Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

Methodologies for calibration and predictive analysis of a watershed model

The use of a fitted parameter watershed model to address water quantity and quality management issues requires that it be calibrated under a wide range of hydrologic conditions. However, rarely does model calibration result in a unique parameter set. Parameter nonuniqueness can lead to predictive nonuniqueness. The extent of model predictive uncertainty should be investigated if management decisions are to be based on model projections. Using models built for four neighboring watersheds in the Neuse River Basin of North Carolina, the application of the automated parameter optimization software PEST in conjunction with the Hydrologic Simulation Program Fortran (HSPF) is demonstrated. Parameter nonuniqueness is illustrated, and a method is presented for calculating many different sets of parameters, all of which acceptably calibrate a watershed model. A regularization methodology is discussed in which models for similar watersheds can be calibrated simultaneously. Using this method, parameter differences between watershed models can be minimized while maintaining fit between model outputs and field observations. In recognition of the fact that parameter nonuniqueness and predictive uncertainty are inherent to the modeling process, PEST's nonlinear predictive analysis functionality is then used to explore the extent of model predictive uncertainty.

Predictive Optimal Matrix Converter Control for a Dynamic Voltage Restorer with Flywheel Energy Storage

This paper presents a predictive optimal matrix converter controller for a flywheel energy storage system used as Dynamic Voltage Restorer (DVR). The flywheel energy storage device is based on a steel seamless tube mounted as a vertical axis flywheel to store kinetic energy. The motor/generator is a Permanent Magnet Synchronous Machine driven by the AC-AC Matrix Converter. The matrix control method uses a discrete-time model of the converter system to predict the expected values of the input and output currents for all the 27 possible vectors generated by the matrix converter. An optimal controller minimizes control errors using a weighted cost functional. The flywheel and control process was tested as a DVR to mitigate voltage sags and swells. Simulation results show that the DVR is able to compensate the critical load voltage without delays, voltage undershoots or overshoots, overcoming the input/output coupling of matrix converters.

Habitat predictive modelling of demersal fish species in the Azores

Dissertação de Mestrado, Estudos Integrados dos Oceanos, 25 de Março de 2013, Universidade dos Açores.

Approximating fractional derivatives through the generalized mean

This paper addresses the calculation of fractional order expressions through rational fractions. The article starts by analyzing the techniques adopted in the continuous to discrete time conversion. The problem is re-evaluated in an optimization perspective by tacking advantage of the degree of freedom provided by the generalized mean formula. The results demonstrate the superior performance of the new algorithm.

Nonlinear dynamics of the patient’s response to drug effect during general anesthesia

In today’s healthcare paradigm, optimal sedation during anesthesia plays an important role both in patient welfare and in the socio-economic context. For the closed-loop control of general anesthesia, two drugs have proven to have stable, rapid onset times: propofol and remifentanil. These drugs are related to their effect in the bispectral index, a measure of EEG signal. In this paper wavelet time–frequency analysis is used to extract useful information from the clinical signals, since they are time-varying and mark important changes in patient’s response to drug dose. Model based predictive control algorithms are employed to regulate the depth of sedation by manipulating these two drugs. The results of identification from real data and the simulation of the closed loop control performance suggest that the proposed approach can bring an improvement of 9% in overall robustness and may be suitable for clinical practice.

Nonlinear dynamics of the patient’s response to drug effect during general anesthesia

In today’s healthcare paradigm, optimal sedation during anesthesia plays an important role both in patient welfare and in the socio-economic context. For the closed-loop control of general anesthesia, two drugs have proven to have stable, rapid onset times: propofol and remifentanil. These drugs are related to their effect in the bispectral index, a measure of EEG signal. In this paper wavelet time–frequency analysis is used to extract useful information from the clinical signals, since they are time-varying and mark important changes in patient’s response to drug dose. Model based predictive control algorithms are employed to regulate the depth of sedation by manipulating these two drugs. The results of identification from real data and the simulation of the closed loop control performance suggest that the proposed approach can bring an improvement of 9% in overall robustness and may be suitable for clinical practice.

Nonlinear behavior of gelatin networks reveals a hierarchical structure

We investigate the strain hardening behavior of various gelatin networks-namely physical gelatin gel, chemically cross-linked gelatin gel, and a hybrid gel made of a combination of the former two-under large shear deformations using the pre-stress, strain ramp, and large amplitude oscillations shear protocols. Further, the internal structures of physical gelatin gels and chemically cross-linked gelatin gels were characterized by small angle neutron scattering (SANS) to enable their internal structures to be correlated with their nonlinear rheology. The Kratky plots of SANS data demonstrate the presence of small cross-linked aggregates within the chemically cross-linked network whereas, in the physical gelatin gels, a relatively homogeneous structure is observed. Through model fitting to the scattering data, we were able to obtain structural parameters, such as the correlation length (ξ), the cross-sectional polymer chain radius (Rc) and the fractal dimension (df) of the gel networks. The fractal dimension df obtained from the SANS data of the physical and chemically cross-linked gels is 1.31 and 1.53, respectively. These values are in excellent agreement with the ones obtained from a generalized nonlinear elastic theory that has been used to fit the stress-strain curves. The chemical cross-linking that generates coils and aggregates hinders the free stretching of the triple helix bundles in the physical gels.

Generalized linear and generalized additive models in studies of species distributions: setting the scene

An important statistical development of the last 30 years has been the advance in regression analysis provided by generalized linear models (GLMs) and generalized additive models (GAMs). Here we introduce a series of papers prepared within the framework of an international workshop entitled: Advances in GLMs/GAMs modeling: from species distribution to environmental management, held in Riederalp, Switzerland, 6-11 August 2001.We first discuss some general uses of statistical models in ecology, as well as provide a short review of several key examples of the use of GLMs and GAMs in ecological modeling efforts. We next present an overview of GLMs and GAMs, and discuss some of their related statistics used for predictor selection, model diagnostics, and evaluation. Included is a discussion of several new approaches applicable to GLMs and GAMs, such as ridge regression, an alternative to stepwise selection of predictors, and methods for the identification of interactions by a combined use of regression trees and several other approaches. We close with an overview of the papers and how we feel they advance our understanding of their application to ecological modeling.

Elderly age is not a negative predictive factor for virological response to therapy with pegylated interferon-α and ribavirin in chronic hepatitis C virus patients.

BACKGROUND & AIMS: Age is frequently discussed as negative host factor to achieve a sustained virological response (SVR) to antiviral therapy of chronic hepatitis C. However, elderly patients often show advanced fibrosis/cirrhosis as known negative predictive factor. The aim of this study was to assess age as an independent predictive factor during antiviral therapy. METHODS: Overall, 516 hepatitis C patients were treated with pegylated interferon-α and ribavirin, thereof 66 patients ≥60 years. We analysed the impact of host factors (age, gender, fibrosis, haemoglobin, previous hepatitis C treatment) and viral factors (genotype, viral load) on SVR per therapy course by performing a generalized estimating equations (GEE) regression modelling, a matched pair analysis and a classification tree analysis. RESULTS: Overall, SVR per therapy course was 42.9 and 26.1%, respectively, in young and elderly patients with hepatitis C virus (HCV) genotypes 1/4/6. The corresponding figures for HCV genotypes 2/3 were 74.4 and 84%. In the GEE model, age had no significant influence on achieving SVR. In matched pair analysis, SVR was not different in young and elderly patients (54.2 and 55.9% respectively; P = 0.795 in binominal test). In classification tree analysis, age was not a relevant splitting variable. CONCLUSIONS: Age is not a significant predictive factor for achieving SVR, when relevant confounders are taken into account. As life expectancy in Western Europe at age 60 is more than 20 years, it is reasonable to treat chronic hepatitis C in selected elderly patients with relevant fibrosis or cirrhosis but without major concomitant diseases, as SVR improves survival and reduces carcinogenesis.

Nonlinear Pile Behavior in Integral Abutment Bridges, HR-227, Part 1, 1982

The highway departments of all fifty states were contacted to find the extent of application of integral abutment bridges, to survey the different guidelines used for analysis and design of integral abutment bridges, and to assess the performance of such bridges through the years. The variation in design assumptions and length limitations among the various states in their approach to the use of integral abutments is discussed. The problems associated with lateral displacements at the abutment, and the solutions developed by the different states for most of the ill effects of abutment movements are summarized in the report. An algorithm based on a state-of-the-art nonlinear finite element procedure was developed and used to study piling stresses and pile-soil interaction in integral abutment bridges. The finite element idealization consists of beam-column elements with geometric and material nonlinearities for the pile and nonlinear springs for the soil. An idealized soil model (modified Ramberg-Osgood model) was introduced in this investigation to obtain the tangent stiffness of the nonlinear spring elements. Several numerical examples are presented in order to establish the reliability of the finite element model and the computer software developed. Three problems with analytical solutions were first solved and compared with theoretical solutions. A 40 ft H pile (HP 10 X 42) in six typical Iowa soils was then analyzed by first applying a horizontal displacement (to simulate bridge motion) and no rotation at the top and then applying a vertical load V incrementally until failure occurred. Based on the numerical results, the failure mechanisms were generalized to be of two types: (a) lateral type failure and (b) vertical type failure. It appears that most piles in Iowa soils (sand, soft clay and stiff clay) failed when the applied vertical load reached the ultimate soil frictional resistance (vertical type failure). In very stiff clays, however, the lateral type failure occurs before vertical type failure because the soil is sufficiently stiff to force a plastic hinge to form in the pile as the specified lateral displacement is applied. Preliminary results from this investigation showed that the vertical load-carrying capacity of H piles is not significantly affected by lateral displacements of 2 inches in soft clay, stiff clay, loose sand, medium sand and dense sand. However, in very stiff clay (average blow count of 50 from standard penetration tests), it was found that the vertical load carrying capacity of the H pile is reduced by about 50 percent for 2 inches of lateral displacement and by about 20 percent for lateral displacement of 1 inch. On the basis of the preliminary results of this investigation, the 265-feet length limitation in Iowa for integral abutment concrete bridges appears to be very conservative.

Generalized synchronization in directionally coupled systems with identical individual dynamics

A simple chaotic flow is presented, which when driven by an identical copy of itself, for certain initial conditions, is able to display generalized synchronization instead of identical synchronization. Being that the drive and the response are observed in exactly the same coordinate system, generalized synchronization is demonstrated by means of the auxiliary system approach and by the conditional Lyapunov spectrum. This is interpreted in terms of changes in the structure of the system stationary points, caused by the coupling, which modify its global behavior.

Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

Identifying the preferred subset of enzymatic profiles in nonlinear kinetic metabolic models via multiobjective global optimization and pareto filters

Optimization models in metabolic engineering and systems biology focus typically on optimizing a unique criterion, usually the synthesis rate of a metabolite of interest or the rate of growth. Connectivity and non-linear regulatory effects, however, make it necessary to consider multiple objectives in order to identify useful strategies that balance out different metabolic issues. This is a fundamental aspect, as optimization of maximum yield in a given condition may involve unrealistic values in other key processes. Due to the difficulties associated with detailed non-linear models, analysis using stoichiometric descriptions and linear optimization methods have become rather popular in systems biology. However, despite being useful, these approaches fail in capturing the intrinsic nonlinear nature of the underlying metabolic systems and the regulatory signals involved. Targeting more complex biological systems requires the application of global optimization methods to non-linear representations. In this work we address the multi-objective global optimization of metabolic networks that are described by a special class of models based on the power-law formalism: the generalized mass action (GMA) representation. Our goal is to develop global optimization methods capable of efficiently dealing with several biological criteria simultaneously. In order to overcome the numerical difficulties of dealing with multiple criteria in the optimization, we propose a heuristic approach based on the epsilon constraint method that reduces the computational burden of generating a set of Pareto optimal alternatives, each achieving a unique combination of objectives values. To facilitate the post-optimal analysis of these solutions and narrow down their number prior to being tested in the laboratory, we explore the use of Pareto filters that identify the preferred subset of enzymatic profiles. We demonstrate the usefulness of our approach by means of a case study that optimizes the ethanol production in the fermentation of Saccharomyces cerevisiae.

Covalidation of Integral Transforms and Method of Lines in Nonlinear Convection-Diffusion with Mathematica

The Mathematica system (version 4.0) is employed in the solution of nonlinear difusion and convection-difusion problems, formulated as transient one-dimensional partial diferential equations with potential dependent equation coefficients. The Generalized Integral Transform Technique (GITT) is first implemented for the hybrid numerical-analytical solution of such classes of problems, through the symbolic integral transformation and elimination of the space variable, followed by the utilization of the built-in Mathematica function NDSolve for handling the resulting transformed ODE system. This approach ofers an error-controlled final numerical solution, through the simultaneous control of local errors in this reliable ODE's solver and of the proposed eigenfunction expansion truncation order. For covalidation purposes, the same built-in function NDSolve is employed in the direct solution of these partial diferential equations, as made possible by the algorithms implemented in Mathematica (versions 3.0 and up), based on application of the method of lines. Various numerical experiments are performed and relative merits of each approach are critically pointed out.