Asset liability modelling and pension schemes: the application of robust optimization to USS

This paper uses a novel numerical optimization technique - robust optimization - that is well suited to solving the asset-liability management (ALM) problem for pension schemes. It requires the estimation of fewer stochastic parameters, reduces estimation risk and adopts a prudent approach to asset allocation. This study is the first to apply it to a real-world pension scheme, and the first ALM model of a pension scheme to maximise the Sharpe ratio. We disaggregate pension liabilities into three components - active members, deferred members and pensioners, and transform the optimal asset allocation into the scheme’s projected contribution rate. The robust optimization model is extended to include liabilities and used to derive optimal investment policies for the Universities Superannuation Scheme (USS), benchmarked against the Sharpe and Tint, Bayes-Stein, and Black-Litterman models as well as the actual USS investment decisions. Over a 144 month out-of-sample period robust optimization is superior to the four benchmarks across 20 performance criteria, and has a remarkably stable asset allocation – essentially fix-mix. These conclusions are supported by six robustness checks.

Optimization of a sponge cake formulation with inulin as fat replacer: structure, physicochemical, and sensory properties

The effects of several fat replacement levels (0%, 35%, 50%, 70%, and 100%) by inulin in sponge cake microstructure and physicochemical properties were studied. Oil substitution for inulin decreased significantly (P < 0.05) batter viscosity, giving heterogeneous bubbles size distributions as it was observed by light microscopy. Using confocal laser scanning microscopy the fat was observed to be located at the bubbles’ interface, enabling an optimum crumb cake structure development during baking. Cryo-SEM micrographs of cake crumbs showed a continuous matrix with embedded starch granules and coated with oil; when fat replacement levels increased, starch granules appeared as detached structures. Cakes with fat replacement up to 70% had a high crumb air cell values; they were softer and rated as acceptable by an untrained sensory panel (n = 51). So, the reformulation of a standard sponge cake recipe to obtain a new product with additional health benefits and accepted by consumers is achieved.

An optimization problem concerning multiplicative functions

In this paper we study the problem of maximizing a quadratic form 〈Ax,x〉 subject to ‖x‖q=1, where A has matrix entries View the MathML source with i,j|k and q≥1. We investigate when the optimum is achieved at a ‘multiplicative’ point; i.e. where x1xmn=xmxn. This turns out to depend on both f and q, with a marked difference appearing as q varies between 1 and 2. We prove some partial results and conjecture that for f multiplicative such that 0<f(p)<1, the solution is at a multiplicative point for all q≥1.

Bio-inspired ant colony optimization based clustering algorithm with mobile sinks for applications in consumer home automation networks

With the fast development of wireless communications, ZigBee and semiconductor devices, home automation networks have recently become very popular. Since typical consumer products deployed in home automation networks are often powered by tiny and limited batteries, one of the most challenging research issues is concerning energy reduction and the balancing of energy consumption across the network in order to prolong the home network lifetime for consumer devices. The introduction of clustering and sink mobility techniques into home automation networks have been shown to be an efficient way to improve the network performance and have received significant research attention. Taking inspiration from nature, this paper proposes an Ant Colony Optimization (ACO) based clustering algorithm specifically with mobile sink support for home automation networks. In this work, the network is divided into several clusters and cluster heads are selected within each cluster. Then, a mobile sink communicates with each cluster head to collect data directly through short range communications. The ACO algorithm has been utilized in this work in order to find the optimal mobility trajectory for the mobile sink. Extensive simulation results from this research show that the proposed algorithm significantly improves home network performance when using mobile sinks in terms of energy consumption and network lifetime as compared to other routing algorithms currently deployed for home automation networks.

Investigation and optimization of parameters affecting the multiply charged ion yield in AP-MALDI MS

Liquid matrix-assisted laser desorption/ionization (MALDI) allows the generation of predominantly multiply charged ions in atmospheric pressure (AP) MALDI ion sources for mass spectrometry (MS) analysis. The charge state distribution of the generated ions and the efficiency of the ion source in generating such ions crucially depend on the desolvation regime of the MALDI plume after desorption in the AP-tovacuum inlet. Both high temperature and a flow regime with increased residence time of the desorbed plume in the desolvation region promote the generation of multiply charged ions. Without such measures the application of an electric ion extraction field significantly increases the ion signal intensity of singly charged species while the detection of multiply charged species is less dependent on the extraction field. In general, optimization of high temperature application facilitates the predominant formation and detection of multiply charged compared to singly charged ion species. In this study an experimental setup and optimization strategy is described for liquid AP-MALDI MS which improves the ionization effi- ciency of selected ion species up to 14 times. In combination with ion mobility separation, the method allows the detection of multiply charged peptide and protein ions for analyte solution concentrations as low as 2 fmol/lL (0.5 lL, i.e. 1 fmol, deposited on the target) with very low sample consumption in the low nL-range.

Heterogeneous tensor decomposition for clustering via manifold optimization

Tensor clustering is an important tool that exploits intrinsically rich structures in real-world multiarray or Tensor datasets. Often in dealing with those datasets, standard practice is to use subspace clustering that is based on vectorizing multiarray data. However, vectorization of tensorial data does not exploit complete structure information. In this paper, we propose a subspace clustering algorithm without adopting any vectorization process. Our approach is based on a novel heterogeneous Tucker decomposition model taking into account cluster membership information. We propose a new clustering algorithm that alternates between different modes of the proposed heterogeneous tensor model. All but the last mode have closed-form updates. Updating the last mode reduces to optimizing over the multinomial manifold for which we investigate second order Riemannian geometry and propose a trust-region algorithm. Numerical experiments show that our proposed algorithm compete effectively with state-of-the-art clustering algorithms that are based on tensor factorization.

Optimization in multi-implant placement for immediate loading in edentulous arches using a modified surgical template and prototyping: A case report

Immediate loading of dental implants shortens the treatment time and makes it possible to give the patient an esthetic appearance throughout the treatment period. Placement of dental implants requires precise planning that accounts for anatomic limitations and restorative goals. Diagnosis can be made with the assistance of computerized tomographic scanning, but transfer of planning to the surgical field is limited. Recently, novel CAD/CAM techniques such as stereolithographic rapid prototyping have been developed to build surgical guides in an attempt to improve precision of implant placement. The aim of this case report was to show a modified surgical template used throughout implant placement as an alternative to a conventional surgical guide.

Optimization of amaranth flour films plasticized with glycerol and sorbitol by multi-response analysis

The optimal formulation for the preparation of amaranth flour films plasticized with glycerol and sorbitol was obtained by a multi-response analysis. The optimization aimed to achieve films with higher resistance to break, moderate elongation and lower solubility in water. The influence of plasticizer concentration (Cg, glycerol or Cs, sorbitol) and process temperature (Tp) on the mechanical properties and solubility of the amaranth flour films was initially studied by response surface methodology (RSM). The optimized conditions obtained were Cg 20.02 g glycerol/100 g flour and Tp 75 degrees C, and Cs 29.6 g sorbitol/100 g flour and Tp 75 degrees C. Characterization of the films prepared with these formulations revealed that the optimization methodology employed in this work was satisfactory. Sorbitol was the most suitable plasticizer. It furnished amaranth flour films that were more resistant to break and less permeable to oxygen, due to its greater miscibility with the biopolymers present in the flour and its lower affinity for water. (C) 2011 Elsevier Ltd. All rights reserved.

Gene optimization leads to robust expression of human respiratory syncytial virus nucleoprotein and phosphoprotein in human cells and induction of humoral immunity in mice

Human respiratory syncytial virus (HRSV) is the major pathogen leading to respiratory disease in infants and neonates worldwide. An effective vaccine has not yet been developed against this virus, despite considerable efforts in basic and clinical research. HRSV replication is independent of the nuclear RNA processing constraints, since the virus genes are adapted to the cytoplasmic transcription, a process performed by the viral RNA-dependent RNA polymerase. This study shows that meaningful nuclear RNA polymerase II dependent expression of the HRSV nucleoprotein (N) and phosphoprotein (F) proteins can only be achieved with the optimization of their genes, and that the intracellular localization of N and P proteins changes when they are expressed out of the virus replication context. Immunization tests performed in mice resulted in the induction of humoral immunity using the optimized genes. This result was not observed for the non-optimized genes. In conclusion, optimization is a valuable tool for improving expression of HRSV genes in DNA vaccines. (c) 2009 Elsevier B.V. All rights reserved.

Exact Search Directions for Optimization of Linear and Nonlinear Models Based on Generalized Orthonormal Functions

A novel technique for selecting the poles of orthonormal basis functions (OBF) in Volterra models of any order is presented. It is well-known that the usual large number of parameters required to describe the Volterra kernels can be significantly reduced by representing each kernel using an appropriate basis of orthonormal functions. Such a representation results in the so-called OBF Volterra model, which has a Wiener structure consisting of a linear dynamic generated by the orthonormal basis followed by a nonlinear static mapping given by the Volterra polynomial series. Aiming at optimizing the poles that fully parameterize the orthonormal bases, the exact gradients of the outputs of the orthonormal filters with respect to their poles are computed analytically by using a back-propagation-through-time technique. The expressions relative to the Kautz basis and to generalized orthonormal bases of functions (GOBF) are addressed; the ones related to the Laguerre basis follow straightforwardly as a particular case. The main innovation here is that the dynamic nature of the OBF filters is fully considered in the gradient computations. These gradients provide exact search directions for optimizing the poles of a given orthonormal basis. Such search directions can, in turn, be used as part of an optimization procedure to locate the minimum of a cost-function that takes into account the error of estimation of the system output. The Levenberg-Marquardt algorithm is adopted here as the optimization procedure. Unlike previous related work, the proposed approach relies solely on input-output data measured from the system to be modeled, i.e., no information about the Volterra kernels is required. Examples are presented to illustrate the application of this approach to the modeling of dynamic systems, including a real magnetic levitation system with nonlinear oscillatory behavior.

Optimization of the physical refining of sunflower oil concerning the final contents of trans-fatty acids

The final contents of total and individual trans-fatty acids of sunflower oil, produced during the deacidification step of physical refining were obtained using a computational simulation program that considered cis-trans isomerization reaction features for oleic, linoleic, and linolenic acids attached to the glycerol part of triacylglycerols. The impact of process variables, such as temperature and liquid flow rate, and of equipment configuration parameters, such as liquid height, diameter, and number of stages, that influence the retention time of the oil in the equipment was analyzed using the response-surface methodology (RSM). The computational simulation and the RSM results were used in two different optimization methods, aiming to minimize final levels of total and individual trans-fatty acids (trans-FA), while keeping neutral oil loss and final oil acidity at low values. The main goal of this work was to indicate that computational simulation, based on a careful modeling of the reaction system, combined with optimization could be an important tool for indicating better processing conditions in industrial physical refining plants of vegetable oils, concerning trans-FA formation.

Elaboration and optimization of (Y,Er)Al(3)(BO(3))(4) glassy planar waveguides through the sol-gel process

In this work, a sol-gel route was used to prepare Y(0.9)Er(0.1)Al(3)(BO(3))(4) glassy thin films by spin-coating technique looking for the preparation and optimization of planar waveguides for integrated optics. The films were deposited on silica and silicon substrates using stable sols synthesized by the sol-gel process. Deposits with thicknesses ranging between 520 and 720 nm were prepared by a multi-layer process involving heat treatments at different temperatures from glass transition to the film crystallization and using heating rates of 2 degrees C/min. The structural characterization of the layers was performed by using grazing incidence X-ray diffraction and Raman spectroscopy as a function of the heat treatment. Microstructural evolution in terms of annealing temperatures was followed by high resolution scanning electron microscopy and atomic force microscopy. Optical transmission spectra were used to determine the refractive index and the film thicknesses through the envelope method. The optical and guiding properties of the films were studied by m-line spectroscopy. The best films were monomode with 620 nm thickness and a refractive index around 1.664 at 980 nm wavelength. They showed good waveguiding properties with high light-coupling efficiency and low propagation loss at 632.8 and 1550 nm of about 0.88 dB/cm. (C) 2009 Elsevier B.V. All rights reserved.

Synthesis optimization, structural evolution and optical properties of Y(0.9)Er(0.1)Al(3)(BO(3))(4) nanopowders obtained by soft chemistry methods

This paper describes the structural evolution of Y(0.9)Er(0.1)Al(3)(BO(3))(4) nanopowders using two soft chemistry routes, the sol-gel and the polymeric precursor methods. Differential scanning calorimetry, differential thermal analyses, thermogravimetric analyses, X-ray diffraction, Fourier-transform infrared, and Raman spectroscopy techniques have been used to study the chemical reactions between 700 and 1200 degrees C temperature range. From both methods the Y(0.9)Er(0.1)Al(3)(BO(3))(4) (Er:YAB) solid solution was obtained almost pure when the powdered samples were heat treated at 1150 degrees C. Based on the results, a schematic phase formation diagram of Er:YAB crystalline solid solution was proposed for powders from each method. The Er:YAB solid solution could be optimized by adding a small amount of boron oxide in excess to the Er:YAB nominal composition. The nanoparticles are obtained around 210 nm. Photoluminescence emission spectrum of the Er:YAB nanocrystalline powders was measured on the infrared region and the Stark components of the (4)I(13/2) and (4)I(15/2) levels were determined. Finally, for the first time the Raman spectrum of Y(0.9)Er(0.1)Al(3)(BO(3))(4) crystalline phase is also presented. (C) 2008 Elsevier Masson SAS. All rights reserved.

U-curve: A branch-and-bound optimization algorithm for U-shaped cost functions on Boolean lattices applied to the feature selection problem

This paper presents the formulation of a combinatorial optimization problem with the following characteristics: (i) the search space is the power set of a finite set structured as a Boolean lattice; (ii) the cost function forms a U-shaped curve when applied to any lattice chain. This formulation applies for feature selection in the context of pattern recognition. The known approaches for this problem are branch-and-bound algorithms and heuristics that explore partially the search space. Branch-and-bound algorithms are equivalent to the full search, while heuristics are not. This paper presents a branch-and-bound algorithm that differs from the others known by exploring the lattice structure and the U-shaped chain curves of the search space. The main contribution of this paper is the architecture of this algorithm that is based on the representation and exploration of the search space by new lattice properties proven here. Several experiments, with well known public data, indicate the superiority of the proposed method to the sequential floating forward selection (SFFS), which is a popular heuristic that gives good results in very short computational time. In all experiments, the proposed method got better or equal results in similar or even smaller computational time. (C) 2009 Elsevier Ltd. All rights reserved.

Optimization of the ultrasound-assisted synthesis of allyl 1-naphthyl ether using response surface methodology

Allyl 1-naphthyl ethers are useful compounds for different purposes, but reported methods to synthesize them require long reaction times. In this work, we have obtained allyl 1-naphthyl ether in good yield using ultrasonic-assisted methodology in a 1-h reaction. A central composite design was used to obtain a statistical model and a response surface (p < 0.05; R(2) = 0.970; R(adj)(2) = 0.949; R(pred)(2) = 0.818) that can predict the optimal conditions to maximize the yield, validated experimentally. (C) 2010 Elsevier B.V. All rights reserved.