60 resultados para mean-variance portfolio optimization

em University of Queensland eSpace - Australia


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Evolutionary algorithms perform optimization using a population of sample solution points. An interesting development has been to view population-based optimization as the process of evolving an explicit, probabilistic model of the search space. This paper investigates a formal basis for continuous, population-based optimization in terms of a stochastic gradient descent on the Kullback-Leibler divergence between the model probability density and the objective function, represented as an unknown density of assumed form. This leads to an update rule that is related and compared with previous theoretical work, a continuous version of the population-based incremental learning algorithm, and the generalized mean shift clustering framework. Experimental results are presented that demonstrate the dynamics of the new algorithm on a set of simple test problems.

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The Coefficient of Variance (mean standard deviation/mean Response time) is a measure of response time variability that corrects for differences in mean Response time (RT) (Segalowitz & Segalowitz, 1993). A positive correlation between decreasing mean RTs and CVs (rCV-RT) has been proposed as an indicator of L2 automaticity and more generally as an index of processing efficiency. The current study evaluates this claim by examining lexical decision performance by individuals from three levels of English proficiency (Intermediate ESL, Advanced ESL and L1 controls) on stimuli from four levels of item familiarity, as defined by frequency of occurrence. A three-phase model of skill development defined by changing rCV-RT.values was tested. Results showed that RTs and CVs systematically decreased as a function of increasing proficiency and frequency levels, with the rCV-RT serving as a stable indicator of individual differences in lexical decision performance. The rCV-RT and automaticity/restructuring account is discussed in light of the findings. The CV is also evaluated as a more general quantitative index of processing efficiency in the L2.

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Predicted area under curve (AUC), mean transit time (MTT) and normalized variance (CV2) data have been compared for parent compound and generated metabolite following an impulse input into the liver, Models studied were the well-stirred (tank) model, tube model, a distributed tube model, dispersion model (Danckwerts and mixed boundary conditions) and tanks-in-series model. It is well known that discrimination between models for a parent solute is greatest when the parent solute is highly extracted by the liver. With the metabolite, greatest model differences for MTT and CV2 occur when parent solute is poorly extracted. In all cases the predictions of the distributed tube, dispersion, and tasks-in-series models are between the predictions of the rank and tube models. The dispersion model with mixed boundary conditions yields identical predictions to those for the distributed tube model (assuming an inverse gaussian distribution of tube transit times). The dispersion model with Danckwerts boundary conditions and the tanks-in series models give similar predictions to the dispersion (mixed boundary conditions) and the distributed tube. The normalized variance for parent compound is dependent upon hepatocyte permeability only within a distinct range of permeability values. This range is similar for each model but the order of magnitude predicted for normalized variance is model dependent. Only for a one-compartment system is the MIT for generated metabolite equal to the sum of MTTs for the parent compound and preformed metabolite administered as parent.

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Smoothing the potential energy surface for structure optimization is a general and commonly applied strategy. We propose a combination of soft-core potential energy functions and a variation of the diffusion equation method to smooth potential energy surfaces, which is applicable to complex systems such as protein structures; The performance of the method was demonstrated by comparison with simulated annealing using the refinement of the undecapeptide Cyclosporin A as a test case. Simulations were repeated many times using different initial conditions and structures since the methods are heuristic and results are only meaningful in a statistical sense.

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Purpose: The purpose of this study was to examine the influence of three different high-intensity interval training (HIT) regimens on endurance performance in highly trained endurance athletes. Methods: Before, and after 2 and 4 wk of training, 38 cyclists and triathletes (mean +/- SD; age = 25 +/- 6 yr; mass = 75 +/- 7 kg; (V)over dot O-2peak = 64.5 +/- 5.2 mL.kg(-1).min(-1)) performed: 1) a progressive cycle test to measure peak oxygen consumption ((V)over dotO(2peak)) and peak aerobic power output (PPO), 2) a time to exhaustion test (T-max) at their (V)over dotO(2peak) power output (P-max), as well as 3) a 40-kin time-trial (TT40). Subjects were matched and assigned to one of four training groups (G(1), N = 8, 8 X 60% T-max P-max, 1:2 work:recovery ratio; G(2), N = 9, 8 X 60% T-max at P-max, recovery at 65% HRmax; G(3), N = 10, 12 X 30 s at 175% PPO, 4.5-min recovery; G(CON), N = 11). In addition to G(1) G(2), and G(3) performing HIT twice per week, all athletes maintained their regular low-intensity training throughout the experimental period. Results: All HIT groups improved TT40 performance (+4.4 to +5.8%) and PPO (+3.0 to +6.2%) significantly more than G(CON) (-0.9 to + 1.1 %; P < 0.05). Furthermore, G(1) (+5.4%) and G(2) (+8.1%) improved their (V)over dot O-2peak significantly more than G(CON) (+ 1.0%; P < 0.05). Conclusion: The present study has shown that when HIT incorporates P-max as the interval intensity and 60% of T-max as the interval duration, already highly trained cyclists can significantly improve their 40-km time trial performance. Moreover, the present data confirm prior research, in that repeated supramaximal HIT can significantly improve 40-km time trial performance.

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This article develops a weighted least squares version of Levene's test of homogeneity of variance for a general design, available both for univariate and multivariate situations. When the design is balanced, the univariate and two common multivariate test statistics turn out to be proportional to the corresponding ordinary least squares test statistics obtained from an analysis of variance of the absolute values of the standardized mean-based residuals from the original analysis of the data. The constant of proportionality is simply a design-dependent multiplier (which does not necessarily tend to unity). Explicit results are presented for randomized block and Latin square designs and are illustrated for factorial treatment designs and split-plot experiments. The distribution of the univariate test statistic is close to a standard F-distribution, although it can be slightly underdispersed. For a complex design, the test assesses homogeneity of variance across blocks, treatments, or treatment factors and offers an objective interpretation of residual plot.

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Latitudinal clines provide natural systems that may allow the effect of natural selection on the genetic variance to be determined. Ten clinal populations of Drosophila serrata collected from the eastern coast of Australia were used to examine clinal patterns in the trait mean and genetic variance of the life-history trait egg-to-adult development time. Development time significantly lengthened from tropical areas to temperate areas. The additive genetic variance for development time in each population was not associated with latitude but was associated with the population mean development time. Additive genetic variance tended to be larger in populations with more extreme development times and appeared to be consistent with allele frequency change. In contrast, the nonadditive genetic variance was not associated with the population mean but was associated with latitude. Levels of nonadditive genetic variance were greatest in the region of the cline where the gradient in the change in mean was greatest, consistent with Barton's (1999) conjecture that the generation of linkage disequilibrium may become an important component of the genetic variance in systems with a spatially varying optimum.

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There has been a resurgence of interest in the mean trace length estimator of Pahl for window sampling of traces. The estimator has been dealt with by Mauldon and Zhang and Einstein in recent publications. The estimator is a very useful one in that it is non-parametric. However, despite some discussion regarding the statistical distribution of the estimator, none of the recent works or the original work by Pahl provide a rigorous basis for the determination a confidence interval for the estimator or a confidence region for the estimator and the corresponding estimator of trace spatial intensity in the sampling window. This paper shows, by consideration of a simplified version of the problem but without loss of generality, that the estimator is in fact the maximum likelihood estimator (MLE) and that it can be considered essentially unbiased. As the MLE, it possesses the least variance of all estimators and confidence intervals or regions should therefore be available through application of classical ML theory. It is shown that valid confidence intervals can in fact be determined. The results of the work and the calculations of the confidence intervals are illustrated by example. (C) 2003 Elsevier Science Ltd. All rights reserved.

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First, this study examined genetic and environmental sources of variation in performance on a standardised test of academic achievement, the Queensland Core Skills Test (QCST) (Queensland Studies Authority, 2003a). Second, it assessed the genetic correlation among the QCST score and Verbal and Performance IQ measures using the Multidimensional Aptitude Battery (MAB), [Jackson, D. N. (1984) Multidimensional Aptitude Battery manual. Port Huron, MI:Research Psychologist Press, Inc.]. Participants were 256 monozygotic twin pairs and 326 dizygotic twin pairs aged from 15 to 18 years (mean 17 years +/- 0.4 [SD]) when achievement tested, and from 15 to 22 years (mean 16 years +/- 0.4 [SD]) when IQ tested. Univariate analysis indicated a heritability for the QCST of 0.72. Adjustment to this estimate due to truncate selection (downward adjustment) and positive phenotypic assortative mating (upward adjustment) suggested a heritability of 0.76 The phenotypic (0.81) and genetic (0.91) correlations between the QCST and Verbal IQ (VIQ) were significantly stronger than the phenotypic (0.57) and genetic (0.64) correlations between the QCST and Performance IQ (PIQ). The findings suggest that individual variation in QCST performance is largely due to genetic factors and that common environmental effects may be substantially accounted for by phenotypic assortative mating. Covariance between academic achievement on the QCST and psychometric IQ (particularly VIQ) is to a large extent due to common genetic influences.

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We investigate analytically the first and the second law characteristics of fully developed forced convection inside a porous-saturated duct of rectangular cross-section. The Darcy-Brinkman flow model is employed. Three different types of thermal boundary conditions are examined. Expressions for the Nusselt number, the Bejan number, and the dimensionless entropy generation rate are presented in terms of the system parameters. The conclusions of this analytical study will make it possible to compare, evaluate, and optimize alternative rectangular duct design options in terms of heat transfer, pressure drop, and entropy generation. (c) 2006 Elsevier Ltd. All rights reserved.

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The deep-sea pearleye, Scopelarchus michaelsarsi (Scopelarchidae) is a mesopelagic teleost with asymmetric or tubular eyes. The main retina subtends a large dorsal binocular field, while the accessory retina subtends a restricted monocular field of lateral visual space. Ocular specializations to increase the lateral visual field include an oblique pupil and a corneal lens pad. A detailed morphological and topographic study of the photoreceptors and retinal ganglion cells reveals seven specializations: a centronasal region of the main retina with ungrouped rod-like photoreceptors overlying a retinal tapetum; a region of high ganglion cell density (area centralis of 56.1x10(3) cells per mm(2)) in the centrolateral region of the main retina; a centrotemporal region of the main retina with grouped rod-like photoreceptors; a region (area giganto cellularis) of large (32.2+/-5.6 mu m(2)), alpha-like ganglion cells arranged in a regular array (nearest neighbour distance 53.5+/-9.3 mu m with a conformity ratio of 5.8) in the temporal main retina; an accessory retina with grouped rod-like photoreceptors; a nasotemporal band of a mixture of rod-and cone-like photoreceptors restricted to the ventral accessory retina; and a retinal diverticulum comprised of a ventral region of differentiated accessory retina located medial to the optic nerve head. Retrograde labelling from the optic nerve with DiI shows that approximately 14% of the cells in the ganglion cell layer of the main retina are displaced amacrine cells at 1.5 mm eccentricity. Cryosectioning of the tubular eye confirms Matthiessen's ratio (2.59), and calculations of the spatial resolving power suggests that the function of the area centralis (7.4 cycles per degree/8.1 minutes of are) and the cohort of temporal alpha-like ganglion cells (0.85 cycles per degree/70.6 minutes of are) in the main retina may be different. Low summation ratios in these various retinal zones suggests that each zone may mediate distinct visual tasks in a certain region of the visual field by optimizing sensitivity and/or resolving power.

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1 The hepatic disposition and metabolite kinetics of a homologous series of O-acyl (acetyl, propionyl, butanoyl, pentanoyl, hexanoyl and octanoyl) esters of salicylic acid (C2SA, C3SA, C4SA, C5SA, C6SA and C8SA, respectively) was determined using a single-pass, in-sills rat liver preparation. 2 The hepatic venous outflow profiles for the parent esters and the generated metabolite, salicylic acid (SA) were analysed by HPLC. Non-parametric moments analysis was used to determine the area under the curve (AUC'), mean transit time (MTT) and normalized variance (CV2) for the parent esters and generated SA. 3 Pregenerated SA ([C-14]-salicylic acid) was injected into each liver with the parent ester to determine its distribution characteristics. 4 The overall recovery of ester plus metabolite was 89% of the ester dose injected and independent of the ester carbon number, suggesting that ester extraction was due to hepatic metabolism to salicylic acid. 5 The metabolite AUC' value increased directly with the lipophilicity of the parent ester (from 0.12 for C2SA to 0.95 for C8SA). By contrast, the parent AUC' decreased with the lipophilicity (from 0.85 for C2SA to zero for C8SA). The metabolite MTT value also showed a trend to increase with the lipophilicity of the parent ester (from 15.72 s for C3SA to 61.97 s for C8SA). However, the parent MTT value shows no significant change across the series. 6 The two-compartment dispersion model was used to derive the kinetic parameters for parent ester, pregenerated SA and generated SA. Consequently, these parameters were used to estimate the values of AUG', MITT and CV2 for the parent ester and metabolite. The moments values obtained using the two-compartment dispersion model show similar trends to the corresponding moments values obtained from the outflow profiles using a non-parametric approach. 7 The more lipophilic aspirin analogues are more confined to the portal circulation after oral administration than aspirin due to their more extensive hepatic elimination avoiding systemic prostacyclin inhibition. Given that aspirin's selectivity as an anti-thrombotic agent has been postulated to be due to selective anti-platelet effects in the portal circulation, the more lipophilic and highly extracted analogues are potentially more selective anti-thrombotic agents than aspirin.

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Power system small signal stability analysis aims to explore different small signal stability conditions and controls, namely: (1) exploring the power system security domains and boundaries in the space of power system parameters of interest, including load flow feasibility, saddle node and Hopf bifurcation ones; (2) finding the maximum and minimum damping conditions; and (3) determining control actions to provide and increase small signal stability. These problems are presented in this paper as different modifications of a general optimization to a minimum/maximum, depending on the initial guesses of variables and numerical methods used. In the considered problems, all the extreme points are of interest. Additionally, there are difficulties with finding the derivatives of the objective functions with respect to parameters. Numerical computations of derivatives in traditional optimization procedures are time consuming. In this paper, we propose a new black-box genetic optimization technique for comprehensive small signal stability analysis, which can effectively cope with highly nonlinear objective functions with multiple minima and maxima, and derivatives that can not be expressed analytically. The optimization result can then be used to provide such important information such as system optimal control decision making, assessment of the maximum network's transmission capacity, etc. (C) 1998 Elsevier Science S.A. All rights reserved.

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A space-marching code for the simulation and optimization of inviscid supersonic flow in three dimensions is described. The now in a scramjet module with a relatively complex three-dimensional geometry is examined and wall-pressure estimates are compared with experimental data. Given that viscous effects are not presently included, the comparison is reasonable. The thermodynamic compromise of adding heat in a diverging combustor is also examined. The code is then used to optimize the shape of a thrust surface for a simpler (box-section) scramjet module in the presence of uniform and nonuniform heat distributions. The optimum two-dimensional profiles for the thrust surface are obtained via a perturbation procedure that requires about 30-50 now solutions. It is found that the final shapes are fairly insensitive to the details of the heat distribution.