9 results
Search Results
2. The Triads Geometric Consistency Index in AHP-Pairwise Comparison Matrices.
- Author
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Aguarón, Juan, Escobar, María Teresa, Moreno-Jiménez, José María, and Turón, Alberto
- Subjects
ANALYTIC hierarchy process ,GROUP decision making ,MATRICES (Mathematics) ,COMPUTATIONAL complexity ,DEVIATION (Statistics) - Abstract
The paper presents the Triads Geometric Consistency Index ( T - G C I ), a measure for evaluating the inconsistency of the pairwise comparison matrices employed in the Analytic Hierarchy Process (AHP). Based on the Saaty's definition of consistency for AHP, the new measure works directly with triads of the initial judgements, without having to previously calculate the priority vector, and therefore is valid for any prioritisation procedure used in AHP. The T - G C I is an intuitive indicator defined as the average of the log quadratic deviations from the unit of the intensities of all the cycles of length three. Its value coincides with that of the Geometric Consistency Index ( G C I ) and this allows the utilisation of the inconsistency thresholds as well as the properties of the G C I when using the T - G C I . In addition, the decision tools developed for the G C I can be used when working with triads ( T - G C I ), especially the procedure for improving the inconsistency and the consistency stability intervals of the judgements used in group decision making. The paper further includes a study of the computational complexity of both measures ( T - G C I and G C I ) which allows selecting the most appropriate expression, depending on the size of the matrix. Finally, it is proved that the generalisation of the proposed measure to cycles of any length coincides with the T - G C I . It is not therefore necessary to consider cycles of length greater than three, as they are more complex to obtain and the calculation of their associated measure is more difficult. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
3. Order Book Dynamics with Liquidity Fluctuations: Asymptotic Analysis of Highly Competitive Regime.
- Author
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Rojas, Helder, Logachov, Artem, and Yambartsev, Anatoly
- Subjects
LARGE deviation theory ,LAW of large numbers ,CENTRAL limit theorem ,LIMIT theorems ,MATHEMATICAL analysis ,LIQUIDITY (Economics) ,MARKOV processes ,DEMAND function ,DEVIATION (Statistics) - Abstract
We introduce a class of Markov models to describe the bid–ask price dynamics in the presence of liquidity fluctuations. In a highly competitive regime, the spread evolution belongs to a class of Markov processes known as a population process with uniform catastrophes. Our mathematical analysis focuses on establishing the law of large numbers, the central limit theorem, and large deviations for this catastrophe-based model. Large deviation theory allows us to illustrate how huge deviations in the spread and prices can occur in the model. Moreover, our research highlights how these local trends and volatility are influenced by the typical values of the bid–ask spread. We calibrated the model parameters using available high-frequency data and conducted Monte Carlo numerical simulations to demonstrate its ability to reasonably replicate key phenomena in the presence of liquidity fluctuations. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
4. Non-Cash Risk Measure on Nonconvex Sets.
- Author
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Cong, Chang and Zhao, Peibiao
- Subjects
NONCONVEX programming ,MONETARY policy ,FINANCIAL risk management ,DEVIATION (Statistics) ,MATHEMATICAL symmetry - Abstract
Monetary risk measures defined on a convex set are interpreted as the smallest amount of external cash that must be added to a portfolio to make the portfolio being acceptable. In the present paper, the authors introduce a new concept: non-cash risk measure, which does as a nonconvex risk measure work in a nonconvex set. In addition, the authors arrive at a convex extension of the non-cash risk measure, and offer the relationship between the non-cash risk measure and its extension. [ABSTRACT FROM AUTHOR]
- Published
- 2018
- Full Text
- View/download PDF
5. Robust State Estimation for T–S Fuzzy Markov Jump Systems.
- Author
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Zhang, Zhenglei, Wang, Jirong, Gao, Junwei, and Liu, Huabo
- Subjects
MARKOVIAN jump linear systems ,NONLINEAR systems ,LINEAR systems ,UNCERTAIN systems ,DEVIATION (Statistics) - Abstract
The problem of robust state estimation for a class of uncertain nonlinear systems with Markov jump is investigated. The uncertain nonlinear system under consideration is represented by the Takagi–Sugeno (T–S) fuzzy model because it is difficult to describe. Firstly, different from the traditional T–S fuzzy modeling method, the deviation of the linear system approaching a nonlinear system is considered, which is represented as a model error in system modeling. Secondly, through a robust state estimation method based on the sensitivity penalty, we develop a robust state estimator for linear subsystems, and the fuzzy robust state estimator is obtained by fuzzy rules. Thirdly, the stability and boundedness of the fuzzy robust state estimator are proved under the assumption conditions to ensure the reliability of the obtained estimator. Finally, some numerical examples are given to verify the effectiveness of the fuzzy robust state estimator. [ABSTRACT FROM AUTHOR]
- Published
- 2023
- Full Text
- View/download PDF
6. The General Least Square Deviation OWA Operator Problem.
- Author
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Hong, Dug Hun and Han, Sangheon
- Subjects
LEAST squares ,CONSTRAINED optimization ,FUZZY sets ,CONVEX functions ,INDUSTRIAL engineering ,DEVIATION (Statistics) ,FUZZY arithmetic - Abstract
A crucial issue in applying the ordered weighted averaging (OWA) operator for decision making is the determination of the associated weights. This paper proposes a general least convex deviation model for OWA operators which attempts to obtain the desired OWA weight vector under a given orness level to minimize the least convex deviation after monotone convex function transformation of absolute deviation. The model includes the least square deviation (LSD) OWA operators model suggested by Wang, Luo and Liu in Computers & Industrial Engineering, 2007, as a special class. We completely prove this constrained optimization problem analytically. Using this result, we also give solution of LSD model suggested by Wang, Luo and Liu as a function of n and α completely. We reconsider two numerical examples that Wang, Luo and Liu, 2007 and Sang and Liu, Fuzzy Sets and Systems, 2014, showed and consider another different type of the model to illustrate our results. [ABSTRACT FROM AUTHOR]
- Published
- 2019
- Full Text
- View/download PDF
7. Rates of Convergence in Laplace's Integrals and Sums and Conditional Central Limit Theorems.
- Author
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Kolokoltsov, Vassili N.
- Subjects
LAW of large numbers ,CENTRAL limit theorem ,LIMIT theorems ,DEVIATION (Statistics) ,INTEGRALS ,LARGE deviations (Mathematics) - Abstract
We obtained the exact estimates for the error terms in Laplace's integrals and sums implying the corresponding estimates for the related laws of large number and central limit theorems including the large deviations approximation. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
8. Comparing Groups of Decision-Making Units in Efficiency Based on Semiparametric Regression.
- Author
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Noh, Hohsuk and Yang, Seong J.
- Subjects
GROUP decision making ,AGE groups ,STOCHASTIC models ,DATA envelopment analysis ,DEVIATION (Statistics) - Abstract
We consider a stochastic frontier model in which a deviation of output from the production frontier consists of two components, a one-sided technical inefficiency and a two-sided random noise. In such a situation, we develop a semiparametric regression-based test and compare the technical efficiencies of the different decision-making unit groups, assuming that the production frontier function is the same for all the groups. Our test performs better than the previously proposed ones for the same purpose in numerical studies, and also has the theoretical advantage of working under more general assumptions. To illustrate our method, we apply the proposed test to Program for International Student Assessment (PISA) 2015 data and investigate whether an efficiency difference exists between male and female student groups at a specific age in terms of learning time and achievement in mathematics. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
9. Optimization of the 2 ½ D Processing Method of Complex Parts, through a Predictive Algorithm for Controlling the Geometric Shape Deviations Resulting from Processing.
- Author
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Rece, Laurentiu, Florescu, Virgil, Modrea, Arina, Jeflea, Victor, Harničárová, Marta, Valíček, Jan, and Borzan, Marian
- Subjects
GEOMETRIC shapes ,GEOMETRIC surfaces ,NUMERICAL control of machine tools ,ALGORITHMS ,AEROSPACE planes ,DEVIATION (Statistics) ,NONLINEAR statistical models - Abstract
This article intends to define a new methodology that allows the processing of complex surfaces in space through processing cycles, in parallel superposed planes—the variant known as generic processing in 2 ½ D—but with predictable control over the deviation from the geometric form of the surface to be processed. The novel methodology consists of identifying the optimal distances between the working planes and the corresponding successive positions so that the deviations from the resulting geometric form fall within the prescribed limits. It is also envisaged that the method will provide facilities in terms of the possibilities for evaluation of deviations from the given form of the surface, and keeping them under control by the stage of elaboration of the numerical control programs. The new optimization is designed to determine the maximum distances between successive processing planes and their position in space, depending on the spatial shape of the surface to be processed. Thus, the aim is to obtain a small number of processing planes with a favorable effect on productivity, but under conditions that respect the tolerances of the surface or the profile, a restriction that otherwise has a negative effect on the same process. [ABSTRACT FROM AUTHOR]
- Published
- 2020
- Full Text
- View/download PDF
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