Thermal food processing optimization: Algorithms and software

The algorithms and graphic user interface software package ?OPT-PROx? are developed to meet food engineering needs related to canned food thermal processing simulation and optimization. The adaptive random search algorithm and its modification coupled with penalty function?s approach, and the finite difference methods with cubic spline approximation are utilized by ?OPT-PROx? package (http://tomakechoice. com/optprox/index.html). The diversity of thermal food processing optimization problems with different objectives and required constraints are solvable by developed software. The geometries supported by the ?OPT-PROx? are the following: (1) cylinder, (2) rectangle, (3) sphere. The mean square error minimization principle is utilized in order to estimate the heat transfer coefficient of food to be heated under optimal condition. The developed user friendly dialogue and used numerical procedures makes the ?OPT-PROx? software useful to food scientists in research and education, as well as to engineers involved in optimization of thermal food processing.

Optimización de la composición del hueco de fachada en materia de eficiencia energética. Propuesta de indicador como herramienta para el análisis integral del elemento acristalado = Energy performance optimization of window systems. Proposal of an indicator as a tool for an integrated analysis of glazing

La hipótesis de esta tesis es: "La optimización de la ventana considerando simultáneamente aspectos energéticos y aspectos relativos a la calidad ambiental interior (confort higrotérmico, lumínico y acústico) es compatible, siempre que se conozcan y consideren las sinergias existentes entre ellos desde las primeras fases de diseño". En la actualidad se desconocen las implicaciones de muchas de las decisiones tomadas en torno a la ventana; para que su eficiencia en relación a todos los aspectos mencionados pueda hacerse efectiva es necesaria una herramienta que aporte más información de la actualmente disponible en el proceso de diseño, permitiendo así la optimización integral, en función de las circunstancias específicas de cada proyecto. En la fase inicial de esta investigación se realiza un primer acercamiento al tema, a través del estado del arte de la ventana; analizando la normativa existente, los componentes, las prestaciones, los elementos experimentales y la investigación. Se observa que, en ocasiones, altos requisitos de eficiencia energética pueden suponer una disminución de las prestaciones del sistema en relación con la calidad ambiental interior, por lo que surge el interés por integrar al análisis energético aspectos relativos a la calidad ambiental interior, como son las prestaciones lumínicas y acústicas y la renovación de aire. En este punto se detecta la necesidad de realizar un estudio integral que incorpore los distintos aspectos y evaluar las sinergias que se dan entre las distintas prestaciones que cumple la ventana. Además, del análisis de las soluciones innovadoras y experimentales se observa la dificultad de determinar en qué medida dichas soluciones son eficientes, ya que son soluciones complejas, no caracterizadas y que no están incorporadas en las metodologías de cálculo o en las bases de datos de los programas de simulación. Por lo tanto, se plantea una segunda necesidad, generar una metodología experimental para llevar a cabo la caracterización y el análisis de la eficiencia de sistemas innovadores. Para abordar esta doble necesidad se plantea la optimización mediante una evaluación del elemento acristalado que integre la eficiencia energética y la calidad ambiental interior, combinando la investigación teórica y la investigación experimental. En el ámbito teórico, se realizan simulaciones, cálculos y recopilación de información de distintas tipologías de hueco, en relación con cada prestación de forma independiente (acústica, iluminación, ventilación). A pesar de haber partido con un enfoque integrador, resulta difícil esa integración detectándose una carencia de herramientas disponible. En el ámbito experimental se desarrolla una metodología para la evaluación del rendimiento y de aspectos ambientales de aplicación a elementos innovadores de difícil valoración mediante la metodología teórica. Esta evaluación consiste en el análisis comparativo experimental entre el elemento innovador y un elemento estándar; para llevar a cabo este análisis se han diseñado dos espacios iguales, que denominamos módulos de experimentación, en los que se han incorporado los dos sistemas; estos espacios se han monitorizado, obteniéndose datos de consumo, temperatura, iluminancia y humedad relativa. Se ha realizado una medición durante un periodo de nueve meses y se han analizado y comparado los resultados, obteniendo así el comportamiento real del sistema. Tras el análisis teórico y el experimental, y como consecuencia de esa necesidad de integrar el conocimiento existente se propone una herramienta de evaluación integral del elemento acristalado. El desarrollo de esta herramienta se realiza en base al procedimiento de diagnóstico de calidad ambiental interior (CAI) de acuerdo con la norma UNE 171330 “Calidad ambiental en interiores”, incorporando el factor de eficiencia energética. De la primera parte del proceso, la parte teórica y el estado del arte, se obtendrán los parámetros que son determinantes y los valores de referencia de dichos parámetros. En base a los parámetros relevantes obtenidos se da forma a la herramienta, que consiste en un indicador de producto para ventanas que integra todos los factores analizados y que se desarrolla según la Norma UNE 21929 “Sostenibilidad en construcción de edificios. Indicadores de sostenibilidad”. ABSTRACT The hypothesis of this thesis is: "The optimization of windows considering energy and indoor environmental quality issues simultaneously (hydrothermal comfort, lighting comfort, and acoustic comfort) is compatible, provided that the synergies between these issues are known and considered from the early stages of design ". The implications of many of the decisions made on this item are currently unclear. So that savings can be made, an effective tool is needed to provide more information during the design process than the currently available, thus enabling optimization of the system according to the specific circumstances of each project. The initial phase deals with the study from an energy efficiency point of view, performing a qualitative and quantitative analysis of commercial, innovative and experimental windows. It is observed that sometimes, high-energy efficiency requirements may mean a reduction in the system's performance in relation to user comfort and health, that's why there is an interest in performing an integrated analysis of indoor environment aspects and energy efficiency. At this point a need for a comprehensive study incorporating the different aspects is detected, to evaluate the synergies that exist between the various benefits that meet the window. Moreover, from the analysis of experimental and innovative windows, a difficulty in establishing to what extent these solutions are efficient is observed; therefore, there is a need to generate a methodology for performing the analysis of the efficiency of the systems. Therefore, a second need arises, to generate an experimental methodology to perform characterization and analysis of the efficiency of innovative systems. To address this dual need, the optimization of windows by an integrated evaluation arises, considering energy efficiency and indoor environmental quality, combining theoretical and experimental research. In the theoretical field, simulations and calculations are performed; also information about the different aspects of indoor environment (acoustics, lighting, ventilation) is gathered independently. Despite having started with an integrative approach, this integration is difficult detecting lack available tools. In the experimental field, a methodology for evaluating energy efficiency and indoor environment quality is developed, to be implemented in innovative elements which are difficult to evaluate using a theoretical methodology This evaluation is an experimental comparative analysis between an innovative element and a standard element. To carry out this analysis, two equal spaces, called experimental cells, have been designed. These cells have been monitored, obtaining consumption, temperature, luminance and relative humidity data. Measurement has been performed during nine months and results have been analyzed and compared, obtaining results of actual system behavior. To advance this optimization, windows have been studied from the point of view of energy performance and performance in relation to user comfort and health: thermal comfort, acoustic comfort, lighting comfort and air quality; proposing the development of a methodology for an integrated analysis including energy efficiency and indoor environment quality. After theoretical and experimental analysis and as a result of the need to integrate existing knowledge, a comprehensive evaluation procedure for windows is proposed. This evaluation procedure is developed according to the UNE 171330 "Indoor Environmental Quality", also incorporating energy efficiency and cost as factors to evaluate. From the first part of the research process, outstanding parameters are chosen and reference values of these parameters are set. Finally, based on the parameters obtained, an indicator is proposed as windows product indicator. The indicator integrates all factors analyzed and is developed according to ISO 21929-1:2011"Sustainability in building construction. Sustainability indicators. Part 1: Framework for the development of indicators and a core set of indicators for buildings".

Optimization of the Integrated Guidance and Control for a Dual Aerodynamic Control Missile

Las futuras misiones para misiles aire-aire operando dentro de la atmósfera requieren la interceptación de blancos a mayores velocidades y más maniobrables, incluyendo los esperados vehículos aéreos de combate no tripulados. La intercepción tiene que lograrse desde cualquier ángulo de lanzamiento. Una de las principales discusiones en la tecnología de misiles en la actualidad es cómo satisfacer estos nuevos requisitos incrementando la capacidad de maniobra del misil y en paralelo, a través de mejoras en los métodos de guiado y control modernos. Esta Tesis aborda estos dos objetivos simultáneamente, al proponer un diseño integrando el guiado y el control de vuelo (autopiloto) y aplicarlo a misiles con control aerodinámico simultáneo en canard y cola. Un primer avance de los resultados obtenidos ha sido publicado recientemente en el Journal of Aerospace Engineering, en Abril de 2015, [Ibarrondo y Sanz-Aranguez, 2015]. El valor del diseño integrado obtenido es que permite al misil cumplir con los requisitos operacionales mencionados empleando únicamente control aerodinámico. El diseño propuesto se compara favorablemente con esquemas más tradicionales, consiguiendo menores distancias de paso al blanco y necesitando de menores esfuerzos de control incluso en presencia de ruidos. En esta Tesis se demostrará cómo la introducción del doble mando, donde tanto el canard como las aletas de cola son móviles, puede mejorar las actuaciones de un misil existente. Comparado con un misil con control en cola, el doble control requiere sólo introducir dos servos adicionales para accionar los canards también en guiñada y cabeceo. La sección de cola será responsable de controlar el misil en balanceo mediante deflexiones diferenciales de los controles. En el caso del doble mando, la complicación añadida es que los vórtices desprendidos de los canards se propagan corriente abajo y pueden incidir sobre las superficies de cola, alterando sus características de control. Como un primer aporte, se ha desarrollado un modelo analítico completo para la aerodinámica no lineal de un misil con doble control, incluyendo la caracterización de este efecto de acoplamiento aerodinámico. Hay dos modos de funcionamiento en picado y guiñada para un misil de doble mando: ”desviación” y ”opuesto”. En modo ”desviación”, los controles actúan en la misma dirección, generando un cambio inmediato en la sustentación y produciendo un movimiento de translación en el misil. La respuesta es rápida, pero en el modo ”desviación” los misiles con doble control pueden tener dificultades para alcanzar grandes ángulos de ataque y altas aceleraciones laterales. Cuando los controles actúan en direcciones opuestas, el misil rota y el ángulo de ataque del fuselaje se incrementa para generar mayores aceleraciones en estado estacionario, aunque el tiempo de respuesta es mayor. Con el modelo aerodinámico completo, es posible obtener una parametrización dependiente de los estados de la dinámica de corto periodo del misil. Debido al efecto de acoplamiento entre los controles, la respuesta en bucle abierto no depende linealmente de los controles. El autopiloto se optimiza para obtener la maniobra requerida por la ley de guiado sin exceder ninguno de los límites aerodinámicos o mecánicos del misil. Una segunda contribución de la tesis es el desarrollo de un autopiloto con múltiples entradas de control y que integra la aerodinámica no lineal, controlando los tres canales de picado, guiñada y cabeceo de forma simultánea. Las ganancias del autopiloto dependen de los estados del misil y se calculan a cada paso de integración mediante la resolución de una ecuación de Riccati de orden 21x21. Las ganancias obtenidas son sub-óptimas, debido a que una solución completa de la ecuación de Hamilton-Jacobi-Bellman no puede obtenerse de manera práctica, y se asumen ciertas simplificaciones. Se incorpora asimismo un mecanismo que permite acelerar la respuesta en caso necesario. Como parte del autopiloto, se define una estrategia para repartir el esfuerzo de control entre el canard y la cola. Esto se consigue mediante un controlador aumentado situado antes del bucle de optimización, que minimiza el esfuerzo total de control para maniobrar. Esta ley de alimentación directa mantiene al misil cerca de sus condiciones de equilibrio, garantizando una respuesta transitoria adecuada. El controlador no lineal elimina la respuesta de fase no-mínima característica de la cola. En esta Tesis se consideran dos diseños para el guiado y control, el control en Doble-Lazo y el control Integrado. En la aproximación de Doble-Lazo, el autopiloto se sitúa dentro de un bucle interior y se diseña independientemente del guiado, que conforma el bucle más exterior del control. Esta estructura asume que existe separación espectral entre los dos, esto es, que los tiempos de respuesta del autopiloto son mucho mayores que los tiempos característicos del guiado. En el estudio se combina el autopiloto desarrollado con una ley de guiado óptimo. Los resultados obtenidos demuestran que se consiguen aumentos muy importantes en las actuaciones frente a misiles con control canard o control en cola, y que la interceptación, cuando se lanza cerca del curso de colisión, se consigue desde cualquier ángulo alrededor del blanco. Para el misil de doble mando, la estrategia óptima resulta en utilizar el modo de control opuesto en la aproximación al blanco y utilizar el modo de desviación justo antes del impacto. Sin embargo la lógica de doble bucle no consigue el impacto cuando hay desviaciones importantes con respecto al curso de colisión. Una de las razones es que parte de la demanda de guiado se pierde, ya que el misil solo es capaz de modificar su aceleración lateral, y no tiene control sobre su aceleración axial, a no ser que incorpore un motor de empuje regulable. La hipótesis de separación mencionada, y que constituye la base del Doble-Bucle, puede no ser aplicable cuando la dinámica del misil es muy alta en las proximidades del blanco. Si se combinan el guiado y el autopiloto en un único bucle, la información de los estados del misil está disponible para el cálculo de la ley de guiado, y puede calcularse la estrategia optima de guiado considerando las capacidades y la actitud del misil. Una tercera contribución de la Tesis es la resolución de este segundo diseño, la integración no lineal del guiado y del autopiloto (IGA) para el misil de doble control. Aproximaciones anteriores en la literatura han planteado este sistema en ejes cuerpo, resultando en un sistema muy inestable debido al bajo amortiguamiento del misil en cabeceo y guiñada. Las simplificaciones que se tomaron también causan que el misil se deslice alrededor del blanco y no consiga la intercepción. En nuestra aproximación el problema se plantea en ejes inerciales y se recurre a la dinámica de los cuaterniones, eliminado estos inconvenientes. No se limita a la dinámica de corto periodo del misil, porque se construye incluyendo de modo explícito la velocidad dentro del bucle de optimización. La formulación resultante en el IGA es independiente de la maniobra del blanco, que sin embargo se ha de incluir en el cálculo del modelo en Doble-bucle. Un típico inconveniente de los sistemas integrados con controlador proporcional, es el problema de las escalas. Los errores de guiado dominan sobre los errores de posición del misil y saturan el controlador, provocando la pérdida del misil. Este problema se ha tratado aquí con un controlador aumentado previo al bucle de optimización, que define un estado de equilibrio local para el sistema integrado, que pasa a actuar como un regulador. Los criterios de actuaciones para el IGA son los mismos que para el sistema de Doble-Bucle. Sin embargo el problema matemático resultante es muy complejo. El problema óptimo para tiempo finito resulta en una ecuación diferencial de Riccati con condiciones terminales, que no puede resolverse. Mediante un cambio de variable y la introducción de una matriz de transición, este problema se transforma en una ecuación diferencial de Lyapunov que puede resolverse mediante métodos numéricos. La solución resultante solo es aplicable en un entorno cercano del blanco. Cuando la distancia entre misil y blanco es mayor, se desarrolla una solución aproximada basada en la solución de una ecuación algebraica de Riccati para cada paso de integración. Los resultados que se han obtenido demuestran, a través de análisis numéricos en distintos escenarios, que la solución integrada es mejor que el sistema de Doble-Bucle. Las trayectorias resultantes son muy distintas. El IGA preserva el guiado del misil y consigue maximizar el uso de la propulsión, consiguiendo la interceptación del blanco en menores tiempos de vuelo. El sistema es capaz de lograr el impacto donde el Doble-Bucle falla, y además requiere un orden menos de magnitud en la cantidad de cálculos necesarios. El efecto de los ruidos radar, datos discretos y errores del radomo se investigan. El IGA es más robusto, resultando menos afectado por perturbaciones que el Doble- Bucle, especialmente porque el núcleo de optimización en el IGA es independiente de la maniobra del blanco. La estimación de la maniobra del blanco es siempre imprecisa y contaminada por ruido, y degrada la precisión de la solución de Doble-Bucle. Finalmente, como una cuarta contribución, se demuestra que el misil con guiado IGA es capaz de realizar una maniobra de defensa contra un blanco que ataque por su cola, sólo con control aerodinámico. Las trayectorias estudiadas consideran una fase pre-programada de alta velocidad de giro, manteniendo siempre el misil dentro de su envuelta de vuelo. Este procedimiento no necesita recurrir a soluciones técnicamente más complejas como el control vectorial del empuje o control por chorro para ejecutar esta maniobra. En todas las demostraciones matemáticas se utiliza el producto de Kronecker como una herramienta practica para manejar las parametrizaciones dependientes de variables, que resultan en matrices de grandes dimensiones. ABSTRACT Future missions for air to air endo-atmospheric missiles require the interception of targets with higher speeds and more maneuverable, including forthcoming unmanned supersonic combat vehicles. The interception will need to be achieved from any angle and off-boresight launch conditions. One of the most significant discussions in missile technology today is how to satisfy these new operational requirements by increasing missile maneuvering capabilities and in parallel, through the development of more advanced guidance and control methods. This Thesis addresses these two objectives by proposing a novel optimal integrated guidance and autopilot design scheme, applicable to more maneuverable missiles with forward and rearward aerodynamic controls. A first insight of these results have been recently published in the Journal of Aerospace Engineering in April 2015, [Ibarrondo and Sanz-Aránguez, 2015]. The value of this integrated solution is that it allows the missile to comply with the aforementioned requirements only by applying aerodynamic control. The proposed design is compared against more traditional guidance and control approaches with positive results, achieving reduced control efforts and lower miss distances with the integrated logic even in the presence of noises. In this Thesis it will be demonstrated how the dual control missile, where canard and tail fins are both movable, can enhance the capabilities of an existing missile airframe. Compared to a tail missile, dual control only requires two additional servos to actuate the canards in pitch and yaw. The tail section will be responsible to maintain the missile stabilized in roll, like in a classic tail missile. The additional complexity is that the vortices shed from the canard propagate downstream where they interact with the tail surfaces, altering the tail expected control characteristics. These aerodynamic phenomena must be properly described, as a preliminary step, with high enough precision for advanced guidance and control studies. As a first contribution we have developed a full analytical model of the nonlinear aerodynamics of a missile with dual control, including the characterization of this cross-control coupling effect. This development has been produced from a theoretical model validated with reliable practical data obtained from wind tunnel experiments available in the scientific literature, complement with computer fluid dynamics and semi-experimental methods. There are two modes of operating a missile with forward and rear controls, ”divert” and ”opposite” modes. In divert mode, controls are deflected in the same direction, generating an increment in direct lift and missile translation. Response is fast, but in this mode, dual control missiles may have difficulties in achieving large angles of attack and high level of lateral accelerations. When controls are deflected in opposite directions (opposite mode) the missile airframe rotates and the body angle of attack is increased to generate greater accelerations in steady-state, although the response time is larger. With the aero-model, a state dependent parametrization of the dual control missile short term dynamics can be obtained. Due to the cross-coupling effect, the open loop dynamics for the dual control missile is not linearly dependent of the fin positions. The short term missile dynamics are blended with the servo system to obtain an extended autopilot model, where the response is linear with the control fins turning rates, that will be the control variables. The flight control loop is optimized to achieve the maneuver required by the guidance law without exceeding any of the missile aerodynamic or mechanical limitations. The specific aero-limitations and relevant performance indicators for the dual control are set as part of the analysis. A second contribution of this Thesis is the development of a step-tracking multi-input autopilot that integrates non-linear aerodynamics. The designed dual control missile autopilot is a full three dimensional autopilot, where roll, pitch and yaw are integrated, calculating command inputs simultaneously. The autopilot control gains are state dependent, and calculated at each integration step solving a matrix Riccati equation of order 21x21. The resulting gains are sub-optimal as a full solution for the Hamilton-Jacobi-Bellman equation cannot be resolved in practical terms and some simplifications are taken. Acceleration mechanisms with an λ-shift is incorporated in the design. As part of the autopilot, a strategy is defined for proper allocation of control effort between canard and tail channels. This is achieved with an augmented feed forward controller that minimizes the total control effort of the missile to maneuver. The feedforward law also maintains the missile near trim conditions, obtaining a well manner response of the missile. The nonlinear controller proves to eliminate the non-minimum phase effect of the tail. Two guidance and control designs have been considered in this Thesis: the Two- Loop and the Integrated approaches. In the Two-Loop approach, the autopilot is placed in an inner loop and designed separately from an outer guidance loop. This structure assumes that spectral separation holds, meaning that the autopilot response times are much higher than the guidance command updates. The developed nonlinear autopilot is linked in the study to an optimal guidance law. Simulations are carried on launching close to collision course against supersonic and highly maneuver targets. Results demonstrate a large boost in performance provided by the dual control versus more traditional canard and tail missiles, where interception with the dual control close to collision course is achieved form 365deg all around the target. It is shown that for the dual control missile the optimal flight strategy results in using opposite control in its approach to target and quick corrections with divert just before impact. However the Two-Loop logic fails to achieve target interception when there are large deviations initially from collision course. One of the reasons is that part of the guidance command is not followed, because the missile is not able to control its axial acceleration without a throttleable engine. Also the separation hypothesis may not be applicable for a high dynamic vehicle like a dual control missile approaching a maneuvering target. If the guidance and autopilot are combined into a single loop, the guidance law will have information of the missile states and could calculate the most optimal approach to the target considering the actual capabilities and attitude of the missile. A third contribution of this Thesis is the resolution of the mentioned second design, the non-linear integrated guidance and autopilot (IGA) problem for the dual control missile. Previous approaches in the literature have posed the problem in body axes, resulting in high unstable behavior due to the low damping of the missile, and have also caused the missile to slide around the target and not actually hitting it. The IGA system is posed here in inertial axes and quaternion dynamics, eliminating these inconveniences. It is not restricted to the missile short term dynamic, and we have explicitly included the missile speed as a state variable. The IGA formulation is also independent of the target maneuver model that is explicitly included in the Two-loop optimal guidance law model. A typical problem of the integrated systems with a proportional control law is the problem of scales. The guidance errors are larger than missile state errors during most of the flight and result in high gains, control saturation and loss of control. It has been addressed here with an integrated feedforward controller that defines a local equilibrium state at each flight point and the controller acts as a regulator to minimize the IGA states excursions versus the defined feedforward state. The performance criteria for the IGA are the same as in the Two-Loop case. However the resulting optimization problem is mathematically very complex. The optimal problem in a finite-time horizon results in an irresoluble state dependent differential Riccati equation with terminal conditions. With a change of variable and the introduction of a transition matrix, the equation is transformed into a time differential Lyapunov equation that can be solved with known numerical methods in real time. This solution results range limited, and applicable when the missile is in a close neighborhood of the target. For larger ranges, an approximate solution is used, obtained from solution of an algebraic matrix Riccati equation at each integration step. The results obtained show, by mean of several comparative numerical tests in diverse homing scenarios, than the integrated approach is a better solution that the Two- Loop scheme. Trajectories obtained are very different in the two cases. The IGA fully preserves the guidance command and it is able to maximize the utilization of the missile propulsion system, achieving interception with lower miss distances and in lower flight times. The IGA can achieve interception against off-boresight targets where the Two- Loop was not able to success. As an additional advantage, the IGA also requires one order of magnitude less calculations than the Two-Loop solution. The effects of radar noises, discrete radar data and radome errors are investigated. IGA solution is robust, and less affected by radar than the Two-Loop, especially because the target maneuvers are not part of the IGA core optimization loop. Estimation of target acceleration is always imprecise and noisy and degrade the performance of the two-Loop solution. The IGA trajectories are such that minimize the impact of radome errors in the guidance loop. Finally, as a fourth contribution, it is demonstrated that the missile with IGA guidance is capable of performing a defense against attacks from its rear hemisphere, as a tail attack, only with aerodynamic control. The studied trajectories have a preprogrammed high rate turn maneuver, maintaining the missile within its controllable envelope. This solution does not recur to more complex features in service today, like vector control of the missile thrust or side thrusters. In all the mathematical treatments and demonstrations, the Kronecker product has been introduced as a practical tool to handle the state dependent parametrizations that have resulted in very high order matrix equations.

Aplicação de métodos computacionais multidisciplinares de engenharia para otimização de carteiras de investimentos.

Este trabalho apresenta uma nova metodologia para otimizar carteiras de ativos financeiros. A metodologia proposta, baseada em interpoladores universais tais quais as Redes Neurais Artificiais e a Krigagem, permite aproximar a superfície de risco e consequentemente a solução do problema de otimização associado a ela de forma generalizada e aplicável a qualquer medida de risco disponível na literatura. Além disto, a metodologia sugerida permite que sejam relaxadas hipóteses restritivas inerentes às metodologias existentes, simplificando o problema de otimização e permitindo que sejam estimados os erros na aproximação da superfície de risco. Ilustrativamente, aplica-se a metodologia proposta ao problema de composição de carteiras com a Variância (controle), o Valor-em-Risco (VaR) e o Valor-em-Risco Condicional (CVaR) como funções objetivo. Os resultados são comparados àqueles obtidos pelos modelos de Markowitz e Rockafellar, respectivamente.

Geometry and Optimization of Relative Arbitrage

Thesis (Ph.D.)--University of Washington, 2016-06

The genetic basis of academic achievement on the Queensland Core Skills Test and its shared genetic variance with IQ

First, this study examined genetic and environmental sources of variation in performance on a standardised test of academic achievement, the Queensland Core Skills Test (QCST) (Queensland Studies Authority, 2003a). Second, it assessed the genetic correlation among the QCST score and Verbal and Performance IQ measures using the Multidimensional Aptitude Battery (MAB), [Jackson, D. N. (1984) Multidimensional Aptitude Battery manual. Port Huron, MI:Research Psychologist Press, Inc.]. Participants were 256 monozygotic twin pairs and 326 dizygotic twin pairs aged from 15 to 18 years (mean 17 years +/- 0.4 [SD]) when achievement tested, and from 15 to 22 years (mean 16 years +/- 0.4 [SD]) when IQ tested. Univariate analysis indicated a heritability for the QCST of 0.72. Adjustment to this estimate due to truncate selection (downward adjustment) and positive phenotypic assortative mating (upward adjustment) suggested a heritability of 0.76 The phenotypic (0.81) and genetic (0.91) correlations between the QCST and Verbal IQ (VIQ) were significantly stronger than the phenotypic (0.57) and genetic (0.64) correlations between the QCST and Performance IQ (PIQ). The findings suggest that individual variation in QCST performance is largely due to genetic factors and that common environmental effects may be substantially accounted for by phenotypic assortative mating. Covariance between academic achievement on the QCST and psychometric IQ (particularly VIQ) is to a large extent due to common genetic influences.

Conditional volatility and firm size:an empirical analysis of UK equity portfolios

The techniques and insights from two distinct areas of financial economic modelling are combined to provide evidence of the influence of firm size on the volatility of stock portfolio returns. Portfolio returns are characterized by positive serial correlation induced by the varying levels of non-synchronous trading among the component stocks. This serial correlation is greatest for portfolios of small firms. The conditional volatility of stock returns has been shown to be well represented by the GARCH family of statistical processes. Using a GARCH model of the variance of capitalization-based portfolio returns, conditioned on the autocorrelation structure in the conditional mean, striking differences related to firm size are uncovered.

Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

Factors affecting corneoscleral topography

PURPOSE: To evaluate factors affecting corneoscleral profile (CSP) using Anterior Segment Optical Coherence Tomography (AS-OCT) in combination with conventional videokeratoscopy. METHODS: OCT data were collected from 204 subjects of mean age 34.9 years (SD: ±15.2 yrs, range 18 to 65) using the Zeiss Visante AS-OCT and Medmont M300 corneal topographer. Measurements of corneal diameter (CD), corneal sagittal height (CS), iris diameter (ID), corneoscleral junction angle (CSJ) and scleral radius (SR) were extracted from multiple OCT images. Horizontal visible iris diameter (HVID) and vertical palpebral aperture (PA) were measured using a slit lamp graticule. Subject body height was also measured. Associations were then sought between CSP variables and age, height, ethnicity, sex and refractive error data collected. Results: Significant correlations were found between age and ocular topography variables of HVID, PA, CSJ, SR and ID (P<0.0001), while height correlated with HVID, CD and ID, and power vector terms only with vertical plane keratometry, CD and CS. Significant differences were noted between ethnicities with respect to CD (P=0.0046), horizontal and vertical CS (P=0.0068 and P=0.0095), and also horizontal ID (P=0.0010), while the same variables, with the exception of vertical CS, also varied with sex; horizontal CD (P=0.0018), horizontal CS (P=0.0018) and ID (P=0.0012). Age accounted for up to 36% of the variance in CSP variables. Conclusion: Age is the main factor influencing corneoscleral topography; consequently, this should be taken into consideration in contact lens design, in the optimization of surgical procedures involving the cornea and sclera and in IOL selection.

Optimization Problem in a Class of Linear System. Application to Multiple Drug Administration

2000 Mathematics Subject Classification: 62H15, 62P10.

Multiresponse Robust Engineering: Case with Errors in Factor Levels

2000 Mathematics Subject Classification: 62J05, 62J10, 62F35, 62H12, 62P30.

Stochastic Optimization in Robust Statistic

2000 Mathematics Subject Classification: 62J05, 62G35

Surrogate-based analysis and optimization for the design of heat sinks with jet impingement

Heat sinks are widely used for cooling electronic devices and systems. Their thermal performance is usually determined by the material, shape, and size of the heat sink. With the assistance of computational fluid dynamics (CFD) and surrogate-based optimization, heat sinks can be designed and optimized to achieve a high level of performance. In this paper, the design and optimization of a plate-fin-type heat sink cooled by impingement jet is presented. The flow and thermal fields are simulated using the CFD simulation; the thermal resistance of the heat sink is then estimated. A Kriging surrogate model is developed to approximate the objective function (thermal resistance) as a function of design variables. Surrogate-based optimization is implemented by adaptively adding infill points based on an integrated strategy of the minimum value, the maximum mean square error approach, and the expected improvement approaches. The results show the influence of design variables on the thermal resistance and give the optimal heat sink with lowest thermal resistance for given jet impingement conditions.

Improved stochastic optimization of railway timetables

We present a general model to find the best allocation of a limited amount of supplements (extra minutes added to a timetable in order to reduce delays) on a set of interfering railway lines. By the best allocation, we mean the solution under which the weighted sum of expected delays is minimal. Our aim is to finely adjust an already existing and well-functioning timetable. We model this inherently stochastic optimization problem by using two-stage recourse models from stochastic programming, building upon earlier research from the literature. We present an improved formulation, allowing for an efficient solution using a standard algorithm for recourse models. We show that our model may be solved using any of the following theoretical frameworks: linear programming, stochastic programming and convex non-linear programming, and present a comparison of these approaches based on a real-life case study. Finally, we introduce stochastic dependency into the model, and present a statistical technique to estimate the model parameters from empirical data.

Theory of foreign portfolio investment

This dissertation examines one category of international capital flows, private portfolio investments (private refers to the source of capital). There is an overall lack of a coherent and consistent definition of foreign portfolio investment. We clarify these definitional issues.^ Two main questions that pertain to private foreign portfolio investments (FPI) are explored. The first problem is the phenomenon of home preference, often referred to as home bias. Related to this are the observed cross-investment flows between countries that seem to contradict the textbook rendition of private FPI. A description of the theories purporting to resolve the home preference puzzle (and the cross-investment one) are summarized and evaluated. Most of this literature considers investors from major developed countries. I consider--as well--whether investors in less developed countries have home preference.^ The dissertation shows that home preference is indeed pervasive and profound across countries, in both developed and emerging markets. For the U.S., I examine home bias in both equity and bond holdings as well. I find that home bias is greater when we look at equity and bond holdings than equity holdings solely.^ In this dissertation a model is developed to explain home bias. This model is original and fills a gap in the literature as there have been no satisfactory models that handle at the same time both home preference and cross-border holdings in the context of information asymmetries. This model reflects what we see in the data and permits us to reach certain results by the use of comparative statics methods. The model suggests, counter-intuitively, that as the rate of return in a country relative to the world rate of return increases, home preference decreases. In the context of our relatively simple model we ascribe this result to the higher variance of the now higher return for home assets. We also find, this time as intended, that as risk aversion increases, investors diversify further so that home preference decreases.^ The second question that the dissertation deals with is the volatility of private foreign portfolio investment. Countries that are recipients of these flows have been wary of such flows because of their perceived volatility. Often the contrast is made with the perceived absence of volatility in foreign direct investment flows. I analyze the validity of these concerns using first net flow data and then gross flow data. The results show that FPI is not, in relative terms, more volatile than other flows in our sample of eight countries (half were developed countries and the rest were emerging markets).^ The implication therefore is that restricting FPI flows may be harmful in the sense that private capital may not be allocated efficiently worldwide to the detriment of capital poor economies. More to the point, any such restrictions would in fact be misguided. ^