989 resultados para expected shortfall portfolio optimization
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Pothomorphe umbellata is a native plant widely employed in the Brazilian popular medicine. This plant has been shown to exert a potent antioxidant activity on the skin and to delay the onset and reduce the incidence of UVB-induced skin damage and photoaging. The aim of this work was to optimize the appearance, the centrifuge stability and the permeation of emulsions containing R umbellata (0. 1% 4-nerolidylchatecol). Experimental design was used to study ternary mixtures models with constraints and graphical representation by phase diagrams. The constraints reduce the possible experimental domain, and for this reason, this methodology offers the maximum information while requiring the minimum investment. The results showed that the appearance follows a linear model, and that the aqueous phase was the principal factor affecting the appearance; the centrifuge stability parameter followed a mathernatic quadratic model and the interactions between factors produced the most stable emulsions; skin permeation was improved by the oil phase, following a linear model generated by data analysis. We propose as optimized P. umbellata formulation: 68.4% aqueous phase, 26.6% oil phase and 5.0% of self-emulsifying phase. This formulation displayed an acceptable compromise between factors and responses investigated. (c) 2007 Elsevier B.V. All rights reserved.
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A simplex-lattice statistical project was employed to study an optimization method for a preservative system in an ophthalmic suspension of dexametasone and polymyxin B. The assay matrix generated 17 formulas which were differentiated by the preservatives and EDTA (disodium ethylene diamine-tetraacetate), being the independent variable: X-1 = chlorhexidine digluconate (0.010 % w/v); X-2 = phenylethanol (0.500 % w/v); X-3 = EDTA (0.100 % w/v). The dependent variable was the Dvalue obtained from the microbial challenge of the formulas and calculated when the microbial killing process was modeled by an exponential function. The analysis of the dependent variable, performed using the software Design Expert/W, originated cubic equations with terms derived from stepwise adjustment method for the challenging microorganisms: Pseudomonas aeruginosa, Burkholderia cepacia, Staphylococcus aureus, Candida albicans and Aspergillus niger. Besides the mathematical expressions, the response surfaces and the contour graphics were obtained for each assay. The contour graphs obtained were overlaid in order to permit the identification of a region containing the most adequate formulas (graphic strategy), having as representatives: X-1 = 0.10 ( 0.001 % w/v); X-2 = 0.80 (0.400 % w/v); X-3 = 0.10 (0.010 % w/v). Additionally, in order to minimize responses (Dvalue), a numerical strategy corresponding to the use of the desirability function was used, which resulted in the following independent variables combinations: X-1 = 0.25 (0.0025 % w/v); X-2 = 0.75 (0.375 % w/v); X-3 = 0. These formulas, derived from the two strategies (graphic and numerical), were submitted to microbial challenge, and the experimental Dvalue obtained was compared to the theoretical Dvalue calculated from the cubic equation. Both Dvalues were similar to all the assays except that related to Staphylococcus aureus. This microorganism, as well as Pseudomonas aeruginosa, presented intense susceptibility to the formulas independently from the preservative and EDTA concentrations. Both formulas derived from graphic and numerical strategies attained the recommended criteria adopted by the official method. It was concluded that the model proposed allowed the optimization of the formulas in their preservation aspect.
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Exposure to oxygen may induce a lack of functionality of probiotic dairy foods because the anaerobic metabolism of probiotic bacteria compromises during storage the maintenance of their viability to provide benefits to consumer health. Glucose oxidase can constitute a potential alternative to increase the survival of probiotic bacteria in yogurt because it consumes the oxygen permeating to the inside of the pot during storage, thus making it possible to avoid the use of chemical additives. This research aimed to optimize the processing of probiotic yogurt supplemented with glucose oxidase using response surface methodology and to determine the levels of glucose and glucose oxidase that minimize the concentration of dissolved oxygen and maximize the Bifidobacterium longum count by the desirability function. Response surface methodology mathematical models adequately described the process, with adjusted determination coefficients of 83% for the oxygen and 94% for the B. longum. Linear and quadratic effects of the glucose oxidase were reported for the oxygen model, whereas for the B. longum count model an influence of the glucose oxidase at the linear level was observed followed by the quadratic influence of glucose and quadratic effect of glucose oxidase. The desirability function indicated that 62.32 ppm of glucose oxidase and 4.35 ppm of glucose was the best combination of these components for optimization of probiotic yogurt processing. An additional validation experiment was performed and results showed acceptable error between the predicted and experimental results.
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The Topliss method was used to guide a synthetic path in support of drug discovery efforts toward the identification of potent antimycobacterial agents. Salicylic acid and its derivatives, p-chloro, p-methoxy, and m-chlorosalicylic acid, exemplify a series of synthetic compounds whose minimum inhibitory concentrations for a strain of Mycobacterium were determined and compared to those of the reference drug, p-aminosalicylic acid. Several physicochemical descriptors (including Hammett`s sigma constant, ionization constant, dipole moment, Hansch constant, calculated partition coefficient, Sterimol-L and -B-4 and molecular volume) were considered to elucidate structure-activity relationships. Molecular electrostatic potential and molecular dipole moment maps were also calculated using the AM1 semi-empirical method. Among the new derivatives, m-chlorosalicylic acid showed the lowest minimum inhibitory concentration. The overall results suggest that both physicochemical properties and electronic features may influence the biological activity of this series of antimycobacterial agents and thus should be considered in designing new p-aminosalicylic acid analogs.
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An experimental design optimization (Box-Behnken design, BBD) was used to develop a CE method for the simultaneous resolution of propranolol (Prop) and 4-hydroxypropranolol enantiomers and acetaminophen (internal standard). The method was optimized using an uncoated fused silica capillary, carboxymethyl-beta-cyclodextrin (CM-beta-CD) as chiral selector and triethylamine/phosphoric acid buffer in alkaline conditions. A BBD for four factors was selected to observe the effects of buffer electrolyte concentration, pH, CM-beta-CD concentration and voltage on separation responses. Each factor was studied at three levels: high, central and low, and three center points were added. The buffer electrolyte concentration ranged from 25 to 75 mM, the pH ranged from 8 to 9, the CM-beta-CD concentration ranged from 3.5 to 4.5%w/v, and the applied run voltage ranged from 14 to 20 W. The responses evaluated were resolution and migration time for the last peak. The obtained responses were processed by Minitab (R) to evaluate the significance of the effects and to find the optimum analysis conditions. The best results were obtained using 4%w/v CM-beta-CD in 25 mM triethylamine/H(3)PO(4) buffer at pH 9 as running electrolyte and 17 kV of voltage. Resolution values of 1.98 and 1.95 were obtained for Prop and 4-hydroxypropranolol enantiomers, respectively. The total analysis time was around of 15 min. The BBD showed to be an adequate design for the development of a CE method, resulting in a rapid and efficient optimization of the pH and concentration of the buffer, cyclodextrin concentration and applied voltage.
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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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Market-based transmission expansion planning gives information to investors on where is the most cost efficient place to invest and brings benefits to those who invest in this grid. However, both market issue and power system adequacy problems are system planers’ concern. In this paper, a hybrid probabilistic criterion of Expected Economical Loss (EEL) is proposed as an index to evaluate the systems’ overall expected economical losses during system operation in a competitive market. It stands on both investors’ and planner’s point of view and will further improves the traditional reliability cost. By applying EEL, it is possible for system planners to obtain a clear idea regarding the transmission network’s bottleneck and the amount of losses arises from this weak point. Sequentially, it enables planners to assess the worth of providing reliable services. Also, the EEL will contain valuable information for moneymen to undertake their investment. This index could truly reflect the random behaviors of power systems and uncertainties from electricity market. The performance of the EEL index is enhanced by applying Normalized Coefficient of Probability (NCP), so it can be utilized in large real power systems. A numerical example is carried out on IEEE Reliability Test System (RTS), which will show how the EEL can predict the current system bottleneck under future operational conditions and how to use EEL as one of planning objectives to determine future optimal plans. A well-known simulation method, Monte Carlo simulation, is employed to achieve the probabilistic characteristic of electricity market and Genetic Algorithms (GAs) is used as a multi-objective optimization tool.
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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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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.
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Standard tools for the analysis of economic problems involving uncertainty, including risk premiums, certainty equivalents and the notions of absolute and relative risk aversion, are developed without making specific assumptions on functional form beyond the basic requirements of monotonicity, transitivity, continuity, and the presumption that individuals prefer certainty to risk. Individuals are not required to display probabilistic sophistication. The approach relies on the distance and benefit functions to characterize preferences relative to a given state-contingent vector of outcomes. The distance and benefit functions are used to derive absolute and relative risk premiums and to characterize preferences exhibiting constant absolute risk aversion (CARA) and constant relative risk aversion (CRRA). A generalization of the notion of Schur-concavity is presented. If preferences are generalized Schur concave, the absolute and relative risk premiums are generalized Schur convex, and the certainty equivalents are generalized Schur concave.
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This paper presents a personal view of the interaction between the analysis of choice under uncertainty and the analysis of production under uncertainty. Interest in the foundations of the theory of choice under uncertainty was stimulated by applications of expected utility theory such as the Sandmo model of production under uncertainty. This interest led to the development of generalized models including rank-dependent expected utility theory. In turn, the development of generalized expected utility models raised the question of whether such models could be used in the analysis of applied problems such as those involving production under uncertainty. Finally, the revival of the state-contingent approach led to the recognition of a fundamental duality between choice problems and production problems.
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In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion.
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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.