KLUEDO RSS FeedKLUEDO Dokumente/documents
https://kluedo.ub.uni-kl.de/index/index/
Thu, 16 Apr 2015 13:53:08 +0200Thu, 16 Apr 2015 13:53:08 +0200Robustness for regression models with asymmetric error distribution
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4046
In this work we focus on the regression models with asymmetrical error distribution,
more precisely, with extreme value error distributions. This thesis arises in the framework
of the project "Robust Risk Estimation". Starting from July 2011, this project won
three years funding by the Volkswagen foundation in the call "Extreme Events: Modelling,
Analysis, and Prediction" within the initiative "New Conceptual Approaches to
Modelling and Simulation of Complex Systems". The project involves applications in
Financial Mathematics (Operational and Liquidity Risk), Medicine (length of stay and
cost), and Hydrology (river discharge data). These applications are bridged by the
common use of robustness and extreme value statistics.
Within the project, in each of these applications arise issues, which can be dealt with by
means of Extreme Value Theory adding extra information in the form of the regression
models. The particular challenge in this context concerns asymmetric error distributions,
which significantly complicate the computations and make desired robustification
extremely difficult. To this end, this thesis makes a contribution.
This work consists of three main parts. The first part is focused on the basic notions
and it gives an overview of the existing results in the Robust Statistics and Extreme
Value Theory. We also provide some diagnostics, which is an important achievement of
our project work. The second part of the thesis presents deeper analysis of the basic
models and tools, used to achieve the main results of the research.
The second part is the most important part of the thesis, which contains our personal
contributions. First, in Chapter 5, we develop robust procedures for the risk management
of complex systems in the presence of extreme events. Mentioned applications use time
structure (e.g. hydrology), therefore we provide extreme value theory methods with time
dynamics. To this end, in the framework of the project we considered two strategies. In
the first one, we capture dynamic with the state-space model and apply extreme value
theory to the residuals, and in the second one, we integrate the dynamics by means of
autoregressive models, where the regressors are described by generalized linear models.
More precisely, since the classical procedures are not appropriate to the case of outlier
presence, for the first strategy we rework classical Kalman smoother and extended
Kalman procedures in a robust way for different types of outliers and illustrate the performance
of the new procedures in a GPS application and a stylized outlier situation.
To apply approach to shrinking neighborhoods we need some smoothness, therefore for
the second strategy, we derive smoothness of the generalized linear model in terms of
L2 differentiability and create sufficient conditions for it in the cases of stochastic and
deterministic regressors. Moreover, we set the time dependence in these models by
linking the distribution parameters to the own past observations. The advantage of
our approach is its applicability to the error distributions with the higher dimensional
parameter and case of regressors of possibly different length for each parameter. Further,
we apply our results to the models with generalized Pareto and generalized extreme value
error distributions.
Finally, we create the exemplary implementation of the fixed point iteration algorithm
for the computation of the optimally robust in
uence curve in R. Here we do not aim to
provide the most
exible implementation, but rather sketch how it should be done and
retain points of particular importance. In the third part of the thesis we discuss three applications,
operational risk, hospitalization times and hydrological river discharge data,
and apply our code to the real data set taken from Jena university hospital ICU and
provide reader with the various illustrations and detailed conclusions.Daria Pupashenkodoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4046Thu, 16 Apr 2015 13:53:08 +0200A multiscale modeling approach to glioma invasion with therapy
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4048
We consider the multiscale model for glioma growth introduced in a previous work and extend it to account
for therapy effects. Thereby, three treatment strategies involving surgical resection, radio-, and
chemotherapy are compared for their efficiency. The chemotherapy relies on inhibiting the binding
of cell surface receptors to the surrounding tissue, which impairs both migration and proliferation.
Alexander Hunt; Christina Surulescupreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4048Wed, 08 Apr 2015 14:26:45 +0200Worst-Case Portfolio Optimization: Transaction Costs and Bubbles
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4045
In this thesis we extend the worst-case modeling approach as first introduced by Hua and Wilmott (1997) (option pricing in discrete time) and Korn and Wilmott (2002) (portfolio optimization in continuous time) in various directions.
In the continuous-time worst-case portfolio optimization model (as first introduced by Korn and Wilmott (2002)), the financial market is assumed to be under the threat of a crash in the sense that the stock price may crash by an unknown fraction at an unknown time. It is assumed that only an upper bound on the size of the crash is known and that the investor prepares for the worst-possible crash scenario. That is, the investor aims to find the strategy maximizing her objective function in the worst-case crash scenario.
In the first part of this thesis, we consider the model of Korn and Wilmott (2002) in the presence of proportional transaction costs. First, we treat the problem without crashes and show that the value function is the unique viscosity solution of a dynamic programming equation (DPE) and then construct the optimal strategies. We then consider the problem in the presence of crash threats, derive the corresponding DPE and characterize the value function as the unique viscosity solution of this DPE.
In the last part, we consider the worst-case problem with a random number of crashes by proposing a regime switching model in which each state corresponds to a different crash regime. We interpret each of the crash-threatened regimes of the market as states in which a financial bubble has formed which may lead to a crash. In this model, we prove that the value function is a classical solution of a system of DPEs and derive the optimal strategies.
Christoph Belakdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4045Tue, 07 Apr 2015 10:17:10 +0200Modeling and design optimization of textile-like materials via homogenization and one-dimensional models of elasticity
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4019
The work consists of two parts.
In the first part an optimization problem of structures of linear elastic material with contact modeled by Robin-type boundary conditions is considered. The structures model textile-like materials and possess certain quasiperiodicity properties. The homogenization method is used to represent the structures by homogeneous elastic bodies and is essential for formulations of the effective stress and Poisson's ratio optimization problems. At the micro-level, the classical one-dimensional Euler-Bernoulli beam model extended with jump conditions at contact interfaces is used. The stress optimization problem is of a PDE-constrained optimization type, and the adjoint approach is exploited. Several numerical results are provided.
In the second part a non-linear model for simulation of textiles is proposed. The yarns are modeled by hyperelastic law and have no bending stiffness. The friction is modeled by the Capstan equation. The model is formulated as a problem with the rate-independent dissipation, and the basic continuity and convexity properties are investigated. The part ends with numerical experiments and a comparison of the results to a real measurement.
Vladimir Shiryaevdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4019Mon, 09 Mar 2015 14:42:08 +0100A Finite Dominating Set Algorithm for a Dynamic Location Problem in the Plane
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4017
A single facility problem in the plane is considered, where an optimal location has to be
identified for each of finitely many time-steps with respect to time-dependent weights and
demand points. It is shown that the median objective can be reduced to a special case of the
static multifacility median problem such that results from the latter can be used to tackle the
dynamic location problem. When using block norms as distance measure between facilities,
a Finite Dominating Set (FDS) is derived. For the special case with only two time-steps, the
resulting algorithm is analyzed with respect to its worst-case complexity. Due to the relation
between dynamic location problems for T time periods and T-facility problems, this algorithm
can also be applied to the static 2-facility location problem.Andrea Maier; Horst W. Hamacherpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4017Thu, 05 Mar 2015 14:56:26 +0100Modeling and Simulation of a Moving Rigid Body in a Rarefied Gas
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4012
We present a numerical scheme to simulate a moving rigid body with arbitrary shape suspended in a rarefied gas micro flows, in view of applications to complex computations of moving structures in micro or vacuum systems. The rarefied gas is simulated by solving the Boltzmann equation using a DSMC particle method. The motion of the rigid body is governed by the Newton-Euler equations, where the force and the torque on the rigid body is computed from the momentum transfer of the gas molecules colliding with the body. The resulting motion of the rigid body affects in turn again the gas flow in the surroundings. This means that a two-way coupling has been modeled. We validate the scheme by performing various numerical experiments in 1-, 2- and 3-dimensional computational domains. We have presented 1-dimensional actuator problem, 2-dimensional cavity driven flow problem, Brownian diffusion of a spherical particle both with translational and rotational motions, and finally thermophoresis on a spherical particles. We compare the numerical results obtained from the numerical simulations with the existing theories in each test examples. Samir Shresthadoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4012Wed, 04 Mar 2015 11:43:53 +0100Testrig optimization by block loads: Remodelling of damage as Gaussian functions and their clustering method
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4003
In automotive testrigs we apply load time series to components such that the outcome is as close as possible to some reference data. The testing procedure should in general be less expensive and at the same time take less time for testing. In my thesis, I propose a testrig damage optimization problem (WSDP). This approach improves upon the testrig stress optimization problem (TSOP) used as a state of the art by industry experts.
In both (TSOP) and (WSDP), we optimize the load time series for a given testrig configuration. As the name suggests, in (TSOP) the reference data is the stress time series. The detailed behaviour of the stresses as functions of time are sometimes not the most important topic. Instead the damage potential of the stress signals are considered. Since damage is not part of the objectives in the (TSOP) the total damage computed from the optimized load time series is not optimal with respect to the reference damage. Additionally, the load time series obtained is as long as the reference stress time series and the total damage computation needs cycle counting algorithms and Goodmann corrections. The use of cycle counting algorithms makes the computation of damage from load time series non-differentiable.
To overcome the issues discussed in the previous paragraph this thesis uses block loads for the load time series. Using of block loads makes the damage differentiable with respect to the load time series. Additionally, in some special cases it is shown that damage is convex when block loads are used and no cycle counting algorithms are required. Using load time series with block loads enables us to use damage in the objective function of the (WSDP).
During every iteration of the (WSDP), we have to find the maximum total damage over all plane angles. The first attempt at solving the (WSDP) uses discretization of the interval for plane angle to find the maximum total damage at each iteration. This is shown to give unreliable results and makes maximum total damage function non-differentiable with respect to the plane angle. To overcome this, damage function for a given surface stress tensor due to a block load is remodelled by Gaussian functions. The parameters for the new model are derived.
When we model the damage by Gaussian function, the total damage is computed as a sum of Gaussian functions. The plane with the maximum damage is similar to the modes of the Gaussian Mixture Models (GMM), the difference being that the Gaussian functions used in GMM are probability density functions which is not the case in the damage approximation presented in this work. We derive conditions for a single maximum for Gaussian functions, similar to the ones given for the unimodality of GMM by Aprausheva et al. in [1].
By using the conditions for a single maximum we give a clustering algorithm that merges the Gaussian functions in the sum as clusters. Each cluster obtained through clustering is such that it has a single maximum in the absence of other Gaussian functions of the sum. The approximate point of the maximum of each cluster is used as the starting point for a fixed point equation on the original damage function to get the actual maximum total damage at each iteration.
We implement the method for the (TSOP) and the two methods (with discretization and with clustering) for (WSDP) on two example problems. The results obtained from the (WSDP) using discretization is shown to be better than the results obtained from the (TSOP). Furthermore we show that, (WSDP) using clustering approach to finding the maximum total damage, takes less number of iterations and is more reliable than using discretization.Chhitiz Buchasiadoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/4003Tue, 24 Feb 2015 11:08:29 +0100Mathematik für Physiker ... und Mathematiker
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3998
Eine Vorlesung für Studenten der Physik oder Mathematik im ersten Studienjahr: lineare Algebra und Analysis in einer und mehreren Veränderlichen.Klaus Wirthmüllerlecturehttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3998Fri, 20 Feb 2015 14:13:05 +0100Bicriteria approach to the optimal location of surveillance cameras
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3997
We consider the problem of finding efficient locations of surveillance cameras, where we distinguish
between two different problems. In the first, the whole area must be monitored and the number of cameras
should be as small as possible. In the second, the goal is to maximize the monitored area for a fixed number of
cameras. In both of these problems, restrictions on the ability of the cameras, like limited depth of view or range
of vision are taken into account. We present solution approaches for these problems and report on results of
their implementations applied to an authentic problem. We also consider a bicriteria problem with two objectives:
maximizing the monitored area and minimizing the number of cameras, and solve it for our study case.Horst W. Hamacher; Gross Aleksandrapreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3997Fri, 20 Feb 2015 13:54:12 +0100Freeness of hyperplane arrangements with multiplicities
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3986
This bachelor thesis is concerned with arrangements of hyperplanes, that
is, finite collections of hyperplanes in a finite-dimensional vector
space. Such arrangements can be studied using methods from
combinatorics, topology or algebraic geometry. Our focus lies on an
algebraic object associated to an arrangement \(\mathcal{A}\), the module \(\mathcal{D(A)}\) of
logarithmic derivations along \(\mathcal{A}\). It was introduced by K. Saito in the
context of singularity theory, and intensively studied by Terao and
others. If \(\mathcal{D(A)}\) admits a basis, the arrangement \(\mathcal{A}\) is called free.
Ziegler generalized the concept of freeness to so-called
multiarrangements, where each hyperplane carries a multiplicity. Terao
conjectured that freeness of arrangements can be decided based on the
combinatorics. We pursue the analogous question for multiarrangements in
special cases. Firstly, we give a new proof of a result of Ziegler
stating that generic multiarrangements are totally non-free, that is,
non-free for any multiplicity. Our proof relies on the new concept of
unbalanced multiplicities. Secondly, we consider freeness asymptotically
for increasing multiplicity of a fixed hyperplane. We give an explicit
bound for the multiplicity where the freeness property has stabilized.Lukas Kühnebachelorthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3986Thu, 12 Feb 2015 16:33:38 +0100Bicriteria approach to the optimal location of surveillance cameras
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3979
We consider the problem of finding efficient locations of surveillance cameras, where we distinguish
between two different problems. In the first, the whole area must be monitored and the number of cameras
should be as small as possible. In the second, the goal is to maximize the monitored area for a fixed number of
cameras. In both of these problems, restrictions on the ability of the cameras, like limited depth of view or range
of vision are taken into account. We present solution approaches for these problems and report on results of
their implementations applied to an authentic problem. We also consider a bicriteria problem with two objectives:
maximizing the monitored area and minimizing the number of cameras, and solve it for our study case.Aleksandra Gross; Horst W. Hamacherpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3979Thu, 29 Jan 2015 08:18:53 +0100Combinations of Boolean Groebner Bases and SAT Solvers
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3958
In this thesis, we combine Groebner basis with SAT Solver in different manners.
Both SAT solvers and Groebner basis techniques have their own strength and weakness.
Combining them could fix their weakness.
The first combination is using Groebner techniques to learn additional binary clauses for SAT solver from a selection of clauses. This combination is first proposed by Zengler and Kuechlin.
However, in our experiments, about 80 percent Groebner basis computations give no new binary clauses.
By selecting smaller and more compact input for Groebner basis computations, we can significantly
reduce the number of inefficient Groebner basis computations, learn much more binary clauses. In addition,
the new strategy can reduce the solving time of a SAT Solver in general, especially for large and hard problems.
The second combination is using all-solution SAT solver and interpolation to compute Boolean Groebner bases of Boolean elimination ideals of a given ideal. Computing Boolean Groebner basis of the given ideal is an inefficient method in case we want to eliminate most of the variables from a big system of Boolean polynomials.
Therefore, we propose a more efficient approach to handle such cases.
In this approach, the given ideal is translated to the CNF formula. Then an all-solution SAT Solver is used to find the projection of all solutions of the given ideal. Finally, an algorithm, e.g. Buchberger-Moeller Algorithm, is used to associate the reduced Groebner basis to the projection.
We also optimize the Buchberger-Moeller Algorithm for lexicographical ordering and compare it with Brickenstein's interpolation algorithm.
Finally, we combine Groebner basis and abstraction techniques to the verification of some digital designs that contain complicated data paths.
For a given design, we construct an abstract model.
Then, we reformulate it as a system of polynomials in the ring \({\mathbb Z}_{2^k}[x_1,\dots,x_n]\).
The variables are ordered in a way such that the system has already been a Groebner basis w.r.t lexicographical monomial ordering.
Finally, the normal form is employed to prove the desired properties.
To evaluate our approach, we verify the global property of a multiplier and a FIR filter using the computer algebra system Singular. The result shows that our approach is much faster than the commercial verification tool from Onespin on these benchmarks.Thanh Hung Nguyendoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3958Thu, 18 Dec 2014 14:11:19 +0100Robust Flows with Losses and Improvability in Evacuation Planning
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3947
We consider a network flow problem, where the outgoing flow is reduced by a certain percentage in each node. Given a maximum amount of flow that can leave the source node, the aim is to find a solution that maximizes the amount of flow which arrives at the sink.
Starting from this basic model, we include two new, additional aspects: On the one hand, we are able to reduce the loss at some of the nodes; on the other hand, the exact loss values are not known, but may come from a discrete uncertainty set of exponential size.
Applications for problems of this type can be found in evacuation planning, where one would like to improve the safety of nodes such that the number of evacuees reaching safety is maximized.
We formulate the resulting robust flow problem with losses and improvability as a mixed-integer program for finitely many scenarios, and present an iterative scenario-generation procedure that avoids the inclusion of all scenarios from the beginning. In a computational study using both randomly generated instance and realistic data based on the city of Nice, France, we compare our solution algorithms.Marc Goerigk; Ismaila Abderhamanepreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3947Wed, 10 Dec 2014 15:24:43 +0100Transit Dependent Evacuation Planning for Kathmandu Valley: A Case Study
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3944
Due to the increasing number of natural or man-made disasters, the application of operations research methods in evacuation planning has seen a rising interest in the research community. From the beginning, evacuation planning has been highly focused on car-based evacuation. Recently, also the evacuation of transit depended evacuees with the help of buses has been considered.
In this case study, we apply two such models and solution algorithms to evacuate a core part of the metropolitan capital city Kathmandu of Nepal as a hypothetical endangered region, where a large part of population is transit dependent. We discuss the computational results for evacuation time under a broad range of possible scenarios, and derive planning suggestions for practitioners.Urmila Pyakurel; Marc Goerigk; Tanka Dhamala; Horst W. Hamacherreporthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3944Wed, 10 Dec 2014 14:11:41 +0100Multilevel Constructions
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3942
The thesis consists of the two chapters.
The first chapter is addressed to make a deep investigation of the MLMC method. In particular we take an optimisation view at the estimate. Rather than fixing the number of discretisation points \(n_i\) to be a geometric sequence, we are trying to find an optimal set up for \(n_i\) such that for a fixed error the estimate can be computed within a minimal time.
In the second chapter we propose to enhance the MLMC estimate with the weak extrapolation technique. This technique helps to improve order of a weak convergence of a scheme and as a result reduce CC of an estimate. In particular we study high order weak extrapolation approach, which is know not be inefficient in the standard settings. However, a combination of the MLMC and the weak extrapolation yields an improvement of the MLMC.Anton Kostiukdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3942Wed, 10 Dec 2014 08:29:03 +0100A Bicriteria Approach to Robust Optimization
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3940
The classic approach in robust optimization is to optimize the solution with respect to the worst case scenario. This pessimistic approach yields solutions that perform best if the worst scenario happens, but also usually perform bad on average. A solution that optimizes the average performance on the other hand lacks in worst-case performance guarantee.
In practice it is important to find a good compromise between these two solutions. We propose to deal with this problem by considering it from a bicriteria perspective. The Pareto curve of the bicriteria problem visualizes exactly how costly it is to ensure robustness and helps to choose the solution with the best balance between expected and guaranteed performance.
Building upon a theoretical observation on the structure of Pareto solutions for problems with polyhedral feasible sets, we present a column generation approach that requires no direct solution of the computationally expensive worst-case problem. In computational experiments we demonstrate the effectivity of both the proposed algorithm, and the bicriteria perspective in general.André Chassein; Marc Goerigkpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3940Mon, 08 Dec 2014 16:08:38 +0100Robust Geometric Programming is co-NP hard
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3938
Geometric Programming is a useful tool with a wide range of applications in engineering. As in real-world problems input data is likely to be affected by uncertainty, Hsiung, Kim, and Boyd introduced robust geometric programming to include the uncertainty in the optimization process. They also developed a tractable approximation method to tackle this problem. Further, they pose the question whether there exists a tractable reformulation of their robust geometric programming model instead of only an approximation method. We give a negative answer to this question by showing that robust geometric programming is co-NP hard in its natural posynomial form.André Chassein; Marc Goerigkpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3938Fri, 05 Dec 2014 14:17:25 +0100Numerical solution of a nonstandard Darcy flow model
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3933
We consider a Darcy flow model with saturation-pressure relation extended
with a dynamic term, namely, the time derivative of the saturation.
This model was proposed in works of J.Hulshof and J.R.King (1998), S.M.Hassanizadeh and W.G.Gray (1993),
F.Stauffer (1978).
We restrict ourself to one spatial dimension and strictly positive
initial saturation. For this case we transform the initial-boundary value
problem into combination of elliptic boundary-value problem and initial
value problem for abstract Ordinary Differential Equation. This splitting
is rather helpful both for theoretical aspects and numerical methods.Vsevolod Laptevstudythesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3933Tue, 25 Nov 2014 12:40:41 +0100Sink Location to Find Optimal Shelters in Evacuation Planning
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3934
The sink location problem is a combination of network flow and location problems: From a given set of nodes in a flow network a minimum cost subset \(W\) has to be selected such that given supplies can be transported to the nodes in \(W\). In contrast to its counterpart, the source location problem which has already been studied in the literature, sinks have, in general, a limited capacity. Sink location has a decisive application in evacuation planning, where the supplies correspond to the number of evacuees and the sinks to emergency shelters.
We classify sink location problems according to capacities on shelter nodes, simultaneous or non-simultaneous flows, and single or multiple assignments of evacuee groups to shelters. Resulting combinations are interpreted in the evacuation context and analyzed with respect to their worst-case complexity status.
There are several approaches to tackle these problems: Generic solution methods for uncapacitated problems are based on source location and modifications of the network. In the capacitated case, for which source location cannot be applied, we suggest alternative approaches which work in the original network. It turns out that latter class algorithms are superior to the former ones. This is established in numerical tests including random data as well as real world data from the city of Kaiserslautern, Germany.Philipp Heßler; Horst W. Hamacherpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3934Mon, 24 Nov 2014 11:46:38 +0100Zinsoptimiertes Schuldenmanagement
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3931
Das zinsoptimierte Schuldenmanagement hat zum Ziel, eine möglichst effiziente Abwägung zwischen den erwarteten Finanzierungskosten einerseits und den Risiken für den Staatshaushalt andererseits zu finden. Um sich diesem Spannungsfeld zu nähern, schlagen wir erstmals die Brücke zwischen den Problemstellungen des Schuldenmanagements und den Methoden der zeitkontinuierlichen, dynamischen Portfoliooptimierung.
Das Schlüsselelement ist dabei eine neue Metrik zur Messung der Finanzierungskosten, die Perpetualkosten. Diese spiegeln die durchschnittlichen zukünftigen Finanzierungskosten wider und beinhalten sowohl die bereits bekannten Zinszahlungen als auch die noch unbekannten Kosten für notwendige Anschlussfinanzierungen. Daher repräsentiert die Volatilität der Perpetualkosten auch das Risiko einer bestimmten Strategie; je langfristiger eine Finanzierung ist, desto kleiner ist die Schwankungsbreite der Perpetualkosten.
Die Perpetualkosten ergeben sich als Produkt aus dem Barwert eines Schuldenportfolios und aus der vom Portfolio unabhängigen Perpetualrate. Für die Modellierung des Barwertes greifen wir auf das aus der dynamischen Portfoliooptimierung bekannte Konzept eines selbstfinanzierenden Bondportfolios zurück, das hier auf einem mehrdimensionalen affin-linearen Zinsmodell basiert. Das Wachstum des Schuldenportfolios wird dabei durch die Einbeziehung des Primärüberschusses des Staates gebremst bzw. verhindert, indem wir diesen als externen Zufluss in das selbstfinanzierende Modell aufnehmen.
Wegen der Vielfältigkeit möglicher Finanzierungsinstrumente wählen wir nicht deren Wertanteile als Kontrollvariable, sondern kontrollieren die Sensitivitäten des Portfolios gegenüber verschiedenen Zinsbewegungen. Aus optimalen Sensitivitäten können in einem nachgelagerten Schritt dann optimale Wertanteile für verschiedenste Finanzierungsinstrumente abgeleitet werden. Beispielhaft demonstrieren wir dies mittels Rolling-Horizon-Bonds unterschiedlicher Laufzeit.
Schließlich lösen wir zwei Optimierungsprobleme mit Methoden der stochastischen Kontrolltheorie. Dabei wird stets der erwartete Nutzen der Perpetualkosten maximiert. Die Nutzenfunktionen sind jeweils an das Schuldenmanagement angepasst und zeichnen sich insbesondere dadurch aus, dass höhere Kosten mit einem niedrigeren Nutzen einhergehen. Im ersten Problem betrachten wir eine Potenznutzenfunktion mit konstanter relativer Risikoaversion, im zweiten wählen wir eine Nutzenfunktion, welche die Einhaltung einer vorgegebenen Schulden- bzw. Kostenobergrenze garantiert.Christoph Petersdoctoralthesishttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3931Mon, 24 Nov 2014 09:09:39 +0100A coverage-based Box-Algorithm to compute a representation for optimization problems with three objective functions
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3911
A new algorithm for optimization problems with three objective functions is presented which computes a representation for the set of nondominated points. This representation is guaranteed to have a desired coverage error and a bound on the number of iterations needed by the algorithm to meet this coverage error is derived. Since the representation does not necessarily contain nondominated points only, ideas to calculate bounds for the representation error are given. Moreover, the incorporation of domination during the algorithm and other quality measures are discussed.Tobias Kuhn; Stefan Ruzikapreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3911Fri, 07 Nov 2014 10:55:37 +0100Alternative Formulations for the Ordered Weighted Averaging Objective
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3899
The ordered weighted averaging objective (OWA) is an aggregate function over multiple optimization criteria which received increasing attention by the research community over the last decade. Different to the ordered weighted sum, weights are attached to ordered objective functions (i.e., a weight for the largest value, a weight for the second-largest value and so on). As this contains max-min or worst-case optimization as a special case, OWA can also be considered as an alternative approach to robust optimization.
For linear programs with OWA objective, compact reformulations exist, which result in extended linear programs. We present new such reformulation models with reduced size. A computational comparison indicates that these formulations improve solution times.Andre Chassein; Marc Goerigkpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3899Thu, 16 Oct 2014 10:45:12 +0200On The Recoverable Robust Traveling Salesman Problem
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3898
We consider an uncertain traveling salesman problem, where distances between nodes are not known exactly, but may stem from an uncertainty set of possible scenarios. This uncertainty set is given as intervals with an additional bound on the number of distances that may deviate from their expected, nominal value.
A recoverable robust model is proposed, that allows a tour to change a bounded number of edges once a scenario becomes known. As the model contains an exponential number of constraints and variables, an iterative algorithm is proposed, in which tours and scenarios are computed alternately.
While this approach is able to find a provably optimal solution to the robust model, it also needs to solve increasingly complex subproblems. Therefore, we also consider heuristic solution procedures based on local search moves using a heuristic estimate of the actual objective function. In computational experiments, these approaches are compared.
Finally, an alternative recovery model is discussed, where a second-stage recovery tour is not required to visit all nodes of the graph. We show that the previously NP-hard evaluation of a fixed solution now becomes solvable in polynomial time.Andre Chassein; Marc Goerigkpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3898Thu, 16 Oct 2014 10:41:06 +0200Optimization Models to Enhance Resilience in Evacuation Planning
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3897
We argue that the concepts of resilience in engineering science and robustness in mathematical optimization are strongly related. Using evacuation planning as an example application, we demonstrate optimization techniques to improve solution resilience. These include a direct modelling of the uncertainty for stochastic or robust optimization, as well as taking multiple objective functions into account.Marc Goerigk; Horst Hamacherpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3897Thu, 16 Oct 2014 10:22:16 +0200Effective equations for anisotropic glioma spread with proliferation: a multiscale approach
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3893
Glioma is a common type of primary brain tumor, with a strongly invasive potential, often exhibiting nonuniform, highly irregular growth. This makes it difficult to assess
the degree of extent of the tumor, hence bringing about a supplementary challenge for the treatment. It is therefore necessary to understand the
migratory behavior of glioma in greater detail.
In this paper we propose a multiscale model for glioma growth and migration. Our model couples the microscale dynamics (reduced to the binding of surface receptors to the
surrounding tissue) with a kinetic transport equation for the cell density on the mesoscopic level of individual cells. On the latter scale we also include the
proliferation of tumor cells via effects of interaction with the tissue. An adequate parabolic scaling yields a convection-diffusion-reaction equation, for which the coefficients
can be explicitly determined from the information about the tissue obtained by diffusion tensor imaging. Numerical simulations relying on DTI measurements confirm the biological
findings that glioma spreads
along white matter tracts.Christian Engwer; Alexander Hunt; Christina Surulescupreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/3893Tue, 14 Oct 2014 14:08:25 +0200