Stock selection with full-scale optimization and differential evolution

When composing stock portfolios, managers frequently choose among hundreds of stocks. The stocks' risk properties are analyzed with statistical tools, and managers try to combine these to meet the investors' risk profiles. A recently developed tool for performing such optimization is called full-scale optimization (FSO). This methodology is very flexible for investor preferences, but because of computational limitations it has until now been infeasible to use when many stocks are considered. We apply the artificial intelligence technique of differential evolution to solve FSO-type stock selection problems of 97 assets. Differential evolution finds the optimal solutions by self-learning from randomly drawn candidate solutions. We show that this search technique makes large scale problem computationally feasible and that the solutions retrieved are stable. The study also gives further merit to the FSO technique, as it shows that the solutions suit investor risk profiles better than portfolios retrieved from traditional methods.

Full-field feed-forward equalizer with adaptive system optimization

We numerically investigate the combination of full-field detection and feed-forward equalizer (FFE) for adaptive chromatic dispersion compensation up to 2160 km in a 10 Gbit/s on-off keyed optical transmission system. The technique, with respect to earlier reports, incorporates several important implementation modules, including the algorithm for adaptive equalization of the gain imbalance between the two receiver chains, compensation of phase misalignment of the asymmetric Mach-Zehnder interferometer, and simplified implementation of field calculation. We also show that in addition to enabling fast adaptation and simplification of field calculation, full-field FFE exhibits enhanced tolerance to the sampling phase misalignment and reduced sampling rate when compared to the full-field implementation using a dispersive transmission line.

Full-field feed-forward equalizer with adaptive system optimization

We numerically investigate the combination of full-field detection and feed-forward equalizer (FFE) for adaptive chromatic dispersion compensation up to 2160 km in a 10 Gbit/s on-off keyed optical transmission system. The technique, with respect to earlier reports, incorporates several important implementation modules, including the algorithm for adaptive equalization of the gain imbalance between the two receiver chains, compensation of phase misalignment of the asymmetric Mach-Zehnder interferometer, and simplified implementation of field calculation. We also show that in addition to enabling fast adaptation and simplification of field calculation, full-field FFE exhibits enhanced tolerance to the sampling phase misalignment and reduced sampling rate when compared to the full-field implementation using a dispersive transmission line.

Nonparametric Estimation in the Class of Bisexual Processes with Population-Size Dependent Mating

2000 Mathematics Subject Classification: 60J80, 62M05

Relating Freshwater Flow with Estuarine Water Quality in the Southern Everglades Mangrove Ecotone

Florida Bay is more saline than it was historically, and reduced freshwater flows may lead to more phosphorus inputs to the mangrove ecotone from the marine end-member. This is important given plans to restore freshwater flow into eastern Florida Bay. We investigated the relationships between salinity, nutrients, and hydrologic variables in the mangrove ecotone of Taylor Slough. We expected that total phosphorus (TP) would increase with salinity, reflecting a downstream marine source, while total nitrogen (TN) would increase with flow in the mangrove ecotone. Despite expectations of increased flows improving the ecological health of lower Taylor Slough and Florida Bay, total nitrogen (TN) and total phosphorus (TP) dynamics may shift in response to new conditions of flow and salinity as well as organic carbon, N, and P availability. Our results showed that TP concentrations are more discharge-driven while TN is more variable and potentially derived from different sources along the flow path from the freshwater Everglades marshes to Florida Bay. Increased flow of freshwater through Taylor Slough will likely decrease TP concentrations in this historically oligotrophic and P-limited ecosystem. However, more studies along the mangrove ecotone is needed to understand how increased flows will affect nitrogen dynamics relative to phosphorus.

Exact solutions for cluster-growth kinetics with evolving size and shape profiles

In this paper we construct a model for the simultaneous compaction by which clusters are restructured, and growth of clusters by pairwise coagulation. The model has the form of a multicomponent aggregation problem in which the components are cluster mass and cluster diameter. Following suitable approximations, exact explicit solutions are derived which may be useful for the verification of simulations of such systems. Numerical simulations are presented to illustrate typical behaviour and to show the accuracy of approximations made in deriving the model. The solutions are then simplified using asymptotic techniques to show the relevant timescales of the kinetic processes and elucidate the shape of the cluster distribution functions at large times.

The Becker-Döring equations with exponentially size-dependent rate coefficients

This paper is concerned with an analysis of the Becker-Döring equations which lie at the heart of a number of descriptions of non-equilibrium phase transitions and related complex dynamical processes. The Becker-Döring theory describes growth and fragmentation in terms of stepwise addition or removal of single particles to or from clusters of similar particles and has been applied to a wide range of problems of physicochemical and biological interest within recent years. Here we consider the case where the aggregation and fragmentation rates depend exponentially on cluster size. These choices of rate coefficients at least qualitatively correspond to physically realistic molecular clustering scenarios such as occur in, for example, simulations of simple fluids. New similarity solutions for the constant monomer Becker-Döring system are identified, and shown to be generic in the case of aggregation and fragmentation rates that depend exponentially on cluster size.

Temperature measurements in turbulent pipe flow with cold wire anemometry

Passive scalars measurements in turbulent pipe flows are difficult to perform and only few experimental data are available in literature. The present thesis deals with the experimental acquisition and study of the first turbulent temperature profile inside the CICLoPE wind tunnel through cold wire anemometry technique at Reτ = 6000 and Reτ = 9500. This type of measurements provides not only useful data on temperature (and passive scalars) behaviour and statistics in turbulent pipe flows, but could be used also for temperature correction of turbulent velocity profiles. In the present work, subsequent acquisitions of temperature and velocity profiles has been performed at the same Reynolds number and in the same points, through cold wire and hot wire techniques respectively. Taking as reference data from both DNS and experimental campaigns, the activity has been carried out obtaining satisfactory results. We have verified the presence of turbulent temperature profile inside the CICLoPE wind tunnel and then studied its statistical and spectral behaviours obtaining results in agreement with existing data from Hishida, Nagano, and Ferro. Cold wire temperature data were then used to correct hot wire velocity data, obtaining a slightly improvement in the near wall region.

Fluxo de carga não-iterativo para a análise de sistemas de distribuição de energia elétrica radiais e malhados

Pós-graduação em Engenharia Elétrica - FEIS

Synthesis and characterization of some carbon based nanostructures

The aim of present paper is to present the latest results on investigations of the carbon thin film deposited by Thermionic Vacuum Arc (TVA) method and laser pyrolysis. X-ray photoelectron spectroscopy (XPS) and X-ray generated Auger electron spectroscopy (XAES) were used to determine composition and sp2 to sp3 ratios in the outer layers of the film surfaces. The analyses were conducted in a Thermoelectron ESCALAB 250 electron spectrometer equipped with a hemispherical sector energy analyser. Monochromated Al K X-radiation was employed for the XPS examination, at source excitation energy of 15 KeV and emission current of 20 mA. Analyzer pass energy of 20 eV with step size of 0.1 eV and dwell time of 100 ms was used throughout. © 2010 SPIE.

A Parameterization Technique for the Continuation Power Flow Developed from the Analysis of Power Flow Curves

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Parameterization technique for the continuation power flow using the trivial and tangent predictor

This paper presents efficient geometric parameterization techniques using the tangent and the trivial predictors for the continuation power flow, developed from observation of the trajectories of the load flow solution. The parameterization technique eliminates the Jacobian matrix singularity of load flow, and therefore all the consequent problems of ill-conditioning, by the addition of the line equations which pass through the points in the plane determined by the variables loading factor and the real power generated by the slack bus, two parameters with clear physical meaning. This paper also provides an automatic step size control around the maximum loading point. Thus, the resulting method enables not only the calculation of the maximum loading point, but also the complete tracing of P-V curves of electric power systems. The technique combines robustness with ease of understanding. The results to the IEEE 300-bus system and of large real systems show the effectiveness of the proposed method. © 2012 IEEE.