Optimization of the Investment Portfolio in the Conditions of Uncertainty

Portfolio analysis exists, perhaps, as long, as people think about acceptance of rational decisions connected with use of the limited resources. However the occurrence moment of portfolio analysis can be dated precisely enough is having connected it with a publication of pioneer work of Harry Markovittz (Markovitz H. Portfolio Selection) in 1952. The model offered in this work, simple enough in essence, has allowed catching the basic features of the financial market, from the point of view of the investor, and has supplied the last with the tool for development of rational investment decisions. The central problem in Markovitz theory is the portfolio choice that is a set of operations. Thus in estimation, both separate operations and their portfolios two major factors are considered: profitableness and risk of operations and their portfolios. The risk thus receives a quantitative estimation. The account of mutual correlation dependences between profitablenesses of operations appears the essential moment in the theory. This account allows making effective diversification of portfolio, leading to essential decrease in risk of a portfolio in comparison with risk of the operations included in it. At last, the quantitative characteristic of the basic investment characteristics allows defining and solving a problem of a choice of an optimum portfolio in the form of a problem of quadratic optimization.

Multi-objective optimization of the molecular structure of refrigerants

The aim of this work was to develop a new methodology, which can be used to design new refrigerants that are better than the currently used refrigerants. The methodology draws some parallels with the general approach of computer aided molecular design. However, the mathematical way of representing the molecular structure of an organic compound and the use of meta models during the optimization process make it different. In essence, this approach aimed to generate molecules that conform to various property requirements that are known and specified a priori. A modified way of mathematically representing the molecular structure of an organic compound having up to four carbon atoms, along with atoms of other elements such as hydrogen, oxygen, fluorine, chlorine and bromine, was developed. The normal boiling temperature, enthalpy of vaporization, vapor pressure, tropospheric lifetime and biodegradability of 295 different organic compounds, were collected from open literature and data bases or estimated. Surrogate models linking the previously mentioned quantities with the molecular structure were developed. Constraints ensuring the generation of structurally feasible molecules were formulated and used in commercially available optimization algorithms to generate molecular structures of promising new refrigerants. This study was intended to serve as a proof-of-concept of designing refrigerants using the newly developed methodology.

The Development of a Hybrid Optimization Algorithm for the Evaluation and Optimization of the Asynchronous Pulse Unit

The effectiveness of an optimization algorithm can be reduced to its ability to navigate an objective function’s topology. Hybrid optimization algorithms combine various optimization algorithms using a single meta-heuristic so that the hybrid algorithm is more robust, computationally efficient, and/or accurate than the individual algorithms it is made of. This thesis proposes a novel meta-heuristic that uses search vectors to select the constituent algorithm that is appropriate for a given objective function. The hybrid is shown to perform competitively against several existing hybrid and non-hybrid optimization algorithms over a set of three hundred test cases. This thesis also proposes a general framework for evaluating the effectiveness of hybrid optimization algorithms. Finally, this thesis presents an improved Method of Characteristics Code with novel boundary conditions, which better characterizes pipelines than previous codes. This code is coupled with the hybrid optimization algorithm in order to optimize the operation of real-world piston pumps.

Simulation Optimization of the Crossdock Door Assignmnet Problem

The purpose of this report is to present the Crossdock Door Assignment Problem, which involves assigning destinations to outbound dock doors of Crossdock centres such that travel distance by material handling equipment is minimized. We propose a two fold solution; simulation and optimization of the simulation model - simulation optimization. The novel aspect of our solution approach is that we intend to use simulation to derive a more realistic objective function and use Memetic algorithms to find an optimal solution. The main advantage of using Memetic algorithms is that it combines a local search with Genetic Algorithms. The Crossdock Door Assignment Problem is a new domain application to Memetic Algorithms and it is yet unknown how it will perform.

Simulation Optimization of the Crossdock Door Assignmnet Problem

The purpose of this report is to present the Crossdock Door Assignment Problem, which involves assigning destinations to outbound dock doors of Crossdock centres such that travel distance by material handling equipment is minimized. We propose a two fold solution; simulation and optimization of the simulation model - simulation optimization. The novel aspect of our solution approach is that we intend to use simulation to derive a more realistic objective function and use Memetic algorithms to find an optimal solution. The main advantage of using Memetic algorithms is that it combines a local search with Genetic Algorithms. The Crossdock Door Assignment Problem is a new domain application to Memetic Algorithms and it is yet unknown how it will perform.

Flowers of Gomphrena globosa L. as an alternatve source of betacyanins: optimization of the extraction using response surface methodology

Betacyanins are betalain pigments that display a red-violet colour which have been reported to be three times stronger than the red-violet dye produced by anthocyanins [1]. The applications of betacyanins cover a wide range of matrices, mainly as additives or ingredients in the food industry, cosmetics, pharmaceuticals and livestock feed. Although, being less commonly used than anthocyanins and carotenoids, betacyanins are stable between pH 3 to 7 and suitable for colouring in low acid matrices. In addition, betacyanins have been reported to display interesting medicinal character as powerful antioxidant and chemopreventive compounds either in vitro or in vivo models [2]. Betacyanins are obtained mainly from the red beet of Beta vulgaris plant (between I 0 to 20 mg per I 00 g pulp) but alternative primary sources are needed [3]. In addition, independently of the source used, the effect of the variables that affect the extraction of betacyanins have not been properly described and quantified. Therefore, the aim of this study was to identifY and optimize the conditions that maximize betacyanins extraction using the tepals of Gomphrena globosa L. flowers as an alternative source. Assisted by the statistical technique of response surface methodology, an experimental design was developed for testing the significant explanatory variables of the extraction (time, temperature, solid-liquid ratio and ethanolwater ratio). The identification was performed using high-performance liquid chromatography coupled with a photodiode array detector and mass spectrometry with electron spray ionization (HPLC-PDAMS/ ESI) and the response was measured by the quantification of these compounds using HPLC-PDA. Afterwards, a response surface analysis was performed to evaluate the results. The major betacyanin compounds identified were gomphrenin 11 and Ill and isogomphrenin IJ and Ill. The highest total betacyanins content was obtained by using the following conditions: 45 min of extraction. time, 35•c, 35 g/L of solid-liquid ratio and 25% of ethanol. These values would not be found without optimizing the conditions of the betacyanins extraction, which moreover showed contrary trends to what it has been described in the scientific bibliography. More specifically, concerning the time and temperature variables, an increase of both values (from the common ones used in the bibliography) showed a considerable improvement on the betacyanins extraction yield without displaying any type of degradation patterns.

Productivity analysis for a vertically fractured well under non- Darcy flow condition

This work was supported by the National Natural Science Foundation of China No. 51204148 and the Fundamental Research Funds for the Central Universities

Reactive Pulsed Laser Deposition of titanium nitride thin film: Optimization of process parameters using Secondary Ion Mass Spectrometry

Reactive Pulsed Laser Deposition is a single step process wherein the ablated elemental metal reacts with a low pressure ambient gas to form a compound. We report here a Secondary Ion Mass Spectrometry based analytical methodology to conduct minimum number of experiments to arrive at optimal process parameters to obtain high quality TiN thin film. Quality of these films was confirmed by electron microscopic analysis. This methodology can be extended for optimization of other process parameters and materials. (C) 2009 Elsevier B.V. All rights reserved.

Influence of strain softening on the fracture of plain concrete beams

Fracture behaviour of notched and un-notched plain concrete slender beams subjected to three-point or four-point bending is analyzed through a one-dimensional model, also called Softening Beam Model. Fundamental equations of equilibrium are used to develop the model. The influence of structural size in altering the fracture mode from brittle fracture to plastic collapse is explained through the stress distribution across the uncracked ligament obtained by varying the strain softening modulus. It is found that at the onset of fracture instability, stress at the crack tip is equal to zero. The maximum load and fracture load are found to be different and a unique value for the fracture load is obtained. It is shown that the length of the fracture process zone depends on the value of the strain softening modulus. Theoretical limits for fracture process zone length are also calculated. Several nonlinear fracture parameters, such as, crack tip opening displacement, crack mouth opening displacement and fracture energy are computed for a wide variety of beam specimens reported in the literature and are found to compare very well with experimental and theoretical results. It is demonstrated that by following a simple procedure, both pre-peak and post-peak portions of load versus crack mouth opening displacement curve can be obtained quite accurately. Further, a simple procedure to calculate the maximum load is also developed. The predicted values of maximum load are found to agree well with the experimental values. The Softening Beam Model (SBM), proposed in this investigation is very simple and is based on rational considerations. It can completely describe the fracture process from the beginning of formation of the fracture process zone till the onset of fracture instability.A l'aide d'un modèle unidimensionnel dit ldquoSoftening Beam Modelrdquo (SBM), on analyse le comportement à rupture de poutres élancées pleines entaillées ou non, soumises en flexion en trois ou quatre points. Des équations fondamentales d'équilibre sont utilisées pour développer le modèle. On explique l'influence de la taille du composant sur l'altération du mode de rupture en rupture fragile et en effondrement plastique par la distribution par la distribution des contraintes sur le ligament non fissuré lorsque varie le module d'adoucissement. On trouve que la contrainte à l'extrémité de la fissure est nulle est nulle au début de l'instabilité de la rupture. La charge maximum et la charge à la rupture sont trouvées différentes, et on obtient une valeur unique de la charge à la rupture. On montre que la longueur de la zone concernée par le processus de rupture d'pend de la valeur du module d'adoucissement. On calcule également les limites théoriques de longueur de cette zone. Divers paramètres de rupture non linéaire sont calculés pour une large gamme d'éprouvettes en poutres reprises dans la littérature; on trouve qu'il existe une bonne concordance avec les résultats expérimentaux et théoriques. On démontre qu'en suivant une procédure simple on peut obtenir avec une bonne précision la courbe reliant les portions avant et après le pic de sollicitation en fonction du COD de la fissure. En outre, on développe une procédure simple pour calculer la charge maximum. Les valeurs prédites sont en bon accord avec les valeurs expérimentales. Le modèle SBM proposé est très simple et est basé sur des considérations rationnelles. Il est susceptible de décrire complètement le processus de rupture depuis le début de la formation de la zone intéressée jusqu'à l'amorçage de la rupture instable.

Evaluation of Fracture Parameters by Double-G, Double-K Models and Crack Extension Resistance for High Strength and Ultra High Strength Concrete Beams

This paper presents the advanced analytical methodologies such as Double- G and Double - K models for fracture analysis of concrete specimens made up of high strength concrete (HSC, HSC1) and ultra high strength concrete. Brief details about characterization and experimentation of HSC, HSC1 and UHSC have been provided. Double-G model is based on energy concept and couples the Griffith's brittle fracture theory with the bridging softening property of concrete. The double-K fracture model is based on stress intensity factor approach. Various fracture parameters such as cohesive fracture toughness (4), unstable fracture toughness (K-Ic(c)), unstable fracture toughness (K-Ic(un)) and initiation fracture toughness (K-Ic(ini)) have been evaluated based on linear elastic fracture mechanics and nonlinear fracture mechanics principles. Double-G and double-K method uses the secant compliance at the peak point of measured P-CMOD curves for determining the effective crack length. Bi-linear tension softening model has been employed to account for cohesive stresses ahead of the crack tip. From the studies, it is observed that the fracture parameters obtained by using double - G and double - K models are in good agreement with each other. Crack extension resistance has been estimated by using the fracture parameters obtained through double - K model. It is observed that the values of the crack extension resistance at the critical unstable point are almost equal to the values of the unstable fracture toughness K-Ic(un) of the materials. The computed fracture parameters will be useful for crack growth study, remaining life and residual strength evaluation of concrete structural components.

Application of the multi-objective Alliance algorithm to a benchmark aerodynamic optimization problem

This paper introduces a new version of the multiobjective Alliance Algorithm (MOAA) applied to the optimization of the NACA 0012 airfoil section, for minimization of drag and maximization of lift coefficients, based on eight section shape parameters. Two software packages are used: XFoil which evaluates each new candidate airfoil section in terms of its aerodynamic efficiency, and a Free-Form Deformation tool to manage the section geometry modifications. Two versions of the problem are formulated with different design variable bounds. The performance of this approach is compared, using two indicators and a statistical test, with that obtained using NSGA-II and multi-objective Tabu Search (MOTS) to guide the optimization. The results show that the MOAA outperforms MOTS and obtains comparable results with NSGA-II on the first problem, while in the other case NSGA-II is not able to find feasible solutions and the MOAA is able to outperform MOTS. © 2013 IEEE.

Analytic expressions for the constitutive parameters of magnetoelectric metamaterials

Electromagnetic metamaterials are artificially structured media typically composed of arrays of resonant electromagnetic circuits, the dimension and spacing of which are considerably smaller than the free-space wavelengths of operation. The constitutive parameters for metamaterials, which can be obtained using full-wave simulations in conjunction with numerical retrieval algorithms, exhibit artifacts related to the finite size of the metamaterial cell relative to the wavelength. Liu showed that the complicated, frequency-dependent forms of the constitutive parameters can be described by a set of relatively simple analytical expressions. These expressions provide useful insight and can serve as the basis for more intelligent interpolation or optimization schemes. Here, we show that the same analytical expressions can be obtained using a transfer-matrix formalism applied to a one-dimensional periodic array of thin, resonant, dielectric, or magnetic sheets. The transfer-matrix formalism breaks down, however, when both electric and magnetic responses are present in the same unit cell, as it neglects the magnetoelectric coupling between unit cells. We show that an alternative analytical approach based on the same physical model must be applied for such structures. Furthermore, in addition to the intercell coupling, electric and magnetic resonators within a unit cell may also exhibit magnetoelectric coupling. For such cells, we find an analytical expression for the effective index, which displays markedly characteristic dispersion features that depend on the strength of the coupling coefficient. We illustrate the applicability of the derived expressions by comparing to full-wave simulations on magnetoelectric unit cells. We conclude that the design of metamaterials with tailored simultaneous electric and magnetic response-such as negative index materials-will generally be complicated by potentially unwanted magnetoelectric coupling. © 2010 The American Physical Society.