Uma formulação por média-variância multi-período para o erro de rastreamento em carteiras de investimento.

Neste trabalho, deriva-se uma política de escolha ótima baseada na análise de média-variância para o Erro de Rastreamento no cenário Multi-período - ERM -. Referindo-se ao ERM como a diferença entre o capital acumulado pela carteira escolhida e o acumulado pela carteira de um benchmark. Assim, foi aplicada a metodologia abordada por Li-Ng em [24] para a solução analítica, obtendo-se dessa maneira uma generalização do caso uniperíodo introduzido por Roll em [38]. Em seguida, selecionou-se um portfólio do mercado de ações brasileiro baseado no fator de orrelação, e adotou-se como benchmark o índice da bolsa de valores do estado de São Paulo IBOVESPA, além da taxa básica de juros SELIC como ativo de renda fixa. Dois casos foram abordados: carteira composta somente de ativos de risco, caso I, e carteira com um ativo sem risco indexado à SELIC - e ativos do caso I (caso II).

Logic-Based Outer-Approximation Algorithm for Solving Discrete-Continuous Dynamic Optimization Problems

We present an extension of the logic outer-approximation algorithm for dealing with disjunctive discrete-continuous optimal control problems whose dynamic behavior is modeled in terms of differential-algebraic equations. Although the proposed algorithm can be applied to a wide variety of discrete-continuous optimal control problems, we are mainly interested in problems where disjunctions are also present. Disjunctions are included to take into account only certain parts of the underlying model which become relevant under some processing conditions. By doing so the numerical robustness of the optimization algorithm improves since those parts of the model that are not active are discarded leading to a reduced size problem and avoiding potential model singularities. We test the proposed algorithm using three examples of different complex dynamic behavior. In all the case studies the number of iterations and the computational effort required to obtain the optimal solutions is modest and the solutions are relatively easy to find.

Monitoring influenza vaccine effectiveness using the national influenza surveillance system

Background: Flu vaccine composition is reformulated on a yearly basis. As such, the vaccine effectiveness (VE) from previous seasons cannot be considered for subsequent years, and it is necessary to monitor the VE for each season. This study (MonitorEVA- monitoring vaccine effectiveness) intends to evaluate the feasibility of using the national influenza surveillance system (NISS) for monitoring the influenza VE. Material and methods: Data was collected within NISS during 2004 to 2014 seasons. We used a case-control design where laboratory confirmed incident influenza like illness (ILI) patients (cases) were compared to controls (ILI influenza negative). Eligible individuals consisted on all aged individuals that consult a general practitioner or emergency room with ILI symptoms with a swab collected within seven days of symptoms onset. VE was estimated as 1- odds ratio of being vaccinated in cases versus controls adjusted for age and month of onset by logistic regression. Sensitivity analyses were conducted to test possible effect of assumptions on vaccination status, ILI definition and timing of swabs (<3 days after onset). Results: During the 2004-2014 period, a total of 5302 ILI patients were collected but 798 ILI were excluded for not complying with inclusion criteria. After data restriction the sample size in both groups was higher than 148 individuals/ season; minimum sample size needed to detect a VE of at least 50% considering a level of significance of 5% and 80% power. Crude VE point estimates were under 45% in 2004/05, 2005/06, 2011/12 and 2013/14 season; between 50%-70% in 2006/07, 2008/09 and 2010/11 seasons, and above 70% in 2007/08 and 2012/13 season. From season 2006/07 to 2013/14, all crude VE estimates were statistically significant. After adjustment for age group and month of onset, the VE point estimates decreased and only 2008/09, 2012/13 and 2013/14 seasons were significant. Discussion and Conclusions: MonitorEVA was able to provide VE estimates for all seasons, including the pandemic, indicating if the VE was higher than 70% and less than 50%. When comparing with other observational studies, MonitorEVA estimates were comparable but less precise and VE estimates were in accordance with the antigenic match of the circulating virus/ vaccine strains. Given the sensitivity results, we propose a MonitorEVA based on: a) Vaccination status defined independently of number of days between vaccination and symptoms onset; b) use of all ILI data independent of the definition; c) stratification of VE according to time between onset and swab (< 3 and ≥3 days).

Double-strand break repair gene polymorphisms and risk of breast or ovarian cancer

Deficiencies in DNA repair have been hypothesized to increase cancer risk and excess cancer incidence is a feature of inherited diseases caused by defects in DNA damage recognition and repair. We investigated, using a case-control design, whether the double-strand break repair gene polymorphisms RAD51 5' untranslated region -135 G > C, XRCC2 R188H G > A, and XRCC3 T241M C > T were associated with risk of breast or ovarian cancer in Australian women. Sample sets included 1,456 breast cancer cases and 793 age-matched controls ages under 60 years of age, 549 incident ovarian cancer cases, and 335 controls of similar age distribution. For the total sample and the subsample of Caucasian women, there were no significant differences in genotype distribution between breast cancer cases and controls or between ovarian cancer cases and combined control groups. The crude odds ratios (OR) and 95% confidence intervals (95% CI) associated with the RAD51 GC/CC genotype frequency was OR, 1.10; 95% CI, 0.80-1.41 for breast cancer and OR, 1.22; 95% CI, 0.92-1.62 for ovarian cancer. Similarly, there were no increased risks associated with the XRCC2 GA/AA genotype (OR, 0.98; 95% CI, 0.76-1.26 for breast cancer and OR, 0.93; 95% CI, 0.69-1.25 for ovarian cancer) or the XRCC3 CT/TT genotype (OR, 0.92; 95% Cl, 0.77-1.10 for breast cancer and OR, 0.87; 95% CI, 0.71-1.08 for ovarian cancer). Results were little changed after adjustment for age and other measured risk factors. Although there was little statistical power to detect modest increases in risk for the homozygote variant genotypes, particularly for the rare RAD51 and XRCC2 variants, the data suggest that none of these variants play a major role in the etiology of breast or ovarian cancer.

Degrees of freedom and motor planning in purposive movement

This paper presents empirical evidence suggesting that healthy humans can perform a two degree of freedom visuo-motor pursuit tracking task with the same response time delay as a one degree of freedom task. In contrast, the time delay of the response is influenced markedly by the nature of the motor synergy required to produce it. We suggest a conceptual account of this evidence based on adaptive model theory, which combines theories of intermittency from psychology and adaptive optimal control from engineering. The intermittent response planning stage has a fixed period. It possesses multiple optimal trajectory generators such that multiple degrees of freedom can be planned concurrently, without requiring an increase in the planning period. In tasks which require unfamiliar motor synergies, or are deemed to be incompatible, internal adaptive models representing movement dynamics are inaccurate. This means that the actual response which is produced will deviate from the one which is planned. For a given target-response discrepancy, corrective response trajectories of longer duration are planned, consistent with the principle of speed-accuracy trade-off. Compared to familiar or compatible tasks, this results in a longer response time delay and reduced accuracy. From the standpoint of the intermittency approach, the findings of this study help make possible a more integral and predictive account of purposive action. (c) 2005 Elsevier B.V. All rights reserved.

Risks for ross river virus disease in tropical Australia

Background There are no analytical studies of individual risks for Ross River virus (RRV) disease. Therefore, we set out to determine individual risk and protective factors for RRV disease in a high incidence area and to assess the utility of the case-control design applied for this purpose to an arbovirus disease. Methods We used a prospective matched case-control study of new community cases of RRV disease in the local government areas of Cairns, Mareeba, Douglas, and Atherton, in tropical Queensland, from January I to May 31, 1998. Results Protective measures against mosquitoes reduced the risk for disease. Mosquito coils, repellents, and citronella candles each decreased risk by at least 2-fold, with a dose-response for the number of protective measures used. Light-coloured clothing decreased risk 3-fold. Camping increased the risk 8-fold. Conclusions These risks were substantial and statistically significant, and provide a basis for educational programs on individual protection against RRV disease in Australia. Our study demonstrates the utility of the case-control method for investigating arbovirus risks. Such a risk analysis has not been done before for RRV infection, and is infrequently reported for other arbovirus infections.

Effect of knee joint angle on motor unit synchronization

Activity of the vasti has been argued to vary through knee range of movement due to changes in passive support of the patellofemoral joint and the relative contribution of these muscles to knee extension. Efficient function of the knee is dependent on optimal control of the patellofemoral joint, largely through coordinated activity of the medial and lateral quadriceps. Motor unit synchronization may provide a mechanism to coordinate the activity of vastus medialis (VMO) and vastus lateralis (VL), and may be more critical in positions of reduced passive support for the patellofemoral joint (i.e., full extension). Therefore, the aim of this study was to determine whether the degree of motor unit synchronization between the vasti muscles is dependent on joint angle. Electromyographic (EMG) recordings of single motor unit action potentials (MUAPs) were made from VMO and multiunit recordings from VL during isometric contractions of the quadriceps at 0 degrees, 30 degrees, and 60 degrees of knee flexion. The degree of synchronization between motor unit firing was evaluated by identification of peaks in the rectified EMG averages of VL, triggered from MUA-Ps in VMO. The proportion of cases in which there was a significant peak in the triggered averages was calculated. There was no significant difference in the degree of synchronization between the vasti at different knee angles (p = 0.57). These data suggest that this basic coordinative mechanism between the vasti muscles is controlled consistently throughout knee range of motion, and is not augmented at specific angles where the requirement for dynamic control of stability is increased. (D 2006 Orthopaedic Research Society. Published by Wiley Periodicals, Inc.

Organohalogen contaminants in wildlife from the Yangtze River Delta : Development of methods and assessments of legacy and emerging persistent organic pollutants

Rapid economic development has occurred during the past few decades in China with the Yangtze River Delta (YRD) area as one of the most progressive areas. The urbanization, industrialization, agricultural and aquaculture activities result in extensive production and application of chemicals. Organohalogen contaminants (OHCs) have been widely used as i.e. pesticides, flame retardants and plasticizers. They are persistent, bioaccumulative and pose a potential threat to ecosystem and human health. However, limited research has been conducted in the YRD with respect to chemicals environmental exposure. The main objective of this thesis is to investigate the contamination level, distribution pattern and sources of OHCs in the YRD. Wildlife from different habitats are used to indicate the environmental pollution situation, and evaluate selected matrices for use in long term biomonitoring to determine the environmental stress the contamination may cause. In addition, a method is developed for dicofol analysis. Moreover, a specific effort is made to introduce statistic power analysis to assist in optimal sampling design. The thesis results show extensive contamination of OHCs in wildlife in the YRD. The occurrences of high concentrations of chlorinated paraffins (CPs) are reported in wildlife, in particular in terrestrial species, (i.e. short-tailed mamushi snake and peregrine falcon). Impurities and byproducts of pentachlorophenol products, i.e. polychlorinated diphenyl ethers (PCDEs) and hydroxylated polychlorinated diphenyl ethers (OH-PCDEs) are identified and reported for the first time in eggs from black-crowned night heron and whiskered tern. High concentrations of octachlorodibenzo-p-dioxin (OCDD) are determined in these samples. The toxic equivalents (TEQs) of polychlorinated dibenzo-p-dioxin (PCDDs) and polychlorinated dibenzofurans (PCDFs) are at mean levels of 300 and 520 pg TEQ g-1lw (WHO2005 TEQ) in eggs from the two bird species, respectively. This is two orders of magnitude higher than European Union (EU) regulation limit in chicken eggs. Also, a novel pattern of polychlorinated biphenyls (PCBs) with octa- to decaCBs, contributing to as much as 20% of total PCBs therein, are reported in birds. The legacy POPs shows a common characteristic with relatively high level of organochlorine pesticides (i.e. DDT, hexacyclohexanes (HCHs) and Mirex), indicating historic applications. In contrast, rather low concentrations are shown of industrial chemicals such as PCBs and polybrominated diphenyl ethers (PBDEs). A refined and improved analytical method is developed to separate dicofol from its major decomposition compound, 4,4’-dichlorobenzophenone. Hence dicofol is possible to assess as such. Statistic power analysis demonstrates that sampling of sedentary species should be consistently spread over a larger area to monitor temporal trends of contaminants in a robust manner. The results presented in this thesis show high CPs and OCDD concentrations in wildlife. The levels and patterns of OHCs in YRD differ from other well studied areas of the world. This is likely due to the extensive production and use of chemicals in the YRD. The results strongly signal the need of research biomonitoring programs that meet the current situation of the YRD. Such programs will contribute to the management of chemicals and environment in YRD, with the potential to grow into the human health sector, and to expand to China as a whole.

Representation of Neural Networks by Dynamical Systems

Representation of neural networks by dynamical systems is considered. The method of training of neural networks with the help of the theory of optimal control is offered.

Distribution modeling of nonlinear inverse controllers under a Bayesian framework

The inverse controller is traditionally assumed to be a deterministic function. This paper presents a pedagogical methodology for estimating the stochastic model of the inverse controller. The proposed method is based on Bayes' theorem. Using Bayes' rule to obtain the stochastic model of the inverse controller allows the use of knowledge of uncertainty from both the inverse and the forward model in estimating the optimal control signal. The paper presents the methodology for general nonlinear systems and is demonstrated on nonlinear single-input-single-output (SISO) and multiple-input-multiple-output (MIMO) examples. © 2006 IEEE.

A Bayesian approach to modeling the conditional density of the inverse controller

The inverse controller is traditionally assumed to be a deterministic function. This paper presents a pedagogical methodology for estimating the stochastic model of the inverse controller. The proposed method is based on Bayes' theorem. Using Bayes' rule to obtain the stochastic model of the inverse controller allows the use of knowledge of uncertainty from both the inverse and the forward model in estimating the optimal control signal. The paper presents the methodology for general nonlinear systems. For illustration purposes, the proposed methodology is applied to linear Gaussian systems. © 2004 IEEE.

Notes on the Solution of Dynamic Optimization Problems with Explicit Controls in Discrete-Time Economic Models

Йордан Йорданов, Андрей Василев - В работата се изследват методи за решаването на задачи на оптималното управление в дискретно време с безкраен хоризонт и явни управления. Дадена е обосновка на една процедура за решаване на такива задачи, базирана на множители на Лагранж, коята често се употребява в икономическата литература. Извеждени са необходимите условия за оптималност на базата на уравнения на Белман и са приведени достатъчни условия за оптималност при допускания, които често се използват в икономиката.

Optimization Problem in a Class of Linear System. Application to Multiple Drug Administration

2000 Mathematics Subject Classification: 62H15, 62P10.

Characterization of Schrödinger Processes with Unbounded Potentials

2000 Mathematics Subject Classification: 49L20, 60J60, 93E20

Evaluating techniques to improve visual performance with and assessment of premium intraocular lenses

Premium Intraocular Lenses (IOLs) such as toric IOLs, multifocal IOLs (MIOLs) and accommodating IOLs (AIOLs) can provide better refractive and visual outcomes compared to standard monofocal designs, leading to greater levels of post-operative spectacle independence. The principal theme of this thesis relates to the development of new assessment techniques that can help to improve future premium IOL design. IOLs designed to correct astigmatism form the focus of the first part of the thesis. A novel toric IOL design was devised to decrease the effect of toric rotation on patient visual acuity, but found to have neither a beneficial or detrimental impact on visual acuity retention. IOL tilt, like rotation, may curtail visual performance; however current IOL tilt measurement techniques require the use of specialist equipment not readily available in most ophthalmological clinics. Thus a new idea that applied Pythagoras’s theory to digital images of IOL optic symmetricality in order to calculate tilt was proposed, and shown to be both accurate and highly repeatable. A literature review revealed little information on the relationship between IOL tilt, decentration and rotation and so this was examined. A poor correlation between these factors was found, indicating they occur independently of each other. Next, presbyopia correcting IOLs were investigated. The light distribution of different MIOLs and an AIOL was assessed using perimetry, to establish whether this could be used to inform optimal IOL design. Anticipated differences in threshold sensitivity between IOLs were not however found, thus perimetry was concluded to be ineffective in mapping retinal projection of blur. The observed difference between subjective and objective measures of accommodation, arising from the influence of pseudoaccommodative factors, was explored next to establish how much additional objective power would be required to restore the eye’s focus with AIOLs. Blur tolerance was found to be the key contributor to the ocular depth of focus, with an approximate dioptric influence of 0.60D. Our understanding of MIOLs may be limited by the need for subjective defocus curves, which are lengthy and do not permit important additional measures to be undertaken. The use of aberrometry to provide faster objective defocus curves was examined. Although subjective and objective measures related well, the peaks of the MIOL defocus curve profile were not evident with objective prediction of acuity, indicating a need for further refinement of visual quality metrics based on ocular aberrations. The experiments detailed in the thesis evaluate methods to improve visual performance with toric IOLs. They also investigate new techniques to allow more rapid post-operative assessment of premium IOLs, which could allow greater insights to be obtained into several aspects of visual quality, in order to optimise future IOL design and ultimately enhance patient satisfaction.