ORCID Profile
0000-0002-7523-4069
Current Organisations
The Hong Kong Polytechnic University
,
University of Oxford
,
University of Dundee
,
University of London
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Publisher: Global Science Press
Date: 05-2013
DOI: 10.4208/EAJAM.070313.220413A
Abstract: We discuss a mathematical model for optimal cash management. A firm wishes to manage cash to meet demands for daily operations, and to maximize terminal wealth via bank deposits and stock investments that pay idends and have uncertain capital gains. A Stochastic Volatility (SV) model is adopted for the capital gains rate of a stock, providing a more realistic way to describe its price dynamics. The cash management problem is formulated as a stochastic optimal control problem, and solved numerically using dynamic programming. We analyze the implications of the heteroscedasticity described by the SV model for evaluating risk, by comparing the terminal wealth arising from the SV model to that obtained from a Constant Volatility (CV) model.
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 06-2004
Publisher: Elsevier BV
Date: 08-2014
Publisher: IEEE
Date: 2008
Publisher: Elsevier BV
Date: 03-2012
Publisher: Informa UK Limited
Date: 07-2013
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2014
Publisher: Global Science Press
Date: 05-2016
DOI: 10.4208/EAJAM.230515.160316A
Abstract: An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is investigated, formulated as a constrained utility maximisation problem over a finite time horizon. The arrivals of buy and sell orders are governed by Poisson processes, and a diffusion approximation is employed on assuming the Poisson arrivals intensity is sufficiently large. Using the dynamic programming principle, we adopt an efficient numerical procedure to solve this constrained utility maximisation problem based on a successive approximation algorithm, and conduct numerical experiments to analyse the impacts of the inventory constraint on a dealer's terminal profit and stock inventory level. It is found that the stock inventory constraint significantly affects the terminal stock inventory level.
Publisher: Informa UK Limited
Date: 14-05-2013
Publisher: Informa UK Limited
Date: 06-12-2014
Publisher: Elsevier BV
Date: 12-2006
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 03-2012
Publisher: Elsevier BV
Date: 06-2010
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2023
DOI: 10.3934/JIMO.2022147
Publisher: IEEE
Date: 06-2012
DOI: 10.1109/CSO.2012.66
Publisher: IEEE
Date: 2009
DOI: 10.1109/NSS.2009.44
Publisher: Springer Science and Business Media LLC
Date: 09-03-2012
DOI: 10.1186/1687-6180-2012-62
Abstract: In this article, we consider the design of broadband beamformers with low complexity. In fact, the design problem is multi-objective in nature, trading off between speech distortion and noise suppression. Finding a balance between these two objectives is important in order to achieve a desired sound quality. These measures are introduced as the objectives here. The design can then be obtained via a bi-objective integer programming problem, where the coefficients of the filters are expressed as sums of signed powers-of-two terms. We study two different integer spaces and penalty functions for solving the problem. Then, an algorithm based on a discrete filled function is developed for finding the optimal design. In order to illustrate the effectiveness of the algorithm, real data is used and two broadband beamformers are demonstrated.
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2012
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 07-2002
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 08-2014
Publisher: IEEE
Date: 12-2012
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 2023
Publisher: IEEE
Date: 05-2009
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 11-2003
Publisher: Springer Science and Business Media LLC
Date: 15-03-2014
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 08-2014
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 11-2012
Publisher: Elsevier BV
Date: 2017
Publisher: Association for Computing Machinery (ACM)
Date: 25-10-2016
DOI: 10.1145/2968449
Abstract: Acoustic source localization has many important applications. Convex relaxation provides a viable approach of obtaining good estimates very efficiently. There are two popular convex relaxation methods using either semi-definite programming (SDP) or second-order cone programming (SOCP). However, the performances of the methods have not been studied properly in the literature and there is no comparison in terms of accuracy and performance. The aims of this article are twofold. First of all, we study and compare several convex relaxation methods. We demonstrate, by numerical ex les, that most of the convex relaxation methods cannot localize the source exactly, even in the performance limit when the time difference of arrival (TDOA) information is exact. In addressing this problem, we propose a novel mixed SDP-SOCP relaxation model and study the characteristics of the optimal solutions and its localizable region. Furthermore, an error correction scheme for the proposed SDP-SOCP model is developed so that exact localization can be achieved in the performance limit. Experimental data have been collected in a room with two different array configurations to demonstrate our proposed approach.
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 08-2011
Publisher: Elsevier BV
Date: 2014
Publisher: Springer Science and Business Media LLC
Date: 06-11-2008
Publisher: Elsevier BV
Date: 10-2013
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 04-2014
Publisher: Institute of Electrical and Electronics Engineers (IEEE)
Date: 08-2019
Publisher: Elsevier BV
Date: 07-2006
Publisher: American Institute of Mathematical Sciences (AIMS)
Date: 2009
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
Location: United Kingdom of Great Britain and Northern Ireland
No related grants have been discovered for K.F.C. Yiu.