Machine learning Vasicek model calibration with Gaussian processes

In this article, we calibrate the Vasicek interest rate model under the risk neutral measure by learning the model parameters using Gaussian processes for machine learning regression. The calibration is done by maximizing the likelihood of zero coupon bond log prices, using mean and covariance functions computed analytically, as well as likelihood derivatives with respect to the parameters. The maximization method used is the conjugate gradients. The only prices needed for calibration are zero coupon bond prices and the parameters are directly obtained in the arbitrage free risk neutral measure.

A numerical analysis of generalized Boussinesq-type equation using continuos/discontinuous FEM

An improved class of Boussinesq systems of an arbitrary order using a wave surface elevation and velocity potential formulation is derived. Dissipative effects and wave generation due to a time-dependent varying seabed are included. Thus, high-order source functions are considered. For the reduction of the system order and maintenance of some dispersive characteristics of the higher-order models, an extra O(mu 2n+2) term (n ??? N) is included in the velocity potential expansion. We introduce a nonlocal continuous/discontinuous Galerkin FEM with inner penalty terms to calculate the numerical solutions of the improved fourth-order models. The discretization of the spatial variables is made using continuous P2 Lagrange elements. A predictor-corrector scheme with an initialization given by an explicit RungeKutta method is also used for the time-variable integration. Moreover, a CFL-type condition is deduced for the linear problem with a constant bathymetry. To demonstrate the applicability of the model, we considered several test cases. Improved stability is achieved.

Generalized models from Beta(p,2) densities with strong allee effect: dynamical approach

A dynamical approach to study the behaviour of generalized populational growth models from Bets(p, 2) densities, with strong Allee effect, is presented. The dynamical analysis of the respective unimodal maps is performed using symbolic dynamics techniques. The complexity of the correspondent discrete dynamical systems is measured in terms of topological entropy. Different populational dynamics regimes are obtained when the intrinsic growth rates are modified: extinction, bistability, chaotic semistability and essential extinction.

Avaliação do potencial eólico para geração de energia eléctrica

Trabalho Final de Mestrado para a obtenção do grau de Mestre em Engenharia Mecânica /Energia

18F-FDG measurement in primary lung cancer: SUV normalization to different distribution volumes

Introduction: Standard Uptake Value (SUV) is a measurement of the uptake in a tumour normalized on the basis of a distribution volume and is used to quantify 18F-Fluorodeoxiglucose (FDG) uptake in tumors, such as primary lung tumor. Several sources of error can affect its accuracy. Normalization can be based on body weight, body surface area (BSA) and lean body mass (LBM). The aim of this study is to compare the influence of 3 normalization volumes in the calculation of SUV: body weight (SUVW), BSA (SUVBSA) and LBM (SUVLBM), with and without glucose correction, in patients with known primary lung tumor. The correlation between SUV and weight, height, blood glucose level, injected activity and time between injection and image acquisition is evaluated. Methods: Sample included 30 subjects (8 female and 22 male) with primary lung tumor, with clinical indication for 18F-FDG Positron Emission Tomography (PET). Images were acquired on a Siemens Biography according to the department’s protocol. Maximum pixel SUVW was obtained for abnormal uptake focus through semiautomatic VOI with Quantification 3D isocontour (threshold 2.5). The concentration of radioactivity (kBq/ml) was obtained from SUVW, SUVBSA, SUVLBM and the glucose corrected SUV were mathematically obtained. Results: Statistically significant differences between SUVW, SUVBSA and SUVLBM and between SUVWgluc, SUVBSAgluc and SUVLBMgluc were observed (p=0.000<0.05). The blood glucose level showed significant positive correlations with SUVW (r=0.371; p=0.043) and SUVLBM (r=0.389; p=0.034). SUVBSA showed independence of variations with the blood glucose level. Conclusion: The measurement of a radiopharmaceutical tumor uptake normalized on the basis of different distribution volumes is still variable. Further investigation on this subject is recommended.

Magnetic flux density distribution in the air gap of a ferromagnetic core with superconducting blocks: three-dimensional analysis and experimental NMR results

The design of magnetic cores can be carried out by taking into account the optimization of different parameters in accordance with the application requirements. Considering the specifications of the fast field cycling nuclear magnetic resonance (FFC-NMR) technique, the magnetic flux density distribution, at the sample insertion volume, is one of the core parameters that needs to be evaluated. Recently, it has been shown that the FFC-NMR magnets can be built on the basis of solenoid coils with ferromagnetic cores. Since this type of apparatus requires magnets with high magnetic flux density uniformity, a new type of magnet using a ferromagnetic core, copper coils, and superconducting blocks was designed with improved magnetic flux density distribution. In this paper, the designing aspects of the magnet are described and discussed with emphasis on the improvement of the magnetic flux density homogeneity (Delta B/B-0) in the air gap. The magnetic flux density distribution is analyzed based on 3-D simulations and NMR experimental results.

Brownian bridge and other path-dependent Gaussian processes vectorial simulation

The iterative simulation of the Brownian bridge is well known. In this article, we present a vectorial simulation alternative based on Gaussian processes for machine learning regression that is suitable for interpreted programming languages implementations. We extend the vectorial simulation of path-dependent trajectories to other Gaussian processes, namely, sequences of Brownian bridges, geometric Brownian motion, fractional Brownian motion, and Ornstein-Ulenbeck mean reversion process.

Generalized synchronization in a system of several non-autonomous oscillators coupled by a medium

An abstract theory on general synchronization of a system of several oscillators coupled by a medium is given. By generalized synchronization we mean the existence of an invariant manifold that allows a reduction in dimension. The case of a concrete system modeling the dynamics of a chemical solution on two containers connected to a third container is studied from the basics to arbitrary perturbations. Conditions under which synchronization occurs are given. Our theoretical results are complemented with a numerical study.

On derivatives and norms of generalized matrix functions and respective symmetric powers

In recent papers, the authors obtained formulas for directional derivatives of all orders, of the immanant and of the m-th xi-symmetric tensor power of an operator and a matrix, when xi is a character of the full symmetric group. The operator norm of these derivatives was also calculated. In this paper, similar results are established for generalized matrix functions and for every symmetric tensor power.

The semigroup ring of a restriction semigroup with an inverse skeleton

In this paper we investigate some classes of semigroup rings with respect to (semi)primeness and (semi)primitivity. We do so by extending the techniques developed by Munn in (Proc R Soc Edinbur Sect A 107:175-196, 1987) and (Proc R Soc Edinbur Sect A 115:109-117, 1990) for the study of semigroup rings of inverse semigroups. Restriction, weakly ample and ample semigroups are considered.