With the aid of Riemann–Liouville fractional calculus theory,fractional order Savitzky–Golay differentiation（FOSGD） is calculated and applied to pretreat near infrared（NIR） spectra in order to improve the perfor...With the aid of Riemann–Liouville fractional calculus theory,fractional order Savitzky–Golay differentiation（FOSGD） is calculated and applied to pretreat near infrared（NIR） spectra in order to improve the performance of multivariate calibrations.Similar to integral order Savitzky–Golay differentiation（IOSGD）,FOSGD is obtained by fitting a spectral curve in a moving window with a polynomial function to estimate its coefficients and then carrying out the weighted average of the spectral curve in the window with the coefficients.Three NIR datasets including diesel,wheat and corn datasets were utilized to test this method.The results showed that FOSGD,which is easy to compute,is a general method to obtain Savitzky–Golay smoothing,fractional order and integral order differentiations.Fractional order differentiation computation to the NIR spectra often improves the performance of the PLS model with smaller RMSECV and RMSEP than integral order ones,especially for physical properties of interest,such as density,cetane number and hardness.展开更多
Given a continuous semimartingale M = （Mt）t≥〉0 and a d-dimensional continuous process of locally bounded variation V = （V^1,……, V^d）, the multidimensional Ito Formula states that f（Mt, Vt） - f（M0, V0） = ...Given a continuous semimartingale M = （Mt）t≥〉0 and a d-dimensional continuous process of locally bounded variation V = （V^1,……, V^d）, the multidimensional Ito Formula states that f（Mt, Vt） - f（M0, V0） = ∫[0, t] Dx0f（Ms, Vs）dMs＋∑i=1^d∫[0, t] Dxi F（Ms, Vs）dVs^i＋1/2∫[0, t] Dx0^2 f（Ms, Vs）d 〈M〉s if f（x0,……,xd） is of C^2-type with respect to x0 and of C^1-type with respect to the other arguments This formula is very useful when solving various optimal stopping problems based on Brownian motion. However, in such application the function f typically fails to satisfy the stated conditions in that its first partial derivative with respect to x0 is only absolutely continuous. We prove that the formula remains true for such functions and demonstrate its use with two examples from Mathematical Finance.展开更多
基金supported by Science and Technology Commission of Shanghai Municipality (No.14142201400)
文摘With the aid of Riemann–Liouville fractional calculus theory,fractional order Savitzky–Golay differentiation（FOSGD） is calculated and applied to pretreat near infrared（NIR） spectra in order to improve the performance of multivariate calibrations.Similar to integral order Savitzky–Golay differentiation（IOSGD）,FOSGD is obtained by fitting a spectral curve in a moving window with a polynomial function to estimate its coefficients and then carrying out the weighted average of the spectral curve in the window with the coefficients.Three NIR datasets including diesel,wheat and corn datasets were utilized to test this method.The results showed that FOSGD,which is easy to compute,is a general method to obtain Savitzky–Golay smoothing,fractional order and integral order differentiations.Fractional order differentiation computation to the NIR spectra often improves the performance of the PLS model with smaller RMSECV and RMSEP than integral order ones,especially for physical properties of interest,such as density,cetane number and hardness.
基金Partially supported by the Deutsche Forschungsgemeinschaft(DFG) under Grant SCHM 677/7-1
文摘Given a continuous semimartingale M = （Mt）t≥〉0 and a d-dimensional continuous process of locally bounded variation V = （V^1,……, V^d）, the multidimensional Ito Formula states that f（Mt, Vt） - f（M0, V0） = ∫[0, t] Dx0f（Ms, Vs）dMs＋∑i=1^d∫[0, t] Dxi F（Ms, Vs）dVs^i＋1/2∫[0, t] Dx0^2 f（Ms, Vs）d 〈M〉s if f（x0,……,xd） is of C^2-type with respect to x0 and of C^1-type with respect to the other arguments This formula is very useful when solving various optimal stopping problems based on Brownian motion. However, in such application the function f typically fails to satisfy the stated conditions in that its first partial derivative with respect to x0 is only absolutely continuous. We prove that the formula remains true for such functions and demonstrate its use with two examples from Mathematical Finance.
