Quadratic programming versus second order con programming in portfolio optimization

Despite the extensive literature in finding new models to replace the Markowitz model or trying to increase the accuracy of its input estimations, there is less studies about the impact on the results of using different optimization algorithms. This paper aims to add some research to this field by comparing the performance of two optimization algorithms in drawing the Markowitz Efficient Frontier and in real world investment strategies. Second order cone programming is a faster algorithm, appears to be more efficient, but is impossible to assert which algorithm is better. Quadratic Programming often shows superior performance in real investment strategies.

Algorithms and tools for in silico design of cell factories

PhD thesis in Bioengineering

Retroanálise de parâmetros geomecânicos baseada em algoritmos de otimização

Dissertação de mestrado integrado em Engenharia Civil

Extreme Precipitation Modelling Using Geostatistics and Machine Learning Algorithms

The paper presents an approach for mapping of precipitation data. The main goal is to perform spatial predictions and simulations of precipitation fields using geostatistical methods (ordinary kriging, kriging with external drift) as well as machine learning algorithms (neural networks). More practically, the objective is to reproduce simultaneously both the spatial patterns and the extreme values. This objective is best reached by models integrating geostatistics and machine learning algorithms. To demonstrate how such models work, two case studies have been considered: first, a 2-day accumulation of heavy precipitation and second, a 6-day accumulation of extreme orographic precipitation. The first example is used to compare the performance of two optimization algorithms (conjugate gradients and Levenberg-Marquardt) of a neural network for the reproduction of extreme values. Hybrid models, which combine geostatistical and machine learning algorithms, are also treated in this context. The second dataset is used to analyze the contribution of radar Doppler imagery when used as external drift or as input in the models (kriging with external drift and neural networks). Model assessment is carried out by comparing independent validation errors as well as analyzing data patterns.

Search space pruning and global optimization of multiple gravity assist trajectories with deep space manoeuvres

This paper deals with the design of optimal multiple gravity assist trajectories with deep space manoeuvres. A pruning method which considers the sequential nature of the problem is presented. The method locates feasible vectors using local optimization and applies a clustering algorithm to find reduced bounding boxes which can be used in a subsequent optimization step. Since multiple local minima remain within the pruned search space, the use of a global optimization method, such as Differential Evolution, is suggested for finding solutions which are likely to be close to the global optimum. Two case studies are presented.

Acceleration and visualization of Dynamic Network Optimization

With the emerging prevalence of smart phones and 4G LTE networks, the demand for faster-better-cheaper mobile services anytime and anywhere is ever growing. The Dynamic Network Optimization (DNO) concept emerged as a solution that optimally and continuously tunes the network settings, in response to varying network conditions and subscriber needs. Yet, the DNO realization is still at infancy, largely hindered by the bottleneck of the lengthy optimization runtime. This paper presents the design and prototype of a novel cloud based parallel solution that further enhances the scalability of our prior work on various parallel solutions that accelerate network optimization algorithms. The solution aims to satisfy the high performance required by DNO, preliminarily on a sub-hourly basis. The paper subsequently visualizes a design and a full cycle of a DNO system. A set of potential solutions to large network and real-time DNO are also proposed. Overall, this work creates a breakthrough towards the realization of DNO.

Efficiency of evolutionary algorithms in water network pipe sizing

The pipe sizing of water networks via evolutionary algorithms is of great interest because it allows the selection of alternative economical solutions that meet a set of design requirements. However, available evolutionary methods are numerous, and methodologies to compare the performance of these methods beyond obtaining a minimal solution for a given problem are currently lacking. A methodology to compare algorithms based on an efficiency rate (E) is presented here and applied to the pipe-sizing problem of four medium-sized benchmark networks (Hanoi, New York Tunnel, GoYang and R-9 Joao Pessoa). E numerically determines the performance of a given algorithm while also considering the quality of the obtained solution and the required computational effort. From the wide range of available evolutionary algorithms, four algorithms were selected to implement the methodology: a PseudoGenetic Algorithm (PGA), Particle Swarm Optimization (PSO), a Harmony Search and a modified Shuffled Frog Leaping Algorithm (SFLA). After more than 500,000 simulations, a statistical analysis was performed based on the specific parameters each algorithm requires to operate, and finally, E was analyzed for each network and algorithm. The efficiency measure indicated that PGA is the most efficient algorithm for problems of greater complexity and that HS is the most efficient algorithm for less complex problems. However, the main contribution of this work is that the proposed efficiency ratio provides a neutral strategy to compare optimization algorithms and may be useful in the future to select the most appropriate algorithm for different types of optimization problems.

Partial spectral projected gradient method with active-set strategy for linearly constrained optimization

A method for linearly constrained optimization which modifies and generalizes recent box-constraint optimization algorithms is introduced. The new algorithm is based on a relaxed form of Spectral Projected Gradient iterations. Intercalated with these projected steps, internal iterations restricted to faces of the polytope are performed, which enhance the efficiency of the algorithm. Convergence proofs are given and numerical experiments are included and commented. Software supporting this paper is available through the Tango Project web page: http://www.ime.usp.br/similar to egbirgin/tango/.

A novel MAP-MRF approach for multispectral image contextual classification using combination of suboptimal iterative algorithms

In this paper we present a novel approach for multispectral image contextual classification by combining iterative combinatorial optimization algorithms. The pixel-wise decision rule is defined using a Bayesian approach to combine two MRF models: a Gaussian Markov Random Field (GMRF) for the observations (likelihood) and a Potts model for the a priori knowledge, to regularize the solution in the presence of noisy data. Hence, the classification problem is stated according to a Maximum a Posteriori (MAP) framework. In order to approximate the MAP solution we apply several combinatorial optimization methods using multiple simultaneous initializations, making the solution less sensitive to the initial conditions and reducing both computational cost and time in comparison to Simulated Annealing, often unfeasible in many real image processing applications. Markov Random Field model parameters are estimated by Maximum Pseudo-Likelihood (MPL) approach, avoiding manual adjustments in the choice of the regularization parameters. Asymptotic evaluations assess the accuracy of the proposed parameter estimation procedure. To test and evaluate the proposed classification method, we adopt metrics for quantitative performance assessment (Cohen`s Kappa coefficient), allowing a robust and accurate statistical analysis. The obtained results clearly show that combining sub-optimal contextual algorithms significantly improves the classification performance, indicating the effectiveness of the proposed methodology. (C) 2010 Elsevier B.V. All rights reserved.

Structured minimal-memory inexact quasi-Newton method and secant preconditioners for augmented Lagrangian optimization

Augmented Lagrangian methods for large-scale optimization usually require efficient algorithms for minimization with box constraints. On the other hand, active-set box-constraint methods employ unconstrained optimization algorithms for minimization inside the faces of the box. Several approaches may be employed for computing internal search directions in the large-scale case. In this paper a minimal-memory quasi-Newton approach with secant preconditioners is proposed, taking into account the structure of Augmented Lagrangians that come from the popular Powell-Hestenes-Rockafellar scheme. A combined algorithm, that uses the quasi-Newton formula or a truncated-Newton procedure, depending on the presence of active constraints in the penalty-Lagrangian function, is also suggested. Numerical experiments using the Cute collection are presented.

Stochastic scheduling - A flow shop no wait application and solutions

Minimizing the makespan of a flow-shop no-wait (FSNW) schedule where the processing times are randomly distributed is an important NP-Complete Combinatorial Optimization Problem. In spite of this, it can be found only in very few papers in the literature. By considering the Start Interval Concept, this problem can be formulated, in a practical way, in function of the probability of the success in preserve FSNW constraints for all tasks execution. With this formulation, for the particular case with 3 machines, this paper presents different heuristics solutions: by integrating local optimization steps with insertion procedures and by using genetic algorithms for search the solution space. Computational results and performance evaluations are commented. Copyright (C) 1998 IFAC.

Optimization of algorithm to identification of duplicate tuples through similarity phonetic based on multithreading

Aiming to ensure greater reliability and consistency of data stored in the database, the data cleaning stage is set early in the process of Knowledge Discovery in Databases (KDD) and is responsible for eliminating problems and adjust the data for the later stages, especially for the stage of data mining. Such problems occur in the instance level and schema, namely, missing values, null values, duplicate tuples, values outside the domain, among others. Several algorithms were developed to perform the cleaning step in databases, some of them were developed specifically to work with the phonetics of words, since a word can be written in different ways. Within this perspective, this work presents as original contribution an optimization of algorithm for the detection of duplicate tuples in databases through phonetic based on multithreading without the need for trained data, as well as an independent environment of language to be supported for this. © 2011 IEEE.

Empilhamento sísmico por superfície de reflexão comum: um novo algoritmo usando otimização global e local

O método de empilhamento sísmico por Superfície de Reflexão Comum (ou empilhamento SRC) produz a simulação de seções com afastamento nulo (NA) a partir dos dados de cobertura múltipla. Para meios 2D, o operador de empilhamento SRC depende de três parâmetros que são: o ângulo de emergência do raio central com fonte-receptor nulo (β₀), o raio de curvatura da onda ponto de incidência normal (R_NIP) e o raio de curvatura da onda normal (R_N). O problema crucial para a implementação do método de empilhamento SRC consiste na determinação, a partir dos dados sísmicos, dos três parâmetros ótimos associados a cada ponto de amostragem da seção AN a ser simulada. No presente trabalho foi desenvolvido uma nova sequência de processamento para a simulação de seções AN por meio do método de empilhamento SRC. Neste novo algoritmo, a determinação dos três parâmetros ótimos que definem o operador de empilhamento SRC é realizada em três etapas: na primeira etapa são estimados dois parâmetros (β°₀ e R°_NIP) por meio de uma busca global bidimensional nos dados de cobertura múltipla. Na segunda etapa é usado o valor de β°₀ estimado para determinar-se o terceiro parâmetro (R°_N) através de uma busca global unidimensional na seção AN resultante da primeira etapa. Em ambas etapas as buscas globais são realizadas aplicando o método de otimização Simulated Annealing (SA). Na terceira etapa são determinados os três parâmetros finais (β₀, R_NIP e R_N) através uma busca local tridimensional aplicando o método de otimização Variable Metric (VM) nos dados de cobertura múltipla. Nesta última etapa é usado o trio de parâmetros (β°₀, R°_NIP, R°_N) estimado nas duas etapas anteriores como aproximação inicial. Com o propósito de simular corretamente os eventos com mergulhos conflitantes, este novo algoritmo prevê a determinação de dois trios de parâmetros associados a pontos de amostragem da seção AN onde há intersecção de eventos. Em outras palavras, nos pontos da seção AN onde dois eventos sísmicos se cruzam são determinados dois trios de parâmetros SRC, os quais serão usados conjuntamente na simulação dos eventos com mergulhos conflitantes. Para avaliar a precisão e eficiência do novo algoritmo, este foi aplicado em dados sintéticos de dois modelos: um com interfaces contínuas e outro com uma interface descontinua. As seções AN simuladas têm elevada razão sinal-ruído e mostram uma clara definição dos eventos refletidos e difratados. A comparação das seções AN simuladas com as suas similares obtidas por modelamento direto mostra uma correta simulação de reflexões e difrações. Além disso, a comparação dos valores dos três parâmetros otimizados com os seus correspondentes valores exatos calculados por modelamento direto revela também um alto grau de precisão. Usando a aproximação hiperbólica dos tempos de trânsito, porém sob a condição de R_NIP = R_N, foi desenvolvido um novo algoritmo para a simulação de seções AN contendo predominantemente campos de ondas difratados. De forma similar ao algoritmo de empilhamento SRC, este algoritmo denominado empilhamento por Superfícies de Difração Comum (SDC) também usa os métodos de otimização SA e VM para determinar a dupla de parâmetros ótimos (β₀, R_NIP) que definem o melhor operador de empilhamento SDC. Na primeira etapa utiliza-se o método de otimização SA para determinar os parâmetros iniciais β°₀ e R°_NIP usando o operador de empilhamento com grande abertura. Na segunda etapa, usando os valores estimados de β°₀ e R°_NIP, são melhorados as estimativas do parâmetro R_NIP por meio da aplicação do algoritmo VM na seção AN resultante da primeira etapa. Na terceira etapa são determinados os melhores valores de β°₀ e R°_NIP por meio da aplicação do algoritmo VM nos dados de cobertura múltipla. Vale salientar que a aparente repetição de processos tem como efeito a atenuação progressiva dos eventos refletidos. A aplicação do algoritmo de empilhamento SDC em dados sintéticos contendo campos de ondas refletidos e difratados, produz como resultado principal uma seção AN simulada contendo eventos difratados claramente definidos. Como uma aplicação direta deste resultado na interpretação de dados sísmicos, a migração pós-empilhamento em profundidade da seção AN simulada produz uma seção com a localização correta dos pontos difratores associados às descontinuidades do modelo.

An evolutionary approach to the design of experiments for combinatorial optimization with an application to enzyme engineering

In a large number of problems the high dimensionality of the search space, the vast number of variables and the economical constrains limit the ability of classical techniques to reach the optimum of a function, known or unknown. In this thesis we investigate the possibility to combine approaches from advanced statistics and optimization algorithms in such a way to better explore the combinatorial search space and to increase the performance of the approaches. To this purpose we propose two methods: (i) Model Based Ant Colony Design and (ii) Naïve Bayes Ant Colony Optimization. We test the performance of the two proposed solutions on a simulation study and we apply the novel techniques on an appplication in the field of Enzyme Engineering and Design.

Unified detection and tracking of instruments during retinal microsurgery

Methods for tracking an object have generally fallen into two groups: tracking by detection and tracking through local optimization. The advantage of detection-based tracking is its ability to deal with target appearance and disappearance, but it does not naturally take advantage of target motion continuity during detection. The advantage of local optimization is efficiency and accuracy, but it requires additional algorithms to initialize tracking when the target is lost. To bridge these two approaches, we propose a framework for unified detection and tracking as a time-series Bayesian estimation problem. The basis of our approach is to treat both detection and tracking as a sequential entropy minimization problem, where the goal is to determine the parameters describing a target in each frame. To do this we integrate the Active Testing (AT) paradigm with Bayesian filtering, and this results in a framework capable of both detecting and tracking robustly in situations where the target object enters and leaves the field of view regularly. We demonstrate our approach on a retinal tool tracking problem and show through extensive experiments that our method provides an efficient and robust tracking solution.