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  • Articles  (6,616)
  • Institute of Physics  (5,906)
  • Blackwell Publishing Ltd  (710)
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  • 1990-1994  (6,605)
  • Mathematics  (6,194)
  • Computer Science  (422)
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  • Articles  (6,616)
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  • 1
    Electronic Resource
    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.
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  • 2
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 8 (1992), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: In this paper, I present an architecture for generating extended text. This architecture is implemented in a system, Salix, which incrementally generates natural language texts whose structure is derived from the domain structure of the subject matter. The architecture is composed of data-driven, domain-independent strategies for producing increments of text. The strategies include metastrategies that combine or choose among all strategies that are applicable at each increment or decide what to do if no strategy applies. Salix's capabilities are demonstrated in generating texts, in the domains of houses and families, that are comparable to descriptions elicited from human speakers. Salix has also been utilized to generate texts about text style (Germain 1991). The approach to text generation presented here is compared to others in the literature along the dimensions of local organization, coherence, focusing, and domain independence. An argument is made for the approach presented here that locally organizes and incrementally generates coherent text.
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  • 3
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 8 (1992), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: A story generation system based on dynamics of the mind is presented. Semantic theories until now avoided discussing a linkage of language with encyclopedic human knowledge. This paper attacks the problem of how to make clear the complicated, wide-ranging dynamics of the mind and how to connect it to language.First, the background of this study is shown, in which our model of the mind, with both five levels along the concept formation process and eight domains according to the contents of mental activities, is surveyed.Based on this model, then, the dynamics of mind are discussed, along an Aesop fable. A unit of data processing in the mind is called a “module,” and the mental dynamics are considered as a chain activation of those modules, represented by a dynamic network. Next, a method for story generation is discussed. Propositional information of a sentence is embedded in a slot of activated, frame-structured modules, and the discourse structure of a generated story basically depends on the dynamic network. Both the chain activation and the generation processes are verified by experiments.Lastly, residual problems of our research, a comparison with related research, and its applications are discussed.This case study would be expected to give a basis to integrated systems for problem solving, natural language and image understandings, their generations, and intelligent robots.
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  • 4
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 5
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 8 (1992), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Looking to the future, generators will have more knowledge of language and will have to deal with inputs that are very rich in information. As a result, several problems will become more acute, including selecting what to say at the subproposition level and dealing with interaction among goals and dependencies among choices. This paper explains how these problems arise and why they are hard to handle within traditional architectures for generation. It also discusses why these issues have not been well addressed, including the current lack of demanding applications, excessive emphasis on linguistic traditions, the use of reverse engineering to determine generator inputs, and the tendency to research only one issue at a time.
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  • 6
    Electronic Resource
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 7
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: The ability to reuse existing plans to solve new planning problems can enable a domain-independent planner to improve its average case efficiency by exploiting the problem distribution and avoiding repetition of planning effort. The pay-off from plan reuse, however, crucially depends on finding effective solutions to two important underlying control problems: (i) controlling the retrieval of an appropriate plan and mapping to be reused in a new situation, and (ii) controlling the modification (refitting) of the retrieved plan so as to minimize perturbation to the applicable parts of the plan. This paper is concerned with the development of efficient domain-independent solutions to these two problems. For the retrieval, it provides a domain independent similarity metric that utilizes the plan causal dependency structure to estimate the utility of reusing a given plan in a new problem situation. For the refitting, it presents a minimum-conflict heuristic, again based on the causal dependency structure of the plan, to conservatively control the modification. The paper also discusses the implementation and evaluation of these strategies within the PRIAR plan modification framework.
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  • 8
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 9
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 10
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 11
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Common sense sometimes predicts events to be likely or unlikely rather than merely possible. We extend methods of qualitative reasoning to predict the relative likelihoods of possible qualitative behaviors by viewing the dynamics of a system as a Markov chain over its transition graph. This involves adding qualitative or quantitative estimates of transition probabilities to each of the transitions and applying the standard theory of Markov chains to distinguish persistent states from transient states and to calculate recurrence times, settling times, and probabilities for ending up in each state. Much of the analysis depends solely on qualitative estimates of transition probabilities, which follow directly from theoretical considerations and which lead to qualitative predictions about entire classes of systems. Quantitative estimates for specific systems are derived empirically and lead to qualitative and quantitative conclusions, most of which are insensitive to small perturbations in the estimated transition probabilities. The algorithms are straightforward and efficient.
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  • 12
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: When Horn clause theories are combined with integrity constraints to produce potentially refutable theories, Seki and Takeuchi have shown how crucial literals can be used to discriminate two mutually incompatible theories. A literal is crucial with respect to two theories if only one of the two theories supports the derivation of that literal. In other words, actually determining the truth value of the crucial literal will refute one of the two incompatible theories.This paper presents an integration of the idea of crucial literal with Theorist, a logic-based system for hypothetical reasoning. Theorist is a goal-directed nonmonotonic reasoning system that classifies logical formulas as possible hypotheses, facts, and observations. As Theorist uses full clausal logic, it does not require Seki and Takeuchi's notion of integrity constraint to define refutable theories. In attempting to deduce observation sentences, Theorist identifies instances of possible hypotheses as nomological explanations: consistent sets of hypothesis instances required to deduce observations. As multiple and mutually incompatible explanations are possible, the notion of crucial literal provides the basis for proposing experiments that distinguish competing explanations.We attempt to make three contributions. First, we adapt Seki and Takeuchi's method for Theorist. To do so, we incrementally use crucial literals as experiments, whose results are used to reduce the total number of explanations generated for a given set of observations. Next, we specify an extension which incrementally constructs a table of all possible crucial literals for any pair of theories. This extension is more efficient and provides the user with greater opportunity to conduct experiments to eliminate falsifiable theories. A prototype is implemented in CProlog, and several examples of diagnosis are considered to show its empirical efficiency. Finally, we point out that assumption-based truth maintenance systems (ATMS), as used in the multiple fault diagnosis system of de Kleer and Williams, are interesting special cases of this more general method of distinguishing explanatory theories.
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  • 13
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: When trying to understand a speaker's argument, it is necessary to determine what her claim is and what evidence she provides for it. It is necessary, therefore, to be able to recognize evidence relations in terms of the speaker's beliefs. This paper describes an implementation of an evidence oracle, which tests for evidence between statements and builds a model of the speaker based on the evidence relations found. This implementation is intended to be an advance in the development of practical discourse analysis systems, proposing a basis for verifying certain relationships between utterances. Another contribution of the work is a stratified speaker model which allows for varying levels of acceptance of beliefs attributed to the speaker. Integration of the implemented evidence oracle into a full discourse analyser is presented, together with output illustrating the analysis for several sample arguments. Some extensions of this approach for plan inference are also discussed.Lorsque l'on essaie de comprendre l'argument d'un locuteur, il importe de déterminer la nature de sa prétention et le type d'évidence qui l'accompagne. Par conséquent, il est nécessaire de pouvoir distinguer des relations d'évidence les croyances du locuteur. Cet article décrit la mise en oeuvre d'un oracle qui recherche l'évidence entre des énoncés et construit un modèle du locuteur en fonction des relations d'évidence constatées. Cette mise en oeuvre propose une base pour vérifier certaines relations entre des énoncés; elle se veut une contribution au développement d'un système pratique d'analyse du discours. Une autre contribution de cette recherche est l'élaboration d'un modèle de locuteur stratifyé qui tient compte de niveaux variables d'acceptation des croyances attributeés au locuteur. l'intégration de l'oracle d'évidence sous forme d'analyseur de discours est présentée, ainsi que des illustrations de l' analyse de plusieurs arguments types. Une extension de cette approche à l'inférence de plans est également discutée.
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  • 14
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: The ability of a biological organism to visually track a perceptually significant feature in its environment has been argued to be an important feedback mechanism guiding locomotion. This paper analyzes the constraints available from the visual motion stimuli in the context of tracking. Our aim is to show that the act of tracking simplifies the decoding of egomotion parameters from motion stimuli. The constraints obtainable under tracking are utilized to analyze a possible egomotion decoding strategy for a binocular robot eye system, modeled after the human ocular tracking (smooth pursuit) mechanism. The main result of the paper is in the derivation of a closed-form solution of the egomotion parameters using feedback information concerning the movement of the tracking motors over time. The theoretical results are verified by experiments. We believe that the active tracking approach presented here is a more simple, practical, and manageable technique in a robot navigation setting, compared to passive methods.
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  • 15
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    Electronic Resource
    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 7 (1991), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: This paper considers computer programs that purport to do inference. It finds the essence of their reasoning ability to reside in a particular relationship which exists between the computations described by the texts of those programs and machine-independent formal representations of the theories in which they are said to reason. The principal novelties in the treatment of this question are the use of explicit “abstraction functions” between states of a computation and sets of sentences of a theory, and the notion of global “inference relations” which characterize the set of all inferences of which a system is capable. The central result of the paper is an “arrow-theoretic” characterization of the concept of a knowledge representation, along with the related concept of a knowledge representation realization. The notions of equivalence and subsumption for knowledge representations are defined, as well as equivalence of knowledge representation realizations. Finally, important issues of expression evaluation and control are addressed. The paper concludes with a slogan: “The AI is in the arrows.”Cet article traite des programmes informatiques qui prétendent faire de ľinférence. Ľauteur constate que ľessentiel de leur capacityé de raisonnement réside dans la relation particulière qui existe entre les calculs décrits par les textes de ces programmes et les représentations formelles non liées à un type de machine des théories dans le cadre desquelles ils sont supposés raisonner. Les principales nouveautés dans le traitement de cette question sont ľutilisation de fonctions ?abstraction explicites éntre les etats ?un calcul et les ensembles de phrases ?une théorie, et la notion de relations ?inférence globales qui caractérisent ľensemble de toutes les inférences dont un système est capable. Le principal résultat de cet article est une caractérisation du concept de la représentation des connaissances, ainsi que du concept connexe de la réalisation de la représentation des connaissances. Les notions ?équivalence et de sous-somption pour la représentation des connaissances sont définies, ainsi que ľéquivalence des réalisations de la représentation des connaissances. Enfin, des questions importantes comme ľanalyse et le contrǒle ?expressions sont traitées.
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  • 16
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 17
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
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  • 18
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 19
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 10 (1994), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 20
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 21
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: The use of a single grammar in natural language parsing and generation is most desirable for a variety of reasons, including efficiency, perspicuity, integrity, robustness, and a certain amount of elegance. These characteristics have been noted before by several researchers, but it was only recently that more serious attention started to be paid to the problem of creating a bidirectional system for natural language processing. In this paper we discuss a somewhat more radical version of the problem: given a parser for a language, can we reverse it so that it becomes an efficient generator for the same language? Furthermore, since both the parser and the generator are based upon the same grammar, are there any normalization conditions upon the form of the grammar that must be met in order to assure the maximum efficiency of the reversed program? Can other grammars be transformed into the normal form? We describe the results of an experiment with PROLOG-based logic grammar which has been derived from a substantial-coverage string grammar for English. We present an alogorithm for automated inversion of a unification parser into an efficient unification generator, using the collections of minimal sets of essential arguments for predicates. We discuss the scope of the present version of the algorithm and then point out several possible avenues for extension. We also outline a preliminary solution to the question of grammar's “normal form” and suggest a handful of normalizing transformations that can be used to enhance the efficiency of the generator. This research interacts closely with a Japanese-English machine translation project at New York University, for which the first implementation of the inversion algorithm has been prepared.
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  • 22
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 23
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 24
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 25
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
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    Topics: Computer Science
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  • 26
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Halperri argues for alternative non-Bayesian approaches to uncertainty based on problems he perceives in the Bayesian approach. In particular, he argues for a distinction between degrees of belief and statistical statements (based on the concept of random sampling). In this response I show that there is no difference between these two concepts in the Bayesian framework, and that the replacement of variables by constants in probabilistic predicate calculus expressions is valid, despite Halpern's objections. The main reason for his rejection of the simpler approach is that he does not condition his belief statements on the evidence used to form these beliefs, and so gets into trouble when new evidence is received. This failure to properly take evidence into account invalidates most of his other criticisms. While I approve of his call for more formal rigor in representing Bayesian practice, his claim to have provided a semantics is misleading – what he has provided is not operational.
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  • 27
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    Oxford, UK : Blackwell Publishing Ltd
    Computational intelligence 6 (1990), S. 0 
    ISSN: 1467-8640
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: A hierarchical planning system achieves efficiency by planning with the most important conditions first, and considering details later in the planning process. Few attempts have been made to formalize the structure of the planning knowledge for hierarchical planning. For a given domain, there is usually more than one way to define its planning knowledge. Some of the definitions can lead to efficient planning, while others may not. In this paper, we provide a set of restrictions which defines the relationships between a non-primitive action and its set of subactions. When satisfied, these restrictions guarantee improved efficiency for hierarchical planning. One important feature of these restrictions is that they are syntactic and therefore do not depend on the particular structure of any plan. Along with these restrictions, we also provide algorithms for preprocessing the planning knowledge of a hierarchical planner. When used during planning, the preprocessed operator hierarchies can enable a planner to significantly reduce its search space.
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  • 28
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    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    ISSN: 1467-9639
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
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  • 29
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    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
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    Topics: Mathematics
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  • 30
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    Oxford, UK : Blackwell Publishing Ltd
    Teaching statistics 12 (1990), S. 0 
    ISSN: 1467-9639
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    Topics: Mathematics
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  • 31
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    Teaching statistics 12 (1990), S. 0 
    ISSN: 1467-9639
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    Topics: Mathematics
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  • 32
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    Teaching statistics 12 (1990), S. 0 
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  • 33
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    Teaching statistics 12 (1990), S. 0 
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    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics
    Notes: This article reviews use of a games based resource pack with a view to its value as an aid to developing an appreciation of chance and statistics, as well as other mathematical skills, in an experiential context.
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    Teaching statistics 12 (1990), S. 0 
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    Topics: Mathematics
    Notes: This article concerns the Kolmogorov-Smirnov one sample test which was introduced by the Russian mathematician A. N. Kolmogorov in 1933.
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  • 35
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    Teaching statistics 12 (1990), S. 0 
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  • 36
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    Teaching statistics 12 (1990), S. 0 
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    Topics: Mathematics
    Notes: This article provides a report on how a commonly availbale chemical database and the graphical utilities of a database management system were used to generate discussion when introducing the topics of correlation and regression to sixth form pupils.
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  • 37
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    Teaching statistics 12 (1990), S. 0 
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  • 38
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending explicitly on time. This is achieved by approximating the original coefficients with functions that are piecewise constant in time. We give an interpretation of the approximating option values, in particular in the context of a discrete-time model associated with the approximating continuous-time model.
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  • 39
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (-, 0), an exact expression is derived for the probability of hitting the level c, c 〉 0. the problem is motivated by modeling the returns from trading on financial markets.
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  • 40
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    Mathematical finance 2 (1992), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional risky assets. We derive closed form formulae for certain types of European options in this context, notably call and put options on risky assets, forward contracts, and futures contracts. We also value American contingent claims whose payoffs are permitted to be general functions of both the term structure and asset prices generalizing Bensoussan (1984) and Karatzas (1988) in this regard. Here, we provide an example where an American call's value is well defined, yet there does not exist an optimal trading strategy which attains this value. Furthermore, this example is not pathological as it is a generalization of Roll's (1977) formula for a call option on a stock that pays discrete dividends.
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  • 41
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    Mathematical finance 2 (1992), S. 0 
    ISSN: 1467-9965
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    Topics: Mathematics , Economics
    Notes: This paper generalizes the Merton jump-diffusion option pricing model to the case in which jump risk cannot be eliminated in the market portfolio. the option pricing formula is obtained using a general equilibrium asset pricing model. Since jump risk is systematic, the correlation of the underlying stock's jump with the market portfolio's jump affects the option price.
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    Mathematical finance 2 (1992), S. 0 
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    Topics: Mathematics , Economics
    Notes: This article develops a model for pricing the quality option embedded in the Treasury bond futures contract. Since the option value is set relative to a large family of deliverable bond prices, it is important for the theoretical bond prices to match up to the observed prices. Hence an arbitrage-based model is used where the forward rate process is initialized at its current observable value. A model for valuing the quality option in an otherwise identical forward contract is also established. This permits the quality option and marking to market costs to be separately quantified. Support is provided for the common practice of pricing Treasury bond futures contracts as forward contracts with an embedded forward quality option.
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    Notes: In the modern theory of finance, the valuation of derivative assets is commonly based on a replication argument. When there are transaction costs, this argument is no longer valid. In this paper, we try to address the general problem of finding the optimal portfolio among those which dominate a given derivative asset at maturity. We derive an interval for its price. the upper bound is the minimum amount one has to invest initially in order to obtain proceeds at least as valuable as the derivative asset. the lower bound is the maximum amount one can borrow initially against the proceeds of the derivative asset. We show that, in some instances, this interval may be strictly bounded above by the price of the replicating strategy. Prima facie, the cost of a dominating strategy should appear to be higher than that of the replicating one. But because trading is costly, it may pay to weigh the benefits of replication against those of potential savings on transaction costs.
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    Notes: We derive alternative representations of the McKean equation for the value of the American put option. Our main result decomposes the value of an American put option into the corresponding European put price and the early exercise premium. We then represent the European put price in a new manner. This representation allows us to alternatively decompose the price of an American put option into its intrinsic value and time value, and to demonstrate the equivalence of our results to the McKean equation.
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    Notes: probability with martingales, by david williams
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    Notes: This paper explores the interest rate sensitivity of the prices of bonds and other securities when the instantaneous interest rate follows a Markov process. We show that whenever the interest rate describes a diffusion process the sensitivity of zero-coupon bonds increases with maturity. More generally, we characterize the risk-maturity relationship for contingent claims. This investigation yields a new property of option prices in the case where the underlying security price is a diffusion.
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    Mathematical finance 1 (1991), S. 0 
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    Topics: Mathematics , Economics
    Notes: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
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    Notes: This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite-valued solutions is characterized. the results are extended to the non-risk-neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so-called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.
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    Expert systems 9 (1992), S. 0 
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    Expert systems 9 (1992), S. 0 
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    Notes: Abstract: Many organizations today have an interest in communications networks, either as users of public networks or as operators of their own private networks. Thus, the management of communications networks has become an important issue in the communications industry. The network design task is fundamental to the whole notion of network management; however, with the rapid rate of change in network technology and the emergence of highly sophisticated network users, network design has become an increasingly complex problem.The purpose of this paper is to describe a development effort which incorporates expert systems techniques to treat one aspect of the network design problem—the initial planning and design of a network prior to implementation. The research effort was concerned with developing an expert system for Amdahl Communications Products which could be used by sales engineers in designing wide area networks to meet specified customer requirements. The system treats both the topological design problem and the component configuration problem.
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    Expert systems 8 (1991), S. 0 
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    Notes: Abstract: The rapid growth in the use of expert systems has led to widespread interest in techniques for their evaluation, which includes verification and validation. Evaluation techniques in the software engineering community are well established but there are different opinions about the effectiveness of transferring software engineering methodologies to expert systems. This paper outlines some of the issues involved in evaluating expert systems and cites almost 200 significant papers on the topic. We present it with the expectation that it will help both new and established researchers become acquainted with the literature of an important and growing field.
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    Notes: Abstract: This paper describes some of the problems encountered in developing a user interface for a commercial expert system. The emphasis is on the practical side of interface implementation while attempting to follow the many guidelines presented in the literature.
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    Expert systems 8 (1991), S. 0 
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    Notes: Abstract: The need to integrate knowledge-based systems (KBS) with mainstream data processing (DP) systems is increasingly recognised. It is also recognised that there is no ideal mode of KBS integration: different types of problem call for different modes of integration. Many large organisations are now facing a serious problem in the operation of their existing DP systems. This paper focuses on the problem of providing intelligent support to the (often inexperienced) terminal users of complex mainframe systems—but without initiating any significant changes to the existing DP environment. Over the past few years we have been attempting to evolve a solution to this type of problem that is satisfactory from both a human and a software engineering perspective. This paper outlines the previous work and considerations underlying our current approach. Starting from a purely mainframe-based mode of integration, this has entailed locating an increasing number of an integrated KBS-DP system's components onto a front-end workstation. In our current solution, both user interface and KBS modules reside on a workstation linked to the (unchanged) mainframe environment. The key element of this approach is terminal operator emulation: a KBS-controlled 'script’ facility on a workstation which emulates the flexible keyboard behaviour of an experienced mainframe terminal user interacting with an existing DP system. The software tools and techniques employed in implementing this solution are discussed and details of a large operational system are presented as an example application.
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    Notes: Abstract: The aim of this paper is to describe a system whereby an intensive care unit patient's condition can be monitored and assessed over time using mostly blood gas analysis data. The first six sections analyse some major temporal reasoning approaches (with limited examples from other related areas) with the aim of selecting one for the task at hand. The last sections describe the PONJIP temporal blood gas analysis expert system with its main components, including user interfaces customised to the doctor's requirements. Since the overall aim of this paper is to describe an expert system used for the evaluation of the possible contribution of temporal medical reasoning from blood gas data, research specific to other application areas or data will not be covered here.
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    Notes: Abstract: Solving the customer's LAN/WAN interconnect problem is difficult because of the need to explore many possible configurations (e.g. bridging/routing, packet/channels) and then to choose the best configuration using economic, performance and other criteria. The rapid introduction of new standards, protocols and products to the networking field brings additional complications to the solution and can cause confusion when configuring a network. ALCA is intended to generate all feasible LAN/WAN configuration possibilities automatically and to pick the most appropriate solution to solve the customer's problem, while specifically addressing open systems interconnection (OSI) standards. Matching communications protocols while searching all possible configurations is notoriously slow even on a computer. We show how the search speed can be significantly improved by using expert system knowledge compilation, a computer-aided software engineering (CASE) technique. ALCA is based on a centrally updated knowledge base of various local area networking products and their interconnect possibilities. ALCA also allows querying to find out protocol interfaces supported by a particular product/service. Finally, it includes a graphic user interface and context-sensitive menus to reduce user information load. ALCA is intended to be used by the field personnel involved in pre-sales support, by the data communication product managers, and as an educational tool for novice communication product managers.
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    Notes: Abstract: Artificial intelligence has emerged from the toy problem world and is being applied to real domains in a more general way, the existence of several large application systems supporting the belief that a generation of smarter and more general systems will be developed. However, a new problem, sometimes referred to as the fusion problem, has been identified, which acts to restrict the development of such systems. This paper explains the nature of the problem, and by examining a proposed expert system in economics (ESE), discussing three approaches to a prototype ESE and the problems associated with them, draws some conclusions with regard to data fusion and expert co-operation.
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    Notes: Abstract: This paper presents work undertaken as part of a project concerned with the development of a fully automated industrial radiographic inspection system, based on both conventional image-processing techniques for the detection and analysis of defects in the radiographic image, and intelligent knowledge-based (1KB) techniques for the classification and evaluation of defect data against the quality assurance requirements of the inspection process. In this paper the 1KB defect classification system is presented. This system is based on a hierarchical frame-based knowledge representation and a backward-chaining production rule system. Examples of the frame structures, frame taxonomies and the data-driven procedures, which maintain the knowledge base are given, along with an outline of the defect classification rules and the inference mechanism for dealing with uncertainty by means of confidence factors.
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    Notes: Abstract: The excessive time devoted to the development, testing and maintenance of expert systems (ESs) needs to be reduced radically. What is needed is general-purpose software that can interlace the extracting, structuring, testing, and encoding of knowledge gained from debriefing the expert in any field. LAPS (Logic Aids for Problem Solving) is just such a program and has been successfully used to produce an ES in the domain of submarine diving officers. This automatically-encoded ES was produced by each expert entering his responses to the LAPS series of strategic-induction, AI-jargon-free queries. Currently, the LAPS prototype has four core sessions or functions: (1) the initial or sample-solution session; (2) the dechunking or hidden-knowledge session; (3) the alternatives or completeness-testing session; and (4) the automatic rule-production session. After any session the interviewee can use the fourth function of LAPS to produce frame-laden rules (in M.I, for now; later, in CLIPS). These rules can of course be used to carry out consultation sessions, though fewer of these are needed. LAPS has itself been translated from M.I to C to provide a very fast program on an almost universally available platform — the microcomputer. In accord with the overall technical approach to this project, other successful offline rigorous interviewing functions are being added to LAPS. Other code additions pertain to (a) graphical and other user-friendly reasoning-aid enhancements; (b) a series of simpler follow-up queries; and (c) the fleshing out of many stubs, or functions having intermediate results but as yet no processing.
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    Notes: Abstract: This paper describes a shell for cooperating expert systems that has been developed at the University of Porto. The main goal of this shell is two-fold: to generate a community of cooperative knowledge-based systems and to develop several special reasoning techniques which can be used under a distributed and cooperative paradigm. UPShell is able to convert a set of generated intelligent systems (ISs) into a community of cooperative ISs. In this first version it is already possible to generate different intelligent systems which are able to run ‘simultaneously’ as separate Unix processes and, using a message-passing mechanism, to communicate among themselves. They can be set to pursue an overall goal in a cooperative way. Moreover, several tasks can be given to each IS to be solved simultaneously, and the IS can switch from task to task according to dynamic priorities reflecting the urgency attached to the specific sub-tasks that emerge. The shell described here may also be used to test, within a distributed environment, some time-bounded reasoning techniques that are presently being developed. The paper has three main parts: a general overview of the UPShell (Section 1); a tutorial explaining, by means of examples, how to use the package (Section 2); and, finally, some considerations on the reasoning techniques used and future improvements (Sections 3–5).
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    Notes: Book reviewd in this article:Expert Systems in Production and Services II: From Assessment to Action?Thomas Bernold, Ulrich Hillenkamp (Eds.)Expert Systems: Human Issues. D. Berry, A. Hart.Prolog and its Applications: A Japanese Perspective. Fumio Mizuguchi (Ed.)
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    Notes: Abstract: A mechanism for tracing the utilization of rules in expert systems during periods of practical usage is proposed. Statistics related to the utilization of each rule help the designer to re-evaluate the appropriateness of each rule, so that over-utilized rules may be expanded and unnecessary ones deleted. By incorporating such a mechanism, the efficiency of maintaining and updating expert systems is improved.
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    Notes: Abstract: Expert system shells are discussed as very-high-level programming languages for knowledge engineering. Based on a category/domain distinction for expert systems the concept of expert system shells is explained using seven classifications. A proposal for a shell-development policy is sketched. The conclusions express concern about current over-emphasis on graphical interfaces.
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    Notes: Abstract: This article describes the development of a knowledge-based system (KBS) for guiding both technical and non-technical managers in estimating the risks inherent in proposed KBS development projects. The work described here is part of an ongoing research project studying the use of KBS both to teach and to do KBS development. So far, as part of this research project, over the past two years close to 150 non-technical and technical full-time business managers have developed some 75 KBS prototypes in conjunction with an MBA course in strategic planning. Based on replies to a survey of this test group, 17% of the KBS developed were reportedly used at work, 14% led to promotions, pay raises, or new jobs, and 14% led to participation in other KBS development projects at work. All but two of the survey respondents reported that their work on the KBS development project led to a substantial increase in their job knowledge or performance. The KBS work described here extends research work described by Cullen and Bryman [1988], Slagle and Wick [1988], Cohen and Howe [1988], Dologite [1988, 1989], and Mockler [1989(A) and (B)].
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    Notes: Abstract: The sophisticated nature of new production facilities means more complex maintenance units and costly breakdowns. For users of high tech machinery, the efficiency of their maintenance services is becoming an increasingly important factor, and for manufacturers, the maintainability of their equipment they sell is an element that has to be taken into account in their battle for market share. Troubleshooting Expert Systems (TES) are one possible means of improving maintenance capability and maintenance units. Surveying cases of success or failure that the authors have witnessed themselves or come across in the literature, they propose a checklist of seven questions to be considered at the outset of TES development, which deal with the human, managerial and organisational aspects of TES.
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    Notes: Abstract: This paper deals with the issue of knowledge elicitation for expert systems. Specifically, it looks at the requirements of the knowledge elicitation process and the suitability of structured methods from systems analysis to carry out part of the elicitation task. The techniques of data flow analysis, entity-relationship analysis and entity-life cycle analysis are used to structure the data associated with the expert task. The methods proposed lay emphasis on the definition of limited data sets at the boundary of the explicit knowledge base and the identification of status attributes to model the control of activation of ‘processes’ within the knowledge base. Attention is also paid to the relationship between the resulting logical model, and two popular methods of knowledge representation, namely, Production Systems and Frames.
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    Notes: Abstract: Despite their potential advantages, robots are not used much by industry andlor services. One of the major reasons for this situation is the limitations of robots, especially their lack of ‘intelligence”. Artificial intelligence and expert systems technologies can help in this case. This paper describes the potential contribution of expert systems to the decision making capabilities of robots and to decisions regarding robots. The major potential contribution of expert systems is in the automation of the error recovery process. Specifically, when something is going wrong in the robot itself or in its work environment, an automated corrective action is needed. Today's technology is capable of economically handling some of the activities in the process (e.g. interpretation of signals from sensors, diagnosis of what is wrong and suggestions for remedies). The AI technology is still not capable in most cases (at least in an economical manner) of actually restoring the robot's operations. The paper also gives examples of several experimental expert systems in the robotic field.
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    Notes: Knowledge-Based Systems: Markets, Suppliers and Products, Tim Johnson et al.The European Market for Expert Systems, Artificial Intelligence Systems and Expert Systems Used in Medical Laboratory Applications
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    Notes: Abstract: The intended purpose of this article is twofold: to study techniques for uncertainty management in expert systems, particularly the Dempster-Shafer theory of belief; and to use this method in the construction of an expert system for the field of forecasting and marketing management. Compared with the probabilistic approach, which can only deal with singleton possibilities, the Dempster-Shafer approach proves to be superior because it provides the ability to deal with sets of possibilities. Since market analysis and forecasting always have a strong element of uncertainty associated with them, and since, in general, we consider a combination of several different forecasting techniques for planning our marketing strategies, the Dempster-Shafer approach is particularly suitable. Here we present a short introduction to this theory, briefly discuss the domain of application (selection of forecasting techniques for marketing planning), discuss the interesting components of our expert system, and analyze our experiences in applying the theory to this domain.
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    Expert systems 7 (1990), S. 0 
    ISSN: 1468-0394
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Abstract: Current methodologies for choosing problems suitable for implementation as IKBS's are not appropriate for the retail industry, due to singularities of the domain. In particular, they exclude from consideration a kind of system which uses Electronic Point of Sale (EPOS) data to structure unstructured managerial perceptions, but several examples of these systems have been successfully implemented. Methodologies may be more domain specific than they were thought to be, and may hold back implementations to an artificially imposed level of difficulty. Nonetheless, analysis of the level of structure found in a problem is useful, as it points out possible trouble spots, and Fuzzy/Complex analysis was felt to be the most suitable methodology for retail due to its manufacturing origins, clarity of purpose, and flexibility.
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  • 84
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    Expert systems 7 (1990), S. 0 
    ISSN: 1468-0394
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Book reviewed in this article:Expert Systems for Engineering Design, M.D. Rychener (ed.)
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  • 85
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    Expert systems 11 (1994), S. 0 
    ISSN: 1468-0394
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Abstract: This paper presents the architecture of a neural network expert system shell. The system captures every rule as a rudimentary neural network, which is called a network element (netel). The aim is to preserve the semantic structure of the expert system rules, while incorporating the learning capability of neural networks into the inferencing mechanism. These netel rules are dynamically linked up to form the rule-tree during the inferencing process, just as a conventional expert system does. The system is also able to adjust its inference strategy according to different users and situations. A rule editor is provided to enable easy maintenance of the netel rules. These components are housed under a user-friendly interface. An application
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  • 86
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    Expert systems 11 (1994), S. 0 
    ISSN: 1468-0394
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Abstract: Case-based reasoning (CBR) is a problem-solving paradigm where past experiences are used to guide problem-solving. This paradigm shows a great deal of promise for use in intelligent systems. Recent work in intelligent systems focusing on AIDS prevention reflects a growing interest in the case-based paradigm because AIDS prevention experts rely heavily on memory of previous cases when assessing subjects that exhibit AIDS-risky behaviors. If an AIDS prevention expert has seen a subject with similar AIDS-risky behavior previously, he or she is likely to draw on that experience to propose a solution to the new case at hand. This paper describes a CBR system that functions as an AIDS prevention expert. The inputs are risk behavior descriptions and the subject's test results. The system employs fuzzy mathematical algorithms to retrieve and select previous cases, thereby assessing the subject's risk.
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  • 87
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    Expert systems 11 (1994), S. 0 
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    Topics: Computer Science
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  • 88
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    Expert systems 11 (1994), S. 0 
    ISSN: 1468-0394
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Computer Science
    Notes: Abstract: Many decision-aiding technologies require valid probability judgements to be elicited from domain experts. But how valid are experts' probability judgements? We describe two approaches to the assessment of quality of probability judgement—calibration and coherence—and review the research findings following from these two approaches. In many cases, expert probability judgement has been found to lack validity and this sub-optimality has largely been attributed to computational errors on the part of the expert. The preferred solution to poor validity in probability judgement has therefore been to reduce the amount of computation performed by the expert. Complex probabilities can be calculated mechanically from simple probability judgements elicited from the expert. We present evidence which suggests that this recomposition technique doesn't guarantee valid probabilities. Our explanation for this finding is that there are various problems concerned with eliciting even the simple probabilities which are necessary for subsequent recomposition. We conclude by proposing some solutions to these elicitation problems which should help ensure that probability judgements of increased validity are available to those attempting to capture subjective assessments for input into decision support systems.
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  • 89
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    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We answer this question in the very general context of the n-factor Heath, Jarrow, and Morton model for the evolution of the term structure of interest rates, with nonrandom volatility. the answer is that a constraint is imposed on the behavior of the volatility structure. We explain the importance of this result for the design of efficient numerical algorithms for the valuation of options on the term structure.
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  • 90
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    Mathematical finance 4 (1994), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper extends He and Pearson's (1991) martingale approach to the study of optimal intertemporal consumption and portfolio policies with incomplete markets and short-sale constraints to a framework in which no assumptions are made on the price process for the securities. We show how both their characterization of the budget-feasible set and duality result can be extended to account for an unbounded set II of Arrow-Debreu state prices compatible with the arbitrage-free assumption. We also supply a (fairly general) sufficient condition for II to be bounded, as required in their setting.
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  • 91
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate contingent claim and provide a quasi-analytical solution for American yield option prices which illustrates the flexibility of our framework.
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  • 92
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
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  • 93
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options.
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  • 94
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The aim of this paper is to develop a model for the pricing of European options under the assumption of a stochastic interest rate in a discrete-time context. This is accomplished by combining the well-known binomial model for a stock with a binomial model for the spot interest rate.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: An empirical version of the Cox, Ingersoll, and Ross (1985a) call option pricing model is derived, assuming execution price uncertainty in the options market. the pricing restrictions come in the form of moment conditions in the option pricing error. These can be estimated and tested using a version of the method of simulated moments (MSM). Simulation estimates, obtained by discretely approximating the risk-neutral processes of the underlying stock price and the interest rate, are substituted for analytically unknown call prices. the asymptotics and other aspects of the MSM estimator are discussed. the model is tested on transaction prices at 15-minute intervals. It substantially outperforms the Black-Scholes model. the empirical success of the Cox-Ingersoll-Ross model implies that the continuous-time interest rate implicit in synchronous transaction quotes of 90-day Treasury-bill futures contracts is an-albeit noisy-proxy for the instantaneous volatility on common stock. the process of the instantaneous volatility is found to be close to nonstationary. It is well approximated by a heteroskedastic unit-root process. With this approximation, the Cox-Ingersoll-Ross model only slightly overprices long-maturity options.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We analyze the optimal risky investment policy for an investor who, at each point in time, wants to lose no more than a fixed percentage of the maximum value his wealth has achieved up to that time. In particular, if Mt is the maximum level of wealth W attained on or before time t, then the constraint imposed on his portfolio choice is that WtαMt, where α is an exogenous number betweenα O and 1. We show that, for constant relative risk aversion utility functions, the optimal policy involves an investment in risky assets at time t in proportion to the “surplus”Wt - αMt. the optimal policy may appear similar to the constant-proportion portfolio insurance policy analyzed in Black and Perold (1987) and Grossman and Vila (1989). However, in those papers, the investor keeps his wealth above a nonstochastic floor F instead of a stochastic floor αMt. the stochastic character of the floor studied here has interesting effects on the investment policy in states of nature when wealth is at an all-time high; i.e., when Wt =Mt. It can be shown that at Wt=Mt, αMt is expected to grow at a faster rate than Wt, and therefore the investment in the risky asset can be expected to fall. We also show that the investment in the risky asset can be expected to rise when Wt is close to αMt. We conjecture that in an equilibrium model the stochastic character of the floor creates “resistance” levels as the market approaches an all-time high (because of the reluctance of investors to take more risk when Wt=Mt).
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper derives the equilibrium excess returns on risky assets in an exchange economy where the underlying exogenous uncertainty is a combination of a pure multidimensional jump process and a diffusion model. We derive closed-form solutions for the interest rate and the risk premiums on risky assets for a traditional class of separable utility indices. Our analysis demonstrates that when the underlying jumps of the aggregate consumption process are not negligible, then the traditional form of the consumption-based capital asset princing model need not hold and the asset risk premiums may be larger than predicted by the traditional CCAPM in continuous time, based on pure Itô diffusion processes. Our analysis suggests an explanation for the large estimates of the risk premiums reported in empirical tests of the single-beta CCAPM.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-Jacobi-Bellman equation, which is shown to exist and is characterized. the optimal policy is then given from the first-order conditions of the Hamilton-Jacobi-Bellman equation.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We consider the American put option in the Black-Scholes model. When the value of the option is computed through numerical methods (such as the binomial method and the finite difference method) the approximation yields an approximate critical price. We prove the convergence of this approximate critical price towards the exact critical price.
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    Mathematical finance 3 (1993), S. 0 
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.
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