A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Three-dimensional electrical impedance, tomography: A topology optimization approach

Electrical impedance tomography is a technique to estimate the impedance distribution within a domain, based on measurements on its boundary. In other words, given the mathematical model of the domain, its geometry and boundary conditions, a nonlinear inverse problem of estimating the electric impedance distribution can be solved. Several impedance estimation algorithms have been proposed to solve this problem. In this paper, we present a three-dimensional algorithm, based on the topology optimization method, as an alternative. A sequence of linear programming problems, allowing for constraints, is solved utilizing this method. In each iteration, the finite element method provides the electric potential field within the model of the domain. An electrode model is also proposed (thus, increasing the accuracy of the finite element results). The algorithm is tested using numerically simulated data and also experimental data, and absolute resistivity values are obtained. These results, corresponding to phantoms with two different conductive materials, exhibit relatively well-defined boundaries between them, and show that this is a practical and potentially useful technique to be applied to monitor lung aeration, including the possibility of imaging a pneumothorax.

A linear optimization approach to the combined production planning model

Two fundamental processes usually arise in the production planning of many industries. The first one consists of deciding how many final products of each type have to be produced in each period of a planning horizon, the well-known lot sizing problem. The other process consists of cutting raw materials in stock in order to produce smaller parts used in the assembly of final products, the well-studied cutting stock problem. In this paper the decision variables of these two problems are dependent of each other in order to obtain a global optimum solution. Setups that are typically present in lot sizing problems are relaxed together with integer frequencies of cutting patterns in the cutting problem. Therefore, a large scale linear optimizations problem arises, which is exactly solved by a column generated technique. It is worth noting that this new combined problem still takes the trade-off between storage costs (for final products and the parts) and trim losses (in the cutting process). We present some sets of computational tests, analyzed over three different scenarios. These results show that, by combining the problems and using an exact method, it is possible to obtain significant gains when compared to the usual industrial practice, which solve them in sequence. (C) 2010 The Franklin Institute. Published by Elsevier Ltd. All rights reserved.

Orthogonal packing of identical rectangles within isotropic convex regions

A mixed integer continuous nonlinear model and a solution method for the problem of orthogonally packing identical rectangles within an arbitrary convex region are introduced in the present work. The convex region is assumed to be made of an isotropic material in such a way that arbitrary rotations of the items, preserving the orthogonality constraint, are allowed. The solution method is based on a combination of branch and bound and active-set strategies for bound-constrained minimization of smooth functions. Numerical results show the reliability of the presented approach. (C) 2010 Elsevier Ltd. All rights reserved.

Outer Trust-Region Method for Constrained Optimization

Given an algorithm A for solving some mathematical problem based on the iterative solution of simpler subproblems, an outer trust-region (OTR) modification of A is the result of adding a trust-region constraint to each subproblem. The trust-region size is adaptively updated according to the behavior of crucial variables. The new subproblems should not be more complex than the original ones, and the convergence properties of the OTR algorithm should be the same as those of Algorithm A. In the present work, the OTR approach is exploited in connection with the ""greediness phenomenon"" of nonlinear programming. Convergence results for an OTR version of an augmented Lagrangian method for nonconvex constrained optimization are proved, and numerical experiments are presented.

An effective recursive partitioning approach for the packing of identical rectangles in a rectangle

In this work, we deal with the problem of packing (orthogonally and without overlapping) identical rectangles in a rectangle. This problem appears in different logistics settings, such as the loading of boxes on pallets, the arrangements of pallets in trucks and the stowing of cargo in ships. We present a recursive partitioning approach combining improved versions of a recursive five-block heuristic and an L-approach for packing rectangles into larger rectangles and L-shaped pieces. The combined approach is able to rapidly find the optimal solutions of all instances of the pallet loading problem sets Cover I and II (more than 50 000 instances). It is also effective for solving the instances of problem set Cover III (almost 100 000 instances) and practical examples of a woodpulp stowage problem, if compared to other methods from the literature. Some theoretical results are also discussed and, based on them, efficient computer implementations are introduced. The computer implementation and the data sets are available for benchmarking purposes. Journal of the Operational Research Society (2010) 61, 306-320. doi: 10.1057/jors.2008.141 Published online 4 February 2009

Minimizing the object dimensions in circle and sphere packing problems

Given a fixed set of identical or different-sized circular items, the problem we deal with consists on finding the smallest object within which the items can be packed. Circular, triangular, squared, rectangular and also strip objects are considered. Moreover, 2D and 3D problems are treated. Twice-differentiable models for all these problems are presented. A strategy to reduce the complexity of evaluating the models is employed and, as a consequence, instances with a large number of items can be considered. Numerical experiments show the flexibility and reliability of the new unified approach. (C) 2007 Elsevier Ltd. All rights reserved.

Spectral Region Optimization for Raman-Based Optical Biopsy of Inflammatory Lesions

Objective: The biochemical alterations between inflammatory fibrous hyperplasia (IFH) and normal tissues of buccal mucosa were probed by using the FT-Raman spectroscopy technique. The aim was to find the minimal set of Raman bands that would furnish the best discrimination. Background: Raman-based optical biopsy is a widely recognized potential technique for noninvasive real-time diagnosis. However, few studies had been devoted to the discrimination of very common subtle or early pathologic states as inflammatory processes that are always present on, for example, cancer lesion borders. Methods: Seventy spectra of IFH from 14 patients were compared with 30 spectra of normal tissues from six patients. The statistical analysis was performed with principal components analysis and soft independent modeling class analogy cross-validated, leave-one-out methods. Results: Bands close to 574, 1,100, 1,250 to 1,350, and 1,500 cm(-1) (mainly amino acids and collagen bands) showed the main intragroup variations that are due to the acanthosis process in the IFH epithelium. The 1,200 (C-C aromatic/DNA), 1,350 (CH(2) bending/collagen 1), and 1,730 cm(-1) (collagen III) regions presented the main intergroup variations. This finding was interpreted as originating in an extracellular matrix-degeneration process occurring in the inflammatory tissues. The statistical analysis results indicated that the best discrimination capability (sensitivity of 95% and specificity of 100%) was found by using the 530-580 cm(-1) spectral region. Conclusions: The existence of this narrow spectral window enabling normal and inflammatory diagnosis also had useful implications for an in vivo dispersive Raman setup for clinical applications.

Optimization of the Enzymatic Interesterification of Milk Fat and Canola Oil Blends Using Immobilized Rhizopus oryzae Lipase by Response Surface Methodology

Blends of milk fat and canola oil (MF:CNO) were enzymatically interesterified (EIE) by Rhizopus oryzne lipase immobilized on polysiloxane-polyvinyl alcohol (SiO(2)-PVA) composite, in a solvent-free system. A central composite design (CCD) was used to optimize the reaction, considering the effects of different mass fractions of binary blends of MF:CNO (50:50, 65:35 and 80:20) and temperatures (45, 55 and 65 degrees C) on the composition and texture properties of the interesterified products, taking the interesterification degree (ID) and consistency (at 10 degrees C) as response variables. For the ID variable both mass fraction of milk fat in the blend and temperature were found to be significant, while for the consistency only mass fraction of milk fat was significant. Empiric models for ID and consistency were obtained that allowed establishing the best interesterification conditions: blend with 65 % of milk fat and 35 %, of canola oil, and temperature of 45 degrees C. Under these conditions, the ID was 19.77 %) and the consistency at 10 degrees C was 56 290 Pa. The potential of this eco-friendly process demonstrated that a product could be obtained with the desirable milk fat flavour and better spreadability under refrigerated conditions.

Optimization and validation of a LIBS method for the determination of macro and micronutrients in sugar cane leaves

Laser induced breakdown spectrometry (LIBS) was applied for the determination of macro (P, K, Ca, Mg) and micronutrients (B, Cu, Fe, Mn and Zn) in sugar cane leaves, which is one of the most economically important crops in Brazil. Operational conditions were previously optimized by a neuro-genetic approach, by using a laser Nd:YAG at 1064 nm with 110 mJ per pulse focused on a pellet surface prepared with ground plant samples. Emission intensities were measured after 2.0 mu s delay time, with 4.5 mu s integration time gate and 25 accumulated laser pulses. Measurements of LIBS spectra were based on triplicate and each replicate consisted of an average of ten spectra collected in different sites (craters) of the pellet. Quantitative determinations were carried out by using univariate calibration and chemometric methods, such as PLSR and iPLS. The calibration models were obtained by using 26 laboratory samples and the validation was carried out by using 15 test samples. For comparative purpose, these samples were also microwave-assisted digested and further analyzed by ICP OES. In general, most results obtained by LIBS did not differ significantly from ICP OES data by applying a t-test at 95% confidence level. Both LIBS multivariate and univariate calibration methods produced similar results, except for Fe where better results were achieved by the multivariate approach. Repeatability precision varied from 0.7 to 15% and 1.3 to 20% from measurements obtained by multivariate and univariate calibration, respectively. It is demonstrated that LIBS is a powerful tool for analysis of pellets of plant materials for determination of macro and micronutrients by choosing calibration and validation samples with similar matrix composition.

Exercise intensity optimization for men with high cardiorespiratory fitness

Exercise intensity is a key parameter for exercise prescription but the optimal range for individuals with high cardiorespiratory fitness is unknown. The aims of this study were (1) to determine optimal heart rate ranges for men with high cardiorespiratory fitness based on percentages of maximal oxygen consumption (%VO(2max)) and reserve oxygen consumption (%VO(2reserve)) corresponding to the ventilatory threshold and respiratory compensation point, and ( 2) to verify the effect of advancing age on the exercise intensities. Maximal cardiorespiratory testing was performed on 210 trained men. Linear regression equations were calculated using paired data points between percentage of maximal heart rate (%HR(max)) and %VO(2max) and between percentage of heart rate reserve (%HRR) and %VO(2reserve) attained at each minute during the test. Values of %VO(2max) and %VO(2reserve) at the ventilatory threshold and respiratory compensation point were used to calculate the corresponding values of %HRmax and %HRR, respectively. The ranges of exercise intensity in relation to the ventilatory threshold and respiratory compensation point were achieved at 78-93% of HR(max) and 70-93% of HRR, respectively. Although absolute heart rate decreased with advancing age, there were no age-related differences in %HR(max) and %HRR at the ventilatory thresholds. Thus, in men with high cardiorespiratory fitness, the ranges of exercise intensity based on %HR(max) and %HRR regarding ventilatory threshold were 78-93% and 70-93% respectively, and were not influenced by advancing age.

Optimization of the AZO dyes decoloration process through neural networks: Determination of the H2O2 addition critical point

The concentration of hydrogen peroxide is an important parameter in the azo dyes decoloration process through the utilization of advanced oxidizing processes, particularly by oxidizing via UV/H2O2. It is pointed out that, from a specific concentration, the hydrogen peroxide works as a hydroxyl radical self-consumer and thus a decrease of the system`s oxidizing power happens. The determination of the process critical point (maximum amount of hydrogen peroxide to be added) was performed through a ""thorough mapping"" or discretization of the target region, founded on the maximization of an objective function objective (constant of reaction kinetics of pseudo-first order). The discretization of the operational region occurred through a feedforward backpropagation neural model. The neural model obtained presented remarkable coefficient of correlation between real and predicted values for the absorbance variable, above 0.98. In the present work, the neural model had, as phenomenological basis the Acid Brown 75 dye decoloration process. The hydrogen peroxide addition critical point, represented by a value of mass relation (F) between the hydrogen peroxide mass and the dye mass, was established in the interval 50 < F < 60. (C) 2007 Elsevier B.V. All rights reserved.

Optimization of Heat Treatment Profiles Applied to Nanometric-Scale Nb(3)Sn Wires With Cu-Sn Artificial Pinning Centers

Nb(3)Sn is one of the most used superconducting materials for applications in high magnetic fields. The improvement of the critical current densities (J(c)) is important, and must be analyzed together with the optimization of the flux pinning acting in the material. For Nb(3)Sn, it is known that the grain boundaries are the most effective pinning centers. However, the introduction of artificial pinning centers (APCs) with different superconducting properties has been proved to be beneficial for J(c). As these APCs are normally in the nanometric-scale, the conventional heat treatment profiles used for Nb(3)Sn wires cannot be directly applied, leading to excessive grain growth and/or increase of the APCs cross sections. In this work, the heat treatment profiles for Nb(3)Sn superconductor wires with Cu(Sn) artificial pinning centers in nanometric-scale were analyzed in an attempt to improve J(c) . It is described a methodology to optimize the heat treatment profiles in respect to diffusion, reaction and formation of the superconducting phases. Microstructural, transport and magnetic characterization were performed in an attempt to find the pinning mechanisms acting in the samples. It was concluded that the maximum current densities were found when normal phases (due to the introduction of the APCs) are acting as main pinning centers in the global behavior of the Nb(3)Sn superconducting wire.

Improved xylitol production in media containing phenolic aldehydes: application of response surface methodology for optimization and modeling of bioprocess

BACKGROUND: The combined effects of vanillin and syringaldehyde on xylitol production by Candida guilliermondii using response surface methodology (RSM) have been studied. A 2(2) full-factorial central composite design was employed for experimental design and analysis of the results. RESULTS: Maximum xylitol productivities (Q(p) = 0.74 g L(-1) h(-1)) and yields (Y(P/S) = 0.81 g g(-1)) can be attained by adding only vanillin at 2.0 g L(-1) to the fermentation medium. These data were closely correlated with the experimental results obtained (0.69 +/- 0.04 g L(-1) h(-1) and 0.77 +/- 0.01 g g(-1)) indicating a good agreement with the predicted value. C. guilliermondii was able to convert vanillin completely after 24 h of fermentation with 94% yield of vanillyl alcohol. CONCLUSIONS: The bioconversion of xylose into xylitol by C. guilliermondii is strongly dependent on the combination of aldehydes and phenolics in the fermentation medium. Vanillin is a source of phenolic compound able to improve xylitol production by yeast. The conversion of vanillin to alcohol vanilyl reveals the potential of this yeast for medium detoxification. (C) 2009 Society of Chemical Industry

Flux Pinning Optimization of MgB(2) Bulk Samples Prepared Using High-Energy Ball Milling and Addition of TaB(2)

MgB(2) is considered to be an important conductor for applications. Optimizing flux pinning in these conductors can improve their critical currents. Doping can influence flux pinning efficiency and grain connectivity, and also affect the resistivity, upper critical field and critical temperature. This study was designed to attempt the doping of MgB(2) on the Mg sites with metal-diborides using high-energy ball milling. MgB(2) samples were prepared by milling pre-reacted MgB(2) and TaB(2) powders using a Spex 8000M mill with WC jars and balls in a nitrogen-filled glove box. The mixing concentration in (Mg(1-x)Ta(x))B(2) was up to x = 0.10. Samples were removed from the WC jars after milling times up to 4000 minutes and formed into pellets using cold isostatic pressing. The pellets were heat treated in a hot isostatic press (HIP) at 1000 degrees C under a pressure of 30 kpsi for 24 hours. The influence that milling time and TaB(2) addition had on the microstructure and the resulting superconducting properties of TaB(2)-added MgB(2) is discussed. Improvement J(c) of at high magnetic fields and of pinning could be obtained in milled samples with added TaB(2) The sample with added 5at.% TaB(2) and milled for 300 minutes showed values of J(c) similar to 7 x 10(5) A/cm(2) and F(p) similar to 14 GN/m(3) at 2T, 4.2 K. The milled and TaB(2)-mixed samples showed higher values of mu(0)H(irr) than the unmilled-unmixed sample.