The cross-entropy method for continuous multi-extremal optimization

In recent years, the cross-entropy method has been successfully applied to a wide range of discrete optimization tasks. In this paper we consider the cross-entropy method in the context of continuous optimization. We demonstrate the effectiveness of the cross-entropy method for solving difficult continuous multi-extremal optimization problems, including those with non-linear constraints.

Lower Extremities Magnetic Resonance Angiography With Blood Pressure Cuff Compression: Quantitative Dynamic Analysis

Purpose: To quantitatively evaluate changes induced by the application of a femoral blood-pressure cuff (BPC) on run-off magnetic resonance angiography (MRA). which is a method generally previously proposed to reduce venous contamination in the leg. Materials and Methods: This study was Health Insurance Portability and Accountability Act (HIPAA)- and Institutional Review Board (IRB)-compliant, We used time-resolved gradient-echo gadolinium (Gd)-enhanced MRA to measure BPC effects on arterial, venous, and soft-tissue enhancement. Seven healthy volunteers (six men) were studied with the BPC applied at the mid-femoral level unilaterally using a 1.5T MR system after intravenous injection of Gd-BOPTA. Different statistical tools were used such as the Wilcoxon signed rank test and a cubic smoothing spline fit. Results: We found that BPC application induces delayed venous filling (as previously described), but also induces significant decreases in arterial inflow, arterial enhancement, vascular-soft tissue contrast, and delayed peak enhancement (which have not been previously measured). Conclusion: The potential benefits from using a BPC for run-off MRA must be balanced against the potential pitfalls, elucidated by our findings.

Estimation of dynamic latent variable models using simulated nonparametric moments

Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Since conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. Monte Carlo results show that the estimator performs well in comparison to other estimators that have been proposed for estimation of general DLV models.

Tax smoothing in a business cycle model with capital-skill complementarity

This paper undertakes a normative investigation of the quantitative properties of optimal tax smoothing in a business cycle model with state contingent debt, capital-skill complementarity, endogenous skill formation and stochastic shocks to public consumption as well as total factor and capital equipment productivity. Our main finding is that an empirically relevant restriction which does not allow the relative supply of skilled labour to adjust in response to aggregate shocks, signi cantly changes the cyclical properties of optimal labour taxes. Under a restricted relative skill supply, the government fi nds it optimal to adjust labour income tax rates so that the average net returns to skilled and unskilled labour hours exhibit the same dynamic behaviour as under fl exible skill supply.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Non-Commitment and Savings in Dynamic Risk-Sharing Contracts

We characterize the solution to a model of consumption smoothing using financing under non-commitment and savings. We show that, under certain conditions, these two different instruments complement each other perfectly. If the rate of time preference is equal to the interest rate on savings, perfect smoothing can be achieved in finite time. We also show that, when random revenues are generated by periodic investments in capital through a concave production function, the level of smoothing achieved through financial contracts can influence the productive investment efficiency. As long as financial contracts cannot achieve perfect smoothing, productive investment will be used as a complementary smoothing device.

The Dynamic (In)efficiency of Monetary Policy by Committee

This paper develops a model where the value of the monetary policy instrument is selected by a heterogenous committee engaged in a dynamic voting game. Committee members differ in their institutional power and, in certain states of nature, they also differ in their preferred instrument value. Preference heterogeneity and concern for the future interact to generate decisions that are dynamically ineffcient and inertial around the previously-agreed instrument value. This model endogenously generates autocorrelation in the policy variable and provides an explanation for the empirical observation that the nominal interest rate under the central bank’s control is infrequently adjusted.

Simulation-based smoothing and filtering in factor stochastic volatility models : two econometric applications

In this article we use factor models to describe a certain class of covariance structure for financiaI time series models. More specifical1y, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. We build on previous work by allowing the factor loadings, in the factor mo deI structure, to have a time-varying structure and to capture changes in asset weights over time motivated by applications with multi pIe time series of daily exchange rates. We explore and discuss potential extensions to the models exposed here in the prediction area. This discussion leads to open issues on real time implementation and natural model comparisons.

Simulation -based smoothing and filtering in factor stochastic volatility models : two econometric applications (July-2001)

The past decade has wítenessed a series of (well accepted and defined) financial crises periods in the world economy. Most of these events aI,"e country specific and eventually spreaded out across neighbor countries, with the concept of vicinity extrapolating the geographic maps and entering the contagion maps. Unfortunately, what contagion represents and how to measure it are still unanswered questions. In this article we measure the transmission of shocks by cross-market correlation\ coefficients following Forbes and Rigobon's (2000) notion of shift-contagion,. Our main contribution relies upon the use of traditional factor model techniques combined with stochastic volatility mo deIs to study the dependence among Latin American stock price indexes and the North American indexo More specifically, we concentrate on situations where the factor variances are modeled by a multivariate stochastic volatility structure. From a theoretical perspective, we improve currently available methodology by allowing the factor loadings, in the factor model structure, to have a time-varying structure and to capture changes in the series' weights over time. By doing this, we believe that changes and interventions experienced by those five countries are well accommodated by our models which learns and adapts reasonably fast to those economic and idiosyncratic shocks. We empirically show that the time varying covariance structure can be modeled by one or two common factors and that some sort of contagion is present in most of the series' covariances during periods of economical instability, or crisis. Open issues on real time implementation and natural model comparisons are thoroughly discussed.

Downscaled land surface temperatures obtained by a particle smoothing approach, with links to NetCDF files

This dataset contains continuous time series of land surface temperature (LST) at spatial resolution of 300m around the 12 experimental sites of the PAGE21 project (grant agreement number 282700, funded by the EC seventh Framework Program theme FP7-ENV-2011). This dataset was produced from hourly LST time series at 25km scale, retrieved from SSM/I data (André et al., 2015, doi:10.1016/j.rse.2015.01.028) and downscaled to 300m using a dynamic model and a particle smoothing approach. This methodology is based on two main assumptions. First, LST spatial variability is mostly explained by land cover and soil hydric state. Second, LST is unique for a land cover class within the low resolution pixel. Given these hypotheses, this variable can be estimated using a land cover map and a physically based land surface model constrained with observations using a data assimilation process. This methodology described in Mechri et al. (2014, doi:10.1002/2013JD020354) was applied to the ORCHIDEE land surface model (Krinner et al., 2005, doi:10.1029/2003GB002199) to estimate prior values of each land cover class provided by the ESA CCI-Land Cover product (Bontemps et al., 2013) at 300m resolution . The assimilation process (particle smoother) consists in simulating ensemble of LST time series for each land cover class and for a large number of parameter sets. For each parameter set, the resulting temperatures are aggregated considering the grid fraction of each land cover and compared to the coarse observations. Miniminizing the distance between the aggregated model solutions and the observations allow us to select the simulated LST and the corresponding parameter sets which fit the observations most closely. The retained parameter sets are then duplicated and randomly perturbed before simulating the next time window. At the end, the most likely LST of each land cover class are estimated and used to reconstruct LST maps at 300m resolution using ESA CCI-Land Cover. The resulting temperature maps on which ice pixels were masked, are provided at daily time step during the nine-year analysis period (2000-2009).

Measurement of intervertebral cervical motion by means of dynamic X-ray image processing and data interpolation

Accurate measurement of intervertebral kinematics of the cervical spine can support the diagnosis of widespread diseases related to neck pain, such as chronic whiplash dysfunction, arthritis, and segmental degeneration. The natural inaccessibility of the spine, its complex anatomy, and the small range of motion only permit concise measurement in vivo. Low dose X-ray fluoroscopy allows time-continuous screening of cervical spine during patient's spontaneous motion. To obtain accurate motion measurements, each vertebra was tracked by means of image processing along a sequence of radiographic images. To obtain a time-continuous representation of motion and to reduce noise in the experimental data, smoothing spline interpolation was used. Estimation of intervertebral motion for cervical segments was obtained by processing patient's fluoroscopic sequence; intervertebral angle and displacement and the instantaneous centre of rotation were computed. The RMS value of fitting errors resulted in about 0.2 degree for rotation and 0.2 mm for displacements. © 2013 Paolo Bifulco et al.

Dynamic Bayesian network for semantic place classification in mobile robotics

In this paper, the problem of semantic place categorization in mobile robotics is addressed by considering a time-based probabilistic approach called dynamic Bayesian mixture model (DBMM), which is an improved variation of the dynamic Bayesian network. More specifically, multi-class semantic classification is performed by a DBMM composed of a mixture of heterogeneous base classifiers, using geometrical features computed from 2D laserscanner data, where the sensor is mounted on-board a moving robot operating indoors. Besides its capability to combine different probabilistic classifiers, the DBMM approach also incorporates time-based (dynamic) inferences in the form of previous class-conditional probabilities and priors. Extensive experiments were carried out on publicly available benchmark datasets, highlighting the influence of the number of time-slices and the effect of additive smoothing on the classification performance of the proposed approach. Reported results, under different scenarios and conditions, show the effectiveness and competitive performance of the DBMM.

Reference Values For High-density Lipoprotein Particle Size And Volume By Dynamic Light Scattering In A Brazilian Population Sample And Their Relationships With Metabolic Parameters.

Current data indicate that the size of high-density lipoprotein (HDL) may be considered an important marker for cardiovascular disease risk. We established reference values of mean HDL size and volume in an asymptomatic representative Brazilian population sample (n=590) and their associations with metabolic parameters by gender. Size and volume were determined in HDL isolated from plasma by polyethyleneglycol precipitation of apoB-containing lipoproteins and measured using the dynamic light scattering (DLS) technique. Although the gender and age distributions agreed with other studies, the mean HDL size reference value was slightly lower than in some other populations. Both HDL size and volume were influenced by gender and varied according to age. HDL size was associated with age and HDL-C (total population); non- white ethnicity and CETP inversely (females); HDL-C and PLTP mass (males). On the other hand, HDL volume was determined only by HDL-C (total population and in both genders) and by PLTP mass (males). The reference values for mean HDL size and volume using the DLS technique were established in an asymptomatic and representative Brazilian population sample, as well as their related metabolic factors. HDL-C was a major determinant of HDL size and volume, which were differently modulated in females and in males.

Interaction Between Fiscal And Monetary Policy In A Dynamic Nonlinear Model.

The objective of this study is to verify the dynamics between fiscal policy, measured by public debt, and monetary policy, measured by a reaction function of a central bank. Changes in monetary policies due to deviations from their targets always generate fiscal impacts. We examine two policy reaction functions: the first related to inflation targets and the second related to economic growth targets. We find that the condition for stable equilibrium is more restrictive in the first case than in the second. We then apply our simulation model to Brazil and United Kingdom and find that the equilibrium is unstable in the Brazilian case but stable in the UK case.

Key Participants Of The Tumor Microenvironment Of The Prostate: An Approach Of The Structural Dynamic Of Cellular Elements And Extracellular Matrix Components During Epithelial-stromal Transition.

Cancer is a multistep process that begins with the transformation of normal epithelial cells and continues with tumor growth, stromal invasion and metastasis. The remodeling of the peritumoral environment is decisive for the onset of tumor invasiveness. This event is dependent on epithelial-stromal interactions, degradation of extracellular matrix components and reorganization of fibrillar components. Our research group has studied in a new proposed rodent model the participation of cellular and molecular components in the prostate microenvironment that contributes to cancer progression. Our group adopted the gerbil Meriones unguiculatus as an alternative experimental model for prostate cancer study. This model has presented significant responses to hormonal treatments and to development of spontaneous and induced neoplasias. The data obtained indicate reorganization of type I collagen fibers and reticular fibers, synthesis of new components such as tenascin and proteoglycans, degradation of basement membrane components and elastic fibers and increased expression of metalloproteinases. Fibroblasts that border the region, apparently participate in the stromal reaction. The roles of each of these events, as well as some signaling molecules, participants of neoplastic progression and factors that promote genetic reprogramming during epithelial-stromal transition are also discussed.