A practical approach for outdoors distributed target localization in wireless sensor networks

Wireless sensor networks are posed as the new communication paradigm where the use of small, low-complexity, and low-power devices is preferred over costly centralized systems. The spectra of potential applications of sensor networks is very wide, ranging from monitoring, surveillance, and localization, among others. Localization is a key application in sensor networks and the use of simple, efficient, and distributed algorithms is of paramount practical importance. Combining convex optimization tools with consensus algorithms we propose a distributed localization algorithm for scenarios where received signal strength indicator readings are used. We approach the localization problem by formulating an alternative problem that uses distance estimates locally computed at each node. The formulated problem is solved by a relaxed version using semidefinite relaxation technique. Conditions under which the relaxed problem yields to the same solution as the original problem are given and a distributed consensusbased implementation of the algorithm is proposed based on an augmented Lagrangian approach and primaldual decomposition methods. Although suboptimal, the proposed approach is very suitable for its implementation in real sensor networks, i.e., it is scalable, robust against node failures and requires only local communication among neighboring nodes. Simulation results show that running an additional local search around the found solution can yield performance close to the maximum likelihood estimate.

Transpose return relation method for designing low noise oscillators

In this paper, a new linear method for optimizing compact low noise oscillators for RF/MW applications will be presented. The first part of this paper makes an overview of Leeson's model. It is pointed out, and it is demonstrates that the phase noise is always the same inside the oscillator loop. It is presented a general phase noise optimization method for reference plane oscillators. The new method uses Transpose Return Relations (RRT) as true loop gain functions for obtaining the optimum values of the elements of the oscillator, whatever scheme it has. With this method, oscillator topologies that have been designed and optimized using negative resistance, negative conductance or reflection coefficient methods, until now, can be studied like a loop gain method. Subsequently, the main disadvantage of Leeson's model is overcome, and now it is not only valid for loop gain methods, but it is valid for any oscillator topology. The last section of this paper lists the steps to be performed to use this method for proper phase noise optimization during the linear design process and before the final non-linear optimization. The power of the proposed RRT method is shown with its use for optimizing a common oscillator, which is later simulated using Harmonic Balance (HB) and manufactured. Then, the comparison of the linear, HB and measurements of the phase noise are compared.

Lifetime maximization for beamforming applications in wireless sensor networks

Energy efficiency is a major design issue in the context of Wireless Sensor Networks (WSN). If data is to be sent to a far-away base station, collaborative beamforming by the sensors may help to dis- tribute the load among the nodes and reduce fast battery depletion. However, collaborative beamforming techniques are far from opti- mality and in many cases may be wasting more power than required. In this contribution we consider the issue of energy efficiency in beamforming applications. Using a convex optimization framework, we propose the design of a virtual beamformer that maximizes the network's lifetime while satisfying a pre-specified Quality of Service (QoS) requirement. A distributed consensus-based algorithm for the computation of the optimal beamformer is also provided

Mejoras en el procesamiento de imágenes de TC para el tratamiento con radioterapia adaptativa del cáncer de próstata

El cáncer de próstata es el tipo de cáncer con mayor prevalencia entre los hombres del mundo occidental y, pese a tener una alta tasa de supervivencia relativa, es la segunda mayor causa de muerte por cáncer en este sector de la población. El tratamiento de elección frente al cáncer de próstata es, en la mayoría de los casos, la radioterapia externa. Las técnicas más modernas de radioterapia externa, como la radioterapia modulada en intensidad, permiten incrementar la dosis en el tumor mientras se reduce la dosis en el tejido sano. Sin embargo, la localización del volumen objetivo varía con el día de tratamiento, y se requieren movimientos muy pequeños de los órganos para sacar partes del volumen objetivo fuera de la región terapéutica, o para introducir tejidos sanos críticos dentro. Para evitar esto se han desarrollado técnicas más avanzadas, como la radioterapia guiada por imagen, que se define por un manejo más preciso de los movimientos internos mediante una adaptación de la planificación del tratamiento basada en la información anatómica obtenida de imágenes de tomografía computarizada (TC) previas a la sesión terapéutica. Además, la radioterapia adaptativa añade la información dosimétrica de las fracciones previas a la información anatómica. Uno de los fundamentos de la radioterapia adaptativa es el registro deformable de imágenes, de gran utilidad a la hora de modelar los desplazamientos y deformaciones de los órganos internos. Sin embargo, su utilización conlleva nuevos retos científico-tecnológicos en el procesamiento de imágenes, principalmente asociados a la variabilidad de los órganos, tanto en localización como en apariencia. El objetivo de esta tesis doctoral es mejorar los procesos clínicos de delineación automática de contornos y de cálculo de dosis acumulada para la planificación y monitorización de tratamientos con radioterapia adaptativa, a partir de nuevos métodos de procesamiento de imágenes de TC (1) en presencia de contrastes variables, y (2) cambios de apariencia del recto. Además, se pretende (3) proveer de herramientas para la evaluación de la calidad de los contornos obtenidos en el caso del gross tumor volumen (GTV). Las principales contribuciones de esta tesis doctoral son las siguientes: _ 1. La adaptación, implementación y evaluación de un algoritmo de registro basado en el flujo óptico de la fase de la imagen como herramienta para el cálculo de transformaciones no-rígidas en presencia de cambios de intensidad, y su aplicabilidad a tratamientos de radioterapia adaptativa en cáncer de próstata con uso de agentes de contraste radiológico. Los resultados demuestran que el algoritmo seleccionado presenta mejores resultados cualitativos en presencia de contraste radiológico en la vejiga, y no distorsiona la imagen forzando deformaciones poco realistas. 2. La definición, desarrollo y validación de un nuevo método de enmascaramiento de los contenidos del recto (MER), y la evaluación de su influencia en el procedimiento de radioterapia adaptativa en cáncer de próstata. Las segmentaciones obtenidas mediante el MER para la creación de máscaras homogéneas en las imágenes de sesión permiten mejorar sensiblemente los resultados de los algoritmos de registro en la región rectal. Así, el uso de la metodología propuesta incrementa el índice de volumen solapado entre los contornos manuales y automáticos del recto hasta un valor del 89%, cercano a los resultados obtenidos usando máscaras manuales para el registro de las dos imágenes. De esta manera se pueden corregir tanto el cálculo de los nuevos contornos como el cálculo de la dosis acumulada. 3. La definición de una metodología de evaluación de la calidad de los contornos del GTV, que permite la representación de la distribución espacial del error, adaptándola a volúmenes no-convexos como el formado por la próstata y las vesículas seminales. Dicha metodología de evaluación, basada en un nuevo algoritmo de reconstrucción tridimensional y una nueva métrica de cuantificación, presenta resultados precisos con una gran resolución espacial en un tiempo despreciable frente al tiempo de registro. Esta nueva metodología puede ser una herramienta útil para la comparación de distintos algoritmos de registro deformable orientados a la radioterapia adaptativa en cáncer de próstata. En conclusión, el trabajo realizado en esta tesis doctoral corrobora las hipótesis de investigación postuladas, y pretende servir como cimiento de futuros avances en el procesamiento de imagen médica en los tratamientos de radioterapia adaptativa en cáncer de próstata. Asimismo, se siguen abriendo nuevas líneas de aplicación futura de métodos de procesamiento de imágenes médicas con el fin de mejorar los procesos de radioterapia adaptativa en presencia de cambios de apariencia de los órganos, e incrementar la seguridad del paciente. I.2 Inglés Prostate cancer is the most prevalent cancer amongst men in the Western world and, despite having a relatively high survival rate, is the second leading cause of cancer death in this sector of the population. The treatment of choice against prostate cancer is, in most cases, external beam radiation therapy. The most modern techniques of external radiotherapy, as intensity modulated radiotherapy, allow increasing the dose to the tumor whilst reducing the dose to healthy tissue. However, the location of the target volume varies with the day of treatment, and very small movements of the organs are required to pull out parts of the target volume outside the therapeutic region, or to introduce critical healthy tissues inside. Advanced techniques, such as the image-guided radiotherapy (IGRT), have been developed to avoid this. IGRT is defined by more precise handling of internal movements by adapting treatment planning based on the anatomical information obtained from computed tomography (CT) images prior to the therapy session. Moreover, the adaptive radiotherapy adds dosimetric information of previous fractions to the anatomical information. One of the fundamentals of adaptive radiotherapy is deformable image registration, very useful when modeling the displacements and deformations of the internal organs. However, its use brings new scientific and technological challenges in image processing, mainly associated to the variability of the organs, both in location and appearance. The aim of this thesis is to improve clinical processes of automatic contour delineation and cumulative dose calculation for planning and monitoring of adaptive radiotherapy treatments, based on new methods of CT image processing (1) in the presence of varying contrasts, and (2) rectum appearance changes. It also aims (3) to provide tools for assessing the quality of contours obtained in the case of gross tumor volume (GTV). The main contributions of this PhD thesis are as follows: 1. The adaptation, implementation and evaluation of a registration algorithm based on the optical flow of the image phase as a tool for the calculation of non-rigid transformations in the presence of intensity changes, and its applicability to adaptive radiotherapy treatment in prostate cancer with use of radiological contrast agents. The results demonstrate that the selected algorithm shows better qualitative results in the presence of radiological contrast agents in the urinary bladder, and does not distort the image forcing unrealistic deformations. 2. The definition, development and validation of a new method for masking the contents of the rectum (MER, Spanish acronym), and assessing their impact on the process of adaptive radiotherapy in prostate cancer. The segmentations obtained by the MER for the creation of homogenous masks in the session CT images can improve significantly the results of registration algorithms in the rectal region. Thus, the use of the proposed methodology increases the volume overlap index between manual and automatic contours of the rectum to a value of 89%, close to the results obtained using manual masks for both images. In this way, both the calculation of new contours and the calculation of the accumulated dose can be corrected. 3. The definition of a methodology for assessing the quality of the contours of the GTV, which allows the representation of the spatial distribution of the error, adapting it to non-convex volumes such as that formed by the prostate and seminal vesicles. Said evaluation methodology, based on a new three-dimensional reconstruction algorithm and a new quantification metric, presents accurate results with high spatial resolution in a time negligible compared to the registration time. This new approach may be a useful tool to compare different deformable registration algorithms oriented to adaptive radiotherapy in prostate cancer In conclusion, this PhD thesis corroborates the postulated research hypotheses, and is intended to serve as a foundation for future advances in medical image processing in adaptive radiotherapy treatment in prostate cancer. In addition, it opens new future applications for medical image processing methods aimed at improving the adaptive radiotherapy processes in the presence of organ’s appearance changes, and increase the patient safety.

Trade-off study on deorbiting S/C in near polar orbit

Usual long, flexible, ED tethers kept vertical by the gravity gradient might be less efficient for deorbiting S/C in near-polar orbits than conventional (Hall, Ion) electrical thrusters. A trade-off study on this application is here presented for tethers kept horizontal and perpendicular to the orbital plane. A tether thus oriented must be rigid and short for structural reasons, requiring a non-convex cross section and a power supply as in the case of electrical thrusters. Very recent developments on bare-tether collection theory allow predicting the current collected by an arbitrary cross section. For the horizontal tether, structural considerations on length play the role of ohmic effects in vertical tethers, in determining the optimal contribution of tether mass to the overall deorbiting system. For a given deorbiting-mission impulse, tether-system mass is minimal at some optimal length that increases weakly with the impulse. The horizontal-tether system may beat both the vertical tether and the electrical thruster as regards mass requirements for a narrow length range centered at about 100 m, allowing, however, for a broad mission-impulse range.

Aportación al análisis de espectros de radiación: estructuras y algoritmos

A lo largo del presente trabajo se investiga la viabilidad de la descomposición automática de espectros de radiación gamma por medio de algoritmos de resolución de sistemas de ecuaciones algebraicas lineales basados en técnicas de pseudoinversión. La determinación de dichos algoritmos ha sido realizada teniendo en cuenta su posible implementación sobre procesadores de propósito específico de baja complejidad. En el primer capítulo se resumen las técnicas para la detección y medida de la radiación gamma que han servido de base para la confección de los espectros tratados en el trabajo. Se reexaminan los conceptos asociados con la naturaleza de la radiación electromagnética, así como los procesos físicos y el tratamiento electrónico que se hallan involucrados en su detección, poniendo de relieve la naturaleza intrínsecamente estadística del proceso de formación del espectro asociado como una clasificación del número de detecciones realizadas en función de la energía supuestamente continua asociada a las mismas. Para ello se aporta una breve descripción de los principales fenómenos de interacción de la radiación con la materia, que condicionan el proceso de detección y formación del espectro. El detector de radiación es considerado el elemento crítico del sistema de medida, puesto que condiciona fuertemente el proceso de detección. Por ello se examinan los principales tipos de detectores, con especial hincapié en los detectores de tipo semiconductor, ya que son los más utilizados en la actualidad. Finalmente, se describen los subsistemas electrónicos fundamentales para el acondicionamiento y pretratamiento de la señal procedente del detector, a la que se le denomina con el término tradicionalmente utilizado de Electrónica Nuclear. En lo que concierne a la espectroscopia, el principal subsistema de interés para el presente trabajo es el analizador multicanal, el cual lleva a cabo el tratamiento cualitativo de la señal, y construye un histograma de intensidad de radiación en el margen de energías al que el detector es sensible. Este vector N-dimensional es lo que generalmente se conoce con el nombre de espectro de radiación. Los distintos radionúclidos que participan en una fuente de radiación no pura dejan su impronta en dicho espectro. En el capítulo segundo se realiza una revisión exhaustiva de los métodos matemáticos en uso hasta el momento ideados para la identificación de los radionúclidos presentes en un espectro compuesto, así como para determinar sus actividades relativas. Uno de ellos es el denominado de regresión lineal múltiple, que se propone como la aproximación más apropiada a los condicionamientos y restricciones del problema: capacidad para tratar con espectros de baja resolución, ausencia del concurso de un operador humano (no supervisión), y posibilidad de ser soportado por algoritmos de baja complejidad capaces de ser instrumentados sobre procesadores dedicados de alta escala de integración. El problema del análisis se plantea formalmente en el tercer capítulo siguiendo las pautas arriba mencionadas y se demuestra que el citado problema admite una solución en la teoría de memorias asociativas lineales. Un operador basado en este tipo de estructuras puede proporcionar la solución al problema de la descomposición espectral deseada. En el mismo contexto, se proponen un par de algoritmos adaptativos complementarios para la construcción del operador, que gozan de unas características aritméticas especialmente apropiadas para su instrumentación sobre procesadores de alta escala de integración. La característica de adaptatividad dota a la memoria asociativa de una gran flexibilidad en lo que se refiere a la incorporación de nueva información en forma progresiva.En el capítulo cuarto se trata con un nuevo problema añadido, de índole altamente compleja. Es el del tratamiento de las deformaciones que introducen en el espectro las derivas instrumentales presentes en el dispositivo detector y en la electrónica de preacondicionamiento. Estas deformaciones invalidan el modelo de regresión lineal utilizado para describir el espectro problema. Se deriva entonces un modelo que incluya las citadas deformaciones como una ampliación de contribuciones en el espectro compuesto, el cual conlleva una ampliación sencilla de la memoria asociativa capaz de tolerar las derivas en la mezcla problema y de llevar a cabo un análisis robusto de contribuciones. El método de ampliación utilizado se basa en la suposición de pequeñas perturbaciones. La práctica en el laboratorio demuestra que, en ocasiones, las derivas instrumentales pueden provocar distorsiones severas en el espectro que no pueden ser tratadas por el modelo anterior. Por ello, en el capítulo quinto se plantea el problema de medidas afectadas por fuertes derivas desde el punto de vista de la teoría de optimización no lineal. Esta reformulación lleva a la introducción de un algoritmo de tipo recursivo inspirado en el de Gauss-Newton que permite introducir el concepto de memoria lineal realimentada. Este operador ofrece una capacidad sensiblemente mejorada para la descomposición de mezclas con fuerte deriva sin la excesiva carga computacional que presentan los algoritmos clásicos de optimización no lineal. El trabajo finaliza con una discusión de los resultados obtenidos en los tres principales niveles de estudio abordados, que se ofrecen en los capítulos tercero, cuarto y quinto, así como con la elevación a definitivas de las principales conclusiones derivadas del estudio y con el desglose de las posibles líneas de continuación del presente trabajo.---ABSTRACT---Through the present research, the feasibility of Automatic Gamma-Radiation Spectral Decomposition by Linear Algebraic Equation-Solving Algorithms using Pseudo-Inverse Techniques is explored. The design of the before mentioned algorithms has been done having into account their possible implementation on Specific-Purpose Processors of Low Complexity. In the first chapter, the techniques for the detection and measurement of gamma radiation employed to construct the spectra being used throughout the research are reviewed. Similarly, the basic concepts related with the nature and properties of the hard electromagnetic radiation are also re-examined, together with the physic and electronic processes involved in the detection of such kind of radiation, with special emphasis in the intrinsic statistical nature of the spectrum build-up process, which is considered as a classification of the number of individual photon-detections as a function of the energy associated to each individual photon. Fbr such, a brief description of the most important matter-energy interaction phenomena conditioning the detection and spectrum formation processes is given. The radiation detector is considered as the most critical element in the measurement system, as this device strongly conditions the detection process. Fbr this reason, the characteristics of the most frequent detectors are re-examined, with special emphasis on those of semiconductor nature, as these are the most frequently employed ones nowadays. Finally, the fundamental electronic subsystems for preaconditioning and treating of the signal delivered by the detector, classically addresed as Nuclear Electronics, is described. As far as Spectroscopy is concerned, the subsystem most interesting for the scope covered by the present research is the so-called Multichannel Analyzer, which is devoted to the cualitative treatment of the signal, building-up a hystogram of radiation intensity in the range of energies in which the detector is sensitive. The resulting N-dimensional vector is generally known with the ñame of Radiation Spectrum. The different radio-nuclides contributing to the spectrum of a composite source will leave their fingerprint in the resulting spectrum. Through the second chapter, an exhaustive review of the mathematical methods devised to the present moment to identify the radio-nuclides present in the composite spectrum and to quantify their relative contributions, is reviewed. One of the more popular ones is the so-known Múltiple Linear Regression, which is proposed as the best suited approach according to the constraints and restrictions present in the formulation of the problem, i.e., the need to treat low-resolution spectra, the absence of control by a human operator (un-supervision), and the possibility of being implemented as low-complexity algorithms amenable of being supported by VLSI Specific Processors. The analysis problem is formally stated through the third chapter, following the hints established in this context, and it is shown that the addressed problem may be satisfactorily solved under the point of view of Linear Associative Memories. An operator based on this kind of structures may provide the solution to the spectral decomposition problem posed. In the same context, a pair of complementary adaptive algorithms useful for the construction of the solving operator are proposed, which share certain special arithmetic characteristics that render them specially suitable for their implementation on VLSI Processors. The adaptive nature of the associative memory provides a high flexibility to this operator, in what refers to the progressive inclusión of new information to the knowledge base. Through the fourth chapter, this fact is treated together with a new problem to be considered, of a high interest but quite complex nature, as is the treatment of the deformations appearing in the spectrum when instrumental drifts in both the detecting device and the pre-acconditioning electronics are to be taken into account. These deformations render the Linear Regression Model proposed almost unuseful to describe the resulting spectrum. A new model including the drifts is derived as an extensión of the individual contributions to the composite spectrum, which implies a simple extensión of the Associative Memory, which renders this suitable to accept the drifts in the composite spectrum, thus producing a robust analysis of contributions. The extensión method is based on the Low-Amplitude Perturbation Hypothesis. Experimental practice shows that in certain cases the instrumental drifts may provoke severe distortions in the resulting spectrum, which can not be treated with the before-mentioned hypothesis. To cover also these less-frequent cases, through the fifth chapter, the problem involving strong drifts is treated under the point of view of Non-Linear Optimization Techniques. This reformulation carries the study to the consideration of recursive algorithms based on the Gauss-Newton methods, which allow the introduction of Feed-Back Memories, computing elements with a sensibly improved capability to decompose spectra affected by strong drifts. The research concludes with a discussion of the results obtained in the three main levéis of study considerad, which are presented in chapters third, fourth and fifth, toghether with the review of the main conclusions derived from the study and the outline of the main research lines opened by the present work.

FPGA implementation of a multi-population PBIL algorithm

Evolutionary-based algorithms play an important role in finding solutions to many problems that are not solved by classical methods, and particularly so for those cases where solutions lie within extreme non-convex multidimensional spaces. The intrinsic parallel structure of evolutionary algorithms are amenable to the simultaneous testing of multiple solutions; this has proved essential to the circumvention of local optima, and such robustness comes with high computational overhead, though custom digital processor use may reduce this cost. This paper presents a new implementation of an old, and almost forgotten, evolutionary algorithm: the population-based incremental learning method. We show that the structure of this algorithm is well suited to implementation within programmable logic, as compared with contemporary genetic algorithms. Further, the inherent concurrency of our FPGA implementation facilitates the integration and testing of micro-populations.

Network lifetime maximization with cross-layer design in wireless sensor networks

This paper investigates a cross-layer design approach for minimizing energy consumption and maximizing network lifetime (NL) of a multiple-source and single-sink (MSSS) WSN with energy constraints. The optimization problem for MSSS WSN can be formulated as a mixed integer convex optimization problem with the adoption of time division multiple access (TDMA) in medium access control (MAC) layer, and it becomes a convex problem by relaxing the integer constraint on time slots. Impacts of data rate, link access and routing are jointly taken into account in the optimization problem formulation. Both linear and planar network topologies are considered for NL maximization (NLM). With linear MSSS and planar single-source and single-sink (SSSS) topologies, we successfully use Karush-Kuhn-Tucker (KKT) optimality conditions to derive analytical expressions of the optimal NL when all nodes are exhausted simultaneously. The problem for planar MSSS topology is more complicated, and a decomposition and combination (D&C) approach is proposed to compute suboptimal solutions. An analytical expression of the suboptimal NL is derived for a small scale planar network. To deal with larger scale planar network, an iterative algorithm is proposed for the D&C approach. Numerical results show that the upper-bounds of the network lifetime obtained by our proposed optimization models are tight. Important insights into the NL and benefits of cross-layer design for WSN NLM are obtained.

Self-calibrated, multi-spectral photometric stereo for 3D face capture

This paper addresses the problem of obtaining 3d detailed reconstructions of human faces in real-time and with inexpensive hardware. We present an algorithm based on a monocular multi-spectral photometric-stereo setup. This system is known to capture high-detailed deforming 3d surfaces at high frame rates and without having to use any expensive hardware or synchronized light stage. However, the main challenge of such a setup is the calibration stage, which depends on the lights setup and how they interact with the specific material being captured, in this case, human faces. For this purpose we develop a self-calibration technique where the person being captured is asked to perform a rigid motion in front of the camera, maintaining a neutral expression. Rigidity constrains are then used to compute the head's motion with a structure-from-motion algorithm. Once the motion is obtained, a multi-view stereo algorithm reconstructs a coarse 3d model of the face. This coarse model is then used to estimate the lighting parameters with a stratified approach: In the first step we use a RANSAC search to identify purely diffuse points on the face and to simultaneously estimate this diffuse reflectance model. In the second step we apply non-linear optimization to fit a non-Lambertian reflectance model to the outliers of the previous step. The calibration procedure is validated with synthetic and real data.

A Recession Notion for a Class of Monotone Bivariate Functions

Using monotone bifunctions, we introduce a recession concept for general equilibrium problems relying on a variational convergence notion. The interesting purpose is to extend some results of P. L. Lions on variational problems. In the process we generalize some results by H. Brezis and H. Attouch relative to the convergence of the resolvents associated with maximal monotone operators.

An Adaptive Genetic Algorithm with Dynamic Population Size for Optimizing Join Queries

The problem of finding the optimal join ordering executing a query to a relational database management system is a combinatorial optimization problem, which makes deterministic exhaustive solution search unacceptable for queries with a great number of joined relations. In this work an adaptive genetic algorithm with dynamic population size is proposed for optimizing large join queries. The performance of the algorithm is compared with that of several classical non-deterministic optimization algorithms. Experiments have been performed optimizing several random queries against a randomly generated data dictionary. The proposed adaptive genetic algorithm with probabilistic selection operator outperforms in a number of test runs the canonical genetic algorithm with Elitist selection as well as two common random search strategies and proves to be a viable alternative to existing non-deterministic optimization approaches.

An efficient, approximate path-following algorithm for elastic net based nonlinear spike enhancement

Unwanted spike noise in a digital signal is a common problem in digital filtering. However, sometimes the spikes are wanted and other, superimposed, signals are unwanted, and linear, time invariant (LTI) filtering is ineffective because the spikes are wideband - overlapping with independent noise in the frequency domain. So, no LTI filter can separate them, necessitating nonlinear filtering. However, there are applications in which the noise includes drift or smooth signals for which LTI filters are ideal. We describe a nonlinear filter formulated as the solution to an elastic net regularization problem, which attenuates band-limited signals and independent noise, while enhancing superimposed spikes. Making use of known analytic solutions a novel, approximate path-following algorithm is given that provides a good, filtered output with reduced computational effort by comparison to standard convex optimization methods. Accurate performance is shown on real, noisy electrophysiological recordings of neural spikes.

N–Dimensional Orthogonal Tile Sizing Problem

AMS subject classification: 68Q22, 90C90

Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.