989 resultados para expected shortfall portfolio optimization


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This paper presents a method to reconstruct 3D surfaces of silicon wafers from 2D images of printed circuits taken with a scanning electron microscope. Our reconstruction method combines the physical model of the optical acquisition system with prior knowledge about the shapes of the patterns in the circuit; the result is a shape-from-shading technique with a shape prior. The reconstruction of the surface is formulated as an optimization problem with an objective functional that combines a data-fidelity term on the microscopic image with two prior terms on the surface. The data term models the acquisition system through the irradiance equation characteristic of the microscope; the first prior is a smoothness penalty on the reconstructed surface, and the second prior constrains the shape of the surface to agree with the expected shape of the pattern in the circuit. In order to account for the variability of the manufacturing process, this second prior includes a deformation field that allows a nonlinear elastic deformation between the expected pattern and the reconstructed surface. As a result, the minimization problem has two unknowns, and the reconstruction method provides two outputs: 1) a reconstructed surface and 2) a deformation field. The reconstructed surface is derived from the shading observed in the image and the prior knowledge about the pattern in the circuit, while the deformation field produces a mapping between the expected shape and the reconstructed surface that provides a measure of deviation between the circuit design models and the real manufacturing process.

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We evaluate the performance of different optimization techniques developed in the context of optical flow computation with different variational models. In particular, based on truncated Newton methods (TN) that have been an effective approach for large-scale unconstrained optimization, we de- velop the use of efficient multilevel schemes for computing the optical flow. More precisely, we evaluate the performance of a standard unidirectional mul- tilevel algorithm - called multiresolution optimization (MR/OPT), to a bidrec- tional multilevel algorithm - called full multigrid optimization (FMG/OPT). The FMG/OPT algorithm treats the coarse grid correction as an optimiza- tion search direction and eventually scales it using a line search. Experimental results on different image sequences using four models of optical flow com- putation show that the FMG/OPT algorithm outperforms both the TN and MR/OPT algorithms in terms of the computational work and the quality of the optical flow estimation.

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Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

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Summary: Professional development portfolio as a tool for veterinarians specializing in small animal diseases, equine diseases and production medicine

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BACKGROUND: Video-laryngoscopes are marketed for intubation in difficult airway management. They provide a better view of the larynx and may facilitate tracheal intubation, but there is no adequately powered study comparing different types of video-laryngoscopes in a difficult airway scenario or in a simulated difficult airway situation. METHODS/DESIGN: The objective of this trial is to evaluate and to compare the clinical performance of three video-laryngoscopes with a guiding channel for intubation (Airtraq?, A. P. Advance?, King Vision?) and three video-laryngoscopes without an integrated tracheal tube guidance (C-MAC?, GlideScope?, McGrath?) in a simulated difficult airway situation in surgical patients. The working hypothesis is that each video-laryngoscope provides at least a 90% first intubation success rate (lower limit of the 95% confidence interval >0.9). It is a prospective, patient-blinded, multicenter, randomized controlled trial in 720 patients who are scheduled for elective surgery under general anesthesia, requiring tracheal intubation at one of the three participating hospitals. A difficult airway will be created using an extrication collar and taping the patients' head on the operating table to substantially reduce mouth opening and to minimize neck movement. Tracheal intubation will be performed with the help of one of the six devices according to randomization. Insertion success, time necessary for intubation, Cormack-Lehane grade and percentage of glottic opening (POGO) score at laryngoscopy, optimization maneuvers required to aid tracheal intubation, adverse events and technical problems will be recorded. Primary outcome is intubation success at first attempt. DISCUSSION: We will simulate the difficult airway and evaluate different video-laryngoscopes in this highly realistic and clinically challenging scenario, independently from manufacturers of the devices. Because of the sufficiently powered multicenter design this study will deliver important and cutting-edge results that will help clinicians decide which device to use for intubation of the expected and unexpected difficult airway. TRIAL REGISTRATION: NCT01692535.

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As a result of forensic investigations of problems across Iowa, a research study was developed aimed at providing solutions to identified problems through better management and optimization of the available pavement geotechnical materials and through ground improvement, soil reinforcement, and other soil treatment techniques. The overall goal was worked out through simple laboratory experiments, such as particle size analysis, plasticity tests, compaction tests, permeability tests, and strength tests. A review of the problems suggested three areas of study: pavement cracking due to improper management of pavement geotechnical materials, permeability of mixed-subgrade soils, and settlement of soil above the pipe due to improper compaction of the backfill. This resulted in the following three areas of study: (1) The optimization and management of earthwork materials through general soil mixing of various select and unsuitable soils and a specific example of optimization of materials in earthwork construction by soil mixing; (2) An investigation of the saturated permeability of compacted glacial till in relation to validation and prediction with the Enhanced Integrated Climatic Model (EICM); and (3) A field investigation and numerical modeling of culvert settlement. For each area of study, a literature review was conducted, research data were collected and analyzed, and important findings and conclusions were drawn. It was found that optimum mixtures of select and unsuitable soils can be defined that allow the use of unsuitable materials in embankment and subgrade locations. An improved model of saturated hydraulic conductivity was proposed for use with glacial soils from Iowa. The use of proper trench backfill compaction or the use of flowable mortar will reduce the potential for developing a bump above culverts.

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The objective of this work was to develop a genetic transformation system for tropical maize genotypes via particle bombardment of immature zygotic embryos. Particle bombardment was carried out using a genetic construct with bar and uidA genes under control of CaMV35S promoter. The best conditions to transform maize tropical inbred lines L3 and L1345 were obtained when immature embryos were cultivated, prior to the bombardment, in higher osmolarity during 4 hours and bombarded at an acceleration helium gas pressure of 1,100 psi, two shots per plate, and a microcarrier flying distance of 6.6 cm. Transformation frequencies obtained using these conditions ranged from 0.9 to 2.31%. Integration of foreign genes into the genome of maize plants was confirmed by Southern blot analysis as well as bar and uidA gene expressions. The maize genetic transformation protocol developed in this work will possibly improve the efficiency to produce new transgenic tropical maize lines expressing desirable agronomic characteristics.

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We consider the problem of estimating the mean hospital cost of stays of a class of patients (e.g., a diagnosis-related group) as a function of patient characteristics. The statistical analysis is complicated by the asymmetry of the cost distribution, the possibility of censoring on the cost variable, and the occurrence of outliers. These problems have often been treated separately in the literature, and a method offering a joint solution to all of them is still missing. Indirect procedures have been proposed, combining an estimate of the duration distribution with an estimate of the conditional cost for a given duration. We propose a parametric version of this approach, allowing for asymmetry and censoring in the cost distribution and providing a mean cost estimator that is robust in the presence of extreme values. In addition, the new method takes covariate information into account.

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The protein shells, or capsids, of nearly all spherelike viruses adopt icosahedral symmetry. In the present Letter, we propose a statistical thermodynamic model for viral self-assembly. We find that icosahedral symmetry is not expected for viral capsids constructed from structurally identical protein subunits and that this symmetry requires (at least) two internal switching configurations of the protein. Our results indicate that icosahedral symmetry is not a generic consequence of free energy minimization but requires optimization of internal structural parameters of the capsid proteins

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Mixture materials, mix design, and pavement construction are not isolated steps in the concrete paving process. Each affects the other in ways that determine overall pavement quality and long-term performance. However, equipment and procedures commonly used to test concrete materials and concrete pavements have not changed in decades, leaving gaps in our ability to understand and control the factors that determine concrete durability. The concrete paving community needs tests that will adequately characterize the materials, predict interactions, and monitor the properties of the concrete. The overall objectives of this study are (1) to evaluate conventional and new methods for testing concrete and concrete materials to prevent material and construction problems that could lead to premature concrete pavement distress and (2) to examine and refine a suite of tests that can accurately evaluate concrete pavement properties. The project included three phases. In Phase I, the research team contacted each of 16 participating states to gather information about concrete and concrete material tests. A preliminary suite of tests to ensure long-term pavement performance was developed. The tests were selected to provide useful and easy-to-interpret results that can be performed reasonably and routinely in terms of time, expertise, training, and cost. The tests examine concrete pavement properties in five focal areas critical to the long life and durability of concrete pavements: (1) workability, (2) strength development, (3) air system, (4) permeability, and (5) shrinkage. The tests were relevant at three stages in the concrete paving process: mix design, preconstruction verification, and construction quality control. In Phase II, the research team conducted field testing in each participating state to evaluate the preliminary suite of tests and demonstrate the testing technologies and procedures using local materials. A Mobile Concrete Research Lab was designed and equipped to facilitate the demonstrations. This report documents the results of the 16 state projects. Phase III refined and finalized lab and field tests based on state project test data. The results of the overall project are detailed herein. The final suite of tests is detailed in the accompanying testing guide.

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MOTIVATION: The detection of positive selection is widely used to study gene and genome evolution, but its application remains limited by the high computational cost of existing implementations. We present a series of computational optimizations for more efficient estimation of the likelihood function on large-scale phylogenetic problems. We illustrate our approach using the branch-site model of codon evolution. RESULTS: We introduce novel optimization techniques that substantially outperform both CodeML from the PAML package and our previously optimized sequential version SlimCodeML. These techniques can also be applied to other likelihood-based phylogeny software. Our implementation scales well for large numbers of codons and/or species. It can therefore analyse substantially larger datasets than CodeML. We evaluated FastCodeML on different platforms and measured average sequential speedups of FastCodeML (single-threaded) versus CodeML of up to 5.8, average speedups of FastCodeML (multi-threaded) versus CodeML on a single node (shared memory) of up to 36.9 for 12 CPU cores, and average speedups of the distributed FastCodeML versus CodeML of up to 170.9 on eight nodes (96 CPU cores in total).Availability and implementation: ftp://ftp.vital-it.ch/tools/FastCodeML/. CONTACT: selectome@unil.ch or nicolas.salamin@unil.ch.

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This piece of work which is Identification of Research Portfolio for Development of Filtration Equipment aims at presenting a novel approach to identify promising research topics in the field of design and development of filtration equipment and processes. The projected approach consists of identifying technological problems often encountered in filtration processes. The sources of information for the problem retrieval were patent documents and scientific papers that discussed filtration equipments and processes. The problem identification method adopted in this work focussed on the semantic nature of a sentence in order to generate series of subject-action-object structures. This was achieved with software called Knowledgist. List of problems often encountered in filtration processes that have been mentioned in patent documents and scientific papers were generated. These problems were carefully studied and categorized. Suggestions were made on the various classes of these problems that need further investigation in order to propose a research portfolio. The uses and importance of other methods of information retrieval were also highlighted in this work.

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The general objective of this study was to conduct astatistical analysis on the variation of the weld profiles and their influence on the fatigue strength of the joint. Weld quality with respect to its fatigue strength is of importance which is the main concept behind this thesis. The intention of this study was to establish the influence of weld geometric parameters on the weld quality and fatigue strength. The effect of local geometrical variations of non-load carrying cruciform fillet welded joint under tensile loading wasstudied in this thesis work. Linear Elastic Fracture Mechanics was used to calculate fatigue strength of the cruciform fillet welded joints in as-welded condition and under cyclic tensile loading, for a range of weld geometries. With extreme value statistical analysis and LEFM, an attempt was made to relate the variation of the cruciform weld profiles such as weld angle and weld toe radius to respective FAT classes.