Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado

En este trabajo se implementa una metodología para incluir momentos de orden superior en la selección de portafolios, haciendo uso de la Distribución Hiperbólica Generalizada, para posteriormente hacer un análisis comparativo frente al modelo de Markowitz.

Jointly multi-user detection and channel estimation with genetic algorithm

This work aims at proposing the use of the evolutionary computation methodology in order to jointly solve the multiuser channel estimation (MuChE) and detection problems at its maximum-likelihood, both related to the direct sequence code division multiple access (DS/CDMA). The effectiveness of the proposed heuristic approach is proven by comparing performance and complexity merit figures with that obtained by traditional methods found in literature. Simulation results considering genetic algorithm (GA) applied to multipath, DS/CDMA and MuChE and multi-user detection (MuD) show that the proposed genetic algorithm multi-user channel estimation (GAMuChE) yields a normalized mean square error estimation (nMSE) inferior to 11%, under slowly varying multipath fading channels, large range of Doppler frequencies and medium system load, it exhibits lower complexity when compared to both maximum likelihood multi-user channel estimation (MLMuChE) and gradient descent method (GrdDsc). A near-optimum multi-user detector (MuD) based on the genetic algorithm (GAMuD), also proposed in this work, provides a significant reduction in the computational complexity when compared to the optimum multi-user detector (OMuD). In addition, the complexity of the GAMuChE and GAMuD algorithms were (jointly) analyzed in terms of number of operations necessary to reach the convergence, and compared to other jointly MuChE and MuD strategies. The joint GAMuChE-GAMuD scheme can be regarded as a promising alternative for implementing third-generation (3G) and fourth-generation (4G) wireless systems in the near future. Copyright (C) 2010 John Wiley & Sons, Ltd.

Blind channel acquisition and channel estimation for multi-rate multicarrier DS-CDMA communications

Multi-rate multicarrier DS-CDMA is a potentially attractive multiple access method for future wireless networks that must support multimedia, and thus multi-rate, traffic. Considering that high performance detection such as coherent demodulation needs the explicit knowledge of the channel, this paper proposes a subspace-based blind adaptive algorithm for timing acquisition and channel estimation in asynchronous multirate multicarrier DS-CDMA systems, which is applicable to both multicode and variable spreading factor systems.

Development of the optimal estimation method for inversion of stratospheric emission spectra and validation of HNO3 profiles

This doctoral thesis focuses on ground-based measurements of stratospheric nitric acid (HNO3)concentrations obtained by means of the Ground-Based Millimeter-wave Spectrometer (GBMS). Pressure broadened HNO3 emission spectra are analyzed using a new inversion algorithm developed as part of this thesis work and the retrieved vertical profiles are extensively compared to satellite-based data. This comparison effort I carried out has a key role in establishing a long-term (1991-2010), global data record of stratospheric HNO3, with an expected impact on studies concerning ozone decline and recovery. The first part of this work is focused on the development of an ad hoc version of the Optimal Estimation Method (Rodgers, 2000) in order to retrieve HNO3 spectra observed by means of GBMS. I also performed a comparison between HNO3 vertical profiles retrieved with the OEM and those obtained with the old iterative Matrix Inversion method. Results show no significant differences in retrieved profiles and error estimates, with the OEM providing however additional information needed to better characterize the retrievals. A final section of this first part of the work is dedicated to a brief review on the application of the OEM to other trace gases observed by GBMS, namely O3 and N2O. The second part of this study deals with the validation of HNO3 profiles obtained with the new inversion method. The first step has been the validation of GBMS measurements of tropospheric opacity, which is a necessary tool in the calibration of any GBMS spectra. This was achieved by means of comparisons among correlative measurements of water vapor column content (or Precipitable Water Vapor, PWV) since, in the spectral region observed by GBMS, the tropospheric opacity is almost entirely due to water vapor absorption. In particular, I compared GBMS PWV measurements collected during the primary field campaign of the ECOWAR project (Bhawar et al., 2008) with simultaneous PWV observations obtained with Vaisala RS92k radiosondes, a Raman lidar, and an IR Fourier transform spectrometer. I found that GBMS PWV measurements are in good agreement with the other three data sets exhibiting a mean difference between observations of ~9%. After this initial validation, GBMS HNO3 retrievals have been compared to two sets of satellite data produced by the two NASA/JPL Microwave Limb Sounder (MLS) experiments (aboard the Upper Atmosphere Research Satellite (UARS) from 1991 to 1999, and on the Earth Observing System (EOS) Aura mission from 2004 to date). This part of my thesis is inserted in GOZCARDS (Global Ozone Chemistry and Related Trace gas Data Records for the Stratosphere), a multi-year project, aimed at developing a long-term data record of stratospheric constituents relevant to the issues of ozone decline and expected recovery. This data record will be based mainly on satellite-derived measurements but ground-based observations will be pivotal for assessing offsets between satellite data sets. Since the GBMS has been operated for more than 15 years, its nitric acid data record offers a unique opportunity for cross-calibrating HNO3 measurements from the two MLS experiments. I compare GBMS HNO3 measurements obtained from the Italian Alpine station of Testa Grigia (45.9° N, 7.7° E, elev. 3500 m), during the period February 2004 - March 2007, and from Thule Air Base, Greenland (76.5°N 68.8°W), during polar winter 2008/09, and Aura MLS observations. A similar intercomparison is made between UARS MLS HNO3 measurements with those carried out from the GBMS at South Pole, Antarctica (90°S), during the most part of 1993 and 1995. I assess systematic differences between GBMS and both UARS and Aura HNO3 data sets at seven potential temperature levels. Results show that, except for measurements carried out at Thule, ground based and satellite data sets are consistent within the errors, at all potential temperature levels.

Kernel-Based Ranking. Methods for Learning and Performance Estimation

Machine learning provides tools for automated construction of predictive models in data intensive areas of engineering and science. The family of regularized kernel methods have in the recent years become one of the mainstream approaches to machine learning, due to a number of advantages the methods share. The approach provides theoretically well-founded solutions to the problems of under- and overfitting, allows learning from structured data, and has been empirically demonstrated to yield high predictive performance on a wide range of application domains. Historically, the problems of classification and regression have gained the majority of attention in the field. In this thesis we focus on another type of learning problem, that of learning to rank. In learning to rank, the aim is from a set of past observations to learn a ranking function that can order new objects according to how well they match some underlying criterion of goodness. As an important special case of the setting, we can recover the bipartite ranking problem, corresponding to maximizing the area under the ROC curve (AUC) in binary classification. Ranking applications appear in a large variety of settings, examples encountered in this thesis include document retrieval in web search, recommender systems, information extraction and automated parsing of natural language. We consider the pairwise approach to learning to rank, where ranking models are learned by minimizing the expected probability of ranking any two randomly drawn test examples incorrectly. The development of computationally efficient kernel methods, based on this approach, has in the past proven to be challenging. Moreover, it is not clear what techniques for estimating the predictive performance of learned models are the most reliable in the ranking setting, and how the techniques can be implemented efficiently. The contributions of this thesis are as follows. First, we develop RankRLS, a computationally efficient kernel method for learning to rank, that is based on minimizing a regularized pairwise least-squares loss. In addition to training methods, we introduce a variety of algorithms for tasks such as model selection, multi-output learning, and cross-validation, based on computational shortcuts from matrix algebra. Second, we improve the fastest known training method for the linear version of the RankSVM algorithm, which is one of the most well established methods for learning to rank. Third, we study the combination of the empirical kernel map and reduced set approximation, which allows the large-scale training of kernel machines using linear solvers, and propose computationally efficient solutions to cross-validation when using the approach. Next, we explore the problem of reliable cross-validation when using AUC as a performance criterion, through an extensive simulation study. We demonstrate that the proposed leave-pair-out cross-validation approach leads to more reliable performance estimation than commonly used alternative approaches. Finally, we present a case study on applying machine learning to information extraction from biomedical literature, which combines several of the approaches considered in the thesis. The thesis is divided into two parts. Part I provides the background for the research work and summarizes the most central results, Part II consists of the five original research articles that are the main contribution of this thesis.

Synergistic angular and spectral estimation of aerosol properties using CHRIS/PROBA-1 and simulated Sentinel-3~data

A method has been developed to estimate Aerosol Optical Depth (AOD), Fine Mode Fraction (FMF) and Single Scattering Albedo (SSA) over land surfaces using simulated Sentinel-3 data. The method uses inversion of a coupled surface/atmosphere radiative transfer model, and includes a general physical model of angular surface reflectance. An iterative process is used to determine the optimum value of the aerosol properties providing the best fit of the corrected reflectance values for a number of view angles and wavelengths with those provided by the physical model. A method of estimating AOD using only angular retrieval has previously been demonstrated on data from the ENVISAT and PROBA-1 satellite instruments, and is extended here to the synergistic spectral and angular sampling of Sentinel-3 and the additional aerosol properties. The method is tested using hyperspectral, multi-angle Compact High Resolution Imaging Spectrometer (CHRIS) images. The values obtained from these CHRIS observations are validated using ground based sun-photometer measurements. Results from 22 image sets using the synergistic retrieval and improved aerosol models show an RMSE of 0.06 in AOD, reduced to 0.03 over vegetated targets.

Synergistic angular and spectral estimation of aerosol properties using CHRIS/PROBA-1 and simulated Sentinel-3 data

We develop a method to derive aerosol properties over land surfaces using combined spectral and angular information, such as available from ESA Sentinel-3 mission, to be launched in 2015. A method of estimating aerosol optical depth (AOD) using only angular retrieval has previously been demonstrated on data from the ENVISAT and PROBA-1 satellite instruments, and is extended here to the synergistic spectral and angular sampling of Sentinel-3. The method aims to improve the estimation of AOD, and to explore the estimation of fine mode fraction (FMF) and single scattering albedo (SSA) over land surfaces by inversion of a coupled surface/atmosphere radiative transfer model. The surface model includes a general physical model of angular and spectral surface reflectance. An iterative process is used to determine the optimum value of the aerosol properties providing the best fit of the corrected reflectance values to the physical model. The method is tested using hyperspectral, multi-angle Compact High Resolution Imaging Spectrometer (CHRIS) images. The values obtained from these CHRIS observations are validated using ground-based sun photometer measurements. Results from 22 image sets using the synergistic retrieval and improved aerosol models show an RMSE of 0.06 in AOD, reduced to 0.03 over vegetated targets.

Exterior orientation of CBERS-2B imagery using multi-feature control and orbital data

The major contribution of this paper relates to the practical advantages of combining Ground Control Points (GCPs), Ground Control Lines (GCLs) and orbital data to estimate the exterior orientation parameters of images collected by CBERS-2B (China-Brazil Earth Resources Satellite) HRC (High-resolution Camera) and CCD (High-resolution CCD Camera) sensors. Although the CBERS-2B is no longer operational, its images are still being used in Brazil, and the next generations of the CBERS satellite will have sensors with similar technical features, which motivates the study presented in this paper. The mathematical models that relate the object and image spaces are based on collinearity (for points) and coplanarity (for lines) conditions. These models were created in an in-house developed software package called TMS (Triangulation with Multiple Sensors) with multi-feature control (GCPs and GCLs). Experiments on a block of four CBERS-2B HRC images and on one CBERS-2B CCD image were performed using both models. It was observed that the combination of GCPs and GCLs provided better bundle block adjustment results than conventional bundle adjustment using only GCPs. The results also demonstrate the advantages of using primarily orbital data when the number of control entities is reduced. © 2013 International Society for Photogrammetry and Remote Sensing, Inc. (ISPRS).

Importance of canopy porosity into vineyard and the relationship with the grape maturity. Digital estimation method

In warm and dry climates, the use of porous systems should be required in order to allow a better leaf distribution inside the plant, causing more space in the clusters area and enhancing determined physiological processes so in the leaf (photosynthesis, v entilation, transpiration) as in berry (growth and maturation). Plant geometry indexes, yield and must composition have been studied in three different systems: sprawl with 12 shoots/m (S1); sprawl system with 18 shoots/m (S2) and vertical positioned syste m or VSP with 12 shoots/m (VSP1). Total leaf area increases as the crop load does, whoever surface area depends on to two factors: crop load and the training system (VSP vs. sprawl), which can provide differences in leaf exposure efficiencies. The main objective of this study was to validate digital photography measurements used to compare porosity differences among treatments and, as they affect plant microclimate and, therefore, yield and berry quality. Also, all previous studied indexes (LAI, SA, SFEr) tended to overestimate the relationship between exposed leaf surface and porosity of each treatment, but the use of digital method proved to be an effective tool in order to assess canopy porosity. Results showed that not positioned and free systems (sprawl) scored between 25- 50% more porosity in the clusters area than the fixed vertical system (VSP), which resulted in a better plant microclimate for test conditions, mainly by improving the exposure of internal clusters and internal canopy ventilation. On the other hand, higher crop load treatment (S2) showed a real increase in yield (16%) without any relevant change into must composition, even improving total anthocyanin content into berry during ripening

Importance of canopy porosity into vineyard and the relationship with the grape maturity. Digital estimation method

In warm and dry climates, the use of porous systems should be required in order to allow a better leaf distribution inside the plant, causing more space in the clusters area and enhancing determined physiological processes so in the leaf (photosynthesis, ventilation, transpiration) as in berry (growth and maturation). Plant geometry indexes, yield and must composition have been studied in three different systems: sprawl with 12 shoots/m (S1); sprawl system with 18 shoots/m (S2) and vertical positioned system or VSP with 12 shoots/m (VSP1). Total leaf area increases as the crop load does, whoever surface area depends on to two factors: crop load and the training system (VSP vs . sprawl), which can provide differences in leaf exposure efficiencies. The main objective of this study was to validate digital photography measurements used to compare porosity differences among treatments and, as they affect plant microclimate and, therefore, yield and berry quality. Also, all previous studied indexes (LAI, SA, SFEr) tended to overestimate the relationship between exposed leaf surface and porosity of each treatment, but the use of digital method proved to be an effective tool in order to assess canopy porosity. Results showed that not positioned and free systems (sprawl) scored between 25 - 50% more porosity in the clusters area than the fixed vertical system (VSP), which resulted in a better plant microclimate for test conditions, mainly by improving the exposure of internal clusters and internal canopy ventilation. On the other hand, higher crop load treatment (S2) showed a real increase in yield (16%) without any relevant change into must composition, even improving total anthocyanin content into berry during ripening

Lifetime prevalence estimates of major depression: An indirect estimation method and a quantification of recall bias

The measurement of lifetime prevalence of depression in cross-sectional surveys is biased by recall problems. We estimated it indirectly for two countries using modelling, and quantified the underestimation in the empirical estimate for one. A microsimulation model was used to generate population-based epidemiological measures of depression. We fitted the model to 1-and 12-month prevalence data from the Netherlands Mental Health Survey and Incidence Study (NEMESIS) and the Australian Adult Mental Health and Wellbeing Survey. The lowest proportion of cases ever having an episode in their life is 30% of men and 40% of women, for both countries. This corresponds to a lifetime prevalence of 20 and 30%, respectively, in a cross-sectional setting (aged 15-65). The NEMESIS data were 38% lower than these estimates. We conclude that modelling enabled us to estimate lifetime prevalence of depression indirectly. This method is useful in the absence of direct measurement, but also showed that direct estimates are underestimated by recall bias and by the cross-sectional setting.

Application of Methods of Multi-criteria Evaluation in Choosing a Method of Compression as a Means of Heightening the Information Security of System and Applied Objects

In this paper is proposed a model for researching the capability to influence, by selected methods’ groups of compression, to the co-efficient of information security of selected objects’ groups, exposed to selected attacks’ groups. With the help of methods for multi-criteria evaluation are chosen the methods’ groups with the lowest risk with respect to the information security. Recommendations for future investigations are proposed.

Hybrid multi-objective optimization and hybridized self-organizing response surface method

Numerical optimization is a technique where a computer is used to explore design parameter combinations to find extremes in performance factors. In multi-objective optimization several performance factors can be optimized simultaneously. The solution to multi-objective optimization problems is not a single design, but a family of optimized designs referred to as the Pareto frontier. The Pareto frontier is a trade-off curve in the objective function space composed of solutions where performance in one objective function is traded for performance in others. A Multi-Objective Hybridized Optimizer (MOHO) was created for the purpose of solving multi-objective optimization problems by utilizing a set of constituent optimization algorithms. MOHO tracks the progress of the Pareto frontier approximation development and automatically switches amongst those constituent evolutionary optimization algorithms to speed the formation of an accurate Pareto frontier approximation. Aerodynamic shape optimization is one of the oldest applications of numerical optimization. MOHO was used to perform shape optimization on a 0.5-inch ballistic penetrator traveling at Mach number 2.5. Two objectives were simultaneously optimized: minimize aerodynamic drag and maximize penetrator volume. This problem was solved twice. The first time the problem was solved by using Modified Newton Impact Theory (MNIT) to determine the pressure drag on the penetrator. In the second solution, a Parabolized Navier-Stokes (PNS) solver that includes viscosity was used to evaluate the drag on the penetrator. The studies show the difference in the optimized penetrator shapes when viscosity is absent and present in the optimization. In modern optimization problems, objective function evaluations may require many hours on a computer cluster to perform these types of analysis. One solution is to create a response surface that models the behavior of the objective function. Once enough data about the behavior of the objective function has been collected, a response surface can be used to represent the actual objective function in the optimization process. The Hybrid Self-Organizing Response Surface Method (HYBSORSM) algorithm was developed and used to make response surfaces of objective functions. HYBSORSM was evaluated using a suite of 295 non-linear functions. These functions involve from 2 to 100 variables demonstrating robustness and accuracy of HYBSORSM.

Effects of weld strength mismatch on J and CTOD estimation procedure for SE(B) specimens

This work examines the effect of weld strength mismatch on fracture toughness measurements defined by J and CTOD fracture parameters using single edge notch bend (SE(B)) specimens. A central objective of the present study is to enlarge on previous developments of J and CTOD estimation procedures for welded bend specimens based upon plastic eta factors (eta) and plastic rotational factors (r (p) ). Very detailed non-linear finite element analyses for plane-strain models of standard SE(B) fracture specimens with a notch located at the center of square groove welds and in the heat affected zone provide the evolution of load with increased crack mouth opening displacement required for the estimation procedure. One key result emerging from the analyses is that levels of weld strength mismatch within the range +/- 20% mismatch do not affect significantly J and CTOD estimation expressions applicable to homogeneous materials, particularly for deeply cracked fracture specimens with relatively large weld grooves. The present study provides additional understanding on the effect of weld strength mismatch on J and CTOD toughness measurements while, at the same time, adding a fairly extensive body of results to determine parameters J and CTOD for different materials using bend specimens with varying geometries and mismatch levels.