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Full-Text Articles in Mathematics
Mixture Sutoregressive Models For Thai Stock Market Data, Apicha Suthichayapipat
Mixture Sutoregressive Models For Thai Stock Market Data, Apicha Suthichayapipat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The autoregressive (AR) model is one of the most widely used time series forecasting models. The standard AR model was established using the normal distribution, which is violated in some datasets, notably financial data. Therefore, alternative distributions are proposed in the literature, such as the concept of mixture distributions. This concept is also applied to time series modeling in the family of mixture autoregressive models that combine different autoregressive components. Specifically, we consider both the univariate mixture autoregressive model and the multivariate mixture autoregressive model based on the normal and t distributions. In this study, we construct the EM algorithm …
Dynamic Nearest Neighbor Classifier Using Mass-Ratio-Variance Outlier Factors For Class Imbalance Problem, Patcharasiri Fuangfoo
Dynamic Nearest Neighbor Classifier Using Mass-Ratio-Variance Outlier Factors For Class Imbalance Problem, Patcharasiri Fuangfoo
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of classifcation is to assign a class to a given data instance. One well-recognized classifer is the k-NN model, where the class of an instance is determined by considering the majority class among its k nearest neighbors. However, k-NN’s performance weakens in imbalanced datasets. To address this, adjusting k for each instance based on factors like its position relative to clusters or isolation, and integrating density-based scores from a parameterfree Mass-ratio-variance Outlier Factor (MOF) into the k-NN process, helps determine suitable nearest neighbors. Our research focuses on the development of a dynamic nearest neighbor classifer tailored specifcally to …
Analytical Formula For Conditional Moments Of Extended Heston-Cev Hybrid Model With Time-Dependent Parameters, Promsiri Anunak
Analytical Formula For Conditional Moments Of Extended Heston-Cev Hybrid Model With Time-Dependent Parameters, Promsiri Anunak
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis proposes an analytical formula for the conditional moments of the extended Heston-CEV hybrid model, which is the combination of the Heston model and the March-Rosenfeld process, also known as the constant elasticity of variance (CEV) process, to model the price dynamics of the underlying asset. The formula is derived by solving a partial differential equation (PDE) that characterizes a two-dimensional process. This Monte Carlo simulation results to ensure its accuracy. Department formula is practical and more comprehensive than the existing results in the literature. The thesis also includes numerical validations by verifying the analytical formula against
Eigenvalues Of Unitary Cayley Graph Of Matrix Algebras And Its Subconstituents, Jitsupat Rattanakangwanwong
Eigenvalues Of Unitary Cayley Graph Of Matrix Algebras And Its Subconstituents, Jitsupat Rattanakangwanwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Beyond Quenching Profile For Singular Semilinear Parabolic Partial Differential Equations With Mixed Boundary Conditions, Benjamin Thaitavorn
Beyond Quenching Profile For Singular Semilinear Parabolic Partial Differential Equations With Mixed Boundary Conditions, Benjamin Thaitavorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Identifying The Most Distinctive Characteristics Of A Good Solution For Non-Euclidean Cvrp Using Statistical Learning Model, Piyabut Inbunsong
Identifying The Most Distinctive Characteristics Of A Good Solution For Non-Euclidean Cvrp Using Statistical Learning Model, Piyabut Inbunsong
Chulalongkorn University Theses and Dissertations (Chula ETD)
A capacitated vehicle routing problem (CVRP) is a well-known NP-hard combinatorial optimization. Therefore, heuristics are the common methods used to search for a good solution. The algorithms will perform better if characteristics of good solutions of the problem are known. There was a research study in the characteristics of Euclidean CVRP solutions and the knowledge was later applied in a metaheuristic. That study becomes our motivation to study the characteristics of non-Euclidean CVRP solutions. To that end, we considered the solutions of non-Euclidean CVRP in the new Euclidean space with the same or higher dimensions using multi-dimensional scaling in which …
Threshold Numbers Of Some Complete Multipartite Graphs And Their Complements, Thanaporn Sumalroj
Threshold Numbers Of Some Complete Multipartite Graphs And Their Complements, Thanaporn Sumalroj
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Cardinality Of The Permutations On A Set With N Non-Fixed Points, Jukkrid Nuntasri
The Cardinality Of The Permutations On A Set With N Non-Fixed Points, Jukkrid Nuntasri
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this thesis, we study relationships between |Sn(A)| and |seqn1-1(A)| as well as |seqn(A)| for infinite sets A, where Sn(A) is the set of permutations of A with n non-fixed points and seqn(A) and seqn1-1(A) are the set of sequences and the set of one-to-one sequences of elements of A with length n, respectively, where n is a natural number greater than 1. With the Axiom of Choice (AC), |Sn(A)|, |seqn1-1(A)|, and |seqn(A)| are equal for all infinite sets A. Among our results, we show, in the Zermelo-Fraenkel set theory (ZF), that |Sn(A)|<=|seqn1-1(A)| for any infinite set A under some weak form of AC and the assumption cannot be removed. In the other direction, we show that |seqn1-1(A)|<=|Sn+1(A)| for any infinite set A and the subscript n+1 cannot be reduced to n. Moreover, we also show that "|Sn(A)|<=|Sn+1(A)| for any infinite set A" is not provable in ZF.
Options Portfolio Optimization And Hedging Of Exotic Options Written On Mini S&P 500 Index In An Illiquid Market With Conditional Value At Risk (Cvar), Benyanee Kosapong
Options Portfolio Optimization And Hedging Of Exotic Options Written On Mini S&P 500 Index In An Illiquid Market With Conditional Value At Risk (Cvar), Benyanee Kosapong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the derivatives for portfolio optimization. Risk measures such as Mean Variance (MV), Value-at-Risk (VaR), and Conditional Value-at-Risk (CVaR) are minimized. However, we focus primarily on CVaR because it is a coherent and convex risk measure. We adopt the method of Rockafellar and Uryasev (Journal of Risk 2, 3 (2000)), which minimizes CVaR for shares and convert this method to use with options written on the S&P500 Mini Index. The distribution is known and the index values are simulated by using the VG distribution, over CVaR constraints. In particular, the approach can be used for minimizing the CVaR …
Mass Ratio Variance Majority Cleansing And Minority Oversampling Technique For Class Imbalanced, Piboon Polvimoltham
Mass Ratio Variance Majority Cleansing And Minority Oversampling Technique For Class Imbalanced, Piboon Polvimoltham
Chulalongkorn University Theses and Dissertations (Chula ETD)
A sampling method is one of the basic methods to deal with an imbalance problem appearing in machine learning. A dataset having an imbalance problem has a noticeably skewed distribution among different classes. There are three types of sampling techniques to solve this problem by balancing class distributions, undersampling technique, over-sampling technique, and combined sampling technique. In this research, the mass ratio variance scores of each data point of the same class are computed and used to remove noise from a majority class and synthesise instances from a minority class. The results of this proposed sampling technique improve recall over …
Finite Integration Method Using Chebyshev Expansion For Solving Heat Equation With Non-Local Boundary Conditions, Thanakorn Prasansri
Finite Integration Method Using Chebyshev Expansion For Solving Heat Equation With Non-Local Boundary Conditions, Thanakorn Prasansri
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Numerical Algorithm For Heat Equation With Moving Boundary Using Finite Integration Method With Chebyshev Polynomial Expansion, Warunya Wong-U-Ra
Numerical Algorithm For Heat Equation With Moving Boundary Using Finite Integration Method With Chebyshev Polynomial Expansion, Warunya Wong-U-Ra
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Numerical Solutions For One– And Two–Dimensional Shallow Water Equations Based On Finite Integration Method With Chebyshev Expansion, Lalita Apisornpanich
Numerical Solutions For One– And Two–Dimensional Shallow Water Equations Based On Finite Integration Method With Chebyshev Expansion, Lalita Apisornpanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Numerical Approximation To Ruin Probability Of Generalization Of Classical Risk Model, Kittiwat Woragate
Numerical Approximation To Ruin Probability Of Generalization Of Classical Risk Model, Kittiwat Woragate
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Stochastic Control Model With Carrying Capacity Of Population Management Policy For Squirrels In Durian Orchards, Sasiwimol Auepong
Stochastic Control Model With Carrying Capacity Of Population Management Policy For Squirrels In Durian Orchards, Sasiwimol Auepong
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this thesis, the problem that squirrels ruin durian, which is an economic important fruit in Thailand, is considered. We seek for a strategy on squirrel elimination under the consideration that squirrels are not alien species in Thailand and also orchard ecosystem. The problem is solved through a stochastic control model. The population dynamics of squirrels is constructed as a controlled stochastic differential equation with carrying capacity, since we consider the squirrel population in a confined orchard. A performance index indicating the total benefit of a given squirrel elimination strategy is provided. The index comprises the countermeasure cost, resources loss, …
Random Forest Of Mixed Decision Trees And Minority Condensation Decision Trees For Class Imbalanced Problem, Suvaporn Homjandee
Random Forest Of Mixed Decision Trees And Minority Condensation Decision Trees For Class Imbalanced Problem, Suvaporn Homjandee
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
3d Building Internal Structural Component Segmentation From Point Cloud Data Using Dbscan And Modified Ransac With Normal Deviation Conditions, Thanapon Doougphummet
3d Building Internal Structural Component Segmentation From Point Cloud Data Using Dbscan And Modified Ransac With Normal Deviation Conditions, Thanapon Doougphummet
Chulalongkorn University Theses and Dissertations (Chula ETD)
Nowadays, the laser scanner plays an important role as a tool to capture building structure in a form of point cloud which can be used to draw a blueprint or a floor plan for reconstruction or renovation of an existing building. The point cloud data represent a shape or an object in three dimensions. This point cloud together with the utilization of Building Information Modeling (BIM) which is a workflow that provides information about the foundation and structure measurement of a building, make a planning and design to construction more convenient and efficient in several aspects than the traditional way. …
Connected Size Ramsey Numbers Of Matching And Some Graphs, Jirawat Mungtumklang
Connected Size Ramsey Numbers Of Matching And Some Graphs, Jirawat Mungtumklang
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Random Forest Algorithm Using Quartile-Patternbootstrapping For Class Imbalanced Problem, Worawit Jitpakdeebodin
Random Forest Algorithm Using Quartile-Patternbootstrapping For Class Imbalanced Problem, Worawit Jitpakdeebodin
Chulalongkorn University Theses and Dissertations (Chula ETD)
Nowadays, classification in machine learning serves as a valuable tool for extracting and analyzing real-world datasets. However, an important issue in classification is the problem of class imbalance, which significantly impacts the performance of classifiers. In 2019, a novel approach for a decision tree induction was introduced to address This problem—the Minority Condensation Entropy (MCE) measure that can effectively handle imbalanced datasets. Subsequently, in 2021, a new outlier factor called the Mass ratio - variance Outlier Factor (MOF) was presented that can rank instances based on the dataset density. This thesis proposes a random forest algorithm using quartile-pattern Bootstrapping that …
Valuation Of American Commodity Options, Piyapoom Nonsoong
Valuation Of American Commodity Options, Piyapoom Nonsoong
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this dissertation, we present analytical option pricing formulas for European and American options in which the price dynamics of a risky asset follows a meanreverting process with time-dependent parameter. The process can be adapted to describe both nonseasonal and seasonal variation in price, especially, in commodity markets such as agricultural commodities. The formulas are derived based on the solutions of partial differential equations showing that the values of both European and American options can be decomposed into two parts: the payoff of the option at initial time and the time-integral over the lifetime of the option, which is driven …
Hamiltonian Decompositions Of Hypergraphs, Chutima Saengchampa
Hamiltonian Decompositions Of Hypergraphs, Chutima Saengchampa
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this dissertation, we first discuss four versions of Hamiltonicity in hypergraphs. We mainly study the existence problem of Hamiltonian decompositions of uniform hypergraphs based on two versions of Hamiltonian cycles, so called ``KK-definition" and ``WJ-definition". For KK-definition, we create a recursive construction of KK-Hamiltonian decomposition of complete 3-uniform hypergraphs. Our construction method uses a KK-Hamiltonian decomposition of the complete 3-uniform hypergraph, Kt(3), and some well-known graph decompositions to obtain a KK-Hamiltonian decomposition of the complete t-partite 3-uniform hypergraph, Kt(n)(3), when t=4,8 (mod12), n>=2, as well as a KK-Hamiltonian decomposition of K2t(3). Therefore, together with the current results in …
Integer-Valued Polynomials Over Discrete Valuation Domains, Rattiya Meesa
Integer-Valued Polynomials Over Discrete Valuation Domains, Rattiya Meesa
Chulalongkorn University Theses and Dissertations (Chula ETD)
The classical theorem of Lucas states that binomial polynomials, which form a basis for integer-valud polynomials, satisfy a congruence relation, modulo a prime, related to their digits in the base prime representation. In this thesis, we define the Lucas property in the setting of discrete-valued structures and investigate when and where the Lucas property holds. General criteria are derived for bases of integervalued polynomials in this setting to satisfy the Lucas property. Examples of bases including those of Lagrange type and of Carlitz-like polynomials are worked out. In addition, one of the best known properties of binomial polynomials in the …
Enhanced Heterogeneous Network Model With Ensemble Similarities For Identifying Protein Targets Of Drugs, Piyanut Tangmanussukum
Enhanced Heterogeneous Network Model With Ensemble Similarities For Identifying Protein Targets Of Drugs, Piyanut Tangmanussukum
Chulalongkorn University Theses and Dissertations (Chula ETD)
Currently, computational identification of drug target proteins is widely used to help saving cost and time for drug discovery and development. One of the most efficient approaches is a prediction of drug-target interactions based on similarity scores between drugs and target proteins. Despite various data about drugs and targets extensively available, only chemical structures and protein sequences are mostly used to compute drug-drug and target-target similarity scores, respectively. In this thesis, the Forward similarity integration (FSI) Framework is proposed for systematically integrating multiple similarity measures to construct a heterogeneous network propagation model with a suitable similarity integration. Seven drug-similarity measures, …
Global Analysis Of A Discrete Sirs Epidemic Model With Nonlinear Incidence Rate, Butsayapat Chaihao
Global Analysis Of A Discrete Sirs Epidemic Model With Nonlinear Incidence Rate, Butsayapat Chaihao
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this thesis, we prove some behaviors of a discrete SIRS epidemic model with a nonlinear incidence rate and a distributed time-delay. This model is constructed from the discretization of the corresponding continuous model by using a nonstandard finite difference method. The basic properties including the positivity and the boundedness of the solutions are established. We derive the existence of the disease-free equilibrium and the endemic equilibrium of the model. In addition, by applying Lyapunov function techniques, we prove that the disease-free equilibrium is globally attractive. Moreover, we give a sufficient condition for the permanence of the model. In order …
Local Limit Theorems For Sums Of Independent Integer-Valued Lattice Random Variables, Punyapat Kammoo
Local Limit Theorems For Sums Of Independent Integer-Valued Lattice Random Variables, Punyapat Kammoo
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Some Properties Of Extending Hypermodules, C11-Hypermodules And T-Extending Hyperrings, Chokchai Wongyai
Some Properties Of Extending Hypermodules, C11-Hypermodules And T-Extending Hyperrings, Chokchai Wongyai
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this research, extending hypermodules, C11-hypermodules and t-extending hyperrings are defined and studied. We characterize extending hypermodules, C11-hypermodules and t-extending hyperrings in many ways under some conditions of hypermodules and hyperrings. Moreover, some properties concerning subhypermodules of extending hypermodules and C11-hypermodules are investigated. Especially, we study C11-hypermodules in the case that they can be decomposed as a direct sum of two subhypermodules.
Scheduling Of Pressing Process In Multi-Layer Printed Circuit Board Manufacturing Via Milp And Heuristic, Teeradech Laisupannawong
Scheduling Of Pressing Process In Multi-Layer Printed Circuit Board Manufacturing Via Milp And Heuristic, Teeradech Laisupannawong
Chulalongkorn University Theses and Dissertations (Chula ETD)
The pressing process aims to press the panel which is the stack of materials to form a multi-layer printed circuit board (PCB). This process is a part of multi-layer PCB fabrication and can be considered as a scheduling problem with the objective of minimizing the makespan. In this dissertation, two mixed-integer linear programming models (Models 1 and 2) and a three-phase-PCB-pressing heuristic (3P-PCB-PH) algorithm for scheduling the pressing process are presented. Model 2 is an improvement of Model 1 in terms of the model size and the dimensionality of some decision variables. Both models and the 3P-PCB-PH algorithm are used …
Special Types Of Tolerance And Control Solutions To System Of Interval Linear Equations, Warintorn Pongsumrankul
Special Types Of Tolerance And Control Solutions To System Of Interval Linear Equations, Warintorn Pongsumrankul
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this thesis, we study a system of interval linear equations of the form Ax=b which includes an interval coefficient matrix and an interval right hand side vector. There are many types of solutions of this system which serve the different semantics in real-life situations such as tolerance and control solutions. We pay attention to the semantics that some boundaries of intervals are important. Moreover, we combine these semantics together with the semantics of tolerance and control solutions in order to present the new types of solutions to Ax=b, called special tolerance left, special tolerance right, special control left and …
Closed-Form Formulas For Conditional Moments Of Generalized Cox-Ingersoll-Ross Processes, Phiraphat Sutthimat
Closed-Form Formulas For Conditional Moments Of Generalized Cox-Ingersoll-Ross Processes, Phiraphat Sutthimat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Cox-Ingersoll-Ross (CIR) process, introduced in 1985, is a one factor model used to describe the evolution of interest rate and pricing the financial derivatives. It was later extended to have time-dependent parameters called the extended CIR (ECIR) process, which is more widely studied and used in a variety of applications. The generalized versions of CIR process are also studied and investigated for more applications in finance. However, most of these applications rely on the knowledge and properties of conditional expectations and moments, which most of them are not yet fully developed into closed form. In this work, we propose closed-form …
Algebraic Degree Of Spectra Of Cayley Hypergraphs, Naparat Sripaisan
Algebraic Degree Of Spectra Of Cayley Hypergraphs, Naparat Sripaisan
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.