Contact with friction using the augmented Lagrangian Method: a conditional constrained minimization problem

This work presents a formulation of the contact with friction between elastic bodies. This is a non linear problem due to unilateral constraints (inter-penetration of bodies) and friction. The solution of this problem can be found using optimization concepts, modelling the problem as a constrained minimization problem. The Finite Element Method is used to construct approximation spaces. The minimization problem has the total potential energy of the elastic bodies as the objective function, the non-inter-penetration conditions are represented by inequality constraints, and equality constraints are used to deal with the friction. Due to the presence of two friction conditions (stick and slip), specific equality constraints are present or not according to the current condition. Since the Coulomb friction condition depends on the normal and tangential contact stresses related to the constraints of the problem, it is devised a conditional dependent constrained minimization problem. An Augmented Lagrangian Method for constrained minimization is employed to solve this problem. This method, when applied to a contact problem, presents Lagrange Multipliers which have the physical meaning of contact forces. This fact allows to check the friction condition at each iteration. These concepts make possible to devise a computational scheme which lead to good numerical results.

Low variation in ribosomal DNA and internal transcribed spacers of the symbiotic fungi of leaf-cutting ants (Attini: Formicidae)

Leaf-cutting ants of the genera Atta and Acromyrmex (tribe Attini) are symbiotic with basidiomycete fungi of the genus Leucoagaricus (tribe Leucocoprineae), which they cultivate on vegetable matter inside their nests. We determined the variation of the 28S, 18S, and 5.8S ribosomal DNA (rDNA) gene loci and the rapidly evolving internal transcribed spacers 1 and 2 (ITS1 and ITS2) of 15 sympatric and allopatric fungi associated with colonies of 11 species of leafcutter ants living up to 2,600 km apart in Brazil. We found that the fungal rDNA and ITS sequences from different species of ants were identical (or nearly identical) to each other, whereas 10 GenBank Leucoagaricus species showed higher ITS variation. Our findings suggest that Atta and Acromyrmex leafcutters living in geographic sites that are very distant from each other cultivate a single fungal species made up of closely related lineages of Leucoagaricus gongylophorus. We discuss the strikingly high similarity in the ITS1 and ITS2 regions of the Atta and Acromyrmex symbiotic L. gongylophorus studied by us, in contrast to the lower similarity displayed by their non-symbiotic counterparts. We suggest that the similarity of our L. gongylophorus isolates is an indication of the recent association of the fungus with these ants, and propose that both the intense lateral transmission of fungal material within leafcutter nests and the selection of more adapted fungal strains are involved in the homogenization of the symbiotic fungal stock.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

A modified nominal stress method for fatigue assessment of steel plates with thermally cut edges

Thermal cutting methods, are commonly used in the manufacture of metal parts. Thermal cutting processes separate materials by using heat. The process can be done with or without a stream of cutting oxygen. Common processes are Oxygen, plasma and laser cutting. It depends on the application and material which cutting method is used. Numerically-controlled thermal cutting is a cost-effective way of prefabricating components. One design aim is to minimize the number of work steps in order to increase competitiveness. This has resulted in the holes and openings in plate parts manufactured today being made using thermal cutting methods. This is a problem from the fatigue life perspective because there is local detail in the as-welded state that causes a rise in stress in a local area of the plate. In a case where the static utilization of a net section is full used, the calculated linear local stresses and stress ranges are often over 2 times the material yield strength. The shakedown criteria are exceeded. Fatigue life assessment of flame-cut details is commonly based on the nominal stress method. For welded details, design standards and instructions provide more accurate and flexible methods, e.g. a hot-spot method, but these methods are not universally applied to flame cut edges. Some of the fatigue tests of flame cut edges in the laboratory indicated that fatigue life estimations based on the standard nominal stress method can give quite a conservative fatigue life estimate in cases where a high notch factor was present. This is an undesirable phenomenon and it limits the potential for minimizing structure size and total costs. A new calculation method is introduced to improve the accuracy of the theoretical fatigue life prediction method of a flame cut edge with a high stress concentration factor. Simple equations were derived by using laboratory fatigue test results, which are published in this work. The proposed method is called the modified FAT method (FATmod). The method takes into account the residual stress state, surface quality, material strength class and true stress ratio in the critical place.

Problem children with and without communication delays : the changes in their parents' report of challenging behaviour, parental hassles and family conflict over a two -year period

The goal of this study was to examine the change, over a two year period, in mothers' reports of children's challenging behaviour and family conflict as they relate to change in parenting hassles (stress) among families who have preschool children with and without communication delays. Forty-four parent-child dyads participated in this Family Resource Project study that was funded by the Canadian Language and Literacy Research Network. Thirty-one ofthese families had preschool children with communication delays and 13 children were identified as not having communication delays. Child behaviour was evaluated using the Oppositional Subscale and ADHD Index of the Conners Parent Rating Scale (CPRS-R:S), the Conflict Subscale ofthe Family Environment Scale was used to examine family conflict, and the Parent Hassles Scale was used to examine parental stress. Results showed that change in mothers' daily hassles was influenced by change in their preschool children's ADHD behaviour and change in family conflict. Change in child oppositional behaviour did not predict change in mothers' hassles scores.

Families with Children with Autism, Developmental Delay, and Typical Development: The Relationships of Parenting Self-Efficacy, Parenting Strategies, and Child Problem Behaviour

Parents of children with autism spectrum disorders (ASD) and developmental delays (DD) may experience more child problem behaviours, report lower parenting selfefficacy (PSE), and be more reactive than proactive in their parenting strategies than those who have children with typical development (TD). Differences in PSE and parenting strategies may also influence the extent to which child problem behaviours are experienced by parents who have children with ASD and DD, compared to those who have children with TD. Using a convenience sample of parents of children with ASD (n = 48), DD (n = 51), and TD (n = 72), this study examined group differences on three key variables: PSE, parenting strategies, and child problem behaviour. Results indicated that those in the DD group scored lower on PSE in preventing child problem behaviour than the ASD group. The TD group used fewer reactive strategies than the DD group, and fewer proactive strategies than both the ASD and DD groups. For the overall sample, higher reactive strategies use was found to predict higher ratings of child problem behaviour, while a greater proportion of proactive to reactive strategies use predicted lower ratings of child problem behaviour. PSE was found to moderate DD diagnosis and child problem behaviour. Implications for a behavioural (i.e., parenting strategies) or cognitive (i.e., PSE) approach to parenting are discussed.

The Transformation Problem : an Aleternative Solution with an Identical Aggregate Profit Rate in the Labor value and the Monetary Space.

The aim of this paper is to demonstrate that, even if Marx's solution to the transformation problem can be modified, his basic conclusions remain valid. the proposed alternative solution which is presented hare is based on the constraint of a common general profit rate in both spaces and a money wage level which will be determined simultaneously with prices.

Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models

We study the problem of testing the error distribution in a multivariate linear regression (MLR) model. The tests are functions of appropriately standardized multivariate least squares residuals whose distribution is invariant to the unknown cross-equation error covariance matrix. Empirical multivariate skewness and kurtosis criteria are then compared to simulation-based estimate of their expected value under the hypothesized distribution. Special cases considered include testing multivariate normal, Student t; normal mixtures and stable error models. In the Gaussian case, finite-sample versions of the standard multivariate skewness and kurtosis tests are derived. To do this, we exploit simple, double and multi-stage Monte Carlo test methods. For non-Gaussian distribution families involving nuisance parameters, confidence sets are derived for the the nuisance parameters and the error distribution. The procedures considered are evaluated in a small simulation experi-ment. Finally, the tests are applied to an asset pricing model with observable risk-free rates, using monthly returns on New York Stock Exchange (NYSE) portfolios over five-year subperiods from 1926-1995.

Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

It is well known that standard asymptotic theory is not valid or is extremely unreliable in models with identification problems or weak instruments [Dufour (1997, Econometrica), Staiger and Stock (1997, Econometrica), Wang and Zivot (1998, Econometrica), Stock and Wright (2000, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. One possible way out consists here in using a variant of the Anderson-Rubin (1949, Ann. Math. Stat.) procedure. The latter, however, allows one to build exact tests and confidence sets only for the full vector of the coefficients of the endogenous explanatory variables in a structural equation, which in general does not allow for individual coefficients. This problem may in principle be overcome by using projection techniques [Dufour (1997, Econometrica), Dufour and Jasiak (2001, International Economic Review)]. AR-types are emphasized because they are robust to both weak instruments and instrument exclusion. However, these techniques can be implemented only by using costly numerical techniques. In this paper, we provide a complete analytic solution to the problem of building projection-based confidence sets from Anderson-Rubin-type confidence sets. The latter involves the geometric properties of “quadrics” and can be viewed as an extension of usual confidence intervals and ellipsoids. Only least squares techniques are required for building the confidence intervals. We also study by simulation how “conservative” projection-based confidence sets are. Finally, we illustrate the methods proposed by applying them to three different examples: the relationship between trade and growth in a cross-section of countries, returns to education, and a study of production functions in the U.S. economy.

The Transformation Problem : an Aleternative Solution with an Identical Aggregate Profit Rate in the Labor value and the Monetary Space.

The aim of this paper is to demonstrate that, even if Marx's solution to the transformation problem can be modified, his basic conclusions remain valid. the proposed alternative solution which is presented hare is based on the constraint of a common general profit rate in both spaces and a money wage level which will be determined simultaneously with prices.

Essais sur la gestion des ressources forestières

Cette thèse est composée de trois essais en économie forestière. Les deux premiers s'intéressent à la fixation de la redevance optimale à laquelle fait face le propriétaire d'une ressource forestière dans un contexte d'information asymétrique. Le troisième analyse l'impact à long terme du recyclage sur la surface de terre affectée à la forêt. La gestion des ressources forestières implique souvent la délégation des droits de coupe par le propriétaire forestier à une entreprise exploitante. Cette délégation prend la forme d'un contrat de concession par lequel le propriétaire forestier octroie les droits d'exploitation aux compagnies forestières, en contrepartie d'une redevance (transfert monétaire). L'octroie des droits d'exploitation s'effectue généralement sous plusieurs modes, dont les plus répandus sont les appels d'offres publics et les contrats de gré à gré, où le propriétaire forestier et la firme exploitante spécifient entre autres la redevance dans les clauses d'exploitation de la forêt. Pour déterminer le mécanisme optimal (choix de la firme, âge de coupe et redevance), le propriétaire forestier a idéalement besoin de connaître les coûts de coupe et de reboisement. Or en réalité, les firmes sont mieux informées sur leurs coûts que le propriétaire forestier. Dans ce contexte d'information asymétrique, le mécanisme optimal doit donc prendre en considération des contraintes informationnelles. Les deux premiers essais caractérisent, sous ces conditions, l'âge de coupe optimal (la rotation optimale) et la redevance optimale. Le premier essai examine le contrat optimal quand le propriétaire forestier cède les droits de coupes à une firme par un accord de gré à gré ou par une procédure d'appel d'offre public au second prix. L'analyse du problème est menée premièrement dans un contexte statique, dans le sens que les coûts de coupe sont parfaitement corrélés dans le temps, puis dans un contexte dynamique, où les coûts sont indépendants dans le temps. L'examen en statique et en dynamique montre que la rotation optimale va satisfaire une version modifiée de la règle de Faustmann qui prévaudrait en information symétrique. Cette modification est nécessaire afin d'inciter la firme à révéler ses vrais coûts. Dans le cas statique, il en résulte que la rotation optimale est plus élevée en information asymétrique qu'en situation de pleine information. Nous montrons également comment le seuil maximal de coût de coupe peut être endogénéisé, afin de permettre au propriétaire d'accroître son profit espéré en s'assurant que les forêts non profitables ne seront pas exploitées. Nous comparons ensuite la redevance optimale en information asymétrique et symétrique. Les redevances forestières dans un arrangement de gré à gré étant généralement, en pratique, une fonction linéaire du volume de bois, nous dérivons le contrat optimal en imposant une telle forme de redevance et nous caractérisons la perte en terme de profit espéré qui résulte de l'utilisation de ce type de contrat plutôt que du contrat non linéaire plus général. Finalement, toujours dans le contexte statique, nous montrons à travers un mécanisme optimal d'enchère au second prix qu'en introduisant ainsi la compétition entre les firmes le propriétaire forestier augmente son profit espéré. Les résultats obtenus dans le contexte dynamique diffèrent pour la plupart de ceux obtenus dans le cas statique. Nous montrons que le contrat optimal prévoit alors que chaque type de firme, incluant celle ayant le coût le plus élevé, obtient une rente strictement positive, laquelle augmente dans le temps. Ceci est nécessaire pour obtenir la révélation à moindre coût à la période courante du véritable type de la firme. Comme implication, la rotation optimale s'accroît aussi dans le temps. Finalement, nous montrons qu'il y a distorsion en asymétrique d'information par rapport à l'optimum de pleine information même pour le coût le plus bas (la réalisation la plus favorable). La concurrence introduite dans le premier essai sous forme d'enchère au second prix suppose que chaque firme connaît exactement son propre coût de coupe. Dans le deuxième essai nous relâchons cette hypothèse. En réalité, ni le propriétaire forestier ni les firmes ne connaissent avec précision les coûts de coupe. Chaque firme observe de manière privée un signal sur son coût. Par exemple chaque firme est autorisée à visiter un lot pour avoir une estimation (signal) de son coût de coupe. Cependant cette évaluation est approximative. Ainsi, le coût de chaque firme va dépendre des estimations (signaux) d'autres firmes participantes. Nous sommes en présence d'un mécanisme à valeurs interdépendantes. Dans ce contexte, la valeur d'une allocation dépend des signaux de toutes les firmes. Le mécanisme optimal (attribution des droits d'exploitation, redevance et âge de coupe) est exploré. Nous déterminons les conditions sous lesquelles le mécanisme optimal peut être implémenté par une enchère au second prix et dérivons la rotation optimale et le prix de réserve dans le contexte de ce type d'enchère. Le troisième essai de la thèse analyse l'impact à long terme du recyclage sur la surface de terre affectée à la forêt. L'un des principaux arguments qui milite en faveur du recours au recyclage est que cela entraînerait une réduction de la coupe de bois, épargnant ainsi des arbres. L'objectif est donc d'aboutir à un nombre d'arbres plus important qu'en l'absence de recyclage. L'idée d'accroître le stock d'arbre tient au fait que les forêts génèrent des externalités: elles créent un flux de services récréatifs, freinent l'érosion des sols et des rives des cours d'eau et absorbent du dioxyde de carbone présent dans l'atmosphère. Étant donné la présence d'externalités, l'équilibre des marchés résulterait en un nombre d'arbre insuffisant, justifiant donc la mise en oeuvre de politiques visant à l'accroître. Le but de ce troisième essai est de voir dans quelle mesure la promotion du recyclage est un instrument approprié pour atteindre un tel objectif. En d'autres mots, comment le recyclage affecte-t-il à long terme la surface de terre en forêt et l'âge de coupe? Nous étudions cette question en spécifiant un modèle dynamique d'allocation d'un terrain donné, par un propriétaire forestier privé, entre la forêt et une utilisation alternative du terrain, comme l'agriculture. Une fois les arbres coupés, il décide d'une nouvelle allocation du terrain. Il le fait indéfiniment comme dans le cadre du modèle de Faustmann. Le bois coupé est transformé en produit final qui est en partie recyclé comme substitut du bois original. Ainsi, les outputs passés affectent le prix courant. Nous montrons que, paradoxalement, un accroissement du taux de recyclage réduira à long terme la surface forestière et donc diminuera le nombre d'arbres plantés. Par contre l'âge de coupe optimal va s'accroître. L'effet net sur le volume de bois offert sur le marché est ambigu. Le principal message cependant est qu'à long terme le recyclage va résulter en une surface en forêt plus petite et non plus grande. Donc, si le but est d'accroître la surface en forêt, il pourrait être préférable de faire appel à d'autres types d'instruments de politique que celui d'encourager le recyclage.

Fundamental Approach to Valuation of Securities -A Study with reference to Information Technology(IT) Sector Shares in Indian Stock Market

Department of Applied Economics,Cochin University of Science and Technology

Rooting cuttings of Syringa vulgaris cv. Charles Joly and Corylus avellana cv. Aurea: the influence of stock plant pruning and shoot growth

The relationship between shoot growth and rooting was examined in two, 'difficult-to root' amenity trees, Syringa vulgaris L. cv. Charles Joly and Corylus avellana L. cv. Aurea. A range of treatments reflecting severity of pruning was imposed on field-grown stock prior to bud break. To minimise variation due to the numbers of buds that developed under different treatments, bud number was restricted to 30 per plant. Leafy cuttings were harvested at different stages of the active growth phase of each species. With Syringa, rooting decreased with later harvests, but loss of rooting potential was delayed in cuttings collected from the most severe pruning treatment. Rooting potential was associated with the extent of post-excision shoot growth on the cutting but regression analyses indicated that this relationship could not entirely explain the loss of rooting with time, nor the effects due to pruning. Similarly, in Corylus rooting was promoted by severe pruning, but the relationship between apical growth on the cutting and rooting was weaker than in Syringa, and only at the last harvest did growth play a critical role in determining rooting. Another unusual factor of the last harvest of Corylus was a bimodal distribution of roots per cutting, with very few rooted cuttings having less than five roots. This implies that, for this harvest at least, the potential of an individual cutting to root is probably not limited by the number of potential rooting sites.

Modelling metal cutting using modern ductile fracture mechanics: Quantitative explanations for some longstanding problems

The assumption that negligible work is involved in the formation of new surfaces in the machining of ductile metals, is re-examined in the light of both current Finite Element Method (FEM) simulations of cutting and modern ductile fracture mechanics. The work associated with separation criteria in FEM models is shown to be in the kJ/m2 range rather than the few J/m2 of the surface energy (surface tension) employed by Shaw in his pioneering study of 1954 following which consideration of surface work has been omitted from analyses of metal cutting. The much greater values of surface specific work are not surprising in terms of ductile fracture mechanics where kJ/m2 values of fracture toughness are typical of the ductile metals involved in machining studies. This paper shows that when even the simple Ernst–Merchant analysis is generalised to include significant surface work, many of the experimental observations for which traditional ‘plasticity and friction only’ analyses seem to have no quantitative explanation, are now given meaning. In particular, the primary shear plane angle φ becomes material-dependent. The experimental increase of φ up to a saturated level, as the uncut chip thickness is increased, is predicted. The positive intercepts found in plots of cutting force vs. depth of cut, and in plots of force resolved along the primary shear plane vs. area of shear plane, are shown to be measures of the specific surface work. It is demonstrated that neglect of these intercepts in cutting analyses is the reason why anomalously high values of shear yield stress are derived at those very small uncut chip thicknesses at which the so-called size effect becomes evident. The material toughness/strength ratio, combined with the depth of cut to form a non-dimensional parameter, is shown to control ductile cutting mechanics. The toughness/strength ratio of a given material will change with rate, temperature, and thermomechanical treatment and the influence of such changes, together with changes in depth of cut, on the character of machining is discussed. Strength or hardness alone is insufficient to describe machining. The failure of the Ernst–Merchant theory seems less to do with problems of uniqueness and the validity of minimum work, and more to do with the problem not being properly posed. The new analysis compares favourably and consistently with the wide body of experimental results available in the literature. Why considerable progress in the understanding of metal cutting has been achieved without reference to significant surface work is also discussed.