近红外光谱技术(near infrared spectroscopy,NIRS)结合波段筛选方法及建模算法可以实现中药生产过程分析的快速、无损检测。该文针对银参通络胶囊关键工艺银杏叶大孔树脂纯化过程,实现对洗脱液中槲皮素、山柰酚和异鼠李素3种成分含量...近红外光谱技术(near infrared spectroscopy,NIRS)结合波段筛选方法及建模算法可以实现中药生产过程分析的快速、无损检测。该文针对银参通络胶囊关键工艺银杏叶大孔树脂纯化过程,实现对洗脱液中槲皮素、山柰酚和异鼠李素3种成分含量的快速测定。通过马氏距离算法剔除异常光谱,联合X-Y距离样本集划分(sample set partitioning based on joint X-Y distances,SPXY)方法划分数据集,基于协同区间偏最小二乘法(synergy interval partial least squares,siPLS)筛选的关键信息波段,在此基础上实施竞争自适应加权重采样方法(competitive adaptive reweighted sampling,CARS)、连续投影算法(successive projections algorithm,SPA)和蒙特卡洛无信息变量消除法(Monte Carlo uninformation variable elimination,MC-UVE)筛选波长以得到更少但更关键的变量数据,将其作为输入变量建立遗传算法优化的极限学习机(genetic algorithm joint extreme learning machine,GA-ELM)定量分析模型,并将模型性能与偏最小二乘回归(partial least squares regression,PLSR)方法建立的模型进行比较,结果表明siPLS-CARS-GA-ELM算法联用可实现以最少变量数达到最优的模型性能。槲皮素、山柰酚、异鼠李素的校正集相关系数Rc和验证集相关系数Rp均达到0.98以上,校正集误差均方根(root mean square error of calibration,RMSEC)、验证集误差均方根(root mean square error of prediction,RMSEP)和验证集相对偏差(relative standard errors of prediction,RSEP)分别为0.0300,0.0292,8.88%;0.0414,0.0348,8.46%;0.0293,0.0271,10.10%,相较于传统PLSR方法,所建立GA-ELM模型性能有较大提升,证明NIRS结合GA-ELM方法实现中药有效成分快速测定具有很大潜力。展开更多
The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of Ame...The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of American option pricing model when the underlying asset follows the GARCH diffusion. The parameters of the GARCH diffusion model are estimated by the efficient importance sampling-based maximum likelihood （EIS-ML） method. Then the least-squares Monte Carlo （LSMC） method is introduced to price American options. Empirical pricing results on American put options in Hong Kong stock market shows that the GARCH diffusion model outperforms the classical constant volatility （CV） model significantly.展开更多
Simulation based structural reliability analysis suffers from a heavy computational burden, as each sample needs to be evaluated on the performance function, where structural analysis is performed. To alleviate the co...Simulation based structural reliability analysis suffers from a heavy computational burden, as each sample needs to be evaluated on the performance function, where structural analysis is performed. To alleviate the computational burden, related research focuses mainly on reduction of samples and application of surrogate model, which substitutes the performance function. However,the reduction of samples is achieved commonly at the expense of loss of robustness, and the construction of surrogate model is computationally expensive. In view of this, this paper presents a robust and efficient method in the same direction. The present method uses radial-based importance sampling (RBIS) to reduce samples without loss of robustness. Importantly, Kriging is fully used to efficiently implement RBIS. It not only serves as a surrogate to classify samples as we all know, but also guides the procedure to determine the optimal radius, with which RBIS would reduce samples to the highest degree. When used as a surrogate, Kriging is established through active learning, where the previously evaluated points to determine the optimal radius are reused. The robustness and efficiency of the present method are validated by five representative examples, where the present method is compared mainly with two fundamental reliability methods based on active learning Kriging.展开更多
基金Projects(52074085,U21A20117,U21A20475)supported by the National Natural Science Foundation of ChinaProject(N2004010)supported by the Fundamental Research Funds for the Central Universities,China。
文摘近红外光谱技术(near infrared spectroscopy,NIRS)结合波段筛选方法及建模算法可以实现中药生产过程分析的快速、无损检测。该文针对银参通络胶囊关键工艺银杏叶大孔树脂纯化过程,实现对洗脱液中槲皮素、山柰酚和异鼠李素3种成分含量的快速测定。通过马氏距离算法剔除异常光谱,联合X-Y距离样本集划分(sample set partitioning based on joint X-Y distances,SPXY)方法划分数据集,基于协同区间偏最小二乘法(synergy interval partial least squares,siPLS)筛选的关键信息波段,在此基础上实施竞争自适应加权重采样方法(competitive adaptive reweighted sampling,CARS)、连续投影算法(successive projections algorithm,SPA)和蒙特卡洛无信息变量消除法(Monte Carlo uninformation variable elimination,MC-UVE)筛选波长以得到更少但更关键的变量数据,将其作为输入变量建立遗传算法优化的极限学习机(genetic algorithm joint extreme learning machine,GA-ELM)定量分析模型,并将模型性能与偏最小二乘回归(partial least squares regression,PLSR)方法建立的模型进行比较,结果表明siPLS-CARS-GA-ELM算法联用可实现以最少变量数达到最优的模型性能。槲皮素、山柰酚、异鼠李素的校正集相关系数Rc和验证集相关系数Rp均达到0.98以上,校正集误差均方根(root mean square error of calibration,RMSEC)、验证集误差均方根(root mean square error of prediction,RMSEP)和验证集相对偏差(relative standard errors of prediction,RSEP)分别为0.0300,0.0292,8.88%;0.0414,0.0348,8.46%;0.0293,0.0271,10.10%,相较于传统PLSR方法,所建立GA-ELM模型性能有较大提升,证明NIRS结合GA-ELM方法实现中药有效成分快速测定具有很大潜力。
基金supported by the National Natural Science Foundations of China under Grant No.71201013the National Science Fund for Distinguished Young Scholars of China under Grant No.70825006+1 种基金the Program for Changjiang Scholars and Innovative Research Team in University under Grant No.IRT0916the National Natural Science Innovation Research Group of China under Grant No.71221001
文摘The GARCH diffusion model has received much attention in recent years, as it describes financial time series better when compared to many other models. In this paper, the authors study the empirical performance of American option pricing model when the underlying asset follows the GARCH diffusion. The parameters of the GARCH diffusion model are estimated by the efficient importance sampling-based maximum likelihood （EIS-ML） method. Then the least-squares Monte Carlo （LSMC） method is introduced to price American options. Empirical pricing results on American put options in Hong Kong stock market shows that the GARCH diffusion model outperforms the classical constant volatility （CV） model significantly.
基金supported by the National Natural Science Foundation of China (Grant No. 11421091)the Fundamental Research Funds for the Central Universities (Grant No. HIT.MKSTISP.2016 09)
文摘Simulation based structural reliability analysis suffers from a heavy computational burden, as each sample needs to be evaluated on the performance function, where structural analysis is performed. To alleviate the computational burden, related research focuses mainly on reduction of samples and application of surrogate model, which substitutes the performance function. However,the reduction of samples is achieved commonly at the expense of loss of robustness, and the construction of surrogate model is computationally expensive. In view of this, this paper presents a robust and efficient method in the same direction. The present method uses radial-based importance sampling (RBIS) to reduce samples without loss of robustness. Importantly, Kriging is fully used to efficiently implement RBIS. It not only serves as a surrogate to classify samples as we all know, but also guides the procedure to determine the optimal radius, with which RBIS would reduce samples to the highest degree. When used as a surrogate, Kriging is established through active learning, where the previously evaluated points to determine the optimal radius are reused. The robustness and efficiency of the present method are validated by five representative examples, where the present method is compared mainly with two fundamental reliability methods based on active learning Kriging.
