A flexible cost function model with risk

In examining bank cost efficiency in banking inclusion of risk-taking of banks is very important. In this paper we depart from the standard modeling approach and view risk intimately related to the technology. Thus, instead of controlling for risk by viewing them as covariates in the standard cost function we argue that the technology differs with risk, thereby meaning that the parameters of the parametric cost function changes with risk in a fully flexible manner. This is accomplished by viewing the parameters of the cost function as nonparametric functions of risk. We also control for country-specific effects in a fully flexible manner by using them as arguments of the nonparametric functions along with the risk variable. The resulting cost function then becomes semiparametric. The standard parametric model becomes a special case of our semiparametric model. We use the above modeling approach for banks in the EU countries. Actually, European financial integration is seen as a stepping stone for the development of a competitive single EU market that promotes efficiency and increases consumer welfare, changing the risk profile of the European banks. Particularly, financial integration allows more risk diversification and permits banks to use more advanced risk management instruments and systems, however it has at the same time increased the probability of systematic risks. Financial integration has increased the risk of contagion and changed its nature and scope. Consequently the bank’s risk seems to be an important issue to be investigated.

Breaks in the UK household sector money demand function

We use non-parametric procedures to identify breaks in the underlying series of UK household sector money demand functions. Money demand functions are estimated using cointegration techniques and by employing both the Simple Sum and Divisia measures of money. P-star models are also estimated for out-of-sample inflation forecasting. Our findings suggest that the presence of breaks affects both the estimation of cointegrated money demand functions and the inflation forecasts. P-star forecast models based on Divisia measures appear more accurate at longer horizons and the majority of models with fundamentals perform better than a random walk model.

A non-parametric data envelopment analysis approach for improving energy efficiency of grape production

Grape is one of the world's largest fruit crops with approximately 67.5 million tonnes produced each year and energy is an important element in modern grape productions as it heavily depends on fossil and other energy resources. Efficient use of these energies is a necessary step toward reducing environmental hazards, preventing destruction of natural resources and ensuring agricultural sustainability. Hence, identifying excessive use of energy as well as reducing energy resources is the main focus of this paper to optimize energy consumption in grape production.In this study we use a two-stage methodology to find the association of energy efficiency and performance explained by farmers' specific characteristics. In the first stage a non-parametric Data Envelopment Analysis is used to model efficiencies as an explicit function of human labor, machinery, chemicals, FYM (farmyard manure), diesel fuel, electricity and water for irrigation energies. In the second step, farm specific variables such as farmers' age, gender, level of education and agricultural experience are used in a Tobit regression framework to explain how these factors influence efficiency of grape farming.The result of the first stage shows substantial inefficiency between the grape producers in the studied area while the second stage shows that the main difference between efficient and inefficient farmers was in the use of chemicals, diesel fuel and water for irrigation. The use of chemicals such as insecticides, herbicides and fungicides were considerably less than inefficient ones. The results revealed that the more educated farmers are more energy efficient in comparison with their less educated counterparts. © 2013.

On q–Analogues of Caputo Derivative and Mittag–Leffler Function

Mathematics Subject Classification: 33D60, 33E12, 26A33

Inequalities and Asymptotic Formulae for the Three Parametric Mittag-Leffler Functions

MSC 2010: 33E12, 30A10, 30D15, 30E15

Parametric pattern selection in a reaction-diffusion model

We compare spot patterns generated by Turing mechanisms with those generated by replication cascades, in a model one-dimensional reaction-diffusion system. We determine the stability region of spot solutions in parameter space as a function of a natural control parameter (feed-rate) where degenerate patterns with different numbers of spots coexist for a fixed feed-rate. While it is possible to generate identical patterns via both mechanisms, we show that replication cascades lead to a wider choice of pattern profiles that can be selected through a tuning of the feed-rate, exploiting hysteresis and directionality effects of the different pattern pathways.

The role of parametric assumptions in adaptive Bayesian estimation.

Variants of adaptive Bayesian procedures for estimating the 5% point on a psychometric function were studied by simulation. Bias and standard error were the criteria to evaluate performance. The results indicated a superiority of (a) uniform priors, (b) model likelihood functions that are odd symmetric about threshold and that have parameter values larger than their counterparts in the psychometric function, (c) stimulus placement at the prior mean, and (d) estimates defined as the posterior mean. Unbiasedness arises in only 10 trials, and 20 trials ensure constant standard errors. The standard error of the estimates equals 0.617 times the inverse of the square root of the number of trials. Other variants yielded bias and larger standard errors.

Linking Parametric CAD with Adjoint Surface Sensitivities

The goal of this work is to present an efficient CAD-based adjoint process chain for calculating parametric sensitivities (derivatives of the objective function with respect to the CAD parameters) in timescales acceptable for industrial design processes. The idea is based on linking parametric design velocities (geometric sensitivities computed from the CAD model) with adjoint surface sensitivities. A CAD-based design velocity computation method has been implemented based on distances between discrete representations of perturbed geometries. This approach differs from other methods due to the fact that it works with existing commercial CAD packages (unlike most analytical approaches) and it can cope with the changes in CAD model topology and face labeling. Use of the proposed method allows computation of parametric sensitivities using adjoint data at a computational cost which scales with the number of objective functions being considered, while it is essentially independent of the number of design variables. The gradient computation is demonstrated on test cases for a Nozzle Guide Vane (NGV) model and a Turbine Rotor Blade model. The results are validated against finite difference values and good agreement is shown. This gradient information can be passed to an optimization algorithm, which will use it to update the CAD model parameters.

Parametric CAD model based shape optimization using adjoint functions

Adjoint methods have proven to be an efficient way of calculating the gradient of an objective function with respect to a shape parameter for optimisation, with a computational cost nearly independent of the number of the design variables [1]. The approach in this paper links the adjoint surface sensitivities (gradient of objective function with respect to the surface movement) with the parametric design velocities (movement of the surface due to a CAD parameter perturbation) in order to compute the gradient of the objective function with respect to CAD variables.
For a successful implementation of shape optimization strategies in practical industrial cases, the choice of design variables or parameterisation scheme used for the model to be optimized plays a vital role. Where the goal is to base the optimization on a CAD model the choices are to use a NURBS geometry generated from CAD modelling software, where the position of the NURBS control points are the optimisation variables [2] or to use the feature based CAD model with all of the construction history to preserve the design intent [3]. The main advantage of using the feature based model is that the optimized model produced can be directly used for the downstream applications including manufacturing and process planning.
This paper presents an approach for optimization based on the feature based CAD model, which uses CAD parameters defining the features in the model geometry as the design variables. In order to capture the CAD surface movement with respect to the change in design variable, the “Parametric Design Velocity” is calculated, which is defined as the movement of the CAD model boundary in the normal direction due to a change in the parameter value.
The approach presented here for calculating the design velocities represents an advancement in terms of capability and robustness of that described by Robinson et al. [3]. The process can be easily integrated to most industrial optimisation workflows and is immune to the topology and labelling issues highlighted by other CAD based optimisation processes. It considers every continuous (“real value”) parameter type as an optimisation variable, and it can be adapted to work with any CAD modelling software, as long as it has an API which provides access to the values of the parameters which control the model shape and allows the model geometry to be exported. To calculate the movement of the boundary the methodology employs finite differences on the shape of the 3D CAD models before and after the parameter perturbation. The implementation procedure includes calculating the geometrical movement along a normal direction between two discrete representations of the original and perturbed geometry respectively. Parametric design velocities can then be directly linked with adjoint surface sensitivities to extract the gradients to use in a gradient-based optimization algorithm.
The optimisation of a flow optimisation problem is presented, in which the power dissipation of the flow in an automotive air duct is to be reduced by changing the parameters of the CAD geometry created in CATIA V5. The flow sensitivities are computed with the continuous adjoint method for a laminar and turbulent flow [4] and are combined with the parametric design velocities to compute the cost function gradients. A line-search algorithm is then used to update the design variables and proceed further with optimisation process.

CAUSAL INFERENCE WITH A CONTINUOUS TREATMENT AND OUTCOME: ALTERNATIVE ESTIMATORS FOR PARAMETRIC DOSE-RESPONSE FUNCTIONS WITH APPLICATIONS.

Causal inference with a continuous treatment is a relatively under-explored problem. In this dissertation, we adopt the potential outcomes framework. Potential outcomes are responses that would be seen for a unit under all possible treatments. In an observational study where the treatment is continuous, the potential outcomes are an uncountably infinite set indexed by treatment dose. We parameterize this unobservable set as a linear combination of a finite number of basis functions whose coefficients vary across units. This leads to new techniques for estimating the population average dose-response function (ADRF). Some techniques require a model for the treatment assignment given covariates, some require a model for predicting the potential outcomes from covariates, and some require both. We develop these techniques using a framework of estimating functions, compare them to existing methods for continuous treatments, and simulate their performance in a population where the ADRF is linear and the models for the treatment and/or outcomes may be misspecified. We also extend the comparisons to a data set of lottery winners in Massachusetts. Next, we describe the methods and functions in the R package causaldrf using data from the National Medical Expenditure Survey (NMES) and Infant Health and Development Program (IHDP) as examples. Additionally, we analyze the National Growth and Health Study (NGHS) data set and deal with the issue of missing data. Lastly, we discuss future research goals and possible extensions.

Sensitivity analysis in optimized parametric curve fitting

Purpose – Curve fitting from unordered noisy point samples is needed for surface reconstruction in many applications -- In the literature, several approaches have been proposed to solve this problem -- However, previous works lack formal characterization of the curve fitting problem and assessment on the effect of several parameters (i.e. scalars that remain constant in the optimization problem), such as control points number (m), curve degree (b), knot vector composition (U), norm degree (k), and point sample size (r) on the optimized curve reconstruction measured by a penalty function (f) -- The paper aims to discuss these issues -- Design/methodology/approach - A numerical sensitivity analysis of the effect of m, b, k and r on f and a characterization of the fitting procedure from the mathematical viewpoint are performed -- Also, the spectral (frequency) analysis of the derivative of the angle of the fitted curve with respect to u as a means to detect spurious curls and peaks is explored -- Findings - It is more effective to find optimum values for m than k or b in order to obtain good results because the topological faithfulness of the resulting curve strongly depends on m -- Furthermore, when an exaggerate number of control points is used the resulting curve presents spurious curls and peaks -- The authors were able to detect the presence of such spurious features with spectral analysis -- Also, the authors found that the method for curve fitting is robust to significant decimation of the point sample -- Research limitations/implications - The authors have addressed important voids of previous works in this field -- The authors determined, among the curve fitting parameters m, b and k, which of them influenced the most the results and how -- Also, the authors performed a characterization of the curve fitting problem from the optimization perspective -- And finally, the authors devised a method to detect spurious features in the fitting curve -- Practical implications – This paper provides a methodology to select the important tuning parameters in a formal manner -- Originality/value - Up to the best of the knowledge, no previous work has been conducted in the formal mathematical evaluation of the sensitivity of the goodness of the curve fit with respect to different possible tuning parameters (curve degree, number of control points, norm degree, etc.)

An approximate method for the solution of an influence function foil rolling model

Fleck and Johnson (Int. J. Mech. Sci. 29 (1987) 507) and Fleck et al. (Proc. Inst. Mech. Eng. 206 (1992) 119) have developed foil rolling models which allow for large deformations in the roll profile, including the possibility that the rolls flatten completely. However, these models require computationally expensive iterative solution techniques. A new approach to the approximate solution of the Fleck et al. (1992) Influence Function Model has been developed using both analytic and approximation techniques. The numerical difficulties arising from solving an integral equation in the flattened region have been reduced by applying an Inverse Hilbert Transform to get an analytic expression for the pressure. The method described in this paper is applicable to cases where there is or there is not a flat region.

Smoothing a Discrete Hazard Function for the Number of Patients Colonized with Methicillin-Resistance Staphylococcus Aureus in an Intensive Care Unit

A new method for estimating the time to colonization of Methicillin-resistant Staphylococcus Aureus (MRSA) patients is developed in this paper. The time to colonization of MRSA is modelled using a Bayesian smoothing approach for the hazard function. There are two prior models discussed in this paper: the first difference prior and the second difference prior. The second difference prior model gives smoother estimates of the hazard functions and, when applied to data from an intensive care unit (ICU), clearly shows increasing hazard up to day 13, then a decreasing hazard. The results clearly demonstrate that the hazard is not constant and provide a useful quantification of the effect of length of stay on the risk of MRSA colonization which provides useful insight.