Mean-variance Vs. full-scale optimization: broad evidence for the UK

This article investigates the performance of a model called Full-Scale Optimisation, which was presented recently and is used for financial investment advice. The investor’s preferences of expected risk and return are entered into the model, and a recommended portfolio is produced. This model is theoretically more accurate than the mainstream investment advice model, called Mean-Variance Optimization, as there are fewer assumptions made. Our investigation of the model’s performance is broader when it comes to investor preferences, and more general when it comes to investment type, as compared to previous studies. Our investigation shows that Full-Scale Optimisation is more widely applicable than earlier known.

Stock selection with full-scale optimization and differential evolution

When composing stock portfolios, managers frequently choose among hundreds of stocks. The stocks' risk properties are analyzed with statistical tools, and managers try to combine these to meet the investors' risk profiles. A recently developed tool for performing such optimization is called full-scale optimization (FSO). This methodology is very flexible for investor preferences, but because of computational limitations it has until now been infeasible to use when many stocks are considered. We apply the artificial intelligence technique of differential evolution to solve FSO-type stock selection problems of 97 assets. Differential evolution finds the optimal solutions by self-learning from randomly drawn candidate solutions. We show that this search technique makes large scale problem computationally feasible and that the solutions retrieved are stable. The study also gives further merit to the FSO technique, as it shows that the solutions suit investor risk profiles better than portfolios retrieved from traditional methods.

Large-Scale Testing to Study the Effects of Critical Parameters on the Aerodynamic Behavior of Long Span Bridges

Long-span bridges are flexible and therefore are sensitive to wind induced effects. One way to improve the stability of long span bridges against flutter is to use cross-sections that involve twin side-by-side decks. However, this can amplify responses due to vortex induced oscillations. Wind tunnel testing is a well-established practice to evaluate the stability of bridges against wind loads. In order to study the response of the prototype in laboratory, dynamic similarity requirements should be satisfied. One of the parameters that is normally violated in wind tunnel testing is Reynolds number. In this dissertation, the effects of Reynolds number on the aerodynamics of a double deck bridge were evaluated by measuring fluctuating forces on a motionless sectional model of a bridge at different wind speeds representing different Reynolds regimes. Also, the efficacy of vortex mitigation devices was evaluated at different Reynolds number regimes. One other parameter that is frequently ignored in wind tunnel studies is the correct simulation of turbulence characteristics. Due to the difficulties in simulating flow with large turbulence length scale on a sectional model, wind tunnel tests are often performed in smooth flow as a conservative approach. The validity of simplifying assumptions in calculation of buffeting loads, as the direct impact of turbulence, needs to be verified for twin deck bridges. The effects of turbulence characteristics were investigated by testing sectional models of a twin deck bridge under two different turbulent flow conditions. Not only the flow properties play an important role on the aerodynamic response of the bridge, but also the geometry of the cross section shape is expected to have significant effects. In this dissertation, the effects of deck details, such as width of the gap between the twin decks, and traffic barriers on the aerodynamic characteristics of a twin deck bridge were investigated, particularly on the vortex shedding forces with the aim of clarifying how these shape details can alter the wind induced responses. Finally, a summary of the issues that are involved in designing a dynamic test rig for high Reynolds number tests is given, using the studied cross section as an example.

Model updating of a full-scale bridge structure using particle swarm optimization

Peer reviewed

Seismic Response Analysis of a Full-Scale Base-Isolated Structure via Measurements and Modeling

The full-scale base-isolated structure studied in this dissertation is the only base-isolated building in South Island of New Zealand. It sustained hundreds of earthquake ground motions from September 2010 and well into 2012. Several large earthquake responses were recorded in December 2011 by NEES@UCLA and by GeoNet recording station nearby Christchurch Women's Hospital. The primary focus of this dissertation is to advance the state-of-the art of the methods to evaluate performance of seismic-isolated structures and the effects of soil-structure interaction by developing new data processing methodologies to overcome current limitations and by implementing advanced numerical modeling in OpenSees for direct analysis of soil-structure interaction.

This dissertation presents a novel method for recovering force-displacement relations within the isolators of building structures with unknown nonlinearities from sparse seismic-response measurements of floor accelerations. The method requires only direct matrix calculations (factorizations and multiplications); no iterative trial-and-error methods are required. The method requires a mass matrix, or at least an estimate of the floor masses. A stiffness matrix may be used, but is not necessary. Essentially, the method operates on a matrix of incomplete measurements of floor accelerations. In the special case of complete floor measurements of systems with linear dynamics, real modes, and equal floor masses, the principal components of this matrix are the modal responses. In the more general case of partial measurements and nonlinear dynamics, the method extracts a number of linearly-dependent components from Hankel matrices of measured horizontal response accelerations, assembles these components row-wise and extracts principal components from the singular value decomposition of this large matrix of linearly-dependent components. These principal components are then interpolated between floors in a way that minimizes the curvature energy of the interpolation. This interpolation step can make use of a reduced-order stiffness matrix, a backward difference matrix or a central difference matrix. The measured and interpolated floor acceleration components at all floors are then assembled and multiplied by a mass matrix. The recovered in-service force-displacement relations are then incorporated into the OpenSees soil structure interaction model.

Numerical simulations of soil-structure interaction involving non-uniform soil behavior are conducted following the development of the complete soil-structure interaction model of Christchurch Women's Hospital in OpenSees. In these 2D OpenSees models, the superstructure is modeled as two-dimensional frames in short span and long span respectively. The lead rubber bearings are modeled as elastomeric bearing (Bouc Wen) elements. The soil underlying the concrete raft foundation is modeled with linear elastic plane strain quadrilateral element. The non-uniformity of the soil profile is incorporated by extraction and interpolation of shear wave velocity profile from the Canterbury Geotechnical Database. The validity of the complete two-dimensional soil-structure interaction OpenSees model for the hospital is checked by comparing the results of peak floor responses and force-displacement relations within the isolation system achieved from OpenSees simulations to the recorded measurements. General explanations and implications, supported by displacement drifts, floor acceleration and displacement responses, force-displacement relations are described to address the effects of soil-structure interaction.

A framework for experimental determination of localised vertical pedestrian forces on full-scale structures using wireless attitude and heading reference systems

A major weakness among loading models for pedestrians walking on flexible structures proposed in recent years is the various uncorroborated assumptions made in their development. This applies to spatio-temporal characteristics of pedestrian loading and the nature of multi-object interactions. To alleviate this problem, a framework for the determination of localised pedestrian forces on full-scale structures is presented using a wireless attitude and heading reference systems (AHRS). An AHRS comprises a triad of tri-axial accelerometers, gyroscopes and magnetometers managed by a dedicated data processing unit, allowing motion in three-dimensional space to be reconstructed. A pedestrian loading model based on a single point inertial measurement from an AHRS is derived and shown to perform well against benchmark data collected on an instrumented treadmill. Unlike other models, the current model does not take any predefined form nor does it require any extrapolations as to the timing and amplitude of pedestrian loading. In order to assess correctly the influence of the moving pedestrian on behaviour of a structure, an algorithm for tracking the point of application of pedestrian force is developed based on data from a single AHRS attached to a foot. A set of controlled walking tests with a single pedestrian is conducted on a real footbridge for validation purposes. A remarkably good match between the measured and simulated bridge response is found, indeed confirming applicability of the proposed framework.

Effects of Implements of Husbandry (Farm Equipment) on Pavement Performance, TR-563, 2012

The effects of farm equipment on the structural behavior of flexible and rigid pavements were investigated in this study. The project quantified the difference in pavement behavior caused by heavy farm equipment as compared to a typical 5-axle, 80 kip semi-truck. This research was conducted on full scale pavement test sections designed and constructed at the Minnesota Road Research facility (MnROAD). The testing was conducted in the spring and fall seasons to capture responses when the pavement is at its weakest state and when agricultural vehicles operate at a higher frequency, respectively. The flexible pavement sections were heavily instrumented with strain gauges and earth pressure cells to measure essential pavement responses under heavy agricultural vehicles, whereas the rigid pavement sections were instrumented with strain gauges and linear variable differential transducers (LVDTs). The full scale testing data collected in this study were used to validate and calibrate analytical models used to predict relative damage to pavements. The developed procedure uses various inputs (including axle weight, tire footprint, pavement structure, material characteristics, and climatic information) to determine the critical pavement responses (strains and deflections). An analysis was performed to determine the damage caused by various types of vehicles to the roadway when there is a need to move large amounts agricultural product.

Finite element aided design evolution of composite leaf spring

This paper shows the process of the virtual production development of the mechanical connection between the top leaf of a dual composite leaf spring system to a shackle using finite element methods. The commercial FEA package MSC/MARC has been used for the analysis. In the original design the joint was based on a closed eye-end. Full scale testing results showed that this configuration achieved the vertical proof load of 150 kN and 1 million cycles of fatigue load. However, a problem with delamination occurred at the interface between the fibres going around the eye and the main leaf body. To overcome this problem, a second design was tried using transverse bandages of woven glass fibre reinforced tape to wrap the section that is prone to delaminate. In this case, the maximum interlaminar shear stress was reduced by a certain amount but it was still higher than the material’s shear strength. Based on the fact that, even with delamination, the top leaf spring still sustained the maximum static and fatigue loads required, the third design was proposed with an open eye-end, eliminating altogether the interface where the maximum shear stress occurs. The maximum shear stress predicted by FEA is reduced significantly and a safety factor of around 2 has been obtained. Thus, a successful and safe design has been achieved.

Evaluation of semi-passive treatment technologies for septic lagoon capacity expansion

In Canada, increases in rural development has led to a growing need to effectively manage the resulting municipal and city sewage without the addition of significant cost- and energy- expending infrastructure. Storring Septic Service Limited is a family-owned, licensed wastewater treatment facility located in eastern Ontario. It makes use of a passive waste stabilization pond system to treat and dispose of waste and wastewater in an environmentally responsible manner. Storring Septic, like many other similar small-scale wastewater treatment facilities across Canada, has the potential to act as a sustainable eco-engineered facility that municipalities and service providers could utilize to manage and dispose of their wastewater. However, it is of concern that the substantial inclusion of third party material could be detrimental to the stability and robustness of the pond system. In order to augment the capacity of the current facility, and ensure it remains a self-sustaining system with the capacity to safely accept septage from other sewage haulers, it was hypothesized that pond effluent treatment could be further enhanced through the incorporation of one of three different technology solutions, which would allow the reduction of wastewater quality parameters below existing regulatory effluent discharge limits put in place by Ontario’s Ministry of the Environment and Climate Change (MOECC). Two of these solutions make use of biofilm technologies in order to enhance the removal of wastewater parameters of interest, and the third utilizes the natural water filtration capabilities of zebra mussels. Pilot-scale testing investigated the effects of each of these technologies on treatment performance under both cold and warm weather operation. This research aimed to understand the important mechanisms behind biological filtration methods in order to choose and optimize the best treatment strategy for full-scale testing and implementation. In doing so, a recommendation matrix was elaborated provided with the potential to be used as a universal operational strategy for wastewater treatment facilities located in environments of similar climate and ecology.

Experimental investigation into amplitude-dependent modal properties of an eleven-span motorway bridge

The authors would like to thank their supporters. New Zealand Earthquake Commission (EQC) Research Foundation provided financial support for experimental work (Grant No. UNI/578). New Zealand Transport Agency (NZTA) provided access to the bridge. Piotr Omenzetter’s work within the LRF Centre for Safety and Reliability Engineering at the University of Aberdeen is supported by Lloyd’s Register Foundation. The Foundation helps to protect life and property by supporting engineering-related education, public engagement and the application of research. Ge-Wei Chen’s doctoral study is supported by China Scholarship Council (CSC) (Grant No. 2011637065).

Evaluation of semi-passive treatment technologies for septic lagoon capacity expansion

In Canada, increases in rural development has led to a growing need to effectively manage the resulting municipal and city sewage without the addition of significant cost- and energy- expending infrastructure. Storring Septic Service Limited is a family-owned, licensed wastewater treatment facility located in eastern Ontario. It makes use of a passive waste stabilization pond system to treat and dispose of waste and wastewater in an environmentally responsible manner. Storring Septic, like many other similar small-scale wastewater treatment facilities across Canada, has the potential to act as a sustainable eco-engineered facility that municipalities and service providers could utilize to manage and dispose of their wastewater. However, it is of concern that the substantial inclusion of third party material could be detrimental to the stability and robustness of the pond system. In order to augment the capacity of the current facility, and ensure it remains a self-sustaining system with the capacity to safely accept septage from other sewage haulers, it was hypothesized that pond effluent treatment could be further enhanced through the incorporation of one of three different technology solutions, which would allow the reduction of wastewater quality parameters below existing regulatory effluent discharge limits put in place by Ontario’s Ministry of the Environment and Climate Change (MOECC). Two of these solutions make use of biofilm technologies in order to enhance the removal of wastewater parameters of interest, and the third utilizes the natural water filtration capabilities of zebra mussels. Pilot-scale testing investigated the effects of each of these technologies on treatment performance under both cold and warm weather operation. This research aimed to understand the important mechanisms behind biological filtration methods in order to choose and optimize the best treatment strategy for full-scale testing and implementation. In doing so, a recommendation matrix was elaborated provided with the potential to be used as a universal operational strategy for wastewater treatment facilities located in environments of similar climate and ecology.

Chloride ingress into marine exposed concrete: A comparison of empirical- and physically- based models

In establishing the reliability of performance-related design methods for concrete – which are relevant for resistance against chloride-induced corrosion - long-term experience of local materials and practices and detailed knowledge of the ambient and local micro-climate are critical. Furthermore, in the development of analytical models for performance-based design, calibration against test data representative of actual conditions in practice is required. To this end, the current study presents results from full-scale, concrete pier-stems under long-term exposure to a marine environment with work focussing on XS2 (below mid-tide level) in which the concrete is regarded as fully saturated and XS3 (tidal, splash and spray) in which the concrete is in an unsaturated condition. These exposures represent zones where concrete structures are most susceptible to ionic ingress and deterioration. Chloride profiles and chloride transport behaviour are studied using both an empirical model (erfc function) and a physical model (ClinConc). The time dependency of surface chloride concentration (Cs) and apparent diffusivity (Da) were established for the empirical model whereas, in the ClinConc model (originally based on saturated concrete), two new environmental factors were introduced for the XS3 environmental exposure zone. Although the XS3 is considered as one environmental exposure zone according to BS EN 206-1:2013, the work has highlighted that even within this zone, significant changes in chloride ingress are evident. This study aims to update the parameters of both models for predicting the long term transport behaviour of concrete subjected to environmental exposure classes XS2 and XS3.