Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Group Sequential Communication (GSC): Especificação e Análise de Desempenho de umMecanismo de Comunicação de Tempo Real Compatível ao Padrão IEEE 802.11/11e Aplicado à Automação Industrial

This thesis proposes the specification and performance analysis of a real-time communication mechanism for IEEE 802.11/11e standard. This approach is called Group Sequential Communication (GSC). The GSC has a better performance for dealing with small data packets when compared to the HCCA mechanism by adopting a decentralized medium access control using a publish/subscribe communication scheme. The main objective of the thesis is the HCCA overhead reduction of the Polling, ACK and QoS Null frames exchanged between the Hybrid Coordinator and the polled stations. The GSC eliminates the polling scheme used by HCCA scheduling algorithm by using a Virtual Token Passing procedure among members of the real-time group to whom a high-priority and sequential access to communication medium is granted. In order to improve the reliability of the mechanism proposed into a noisy channel, it is presented an error recovery scheme called second chance algorithm. This scheme is based on block acknowledgment strategy where there is a possibility of retransmitting when missing real-time messages. Thus, the GSC mechanism maintains the real-time traffic across many IEEE 802.11/11e devices, optimized bandwidth usage and minimal delay variation for data packets in the wireless network. For validation purpose of the communication scheme, the GSC and HCCA mechanisms have been implemented in network simulation software developed in C/C++ and their performance results were compared. The experiments show the efficiency of the GSC mechanism, especially in industrial communication scenarios.

Optimization Strategies Based on Sequential Quadratic Programming Applied for a Fermentation Process for Butanol Production

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Simulação geoestatística e classificação numérica para o delineamento de unidade de mapeamento de atributos e erosão do solo

Pós-graduação em Agronomia (Ciência do Solo) - FCAV

A simulation tool for transient stability analysis on vector computers

This paper deals with transient stability analysis based on time domain simulation on vector processing. This approach requires the solution of a set of differential equations in conjunction of another set of algebraic equations. The solution of the algebraic equations has presented a scalar as sequential set of tasks, and the solution of these equations, on vector computers, has required much more investigations to speedup the simulations. Therefore, the main objective of this paper has been to present methods to solve the algebraic equations using vector processing. The results, using a GRAY computer, have shown that on-line transient stability assessment is feasible.

Electronic Properties of Water in Liquid Environment. A Sequential QM/MM Study Using the Free Energy Gradient Method

There is a continuous search for theoretical methods that are able to describe the effects of the liquid environment on molecular systems. Different methods emphasize different aspects, and the treatment of both the local and bulk properties is still a great challenge. In this work, the electronic properties of a water molecule in liquid environment is studied by performing a relaxation of the geometry and electronic distribution using the free energy gradient method. This is made using a series of steps in each of which we run a purely molecular mechanical (MM) Monte Carlo Metropolis simulation of liquid water and subsequently perform a quantum mechanical/molecular mechanical (QM/MM) calculation of the ensemble averages of the charge distribution, atomic forces, and second derivatives. The MP2/aug-cc-pV5Z level is used to describe the electronic properties of the QM water. B3LYP with specially designed basis functions are used for the magnetic properties. Very good agreement is found for the local properties of water, such as geometry, vibrational frequencies, dipole moment, dipole polarizability, chemical shift, and spin-spin coupling constants. The very good performance of the free energy method combined with a QM/MM approach along with the possible limitations are briefly discussed.

A Nonstationary Space-Time Gaussian Process Model for Partially Converged Simulations

In the context of expensive numerical experiments, a promising solution for alleviating the computational costs consists of using partially converged simulations instead of exact solutions. The gain in computational time is at the price of precision in the response. This work addresses the issue of fitting a Gaussian process model to partially converged simulation data for further use in prediction. The main challenge consists of the adequate approximation of the error due to partial convergence, which is correlated in both design variables and time directions. Here, we propose fitting a Gaussian process in the joint space of design parameters and computational time. The model is constructed by building a nonstationary covariance kernel that reflects accurately the actual structure of the error. Practical solutions are proposed for solving parameter estimation issues associated with the proposed model. The method is applied to a computational fluid dynamics test case and shows significant improvement in prediction compared to a classical kriging model.

Quantifying uncertainty on Pareto fronts with Gaussian process conditional simulations

Multi-objective optimization algorithms aim at finding Pareto-optimal solutions. Recovering Pareto fronts or Pareto sets from a limited number of function evaluations are challenging problems. A popular approach in the case of expensive-to-evaluate functions is to appeal to metamodels. Kriging has been shown efficient as a base for sequential multi-objective optimization, notably through infill sampling criteria balancing exploitation and exploration such as the Expected Hypervolume Improvement. Here we consider Kriging metamodels not only for selecting new points, but as a tool for estimating the whole Pareto front and quantifying how much uncertainty remains on it at any stage of Kriging-based multi-objective optimization algorithms. Our approach relies on the Gaussian process interpretation of Kriging, and bases upon conditional simulations. Using concepts from random set theory, we propose to adapt the Vorob’ev expectation and deviation to capture the variability of the set of non-dominated points. Numerical experiments illustrate the potential of the proposed workflow, and it is shown on examples how Gaussian process simulations and the estimated Vorob’ev deviation can be used to monitor the ability of Kriging-based multi-objective optimization algorithms to accurately learn the Pareto front.

Fast Update of Conditional Simulation Ensembles

Gaussian random field (GRF) conditional simulation is a key ingredient in many spatial statistics problems for computing Monte-Carlo estimators and quantifying uncertainties on non-linear functionals of GRFs conditional on data. Conditional simulations are known to often be computer intensive, especially when appealing to matrix decomposition approaches with a large number of simulation points. This work studies settings where conditioning observations are assimilated batch sequentially, with one point or a batch of points at each stage. Assuming that conditional simulations have been performed at a previous stage, the goal is to take advantage of already available sample paths and by-products to produce updated conditional simulations at mini- mal cost. Explicit formulae are provided, which allow updating an ensemble of sample paths conditioned on n ≥ 0 observations to an ensemble conditioned on n + q observations, for arbitrary q ≥ 1. Compared to direct approaches, the proposed formulae proveto substantially reduce computational complexity. Moreover, these formulae explicitly exhibit how the q new observations are updating the old sample paths. Detailed complexity calculations highlighting the benefits of this approach with respect to state-of-the-art algorithms are provided and are complemented by numerical experiments.

Bayesian doubly optimal group sequential designs for randomized clinical trials

When conducting a randomized comparative clinical trial, ethical, scientific or economic considerations often motivate the use of interim decision rules after successive groups of patients have been treated. These decisions may pertain to the comparative efficacy or safety of the treatments under study, cost considerations, the desire to accelerate the drug evaluation process, or the likelihood of therapeutic benefit for future patients. At the time of each interim decision, an important question is whether patient enrollment should continue or be terminated; either due to a high probability that one treatment is superior to the other, or a low probability that the experimental treatment will ultimately prove to be superior. The use of frequentist group sequential decision rules has become routine in the conduct of phase III clinical trials. In this dissertation, we will present a new Bayesian decision-theoretic approach to the problem of designing a randomized group sequential clinical trial, focusing on two-arm trials with time-to-failure outcomes. Forward simulation is used to obtain optimal decision boundaries for each of a set of possible models. At each interim analysis, we use Bayesian model selection to adaptively choose the model having the largest posterior probability of being correct, and we then make the interim decision based on the boundaries that are optimal under the chosen model. We provide a simulation study to compare this method, which we call Bayesian Doubly Optimal Group Sequential (BDOGS), to corresponding frequentist designs using either O'Brien-Fleming (OF) or Pocock boundaries, as obtained from EaSt 2000. Our simulation results show that, over a wide variety of different cases, BDOGS either performs at least as well as both OF and Pocock, or on average provides a much smaller trial. ^

A simulation study using the hybrid statistic and the meta-analysis t-test for data with matched and unmatched subjects in the interim analysis of clinical trials

An interim analysis is usually applied in later phase II or phase III trials to find convincing evidence of a significant treatment difference that may lead to trial termination at an earlier point than planned at the beginning. This can result in the saving of patient resources and shortening of drug development and approval time. In addition, ethics and economics are also the reasons to stop a trial earlier. In clinical trials of eyes, ears, knees, arms, kidneys, lungs, and other clustered treatments, data may include distribution-free random variables with matched and unmatched subjects in one study. It is important to properly include both subjects in the interim and the final analyses so that the maximum efficiency of statistical and clinical inferences can be obtained at different stages of the trials. So far, no publication has applied a statistical method for distribution-free data with matched and unmatched subjects in the interim analysis of clinical trials. In this simulation study, the hybrid statistic was used to estimate the empirical powers and the empirical type I errors among the simulated datasets with different sample sizes, different effect sizes, different correlation coefficients for matched pairs, and different data distributions, respectively, in the interim and final analysis with 4 different group sequential methods. Empirical powers and empirical type I errors were also compared to those estimated by using the meta-analysis t-test among the same simulated datasets. Results from this simulation study show that, compared to the meta-analysis t-test commonly used for data with normally distributed observations, the hybrid statistic has a greater power for data observed from normally, log-normally, and multinomially distributed random variables with matched and unmatched subjects and with outliers. Powers rose with the increase in sample size, effect size, and correlation coefficient for the matched pairs. In addition, lower type I errors were observed estimated by using the hybrid statistic, which indicates that this test is also conservative for data with outliers in the interim analysis of clinical trials.^

Hybrid simulation-optimization based approach for the optimal design of single-product biotechnological processes

In this work, we present a systematic method for the optimal development of bioprocesses that relies on the combined use of simulation packages and optimization tools. One of the main advantages of our method is that it allows for the simultaneous optimization of all the individual components of a bioprocess, including the main upstream and downstream units. The design task is mathematically formulated as a mixed-integer dynamic optimization (MIDO) problem, which is solved by a decomposition method that iterates between primal and master sub-problems. The primal dynamic optimization problem optimizes the operating conditions, bioreactor kinetics and equipment sizes, whereas the master levels entails the solution of a tailored mixed-integer linear programming (MILP) model that decides on the values of the integer variables (i.e., number of equipments in parallel and topological decisions). The dynamic optimization primal sub-problems are solved via a sequential approach that integrates the process simulator SuperPro Designer® with an external NLP solver implemented in Matlab®. The capabilities of the proposed methodology are illustrated through its application to a typical fermentation process and to the production of the amino acid L-lysine.

A dynamic mathematical model for sequential leach bed anaerobic digestion of organic fraction of municipal solid waste

A mathematical model that describes the operation of a sequential leach bed process for anaerobic digestion of organic fraction of municipal solid waste (MSW) is developed and validated. This model assumes that ultimate mineralisation of the organic component of the waste occurs in three steps, namely solubilisation of particulate matter, fermentation to volatile organic acids (modelled as acetic acid) along with liberation of carbon dioxide and hydrogen, and methanogenesis from acetate and hydrogen. The model incorporates the ionic equilibrium equations arising due to dissolution of carbon dioxide, generation of alkalinity from breakdown of solids and dissociation of acetic acid. Rather than a charge balance, a mass balance on the hydronium and hydroxide ions is used to calculate pH. The flow of liquid through the bed is modelled as occurring through two zones-a permeable zone with high flushing rates and the other more stagnant. Some of the kinetic parameters for the biological processes were obtained from batch MSW digestion experiments. The parameters for flow model were obtained from residence time distribution studies conducted using tritium as a tracer. The model was validated using data from leach bed digestion experiments in which a leachate volume equal to 10% of the fresh waste bed volume was sequenced. The model was then tested, without altering any kinetic or flow parameters, by varying volume of leachate that is sequenced between the beds. Simulations for sequencing/recirculating 5 and 30% of the bed volume are presented and compared with experimental results. (C) 2002 Elsevier Science B.V. All rights reserved.

Kinetic energy conserving integrators for Gaussian thermostatted SLLOD

A new integration scheme is developed for nonequilibrium molecular dynamics simulations where the temperature is constrained by a Gaussian thermostat. The utility of the scheme is demonstrated by its application to the SLLOD algorithm which is the standard nonequilibrium molecular dynamics algorithm for studying shear flow. Unlike conventional integrators, the new integrators are constructed using operator-splitting techniques to ensure stability and that little or no drift in the kinetic energy occurs. Moreover, they require minimum computer memory and are straightforward to program. Numerical experiments show that the efficiency and stability of the new integrators compare favorably with conventional integrators such as the Runge-Kutta and Gear predictor-corrector methods. (C) 1999 American Institute of Physics. [S0021-9606(99)50125-6].

Sparse representation for Gaussian process models

We develop an approach for a sparse representation for Gaussian Process (GP) models in order to overcome the limitations of GPs caused by large data sets. The method is based on a combination of a Bayesian online algorithm together with a sequential construction of a relevant subsample of the data which fully specifies the prediction of the model. Experimental results on toy examples and large real-world datasets indicate the efficiency of the approach.