The Experts below are selected from a list of 234 Experts worldwide ranked by ideXlab platform
Michael C Fu - One of the best experts on this subject based on the ideXlab platform.
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simulation in financial Engineering Importance sampling in derivative securities pricing
Winter Simulation Conference, 2000Co-Authors: Yi Su, Michael C FuAbstract:We formulate the Importance sampling problem as a parametric minimization problem under the original measure and use a combination of infinitesimal perturbation analysis (IPA) and stochastic approximation (SA) to minimize the variance of the price estimation. Compared to existing methods, the IPA estimator derived in this paper has significantly smaller estimation variance and doesn't depend on the form of payoff functions and differentiability of the sample path, and thus is more universally applicable and computationally efficient. Under suitable conditions, the objective function is a convex function, the IPA estimator presented is unbiased, and the corresponding stochastic approximation algorithm converges to the true optimal value.
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Winter Simulation Conference - Simulation in financial Engineering: Importance sampling in derivative securities pricing
2000Co-Authors: Yi Su, Michael C FuAbstract:We formulate the Importance sampling problem as a parametric minimization problem under the original measure and use a combination of infinitesimal perturbation analysis (IPA) and stochastic approximation (SA) to minimize the variance of the price estimation. Compared to existing methods, the IPA estimator derived in this paper has significantly smaller estimation variance and doesn't depend on the form of payoff functions and differentiability of the sample path, and thus is more universally applicable and computationally efficient. Under suitable conditions, the objective function is a convex function, the IPA estimator presented is unbiased, and the corresponding stochastic approximation algorithm converges to the true optimal value.
Yi Su - One of the best experts on this subject based on the ideXlab platform.
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simulation in financial Engineering Importance sampling in derivative securities pricing
Winter Simulation Conference, 2000Co-Authors: Yi Su, Michael C FuAbstract:We formulate the Importance sampling problem as a parametric minimization problem under the original measure and use a combination of infinitesimal perturbation analysis (IPA) and stochastic approximation (SA) to minimize the variance of the price estimation. Compared to existing methods, the IPA estimator derived in this paper has significantly smaller estimation variance and doesn't depend on the form of payoff functions and differentiability of the sample path, and thus is more universally applicable and computationally efficient. Under suitable conditions, the objective function is a convex function, the IPA estimator presented is unbiased, and the corresponding stochastic approximation algorithm converges to the true optimal value.
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Winter Simulation Conference - Simulation in financial Engineering: Importance sampling in derivative securities pricing
2000Co-Authors: Yi Su, Michael C FuAbstract:We formulate the Importance sampling problem as a parametric minimization problem under the original measure and use a combination of infinitesimal perturbation analysis (IPA) and stochastic approximation (SA) to minimize the variance of the price estimation. Compared to existing methods, the IPA estimator derived in this paper has significantly smaller estimation variance and doesn't depend on the form of payoff functions and differentiability of the sample path, and thus is more universally applicable and computationally efficient. Under suitable conditions, the objective function is a convex function, the IPA estimator presented is unbiased, and the corresponding stochastic approximation algorithm converges to the true optimal value.
P. Campisi - One of the best experts on this subject based on the ideXlab platform.
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Guest Editorial Distributed Signal Processing for Security and Privacy in Networked Cyber-Physical Systems
IEEE Transactions on Signal and Information Processing over Networks, 2018Co-Authors: A. Mohammadi, P. Cheng, V. Piuri, K. N. Plataniotis, P. CampisiAbstract:The papers in this special section address distributed signal processing applications that support security and privacy in networked cyber-physical systems. Networked cyber-physical systems (CPSs) are Engineering systems with integrated computational and communication capabilities that interact with humans through cyber space. The CPSs have recently emerged in several practical applications of significant Engineering Importance including aerospace, industrial/manufacturing process control, multimedia networks, transportation systems, power grids, and medical systems. The CPSs typically consist of both wireless and wired sensor/agent networks with different capacity/reliability levels where the emphasis is on real-time operations, and performing distributed, secure, and optimal sensing/processing is the key concern. To satisfy these requirements of the CPSs, it is of paramount Importance to design innovative “Signal Processing” tools to provide unprecedented performance and resource utilization efficiency.
Anyong Qing - One of the best experts on this subject based on the ideXlab platform.
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IEEE Congress on Evolutionary Computation - A parametric study on differential evolution based on benchmark electromagnetic inverse scattering problem
2007 IEEE Congress on Evolutionary Computation, 2007Co-Authors: Anyong QingAbstract:Electromagnetic inverse scattering problem is of great scientific and Engineering Importance. Differential evolution has been successfully applied to solve electromagnetic inverse scattering problem. However, it is noted that the performance of differential evolution strongly depends on its intrinsic control parameters, namely, population size, mutation intensity, and crossover probability. A parametric study on differential evolution based on benchmark electromagnetic inverse scattering problem is therefore carried out. The findings presented here should be highly beneficial to future applicants of differential evolution in the community of electromagnetic inverse scattering problems. Such findings may be directly or indirectly applicable to researchers in other areas.
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A parametric study on differential evolution based on benchmark electromagnetic inverse scattering problem
2007 IEEE Congress on Evolutionary Computation, 2007Co-Authors: Anyong QingAbstract:Electromagnetic inverse scattering problem is of great scientific and Engineering Importance. Differential evolution has been successfully applied to solve electromagnetic inverse scattering problem. However, it is noted that the performance of differential evolution strongly depends on its intrinsic control parameters, namely, population size, mutation intensity, and crossover probability. A parametric study on differential evolution based on benchmark electromagnetic inverse scattering problem is therefore carried out. The findings presented here should be highly beneficial to future applicants of differential evolution in the community of electromagnetic inverse scattering problems. Such findings may be directly or indirectly applicable to researchers in other areas.
Akihisa Inoue - One of the best experts on this subject based on the ideXlab platform.
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Advanced Materials and Materials Genome—Review
2020Co-Authors: Akihisa InoueAbstract:This paper reviews the development of current research in bulk glassy alloys by focusing on the trigger point for the synthesis of the first bulk glassy alloys by the conventional mold casting method. This review covers the background, discovery, characteristics, and applications of bulk glassy alloys, as well as recent topics regarding them. Applications of bulk glassy alloys have been expanding, particularly for Fe-based bulk glassy alloys, due to their unique properties, high glass-forming ability, and low cost. In the near future, the Engineering Importance of bulk glassy alloys is expected to increase steadily, and continuous interest in these novel metallic materials for basic science research is anticipated.
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Bulk Glassy Alloys: Historical Development and Current Research
Engineering, 2015Co-Authors: Akihisa InoueAbstract:ABSTRACT This paper reviews the development of current research in bulk glassy alloys by focusing on the trigger point for the synthesis of the first bulk glassy alloys by the conventional mold casting method. This review covers the background, discovery, characteristics, and applications of bulk glassy alloys, as well as recent topics regarding them. Applications of bulk glassy alloys have been expanding, particularly for Fe-based bulk glassy alloys, due to their unique properties, high glass-forming ability, and low cost. In the near future, the Engineering Importance of bulk glassy alloys is expected to increase steadily, and continuous interest in these novel metallic materials for basic science research is anticipated.
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Recent progress in bulk glassy, nanoquasicrystalline and nanocrystalline alloys
Materials Science and Engineering A-structural Materials Properties Microstructure and Processing, 2004Co-Authors: Akihisa Inoue, Akira TakeuchiAbstract:This paper deals with recent progress in stabilized supercooled liquids (SLs) and the resulting bulk glassy, nanoquasicrystalline and nanocrystalline alloys which were mainly conducted by Sendai group in Japan. In this review, the following contents are focused on: bulk metallic glassy alloy systems, empirical rules for the achievement of high glass-forming ability (GFA), local atomic configurations, computational analyses, thermodynamic analysis, mechanical properties, soft magnetic properties, micro-forming ability, application, science and Engineering Importance and future trend of bulk glassy alloys including SL. As demonstrated in this review, the high stabilization of metallic SLs has already opened up new basic science and Engineering application fields and its Importance is strongly expected to increase more and more hereafter.