969 resultados para mean-variance portfolio optimization


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We study the spin-1/2 Ising model on a Bethe lattice in the mean-field limit, with the interaction constants following one of two deterministic aperiodic sequences, the Fibonacci or period-doubling one. New algorithms of sequence generation were implemented, which were fundamental in obtaining long sequences and, therefore, precise results. We calculate the exact critical temperature for both sequences, as well as the critical exponents beta, gamma, and delta. For the Fibonacci sequence, the exponents are classical, while for the period-doubling one they depend on the ratio between the two exchange constants. The usual relations between critical exponents are satisfied, within error bars, for the period-doubling sequence. Therefore, we show that mean-field-like procedures may lead to nonclassical critical exponents.

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We investigate the performance of a variant of Axelrod's model for dissemination of culture-the Adaptive Culture Heuristic (ACH)-on solving an NP-Complete optimization problem, namely, the classification of binary input patterns of size F by a Boolean Binary Perceptron. In this heuristic, N agents, characterized by binary strings of length F which represent possible solutions to the optimization problem, are fixed at the sites of a square lattice and interact with their nearest neighbors only. The interactions are such that the agents' strings (or cultures) become more similar to the low-cost strings of their neighbors resulting in the dissemination of these strings across the lattice. Eventually the dynamics freezes into a homogeneous absorbing configuration in which all agents exhibit identical solutions to the optimization problem. We find through extensive simulations that the probability of finding the optimal solution is a function of the reduced variable F/N(1/4) so that the number of agents must increase with the fourth power of the problem size, N proportional to F(4), to guarantee a fixed probability of success. In this case, we find that the relaxation time to reach an absorbing configuration scales with F(6) which can be interpreted as the overall computational cost of the ACH to find an optimal set of weights for a Boolean binary perceptron, given a fixed probability of success.

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The reverse engineering problem addressed in the present research consists of estimating the thicknesses and the optical constants of two thin films deposited on a transparent substrate using only transmittance data through the whole stack. No functional dispersion relation assumptions are made on the complex refractive index. Instead, minimal physical constraints are employed, as in previous works of some of the authors where only one film was considered in the retrieval algorithm. To our knowledge this is the first report on the retrieval of the optical constants and the thickness of multiple film structures using only transmittance data that does not make use of dispersion relations. The same methodology may be used if the available data correspond to normal reflectance. The software used in this work is freely available through the PUMA Project web page (http://www.ime.usp.br/similar to egbirgin/puma/). (C) 2008 Optical Society of America

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A simultaneous optimization strategy based on a neuro-genetic approach is proposed for selection of laser induced breakdown spectroscopy operational conditions for the simultaneous determination of macronutrients (Ca, Mg and P), micro-nutrients (B, Cu, Fe, Mn and Zn), Al and Si in plant samples. A laser induced breakdown spectroscopy system equipped with a 10 Hz Q-switched Nd:YAG laser (12 ns, 532 nm, 140 mJ) and an Echelle spectrometer with intensified coupled-charge device was used. Integration time gate, delay time, amplification gain and number of pulses were optimized. Pellets of spinach leaves (NIST 1570a) were employed as laboratory samples. In order to find a model that could correlate laser induced breakdown spectroscopy operational conditions with compromised high peak areas of all elements simultaneously, a Bayesian Regularized Artificial Neural Network approach was employed. Subsequently, a genetic algorithm was applied to find optimal conditions for the neural network model, in an approach called neuro-genetic, A single laser induced breakdown spectroscopy working condition that maximizes peak areas of all elements simultaneously, was obtained with the following optimized parameters: 9.0 mu s integration time gate, 1.1 mu s delay time, 225 (a.u.) amplification gain and 30 accumulated laser pulses. The proposed approach is a useful and a suitable tool for the optimization process of such a complex analytical problem. (C) 2009 Elsevier B.V. All rights reserved.

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Laser induced breakdown spectrometry (LIBS) was applied for the determination of macro (P, K, Ca, Mg) and micronutrients (B, Cu, Fe, Mn and Zn) in sugar cane leaves, which is one of the most economically important crops in Brazil. Operational conditions were previously optimized by a neuro-genetic approach, by using a laser Nd:YAG at 1064 nm with 110 mJ per pulse focused on a pellet surface prepared with ground plant samples. Emission intensities were measured after 2.0 mu s delay time, with 4.5 mu s integration time gate and 25 accumulated laser pulses. Measurements of LIBS spectra were based on triplicate and each replicate consisted of an average of ten spectra collected in different sites (craters) of the pellet. Quantitative determinations were carried out by using univariate calibration and chemometric methods, such as PLSR and iPLS. The calibration models were obtained by using 26 laboratory samples and the validation was carried out by using 15 test samples. For comparative purpose, these samples were also microwave-assisted digested and further analyzed by ICP OES. In general, most results obtained by LIBS did not differ significantly from ICP OES data by applying a t-test at 95% confidence level. Both LIBS multivariate and univariate calibration methods produced similar results, except for Fe where better results were achieved by the multivariate approach. Repeatability precision varied from 0.7 to 15% and 1.3 to 20% from measurements obtained by multivariate and univariate calibration, respectively. It is demonstrated that LIBS is a powerful tool for analysis of pellets of plant materials for determination of macro and micronutrients by choosing calibration and validation samples with similar matrix composition.

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The objective of this study was to validate the Piper Fatigue Scale-Revised (PFS-R) for use in Brazilian culture. Translation of the PFS-R into Portuguese and validity and reliability tests were performed. Convenience samples in Brazil we as follows: 584 cancer patients (mean age 57 +/- 13 years; 51.3% female); 184 caregivers (mean age 50 +/- 12.7 years; 65.8% female); and 189 undergraduate nursing students (mean age 21.6 +/- 2.8 years; 96.2% female); Instruments used were as follows: Brazilian PFS, Beck Depression Inventory (BDI), and Karnofsky Performance Scale (KPS). The 22 items of the Brazilian PFS loaded well (factor loading > 0.35) on three dimensions identified by factor analysis (behavioral, affective, and sensorial-psychological). These dimensions explained 65% of the variance. Internal consistency reliability was very good (Cronbach`s alpha ranged from 0.841 to 0.943 for the total scale and its dimensions). Cancer patients and their caregivers completed the Brazilian PFS twice for test-retest reliability and results showed good stability (Pearson`s r a parts per thousand yenaEuro parts per thousand 0,60, p < 0,001). Correlations among the Brazilian PFS and other scales were significant, in hypothesized directions, and mostly moderate contributing to divergent (Brazilian PFS x KPS) and convergent validity (Brazilian PFS x BDI). Mild, moderate, and severe fatigue in patients were reported by 73 (12.5%), 167 (28.6%), and 83 (14.2%), respectively. Surprisingly, students had the highest mean total fatigue scores; no significant differences were observed between patients and caregivers showing poor discriminant validity. While the Brazilian PFS is a reliable and valid instrument to measure fatigue in Brazilian cancer patients, further work is needed to evaluate the discriminant validity of the scale in Brazil.

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Exercise intensity is a key parameter for exercise prescription but the optimal range for individuals with high cardiorespiratory fitness is unknown. The aims of this study were (1) to determine optimal heart rate ranges for men with high cardiorespiratory fitness based on percentages of maximal oxygen consumption (%VO(2max)) and reserve oxygen consumption (%VO(2reserve)) corresponding to the ventilatory threshold and respiratory compensation point, and ( 2) to verify the effect of advancing age on the exercise intensities. Maximal cardiorespiratory testing was performed on 210 trained men. Linear regression equations were calculated using paired data points between percentage of maximal heart rate (%HR(max)) and %VO(2max) and between percentage of heart rate reserve (%HRR) and %VO(2reserve) attained at each minute during the test. Values of %VO(2max) and %VO(2reserve) at the ventilatory threshold and respiratory compensation point were used to calculate the corresponding values of %HRmax and %HRR, respectively. The ranges of exercise intensity in relation to the ventilatory threshold and respiratory compensation point were achieved at 78-93% of HR(max) and 70-93% of HRR, respectively. Although absolute heart rate decreased with advancing age, there were no age-related differences in %HR(max) and %HRR at the ventilatory thresholds. Thus, in men with high cardiorespiratory fitness, the ranges of exercise intensity based on %HR(max) and %HRR regarding ventilatory threshold were 78-93% and 70-93% respectively, and were not influenced by advancing age.

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Electrodeposition of thin copper layer was carried out on titanium wires in acidic sulphate bath. The influence of titanium surface preparation, cathodic current density, copper sulphate and sulphuric acid concentrations, electrical charge density and stirring of the solution on the adhesion of the electrodeposits was studied using the Taguchi statistical method. A L(16) orthogonal array with the six factors of control at two levels each and three interactions was employed. The analysis of variance of the mean adhesion response and signal-to-noise ratio showed the great influence of cathodic current density on adhesion. on the contrary, the other factors as well as the three investigated interactions revealed low or no significant effect. From this study optimized electrolysis conditions were defined. The copper electrocoating improved the electrical conductivity of the titanium wire. This shows that copper electrocoated titanium wires could be employed for both electrical purpose and mechanical reinforcement in superconducting magnets. (C) 2008 Elsevier B.V. All rights reserved.

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Brewer`s spent grain components (cellulose, hemicellulose and lignin) were fractionated in a two-step chemical pretreatment process using dilute sulfuric acid and sodium hydroxide solutions. The cellulose pulp produced was hydrolyzed with a cellulolytic complex, Celluclast 1.5 L, at 45 degrees C to convert the cellulose into glucose. Several conditions were examined: agitation speed (100, 150 and 200 rpm), enzyme loading (5, 25 and 45 FPU/g substrate), and substrate concentration (2, 5 and 8% w/v), according to a 2(3) full factorial design aiming to maximize the glucose yield. The obtained results were interpreted by analysis of variance and response surface methodology. The optimal conditions for enzymatic hydrolysis of brewer`s spent grain were identified as 100 rpm, 45 FPU/g and 2% w/v substrate. Under these conditions, a glucose yield of 93.1% and a cellulose conversion (into glucose and cellobiose) of 99.4% was achieved. The easiness of glucose release from BSG makes this substrate a raw material with great potential to be used in bioconversion processes.

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The concentration of hydrogen peroxide is an important parameter in the azo dyes decoloration process through the utilization of advanced oxidizing processes, particularly by oxidizing via UV/H2O2. It is pointed out that, from a specific concentration, the hydrogen peroxide works as a hydroxyl radical self-consumer and thus a decrease of the system`s oxidizing power happens. The determination of the process critical point (maximum amount of hydrogen peroxide to be added) was performed through a ""thorough mapping"" or discretization of the target region, founded on the maximization of an objective function objective (constant of reaction kinetics of pseudo-first order). The discretization of the operational region occurred through a feedforward backpropagation neural model. The neural model obtained presented remarkable coefficient of correlation between real and predicted values for the absorbance variable, above 0.98. In the present work, the neural model had, as phenomenological basis the Acid Brown 75 dye decoloration process. The hydrogen peroxide addition critical point, represented by a value of mass relation (F) between the hydrogen peroxide mass and the dye mass, was established in the interval 50 < F < 60. (C) 2007 Elsevier B.V. All rights reserved.

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Nb(3)Sn is one of the most used superconducting materials for applications in high magnetic fields. The improvement of the critical current densities (J(c)) is important, and must be analyzed together with the optimization of the flux pinning acting in the material. For Nb(3)Sn, it is known that the grain boundaries are the most effective pinning centers. However, the introduction of artificial pinning centers (APCs) with different superconducting properties has been proved to be beneficial for J(c). As these APCs are normally in the nanometric-scale, the conventional heat treatment profiles used for Nb(3)Sn wires cannot be directly applied, leading to excessive grain growth and/or increase of the APCs cross sections. In this work, the heat treatment profiles for Nb(3)Sn superconductor wires with Cu(Sn) artificial pinning centers in nanometric-scale were analyzed in an attempt to improve J(c) . It is described a methodology to optimize the heat treatment profiles in respect to diffusion, reaction and formation of the superconducting phases. Microstructural, transport and magnetic characterization were performed in an attempt to find the pinning mechanisms acting in the samples. It was concluded that the maximum current densities were found when normal phases (due to the introduction of the APCs) are acting as main pinning centers in the global behavior of the Nb(3)Sn superconducting wire.

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BACKGROUND: The combined effects of vanillin and syringaldehyde on xylitol production by Candida guilliermondii using response surface methodology (RSM) have been studied. A 2(2) full-factorial central composite design was employed for experimental design and analysis of the results. RESULTS: Maximum xylitol productivities (Q(p) = 0.74 g L(-1) h(-1)) and yields (Y(P/S) = 0.81 g g(-1)) can be attained by adding only vanillin at 2.0 g L(-1) to the fermentation medium. These data were closely correlated with the experimental results obtained (0.69 +/- 0.04 g L(-1) h(-1) and 0.77 +/- 0.01 g g(-1)) indicating a good agreement with the predicted value. C. guilliermondii was able to convert vanillin completely after 24 h of fermentation with 94% yield of vanillyl alcohol. CONCLUSIONS: The bioconversion of xylose into xylitol by C. guilliermondii is strongly dependent on the combination of aldehydes and phenolics in the fermentation medium. Vanillin is a source of phenolic compound able to improve xylitol production by yeast. The conversion of vanillin to alcohol vanilyl reveals the potential of this yeast for medium detoxification. (C) 2009 Society of Chemical Industry

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MgB(2) is considered to be an important conductor for applications. Optimizing flux pinning in these conductors can improve their critical currents. Doping can influence flux pinning efficiency and grain connectivity, and also affect the resistivity, upper critical field and critical temperature. This study was designed to attempt the doping of MgB(2) on the Mg sites with metal-diborides using high-energy ball milling. MgB(2) samples were prepared by milling pre-reacted MgB(2) and TaB(2) powders using a Spex 8000M mill with WC jars and balls in a nitrogen-filled glove box. The mixing concentration in (Mg(1-x)Ta(x))B(2) was up to x = 0.10. Samples were removed from the WC jars after milling times up to 4000 minutes and formed into pellets using cold isostatic pressing. The pellets were heat treated in a hot isostatic press (HIP) at 1000 degrees C under a pressure of 30 kpsi for 24 hours. The influence that milling time and TaB(2) addition had on the microstructure and the resulting superconducting properties of TaB(2)-added MgB(2) is discussed. Improvement J(c) of at high magnetic fields and of pinning could be obtained in milled samples with added TaB(2) The sample with added 5at.% TaB(2) and milled for 300 minutes showed values of J(c) similar to 7 x 10(5) A/cm(2) and F(p) similar to 14 GN/m(3) at 2T, 4.2 K. The milled and TaB(2)-mixed samples showed higher values of mu(0)H(irr) than the unmilled-unmixed sample.

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Banana, an important component in the diet of the global population, is one of the most consumed fruits in the world. This fruit is also very favorable to industry processes (e. g., fermented beverages) due to its rich content on soluble solids and minerals, with low acidity. The main objective of this work was to evaluate the influence of factors such as banana weight and extraction time during a hot aqueous extraction process on the total soluble solids content of banana. The extract is to be used by the food and beverage industries. The experiments were performed with 105 mL of water, considering the moisture of the ripe banana (65%). Total sugar concentrations were obtained in a beer analyzer and the result expressed in degrees Plato (degrees P, which is the weight of the extract or the sugar equivalent in 100 g solution at 20 degrees C), aiming at facilitating the use of these results by the beverage industries. After previous studies of characterization of the fruit and of ripening performance, a 2(2) full-factorial star design was carried out, and a model was developed to describe the behavior of the dependent variable (total soluble solids) as a function of the factors (banana weight and extraction time), indicating as optimum conditions for extraction 38.5 g of banana at 39.7 min.

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The power loss reduction in distribution systems (DSs) is a nonlinear and multiobjective problem. Service restoration in DSs is even computationally hard since it additionally requires a solution in real-time. Both DS problems are computationally complex. For large-scale networks, the usual problem formulation has thousands of constraint equations. The node-depth encoding (NDE) enables a modeling of DSs problems that eliminates several constraint equations from the usual formulation, making the problem solution simpler. On the other hand, a multiobjective evolutionary algorithm (EA) based on subpopulation tables adequately models several objectives and constraints, enabling a better exploration of the search space. The combination of the multiobjective EA with NDE (MEAN) results in the proposed approach for solving DSs problems for large-scale networks. Simulation results have shown the MEAN is able to find adequate restoration plans for a real DS with 3860 buses and 632 switches in a running time of 0.68 s. Moreover, the MEAN has shown a sublinear running time in function of the system size. Tests with networks ranging from 632 to 5166 switches indicate that the MEAN can find network configurations corresponding to a power loss reduction of 27.64% for very large networks requiring relatively low running time.