Parametric VaR with goodness-of-fit tests based on EDF statistics for extreme returns

Parametric VaR (Value-at-Risk) is widely used due to its simplicity and easy calculation. However, the normality assumption, often used in the estimation of the parametric VaR, does not provide satisfactory estimates for risk exposure. Therefore, this study suggests a method for computing the parametric VaR based on goodness-of-fit tests using the empirical distribution function (EDF) for extreme returns, and compares the feasibility of this method for the banking sector in an emerging market and in a developed one. The paper also discusses possible theoretical contributions in related fields like enterprise risk management (ERM). © 2013 Elsevier Ltd.

APPROXIMATE CALCULATION OF SUMS I: BOUNDS FOR THE ZEROS OF GRAM POLYNOMIALS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A proposal for reservoir volume calculation in rainwater harvesting systems

This paper introduces a proposal for reservoir volume calculation in rainwater harvesting systems. The proposed method can be used for reservoir volume design in rainwater harvesting systems and is based on three important variables. These variables are water demand, system efficiency and repayment time. Several simulations were carried out in different scenarios considering typical values of both catchment area (for low-income and medium-income households) and water demand, with fixed water and tank costs. Results showed that the integrated analysis of demand, efficiency and repayment time may assist designers to determine a more adequate reservoir volume.

Study of elastic properies of Ti3Al intermetallic compound using the ab initio calculation

The elastic properties of a Ti3Al intermetallic compound were studied using full potential (FP LAPW ) with the APW+lo method. The FP-LAPW is among the most accurate band structure calculations currently available and is based on the density functional theory with general gradient approximation for the exchange and correlation potential. This method provides the structural properties of the ground state as bulk modulus, equilibrium lattice parameter, and equilibrium minimum energy, and the elastic properties as shear modulus, young modulus, Zener coefficient (anisotropy), and Poisson coefficient. The calculated elastic properties are coherent with the elastic properties of the material.

Comparison of different dosimetric methods for red marrow absorbed dose calculation in thyroid cancer therapy

Several dosimetric methods have been proposed for estimating red marrow absorbed dose (RMAD) when radionuclide therapy is planned for differentiated thyroid cancer, although to date, there is no consensus as to whether dose calculation should be based on blood-activity concentration or not. Our purpose was to compare RMADs derived from methods that require collecting patients' blood samples versus those involving OLINDA/EXM software, thereby precluding this invasive procedure. This is a retrospective study that included 34 patients under treatment for metastatic thyroid disease. A deviation of 10 between RMADs was found, when comparing the doses from the most usual invasive dosimetric methods and those from OLINDA/EXM. No statistical difference between the methods was discovered, whereby the need for invasive procedures when calculating the dose is questioned. The use of OLINDA/EXM in clinical routine could possibly diminish data collection, thus giving rise to a simultaneous reduction in time and clinical costs, besides avoiding any kind of discomfort on the part of the patients involved.

Utility Harmonic Impedance Measurement Based on Data Selection

Determination of the utility harmonic impedance based on measurements is a significant task for utility power-quality improvement and management. Compared to those well-established, accurate invasive methods, the noninvasive methods are more desirable since they work with natural variations of the loads connected to the point of common coupling (PCC), so that no intentional disturbance is needed. However, the accuracy of these methods has to be improved. In this context, this paper first points out that the critical problem of the noninvasive methods is how to select the measurements that can be used with confidence for utility harmonic impedance calculation. Then, this paper presents a new measurement technique which is based on the complex data-based least-square regression, combined with two techniques of data selection. Simulation and field test results show that the proposed noninvasive method is practical and robust so that it can be used with confidence to determine the utility harmonic impedances.

Goal-directed fluid management based on pulse pressure variation monitoring during high-risk surgery: a pilot randomized controlled trial

Abstract Introduction Several studies have shown that maximizing stroke volume (or increasing it until a plateau is reached) by volume loading during high-risk surgery may improve post-operative outcome. This goal could be achieved simply by minimizing the variation in arterial pulse pressure (ΔPP) induced by mechanical ventilation. We tested this hypothesis in a prospective, randomized, single-centre study. The primary endpoint was the length of postoperative stay in hospital. Methods Thirty-three patients undergoing high-risk surgery were randomized either to a control group (group C, n = 16) or to an intervention group (group I, n = 17). In group I, ΔPP was continuously monitored during surgery by a multiparameter bedside monitor and minimized to 10% or less by volume loading. Results Both groups were comparable in terms of demographic data, American Society of Anesthesiology score, type, and duration of surgery. During surgery, group I received more fluid than group C (4,618 ± 1,557 versus 1,694 ± 705 ml (mean ± SD), P < 0.0001), and ΔPP decreased from 22 ± 75 to 9 ± 1% (P < 0.05) in group I. The median duration of postoperative stay in hospital (7 versus 17 days, P < 0.01) was lower in group I than in group C. The number of postoperative complications per patient (1.4 ± 2.1 versus 3.9 ± 2.8, P < 0.05), as well as the median duration of mechanical ventilation (1 versus 5 days, P < 0.05) and stay in the intensive care unit (3 versus 9 days, P < 0.01) was also lower in group I. Conclusion Monitoring and minimizing ΔPP by volume loading during high-risk surgery improves postoperative outcome and decreases the length of stay in hospital. Trial registration NCT00479011

Calculation of parameter ranges for robust gain tuning of power system controllers

This work proposes a computational tool to assist power system engineers in the field tuning of power system stabilizers (PSSs) and Automatic Voltage Regulators (AVRs). The outcome of this tool is a range of gain values for theses controllers within which there is a theoretical guarantee of stability for the closed-loop system. This range is given as a set of limit values for the static gains of the controllers of interest, in such a way that the engineer responsible for the field tuning of PSSs and/or AVRs can be confident with respect to system stability when adjusting the corresponding static gains within this range. This feature of the proposed tool is highly desirable from a practical viewpoint, since the PSS and AVR commissioning stage always involve some readjustment of the controller gains to account for the differences between the nominal model and the actual behavior of the system. By capturing these differences as uncertainties in the model, this computational tool is able to guarantee stability for the whole uncertain model using an approach based on linear matrix inequalities. It is also important to remark that the tool proposed in this paper can also be applied to other types of parameters of either PSSs or Power Oscillation Dampers, as well as other types of controllers (such as speed governors, for example). To show its effectiveness, applications of the proposed tool to two benchmarks for small signal stability studies are presented at the end of this paper.

Shear force and torsion in reinforced concrete beam elements: theoretical analysis based on Brazilian Standard Code ABNT NBR 6118:2007

Reinforced concrete beam elements are submitted to applicable loads along their life cycle that cause shear and torsion. These elements may be subject to only shear, pure torsion or both, torsion and shear combined. The Brazilian Standard Code ABNT NBR 6118:2007 [1] fixes conditions to calculate the transverse reinforcement area in beam reinforced concrete elements, using two design models, based on the strut and tie analogy model, first studied by Mörsch [2]. The strut angle θ (theta) can be considered constant and equal to 45º (Model I), or varying between 30º and 45º (Model II). In the case of transversal ties (stirrups), the variation of angle α (alpha) is between 45º and 90º. When the equilibrium torsion is required, a resistant model based on space truss with hollow section is considered. The space truss admits an inclination angle θ between 30º and 45º, in accordance with beam elements subjected to shear. This paper presents a theoretical study of models I and II for combined shear and torsion, in which ranges the geometry and intensity of action in reinforced concrete beams, aimed to verify the consumption of transverse reinforcement in accordance with the calculation model adopted As the strut angle on model II ranges from 30º to 45º, transverse reinforcement area (Asw) decreases, and total reinforcement area, which includes longitudinal torsion reinforcement (Asℓ), increases. It appears that, when considering model II with strut angle above 40º, under shear only, transverse reinforcement area increases 22% compared to values obtained using model I.

Use of computer algebra in the calculation of Feynman diagrams

The increasing precision of current and future experiments in high-energy physics requires a likewise increase in the accuracy of the calculation of theoretical predictions, in order to find evidence for possible deviations of the generally accepted Standard Model of elementary particles and interactions. Calculating the experimentally measurable cross sections of scattering and decay processes to a higher accuracy directly translates into including higher order radiative corrections in the calculation. The large number of particles and interactions in the full Standard Model results in an exponentially growing number of Feynman diagrams contributing to any given process in higher orders. Additionally, the appearance of multiple independent mass scales makes even the calculation of single diagrams non-trivial. For over two decades now, the only way to cope with these issues has been to rely on the assistance of computers. The aim of the xloops project is to provide the necessary tools to automate the calculation procedures as far as possible, including the generation of the contributing diagrams and the evaluation of the resulting Feynman integrals. The latter is based on the techniques developed in Mainz for solving one- and two-loop diagrams in a general and systematic way using parallel/orthogonal space methods. These techniques involve a considerable amount of symbolic computations. During the development of xloops it was found that conventional computer algebra systems were not a suitable implementation environment. For this reason, a new system called GiNaC has been created, which allows the development of large-scale symbolic applications in an object-oriented fashion within the C++ programming language. This system, which is now also in use for other projects besides xloops, is the main focus of this thesis. The implementation of GiNaC as a C++ library sets it apart from other algebraic systems. Our results prove that a highly efficient symbolic manipulator can be designed in an object-oriented way, and that having a very fine granularity of objects is also feasible. The xloops-related parts of this work consist of a new implementation, based on GiNaC, of functions for calculating one-loop Feynman integrals that already existed in the original xloops program, as well as the addition of supplementary modules belonging to the interface between the library of integral functions and the diagram generator.

Advanced Numerical Simulation of Silicon-Based Solar Cells

Photovoltaic (PV) conversion is the direct production of electrical energy from sun without involving the emission of polluting substances. In order to be competitive with other energy sources, cost of the PV technology must be reduced ensuring adequate conversion efficiencies. These goals have motivated the interest of researchers in investigating advanced designs of crystalline silicon solar (c-Si) cells. Since lowering the cost of PV devices involves the reduction of the volume of semiconductor, an effective light trapping strategy aimed at increasing the photon absorption is required. Modeling of solar cells by electro-optical numerical simulation is helpful to predict the performance of future generations devices exhibiting advanced light-trapping schemes and to provide new and more specific guidelines to industry. The approaches to optical simulation commonly adopted for c-Si solar cells may lead to inaccurate results in case of thin film and nano-stuctured solar cells. On the other hand, rigorous solvers of Maxwell equations are really cpu- and memory-intensive. Recently, in optical simulation of solar cells, the RCWA method has gained relevance, providing a good trade-off between accuracy and computational resources requirement. This thesis is a contribution to the numerical simulation of advanced silicon solar cells by means of a state-of-the-art numerical 2-D/3-D device simulator, that has been successfully applied to the simulation of selective emitter and the rear point contact solar cells, for which the multi-dimensionality of the transport model is required in order to properly account for all physical competing mechanisms. In the second part of the thesis, the optical problems is discussed. Two novel and computationally efficient RCWA implementations for 2-D simulation domains as well as a third RCWA for 3-D structures based on an eigenvalues calculation approach have been presented. The proposed simulators have been validated in terms of accuracy, numerical convergence, computation time and correctness of results.

Diagnosis and Fault detection in Electrical Machines and Drives based on Advanced Signal Processing Techniques

In the present thesis, a new methodology of diagnosis based on advanced use of time-frequency technique analysis is presented. More precisely, a new fault index that allows tracking individual fault components in a single frequency band is defined. More in detail, a frequency sliding is applied to the signals being analyzed (currents, voltages, vibration signals), so that each single fault frequency component is shifted into a prefixed single frequency band. Then, the discrete Wavelet Transform is applied to the resulting signal to extract the fault signature in the frequency band that has been chosen. Once the state of the machine has been qualitatively diagnosed, a quantitative evaluation of the fault degree is necessary. For this purpose, a fault index based on the energy calculation of approximation and/or detail signals resulting from wavelet decomposition has been introduced to quantify the fault extend. The main advantages of the developed new method over existing Diagnosis techniques are the following: - Capability of monitoring the fault evolution continuously over time under any transient operating condition; - Speed/slip measurement or estimation is not required; - Higher accuracy in filtering frequency components around the fundamental in case of rotor faults; - Reduction in the likelihood of false indications by avoiding confusion with other fault harmonics (the contribution of the most relevant fault frequency components under speed-varying conditions are clamped in a single frequency band); - Low memory requirement due to low sampling frequency; - Reduction in the latency of time processing (no requirement of repeated sampling operation).

Efficient calculation of gluon amplitudes with n legs and an implementation of parton showers using the dipole formalism

The conventional way to calculate hard scattering processes in perturbation theory using Feynman diagrams is not efficient enough to calculate all necessary processes - for example for the Large Hadron Collider - to a sufficient precision. Two alternatives to order-by-order calculations are studied in this thesis.rnrnIn the first part we compare the numerical implementations of four different recursive methods for the efficient computation of Born gluon amplitudes: Berends-Giele recurrence relations and recursive calculations with scalar diagrams, with maximal helicity violating vertices and with shifted momenta. From the four methods considered, the Berends-Giele method performs best, if the number of external partons is eight or bigger. However, for less than eight external partons, the recursion relation with shifted momenta offers the best performance. When investigating the numerical stability and accuracy, we found that all methods give satisfactory results.rnrnIn the second part of this thesis we present an implementation of a parton shower algorithm based on the dipole formalism. The formalism treats initial- and final-state partons on the same footing. The shower algorithm can be used for hadron colliders and electron-positron colliders. Also massive partons in the final state were included in the shower algorithm. Finally, we studied numerical results for an electron-positron collider, the Tevatron and the Large Hadron Collider.

Packing a trunk : a physically based approach with full motional freedom

Geometric packing problems may be formulated mathematically as constrained optimization problems. But finding a good solution is a challenging task. The more complicated the geometry of the container or the objects to be packed, the more complex the non-penetration constraints become. In this work we propose the use of a physics engine that simulates a system of colliding rigid bodies. It is a tool to resolve interpenetration conflicts and to optimize configurations locally. We develop an efficient and easy-to-implement physics engine that is specialized for collision detection and contact handling. In succession of the development of this engine a number of novel algorithms for distance calculation and intersection volume were designed and imple- mented, which are presented in this work. They are highly specialized to pro- vide fast responses for cuboids and triangles as input geometry whereas the concepts they are based on can easily be extended to other convex shapes. Especially noteworthy in this context is our ε-distance algorithm - a novel application that is not only very robust and fast but also compact in its im- plementation. Several state-of-the-art third party implementations are being presented and we show that our implementations beat them in runtime and robustness. The packing algorithm that lies on top of the physics engine is a Monte Carlo based approach implemented for packing cuboids into a container described by a triangle soup. We give an implementation for the SAE J1100 variant of the trunk packing problem. We compare this implementation to several established approaches and we show that it gives better results in faster time than these existing implementations.

Dynamic distance analysis : new geometric data structures and algorithms for the real-time calculation of tolerance violating regions in the digital mockup process

In vielen Industriezweigen, zum Beispiel in der Automobilindustrie, werden Digitale Versuchsmodelle (Digital MockUps) eingesetzt, um die Konstruktion und die Funktion eines Produkts am virtuellen Prototypen zu überprüfen. Ein Anwendungsfall ist dabei die Überprüfung von Sicherheitsabständen einzelner Bauteile, die sogenannte Abstandsanalyse. Ingenieure ermitteln dabei für bestimmte Bauteile, ob diese in ihrer Ruhelage sowie während einer Bewegung einen vorgegeben Sicherheitsabstand zu den umgebenden Bauteilen einhalten. Unterschreiten Bauteile den Sicherheitsabstand, so muss deren Form oder Lage verändert werden. Dazu ist es wichtig, die Bereiche der Bauteile, welche den Sicherhabstand verletzen, genau zu kennen. rnrnIn dieser Arbeit präsentieren wir eine Lösung zur Echtzeitberechnung aller den Sicherheitsabstand unterschreitenden Bereiche zwischen zwei geometrischen Objekten. Die Objekte sind dabei jeweils als Menge von Primitiven (z.B. Dreiecken) gegeben. Für jeden Zeitpunkt, in dem eine Transformation auf eines der Objekte angewendet wird, berechnen wir die Menge aller den Sicherheitsabstand unterschreitenden Primitive und bezeichnen diese als die Menge aller toleranzverletzenden Primitive. Wir präsentieren in dieser Arbeit eine ganzheitliche Lösung, welche sich in die folgenden drei großen Themengebiete unterteilen lässt.rnrnIm ersten Teil dieser Arbeit untersuchen wir Algorithmen, die für zwei Dreiecke überprüfen, ob diese toleranzverletzend sind. Hierfür präsentieren wir verschiedene Ansätze für Dreiecks-Dreiecks Toleranztests und zeigen, dass spezielle Toleranztests deutlich performanter sind als bisher verwendete Abstandsberechnungen. Im Fokus unserer Arbeit steht dabei die Entwicklung eines neuartigen Toleranztests, welcher im Dualraum arbeitet. In all unseren Benchmarks zur Berechnung aller toleranzverletzenden Primitive beweist sich unser Ansatz im dualen Raum immer als der Performanteste.rnrnDer zweite Teil dieser Arbeit befasst sich mit Datenstrukturen und Algorithmen zur Echtzeitberechnung aller toleranzverletzenden Primitive zwischen zwei geometrischen Objekten. Wir entwickeln eine kombinierte Datenstruktur, die sich aus einer flachen hierarchischen Datenstruktur und mehreren Uniform Grids zusammensetzt. Um effiziente Laufzeiten zu gewährleisten ist es vor allem wichtig, den geforderten Sicherheitsabstand sinnvoll im Design der Datenstrukturen und der Anfragealgorithmen zu beachten. Wir präsentieren hierzu Lösungen, die die Menge der zu testenden Paare von Primitiven schnell bestimmen. Darüber hinaus entwickeln wir Strategien, wie Primitive als toleranzverletzend erkannt werden können, ohne einen aufwändigen Primitiv-Primitiv Toleranztest zu berechnen. In unseren Benchmarks zeigen wir, dass wir mit unseren Lösungen in der Lage sind, in Echtzeit alle toleranzverletzenden Primitive zwischen zwei komplexen geometrischen Objekten, bestehend aus jeweils vielen hunderttausend Primitiven, zu berechnen. rnrnIm dritten Teil präsentieren wir eine neuartige, speicheroptimierte Datenstruktur zur Verwaltung der Zellinhalte der zuvor verwendeten Uniform Grids. Wir bezeichnen diese Datenstruktur als Shrubs. Bisherige Ansätze zur Speicheroptimierung von Uniform Grids beziehen sich vor allem auf Hashing Methoden. Diese reduzieren aber nicht den Speicherverbrauch der Zellinhalte. In unserem Anwendungsfall haben benachbarte Zellen oft ähnliche Inhalte. Unser Ansatz ist in der Lage, den Speicherbedarf der Zellinhalte eines Uniform Grids, basierend auf den redundanten Zellinhalten, verlustlos auf ein fünftel der bisherigen Größe zu komprimieren und zur Laufzeit zu dekomprimieren.rnrnAbschießend zeigen wir, wie unsere Lösung zur Berechnung aller toleranzverletzenden Primitive Anwendung in der Praxis finden kann. Neben der reinen Abstandsanalyse zeigen wir Anwendungen für verschiedene Problemstellungen der Pfadplanung.