The transform likelihood ratio method for rare event simulation with heavy tails

We present a novel method, called the transform likelihood ratio (TLR) method, for estimation of rare event probabilities with heavy-tailed distributions. Via a simple transformation ( change of variables) technique the TLR method reduces the original rare event probability estimation with heavy tail distributions to an equivalent one with light tail distributions. Once this transformation has been established we estimate the rare event probability via importance sampling, using the classical exponential change of measure or the standard likelihood ratio change of measure. In the latter case the importance sampling distribution is chosen from the same parametric family as the transformed distribution. We estimate the optimal parameter vector of the importance sampling distribution using the cross-entropy method. We prove the polynomial complexity of the TLR method for certain heavy-tailed models and demonstrate numerically its high efficiency for various heavy-tailed models previously thought to be intractable. We also show that the TLR method can be viewed as a universal tool in the sense that not only it provides a unified view for heavy-tailed simulation but also can be efficiently used in simulation with light-tailed distributions. We present extensive simulation results which support the efficiency of the TLR method.

Forecasting with serially correlated regression models

In this article we investigate the asymptotic and finite-sample properties of predictors of regression models with autocorrelated errors. We prove new theorems associated with the predictive efficiency of generalized least squares (GLS) and incorrectly structured GLS predictors. We also establish the form associated with their predictive mean squared errors as well as the magnitude of these errors relative to each other and to those generated from the ordinary least squares (OLS) predictor. A large simulation study is used to evaluate the finite-sample performance of forecasts generated from models using different corrections for the serial correlation.

The specification of vector autoregressive moving average models

In this paper we propose a new identification method based on the residual white noise autoregressive criterion (Pukkila et al. , 1990) to select the order of VARMA structures. Results from extensive simulation experiments based on different model structures with varying number of observations and number of component series are used to demonstrate the performance of this new procedure. We also use economic and business data to compare the model structures selected by this order selection method with those identified in other published studies.

Role of polarisation in automatic target recognition using resonance descriptions

The role of polarisation in late time complex resonance based target identification is investigated numerically for the case of an L-shaped wire. While repeated extraction of the resonances for varying polarisation allows for better signal-to-noise immunity, it is also found that there are preferred polarisations for each complex resonance. The first few of these polarisations are extracted for the sample target.

Design and implementation of a windows-based parallel computing environment for large scale optimization

A parallel computing environment to support optimization of large-scale engineering systems is designed and implemented on Windows-based personal computer networks, using the master-worker model and the Parallel Virtual Machine (PVM). It is involved in decomposition of a large engineering system into a number of smaller subsystems optimized in parallel on worker nodes and coordination of subsystem optimization results on the master node. The environment consists of six functional modules, i.e. the master control, the optimization model generator, the optimizer, the data manager, the monitor, and the post processor. Object-oriented design of these modules is presented. The environment supports steps from the generation of optimization models to the solution and the visualization on networks of computers. User-friendly graphical interfaces make it easy to define the problem, and monitor and steer the optimization process. It has been verified by an example of a large space truss optimization. (C) 2004 Elsevier Ltd. All rights reserved.

Accurate prediction of scorpion toxin functional properties from primary structures

Scorpion toxins are common experimental tools for studies of biochemical and pharmacological properties of ion channels. The number of functionally annotated scorpion toxins is steadily growing, but the number of identified toxin sequences is increasing at much faster pace. With an estimated 100,000 different variants, bioinformatic analysis of scorpion toxins is becoming a necessary tool for their systematic functional analysis. Here, we report a bioinformatics-driven system involving scorpion toxin structural classification, functional annotation, database technology, sequence comparison, nearest neighbour analysis, and decision rules which produces highly accurate predictions of scorpion toxin functional properties. (c) 2005 Elsevier Inc. All rights reserved.

ACcESS: Australia's contribution to the iSERVO Institute's development

The new Australian Computational Earth Systems Simulator research facility provides a virtual laboratory for studying the solid earth and its complex system behavior. The facility's capabilities complement those developed by overseas groups, thereby creating the infrastructure for an international computational solid earth research virtual observatory.

Quantum phase-space simulations of fermions and bosons

We introduce a unified Gaussian quantum operator representation for fermions and bosons. The representation extends existing phase-space methods to Fermi systems as well as the important case of Fermi-Bose mixtures. It enables simulations of the dynamics and thermal equilibrium states of many-body quantum systems from first principles. As an example, we numerically calculate finite-temperature correlation functions for the Fermi Hubbard model, with no evidence of the Fermi sign problem. (c) 2005 Elsevier B.V. All rights reserved.

A new repair-replace strategy for items sold with a two-dimensional warranty

For repairable items, the manufacturer has the option to either repair or replace a failed item that is returned under warranty. In this paper, we look at a new warranty servicing strategy for items sold with two-dimensional warranty where the failed item is replaced by a new one when it fails for the first time in a specified region of the warranty and all other failures are repaired minimally. The region is characterised by two parameters and we derive the optimal values for these to minimise the total expected warranty servicing cost. We compare the results with other repair-replace strategies reported in the literature. (C) 2003 Elsevier Ltd. All rights reserved.

Structure-activity relationships for a new family of sulfonylurea herbicides

Acetohydroxyacid synthase (AHAS; EC 2.2.1.6) catalyzes the first common step in branched-chain amino acid biosynthesis. The enzyme is inhibited by several chemical classes of compounds and this inhibition is the basis of action of the sulfonylurea and imidazolinone herbicides. The commercial sulfonylureas contain a pyrimidine or a triazine ring that is substituted at both meta positions, thus obeying the initial rules proposed by Levitt. Here we assess the activity of 69 monosubstituted sulfonylurea analogs and related compounds as inhibitors of pure recombinant Arabidopsis thaliana AHAS and show that disubstitution is not absolutely essential as exemplified by our novel herbicide, monosulfuron (2-nitro-N-(4'-methyl-pyrimidin-2'-yl) phenyl-sulfonylurea), which has a pyrimidine ring with a single meta substituent. A subset of these compounds was tested for herbicidal activity and it was shown that their effect in vivo correlates well with their potency in vitro as AHAS inhibitors. Three-dimensional quantitative structure-activity relationships were developed using comparative molecular field analysis and comparative molecular similarity indices analysis. For the latter, the best result was obtained when steric, electrostatic, hydrophobic and H-bond acceptor factors were taken into consideration. The resulting fields were mapped on to the published crystal structure of the yeast enzyme and it was shown that the steric and hydrophobic fields are in good agreement with sulfonylurea-AHAS interaction geometry.

Topological side-chain classification of beta-turns: Ideal motifs for peptidomimetic development

beta-turns are important topological motifs for biological recognition of proteins and peptides. Organic molecules that sample the side chain positions of beta-turns have shown broad binding capacity to multiple different receptors, for example benzodiazepines. beta-turns have traditionally been classified into various types based on the backbone dihedral angles (phi 2, psi 2, phi 3 and psi 3). Indeed, 57-68% of beta-turns are currently classified into 8 different backbone families (Type I, Type II, Type I', Type II', Type VIII, Type VIa1, Type VIa2 and Type VIb and Type IV which represents unclassified beta-turns). Although this classification of beta-turns has been useful, the resulting beta-turn types are not ideal for the design of beta-turn mimetics as they do not reflect topological features of the recognition elements, the side chains. To overcome this, we have extracted beta-turns from a data set of non-homologous and high-resolution protein crystal structures. The side chain positions, as defined by C-alpha-C-beta vectors, of these turns have been clustered using the kth nearest neighbor clustering and filtered nearest centroid sorting algorithms. Nine clusters were obtained that cluster 90% of the data, and the average intra-cluster RMSD of the four C-alpha-C-beta vectors is 0.36. The nine clusters therefore represent the topology of the side chain scaffold architecture of the vast majority of beta-turns. The mean structures of the nine clusters are useful for the development of beta-turn mimetics and as biological descriptors for focusing combinatorial chemistry towards biologically relevant topological space.

Communicative practices in online communication: A case of agreeing to disagree

Online communities have evolved beyond the realm of social phenomenon to become important knowledge-sharing media with real economic consequences. However, the sharing of knowledge and the communication of meaning through Internet technology presents many difficulties. This is particularly so for online finance forums where market-sensitive information and disinformation about exchange-traded stocks is regularly disseminated. The development of trust and the effect of misinformation in this environment are important in the growth of this communication medium. Forum administrators need to better understand and handle the development of trust. In this article, we analyze and discuss the communicative practices of a group of investors and members of an online community of interest. We found that conflict as a driver of knowledge sharing is an important consideration for forum administrators and designers.

Molecular dynamics characterization of n-octyl-beta-D-glucopyranoside micelle structure in aqueous solution

n-Octyl-beta-D-glueopyranoside (OG) is a non-ionic glycolipid, which is used widely in biotechnical and biochemical applications. All-atom molecular dynamics simulations from two different initial coordinates and velocities in explicit solvent have been performed to characterize the structural behaviour of an OG aggregate at equilibrium conditions. Geometric packing properties determined from the simulations and small angle neutron scattering experiment state that OG micelles are more likely to exist in a non-spherical shape, even at the concentration range near to the critical micelle concentration (0.025 M). Despite few large deviations in the principal moment of inertia ratios, the average micelle shape calculated from both simulations is a prolate ellipsoid. The deviations at these time scales are presumably the temporary shape change of a micelle. However, the size of the micelle and the accessible surface areas were constant during the simulations with the micelle surface being rough and partially elongated. Radial distribution functions computed for the hydroxyl oxygen atoms of an OG show sharper peaks at a minimum van der Waals contact distance than the acetal oxygen, ring oxygen, and anomeric carbon atoms. This result indicates that these atoms are pointed outwards at the hydrophilic/hydrophobic interface, form hydrogen bonds with the water molecules, and thus hydrate the micelle surface effectively. (c) 2005 Elsevier Inc. All rights reserved.