Vasilios N Katsikis

National and Kapodistrian University of Athens | uoa · Economics, Division of Mathematics and Informatics

An improved activation function, termed extended sign-bi-power (Esbp), is proposed. An extension of the Li zeroing neural network (ELi-ZNN) based on the Esbp activation is derived to obtain the online solution of the time-varying inversion problem. A detailed theoretical analysis confirms that the new activation function accomplishes fast convergen...

Employee attrition, defined as the voluntary resignation of a subset of a company’s workforce, represents a direct threat to the financial health and overall prosperity of a firm. From lost reputation and sales to the undermining of the company’s long-term strategy and corporate secrets, the effects of employee attrition are multidimensional and, i...

It is well known that minimum-cost portfolio insurance (MPI) is an essential investment strategy. This article presents a time-varying version of the original static MPI problem, which is thus more realistic. Then, to solve it efficiently, we propose a powerful recurrent neural network called the linear-variational-inequality primal-dual neural net...

This paper presents a dynamic model based on neutrosophic numbers and a neutrosophic logic engine. The introduced neutrosophic logic/fuzzy adaptive Zeroing Neural Network dynamic is termed NSFZNN and represents an improvement over the traditional Zeroing Neural Network (ZNN) design. The model aims to calculate the matrix pseudo-inverse and the mini...

The computation of the time-varying matrix pseudoinverse has become crucial in recent years for solving time-varying problems in engineering and science domains. This paper investigates the issue of calculating the time-varying pseudoinverse based on full-rank decomposition (FRD) using the zeroing neural network (ZNN) method, which is currently con...

The influence of neutrosophy on many fields of science and technology, as well as its numerous applications, are evident. Our motivation is to apply neutrosophy for the first time in order to improve methods for solving unconstrained optimization. Particularly, in this research, we propose and investigate an improvement of line search methods for s...

This paper investigates the problem of computing the time-varying {2,3}- and {2,4}-inverses through the zeroing neural network (ZNN) method, which is presently regarded as a state-of-the-art method for computing the time-varying matrix Moore–Penrose inverse. As a result, two new ZNN models, dubbed ZNN23I and ZNN24I, for the computation of the time-...

One of the most often used approaches for approximating various matrix equation problems is the hyperpower family of iterative methods with arbitrary convergence order, whereas the zeroing neural network (ZNN) is a type of neural dynamics intended for handling time-varying problems. A family of ZNN models that correlate with the hyperpower iterativ...

Many researchers have addressed problems involving time-varying (TV) general linear matrix equations (GLMEs) because of their importance in science and engineering. This research discusses and solves the topic of solving TV GLME using the zeroing neural network (ZNN) design. Five new ZNN models based on novel error functions arising from gradient-d...

Minimum-cost portfolio insurance (MCPI) is a well-known investment strategy that tries to limit the losses a portfolio may incur as stocks decrease in price without requiring the portfolio manager to sell those stocks. In this research, we define and study the time-varying MCPI problem as a time-varying linear programming problem. More precisely, u...

The exchange rate dynamics affect national economies because fluctuations in currency prices distort their economic activity. To maintain an optimal exchange rate policy, these dynamics are crucial for countries with a trade economy. Due to the difficulty in predicting the participants behavior in some complex economic systems, which might throw th...

Complex time-dependent Lyapunov equation (CTDLE), as an important means of stability analysis of control systems, has been extensively employed in mathematics and engineering application fields. Recursive neural networks (RNNs) have been reported as an effective method for solving CTDLE. In the previous work, zeroing neural networks (ZNNs) have bee...

The Black-Litterman (BL) model is a particularly essential analytical tool for effective portfolio management in financial services sector since it enables investment analysts to integrate investor views into market equilibrium returns. In this research, we define and study the continuous-time BL portfolio optimization (CTBLPO) problem as a time-va...

Neuronets trained by a weights-and-structure-determination (WASD) algorithm are known to resolve the shortcomings of traditional back-propagation neuronets such as slow training speed and local minimum. A multi-input multi-function activated WASD neuronet (MMA-WASDN) model is introduced in this paper, combined with a novel multi-function activated...

This research introduces three novel zeroing neural network (ZNN) models for addressing the time-varying Yang–Baxter-like matrix equation (TV-YBLME) with arbitrary (regular or singular) real time-varying (TV) input matrices in continuous time. One ZNN dynamic utilizes error matrices directly arising from the equation involved in the TV-YBLME. Moreo...

This manuscript aims to establish various representations for the CMP inverse. Some expressions for the CMP inverse of appropriate upper block triangular matrix are developed. Successive matrix squaring algorithm and the method based on the Gauss–Jordan elimination are considered for calculating the CMP inverse. As an application, the solvability o...

In the context of infinite-horizon optimal control problems, the algebraic Riccati equations (ARE) arise when the stability of linear time-varying (LTV) systems is investigated. Using the zeroing neural network (ZNN) approach to solve the time-varying eigendecomposition-based ARE (TVE-ARE) problem, the ZNN model (ZNNTVE-ARE) for solving the TVE-ARE...

An extension of the Integrated Simple Weighted Sum Product (WISP) method is presented in this article, customized for the application of single-valued neutrosophic numbers. The extension is suggested to take advantage that the application of neutrosophic sets provides in terms of solving complex decision-making problems, as well as decision-making...

Various forms of the algebraic Riccati equation (ARE) have been widely used to investigate the stability of nonlinear systems in the control field. In this paper, the time-varying ARE (TV-ARE) and linear time-varying (LTV) systems stabilization problems are investigated by employing the zeroing neural networks (ZNNs). In order to solve the TV-ARE p...

Many researchers have investigated the time-varying (TV) matrix pseudoinverse problem in recent years, for its importance in addressing TV problems in science and engineering. In this paper, the problem of calculating the inverse or pseudoinverse of an arbitrary TV real matrix is considered and addressed using the singular value decomposition (SVD)...

The hyperpower family of iterative methods with arbitrary convergence order is one of the most used methods for estimating matrix inverses and generalized inverses, whereas the zeroing neural network (ZNN) is a type of neural dynamics developed to solve time-varying problems in science and engineering. Since the discretization of ZNN dynamics leads...

The proportional–integral–derivative (PID) control systems, which have become a standard for technical and industrial applications, are the fundamental building blocks of classical and modern control systems. In this paper, a three-layer feed-forward neural network (NN) model trained to replicate the behavior of a PID controller is employed to stab...

Cancer is one of the world’s leading causes of human mortality, and the most prevalent type is breast cancer. However, when diagnosed early, breast cancer may be treated. In this paper, a 5-layer feed-forward neuronet model, trained by a novel fuzzy WASD (weights-and-structure-determination) algorithm, called FUZWASD, is introduced and employed to...

The non-convex tax-aware portfolio optimization problem is traditionally approximated as a convex problem, which compromises the quality of the solution and converges to a local-minima instead of global minima. In this paper, we proposed a non-deterministic meta-heuristic algorithm called Non-linear Activated Beetle Antennae Search (NABAS). NABAS e...

Hyperpower family of iterative methods of arbitrary convergence order is one of the most frequently applied methods for approximating the matrix inverse and generalized inverses. On the * Complimentary Contributor Copy 208 V. N. Katsikis, P. S. Stanimirović, S. D. Mourtas et al. other hand, Zeroing neural network (ZNN) is a kind of neural dynamics...

In finance, the most efficient portfolio is the tangency portfolio, which is formed by the intersection point of the efficient frontier and the capital market line. This paper defines and explores a time-varying tangency portfolio under nonlinear constraints (TV-TPNC) problem as a nonlinear programming (NLP) problem. Because meta-heuristics are com...

This article presents a comparison of the results obtained using the newly proposed Simple Weighted Sum Product method and some prominent multiple criteria decision-making methods. For comparison, several analyses were performed using the Python programming language and its NumPy library. The comparison was also made on a real decision-making probl...

In order to extend and unify the definitions of W-weighted DMP, W-weighted MPD, W-weighted CMP and composite outer inverses, we present the weighted composite outer inverses. Precisely, the notions of MNOMP, MPMNO and MPMNOMP inverses are introduced as appropriate expressions involving the (M,N)-weighted (B,C)-inverse and Moore–Penrose inverse. Bas...

In this paper, we present a fraud detection framework for publicly traded firms using an optimization approach integrated with a meta-heuristic algorithm known as Beetle Antennae Search (BAS). Existing techniques include human resources, like financial experts and audit teams, to determine the ambiguities or financial frauds in the companies based...

This paper introduces a 3-layer feed-forward neuronet model, trained by novel beetle antennae search weights-and-structure-determination (BASWASD) algorithm. On the one hand, the beetle antennae search (BAS) algorithm is a memetic meta-heuristic optimization algorithm capable of solving combinatorial optimization problems. On the other hand, neuron...

QR decomposition (QRD) is of fundamental importance for matrix factorization in both real and complex cases. In this paper, by using zeroing neural dynamics method, a continuous-time model is proposed for solving the time-varying problem of QRD in real-time. The proposed dynamics use time derivative information from a known real or complex matrix....

A correlation between fuzzy logic systems (FLS) and zeroing neural networks (ZNN) design is investigated. It is shown that the gain parameter included in ZNN design can be dynamically adjusted over time by means of an appropriate value derived as the output of a properly defined FLS which includes appropriately defined membership functions and fuzz...

It is widely acclaimed that the Markowitz mean–variance portfolio selection is a very important investment strategy. One approach to solving the static mean–variance portfolio selection (MVPS) problem is based on the usage of quadratic programming (QP) methods. In this article, we define and study the time-varying mean–variance portfolio selection...

The beetle antennae search (BAS) algorithm is a memetic meta-heuristic optimization algorithm capable of solving combinatorial optimization problems. In this paper, the binary version of BAS (BBAS) is modified by adding a V-shaped transfer function. In this way, we introduce the V-shaped transfer function-based binary BAS (VSBAS) algorithm, which i...

The environment in which the decision-making process takes place is often characterized by uncertainty and vagueness and, because of that, sometimes it is very hard to express the criteria weights with crisp numbers. Therefore, the application of the Grey System Theory, i.e., grey numbers , in this case, is very convenient when it comes to determin...

The Black-Litterman model is a very important analytical tool for active portfolio management because it allows investment analysts to incorporate investor’s views into market equilibrium returns. In this paper, we define and study the time-varying Black-Litterman portfolio optimization under nonlinear constraints (TV-BLPONC) problem as a nonlinear...

The environment in which the decision-making process takes place is often characterized by uncertainty and vagueness and, because of that, sometimes it is very hard to express the criteria weights with crisp numbers. Therefore, the application of the Grey System Theory, i.e., grey numbers, in this case, is very convenient when it comes to determina...

Some decision-making problems, i.e., multi-criteria decision analysis (MCDA) problems, require taking into account the attitudes of a large number of decision-makers and/or respondents. Therefore, an approach to the transformation of crisp ratings, collected from respondents, in grey interval numbers form based on the median of collected scores, i....

Some decision-making problems, i.e., multi-criteria decision analysis (MCDA) problems, require taking into account the attitudes of a large number of decision-makers and/or respondents. Therefore, an approach to the transformation of crisp ratings, collected from respondents, in grey interval numbers form based on the median of collected scores, i....

The tangency portfolio, also known as the market portfolio, is the most efficient portfolio and arises from the intercept point of the Capital Market Line (CML) and the efficient frontier. In this paper, a binary optimal tangency portfolio under cardinality constraint (BOTPCC) problem is defined and studied as a nonlinear programming (NLP) problem....

Minimizing portfolio insurance (PI) costs is an investment strategy of great importance. In this chapter, by converting the classical minimum-cost PI (MCPI) problem to a multi-period MCPI (MPMCPI) problem, we define and investigate the MPMCPI under transaction costs (MPMCPITC) problem as a nonlinear programming (NLP) problem. The problem of MCPI ge...

In this paper, for the first time in literature, we introduce one-sided weighted inverses and extend the notions of one-sided inverses, outer inverses and inverses along given elements. Although our results are new and in the matrix case, we decided to present them in tensor space with reshape operator. For this purpose, a left and right (M,N)-weig...

In this paper, we have formulated quantum beetle antennae search (QBAS), a meta-heuristic optimization algorithm, and a variant of beetle antennae search (BAS). We apply it to portfolio selection, a well-known finance problem. Quantum computing is gaining immense popularity among the scientific community as it outsmarts the conventional computing i...

We investigate solutions to the system of linear equations (SoLE) in both the time-varying and time-invariant cases, using both gradient neural network (GNN) and Zhang neural net- work (ZNN) designs. Two major limitations should be overcome. The first limitation is the inapplicability of GNN models in time-varying environment, while the second cons...

SIR model is widely used for modeling the infectious diseases. This is a system of ordinary differential equations (ODEs). The numbers of susceptible, infectious, or immunized individuals are the compartments in these equations and change in time. Two parameters are the factor of differentiating these models. Here, we are not interested in solving...

The Markowitz mean-variance portfolio selection is widely acclaimed as a very important investment strategy. A popular option to solve the static mean-variance portfolio selection (MVPS) problem is based on the use of quadratic programming (QP) methods. On the other hand, the static portfolio selection under transaction costs (PSTC) problem is usua...

This study investigated the problem of QR decomposition for time-varying matrices. We transform the original QR decomposition problem into an equation system using its constraints. Then, we propose a continuous-time QR decomposition (CTQRD) model by applying zeroing neural network method, equivalent transformations, Kronecker product, and vectoriza...

A novel finite-time convergent zeroing neural network (ZNN) based on varying gain parameter for solving time-varying (TV) problems is presented. The model is based on the improvement and generalization of the finite-time ZNN (FTZNN) dynamics by means of the varying-parameter ZNN (VPZNN) dynamics, and termed as VPFTZNN. More precisely , the proposed...

The knapsack problem is a problem in combinatorial optimization, and in many such problems, exhaustive search is not tractable. In this paper, we describe and analyze the randomized time‐varying knapsack problem (RTVKP) as a time‐varying integer linear programming (TV‐ILP) problem. In this way, we present the on‐line solution to the RTVKP combinato...

The problem of solving linear equations is considered as one of the fundamental problems commonly encountered in science and engineering. In this article, the complex-valued time-varying linear matrix equation (CVTV-LME) problem is investigated. Then, by employing a complex-valued, time-varying QR (CVTVQR) decomposition, the zeroing neural network...

The minimization of the costs related to portfolio insurance is a very important investment strategy. In this article, by adding the transaction costs to the classical minimum cost portfolio insurance (MCPI) problem, we define and study the MCPI under transaction costs (MCPITC) problem as a nonlinear programming (NLP) problem. In this way, the MCPI...

Using the core-EP inverse, we obtain the unique solution to the constrained matrix minimization problem in the Euclidean norm: Minimize ||M x − b||_2 , subject to the constraint x ∈ R(M k), where M ∈ C n×n , k = Ind(M) and b ∈ C n. This problem reduces to well-known results for complex matrices of index one and for nonsingular complex matrices. We...

In this paper, we introduce new representations and characterizations of the outer inverse of tensors through QR decomposition. Derived representations are usable in generating corresponding representations of main tensor generalized inverses. Some results on reshape operation of a tensor are added to the existing theory. An effective algorithm for...

Portfolio insurance is a hedging strategy which is used to limit portfolio losses without having to sell off stock when stocks decline in value. Consequently, the minimization of the costs related to portfolio insurance is a very important investment strategy. On the one hand, a popular option to solve the static minimum-cost portfolio insurance pr...

A new recurrent neural network is presented for solving linear algebraic systems with finite‐time convergence. The proposed model includes an exponential term in the Zhang neural network dynamical system, which leads to a faster convergence of the error‐monitoring function in comparison to previous methods. Theoretical analysis, as well as simulati...

An improved complex varying-parameter Zhang neural network (CVPZNN) for computing outer inverses is established in this paper. As a consequence, three types of complex Zhang functions (ZFs) which are used for computing the time-varying core-EP inverse and core inverse are given. The convergence rate of the proposed complex varying-parameter Zhang n...

The problem of portfolio management relates to the selection of optimal stocks, which results in a maximum return to the investor while minimizing the loss. Traditional approaches usually model the portfolio selection as a convex optimization problem and require the calculation of gradient. Note that gradient-based methods can stuck at local optimu...

Specific definitions of the core and core-EP inverses of complex tensors are introduced. Some characterizations, representations and properties of the core and core-EP inverses are investigated. The results are verified using specific algebraic approach, based on proposed definitions and previously verified properties. The approach used here is new...

In this paper, we propose enhancements to Beetle Antennae search (BAS) algorithm, called BAS-ADAM, to smoothen the convergence behavior and avoid trapping in localminima for a highly non-convex objective function. We achieve this by adaptively adjusting the step-size in each iteration using the adaptive moment estimation (ADAM) update rule. The pro...

Several improvements of the Zhang neural network (ZNN) dynamics for solving the time-varying matrix inversion problem are presented. Introduced ZNN dynamical design is termed as ZNN models of the order p, \(p\ge 2\), and it is based on the analogy between the proposed continuous-time dynamical systems and underlying discrete-time pth order hyperpow...

In this work, we present the ORPIT Matlab toolbox. ORPIT applies the theory of vector lattices to solve (a) the problem of option replication and (b) the cost minimization problem of portfolio insurance as well as related sub problems. The key point is that we use the theory of lattice-subspaces and the theory of positive bases, in Riesz spaces, so...

The spectral norm of an even-order tensor is defined and investigated. An equivalence between the spectral norm of tensors and matrices is given. Using derived representations of some tensor expressions involving the Moore–Penrose inverse, we investigate the perturbation theory for the Moore–Penrose inverse of tensor via Einstein product. The class...

In this paper, we shall investigate new efficient variants of the hyperpower iterative methods for computing the generalized inverses \(A_{T,S}^{(2)}\). Our main intention is to find efficient transformations of the hyperpower iterative method in order to minimize the number of required matrix by matrix products per cycle. In particular, we will tr...

Specific definitions of the core and core-EP inverses of complex tensors are introduced. Some characterizations, representations and properties of the core and core-EP inverses are investigated. The results are verified using specific algebraic approach, based on proposed definitions and previously verified properties. The approach used here is new...

In this work we propose an algorithmic process that finds the minimum-cost insured portfolio in the case where the space of marketed securities is a subspace of C[a, b]. This process uses, effectively, the theory of positive bases in Riesz spaces and does not require the presence of linear programming methods. The key for finding the minimum-cost i...

We are looking for an answer to the next challenging question: is the Newton iterative rule the only iterative method for computing generalized inverses with quadratic convergence? Our answer is that it is possible to find a class of quadratically convergent iterative methods containing the Newton method. To that end, we introduce and investigate a...