An Analysis of black-box optimization problems in reinsurance: evolutionary-based approaches

Black-box optimization problems (BBOP) are de ned as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). This paper is focussed on BBOPs that arise in the eld of insurance, and more speci cally in reinsurance problems. In this area, the complexity of the models and assumptions considered to de ne the reinsurance rules and conditions produces hard black-box optimization problems, that must be solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is not possible in BBOP, so new computational paradigms must be applied to solve these problems. In this paper we show the performance of two evolutionary-based techniques (Evolutionary Programming and Particle Swarm Optimization). We provide an analysis in three BBOP in reinsurance, where the evolutionary-based approaches exhibit an excellent behaviour, nding the optimal solution within a fraction of the computational cost used by inspection or enumeration methods.

Transforming growth factor-beta: the breaking open of a black box.

Transforming growth factor-beta (TGF-beta) and its related proteins regulate broad aspects of body development, including cell proliferation, differentiation, apoptosis and gene expression, in various organisms. Deregulated TGF-beta function has been causally implicated in the generation of human fibrotic disorders and in tumor progression. Nevertheless, the molecular mechanisms of TGF-beta action remained essentially unknown until recently. Here, we discuss recent progress in our understanding of the mechanism of TGF-beta signal transduction with respect to the regulation of gene expression, the control of cell phenotype and the potential usage of TGF-beta for the treatment of human diseases.

Genome-wide association and functional follow-up reveals new loci for kidney function.

Chronic kidney disease (CKD) is an important public health problem with a genetic component. We performed genome-wide association studies in up to 130,600 European ancestry participants overall, and stratified for key CKD risk factors. We uncovered 6 new loci in association with estimated glomerular filtration rate (eGFR), the primary clinical measure of CKD, in or near MPPED2, DDX1, SLC47A1, CDK12, CASP9, and INO80. Morpholino knockdown of mpped2 and casp9 in zebrafish embryos revealed podocyte and tubular abnormalities with altered dextran clearance, suggesting a role for these genes in renal function. By providing new insights into genes that regulate renal function, these results could further our understanding of the pathogenesis of CKD.

Structure-function analysis of the human TFIIB-related factor II protein reveals an essential role for the C-terminal domain in RNA polymerase III transcription.

The transcription factors TFIIB, Brf1, and Brf2 share related N-terminal zinc ribbon and core domains. TFIIB bridges RNA polymerase II (Pol II) with the promoter-bound preinitiation complex, whereas Brf1 and Brf2 are involved, as part of activities also containing TBP and Bdp1 and referred to here as Brf1-TFIIIB and Brf2-TFIIIB, in the recruitment of Pol III. Brf1-TFIIIB recruits Pol III to type 1 and 2 promoters and Brf2-TFIIIB to type 3 promoters such as the human U6 promoter. Brf1 and Brf2 both have a C-terminal extension absent in TFIIB, but their C-terminal extensions are unrelated. In yeast Brf1, the C-terminal extension interacts with the TBP/TATA box complex and contributes to the recruitment of Bdp1. Here we have tested truncated Brf2, as well as Brf2/TFIIB chimeric proteins for U6 transcription and for assembly of U6 preinitiation complexes. Our results characterize functions of various human Brf2 domains and reveal that the C-terminal domain is required for efficient association of the protein with U6 promoter-bound TBP and SNAP(c), a type 3 promoter-specific transcription factor, and for efficient recruitment of Bdp1. This in turn suggests that the C-terminal extensions in Brf1 and Brf2 are crucial to specific recruitment of Pol III over Pol II.

Development of Self-Cleaning Box Culvert Designs, TR-545, 2009

The main function of a roadway culvert is to effectively convey drainage flow during normal and extreme hydrologic conditions. This function is often impaired due to the sedimentation blockage of the culvert. This research sought to understand the mechanics of sedimentation process at multi-box culverts, and develop self-cleaning systems that flush out sediment deposits using the power of drainage flows. The research entailed field observations, laboratory experiments, and numerical simulations. The specific role of each of these investigative tools is summarized below: a) The field observations were aimed at understanding typical sedimentation patterns and their dependence on culvert geometry and hydrodynamic conditions during normal and extreme hydrologic events. b) The laboratory experiments were used for modeling sedimentation process observed insitu and for testing alternative self-cleaning concepts applied to culverts. The major tasks for the initial laboratory model study were to accurately replicate the culvert performance curves and the dynamics of sedimentation process, and to provide benchmark data for numerical simulation validation. c) The numerical simulations enhanced the understanding of the sedimentation processes and aided in testing flow cases complementary to those conducted in the model reducing the number of (more expensive) tests to be conducted in the laboratory. Using the findings acquired from the laboratory and simulation works, self-cleaning culvert concepts were developed and tested for a range of flow conditions. The screening of the alternative concepts was made through experimental studies in a 1:20 scale model guided by numerical simulations. To ensure the designs are effective, performance studies were finally conducted in a 1:20 hydraulic model using the most promising design alternatives to make sure that the proposed systems operate satisfactory under closer to natural scale conditions.

Modified radial basis function neural network using output transformation

A modified radial basis function (RBF) neural network and its identification algorithm based on observational data with heterogeneous noise are introduced. The transformed system output of Box-Cox is represented by the RBF neural network. To identify the model from observational data, the singular value decomposition of the full regression matrix consisting of basis functions formed by system input data is initially carried out and a new fast identification method is then developed using Gauss-Newton algorithm to derive the required Box-Cox transformation, based on a maximum likelihood estimator (MLE) for a model base spanned by the largest eigenvectors. Finally, the Box-Cox transformation-based RBF neural network, with good generalisation and sparsity, is identified based on the derived optimal Box-Cox transformation and an orthogonal forward regression algorithm using a pseudo-PRESS statistic to select a sparse RBF model with good generalisation. The proposed algorithm and its efficacy are demonstrated with numerical examples.

Coupling an aerosol box model with one-dimensional flow: a tool for understanding observations of new particle formation events

Field observations of new particle formation and the subsequent particle growth are typically only possible at a fixed measurement location, and hence do not follow the temporal evolution of an air parcel in a Lagrangian sense. Standard analysis for determining formation and growth rates requires that the time-dependent formation rate and growth rate of the particles are spatially invariant; air parcel advection means that the observed temporal evolution of the particle size distribution at a fixed measurement location may not represent the true evolution if there are spatial variations in the formation and growth rates. Here we present a zero-dimensional aerosol box model coupled with one-dimensional atmospheric flow to describe the impact of advection on the evolution of simulated new particle formation events. Wind speed, particle formation rates and growth rates are input parameters that can vary as a function of time and location, using wind speed to connect location to time. The output simulates measurements at a fixed location; formation and growth rates of the particle mode can then be calculated from the simulated observations at a stationary point for different scenarios and be compared with the ‘true’ input parameters. Hence, we can investigate how spatial variations in the formation and growth rates of new particles would appear in observations of particle number size distributions at a fixed measurement site. We show that the particle size distribution and growth rate at a fixed location is dependent on the formation and growth parameters upwind, even if local conditions do not vary. We also show that different input parameters used may result in very similar simulated measurements. Erroneous interpretation of observations in terms of particle formation and growth rates, and the time span and areal extent of new particle formation, is possible if the spatial effects are not accounted for.

A note on an application of Arrow's theorem: sufficient conditions for Lucas' inflation and welfare

Bellman's methods for dynamic optimization constitute the present mainstream in economics. However, some results associated with optimal controI can be particularly usefuI in certain problems. The purpose of this note is presenting such an example. The value function derived in Lucas' (2000) shopping-time economy in Infiation and Welfare need not be concave, leading this author to develop numerical analyses to determine if consumer utility is in fact maximized along the balanced path constructed from the first order conditions. We use Arrow's generalization of Mangasarian's results in optimal control theory and develop sufficient conditions for the problem. The analytical conclusions and the previous numerical results are compatible .

Two additions to Lucas's "inflation and welfare"

This work adds to Lucas (2000) by providing analytical solutions to two problems that are solved only numerically by the author. The first part uses a theorem in control theory (Arrow' s sufficiency theorem) to provide sufficiency conditions to characterize the optimum in a shopping-time problem where the value function need not be concave. In the original paper the optimality of the first-order condition is characterized only by means of a numerical analysis. The second part of the paper provides a closed-form solution to the general-equilibrium expression of the welfare costs of inflation when the money demand is double logarithmic. This closed-form solution allows for the precise calculation of the difference between the general-equilibrium and Bailey's partial-equilibrium estimates of the welfare losses due to inflation. Again, in Lucas's original paper, the solution to the general-equilibrium-case underlying nonlinear differential equation is done only numerically, and the posterior assertion that the general-equilibrium welfare figures cannot be distinguished from those derived using Bailey's formula rely only on numerical simulations as well.

FTY720 in combination with cyclosporine - an analysis of skin allograft survival and renal function

Acute and chronic nephrotoxicity caused by CsA Continuous administration impair kidney allograft survival. Several clinical and experimental protocols have shown benefits to the kidney after decreasing CsA dose, withdrawing the drug or delaying its introduction after transplantation.FTY720 is a new Compound that has immunosuppressive characteristics and increase allograft survival in animal models without causing the side effects of calcineurin inhibitors (CNIs). FTY720 described mechanism of action that consists to alter the lymphocyte migration pattern without impairment of the immune system response against pathogens.In our mice model, FTY720 administered alone or in combination with CsA during 21 days increased skin allograft survival in a fully mismatched strain combination and did not cause significant changes in renal function. Moreover, renal structure was normal in all groups suggesting that at low doses (10 mg/kg/day) CsA can be associated during short-term period to other immunosuppressive drugs, i.e. FTY720 without affecting the kidney.Combination of immunosuppressive compounds with FTY720 and/or delayed introduction of low cyclosporine dose Could prevent graft rejection and avoid nephrotoxicity. (c) 2006 Elsevier B.V. All rights reserved.

The reformulation of nonlinear complementarity problems using the Fischer-Burmeister function

A bounded-level-set result for a reformulation of the box-constrained variational inequality problem proposed recently by Facchinei, Fischer and Kanzow is proved. An application of this result to the (unbounded) nonlinear complementarity problem is suggested. © 1999 Elsevier Science Ltd. All rights reserved.

Reliability of timber bridges using nailed plywood box beams

The Nailed Box Beam structural efficiency is directly dependent of the flange-web joint behavior, which determines the partial composition of the section, as the displacement between elements reduces the effective rigidity of the section and changes the stress distribution and the total displacement of the section. This work discusses the use of Nailed Plywood Box Beams in small span timber bridges, focusing on the reliability of the beam element. It is presented the results of tests carried out in 21 full scale Nailed Plywood Box Beams. The analysis of maximum load tests results shows that it presents a normal distribution, permitting the characteristic values calculation as the normal distribution theory specifies. The reliability of those elements was analyzed focusing on a timber bridge design, to estimate the failure probability in function of the load level.

Previsão estocástica de nível fluviométrico para cidade de Marabá-PA: método de Box-Jenkins

O Município de Marabá- PA, situado na região Amazônica, sudeste do Estado do Pará, sofre anualmente com eventos de enchentes, ocasionados pelo aumento periódico do rio Tocantins e pela situação de vulnerabilidade da população que reside em áreas de risco. A defesa civil estadual e municipal anualmente planeja e prepara equipes para ações de defesa no município. Nesta fase o monitoramento e previsão de eventos de enchentes são importantes. Portanto, com o objetivo de diminuir erros nas previsões hidrológicas para o Município de Marabá, desenvolveu-se um modelo estocástico para previsão de nível do rio Tocantins, baseado na metodologia de Box e Jenkins. Utilizou os dados de níveis diários observados nas estações hidrológicas de Marabá e Carolina e Conceição do Araguaia da Agência Nacional de Águas (ANA), do período de 01/12/ 2008 a 31/03/2011. Efetuou-se o ajustamento de três modelos (M_t, N_t e Y_t), através de diferentes aplicativos estatísticos: o SAS e o Gretl, usando diferentes interpretações do comportamento das séries para gerar as equações dos modelos. A principal diferença entre os aplicativos é que no SAS usa o modelo de função de transferência na modelagem. Realizou-se uma classificação da variabilidade do nível do rio, através da técnica dos Quantis para o período de 1972 a 2011, examinando-se apenas as categorizações de níveis ACIMA e MUITO ACIMA do normal. Para análise de impactos socioeconômicos foram usados os dados das ações da Defesa Civil Estado do Pará nas cheias de 2009 e 2011. Os resultados mostraram que o número de eventos de cheias com níveis MUITO ACIMA do normal, geralmente, podem estar associados a eventos de La Niña. Outro resultado importante: os modelos gerados simularam muito bem o nível do rio para o período de sete dias (01/04/2011 a 07/04/2011). O modelo multivariado N_t (com pequenos erros) representou o comportamento da série original, subestimando os valores reais nos dias 3, 4 e 5 de abril de 2011, com erro máximo de 0,28 no dia 4. O modelo univariado (Y_t) teve bons resultados nas simulações com erros absolutos em torno de 0,12 m. O modelo com menor erro absoluto (0,08m) para o mesmo período foi o modelo M_t, desenvolvido pelo aplicativo SAS, que interpreta a série original como sendo não linear e não estacionária. A análise quantitativa dos impactos fluviométricos, ocorridos nas enchentes de 2009 e 2011 na cidade de Marabá, revelou em média que mais de 4 mil famílias sofrem com estes eventos, implicado em gastos financeiros elevados. Logo, conclui-se que os modelos de previsão de níveis são importantes ferramentas que a Defesa Civil, utiliza no planejamento e preparo de ações preventivas para o município de Marabá.

Jet and underlying event properties as a function of charged-particle multiplicity in proton-proton collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Higher order turán inequalities for the Riemann ξ-function

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)