Covariance Matrix Estimation and Mean-Variance Optimization in application to International Diversification

Tutkimus keskittyy kansainväliseen hajauttamiseen suomalaisen sijoittajan näkökulmasta. Tutkimuksen toinen tavoite on selvittää tehostavatko uudet kovarianssimatriisiestimaattorit minimivarianssiportfolion optimointiprosessia. Tavallisen otoskovarianssimatriisin lisäksi optimoinnissa käytetään kahta kutistusestimaattoria ja joustavaa monimuuttuja-GARCH(1,1)-mallia. Tutkimusaineisto koostuu Dow Jonesin toimialaindekseistä ja OMX-H:n portfolioindeksistä. Kansainvälinen hajautusstrategia on toteutettu käyttäen toimialalähestymistapaa ja portfoliota optimoidaan käyttäen kahtatoista komponenttia. Tutkimusaieisto kattaa vuodet 1996-2005 eli 120 kuukausittaista havaintoa. Muodostettujen portfolioiden suorituskykyä mitataan Sharpen indeksillä. Tutkimustulosten mukaan kansainvälisesti hajautettujen investointien ja kotimaisen portfolion riskikorjattujen tuottojen välillä ei ole tilastollisesti merkitsevää eroa. Myöskään uusien kovarianssimatriisiestimaattoreiden käytöstä ei synnytilastollisesti merkitsevää lisäarvoa verrattuna otoskovarianssimatrisiin perustuvaan portfolion optimointiin.

Ranking-Dominance Relation for (Evolutionary) Multi-Objective Optimization

An alternative relation to Pareto-dominance relation is proposed. The new relation is based on ranking a set of solutions according to each separate objective and an aggregation function to calculate a scalar fitness value for each solution. The relation is called as ranking-dominance and it tries to tackle the curse of dimensionality commonly observedin evolutionary multi-objective optimization. Ranking-dominance can beused to sort a set of solutions even for a large number of objectives when Pareto-dominance relation cannot distinguish solutions from one another anymore. This permits search to advance even with a large number of objectives. It is also shown that ranking-dominance does not violate Pareto-dominance. Results indicate that selection based on ranking-dominance is able to advance search towards the Pareto-front in some cases, where selection based on Pareto-dominance stagnates. However, in some cases it is also possible that search does not proceed into direction of Pareto-front because the ranking-dominance relation permits deterioration of individual objectives. Results also show that when the number of objectives increases, selection based on just Pareto-dominance without diversity maintenance is able to advance search better than with diversity maintenance. Therefore, diversity maintenance is connive at the curse of dimensionality.

On Modelling, System Identification and Control of Servo-Systems with a Flexible Load

The present study was done with two different servo-systems. In the first system, a servo-hydraulic system was identified and then controlled by a fuzzy gainscheduling controller. The second servo-system, an electro-magnetic linear motor in suppressing the mechanical vibration and position tracking of a reference model are studied by using a neural network and an adaptive backstepping controller respectively. Followings are some descriptions of research methods. Electro Hydraulic Servo Systems (EHSS) are commonly used in industry. These kinds of systems are nonlinearin nature and their dynamic equations have several unknown parameters.System identification is a prerequisite to analysis of a dynamic system. One of the most promising novel evolutionary algorithms is the Differential Evolution (DE) for solving global optimization problems. In the study, the DE algorithm is proposed for handling nonlinear constraint functionswith boundary limits of variables to find the best parameters of a servo-hydraulic system with flexible load. The DE guarantees fast speed convergence and accurate solutions regardless the initial conditions of parameters. The control of hydraulic servo-systems has been the focus ofintense research over the past decades. These kinds of systems are nonlinear in nature and generally difficult to control. Since changing system parameters using the same gains will cause overshoot or even loss of system stability. The highly non-linear behaviour of these devices makes them ideal subjects for applying different types of sophisticated controllers. The study is concerned with a second order model reference to positioning control of a flexible load servo-hydraulic system using fuzzy gainscheduling. In the present research, to compensate the lack of dampingin a hydraulic system, an acceleration feedback was used. To compare the results, a pcontroller with feed-forward acceleration and different gains in extension and retraction is used. The design procedure for the controller and experimental results are discussed. The results suggest that using the fuzzy gain-scheduling controller decrease the error of position reference tracking. The second part of research was done on a PermanentMagnet Linear Synchronous Motor (PMLSM). In this study, a recurrent neural network compensator for suppressing mechanical vibration in PMLSM with a flexible load is studied. The linear motor is controlled by a conventional PI velocity controller, and the vibration of the flexible mechanism is suppressed by using a hybrid recurrent neural network. The differential evolution strategy and Kalman filter method are used to avoid the local minimum problem, and estimate the states of system respectively. The proposed control method is firstly designed by using non-linear simulation model built in Matlab Simulink and then implemented in practical test rig. The proposed method works satisfactorily and suppresses the vibration successfully. In the last part of research, a nonlinear load control method is developed and implemented for a PMLSM with a flexible load. The purpose of the controller is to track a flexible load to the desired position reference as fast as possible and without awkward oscillation. The control method is based on an adaptive backstepping algorithm whose stability is ensured by the Lyapunov stability theorem. The states of the system needed in the controller are estimated by using the Kalman filter. The proposed controller is implemented and tested in a linear motor test drive and responses are presented.

Identifying quantitative operation principles in metabolic pathways: a systematic method for searching feasible enzyme activity patterns leading to cellular adaptive responses

Background: Optimization methods allow designing changes in a system so that specific goals are attained. These techniques are fundamental for metabolic engineering. However, they are not directly applicable for investigating the evolution of metabolic adaptation to environmental changes. Although biological systems have evolved by natural selection and result in well-adapted systems, we can hardly expect that actual metabolic processes are at the theoretical optimum that could result from an optimization analysis. More likely, natural systems are to be found in a feasible region compatible with global physiological requirements. Results: We first present a new method for globally optimizing nonlinear models of metabolic pathways that are based on the Generalized Mass Action (GMA) representation. The optimization task is posed as a nonconvex nonlinear programming (NLP) problem that is solved by an outer- approximation algorithm. This method relies on solving iteratively reduced NLP slave subproblems and mixed-integer linear programming (MILP) master problems that provide valid upper and lower bounds, respectively, on the global solution to the original NLP. The capabilities of this method are illustrated through its application to the anaerobic fermentation pathway in Saccharomyces cerevisiae. We next introduce a method to identify the feasibility parametric regions that allow a system to meet a set of physiological constraints that can be represented in mathematical terms through algebraic equations. This technique is based on applying the outer-approximation based algorithm iteratively over a reduced search space in order to identify regions that contain feasible solutions to the problem and discard others in which no feasible solution exists. As an example, we characterize the feasible enzyme activity changes that are compatible with an appropriate adaptive response of yeast Saccharomyces cerevisiae to heat shock Conclusion: Our results show the utility of the suggested approach for investigating the evolution of adaptive responses to environmental changes. The proposed method can be used in other important applications such as the evaluation of parameter changes that are compatible with health and disease states.

Steady-state global optimization of metabolic non-linear dynamic models through recasting into power-law canonical models

Background: Design of newly engineered microbial strains for biotechnological purposes would greatly benefit from the development of realistic mathematical models for the processes to be optimized. Such models can then be analyzed and, with the development and application of appropriate optimization techniques, one could identify the modifications that need to be made to the organism in order to achieve the desired biotechnological goal. As appropriate models to perform such an analysis are necessarily non-linear and typically non-convex, finding their global optimum is a challenging task. Canonical modeling techniques, such as Generalized Mass Action (GMA) models based on the power-law formalism, offer a possible solution to this problem because they have a mathematical structure that enables the development of specific algorithms for global optimization. Results: Based on the GMA canonical representation, we have developed in previous works a highly efficient optimization algorithm and a set of related strategies for understanding the evolution of adaptive responses in cellular metabolism. Here, we explore the possibility of recasting kinetic non-linear models into an equivalent GMA model, so that global optimization on the recast GMA model can be performed. With this technique, optimization is greatly facilitated and the results are transposable to the original non-linear problem. This procedure is straightforward for a particular class of non-linear models known as Saturable and Cooperative (SC) models that extend the power-law formalism to deal with saturation and cooperativity. Conclusions: Our results show that recasting non-linear kinetic models into GMA models is indeed an appropriate strategy that helps overcoming some of the numerical difficulties that arise during the global optimization task.

Optimization of KOH etching process to obtain textured substrates suitable for heterojunction solar cells fabricated by HWCVD

In this work, we have studied the texturization process of (100) c-Si wafers using a low concentration potassium hydroxide solution in order to obtain good quality textured wafers. The optimization of the etching conditions have led to random but uniform pyramidal structures with good optical properties. Then, symmetric heterojunctions were deposited by Hot-Wire CVD onto these substrates and the Quasi-Steady-State PhotoConductance technique was used to measure passivation quality. Little degradation in the effective lifetime and implicit open circuit voltage of these devices (< 20 mV) was observed in all cases. It is especially remarkable that for big uniform pyramids, the open-circuit voltage is comparable to the values obtained on flat substrates.

Design and optimization of selfnanoemulsifying drug delivery systems for enhanced dissolution of gemfibrozil

Self-nanoemulsifying drug delivery systems of gemfibrozil were developed under Quality by Design approach for improvement of dissolution and oral absorption. Preliminary screening was performed to select proper components combination. BoxBehnken experimental design was employed as statistical tool to optimize the formulation variables, X1 (Cremophor® EL), X2 (Capmul® MCM-C8), and X3 (lemon essential oil). Systems were assessed for visual characteristics (emulsification efficacy), turbidity, droplet size, polydispersity index and drug release. Different pH media were also assayed for optimization. Following optimization, the values of formulation components (X1, X2, and X3) were 32.43%, 29.73% and 21.62%, respectively (16.22% of gemfibrozil). Transmission electron microscopy demonstrated spherical droplet morphology. SNEEDS release study was compared to commercial tablets. Optimized SNEDDS formulation of gemfibrozil showed a significant increase in dissolution rate compared to conventional tablets. Both formulations followed Weibull mathematical model release with a significant difference in td parameter in favor of the SNEDDS. Equally amodelistic parameters were calculated being the dissolution efficiency significantly higher for SNEDDS, confirming that the developed SNEDDS formulation was superior to commercial formulation with respect to in vitro dissolution profile. This paper provides an overview of the SNEDDS of the gemfibrozil as a promising alternative to improve oral absorption.

Rapid optimization of drug combinations for the optimal angiostatic treatment of cancer.

Drug combinations can improve angiostatic cancer treatment efficacy and enable the reduction of side effects and drug resistance. Combining drugs is non-trivial due to the high number of possibilities. We applied a feedback system control (FSC) technique with a population-based stochastic search algorithm to navigate through the large parametric space of nine angiostatic drugs at four concentrations to identify optimal low-dose drug combinations. This implied an iterative approach of in vitro testing of endothelial cell viability and algorithm-based analysis. The optimal synergistic drug combination, containing erlotinib, BEZ-235 and RAPTA-C, was reached in a small number of iterations. Final drug combinations showed enhanced endothelial cell specificity and synergistically inhibited proliferation (p < 0.001), but not migration of endothelial cells, and forced enhanced numbers of endothelial cells to undergo apoptosis (p < 0.01). Successful translation of this drug combination was achieved in two preclinical in vivo tumor models. Tumor growth was inhibited synergistically and significantly (p < 0.05 and p < 0.01, respectively) using reduced drug doses as compared to optimal single-drug concentrations. At the applied conditions, single-drug monotherapies had no or negligible activity in these models. We suggest that FSC can be used for rapid identification of effective, reduced dose, multi-drug combinations for the treatment of cancer and other diseases.

The Optimization of Flotation Process Parameters in the Deinking Plant

Tämän diplomityön tavoitteena oli sekundäärisen esiflotaation optimointi Stora Enso Sachsen GmbH:n tehtaalla. Optimoinnin muuttujana käytettiin vaahdon määrää ja optimointiparametreinä ISO-vaaleutta, saantoja sekä tuhkapitoisuutta. Lisäksi tutkittiin flotaatiosakeuden vaikutusta myös muihin tehtaan flotaatioprosesseihin. Kirjallisuusosassa tarkasteltiin flotaatiotapahtumaa, poistettavien partikkeleiden ja ilmakuplien kontaktia, vaahdon muodostumista sekä tärkeimpiä käytössä olevia siistausflotaattoreiden laiteratkaisuja. Kokeellisessa osassa tutkittiin flotaatiosakeuden pienetämisen vaikutuksia tehtaan flotaatioprosesseihin tuhkapitoisuuden, ISO-vaaleuden, valon sironta- ja valon absorpiokerrointen kannalta. Sekundäärisen esiflotaation optimonti suoritettiin muuttamalla vaahdon määrää kolmella erilaisella injektorin koolla, (8 mm, 10 mm ja 13 mm), joista keskimmäinen kasvattaa 30 % massan tilavuusvirtaa ilmapitoisuuden muodossa. Optimonnin tarkoituksena oli kasvattaa hyväksytyn massajakeen ISO-vaaleutta, sekä kasvattaa kuitu- ja kokonaissaantoa sekundäärisessä esiflotaatiossa. Flotaatiosakeuden pienentämisellä oli edullisia vaikutuksia ISO-vaaleuteen ja valon sirontakertoimeen kussakin flotaatiossa. Tuhkapitoisuus pieneni sekundäärisissä flotaatioissa enemmän sakeuden ollessa pienempi, kun taas primäärisissä flotaatiossa vaikutus oli päinvastainen. Valon absorptiokerroin parani jälkiflotaatioissa alhaisemmalla sakeudella, kun taas esiflotaatioissa vaikutus oli päinvastainen. Sekundäärisen esiflotaation optimoinnin tuloksena oli lähes 5 % parempi ISO-vaaleus hyväksytyssä massajakeessa. Kokonaissaanto parani optimoinnin myötä 5 % ja kuitusaanto 2 %. Saantojen nousu tuottaa vuosittaisia säästöjä siistauslaitoksen tuotantokapasiteetin noustessa 0,5 %. Tämän lisäksi sekundäärisessä esiflotaatiossa rejektoituvan massavirran pienentyminen tuottaa lisäsäästöjä tehtaan voimalaitoksella.

Some optimization and decision problems in proportional reinsurance

Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision problems of the insurer with respect to the reinsurance strategy. To this end, we use as decision tools not only the probability of ruin but also the random variable deficit at ruin if ruin occurs. The discounted penalty function (Gerber & Shiu, 1998) is employed to calculate as particular cases the probability of ruin and the moments and the distribution function of the deficit at ruin if ruin occurs.

Nonlinear prediction based on score function

The linear prediction coding of speech is based in the assumption that the generation model is autoregresive. In this paper we propose a structure to cope with the nonlinear effects presents in the generation of the speech signal. This structure will consist of two stages, the first one will be a classical linear prediction filter, and the second one will model the residual signal by means of two nonlinearities between a linear filter. The coefficients of this filter are computed by means of a gradient search on the score function. This is done in order to deal with the fact that the probability distribution of the residual signal still is not gaussian. This fact is taken into account when the coefficients are computed by a ML estimate. The algorithm based on the minimization of a high-order statistics criterion, uses on-line estimation of the residue statistics and is based on blind deconvolution of Wiener systems [1]. Improvements in the experimental results with speech signals emphasize on the interest of this approach.

Cooling system optimization in medium-speed engines

Tässä työssä optimoidaan keskinopean Wärtsilä 32 -dieselmoottorin jäähdytysjärjestelmää ja tutkitaan taajuusmuuttajien käyttömahdollisuutta kiertopumppujen yhteydessä niin, että järjestelmässä saataisiin kiertämään vain kulloinkin tarvittava määrä vettä. Tutkimuksen mallinnus on toteutettu laatimalla aiemmin käytössä olleista yksinkertaisista simulointimalleista yksi malli, johon on sisällytetty sekä virtauksen että lämmönsiirron laskenta, jotka on aiemmin mallinnettu erillisillä ohjelmilla. Diplomityö on osa projektia, joka on tehty Sähkötekniikan osaston tutkijan Mikko Pääkkösen kanssa yhteistyössä. Tämän diplomityö keskittyy lähinnä virtausteknisiin ja lämmönsiirtoon liittyviin asioihin, kun taas sähkötekniikan osuus on esitetty Mikko Pääkkösen raportissa. Tulosten perustella voidaan sanoa, että taajuusmuuttajakäyttö kannattaa kiertopumppujen yhteydessä. Käyttämällä pumppujen virtaussäätöä voidaan jäähdytysjärjestelmästä jättää monia komponentteja, kuten termostaattiventtiilejä pois. Mallinnetut yksinkertaiset piiriratkaisut näyttävät toimivan ainakin yleisellä tasolla. Tutkimusta pumppujen säädöstä ja tässä projektissa luoduista jäähdytysjärjestelmäkonfiguraatioista kannattaa jatkaa.