Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance

In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distribution in functional spaces is characterized. However, the infinite dimension of the considered spaces causes a problem of non continuity of the solution and then a problem of inconsistency, from a frequentist point of view, of the posterior distribution (i.e. problem of ill-posedness). The contribution of this essay is to propose new methods to deal with this problem of ill-posedness. The first one consists in adopting a Tikhonov regularization scheme in the construction of the posterior distribution so that I end up with a new object that I call regularized posterior distribution and that I guess it is solution of the inverse problem. The second approach consists in specifying a prior distribution on the parameter of interest of the g-prior type. Then, I detect a class of models for which the prior distribution is able to correct for the ill-posedness also in infinite dimensional problems. I study asymptotic properties of these proposed solutions and I prove that, under some regularity condition satisfied by the true value of the parameter of interest, they are consistent in a "frequentist" sense. Once I have set the general theory, I apply my bayesian nonparametric methodology to different estimation problems. First, I apply this estimator to deconvolution and to hazard rate, density and regression estimation. Then, I consider the estimation of an Instrumental Regression that is useful in micro-econometrics when we have to deal with problems of endogeneity. Finally, I develop an application in finance: I get the bayesian estimator for the equilibrium asset pricing functional by using the Euler equation defined in the Lucas'(1978) tree-type models.

Metodi euristici per il Vehicle Routing Problem

Il problema della consegna di prodotti da un deposito/impianto ai clienti mediante una flotta di automezzi è un problema centrale nella gestione di una catena di produzione e distribuzione (supply chain). Questo problema, noto in letteratura come Vehicle Routing Problem (VRP), nella sua versione più semplice consiste nel disegnare per ogni veicolo disponibile presso un dato deposito aziendale un viaggio (route) di consegna dei prodotti ai clienti, che tali prodotti richiedono, in modo tale che (i) la somma delle quantità richieste dai clienti assegnati ad ogni veicolo non superi la capacità del veicolo, (ii) ogni cliente sia servito una ed una sola volta, (iii) sia minima la somma dei costi dei viaggi effettuati dai veicoli. Il VRP è un problema trasversale ad una molteplicità di settori merceologici dove la distribuzione dei prodotti e/o servizi avviene mediante veicoli su gomma, quali ad esempio: distribuzione di generi alimentari, distribuzione di prodotti petroliferi, raccolta e distribuzione della posta, organizzazione del servizio scuolabus, pianificazione della manutenzione di impianti, raccolta rifiuti, etc. In questa tesi viene considerato il Multi-Trip VRP, in cui ogni veicolo può eseguire un sottoinsieme di percorsi, chiamato vehicle schedule (schedula del veicolo), soggetto a vincoli di durata massima. Nonostante la sua importanza pratica, il MTVRP ha ricevuto poca attenzione in letteratura: sono stati proposti diversi metodi euristici e un solo algoritmo esatto di risoluzione, presentato da Mingozzi, Roberti e Toth. In questa tesi viene presentato un metodo euristico in grado di risolvere istanze di MTVRP in presenza di vincoli reali, quali flotta di veicoli non omogenea e time windows. L’euristico si basa sul modello di Prins. Sono presentati inoltre due approcci di local search per migliorare la soluzione finale. I risultati computazionali evidenziano l’efficienza di tali approcci.

Multilevel Domain Decomposition Algorithms for Monolithic Fluid-Structure Interaction Problems with Application to Haemodynamics

Finite element techniques for solving the problem of fluid-structure interaction of an elastic solid material in a laminar incompressible viscous flow are described. The mathematical problem consists of the Navier-Stokes equations in the Arbitrary Lagrangian-Eulerian formulation coupled with a non-linear structure model, considering the problem as one continuum. The coupling between the structure and the fluid is enforced inside a monolithic framework which computes simultaneously for the fluid and the structure unknowns within a unique solver. We used the well-known Crouzeix-Raviart finite element pair for discretization in space and the method of lines for discretization in time. A stability result using the Backward-Euler time-stepping scheme for both fluid and solid part and the finite element method for the space discretization has been proved. The resulting linear system has been solved by multilevel domain decomposition techniques. Our strategy is to solve several local subproblems over subdomain patches using the Schur-complement or GMRES smoother within a multigrid iterative solver. For validation and evaluation of the accuracy of the proposed methodology, we present corresponding results for a set of two FSI benchmark configurations which describe the self-induced elastic deformation of a beam attached to a cylinder in a laminar channel flow, allowing stationary as well as periodically oscillating deformations, and for a benchmark proposed by COMSOL multiphysics where a narrow vertical structure attached to the bottom wall of a channel bends under the force due to both viscous drag and pressure. Then, as an example of fluid-structure interaction in biomedical problems, we considered the academic numerical test which consists in simulating the pressure wave propagation through a straight compliant vessel. All the tests show the applicability and the numerical efficiency of our approach to both two-dimensional and three-dimensional problems.

Efficient parallel proximity queries and an application to highly complex motion planning problems with many narrow passages

In vielen Bereichen der industriellen Fertigung, wie zum Beispiel in der Automobilindustrie, wer- den digitale Versuchsmodelle (sog. digital mock-ups) eingesetzt, um die Entwicklung komplexer Maschinen m ̈oglichst gut durch Computersysteme unterstu ̈tzen zu k ̈onnen. Hierbei spielen Be- wegungsplanungsalgorithmen eine wichtige Rolle, um zu gew ̈ahrleisten, dass diese digitalen Pro- totypen auch kollisionsfrei zusammengesetzt werden k ̈onnen. In den letzten Jahrzehnten haben sich hier sampling-basierte Verfahren besonders bew ̈ahrt. Diese erzeugen eine große Anzahl von zuf ̈alligen Lagen fu ̈r das ein-/auszubauende Objekt und verwenden einen Kollisionserken- nungsmechanismus, um die einzelnen Lagen auf Gu ̈ltigkeit zu u ̈berpru ̈fen. Daher spielt die Kollisionserkennung eine wesentliche Rolle beim Design effizienter Bewegungsplanungsalgorith- men. Eine Schwierigkeit fu ̈r diese Klasse von Planern stellen sogenannte “narrow passages” dar, schmale Passagen also, die immer dort auftreten, wo die Bewegungsfreiheit der zu planenden Objekte stark eingeschr ̈ankt ist. An solchen Stellen kann es schwierig sein, eine ausreichende Anzahl von kollisionsfreien Samples zu finden. Es ist dann m ̈oglicherweise n ̈otig, ausgeklu ̈geltere Techniken einzusetzen, um eine gute Performance der Algorithmen zu erreichen.rnDie vorliegende Arbeit gliedert sich in zwei Teile: Im ersten Teil untersuchen wir parallele Kollisionserkennungsalgorithmen. Da wir auf eine Anwendung bei sampling-basierten Bewe- gungsplanern abzielen, w ̈ahlen wir hier eine Problemstellung, bei der wir stets die selben zwei Objekte, aber in einer großen Anzahl von unterschiedlichen Lagen auf Kollision testen. Wir im- plementieren und vergleichen verschiedene Verfahren, die auf Hu ̈llk ̈operhierarchien (BVHs) und hierarchische Grids als Beschleunigungsstrukturen zuru ̈ckgreifen. Alle beschriebenen Verfahren wurden auf mehreren CPU-Kernen parallelisiert. Daru ̈ber hinaus vergleichen wir verschiedene CUDA Kernels zur Durchfu ̈hrung BVH-basierter Kollisionstests auf der GPU. Neben einer un- terschiedlichen Verteilung der Arbeit auf die parallelen GPU Threads untersuchen wir hier die Auswirkung verschiedener Speicherzugriffsmuster auf die Performance der resultierenden Algo- rithmen. Weiter stellen wir eine Reihe von approximativen Kollisionstests vor, die auf den beschriebenen Verfahren basieren. Wenn eine geringere Genauigkeit der Tests tolerierbar ist, kann so eine weitere Verbesserung der Performance erzielt werden.rnIm zweiten Teil der Arbeit beschreiben wir einen von uns entworfenen parallelen, sampling- basierten Bewegungsplaner zur Behandlung hochkomplexer Probleme mit mehreren “narrow passages”. Das Verfahren arbeitet in zwei Phasen. Die grundlegende Idee ist hierbei, in der er- sten Planungsphase konzeptionell kleinere Fehler zuzulassen, um die Planungseffizienz zu erh ̈ohen und den resultierenden Pfad dann in einer zweiten Phase zu reparieren. Der hierzu in Phase I eingesetzte Planer basiert auf sogenannten Expansive Space Trees. Zus ̈atzlich haben wir den Planer mit einer Freidru ̈ckoperation ausgestattet, die es erlaubt, kleinere Kollisionen aufzul ̈osen und so die Effizienz in Bereichen mit eingeschr ̈ankter Bewegungsfreiheit zu erh ̈ohen. Optional erlaubt unsere Implementierung den Einsatz von approximativen Kollisionstests. Dies setzt die Genauigkeit der ersten Planungsphase weiter herab, fu ̈hrt aber auch zu einer weiteren Perfor- mancesteigerung. Die aus Phase I resultierenden Bewegungspfade sind dann unter Umst ̈anden nicht komplett kollisionsfrei. Um diese Pfade zu reparieren, haben wir einen neuartigen Pla- nungsalgorithmus entworfen, der lokal beschr ̈ankt auf eine kleine Umgebung um den bestehenden Pfad einen neuen, kollisionsfreien Bewegungspfad plant.rnWir haben den beschriebenen Algorithmus mit einer Klasse von neuen, schwierigen Metall- Puzzlen getestet, die zum Teil mehrere “narrow passages” aufweisen. Unseres Wissens nach ist eine Sammlung vergleichbar komplexer Benchmarks nicht ̈offentlich zug ̈anglich und wir fan- den auch keine Beschreibung von vergleichbar komplexen Benchmarks in der Motion-Planning Literatur.

Contributions to exact approaches in combinatorial optimization

The focus of this thesis is to contribute to the development of new, exact solution approaches to different combinatorial optimization problems. In particular, we derive dedicated algorithms for a special class of Traveling Tournament Problems (TTPs), the Dial-A-Ride Problem (DARP), and the Vehicle Routing Problem with Time Windows and Temporal Synchronized Pickup and Delivery (VRPTWTSPD). Furthermore, we extend the concept of using dual-optimal inequalities for stabilized Column Generation (CG) and detail its application to improved CG algorithms for the cutting stock problem, the bin packing problem, the vertex coloring problem, and the bin packing problem with conflicts. In all approaches, we make use of some knowledge about the structure of the problem at hand to individualize and enhance existing algorithms. Specifically, we utilize knowledge about the input data (TTP), problem-specific constraints (DARP and VRPTWTSPD), and the dual solution space (stabilized CG). Extensive computational results proving the usefulness of the proposed methods are reported.

Unresolved Problems with the "I", the "A" and the "T": Logical and Psychometric Critique of the Implicit Association Test (IAT)

The Implicit Association Test (IAT) had already gained the status of a prominent assessment procedure before its psychometric properties and underlying task structure were understood. The present critique addresses five major problems that arise when the IAT is used for diagnostic inferences: (1) the asymmetry of causal and diagnostic inferences; (2) the viability of the underlying association model; (3) the lack of a testable model underlying IAT-based inferences; (4) the difficulties of interpreting difference scores; and (5) the susceptibility of the IAT to deliberate faking and strategic processing. Based on a theoretical reflection of these issues, and a comprehensive survey of published IAT studies, it is concluded that a number of uncontrolled factors can produce (or reduce) significant IAT scores independently of the personality attribute that is supposed to be captured by the IAT procedure.

Numerical solution of optimal control problems with constant control delays

We investigate a class of optimal control problems that exhibit constant exogenously given delays in the control in the equation of motion of the differential states. Therefore, we formulate an exemplary optimal control problem with one stock and one control variable and review some analytic properties of an optimal solution. However, analytical considerations are quite limited in case of delayed optimal control problems. In order to overcome these limits, we reformulate the problem and apply direct numerical methods to calculate approximate solutions that give a better understanding of this class of optimization problems. In particular, we present two possibilities to reformulate the delayed optimal control problem into an instantaneous optimal control problem and show how these can be solved numerically with a stateof- the-art direct method by applying Bock’s direct multiple shooting algorithm. We further demonstrate the strength of our approach by two economic examples.

An MILP-based heuristic for staff scheduling problems with acceptance levels

We present a real-world staff-assignment problem that was reported to us by a provider of an online workforce scheduling software. The problem consists of assigning employees to work shifts subject to a large variety of requirements related to work laws, work shift compatibility, workload balancing, and personal preferences of employees. A target value is given for each requirement, and all possible deviations from these values are associated with acceptance levels. The objective is to minimize the total number of deviations in ascending order of the acceptance levels. We present an exact lexicographic goal programming MILP formulation and an MILP-based heuristic. The heuristic consists of two phases: in the first phase a feasible schedule is built and in the second phase parts of the schedule are iteratively re-optimized by applying an exact MILP model. A major advantage of such MILP-based approaches is the flexibility to account for additional constraints or modified planning objectives, which is important as the requirements may vary depending on the company or planning period. The applicability of the heuristic is demonstrated for a test set derived from real-world data. Our computational results indicate that the heuristic is able to devise optimal solutions to non-trivial problem instances, and outperforms the exact lexicographic goal programming formulation on medium- and large-sized problem instances.

Computer-based summative assessment of clinical reasoning in clerkships: A mixed-method comparison of key feature problems with case-based multiple choice questions

Background: It is yet unclear if there are differences between using electronic key feature problems (KFPs) or electronic case-based multiple choice questions (cbMCQ) for the assessment of clinical decision making. Summary of Work: Fifth year medical students were exposed to clerkships which ended with a summative exam. Assessment of knowledge per exam was done by 6-9 KFPs, 9-20 cbMCQ and 9-28 MC questions. Each KFP consisted of a case vignette and three key features (KF) using “long menu” as question format. We sought students’ perceptions of the KFPs and cbMCQs in focus groups (n of students=39). Furthermore statistical data of 11 exams (n of students=377) concerning the KFPs and (cb)MCQs were compared. Summary of Results: The analysis of the focus groups resulted in four themes reflecting students’ perceptions of KFPs and their comparison with (cb)MCQ: KFPs were perceived as (i) more realistic, (ii) more difficult, (iii) more motivating for the intense study of clinical reasoning than (cb)MCQ and (iv) showed an overall good acceptance when some preconditions are taken into account. The statistical analysis revealed that there was no difference in difficulty; however KFP showed a higher discrimination and reliability (G-coefficient) even when corrected for testing times. Correlation of the different exam parts was intermediate. Conclusions: Students perceived the KFPs as more motivating for the study of clinical reasoning. Statistically KFPs showed a higher discrimination and higher reliability than cbMCQs. Take-home messages: Including KFPs with long menu questions into summative clerkship exams seems to offer positive educational effects.