855 resultados para uncertain volatility
Resumo:
Many knowledge based systems (KBS) transform a situation information into an appropriate decision using an in built knowledge base. As the knowledge in real world situation is often uncertain, the degree of truth of a proposition provides a measure of uncertainty in the underlying knowledge. This uncertainty can be evaluated by collecting `evidence' about the truth or falsehood of the proposition from multiple sources. In this paper we propose a simple framework for representing uncertainty in using the notion of an evidence space.
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We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.
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Background: India has the third largest HIV-1 epidemic with 2.4 million infected individuals. Molecular epidemiological analysis has identified the predominance of HIV-1 subtype C (HIV-1C). However, the previous reports have been limited by sample size, and uneven geographical distribution. The introduction of HIV-1C in India remains uncertain due to this lack of structured studies. To fill the gap, we characterised the distribution pattern of HIV-1 subtypes in India based on data collection from nationwide clinical cohorts between 2007 and 2011. We also reconstructed the time to the most recent common ancestor (tMRCA) of the predominant HIV-1C strains. Methodology/Principal Findings: Blood samples were collected from 168 HIV-1 seropositive subjects from 7 different states. HIV-1 subtypes were determined using two or three genes, gag, pol, and env using several methods. Bayesian coalescent-based approach was used to reconstruct the time of introduction and population growth patterns of the Indian HIV-1C. For the first time, a high prevalence (10%) of unique recombinant forms (BC and A1C) was observed when two or three genes were used instead of one gene (p<0.01; p = 0.02, respectively). The tMRCA of Indian HIV-1C was estimated using the three viral genes, ranged from 1967 (gag) to 1974 (env). Pol-gene analysis was considered to provide the most reliable estimate 1971, (95% CI: 1965-1976)]. The population growth pattern revealed an initial slow growth phase in the mid-1970s, an exponential phase through the 1980s, and a stationary phase since the early 1990s. Conclusions/Significance: The Indian HIV-1C epidemic originated around 40 years ago from a single or few genetically related African lineages, and since then largely evolved independently. The effective population size in the country has been broadly stable since the 1990s. The evolving viral epidemic, as indicated by the increase of recombinant strains, warrants a need for continued molecular surveillance to guide efficient disease intervention strategies.
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In this paper we study the problem of designing SVM classifiers when the kernel matrix, K, is affected by uncertainty. Specifically K is modeled as a positive affine combination of given positive semi definite kernels, with the coefficients ranging in a norm-bounded uncertainty set. We treat the problem using the Robust Optimization methodology. This reduces the uncertain SVM problem into a deterministic conic quadratic problem which can be solved in principle by a polynomial time Interior Point (IP) algorithm. However, for large-scale classification problems, IP methods become intractable and one has to resort to first-order gradient type methods. The strategy we use here is to reformulate the robust counterpart of the uncertain SVM problem as a saddle point problem and employ a special gradient scheme which works directly on the convex-concave saddle function. The algorithm is a simplified version of a general scheme due to Juditski and Nemirovski (2011). It achieves an O(1/T-2) reduction of the initial error after T iterations. A comprehensive empirical study on both synthetic data and real-world protein structure data sets show that the proposed formulations achieve the desired robustness, and the saddle point based algorithm outperforms the IP method significantly.
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Our work is motivated by geographical forwarding of sporadic alarm packets to a base station in a wireless sensor network (WSN), where the nodes are sleep-wake cycling periodically and asynchronously. We seek to develop local forwarding algorithms that can be tuned so as to tradeoff the end-to-end delay against a total cost, such as the hop count or total energy. Our approach is to solve, at each forwarding node enroute to the sink, the local forwarding problem of minimizing one-hop waiting delay subject to a lower bound constraint on a suitable reward offered by the next-hop relay; the constraint serves to tune the tradeoff. The reward metric used for the local problem is based on the end-to-end total cost objective (for instance, when the total cost is hop count, we choose to use the progress toward sink made by a relay as the reward). The forwarding node, to begin with, is uncertain about the number of relays, their wake-up times, and the reward values, but knows the probability distributions of these quantities. At each relay wake-up instant, when a relay reveals its reward value, the forwarding node's problem is to forward the packet or to wait for further relays to wake-up. In terms of the operations research literature, our work can be considered as a variant of the asset selling problem. We formulate our local forwarding problem as a partially observable Markov decision process (POMDP) and obtain inner and outer bounds for the optimal policy. Motivated by the computational complexity involved in the policies derived out of these bounds, we formulate an alternate simplified model, the optimal policy for which is a simple threshold rule. We provide simulation results to compare the performance of the inner and outer bound policies against the simple policy, and also against the optimal policy when the source knows the exact number of relays. Observing the good performance and the ease of implementation of the simple policy, we apply it to our motivating problem, i.e., local geographical routing of sporadic alarm packets in a large WSN. We compare the end-to-end performance (i.e., average total delay and average total cost) obtained by the simple policy, when used for local geographical forwarding, against that obtained by the globally optimal forwarding algorithm proposed by Kim et al. 1].
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Plants produce volatile organic compounds (VOCs) in a variety of contexts that include response to abiotic and biotic stresses, attraction of pollinators and parasitoids, and repulsion of herbivores. Some of these VOCs may also exhibit diel variation in emission. In Ficus racemosa, we examined variation in VOCs released by fig syconia throughout syconium development and between day and night. Syconia are globular enclosed inflorescences that serve as developing nurseries for pollinating and parasitic fig wasps. Syconia are attacked by gallers early in their development, serviced by pollinators in mid phase, and are attractive to parasitoids in response to the development of gallers at later stages. VOC bouquets of the different development phases of the syconium were distinctive, as were their day and night VOC profiles. VOCs such as alpha-muurolene were characteristic of the pollen-receptive diurnal phase, and may serve to attract the diurnally-active pollinating wasps. Diel patterns of release of volatiles could not be correlated with their predicted volatility as determined by Henry's law constants at ambient temperatures. Therefore, factors other than Henry's law constant such as stomatal conductance or VOC synthesis must explain diel variation in VOC emission. A novel use of weighted gene co-expression network analysis (WGCNA) on the volatilome resulted in seven distinct modules of co-emitted VOCs that could be interpreted on the basis of syconium ecology. Some modules were characterized by the response of fig syconia to early galling by parasitic wasps and consisted largely of green leaf volatiles (GLVs). Other modules, that could be characterized by a combination of syconia response to oviposition and tissue feeding by larvae of herbivorous galler pollinators as well as of parasitized wasps, consisted largely of putative herbivore-induced plant volatiles (HIPVs). We demonstrated the usefulness of WGCNA analysis of the volatilome in making sense of the scents produced by the syconia at different stages and diel phases of their development.
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Even though satellite observations are the most effective means to gather global information in a short span of time, the challenges in this field still remain over continental landmass, despite most of the aerosol sources being land-based. This is a hurdle in global and regional aerosol climate forcing assessment. Retrieval of aerosol properties over land is complicated due to irregular terrain characteristics and the high and largely uncertain surface reflection which acts as `noise' to the much smaller amount of radiation scattered by aerosols, which is the `signal'. In this paper, we describe a satellite sensor the - `Aerosol Satellite (AEROSAT)', which is capable of retrieving aerosols over land with much more accuracy and reduced dependence on models. The sensor, utilizing a set of multi-spectral and multi-angle measurements of polarized components of radiation reflected from the Earth's surface, along with measurements of thermal infrared broadband radiance, results in a large reduction of the `noise' component (compared to the `signal). A conceptual engineering model of AEROSAT has been designed, developed and used to measure the land-surface features in the visible spectral band. Analysing the received signals using a polarization radiative transfer approach, we demonstrate the superiority of this method. It is expected that satellites carrying sensors following the AEROSAT concept would be `self-sufficient', to obtain all the relevant information required for aerosol retrieval from its own measurements.
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General circulation models (GCMs) are routinely used to simulate future climatic conditions. However, rainfall outputs from GCMs are highly uncertain in preserving temporal correlations, frequencies, and intensity distributions, which limits their direct application for downscaling and hydrological modeling studies. To address these limitations, raw outputs of GCMs or regional climate models are often bias corrected using past observations. In this paper, a methodology is presented for using a nested bias-correction approach to predict the frequencies and occurrences of severe droughts and wet conditions across India for a 48-year period (2050-2099) centered at 2075. Specifically, monthly time series of rainfall from 17 GCMs are used to draw conclusions for extreme events. An increasing trend in the frequencies of droughts and wet events is observed. The northern part of India and coastal regions show maximum increase in the frequency of wet events. Drought events are expected to increase in the west central, peninsular, and central northeast regions of India. (C) 2013 American Society of Civil Engineers.
Resumo:
We propose a simulation-based algorithm for computing the optimal pricing policy for a product under uncertain demand dynamics. We consider a parameterized stochastic differential equation (SDE) model for the uncertain demand dynamics of the product over the planning horizon. In particular, we consider a dynamic model that is an extension of the Bass model. The performance of our algorithm is compared to that of a myopic pricing policy and is shown to give better results. Two significant advantages with our algorithm are as follows: (a) it does not require information on the system model parameters if the SDE system state is known via either a simulation device or real data, and (b) as it works efficiently even for high-dimensional parameters, it uses the efficient smoothed functional gradient estimator.
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The performance of prediction models is often based on ``abstract metrics'' that estimate the model's ability to limit residual errors between the observed and predicted values. However, meaningful evaluation and selection of prediction models for end-user domains requires holistic and application-sensitive performance measures. Inspired by energy consumption prediction models used in the emerging ``big data'' domain of Smart Power Grids, we propose a suite of performance measures to rationally compare models along the dimensions of scale independence, reliability, volatility and cost. We include both application independent and dependent measures, the latter parameterized to allow customization by domain experts to fit their scenario. While our measures are generalizable to other domains, we offer an empirical analysis using real energy use data for three Smart Grid applications: planning, customer education and demand response, which are relevant for energy sustainability. Our results underscore the value of the proposed measures to offer a deeper insight into models' behavior and their impact on real applications, which benefit both data mining researchers and practitioners.
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We report synthesis, spectroscopic characterization, and thermal analysis of zinc acetylacetonate complex adducted by nitrogen donor ligands, such as pyridine, bipyridine, and phenanthroline. The pyridine adducted complex crystallizes to monoclinic crystal structure, whereas other two adducted complexes have orthorhombic structure. Addition of nitrogen donor ligands enhances the thermal property of these complexes as that with parent metal-organic complex. Zinc acetylacetonate adducted with pyridine shows much higher volatility (106 degrees C), decomposition temperature (202 degrees C) as that with zinc acetylacetonate (136 degrees C, 220 degrees C), and other adducted complexes. All the adducted complexes are thermally stable, highly volatile and are considered to be suitable precursors for metal organic chemical vapor deposition. The formation of these complexes is confirmed by powder X-ray diffraction, Fourier transform infrared spectroscopy, mass spectroscopy, and elemental analysis. The complexes are widely used as starting precursor materials for the synthesis of ZnO nanostructures by microwave irradiation assisted coating process. (c) 2015 Elsevier B.V. All rights reserved.
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To evaluate the interlaboratory mass bias for high-precision stable Mg isotopic analysis of natural materials, a suite of silicate standards ranging in composition from felsic to ultramafic were analyzed in five laboratories by using three types of multicollector inductively coupled plasma mass spectrometer (MC-ICPMS). Magnesium isotopic compositions from all labs are in agreement for most rocks within quoted uncertainties but are significantly (up to 0.3 parts per thousand in Mg-26/Mg-24, > 4 times of uncertainties) different for some mafic samples. The interlaboratory mass bias does not correlate with matrix element/Mg ratios, and the mechanism for producing it is uncertain but very likely arises from column chemistry. Our results suggest that standards with different matrices are needed to calibrate the efficiency of column chemistry and caution should be taken when dealing with samples with complicated matrices. Well-calibrated standards with matrix elements matching samples should be used to reduce the interlaboratory mass bias.
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Micro Small and Medium Enterprises (MSMEs) is an integral part of the Indian industrial sector. The distinctive features of MSMEs are less capital investment and high labour absorption which has created unprecedented importance to this sector. As per the Development Commissioner of MSME, the sector has the credit of being the second highest in employment in India, which stands next to agricultural sector. The MSMEs are very much needed in efficiently allocating the enormous labour supply and scarce capital by implementing labour intensive production processes. Associated with this high growth rates, MSMEs are also facing a number of problems like sub-optimal scale of operation, technological obsolescence, supply chain inefficiencies, increasing domestic and global competition, fund shortages, change in manufacturing & marketing strategies, turbulent and uncertain market scenario. To survive with such issues and compete with large and global enterprises, MSMEs need to adopt innovative approaches in their regular business operations. Among the manufacturing sectors, we find that they are unable to focus themselves in the present competition. This paper presents a brief literature of work done in MSMEs, Innovation and Strategic marketing with reference to Indian manufacturing firms.
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With the pressing need to meet an ever-increasing energy demand, the combustion systems utilizing fossil fuels have been the major contributors to carbon footprint. As the combustion of conventional energy resources continue to produce significant Green House gas (GHG) emissions, there is a strong emphasis to either upgrade or find an energy-efficient eco-friendly alternative to the traditional hydrocarbon fuels. With recent developments in nanotechnology, the ability to manufacture materials with custom tailored properties at nanoscale has led to the discovery of a new class of high energy density fuels containing reactive metallic nanoparticles (NPs). Due to the high reactive interfacial area and enhanced thermal and mass transport properties of nanomaterials, the high heat of formation of these metallic fuels can now be released rapidly, thereby saving on specific fuel consumption and hence reducing GHG emissions. In order to examine the efficacy of nanofuels in energetic formulations, it is imperative to first study their combustion characteristics at the droplet scale that form the fundamental building block for any combustion system utilizing liquid fuel spray. During combustion of such multiphase, multicomponent droplets, the phenomenon of diffusional entrapment of high volatility species leads to its explosive boiling (at the superheat limit) thereby leading to an intense internal pressure build-up. This pressure upsurge causes droplet fragmentation either in form of a microexplosion or droplet puffing followed by atomization (with formation of daughter droplets) featuring disruptive burning. Both these atomization modes represent primary mechanisms for extracting the high oxidation energies of metal NP additives by exposing them to the droplet flame (with daughter droplets acting as carriers of NPs). Atomization also serves as a natural mechanism for uniform distribution and mixing of the base fuel and enhancing burning rates (due to increase in specific surface area through formation of smaller daughter droplets). However, the efficiency of atomization depends on the thermo-physical properties of the base fuel, NP concentration and type. For instance, at dense loading NP agglomeration may lead to shell formation which would sustain the pressure upsurge and hence suppress atomization thereby reducing droplet gasification rate. Contrarily, the NPs may act as nucleation sites and aid boiling and the radiation absorption by NPs (from the flame) may lead to enhanced burning rates. Thus, nanoadditives may have opposing effects on the burning rate depending on the relative dominance of processes occurring at the droplet scale. The fundamental idea in this study is to: First, review different thermo-physical processes that occur globally at the droplet and sub-droplet scale such as surface regression, shell formation due to NP agglomeration, internal boiling, atomization/NP transport to flame zone and flame acoustic interaction that occur at the droplet scale and second, understand how their interaction changes as a function of droplet size, NP type, NP concentration and the type of base fuel. This understanding is crucial for obtaining phenomenological insights on the combustion behavior of novel nanofluid fuels that show great promise for becoming the next-generation fuels. (C) 2016 Elsevier Ltd. All rights reserved.
Resumo:
Controlled breakup of droplets using heat or acoustics is pivotal in applications such as pharmaceutics, nanoparticle production, and combustion. In the current work we have identified distinct thermal acoustics-induced deformation regimes (ligaments and bubbles) and breakup dynamics in externally heated acoustically levitated bicomponent (benzene-dodecane) droplets with a wide variation in volatility of the two components (benzene is significantly more volatile than dodecane). We showcase the physical mechanism and universal behavior of droplet surface caving in leading to the inception and growth of ligaments. The caving of the top surface is governed by a balance between the acoustic pressure field and the restrictive surface tension of the droplet. The universal collapse of caving profiles for different benzene concentration (<70% by volume) is shown by using an appropriate time scale obtained from force balance. Continuous caving leads to the formation of a liquid membrane-type structure which undergoes radial extension due to inertia gained during the precursor phase. The membrane subsequently closes at the rim and the kinetic energy leads to ligament formation and growth. Subsequent ligament breakup is primarily Rayleigh-Plateau type. The breakup mode shifts to diffusional entrapment-induced boiling with an increase in concentration of the volatile component (benzene >70% by volume). The findings are portable to any similar bicomponent systems with differential volatility.