构假设下的特异性分量估计,这种分组结构可能是由行业、资产类别或国家等特定因素引起的。我们提出了一种估算块对角特异性成分的通用方法,即对残差序列进行聚类,并对获得的块进行收缩,以确保正定性。我们根据不同的聚类方法推导出两种不同的估计方法,并利用模拟和历史数据对其性能进行了测试。结果表明,所提出的方法能提供可靠的估计值,并且优于其他基于阈值法的最先进估计值。
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引用次数: 0
Decapodes: A diagrammatic tool for representing, composing, and computing spatialized partial differential equations Decapodes:用于表示、组成和计算空间化偏微分方程的图解工具
IF 3.1 3区 计算机科学 Q2 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS Pub Date : 2024-06-03 DOI: 10.1016/j.jocs.2024.102345
Luke Morris , Andrew Baas , Jesus Arias , Maia Gatlin , Evan Patterson , James P. Fairbanks

We present Decapodes, a diagrammatic tool for representing, composing, and solving partial differential equations. Decapodes provides an intuitive diagrammatic representation of the relationships between variables in a system of equations, a method for composing systems of partial differential equations using an operad of wiring diagrams, and an algorithm for deriving solvers using hypergraphs and string diagrams. The string diagrams are in turn compiled into executable programs using the techniques of categorical data migration, graph traversal, and the discrete exterior calculus. The generated solvers produce numerical solutions consistent with state-of-the-art open source tools as demonstrated by benchmark comparisons with SU2. These numerical experiments demonstrate the feasibility of this approach to multiphysics simulation and identify areas requiring further development.

我们介绍的 Decapodes 是一种用于表示、组合和求解偏微分方程的图解工具。Decapodes 提供了方程系统中变量间关系的直观图解表示法、使用接线图操作数组合偏微分方程系统的方法,以及使用超图和字符串图推导求解器的算法。利用分类数据迁移、图形遍历和离散外部微积分技术,弦图又被编译成可执行程序。通过与 SU2 的基准比较,生成的求解器产生的数值解与最先进的开源工具一致。这些数值实验证明了这种多物理场仿真方法的可行性,并确定了需要进一步开发的领域。
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引用次数: 0
Explainable proactive control of industrial processes 可解释的工业流程主动控制
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-06-03 DOI: 10.1016/j.jocs.2024.102329
Edyta Kuk , Szymon Bobek , Grzegorz J. Nalepa

One of the goals of Industry 4.0 is the adoption of data-driven models to enhance various aspects of the manufacturing process, such as monitoring equipment conditions, ensuring product quality, detecting failures, and preparing optimal maintenance plans. However, many machine-learning algorithms require a large amount of training data to reach desired performance. In numerous industrial applications, such data is either not available or its acquisition is a costly process. In such cases, simulation frameworks are employed to replicate the behavior of real-world facilities and generate data for further analysis. Simulation frameworks typically provide high-quality data but are often slow which can be problematic when real-time decision-making is required. Control approaches based on simulation-based data commonly face challenges related to inflexibility, particularly in dynamic production environments undergoing frequent reconfiguration and upgrades. This paper introduces a method that seeks to strike a balance between the reliance on simulated data and the limited robustness of simulation-based control methods. This balance is achieved by supplementing available data with additional expert knowledge, enabling the matching of similar data sources and their combination for reuse. Furthermore, we augment the methods with an explainability layer, facilitating collaboration between the human expert and the AI system, leading to informed and actionable decisions. The performance of the proposed solution is demonstrated through a case study on gas production from an underground reservoir resulting in reduced downtime, heightened process reliability, and enhanced overall performance. This paper builds upon our conference paper (Kuk et al., 2023), addressing the same problem with an extended, more generic methodology, and presenting entirely new results.

工业 4.0 的目标之一是采用数据驱动的模型来增强制造过程的各个方面,例如监控设备状况、确保产品质量、检测故障和制定最佳维护计划。然而,许多机器学习算法需要大量的训练数据才能达到预期性能。在许多工业应用中,这些数据要么不可用,要么获取成本高昂。在这种情况下,就需要使用仿真框架来复制真实世界设施的行为,并生成数据以供进一步分析。仿真框架通常能提供高质量的数据,但通常速度较慢,这在需要实时决策时会造成问题。基于仿真数据的控制方法通常面临着灵活性不足的挑战,尤其是在频繁重组和升级的动态生产环境中。本文介绍了一种方法,力求在依赖模拟数据和基于模拟的控制方法的有限鲁棒性之间取得平衡。这种平衡是通过用额外的专家知识补充可用数据来实现的,从而实现类似数据源的匹配和组合以便重复使用。此外,我们还通过可解释层来增强这些方法,促进人类专家与人工智能系统之间的合作,从而做出明智、可行的决策。通过对地下储层天然气生产的案例研究,证明了所提解决方案的性能,从而减少了停机时间,提高了流程可靠性,并增强了整体性能。本文以我们的会议论文(Kuk 等人,2023 年)为基础,用扩展的、更通用的方法解决同一问题,并提出了全新的结果。
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引用次数: 0
LitefusionNet: Boosting the performance for medical image classification with an intelligent and lightweight feature fusion network LitefusionNet:利用智能轻量级特征融合网络提升医学图像分类性能
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-25 DOI: 10.1016/j.jocs.2024.102324
Sohaib Asif , Qurrat-ul Ain , Raeed Al-Sabri , Monir Abdullah

Medical image analysis plays a crucial role in modern healthcare for accurate diagnosis and treatment. However, the inherent challenges and limitations posed by the complexity and variability of medical images, coupled with the shortcomings of existing methods, necessitate the development of novel approaches. In this study, we propose LiteFusionNet (Lightweight Fusion Network), a lightweight model that effectively addresses these challenges, offering the advantage of accurate and efficient medical image classification while mitigating the computational demands. The LitefusionNet leverages the power of deep convolutional neural networks (DCNNs) and feature fusion techniques to achieve improved performance in medical image classification. LitefusionNet combines the strengths of MobileNet and MobileNetV2 architectures to extract robust features from medical images. These features capture discriminative information from different levels of abstraction, enhancing the model's ability to capture fine-grained patterns. The fusion process employs a concatenation method to combine the extracted features, resulting in a more comprehensive representation that improves the model's classification accuracy. To evaluate the effectiveness of LitefusionNet, extensive experiments are conducted on a diverse set of publicly available medical image datasets, including brain MRI, skin, CT, X-ray, and histology. The results demonstrate that LitefusionNet outperforms several existing models in terms of classification accuracy, showcasing its efficacy in different medical imaging modalities. Furthermore, we provide interpretability to the model's predictions by performing Grad-CAM analysis, enabling insights into the important regions in the medical images that contribute to the classification decision. In addition, we compare LitefusionNet with five pre-trained models. LiteFusionNet excels in medical image classification, boasting impressive accuracies across diverse datasets: 97.33% for brain MRI, 91.11% for skin, 99.00% for CT, 98.15% for X-ray, and 92.11% for histology. These results underscore LiteFusionNet's robust and versatile performance, making it a compelling solution for accurate and efficient medical image analysis. Overall, LitefusionNet strikes a balance between accuracy, efficiency, and real-time performance. Our findings demonstrate its potential as a promising solution for accurate and efficient medical image analysis, with applications in diagnostic support systems and clinical decision-making.

医学图像分析在现代医疗保健的精确诊断和治疗中发挥着至关重要的作用。然而,医学影像的复杂性和多变性带来了固有的挑战和局限性,再加上现有方法的缺陷,因此有必要开发新的方法。在本研究中,我们提出了 LiteFusionNet(轻量级融合网络),它是一种轻量级模型,能有效地应对这些挑战,提供准确、高效的医学图像分类优势,同时降低计算需求。LitefusionNet 充分利用了深度卷积神经网络(DCNN)和特征融合技术的力量,从而提高了医学图像分类的性能。LitefusionNet 结合了 MobileNet 和 MobileNetV2 架构的优势,可从医学图像中提取强大的特征。这些特征从不同的抽象层次中捕捉判别信息,增强了模型捕捉细粒度模式的能力。融合过程采用连接方法将提取的特征结合起来,从而获得更全面的表示,提高模型的分类准确性。为了评估 LitefusionNet 的有效性,我们在各种公开的医学图像数据集上进行了广泛的实验,包括脑核磁共振成像、皮肤、CT、X 光和组织学。结果表明,LitefusionNet 在分类准确性方面优于多个现有模型,展示了它在不同医学成像模式中的功效。此外,我们还通过 Grad-CAM 分析为模型的预测提供了可解释性,使人们能够深入了解医学影像中有助于分类决策的重要区域。此外,我们还将 LitefusionNet 与五个预训练模型进行了比较。LiteFusionNet 在医学图像分类方面表现出色,在各种数据集上都取得了令人印象深刻的准确率:脑部 MRI 为 97.33%,皮肤为 91.11%,CT 为 99.00%,X 光为 98.15%,组织学为 92.11%。这些结果凸显了LiteFusionNet强大而多变的性能,使其成为准确高效的医学图像分析的理想解决方案。总体而言,LitefusionNet 在准确性、效率和实时性之间取得了平衡。我们的研究结果表明,LiteFusionNet 有潜力成为准确、高效的医学图像分析解决方案,应用于诊断支持系统和临床决策。
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引用次数: 0
Mesoscale smoothed particle hydrodynamics simulation of seizure and flash temperature for dry friction of elastoplastic solids in a newly developed model 在新开发的模型中对弹塑性固体干摩擦的咬合和闪光温度进行中尺度平滑粒子流体力学模拟
IF 3.1 3区 计算机科学 Q2 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS Pub Date : 2024-05-25 DOI: 10.1016/j.jocs.2024.102325

This study developed a simulation model using a smoothed particle hydrodynamics (SPH) method targeted to seizure process at the mesoscale. The mechanisms of wear, adhesion, and heat generation leading to seizure at the mesoscale were modelized without assumptions or theories based on empirical rules. In particular, we targeted on flash temperature during seizure process, which is difficult to measure directly in experiment and has not been simulated without using friction theory. Our model consisted of both a macroscopic elastoplastic consideration and a microscopic interfacial interaction consideration, and the heat generation scheme that 90% of the plastic strain energy is converted to heat energy were adopted in the model. The simulation demonstrated the seizure process in which the contact state is maintained by the strong interfacial interaction as the plastic strain progresses and the temperature rapidly rises. The flash temperature by the simulation provided a reasonable quantitative match at order level to a temperature estimated by substituting true contact area and interfacial heat flux obtained by the simulation into a theoretical formula of flash temperature.

本研究使用平滑粒子流体力学(SPH)方法开发了一个针对中尺度咬合过程的模拟模型。在没有假设或理论的情况下,我们根据经验法则对磨损、粘附和热量产生的机制进行了建模。特别是,我们将目标锁定在咬合过程中的闪蒸温度上,这在实验中很难直接测量,而且在不使用摩擦理论的情况下也无法模拟。我们的模型包括宏观弹塑性考虑和微观界面相互作用考虑,并采用了 90% 的塑性应变能转化为热能的发热方案。模拟结果表明,在塑性应变逐渐增大、温度迅速升高的过程中,接触状态因强烈的界面相互作用而得以维持。通过将模拟获得的真实接触面积和界面热通量代入闪蒸温度的理论公式,模拟得出的闪蒸温度在数量级上与估算的温度相吻合。
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引用次数: 0
Fundus image segmentation based on random collision whale optimization algorithm 基于随机碰撞鲸优化算法的眼底图像分割技术
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-24 DOI: 10.1016/j.jocs.2024.102323
Donglin Zhu , Xingyun Zhu , Yuemai Zhang , Weijie Li , Gangqiang Hu , Changjun Zhou , Hu Jin , Sang-Woon Jeon , Shan Zhong

Medical image segmentation is an important technical tool, OTSU algorithm is a common method in threshold segmentation, but with the increase of the number of threshold segmentation, the selection of its threshold is a big problem, and the segmentation effect is difficult to be guaranteed. In order to solve this problem, this paper proposes a random collision whale optimization algorithm to optimize OTSU for reliable image segmentation. The algorithm is called RCWOA for short. Firstly, the Halton sequence is used to uniformly initialize the population to make the population position distribution uniform, and then the dimensional Opposition-based learning of small-hole imaging is introduced to update the whale position and find out the missing feasible solution. Finally, the random collision theory is used to update the position of the optimal individual to improve the quality of the solution, At the same time, it also improves the search ability of the algorithm. In 12 test functions, RCWOA was compared with 6 other algorithms, demonstrating the feasibility and novelty of RCWOA. In 8 experiments of fundus image segmentation, RCWOA was compared with 9 other algorithms. The results showed that RCWOA had a Friedman test composite ranking of 1.3516, ranking at the forefront, and exhibited significantly improved segmentation quality.

医学图像分割是一项重要的技术手段,OTSU算法是阈值分割中常用的一种方法,但随着阈值分割数量的增加,其阈值的选择是一个大问题,分割效果难以得到保证。为了解决这一问题,本文提出了一种随机撞鲸优化算法来优化 OTSU,从而实现可靠的图像分割。该算法简称为 RCWOA。首先,利用 Halton 序列对种群进行均匀初始化,使种群位置分布均匀,然后引入基于维度对立学习的小孔成像,更新鲸鱼位置,找出缺失的可行解。最后,利用随机碰撞理论更新最优个体的位置,提高解的质量,同时也提高了算法的搜索能力。在 12 个测试函数中,RCWOA 与其他 6 种算法进行了比较,证明了 RCWOA 的可行性和新颖性。在 8 个眼底图像分割实验中,RCWOA 与其他 9 种算法进行了比较。结果表明,RCWOA 的 Friedman 检验综合排名为 1.3516,位居前列,并且显著提高了分割质量。
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引用次数: 0
Numerical study of variable order model arising in chemical processes using operational matrix and collocation method 使用运算矩阵和配位法对化学过程中出现的变阶模型进行数值研究
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-24 DOI: 10.1016/j.jocs.2024.102339
Mohd Kashif , Manpal Singh , Tanmoy Som , Eduard-Marius Craciun

This article introduces the fractional variable order (VO) Gray–Scott model using the notion of VO fractional derivative in the Caputo sense. An efficient numerical method has been designed based on the Vieta–Lucas polynomial and the spectral collocation method for solving this model. The designed technique converts the concerned model into a nonlinear algebraic system of equations, which can be solved by Newton’s iterative method. In this article, we have illustrated the convergence analysis of the approximation and shown that a high order of convergence can be achieved despite a smaller number of approximations. A few numerical results are presented in order to verify the reliability and accuracy of the demonstrated scheme. The results of absolute errors for the considered Gray–Scott model with its exact solution show that the technique is very suitable for finding the solutions to the said kind of complex physical problem.

本文利用 Caputo 意义上的 VO 分数导数概念,介绍了分数变阶 (VO) Gray-Scott 模型。基于 Vieta-Lucas 多项式和谱配位法,设计了一种高效的数值方法来求解该模型。所设计的技术将相关模型转换为非线性代数方程系,并可通过牛顿迭代法求解。在本文中,我们阐述了近似的收敛性分析,并表明尽管近似次数较少,但仍可实现高阶收敛。为了验证所演示方案的可靠性和准确性,我们给出了一些数值结果。对所考虑的格雷-斯科特模型及其精确解的绝对误差结果表明,该技术非常适合用于寻找上述复杂物理问题的解。
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引用次数: 0
Numerical integration of third-order BVPs using a fourth-order hybrid block method 使用四阶混合分块法对三阶 BVP 进行数值积分
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-23 DOI: 10.1016/j.jocs.2024.102338
Mufutau Ajani Rufai

This research paper introduces a new hybrid block method to solve the third-order boundary value problems (BVPs). The method combines interpolation and collocation and uses a power series polynomial to find an approximate solution to the considered third-order BVPs. Some third-order BVP models are numerically solved to verify the performance and efficiency of the proposed method, and the approximate solution from the proposed method is more efficient when compared to some existing numerical methods. In summary, the proposed method provides reliable and efficient accuracy for solving third-order BVPs, making it a valuable contribution to the fields of numerical analysis and computational mathematics. The advantages of the proposed method include improved computational time efficiency and accuracy in terms of maximum absolute errors for solving third-order BVPs.

本研究论文介绍了一种解决三阶边界值问题(BVPs)的新型混合分块法。该方法结合了插值法和配位法,并使用幂级数多项式求得所考虑的三阶 BVP 的近似解。通过对一些三阶 BVP 模型进行数值求解,验证了所提方法的性能和效率,与现有的一些数值方法相比,所提方法的近似解效率更高。总之,所提出的方法为求解三阶 BVP 提供了可靠而高效的精度,是对数值分析和计算数学领域的宝贵贡献。所提方法的优点包括提高了计算时间效率和求解三阶 BVP 的最大绝对误差精度。
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引用次数: 0
Discovering congestion dynamics models in clinical pathways using background knowledge 利用背景知识发现临床路径中的拥堵动力学模型
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-21 DOI: 10.1016/j.jocs.2024.102322
Francesco Lupia , Enrico Russo , Giacomo Longo , Andrea Pugliese

Clinical Pathways (CPs) consist of structured multidisciplinary guidelines and protocols used to model steps of clinical treatments. The main objective of applying CPs is that of optimizing both outcomes and efficiency — however, the actual implementation of CPs can be complex and result in important deviations and unexpected inefficiencies. In this paper, we develop an approach to identifying and understanding such problems by leveraging process mining techniques and background knowledge. We design specific data structures aimed at properly capturing the data produced during the implementation of CPs, including the treatment of more than one disease for a single patient. We then provide a methodology to discover and characterize congestion dynamics in CPs. Since the resulting process discovery problem is theoretically intractable, we develop heuristic algorithms that, based on an extensive experimental assessment, prove capable of discovering meaningful knowledge with a reasonable computational effort.

临床路径(CP)由结构化的多学科指南和协议组成,用于模拟临床治疗步骤。应用 "临床路径 "的主要目的是优化疗效和效率--然而,"临床路径 "的实际实施可能很复杂,会导致重大偏差和意想不到的低效。在本文中,我们开发了一种利用流程挖掘技术和背景知识来识别和理解此类问题的方法。我们设计了特定的数据结构,旨在正确捕捉 CPs 实施过程中产生的数据,包括为单个患者治疗一种以上疾病的数据。然后,我们提供了一种发现和描述 CP 中拥塞动态的方法。由于由此产生的过程发现问题在理论上难以解决,我们开发了启发式算法,根据广泛的实验评估,证明该算法能够以合理的计算量发现有意义的知识。
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引用次数: 0
A high order cut-cell method for solving the shallow-shelf equations 求解浅层方程的高阶切割单元法
IF 3.3 3区 计算机科学 Q1 Mathematics Pub Date : 2024-05-21 DOI: 10.1016/j.jocs.2024.102319
Will Thacher , Hans Johansen , Daniel Martin

In this paper we present a novel method for solving the shallow-shelf equations in the presence of grounding lines. The shallow-self equations are a two-dimensional system of nonlinear elliptic PDEs with variable coefficients that are discontinuous across the grounding line, which we treat as a sharp interface between grounded and floating ice. The grounding line is “reconstructed” from ice thickness and basal topography data to provide necessary geometric information for our cut-cell, finite volume discretization. Our discretization enforces jump conditions across the grounding line and achieves high-order accuracy using stencils constructed with a weighted least-squares method. We demonstrate second and fourth order convergence of the velocity field, driving stress, and reconstructed geometric information.

在本文中,我们提出了一种解决存在接地线情况下浅自方程的新方法。浅自方程是一个二维非线性椭圆 PDEs 系统,其系数可变,在接地线上不连续,我们将接地线视为接地冰与浮冰之间的尖锐界面。接地线是根据冰层厚度和基底地形数据 "重建 "的,为我们的切割单元有限体积离散化提供了必要的几何信息。我们的离散化方法在整个接地线上强制执行跳跃条件,并利用加权最小二乘法构建的模版实现了高阶精度。我们证明了速度场、驱动应力和重建几何信息的二阶和四阶收敛性。
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引用次数: 0
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