Informatica

The optimal financial investment (Portfolio) problem was investigated by leading financial organizations and scientists. Nobel prizes were awarded for the Modern Portfolio Theory (MPT) and further developments. The aim of these works was to define the optimal diversification of the assets depending on the acceptable risk level.

The paper deals with the problem of high-school time-tabling that is important in applications, but hard for solving. The algorithm is presented for timetabling based on Multi-start and Simulated Annealing with parameters adapted using the Bayes approach. The algorithm proposed is compared with other timetabling algorithms using the web-based software. A multi-start algorithm is a simple way to provide the convergence, if the number of uniformly distributed starting points is large. A disadvantage is slow convergence.

A simple Stock Exchange Game Model (SEGM) was introduced in Mockus (2003), to simulate the behavior of several stockholders using fixed buying-selling margins at fixed bank yield.

A well-known example of global optimization that provides solutions within fixed error limits is optimization of functions with a known Lipschitz constant. In many real-life problems this constant is unknown.

The objective of this paper is the description, justification, and web-based implementation of polynomial time algorithms for equilibrium search of Quadratic Bimatrix Games (QBG). An algorithm is proposed combining exact and heuristic parts. The exact part has the Irelevant Fraud (IF) component for cases when an equilibrium exists with no pure strategies. The Direct Search (DS) component finds a solution if an equilibrium exists in pure strategies. The heuristic Quadratic Strategy Elimination (QSE) part applies IF and DS to reduced matrices obtained by sequential elimination of strategies that lead to non-positive IF solutions. Finally, penalties needed to prevent unauthorized deals are calculated based on Nash axioms of two-person bargaining theory. In the numeric experiments QSE provided correct solution in all examples. The novel results include necessary and sufficient conditions when the QBG problem is solved by IF algorithm, the development of software and the experimental testing of large scale QBG problems up to n=800. The web-site http://pilis.if.ktu.lt/~jmockus includes this and accompanying optimization models.

The aim is to investigate two emerging information technologies in graduate studies and scientific cooperation. Internet is the first technology. The open source is the second. They help each other in many ways. The joint influence of both is regarded in this paper.

The objective is to investigate two emerging information technologies in graduate studies and scientific cooperation. Internet is the first technology. The open source is the second. They help each other in many ways. We investigate the joint influence of both.

Walras theory is well known and widely used in models of market economy. Various iterative methods are developed to search for the equilibrium conditions.

Real life scheduling problems are solved by heuristics with parameters defined by experts, as usual. In this paper a new approach is proposed where the parameters of various heuristics and their random mixtures are optimized to reduce the average deviations from the global optimum.

In this paper two popular time series prediction methods – the Auto Regression Moving Average (ARMA) and the multilayer perceptron (MLP) – are compared while forecasting seven real world economical time series. It is shown that the prediction accuracy of both methods is poor in ill-structured problems. In the well-structured cases, when prediction accuracy is high, the MLP predicts better providing lower mean prediction error.