An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

Two-dimensional modeling of material failure in reinforced concrete by means of a continuum strong discontinuity approach

The paper presents a new methodology to model material failure, in two-dimensional reinforced concrete members, using the Continuum Strong Discontinuity Approach (CSDA). The mixture theory is used as the methodological approach to model reinforced concrete as a composite material, constituted by a plain concrete matrix reinforced with two embedded orthogonal long fiber bundles (rebars). Matrix failure is modeled on the basis of a continuum damage model, equipped with strain softening, whereas the rebars effects are modeled by means of phenomenological constitutive models devised to reproduce the axial non-linear behavior, as well as the bondslip and dowel effects. The proposed methodology extends the fundamental ingredients of the standard Strong Discontinuity Approach, and the embedded discontinuity finite element formulations, in homogeneous materials, to matrix/fiber composite materials, as reinforced concrete. The specific aspects of the material failure modeling for those composites are also addressed. A number of available experimental tests are reproduced in order to illustrate the feasibility of the proposed methodology. (c) 2007 Elsevier B.V. All rights reserved.

Modeling and analysis of artificial neural networks applied in operations research

Artificial neural networks are dynamic systems consisting of highly interconnected and parallel nonlinear processing elements. Systems based on artificial neural networks have high computational rates due to the use of a massive number of these computational elements. Neural networks with feedback connections provide a computing model capable of solving a rich class of optimization problems. In this paper, a modified Hopfield network is developed for solving problems related to operations research. The internal parameters of the network are obtained using the valid-subspace technique. Simulated examples are presented as an illustration of the proposed approach. Copyright (C) 2000 IFAC.

Structural studies of prephenate dehydratase from Mycobacterium tuberculosis H37Rv by SAXS, ultracentrifugation, and computational analysis

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Optical modeling of aspherical lenses: a human eye study

We have been developing a computational code to project optical lenses, with low aberration effects. Our main interest is model the human eye, particularly, project special corrective lenses. As the lens shape is the focus of the optimization, we have coupled a ray tracing method with Monte Carlo techniques. The initial results indicated that the algorithm must be improved in terms of resolution and reliability.

Analog Modeling of Human Cognitive Functions with Tripartite Synapses

Searching for an understanding of how the brain supports conscious processes, cognitive scientists have proposed two main classes of theory: Global Workspace and Information Integration theories. These theories seem to be complementary, but both still lack grounding in terms of brain mechanisms responsible for the production of coherent and unitary conscious states. Here we propose following James Robertson's "Astrocentric Hypothesis" - that conscious processing is based on analog computing in astrocytes. The "hardware" for these computations is calcium waves mediated by adenosine triphosphate signaling. Besides presenting our version of this hypothesis, we also review recent findings on astrocyte morphology that lend support to their functioning as Local Hubs (composed of protoplasmic astrocytes) that integrate synaptic activity, and as a Master Hub (composed, in the human brain, by a combination of interlaminar, fibrous, polarized and varicose projection astrocytes) that integrates whole-brain activity.

Exploring the binding mechanism of Guaijaverin to human serum albumin: Fluorescence spectroscopy and computational approach

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Evolutionary modeling of larval dispersal in blowflies using non-uniform cellular automata

When the food supply flnishes, or when the larvae of blowflies complete their development and migrate prior to the total removal of the larval substrate, they disperse to find adequate places for pupation, a process known as post-feeding larval dispersal. Based on experimental data of the Initial and final configuration of the dispersion, the reproduction of such spatio-temporal behavior is achieved here by means of the evolutionary search for cellular automata with a distinct transition rule associated with each cell, also known as a nonuniform cellular automata, and with two states per cell in the lattice. Two-dimensional regular lattices and multivalued states will be considered and a practical question is the necessity of discovering a proper set of transition rules. Given that the number of rules is related to the number of cells in the lattice, the search space is very large and an evolution strategy is then considered to optimize the parameters of the transition rules, with two transition rules per cell. As the parameters to be optimized admit a physical interpretation, the obtained computational model can be analyzed to raise some hypothetical explanation of the observed spatiotemporal behavior. © 2006 IEEE.

Combined use of modeling techniques for the development of the conceptual model in simulation projects

The objective of this paper is to utilize the SIPOC, flowchart and IDEF0 modeling techniques combined to elaborate the conceptual model of a simulation project. It is intended to identify the contribution of these techniques in the elaboration of the computational model. To illustrate such application, a practical case of a high-end technology enterprise is presented. The paper concludes that the proposed approach eases the elaboration of the computational model. © 2008 IEEE.

Integrating open source codes for solid modeling and automatic mesh generation in FEM applications

The applications of the Finite Element Method (FEM) for three-dimensional domains are already well documented in the framework of Computational Electromagnetics. However, despite the power and reliability of this technique for solving partial differential equations, there are only a few examples of open source codes available and dedicated to the solid modeling and automatic constrained tetrahedralization, which are the most time consuming steps in a typical three-dimensional FEM simulation. Besides, these open source codes are usually developed separately by distinct software teams, and even under conflicting specifications. In this paper, we describe an experiment of open source code integration for solid modeling and automatic mesh generation. The integration strategy and techniques are discussed, and examples and performance results are given, specially for complicated and irregular volumes which are not simply connected. © 2011 IEEE.

Mutual coupling modeling in transmission lines directly in the phase domain

This paper describes a computational model based on lumped elements for the mutual coupling between phases in three-phase transmission lines without the explicit use of modal transformation matrices. The self and mutual parameters and the coupling between phases are modeled using modal transformation techniques. The modal representation is developed from the intrinsic consideration of the modal transformation matrix and the resulting system of time-domain differential equations is described as state equations. Thus, a detailed profile of the currents and the voltages through the line can be easily calculated using numerical or analytical integration methods. However, the original contribution of the article is the proposal of a time-domain model without the successive phase/mode transformations and a practical implementation based on conventional electrical circuits, without the use of electromagnetic theory to model the coupling between phases. © 2011 IEEE.

iSPD: An iconic-based modeling simulator for distributed grids

Simulation of large and complex systems, such as computing grids, is a difficult task. Current simulators, despite providing accurate results, are significantly hard to use. They usually demand a strong knowledge of programming, what is not a standard pattern in today's users of grids and high performance computing. The need for computer expertise prevents these users from simulating how the environment will respond to their applications, what may imply in large loss of efficiency, wasting precious computational resources. In this paper we introduce iSPD, iconic Simulator of Parallel and Distributed Systems, which is a simulator where grid models are produced through an iconic interface. We describe the simulator and its intermediate model languages. Results presented here provide an insight in its easy-of-use and accuracy.

Three-dimensional modeling and highly refined mesh generation of the aorta artery and its tunics

This paper describes strategies and techniques to perform modeling and automatic mesh generation of the aorta artery and its tunics (adventitia, media and intima walls), using open source codes. The models were constructed in the Blender package and Python scripts were used to export the data necessary for the mesh generation in TetGen. The strategies proposed are able to provide meshes of complicated and irregular volumes, with a large number of mesh elements involved (12,000,000 tetrahedrons approximately). These meshes can be used to perform computational simulations by Finite Element Method (FEM). © Published under licence by IOP Publishing Ltd.

Numerical modeling of flow through an industrial burner orifice

This paper presents numerical modeling of a turbulent natural gas flow through a non-premixed industrial burner of a slab reheating furnace. The furnace is equipped with diffusion side swirl burners capable of utilizing natural gas or coke oven gas alternatively through the same nozzles. The study is focused on one of the burners of the preheating zone. Computational Fluid Dynamics simulation has been used to predict the burner orifice turbulent flow. Flow rate and pressure at burner upstream were validated by experimental measurements. The outcomes of the numerical modeling are analyzed for the different turbulence models in terms of pressure drop, velocity profiles, and orifice discharge coefficient. The standard, RNG, and Realizable k-epsilon models and Reynolds Stress Model (RSM) have been used. The main purpose of the numerical investigation is to determine the turbulence model that more consistently reproduces the experimental results of the flow through an industrial non-premixed burner orifice. The comparisons between simulations indicate that all the models tested satisfactorily and represent the experimental conditions. However, the Realizable k-epsilon model seems to be the most appropriate turbulence model, since it provides results that are quite similar to the RSM and RNG k-epsilon models, requiring only slightly more computational power than the standard k-epsilon model. (C) 2014 Elsevier Ltd. All rights reserved.

Modeling of piezoelectric energy harvesting considering the dependence of the rectifier circuit

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)