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Exercises and solutions in PDF

Asymmetries in Business Cycles

Esta disertación busca estudiar los mecanismos de transmisión que vinculan el comportamiento de agentes y firmas con las asimetrías presentes en los ciclos económicos. Para lograr esto, se construyeron tres modelos DSGE. El en primer capítulo, el supuesto de función cuadrática simétrica de ajuste de la inversión fue removido, y el modelo canónico RBC fue reformulado suponiendo que des-invertir es más costoso que invertir una unidad de capital físico. En el segundo capítulo, la contribución más importante de esta disertación es presentada: la construcción de una función de utilidad general que anida aversión a la pérdida, aversión al riesgo y formación de hábitos, por medio de una función de transición suave. La razón para hacerlo así es el hecho de que los individuos son aversos a la pérdidad en recesiones, y son aversos al riesgo en auges. En el tercer capítulo, las asimetrías en los ciclos económicos son analizadas junto con ajuste asimétrico en precios y salarios en un contexto neokeynesiano, con el fin de encontrar una explicación teórica de la bien documentada asimetría presente en la Curva de Phillips.

Confidence sets for asset correlations in portfolio credit risk

Asset correlations are of critical importance in quantifying portfolio credit risk and economic capitalin financial institutions. Estimation of asset correlation with rating transition data has focusedon the point estimation of the correlation without giving any consideration to the uncertaintyaround these point estimates. In this article we use Bayesian methods to estimate a dynamicfactor model for default risk using rating data (McNeil et al., 2005; McNeil and Wendin, 2007).Bayesian methods allow us to formally incorporate human judgement in the estimation of assetcorrelation, through the prior distribution and fully characterize a confidence set for the correlations.Results indicate: i) a two factor model rather than the one factor model, as proposed bythe Basel II framework, better represents the historical default data. ii) importance of unobservedfactors in this type of models is reinforced and point out that the levels of the implied asset correlationscritically depend on the latent state variable used to capture the dynamics of default,as well as other assumptions on the statistical model. iii) the posterior distributions of the assetcorrelations show that the Basel recommended bounds, for this parameter, undermine the levelof systemic risk.

Error and complexity of random walk Monte Carlo radiosity

The author studies the error and complexity of the discrete random walk Monte Carlo technique for radiosity, using both the shooting and gathering methods. The author shows that the shooting method exhibits a lower complexity than the gathering one, and under some constraints, it has a linear complexity. This is an improvement over a previous result that pointed to an O(n log n) complexity. The author gives and compares three unbiased estimators for each method, and obtains closed forms and bounds for their variances. The author also bounds the expected value of the mean square error (MSE). Some of the results obtained are also shown

Select-divide-and-conquer method for large-scale configuration interaction

A select-divide-and-conquer variational method to approximate configuration interaction (CI) is presented. Given an orthonormal set made up of occupied orbitals (Hartree-Fock or similar) and suitable correlation orbitals (natural or localized orbitals), a large N-electron target space S is split into subspaces S0,S1,S2,...,SR. S0, of dimension d0, contains all configurations K with attributes (energy contributions, etc.) above thresholds T0={T0egy, T0etc.}; the CI coefficients in S0 remain always free to vary. S1 accommodates KS with attributes above T1≤T0. An eigenproblem of dimension d0+d1 for S0+S 1 is solved first, after which the last d1 rows and columns are contracted into a single row and column, thus freezing the last d1 CI coefficients hereinafter. The process is repeated with successive Sj(j≥2) chosen so that corresponding CI matrices fit random access memory (RAM). Davidson's eigensolver is used R times. The final energy eigenvalue (lowest or excited one) is always above the corresponding exact eigenvalue in S. Threshold values {Tj;j=0, 1, 2,...,R} regulate accuracy; for large-dimensional S, high accuracy requires S 0+S1 to be solved outside RAM. From there on, however, usually a few Davidson iterations in RAM are needed for each step, so that Hamiltonian matrix-element evaluation becomes rate determining. One μhartree accuracy is achieved for an eigenproblem of order 24 × 106, involving 1.2 × 1012 nonzero matrix elements, and 8.4×109 Slater determinants

Localización de faltas en sistemas de distribución de energía eléctrica usando métodos basados en el modelo y métodos basados en el conocimiento

La calidad de energía eléctrica incluye la calidad del suministro y la calidad de la atención al cliente. La calidad del suministro a su vez se considera que la conforman dos partes, la forma de onda y la continuidad. En esta tesis se aborda la continuidad del suministro a través de la localización de faltas. Este problema se encuentra relativamente resuelto en los sistemas de transmisión, donde por las características homogéneas de la línea, la medición en ambos terminales y la disponibilidad de diversos equipos, se puede localizar el sitio de falta con una precisión relativamente alta. En sistemas de distribución, sin embargo, la localización de faltas es un problema complejo y aún no resuelto. La complejidad es debida principalmente a la presencia de conductores no homogéneos, cargas intermedias, derivaciones laterales y desbalances en el sistema y la carga. Además, normalmente, en estos sistemas sólo se cuenta con medidas en la subestación, y un modelo simplificado del circuito. Los principales esfuerzos en la localización han estado orientados al desarrollo de métodos que utilicen el fundamental de la tensión y de la corriente en la subestación, para estimar la reactancia hasta la falta. Como la obtención de la reactancia permite cuantificar la distancia al sitio de falta a partir del uso del modelo, el Método se considera Basado en el Modelo (MBM). Sin embargo, algunas de sus desventajas están asociadas a la necesidad de un buen modelo del sistema y a la posibilidad de localizar varios sitios donde puede haber ocurrido la falta, esto es, se puede presentar múltiple estimación del sitio de falta. Como aporte, en esta tesis se presenta un análisis y prueba comparativa entre varios de los MBM frecuentemente referenciados. Adicionalmente se complementa la solución con métodos que utilizan otro tipo de información, como la obtenida de las bases históricas de faltas con registros de tensión y corriente medidos en la subestación (no se limita solamente al fundamental). Como herramienta de extracción de información de estos registros, se utilizan y prueban dos técnicas de clasificación (LAMDA y SVM). Éstas relacionan las características obtenidas de la señal, con la zona bajo falta y se denominan en este documento como Métodos de Clasificación Basados en el Conocimiento (MCBC). La información que usan los MCBC se obtiene de los registros de tensión y de corriente medidos en la subestación de distribución, antes, durante y después de la falta. Los registros se procesan para obtener los siguientes descriptores: a) la magnitud de la variación de tensión ( dV ), b) la variación de la magnitud de corriente ( dI ), c) la variación de la potencia ( dS ), d) la reactancia de falta ( Xf ), e) la frecuencia del transitorio ( f ), y f) el valor propio máximo de la matriz de correlación de corrientes (Sv), cada uno de los cuales ha sido seleccionado por facilitar la localización de la falta. A partir de estos descriptores, se proponen diferentes conjuntos de entrenamiento y validación de los MCBC, y mediante una metodología que muestra la posibilidad de hallar relaciones entre estos conjuntos y las zonas en las cuales se presenta la falta, se seleccionan los de mejor comportamiento. Los resultados de aplicación, demuestran que con la combinación de los MCBC con los MBM, se puede reducir el problema de la múltiple estimación del sitio de falta. El MCBC determina la zona de falta, mientras que el MBM encuentra la distancia desde el punto de medida hasta la falta, la integración en un esquema híbrido toma las mejores características de cada método. En este documento, lo que se conoce como híbrido es la combinación de los MBM y los MCBC, de una forma complementaria. Finalmente y para comprobar los aportes de esta tesis, se propone y prueba un esquema de integración híbrida para localización de faltas en dos sistemas de distribución diferentes. Tanto los métodos que usan los parámetros del sistema y se fundamentan en la estimación de la impedancia (MBM), como aquellos que usan como información los descriptores y se fundamentan en técnicas de clasificación (MCBC), muestran su validez para resolver el problema de localización de faltas. Ambas metodologías propuestas tienen ventajas y desventajas, pero según la teoría de integración de métodos presentada, se alcanza una alta complementariedad, que permite la formulación de híbridos que mejoran los resultados, reduciendo o evitando el problema de la múltiple estimación de la falta.

Models to predict the distribution and abundance of breeding ducks in Canada

Detailed knowledge of waterfowl abundance and distribution across Canada is lacking, which limits our ability to effectively conserve and manage their populations. We used 15 years of data from an aerial transect survey to model the abundance of 17 species or species groups of ducks within southern and boreal Canada. We included 78 climatic, hydrological, and landscape variables in Boosted Regression Tree models, allowing flexible response curves and multiway interactions among variables. We assessed predictive performance of the models using four metrics and calculated uncertainty as the coefficient of variation of predictions across 20 replicate models. Maps of predicted relative abundance were generated from resulting models, and they largely match spatial patterns evident in the transect data. We observed two main distribution patterns: a concentrated prairie-parkland distribution and a more dispersed pan-Canadian distribution. These patterns were congruent with the relative importance of predictor variables and model evaluation statistics among the two groups of distributions. Most species had a hydrological variable as the most important predictor, although the specific hydrological variable differed somewhat among species. In some cases, important variables had clear ecological interpretations, but in some instances, e.g., topographic roughness, they may simply reflect chance correlations between species distributions and environmental variables identified by the model-building process. Given the performance of our models, we suggest that the resulting prediction maps can be used in future research and to guide conservation activities, particularly within the bounds of the survey area.

Condition number estimates for combined potential boundary integral operators in acoustic scattering

We study the classical combined field integral equation formulations for time-harmonic acoustic scattering by a sound soft bounded obstacle, namely the indirect formulation due to Brakhage-Werner/Leis/Panic, and the direct formulation associated with the names of Burton and Miller. We obtain lower and upper bounds on the condition numbers for these formulations, emphasising dependence on the frequency, the geometry of the scatterer, and the coupling parameter. Of independent interest we also obtain upper and lower bounds on the norms of two oscillatory integral operators, namely the classical acoustic single- and double-layer potential operators.

Fine sediment delivery and transfer in lowland catchments: modelling suspended sediment concentrations in response to hydrological forcing

Fine sediment delivery to and storage in stream channel reaches can disrupt aquatic habitats, impact river hydromorphology, and transfer adsorbed nutrients and pollutants from catchment slopes to the fluvial system. This paper presents a modelling toot for simulating the time-dependent response of the fine sediment system in catchments, using an integrated approach that incorporates both land phase and in-stream processes of sediment generation, storage and transfer. The performance of the model is demonstrated by applying it to simulate in-stream suspended sediment concentrations in two lowland catchments in southern England, the Enborne and the Lambourn, which exhibit contrasting hydrological and sediment responses due to differences in substrate permeability. The sediment model performs well in the Enborne catchment, where direct runoff events are frequent and peak suspended sediment concentrations can exceed 600 mg l(-1). The general trends in the in-stream concentrations in the Lambourn catchment are also reproduced by the model, although the observed concentrations are low (rarely exceeding 50 mg l(-1)) and the background variability in the concentrations is not fully characterized by the model. Direct runoff events are rare in this highly permeable catchment, resulting in a weak coupling between the sediment delivery system and the catchment hydrology. The generic performance of the model is also assessed using a generalized sensitivity analysis based on the parameter bounds identified in the catchment applications. Results indicate that the hydrological parameters contributing to the sediment response include those controlling (1) the partitioning of runoff between surface and soil zone flows and (2) the fractional loss of direct runoff volume prior to channel delivery. The principal sediment processes controlling model behaviour in the simulations are the transport capacity of direct runoff and the in-stream generation, storage and release of the fine sediment fraction. The in-stream processes appear to be important in maintaining the suspended sediment concentrations during low flows in the River Enborne and throughout much of the year in the River Lambourn. Copyright (c) 2007 John Wiley & Sons, Ltd.

Quantifying uncertainty in critical loads: (B) acidity mass balance critical loads on a sensitive site

This paper reports an uncertainty analysis of critical loads for acid deposition for a site in southern England, using the Steady State Mass Balance Model. The uncertainty bounds, distribution type and correlation structure for each of the 18 input parameters was considered explicitly, and overall uncertainty estimated by Monte Carlo methods. Estimates of deposition uncertainty were made from measured data and an atmospheric dispersion model, and hence the uncertainty in exceedance could also be calculated. The uncertainties of the calculated critical loads were generally much lower than those of the input parameters due to a "compensation of errors" mechanism - coefficients of variation ranged from 13% for CLmaxN to 37% for CL(A). With 1990 deposition, the probability that the critical load was exceeded was > 0.99; to reduce this probability to 0.50, a 63% reduction in deposition is required; to 0.05, an 82% reduction. With 1997 deposition, which was lower than that in 1990, exceedance probabilities declined and uncertainties in exceedance narrowed as deposition uncertainty had less effect. The parameters contributing most to the uncertainty in critical loads were weathering rates, base cation uptake rates, and choice of critical chemical value, indicating possible research priorities. However, the different critical load parameters were to some extent sensitive to different input parameters. The application of such probabilistic results to environmental regulation is discussed.

A well-posed integral equation formulation for three-dimensional rough surface scattering

We consider the problem of scattering of time-harmonic acoustic waves by an unbounded sound-soft rough surface. Recently, a Brakhage Werner type integral equation formulation of this problem has been proposed, based on an ansatz as a combined single- and double-layer potential, but replacing the usual fundamental solution of the Helmholtz equation with an appropriate half-space Green's function. Moreover, it has been shown in the three-dimensional case that this integral equation is uniquely solvable in the space L-2 (Gamma) when the scattering surface G does not differ too much from a plane. In this paper, we show that this integral equation is uniquely solvable with no restriction on the surface elevation or slope. Moreover, we construct explicit bounds on the inverse of the associated boundary integral operator, as a function of the wave number, the parameter coupling the single- and double-layer potentials, and the maximum surface slope. These bounds show that the norm of the inverse operator is bounded uniformly in the wave number, kappa, for kappa > 0, if the coupling parameter h is chosen proportional to the wave number. In the case when G is a plane, we show that the choice eta = kappa/2 is nearly optimal in terms of minimizing the condition number.

On integral equation and least squares methods for scattering by diffraction gratings

In this paper we consider the scattering of a plane acoustic or electromagnetic wave by a one-dimensional, periodic rough surface. We restrict the discussion to the case when the boundary is sound soft in the acoustic case, perfectly reflecting with TE polarization in the EM case, so that the total field vanishes on the boundary. We propose a uniquely solvable first kind integral equation formulation of the problem, which amounts to a requirement that the normal derivative of the Green's representation formula for the total field vanish on a horizontal line below the scattering surface. We then discuss the numerical solution by Galerkin's method of this (ill-posed) integral equation. We point out that, with two particular choices of the trial and test spaces, we recover the so-called SC (spectral-coordinate) and SS (spectral-spectral) numerical schemes of DeSanto et al., Waves Random Media, 8, 315-414 1998. We next propose a new Galerkin scheme, a modification of the SS method that we term the SS* method, which is an instance of the well-known dual least squares Galerkin method. We show that the SS* method is always well-defined and is optimally convergent as the size of the approximation space increases. Moreover, we make a connection with the classical least squares method, in which the coefficients in the Rayleigh expansion of the solution are determined by enforcing the boundary condition in a least squares sense, pointing out that the linear system to be solved in the SS* method is identical to that in the least squares method. Using this connection we show that (reflecting the ill-posed nature of the integral equation solved) the condition number of the linear system in the SS* and least squares methods approaches infinity as the approximation space increases in size. We also provide theoretical error bounds on the condition number and on the errors induced in the numerical solution computed as a result of ill-conditioning. Numerical results confirm the convergence of the SS* method and illustrate the ill-conditioning that arises.

Implicit-factorization preconditioning and iterative solvers for regularized saddle-point systems

We consider conjugate-gradient like methods for solving block symmetric indefinite linear systems that arise from saddle-point problems or, in particular, regularizations thereof. Such methods require preconditioners that preserve certain sub-blocks from the original systems but allow considerable flexibility for the remaining blocks. We construct a number of families of implicit factorizations that are capable of reproducing the required sub-blocks and (some) of the remainder. These generalize known implicit factorizations for the unregularized case. Improved eigenvalue clustering is possible if additionally some of the noncrucial blocks are reproduced. Numerical experiments confirm that these implicit-factorization preconditioners can be very effective in practice.

Testing the limits of quasi-geostrophic theory: application to observed laboratory flows outside the quasi-geostrophic regime

We compare laboratory observations of equilibrated baroclinic waves in the rotating two-layer annulus, with numerical simulations from a quasi-geostrophic model. The laboratory experiments lie well outside the quasi-geostrophic regime: the Rossby number reaches unity; the depth-to-width aspect ratio is large; and the fluid contains ageostrophic inertia–gravity waves. Despite being formally inapplicable, the quasi-geostrophic model captures the laboratory flows reasonably well. The model displays several systematic biases, which are consequences of its treatment of boundary layers and neglect of interfacial surface tension and which may be explained without invoking the dynamical effects of the moderate Rossby number, large aspect ratio or inertia–gravity waves. We conclude that quasi-geostrophic theory appears to continue to apply well outside its formal bounds.

Probabilistic simulations of crop yield over western India using the DEMETER seasonal hindcast ensembles

Process-based integrated modelling of weather and crop yield over large areas is becoming an important research topic. The production of the DEMETER ensemble hindcasts of weather allows this work to be carried out in a probabilistic framework. In this study, ensembles of crop yield (groundnut, Arachis hypogaea L.) were produced for 10 2.5 degrees x 2.5 degrees grid cells in western India using the DEMETER ensembles and the general large-area model (GLAM) for annual crops. Four key issues are addressed by this study. First, crop model calibration methods for use with weather ensemble data are assessed. Calibration using yield ensembles was more successful than calibration using reanalysis data (the European Centre for Medium-Range Weather Forecasts 40-yr reanalysis, ERA40). Secondly, the potential for probabilistic forecasting of crop failure is examined. The hindcasts show skill in the prediction of crop failure, with more severe failures being more predictable. Thirdly, the use of yield ensemble means to predict interannual variability in crop yield is examined and their skill assessed relative to baseline simulations using ERA40. The accuracy of multi-model yield ensemble means is equal to or greater than the accuracy using ERA40. Fourthly, the impact of two key uncertainties, sowing window and spatial scale, is briefly examined. The impact of uncertainty in the sowing window is greater with ERA40 than with the multi-model yield ensemble mean. Subgrid heterogeneity affects model accuracy: where correlations are low on the grid scale, they may be significantly positive on the subgrid scale. The implications of the results of this study for yield forecasting on seasonal time-scales are as follows. (i) There is the potential for probabilistic forecasting of crop failure (defined by a threshold yield value); forecasting of yield terciles shows less potential. (ii) Any improvement in the skill of climate models has the potential to translate into improved deterministic yield prediction. (iii) Whilst model input uncertainties are important, uncertainty in the sowing window may not require specific modelling. The implications of the results of this study for yield forecasting on multidecadal (climate change) time-scales are as follows. (i) The skill in the ensemble mean suggests that the perturbation, within uncertainty bounds, of crop and climate parameters, could potentially average out some of the errors associated with mean yield prediction. (ii) For a given technology trend, decadal fluctuations in the yield-gap parameter used by GLAM may be relatively small, implying some predictability on those time-scales.