Computation of Value-at-Risk: The Fast Convolution Method, Dimension Reduction and Perturbation Theory
نویسندگان
چکیده
منابع مشابه
Dimension reduction in the computation of value-at-risk
Value-at-risk models can have many dimensions. We present two new algorithms for dimension reduction in value-at-risk algorithms with approximations. In the first method, we compute a reduced portfolio with a small mean square error for the residual and, in the second method, we use low rank approximations to find a reduced portfolio. The paper concludes with an example, estimating value-at-ris...
متن کاملNear-Optimal Controls of a Fuel Cell Coupled with Reformer using Singular Perturbation methods
A singularly perturbed model is proposed for a system comprised of a PEM Fuel Cell(PEM-FC) with Natural Gas Hydrogen Reformer (NG-HR). This eighteenth order system is decomposedinto slow and fast lower order subsystems using singular perturbation techniques that provides tools forseparation and order reduction. Then, three different types of controllers, namely an optimal full-order,a near-opti...
متن کاملFast Finite Element Method Using Multi-Step Mesh Process
This paper introduces a new method for accelerating current sluggish FEM and improving memory demand in FEM problems with high node resolution or bulky structures. Like most of the numerical methods, FEM results to a matrix equation which normally has huge dimension. Breaking the main matrix equation into several smaller size matrices, the solving procedure can be accelerated. For implementing ...
متن کاملCalculation of Leakage in Water Supply Network Based on Blind Source Separation Theory
The economic and environmental losses due to serious leakage in the urban water supply network have increased the effort to control the water leakage. However, current methods for leakage estimation are inaccurate leading to the development of ineffective leakage controls. Therefore, this study proposes a method based on the blind source separation theory (BSS) to calculate the leakage of water...
متن کاملDesign and Dynamic Modeling of Planar Parallel Micro-Positioning Platform Mechanism with Flexible Links Based on Euler Bernoulli Beam Theory
This paper presents the dynamic modeling and design of micro motion compliant parallel mechanism with flexible intermediate links and rigid moving platform. Modeling of mechanism is described with closed kinematic loops and the dynamic equations are derived using Lagrange multipliers and Kane’s methods. Euler-Bernoulli beam theory is considered for modeling the intermediate flexible link. Based...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2002