A Minimum Variance Algorithm for Overdetermined TOA Equations with an Altitude Constraint.

Energy Technology Data Exchange (ETDEWEB)

Romero, Louis A; Mason, John J.

2018-04-01

We present a direct (non-iterative) method for solving for the location of a radio frequency (RF) emitter, or an RF navigation receiver, using four or more time of arrival (TOA) measurements and an assumed altitude above an ellipsoidal earth. Both the emitter tracking problem and the navigation application are governed by the same equations, but with slightly different interpreta- tions of several variables. We treat the assumed altitude as a soft constraint, with a specified noise level, just as the TOA measurements are handled, with their respective noise levels. With 4 or more TOA measurements and the assumed altitude, the problem is overdetermined and is solved in the weighted least squares sense for the 4 unknowns, the 3-dimensional position and time. We call the new technique the TAQMV (TOA Altitude Quartic Minimum Variance) algorithm, and it achieves the minimum possible error variance for given levels of TOA and altitude estimate noise. The method algebraically produces four solutions, the least-squares solution, and potentially three other low residual solutions, if they exist. In the lightly overdermined cases where multiple local minima in the residual error surface are more likely to occur, this algebraic approach can produce all of the minima even when an iterative approach fails to converge. Algorithm performance in terms of solution error variance and divergence rate for bas eline (iterative) and proposed approach are given in tables.

Portfolios dominating indices: Optimization with second-order stochastic dominance constraints vs. minimum and mean variance portfolios

OpenAIRE

Keçeci, Neslihan Fidan; Kuzmenko, Viktor; Uryasev, Stan

2016-01-01

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios

OpenAIRE

Neslihan Fidan Keçeci; Viktor Kuzmenko; Stan Uryasev

2016-01-01

The paper compares portfolio optimization with the Second-Order Stochastic Dominance (SSD) constraints with mean-variance and minimum variance portfolio optimization. As a distribution-free decision rule, stochastic dominance takes into account the entire distribution of return rather than some specific characteristic, such as variance. The paper is focused on practical applications of the portfolio optimization and uses the Portfolio Safeguard (PSG) package, which has precoded modules for op...

An improved minimum variance beamforming applied to plane-wave imaging in medical ultrasound

DEFF Research Database (Denmark)

Deylami, Ali Mohades; Asl, Babak Mohammadzadeh; Jensen, Jørgen Arendt

2016-01-01

Minimum variance beamformer (MVB) is an adaptive beamformer which provides images with higher resolution and contrast in comparison with non-adaptive beamformers like delay and sum (DAS). It finds weight vector of beamformer by minimizing output power while keeping the desired signal unchanged. We...

Robustness Beamforming Algorithms

Directory of Open Access Journals (Sweden)

Sajad Dehghani

2014-04-01

Full Text Available Adaptive beamforming methods are known to degrade in the presence of steering vector and covariance matrix uncertinity. In this paper, a new approach is presented to robust adaptive minimum variance distortionless response beamforming make robust against both uncertainties in steering vector and covariance matrix. This method minimize a optimization problem that contains a quadratic objective function and a quadratic constraint. The optimization problem is nonconvex but is converted to a convex optimization problem in this paper. It is solved by the interior-point method and optimum weight vector to robust beamforming is achieved.

Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix *

OpenAIRE

Ismail, Amine; Pham, Huyên

2016-01-01

This paper studies a robust continuous-time Markowitz portfolio selection pro\\-blem where the model uncertainty carries on the covariance matrix of multiple risky assets. This problem is formulated into a min-max mean-variance problem over a set of non-dominated probability measures that is solved by a McKean-Vlasov dynamic programming approach, which allows us to characterize the solution in terms of a Bellman-Isaacs equation in the Wasserstein space of probability measures. We provide expli...

Robust Pitch Estimation Using an Optimal Filter on Frequency Estimates

DEFF Research Database (Denmark)

Karimian-Azari, Sam; Jensen, Jesper Rindom; Christensen, Mads Græsbøll

2014-01-01

of such signals from unconstrained frequency estimates (UFEs). A minimum variance distortionless response (MVDR) method is proposed as an optimal solution to minimize the variance of UFEs considering the constraint of integer harmonics. The MVDR filter is designed based on noise statistics making it robust...

Robust Means Modeling: An Alternative for Hypothesis Testing of Independent Means under Variance Heterogeneity and Nonnormality

Science.gov (United States)

Fan, Weihua; Hancock, Gregory R.

2012-01-01

This study proposes robust means modeling (RMM) approaches for hypothesis testing of mean differences for between-subjects designs in order to control the biasing effects of nonnormality and variance inequality. Drawing from structural equation modeling (SEM), the RMM approaches make no assumption of variance homogeneity and employ robust…

On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization

NARCIS (Netherlands)

F. Cong (Fei); C.W. Oosterlee (Kees)

2017-01-01

textabstractWe consider robust pre-commitment and time-consistent mean-variance optimal asset allocation strategies, that are required to perform well also in a worst-case scenario regarding the development of the asset price. We show that worst-case scenarios for both strategies can be found by

Minimum variance linear unbiased estimators of loss and inventory

International Nuclear Information System (INIS)

Stewart, K.B.

1977-01-01

The article illustrates a number of approaches for estimating the material balance inventory and a constant loss amount from the accountability data from a sequence of accountability periods. The approaches all lead to linear estimates that have minimum variance. Techniques are shown whereby ordinary least squares, weighted least squares and generalized least squares computer programs can be used. Two approaches are recursive in nature and lend themselves to small specialized computer programs. Another approach is developed that is easy to program; could be used with a desk calculator and can be used in a recursive way from accountability period to accountability period. Some previous results are also reviewed that are very similar in approach to the present ones and vary only in the way net throughput measurements are statistically modeled. 5 refs

Improving boiler unit performance using an optimum robust minimum-order observer

International Nuclear Information System (INIS)

Moradi, Hamed; Bakhtiari-Nejad, Firooz

2011-01-01

Research highlights: → Multivariable model of a boiler unit with uncertainty. → Design of a robust minimum-order observer. → Developing an optimal functional code in MATLAB environment. → Finding optimum region of observer-based controller poles. → Guarantee of robust performance in the presence of parametric uncertainties. - Abstract: To achieve a good performance of the utility boiler, dynamic variables such as drum pressure, steam temperature and water level of drum must be controlled. In this paper, a linear time invariant (LTI) model of a boiler system is considered in which the input variables are feed-water and fuel mass rates. Due to the inaccessibility of some state variables of boiler system, a minimum-order observer is designed based on Luenberger's model to gain an estimate state x-tilde of the true state x. Low cost of design and high accuracy of states estimation are the main advantages of the minimum-order observer; in comparison with previous designed full-order observers. By applying the observer on the closed-loop system, a regulator system is designed. Using an optimal functional code developed in MATLAB environment, desired observer poles are found such that suitable time response specifications of the boiler system are achieved and the gain and phase margin values are adjusted in an acceptable range. However, the real dynamic model may associate with parametric uncertainties. In that case, optimum region of poles of observer-based controller are found such that the robust performance of the boiler system against model uncertainties is guaranteed.

Interdependence of NAFTA capital markets: A minimum variance portfolio approach

Directory of Open Access Journals (Sweden)

López-Herrera Francisco

2014-01-01

Full Text Available We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in international markets. Our results suggest that the behavior of NAFTA market investors is not consistent with that of a theoretical “risk-averse” agent during periods of high uncertainty and may be either considered as irrational or attributed to a possible “home country bias”. This finding represents valuable information for portfolio managers and contributes to a better understanding of the nature of the markets in which they invest. It also has practical implications in the design of international portfolio investment policies.

The Achilles Heel of Normal Determinations via Minimum Variance Techniques: Worldline Dependencies

Science.gov (United States)

Ma, Z.; Scudder, J. D.; Omidi, N.

2002-12-01

Time series of data collected across current layers are usually organized by divining coordinate transformations (as from minimum variance) that permits a geometrical interpretation for the data collected. Almost without exception the current layer geometry is inferred by supposing that the current carrying layer is locally planar. Only after this geometry is ``determined'' can the various quantities predicted by theory calculated. The precision of reconnection rated ``measured'' and the quantitative support for or against component reconnection be evaluated. This paper defines worldline traversals across fully resolved Hall two fluid models of reconnecting current sheets (with varying sizes of guide fields) and across a 2-D hybrid solution of a super critical shock layer. Along each worldline various variance techniques are used to infer current sheet normals based on the data observed along this worldline alone. We then contrast these inferred normals with those known from the overview of the fully resolved spatial pictures of the layer. Absolute errors of 20 degrees in the normal are quite commonplace, but errors of 40-90 deg are also implied, especially for worldlines that make more and more oblique angles to the true current sheet normal. These mistaken ``inferences'' are traceable to the degree that the data collected sample 2-D variations within these layers or not. While it is not surprising that these variance techniques give incorrect errors in the presence of layers that possess 2-D variations, it is illuminating that such large errors need not be signalled by the traditional error formulae for the error cones on normals that have been previously used to estimate the errors of normal choices. Frequently the absolute errors that depend on worldline path can be 10 times the random error that formulae would predict based on eigenvalues of the covariance matrix. A given time series cannot be associated in any a priori way with a specific worldline

Unbiased minimum variance estimator of a matrix exponential function. Application to Boltzmann/Bateman coupled equations solving

International Nuclear Information System (INIS)

Dumonteil, E.; Diop, C. M.

2009-01-01

This paper derives an unbiased minimum variance estimator (UMVE) of a matrix exponential function of a normal wean. The result is then used to propose a reference scheme to solve Boltzmann/Bateman coupled equations, thanks to Monte Carlo transport codes. The last section will present numerical results on a simple example. (authors)

Experimental performance assessment of the sub-band minimum variance beamformer for ultrasound imaging

DEFF Research Database (Denmark)

Diamantis, Konstantinos; Greenaway, Alan H.; Anderson, Tom

2017-01-01

Recent progress in adaptive beamforming techniques for medical ultrasound has shown that current resolution limits can be surpassed. One method of obtaining improved lateral resolution is the Minimum Variance (MV) beamformer. The frequency domain implementation of this method effectively divides...... the broadband ultrasound signals into sub-bands (MVS) to conform with the narrow-band assumption of the original MV theory. This approach is investigated here using experimental Synthetic Aperture (SA) data from wire and cyst phantoms. A 7 MHz linear array transducer is used with the SARUS experimental...

Eigenspace-Based Minimum Variance Adaptive Beamformer Combined with Delay Multiply and Sum: Experimental Study

OpenAIRE

Mozaffarzadeh, Moein; Mahloojifar, Ali; Nasiriavanaki, Mohammadreza; Orooji, Mahdi

2017-01-01

Delay and sum (DAS) is the most common beamforming algorithm in linear-array photoacoustic imaging (PAI) as a result of its simple implementation. However, it leads to a low resolution and high sidelobes. Delay multiply and sum (DMAS) was used to address the incapabilities of DAS, providing a higher image quality. However, the resolution improvement is not well enough compared to eigenspace-based minimum variance (EIBMV). In this paper, the EIBMV beamformer has been combined with DMAS algebra...

Linear-array photoacoustic imaging using minimum variance-based delay multiply and sum adaptive beamforming algorithm

Science.gov (United States)

Mozaffarzadeh, Moein; Mahloojifar, Ali; Orooji, Mahdi; Kratkiewicz, Karl; Adabi, Saba; Nasiriavanaki, Mohammadreza

2018-02-01

In photoacoustic imaging, delay-and-sum (DAS) beamformer is a common beamforming algorithm having a simple implementation. However, it results in a poor resolution and high sidelobes. To address these challenges, a new algorithm namely delay-multiply-and-sum (DMAS) was introduced having lower sidelobes compared to DAS. To improve the resolution of DMAS, a beamformer is introduced using minimum variance (MV) adaptive beamforming combined with DMAS, so-called minimum variance-based DMAS (MVB-DMAS). It is shown that expanding the DMAS equation results in multiple terms representing a DAS algebra. It is proposed to use the MV adaptive beamformer instead of the existing DAS. MVB-DMAS is evaluated numerically and experimentally. In particular, at the depth of 45 mm MVB-DMAS results in about 31, 18, and 8 dB sidelobes reduction compared to DAS, MV, and DMAS, respectively. The quantitative results of the simulations show that MVB-DMAS leads to improvement in full-width-half-maximum about 96%, 94%, and 45% and signal-to-noise ratio about 89%, 15%, and 35% compared to DAS, DMAS, MV, respectively. In particular, at the depth of 33 mm of the experimental images, MVB-DMAS results in about 20 dB sidelobes reduction in comparison with other beamformers.

Linear-array photoacoustic imaging using minimum variance-based delay multiply and sum adaptive beamforming algorithm.

Science.gov (United States)

Mozaffarzadeh, Moein; Mahloojifar, Ali; Orooji, Mahdi; Kratkiewicz, Karl; Adabi, Saba; Nasiriavanaki, Mohammadreza

2018-02-01

In photoacoustic imaging, delay-and-sum (DAS) beamformer is a common beamforming algorithm having a simple implementation. However, it results in a poor resolution and high sidelobes. To address these challenges, a new algorithm namely delay-multiply-and-sum (DMAS) was introduced having lower sidelobes compared to DAS. To improve the resolution of DMAS, a beamformer is introduced using minimum variance (MV) adaptive beamforming combined with DMAS, so-called minimum variance-based DMAS (MVB-DMAS). It is shown that expanding the DMAS equation results in multiple terms representing a DAS algebra. It is proposed to use the MV adaptive beamformer instead of the existing DAS. MVB-DMAS is evaluated numerically and experimentally. In particular, at the depth of 45 mm MVB-DMAS results in about 31, 18, and 8 dB sidelobes reduction compared to DAS, MV, and DMAS, respectively. The quantitative results of the simulations show that MVB-DMAS leads to improvement in full-width-half-maximum about 96%, 94%, and 45% and signal-to-noise ratio about 89%, 15%, and 35% compared to DAS, DMAS, MV, respectively. In particular, at the depth of 33 mm of the experimental images, MVB-DMAS results in about 20 dB sidelobes reduction in comparison with other beamformers. (2018) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE).

A phantom study on temporal and subband Minimum Variance adaptive beamforming

DEFF Research Database (Denmark)

Diamantis, Konstantinos; Voxen, Iben Holfort; Greenaway, Alan H.

2014-01-01

This paper compares experimentally temporal and subband implementations of the Minimum Variance (MV) adaptive beamformer for medical ultrasound imaging. The performance of the two approaches is tested by comparing wire phantom measurements, obtained by the research ultrasound scanner SARUS. A 7 MHz...... BK8804 linear transducer was used to scan a wire phantom in which wires are separated by 10 mm. Performance is then evaluated by the lateral Full-Width-Half-Maximum (FWHM), the Peak Sidelobe Level (PSL), and the computational load. Beamformed single emission responses are also compared with those...... from conventional Delay-and-Sum (DAS) beamformer. FWHM measured at the depth of 46.6 mm, is 0.02 mm (0.09λ) for both adaptive methods while the corresponding values for Hanning and Boxcar weights are 0.64 and 0.44 mm respectively. Between the MV beamformers a -2 dB difference in PSL is noticed in favor...

Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter

KAUST Repository

Luo, Xiaodong; Hoteit, Ibrahim

2011-01-01

A robust ensemble filtering scheme based on the H∞ filtering theory is proposed. The optimal H∞ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the minimum variance used

Multi-period fuzzy mean-semi variance portfolio selection problem with transaction cost and minimum transaction lots using genetic algorithm

Directory of Open Access Journals (Sweden)

Mohammad Ali Barati

2016-04-01

Full Text Available Multi-period models of portfolio selection have been developed in the literature with respect to certain assumptions. In this study, for the first time, the portfolio selection problem has been modeled based on mean-semi variance with transaction cost and minimum transaction lots considering functional constraints and fuzzy parameters. Functional constraints such as transaction cost and minimum transaction lots were included. In addition, the returns on assets parameters were considered as trapezoidal fuzzy numbers. An efficient genetic algorithm (GA was designed, results were analyzed using numerical instances and sensitivity analysis were executed. In the numerical study, the problem was solved based on the presence or absence of each mode of constraints including transaction costs and minimum transaction lots. In addition, with the use of sensitivity analysis, the results of the model were presented with the variations of minimum expected rate of programming periods.

Effects of Important Parameters Variations on Computing Eigenspace-Based Minimum Variance Weights for Ultrasound Tissue Harmonic Imaging

OpenAIRE

Heidari, Mehdi Haji; Mozaffarzadeh, Moein; Manwar, Rayyan; Nasiriavanaki, Mohammadreza

2018-01-01

In recent years, the minimum variance (MV) beamforming has been widely studied due to its high resolution and contrast in B-mode Ultrasound imaging (USI). However, the performance of the MV beamformer is degraded at the presence of noise, as a result of the inaccurate covariance matrix estimation which leads to a low quality image. Second harmonic imaging (SHI) provides many advantages over the conventional pulse-echo USI, such as enhanced axial and lateral resolutions. However, the low signa...

Portfolio optimization with mean-variance model

Science.gov (United States)

Hoe, Lam Weng; Siew, Lam Weng

2016-06-01

Investors wish to achieve the target rate of return at the minimum level of risk in their investment. Portfolio optimization is an investment strategy that can be used to minimize the portfolio risk and can achieve the target rate of return. The mean-variance model has been proposed in portfolio optimization. The mean-variance model is an optimization model that aims to minimize the portfolio risk which is the portfolio variance. The objective of this study is to construct the optimal portfolio using the mean-variance model. The data of this study consists of weekly returns of 20 component stocks of FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI). The results of this study show that the portfolio composition of the stocks is different. Moreover, investors can get the return at minimum level of risk with the constructed optimal mean-variance portfolio.

Experimental performance assessment of the sub-band minimum variance beamformer for ultrasound imaging

DEFF Research Database (Denmark)

Diamantis, Konstantinos; Greenaway, Alan H.; Anderson, Tom

2017-01-01

Recent progress in adaptive beamforming techniques for medical ultrasound has shown that current resolution limits can be surpassed. One method of obtaining improved lateral resolution is the Minimum Variance (MV) beamformer. The frequency domain implementation of this method effectively divides...... the broadband ultrasound signals into sub-bands (MVS) to conform with the narrow-band assumption of the original MV theory. This approach is investigated here using experimental Synthetic Aperture (SA) data from wire and cyst phantoms. A 7 MHz linear array transducer is used with the SARUS experimental...... ultrasound scanner for the data acquisition. The lateral resolution and the contrast obtained, are evaluated and compared with those from the conventional Delay-and-Sum (DAS) beamformer and the MV temporal implementation (MVT). From the wire phantom the Full-Width-at-Half-Maximum (FWHM) measured at a depth...

Iterative Minimum Variance Beamformer with Low Complexity for Medical Ultrasound Imaging.

Science.gov (United States)

Deylami, Ali Mohades; Asl, Babak Mohammadzadeh

2018-06-04

Minimum variance beamformer (MVB) improves the resolution and contrast of medical ultrasound images compared with delay and sum (DAS) beamformer. The weight vector of this beamformer should be calculated for each imaging point independently, with a cost of increasing computational complexity. The large number of necessary calculations limits this beamformer to application in real-time systems. A beamformer is proposed based on the MVB with lower computational complexity while preserving its advantages. This beamformer avoids matrix inversion, which is the most complex part of the MVB, by solving the optimization problem iteratively. The received signals from two imaging points close together do not vary much in medical ultrasound imaging. Therefore, using the previously optimized weight vector for one point as initial weight vector for the new neighboring point can improve the convergence speed and decrease the computational complexity. The proposed method was applied on several data sets, and it has been shown that the method can regenerate the results obtained by the MVB while the order of complexity is decreased from O(L 3 ) to O(L 2 ). Copyright © 2018 World Federation for Ultrasound in Medicine and Biology. Published by Elsevier Inc. All rights reserved.

Robust Least-Squares Support Vector Machine With Minimization of Mean and Variance of Modeling Error.

Science.gov (United States)

Lu, Xinjiang; Liu, Wenbo; Zhou, Chuang; Huang, Minghui

2017-06-13

The least-squares support vector machine (LS-SVM) is a popular data-driven modeling method and has been successfully applied to a wide range of applications. However, it has some disadvantages, including being ineffective at handling non-Gaussian noise as well as being sensitive to outliers. In this paper, a robust LS-SVM method is proposed and is shown to have more reliable performance when modeling a nonlinear system under conditions where Gaussian or non-Gaussian noise is present. The construction of a new objective function allows for a reduction of the mean of the modeling error as well as the minimization of its variance, and it does not constrain the mean of the modeling error to zero. This differs from the traditional LS-SVM, which uses a worst-case scenario approach in order to minimize the modeling error and constrains the mean of the modeling error to zero. In doing so, the proposed method takes the modeling error distribution information into consideration and is thus less conservative and more robust in regards to random noise. A solving method is then developed in order to determine the optimal parameters for the proposed robust LS-SVM. An additional analysis indicates that the proposed LS-SVM gives a smaller weight to a large-error training sample and a larger weight to a small-error training sample, and is thus more robust than the traditional LS-SVM. The effectiveness of the proposed robust LS-SVM is demonstrated using both artificial and real life cases.

Efficient Cardinality/Mean-Variance Portfolios

OpenAIRE

Brito, R. Pedro; Vicente, Luís Nunes

2014-01-01

International audience; We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results s...

Eigenspace-based minimum variance adaptive beamformer combined with delay multiply and sum: experimental study

Science.gov (United States)

Mozaffarzadeh, Moein; Mahloojifar, Ali; Nasiriavanaki, Mohammadreza; Orooji, Mahdi

2018-02-01

Delay and sum (DAS) is the most common beamforming algorithm in linear-array photoacoustic imaging (PAI) as a result of its simple implementation. However, it leads to a low resolution and high sidelobes. Delay multiply and sum (DMAS) was used to address the incapabilities of DAS, providing a higher image quality. However, the resolution improvement is not well enough compared to eigenspace-based minimum variance (EIBMV). In this paper, the EIBMV beamformer has been combined with DMAS algebra, called EIBMV-DMAS, using the expansion of DMAS algorithm. The proposed method is used as the reconstruction algorithm in linear-array PAI. EIBMV-DMAS is experimentally evaluated where the quantitative and qualitative results show that it outperforms DAS, DMAS and EIBMV. The proposed method degrades the sidelobes for about 365 %, 221 % and 40 %, compared to DAS, DMAS and EIBMV, respectively. Moreover, EIBMV-DMAS improves the SNR about 158 %, 63 % and 20 %, respectively.

Robust control of flexible space vehicles with minimum structural excitation: On-off pulse control of flexible space vehicles

Science.gov (United States)

Wie, Bong; Liu, Qiang

1992-01-01

Both feedback and feedforward control approaches for uncertain dynamical systems (in particular, with uncertainty in structural mode frequency) are investigated. The control objective is to achieve a fast settling time (high performance) and robustness (insensitivity) to plant uncertainty. Preshaping of an ideal, time optimal control input using a tapped-delay filter is shown to provide a fast settling time with robust performance. A robust, non-minimum-phase feedback controller is synthesized with particular emphasis on its proper implementation for a non-zero set-point control problem. It is shown that a properly designed, feedback controller performs well, as compared with a time optimal open loop controller with special preshaping for performance robustness. Also included are two separate papers by the same authors on this subject.

Improving boiler unit performance using an optimum robust minimum-order observer

Energy Technology Data Exchange (ETDEWEB)

Moradi, Hamed; Bakhtiari-Nejad, Firooz [Energy and Control Centre of Excellence, Department of Mechanical Engineering, Amirkabir University of Technology, Tehran (Iran, Islamic Republic of)

2011-03-15

To achieve a good performance of the utility boiler, dynamic variables such as drum pressure, steam temperature and water level of drum must be controlled. In this paper, a linear time invariant (LTI) model of a boiler system is considered in which the input variables are feed-water and fuel mass rates. Due to the inaccessibility of some state variables of boiler system, a minimum-order observer is designed based on Luenberger's model to gain an estimate state x of the true state x. Low cost of design and high accuracy of states estimation are the main advantages of the minimum-order observer; in comparison with previous designed full-order observers. By applying the observer on the closed-loop system, a regulator system is designed. Using an optimal functional code developed in MATLAB environment, desired observer poles are found such that suitable time response specifications of the boiler system are achieved and the gain and phase margin values are adjusted in an acceptable range. However, the real dynamic model may associate with parametric uncertainties. In that case, optimum region of poles of observer-based controller are found such that the robust performance of the boiler system against model uncertainties is guaranteed. (author)

Robust Inference with Multi-way Clustering

OpenAIRE

A. Colin Cameron; Jonah B. Gelbach; Douglas L. Miller; Doug Miller

2009-01-01

In this paper we propose a variance estimator for the OLS estimator as well as for nonlinear estimators such as logit, probit and GMM. This variance estimator enables cluster-robust inference when there is two-way or multi-way clustering that is non-nested. The variance estimator extends the standard cluster-robust variance estimator or sandwich estimator for one-way clustering (e.g. Liang and Zeger (1986), Arellano (1987)) and relies on similar relatively weak distributional assumptions. Our...

Multidimensional adaptive testing with a minimum error-variance criterion

NARCIS (Netherlands)

van der Linden, Willem J.

1997-01-01

The case of adaptive testing under a multidimensional logistic response model is addressed. An adaptive algorithm is proposed that minimizes the (asymptotic) variance of the maximum-likelihood (ML) estimator of a linear combination of abilities of interest. The item selection criterion is a simple

Output Power Control of Wind Turbine Generator by Pitch Angle Control using Minimum Variance Control

Science.gov (United States)

Senjyu, Tomonobu; Sakamoto, Ryosei; Urasaki, Naomitsu; Higa, Hiroki; Uezato, Katsumi; Funabashi, Toshihisa

In recent years, there have been problems such as exhaustion of fossil fuels, e. g., coal and oil, and environmental pollution resulting from consumption. Effective utilization of renewable energies such as wind energy is expected instead of the fossil fuel. Wind energy is not constant and windmill output is proportional to the cube of wind speed, which cause the generated power of wind turbine generators (WTGs) to fluctuate. In order to reduce fluctuating components, there is a method to control pitch angle of blades of the windmill. In this paper, output power leveling of wind turbine generator by pitch angle control using an adaptive control is proposed. A self-tuning regulator is used in adaptive control. The control input is determined by the minimum variance control. It is possible to compensate control input to alleviate generating power fluctuation with using proposed controller. The simulation results with using actual detailed model for wind power system show effectiveness of the proposed controller.

Robust linear discriminant analysis with distance based estimators

Science.gov (United States)

Lim, Yai-Fung; Yahaya, Sharipah Soaad Syed; Ali, Hazlina

2017-11-01

Linear discriminant analysis (LDA) is one of the supervised classification techniques concerning relationship between a categorical variable and a set of continuous variables. The main objective of LDA is to create a function to distinguish between populations and allocating future observations to previously defined populations. Under the assumptions of normality and homoscedasticity, the LDA yields optimal linear discriminant rule (LDR) between two or more groups. However, the optimality of LDA highly relies on the sample mean and pooled sample covariance matrix which are known to be sensitive to outliers. To alleviate these conflicts, a new robust LDA using distance based estimators known as minimum variance vector (MVV) has been proposed in this study. The MVV estimators were used to substitute the classical sample mean and classical sample covariance to form a robust linear discriminant rule (RLDR). Simulation and real data study were conducted to examine on the performance of the proposed RLDR measured in terms of misclassification error rates. The computational result showed that the proposed RLDR is better than the classical LDR and was comparable with the existing robust LDR.

minimum variance estimation of yield parameters of rubber tree

African Journals Online (AJOL)

2013-03-01

Mar 1, 2013 ... It is our opinion that Kalman filter is a robust estimator of the ... Kalman filter, parameter estimation, rubber clones, Chow failure test, autocorrelation, STAMP, data ...... Mills, T.C. Modelling Current Temperature Trends.

Nonlinear unbiased minimum-variance filter for Mars entry autonomous navigation under large uncertainties and unknown measurement bias.

Science.gov (United States)

Xiao, Mengli; Zhang, Yongbo; Fu, Huimin; Wang, Zhihua

2018-05-01

High-precision navigation algorithm is essential for the future Mars pinpoint landing mission. The unknown inputs caused by large uncertainties of atmospheric density and aerodynamic coefficients as well as unknown measurement biases may cause large estimation errors of conventional Kalman filters. This paper proposes a derivative-free version of nonlinear unbiased minimum variance filter for Mars entry navigation. This filter has been designed to solve this problem by estimating the state and unknown measurement biases simultaneously with derivative-free character, leading to a high-precision algorithm for the Mars entry navigation. IMU/radio beacons integrated navigation is introduced in the simulation, and the result shows that with or without radio blackout, our proposed filter could achieve an accurate state estimation, much better than the conventional unscented Kalman filter, showing the ability of high-precision Mars entry navigation algorithm. Copyright © 2018 ISA. Published by Elsevier Ltd. All rights reserved.

A comparison between temporal and subband minimum variance adaptive beamforming

Science.gov (United States)

Diamantis, Konstantinos; Voxen, Iben H.; Greenaway, Alan H.; Anderson, Tom; Jensen, Jørgen A.; Sboros, Vassilis

2014-03-01

This paper compares the performance between temporal and subband Minimum Variance (MV) beamformers for medical ultrasound imaging. Both adaptive methods provide an optimized set of apodization weights but are implemented in the time and frequency domains respectively. Their performance is evaluated with simulated synthetic aperture data obtained from Field II and is quantified by the Full-Width-Half-Maximum (FWHM), the Peak-Side-Lobe level (PSL) and the contrast level. From a point phantom, a full sequence of 128 emissions with one transducer element transmitting and all 128 elements receiving each time, provides a FWHM of 0.03 mm (0.14λ) for both implementations at a depth of 40 mm. This value is more than 20 times lower than the one achieved by conventional beamforming. The corresponding values of PSL are -58 dB and -63 dB for time and frequency domain MV beamformers, while a value no lower than -50 dB can be obtained from either Boxcar or Hanning weights. Interestingly, a single emission with central element #64 as the transmitting aperture provides results comparable to the full sequence. The values of FWHM are 0.04 mm and 0.03 mm and those of PSL are -42 dB and -46 dB for temporal and subband approaches. From a cyst phantom and for 128 emissions, the contrast level is calculated at -54 dB and -63 dB respectively at the same depth, with the initial shape of the cyst being preserved in contrast to conventional beamforming. The difference between the two adaptive beamformers is less significant in the case of a single emission, with the contrast level being estimated at -42 dB for the time domain and -43 dB for the frequency domain implementation. For the estimation of a single MV weight of a low resolution image formed by a single emission, 0.44 * 109 calculations per second are required for the temporal approach. The same numbers for the subband approach are 0.62 * 109 for the point and 1.33 * 109 for the cyst phantom. The comparison demonstrates similar

Toward a more robust variance-based global sensitivity analysis of model outputs

Energy Technology Data Exchange (ETDEWEB)

Tong, C

2007-10-15

Global sensitivity analysis (GSA) measures the variation of a model output as a function of the variations of the model inputs given their ranges. In this paper we consider variance-based GSA methods that do not rely on certain assumptions about the model structure such as linearity or monotonicity. These variance-based methods decompose the output variance into terms of increasing dimensionality called 'sensitivity indices', first introduced by Sobol' [25]. Sobol' developed a method of estimating these sensitivity indices using Monte Carlo simulations. McKay [13] proposed an efficient method using replicated Latin hypercube sampling to compute the 'correlation ratios' or 'main effects', which have been shown to be equivalent to Sobol's first-order sensitivity indices. Practical issues with using these variance estimators are how to choose adequate sample sizes and how to assess the accuracy of the results. This paper proposes a modified McKay main effect method featuring an adaptive procedure for accuracy assessment and improvement. We also extend our adaptive technique to the computation of second-order sensitivity indices. Details of the proposed adaptive procedure as wells as numerical results are included in this paper.

Robust inference in sample selection models

KAUST Repository

Zhelonkin, Mikhail; Genton, Marc G.; Ronchetti, Elvezio

2015-01-01

The problem of non-random sample selectivity often occurs in practice in many fields. The classical estimators introduced by Heckman are the backbone of the standard statistical analysis of these models. However, these estimators are very sensitive to small deviations from the distributional assumptions which are often not satisfied in practice. We develop a general framework to study the robustness properties of estimators and tests in sample selection models. We derive the influence function and the change-of-variance function of Heckman's two-stage estimator, and we demonstrate the non-robustness of this estimator and its estimated variance to small deviations from the model assumed. We propose a procedure for robustifying the estimator, prove its asymptotic normality and give its asymptotic variance. Both cases with and without an exclusion restriction are covered. This allows us to construct a simple robust alternative to the sample selection bias test. We illustrate the use of our new methodology in an analysis of ambulatory expenditures and we compare the performance of the classical and robust methods in a Monte Carlo simulation study.

Robust inference in sample selection models

KAUST Repository

Zhelonkin, Mikhail

2015-11-20

The problem of non-random sample selectivity often occurs in practice in many fields. The classical estimators introduced by Heckman are the backbone of the standard statistical analysis of these models. However, these estimators are very sensitive to small deviations from the distributional assumptions which are often not satisfied in practice. We develop a general framework to study the robustness properties of estimators and tests in sample selection models. We derive the influence function and the change-of-variance function of Heckman\\'s two-stage estimator, and we demonstrate the non-robustness of this estimator and its estimated variance to small deviations from the model assumed. We propose a procedure for robustifying the estimator, prove its asymptotic normality and give its asymptotic variance. Both cases with and without an exclusion restriction are covered. This allows us to construct a simple robust alternative to the sample selection bias test. We illustrate the use of our new methodology in an analysis of ambulatory expenditures and we compare the performance of the classical and robust methods in a Monte Carlo simulation study.

Robust Branch-Cut-and-Price for the Capacitated Minimum Spanning Tree Problem over a Large Extended Formulation

DEFF Research Database (Denmark)

Uchoa, Eduardo; Fukasawa, Ricardo; Lysgaard, Jens

This paper presents a robust branch-cut-and-price algorithm for the Capacitated Minimum Spanning Tree Problem (CMST). The variables are associated to q-arbs, a structure that arises from a relaxation of the capacitated prize-collecting arborescence problem in order to make it solvable in pseudo......-polynomial time. Traditional inequalities over the arc formulation, like Capacity Cuts, are also used. Moreover, a novel feature is introduced in such kind of algorithms. Powerful new cuts expressed over a very large set of variables could be added, without increasing the complexity of the pricing subproblem...

Robust Approaches to Forecasting

OpenAIRE

Jennifer Castle; David Hendry; Michael P. Clements

2014-01-01

We investigate alternative robust approaches to forecasting, using a new class of robust devices, contrasted with equilibrium correction models. Their forecasting properties are derived facing a range of likely empirical problems at the forecast origin, including measurement errors, implulses, omitted variables, unanticipated location shifts and incorrectly included variables that experience a shift. We derive the resulting forecast biases and error variances, and indicate when the methods ar...

Robustness of variance and autocorrelation as indicators of critical slowing down

NARCIS (Netherlands)

Dakos, V.; Nes, van E.H.; Odorico, D' P.; Scheffer, M.

2012-01-01

Ecosystems close to a critical threshold lose resilience, in the sense that perturbations can more easily push them into an alternative state. Recently, it has been proposed that such loss of resilience may be detected from elevated autocorrelation and variance in the fluctuations of the state of an

On the robustness of two-stage estimators

KAUST Repository

Zhelonkin, Mikhail; Genton, Marc G.; Ronchetti, Elvezio

2012-01-01

The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general

Robust structural optimization using Gauss-type quadrature formula

International Nuclear Information System (INIS)

Lee, Sang Hoon; Seo, Ki Seog; Chen, Shikui; Chen, Wei

2009-01-01

In robust design, the mean and variance of design performance are frequently used to measure the design performance and its robustness under uncertainties. In this paper, we present the Gauss-type quadrature formula as a rigorous method for mean and variance estimation involving arbitrary input distributions and further extend its use to robust design optimization. One dimensional Gauss-type quadrature formula are constructed from the input probability distributions and utilized in the construction of multidimensional quadrature formula such as the Tensor Product Quadrature (TPQ) formula and the Univariate Dimension Reduction (UDR) method. To improve the efficiency of using it for robust design optimization, a semi-analytic design sensitivity analysis with respect to the statistical moments is proposed. The proposed approach is applied to a simple bench mark problems and robust topology optimization of structures considering various types of uncertainty.

Robust structural optimization using Gauss-type quadrature formula

Energy Technology Data Exchange (ETDEWEB)

Lee, Sang Hoon; Seo, Ki Seog [Korea Atomic Energy Research Institute, Daejeon (Korea, Republic of); Chen, Shikui; Chen, Wei [Northwestern University, Illinois (United States)

2009-07-01

In robust design, the mean and variance of design performance are frequently used to measure the design performance and its robustness under uncertainties. In this paper, we present the Gauss-type quadrature formula as a rigorous method for mean and variance estimation involving arbitrary input distributions and further extend its use to robust design optimization. One dimensional Gauss-type quadrature formula are constructed from the input probability distributions and utilized in the construction of multidimensional quadrature formula such as the Tensor Product Quadrature (TPQ) formula and the Univariate Dimension Reduction (UDR) method. To improve the efficiency of using it for robust design optimization, a semi-analytic design sensitivity analysis with respect to the statistical moments is proposed. The proposed approach is applied to a simple bench mark problems and robust topology optimization of structures considering various types of uncertainty.

Robust Structural Optimization Using Gauss-type Quadrature Formula

Energy Technology Data Exchange (ETDEWEB)

Lee, Sang Hoon; Seo, Ki Seog; Chen, Shikui; Chen, Wei [Korea Atomic Energy Research Institute, Daejeon (Korea, Republic of)

2009-08-15

In robust design, the mean and variance of design performance are frequently used to measure the design performance and its robustness under uncertainties. In this paper, we present the Gauss-type quadrature formula as a rigorous method for mean and variance estimation involving arbitrary input distributions and further extend its use to robust design optimization. One dimensional Gauss-type quadrature formula are constructed from the input probability distributions and utilized in the construction of multidimensional quadrature formula such as the tensor product quadrature (TPQ) formula and the univariate dimension reduction (UDR) method. To improve the efficiency of using it for robust design optimization, a semi-analytic design sensitivity analysis with respect to the statistical moments is proposed. The proposed approach is applied to a simple bench mark problems and robust topology optimization of structures considering various types of uncertainty.

Robust Structural Optimization Using Gauss-type Quadrature Formula

International Nuclear Information System (INIS)

Lee, Sang Hoon; Seo, Ki Seog; Chen, Shikui; Chen, Wei

2009-01-01

In robust design, the mean and variance of design performance are frequently used to measure the design performance and its robustness under uncertainties. In this paper, we present the Gauss-type quadrature formula as a rigorous method for mean and variance estimation involving arbitrary input distributions and further extend its use to robust design optimization. One dimensional Gauss-type quadrature formula are constructed from the input probability distributions and utilized in the construction of multidimensional quadrature formula such as the tensor product quadrature (TPQ) formula and the univariate dimension reduction (UDR) method. To improve the efficiency of using it for robust design optimization, a semi-analytic design sensitivity analysis with respect to the statistical moments is proposed. The proposed approach is applied to a simple bench mark problems and robust topology optimization of structures considering various types of uncertainty

Robust Adaptive LCMV Beamformer Based On An Iterative Suboptimal Solution

Directory of Open Access Journals (Sweden)

Xiansheng Guo

2015-06-01

Full Text Available The main drawback of closed-form solution of linearly constrained minimum variance (CF-LCMV beamformer is the dilemma of acquiring long observation time for stable covariance matrix estimates and short observation time to track dynamic behavior of targets, leading to poor performance including low signal-noise-ratio (SNR, low jammer-to-noise ratios (JNRs and small number of snapshots. Additionally, CF-LCMV suffers from heavy computational burden which mainly comes from two matrix inverse operations for computing the optimal weight vector. In this paper, we derive a low-complexity Robust Adaptive LCMV beamformer based on an Iterative Suboptimal solution (RAIS-LCMV using conjugate gradient (CG optimization method. The merit of our proposed method is threefold. Firstly, RAIS-LCMV beamformer can reduce the complexity of CF-LCMV remarkably. Secondly, RAIS-LCMV beamformer can adjust output adaptively based on measurement and its convergence speed is comparable. Finally, RAIS-LCMV algorithm has robust performance against low SNR, JNRs, and small number of snapshots. Simulation results demonstrate the superiority of our proposed algorithms.

Minimum variance optimal rate allocation for multiplexed H.264/AVC bitstreams.

Science.gov (United States)

Tagliasacchi, Marco; Valenzise, Giuseppe; Tubaro, Stefano

2008-07-01

Consider the problem of transmitting multiple video streams to fulfill a constant bandwidth constraint. The available bit budget needs to be distributed across the sequences in order to meet some optimality criteria. For example, one might want to minimize the average distortion or, alternatively, minimize the distortion variance, in order to keep almost constant quality among the encoded sequences. By working in the rho-domain, we propose a low-delay rate allocation scheme that, at each time instant, provides a closed form solution for either the aforementioned problems. We show that minimizing the distortion variance instead of the average distortion leads, for each of the multiplexed sequences, to a coding penalty less than 0.5 dB, in terms of average PSNR. In addition, our analysis provides an explicit relationship between model parameters and this loss. In order to smooth the distortion also along time, we accommodate a shared encoder buffer to compensate for rate fluctuations. Although the proposed scheme is general, and it can be adopted for any video and image coding standard, we provide experimental evidence by transcoding bitstreams encoded using the state-of-the-art H.264/AVC standard. The results of our simulations reveal that is it possible to achieve distortion smoothing both in time and across the sequences, without sacrificing coding efficiency.

Variance Swaps in BM&F: Pricing and Viability of Hedge

Directory of Open Access Journals (Sweden)

Richard John Brostowicz Junior

2010-07-01

Full Text Available A variance swap can theoretically be priced with an infinite set of vanilla calls and puts options considering that the realized variance follows a purely diffusive process with continuous monitoring. In this article we willanalyze the possible differences in pricing considering discrete monitoring of realized variance. It will analyze the pricing of variance swaps with payoff in dollars, since there is a OTC market that works this way and thatpotentially serve as a hedge for the variance swaps traded in BM&F. Additionally, will be tested the feasibility of hedge of variance swaps when there is liquidity in just a few exercise prices, as is the case of FX optionstraded in BM&F. Thus be assembled portfolios containing variance swaps and their replicating portfolios using the available exercise prices as proposed in (DEMETERFI et al., 1999. With these portfolios, the effectiveness of the hedge was not robust in mostly of tests conducted in this work.

Development of a method of robust rain gauge network optimization based on intensity-duration-frequency results

Directory of Open Access Journals (Sweden)

A. Chebbi

2013-10-01

Full Text Available Based on rainfall intensity-duration-frequency (IDF curves, fitted in several locations of a given area, a robust optimization approach is proposed to identify the best locations to install new rain gauges. The advantage of robust optimization is that the resulting design solutions yield networks which behave acceptably under hydrological variability. Robust optimization can overcome the problem of selecting representative rainfall events when building the optimization process. This paper reports an original approach based on Montana IDF model parameters. The latter are assumed to be geostatistical variables, and their spatial interdependence is taken into account through the adoption of cross-variograms in the kriging process. The problem of optimally locating a fixed number of new monitoring stations based on an existing rain gauge network is addressed. The objective function is based on the mean spatial kriging variance and rainfall variogram structure using a variance-reduction method. Hydrological variability was taken into account by considering and implementing several return periods to define the robust objective function. Variance minimization is performed using a simulated annealing algorithm. In addition, knowledge of the time horizon is needed for the computation of the robust objective function. A short- and a long-term horizon were studied, and optimal networks are identified for each. The method developed is applied to north Tunisia (area = 21 000 km2. Data inputs for the variogram analysis were IDF curves provided by the hydrological bureau and available for 14 tipping bucket type rain gauges. The recording period was from 1962 to 2001, depending on the station. The study concerns an imaginary network augmentation based on the network configuration in 1973, which is a very significant year in Tunisia because there was an exceptional regional flood event in March 1973. This network consisted of 13 stations and did not meet World

Methodology in robust and nonparametric statistics

CERN Document Server

Jurecková, Jana; Picek, Jan

2012-01-01

Introduction and SynopsisIntroductionSynopsisPreliminariesIntroductionInference in Linear ModelsRobustness ConceptsRobust and Minimax Estimation of LocationClippings from Probability and Asymptotic TheoryProblemsRobust Estimation of Location and RegressionIntroductionM-EstimatorsL-EstimatorsR-EstimatorsMinimum Distance and Pitman EstimatorsDifferentiable Statistical FunctionsProblemsAsymptotic Representations for L-Estimators

Estimating integrated variance in the presence of microstructure noise using linear regression

Science.gov (United States)

Holý, Vladimír

2017-07-01

Using financial high-frequency data for estimation of integrated variance of asset prices is beneficial but with increasing number of observations so-called microstructure noise occurs. This noise can significantly bias the realized variance estimator. We propose a method for estimation of the integrated variance robust to microstructure noise as well as for testing the presence of the noise. Our method utilizes linear regression in which realized variances estimated from different data subsamples act as dependent variable while the number of observations act as explanatory variable. We compare proposed estimator with other methods on simulated data for several microstructure noise structures.

Robust branch-cut-and-price for the Capacitated Minimum Spanning Tree problem over a large extended formulation

DEFF Research Database (Denmark)

Uchoa, Eduardo; Fukasawa, Ricardo; Lysgaard, Jens

2008-01-01

-polynomial time. Traditional inequalities over the arc formulation, like Capacity Cuts, are also used. Moreover, a novel feature is introduced in such kind of algorithms: powerful new cuts expressed over a very large set of variables are added, without increasing the complexity of the pricing subproblem......This paper presents a robust branch-cut-and-price algorithm for the Capacitated Minimum Spanning Tree Problem (CMST). The variables are associated to q-arbs, a structure that arises from a relaxation of the capacitated prize-collecting arborescence problem in order to make it solvable in pseudo...... or the size of the LPs that are actually solved. Computational results on benchmark instances from the OR-Library show very significant improvements over previous algorithms. Several open instances could be solved to optimality....

Analysis of conditional genetic effects and variance components in developmental genetics.

Science.gov (United States)

Zhu, J

1995-12-01

A genetic model with additive-dominance effects and genotype x environment interactions is presented for quantitative traits with time-dependent measures. The genetic model for phenotypic means at time t conditional on phenotypic means measured at previous time (t-1) is defined. Statistical methods are proposed for analyzing conditional genetic effects and conditional genetic variance components. Conditional variances can be estimated by minimum norm quadratic unbiased estimation (MINQUE) method. An adjusted unbiased prediction (AUP) procedure is suggested for predicting conditional genetic effects. A worked example from cotton fruiting data is given for comparison of unconditional and conditional genetic variances and additive effects.

Computing the Expected Value and Variance of Geometric Measures

DEFF Research Database (Denmark)

Staals, Frank; Tsirogiannis, Constantinos

2017-01-01

distance (MPD), the squared Euclidean distance from the centroid, and the diameter of the minimum enclosing disk. We also describe an efficient (1-e)-approximation algorithm for computing the mean and variance of the mean pairwise distance. We implemented three of our algorithms and we show that our...

The influence of SO4 and NO3 to the acidity (pH) of rainwater using minimum variance quadratic unbiased estimation (MIVQUE) and maximum likelihood methods

Science.gov (United States)

Dilla, Shintia Ulfa; Andriyana, Yudhie; Sudartianto

2017-03-01

Acid rain causes many bad effects in life. It is formed by two strong acids, sulfuric acid (H2SO4) and nitric acid (HNO3), where sulfuric acid is derived from SO2 and nitric acid from NOx {x=1,2}. The purpose of the research is to find out the influence of So4 and NO3 levels contained in the rain to the acidity (pH) of rainwater. The data are incomplete panel data with two-way error component model. The panel data is a collection of some of the observations that observed from time to time. It is said incomplete if each individual has a different amount of observation. The model used in this research is in the form of random effects model (REM). Minimum variance quadratic unbiased estimation (MIVQUE) is used to estimate the variance error components, while maximum likelihood estimation is used to estimate the parameters. As a result, we obtain the following model: Ŷ* = 0.41276446 - 0.00107302X1 + 0.00215470X2.

Hedging with stock index futures: downside risk versus the variance

NARCIS (Netherlands)

Brouwer, F.; Nat, van der M.

1995-01-01

In this paper we investigate hedging a stock portfolio with stock index futures.Instead of defining the hedge ratio as the minimum variance hedge ratio, we considerseveral measures of downside risk: the semivariance according to Markowitz [ 19591 andthe various lower partial moments according to

Prediction-error variance in Bayesian model updating: a comparative study

Science.gov (United States)

Asadollahi, Parisa; Li, Jian; Huang, Yong

2017-04-01

In Bayesian model updating, the likelihood function is commonly formulated by stochastic embedding in which the maximum information entropy probability model of prediction error variances plays an important role and it is Gaussian distribution subject to the first two moments as constraints. The selection of prediction error variances can be formulated as a model class selection problem, which automatically involves a trade-off between the average data-fit of the model class and the information it extracts from the data. Therefore, it is critical for the robustness in the updating of the structural model especially in the presence of modeling errors. To date, three ways of considering prediction error variances have been seem in the literature: 1) setting constant values empirically, 2) estimating them based on the goodness-of-fit of the measured data, and 3) updating them as uncertain parameters by applying Bayes' Theorem at the model class level. In this paper, the effect of different strategies to deal with the prediction error variances on the model updating performance is investigated explicitly. A six-story shear building model with six uncertain stiffness parameters is employed as an illustrative example. Transitional Markov Chain Monte Carlo is used to draw samples of the posterior probability density function of the structure model parameters as well as the uncertain prediction variances. The different levels of modeling uncertainty and complexity are modeled through three FE models, including a true model, a model with more complexity, and a model with modeling error. Bayesian updating is performed for the three FE models considering the three aforementioned treatments of the prediction error variances. The effect of number of measurements on the model updating performance is also examined in the study. The results are compared based on model class assessment and indicate that updating the prediction error variances as uncertain parameters at the model

Two-level Robust Measurement Fusion Kalman Filter for Clustering Sensor Networks

Institute of Scientific and Technical Information of China (English)

ZHANG Peng; QI Wen-Juan; DENG Zi-Li

2014-01-01

This paper investigates the distributed fusion Kalman filtering over clustering sensor networks. The sensor network is partitioned as clusters by the nearest neighbor rule and each cluster consists of sensing nodes and cluster-head. Using the minimax robust estimation principle, based on the worst-case conservative system with the conservative upper bounds of noise variances, two-level robust measurement fusion Kalman filter is presented for the clustering sensor network systems with uncertain noise variances. It can significantly reduce the communication load and save energy when the number of sensors is very large. A Lyapunov equation approach for the robustness analysis is presented, by which the robustness of the local and fused Kalman filters is proved. The concept of the robust accuracy is presented, and the robust accuracy relations among the local and fused robust Kalman filters are proved. It is proved that the robust accuracy of the two-level weighted measurement fuser is equal to that of the global centralized robust fuser and is higher than those of each local robust filter and each local weighted measurement fuser. A simulation example shows the correctness and effectiveness of the proposed results.

Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

International Nuclear Information System (INIS)

Yu, Zhiyong

2013-01-01

This paper examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right

Continuous-Time Mean-Variance Portfolio Selection with Random Horizon

Energy Technology Data Exchange (ETDEWEB)

Yu, Zhiyong, E-mail: yuzhiyong@sdu.edu.cn [Shandong University, School of Mathematics (China)

2013-12-15

This paper examines the continuous-time mean-variance optimal portfolio selection problem with random market parameters and random time horizon. Treating this problem as a linearly constrained stochastic linear-quadratic optimal control problem, I explicitly derive the efficient portfolios and efficient frontier in closed forms based on the solutions of two backward stochastic differential equations. Some related issues such as a minimum variance portfolio and a mutual fund theorem are also addressed. All the results are markedly different from those in the problem with deterministic exit time. A key part of my analysis involves proving the global solvability of a stochastic Riccati equation, which is interesting in its own right.

DFT-based channel estimation and noise variance estimation techniques for single-carrier FDMA

OpenAIRE

Huang, G; Nix, AR; Armour, SMD

2010-01-01

Practical frequency domain equalization (FDE) systems generally require knowledge of the channel and the noise variance to equalize the received signal in a frequency-selective fading channel. Accurate channel estimate and noise variance estimate are thus desirable to improve receiver performance. In this paper we investigate the performance of the denoise channel estimator and the approximate linear minimum mean square error (A-LMMSE) channel estimator with channel power delay profile (PDP) ...

Semiparametric efficient and robust estimation of an unknown symmetric population under arbitrary sample selection bias

KAUST Repository

Ma, Yanyuan

2013-09-01

We propose semiparametric methods to estimate the center and shape of a symmetric population when a representative sample of the population is unavailable due to selection bias. We allow an arbitrary sample selection mechanism determined by the data collection procedure, and we do not impose any parametric form on the population distribution. Under this general framework, we construct a family of consistent estimators of the center that is robust to population model misspecification, and we identify the efficient member that reaches the minimum possible estimation variance. The asymptotic properties and finite sample performance of the estimation and inference procedures are illustrated through theoretical analysis and simulations. A data example is also provided to illustrate the usefulness of the methods in practice. © 2013 American Statistical Association.

On the robustness of two-stage estimators

KAUST Repository

Zhelonkin, Mikhail

2012-04-01

The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator. © 2011.

Minimum Wages and the Distribution of Family Incomes

OpenAIRE

Dube, Arindrajit

2017-01-01

Using the March Current Population Survey data from 1984 to 2013, I provide a comprehensive evaluation of how minimum wage policies influence the distribution of family incomes. I find robust evidence that higher minimum wages shift down the cumulative distribution of family incomes at the bottom, reducing the share of non-elderly individuals with incomes below 50, 75, 100, and 125 percent of the federal poverty threshold. The long run (3 or more years) minimum wage elasticity of the non-elde...

An efficient sampling approach for variance-based sensitivity analysis based on the law of total variance in the successive intervals without overlapping

Science.gov (United States)

Yun, Wanying; Lu, Zhenzhou; Jiang, Xian

2018-06-01

To efficiently execute the variance-based global sensitivity analysis, the law of total variance in the successive intervals without overlapping is proved at first, on which an efficient space-partition sampling-based approach is subsequently proposed in this paper. Through partitioning the sample points of output into different subsets according to different inputs, the proposed approach can efficiently evaluate all the main effects concurrently by one group of sample points. In addition, there is no need for optimizing the partition scheme in the proposed approach. The maximum length of subintervals is decreased by increasing the number of sample points of model input variables in the proposed approach, which guarantees the convergence condition of the space-partition approach well. Furthermore, a new interpretation on the thought of partition is illuminated from the perspective of the variance ratio function. Finally, three test examples and one engineering application are employed to demonstrate the accuracy, efficiency and robustness of the proposed approach.

Proceedings of the First International Symposium on Robust Design 2014

DEFF Research Database (Denmark)

The symposium concerns the topic of robust design from a practical and industry orientated perspective. During the 2 day symposium we will share our understanding of the need of industry with respect to the control of variance, reliability issues and approaches to robust design. The target audience...

Robust design of a 2-DOF GMV controller: a direct self-tuning and fuzzy scheduling approach.

Science.gov (United States)

Silveira, Antonio S; Rodríguez, Jaime E N; Coelho, Antonio A R

2012-01-01

This paper presents a study on self-tuning control strategies with generalized minimum variance control in a fixed two degree of freedom structure-or simply GMV2DOF-within two adaptive perspectives. One, from the process model point of view, using a recursive least squares estimator algorithm for direct self-tuning design, and another, using a Mamdani fuzzy GMV2DOF parameters scheduling technique based on analytical and physical interpretations from robustness analysis of the system. Both strategies are assessed by simulation and real plants experimentation environments composed of a damped pendulum and an under development wind tunnel from the Department of Automation and Systems of the Federal University of Santa Catarina. Copyright © 2011 ISA. Published by Elsevier Ltd. All rights reserved.

A method for minimum risk portfolio optimization under hybrid uncertainty

Science.gov (United States)

Egorova, Yu E.; Yazenin, A. V.

2018-03-01

In this paper, we investigate a minimum risk portfolio model under hybrid uncertainty when the profitability of financial assets is described by fuzzy random variables. According to Feng, the variance of a portfolio is defined as a crisp value. To aggregate fuzzy information the weakest (drastic) t-norm is used. We construct an equivalent stochastic problem of the minimum risk portfolio model and specify the stochastic penalty method for solving it.

Association analysis using next-generation sequence data from publicly available control groups: the robust variance score statistic.

Science.gov (United States)

Derkach, Andriy; Chiang, Theodore; Gong, Jiafen; Addis, Laura; Dobbins, Sara; Tomlinson, Ian; Houlston, Richard; Pal, Deb K; Strug, Lisa J

2014-08-01

Sufficiently powered case-control studies with next-generation sequence (NGS) data remain prohibitively expensive for many investigators. If feasible, a more efficient strategy would be to include publicly available sequenced controls. However, these studies can be confounded by differences in sequencing platform; alignment, single nucleotide polymorphism and variant calling algorithms; read depth; and selection thresholds. Assuming one can match cases and controls on the basis of ethnicity and other potential confounding factors, and one has access to the aligned reads in both groups, we investigate the effect of systematic differences in read depth and selection threshold when comparing allele frequencies between cases and controls. We propose a novel likelihood-based method, the robust variance score (RVS), that substitutes genotype calls by their expected values given observed sequence data. We show theoretically that the RVS eliminates read depth bias in the estimation of minor allele frequency. We also demonstrate that, using simulated and real NGS data, the RVS method controls Type I error and has comparable power to the 'gold standard' analysis with the true underlying genotypes for both common and rare variants. An RVS R script and instructions can be found at strug.research.sickkids.ca, and at https://github.com/strug-lab/RVS. lisa.strug@utoronto.ca Supplementary data are available at Bioinformatics online. © The Author 2014. Published by Oxford University Press. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com.

Robust Portfolio Optimization Using Pseudodistances

Science.gov (United States)

2015-01-01

The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature. PMID:26468948

Robust Portfolio Optimization Using Pseudodistances.

Science.gov (United States)

Toma, Aida; Leoni-Aubin, Samuela

2015-01-01

The presence of outliers in financial asset returns is a frequently occurring phenomenon which may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that outliers can have on the mean returns and covariance estimators that are inputs in the optimization procedure. In this paper we present robust estimators of mean and covariance matrix obtained by minimizing an empirical version of a pseudodistance between the assumed model and the true model underlying the data. We prove and discuss theoretical properties of these estimators, such as affine equivariance, B-robustness, asymptotic normality and asymptotic relative efficiency. These estimators can be easily used in place of the classical estimators, thereby providing robust optimized portfolios. A Monte Carlo simulation study and applications to real data show the advantages of the proposed approach. We study both in-sample and out-of-sample performance of the proposed robust portfolios comparing them with some other portfolios known in literature.

Simultaneous Robust Fault and State Estimation for Linear Discrete-Time Uncertain Systems

Directory of Open Access Journals (Sweden)

Feten Gannouni

2017-01-01

Full Text Available We consider the problem of robust simultaneous fault and state estimation for linear uncertain discrete-time systems with unknown faults which affect both the state and the observation matrices. Using transformation of the original system, a new robust proportional integral filter (RPIF having an error variance with an optimized guaranteed upper bound for any allowed uncertainty is proposed to improve robust estimation of unknown time-varying faults and to improve robustness against uncertainties. In this study, the minimization problem of the upper bound of the estimation error variance is formulated as a convex optimization problem subject to linear matrix inequalities (LMI for all admissible uncertainties. The proportional and the integral gains are optimally chosen by solving the convex optimization problem. Simulation results are given in order to illustrate the performance of the proposed filter, in particular to solve the problem of joint fault and state estimation.

A new variance stabilizing transformation for gene expression data analysis.

Science.gov (United States)

Kelmansky, Diana M; Martínez, Elena J; Leiva, Víctor

2013-12-01

In this paper, we introduce a new family of power transformations, which has the generalized logarithm as one of its members, in the same manner as the usual logarithm belongs to the family of Box-Cox power transformations. Although the new family has been developed for analyzing gene expression data, it allows a wider scope of mean-variance related data to be reached. We study the analytical properties of the new family of transformations, as well as the mean-variance relationships that are stabilized by using its members. We propose a methodology based on this new family, which includes a simple strategy for selecting the family member adequate for a data set. We evaluate the finite sample behavior of different classical and robust estimators based on this strategy by Monte Carlo simulations. We analyze real genomic data by using the proposed transformation to empirically show how the new methodology allows the variance of these data to be stabilized.

A computationally simple and robust method to detect determinism in a time series

DEFF Research Database (Denmark)

Lu, Sheng; Ju, Ki Hwan; Kanters, Jørgen K.

2006-01-01

We present a new, simple, and fast computational technique, termed the incremental slope (IS), that can accurately distinguish between deterministic from stochastic systems even when the variance of noise is as large or greater than the signal, and remains robust for time-varying signals. The IS ......We present a new, simple, and fast computational technique, termed the incremental slope (IS), that can accurately distinguish between deterministic from stochastic systems even when the variance of noise is as large or greater than the signal, and remains robust for time-varying signals...

Variable selection for confounder control, flexible modeling and Collaborative Targeted Minimum Loss-based Estimation in causal inference

Science.gov (United States)

Schnitzer, Mireille E.; Lok, Judith J.; Gruber, Susan

2015-01-01

This paper investigates the appropriateness of the integration of flexible propensity score modeling (nonparametric or machine learning approaches) in semiparametric models for the estimation of a causal quantity, such as the mean outcome under treatment. We begin with an overview of some of the issues involved in knowledge-based and statistical variable selection in causal inference and the potential pitfalls of automated selection based on the fit of the propensity score. Using a simple example, we directly show the consequences of adjusting for pure causes of the exposure when using inverse probability of treatment weighting (IPTW). Such variables are likely to be selected when using a naive approach to model selection for the propensity score. We describe how the method of Collaborative Targeted minimum loss-based estimation (C-TMLE; van der Laan and Gruber, 2010) capitalizes on the collaborative double robustness property of semiparametric efficient estimators to select covariates for the propensity score based on the error in the conditional outcome model. Finally, we compare several approaches to automated variable selection in low-and high-dimensional settings through a simulation study. From this simulation study, we conclude that using IPTW with flexible prediction for the propensity score can result in inferior estimation, while Targeted minimum loss-based estimation and C-TMLE may benefit from flexible prediction and remain robust to the presence of variables that are highly correlated with treatment. However, in our study, standard influence function-based methods for the variance underestimated the standard errors, resulting in poor coverage under certain data-generating scenarios. PMID:26226129

STUDY LINKS SOLVING THE MAXIMUM TASK OF LINEAR CONVOLUTION «EXPECTED RETURNS-VARIANCE» AND THE MINIMUM VARIANCE WITH RESTRICTIONS ON RETURNS

Directory of Open Access Journals (Sweden)

Maria S. Prokhorova

2014-01-01

Full Text Available The article deals with a study of problemsof finding the optimal portfolio securitiesusing convolutions expectation of portfolioreturns and portfolio variance. Value of thecoefficient of risk, in which the problem ofmaximizing the variance - limited yieldis equivalent to maximizing a linear convolution of criteria for «expected returns-variance» is obtained. An automated method for finding the optimal portfolio, onthe basis of which the results of the studydemonstrated is proposed.

Introduction to Robust Estimation and Hypothesis Testing

CERN Document Server

Wilcox, Rand R

2012-01-01

This revised book provides a thorough explanation of the foundation of robust methods, incorporating the latest updates on R and S-Plus, robust ANOVA (Analysis of Variance) and regression. It guides advanced students and other professionals through the basic strategies used for developing practical solutions to problems, and provides a brief background on the foundations of modern methods, placing the new methods in historical context. Author Rand Wilcox includes chapter exercises and many real-world examples that illustrate how various methods perform in different situations.Introduction to R

Gravity interpretation of dipping faults using the variance analysis method

International Nuclear Information System (INIS)

Essa, Khalid S

2013-01-01

A new algorithm is developed to estimate simultaneously the depth and the dip angle of a buried fault from the normalized gravity gradient data. This algorithm utilizes numerical first horizontal derivatives computed from the observed gravity anomaly, using filters of successive window lengths to estimate the depth and the dip angle of a buried dipping fault structure. For a fixed window length, the depth is estimated using a least-squares sense for each dip angle. The method is based on computing the variance of the depths determined from all horizontal gradient anomaly profiles using the least-squares method for each dip angle. The minimum variance is used as a criterion for determining the correct dip angle and depth of the buried structure. When the correct dip angle is used, the variance of the depths is always less than the variances computed using wrong dip angles. The technique can be applied not only to the true residuals, but also to the measured Bouguer gravity data. The method is applied to synthetic data with and without random errors and two field examples from Egypt and Scotland. In all cases examined, the estimated depths and other model parameters are found to be in good agreement with the actual values. (paper)

An algorithm for robust non-linear analysis of radioimmunoassays and other bioassays

International Nuclear Information System (INIS)

Normolle, D.P.

1993-01-01

The four-parameter logistic function is an appropriate model for many types of bioassays that have continuous response variables, such as radioimmunoassays. By modelling the variance of replicates in an assay, one can modify the usual parameter estimation techniques (for example, Gauss-Newton or Marquardt-Levenberg) to produce parameter estimates for the standard curve that are robust against outlying observations. This article describes the computation of robust (M-) estimates for the parameters of the four-parameter logistic function. It describes techniques for modelling the variance structure of the replicates, modifications to the usual iterative algorithms for parameter estimation in non-linear models, and a formula for inverse confidence intervals. To demonstrate the algorithm, the article presents examples where the robustly estimated four-parameter logistic model is compared with the logit-log and four-parameter logistic models with least-squares estimates. (author)

Thermospheric mass density model error variance as a function of time scale

Science.gov (United States)

Emmert, J. T.; Sutton, E. K.

2017-12-01

In the increasingly crowded low-Earth orbit environment, accurate estimation of orbit prediction uncertainties is essential for collision avoidance. Poor characterization of such uncertainty can result in unnecessary and costly avoidance maneuvers (false positives) or disregard of a collision risk (false negatives). Atmospheric drag is a major source of orbit prediction uncertainty, and is particularly challenging to account for because it exerts a cumulative influence on orbital trajectories and is therefore not amenable to representation by a single uncertainty parameter. To address this challenge, we examine the variance of measured accelerometer-derived and orbit-derived mass densities with respect to predictions by thermospheric empirical models, using the data-minus-model variance as a proxy for model uncertainty. Our analysis focuses mainly on the power spectrum of the residuals, and we construct an empirical model of the variance as a function of time scale (from 1 hour to 10 years), altitude, and solar activity. We find that the power spectral density approximately follows a power-law process but with an enhancement near the 27-day solar rotation period. The residual variance increases monotonically with altitude between 250 and 550 km. There are two components to the variance dependence on solar activity: one component is 180 degrees out of phase (largest variance at solar minimum), and the other component lags 2 years behind solar maximum (largest variance in the descending phase of the solar cycle).

Robust Ensemble Filtering and Its Relation to Covariance Inflation in the Ensemble Kalman Filter

KAUST Repository

Luo, Xiaodong

2011-12-01

A robust ensemble filtering scheme based on the H∞ filtering theory is proposed. The optimal H∞ filter is derived by minimizing the supremum (or maximum) of a predefined cost function, a criterion different from the minimum variance used in the Kalman filter. By design, the H∞ filter is more robust than the Kalman filter, in the sense that the estimation error in the H∞ filter in general has a finite growth rate with respect to the uncertainties in assimilation, except for a special case that corresponds to the Kalman filter. The original form of the H∞ filter contains global constraints in time, which may be inconvenient for sequential data assimilation problems. Therefore a variant is introduced that solves some time-local constraints instead, and hence it is called the time-local H∞ filter (TLHF). By analogy to the ensemble Kalman filter (EnKF), the concept of ensemble time-local H∞ filter (EnTLHF) is also proposed. The general form of the EnTLHF is outlined, and some of its special cases are discussed. In particular, it is shown that an EnKF with certain covariance inflation is essentially an EnTLHF. In this sense, the EnTLHF provides a general framework for conducting covariance inflation in the EnKF-based methods. Some numerical examples are used to assess the relative robustness of the TLHF–EnTLHF in comparison with the corresponding KF–EnKF method.

Robust control design with MATLAB

CERN Document Server

Gu, Da-Wei; Konstantinov, Mihail M

2013-01-01

Robust Control Design with MATLAB® (second edition) helps the student to learn how to use well-developed advanced robust control design methods in practical cases. To this end, several realistic control design examples from teaching-laboratory experiments, such as a two-wheeled, self-balancing robot, to complex systems like a flexible-link manipulator are given detailed presentation. All of these exercises are conducted using MATLAB® Robust Control Toolbox 3, Control System Toolbox and Simulink®. By sharing their experiences in industrial cases with minimum recourse to complicated theories and formulae, the authors convey essential ideas and useful insights into robust industrial control systems design using major H-infinity optimization and related methods allowing readers quickly to move on with their own challenges. The hands-on tutorial style of this text rests on an abundance of examples and features for the second edition: ·        rewritten and simplified presentation of theoretical and meth...

Variance-Constrained Robust Estimation for Discrete-Time Systems with Communication Constraints

Directory of Open Access Journals (Sweden)

Baofeng Wang

2014-01-01

Full Text Available This paper is concerned with a new filtering problem in networked control systems (NCSs subject to limited communication capacity, which includes measurement quantization, random transmission delay, and packets loss. The measurements are first quantized via a logarithmic quantizer and then transmitted through a digital communication network with random delay and packet loss. The three communication constraints phenomena which can be seen as a class of uncertainties are formulated by a stochastic parameter uncertainty system. The purpose of the paper is to design a linear filter such that, for all the communication constraints, the error state of the filtering process is mean square bounded and the steady-state variance of the estimation error for each state is not more than the individual prescribed upper bound. It is shown that the desired filtering can effectively be solved if there are positive definite solutions to a couple of algebraic Riccati-like inequalities or linear matrix inequalities. Finally, an illustrative numerical example is presented to demonstrate the effectiveness and flexibility of the proposed design approach.

Robust linear discriminant models to solve financial crisis in banking sectors

Science.gov (United States)

Lim, Yai-Fung; Yahaya, Sharipah Soaad Syed; Idris, Faoziah; Ali, Hazlina; Omar, Zurni

2014-12-01

Linear discriminant analysis (LDA) is a widely-used technique in patterns classification via an equation which will minimize the probability of misclassifying cases into their respective categories. However, the performance of classical estimators in LDA highly depends on the assumptions of normality and homoscedasticity. Several robust estimators in LDA such as Minimum Covariance Determinant (MCD), S-estimators and Minimum Volume Ellipsoid (MVE) are addressed by many authors to alleviate the problem of non-robustness of the classical estimates. In this paper, we investigate on the financial crisis of the Malaysian banking institutions using robust LDA and classical LDA methods. Our objective is to distinguish the "distress" and "non-distress" banks in Malaysia by using the LDA models. Hit ratio is used to validate the accuracy predictive of LDA models. The performance of LDA is evaluated by estimating the misclassification rate via apparent error rate. The results and comparisons show that the robust estimators provide a better performance than the classical estimators for LDA.

Robustness of mission plans for unmanned aircraft

Science.gov (United States)

Niendorf, Moritz

This thesis studies the robustness of optimal mission plans for unmanned aircraft. Mission planning typically involves tactical planning and path planning. Tactical planning refers to task scheduling and in multi aircraft scenarios also includes establishing a communication topology. Path planning refers to computing a feasible and collision-free trajectory. For a prototypical mission planning problem, the traveling salesman problem on a weighted graph, the robustness of an optimal tour is analyzed with respect to changes to the edge costs. Specifically, the stability region of an optimal tour is obtained, i.e., the set of all edge cost perturbations for which that tour is optimal. The exact stability region of solutions to variants of the traveling salesman problems is obtained from a linear programming relaxation of an auxiliary problem. Edge cost tolerances and edge criticalities are derived from the stability region. For Euclidean traveling salesman problems, robustness with respect to perturbations to vertex locations is considered and safe radii and vertex criticalities are introduced. For weighted-sum multi-objective problems, stability regions with respect to changes in the objectives, weights, and simultaneous changes are given. Most critical weight perturbations are derived. Computing exact stability regions is intractable for large instances. Therefore, tractable approximations are desirable. The stability region of solutions to relaxations of the traveling salesman problem give under approximations and sets of tours give over approximations. The application of these results to the two-neighborhood and the minimum 1-tree relaxation are discussed. Bounds on edge cost tolerances and approximate criticalities are obtainable likewise. A minimum spanning tree is an optimal communication topology for minimizing the cumulative transmission power in multi aircraft missions. The stability region of a minimum spanning tree is given and tolerances, stability balls

Feedforward/feedback control synthesis for performance and robustness

Science.gov (United States)

Wie, Bong; Liu, Qiang

1990-01-01

Both feedforward and feedback control approaches for uncertain dynamical systems are investigated. The control design objective is to achieve a fast settling time (high performance) and robustness (insensitivity) to plant modeling uncertainty. Preshapong of an ideal, time-optimal control input using a 'tapped-delay' filter is shown to provide a rapid maneuver with robust performance. A robust, non-minimum-phase feedback controller is synthesized with particular emphasis on its proper implementation for a non-zero set-point control problem. The proposed feedforward/feedback control approach is robust for a certain class of uncertain dynamical systems, since the control input command computed for a given desired output does not depend on the plant parameters.

Integrating robust timetabling in line plan optimization for railway systems

DEFF Research Database (Denmark)

Burggraeve, Sofie; Bull, Simon Henry; Vansteenwegen, Pieter

2017-01-01

We propose a heuristic algorithm to build a railway line plan from scratch that minimizes passenger travel time and operator cost and for which a feasible and robust timetable exists. A line planning module and a timetabling module work iteratively and interactively. The line planning module......, but is constrained by limited shunt capacity. While the operator and passenger cost remain close to those of the initially and (for these costs) optimally built line plan, the timetable corresponding to the finally developed robust line plan significantly improves the minimum buffer time, and thus the robustness...... creates an initial line plan. The timetabling module evaluates the line plan and identifies a critical line based on minimum buffer times between train pairs. The line planning module proposes a new line plan in which the time length of the critical line is modified in order to provide more flexibility...

Minimum Mean-Square Error Estimation of Mel-Frequency Cepstral Features

DEFF Research Database (Denmark)

Jensen, Jesper; Tan, Zheng-Hua

2015-01-01

In this work we consider the problem of feature enhancement for noise-robust automatic speech recognition (ASR). We propose a method for minimum mean-square error (MMSE) estimation of mel-frequency cepstral features, which is based on a minimum number of well-established, theoretically consistent......-of-the-art MFCC feature enhancement algorithms within this class of algorithms, while theoretically suboptimal or based on theoretically inconsistent assumptions, perform close to optimally in the MMSE sense....

Reliability-Based Robust Design Optimization of Structures Considering Uncertainty in Design Variables

Directory of Open Access Journals (Sweden)

Shujuan Wang

2015-01-01

Full Text Available This paper investigates the structural design optimization to cover both the reliability and robustness under uncertainty in design variables. The main objective is to improve the efficiency of the optimization process. To address this problem, a hybrid reliability-based robust design optimization (RRDO method is proposed. Prior to the design optimization, the Sobol sensitivity analysis is used for selecting key design variables and providing response variance as well, resulting in significantly reduced computational complexity. The single-loop algorithm is employed to guarantee the structural reliability, allowing fast optimization process. In the case of robust design, the weighting factor balances the response performance and variance with respect to the uncertainty in design variables. The main contribution of this paper is that the proposed method applies the RRDO strategy with the usage of global approximation and the Sobol sensitivity analysis, leading to the reduced computational cost. A structural example is given to illustrate the performance of the proposed method.

Seismic attenuation relationship with homogeneous and heterogeneous prediction-error variance models

Science.gov (United States)

Mu, He-Qing; Xu, Rong-Rong; Yuen, Ka-Veng

2014-03-01

Peak ground acceleration (PGA) estimation is an important task in earthquake engineering practice. One of the most well-known models is the Boore-Joyner-Fumal formula, which estimates the PGA using the moment magnitude, the site-to-fault distance and the site foundation properties. In the present study, the complexity for this formula and the homogeneity assumption for the prediction-error variance are investigated and an efficiency-robustness balanced formula is proposed. For this purpose, a reduced-order Monte Carlo simulation algorithm for Bayesian model class selection is presented to obtain the most suitable predictive formula and prediction-error model for the seismic attenuation relationship. In this approach, each model class (a predictive formula with a prediction-error model) is evaluated according to its plausibility given the data. The one with the highest plausibility is robust since it possesses the optimal balance between the data fitting capability and the sensitivity to noise. A database of strong ground motion records in the Tangshan region of China is obtained from the China Earthquake Data Center for the analysis. The optimal predictive formula is proposed based on this database. It is shown that the proposed formula with heterogeneous prediction-error variance is much simpler than the attenuation model suggested by Boore, Joyner and Fumal (1993).

Robust Helicopter Stabilization in the Face of Wind Disturbance

DEFF Research Database (Denmark)

A. Danapalasingam, Kumeresan; Leth, John-Josef; la Cour-Harbo, Anders

2010-01-01

When a helicopter is required to hover with minimum deviations from a desired position without measurements of an affecting persistent wind disturbance, a robustly stabilizing control action is vital. In this paper, the stabilization of the position and translational velocity of a nonlinear...... controller is then designed based on nonlinear adaptive output regulations and robust stabilization of a chain of integrators by a saturated feedback. Simulation results show the effectiveness of the control design in the stabilization of helicopter motion and the built-in robustness of the controller...

A Maximum Entropy Method for a Robust Portfolio Problem

Directory of Open Access Journals (Sweden)

Yingying Xu

2014-06-01

Full Text Available We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends.This robust model aims to maximize the worst-case portfolio return in the case that allof asset returns lie within some prescribed intervals. A numerical optimal solution tothe problem is obtained by using a continuous maximum entropy method. Furthermore,some numerical experiments indicate that the robust model in this paper can result in betterportfolio performance than a classical mean-variance model.

The solar and interplanetary causes of the recent minimum in geomagnetic activity (MGA23: a combination of midlatitude small coronal holes, low IMF BZ variances, low solar wind speeds and low solar magnetic fields

Directory of Open Access Journals (Sweden)

B. T. Tsurutani

2011-05-01

Full Text Available Minima in geomagnetic activity (MGA at Earth at the ends of SC23 and SC22 have been identified. The two MGAs (called MGA23 and MGA22, respectively were present in 2009 and 1997, delayed from the sunspot number minima in 2008 and 1996 by ~1/2–1 years. Part of the solar and interplanetary causes of the MGAs were exceptionally low solar (and thus low interplanetary magnetic fields. Another important factor in MGA23 was the disappearance of equatorial and low latitude coronal holes and the appearance of midlatitude coronal holes. The location of the holes relative to the ecliptic plane led to low solar wind speeds and low IMF (Bz variances (σBz2 and normalized variances (σBz2/B02 at Earth, with concomitant reduced solar wind-magnetospheric energy coupling. One result was the lowest ap indices in the history of ap recording. The results presented here are used to comment on the possible solar and interplanetary causes of the low geomagnetic activity that occurred during the Maunder Minimum.

Solving portfolio selection problems with minimum transaction lots based on conditional-value-at-risk

Science.gov (United States)

Setiawan, E. P.; Rosadi, D.

2017-01-01

Portfolio selection problems conventionally means ‘minimizing the risk, given the certain level of returns’ from some financial assets. This problem is frequently solved with quadratic or linear programming methods, depending on the risk measure that used in the objective function. However, the solutions obtained by these method are in real numbers, which may give some problem in real application because each asset usually has its minimum transaction lots. In the classical approach considering minimum transaction lots were developed based on linear Mean Absolute Deviation (MAD), variance (like Markowitz’s model), and semi-variance as risk measure. In this paper we investigated the portfolio selection methods with minimum transaction lots with conditional value at risk (CVaR) as risk measure. The mean-CVaR methodology only involves the part of the tail of the distribution that contributed to high losses. This approach looks better when we work with non-symmetric return probability distribution. Solution of this method can be found with Genetic Algorithm (GA) methods. We provide real examples using stocks from Indonesia stocks market.

Robust optimization of supersonic ORC nozzle guide vanes

Science.gov (United States)

Bufi, Elio A.; Cinnella, Paola

2017-03-01

An efficient Robust Optimization (RO) strategy is developed for the design of 2D supersonic Organic Rankine Cycle turbine expanders. The dense gas effects are not-negligible for this application and they are taken into account describing the thermodynamics by means of the Peng-Robinson-Stryjek-Vera equation of state. The design methodology combines an Uncertainty Quantification (UQ) loop based on a Bayesian kriging model of the system response to the uncertain parameters, used to approximate statistics (mean and variance) of the uncertain system output, a CFD solver, and a multi-objective non-dominated sorting algorithm (NSGA), also based on a Kriging surrogate of the multi-objective fitness function, along with an adaptive infill strategy for surrogate enrichment at each generation of the NSGA. The objective functions are the average and variance of the isentropic efficiency. The blade shape is parametrized by means of a Free Form Deformation (FFD) approach. The robust optimal blades are compared to the baseline design (based on the Method of Characteristics) and to a blade obtained by means of a deterministic CFD-based optimization.

Recent Immigrants as Labor Market Arbitrageurs: Evidence from the Minimum Wage*

Science.gov (United States)

Cadena, Brian C.

2014-01-01

This paper investigates the local labor supply effects of changes to the minimum wage by examining the response of low-skilled immigrants’ location decisions. Canonical models emphasize the importance of labor mobility when evaluating the employment effects of the minimum wage; yet few studies address this outcome directly. Low-skilled immigrant populations shift toward labor markets with stagnant minimum wages, and this result is robust to a number of alternative interpretations. This mobility provides behavior-based evidence in favor of a non-trivial negative employment effect of the minimum wage. Further, it reduces the estimated demand elasticity using teens; employment losses among native teens are substantially larger in states that have historically attracted few immigrant residents. PMID:24999288

Recent Immigrants as Labor Market Arbitrageurs: Evidence from the Minimum Wage.

Science.gov (United States)

Cadena, Brian C

2014-03-01

This paper investigates the local labor supply effects of changes to the minimum wage by examining the response of low-skilled immigrants' location decisions. Canonical models emphasize the importance of labor mobility when evaluating the employment effects of the minimum wage; yet few studies address this outcome directly. Low-skilled immigrant populations shift toward labor markets with stagnant minimum wages, and this result is robust to a number of alternative interpretations. This mobility provides behavior-based evidence in favor of a non-trivial negative employment effect of the minimum wage. Further, it reduces the estimated demand elasticity using teens; employment losses among native teens are substantially larger in states that have historically attracted few immigrant residents.

Detection of rheumatoid arthritis by evaluation of normalized variances of fluorescence time correlation functions

Science.gov (United States)

Dziekan, Thomas; Weissbach, Carmen; Voigt, Jan; Ebert, Bernd; MacDonald, Rainer; Bahner, Malte L.; Mahler, Marianne; Schirner, Michael; Berliner, Michael; Berliner, Birgitt; Osel, Jens; Osel, Ilka

2011-07-01

Fluorescence imaging using the dye indocyanine green as a contrast agent was investigated in a prospective clinical study for the detection of rheumatoid arthritis. Normalized variances of correlated time series of fluorescence intensities describing the bolus kinetics of the contrast agent in certain regions of interest were analyzed to differentiate healthy from inflamed finger joints. These values are determined using a robust, parameter-free algorithm. We found that the normalized variance of correlation functions improves the differentiation between healthy joints of volunteers and joints with rheumatoid arthritis of patients by about 10% compared to, e.g., ratios of areas under the curves of raw data.

Downside Variance Risk Premium

OpenAIRE

Feunou, Bruno; Jahan-Parvar, Mohammad; Okou, Cedric

2015-01-01

We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor with significant prediction power for aggregate excess returns. Our empirical investigation highlights the positive and s...

Is fMRI "noise" really noise? Resting state nuisance regressors remove variance with network structure.

Science.gov (United States)

Bright, Molly G; Murphy, Kevin

2015-07-01

Noise correction is a critical step towards accurate mapping of resting state BOLD fMRI connectivity. Noise sources related to head motion or physiology are typically modelled by nuisance regressors, and a generalised linear model is applied to regress out the associated signal variance. In this study, we use independent component analysis (ICA) to characterise the data variance typically discarded in this pre-processing stage in a cohort of 12 healthy volunteers. The signal variance removed by 24, 12, 6, or only 3 head motion parameters demonstrated network structure typically associated with functional connectivity, and certain networks were discernable in the variance extracted by as few as 2 physiologic regressors. Simulated nuisance regressors, unrelated to the true data noise, also removed variance with network structure, indicating that any group of regressors that randomly sample variance may remove highly structured "signal" as well as "noise." Furthermore, to support this we demonstrate that random sampling of the original data variance continues to exhibit robust network structure, even when as few as 10% of the original volumes are considered. Finally, we examine the diminishing returns of increasing the number of nuisance regressors used in pre-processing, showing that excessive use of motion regressors may do little better than chance in removing variance within a functional network. It remains an open challenge to understand the balance between the benefits and confounds of noise correction using nuisance regressors. Copyright © 2015. Published by Elsevier Inc.

Newton-Gauss Algorithm of Robust Weighted Total Least Squares Model

Directory of Open Access Journals (Sweden)

WANG Bin

2015-06-01

Full Text Available Based on the Newton-Gauss iterative algorithm of weighted total least squares (WTLS, a robust WTLS (RWTLS model is presented. The model utilizes the standardized residuals to construct the weight factor function and the square root of the variance component estimator with robustness is obtained by introducing the median method. Therefore, the robustness in both the observation and structure spaces can be simultaneously achieved. To obtain standardized residuals, the linearly approximate cofactor propagation law is employed to derive the expression of the cofactor matrix of WTLS residuals. The iterative calculation steps for RWTLS are also described. The experiment indicates that the model proposed in this paper exhibits satisfactory robustness for gross errors handling problem of WTLS, the obtained parameters have no significant difference with the results of WTLS without gross errors. Therefore, it is superior to the robust weighted total least squares model directly constructed with residuals.

On the Interplay between the Evolvability and Network Robustness in an Evolutionary Biological Network: A Systems Biology Approach

Science.gov (United States)

Chen, Bor-Sen; Lin, Ying-Po

2011-01-01

In the evolutionary process, the random transmission and mutation of genes provide biological diversities for natural selection. In order to preserve functional phenotypes between generations, gene networks need to evolve robustly under the influence of random perturbations. Therefore, the robustness of the phenotype, in the evolutionary process, exerts a selection force on gene networks to keep network functions. However, gene networks need to adjust, by variations in genetic content, to generate phenotypes for new challenges in the network’s evolution, ie, the evolvability. Hence, there should be some interplay between the evolvability and network robustness in evolutionary gene networks. In this study, the interplay between the evolvability and network robustness of a gene network and a biochemical network is discussed from a nonlinear stochastic system point of view. It was found that if the genetic robustness plus environmental robustness is less than the network robustness, the phenotype of the biological network is robust in evolution. The tradeoff between the genetic robustness and environmental robustness in evolution is discussed from the stochastic stability robustness and sensitivity of the nonlinear stochastic biological network, which may be relevant to the statistical tradeoff between bias and variance, the so-called bias/variance dilemma. Further, the tradeoff could be considered as an antagonistic pleiotropic action of a gene network and discussed from the systems biology perspective. PMID:22084563

R package MVR for Joint Adaptive Mean-Variance Regularization and Variance Stabilization.

Science.gov (United States)

Dazard, Jean-Eudes; Xu, Hua; Rao, J Sunil

2011-01-01

We present an implementation in the R language for statistical computing of our recent non-parametric joint adaptive mean-variance regularization and variance stabilization procedure. The method is specifically suited for handling difficult problems posed by high-dimensional multivariate datasets ( p ≫ n paradigm), such as in 'omics'-type data, among which are that the variance is often a function of the mean, variable-specific estimators of variances are not reliable, and tests statistics have low powers due to a lack of degrees of freedom. The implementation offers a complete set of features including: (i) normalization and/or variance stabilization function, (ii) computation of mean-variance-regularized t and F statistics, (iii) generation of diverse diagnostic plots, (iv) synthetic and real 'omics' test datasets, (v) computationally efficient implementation, using C interfacing, and an option for parallel computing, (vi) manual and documentation on how to setup a cluster. To make each feature as user-friendly as possible, only one subroutine per functionality is to be handled by the end-user. It is available as an R package, called MVR ('Mean-Variance Regularization'), downloadable from the CRAN.

Robustness of quantum correlations against linear noise

International Nuclear Information System (INIS)

Guo, Zhihua; Cao, Huaixin; Qu, Shixian

2016-01-01

Relative robustness of quantum correlations (RRoQC) of a bipartite state is firstly introduced relative to a classically correlated state. Robustness of quantum correlations (RoQC) of a bipartite state is then defined as the minimum of RRoQC of the state relative to all classically correlated ones. It is proved that as a function on quantum states, RoQC is nonnegative, lower semi-continuous and neither convex nor concave; especially, it is zero if and only if the state is classically correlated. Thus, RoQC not only quantifies the endurance of quantum correlations of a state against linear noise, but also can be used to distinguish between quantum and classically correlated states. Furthermore, the effects of local quantum channels on the robustness are explored and characterized. (paper)

Estimation of measurement variances

International Nuclear Information System (INIS)

Anon.

1981-01-01

In the previous two sessions, it was assumed that the measurement error variances were known quantities when the variances of the safeguards indices were calculated. These known quantities are actually estimates based on historical data and on data generated by the measurement program. Session 34 discusses how measurement error parameters are estimated for different situations. The various error types are considered. The purpose of the session is to enable participants to: (1) estimate systematic error variances from standard data; (2) estimate random error variances from data as replicate measurement data; (3) perform a simple analysis of variances to characterize the measurement error structure when biases vary over time

Simulation study on heterogeneous variance adjustment for observations with different measurement error variance

DEFF Research Database (Denmark)

Pitkänen, Timo; Mäntysaari, Esa A; Nielsen, Ulrik Sander

2013-01-01

of variance correction is developed for the same observations. As automated milking systems are becoming more popular the current evaluation model needs to be enhanced to account for the different measurement error variances of observations from automated milking systems. In this simulation study different...... models and different approaches to account for heterogeneous variance when observations have different measurement error variances were investigated. Based on the results we propose to upgrade the currently applied models and to calibrate the heterogeneous variance adjustment method to yield same genetic......The Nordic Holstein yield evaluation model describes all available milk, protein and fat test-day yields from Denmark, Finland and Sweden. In its current form all variance components are estimated from observations recorded under conventional milking systems. Also the model for heterogeneity...

Optimization of robustness of interdependent network controllability by redundant design.

Directory of Open Access Journals (Sweden)

Zenghu Zhang

Full Text Available Controllability of complex networks has been a hot topic in recent years. Real networks regarded as interdependent networks are always coupled together by multiple networks. The cascading process of interdependent networks including interdependent failure and overload failure will destroy the robustness of controllability for the whole network. Therefore, the optimization of the robustness of interdependent network controllability is of great importance in the research area of complex networks. In this paper, based on the model of interdependent networks constructed first, we determine the cascading process under different proportions of node attacks. Then, the structural controllability of interdependent networks is measured by the minimum driver nodes. Furthermore, we propose a parameter which can be obtained by the structure and minimum driver set of interdependent networks under different proportions of node attacks and analyze the robustness for interdependent network controllability. Finally, we optimize the robustness of interdependent network controllability by redundant design including node backup and redundancy edge backup and improve the redundant design by proposing different strategies according to their cost. Comparative strategies of redundant design are conducted to find the best strategy. Results shows that node backup and redundancy edge backup can indeed decrease those nodes suffering from failure and improve the robustness of controllability. Considering the cost of redundant design, we should choose BBS (betweenness-based strategy or DBS (degree based strategy for node backup and HDF(high degree first for redundancy edge backup. Above all, our proposed strategies are feasible and effective at improving the robustness of interdependent network controllability.

Pixel-level multisensor image fusion based on matrix completion and robust principal component analysis

Science.gov (United States)

Wang, Zhuozheng; Deller, J. R.; Fleet, Blair D.

2016-01-01

Acquired digital images are often corrupted by a lack of camera focus, faulty illumination, or missing data. An algorithm is presented for fusion of multiple corrupted images of a scene using the lifting wavelet transform. The method employs adaptive fusion arithmetic based on matrix completion and self-adaptive regional variance estimation. Characteristics of the wavelet coefficients are used to adaptively select fusion rules. Robust principal component analysis is applied to low-frequency image components, and regional variance estimation is applied to high-frequency components. Experiments reveal that the method is effective for multifocus, visible-light, and infrared image fusion. Compared with traditional algorithms, the new algorithm not only increases the amount of preserved information and clarity but also improves robustness.

Variance in exposed perturbations impairs retention of visuomotor adaptation.

Science.gov (United States)

Canaveral, Cesar Augusto; Danion, Frédéric; Berrigan, Félix; Bernier, Pierre-Michel

2017-11-01

Sensorimotor control requires an accurate estimate of the state of the body. The brain optimizes state estimation by combining sensory signals with predictions of the sensory consequences of motor commands using a forward model. Given that both sensory signals and predictions are uncertain (i.e., noisy), the brain optimally weights the relative reliance on each source of information during adaptation. In support, it is known that uncertainty in the sensory predictions influences the rate and generalization of visuomotor adaptation. We investigated whether uncertainty in the sensory predictions affects the retention of a new visuomotor relationship. This was done by exposing three separate groups to a visuomotor rotation whose mean was common at 15° counterclockwise but whose variance around the mean differed (i.e., SD of 0°, 3.2°, or 4.5°). Retention was assessed by measuring the persistence of the adapted behavior in a no-vision phase. Results revealed that mean reach direction late in adaptation was similar across groups, suggesting it depended mainly on the mean of exposed rotations and was robust to differences in variance. However, retention differed across groups, with higher levels of variance being associated with a more rapid reversion toward nonadapted behavior. A control experiment ruled out the possibility that differences in retention were accounted for by differences in success rates. Exposure to variable rotations may have increased the uncertainty in sensory predictions, making the adapted forward model more labile and susceptible to change or decay. NEW & NOTEWORTHY The brain predicts the sensory consequences of motor commands through a forward model. These predictions are subject to uncertainty. We use visuomotor adaptation and modulate uncertainty in the sensory predictions by manipulating the variance in exposed rotations. Results reveal that variance does not influence the final extent of adaptation but selectively impairs the retention of

Minimum variance rooting of phylogenetic trees and implications for species tree reconstruction.

Science.gov (United States)

Mai, Uyen; Sayyari, Erfan; Mirarab, Siavash

2017-01-01

Phylogenetic trees inferred using commonly-used models of sequence evolution are unrooted, but the root position matters both for interpretation and downstream applications. This issue has been long recognized; however, whether the potential for discordance between the species tree and gene trees impacts methods of rooting a phylogenetic tree has not been extensively studied. In this paper, we introduce a new method of rooting a tree based on its branch length distribution; our method, which minimizes the variance of root to tip distances, is inspired by the traditional midpoint rerooting and is justified when deviations from the strict molecular clock are random. Like midpoint rerooting, the method can be implemented in a linear time algorithm. In extensive simulations that consider discordance between gene trees and the species tree, we show that the new method is more accurate than midpoint rerooting, but its relative accuracy compared to using outgroups to root gene trees depends on the size of the dataset and levels of deviations from the strict clock. We show high levels of error for all methods of rooting estimated gene trees due to factors that include effects of gene tree discordance, deviations from the clock, and gene tree estimation error. Our simulations, however, did not reveal significant differences between two equivalent methods for species tree estimation that use rooted and unrooted input, namely, STAR and NJst. Nevertheless, our results point to limitations of existing scalable rooting methods.

Structural changes and out-of-sample prediction of realized range-based variance in the stock market

Science.gov (United States)

Gong, Xu; Lin, Boqiang

2018-03-01

This paper aims to examine the effects of structural changes on forecasting the realized range-based variance in the stock market. Considering structural changes in variance in the stock market, we develop the HAR-RRV-SC model on the basis of the HAR-RRV model. Subsequently, the HAR-RRV and HAR-RRV-SC models are used to forecast the realized range-based variance of S&P 500 Index. We find that there are many structural changes in variance in the U.S. stock market, and the period after the financial crisis contains more structural change points than the period before the financial crisis. The out-of-sample results show that the HAR-RRV-SC model significantly outperforms the HAR-BV model when they are employed to forecast the 1-day, 1-week, and 1-month realized range-based variances, which means that structural changes can improve out-of-sample prediction of realized range-based variance. The out-of-sample results remain robust across the alternative rolling fixed-window, the alternative threshold value in ICSS algorithm, and the alternative benchmark models. More importantly, we believe that considering structural changes can help improve the out-of-sample performances of most of other existing HAR-RRV-type models in addition to the models used in this paper.

Causality in variance and the type of traders in crude oil futures

International Nuclear Information System (INIS)

Bhar, Ramaprasad; Hamori, Shigeyuki

2005-01-01

This article examines the causal relationship and, in particular, informational dependence between crude oil futures return and the trading volume using daily data over a ten-year period using a recent econometric methodology. The two-step procedure developed by Cheung and Ng (1996) [Cheung, Y.W., Ng, L.K., 1996. A causality-in-variance test and its applications to financial market prices, Journal of Econometrics 72, 33-48.] is robust to distributional assumption and does not depend on simultaneous modeling of the two variables. We find only causality at higher order lags running from return to volume in the mean as well as in conditional variance. Our result is not in complete agreement with several earlier studies in this area. However, the result does indicate mild support for noise traders' hypothesis in the crude oil futures market. (Author)

Meta-analysis of SNPs involved in variance heterogeneity using Levene's test for equal variances

Science.gov (United States)

Deng, Wei Q; Asma, Senay; Paré, Guillaume

2014-01-01

Meta-analysis is a commonly used approach to increase the sample size for genome-wide association searches when individual studies are otherwise underpowered. Here, we present a meta-analysis procedure to estimate the heterogeneity of the quantitative trait variance attributable to genetic variants using Levene's test without needing to exchange individual-level data. The meta-analysis of Levene's test offers the opportunity to combine the considerable sample size of a genome-wide meta-analysis to identify the genetic basis of phenotypic variability and to prioritize single-nucleotide polymorphisms (SNPs) for gene–gene and gene–environment interactions. The use of Levene's test has several advantages, including robustness to departure from the normality assumption, freedom from the influence of the main effects of SNPs, and no assumption of an additive genetic model. We conducted a meta-analysis of the log-transformed body mass index of 5892 individuals and identified a variant with a highly suggestive Levene's test P-value of 4.28E-06 near the NEGR1 locus known to be associated with extreme obesity. PMID:23921533

Is fMRI “noise” really noise? Resting state nuisance regressors remove variance with network structure

Science.gov (United States)

Bright, Molly G.; Murphy, Kevin

2015-01-01

Noise correction is a critical step towards accurate mapping of resting state BOLD fMRI connectivity. Noise sources related to head motion or physiology are typically modelled by nuisance regressors, and a generalised linear model is applied to regress out the associated signal variance. In this study, we use independent component analysis (ICA) to characterise the data variance typically discarded in this pre-processing stage in a cohort of 12 healthy volunteers. The signal variance removed by 24, 12, 6, or only 3 head motion parameters demonstrated network structure typically associated with functional connectivity, and certain networks were discernable in the variance extracted by as few as 2 physiologic regressors. Simulated nuisance regressors, unrelated to the true data noise, also removed variance with network structure, indicating that any group of regressors that randomly sample variance may remove highly structured “signal” as well as “noise.” Furthermore, to support this we demonstrate that random sampling of the original data variance continues to exhibit robust network structure, even when as few as 10% of the original volumes are considered. Finally, we examine the diminishing returns of increasing the number of nuisance regressors used in pre-processing, showing that excessive use of motion regressors may do little better than chance in removing variance within a functional network. It remains an open challenge to understand the balance between the benefits and confounds of noise correction using nuisance regressors. PMID:25862264

A COMPARISON OF SOME ROBUST BIVARIATE CONTROL CHARTS FOR INDIVIDUAL OBSERVATIONS

Directory of Open Access Journals (Sweden)

Moustafa Omar Ahmed Abu - Shawiesh

2014-06-01

Full Text Available This paper proposed and considered some bivariate control charts to monitor individual observations from a statistical process control. Usual control charts which use mean and variance-covariance estimators are sensitive to outliers. We consider the following robust alternatives to the classical Hoteling's T2: T2MedMAD, T2MCD, T2MVE a simulation study has been conducted to compare the performance of these control charts. Two real life data are analyzed to illustrate the application of these robust alternatives.

A COSMIC VARIANCE COOKBOOK

International Nuclear Information System (INIS)

Moster, Benjamin P.; Rix, Hans-Walter; Somerville, Rachel S.; Newman, Jeffrey A.

2011-01-01

Deep pencil beam surveys ( 2 ) are of fundamental importance for studying the high-redshift universe. However, inferences about galaxy population properties (e.g., the abundance of objects) are in practice limited by 'cosmic variance'. This is the uncertainty in observational estimates of the number density of galaxies arising from the underlying large-scale density fluctuations. This source of uncertainty can be significant, especially for surveys which cover only small areas and for massive high-redshift galaxies. Cosmic variance for a given galaxy population can be determined using predictions from cold dark matter theory and the galaxy bias. In this paper, we provide tools for experiment design and interpretation. For a given survey geometry, we present the cosmic variance of dark matter as a function of mean redshift z-bar and redshift bin size Δz. Using a halo occupation model to predict galaxy clustering, we derive the galaxy bias as a function of mean redshift for galaxy samples of a given stellar mass range. In the linear regime, the cosmic variance of these galaxy samples is the product of the galaxy bias and the dark matter cosmic variance. We present a simple recipe using a fitting function to compute cosmic variance as a function of the angular dimensions of the field, z-bar , Δz, and stellar mass m * . We also provide tabulated values and a software tool. The accuracy of the resulting cosmic variance estimates (δσ v /σ v ) is shown to be better than 20%. We find that for GOODS at z-bar =2 and with Δz = 0.5, the relative cosmic variance of galaxies with m * >10 11 M sun is ∼38%, while it is ∼27% for GEMS and ∼12% for COSMOS. For galaxies of m * ∼ 10 10 M sun , the relative cosmic variance is ∼19% for GOODS, ∼13% for GEMS, and ∼6% for COSMOS. This implies that cosmic variance is a significant source of uncertainty at z-bar =2 for small fields and massive galaxies, while for larger fields and intermediate mass galaxies, cosmic

The effectiveness of robust RMCD control chart as outliers’ detector

Science.gov (United States)

Darmanto; Astutik, Suci

2017-12-01

A well-known control chart to monitor a multivariate process is Hotelling’s T 2 which its parameters are estimated classically, very sensitive and also marred by masking and swamping of outliers data effect. To overcome these situation, robust estimators are strongly recommended. One of robust estimators is re-weighted minimum covariance determinant (RMCD) which has robust characteristics as same as MCD. In this paper, the effectiveness term is accuracy of the RMCD control chart in detecting outliers as real outliers. In other word, how effectively this control chart can identify and remove masking and swamping effects of outliers. We assessed the effectiveness the robust control chart based on simulation by considering different scenarios: n sample sizes, proportion of outliers, number of p quality characteristics. We found that in some scenarios, this RMCD robust control chart works effectively.

MCNP variance reduction overview

International Nuclear Information System (INIS)

Hendricks, J.S.; Booth, T.E.

1985-01-01

The MCNP code is rich in variance reduction features. Standard variance reduction methods found in most Monte Carlo codes are available as well as a number of methods unique to MCNP. We discuss the variance reduction features presently in MCNP as well as new ones under study for possible inclusion in future versions of the code

HOTELLING'S T2 CONTROL CHARTS BASED ON ROBUST ESTIMATORS

Directory of Open Access Journals (Sweden)

SERGIO YÁÑEZ

2010-01-01

Full Text Available Under the presence of multivariate outliers, in a Phase I analysis of historical set of data, the T 2 control chart based on the usual sample mean vector and sample variance covariance matrix performs poorly. Several alternative estimators have been proposed. Among them, estimators based on the minimum volume ellipsoid (MVE and the minimum covariance determinant (MCD are powerful in detecting a reasonable number of outliers. In this paper we propose a T 2 control chart using the biweight S estimators for the location and dispersion parameters when monitoring multivariate individual observations. Simulation studies show that this method outperforms the T 2 control chart based on MVE estimators for a small number of observations.

Spectral Ambiguity of Allan Variance

Science.gov (United States)

Greenhall, C. A.

1996-01-01

We study the extent to which knowledge of Allan variance and other finite-difference variances determines the spectrum of a random process. The variance of first differences is known to determine the spectrum. We show that, in general, the Allan variance does not. A complete description of the ambiguity is given.

Minimum Compliance Topology Optimization of Shell-Infill Composites for Additive Manufacturing

DEFF Research Database (Denmark)

Wu, Jun; Clausen, Anders; Sigmund, Ole

2017-01-01

Additively manufactured parts are often composed of two sub-structures, a solid shell forming their exterior and a porous infill occupying the interior. To account for this feature this paper presents a novel method for generating simultaneously optimized shell and infill in the context of minimum...... interpolation model into a physical density field, upon which the compliance is minimized. Enhanced by an adapted robust formulation for controlling the minimum length scale of the base, our method generates optimized shell-infill composites suitable for additive manufacturing. We demonstrate the effectiveness...

Variance Risk Premia on Stocks and Bonds

DEFF Research Database (Denmark)

Mueller, Philippe; Sabtchevsky, Petar; Vedolin, Andrea

We study equity (EVRP) and Treasury variance risk premia (TVRP) jointly and document a number of findings: First, relative to their volatility, TVRP are comparable in magnitude to EVRP. Second, while there is mild positive co-movement between EVRP and TVRP unconditionally, time series estimates...... equity returns for horizons up to 6-months, long maturity TVRP contain robust information for long run equity returns. Finally, exploiting the dynamics of real and nominal Treasuries we document that short maturity break-even rates are a power determinant of the joint dynamics of EVRP, TVRP and their co-movement...... of correlation display distinct spikes in both directions and have been notably volatile since the financial crisis. Third $(i)$ short maturity TVRP predict excess returns on short maturity bonds; $(ii)$ long maturity TVRP and EVRP predict excess returns on long maturity bonds; and $(iii)$ while EVRP predict...

Optimisation in the Design of Environmental Sensor Networks with Robustness Consideration

Science.gov (United States)

Budi, Setia; de Souza, Paulo; Timms, Greg; Malhotra, Vishv; Turner, Paul

2015-01-01

This work proposes the design of Environmental Sensor Networks (ESN) through balancing robustness and redundancy. An Evolutionary Algorithm (EA) is employed to find the optimal placement of sensor nodes in the Region of Interest (RoI). Data quality issues are introduced to simulate their impact on the performance of the ESN. Spatial Regression Test (SRT) is also utilised to promote robustness in data quality of the designed ESN. The proposed method provides high network representativeness (fit for purpose) with minimum sensor redundancy (cost), and ensures robustness by enabling the network to continue to achieve its objectives when some sensors fail. PMID:26633392

Bounds on Minimum Energy per Bit for Optical Wireless Relay Channels

Directory of Open Access Journals (Sweden)

A. D. Raza

2014-09-01

Full Text Available An optical wireless relay channel (OWRC is the classical three node network consisting of source, re- lay and destination nodes with optical wireless connectivity. The channel law is assumed Gaussian. This paper studies the bounds on minimum energy per bit required for reliable communication over an OWRC. It is shown that capacity of an OWRC is concave and energy per bit is monotonically increasing in square of the peak optical signal power, and consequently the minimum energy per bit is inversely pro- portional to the square root of asymptotic capacity at low signal to noise ratio. This has been used to develop upper and lower bound on energy per bit as a function of peak signal power, mean to peak power ratio, and variance of channel noise. The upper and lower bounds on minimum energy per bit derived in this paper correspond respectively to the decode and forward lower bound and the min-max cut upper bound on OWRC capacity

Robust portfolio selection based on asymmetric measures of variability of stock returns

Science.gov (United States)

Chen, Wei; Tan, Shaohua

2009-10-01

This paper addresses a new uncertainty set--interval random uncertainty set for robust optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust mean-variance portfolio selection under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

Robust stabilization of nonlinear systems by quantized and ternary control

NARCIS (Netherlands)

Persis, Claudio De

2009-01-01

Results on the problem of stabilizing a nonlinear continuous-time minimum-phase system by a finite number of control or measurement values are presented. The basic tool is a discontinuous version of the so-called semi-global backstepping lemma. We derive robust practical stabilizability results by

New robust statistical procedures for the polytomous logistic regression models.

Science.gov (United States)

Castilla, Elena; Ghosh, Abhik; Martin, Nirian; Pardo, Leandro

2018-05-17

This article derives a new family of estimators, namely the minimum density power divergence estimators, as a robust generalization of the maximum likelihood estimator for the polytomous logistic regression model. Based on these estimators, a family of Wald-type test statistics for linear hypotheses is introduced. Robustness properties of both the proposed estimators and the test statistics are theoretically studied through the classical influence function analysis. Appropriate real life examples are presented to justify the requirement of suitable robust statistical procedures in place of the likelihood based inference for the polytomous logistic regression model. The validity of the theoretical results established in the article are further confirmed empirically through suitable simulation studies. Finally, an approach for the data-driven selection of the robustness tuning parameter is proposed with empirical justifications. © 2018, The International Biometric Society.

On the Computation of the RMSEA and CFI from the Mean-And-Variance Corrected Test Statistic with Nonnormal Data in SEM.

Science.gov (United States)

Savalei, Victoria

2018-01-01

A new type of nonnormality correction to the RMSEA has recently been developed, which has several advantages over existing corrections. In particular, the new correction adjusts the sample estimate of the RMSEA for the inflation due to nonnormality, while leaving its population value unchanged, so that established cutoff criteria can still be used to judge the degree of approximate fit. A confidence interval (CI) for the new robust RMSEA based on the mean-corrected ("Satorra-Bentler") test statistic has also been proposed. Follow up work has provided the same type of nonnormality correction for the CFI (Brosseau-Liard & Savalei, 2014). These developments have recently been implemented in lavaan. This note has three goals: a) to show how to compute the new robust RMSEA and CFI from the mean-and-variance corrected test statistic; b) to offer a new CI for the robust RMSEA based on the mean-and-variance corrected test statistic; and c) to caution that the logic of the new nonnormality corrections to RMSEA and CFI is most appropriate for the maximum likelihood (ML) estimator, and cannot easily be generalized to the most commonly used categorical data estimators.

Robust Optimization of Thermal Aspects of Friction Stir Welding Using Manifold Mapping Techniques

DEFF Research Database (Denmark)

Larsen, Anders Astrup; Lahaye, Domenico; Schmidt, Henrik Nikolaj Blicher

2008-01-01

The aim of this paper is to optimize a friction stir welding process taking robustness into account. The optimization problems are formulated with the goal of obtaining desired mean responses while reducing the variance of the response. We restrict ourselves to a thermal model of the process...

Static models, recursive estimators and the zero-variance approach

KAUST Repository

Rubino, Gerardo

2016-01-07

When evaluating dependability aspects of complex systems, most models belong to the static world, where time is not an explicit variable. These models suffer from the same problems than dynamic ones (stochastic processes), such as the frequent combinatorial explosion of the state spaces. In the Monte Carlo domain, on of the most significant difficulties is the rare event situation. In this talk, we describe this context and a recent technique that appears to be at the top performance level in the area, where we combined ideas that lead to very fast estimation procedures with another approach called zero-variance approximation. Both ideas produced a very efficient method that has the right theoretical property concerning robustness, the Bounded Relative Error one. Some examples illustrate the results.

An asymptotically unbiased minimum density power divergence estimator for the Pareto-tail index

DEFF Research Database (Denmark)

Dierckx, Goedele; Goegebeur, Yuri; Guillou, Armelle

2013-01-01

We introduce a robust and asymptotically unbiased estimator for the tail index of Pareto-type distributions. The estimator is obtained by fitting the extended Pareto distribution to the relative excesses over a high threshold with the minimum density power divergence criterion. Consistency...

Normalized Minimum Error Entropy Algorithm with Recursive Power Estimation

Directory of Open Access Journals (Sweden)

Namyong Kim

2016-06-01

Full Text Available The minimum error entropy (MEE algorithm is known to be superior in signal processing applications under impulsive noise. In this paper, based on the analysis of behavior of the optimum weight and the properties of robustness against impulsive noise, a normalized version of the MEE algorithm is proposed. The step size of the MEE algorithm is normalized with the power of input entropy that is estimated recursively for reducing its computational complexity. The proposed algorithm yields lower minimum MSE (mean squared error and faster convergence speed simultaneously than the original MEE algorithm does in the equalization simulation. On the condition of the same convergence speed, its performance enhancement in steady state MSE is above 3 dB.

Solution of the problem of the identified minimum for the tri-variate ...

Indian Academy of Sciences (India)

tified minimum is considered below has zero means, and distinct variances. The solution ... and a non-singular covariance matrix , where ij = ρij σi σj for i ...... (i) through (iv) above, we can use (4.29) to identify a2. 21. , a2. 31. , a2. 12. , a2. 32 uniquely. Now we consider (4.28). In this case, there are two possibilities: (A2. 1, B2.

Robust estimation of the correlation matrix of longitudinal data

KAUST Repository

Maadooliat, Mehdi

2011-09-23

We propose a double-robust procedure for modeling the correlation matrix of a longitudinal dataset. It is based on an alternative Cholesky decomposition of the form Σ=DLL⊤D where D is a diagonal matrix proportional to the square roots of the diagonal entries of Σ and L is a unit lower-triangular matrix determining solely the correlation matrix. The first robustness is with respect to model misspecification for the innovation variances in D, and the second is robustness to outliers in the data. The latter is handled using heavy-tailed multivariate t-distributions with unknown degrees of freedom. We develop a Fisher scoring algorithm for computing the maximum likelihood estimator of the parameters when the nonredundant and unconstrained entries of (L,D) are modeled parsimoniously using covariates. We compare our results with those based on the modified Cholesky decomposition of the form LD2L⊤ using simulations and a real dataset. © 2011 Springer Science+Business Media, LLC.

Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium

DEFF Research Database (Denmark)

Casas, Isabel; Mao, Xiuping; Veiga, Helena

This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...... time-varying coefficient models are the ones showing considerably higher predictive power for stock market returns and financial instability during the financial crisis, suggesting that an extreme volatility period requires models that can adapt quickly to turmoil........ Moreover, a comparison of the overall results reveals that the conditional variance gains predictive power during the global financial crisis period. Furthermore, both the variance risk premium and conditional variance are determined to be predictors of future financial instability, whereas conditional...

Genetic variance in micro-environmental sensitivity for milk and milk quality in Walloon Holstein cattle.

Science.gov (United States)

Vandenplas, J; Bastin, C; Gengler, N; Mulder, H A

2013-09-01

Animals that are robust to environmental changes are desirable in the current dairy industry. Genetic differences in micro-environmental sensitivity can be studied through heterogeneity of residual variance between animals. However, residual variance between animals is usually assumed to be homogeneous in traditional genetic evaluations. The aim of this study was to investigate genetic heterogeneity of residual variance by estimating variance components in residual variance for milk yield, somatic cell score, contents in milk (g/dL) of 2 groups of milk fatty acids (i.e., saturated and unsaturated fatty acids), and the content in milk of one individual fatty acid (i.e., oleic acid, C18:1 cis-9), for first-parity Holstein cows in the Walloon Region of Belgium. A total of 146,027 test-day records from 26,887 cows in 747 herds were available. All cows had at least 3 records and a known sire. These sires had at least 10 cows with records and each herd × test-day had at least 5 cows. The 5 traits were analyzed separately based on fixed lactation curve and random regression test-day models for the mean. Estimation of variance components was performed by running iteratively expectation maximization-REML algorithm by the implementation of double hierarchical generalized linear models. Based on fixed lactation curve test-day mean models, heritability for residual variances ranged between 1.01×10(-3) and 4.17×10(-3) for all traits. The genetic standard deviation in residual variance (i.e., approximately the genetic coefficient of variation of residual variance) ranged between 0.12 and 0.17. Therefore, some genetic variance in micro-environmental sensitivity existed in the Walloon Holstein dairy cattle for the 5 studied traits. The standard deviations due to herd × test-day and permanent environment in residual variance ranged between 0.36 and 0.45 for herd × test-day effect and between 0.55 and 0.97 for permanent environmental effect. Therefore, nongenetic effects also

Robust and bias-corrected estimation of the coefficient of tail dependence

DEFF Research Database (Denmark)

Dutang, C.; Goegebeur, Y.; Guillou, A.

2014-01-01

We introduce a robust and asymptotically unbiased estimator for the coefficient of tail dependence in multivariate extreme value statistics. The estimator is obtained by fitting a second order model to the data by means of the minimum density power divergence criterion. The asymptotic properties ...

Employing Sensitivity Derivatives for Robust Optimization under Uncertainty in CFD

Science.gov (United States)

Newman, Perry A.; Putko, Michele M.; Taylor, Arthur C., III

2004-01-01

A robust optimization is demonstrated on a two-dimensional inviscid airfoil problem in subsonic flow. Given uncertainties in statistically independent, random, normally distributed flow parameters (input variables), an approximate first-order statistical moment method is employed to represent the Computational Fluid Dynamics (CFD) code outputs as expected values with variances. These output quantities are used to form the objective function and constraints. The constraints are cast in probabilistic terms; that is, the probability that a constraint is satisfied is greater than or equal to some desired target probability. Gradient-based robust optimization of this stochastic problem is accomplished through use of both first and second-order sensitivity derivatives. For each robust optimization, the effect of increasing both input standard deviations and target probability of constraint satisfaction are demonstrated. This method provides a means for incorporating uncertainty when considering small deviations from input mean values.

A zero-variance-based scheme for variance reduction in Monte Carlo criticality

Energy Technology Data Exchange (ETDEWEB)

Christoforou, S.; Hoogenboom, J. E. [Delft Univ. of Technology, Mekelweg 15, 2629 JB Delft (Netherlands)

2006-07-01

A zero-variance scheme is derived and proven theoretically for criticality cases, and a simplified transport model is used for numerical demonstration. It is shown in practice that by appropriate biasing of the transition and collision kernels, a significant reduction in variance can be achieved. This is done using the adjoint forms of the emission and collision densities, obtained from a deterministic calculation, according to the zero-variance scheme. By using an appropriate algorithm, the figure of merit of the simulation increases by up to a factor of 50, with the possibility of an even larger improvement. In addition, it is shown that the biasing speeds up the convergence of the initial source distribution. (authors)

A zero-variance-based scheme for variance reduction in Monte Carlo criticality

International Nuclear Information System (INIS)

Christoforou, S.; Hoogenboom, J. E.

2006-01-01

A zero-variance scheme is derived and proven theoretically for criticality cases, and a simplified transport model is used for numerical demonstration. It is shown in practice that by appropriate biasing of the transition and collision kernels, a significant reduction in variance can be achieved. This is done using the adjoint forms of the emission and collision densities, obtained from a deterministic calculation, according to the zero-variance scheme. By using an appropriate algorithm, the figure of merit of the simulation increases by up to a factor of 50, with the possibility of an even larger improvement. In addition, it is shown that the biasing speeds up the convergence of the initial source distribution. (authors)

Investing in Global Markets: Big Data and Applications of Robust Regression

Directory of Open Access Journals (Sweden)

John eGuerard

2016-02-01

Full Text Available In this analysis of the risk and return of stocks in global markets, we apply several applications of robust regression techniques in producing stock selection models and several optimization techniques in portfolio construction in global stock universes. We find that (1 the robust regression applications are appropriate for modeling stock returns in global markets; and (2 mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection. We estimate expected return models in a global equity markets using a given stock selection model and generate statistically significant active returns from various portfolio construction techniques.

Ant Colony Optimization for Markowitz Mean-Variance Portfolio Model

Science.gov (United States)

Deng, Guang-Feng; Lin, Woo-Tsong

This work presents Ant Colony Optimization (ACO), which was initially developed to be a meta-heuristic for combinatorial optimization, for solving the cardinality constraints Markowitz mean-variance portfolio model (nonlinear mixed quadratic programming problem). To our knowledge, an efficient algorithmic solution for this problem has not been proposed until now. Using heuristic algorithms in this case is imperative. Numerical solutions are obtained for five analyses of weekly price data for the following indices for the period March, 1992 to September, 1997: Hang Seng 31 in Hong Kong, DAX 100 in Germany, FTSE 100 in UK, S&P 100 in USA and Nikkei 225 in Japan. The test results indicate that the ACO is much more robust and effective than Particle swarm optimization (PSO), especially for low-risk investment portfolios.

Minimum information about a single amplified genome (MISAG) and a metagenome-assembled genome (MIMAG) of bacteria and archaea

Energy Technology Data Exchange (ETDEWEB)

Bowers, Robert M.; Kyrpides, Nikos C.; Stepanauskas, Ramunas; Harmon-Smith, Miranda; Doud, Devin; Reddy, T. B. K.; Schulz, Frederik; Jarett, Jessica; Rivers, Adam R.; Eloe-Fadrosh, Emiley A.; Tringe, Susannah G.; Ivanova, Natalia N.; Copeland, Alex; Clum, Alicia; Becraft, Eric D.; Malmstrom, Rex R.; Birren, Bruce; Podar, Mircea; Bork, Peer; Weinstock, George M.; Garrity, George M.; Dodsworth, Jeremy A.; Yooseph, Shibu; Sutton, Granger; Glöckner, Frank O.; Gilbert, Jack A.; Nelson, William C.; Hallam, Steven J.; Jungbluth, Sean P.; Ettema, Thijs J. G.; Tighe, Scott; Konstantinidis, Konstantinos T.; Liu, Wen-Tso; Baker, Brett J.; Rattei, Thomas; Eisen, Jonathan A.; Hedlund, Brian; McMahon, Katherine D.; Fierer, Noah; Knight, Rob; Finn, Rob; Cochrane, Guy; Karsch-Mizrachi, Ilene; Tyson, Gene W.; Rinke, Christian; Kyrpides, Nikos C.; Schriml, Lynn; Garrity, George M.; Hugenholtz, Philip; Sutton, Granger; Yilmaz, Pelin; Meyer, Folker; Glöckner, Frank O.; Gilbert, Jack A.; Knight, Rob; Finn, Rob; Cochrane, Guy; Karsch-Mizrachi, Ilene; Lapidus, Alla; Meyer, Folker; Yilmaz, Pelin; Parks, Donovan H.; Eren, A. M.; Schriml, Lynn; Banfield, Jillian F.; Hugenholtz, Philip; Woyke, Tanja

2017-08-08

We present two standards developed by the Genomic Standards Consortium (GSC) for reporting bacterial and archaeal genome sequences. Both are extensions of the Minimum Information about Any (x) Sequence (MIxS). The standards are the Minimum Information about a Single Amplified Genome (MISAG) and the Minimum Information about a Metagenome-Assembled Genome (MIMAG), including, but not limited to, assembly quality, and estimates of genome completeness and contamination. These standards can be used in combination with other GSC checklists, including the Minimum Information about a Genome Sequence (MIGS), Minimum Information about a Metagenomic Sequence (MIMS), and Minimum Information about a Marker Gene Sequence (MIMARKS). Community-wide adoption of MISAG and MIMAG will facilitate more robust comparative genomic analyses of bacterial and archaeal diversity.

Robust methods and asymptotic theory in nonlinear econometrics

CERN Document Server

Bierens, Herman J

1981-01-01

This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non­ linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structural equations. The asymptotic properties of the NLLSE and the two robust M-estimation methods are derived from further elaborations of results of Jennrich. Special attention is payed to the comparison of the asymptotic efficiency of NLLSE and NLRME. It is shown that if the tails of the error distribution are fatter than those of the normal distribution NLRME is more efficient than NLLSE. The NLWRME method is appropriate ...

Performance Evaluation and Robustness Testing of Advanced Oscilloscope Triggering Schemes

Directory of Open Access Journals (Sweden)

Shakeb A. KHAN

2010-01-01

Full Text Available In this paper, performance and robustness of two advanced oscilloscope triggering schemes is evaluated. The problem of time period measurement of complex waveforms can be solved using the algorithms, which utilize the associative memory network based weighted hamming distance (Whd and autocorrelation based techniques. Robustness of both the advanced techniques, are then evaluated by simulated addition of random noise of different levels to complex test signals waveforms, and minimum value of Whd (Whd min and peak value of coefficient of correlation(COCmax are computed over 10000 cycles of the selected test waveforms. The distance between mean value of second lowest value of Whd and Whd min and distance between second highest value of coefficient of correlation (COC and COC max are used as parameters to analyze the robustness of considered techniques. From the results, it is found that both the techniques are capable of producing trigger pulses efficiently; but correlation based technique is found to be better from robustness point of view.

Joint Adaptive Mean-Variance Regularization and Variance Stabilization of High Dimensional Data.

Science.gov (United States)

Dazard, Jean-Eudes; Rao, J Sunil

2012-07-01

The paper addresses a common problem in the analysis of high-dimensional high-throughput "omics" data, which is parameter estimation across multiple variables in a set of data where the number of variables is much larger than the sample size. Among the problems posed by this type of data are that variable-specific estimators of variances are not reliable and variable-wise tests statistics have low power, both due to a lack of degrees of freedom. In addition, it has been observed in this type of data that the variance increases as a function of the mean. We introduce a non-parametric adaptive regularization procedure that is innovative in that : (i) it employs a novel "similarity statistic"-based clustering technique to generate local-pooled or regularized shrinkage estimators of population parameters, (ii) the regularization is done jointly on population moments, benefiting from C. Stein's result on inadmissibility, which implies that usual sample variance estimator is improved by a shrinkage estimator using information contained in the sample mean. From these joint regularized shrinkage estimators, we derived regularized t-like statistics and show in simulation studies that they offer more statistical power in hypothesis testing than their standard sample counterparts, or regular common value-shrinkage estimators, or when the information contained in the sample mean is simply ignored. Finally, we show that these estimators feature interesting properties of variance stabilization and normalization that can be used for preprocessing high-dimensional multivariate data. The method is available as an R package, called 'MVR' ('Mean-Variance Regularization'), downloadable from the CRAN website.

Reduced conservatism in stability robustness bounds by state transformation

Science.gov (United States)

Yedavalli, R. K.; Liang, Z.

1986-01-01

This note addresses the issue of 'conservatism' in the time domain stability robustness bounds obtained by the Liapunov approach. A state transformation is employed to improve the upper bounds on the linear time-varying perturbation of an asymptotically stable linear time-invariant system for robust stability. This improvement is due to the variance of the conservatism of the Liapunov approach with respect to the basis of the vector space in which the Liapunov function is constructed. Improved bounds are obtained, using a transformation, on elemental and vector norms of perturbations (i.e., structured perturbations) as well as on a matrix norm of perturbations (i.e., unstructured perturbations). For the case of a diagonal transformation, an algorithm is proposed to find the 'optimal' transformation. Several examples are presented to illustrate the proposed analysis.

Hybrid biasing approaches for global variance reduction

International Nuclear Information System (INIS)

Wu, Zeyun; Abdel-Khalik, Hany S.

2013-01-01

A new variant of Monte Carlo—deterministic (DT) hybrid variance reduction approach based on Gaussian process theory is presented for accelerating convergence of Monte Carlo simulation and compared with Forward-Weighted Consistent Adjoint Driven Importance Sampling (FW-CADIS) approach implemented in the SCALE package from Oak Ridge National Laboratory. The new approach, denoted the Gaussian process approach, treats the responses of interest as normally distributed random processes. The Gaussian process approach improves the selection of the weight windows of simulated particles by identifying a subspace that captures the dominant sources of statistical response variations. Like the FW-CADIS approach, the Gaussian process approach utilizes particle importance maps obtained from deterministic adjoint models to derive weight window biasing. In contrast to the FW-CADIS approach, the Gaussian process approach identifies the response correlations (via a covariance matrix) and employs them to reduce the computational overhead required for global variance reduction (GVR) purpose. The effective rank of the covariance matrix identifies the minimum number of uncorrelated pseudo responses, which are employed to bias simulated particles. Numerical experiments, serving as a proof of principle, are presented to compare the Gaussian process and FW-CADIS approaches in terms of the global reduction in standard deviation of the estimated responses. - Highlights: ► Hybrid Monte Carlo Deterministic Method based on Gaussian Process Model is introduced. ► Method employs deterministic model to calculate responses correlations. ► Method employs correlations to bias Monte Carlo transport. ► Method compared to FW-CADIS methodology in SCALE code. ► An order of magnitude speed up is achieved for a PWR core model.

Portfolio optimization using median-variance approach

Science.gov (United States)

Wan Mohd, Wan Rosanisah; Mohamad, Daud; Mohamed, Zulkifli

2013-04-01

Optimization models have been applied in many decision-making problems particularly in portfolio selection. Since the introduction of Markowitz's theory of portfolio selection, various approaches based on mathematical programming have been introduced such as mean-variance, mean-absolute deviation, mean-variance-skewness and conditional value-at-risk (CVaR) mainly to maximize return and minimize risk. However most of the approaches assume that the distribution of data is normal and this is not generally true. As an alternative, in this paper, we employ the median-variance approach to improve the portfolio optimization. This approach has successfully catered both types of normal and non-normal distribution of data. With this actual representation, we analyze and compare the rate of return and risk between the mean-variance and the median-variance based portfolio which consist of 30 stocks from Bursa Malaysia. The results in this study show that the median-variance approach is capable to produce a lower risk for each return earning as compared to the mean-variance approach.

Parameters Tuning of Model Free Adaptive Control Based on Minimum Entropy

Institute of Scientific and Technical Information of China (English)

Chao Ji; Jing Wang; Liulin Cao; Qibing Jin

2014-01-01

Dynamic linearization based model free adaptive control(MFAC) algorithm has been widely used in practical systems, in which some parameters should be tuned before it is successfully applied to process industries. Considering the random noise existing in real processes, a parameter tuning method based on minimum entropy optimization is proposed,and the feature of entropy is used to accurately describe the system uncertainty. For cases of Gaussian stochastic noise and non-Gaussian stochastic noise, an entropy recursive optimization algorithm is derived based on approximate model or identified model. The extensive simulation results show the effectiveness of the minimum entropy optimization for the partial form dynamic linearization based MFAC. The parameters tuned by the minimum entropy optimization index shows stronger stability and more robustness than these tuned by other traditional index,such as integral of the squared error(ISE) or integral of timeweighted absolute error(ITAE), when the system stochastic noise exists.

The Risk Management of Minimum Return Guarantees

Directory of Open Access Journals (Sweden)

Antje Mahayni

2008-05-01

Full Text Available Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark. They contain an embedded power option, and the key issue is the tractable and realistic hedging of this option, in order to rigorously justify valuation by arbitrage arguments and prevent the guarantees from becoming uncontrollable liabilities to the issuer. We show how to determine the contract parameters conservatively and implement robust risk-management strategies.

Robust transceiver design for reciprocal M × N interference channel based on statistical linearization approximation

Science.gov (United States)

Mayvan, Ali D.; Aghaeinia, Hassan; Kazemi, Mohammad

2017-12-01

This paper focuses on robust transceiver design for throughput enhancement on the interference channel (IC), under imperfect channel state information (CSI). In this paper, two algorithms are proposed to improve the throughput of the multi-input multi-output (MIMO) IC. Each transmitter and receiver has, respectively, M and N antennas and IC operates in a time division duplex mode. In the first proposed algorithm, each transceiver adjusts its filter to maximize the expected value of signal-to-interference-plus-noise ratio (SINR). On the other hand, the second algorithm tries to minimize the variances of the SINRs to hedge against the variability due to CSI error. Taylor expansion is exploited to approximate the effect of CSI imperfection on mean and variance. The proposed robust algorithms utilize the reciprocity of wireless networks to optimize the estimated statistical properties in two different working modes. Monte Carlo simulations are employed to investigate sum rate performance of the proposed algorithms and the advantage of incorporating variation minimization into the transceiver design.

Approximation errors during variance propagation

International Nuclear Information System (INIS)

Dinsmore, Stephen

1986-01-01

Risk and reliability analyses are often performed by constructing and quantifying large fault trees. The inputs to these models are component failure events whose probability of occuring are best represented as random variables. This paper examines the errors inherent in two approximation techniques used to calculate the top event's variance from the inputs' variance. Two sample fault trees are evaluated and several three dimensional plots illustrating the magnitude of the error over a wide range of input means and variances are given

Robust on-off pulse control of flexible space vehicles

Science.gov (United States)

Wie, Bong; Sinha, Ravi

1993-01-01

The on-off reaction jet control system is often used for attitude and orbital maneuvering of various spacecraft. Future space vehicles such as the orbital transfer vehicles, orbital maneuvering vehicles, and space station will extensively use reaction jets for orbital maneuvering and attitude stabilization. The proposed robust fuel- and time-optimal control algorithm is used for a three-mass spacing model of flexible spacecraft. A fuel-efficient on-off control logic is developed for robust rest-to-rest maneuver of a flexible vehicle with minimum excitation of structural modes. The first part of this report is concerned with the problem of selecting a proper pair of jets for practical trade-offs among the maneuvering time, fuel consumption, structural mode excitation, and performance robustness. A time-optimal control problem subject to parameter robustness constraints is formulated and solved. The second part of this report deals with obtaining parameter insensitive fuel- and time- optimal control inputs by solving a constrained optimization problem subject to robustness constraints. It is shown that sensitivity to modeling errors can be significantly reduced by the proposed, robustified open-loop control approach. The final part of this report deals with sliding mode control design for uncertain flexible structures. The benchmark problem of a flexible structure is used as an example for the feedback sliding mode controller design with bounded control inputs and robustness to parameter variations is investigated.

The phenotypic variance gradient - a novel concept.

Science.gov (United States)

Pertoldi, Cino; Bundgaard, Jørgen; Loeschcke, Volker; Barker, James Stuart Flinton

2014-11-01

Evolutionary ecologists commonly use reaction norms, which show the range of phenotypes produced by a set of genotypes exposed to different environments, to quantify the degree of phenotypic variance and the magnitude of plasticity of morphometric and life-history traits. Significant differences among the values of the slopes of the reaction norms are interpreted as significant differences in phenotypic plasticity, whereas significant differences among phenotypic variances (variance or coefficient of variation) are interpreted as differences in the degree of developmental instability or canalization. We highlight some potential problems with this approach to quantifying phenotypic variance and suggest a novel and more informative way to plot reaction norms: namely "a plot of log (variance) on the y-axis versus log (mean) on the x-axis, with a reference line added". This approach gives an immediate impression of how the degree of phenotypic variance varies across an environmental gradient, taking into account the consequences of the scaling effect of the variance with the mean. The evolutionary implications of the variation in the degree of phenotypic variance, which we call a "phenotypic variance gradient", are discussed together with its potential interactions with variation in the degree of phenotypic plasticity and canalization.

Evolution of Genetic Variance during Adaptive Radiation.

Science.gov (United States)

Walter, Greg M; Aguirre, J David; Blows, Mark W; Ortiz-Barrientos, Daniel

2018-04-01

Genetic correlations between traits can concentrate genetic variance into fewer phenotypic dimensions that can bias evolutionary trajectories along the axis of greatest genetic variance and away from optimal phenotypes, constraining the rate of evolution. If genetic correlations limit adaptation, rapid adaptive divergence between multiple contrasting environments may be difficult. However, if natural selection increases the frequency of rare alleles after colonization of new environments, an increase in genetic variance in the direction of selection can accelerate adaptive divergence. Here, we explored adaptive divergence of an Australian native wildflower by examining the alignment between divergence in phenotype mean and divergence in genetic variance among four contrasting ecotypes. We found divergence in mean multivariate phenotype along two major axes represented by different combinations of plant architecture and leaf traits. Ecotypes also showed divergence in the level of genetic variance in individual traits and the multivariate distribution of genetic variance among traits. Divergence in multivariate phenotypic mean aligned with divergence in genetic variance, with much of the divergence in phenotype among ecotypes associated with changes in trait combinations containing substantial levels of genetic variance. Overall, our results suggest that natural selection can alter the distribution of genetic variance underlying phenotypic traits, increasing the amount of genetic variance in the direction of natural selection and potentially facilitating rapid adaptive divergence during an adaptive radiation.

Robust Design Optimization of an Aerospace Vehicle Prolusion System

Directory of Open Access Journals (Sweden)

Muhammad Aamir Raza

2011-01-01

Full Text Available This paper proposes a robust design optimization methodology under design uncertainties of an aerospace vehicle propulsion system. The approach consists of 3D geometric design coupled with complex internal ballistics, hybrid optimization, worst-case deviation, and efficient statistical approach. The uncertainties are propagated through worst-case deviation using first-order orthogonal design matrices. The robustness assessment is measured using the framework of mean-variance and percentile difference approach. A parametric sensitivity analysis is carried out to analyze the effects of design variables variation on performance parameters. A hybrid simulated annealing and pattern search approach is used as an optimizer. The results show the objective function of optimizing the mean performance and minimizing the variation of performance parameters in terms of thrust ratio and total impulse could be achieved while adhering to the system constraints.

Confidence Interval Approximation For Treatment Variance In ...

African Journals Online (AJOL)

In a random effects model with a single factor, variation is partitioned into two as residual error variance and treatment variance. While a confidence interval can be imposed on the residual error variance, it is not possible to construct an exact confidence interval for the treatment variance. This is because the treatment ...

Heuristics for the Robust Coloring Problem

Directory of Open Access Journals (Sweden)

Miguel Ángel Gutiérrez Andrade

2011-03-01

Full Text Available Let $G$ and $\\bar{G}$ be complementary graphs. Given a penalty function defined on the edges of $G$, we will say that the rigidity of a $k$-coloring of $G$ is the sum of the penalties of the edges of G joining vertices of the same color. Based on the previous definition, the Robust Coloring Problem (RCP is stated as the search of the minimum rigidity $k$-coloring. In this work a comparison of heuristics based on simulated annealing, GRASP and scatter search is presented. These are the best results for the RCP that have been obtained.

A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure

Directory of Open Access Journals (Sweden)

Aifan Ling

2014-01-01

Full Text Available Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries. We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper. We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive 1/N portfolio strategy by real market data from China market and other markets. We find from the numerical results that the tested active models are more attractive and robust than the compared models.

Robustness of serial clustering of extratropical cyclones to the choice of tracking method

Directory of Open Access Journals (Sweden)

Joaquim G. Pinto

2016-07-01

Full Text Available Cyclone clusters are a frequent synoptic feature in the Euro-Atlantic area. Recent studies have shown that serial clustering of cyclones generally occurs on both flanks and downstream regions of the North Atlantic storm track, while cyclones tend to occur more regulary on the western side of the North Atlantic basin near Newfoundland. This study explores the sensitivity of serial clustering to the choice of cyclone tracking method using cyclone track data from 15 methods derived from ERA-Interim data (1979–2010. Clustering is estimated by the dispersion (ratio of variance to mean of winter [December – February (DJF] cyclone passages near each grid point over the Euro-Atlantic area. The mean number of cyclone counts and their variance are compared between methods, revealing considerable differences, particularly for the latter. Results show that all different tracking methods qualitatively capture similar large-scale spatial patterns of underdispersion and overdispersion over the study region. The quantitative differences can primarily be attributed to the differences in the variance of cyclone counts between the methods. Nevertheless, overdispersion is statistically significant for almost all methods over parts of the eastern North Atlantic and Western Europe, and is therefore considered as a robust feature. The influence of the North Atlantic Oscillation (NAO on cyclone clustering displays a similar pattern for all tracking methods, with one maximum near Iceland and another between the Azores and Iberia. The differences in variance between methods are not related with different sensitivities to the NAO, which can account to over 50% of the clustering in some regions. We conclude that the general features of underdispersion and overdispersion of extratropical cyclones over the North Atlantic and Western Europe are robust to the choice of tracking method. The same is true for the influence of the NAO on cyclone dispersion.

RepExplore: addressing technical replicate variance in proteomics and metabolomics data analysis.

Science.gov (United States)

Glaab, Enrico; Schneider, Reinhard

2015-07-01

High-throughput omics datasets often contain technical replicates included to account for technical sources of noise in the measurement process. Although summarizing these replicate measurements by using robust averages may help to reduce the influence of noise on downstream data analysis, the information on the variance across the replicate measurements is lost in the averaging process and therefore typically disregarded in subsequent statistical analyses.We introduce RepExplore, a web-service dedicated to exploit the information captured in the technical replicate variance to provide more reliable and informative differential expression and abundance statistics for omics datasets. The software builds on previously published statistical methods, which have been applied successfully to biomedical omics data but are difficult to use without prior experience in programming or scripting. RepExplore facilitates the analysis by providing a fully automated data processing and interactive ranking tables, whisker plot, heat map and principal component analysis visualizations to interpret omics data and derived statistics. Freely available at http://www.repexplore.tk enrico.glaab@uni.lu Supplementary data are available at Bioinformatics online. © The Author 2015. Published by Oxford University Press.

Distributionally robust hydro-thermal-wind economic dispatch

International Nuclear Information System (INIS)

Chen, Yue; Wei, Wei; Liu, Feng; Mei, Shengwei

2016-01-01

Highlights: • A two-stage distributionally robust hydro-thermal-wind model is proposed. • A semi-definite programing equivalent and its algorithm are developed. • Cases that demonstrate the effectiveness of the proposed model are included. - Abstract: With the penetration of wind energy increasing, uncertainty has become a major challenge in power system dispatch. Hydro power can change rapidly and is regarded as one promising complementary energy resource to mitigate wind power fluctuation. Joint scheduling of hydro, thermal, and wind energy is attracting more and more attention nowadays. This paper proposes a distributionally robust hydro-thermal-wind economic dispatch (DR-HTW-ED) method to enhance the flexibility and reliability of power system operation. In contrast to the traditional stochastic optimization (SO) and adjustable robust optimization (ARO) method, distributionally robust optimization (DRO) method describes the uncertain wind power output by all possible probability distribution functions (PDFs) with the same mean and variance recovered from the forecast data, and optimizes the expected operation cost in the worst distribution. Traditional DRO optimized the random parameter in entire space, which is sometimes contradict to the actual situation. In this paper, we restrict the wind power uncertainty in a bounded set, and derive an equivalent semi-definite programming (SDP) for the DR-HTW-ED using S-lemma. A delayed constraint generation algorithm is suggested to solve it in a tractable manner. The proposed DR-HTW-ED is compared with the existing ARO based hydro-thermal-wind economic dispatch (AR-HTW-ED). Their respective features are shown from the perspective of computational efficiency and conservativeness of dispatch strategies.

Validation of consistency of Mendelian sampling variance.

Science.gov (United States)

Tyrisevä, A-M; Fikse, W F; Mäntysaari, E A; Jakobsen, J; Aamand, G P; Dürr, J; Lidauer, M H

2018-03-01

Experiences from international sire evaluation indicate that the multiple-trait across-country evaluation method is sensitive to changes in genetic variance over time. Top bulls from birth year classes with inflated genetic variance will benefit, hampering reliable ranking of bulls. However, none of the methods available today enable countries to validate their national evaluation models for heterogeneity of genetic variance. We describe a new validation method to fill this gap comprising the following steps: estimating within-year genetic variances using Mendelian sampling and its prediction error variance, fitting a weighted linear regression between the estimates and the years under study, identifying possible outliers, and defining a 95% empirical confidence interval for a possible trend in the estimates. We tested the specificity and sensitivity of the proposed validation method with simulated data using a real data structure. Moderate (M) and small (S) size populations were simulated under 3 scenarios: a control with homogeneous variance and 2 scenarios with yearly increases in phenotypic variance of 2 and 10%, respectively. Results showed that the new method was able to estimate genetic variance accurately enough to detect bias in genetic variance. Under the control scenario, the trend in genetic variance was practically zero in setting M. Testing cows with an average birth year class size of more than 43,000 in setting M showed that tolerance values are needed for both the trend and the outlier tests to detect only cases with a practical effect in larger data sets. Regardless of the magnitude (yearly increases in phenotypic variance of 2 or 10%) of the generated trend, it deviated statistically significantly from zero in all data replicates for both cows and bulls in setting M. In setting S with a mean of 27 bulls in a year class, the sampling error and thus the probability of a false-positive result clearly increased. Still, overall estimated genetic

Least-squares variance component estimation

NARCIS (Netherlands)

Teunissen, P.J.G.; Amiri-Simkooei, A.R.

2007-01-01

Least-squares variance component estimation (LS-VCE) is a simple, flexible and attractive method for the estimation of unknown variance and covariance components. LS-VCE is simple because it is based on the well-known principle of LS; it is flexible because it works with a user-defined weight

Adaptive robust Kalman filtering for precise point positioning

International Nuclear Information System (INIS)

Guo, Fei; Zhang, Xiaohong

2014-01-01

The optimality of precise point postioning (PPP) solution using a Kalman filter is closely connected to the quality of the a priori information about the process noise and the updated mesurement noise, which are sometimes difficult to obtain. Also, the estimation enviroment in the case of dynamic or kinematic applications is not always fixed but is subject to change. To overcome these problems, an adaptive robust Kalman filtering algorithm, the main feature of which introduces an equivalent covariance matrix to resist the unexpected outliers and an adaptive factor to balance the contribution of observational information and predicted information from the system dynamic model, is applied for PPP processing. The basic models of PPP including the observation model, dynamic model and stochastic model are provided first. Then an adaptive robust Kalmam filter is developed for PPP. Compared with the conventional robust estimator, only the observation with largest standardized residual will be operated by the IGG III function in each iteration to avoid reducing the contribution of the normal observations or even filter divergence. Finally, tests carried out in both static and kinematic modes have confirmed that the adaptive robust Kalman filter outperforms the classic Kalman filter by turning either the equivalent variance matrix or the adaptive factor or both of them. This becomes evident when analyzing the positioning errors in flight tests at the turns due to the target maneuvering and unknown process/measurement noises. (paper)

Computation of mean and variance of the radiotherapy dose for PCA-modeled random shape and position variations of the target.

Science.gov (United States)

Budiarto, E; Keijzer, M; Storchi, P R M; Heemink, A W; Breedveld, S; Heijmen, B J M

2014-01-20

Radiotherapy dose delivery in the tumor and surrounding healthy tissues is affected by movements and deformations of the corresponding organs between fractions. The random variations may be characterized by non-rigid, anisotropic principal component analysis (PCA) modes. In this article new dynamic dose deposition matrices, based on established PCA modes, are introduced as a tool to evaluate the mean and the variance of the dose at each target point resulting from any given set of fluence profiles. The method is tested for a simple cubic geometry and for a prostate case. The movements spread out the distributions of the mean dose and cause the variance of the dose to be highest near the edges of the beams. The non-rigidity and anisotropy of the movements are reflected in both quantities. The dynamic dose deposition matrices facilitate the inclusion of the mean and the variance of the dose in the existing fluence-profile optimizer for radiotherapy planning, to ensure robust plans with respect to the movements.

Computation of mean and variance of the radiotherapy dose for PCA-modeled random shape and position variations of the target

International Nuclear Information System (INIS)

Budiarto, E; Keijzer, M; Heemink, A W; Storchi, P R M; Breedveld, S; Heijmen, B J M

2014-01-01

Radiotherapy dose delivery in the tumor and surrounding healthy tissues is affected by movements and deformations of the corresponding organs between fractions. The random variations may be characterized by non-rigid, anisotropic principal component analysis (PCA) modes. In this article new dynamic dose deposition matrices, based on established PCA modes, are introduced as a tool to evaluate the mean and the variance of the dose at each target point resulting from any given set of fluence profiles. The method is tested for a simple cubic geometry and for a prostate case. The movements spread out the distributions of the mean dose and cause the variance of the dose to be highest near the edges of the beams. The non-rigidity and anisotropy of the movements are reflected in both quantities. The dynamic dose deposition matrices facilitate the inclusion of the mean and the variance of the dose in the existing fluence-profile optimizer for radiotherapy planning, to ensure robust plans with respect to the movements. (paper)

Genetic variants influencing phenotypic variance heterogeneity.

Science.gov (United States)

Ek, Weronica E; Rask-Andersen, Mathias; Karlsson, Torgny; Enroth, Stefan; Gyllensten, Ulf; Johansson, Åsa

2018-03-01

Most genetic studies identify genetic variants associated with disease risk or with the mean value of a quantitative trait. More rarely, genetic variants associated with variance heterogeneity are considered. In this study, we have identified such variance single-nucleotide polymorphisms (vSNPs) and examined if these represent biological gene × gene or gene × environment interactions or statistical artifacts caused by multiple linked genetic variants influencing the same phenotype. We have performed a genome-wide study, to identify vSNPs associated with variance heterogeneity in DNA methylation levels. Genotype data from over 10 million single-nucleotide polymorphisms (SNPs), and DNA methylation levels at over 430 000 CpG sites, were analyzed in 729 individuals. We identified vSNPs for 7195 CpG sites (P mean DNA methylation levels. We further showed that variance heterogeneity between genotypes mainly represents additional, often rare, SNPs in linkage disequilibrium (LD) with the respective vSNP and for some vSNPs, multiple low frequency variants co-segregating with one of the vSNP alleles. Therefore, our results suggest that variance heterogeneity of DNA methylation mainly represents phenotypic effects by multiple SNPs, rather than biological interactions. Such effects may also be important for interpreting variance heterogeneity of more complex clinical phenotypes.

MMSE-based algorithm for joint signal detection, channel and noise variance estimation for OFDM systems

CERN Document Server

Savaux, Vincent

2014-01-01

This book presents an algorithm for the detection of an orthogonal frequency division multiplexing (OFDM) signal in a cognitive radio context by means of a joint and iterative channel and noise estimation technique. Based on the minimum mean square criterion, it performs an accurate detection of a user in a frequency band, by achieving a quasi-optimal channel and noise variance estimation if the signal is present, and by estimating the noise level in the band if the signal is absent. Organized into three chapters, the first chapter provides the background against which the system model is pr

Assessing robustness of designs for random effects parameters for nonlinear mixed-effects models.

Science.gov (United States)

Duffull, Stephen B; Hooker, Andrew C

2017-12-01

Optimal designs for nonlinear models are dependent on the choice of parameter values. Various methods have been proposed to provide designs that are robust to uncertainty in the prior choice of parameter values. These methods are generally based on estimating the expectation of the determinant (or a transformation of the determinant) of the information matrix over the prior distribution of the parameter values. For high dimensional models this can be computationally challenging. For nonlinear mixed-effects models the question arises as to the importance of accounting for uncertainty in the prior value of the variances of the random effects parameters. In this work we explore the influence of the variance of the random effects parameters on the optimal design. We find that the method for approximating the expectation and variance of the likelihood is of potential importance for considering the influence of random effects. The most common approximation to the likelihood, based on a first-order Taylor series approximation, yields designs that are relatively insensitive to the prior value of the variance of the random effects parameters and under these conditions it appears to be sufficient to consider uncertainty on the fixed-effects parameters only.

A Robust Photogrammetric Processing Method of Low-Altitude UAV Images

Directory of Open Access Journals (Sweden)

Mingyao Ai

2015-02-01

Full Text Available Low-altitude Unmanned Aerial Vehicles (UAV images which include distortion, illumination variance, and large rotation angles are facing multiple challenges of image orientation and image processing. In this paper, a robust and convenient photogrammetric approach is proposed for processing low-altitude UAV images, involving a strip management method to automatically build a standardized regional aerial triangle (AT network, a parallel inner orientation algorithm, a ground control points (GCPs predicting method, and an improved Scale Invariant Feature Transform (SIFT method to produce large number of evenly distributed reliable tie points for bundle adjustment (BA. A multi-view matching approach is improved to produce Digital Surface Models (DSM and Digital Orthophoto Maps (DOM for 3D visualization. Experimental results show that the proposed approach is robust and feasible for photogrammetric processing of low-altitude UAV images and 3D visualization of products.

A robust neural network-based approach for microseismic event detection

KAUST Repository

Akram, Jubran

2017-08-17

We present an artificial neural network based approach for robust event detection from low S/N waveforms. We use a feed-forward network with a single hidden layer that is tuned on a training dataset and later applied on the entire example dataset for event detection. The input features used include the average of absolute amplitudes, variance, energy-ratio and polarization rectilinearity. These features are calculated in a moving-window of same length for the entire waveform. The output is set as a user-specified relative probability curve, which provides a robust way of distinguishing between weak and strong events. An optimal network is selected by studying the weight-based saliency and effect of number of neurons on the predicted results. Using synthetic data examples, we demonstrate that this approach is effective in detecting weaker events and reduces the number of false positives.

The use of singular value gradients and optimization techniques to design robust controllers for multiloop systems

Science.gov (United States)

Newsom, J. R.; Mukhopadhyay, V.

1983-01-01

A method for designing robust feedback controllers for multiloop systems is presented. Robustness is characterized in terms of the minimum singular value of the system return difference matrix at the plant input. Analytical gradients of the singular values with respect to design variables in the controller are derived. A cumulative measure of the singular values and their gradients with respect to the design variables is used with a numerical optimization technique to increase the system's robustness. Both unconstrained and constrained optimization techniques are evaluated. Numerical results are presented for a two output drone flight control system.

The impact of the UK National Minimum Wage on mental health

Directory of Open Access Journals (Sweden)

Christoph Kronenberg

2017-12-01

Full Text Available Despite an emerging literature, there is still sparse and mixed evidence on the wider societal benefits of Minimum Wage policies, including their effects on mental health. Furthermore, causal evidence on the relationship between earnings and mental health is limited. We focus on low-wage earners, who are at higher risk of psychological distress, and exploit the quasi-experiment provided by the introduction of the UK National Minimum Wage (NMW to identify the causal impact of wage increases on mental health. We employ difference-in-differences models and find that the introduction of the UK NMW had no effect on mental health. Our estimates do not appear to support earlier findings which indicate that minimum wages affect mental health of low-wage earners. A series of robustness checks accounting for measurement error, as well as treatment and control group composition, confirm our main results. Overall, our findings suggest that policies aimed at improving the mental health of low-wage earners should either consider the non-wage characteristics of employment or potentially larger wage increases.

The impact of the UK National Minimum Wage on mental health.

Science.gov (United States)

Kronenberg, Christoph; Jacobs, Rowena; Zucchelli, Eugenio

2017-12-01

Despite an emerging literature, there is still sparse and mixed evidence on the wider societal benefits of Minimum Wage policies, including their effects on mental health. Furthermore, causal evidence on the relationship between earnings and mental health is limited. We focus on low-wage earners, who are at higher risk of psychological distress, and exploit the quasi-experiment provided by the introduction of the UK National Minimum Wage (NMW) to identify the causal impact of wage increases on mental health. We employ difference-in-differences models and find that the introduction of the UK NMW had no effect on mental health. Our estimates do not appear to support earlier findings which indicate that minimum wages affect mental health of low-wage earners. A series of robustness checks accounting for measurement error, as well as treatment and control group composition, confirm our main results. Overall, our findings suggest that policies aimed at improving the mental health of low-wage earners should either consider the non-wage characteristics of employment or potentially larger wage increases.

A proxy for variance in dense matching over homogeneous terrain

Science.gov (United States)

Altena, Bas; Cockx, Liesbet; Goedemé, Toon

2014-05-01

Automation in photogrammetry and avionics have brought highly autonomous UAV mapping solutions on the market. These systems have great potential for geophysical research, due to their mobility and simplicity of work. Flight planning can be done on site and orientation parameters are estimated automatically. However, one major drawback is still present: if contrast is lacking, stereoscopy fails. Consequently, topographic information cannot be obtained precisely through photogrammetry for areas with low contrast. Even though more robustness is added in the estimation through multi-view geometry, a precise product is still lacking. For the greater part, interpolation is applied over these regions, where the estimation is constrained by uniqueness, its epipolar line and smoothness. Consequently, digital surface models are generated with an estimate of the topography, without holes but also without an indication of its variance. Every dense matching algorithm is based on a similarity measure. Our methodology uses this property to support the idea that if only noise is present, no correspondence can be detected. Therefore, the noise level is estimated in respect to the intensity signal of the topography (SNR) and this ratio serves as a quality indicator for the automatically generated product. To demonstrate this variance indicator, two different case studies were elaborated. The first study is situated at an open sand mine near the village of Kiezegem, Belgium. Two different UAV systems flew over the site. One system had automatic intensity regulation, and resulted in low contrast over the sandy interior of the mine. That dataset was used to identify the weak estimations of the topography and was compared with the data from the other UAV flight. In the second study a flight campaign with the X100 system was conducted along the coast near Wenduine, Belgium. The obtained images were processed through structure-from-motion software. Although the beach had a very low

Shrinkage Estimators for Robust and Efficient Inference in Haplotype-Based Case-Control Studies

KAUST Repository

Chen, Yi-Hau; Chatterjee, Nilanjan; Carroll, Raymond J.

2009-01-01

Case-control association studies often aim to investigate the role of genes and gene-environment interactions in terms of the underlying haplotypes (i.e., the combinations of alleles at multiple genetic loci along chromosomal regions). The goal of this article is to develop robust but efficient approaches to the estimation of disease odds-ratio parameters associated with haplotypes and haplotype-environment interactions. We consider "shrinkage" estimation techniques that can adaptively relax the model assumptions of Hardy-Weinberg-Equilibrium and gene-environment independence required by recently proposed efficient "retrospective" methods. Our proposal involves first development of a novel retrospective approach to the analysis of case-control data, one that is robust to the nature of the gene-environment distribution in the underlying population. Next, it involves shrinkage of the robust retrospective estimator toward a more precise, but model-dependent, retrospective estimator using novel empirical Bayes and penalized regression techniques. Methods for variance estimation are proposed based on asymptotic theories. Simulations and two data examples illustrate both the robustness and efficiency of the proposed methods.

Shrinkage Estimators for Robust and Efficient Inference in Haplotype-Based Case-Control Studies

KAUST Repository

Chen, Yi-Hau

2009-03-01

Case-control association studies often aim to investigate the role of genes and gene-environment interactions in terms of the underlying haplotypes (i.e., the combinations of alleles at multiple genetic loci along chromosomal regions). The goal of this article is to develop robust but efficient approaches to the estimation of disease odds-ratio parameters associated with haplotypes and haplotype-environment interactions. We consider "shrinkage" estimation techniques that can adaptively relax the model assumptions of Hardy-Weinberg-Equilibrium and gene-environment independence required by recently proposed efficient "retrospective" methods. Our proposal involves first development of a novel retrospective approach to the analysis of case-control data, one that is robust to the nature of the gene-environment distribution in the underlying population. Next, it involves shrinkage of the robust retrospective estimator toward a more precise, but model-dependent, retrospective estimator using novel empirical Bayes and penalized regression techniques. Methods for variance estimation are proposed based on asymptotic theories. Simulations and two data examples illustrate both the robustness and efficiency of the proposed methods.

Robust parameter design for integrated circuit fabrication procedure with respect to categorical characteristic

International Nuclear Information System (INIS)

Sohn, S.Y.

1999-01-01

We consider a robust parameter design of the process for forming contact windows in complementary metal-oxide semiconductor circuits. Robust design is often used to find the optimal levels of process conditions which would provide the output of consistent quality as close to a target value. In this paper, we analyze the results of the fractional factorial design of nine factors: mask dimension, viscosity, bake temperature, spin speed, bake time, aperture, exposure time, developing time, etch time, where the outcome of the experiment is measured in terms of a categorized window size with five categories. Random effect analysis is employed to model both the mean and variance of categorized window size as functions of some controllable factors as well as random errors. Empirical Bayes' procedures are then utilized to fit both the models, and to eventually find the robust design of CMOS circuit process by means of a Bootstrap resampling approach

On robust parameter estimation in brain-computer interfacing

Science.gov (United States)

Samek, Wojciech; Nakajima, Shinichi; Kawanabe, Motoaki; Müller, Klaus-Robert

2017-12-01

Objective. The reliable estimation of parameters such as mean or covariance matrix from noisy and high-dimensional observations is a prerequisite for successful application of signal processing and machine learning algorithms in brain-computer interfacing (BCI). This challenging task becomes significantly more difficult if the data set contains outliers, e.g. due to subject movements, eye blinks or loose electrodes, as they may heavily bias the estimation and the subsequent statistical analysis. Although various robust estimators have been developed to tackle the outlier problem, they ignore important structural information in the data and thus may not be optimal. Typical structural elements in BCI data are the trials consisting of a few hundred EEG samples and indicating the start and end of a task. Approach. This work discusses the parameter estimation problem in BCI and introduces a novel hierarchical view on robustness which naturally comprises different types of outlierness occurring in structured data. Furthermore, the class of minimum divergence estimators is reviewed and a robust mean and covariance estimator for structured data is derived and evaluated with simulations and on a benchmark data set. Main results. The results show that state-of-the-art BCI algorithms benefit from robustly estimated parameters. Significance. Since parameter estimation is an integral part of various machine learning algorithms, the presented techniques are applicable to many problems beyond BCI.

Linear regression based on Minimum Covariance Determinant (MCD) and TELBS methods on the productivity of phytoplankton

Science.gov (United States)

Gusriani, N.; Firdaniza

2018-03-01

The existence of outliers on multiple linear regression analysis causes the Gaussian assumption to be unfulfilled. If the Least Square method is forcedly used on these data, it will produce a model that cannot represent most data. For that, we need a robust regression method against outliers. This paper will compare the Minimum Covariance Determinant (MCD) method and the TELBS method on secondary data on the productivity of phytoplankton, which contains outliers. Based on the robust determinant coefficient value, MCD method produces a better model compared to TELBS method.

Speed Variance and Its Influence on Accidents.

Science.gov (United States)

Garber, Nicholas J.; Gadirau, Ravi

A study was conducted to investigate the traffic engineering factors that influence speed variance and to determine to what extent speed variance affects accident rates. Detailed analyses were carried out to relate speed variance with posted speed limit, design speeds, and other traffic variables. The major factor identified was the difference…

Robust mislabel logistic regression without modeling mislabel probabilities.

Science.gov (United States)

Hung, Hung; Jou, Zhi-Yu; Huang, Su-Yun

2018-03-01

Logistic regression is among the most widely used statistical methods for linear discriminant analysis. In many applications, we only observe possibly mislabeled responses. Fitting a conventional logistic regression can then lead to biased estimation. One common resolution is to fit a mislabel logistic regression model, which takes into consideration of mislabeled responses. Another common method is to adopt a robust M-estimation by down-weighting suspected instances. In this work, we propose a new robust mislabel logistic regression based on γ-divergence. Our proposal possesses two advantageous features: (1) It does not need to model the mislabel probabilities. (2) The minimum γ-divergence estimation leads to a weighted estimating equation without the need to include any bias correction term, that is, it is automatically bias-corrected. These features make the proposed γ-logistic regression more robust in model fitting and more intuitive for model interpretation through a simple weighting scheme. Our method is also easy to implement, and two types of algorithms are included. Simulation studies and the Pima data application are presented to demonstrate the performance of γ-logistic regression. © 2017, The International Biometric Society.

MINIMUM VARIANCE BETA ESTIMATION WITH DYNAMIC CONSTRAINTS,

Science.gov (United States)

developed (at AFETR ) and is being used to isolate the primary error sources in the beta estimation task. This computer program is additionally used to...determine what success in beta estimation can be achieved with foreseeable instrumentation accuracies. Results are included that illustrate the effects on

Volatility and variance swaps : A comparison of quantitative models to calculate the fair volatility and variance strike

OpenAIRE

Röring, Johan

2017-01-01

Volatility is a common risk measure in the field of finance that describes the magnitude of an asset’s up and down movement. From only being a risk measure, volatility has become an asset class of its own and volatility derivatives enable traders to get an isolated exposure to an asset’s volatility. Two kinds of volatility derivatives are volatility swaps and variance swaps. The problem with volatility swaps and variance swaps is that they require estimations of the future variance and volati...

Robust Control Methods for On-Line Statistical Learning

Directory of Open Access Journals (Sweden)

Capobianco Enrico

2001-01-01

Full Text Available The issue of controlling that data processing in an experiment results not affected by the presence of outliers is relevant for statistical control and learning studies. Learning schemes should thus be tested for their capacity of handling outliers in the observed training set so to achieve reliable estimates with respect to the crucial bias and variance aspects. We describe possible ways of endowing neural networks with statistically robust properties by defining feasible error criteria. It is convenient to cast neural nets in state space representations and apply both Kalman filter and stochastic approximation procedures in order to suggest statistically robustified solutions for on-line learning.

Local variances in biomonitoring

International Nuclear Information System (INIS)

Wolterbeek, H.T.

1999-01-01

The present study deals with the (larger-scaled) biomonitoring survey and specifically focuses on the sampling site. In most surveys, the sampling site is simply selected or defined as a spot of (geographical) dimensions which is small relative to the dimensions of the total survey area. Implicitly it is assumed that the sampling site is essentially homogeneous with respect to the investigated variation in survey parameters. As such, the sampling site is mostly regarded as 'the basic unit' of the survey. As a logical consequence, the local (sampling site) variance should also be seen as a basic and important characteristic of the survey. During the study, work is carried out to gain more knowledge of the local variance. Multiple sampling is carried out at a specific site (tree bark, mosses, soils), multi-elemental analyses are carried out by NAA, and local variances are investigated by conventional statistics, factor analytical techniques, and bootstrapping. Consequences of the outcomes are discussed in the context of sampling, sample handling and survey quality. (author)

Resolving the 180-degree ambiguity in vector magnetic field measurements: The 'minimum' energy solution

Science.gov (United States)

Metcalf, Thomas R.

1994-01-01

I present a robust algorithm that resolves the 180-deg ambiguity in measurements of the solar vector magnetic field. The technique simultaneously minimizes both the divergence of the magnetic field and the electric current density using a simulated annealing algorithm. This results in the field orientation with approximately minimum free energy. The technique is well-founded physically and is simple to implement.

Robust Instrumentation[Water treatment for power plant]; Robust Instrumentering

Energy Technology Data Exchange (ETDEWEB)

Wik, Anders [Vattenfall Utveckling AB, Stockholm (Sweden)

2003-08-01

Cementa Slite Power Station is a heat recovery steam generator (HRSG) with moderate steam data; 3.0 MPa and 420 deg C. The heat is recovered from Cementa, a cement industry, without any usage of auxiliary fuel. The Power station commenced operation in 2001. The layout of the plant is unusual, there are no similar in Sweden and very few world-wide, so the operational experiences are limited. In connection with the commissioning of the power plant a R and D project was identified with the objective to minimise the manpower needed for chemistry management of the plant. The lean chemistry management is based on robust instrumentation and chemical-free water treatment plant. The concept with robust instrumentation consists of the following components; choice of on-line instrumentation with a minimum of O and M and a chemical-free water treatment. The parameters are specific conductivity, cation conductivity, oxygen and pH. In addition to that, two fairly new on-line instruments were included; corrosion monitors and differential pH calculated from specific and cation conductivity. The chemical-free water treatment plant consists of softening, reverse osmosis and electro-deionisation. The operational experience shows that the cycle chemistry is not within the guidelines due to major problems with the operation of the power plant. These problems have made it impossible to reach steady state and thereby not viable to fully verify and validate the concept with robust instrumentation. From readings on the panel of the online analysers some conclusions may be drawn, e.g. the differential pH measurements have fulfilled the expectations. The other on-line analysers have been working satisfactorily apart from contamination with turbine oil, which has been noticed at least twice. The corrosion monitors seem to be working but the lack of trend curves from the mainframe computer system makes it hard to draw any clear conclusions. The chemical-free water treatment has met all

Robustness of the division symmetry in Escherichia coli and functional consequences of symmetry breaking

International Nuclear Information System (INIS)

Gupta, Abhishekh; Lloyd-Price, Jason; Oliveira, Samuel M D; Yli-Harja, Olli; Muthukrishnan, Anantha-Barathi; Ribeiro, Andre S

2014-01-01

The morphological symmetry of the division process of Escherichia coli is well-known. Recent studies verified that, in optimal growth conditions, most divisions are symmetric, although there are exceptions. We investigate whether such morphological asymmetries in division introduce functional asymmetries between sister cells, and assess the robustness of the symmetry in division to mild chemical stresses and sub-optimal temperatures. First, we show that the difference in size between daughter cells at birth is positively correlated to the difference between the numbers of fluorescent protein complexes inherited from the parent cell. Next, we show that the degree of symmetry in division observed in optimal conditions is robust to mild acidic shift and to mild oxidative stress, but not to sub-optimal temperatures, in that the variance of the difference between the sizes of sister cells at birth is minimized at 37 °C. This increased variance affects the functionality of the cells in that, at sub-optimal temperatures, larger/smaller cells arising from asymmetric divisions exhibit faster/slower division times than the mean population division time, respectively. On the other hand, cells dividing faster do not do so at the cost of morphological symmetry in division. Finally we show that at suboptimal temperatures the mean distance between the nucleoids increases, explaining the increased variance in division. We conclude that the functionality of E. coli cells is not immune to morphological asymmetries at birth, and that the effectiveness of the mechanism responsible for ensuring the symmetry in division weakens at sub-optimal temperatures. (paper)

Dynamic Mean-Variance Asset Allocation

OpenAIRE

Basak, Suleyman; Chabakauri, Georgy

2009-01-01

Mean-variance criteria remain prevalent in multi-period problems, and yet not much is known about their dynamically optimal policies. We provide a fully analytical characterization of the optimal dynamic mean-variance portfolios within a general incomplete-market economy, and recover a simple structure that also inherits several conventional properties of static models. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates much tractability in ...

Spatio-temporal variance and meteorological drivers of the urban heat island in a European city

Science.gov (United States)

Arnds, Daniela; Böhner, Jürgen; Bechtel, Benjamin

2017-04-01

Urban areas are especially vulnerable to high temperatures, which will intensify in the future due to climate change. Therefore, both good knowledge about the local urban climate as well as simple and robust methods for its projection are needed. This study has analysed the spatio-temporal variance of the mean nocturnal urban heat island (UHI) of Hamburg, with observations from 40 stations from different suppliers. The UHI showed a radial gradient with about 2 K in the centre mostly corresponding to the urban densities. Temporarily, it has a strong seasonal cycle with the highest values between April and September and an inter-annual variability of approximately 0.5 K. Further, synoptic meteorological drivers of the UHI were analysed, which generally is most pronounced under calm and cloud-free conditions. Considered were meteorological parameters such as relative humidity, wind speed, cloud cover and objective weather types. For the stations with the highest UHI intensities, up to 68.7 % of the variance could be explained by seasonal empirical models and even up to 76.6 % by monthly models.

Simulation of neoclassical tearing mode stabilization via minimum seeking method on ITER

Energy Technology Data Exchange (ETDEWEB)

Park, M. H.; Kim, K.; Na, D. H.; Byun, C. S.; Na, Y. S. [Seoul National Univ., Seoul (Korea, Republic of); Kim, M. [FNC Technology Co. Ltd, Yongin (Korea, Republic of)

2016-10-15

Neoclassical tearing modes (NTMs) are well known resistive magnetohydrodynamic (MHD) instabilities. These instabilities are sustained by a helically perturbed bootstrap current. NTMs produce magnetic islands in tokamak plasmas that can degrade confinement and lead to plasma disruption. Because of this, the stabilization of NTMs is one of the key issues for tokamaks that achieve high fusion performance such as ITER. Compensating for the lack of bootstrap current by an Electron Cyclotron Current Drive (ECCD) has been proved experimentally as an effective method to stabilize NTMs. In order to stabilize NTMs, it is important to reduce misalignment. So that even ECCD can destabilize the NTMs when misalignment is large. Feedback control method that does not fully require delicate and accurate real-time measurements and calculations, such as equilibrium reconstruction and EC ray-tracing, has also been proposed. One of the feedback control methods is minimum seeking method. This control method minimizes the island width by tuning the misalignment, assuming that the magnetic island width is a function of the misalignment. As a robust and simple method of controlling NTM, minimum 'island width growth rate' seeking control is purposed and compared with performance of minimum ' island width' seeking control. At the integrated numerical system, simulations of the NTM suppression are performed with two types of minimum seeking controllers; one is a FDM based minimum seeking controller and the other is a sinusoidal perturbation based minimum seeking method. The full suppression is achieved both types of controller. The controllers adjust poloidal angle of EC beam and reduce misalignment to zero. The sinusoidal perturbation based minimum seeking control need to modify the adaptive gain.

The Variance Composition of Firm Growth Rates

Directory of Open Access Journals (Sweden)

Luiz Artur Ledur Brito

2009-04-01

Full Text Available Firms exhibit a wide variability in growth rates. This can be seen as another manifestation of the fact that firms are different from one another in several respects. This study investigated this variability using the variance components technique previously used to decompose the variance of financial performance. The main source of variation in growth rates, responsible for more than 40% of total variance, corresponds to individual, idiosyncratic firm aspects and not to industry, country, or macroeconomic conditions prevailing in specific years. Firm growth, similar to financial performance, is mostly unique to specific firms and not an industry or country related phenomenon. This finding also justifies using growth as an alternative outcome of superior firm resources and as a complementary dimension of competitive advantage. This also links this research with the resource-based view of strategy. Country was the second source of variation with around 10% of total variance. The analysis was done using the Compustat Global database with 80,320 observations, comprising 13,221 companies in 47 countries, covering the years of 1994 to 2002. It also compared the variance structure of growth to the variance structure of financial performance in the same sample.

Robust parameter design for integrated circuit fabrication procedure with respect to categorical characteristic

Energy Technology Data Exchange (ETDEWEB)

Sohn, S.Y

1999-12-01

We consider a robust parameter design of the process for forming contact windows in complementary metal-oxide semiconductor circuits. Robust design is often used to find the optimal levels of process conditions which would provide the output of consistent quality as close to a target value. In this paper, we analyze the results of the fractional factorial design of nine factors: mask dimension, viscosity, bake temperature, spin speed, bake time, aperture, exposure time, developing time, etch time, where the outcome of the experiment is measured in terms of a categorized window size with five categories. Random effect analysis is employed to model both the mean and variance of categorized window size as functions of some controllable factors as well as random errors. Empirical Bayes' procedures are then utilized to fit both the models, and to eventually find the robust design of CMOS circuit process by means of a Bootstrap resampling approach.

MSEBAG: a dynamic classifier ensemble generation based on `minimum-sufficient ensemble' and bagging

Science.gov (United States)

Chen, Lei; Kamel, Mohamed S.

2016-01-01

In this paper, we propose a dynamic classifier system, MSEBAG, which is characterised by searching for the 'minimum-sufficient ensemble' and bagging at the ensemble level. It adopts an 'over-generation and selection' strategy and aims to achieve a good bias-variance trade-off. In the training phase, MSEBAG first searches for the 'minimum-sufficient ensemble', which maximises the in-sample fitness with the minimal number of base classifiers. Then, starting from the 'minimum-sufficient ensemble', a backward stepwise algorithm is employed to generate a collection of ensembles. The objective is to create a collection of ensembles with a descending fitness on the data, as well as a descending complexity in the structure. MSEBAG dynamically selects the ensembles from the collection for the decision aggregation. The extended adaptive aggregation (EAA) approach, a bagging-style algorithm performed at the ensemble level, is employed for this task. EAA searches for the competent ensembles using a score function, which takes into consideration both the in-sample fitness and the confidence of the statistical inference, and averages the decisions of the selected ensembles to label the test pattern. The experimental results show that the proposed MSEBAG outperforms the benchmarks on average.

Robust MST-Based Clustering Algorithm.

Science.gov (United States)

Liu, Qidong; Zhang, Ruisheng; Zhao, Zhili; Wang, Zhenghai; Jiao, Mengyao; Wang, Guangjing

2018-06-01

Minimax similarity stresses the connectedness of points via mediating elements rather than favoring high mutual similarity. The grouping principle yields superior clustering results when mining arbitrarily-shaped clusters in data. However, it is not robust against noises and outliers in the data. There are two main problems with the grouping principle: first, a single object that is far away from all other objects defines a separate cluster, and second, two connected clusters would be regarded as two parts of one cluster. In order to solve such problems, we propose robust minimum spanning tree (MST)-based clustering algorithm in this letter. First, we separate the connected objects by applying a density-based coarsening phase, resulting in a low-rank matrix in which the element denotes the supernode by combining a set of nodes. Then a greedy method is presented to partition those supernodes through working on the low-rank matrix. Instead of removing the longest edges from MST, our algorithm groups the data set based on the minimax similarity. Finally, the assignment of all data points can be achieved through their corresponding supernodes. Experimental results on many synthetic and real-world data sets show that our algorithm consistently outperforms compared clustering algorithms.

Estimating the encounter rate variance in distance sampling

Science.gov (United States)

Fewster, R.M.; Buckland, S.T.; Burnham, K.P.; Borchers, D.L.; Jupp, P.E.; Laake, J.L.; Thomas, L.

2009-01-01

The dominant source of variance in line transect sampling is usually the encounter rate variance. Systematic survey designs are often used to reduce the true variability among different realizations of the design, but estimating the variance is difficult and estimators typically approximate the variance by treating the design as a simple random sample of lines. We explore the properties of different encounter rate variance estimators under random and systematic designs. We show that a design-based variance estimator improves upon the model-based estimator of Buckland et al. (2001, Introduction to Distance Sampling. Oxford: Oxford University Press, p. 79) when transects are positioned at random. However, if populations exhibit strong spatial trends, both estimators can have substantial positive bias under systematic designs. We show that poststratification is effective in reducing this bias. ?? 2008, The International Biometric Society.

Towards the ultimate variance-conserving convection scheme

International Nuclear Information System (INIS)

Os, J.J.A.M. van; Uittenbogaard, R.E.

2004-01-01

In the past various arguments have been used for applying kinetic energy-conserving advection schemes in numerical simulations of incompressible fluid flows. One argument is obeying the programmed dissipation by viscous stresses or by sub-grid stresses in Direct Numerical Simulation and Large Eddy Simulation, see e.g. [Phys. Fluids A 3 (7) (1991) 1766]. Another argument is that, according to e.g. [J. Comput. Phys. 6 (1970) 392; 1 (1966) 119], energy-conserving convection schemes are more stable i.e. by prohibiting a spurious blow-up of volume-integrated energy in a closed volume without external energy sources. In the above-mentioned references it is stated that nonlinear instability is due to spatial truncation rather than to time truncation and therefore these papers are mainly concerned with the spatial integration. In this paper we demonstrate that discretized temporal integration of a spatially variance-conserving convection scheme can induce non-energy conserving solutions. In this paper the conservation of the variance of a scalar property is taken as a simple model for the conservation of kinetic energy. In addition, the derivation and testing of a variance-conserving scheme allows for a clear definition of kinetic energy-conserving advection schemes for solving the Navier-Stokes equations. Consequently, we first derive and test a strictly variance-conserving space-time discretization for the convection term in the convection-diffusion equation. Our starting point is the variance-conserving spatial discretization of the convection operator presented by Piacsek and Williams [J. Comput. Phys. 6 (1970) 392]. In terms of its conservation properties, our variance-conserving scheme is compared to other spatially variance-conserving schemes as well as with the non-variance-conserving schemes applied in our shallow-water solver, see e.g. [Direct and Large-eddy Simulation Workshop IV, ERCOFTAC Series, Kluwer Academic Publishers, 2001, pp. 409-287

Robust Switched Predictive Braking Control for Rollover Prevention in Wheeled Vehicles

Directory of Open Access Journals (Sweden)

Martín Antonio Rodríguez Licea

2014-01-01

Full Text Available The aim of this paper is to propose a differential braking rollover mitigation strategy for wheeled vehicles. The strategy makes use of a polytopic (piecewise linear description of the vehicle and includes translational and rotational dynamics, as well as suspension effects. The braking controller is robust and the system states are predicted to estimate the rollover risk up to a given time horizon. In contrast to existing works, the switched predictive nature of the control allows it to be applied only when risk of rollover is foreseen, interfering a minimum with driver’s actions. The stability of the strategy is analyzed and its robustness is illustrated via numerical simulations using CarSim for a variety of vehicles.

A robust H.264/AVC video watermarking scheme with drift compensation.

Science.gov (United States)

Jiang, Xinghao; Sun, Tanfeng; Zhou, Yue; Wang, Wan; Shi, Yun-Qing

2014-01-01

A robust H.264/AVC video watermarking scheme for copyright protection with self-adaptive drift compensation is proposed. In our scheme, motion vector residuals of macroblocks with the smallest partition size are selected to hide copyright information in order to hold visual impact and distortion drift to a minimum. Drift compensation is also implemented to reduce the influence of watermark to the most extent. Besides, discrete cosine transform (DCT) with energy compact property is applied to the motion vector residual group, which can ensure robustness against intentional attacks. According to the experimental results, this scheme gains excellent imperceptibility and low bit-rate increase. Malicious attacks with different quantization parameters (QPs) or motion estimation algorithms can be resisted efficiently, with 80% accuracy on average after lossy compression.

Guidance Preconditioning by an Impulse Sequence for Robust Residual Vibration Suppression

Directory of Open Access Journals (Sweden)

I. Antoniadis

1999-01-01

Full Text Available In order to suppress residual vibrations, a general method is presented for preconditioning any guidance function prior to its application to a dynamic system, by convolving it with a sequence of impulses. The approach includes first the development of the necessary design specifications for the impulse sequence, so that the robustness properties cover the widest possible variation of the system natural frequencies. Three solution methods are proposed then, with special emphasis in the achievement of the minimum possible duration time of the impulse sequence. Numerical experiments verify the effectiveness of the robustness, not only with respect to variations of the natural frequency, but also with respect to variations of a range of other linear and non-linear variables.

Robust methods to create ex vivo minimum deformation atlases for brain mapping.

Science.gov (United States)

Janke, Andrew L; Ullmann, Jeremy F P

2015-02-01

Highly detailed ex vivo 3D atlases of average structure are of critical importance to neuroscience and its current push to understanding the global microstructure of the brain. Multiple single slice histology sections can no longer provide sufficient detail of inter-slice microstructure and lack out of plane resolution. Two ex vivo methods have emerged that can create such detailed models. High-field micro MRI with the addition of contrast media has allowed intact whole brain microstructure imaging with an isotropic resolution of 15 μm in mouse. Blockface imaging has similarly evolved to a point where it is now possible to image an entire brain in a rigorous fashion with an out of plane resolution of 10 μm. Despite the destruction of the tissue as part of this process it allows a reconstructed model that is free from cutting artifacts. Both of these methods have been utilised to create minimum deformation atlases that are representative of the respective populations. The MDA atlases allow us unprecedented insight into the commonality and differences in microstructure in cortical structures in specific taxa. In this paper we provide an overview of how to create such MDA models from ex vivo data. Copyright © 2015 Elsevier Inc. All rights reserved.

Muscle Synergy-Driven Robust Motion Control.

Science.gov (United States)

Min, Kyuengbo; Iwamoto, Masami; Kakei, Shinji; Kimpara, Hideyuki

2018-04-01

Humans are able to robustly maintain desired motion and posture under dynamically changing circumstances, including novel conditions. To accomplish this, the brain needs to optimize the synergistic control between muscles against external dynamic factors. However, previous related studies have usually simplified the control of multiple muscles using two opposing muscles, which are minimum actuators to simulate linear feedback control. As a result, they have been unable to analyze how muscle synergy contributes to motion control robustness in a biological system. To address this issue, we considered a new muscle synergy concept used to optimize the synergy between muscle units against external dynamic conditions, including novel conditions. We propose that two main muscle control policies synergistically control muscle units to maintain the desired motion against external dynamic conditions. Our assumption is based on biological evidence regarding the control of multiple muscles via the corticospinal tract. One of the policies is the group control policy (GCP), which is used to control muscle group units classified based on functional similarities in joint control. This policy is used to effectively resist external dynamic circumstances, such as disturbances. The individual control policy (ICP) assists the GCP in precisely controlling motion by controlling individual muscle units. To validate this hypothesis, we simulated the reinforcement of the synergistic actions of the two control policies during the reinforcement learning of feedback motion control. Using this learning paradigm, the two control policies were synergistically combined to result in robust feedback control under novel transient and sustained disturbances that did not involve learning. Further, by comparing our data to experimental data generated by human subjects under the same conditions as those of the simulation, we showed that the proposed synergy concept may be used to analyze muscle synergy

Multi-Sensor Optimal Data Fusion Based on the Adaptive Fading Unscented Kalman Filter.

Science.gov (United States)

Gao, Bingbing; Hu, Gaoge; Gao, Shesheng; Zhong, Yongmin; Gu, Chengfan

2018-02-06

This paper presents a new optimal data fusion methodology based on the adaptive fading unscented Kalman filter for multi-sensor nonlinear stochastic systems. This methodology has a two-level fusion structure: at the bottom level, an adaptive fading unscented Kalman filter based on the Mahalanobis distance is developed and serves as local filters to improve the adaptability and robustness of local state estimations against process-modeling error; at the top level, an unscented transformation-based multi-sensor optimal data fusion for the case of N local filters is established according to the principle of linear minimum variance to calculate globally optimal state estimation by fusion of local estimations. The proposed methodology effectively refrains from the influence of process-modeling error on the fusion solution, leading to improved adaptability and robustness of data fusion for multi-sensor nonlinear stochastic systems. It also achieves globally optimal fusion results based on the principle of linear minimum variance. Simulation and experimental results demonstrate the efficacy of the proposed methodology for INS/GNSS/CNS (inertial navigation system/global navigation satellite system/celestial navigation system) integrated navigation.

Genotypic-specific variance in Caenorhabditis elegans lifetime fecundity.

Science.gov (United States)

Diaz, S Anaid; Viney, Mark

2014-06-01

Organisms live in heterogeneous environments, so strategies that maximze fitness in such environments will evolve. Variation in traits is important because it is the raw material on which natural selection acts during evolution. Phenotypic variation is usually thought to be due to genetic variation and/or environmentally induced effects. Therefore, genetically identical individuals in a constant environment should have invariant traits. Clearly, genetically identical individuals do differ phenotypically, usually thought to be due to stochastic processes. It is now becoming clear, especially from studies of unicellular species, that phenotypic variance among genetically identical individuals in a constant environment can be genetically controlled and that therefore, in principle, this can be subject to selection. However, there has been little investigation of these phenomena in multicellular species. Here, we have studied the mean lifetime fecundity (thus a trait likely to be relevant to reproductive success), and variance in lifetime fecundity, in recently-wild isolates of the model nematode Caenorhabditis elegans. We found that these genotypes differed in their variance in lifetime fecundity: some had high variance in fecundity, others very low variance. We find that this variance in lifetime fecundity was negatively related to the mean lifetime fecundity of the lines, and that the variance of the lines was positively correlated between environments. We suggest that the variance in lifetime fecundity may be a bet-hedging strategy used by this species.

Nonlinear Dynamics in Gene Regulation Promote Robustness and Evolvability of Gene Expression Levels.

Science.gov (United States)

Steinacher, Arno; Bates, Declan G; Akman, Ozgur E; Soyer, Orkun S

2016-01-01

Cellular phenotypes underpinned by regulatory networks need to respond to evolutionary pressures to allow adaptation, but at the same time be robust to perturbations. This creates a conflict in which mutations affecting regulatory networks must both generate variance but also be tolerated at the phenotype level. Here, we perform mathematical analyses and simulations of regulatory networks to better understand the potential trade-off between robustness and evolvability. Examining the phenotypic effects of mutations, we find an inverse correlation between robustness and evolvability that breaks only with nonlinearity in the network dynamics, through the creation of regions presenting sudden changes in phenotype with small changes in genotype. For genotypes embedding low levels of nonlinearity, robustness and evolvability correlate negatively and almost perfectly. By contrast, genotypes embedding nonlinear dynamics allow expression levels to be robust to small perturbations, while generating high diversity (evolvability) under larger perturbations. Thus, nonlinearity breaks the robustness-evolvability trade-off in gene expression levels by allowing disparate responses to different mutations. Using analytical derivations of robustness and system sensitivity, we show that these findings extend to a large class of gene regulatory network architectures and also hold for experimentally observed parameter regimes. Further, the effect of nonlinearity on the robustness-evolvability trade-off is ensured as long as key parameters of the system display specific relations irrespective of their absolute values. We find that within this parameter regime genotypes display low and noisy expression levels. Examining the phenotypic effects of mutations, we find an inverse correlation between robustness and evolvability that breaks only with nonlinearity in the network dynamics. Our results provide a possible solution to the robustness-evolvability trade-off, suggest an explanation for

Nonlinear Dynamics in Gene Regulation Promote Robustness and Evolvability of Gene Expression Levels.

Directory of Open Access Journals (Sweden)

Arno Steinacher

Full Text Available Cellular phenotypes underpinned by regulatory networks need to respond to evolutionary pressures to allow adaptation, but at the same time be robust to perturbations. This creates a conflict in which mutations affecting regulatory networks must both generate variance but also be tolerated at the phenotype level. Here, we perform mathematical analyses and simulations of regulatory networks to better understand the potential trade-off between robustness and evolvability. Examining the phenotypic effects of mutations, we find an inverse correlation between robustness and evolvability that breaks only with nonlinearity in the network dynamics, through the creation of regions presenting sudden changes in phenotype with small changes in genotype. For genotypes embedding low levels of nonlinearity, robustness and evolvability correlate negatively and almost perfectly. By contrast, genotypes embedding nonlinear dynamics allow expression levels to be robust to small perturbations, while generating high diversity (evolvability under larger perturbations. Thus, nonlinearity breaks the robustness-evolvability trade-off in gene expression levels by allowing disparate responses to different mutations. Using analytical derivations of robustness and system sensitivity, we show that these findings extend to a large class of gene regulatory network architectures and also hold for experimentally observed parameter regimes. Further, the effect of nonlinearity on the robustness-evolvability trade-off is ensured as long as key parameters of the system display specific relations irrespective of their absolute values. We find that within this parameter regime genotypes display low and noisy expression levels. Examining the phenotypic effects of mutations, we find an inverse correlation between robustness and evolvability that breaks only with nonlinearity in the network dynamics. Our results provide a possible solution to the robustness-evolvability trade-off, suggest

Discrete and continuous time dynamic mean-variance analysis

OpenAIRE

Reiss, Ariane

1999-01-01

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is mean-variance efficient in a dynamic sense. It is shown that the optimal strategy for n risky assets may be dominated if the expected terminal wealth is constrained to exactly attain a certain goal instead o...

Nonlinear Epigenetic Variance: Review and Simulations

Science.gov (United States)

Kan, Kees-Jan; Ploeger, Annemie; Raijmakers, Maartje E. J.; Dolan, Conor V.; van Der Maas, Han L. J.

2010-01-01

We present a review of empirical evidence that suggests that a substantial portion of phenotypic variance is due to nonlinear (epigenetic) processes during ontogenesis. The role of such processes as a source of phenotypic variance in human behaviour genetic studies is not fully appreciated. In addition to our review, we present simulation studies…

Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

Energy Technology Data Exchange (ETDEWEB)

Lean, Hooi Hooi [Economics Program, School of Social Sciences, Universiti Sains Malaysia (Malaysia); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, and, Tinbergen Institute (Netherlands); Wong, Wing-Keung, E-mail: awong@hkbu.edu.h [Department of Economics, Hong Kong Baptist University (Hong Kong)

2010-09-15

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification.

Market efficiency of oil spot and futures. A mean-variance and stochastic dominance approach

Energy Technology Data Exchange (ETDEWEB)

Lean, Hooi Hooi [Economics Program, School of Social Sciences, Universiti Sains Malaysia (Malaysia); McAleer, Michael [Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam (Netherlands); Wong, Wing-Keung [Department of Economics, Hong Kong Baptist University (China); Tinbergen Institute (Netherlands)

2010-09-15

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification. (author)

Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach

International Nuclear Information System (INIS)

Lean, Hooi Hooi; McAleer, Michael; Wong, Wing-Keung

2010-01-01

This paper examines the market efficiency of oil spot and futures prices by using both mean-variance (MV) and stochastic dominance (SD) approaches. Based on the West Texas Intermediate crude oil data for the sample period 1989-2008, we find no evidence of any MV and SD relationships between oil spot and futures indices. This infers that there is no arbitrage opportunity between these two markets, spot and futures do not dominate one another, investors are indifferent to investing spot or futures, and the spot and futures oil markets are efficient and rational. The empirical findings are robust to each sub-period before and after the crises for different crises, and also to portfolio diversification.

Revision: Variance Inflation in Regression

Directory of Open Access Journals (Sweden)

D. R. Jensen

2013-01-01

the intercept; and (iv variance deflation may occur, where ill-conditioned data yield smaller variances than their orthogonal surrogates. Conventional VIFs have all regressors linked, or none, often untenable in practice. Beyond these, our models enable the unlinking of regressors that can be unlinked, while preserving dependence among those intrinsically linked. Moreover, known collinearity indices are extended to encompass angles between subspaces of regressors. To reaccess ill-conditioned data, we consider case studies ranging from elementary examples to data from the literature.

SU-F-R-40: Robustness Test of Computed Tomography Textures of Lung Tissues to Varying Scanning Protocols Using a Realistic Phantom Environment

International Nuclear Information System (INIS)

Lee, S; Markel, D; Hegyi, G; El Naqa, I

2016-01-01

Purpose: The reliability of computed tomography (CT) textures is an important element of radiomics analysis. This study investigates the dependency of lung CT textures on different breathing phases and changes in CT image acquisition protocols in a realistic phantom setting. Methods: We investigated 11 CT texture features for radiation-induced lung disease from 3 categories (first-order, grey level co-ocurrence matrix (GLCM), and Law’s filter). A biomechanical swine lung phantom was scanned at two breathing phases (inhale/exhale) and two scanning protocols set for PET/CT and diagnostic CT scanning. Lung volumes acquired from the CT images were divided into 2-dimensional sub-regions with a grid spacing of 31 mm. The distribution of the evaluated texture features from these sub-regions were compared between the two scanning protocols and two breathing phases. The significance of each factor on feature values were tested at 95% significance level using analysis of covariance (ANCOVA) model with interaction terms included. Robustness of a feature to a scanning factor was defined as non-significant dependence on the factor. Results: Three GLCM textures (variance, sum entropy, difference entropy) were robust to breathing changes. Two GLCM (variance, sum entropy) and 3 Law’s filter textures (S5L5, E5L5, W5L5) were robust to scanner changes. Moreover, the two GLCM textures (variance, sum entropy) were consistent across all 4 scanning conditions. First-order features, especially Hounsfield unit intensity features, presented the most drastic variation up to 39%. Conclusion: Amongst the studied features, GLCM and Law’s filter texture features were more robust than first-order features. However, the majority of the features were modified by either breathing phase or scanner changes, suggesting a need for calibration when retrospectively comparing scans obtained at different conditions. Further investigation is necessary to identify the sensitivity of individual image

SU-F-R-40: Robustness Test of Computed Tomography Textures of Lung Tissues to Varying Scanning Protocols Using a Realistic Phantom Environment

Energy Technology Data Exchange (ETDEWEB)

Lee, S; Markel, D; Hegyi, G [Medical Physics Unit, McGill University, Montreal, Quebec (Canada); El Naqa, I [University of Michigan, Ann Arbor, MI (United States)

2016-06-15

Purpose: The reliability of computed tomography (CT) textures is an important element of radiomics analysis. This study investigates the dependency of lung CT textures on different breathing phases and changes in CT image acquisition protocols in a realistic phantom setting. Methods: We investigated 11 CT texture features for radiation-induced lung disease from 3 categories (first-order, grey level co-ocurrence matrix (GLCM), and Law’s filter). A biomechanical swine lung phantom was scanned at two breathing phases (inhale/exhale) and two scanning protocols set for PET/CT and diagnostic CT scanning. Lung volumes acquired from the CT images were divided into 2-dimensional sub-regions with a grid spacing of 31 mm. The distribution of the evaluated texture features from these sub-regions were compared between the two scanning protocols and two breathing phases. The significance of each factor on feature values were tested at 95% significance level using analysis of covariance (ANCOVA) model with interaction terms included. Robustness of a feature to a scanning factor was defined as non-significant dependence on the factor. Results: Three GLCM textures (variance, sum entropy, difference entropy) were robust to breathing changes. Two GLCM (variance, sum entropy) and 3 Law’s filter textures (S5L5, E5L5, W5L5) were robust to scanner changes. Moreover, the two GLCM textures (variance, sum entropy) were consistent across all 4 scanning conditions. First-order features, especially Hounsfield unit intensity features, presented the most drastic variation up to 39%. Conclusion: Amongst the studied features, GLCM and Law’s filter texture features were more robust than first-order features. However, the majority of the features were modified by either breathing phase or scanner changes, suggesting a need for calibration when retrospectively comparing scans obtained at different conditions. Further investigation is necessary to identify the sensitivity of individual image

Variance estimation for generalized Cavalieri estimators

OpenAIRE

Johanna Ziegel; Eva B. Vedel Jensen; Karl-Anton Dorph-Petersen

2011-01-01

The precision of stereological estimators based on systematic sampling is of great practical importance. This paper presents methods of data-based variance estimation for generalized Cavalieri estimators where errors in sampling positions may occur. Variance estimators are derived under perturbed systematic sampling, systematic sampling with cumulative errors and systematic sampling with random dropouts. Copyright 2011, Oxford University Press.

Robustness Metrics: Consolidating the multiple approaches to quantify Robustness

DEFF Research Database (Denmark)

Göhler, Simon Moritz; Eifler, Tobias; Howard, Thomas J.

2016-01-01

robustness metrics; 3) Functional expectancy and dispersion robustness metrics; and 4) Probability of conformance robustness metrics. The goal was to give a comprehensive overview of robustness metrics and guidance to scholars and practitioners to understand the different types of robustness metrics...

Influence of Family Structure on Variance Decomposition

DEFF Research Database (Denmark)

Edwards, Stefan McKinnon; Sarup, Pernille Merete; Sørensen, Peter

Partitioning genetic variance by sets of randomly sampled genes for complex traits in D. melanogaster and B. taurus, has revealed that population structure can affect variance decomposition. In fruit flies, we found that a high likelihood ratio is correlated with a high proportion of explained ge...... capturing pure noise. Therefore it is necessary to use both criteria, high likelihood ratio in favor of a more complex genetic model and proportion of genetic variance explained, to identify biologically important gene groups...

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

International Nuclear Information System (INIS)

Ankirchner, Stefan; Dermoune, Azzouz

2011-01-01

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Energy Technology Data Exchange (ETDEWEB)

Ankirchner, Stefan, E-mail: ankirchner@hcm.uni-bonn.de [Rheinische Friedrich-Wilhelms-Universitaet Bonn, Institut fuer Angewandte Mathematik, Hausdorff Center for Mathematics (Germany); Dermoune, Azzouz, E-mail: Azzouz.Dermoune@math.univ-lille1.fr [Universite des Sciences et Technologies de Lille, Laboratoire Paul Painleve UMR CNRS 8524 (France)

2011-08-15

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Robust DOA Estimation of Harmonic Signals Using Constrained Filters on Phase Estimates

DEFF Research Database (Denmark)

Karimian-Azari, Sam; Jensen, Jesper Rindom; Christensen, Mads Græsbøll

2014-01-01

In array signal processing, distances between receivers, e.g., microphones, cause time delays depending on the direction of arrival (DOA) of a signal source. We can then estimate the DOA from the time-difference of arrival (TDOA) estimates. However, many conventional DOA estimators based on TDOA...... estimates are not optimal in colored noise. In this paper, we estimate the DOA of a harmonic signal source from multi-channel phase estimates, which relate to narrowband TDOA estimates. More specifically, we design filters to apply on phase estimates to obtain a DOA estimate with minimum variance. Using...

Conditioning and Robustness of RNA Boltzmann Sampling under Thermodynamic Parameter Perturbations.

Science.gov (United States)

Rogers, Emily; Murrugarra, David; Heitsch, Christine

2017-07-25

Understanding how RNA secondary structure prediction methods depend on the underlying nearest-neighbor thermodynamic model remains a fundamental challenge in the field. Minimum free energy (MFE) predictions are known to be "ill conditioned" in that small changes to the thermodynamic model can result in significantly different optimal structures. Hence, the best practice is now to sample from the Boltzmann distribution, which generates a set of suboptimal structures. Although the structural signal of this Boltzmann sample is known to be robust to stochastic noise, the conditioning and robustness under thermodynamic perturbations have yet to be addressed. We present here a mathematically rigorous model for conditioning inspired by numerical analysis, and also a biologically inspired definition for robustness under thermodynamic perturbation. We demonstrate the strong correlation between conditioning and robustness and use its tight relationship to define quantitative thresholds for well versus ill conditioning. These resulting thresholds demonstrate that the majority of the sequences are at least sample robust, which verifies the assumption of sampling's improved conditioning over the MFE prediction. Furthermore, because we find no correlation between conditioning and MFE accuracy, the presence of both well- and ill-conditioned sequences indicates the continued need for both thermodynamic model refinements and alternate RNA structure prediction methods beyond the physics-based ones. Copyright © 2017. Published by Elsevier Inc.

The robust min-max newsvendor problem with balking under a service level constraint

Directory of Open Access Journals (Sweden)

Taesu Cheong

2013-11-01

Full Text Available In this paper we study an extension of a classic newsvendor model with balking under a service-level constraint. We also relax the assumption that the demand distribution is fully available to a decision-maker; we assume that only the mean and variance of the demand distribution are known, and discuss the procedure for determining the optimal order quantity for the concomitant model. We further extend our base model to two different cases: (i when the fixed ordering cost is included, and (ii when yield is uncertain. We illustrate the solution procedures for each case with numerical examples. Moreover, we discuss the performance and robustness of the approach through randomly generated test instances, and perform a numerical sensitivity analysis to evaluate the impact of the changes of a targeted fill-rate and variances of a demand distribution.

A Hybrid One-Way ANOVA Approach for the Robust and Efficient Estimation of Differential Gene Expression with Multiple Patterns.

Directory of Open Access Journals (Sweden)

Mohammad Manir Hossain Mollah

Full Text Available Identifying genes that are differentially expressed (DE between two or more conditions with multiple patterns of expression is one of the primary objectives of gene expression data analysis. Several statistical approaches, including one-way analysis of variance (ANOVA, are used to identify DE genes. However, most of these methods provide misleading results for two or more conditions with multiple patterns of expression in the presence of outlying genes. In this paper, an attempt is made to develop a hybrid one-way ANOVA approach that unifies the robustness and efficiency of estimation using the minimum β-divergence method to overcome some problems that arise in the existing robust methods for both small- and large-sample cases with multiple patterns of expression.The proposed method relies on a β-weight function, which produces values between 0 and 1. The β-weight function with β = 0.2 is used as a measure of outlier detection. It assigns smaller weights (≥ 0 to outlying expressions and larger weights (≤ 1 to typical expressions. The distribution of the β-weights is used to calculate the cut-off point, which is compared to the observed β-weight of an expression to determine whether that gene expression is an outlier. This weight function plays a key role in unifying the robustness and efficiency of estimation in one-way ANOVA.Analyses of simulated gene expression profiles revealed that all eight methods (ANOVA, SAM, LIMMA, EBarrays, eLNN, KW, robust BetaEB and proposed perform almost identically for m = 2 conditions in the absence of outliers. However, the robust BetaEB method and the proposed method exhibited considerably better performance than the other six methods in the presence of outliers. In this case, the BetaEB method exhibited slightly better performance than the proposed method for the small-sample cases, but the the proposed method exhibited much better performance than the BetaEB method for both the small- and large

Why risk is not variance: an expository note.

Science.gov (United States)

Cox, Louis Anthony Tony

2008-08-01

Variance (or standard deviation) of return is widely used as a measure of risk in financial investment risk analysis applications, where mean-variance analysis is applied to calculate efficient frontiers and undominated portfolios. Why, then, do health, safety, and environmental (HS&E) and reliability engineering risk analysts insist on defining risk more flexibly, as being determined by probabilities and consequences, rather than simply by variances? This note suggests an answer by providing a simple proof that mean-variance decision making violates the principle that a rational decisionmaker should prefer higher to lower probabilities of receiving a fixed gain, all else being equal. Indeed, simply hypothesizing a continuous increasing indifference curve for mean-variance combinations at the origin is enough to imply that a decisionmaker must find unacceptable some prospects that offer a positive probability of gain and zero probability of loss. Unlike some previous analyses of limitations of variance as a risk metric, this expository note uses only simple mathematics and does not require the additional framework of von Neumann Morgenstern utility theory.

Wiener variable step size and gradient spectral variance smoothing for double-talk-robust acoustic echo cancellation and acoustic feedback cancellation

DEFF Research Database (Denmark)

Gil-Cacho, Jose M.; Van Waterschoot, Toon; Moonen, Marc

2014-01-01

Double-talk (DT)-robust acoustic echo cancellation (AEC) and acoustic feedback cancellation (AFC) are needed in speech communication systems, e.g., in hands-free communication systems and hearing aids. In this paper, we derive a practical and computationally efficient algorithm based...... model and in colored non-stationary noise....

A Robust H.264/AVC Video Watermarking Scheme with Drift Compensation

Directory of Open Access Journals (Sweden)

Xinghao Jiang

2014-01-01

Full Text Available A robust H.264/AVC video watermarking scheme for copyright protection with self-adaptive drift compensation is proposed. In our scheme, motion vector residuals of macroblocks with the smallest partition size are selected to hide copyright information in order to hold visual impact and distortion drift to a minimum. Drift compensation is also implemented to reduce the influence of watermark to the most extent. Besides, discrete cosine transform (DCT with energy compact property is applied to the motion vector residual group, which can ensure robustness against intentional attacks. According to the experimental results, this scheme gains excellent imperceptibility and low bit-rate increase. Malicious attacks with different quantization parameters (QPs or motion estimation algorithms can be resisted efficiently, with 80% accuracy on average after lossy compression.

ROBUST-HYBRID GENETIC ALGORITHM FOR A FLOW-SHOP SCHEDULING PROBLEM (A Case Study at PT FSCM Manufacturing Indonesia

Directory of Open Access Journals (Sweden)

Johan Soewanda

2007-01-01

Full Text Available This paper discusses the application of Robust Hybrid Genetic Algorithm to solve a flow-shop scheduling problem. The proposed algorithm attempted to reach minimum makespan. PT. FSCM Manufacturing Indonesia Plant 4's case was used as a test case to evaluate the performance of the proposed algorithm. The proposed algorithm was compared to Ant Colony, Genetic-Tabu, Hybrid Genetic Algorithm, and the company's algorithm. We found that Robust Hybrid Genetic produces statistically better result than the company's, but the same as Ant Colony, Genetic-Tabu, and Hybrid Genetic. In addition, Robust Hybrid Genetic Algorithm required less computational time than Hybrid Genetic Algorithm

Variance bias analysis for the Gelbard's batch method

Energy Technology Data Exchange (ETDEWEB)

Seo, Jae Uk; Shim, Hyung Jin [Seoul National Univ., Seoul (Korea, Republic of)

2014-05-15

In this paper, variances and the bias will be derived analytically when the Gelbard's batch method is applied. And then, the real variance estimated from this bias will be compared with the real variance calculated from replicas. Variance and the bias were derived analytically when the batch method was applied. If the batch method was applied to calculate the sample variance, covariance terms between tallies which exist in the batch were eliminated from the bias. With the 2 by 2 fission matrix problem, we could calculate real variance regardless of whether or not the batch method was applied. However as batch size got larger, standard deviation of real variance was increased. When we perform a Monte Carlo estimation, we could get a sample variance as the statistical uncertainty of it. However, this value is smaller than the real variance of it because a sample variance is biased. To reduce this bias, Gelbard devised the method which is called the Gelbard's batch method. It has been certificated that a sample variance get closer to the real variance when the batch method is applied. In other words, the bias get reduced. This fact is well known to everyone in the MC field. However, so far, no one has given the analytical interpretation on it.

Minimum Time Trajectory Optimization of CNC Machining with Tracking Error Constraints

Directory of Open Access Journals (Sweden)

Qiang Zhang

2014-01-01

Full Text Available An off-line optimization approach of high precision minimum time feedrate for CNC machining is proposed. Besides the ordinary considered velocity, acceleration, and jerk constraints, dynamic performance constraint of each servo drive is also considered in this optimization problem to improve the tracking precision along the optimized feedrate trajectory. Tracking error is applied to indicate the servo dynamic performance of each axis. By using variable substitution, the tracking error constrained minimum time trajectory planning problem is formulated as a nonlinear path constrained optimal control problem. Bang-bang constraints structure of the optimal trajectory is proved in this paper; then a novel constraint handling method is proposed to realize a convex optimization based solution of the nonlinear constrained optimal control problem. A simple ellipse feedrate planning test is presented to demonstrate the effectiveness of the approach. Then the practicability and robustness of the trajectory generated by the proposed approach are demonstrated by a butterfly contour machining example.

Combined feedforward and model-assisted active disturbance rejection control for non-minimum phase system.

Science.gov (United States)

Sun, Li; Li, Donghai; Gao, Zhiqiang; Yang, Zhao; Zhao, Shen

2016-09-01

Control of the non-minimum phase (NMP) system is challenging, especially in the presence of modelling uncertainties and external disturbances. To this end, this paper presents a combined feedforward and model-assisted Active Disturbance Rejection Control (MADRC) strategy. Based on the nominal model, the feedforward controller is used to produce a tracking performance that has minimum settling time subject to a prescribed undershoot constraint. On the other hand, the unknown disturbances and uncertain dynamics beyond the nominal model are compensated by MADRC. Since the conventional Extended State Observer (ESO) is not suitable for the NMP system, a model-assisted ESO (MESO) is proposed based on the nominal observable canonical form. The convergence of MESO is proved in time domain. The stability, steady-state characteristics and robustness of the closed-loop system are analyzed in frequency domain. The proposed strategy has only one tuning parameter, i.e., the bandwidth of MESO, which can be readily determined with a prescribed robustness level. Some comparative examples are given to show the efficacy of the proposed method. This paper depicts a promising prospect of the model-assisted ADRC in dealing with complex systems. Copyright © 2016 ISA. Published by Elsevier Ltd. All rights reserved.

Inflation of type I error rates by unequal variances associated with parametric, nonparametric, and Rank-Transformation Tests

Directory of Open Access Journals (Sweden)

Donald W. Zimmerman

2004-01-01

Full Text Available It is well known that the two-sample Student t test fails to maintain its significance level when the variances of treatment groups are unequal, and, at the same time, sample sizes are unequal. However, introductory textbooks in psychology and education often maintain that the test is robust to variance heterogeneity when sample sizes are equal. The present study discloses that, for a wide variety of non-normal distributions, especially skewed distributions, the Type I error probabilities of both the t test and the Wilcoxon-Mann-Whitney test are substantially inflated by heterogeneous variances, even when sample sizes are equal. The Type I error rate of the t test performed on ranks replacing the scores (rank-transformed data is inflated in the same way and always corresponds closely to that of the Wilcoxon-Mann-Whitney test. For many probability densities, the distortion of the significance level is far greater after transformation to ranks and, contrary to known asymptotic properties, the magnitude of the inflation is an increasing function of sample size. Although nonparametric tests of location also can be sensitive to differences in the shape of distributions apart from location, the Wilcoxon-Mann-Whitney test and rank-transformation tests apparently are influenced mainly by skewness that is accompanied by specious differences in the means of ranks.

Integrating Variances into an Analytical Database

Science.gov (United States)

Sanchez, Carlos

2010-01-01

For this project, I enrolled in numerous SATERN courses that taught the basics of database programming. These include: Basic Access 2007 Forms, Introduction to Database Systems, Overview of Database Design, and others. My main job was to create an analytical database that can handle many stored forms and make it easy to interpret and organize. Additionally, I helped improve an existing database and populate it with information. These databases were designed to be used with data from Safety Variances and DCR forms. The research consisted of analyzing the database and comparing the data to find out which entries were repeated the most. If an entry happened to be repeated several times in the database, that would mean that the rule or requirement targeted by that variance has been bypassed many times already and so the requirement may not really be needed, but rather should be changed to allow the variance's conditions permanently. This project did not only restrict itself to the design and development of the database system, but also worked on exporting the data from the database to a different format (e.g. Excel or Word) so it could be analyzed in a simpler fashion. Thanks to the change in format, the data was organized in a spreadsheet that made it possible to sort the data by categories or types and helped speed up searches. Once my work with the database was done, the records of variances could be arranged so that they were displayed in numerical order, or one could search for a specific document targeted by the variances and restrict the search to only include variances that modified a specific requirement. A great part that contributed to my learning was SATERN, NASA's resource for education. Thanks to the SATERN online courses I took over the summer, I was able to learn many new things about computers and databases and also go more in depth into topics I already knew about.

Regional sensitivity analysis using revised mean and variance ratio functions

International Nuclear Information System (INIS)

Wei, Pengfei; Lu, Zhenzhou; Ruan, Wenbin; Song, Jingwen

2014-01-01

The variance ratio function, derived from the contribution to sample variance (CSV) plot, is a regional sensitivity index for studying how much the output deviates from the original mean of model output when the distribution range of one input is reduced and to measure the contribution of different distribution ranges of each input to the variance of model output. In this paper, the revised mean and variance ratio functions are developed for quantifying the actual change of the model output mean and variance, respectively, when one reduces the range of one input. The connection between the revised variance ratio function and the original one is derived and discussed. It is shown that compared with the classical variance ratio function, the revised one is more suitable to the evaluation of model output variance due to reduced ranges of model inputs. A Monte Carlo procedure, which needs only a set of samples for implementing it, is developed for efficiently computing the revised mean and variance ratio functions. The revised mean and variance ratio functions are compared with the classical ones by using the Ishigami function. At last, they are applied to a planar 10-bar structure

Wavelet-based multiscale analysis of minimum toe clearance variability in the young and elderly during walking.

Science.gov (United States)

Khandoker, Ahsan H; Karmakar, Chandan K; Begg, Rezaul K; Palaniswami, Marimuthu

2007-01-01

As humans age or are influenced by pathology of the neuromuscular system, gait patterns are known to adjust, accommodating for reduced function in the balance control system. The aim of this study was to investigate the effectiveness of a wavelet based multiscale analysis of a gait variable [minimum toe clearance (MTC)] in deriving indexes for understanding age-related declines in gait performance and screening of balance impairments in the elderly. MTC during walking on a treadmill for 30 healthy young, 27 healthy elderly and 10 falls risk elderly subjects with a history of tripping falls were analyzed. The MTC signal from each subject was decomposed to eight detailed signals at different wavelet scales by using the discrete wavelet transform. The variances of detailed signals at scales 8 to 1 were calculated. The multiscale exponent (beta) was then estimated from the slope of the variance progression at successive scales. The variance at scale 5 was significantly (ppathological conditions. Early detection of gait pattern changes due to ageing and balance impairments using wavelet-based multiscale analysis might provide the opportunity to initiate preemptive measures to be undertaken to avoid injurious falls.

The genotype-environment interaction variance in rice-seed protein determination

International Nuclear Information System (INIS)

Ismachin, M.

1976-01-01

Many environmental factors influence the protein content of cereal seed. This fact procured difficulties in breeding for protein. Yield is another example on which so many environmental factors are of influence. The length of time required by the plant to reach maturity, is also affected by the environmental factors; even though its effect is not too decisive. In this investigation the genotypic variance and the genotype-environment interaction variance which contribute to the total variance or phenotypic variance was analysed, with purpose to give an idea to the breeder how selection should be made. It was found that genotype-environment interaction variance is larger than the genotypic variance in contribution to total variance of protein-seed determination or yield. In the analysis of the time required to reach maturity it was found that genotypic variance is larger than the genotype-environment interaction variance. It is therefore clear, why selection for time required to reach maturity is much easier than selection for protein or yield. Selected protein in one location may be different from that to other locations. (author)

Sound recovery via intensity variations of speckle pattern pixels selected with variance-based method

Science.gov (United States)

Zhu, Ge; Yao, Xu-Ri; Qiu, Peng; Mahmood, Waqas; Yu, Wen-Kai; Sun, Zhi-Bin; Zhai, Guang-Jie; Zhao, Qing

2018-02-01

In general, the sound waves can cause the vibration of the objects that are encountered in the traveling path. If we make a laser beam illuminate the rough surface of an object, it will be scattered into a speckle pattern that vibrates with these sound waves. Here, an efficient variance-based method is proposed to recover the sound information from speckle patterns captured by a high-speed camera. This method allows us to select the proper pixels that have large variances of the gray-value variations over time, from a small region of the speckle patterns. The gray-value variations of these pixels are summed together according to a simple model to recover the sound with a high signal-to-noise ratio. Meanwhile, our method will significantly simplify the computation compared with the traditional digital-image-correlation technique. The effectiveness of the proposed method has been verified by applying a variety of objects. The experimental results illustrate that the proposed method is robust to the quality of the speckle patterns and costs more than one-order less time to perform the same number of the speckle patterns. In our experiment, a sound signal of time duration 1.876 s is recovered from various objects with time consumption of 5.38 s only.

Robust Spacecraft Component Detection in Point Clouds

Directory of Open Access Journals (Sweden)

Quanmao Wei

2018-03-01

Full Text Available Automatic component detection of spacecraft can assist in on-orbit operation and space situational awareness. Spacecraft are generally composed of solar panels and cuboidal or cylindrical modules. These components can be simply represented by geometric primitives like plane, cuboid and cylinder. Based on this prior, we propose a robust automatic detection scheme to automatically detect such basic components of spacecraft in three-dimensional (3D point clouds. In the proposed scheme, cylinders are first detected in the iteration of the energy-based geometric model fitting and cylinder parameter estimation. Then, planes are detected by Hough transform and further described as bounded patches with their minimum bounding rectangles. Finally, the cuboids are detected with pair-wise geometry relations from the detected patches. After successive detection of cylinders, planar patches and cuboids, a mid-level geometry representation of the spacecraft can be delivered. We tested the proposed component detection scheme on spacecraft 3D point clouds synthesized by computer-aided design (CAD models and those recovered by image-based reconstruction, respectively. Experimental results illustrate that the proposed scheme can detect the basic geometric components effectively and has fine robustness against noise and point distribution density.

Robust Spacecraft Component Detection in Point Clouds.

Science.gov (United States)

Wei, Quanmao; Jiang, Zhiguo; Zhang, Haopeng

2018-03-21

Automatic component detection of spacecraft can assist in on-orbit operation and space situational awareness. Spacecraft are generally composed of solar panels and cuboidal or cylindrical modules. These components can be simply represented by geometric primitives like plane, cuboid and cylinder. Based on this prior, we propose a robust automatic detection scheme to automatically detect such basic components of spacecraft in three-dimensional (3D) point clouds. In the proposed scheme, cylinders are first detected in the iteration of the energy-based geometric model fitting and cylinder parameter estimation. Then, planes are detected by Hough transform and further described as bounded patches with their minimum bounding rectangles. Finally, the cuboids are detected with pair-wise geometry relations from the detected patches. After successive detection of cylinders, planar patches and cuboids, a mid-level geometry representation of the spacecraft can be delivered. We tested the proposed component detection scheme on spacecraft 3D point clouds synthesized by computer-aided design (CAD) models and those recovered by image-based reconstruction, respectively. Experimental results illustrate that the proposed scheme can detect the basic geometric components effectively and has fine robustness against noise and point distribution density.

Estimation of measurement variances

International Nuclear Information System (INIS)

Jaech, J.L.

1984-01-01

The estimation of measurement error parameters in safeguards systems is discussed. Both systematic and random errors are considered. A simple analysis of variances to characterize the measurement error structure with biases varying over time is presented

A mixture model for robust registration in Kinect sensor

Science.gov (United States)

Peng, Li; Zhou, Huabing; Zhu, Shengguo

2018-03-01

The Microsoft Kinect sensor has been widely used in many applications, but it suffers from the drawback of low registration precision between color image and depth image. In this paper, we present a robust method to improve the registration precision by a mixture model that can handle multiply images with the nonparametric model. We impose non-parametric geometrical constraints on the correspondence, as a prior distribution, in a reproducing kernel Hilbert space (RKHS).The estimation is performed by the EM algorithm which by also estimating the variance of the prior model is able to obtain good estimates. We illustrate the proposed method on the public available dataset. The experimental results show that our approach outperforms the baseline methods.

29 CFR 1905.5 - Effect of variances.

Science.gov (United States)

2010-07-01

...-STEIGER OCCUPATIONAL SAFETY AND HEALTH ACT OF 1970 General § 1905.5 Effect of variances. All variances... Regulations Relating to Labor (Continued) OCCUPATIONAL SAFETY AND HEALTH ADMINISTRATION, DEPARTMENT OF LABOR... concerning a proposed penalty or period of abatement is pending before the Occupational Safety and Health...

Realized range-based estimation of integrated variance

DEFF Research Database (Denmark)

Christensen, Kim; Podolskij, Mark

2007-01-01

We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with the realized range-based variance-a statistic that replaces every squared return of the realized variance with a normalized squared range. If the entire sample path of the process is a...

Variance Function Partially Linear Single-Index Models1.

Science.gov (United States)

Lian, Heng; Liang, Hua; Carroll, Raymond J

2015-01-01

We consider heteroscedastic regression models where the mean function is a partially linear single index model and the variance function depends upon a generalized partially linear single index model. We do not insist that the variance function depend only upon the mean function, as happens in the classical generalized partially linear single index model. We develop efficient and practical estimation methods for the variance function and for the mean function. Asymptotic theory for the parametric and nonparametric parts of the model is developed. Simulations illustrate the results. An empirical example involving ozone levels is used to further illustrate the results, and is shown to be a case where the variance function does not depend upon the mean function.

Stable Control of Firing Rate Mean and Variance by Dual Homeostatic Mechanisms.

Science.gov (United States)

Cannon, Jonathan; Miller, Paul

2017-12-01

Homeostatic processes that provide negative feedback to regulate neuronal firing rates are essential for normal brain function. Indeed, multiple parameters of individual neurons, including the scale of afferent synapse strengths and the densities of specific ion channels, have been observed to change on homeostatic time scales to oppose the effects of chronic changes in synaptic input. This raises the question of whether these processes are controlled by a single slow feedback variable or multiple slow variables. A single homeostatic process providing negative feedback to a neuron's firing rate naturally maintains a stable homeostatic equilibrium with a characteristic mean firing rate; but the conditions under which multiple slow feedbacks produce a stable homeostatic equilibrium have not yet been explored. Here we study a highly general model of homeostatic firing rate control in which two slow variables provide negative feedback to drive a firing rate toward two different target rates. Using dynamical systems techniques, we show that such a control system can be used to stably maintain a neuron's characteristic firing rate mean and variance in the face of perturbations, and we derive conditions under which this happens. We also derive expressions that clarify the relationship between the homeostatic firing rate targets and the resulting stable firing rate mean and variance. We provide specific examples of neuronal systems that can be effectively regulated by dual homeostasis. One of these examples is a recurrent excitatory network, which a dual feedback system can robustly tune to serve as an integrator.

Discrete time and continuous time dynamic mean-variance analysis

OpenAIRE

Reiss, Ariane

1999-01-01

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the resulting portfolio is mean-variance efficient in a dynamic sense. It is shown that the optimal strategy for n risky assets may be dominated if the expected terminal wealth is constrained to exactly attain a certain goal instead o...

Dominance genetic variance for traits under directional selection in Drosophila serrata.

Science.gov (United States)

Sztepanacz, Jacqueline L; Blows, Mark W

2015-05-01

In contrast to our growing understanding of patterns of additive genetic variance in single- and multi-trait combinations, the relative contribution of nonadditive genetic variance, particularly dominance variance, to multivariate phenotypes is largely unknown. While mechanisms for the evolution of dominance genetic variance have been, and to some degree remain, subject to debate, the pervasiveness of dominance is widely recognized and may play a key role in several evolutionary processes. Theoretical and empirical evidence suggests that the contribution of dominance variance to phenotypic variance may increase with the correlation between a trait and fitness; however, direct tests of this hypothesis are few. Using a multigenerational breeding design in an unmanipulated population of Drosophila serrata, we estimated additive and dominance genetic covariance matrices for multivariate wing-shape phenotypes, together with a comprehensive measure of fitness, to determine whether there is an association between directional selection and dominance variance. Fitness, a trait unequivocally under directional selection, had no detectable additive genetic variance, but significant dominance genetic variance contributing 32% of the phenotypic variance. For single and multivariate morphological traits, however, no relationship was observed between trait-fitness correlations and dominance variance. A similar proportion of additive and dominance variance was found to contribute to phenotypic variance for single traits, and double the amount of additive compared to dominance variance was found for the multivariate trait combination under directional selection. These data suggest that for many fitness components a positive association between directional selection and dominance genetic variance may not be expected. Copyright © 2015 by the Genetics Society of America.

CMB-S4 and the hemispherical variance anomaly

Science.gov (United States)

O'Dwyer, Márcio; Copi, Craig J.; Knox, Lloyd; Starkman, Glenn D.

2017-09-01

Cosmic microwave background (CMB) full-sky temperature data show a hemispherical asymmetry in power nearly aligned with the Ecliptic. In real space, this anomaly can be quantified by the temperature variance in the Northern and Southern Ecliptic hemispheres, with the Northern hemisphere displaying an anomalously low variance while the Southern hemisphere appears unremarkable [consistent with expectations from the best-fitting theory, Lambda Cold Dark Matter (ΛCDM)]. While this is a well-established result in temperature, the low signal-to-noise ratio in current polarization data prevents a similar comparison. This will change with a proposed ground-based CMB experiment, CMB-S4. With that in mind, we generate realizations of polarization maps constrained by the temperature data and predict the distribution of the hemispherical variance in polarization considering two different sky coverage scenarios possible in CMB-S4: full Ecliptic north coverage and just the portion of the North that can be observed from a ground-based telescope at the high Chilean Atacama plateau. We find that even in the set of realizations constrained by the temperature data, the low Northern hemisphere variance observed in temperature is not expected in polarization. Therefore, observing an anomalously low variance in polarization would make the hypothesis that the temperature anomaly is simply a statistical fluke more unlikely and thus increase the motivation for physical explanations. We show, within ΛCDM, how variance measurements in both sky coverage scenarios are related. We find that the variance makes for a good statistic in cases where the sky coverage is limited, however, full northern coverage is still preferable.

Expected Stock Returns and Variance Risk Premia

DEFF Research Database (Denmark)

Bollerslev, Tim; Zhou, Hao

risk premium with the P/E ratio results in an R2 for the quarterly returns of more than twenty-five percent. The results depend crucially on the use of "model-free", as opposed to standard Black-Scholes, implied variances, and realized variances constructed from high-frequency intraday, as opposed...

Directional variance adjustment: bias reduction in covariance matrices based on factor analysis with an application to portfolio optimization.

Science.gov (United States)

Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W; Müller, Klaus-Robert; Lemm, Steven

2013-01-01

Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation.

Allowable variance set on left ventricular function parameter

International Nuclear Information System (INIS)

Zhou Li'na; Qi Zhongzhi; Zeng Yu; Ou Xiaohong; Li Lin

2010-01-01

Purpose: To evaluate the influence of allowable Variance settings on left ventricular function parameter of the arrhythmia patients during gated myocardial perfusion imaging. Method: 42 patients with evident arrhythmia underwent myocardial perfusion SPECT, 3 different allowable variance with 20%, 60%, 100% would be set before acquisition for every patients,and they will be acquired simultaneously. After reconstruction by Astonish, end-diastole volume(EDV) and end-systolic volume (ESV) and left ventricular ejection fraction (LVEF) would be computed with Quantitative Gated SPECT(QGS). Using SPSS software EDV, ESV, EF values of analysis of variance. Result: there is no statistical difference between three groups. Conclusion: arrhythmia patients undergo Gated myocardial perfusion imaging, Allowable Variance settings on EDV, ESV, EF value does not have a statistical meaning. (authors)

Robust THP Transceiver Designs for Multiuser MIMO Downlink with Imperfect CSIT

Directory of Open Access Journals (Sweden)

P. Ubaidulla

2009-01-01

Full Text Available We present robust joint nonlinear transceiver designs for multiuser multiple-input multiple-output (MIMO downlink in the presence of imperfections in the channel state information at the transmitter (CSIT. The base station (BS is equipped with multiple transmit antennas, and each user terminal is equipped with one or more receive antennas. The BS employs Tomlinson-Harashima precoding (THP for interuser interference precancellation at the transmitter. We consider robust transceiver designs that jointly optimize the transmit THP filters and receive filter for two models of CSIT errors. The first model is a stochastic error (SE model, where the CSIT error is Gaussian-distributed. This model is applicable when the CSIT error is dominated by channel estimation error. In this case, the proposed robust transceiver design seeks to minimize a stochastic function of the sum mean square error (SMSE under a constraint on the total BS transmit power. We propose an iterative algorithm to solve this problem. The other model we consider is a norm-bounded error (NBE model, where the CSIT error can be specified by an uncertainty set. This model is applicable when the CSIT error is dominated by quantization errors. In this case, we consider a worst-case design. For this model, we consider robust (i minimum SMSE, (ii MSE-constrained, and (iii MSE-balancing transceiver designs. We propose iterative algorithms to solve these problems, wherein each iteration involves a pair of semidefinite programs (SDPs. Further, we consider an extension of the proposed algorithm to the case with per-antenna power constraints. We evaluate the robustness of the proposed algorithms to imperfections in CSIT through simulation, and show that the proposed robust designs outperform nonrobust designs as well as robust linear transceiver designs reported in the recent literature.

Robust THP Transceiver Designs for Multiuser MIMO Downlink with Imperfect CSIT

Science.gov (United States)

Ubaidulla, P.; Chockalingam, A.

2009-12-01

We present robust joint nonlinear transceiver designs for multiuser multiple-input multiple-output (MIMO) downlink in the presence of imperfections in the channel state information at the transmitter (CSIT). The base station (BS) is equipped with multiple transmit antennas, and each user terminal is equipped with one or more receive antennas. The BS employs Tomlinson-Harashima precoding (THP) for interuser interference precancellation at the transmitter. We consider robust transceiver designs that jointly optimize the transmit THP filters and receive filter for two models of CSIT errors. The first model is a stochastic error (SE) model, where the CSIT error is Gaussian-distributed. This model is applicable when the CSIT error is dominated by channel estimation error. In this case, the proposed robust transceiver design seeks to minimize a stochastic function of the sum mean square error (SMSE) under a constraint on the total BS transmit power. We propose an iterative algorithm to solve this problem. The other model we consider is a norm-bounded error (NBE) model, where the CSIT error can be specified by an uncertainty set. This model is applicable when the CSIT error is dominated by quantization errors. In this case, we consider a worst-case design. For this model, we consider robust (i) minimum SMSE, (ii) MSE-constrained, and (iii) MSE-balancing transceiver designs. We propose iterative algorithms to solve these problems, wherein each iteration involves a pair of semidefinite programs (SDPs). Further, we consider an extension of the proposed algorithm to the case with per-antenna power constraints. We evaluate the robustness of the proposed algorithms to imperfections in CSIT through simulation, and show that the proposed robust designs outperform nonrobust designs as well as robust linear transceiver designs reported in the recent literature.

Robustness of S1 statistic with Hodges-Lehmann for skewed distributions

Science.gov (United States)

Ahad, Nor Aishah; Yahaya, Sharipah Soaad Syed; Yin, Lee Ping

2016-10-01

Analysis of variance (ANOVA) is a common use parametric method to test the differences in means for more than two groups when the populations are normally distributed. ANOVA is highly inefficient under the influence of non- normal and heteroscedastic settings. When the assumptions are violated, researchers are looking for alternative such as Kruskal-Wallis under nonparametric or robust method. This study focused on flexible method, S1 statistic for comparing groups using median as the location estimator. S1 statistic was modified by substituting the median with Hodges-Lehmann and the default scale estimator with the variance of Hodges-Lehmann and MADn to produce two different test statistics for comparing groups. Bootstrap method was used for testing the hypotheses since the sampling distributions of these modified S1 statistics are unknown. The performance of the proposed statistic in terms of Type I error was measured and compared against the original S1 statistic, ANOVA and Kruskal-Wallis. The propose procedures show improvement compared to the original statistic especially under extremely skewed distribution.

Multiobjective Robust Design of the Double Wishbone Suspension System Based on Particle Swarm Optimization

Directory of Open Access Journals (Sweden)

Xianfu Cheng

2014-01-01

Full Text Available The performance of the suspension system is one of the most important factors in the vehicle design. For the double wishbone suspension system, the conventional deterministic optimization does not consider any deviations of design parameters, so design sensitivity analysis and robust optimization design are proposed. In this study, the design parameters of the robust optimization are the positions of the key points, and the random factors are the uncertainties in manufacturing. A simplified model of the double wishbone suspension is established by software ADAMS. The sensitivity analysis is utilized to determine main design variables. Then, the simulation experiment is arranged and the Latin hypercube design is adopted to find the initial points. The Kriging model is employed for fitting the mean and variance of the quality characteristics according to the simulation results. Further, a particle swarm optimization method based on simple PSO is applied and the tradeoff between the mean and deviation of performance is made to solve the robust optimization problem of the double wishbone suspension system.

Multiobjective Robust Design of the Double Wishbone Suspension System Based on Particle Swarm Optimization

Science.gov (United States)

Lin, Yuqun

2014-01-01

The performance of the suspension system is one of the most important factors in the vehicle design. For the double wishbone suspension system, the conventional deterministic optimization does not consider any deviations of design parameters, so design sensitivity analysis and robust optimization design are proposed. In this study, the design parameters of the robust optimization are the positions of the key points, and the random factors are the uncertainties in manufacturing. A simplified model of the double wishbone suspension is established by software ADAMS. The sensitivity analysis is utilized to determine main design variables. Then, the simulation experiment is arranged and the Latin hypercube design is adopted to find the initial points. The Kriging model is employed for fitting the mean and variance of the quality characteristics according to the simulation results. Further, a particle swarm optimization method based on simple PSO is applied and the tradeoff between the mean and deviation of performance is made to solve the robust optimization problem of the double wishbone suspension system. PMID:24683334

Multiobjective robust design of the double wishbone suspension system based on particle swarm optimization.

Science.gov (United States)

Cheng, Xianfu; Lin, Yuqun

2014-01-01

The performance of the suspension system is one of the most important factors in the vehicle design. For the double wishbone suspension system, the conventional deterministic optimization does not consider any deviations of design parameters, so design sensitivity analysis and robust optimization design are proposed. In this study, the design parameters of the robust optimization are the positions of the key points, and the random factors are the uncertainties in manufacturing. A simplified model of the double wishbone suspension is established by software ADAMS. The sensitivity analysis is utilized to determine main design variables. Then, the simulation experiment is arranged and the Latin hypercube design is adopted to find the initial points. The Kriging model is employed for fitting the mean and variance of the quality characteristics according to the simulation results. Further, a particle swarm optimization method based on simple PSO is applied and the tradeoff between the mean and deviation of performance is made to solve the robust optimization problem of the double wishbone suspension system.

Direct encoding of orientation variance in the visual system.

Science.gov (United States)

Norman, Liam J; Heywood, Charles A; Kentridge, Robert W

2015-01-01

Our perception of regional irregularity, an example of which is orientation variance, seems effortless when we view two patches of texture that differ in this attribute. Little is understood, however, of how the visual system encodes a regional statistic like orientation variance, but there is some evidence to suggest that it is directly encoded by populations of neurons tuned broadly to high or low levels. The present study shows that selective adaptation to low or high levels of variance results in a perceptual aftereffect that shifts the perceived level of variance of a subsequently viewed texture in the direction away from that of the adapting stimulus (Experiments 1 and 2). Importantly, the effect is durable across changes in mean orientation, suggesting that the encoding of orientation variance is independent of global first moment orientation statistics (i.e., mean orientation). In Experiment 3 it was shown that the variance-specific aftereffect did not show signs of being encoded in a spatiotopic reference frame, similar to the equivalent aftereffect of adaptation to the first moment orientation statistic (the tilt aftereffect), which is represented in the primary visual cortex and exists only in retinotopic coordinates. Experiment 4 shows that a neuropsychological patient with damage to ventral areas of the cortex but spared intact early areas retains sensitivity to orientation variance. Together these results suggest that orientation variance is encoded directly by the visual system and possibly at an early cortical stage.

Network Structure and Biased Variance Estimation in Respondent Driven Sampling.

Science.gov (United States)

Verdery, Ashton M; Mouw, Ted; Bauldry, Shawn; Mucha, Peter J

2015-01-01

This paper explores bias in the estimation of sampling variance in Respondent Driven Sampling (RDS). Prior methodological work on RDS has focused on its problematic assumptions and the biases and inefficiencies of its estimators of the population mean. Nonetheless, researchers have given only slight attention to the topic of estimating sampling variance in RDS, despite the importance of variance estimation for the construction of confidence intervals and hypothesis tests. In this paper, we show that the estimators of RDS sampling variance rely on a critical assumption that the network is First Order Markov (FOM) with respect to the dependent variable of interest. We demonstrate, through intuitive examples, mathematical generalizations, and computational experiments that current RDS variance estimators will always underestimate the population sampling variance of RDS in empirical networks that do not conform to the FOM assumption. Analysis of 215 observed university and school networks from Facebook and Add Health indicates that the FOM assumption is violated in every empirical network we analyze, and that these violations lead to substantially biased RDS estimators of sampling variance. We propose and test two alternative variance estimators that show some promise for reducing biases, but which also illustrate the limits of estimating sampling variance with only partial information on the underlying population social network.

A new robustness analysis for climate policy evaluations: A CGE application for the EU 2020 targets

International Nuclear Information System (INIS)

Hermeling, Claudia; Löschel, Andreas; Mennel, Tim

2013-01-01

This paper introduces a new method for stochastic sensitivity analysis for computable general equilibrium (CGE) model based on Gauss Quadrature and applies it to check the robustness of a large-scale climate policy evaluation. The revised version of the Gauss-quadrature approach to sensitivity analysis reduces computations considerably vis-à-vis the commonly applied Monte-Carlo methods; this allows for a stochastic sensitivity analysis also for large scale models and multi-dimensional changes of parameters. In the application, an impact assessment of EU2020 climate policy, we focus on sectoral elasticities that are part of the basic parameters of the model and have been recently determined by econometric estimation, alongside with standard errors. The impact assessment is based on the large scale CGE model PACE. We show the applicability of the Gauss-quadrature approach and confirm the robustness of the impact assessment with the PACE model. The variance of the central model outcomes is smaller than their mean by order four to eight, depending on the aggregation level (i.e. aggregate variables such as GDP show a smaller variance than sectoral output). - Highlights: ► New, simplified method for stochastic sensitivity analysis for CGE analysis. ► Gauss quadrature with orthogonal polynomials. ► Application to climate policy—the case of the EU 2020 targets

Diagnosis of Bearing System using Minimum Variance Cepstrum

International Nuclear Information System (INIS)

Lee, Jeong Han; Choi, Young Chul; Park, Jin Ho; Lee, Won Hyung; Kim, Chan Joong

2005-01-01

Various bearings are commonly used in rotating machines. The noise and vibration signals that can be obtained from the machines often convey the information of faults and these locations. Monitoring conditions for bearings have received considerable attention for many years, because the majority of problems in rotating machines are caused by faulty bearings. Thus failure alarm for the bearing system is often based on the detection of the onset of localized faults. Many methods are available for detecting faults in the bearing system. The majority of these methods assume that faults in bearings produce impulses. Impulse events can be attributed to bearing faults in the system. McFadden and Smith used the bandpass filter to filter the noise signal and then obtained the envelope by using the envelope detector. D. Ho and R. B Randall also tried envelope spectrum to detect faults in the bearing system, but it is very difficult to find resonant frequency in the noisy environments. S. -K. Lee and P. R. White used improved ANC (adaptive noise cancellation) to find faults. The basic idea of this technique is to remove the noise from the measured vibration signal, but they are not able to show the theoretical foundation of the proposed algorithms. Y.-H. Kim et al. used a moving window. This algorithm is quite powerful in the early detection of faults in a ball bearing system, but it is difficult to decide initial time and step size of the moving window. The early fault signal that is caused by microscopic cracks is commonly embedded in noise. Therefore, the success of detecting fault signal is completely determined by a method's ability to distinguish signal and noise. In 1969, Capon coined maximum likelihood (ML) spectra which estimate a mixed spectrum consisting of line spectrum, corresponding to a deterministic random process, plus arbitrary unknown continuous spectrum. The unique feature of these spectra is that it can detect sinusoidal signal from noise. Our idea essentially comes from this method. In this paper, a technique, which can detect impulse embedded in noise, is introduced. The theory of this technique is derived and the improved ability to detect the faults in a ball bearing system is demonstrated theoretically as well as experimentally

Local variances in biomonitoring

International Nuclear Information System (INIS)

Wolterbeek, H.Th; Verburg, T.G.

2001-01-01

The present study was undertaken to explore possibilities to judge survey quality on basis of a limited and restricted number of a-priori observations. Here, quality is defined as the ratio between survey and local variance (signal-to-noise ratio). The results indicate that the presented surveys do not permit such judgement; the discussion also suggests that the 5-fold local sampling strategies do not merit any sound judgement. As it stands, uncertainties in local determinations may largely obscure possibilities to judge survey quality. The results further imply that surveys will benefit from procedures, controls and approaches in sampling and sample handling, to assess both average, variance and the nature of the distribution of elemental concentrations in local sites. This reasoning is compatible with the idea of the site as a basic homogeneous survey unit, which is implicitly and conceptually underlying any survey performed. (author)

Robust design optimization using the price of robustness, robust least squares and regularization methods

Science.gov (United States)

Bukhari, Hassan J.

2017-12-01

In this paper a framework for robust optimization of mechanical design problems and process systems that have parametric uncertainty is presented using three different approaches. Robust optimization problems are formulated so that the optimal solution is robust which means it is minimally sensitive to any perturbations in parameters. The first method uses the price of robustness approach which assumes the uncertain parameters to be symmetric and bounded. The robustness for the design can be controlled by limiting the parameters that can perturb.The second method uses the robust least squares method to determine the optimal parameters when data itself is subjected to perturbations instead of the parameters. The last method manages uncertainty by restricting the perturbation on parameters to improve sensitivity similar to Tikhonov regularization. The methods are implemented on two sets of problems; one linear and the other non-linear. This methodology will be compared with a prior method using multiple Monte Carlo simulation runs which shows that the approach being presented in this paper results in better performance.

A path method for finding energy barriers and minimum energy paths in complex micromagnetic systems

International Nuclear Information System (INIS)

Dittrich, R.; Schrefl, T.; Suess, D.; Scholz, W.; Forster, H.; Fidler, J.

2002-01-01

Minimum energy paths and energy barriers are calculated for complex micromagnetic systems. The method is based on the nudged elastic band method and uses finite-element techniques to represent granular structures. The method was found to be robust and fast for both simple test problems as well as for large systems such as patterned granular media. The method is used to estimate the energy barriers in CoCr-based perpendicular recording media

Some variance reduction methods for numerical stochastic homogenization.

Science.gov (United States)

Blanc, X; Le Bris, C; Legoll, F

2016-04-28

We give an overview of a series of recent studies devoted to variance reduction techniques for numerical stochastic homogenization. Numerical homogenization requires that a set of problems is solved at the microscale, the so-called corrector problems. In a random environment, these problems are stochastic and therefore need to be repeatedly solved, for several configurations of the medium considered. An empirical average over all configurations is then performed using the Monte Carlo approach, so as to approximate the effective coefficients necessary to determine the macroscopic behaviour. Variance severely affects the accuracy and the cost of such computations. Variance reduction approaches, borrowed from other contexts in the engineering sciences, can be useful. Some of these variance reduction techniques are presented, studied and tested here. © 2016 The Author(s).

variance components and genetic parameters for live weight

African Journals Online (AJOL)

admin

Against this background the present study estimated the (co)variance .... Starting values for the (co)variance components of two-trait models were ..... Estimates of genetic parameters for weaning weight of beef accounting for direct-maternal.

Restricted Variance Interaction Effects

DEFF Research Database (Denmark)

Cortina, Jose M.; Köhler, Tine; Keeler, Kathleen R.

2018-01-01

Although interaction hypotheses are increasingly common in our field, many recent articles point out that authors often have difficulty justifying them. The purpose of this article is to describe a particular type of interaction: the restricted variance (RV) interaction. The essence of the RV int...

Auto Regressive Moving Average (ARMA) Modeling Method for Gyro Random Noise Using a Robust Kalman Filter

Science.gov (United States)

Huang, Lei

2015-01-01

To solve the problem in which the conventional ARMA modeling methods for gyro random noise require a large number of samples and converge slowly, an ARMA modeling method using a robust Kalman filtering is developed. The ARMA model parameters are employed as state arguments. Unknown time-varying estimators of observation noise are used to achieve the estimated mean and variance of the observation noise. Using the robust Kalman filtering, the ARMA model parameters are estimated accurately. The developed ARMA modeling method has the advantages of a rapid convergence and high accuracy. Thus, the required sample size is reduced. It can be applied to modeling applications for gyro random noise in which a fast and accurate ARMA modeling method is required. PMID:26437409

Robustification and Optimization in Repetitive Control For Minimum Phase and Non-Minimum Phase Systems

Science.gov (United States)

Prasitmeeboon, Pitcha

repetitive control FIR compensator. The aim is to reduce the final error level by using real time frequency response model updates to successively increase the cutoff frequency, each time creating the improved model needed to produce convergence zero error up to the higher cutoff. Non-minimum phase systems present a difficult design challenge to the sister field of Iterative Learning Control. The third topic investigates to what extent the same challenges appear in RC. One challenge is that the intrinsic non-minimum phase zero mapped from continuous time is close to the pole of repetitive controller at +1 creating behavior similar to pole-zero cancellation. The near pole-zero cancellation causes slow learning at DC and low frequencies. The Min-Max cost function over the learning rate is presented. The Min-Max can be reformulated as a Quadratically Constrained Linear Programming problem. This approach is shown to be an RC design approach that addresses the main challenge of non-minimum phase systems to have a reasonable learning rate at DC. Although it was illustrated that using the Min-Max objective improves learning at DC and low frequencies compared to other designs, the method requires model accuracy at high frequencies. In the real world, models usually have error at high frequencies. The fourth topic addresses how one can merge the quadratic penalty to the Min-Max cost function to increase robustness at high frequencies. The topic also considers limiting the Min-Max optimization to some frequencies interval and applying an FIR zero-phase low-pass filter to cutoff the learning for frequencies above that interval.

Integrating mean and variance heterogeneities to identify differentially expressed genes.

Science.gov (United States)

Ouyang, Weiwei; An, Qiang; Zhao, Jinying; Qin, Huaizhen

2016-12-06

In functional genomics studies, tests on mean heterogeneity have been widely employed to identify differentially expressed genes with distinct mean expression levels under different experimental conditions. Variance heterogeneity (aka, the difference between condition-specific variances) of gene expression levels is simply neglected or calibrated for as an impediment. The mean heterogeneity in the expression level of a gene reflects one aspect of its distribution alteration; and variance heterogeneity induced by condition change may reflect another aspect. Change in condition may alter both mean and some higher-order characteristics of the distributions of expression levels of susceptible genes. In this report, we put forth a conception of mean-variance differentially expressed (MVDE) genes, whose expression means and variances are sensitive to the change in experimental condition. We mathematically proved the null independence of existent mean heterogeneity tests and variance heterogeneity tests. Based on the independence, we proposed an integrative mean-variance test (IMVT) to combine gene-wise mean heterogeneity and variance heterogeneity induced by condition change. The IMVT outperformed its competitors under comprehensive simulations of normality and Laplace settings. For moderate samples, the IMVT well controlled type I error rates, and so did existent mean heterogeneity test (i.e., the Welch t test (WT), the moderated Welch t test (MWT)) and the procedure of separate tests on mean and variance heterogeneities (SMVT), but the likelihood ratio test (LRT) severely inflated type I error rates. In presence of variance heterogeneity, the IMVT appeared noticeably more powerful than all the valid mean heterogeneity tests. Application to the gene profiles of peripheral circulating B raised solid evidence of informative variance heterogeneity. After adjusting for background data structure, the IMVT replicated previous discoveries and identified novel experiment

Simultaneous Monte Carlo zero-variance estimates of several correlated means

International Nuclear Information System (INIS)

Booth, T.E.

1998-01-01

Zero-variance biasing procedures are normally associated with estimating a single mean or tally. In particular, a zero-variance solution occurs when every sampling is made proportional to the product of the true probability multiplied by the expected score (importance) subsequent to the sampling; i.e., the zero-variance sampling is importance weighted. Because every tally has a different importance function, a zero-variance biasing for one tally cannot be a zero-variance biasing for another tally (unless the tallies are perfectly correlated). The way to optimize the situation when the required tallies have positive correlation is shown

Comparing estimates of genetic variance across different relationship models.

Science.gov (United States)

Legarra, Andres

2016-02-01

Use of relationships between individuals to estimate genetic variances and heritabilities via mixed models is standard practice in human, plant and livestock genetics. Different models or information for relationships may give different estimates of genetic variances. However, comparing these estimates across different relationship models is not straightforward as the implied base populations differ between relationship models. In this work, I present a method to compare estimates of variance components across different relationship models. I suggest referring genetic variances obtained using different relationship models to the same reference population, usually a set of individuals in the population. Expected genetic variance of this population is the estimated variance component from the mixed model times a statistic, Dk, which is the average self-relationship minus the average (self- and across-) relationship. For most typical models of relationships, Dk is close to 1. However, this is not true for very deep pedigrees, for identity-by-state relationships, or for non-parametric kernels, which tend to overestimate the genetic variance and the heritability. Using mice data, I show that heritabilities from identity-by-state and kernel-based relationships are overestimated. Weighting these estimates by Dk scales them to a base comparable to genomic or pedigree relationships, avoiding wrong comparisons, for instance, "missing heritabilities". Copyright © 2015 Elsevier Inc. All rights reserved.

Variance estimation in the analysis of microarray data

KAUST Repository

Wang, Yuedong

2009-04-01

Microarrays are one of the most widely used high throughput technologies. One of the main problems in the area is that conventional estimates of the variances that are required in the t-statistic and other statistics are unreliable owing to the small number of replications. Various methods have been proposed in the literature to overcome this lack of degrees of freedom problem. In this context, it is commonly observed that the variance increases proportionally with the intensity level, which has led many researchers to assume that the variance is a function of the mean. Here we concentrate on estimation of the variance as a function of an unknown mean in two models: the constant coefficient of variation model and the quadratic variance-mean model. Because the means are unknown and estimated with few degrees of freedom, naive methods that use the sample mean in place of the true mean are generally biased because of the errors-in-variables phenomenon. We propose three methods for overcoming this bias. The first two are variations on the theme of the so-called heteroscedastic simulation-extrapolation estimator, modified to estimate the variance function consistently. The third class of estimators is entirely different, being based on semiparametric information calculations. Simulations show the power of our methods and their lack of bias compared with the naive method that ignores the measurement error. The methodology is illustrated by using microarray data from leukaemia patients.

A Unifying Mathematical Framework for Genetic Robustness, Environmental Robustness, Network Robustness and their Trade-offs on Phenotype Robustness in Biological Networks. Part III: Synthetic Gene Networks in Synthetic Biology

Science.gov (United States)

Chen, Bor-Sen; Lin, Ying-Po

2013-01-01

Robust stabilization and environmental disturbance attenuation are ubiquitous systematic properties that are observed in biological systems at many different levels. The underlying principles for robust stabilization and environmental disturbance attenuation are universal to both complex biological systems and sophisticated engineering systems. In many biological networks, network robustness should be large enough to confer: intrinsic robustness for tolerating intrinsic parameter fluctuations; genetic robustness for buffering genetic variations; and environmental robustness for resisting environmental disturbances. Network robustness is needed so phenotype stability of biological network can be maintained, guaranteeing phenotype robustness. Synthetic biology is foreseen to have important applications in biotechnology and medicine; it is expected to contribute significantly to a better understanding of functioning of complex biological systems. This paper presents a unifying mathematical framework for investigating the principles of both robust stabilization and environmental disturbance attenuation for synthetic gene networks in synthetic biology. Further, from the unifying mathematical framework, we found that the phenotype robustness criterion for synthetic gene networks is the following: if intrinsic robustness + genetic robustness + environmental robustness ≦ network robustness, then the phenotype robustness can be maintained in spite of intrinsic parameter fluctuations, genetic variations, and environmental disturbances. Therefore, the trade-offs between intrinsic robustness, genetic robustness, environmental robustness, and network robustness in synthetic biology can also be investigated through corresponding phenotype robustness criteria from the systematic point of view. Finally, a robust synthetic design that involves network evolution algorithms with desired behavior under intrinsic parameter fluctuations, genetic variations, and environmental

Variance computations for functional of absolute risk estimates.

Science.gov (United States)

Pfeiffer, R M; Petracci, E

2011-07-01

We present a simple influence function based approach to compute the variances of estimates of absolute risk and functions of absolute risk. We apply this approach to criteria that assess the impact of changes in the risk factor distribution on absolute risk for an individual and at the population level. As an illustration we use an absolute risk prediction model for breast cancer that includes modifiable risk factors in addition to standard breast cancer risk factors. Influence function based variance estimates for absolute risk and the criteria are compared to bootstrap variance estimates.

76 FR 78698 - Proposed Revocation of Permanent Variances

Science.gov (United States)

2011-12-19

... Administration (``OSHA'' or ``the Agency'') granted permanent variances to 24 companies engaged in the... DEPARTMENT OF LABOR Occupational Safety and Health Administration [Docket No. OSHA-2011-0054] Proposed Revocation of Permanent Variances AGENCY: Occupational Safety and Health Administration (OSHA...

A robust procedure for comparing multiple means under heteroscedasticity in unbalanced designs.

Directory of Open Access Journals (Sweden)

Esther Herberich

2010-03-01

Full Text Available Investigating differences between means of more than two groups or experimental conditions is a routine research question addressed in biology. In order to assess differences statistically, multiple comparison procedures are applied. The most prominent procedures of this type, the Dunnett and Tukey-Kramer test, control the probability of reporting at least one false positive result when the data are normally distributed and when the sample sizes and variances do not differ between groups. All three assumptions are non-realistic in biological research and any violation leads to an increased number of reported false positive results. Based on a general statistical framework for simultaneous inference and robust covariance estimators we propose a new statistical multiple comparison procedure for assessing multiple means. In contrast to the Dunnett or Tukey-Kramer tests, no assumptions regarding the distribution, sample sizes or variance homogeneity are necessary. The performance of the new procedure is assessed by means of its familywise error rate and power under different distributions. The practical merits are demonstrated by a reanalysis of fatty acid phenotypes of the bacterium Bacillus simplex from the "Evolution Canyons" I and II in Israel. The simulation results show that even under severely varying variances, the procedure controls the number of false positive findings very well. Thus, the here presented procedure works well under biologically realistic scenarios of unbalanced group sizes, non-normality and heteroscedasticity.

Detecting outliers and/or leverage points: a robust two-stage procedure with bootstrap cut-off points

Directory of Open Access Journals (Sweden)

Ettore Marubini

2014-01-01

Full Text Available This paper presents a robust two-stage procedure for identification of outlying observations in regression analysis. The exploratory stage identifies leverage points and vertical outliers through a robust distance estimator based on Minimum Covariance Determinant (MCD. After deletion of these points, the confirmatory stage carries out an Ordinary Least Squares (OLS analysis on the remaining subset of data and investigates the effect of adding back in the previously deleted observations. Cut-off points pertinent to different diagnostics are generated by bootstrapping and the cases are definitely labelled as good-leverage, bad-leverage, vertical outliers and typical cases. The procedure is applied to four examples.

Diagnostic checking in linear processes with infinit variance

OpenAIRE

Krämer, Walter; Runde, Ralf

1998-01-01

We consider empirical autocorrelations of residuals from infinite variance autoregressive processes. Unlike the finite-variance case, it emerges that the limiting distribution, after suitable normalization, is not always more concentrated around zero when residuals rather than true innovations are employed.

Do Minimum Wages Fight Poverty?

OpenAIRE

David Neumark; William Wascher

1997-01-01

The primary goal of a national minimum wage floor is to raise the incomes of poor or near-poor families with members in the work force. However, estimates of employment effects of minimum wages tell us little about whether minimum wages are can achieve this goal; even if the disemployment effects of minimum wages are modest, minimum wage increases could result in net income losses for poor families. We present evidence on the effects of minimum wages on family incomes from matched March CPS s...

RR-Interval variance of electrocardiogram for atrial fibrillation detection

Science.gov (United States)

Nuryani, N.; Solikhah, M.; Nugoho, A. S.; Afdala, A.; Anzihory, E.

2016-11-01

Atrial fibrillation is a serious heart problem originated from the upper chamber of the heart. The common indication of atrial fibrillation is irregularity of R peak-to-R-peak time interval, which is shortly called RR interval. The irregularity could be represented using variance or spread of RR interval. This article presents a system to detect atrial fibrillation using variances. Using clinical data of patients with atrial fibrillation attack, it is shown that the variance of electrocardiographic RR interval are higher during atrial fibrillation, compared to the normal one. Utilizing a simple detection technique and variances of RR intervals, we find a good performance of atrial fibrillation detection.

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

OpenAIRE

Ma, Hui-qiang

2014-01-01

We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance effici...

Variance based OFDM frame synchronization

Directory of Open Access Journals (Sweden)

Z. Fedra

2012-04-01

Full Text Available The paper deals with a new frame synchronization scheme for OFDM systems and calculates the complexity of this scheme. The scheme is based on the computing of the detection window variance. The variance is computed in two delayed times, so a modified Early-Late loop is used for the frame position detection. The proposed algorithm deals with different variants of OFDM parameters including guard interval, cyclic prefix, and has good properties regarding the choice of the algorithm's parameters since the parameters may be chosen within a wide range without having a high influence on system performance. The verification of the proposed algorithm functionality has been performed on a development environment using universal software radio peripheral (USRP hardware.

Global-scale high-resolution ( 1 km) modelling of mean, maximum and minimum annual streamflow

Science.gov (United States)

Barbarossa, Valerio; Huijbregts, Mark; Hendriks, Jan; Beusen, Arthur; Clavreul, Julie; King, Henry; Schipper, Aafke

2017-04-01

Quantifying mean, maximum and minimum annual flow (AF) of rivers at ungauged sites is essential for a number of applications, including assessments of global water supply, ecosystem integrity and water footprints. AF metrics can be quantified with spatially explicit process-based models, which might be overly time-consuming and data-intensive for this purpose, or with empirical regression models that predict AF metrics based on climate and catchment characteristics. Yet, so far, regression models have mostly been developed at a regional scale and the extent to which they can be extrapolated to other regions is not known. We developed global-scale regression models that quantify mean, maximum and minimum AF as function of catchment area and catchment-averaged slope, elevation, and mean, maximum and minimum annual precipitation and air temperature. We then used these models to obtain global 30 arc-seconds (˜ 1 km) maps of mean, maximum and minimum AF for each year from 1960 through 2015, based on a newly developed hydrologically conditioned digital elevation model. We calibrated our regression models based on observations of discharge and catchment characteristics from about 4,000 catchments worldwide, ranging from 100 to 106 km2 in size, and validated them against independent measurements as well as the output of a number of process-based global hydrological models (GHMs). The variance explained by our regression models ranged up to 90% and the performance of the models compared well with the performance of existing GHMs. Yet, our AF maps provide a level of spatial detail that cannot yet be achieved by current GHMs.

Mixed model approaches for diallel analysis based on a bio-model.

Science.gov (United States)

Zhu, J; Weir, B S

1996-12-01

A MINQUE(1) procedure, which is minimum norm quadratic unbiased estimation (MINQUE) method with 1 for all the prior values, is suggested for estimating variance and covariance components in a bio-model for diallel crosses. Unbiasedness and efficiency of estimation were compared for MINQUE(1), restricted maximum likelihood (REML) and MINQUE theta which has parameter values for the prior values. MINQUE(1) is almost as efficient as MINQUE theta for unbiased estimation of genetic variance and covariance components. The bio-model is efficient and robust for estimating variance and covariance components for maternal and paternal effects as well as for nuclear effects. A procedure of adjusted unbiased prediction (AUP) is proposed for predicting random genetic effects in the bio-model. The jack-knife procedure is suggested for estimation of sampling variances of estimated variance and covariance components and of predicted genetic effects. Worked examples are given for estimation of variance and covariance components and for prediction of genetic merits.

A robust background regression based score estimation algorithm for hyperspectral anomaly detection

Science.gov (United States)

Zhao, Rui; Du, Bo; Zhang, Liangpei; Zhang, Lefei

2016-12-01

Anomaly detection has become a hot topic in the hyperspectral image analysis and processing fields in recent years. The most important issue for hyperspectral anomaly detection is the background estimation and suppression. Unreasonable or non-robust background estimation usually leads to unsatisfactory anomaly detection results. Furthermore, the inherent nonlinearity of hyperspectral images may cover up the intrinsic data structure in the anomaly detection. In order to implement robust background estimation, as well as to explore the intrinsic data structure of the hyperspectral image, we propose a robust background regression based score estimation algorithm (RBRSE) for hyperspectral anomaly detection. The Robust Background Regression (RBR) is actually a label assignment procedure which segments the hyperspectral data into a robust background dataset and a potential anomaly dataset with an intersection boundary. In the RBR, a kernel expansion technique, which explores the nonlinear structure of the hyperspectral data in a reproducing kernel Hilbert space, is utilized to formulate the data as a density feature representation. A minimum squared loss relationship is constructed between the data density feature and the corresponding assigned labels of the hyperspectral data, to formulate the foundation of the regression. Furthermore, a manifold regularization term which explores the manifold smoothness of the hyperspectral data, and a maximization term of the robust background average density, which suppresses the bias caused by the potential anomalies, are jointly appended in the RBR procedure. After this, a paired-dataset based k-nn score estimation method is undertaken on the robust background and potential anomaly datasets, to implement the detection output. The experimental results show that RBRSE achieves superior ROC curves, AUC values, and background-anomaly separation than some of the other state-of-the-art anomaly detection methods, and is easy to implement

Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization

Science.gov (United States)

Bartz, Daniel; Hatrick, Kerr; Hesse, Christian W.; Müller, Klaus-Robert; Lemm, Steven

2013-01-01

Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA) algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation. PMID:23844016

Directional variance adjustment: bias reduction in covariance matrices based on factor analysis with an application to portfolio optimization.

Directory of Open Access Journals (Sweden)

Daniel Bartz

Full Text Available Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices derived from the statistical Factor Analysis model exhibit a systematic error, which is similar to the well-known systematic error of the spectrum of the sample covariance matrix. Moreover, we introduce the Directional Variance Adjustment (DVA algorithm, which diminishes the systematic error. In a thorough empirical study for the US, European, and Hong Kong stock market we show that our proposed method leads to improved portfolio allocation.

Means and Variances without Calculus

Science.gov (United States)

Kinney, John J.

2005-01-01

This article gives a method of finding discrete approximations to continuous probability density functions and shows examples of its use, allowing students without calculus access to the calculation of means and variances.

Perceptual Robust Design

DEFF Research Database (Denmark)

Pedersen, Søren Nygaard

The research presented in this PhD thesis has focused on a perceptual approach to robust design. The results of the research and the original contribution to knowledge is a preliminary framework for understanding, positioning, and applying perceptual robust design. Product quality is a topic...... been presented. Therefore, this study set out to contribute to the understanding and application of perceptual robust design. To achieve this, a state-of-the-art and current practice review was performed. From the review two main research problems were identified. Firstly, a lack of tools...... for perceptual robustness was found to overlap with the optimum for functional robustness and at most approximately 2.2% out of the 14.74% could be ascribed solely to the perceptual robustness optimisation. In conclusion, the thesis have offered a new perspective on robust design by merging robust design...

COVAR: Computer Program for Multifactor Relative Risks and Tests of Hypotheses Using a Variance-Covariance Matrix from Linear and Log-Linear Regression

Directory of Open Access Journals (Sweden)

Leif E. Peterson

1997-11-01

Full Text Available A computer program for multifactor relative risks, confidence limits, and tests of hypotheses using regression coefficients and a variance-covariance matrix obtained from a previous additive or multiplicative regression analysis is described in detail. Data used by the program can be stored and input from an external disk-file or entered via the keyboard. The output contains a list of the input data, point estimates of single or joint effects, confidence intervals and tests of hypotheses based on a minimum modified chi-square statistic. Availability of the program is also discussed.

Beyond the Mean: Sensitivities of the Variance of Population Growth.

Science.gov (United States)

Trotter, Meredith V; Krishna-Kumar, Siddharth; Tuljapurkar, Shripad

2013-03-01

Populations in variable environments are described by both a mean growth rate and a variance of stochastic population growth. Increasing variance will increase the width of confidence bounds around estimates of population size, growth, probability of and time to quasi-extinction. However, traditional sensitivity analyses of stochastic matrix models only consider the sensitivity of the mean growth rate. We derive an exact method for calculating the sensitivity of the variance in population growth to changes in demographic parameters. Sensitivities of the variance also allow a new sensitivity calculation for the cumulative probability of quasi-extinction. We apply this new analysis tool to an empirical dataset on at-risk polar bears to demonstrate its utility in conservation biology We find that in many cases a change in life history parameters will increase both the mean and variance of population growth of polar bears. This counterintuitive behaviour of the variance complicates predictions about overall population impacts of management interventions. Sensitivity calculations for cumulative extinction risk factor in changes to both mean and variance, providing a highly useful quantitative tool for conservation management. The mean stochastic growth rate and its sensitivities do not fully describe the dynamics of population growth. The use of variance sensitivities gives a more complete understanding of population dynamics and facilitates the calculation of new sensitivities for extinction processes.

Evaluation of Mean and Variance Integrals without Integration

Science.gov (United States)

Joarder, A. H.; Omar, M. H.

2007-01-01

The mean and variance of some continuous distributions, in particular the exponentially decreasing probability distribution and the normal distribution, are considered. Since they involve integration by parts, many students do not feel comfortable. In this note, a technique is demonstrated for deriving mean and variance through differential…

The comparison between several robust ridge regression estimators in the presence of multicollinearity and multiple outliers

Science.gov (United States)

Zahari, Siti Meriam; Ramli, Norazan Mohamed; Moktar, Balkiah; Zainol, Mohammad Said

2014-09-01

In the presence of multicollinearity and multiple outliers, statistical inference of linear regression model using ordinary least squares (OLS) estimators would be severely affected and produces misleading results. To overcome this, many approaches have been investigated. These include robust methods which were reported to be less sensitive to the presence of outliers. In addition, ridge regression technique was employed to tackle multicollinearity problem. In order to mitigate both problems, a combination of ridge regression and robust methods was discussed in this study. The superiority of this approach was examined when simultaneous presence of multicollinearity and multiple outliers occurred in multiple linear regression. This study aimed to look at the performance of several well-known robust estimators; M, MM, RIDGE and robust ridge regression estimators, namely Weighted Ridge M-estimator (WRM), Weighted Ridge MM (WRMM), Ridge MM (RMM), in such a situation. Results of the study showed that in the presence of simultaneous multicollinearity and multiple outliers (in both x and y-direction), the RMM and RIDGE are more or less similar in terms of superiority over the other estimators, regardless of the number of observation, level of collinearity and percentage of outliers used. However, when outliers occurred in only single direction (y-direction), the WRMM estimator is the most superior among the robust ridge regression estimators, by producing the least variance. In conclusion, the robust ridge regression is the best alternative as compared to robust and conventional least squares estimators when dealing with simultaneous presence of multicollinearity and outliers.

Approximate zero-variance Monte Carlo estimation of Markovian unreliability

International Nuclear Information System (INIS)

Delcoux, J.L.; Labeau, P.E.; Devooght, J.

1997-01-01

Monte Carlo simulation has become an important tool for the estimation of reliability characteristics, since conventional numerical methods are no more efficient when the size of the system to solve increases. However, evaluating by a simulation the probability of occurrence of very rare events means playing a very large number of histories of the system, which leads to unacceptable computation times. Acceleration and variance reduction techniques have to be worked out. We show in this paper how to write the equations of Markovian reliability as a transport problem, and how the well known zero-variance scheme can be adapted to this application. But such a method is always specific to the estimation of one quality, while a Monte Carlo simulation allows to perform simultaneously estimations of diverse quantities. Therefore, the estimation of one of them could be made more accurate while degrading at the same time the variance of other estimations. We propound here a method to reduce simultaneously the variance for several quantities, by using probability laws that would lead to zero-variance in the estimation of a mean of these quantities. Just like the zero-variance one, the method we propound is impossible to perform exactly. However, we show that simple approximations of it may be very efficient. (author)

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process

Directory of Open Access Journals (Sweden)

Hui-qiang Ma

2014-01-01

Full Text Available We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier. The mean-variance portfolio selection problem is formulated as a linearly constrained convex program problem. By employing the Lagrange multiplier method and stochastic optimal control theory, we obtain the optimal portfolio strategy and mean-variance efficient frontier analytically. The results show that the mean-variance efficient frontier is still a parabola in the mean-variance plane, and the optimal strategies depend not only on the total wealth but also on the stock price. Moreover, some numerical examples are given to analyze the sensitivity of the efficient frontier with respect to the elasticity parameter and to illustrate the results presented in this paper. The numerical results show that the price of risk decreases as the elasticity coefficient increases.

The reliability paradox: Why robust cognitive tasks do not produce reliable individual differences.

Science.gov (United States)

Hedge, Craig; Powell, Georgina; Sumner, Petroc

2017-07-19

Individual differences in cognitive paradigms are increasingly employed to relate cognition to brain structure, chemistry, and function. However, such efforts are often unfruitful, even with the most well established tasks. Here we offer an explanation for failures in the application of robust cognitive paradigms to the study of individual differences. Experimental effects become well established - and thus those tasks become popular - when between-subject variability is low. However, low between-subject variability causes low reliability for individual differences, destroying replicable correlations with other factors and potentially undermining published conclusions drawn from correlational relationships. Though these statistical issues have a long history in psychology, they are widely overlooked in cognitive psychology and neuroscience today. In three studies, we assessed test-retest reliability of seven classic tasks: Eriksen Flanker, Stroop, stop-signal, go/no-go, Posner cueing, Navon, and Spatial-Numerical Association of Response Code (SNARC). Reliabilities ranged from 0 to .82, being surprisingly low for most tasks given their common use. As we predicted, this emerged from low variance between individuals rather than high measurement variance. In other words, the very reason such tasks produce robust and easily replicable experimental effects - low between-participant variability - makes their use as correlational tools problematic. We demonstrate that taking such reliability estimates into account has the potential to qualitatively change theoretical conclusions. The implications of our findings are that well-established approaches in experimental psychology and neuropsychology may not directly translate to the study of individual differences in brain structure, chemistry, and function, and alternative metrics may be required.

Variance in binary stellar population synthesis

Science.gov (United States)

Breivik, Katelyn; Larson, Shane L.

2016-03-01

In the years preceding LISA, Milky Way compact binary population simulations can be used to inform the science capabilities of the mission. Galactic population simulation efforts generally focus on high fidelity models that require extensive computational power to produce a single simulated population for each model. Each simulated population represents an incomplete sample of the functions governing compact binary evolution, thus introducing variance from one simulation to another. We present a rapid Monte Carlo population simulation technique that can simulate thousands of populations in less than a week, thus allowing a full exploration of the variance associated with a binary stellar evolution model.

A Theoretically Consistent Method for Minimum Mean-Square Error Estimation of Mel-Frequency Cepstral Features

DEFF Research Database (Denmark)

Jensen, Jesper; Tan, Zheng-Hua

2014-01-01

We propose a method for minimum mean-square error (MMSE) estimation of mel-frequency cepstral features for noise robust automatic speech recognition (ASR). The method is based on a minimum number of well-established statistical assumptions; no assumptions are made which are inconsistent with others....... The strength of the proposed method is that it allows MMSE estimation of mel-frequency cepstral coefficients (MFCC's), cepstral mean-subtracted MFCC's (CMS-MFCC's), velocity, and acceleration coefficients. Furthermore, the method is easily modified to take into account other compressive non-linearities than...... the logarithmic which is usually used for MFCC computation. The proposed method shows estimation performance which is identical to or better than state-of-the-art methods. It further shows comparable ASR performance, where the advantage of being able to use mel-frequency speech features based on a power non...

A Mean variance analysis of arbitrage portfolios

Science.gov (United States)

Fang, Shuhong

2007-03-01

Based on the careful analysis of the definition of arbitrage portfolio and its return, the author presents a mean-variance analysis of the return of arbitrage portfolios, which implies that Korkie and Turtle's results ( B. Korkie, H.J. Turtle, A mean-variance analysis of self-financing portfolios, Manage. Sci. 48 (2002) 427-443) are misleading. A practical example is given to show the difference between the arbitrage portfolio frontier and the usual portfolio frontier.

Mean-Variance Optimization in Markov Decision Processes

OpenAIRE

Mannor, Shie; Tsitsiklis, John N.

2011-01-01

We consider finite horizon Markov decision processes under performance measures that involve both the mean and the variance of the cumulative reward. We show that either randomized or history-based policies can improve performance. We prove that the complexity of computing a policy that maximizes the mean reward under a variance constraint is NP-hard for some cases, and strongly NP-hard for others. We finally offer pseudo-polynomial exact and approximation algorithms.

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

DEFF Research Database (Denmark)

Christoffersen, Peter; Heston, Steven; Jacobs, Kris

2013-01-01

We develop a GARCH option model with a new pricing kernel allowing for a variance premium. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it U shaped. We present new semiparametric...... evidence to confirm this U-shaped relationship between the risk-neutral and physical probability densities. The new pricing kernel substantially improves our ability to reconcile the time-series properties of stock returns with the cross-section of option prices. It provides a unified explanation...... for the implied volatility puzzle, the overreaction of long-term options to changes in short-term variance, and the fat tails of the risk-neutral return distribution relative to the physical distribution....

Stable "trait" variance of temperament as a predictor of the temporal course of depression and social phobia.

Science.gov (United States)

Naragon-Gainey, Kristin; Gallagher, Matthew W; Brown, Timothy A

2013-08-01

A large body of research has found robust associations between dimensions of temperament (e.g., neuroticism, extraversion) and the mood and anxiety disorders. However, mood-state distortion (i.e., the tendency for current mood state to bias ratings of temperament) likely confounds these associations, rendering their interpretation and validity unclear. This issue is of particular relevance to clinical populations who experience elevated levels of general distress. The current study used the "trait-state-occasion" latent variable model (D. A. Cole, N. C. Martin, & J. H. Steiger, 2005) to separate the stable components of temperament from transient, situational influences such as current mood state. We examined the predictive power of the time-invariant components of temperament on the course of depression and social phobia in a large, treatment-seeking sample with mood and/or anxiety disorders (N = 826). Participants were assessed 3 times over the course of 1 year, using interview and self-report measures; most participants received treatment during this time. Results indicated that both neuroticism/behavioral inhibition (N/BI) and behavioral activation/positive affect (BA/P) consisted largely of stable, time-invariant variance (57% to 78% of total variance). Furthermore, the time-invariant components of N/BI and BA/P were uniquely and incrementally predictive of change in depression and social phobia, adjusting for initial symptom levels. These results suggest that the removal of state variance bolsters the effect of temperament on psychopathology among clinically distressed individuals. Implications for temperament-psychopathology models, psychopathology assessment, and the stability of traits are discussed. PsycINFO Database Record (c) 2013 APA, all rights reserved.

Gender Variance and Educational Psychology: Implications for Practice

Science.gov (United States)

Yavuz, Carrie

2016-01-01

The area of gender variance appears to be more visible in both the media and everyday life. Within educational psychology literature gender variance remains underrepresented. The positioning of educational psychologists working across the three levels of child and family, school or establishment and education authority/council, means that they are…

Demonstration of a zero-variance based scheme for variance reduction to a mini-core Monte Carlo calculation

Energy Technology Data Exchange (ETDEWEB)

Christoforou, Stavros, E-mail: stavros.christoforou@gmail.com [Kirinthou 17, 34100, Chalkida (Greece); Hoogenboom, J. Eduard, E-mail: j.e.hoogenboom@tudelft.nl [Department of Applied Sciences, Delft University of Technology (Netherlands)

2011-07-01

A zero-variance based scheme is implemented and tested in the MCNP5 Monte Carlo code. The scheme is applied to a mini-core reactor using the adjoint function obtained from a deterministic calculation for biasing the transport kernels. It is demonstrated that the variance of the k{sub eff} estimate is halved compared to a standard criticality calculation. In addition, the biasing does not affect source distribution convergence of the system. However, since the code lacked optimisations for speed, we were not able to demonstrate an appropriate increase in the efficiency of the calculation, because of the higher CPU time cost. (author)

Variance-in-Mean Effects of the Long Forward-Rate Slope

DEFF Research Database (Denmark)

Christiansen, Charlotte

2005-01-01

This paper contains an empirical analysis of the dependence of the long forward-rate slope on the long-rate variance. The long forward-rate slope and the long rate are described by a bivariate GARCH-in-mean model. In accordance with theory, a negative long-rate variance-in-mean effect for the long...... forward-rate slope is documented. Thus, the greater the long-rate variance, the steeper the long forward-rate curve slopes downward (the long forward-rate slope is negative). The variance-in-mean effect is both statistically and economically significant....

Variance-based sensitivity indices for models with dependent inputs

International Nuclear Information System (INIS)

Mara, Thierry A.; Tarantola, Stefano

2012-01-01

Computational models are intensively used in engineering for risk analysis or prediction of future outcomes. Uncertainty and sensitivity analyses are of great help in these purposes. Although several methods exist to perform variance-based sensitivity analysis of model output with independent inputs only a few are proposed in the literature in the case of dependent inputs. This is explained by the fact that the theoretical framework for the independent case is set and a univocal set of variance-based sensitivity indices is defined. In the present work, we propose a set of variance-based sensitivity indices to perform sensitivity analysis of models with dependent inputs. These measures allow us to distinguish between the mutual dependent contribution and the independent contribution of an input to the model response variance. Their definition relies on a specific orthogonalisation of the inputs and ANOVA-representations of the model output. In the applications, we show the interest of the new sensitivity indices for model simplification setting. - Highlights: ► Uncertainty and sensitivity analyses are of great help in engineering. ► Several methods exist to perform variance-based sensitivity analysis of model output with independent inputs. ► We define a set of variance-based sensitivity indices for models with dependent inputs. ► Inputs mutual contributions are distinguished from their independent contributions. ► Analytical and computational tests are performed and discussed.

Simultaneous Monte Carlo zero-variance estimates of several correlated means

International Nuclear Information System (INIS)

Booth, T.E.

1997-08-01

Zero variance procedures have been in existence since the dawn of Monte Carlo. Previous works all treat the problem of zero variance solutions for a single tally. One often wants to get low variance solutions to more than one tally. When the sets of random walks needed for two tallies are similar, it is more efficient to do zero variance biasing for both tallies in the same Monte Carlo run, instead of two separate runs. The theory presented here correlates the random walks of particles by the similarity of their tallies. Particles with dissimilar tallies rapidly become uncorrelated whereas particles with similar tallies will stay correlated through most of their random walk. The theory herein should allow practitioners to make efficient use of zero-variance biasing procedures in practical problems

Robust Optimal Design of Quantum Electronic Devices

Directory of Open Access Journals (Sweden)

Ociel Morales

2018-01-01

Full Text Available We consider the optimal design of a sequence of quantum barriers, in order to manufacture an electronic device at the nanoscale such that the dependence of its transmission coefficient on the bias voltage is linear. The technique presented here is easily adaptable to other response characteristics. There are two distinguishing features of our approach. First, the transmission coefficient is determined using a semiclassical approximation, so we can explicitly compute the gradient of the objective function. Second, in contrast with earlier treatments, manufacturing uncertainties are incorporated in the model through random variables; the optimal design problem is formulated in a probabilistic setting and then solved using a stochastic collocation method. As a measure of robustness, a weighted sum of the expectation and the variance of a least-squares performance metric is considered. Several simulations illustrate the proposed technique, which shows an improvement in accuracy over 69% with respect to brute-force, Monte-Carlo-based methods.

Robust OFDM Timing Synchronisation in Multipath Channels

Directory of Open Access Journals (Sweden)

McLaughlin S

2008-01-01

Full Text Available Abstract This paper addresses pre-FFT synchronisation for orthogonal frequency division multiplex (OFDM under varying multipath conditions. To ensure the most efficient data transmission possible, there should be no constraints on how much of the cyclic prefix (CP is occupied by intersymbol interference (ISI. Here a solution for timing synchronisation is proposed, that is, robust even when the strongest multipath components are delayed relative to the first arriving paths. In this situation, existing methods perform poorly, whereas the solution proposed uses the derivative of the correlation function and is less sensitive to the channel impulse response. In this paper, synchronisation of a DVB single-frequency network is investigated. A refinement is proposed that uses heuristic rules based on the maxima of the correlation and derivative functions to further reduce the estimate variance. The technique has relevance to broadcast, OFDMA, and WLAN applications, and simulations are presented which compare the method with existing approaches.

Variance swap payoffs, risk premia and extreme market conditions

DEFF Research Database (Denmark)

Rombouts, Jeroen V.K.; Stentoft, Lars; Violante, Francesco

This paper estimates the Variance Risk Premium (VRP) directly from synthetic variance swap payoffs. Since variance swap payoffs are highly volatile, we extract the VRP by using signal extraction techniques based on a state-space representation of our model in combination with a simple economic....... The latter variables and the VRP generate different return predictability on the major US indices. A factor model is proposed to extract a market VRP which turns out to be priced when considering Fama and French portfolios....

Use of an excess variance approach for the certification of reference materials by interlaboratory comparison

International Nuclear Information System (INIS)

Crozet, M.; Rigaux, C.; Roudil, D.; Tuffery, B.; Ruas, A.; Desenfant, M.

2014-01-01

In the nuclear field, the accuracy and comparability of analytical results are crucial to insure correct accountancy, good process control and safe operational conditions. All of these require reliable measurements based on reference materials whose certified values must be obtained by robust metrological approaches according to the requirements of ISO guides 34 and 35. The data processing of the characterization step is one of the key steps of a reference material production process. Among several methods, the use of interlaboratory comparison results for reference material certification is very common. The DerSimonian and Laird excess variance approach, described and implemented in this paper, is a simple and efficient method for the data processing of interlaboratory comparison results for reference material certification. By taking into account not only the laboratory uncertainties but also the spread of the individual results into the calculation of the weighted mean, this approach minimizes the risk to get biased certified values in the case where one or several laboratories either underestimate their measurement uncertainties or do not identify all measurement biases. This statistical method has been applied to a new CETAMA plutonium reference material certified by interlaboratory comparison and has been compared to the classical weighted mean approach described in ISO Guide 35. This paper shows the benefits of using an 'excess variance' approach for the certification of reference material by interlaboratory comparison. (authors)

Robustness of Adaptive Survey Designs to Inaccuracy of Design Parameters

Directory of Open Access Journals (Sweden)

Burger Joep

2017-09-01

Full Text Available Adaptive survey designs (ASDs optimize design features, given 1 the interactions between the design features and characteristics of sampling units and 2 a set of constraints, such as a budget and a minimum number of respondents. Estimation of the interactions is subject to both random and systematic error. In this article, we propose and evaluate four viewpoints to assess robustness of ASDs to inaccuracy of design parameter estimates: the effect of both imprecision and bias on both ASD structure and ASD performance. We additionally propose three distance measures to compare the structure of ASDs. The methodology is illustrated using a simple simulation study and a more complex but realistic case study on the Dutch Travel Survey. The proposed methodology can be applied to other ASD optimization problems. In our simulation study and case study, the ASD was fairly robust to imprecision, but not to realistic dynamics in the design parameters. To deal with the sensitivity of ASDs to changing design parameters, we recommend to learn and update the design parameters.

Estimating quadratic variation using realized variance

DEFF Research Database (Denmark)

Barndorff-Nielsen, Ole Eiler; Shephard, N.

2002-01-01

with a rather general SV model - which is a special case of the semimartingale model. Then QV is integrated variance and we can derive the asymptotic distribution of the RV and its rate of convergence. These results do not require us to specify a model for either the drift or volatility functions, although we...... have to impose some weak regularity assumptions. We illustrate the use of the limit theory on some exchange rate data and some stock data. We show that even with large values of M the RV is sometimes a quite noisy estimator of integrated variance. Copyright © 2002 John Wiley & Sons, Ltd....

Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability

DEFF Research Database (Denmark)

Rombouts, Jerome V.K.; Stentoft, Lars; Violante, Francesco

We develop a joint framework linking the physical variance and its risk neutral expectation implying variance risk premia that are persistent, appropriately reacting to changes in level and variability of the variance and naturally satisfying the sign constraint. Using option market data and real...... events and only marginally by the premium associated with normal price fluctuations....

Rising above the Minimum Wage.

Science.gov (United States)

Even, William; Macpherson, David

An in-depth analysis was made of how quickly most people move up the wage scale from minimum wage, what factors influence their progress, and how minimum wage increases affect wage growth above the minimum. Very few workers remain at the minimum wage over the long run, according to this study of data drawn from the 1977-78 May Current Population…

Estimating High-Frequency Based (Co-) Variances: A Unified Approach

DEFF Research Database (Denmark)

Voev, Valeri; Nolte, Ingmar

We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions, allowing for a general market microstructure noise specification. We show that our estimators can outperform, in terms of the root mean squared error criterion, the most recent...... and commonly applied estimators, such as the realized kernels of Barndorff-Nielsen, Hansen, Lunde & Shephard (2006), the two-scales realized variance of Zhang, Mykland & Aït-Sahalia (2005), the Hayashi & Yoshida (2005) covariance estimator, and the realized variance and covariance with the optimal sampling...

Research on the robust optimization of the enterprise's decision on the investment to the collaborative innovation: Under the risk constraints

International Nuclear Information System (INIS)

Zhou, Qing; Fang, Gang; Wang, Dong-peng; Yang, Wei

2016-01-01

Abstracts: The robust optimization model is applied to analyze the enterprise's decision of the investment portfolio for the collaborative innovation under the risk constraints. Through the mathematical model deduction and the simulation analysis, the research result shows that the enterprise's investment to the collaborative innovation has relatively obvious robust effect. As for the collaborative innovation, the return from the investment coexists with the risk of it. Under the risk constraints, the robust optimization method could solve the minimum risk as well as the proportion of each investment scheme in the portfolio on the condition of different target returns from the investment. On the basis of the result, the enterprise could balance between the investment return and risk and make optimal decision on the investment scheme.

Demonstration of a zero-variance based scheme for variance reduction to a mini-core Monte Carlo calculation

International Nuclear Information System (INIS)

Christoforou, Stavros; Hoogenboom, J. Eduard

2011-01-01

A zero-variance based scheme is implemented and tested in the MCNP5 Monte Carlo code. The scheme is applied to a mini-core reactor using the adjoint function obtained from a deterministic calculation for biasing the transport kernels. It is demonstrated that the variance of the k_e_f_f estimate is halved compared to a standard criticality calculation. In addition, the biasing does not affect source distribution convergence of the system. However, since the code lacked optimisations for speed, we were not able to demonstrate an appropriate increase in the efficiency of the calculation, because of the higher CPU time cost. (author)

Robust multivariate analysis

CERN Document Server

J Olive, David

2017-01-01

This text presents methods that are robust to the assumption of a multivariate normal distribution or methods that are robust to certain types of outliers. Instead of using exact theory based on the multivariate normal distribution, the simpler and more applicable large sample theory is given.  The text develops among the first practical robust regression and robust multivariate location and dispersion estimators backed by theory.   The robust techniques  are illustrated for methods such as principal component analysis, canonical correlation analysis, and factor analysis.  A simple way to bootstrap confidence regions is also provided. Much of the research on robust multivariate analysis in this book is being published for the first time. The text is suitable for a first course in Multivariate Statistical Analysis or a first course in Robust Statistics. This graduate text is also useful for people who are familiar with the traditional multivariate topics, but want to know more about handling data sets with...

The Genealogical Consequences of Fecundity Variance Polymorphism

Science.gov (United States)

Taylor, Jesse E.

2009-01-01

The genealogical consequences of within-generation fecundity variance polymorphism are studied using coalescent processes structured by genetic backgrounds. I show that these processes have three distinctive features. The first is that the coalescent rates within backgrounds are not jointly proportional to the infinitesimal variance, but instead depend only on the frequencies and traits of genotypes containing each allele. Second, the coalescent processes at unlinked loci are correlated with the genealogy at the selected locus; i.e., fecundity variance polymorphism has a genomewide impact on genealogies. Third, in diploid models, there are infinitely many combinations of fecundity distributions that have the same diffusion approximation but distinct coalescent processes; i.e., in this class of models, ancestral processes and allele frequency dynamics are not in one-to-one correspondence. Similar properties are expected to hold in models that allow for heritable variation in other traits that affect the coalescent effective population size, such as sex ratio or fecundity and survival schedules. PMID:19433628

Primal-dual convex optimization in large deformation diffeomorphic metric mapping: LDDMM meets robust regularizers

Science.gov (United States)

Hernandez, Monica

2017-12-01

This paper proposes a method for primal-dual convex optimization in variational large deformation diffeomorphic metric mapping problems formulated with robust regularizers and robust image similarity metrics. The method is based on Chambolle and Pock primal-dual algorithm for solving general convex optimization problems. Diagonal preconditioning is used to ensure the convergence of the algorithm to the global minimum. We consider three robust regularizers liable to provide acceptable results in diffeomorphic registration: Huber, V-Huber and total generalized variation. The Huber norm is used in the image similarity term. The primal-dual equations are derived for the stationary and the non-stationary parameterizations of diffeomorphisms. The resulting algorithms have been implemented for running in the GPU using Cuda. For the most memory consuming methods, we have developed a multi-GPU implementation. The GPU implementations allowed us to perform an exhaustive evaluation study in NIREP and LPBA40 databases. The experiments showed that, for all the considered regularizers, the proposed method converges to diffeomorphic solutions while better preserving discontinuities at the boundaries of the objects compared to baseline diffeomorphic registration methods. In most cases, the evaluation showed a competitive performance for the robust regularizers, close to the performance of the baseline diffeomorphic registration methods.

Robustness of Structures

DEFF Research Database (Denmark)

Faber, Michael Havbro; Vrouwenvelder, A.C.W.M.; Sørensen, John Dalsgaard

2011-01-01

In 2005, the Joint Committee on Structural Safety (JCSS) together with Working Commission (WC) 1 of the International Association of Bridge and Structural Engineering (IABSE) organized a workshop on robustness of structures. Two important decisions resulted from this workshop, namely...... ‘COST TU0601: Robustness of Structures’ was initiated in February 2007, aiming to provide a platform for exchanging and promoting research in the area of structural robustness and to provide a basic framework, together with methods, strategies and guidelines enhancing robustness of structures...... the development of a joint European project on structural robustness under the COST (European Cooperation in Science and Technology) programme and the decision to develop a more elaborate document on structural robustness in collaboration between experts from the JCSS and the IABSE. Accordingly, a project titled...

An ILP based memetic algorithm for finding minimum positive influence dominating sets in social networks

Science.gov (United States)

Lin, Geng; Guan, Jian; Feng, Huibin

2018-06-01

The positive influence dominating set problem is a variant of the minimum dominating set problem, and has lots of applications in social networks. It is NP-hard, and receives more and more attention. Various methods have been proposed to solve the positive influence dominating set problem. However, most of the existing work focused on greedy algorithms, and the solution quality needs to be improved. In this paper, we formulate the minimum positive influence dominating set problem as an integer linear programming (ILP), and propose an ILP based memetic algorithm (ILPMA) for solving the problem. The ILPMA integrates a greedy randomized adaptive construction procedure, a crossover operator, a repair operator, and a tabu search procedure. The performance of ILPMA is validated on nine real-world social networks with nodes up to 36,692. The results show that ILPMA significantly improves the solution quality, and is robust.

Employment effects of minimum wages

OpenAIRE

Neumark, David

2014-01-01

The potential benefits of higher minimum wages come from the higher wages for affected workers, some of whom are in low-income families. The potential downside is that a higher minimum wage may discourage employers from using the low-wage, low-skill workers that minimum wages are intended to help. Research findings are not unanimous, but evidence from many countries suggests that minimum wages reduce the jobs available to low-skill workers.

On Mean-Variance Analysis

OpenAIRE

Li, Yang; Pirvu, Traian A

2011-01-01

This paper considers the mean variance portfolio management problem. We examine portfolios which contain both primary and derivative securities. The challenge in this context is due to portfolio's nonlinearities. The delta-gamma approximation is employed to overcome it. Thus, the optimization problem is reduced to a well posed quadratic program. The methodology developed in this paper can be also applied to pricing and hedging in incomplete markets.

Stable “Trait” Variance of Temperament as a Predictor of the Temporal Course of Depression and Social Phobia

Science.gov (United States)

Naragon-Gainey, Kristin; Gallagher, Matthew W.; Brown, Timothy A.

2013-01-01

A large body of research has found robust associations between dimensions of temperament (e.g., neuroticism, extraversion) and the mood and anxiety disorders. However, mood-state distortion (i.e., the tendency for current mood state to bias ratings of temperament) likely confounds these associations, rendering their interpretation and validity unclear. This issue is of particular relevance to clinical populations who experience elevated levels of general distress. The current study used the “trait-state-occasion” latent variable model (Cole, Martin, & Steiger, 2005) to separate the stable components of temperament from transient, situational influences such as current mood state. We examined the predictive power of the time-invariant components of temperament on the course of depression and social phobia in a large, treatment-seeking sample with mood and/or anxiety disorders (N = 826). Participants were assessed three times over the course of one year, using interview and self-report measures; most participants received treatment during this time. Results indicated that both neuroticism/behavioral inhibition (N/BI) and behavioral activation/positive affect (BA/P) consisted largely of stable, time-invariant variance (57% to 78% of total variance). Furthermore, the time-invariant components of N/BI and BA/P were uniquely and incrementally predictive of change in depression and social phobia, adjusting for initial symptom levels. These results suggest that the removal of state variance bolsters the effect of temperament on psychopathology among clinically distressed individuals. Implications for temperament-psychopathology models, psychopathology assessment, and the stability of traits are discussed. PMID:24016004

Modelling volatility by variance decomposition

DEFF Research Database (Denmark)

Amado, Cristina; Teräsvirta, Timo

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the variance of the model to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterisations describe both nonlinearity and structural change in the condit...

Variance heterogeneity in Saccharomyces cerevisiae expression data: trans-regulation and epistasis.

Science.gov (United States)

Nelson, Ronald M; Pettersson, Mats E; Li, Xidan; Carlborg, Örjan

2013-01-01

Here, we describe the results from the first variance heterogeneity Genome Wide Association Study (VGWAS) on yeast expression data. Using this forward genetics approach, we show that the genetic regulation of gene-expression in the budding yeast, Saccharomyces cerevisiae, includes mechanisms that can lead to variance heterogeneity in the expression between genotypes. Additionally, we performed a mean effect association study (GWAS). Comparing the mean and variance heterogeneity analyses, we find that the mean expression level is under genetic regulation from a larger absolute number of loci but that a higher proportion of the variance controlling loci were trans-regulated. Both mean and variance regulating loci cluster in regulatory hotspots that affect a large number of phenotypes; a single variance-controlling locus, mapping close to DIA2, was found to be involved in more than 10% of the significant associations. It has been suggested in the literature that variance-heterogeneity between the genotypes might be due to genetic interactions. We therefore screened the multi-locus genotype-phenotype maps for several traits where multiple associations were found, for indications of epistasis. Several examples of two and three locus genetic interactions were found to involve variance-controlling loci, with reports from the literature corroborating the functional connections between the loci. By using a new analytical approach to re-analyze a powerful existing dataset, we are thus able to both provide novel insights to the genetic mechanisms involved in the regulation of gene-expression in budding yeast and experimentally validate epistasis as an important mechanism underlying genetic variance-heterogeneity between genotypes.

Genetic Variance in Homophobia: Evidence from Self- and Peer Reports.

Science.gov (United States)

Zapko-Willmes, Alexandra; Kandler, Christian

2018-01-01

The present twin study combined self- and peer assessments of twins' general homophobia targeting gay men in order to replicate previous behavior genetic findings across different rater perspectives and to disentangle self-rater-specific variance from common variance in self- and peer-reported homophobia (i.e., rater-consistent variance). We hypothesized rater-consistent variance in homophobia to be attributable to genetic and nonshared environmental effects, and self-rater-specific variance to be partially accounted for by genetic influences. A sample of 869 twins and 1329 peer raters completed a seven item scale containing cognitive, affective, and discriminatory homophobic tendencies. After correction for age and sex differences, we found most of the genetic contributions (62%) and significant nonshared environmental contributions (16%) to individual differences in self-reports on homophobia to be also reflected in peer-reported homophobia. A significant genetic component, however, was self-report-specific (38%), suggesting that self-assessments alone produce inflated heritability estimates to some degree. Different explanations are discussed.

Predicting minimum uncertainties in the inversion of ocean color geophysical parameters based on Cramer-Rao bounds.

Science.gov (United States)

Jay, Sylvain; Guillaume, Mireille; Chami, Malik; Minghelli, Audrey; Deville, Yannick; Lafrance, Bruno; Serfaty, Véronique

2018-01-22

We present an analytical approach based on Cramer-Rao Bounds (CRBs) to investigate the uncertainties in estimated ocean color parameters resulting from the propagation of uncertainties in the bio-optical reflectance modeling through the inversion process. Based on given bio-optical and noise probabilistic models, CRBs can be computed efficiently for any set of ocean color parameters and any sensor configuration, directly providing the minimum estimation variance that can be possibly attained by any unbiased estimator of any targeted parameter. Here, CRBs are explicitly developed using (1) two water reflectance models corresponding to deep and shallow waters, resp., and (2) four probabilistic models describing the environmental noises observed within four Sentinel-2 MSI, HICO, Sentinel-3 OLCI and MODIS images, resp. For both deep and shallow waters, CRBs are shown to be consistent with the experimental estimation variances obtained using two published remote-sensing methods, while not requiring one to perform any inversion. CRBs are also used to investigate to what extent perfect a priori knowledge on one or several geophysical parameters can improve the estimation of remaining unknown parameters. For example, using pre-existing knowledge of bathymetry (e.g., derived from LiDAR) within the inversion is shown to greatly improve the retrieval of bottom cover for shallow waters. Finally, CRBs are shown to provide valuable information on the best estimation performances that may be achieved with the MSI, HICO, OLCI and MODIS configurations for a variety of oceanic, coastal and inland waters. CRBs are thus demonstrated to be an informative and efficient tool to characterize minimum uncertainties in inverted ocean color geophysical parameters.

Decomposition of Variance for Spatial Cox Processes.

Science.gov (United States)

Jalilian, Abdollah; Guan, Yongtao; Waagepetersen, Rasmus

2013-03-01

Spatial Cox point processes is a natural framework for quantifying the various sources of variation governing the spatial distribution of rain forest trees. We introduce a general criterion for variance decomposition for spatial Cox processes and apply it to specific Cox process models with additive or log linear random intensity functions. We moreover consider a new and flexible class of pair correlation function models given in terms of normal variance mixture covariance functions. The proposed methodology is applied to point pattern data sets of locations of tropical rain forest trees.

Detecting and accounting for multiple sources of positional variance in peak list registration analysis and spin system grouping.

Science.gov (United States)

Smelter, Andrey; Rouchka, Eric C; Moseley, Hunter N B

2017-08-01

 algorithms, we developed a peak list simulator within our nmrstarlib package that generates user-defined assigned peak lists from a given BMRB entry or database of entries. In addition, over 100,000 simulated peak lists with one or two sources of variance were generated to evaluate the performance and robustness of these new registration analysis and peak grouping algorithms.

Grammatical and lexical variance in English

CERN Document Server

Quirk, Randolph

2014-01-01

Written by one of Britain's most distinguished linguists, this book is concerned with the phenomenon of variance in English grammar and vocabulary across regional, social, stylistic and temporal space.

A comparison of approximation techniques for variance-based sensitivity analysis of biochemical reaction systems

Directory of Open Access Journals (Sweden)

Goutsias John

2010-05-01

Full Text Available Abstract Background Sensitivity analysis is an indispensable tool for the analysis of complex systems. In a recent paper, we have introduced a thermodynamically consistent variance-based sensitivity analysis approach for studying the robustness and fragility properties of biochemical reaction systems under uncertainty in the standard chemical potentials of the activated complexes of the reactions and the standard chemical potentials of the molecular species. In that approach, key sensitivity indices were estimated by Monte Carlo sampling, which is computationally very demanding and impractical for large biochemical reaction systems. Computationally efficient algorithms are needed to make variance-based sensitivity analysis applicable to realistic cellular networks, modeled by biochemical reaction systems that consist of a large number of reactions and molecular species. Results We present four techniques, derivative approximation (DA, polynomial approximation (PA, Gauss-Hermite integration (GHI, and orthonormal Hermite approximation (OHA, for analytically approximating the variance-based sensitivity indices associated with a biochemical reaction system. By using a well-known model of the mitogen-activated protein kinase signaling cascade as a case study, we numerically compare the approximation quality of these techniques against traditional Monte Carlo sampling. Our results indicate that, although DA is computationally the most attractive technique, special care should be exercised when using it for sensitivity analysis, since it may only be accurate at low levels of uncertainty. On the other hand, PA, GHI, and OHA are computationally more demanding than DA but can work well at high levels of uncertainty. GHI results in a slightly better accuracy than PA, but it is more difficult to implement. OHA produces the most accurate approximation results and can be implemented in a straightforward manner. It turns out that the computational cost of the

Variance decomposition in stochastic simulators.

Science.gov (United States)

Le Maître, O P; Knio, O M; Moraes, A

2015-06-28

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance decomposition in stochastic simulators

Science.gov (United States)

Le Maître, O. P.; Knio, O. M.; Moraes, A.

2015-06-01

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance decomposition in stochastic simulators

Energy Technology Data Exchange (ETDEWEB)

Le Maître, O. P., E-mail: olm@limsi.fr [LIMSI-CNRS, UPR 3251, Orsay (France); Knio, O. M., E-mail: knio@duke.edu [Department of Mechanical Engineering and Materials Science, Duke University, Durham, North Carolina 27708 (United States); Moraes, A., E-mail: alvaro.moraesgutierrez@kaust.edu.sa [King Abdullah University of Science and Technology, Thuwal (Saudi Arabia)

2015-06-28

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Variance-based Salt Body Reconstruction

KAUST Repository

Ovcharenko, Oleg

2017-05-26

Seismic inversions of salt bodies are challenging when updating velocity models based on Born approximation- inspired gradient methods. We propose a variance-based method for velocity model reconstruction in regions complicated by massive salt bodies. The novel idea lies in retrieving useful information from simultaneous updates corresponding to different single frequencies. Instead of the commonly used averaging of single-iteration monofrequency gradients, our algorithm iteratively reconstructs salt bodies in an outer loop based on updates from a set of multiple frequencies after a few iterations of full-waveform inversion. The variance among these updates is used to identify areas where considerable cycle-skipping occurs. In such areas, we update velocities by interpolating maximum velocities within a certain region. The result of several recursive interpolations is later used as a new starting model to improve results of conventional full-waveform inversion. An application on part of the BP 2004 model highlights the evolution of the proposed approach and demonstrates its effectiveness.

Variance decomposition in stochastic simulators

KAUST Repository

Le Maî tre, O. P.; Knio, O. M.; Moraes, Alvaro

2015-01-01

This work aims at the development of a mathematical and computational approach that enables quantification of the inherent sources of stochasticity and of the corresponding sensitivities in stochastic simulations of chemical reaction networks. The approach is based on reformulating the system dynamics as being generated by independent standardized Poisson processes. This reformulation affords a straightforward identification of individual realizations for the stochastic dynamics of each reaction channel, and consequently a quantitative characterization of the inherent sources of stochasticity in the system. By relying on the Sobol-Hoeffding decomposition, the reformulation enables us to perform an orthogonal decomposition of the solution variance. Thus, by judiciously exploiting the inherent stochasticity of the system, one is able to quantify the variance-based sensitivities associated with individual reaction channels, as well as the importance of channel interactions. Implementation of the algorithms is illustrated in light of simulations of simplified systems, including the birth-death, Schlögl, and Michaelis-Menten models.

Minimum Wages and Poverty

OpenAIRE

Fields, Gary S.; Kanbur, Ravi

2005-01-01

Textbook analysis tells us that in a competitive labor market, the introduction of a minimum wage above the competitive equilibrium wage will cause unemployment. This paper makes two contributions to the basic theory of the minimum wage. First, we analyze the effects of a higher minimum wage in terms of poverty rather than in terms of unemployment. Second, we extend the standard textbook model to allow for incomesharing between the employed and the unemployed. We find that there are situation...

Robustness Metrics: How Are They Calculated, When Should They Be Used and Why Do They Give Different Results?

Science.gov (United States)

McPhail, C.; Maier, H. R.; Kwakkel, J. H.; Giuliani, M.; Castelletti, A.; Westra, S.

2018-02-01

Robustness is being used increasingly for decision analysis in relation to deep uncertainty and many metrics have been proposed for its quantification. Recent studies have shown that the application of different robustness metrics can result in different rankings of decision alternatives, but there has been little discussion of what potential causes for this might be. To shed some light on this issue, we present a unifying framework for the calculation of robustness metrics, which assists with understanding how robustness metrics work, when they should be used, and why they sometimes disagree. The framework categorizes the suitability of metrics to a decision-maker based on (1) the decision-context (i.e., the suitability of using absolute performance or regret), (2) the decision-maker's preferred level of risk aversion, and (3) the decision-maker's preference toward maximizing performance, minimizing variance, or some higher-order moment. This article also introduces a conceptual framework describing when relative robustness values of decision alternatives obtained using different metrics are likely to agree and disagree. This is used as a measure of how "stable" the ranking of decision alternatives is when determined using different robustness metrics. The framework is tested on three case studies, including water supply augmentation in Adelaide, Australia, the operation of a multipurpose regulated lake in Italy, and flood protection for a hypothetical river based on a reach of the river Rhine in the Netherlands. The proposed conceptual framework is confirmed by the case study results, providing insight into the reasons for disagreements between rankings obtained using different robustness metrics.

Host nutrition alters the variance in parasite transmission potential.

Science.gov (United States)

Vale, Pedro F; Choisy, Marc; Little, Tom J

2013-04-23

The environmental conditions experienced by hosts are known to affect their mean parasite transmission potential. How different conditions may affect the variance of transmission potential has received less attention, but is an important question for disease management, especially if specific ecological contexts are more likely to foster a few extremely infectious hosts. Using the obligate-killing bacterium Pasteuria ramosa and its crustacean host Daphnia magna, we analysed how host nutrition affected the variance of individual parasite loads, and, therefore, transmission potential. Under low food, individual parasite loads showed similar mean and variance, following a Poisson distribution. By contrast, among well-nourished hosts, parasite loads were right-skewed and overdispersed, following a negative binomial distribution. Abundant food may, therefore, yield individuals causing potentially more transmission than the population average. Measuring both the mean and variance of individual parasite loads in controlled experimental infections may offer a useful way of revealing risk factors for potential highly infectious hosts.

Visualizing Robustness of Critical Points for 2D Time-Varying Vector Fields

KAUST Repository

Wang, B.

2013-06-01

Analyzing critical points and their temporal evolutions plays a crucial role in understanding the behavior of vector fields. A key challenge is to quantify the stability of critical points: more stable points may represent more important phenomena or vice versa. The topological notion of robustness is a tool which allows us to quantify rigorously the stability of each critical point. Intuitively, the robustness of a critical point is the minimum amount of perturbation necessary to cancel it within a local neighborhood, measured under an appropriate metric. In this paper, we introduce a new analysis and visualization framework which enables interactive exploration of robustness of critical points for both stationary and time-varying 2D vector fields. This framework allows the end-users, for the first time, to investigate how the stability of a critical point evolves over time. We show that this depends heavily on the global properties of the vector field and that structural changes can correspond to interesting behavior. We demonstrate the practicality of our theories and techniques on several datasets involving combustion and oceanic eddy simulations and obtain some key insights regarding their stable and unstable features. © 2013 The Author(s) Computer Graphics Forum © 2013 The Eurographics Association and Blackwell Publishing Ltd.

Visualizing Robustness of Critical Points for 2D Time-Varying Vector Fields

KAUST Repository

Wang, B.; Rosen, P.; Skraba, P.; Bhatia, H.; Pascucci, V.

2013-01-01

Analyzing critical points and their temporal evolutions plays a crucial role in understanding the behavior of vector fields. A key challenge is to quantify the stability of critical points: more stable points may represent more important phenomena or vice versa. The topological notion of robustness is a tool which allows us to quantify rigorously the stability of each critical point. Intuitively, the robustness of a critical point is the minimum amount of perturbation necessary to cancel it within a local neighborhood, measured under an appropriate metric. In this paper, we introduce a new analysis and visualization framework which enables interactive exploration of robustness of critical points for both stationary and time-varying 2D vector fields. This framework allows the end-users, for the first time, to investigate how the stability of a critical point evolves over time. We show that this depends heavily on the global properties of the vector field and that structural changes can correspond to interesting behavior. We demonstrate the practicality of our theories and techniques on several datasets involving combustion and oceanic eddy simulations and obtain some key insights regarding their stable and unstable features. © 2013 The Author(s) Computer Graphics Forum © 2013 The Eurographics Association and Blackwell Publishing Ltd.

Fast food prices, obesity, and the minimum wage.

Science.gov (United States)

Cotti, Chad; Tefft, Nathan

2013-03-01

Recent proposals argue that a fast food tax may be an effective policy lever for reducing population weight. Although there is growing evidence for a negative association between fast food prices and weight among adolescents, less is known about adults. That any measured relationship to date is causal is unclear because there has been no attempt to separate variation in prices on the demand side from that on the supply side. We argue that the minimum wage is an exogenous source of variation in fast food prices, conditional on income and employment. In two-stage least-squares analyses, we find little evidence that fast food price changes affect adult BMI or obesity prevalence. Results are robust to including controls for area and time fixed effects, area time trends, demographic characteristics, substitute prices, numbers of establishments and employment in related industries, and other potentially related factors. Copyright © 2012 Elsevier B.V. All rights reserved.

Exploring variance in residential electricity consumption: Household features and building properties

International Nuclear Information System (INIS)

Bartusch, Cajsa; Odlare, Monica; Wallin, Fredrik; Wester, Lars

2012-01-01

Highlights: ► Statistical analysis of variance are of considerable value in identifying key indicators for policy update. ► Variance in residential electricity use is partly explained by household features. ► Variance in residential electricity use is partly explained by building properties. ► Household behavior has a profound impact on individual electricity use. -- Abstract: Improved means of controlling electricity consumption plays an important part in boosting energy efficiency in the Swedish power market. Developing policy instruments to that end requires more in-depth statistics on electricity use in the residential sector, among other things. The aim of the study has accordingly been to assess the extent of variance in annual electricity consumption in single-family homes as well as to estimate the impact of household features and building properties in this respect using independent samples t-tests and one-way as well as univariate independent samples analyses of variance. Statistically significant variances associated with geographic area, heating system, number of family members, family composition, year of construction, electric water heater and electric underfloor heating have been established. The overall result of the analyses is nevertheless that variance in residential electricity consumption cannot be fully explained by independent variables related to household and building characteristics alone. As for the methodological approach, the results further suggest that methods for statistical analysis of variance are of considerable value in indentifying key indicators for policy update and development.

75 FR 6151 - Minimum Capital

Science.gov (United States)

2010-02-08

... capital and reserve requirements to be issued by order or regulation with respect to a product or activity... minimum capital requirements. Section 1362(a) establishes a minimum capital level for the Enterprises... entities required under this section.\\6\\ \\3\\ The Bank Act's current minimum capital requirements apply to...

A Pareto-Improving Minimum Wage

OpenAIRE

Eliav Danziger; Leif Danziger

2014-01-01

This paper shows that a graduated minimum wage, in contrast to a constant minimum wage, can provide a strict Pareto improvement over what can be achieved with an optimal income tax. The reason is that a graduated minimum wage requires high-productivity workers to work more to earn the same income as low-productivity workers, which makes it more difficult for the former to mimic the latter. In effect, a graduated minimum wage allows the low-productivity workers to benefit from second-degree pr...

Discussion on variance reduction technique for shielding

Energy Technology Data Exchange (ETDEWEB)

Maekawa, Fujio [Japan Atomic Energy Research Inst., Tokai, Ibaraki (Japan). Tokai Research Establishment

1998-03-01

As the task of the engineering design activity of the international thermonuclear fusion experimental reactor (ITER), on 316 type stainless steel (SS316) and the compound system of SS316 and water, the shielding experiment using the D-T neutron source of FNS in Japan Atomic Energy Research Institute has been carried out. However, in these analyses, enormous working time and computing time were required for determining the Weight Window parameter. Limitation or complication was felt when the variance reduction by Weight Window method of MCNP code was carried out. For the purpose of avoiding this difficulty, investigation was performed on the effectiveness of the variance reduction by cell importance method. The conditions of calculation in all cases are shown. As the results, the distribution of fractional standard deviation (FSD) related to neutrons and gamma-ray flux in the direction of shield depth is reported. There is the optimal importance change, and when importance was increased at the same rate as that of the attenuation of neutron or gamma-ray flux, the optimal variance reduction can be done. (K.I.)

Equal Power Distribution and Dynamic Subcarrier Assignment in OFDM Using Minimum Channel Gain Flow with Robust Optimization Uncertain Demand

OpenAIRE

Tun, F. A. Hla Myo; Phyo, S. B. Aye Thandar; Naing, T. C. Zaw Min

2010-01-01

In this paper, the minimum channel gain flow with uncertainty in the demand vector is examined. The approach is based on a transformation of uncertainty in the demand vector to uncertainty in the gain vector. OFDM systems are known to overcome the impairment of the wireless channel by splitting the given system bandwidth into parallel sub-carriers, on which data-symbols can be transmitted simultaneously. This enables the possibility of enhancing the system's performance by deploying adaptive ...

Defining robustness protocols: a method to include and evaluate robustness in clinical plans

International Nuclear Information System (INIS)

McGowan, S E; Albertini, F; Lomax, A J; Thomas, S J

2015-01-01

We aim to define a site-specific robustness protocol to be used during the clinical plan evaluation process. Plan robustness of 16 skull base IMPT plans to systematic range and random set-up errors have been retrospectively and systematically analysed. This was determined by calculating the error-bar dose distribution (ebDD) for all the plans and by defining some metrics used to define protocols aiding the plan assessment. Additionally, an example of how to clinically use the defined robustness database is given whereby a plan with sub-optimal brainstem robustness was identified. The advantage of using different beam arrangements to improve the plan robustness was analysed. Using the ebDD it was found range errors had a smaller effect on dose distribution than the corresponding set-up error in a single fraction, and that organs at risk were most robust to the range errors, whereas the target was more robust to set-up errors. A database was created to aid planners in terms of plan robustness aims in these volumes. This resulted in the definition of site-specific robustness protocols. The use of robustness constraints allowed for the identification of a specific patient that may have benefited from a treatment of greater individuality. A new beam arrangement showed to be preferential when balancing conformality and robustness for this case. The ebDD and error-bar volume histogram proved effective in analysing plan robustness. The process of retrospective analysis could be used to establish site-specific robustness planning protocols in proton therapy. These protocols allow the planner to determine plans that, although delivering a dosimetrically adequate dose distribution, have resulted in sub-optimal robustness to these uncertainties. For these cases the use of different beam start conditions may improve the plan robustness to set-up and range uncertainties. (paper)

Defining robustness protocols: a method to include and evaluate robustness in clinical plans

Science.gov (United States)

McGowan, S. E.; Albertini, F.; Thomas, S. J.; Lomax, A. J.

2015-04-01

We aim to define a site-specific robustness protocol to be used during the clinical plan evaluation process. Plan robustness of 16 skull base IMPT plans to systematic range and random set-up errors have been retrospectively and systematically analysed. This was determined by calculating the error-bar dose distribution (ebDD) for all the plans and by defining some metrics used to define protocols aiding the plan assessment. Additionally, an example of how to clinically use the defined robustness database is given whereby a plan with sub-optimal brainstem robustness was identified. The advantage of using different beam arrangements to improve the plan robustness was analysed. Using the ebDD it was found range errors had a smaller effect on dose distribution than the corresponding set-up error in a single fraction, and that organs at risk were most robust to the range errors, whereas the target was more robust to set-up errors. A database was created to aid planners in terms of plan robustness aims in these volumes. This resulted in the definition of site-specific robustness protocols. The use of robustness constraints allowed for the identification of a specific patient that may have benefited from a treatment of greater individuality. A new beam arrangement showed to be preferential when balancing conformality and robustness for this case. The ebDD and error-bar volume histogram proved effective in analysing plan robustness. The process of retrospective analysis could be used to establish site-specific robustness planning protocols in proton therapy. These protocols allow the planner to determine plans that, although delivering a dosimetrically adequate dose distribution, have resulted in sub-optimal robustness to these uncertainties. For these cases the use of different beam start conditions may improve the plan robustness to set-up and range uncertainties.

Capturing option anomalies with a variance-dependent pricing kernel

NARCIS (Netherlands)

Christoffersen, P.; Heston, S.; Jacobs, K.

2013-01-01

We develop a GARCH option model with a variance premium by combining the Heston-Nandi (2000) dynamic with a new pricing kernel that nests Rubinstein (1976) and Brennan (1979). While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is

29 CFR 1904.38 - Variances from the recordkeeping rule.

Science.gov (United States)

2010-07-01

..., DEPARTMENT OF LABOR RECORDING AND REPORTING OCCUPATIONAL INJURIES AND ILLNESSES Other OSHA Injury and Illness... he or she finds appropriate. (iv) If the Assistant Secretary grants your variance petition, OSHA will... Secretary is reviewing your variance petition. (4) If I have already been cited by OSHA for not following...

Real or perceived impediments to minimum pricing of alcohol in Australia: public opinion, the industry and the law.

Science.gov (United States)

Chalmers, Jenny; Carragher, Natacha; Davoren, Sondra; O'Brien, Paula

2013-11-01

A burgeoning body of empirical evidence demonstrates that increases in the price of alcohol can reduce per capita alcohol consumption and harmful drinking. Taxes on alcohol can be raised to increase prices, but this strategy can be undermined if the industry absorbs the tax increase and cross-subsidises the price of one alcoholic beverage with other products. Such loss-leading strategies are not possible with minimum pricing. We argue that a minimum (or floor) price for alcohol should be used as a complement to alcohol taxation. Several jurisdictions have already introduced minimum pricing (e.g., Canada, Ukraine) and others are currently investigating pathways to introduce a floor price (e.g., Scotland). Tasked by the Australian government to examine the public interest case for a minimum price, Australia's peak preventative health agency recommended against setting one at the present time. The agency was concerned that there was insufficient Australian specific modelling evidence to make robust estimates of the net benefits. Nonetheless, its initial judgement was that it would be difficult for a minimum price to produce benefits for Australia at the national level. Whilst modelling evidence is certainly warranted to support the introduction of the policy, the development and uptake of policy is influenced by more than just empirical evidence. This article considers three potential impediments to minimum pricing: public opinion and misunderstandings or misgivings about the operation of a minimum price; the strength of alcohol industry objections and measures to undercut the minimum price through discounts and promotions; and legal obstacles including competition and trade law. The analysis of these factors is situated in an Australian context, but has salience internationally. Copyright © 2013 Elsevier B.V. All rights reserved.

Robustness of observation-based decadal sea level variability in the Indo-Pacific Ocean

Science.gov (United States)

Nidheesh, A. G.; Lengaigne, M.; Vialard, J.; Izumo, T.; Unnikrishnan, A. S.; Meyssignac, B.; Hamlington, B.; de Boyer Montegut, C.

2017-07-01

We examine the consistency of Indo-Pacific decadal sea level variability in 10 gridded, observation-based sea level products for the 1960-2010 period. Decadal sea level variations are robust in the Pacific, with more than 50% of variance explained by decadal modulation of two flavors of El Niño-Southern Oscillation (classical ENSO and Modoki). Amplitude of decadal sea level variability is weaker in the Indian Ocean than in the Pacific. All data sets indicate a transmission of decadal sea level signals from the western Pacific to the northwest Australian coast through the Indonesian throughflow. The southern tropical Indian Ocean sea level variability is associated with decadal modulations of ENSO in reconstructions but not in reanalyses or in situ data set. The Pacific-independent Indian Ocean decadal sea level variability is not robust but tends to be maximum in the southwestern tropical Indian Ocean. The inconsistency of Indian Ocean decadal variability across the sea level products calls for caution in making definitive conclusions on decadal sea level variability in this basin.

Analysis of ulnar variance as a risk factor for developing scaphoid nonunion.

Science.gov (United States)

Lirola-Palmero, S; Salvà-Coll, G; Terrades-Cladera, F J

2015-01-01

Ulnar variance may be a risk factor of developing scaphoid non-union. A review was made of the posteroanterior wrist radiographs of 95 patients who were diagnosed of scaphoid fracture. All fractures with displacement less than 1mm treated conservatively were included. The ulnar variance was measured in all patients. Ulnar variance was measured in standard posteroanterior wrist radiographs of 95 patients. Eighteen patients (19%) developed scaphoid nonunion, with a mean value of ulnar variance of -1.34 (-/+ 0.85) mm (CI -2.25 - 0.41). Seventy seven patients (81%) healed correctly, and the mean value of ulnar variance was -0.04 (-/+ 1.85) mm (CI -0.46 - 0.38). A significant difference was observed in the distribution of ulnar variance (pvariance less than -1mm, and ulnar variance greater than -1mm. It appears that patients with ulnar variance less than -1mm had an OR 4.58 (CI 1.51 to 13.89) with pvariance less than -1mm have a greater risk of developing scaphoid nonunion, OR 4.58 (CI 1.51 to 13.89) with p<.007. Copyright © 2014 SECOT. Published by Elsevier Espana. All rights reserved.

Minimum Variance Beamforming for High Frame-Rate Ultrasound Imaging

DEFF Research Database (Denmark)

Holfort, Iben Kraglund; Gran, Fredrik; Jensen, Jørgen Arendt

2007-01-01

, a 7 MHz, 128-element, phased array transducer with lambda/2-spacing was used. Data is obtained using a single element as the transmitting aperture and all 128 elements as the receiving aperture. A full SA sequence consisting of 128 emissions was simulated by gliding the active transmitting element...... weights for each frequency sub-band. As opposed to the conventional, Delay and Sum (DS) beamformer, this approach is dependent on the specific data. The performance of the proposed MV beamformer is tested on simulated synthetic aperture (SA) ultrasound data, obtained using Field II. For the simulations...... across the array. Data for 13 point targets and a circular cyst with a radius of 5 mm were simulated. The performance of the MV beamformer is compared to DS using boxcar weights and Hanning weights, and is quantified by the Full Width at Half Maximum (FWHM) and the peak-side-lobe level (PSL). Single...

Decomposition of variance in terms of conditional means

Directory of Open Access Journals (Sweden)

Alessandro Figà Talamanca

2013-05-01

Full Text Available Two different sets of data are used to test an apparently new approach to the analysis of the variance of a numerical variable which depends on qualitative variables. We suggest that this approach be used to complement other existing techniques to study the interdependence of the variables involved. According to our method, the variance is expressed as a sum of orthogonal components, obtained as differences of conditional means, with respect to the qualitative characters. The resulting expression for the variance depends on the ordering in which the characters are considered. We suggest an algorithm which leads to an ordering which is deemed natural. The first set of data concerns the score achieved by a population of students on an entrance examination based on a multiple choice test with 30 questions. In this case the qualitative characters are dyadic and correspond to correct or incorrect answer to each question. The second set of data concerns the delay to obtain the degree for a population of graduates of Italian universities. The variance in this case is analyzed with respect to a set of seven specific qualitative characters of the population studied (gender, previous education, working condition, parent's educational level, field of study, etc..

Robustness of radiomic breast features of benign lesions and luminal A cancers across MR magnet strengths

Science.gov (United States)

Whitney, Heather M.; Drukker, Karen; Edwards, Alexandra; Papaioannou, John; Giger, Maryellen L.

2018-02-01

Radiomics features extracted from breast lesion images have shown potential in diagnosis and prognosis of breast cancer. As clinical institutions transition from 1.5 T to 3.0 T magnetic resonance imaging (MRI), it is helpful to identify robust features across these field strengths. In this study, dynamic contrast-enhanced MR images were acquired retrospectively under IRB/HIPAA compliance, yielding 738 cases: 241 and 124 benign lesions imaged at 1.5 T and 3.0 T and 231 and 142 luminal A cancers imaged at 1.5 T and 3.0 T, respectively. Lesions were segmented using a fuzzy C-means method. Extracted radiomic values for each group of lesions by cancer status and field strength of acquisition were compared using a Kolmogorov-Smirnov test for the null hypothesis that two groups being compared came from the same distribution, with p-values being corrected for multiple comparisons by the Holm-Bonferroni method. Two shape features, one texture feature, and three enhancement variance kinetics features were found to be potentially robust. All potentially robust features had areas under the receiver operating characteristic curve (AUC) statistically greater than 0.5 in the task of distinguishing between lesion types (range of means 0.57-0.78). The significant difference in voxel size between field strength of acquisition limits the ability to affirm more features as robust or not robust according to field strength alone, and inhomogeneities in static field strength and radiofrequency field could also have affected the assessment of kinetic curve features as robust or not. Vendor-specific image scaling could have also been a factor. These findings will contribute to the development of radiomic signatures that use features identified as robust across field strength.

42 CFR 456.522 - Content of request for variance.

Science.gov (United States)

2010-10-01

... 42 Public Health 4 2010-10-01 2010-10-01 false Content of request for variance. 456.522 Section 456.522 Public Health CENTERS FOR MEDICARE & MEDICAID SERVICES, DEPARTMENT OF HEALTH AND HUMAN... perform UR within the time requirements for which the variance is requested and its good faith efforts to...

On the Endogeneity of the Mean-Variance Efficient Frontier.

Science.gov (United States)

Somerville, R. A.; O'Connell, Paul G. J.

2002-01-01

Explains that the endogeneity of the efficient frontier in the mean-variance model of portfolio selection is commonly obscured in portfolio selection literature and in widely used textbooks. Demonstrates endogeneity and discusses the impact of parameter changes on the mean-variance efficient frontier and on the beta coefficients of individual…

Assessment of ulnar variance: a radiological investigation in a Dutch population

Energy Technology Data Exchange (ETDEWEB)

Schuurman, A.H. [Dept. of Plastic, Reconstructive and Hand Surgery, University Medical Centre, Utrecht (Netherlands); Dept. of Plastic Surgery, University Medical Centre, Utrecht (Netherlands); Maas, M.; Dijkstra, P.F. [Dept. of Radiology, Univ. of Amsterdam (Netherlands); Kauer, J.M.G. [Dept. of Anatomy and Embryology, Univ. of Nijmegen (Netherlands)

2001-11-01

Objective: A radiological study was performed to evaluate ulnar variance in 68 Dutch patients using an electronic digitizer compared with Palmer's concentric circle method. Using the digitizer method only, the effect of different wrist positions and grip on ulnar variance was then investigated. Finally the distribution of ulnar variance in the selected patients was investigated also using the digitizer method. Design and patients: All radiographs were performed with the wrist in a standard zero-rotation position (posteroanterior) and in supination (anteroposterior). Palmer's concentric circle method and an electronic digitizer connected to a personal computer were used to measure ulnar variance. The digitizer consists of a Plexiglas plate with an electronically activated grid beneath it. A radiograph is placed on the plate and a cursor activates a point on the grid. Three plots are marked on the radius and one plot on the most distal part of the ulnar head. The digitizer then determines the difference between a radius passing through the radius plots and the ulnar plot. Results and conclusions: Using the concentric circle method we found an ulna plus predominance, but an ulna minus predominance when using the digitizer method. Overall the ulnar variance distribution for Palmer's method was 41.9% ulna plus, 25.7% neutral and 32.4% ulna minus variance, and for the digitizer method was 40.4% ulna plus, 1.5% neutral and 58.1% ulna minus. The percentage ulnar variance greater than 1 mm on standard radiographs increased from 23% to 58% using the digitizer, with maximum grip, clearly demonstrating the (dynamic) effect of grip on ulnar variance. This almost threefold increase was found to be a significant difference. Significant differences were found between ulnar variance when different wrist positions were compared. (orig.)

Minimum critical mass systems

International Nuclear Information System (INIS)

Dam, H. van; Leege, P.F.A. de

1987-01-01

An analysis is presented of thermal systems with minimum critical mass, based on the use of materials with optimum neutron moderating and reflecting properties. The optimum fissile material distributions in the systems are obtained by calculations with standard computer codes, extended with a routine for flat fuel importance search. It is shown that in the minimum critical mass configuration a considerable part of the fuel is positioned in the reflector region. For 239 Pu a minimum critical mass of 87 g is found, which is the lowest value reported hitherto. (author)

Genetic control of residual variance of yearling weight in Nellore beef cattle.

Science.gov (United States)

Iung, L H S; Neves, H H R; Mulder, H A; Carvalheiro, R

2017-04-01

There is evidence for genetic variability in residual variance of livestock traits, which offers the potential for selection for increased uniformity of production. Different statistical approaches have been employed to study this topic; however, little is known about the concordance between them. The aim of our study was to investigate the genetic heterogeneity of residual variance on yearling weight (YW; 291.15 ± 46.67) in a Nellore beef cattle population; to compare the results of the statistical approaches, the two-step approach and the double hierarchical generalized linear model (DHGLM); and to evaluate the effectiveness of power transformation to accommodate scale differences. The comparison was based on genetic parameters, accuracy of EBV for residual variance, and cross-validation to assess predictive performance of both approaches. A total of 194,628 yearling weight records from 625 sires were used in the analysis. The results supported the hypothesis of genetic heterogeneity of residual variance on YW in Nellore beef cattle and the opportunity of selection, measured through the genetic coefficient of variation of residual variance (0.10 to 0.12 for the two-step approach and 0.17 for DHGLM, using an untransformed data set). However, low estimates of genetic variance associated with positive genetic correlations between mean and residual variance (about 0.20 for two-step and 0.76 for DHGLM for an untransformed data set) limit the genetic response to selection for uniformity of production while simultaneously increasing YW itself. Moreover, large sire families are needed to obtain accurate estimates of genetic merit for residual variance, as indicated by the low heritability estimates (Box-Cox transformation was able to decrease the dependence of the variance on the mean and decreased the estimates of genetic parameters for residual variance. The transformation reduced but did not eliminate all the genetic heterogeneity of residual variance, highlighting

Variance and covariance calculations for nuclear materials accounting using ''MAVARIC''

International Nuclear Information System (INIS)

Nasseri, K.K.

1987-07-01

Determination of the detection sensitivity of a materials accounting system to the loss of special nuclear material (SNM) requires (1) obtaining a relation for the variance of the materials balance by propagation of the instrument errors for the measured quantities that appear in the materials balance equation and (2) substituting measured values and their error standard deviations into this relation and calculating the variance of the materials balance. MAVARIC (Materials Accounting VARIance Calculations) is a custom spreadsheet, designed using the second release of Lotus 1-2-3, that significantly reduces the effort required to make the necessary variance (and covariance) calculations needed to determine the detection sensitivity of a materials accounting system. Predefined macros within the spreadsheet allow the user to carry out long, tedious procedures with only a few keystrokes. MAVARIC requires that the user enter the following data into one of four data tables, depending on the type of the term in the materials balance equation; the SNM concentration, the bulk mass (or solution volume), the measurement error standard deviations, and the number of measurements made during an accounting period. The user can also specify if there are correlations between transfer terms. Based on these data entries, MAVARIC can calculate the variance of the materials balance and the square root of this variance, from which the detection sensitivity of the accounting system can be determined

A versatile omnibus test for detecting mean and variance heterogeneity.

Science.gov (United States)

Cao, Ying; Wei, Peng; Bailey, Matthew; Kauwe, John S K; Maxwell, Taylor J

2014-01-01

Recent research has revealed loci that display variance heterogeneity through various means such as biological disruption, linkage disequilibrium (LD), gene-by-gene (G × G), or gene-by-environment interaction. We propose a versatile likelihood ratio test that allows joint testing for mean and variance heterogeneity (LRT(MV)) or either effect alone (LRT(M) or LRT(V)) in the presence of covariates. Using extensive simulations for our method and others, we found that all parametric tests were sensitive to nonnormality regardless of any trait transformations. Coupling our test with the parametric bootstrap solves this issue. Using simulations and empirical data from a known mean-only functional variant, we demonstrate how LD can produce variance-heterogeneity loci (vQTL) in a predictable fashion based on differential allele frequencies, high D', and relatively low r² values. We propose that a joint test for mean and variance heterogeneity is more powerful than a variance-only test for detecting vQTL. This takes advantage of loci that also have mean effects without sacrificing much power to detect variance only effects. We discuss using vQTL as an approach to detect G × G interactions and also how vQTL are related to relationship loci, and how both can create prior hypothesis for each other and reveal the relationships between traits and possibly between components of a composite trait.

Variance and covariance calculations for nuclear materials accounting using 'MAVARIC'

International Nuclear Information System (INIS)

Nasseri, K.K.

1987-01-01

Determination of the detection sensitivity of a materials accounting system to the loss of special nuclear material (SNM) requires (1) obtaining a relation for the variance of the materials balance by propagation of the instrument errors for the measured quantities that appear in the materials balance equation and (2) substituting measured values and their error standard deviations into this relation and calculating the variance of the materials balance. MAVARIC (Materials Accounting VARIance Calculations) is a custom spreadsheet, designed using the second release of Lotus 1-2-3, that significantly reduces the effort required to make the necessary variance (and covariance) calculations needed to determine the detection sensitivity of a materials accounting system. Predefined macros within the spreadsheet allow the user to carry out long, tedious procedures with only a few keystrokes. MAVARIC requires that the user enter the following data into one of four data tables, depending on the type of the term in the materials balance equation; the SNM concentration, the bulk mass (or solution volume), the measurement error standard deviations, and the number of measurements made during an accounting period. The user can also specify if there are correlations between transfer terms. Based on these data entries, MAVARIC can calculate the variance of the materials balance and the square root of this variance, from which the detection sensitivity of the accounting system can be determined

Performance of Metal Cutting on Endmills Manufactured by Cooling-Air and Minimum Quantity Lubrication Grinding

Science.gov (United States)

Inoue, Shigeru; Aoyama, Tojiro

Grinding fluids have been commonly used during the grinding of tools for their cooling and lubricating effect since the hard, robust materials used for cutting tools are difficult to grind. Grinding fluids help prevent a drop in hardness due to burning of the cutting edge and keep chipping to an absolute minimum. However, there is a heightened awareness of the need to improve the work environment and protect the global environment. Thus, the present study is aimed at applying dry grinding, cooling-air grinding, cooling-air grinding with minimum quantity lubrication (MQL), and oil-based fluid grinding to manufacturing actual endmills (HSS-Co). Cutting tests were performed by a vertical machining center. The results indicated that the lowest surface inclination values and longest tool life were obtained by cooling-air grinding with MQL. Thus, cooling-air grinding with MQL has been demonstrated to be at least as effective as oil-based fluid grinding.

Global Variance Risk Premium and Forex Return Predictability

OpenAIRE

Aloosh, Arash

2014-01-01

In a long-run risk model with stochastic volatility and frictionless markets, I express expected forex returns as a function of consumption growth variances and stock variance risk premiums (VRPs)—the difference between the risk-neutral and statistical expectations of market return variation. This provides a motivation for using the forward-looking information available in stock market volatility indices to predict forex returns. Empirically, I find that stock VRPs predict forex returns at a ...

Delineation of geological facies from poorly differentiated data

Energy Technology Data Exchange (ETDEWEB)

Wohlberg, Brendt [Los Alamos National Laboratory; Tartakovsky, Daniel [UCSC

2008-01-01

The ability to delineate geologic facies and to estima.te their properties from sparse data is essential for modeling physical and biochemical processes occurring in the 'ubsurface. If such data are poorly differentiated, this challcnrring task is complicated further by the absence of a clear distinction between different hydrofacies even at locations where data. are available. vVe consider three alt mative approaches for analysis of poorly differentiated data: a k-means clU!:iterinrr algorithm, an expectation-maximization algorithm, and a minimum-variance algorithm. Two distinct synthetically generated geological settings are used to r:tnalyze the ability of these algorithmti to as ign accurately the membership of such data in a given geologic facies. On average, the minimum-variance algorithm provides a more robust p rformance than its two counterparts and when combined with a nearest-neighbor algorithm, it also yields the most accurate reconstruction of the boundaries between the facies.

Variance components for body weight in Japanese quails (Coturnix japonica

Directory of Open Access Journals (Sweden)

RO Resende

2005-03-01

Full Text Available The objective of this study was to estimate the variance components for body weight in Japanese quails by Bayesian procedures. The body weight at hatch (BWH and at 7 (BW07, 14 (BW14, 21 (BW21 and 28 days of age (BW28 of 3,520 quails was recorded from August 2001 to June 2002. A multiple-trait animal model with additive genetic, maternal environment and residual effects was implemented by Gibbs sampling methodology. A single Gibbs sampling with 80,000 rounds was generated by the program MTGSAM (Multiple Trait Gibbs Sampling in Animal Model. Normal and inverted Wishart distributions were used as prior distributions for the random effects and the variance components, respectively. Variance components were estimated based on the 500 samples that were left after elimination of 30,000 rounds in the burn-in period and 100 rounds of each thinning interval. The posterior means of additive genetic variance components were 0.15; 4.18; 14.62; 27.18 and 32.68; the posterior means of maternal environment variance components were 0.23; 1.29; 2.76; 4.12 and 5.16; and the posterior means of residual variance components were 0.084; 6.43; 22.66; 31.21 and 30.85, at hatch, 7, 14, 21 and 28 days old, respectively. The posterior means of heritability were 0.33; 0.35; 0.36; 0.43 and 0.47 at hatch, 7, 14, 21 and 28 days old, respectively. These results indicate that heritability increased with age. On the other hand, after hatch there was a marked reduction in the maternal environment variance proportion of the phenotypic variance, whose estimates were 0.50; 0.11; 0.07; 0.07 and 0.08 for BWH, BW07, BW14, BW21 and BW28, respectively. The genetic correlation between weights at different ages was high, except for those estimates between BWH and weight at other ages. Changes in body weight of quails can be efficiently achieved by selection.

Solusi Optimal Model Optimisasi Robust Untuk Masalah Traveling Salesman Dengan Ketidaktentuan Kotak Dan Pendekatan Metode Branch And Bound

Directory of Open Access Journals (Sweden)

Poppy Amriyati

2015-12-01

Full Text Available Traveling Salesman Problem (TSP merupakan teknik pencarian rute yang dimulai dari satu titik awal, setiap kota harus dikunjungi sekali dan kemudian kembali ke tempat asal sehingga total jarak atau waktu perjalanan adalah minimum. Untuk mengatasi kedakpastian jarak atau waktu perjalanan, maka perlu dilakukan pengembangan model TSP. Salah satu bidang Optimisasi yang mampu menyelesaikan permasalahan terkait ketidakpastian adalah Optimisasi Robust. Dalam makalah ini dibahas mengenai penerapan Optimisasi Robust pada TSP (RTSP menggunakan pendekatan Box Uncertainty dan diselesaikan dengan menggunakan Metode Branch and Bound. Disajikan simulasi numerik pada software aplikasi Maple untuk beberapa kasus nyata terkait penerapan Optimisasi RTSP , seperti masalah manajemen konstruksi, penentuan jarak tempuh kota di Pulau Jawa, dan Penentuan Rute Mandiri Fun Run.

Methods for robustness programming

NARCIS (Netherlands)

Olieman, N.J.

2008-01-01

Robustness of an object is defined as the probability that an object will have properties as required. Robustness Programming (RP) is a mathematical approach for Robustness estimation and Robustness optimisation. An example in the context of designing a food product, is finding the best composition

29 CFR 1920.2 - Variances.

Science.gov (United States)

2010-07-01

...) PROCEDURE FOR VARIATIONS FROM SAFETY AND HEALTH REGULATIONS UNDER THE LONGSHOREMEN'S AND HARBOR WORKERS...) or 6(d) of the Williams-Steiger Occupational Safety and Health Act of 1970 (29 U.S.C. 655). The... under the Williams-Steiger Occupational Safety and Health Act of 1970, and any variance from §§ 1910.13...

Zero-intelligence realized variance estimation

NARCIS (Netherlands)

Gatheral, J.; Oomen, R.C.A.

2010-01-01

Given a time series of intra-day tick-by-tick price data, how can realized variance be estimated? The obvious estimator—the sum of squared returns between trades—is biased by microstructure effects such as bid-ask bounce and so in the past, practitioners were advised to drop most of the data and

Robust tumor morphometry in multispectral fluorescence microscopy

Science.gov (United States)

Tabesh, Ali; Vengrenyuk, Yevgen; Teverovskiy, Mikhail; Khan, Faisal M.; Sapir, Marina; Powell, Douglas; Mesa-Tejada, Ricardo; Donovan, Michael J.; Fernandez, Gerardo

2009-02-01

Morphological and architectural characteristics of primary tissue compartments, such as epithelial nuclei (EN) and cytoplasm, provide important cues for cancer diagnosis, prognosis, and therapeutic response prediction. We propose two feature sets for the robust quantification of these characteristics in multiplex immunofluorescence (IF) microscopy images of prostate biopsy specimens. To enable feature extraction, EN and cytoplasm regions were first segmented from the IF images. Then, feature sets consisting of the characteristics of the minimum spanning tree (MST) connecting the EN and the fractal dimension (FD) of gland boundaries were obtained from the segmented compartments. We demonstrated the utility of the proposed features in prostate cancer recurrence prediction on a multi-institution cohort of 1027 patients. Univariate analysis revealed that both FD and one of the MST features were highly effective for predicting cancer recurrence (p <= 0.0001). In multivariate analysis, an MST feature was selected for a model incorporating clinical and image features. The model achieved a concordance index (CI) of 0.73 on the validation set, which was significantly higher than the CI of 0.69 for the standard multivariate model based solely on clinical features currently used in clinical practice (p < 0.0001). The contributions of this work are twofold. First, it is the first demonstration of the utility of the proposed features in morphometric analysis of IF images. Second, this is the largest scale study of the efficacy and robustness of the proposed features in prostate cancer prognosis.

A Variance Distribution Model of Surface EMG Signals Based on Inverse Gamma Distribution.

Science.gov (United States)

Hayashi, Hideaki; Furui, Akira; Kurita, Yuichi; Tsuji, Toshio

2017-11-01

Objective: This paper describes the formulation of a surface electromyogram (EMG) model capable of representing the variance distribution of EMG signals. Methods: In the model, EMG signals are handled based on a Gaussian white noise process with a mean of zero for each variance value. EMG signal variance is taken as a random variable that follows inverse gamma distribution, allowing the representation of noise superimposed onto this variance. Variance distribution estimation based on marginal likelihood maximization is also outlined in this paper. The procedure can be approximated using rectified and smoothed EMG signals, thereby allowing the determination of distribution parameters in real time at low computational cost. Results: A simulation experiment was performed to evaluate the accuracy of distribution estimation using artificially generated EMG signals, with results demonstrating that the proposed model's accuracy is higher than that of maximum-likelihood-based estimation. Analysis of variance distribution using real EMG data also suggested a relationship between variance distribution and signal-dependent noise. Conclusion: The study reported here was conducted to examine the performance of a proposed surface EMG model capable of representing variance distribution and a related distribution parameter estimation method. Experiments using artificial and real EMG data demonstrated the validity of the model. Significance: Variance distribution estimated using the proposed model exhibits potential in the estimation of muscle force. Objective: This paper describes the formulation of a surface electromyogram (EMG) model capable of representing the variance distribution of EMG signals. Methods: In the model, EMG signals are handled based on a Gaussian white noise process with a mean of zero for each variance value. EMG signal variance is taken as a random variable that follows inverse gamma distribution, allowing the representation of noise superimposed onto this

A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure

Directory of Open Access Journals (Sweden)

Le Tang

2014-01-01

Full Text Available With the uncertainty probability distribution, we establish the worst-case CVaR (WCCVaR risk measure and discuss a robust portfolio selection problem with WCCVaR constraint. The explicit solution, instead of numerical solution, is found and two-fund separation is proved. The comparison of efficient frontier with mean-variance model is discussed and finally we give numerical comparison with VaR model and equally weighted strategy. The numerical findings indicate that the proposed WCCVaR model has relatively smaller risk and greater return and relatively higher accumulative wealth than VaR model and equally weighted strategy.

The mean and variance of phylogenetic diversity under rarefaction.

Science.gov (United States)

Nipperess, David A; Matsen, Frederick A

2013-06-01

Phylogenetic diversity (PD) depends on sampling depth, which complicates the comparison of PD between samples of different depth. One approach to dealing with differing sample depth for a given diversity statistic is to rarefy, which means to take a random subset of a given size of the original sample. Exact analytical formulae for the mean and variance of species richness under rarefaction have existed for some time but no such solution exists for PD.We have derived exact formulae for the mean and variance of PD under rarefaction. We confirm that these formulae are correct by comparing exact solution mean and variance to that calculated by repeated random (Monte Carlo) subsampling of a dataset of stem counts of woody shrubs of Toohey Forest, Queensland, Australia. We also demonstrate the application of the method using two examples: identifying hotspots of mammalian diversity in Australasian ecoregions, and characterising the human vaginal microbiome.There is a very high degree of correspondence between the analytical and random subsampling methods for calculating mean and variance of PD under rarefaction, although the Monte Carlo method requires a large number of random draws to converge on the exact solution for the variance.Rarefaction of mammalian PD of ecoregions in Australasia to a common standard of 25 species reveals very different rank orderings of ecoregions, indicating quite different hotspots of diversity than those obtained for unrarefied PD. The application of these methods to the vaginal microbiome shows that a classical score used to quantify bacterial vaginosis is correlated with the shape of the rarefaction curve.The analytical formulae for the mean and variance of PD under rarefaction are both exact and more efficient than repeated subsampling. Rarefaction of PD allows for many applications where comparisons of samples of different depth is required.

5 CFR 551.301 - Minimum wage.

Science.gov (United States)

2010-01-01

... 5 Administrative Personnel 1 2010-01-01 2010-01-01 false Minimum wage. 551.301 Section 551.301... FAIR LABOR STANDARDS ACT Minimum Wage Provisions Basic Provision § 551.301 Minimum wage. (a)(1) Except... employees wages at rates not less than the minimum wage specified in section 6(a)(1) of the Act for all...

Using variances to comply with resource conservation and recovery act treatment standards

International Nuclear Information System (INIS)

Ranek, N.L.

2002-01-01

When a waste generated, treated, or disposed of at a site in the United States is classified as hazardous under the Resource Conservation and Recovery Act and is destined for land disposal, the waste manager responsible for that site must select an approach to comply with land disposal restrictions (LDR) treatment standards. This paper focuses on the approach of obtaining a variance from existing, applicable LDR treatment standards. It describes the types of available variances, which include (1) determination of equivalent treatment (DET); (2) treatability variance; and (3) treatment variance for contaminated soil. The process for obtaining each type of variance is also described. Data are presented showing that historically the U.S. Environmental Protection Agency (EPA) processed DET petitions within one year of their date of submission. However, a 1999 EPA policy change added public participation to the DET petition review, which may lengthen processing time in the future. Regarding site-specific treatability variances, data are presented showing an EPA processing time of between 10 and 16 months. Only one generically applicable treatability variance has been granted, which took 30 months to process. No treatment variances for contaminated soil, which were added to the federal LDR program in 1998, are identified as having been granted.

Robustness of Structural Systems

DEFF Research Database (Denmark)

Canisius, T.D.G.; Sørensen, John Dalsgaard; Baker, J.W.

2007-01-01

The importance of robustness as a property of structural systems has been recognised following several structural failures, such as that at Ronan Point in 1968,where the consequenceswere deemed unacceptable relative to the initiating damage. A variety of research efforts in the past decades have...... attempted to quantify aspects of robustness such as redundancy and identify design principles that can improve robustness. This paper outlines the progress of recent work by the Joint Committee on Structural Safety (JCSS) to develop comprehensive guidance on assessing and providing robustness in structural...... systems. Guidance is provided regarding the assessment of robustness in a framework that considers potential hazards to the system, vulnerability of system components, and failure consequences. Several proposed methods for quantifying robustness are reviewed, and guidelines for robust design...

Gini estimation under infinite variance

NARCIS (Netherlands)

A. Fontanari (Andrea); N.N. Taleb (Nassim Nicholas); P. Cirillo (Pasquale)

2018-01-01

textabstractWe study the problems related to the estimation of the Gini index in presence of a fat-tailed data generating process, i.e. one in the stable distribution class with finite mean but infinite variance (i.e. with tail index α∈(1,2)). We show that, in such a case, the Gini coefficient

2D Vector Field Simplification Based on Robustness

KAUST Repository

Skraba, Primoz

2014-03-01

Vector field simplification aims to reduce the complexity of the flow by removing features in order of their relevance and importance, to reveal prominent behavior and obtain a compact representation for interpretation. Most existing simplification techniques based on the topological skeleton successively remove pairs of critical points connected by separatrices, using distance or area-based relevance measures. These methods rely on the stable extraction of the topological skeleton, which can be difficult due to instability in numerical integration, especially when processing highly rotational flows. These geometric metrics do not consider the flow magnitude, an important physical property of the flow. In this paper, we propose a novel simplification scheme derived from the recently introduced topological notion of robustness, which provides a complementary view on flow structure compared to the traditional topological-skeleton-based approaches. Robustness enables the pruning of sets of critical points according to a quantitative measure of their stability, that is, the minimum amount of vector field perturbation required to remove them. This leads to a hierarchical simplification scheme that encodes flow magnitude in its perturbation metric. Our novel simplification algorithm is based on degree theory, has fewer boundary restrictions, and so can handle more general cases. Finally, we provide an implementation under the piecewise-linear setting and apply it to both synthetic and real-world datasets. © 2014 IEEE.

Robustness in laying hens

NARCIS (Netherlands)

Star, L.

2008-01-01

The aim of the project ‘The genetics of robustness in laying hens’ was to investigate nature and regulation of robustness in laying hens under sub-optimal conditions and the possibility to increase robustness by using animal breeding without loss of production. At the start of the project, a robust

Variance analysis of forecasted streamflow maxima in a wet temperate climate

Science.gov (United States)

Al Aamery, Nabil; Fox, James F.; Snyder, Mark; Chandramouli, Chandra V.

2018-05-01

Coupling global climate models, hydrologic models and extreme value analysis provides a method to forecast streamflow maxima, however the elusive variance structure of the results hinders confidence in application. Directly correcting the bias of forecasts using the relative change between forecast and control simulations has been shown to marginalize hydrologic uncertainty, reduce model bias, and remove systematic variance when predicting mean monthly and mean annual streamflow, prompting our investigation for maxima streamflow. We assess the variance structure of streamflow maxima using realizations of emission scenario, global climate model type and project phase, downscaling methods, bias correction, extreme value methods, and hydrologic model inputs and parameterization. Results show that the relative change of streamflow maxima was not dependent on systematic variance from the annual maxima versus peak over threshold method applied, albeit we stress that researchers strictly adhere to rules from extreme value theory when applying the peak over threshold method. Regardless of which method is applied, extreme value model fitting does add variance to the projection, and the variance is an increasing function of the return period. Unlike the relative change of mean streamflow, results show that the variance of the maxima's relative change was dependent on all climate model factors tested as well as hydrologic model inputs and calibration. Ensemble projections forecast an increase of streamflow maxima for 2050 with pronounced forecast standard error, including an increase of +30(±21), +38(±34) and +51(±85)% for 2, 20 and 100 year streamflow events for the wet temperate region studied. The variance of maxima projections was dominated by climate model factors and extreme value analyses.

Phenotypic variance explained by local ancestry in admixed African Americans.

Science.gov (United States)

Shriner, Daniel; Bentley, Amy R; Doumatey, Ayo P; Chen, Guanjie; Zhou, Jie; Adeyemo, Adebowale; Rotimi, Charles N

2015-01-01

We surveyed 26 quantitative traits and disease outcomes to understand the proportion of phenotypic variance explained by local ancestry in admixed African Americans. After inferring local ancestry as the number of African-ancestry chromosomes at hundreds of thousands of genotyped loci across all autosomes, we used a linear mixed effects model to estimate the variance explained by local ancestry in two large independent samples of unrelated African Americans. We found that local ancestry at major and polygenic effect genes can explain up to 20 and 8% of phenotypic variance, respectively. These findings provide evidence that most but not all additive genetic variance is explained by genetic markers undifferentiated by ancestry. These results also inform the proportion of health disparities due to genetic risk factors and the magnitude of error in association studies not controlling for local ancestry.

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

International Nuclear Information System (INIS)

Zhou, X.Y.; Li, D.

2000-01-01

This paper is concerned with a continuous-time mean-variance portfolio selection model that is formulated as a bicriteria optimization problem. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. By putting weights on the two criteria one obtains a single objective stochastic control problem which is however not in the standard form due to the variance term involved. It is shown that this nonstandard problem can be 'embedded' into a class of auxiliary stochastic linear-quadratic (LQ) problems. The stochastic LQ control model proves to be an appropriate and effective framework to study the mean-variance problem in light of the recent development on general stochastic LQ problems with indefinite control weighting matrices. This gives rise to the efficient frontier in a closed form for the original portfolio selection problem

Replica approach to mean-variance portfolio optimization

Science.gov (United States)

Varga-Haszonits, Istvan; Caccioli, Fabio; Kondor, Imre

2016-12-01

We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with the application of the replica method borrowed from the statistical physics of disordered systems. We find that the replica symmetry of the solution does not need to be assumed, but emerges as the unique solution of the optimization problem. We also check the stability of this solution and find that the eigenvalues of the Hessian are positive for r  =  N/T  optimal in-sample variance is found to vanish at the critical point inversely proportional to the divergent estimation error.

Enhancing interferometer phase estimation, sensing sensitivity, and resolution using robust entangled states

Science.gov (United States)

Smith, James F.

2017-11-01

With the goal of designing interferometers and interferometer sensors, e.g., LADARs with enhanced sensitivity, resolution, and phase estimation, states using quantum entanglement are discussed. These states include N00N states, plain M and M states (PMMSs), and linear combinations of M and M states (LCMMS). Closed form expressions for the optimal detection operators; visibility, a measure of the state's robustness to loss and noise; a resolution measure; and phase estimate error, are provided in closed form. The optimal resolution for the maximum visibility and minimum phase error are found. For the visibility, comparisons between PMMSs, LCMMS, and N00N states are provided. For the minimum phase error, comparisons between LCMMS, PMMSs, N00N states, separate photon states (SPSs), the shot noise limit (SNL), and the Heisenberg limit (HL) are provided. A representative collection of computational results illustrating the superiority of LCMMS when compared to PMMSs and N00N states is given. It is found that for a resolution 12 times the classical result LCMMS has visibility 11 times that of N00N states and 4 times that of PMMSs. For the same case, the minimum phase error for LCMMS is 10.7 times smaller than that of PMMS and 29.7 times smaller than that of N00N states.

Realized Variance and Market Microstructure Noise

DEFF Research Database (Denmark)

Hansen, Peter R.; Lunde, Asger

2006-01-01

We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel......-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysis of the Dow Jones Industrial Average stocks reveals that market microstructure noise its time-dependent and correlated with increments in the efficient price. This has important implications for volatility...... estimation based on high-frequency data. Finally, we apply cointegration techniques to decompose transaction prices and bid-ask quotes into an estimate of the efficient price and noise. This framework enables us to study the dynamic effects on transaction prices and quotes caused by changes in the efficient...

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

NARCIS (Netherlands)

Bos, C.S.; Janus, P.; Koopman, S.J.

2012-01-01

This paper considers spot variance path estimation from datasets of intraday high-frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects, and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used to

A robust fuzzy possibilistic AHP approach for partner selection in international strategic alliance

Directory of Open Access Journals (Sweden)

Vahid Reza Salamat

2018-09-01

Full Text Available The international strategic alliance is an inevitable solution for making competitive advantage and reducing the risk in today’s business environment. Partner selection is an important part in success of partnerships, and meanwhile it is a complicated decision because of various dimensions of the problem and inherent conflicts of stockholders. The purpose of this paper is to provide a practical approach to the problem of partner selection in international strategic alliances, which fulfills the gap between theories of inter-organizational relationships and quantitative models. Thus, a novel Robust Fuzzy Possibilistic AHP approach is proposed for combining the benefits of two complementary theories of inter-organizational relationships named, (1 Resource-based view, and (2 Transaction-cost theory and considering Fit theory as the perquisite of alliance success. The Robust Fuzzy Possibilistic AHP approach is a novel development of Interval-AHP technique employing robust formulation; aimed at handling the ambiguity of the problem and let the use of intervals as pairwise judgments. The proposed approach was compared with existing approaches, and the results show that it provides the best quality solutions in terms of minimum error degree. Moreover, the framework implemented in a case study and its applicability were discussed.

A ROBUST CLUSTER HEAD SELECTION BASED ON NEIGHBORHOOD CONTRIBUTION AND AVERAGE MINIMUM POWER FOR MANETs

Directory of Open Access Journals (Sweden)

S.Balaji

2015-06-01

Full Text Available Mobile Adhoc network is an instantaneous wireless network that is dynamic in nature. It supports single hop and multihop communication. In this infrastructure less network, clustering is a significant model to maintain the topology of the network. The clustering process includes different phases like cluster formation, cluster head selection, cluster maintenance. Choosing cluster head is important as the stability of the network depends on well-organized and resourceful cluster head. When the node has increased number of neighbors it can act as a link between the neighbor nodes which in further reduces the number of hops in multihop communication. Promisingly the node with more number of neighbors should also be available with enough energy to provide stability in the network. Hence these aspects demand the focus. In weight based cluster head selection, closeness and average minimum power required is considered for purging the ineligible nodes. The optimal set of nodes selected after purging will compete to become cluster head. The node with maximum weight selected as cluster head. Mathematical formulation is developed to show the proposed method provides optimum result. It is also suggested that weight factor in calculating the node weight should give precise importance to energy and node stability.

ANALISIS PORTOFOLIO RESAMPLED EFFICIENT FRONTIER BERDASARKAN OPTIMASI MEAN-VARIANCE

OpenAIRE

Abdurakhman, Abdurakhman

2008-01-01

Keputusan alokasi asset yang tepat pada investasi portofolio dapat memaksimalkan keuntungan dan atau meminimalkan risiko. Metode yang sering dipakai dalam optimasi portofolio adalah metode Mean-Variance Markowitz. Dalam prakteknya, metode ini mempunyai kelemahan tidak terlalu stabil. Sedikit perubahan dalam estimasi parameter input menyebabkan perubahan besar pada komposisi portofolio. Untuk itu dikembangkan metode optimasi portofolio yang dapat mengatasi ketidakstabilan metode Mean-Variance ...

Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

OpenAIRE

Daheng Peng; Fang Zhang

2017-01-01

In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.

The asymptotic variance of departures in critically loaded queues

NARCIS (Netherlands)

Al Hanbali, Ahmad; Mandjes, M.R.H.; Nazarathy, Y.; Whitt, W.

2011-01-01

We consider the asymptotic variance of the departure counting process D(t) of the GI/G/1 queue; D(t) denotes the number of departures up to time t. We focus on the case where the system load ϱ equals 1, and prove that the asymptotic variance rate satisfies limt→∞varD(t) / t = λ(1 - 2 / π)(ca2 +

ROBUST: an interactive FORTRAN-77 package for exploratory data analysis using parametric, ROBUST and nonparametric location and scale estimates, data transformations, normality tests, and outlier assessment

Science.gov (United States)

Rock, N. M. S.

ROBUST calculates 53 statistics, plus significance levels for 6 hypothesis tests, on each of up to 52 variables. These together allow the following properties of the data distribution for each variable to be examined in detail: (1) Location. Three means (arithmetic, geometric, harmonic) are calculated, together with the midrange and 19 high-performance robust L-, M-, and W-estimates of location (combined, adaptive, trimmed estimates, etc.) (2) Scale. The standard deviation is calculated along with the H-spread/2 (≈ semi-interquartile range), the mean and median absolute deviations from both mean and median, and a biweight scale estimator. The 23 location and 6 scale estimators programmed cover all possible degrees of robustness. (3) Normality: Distributions are tested against the null hypothesis that they are normal, using the 3rd (√ h1) and 4th ( b 2) moments, Geary's ratio (mean deviation/standard deviation), Filliben's probability plot correlation coefficient, and a more robust test based on the biweight scale estimator. These statistics collectively are sensitive to most usual departures from normality. (4) Presence of outliers. The maximum and minimum values are assessed individually or jointly using Grubbs' maximum Studentized residuals, Harvey's and Dixon's criteria, and the Studentized range. For a single input variable, outliers can be either winsorized or eliminated and all estimates recalculated iteratively as desired. The following data-transformations also can be applied: linear, log 10, generalized Box Cox power (including log, reciprocal, and square root), exponentiation, and standardization. For more than one variable, all results are tabulated in a single run of ROBUST. Further options are incorporated to assess ratios (of two variables) as well as discrete variables, and be concerned with missing data. Cumulative S-plots (for assessing normality graphically) also can be generated. The mutual consistency or inconsistency of all these measures

Coupled bias-variance tradeoff for cross-pose face recognition.

Science.gov (United States)

Li, Annan; Shan, Shiguang; Gao, Wen

2012-01-01

Subspace-based face representation can be looked as a regression problem. From this viewpoint, we first revisited the problem of recognizing faces across pose differences, which is a bottleneck in face recognition. Then, we propose a new approach for cross-pose face recognition using a regressor with a coupled bias-variance tradeoff. We found that striking a coupled balance between bias and variance in regression for different poses could improve the regressor-based cross-pose face representation, i.e., the regressor can be more stable against a pose difference. With the basic idea, ridge regression and lasso regression are explored. Experimental results on CMU PIE, the FERET, and the Multi-PIE face databases show that the proposed bias-variance tradeoff can achieve considerable reinforcement in recognition performance.

Monte Carlo variance reduction approaches for non-Boltzmann tallies

International Nuclear Information System (INIS)

Booth, T.E.

1992-12-01

Quantities that depend on the collective effects of groups of particles cannot be obtained from the standard Boltzmann transport equation. Monte Carlo estimates of these quantities are called non-Boltzmann tallies and have become increasingly important recently. Standard Monte Carlo variance reduction techniques were designed for tallies based on individual particles rather than groups of particles. Experience with non-Boltzmann tallies and analog Monte Carlo has demonstrated the severe limitations of analog Monte Carlo for many non-Boltzmann tallies. In fact, many calculations absolutely require variance reduction methods to achieve practical computation times. Three different approaches to variance reduction for non-Boltzmann tallies are described and shown to be unbiased. The advantages and disadvantages of each of the approaches are discussed

Damage detection using piezoelectric transducers and the Lamb wave approach: II. Robust and quantitative decision making

International Nuclear Information System (INIS)

Lu, Y; Wang, X; Tang, J; Ding, Y

2008-01-01

The propagation of Lamb waves generated by piezoelectric transducers in a one-dimensional structure has been studied comprehensively in part I of this two-paper series. Using the information embedded in the propagating waveforms, we expect to make a decision on whether damage has occurred; however, environmental and operational variances inevitably complicate the problem. To better detect the damage under these variances, we present in this paper a robust and quantitative decision-making methodology involving advanced signal processing and statistical analysis. In order to statistically evaluate the features in Lamb wave propagation in the presence of noise, we collect multiple time series (baseline signals) from the undamaged beam. A combination of the improved adaptive harmonic wavelet transform (AHWT) and the principal component analysis (PCA) is performed on the baseline signals to highlight the critical features of Lamb wave propagation in the undamaged structure. The detection of damage is facilitated by comparing the features of the test signal collected from the test structure (damaged or undamaged) with the features of the baseline signals. In this process, we employ Hotelling's T 2 statistical analysis to first purify the baseline dataset and then to quantify the deviation of the test data vector from the baseline dataset. Through experimental and numerical studies, we systematically investigate the proposed methodology in terms of the detectability (capability of detecting damage), the sensitivity (with respect to damage severity and excitation frequency) and the robustness against noises. The parametric studies also validate, from the signal processing standpoint, the guidelines of Lamb-wave-based damage detection developed in part I

An efficient, robust, and inexpensive grinding device for herbal samples like Cinchona bark

DEFF Research Database (Denmark)

Hansen, Steen Honoré; Holmfred, Else Skovgaard; Cornett, Claus

2015-01-01

An effective, robust, and inexpensive grinding device for the grinding of herb samples like bark and roots was developed by rebuilding a commercially available coffee grinder. The grinder was constructed to be able to provide various particle sizes, to be easy to clean, and to have a minimum...... of dead volume. The recovery of the sample when grinding as little as 50 mg of crude Cinchona bark was about 60%. Grinding is performed in seconds with no rise in temperature, and the grinder is easily disassembled to be cleaned. The influence of the particle size of the obtained powders on the recovery...

An elementary components of variance analysis for multi-center quality control

International Nuclear Information System (INIS)

Munson, P.J.; Rodbard, D.

1977-01-01

The serious variability of RIA results from different laboratories indicates the need for multi-laboratory collaborative quality control (QC) studies. Statistical analysis methods for such studies using an 'analysis of variance with components of variance estimation' are discussed. This technique allocates the total variance into components corresponding to between-laboratory, between-assay, and residual or within-assay variability. Components of variance analysis also provides an intelligent way to combine the results of several QC samples run at different evels, from which we may decide if any component varies systematically with dose level; if not, pooling of estimates becomes possible. We consider several possible relationships of standard deviation to the laboratory mean. Each relationship corresponds to an underlying statistical model, and an appropriate analysis technique. Tests for homogeneity of variance may be used to determine if an appropriate model has been chosen, although the exact functional relationship of standard deviation to lab mean may be difficult to establish. Appropriate graphical display of the data aids in visual understanding of the data. A plot of the ranked standard deviation vs. ranked laboratory mean is a convenient way to summarize a QC study. This plot also allows determination of the rank correlation, which indicates a net relationship of variance to laboratory mean. (orig.) [de

Explicit formulas for the variance of discounted life-cycle cost

International Nuclear Information System (INIS)

Noortwijk, Jan M. van

2003-01-01

In life-cycle costing analyses, optimal design is usually achieved by minimising the expected value of the discounted costs. As well as the expected value, the corresponding variance may be useful for estimating, for example, the uncertainty bounds of the calculated discounted costs. However, general explicit formulas for calculating the variance of the discounted costs over an unbounded time horizon are not yet available. In this paper, explicit formulas for this variance are presented. They can be easily implemented in software to optimise structural design and maintenance management. The use of the mathematical results is illustrated with some examples

How does variance in fertility change over the demographic transition?

Science.gov (United States)

Hruschka, Daniel J; Burger, Oskar

2016-04-19

Most work on the human fertility transition has focused on declines in mean fertility. However, understanding changes in the variance of reproductive outcomes can be equally important for evolutionary questions about the heritability of fertility, individual determinants of fertility and changing patterns of reproductive skew. Here, we document how variance in completed fertility among women (45-49 years) differs across 200 surveys in 72 low- to middle-income countries where fertility transitions are currently in progress at various stages. Nearly all (91%) of samples exhibit variance consistent with a Poisson process of fertility, which places systematic, and often severe, theoretical upper bounds on the proportion of variance that can be attributed to individual differences. In contrast to the pattern of total variance, these upper bounds increase from high- to mid-fertility samples, then decline again as samples move from mid to low fertility. Notably, the lowest fertility samples often deviate from a Poisson process. This suggests that as populations move to low fertility their reproduction shifts from a rate-based process to a focus on an ideal number of children. We discuss the implications of these findings for predicting completed fertility from individual-level variables. © 2016 The Author(s).

Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

Directory of Open Access Journals (Sweden)

Daheng Peng

2017-10-01

Full Text Available In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.

Increased gender variance in autism spectrum disorders and attention deficit hyperactivity disorder.

Science.gov (United States)

Strang, John F; Kenworthy, Lauren; Dominska, Aleksandra; Sokoloff, Jennifer; Kenealy, Laura E; Berl, Madison; Walsh, Karin; Menvielle, Edgardo; Slesaransky-Poe, Graciela; Kim, Kyung-Eun; Luong-Tran, Caroline; Meagher, Haley; Wallace, Gregory L

2014-11-01

Evidence suggests over-representation of autism spectrum disorders (ASDs) and behavioral difficulties among people referred for gender issues, but rates of the wish to be the other gender (gender variance) among different neurodevelopmental disorders are unknown. This chart review study explored rates of gender variance as reported by parents on the Child Behavior Checklist (CBCL) in children with different neurodevelopmental disorders: ASD (N = 147, 24 females and 123 males), attention deficit hyperactivity disorder (ADHD; N = 126, 38 females and 88 males), or a medical neurodevelopmental disorder (N = 116, 57 females and 59 males), were compared with two non-referred groups [control sample (N = 165, 61 females and 104 males) and non-referred participants in the CBCL standardization sample (N = 1,605, 754 females and 851 males)]. Significantly greater proportions of participants with ASD (5.4%) or ADHD (4.8%) had parent reported gender variance than in the combined medical group (1.7%) or non-referred comparison groups (0-0.7%). As compared to non-referred comparisons, participants with ASD were 7.59 times more likely to express gender variance; participants with ADHD were 6.64 times more likely to express gender variance. The medical neurodevelopmental disorder group did not differ from non-referred samples in likelihood to express gender variance. Gender variance was related to elevated emotional symptoms in ADHD, but not in ASD. After accounting for sex ratio differences between the neurodevelopmental disorder and non-referred comparison groups, gender variance occurred equally in females and males.

An elementary components of variance analysis for multi-centre quality control

International Nuclear Information System (INIS)

Munson, P.J.; Rodbard, D.

1978-01-01

The serious variability of RIA results from different laboratories indicates the need for multi-laboratory collaborative quality-control (QC) studies. Simple graphical display of data in the form of histograms is useful but insufficient. The paper discusses statistical analysis methods for such studies using an ''analysis of variance with components of variance estimation''. This technique allocates the total variance into components corresponding to between-laboratory, between-assay, and residual or within-assay variability. Problems with RIA data, e.g. severe non-uniformity of variance and/or departure from a normal distribution violate some of the usual assumptions underlying analysis of variance. In order to correct these problems, it is often necessary to transform the data before analysis by using a logarithmic, square-root, percentile, ranking, RIDIT, ''Studentizing'' or other transformation. Ametric transformations such as ranks or percentiles protect against the undue influence of outlying observations, but discard much intrinsic information. Several possible relationships of standard deviation to the laboratory mean are considered. Each relationship corresponds to an underlying statistical model and an appropriate analysis technique. Tests for homogeneity of variance may be used to determine whether an appropriate model has been chosen, although the exact functional relationship of standard deviation to laboratory mean may be difficult to establish. Appropriate graphical display aids visual understanding of the data. A plot of the ranked standard deviation versus ranked laboratory mean is a convenient way to summarize a QC study. This plot also allows determination of the rank correlation, which indicates a net relationship of variance to laboratory mean

Using variance structure to quantify responses to perturbation in fish catches

Science.gov (United States)

Vidal, Tiffany E.; Irwin, Brian J.; Wagner, Tyler; Rudstam, Lars G.; Jackson, James R.; Bence, James R.

2017-01-01

We present a case study evaluation of gill-net catches of Walleye Sander vitreus to assess potential effects of large-scale changes in Oneida Lake, New York, including the disruption of trophic interactions by double-crested cormorants Phalacrocorax auritus and invasive dreissenid mussels. We used the empirical long-term gill-net time series and a negative binomial linear mixed model to partition the variability in catches into spatial and coherent temporal variance components, hypothesizing that variance partitioning can help quantify spatiotemporal variability and determine whether variance structure differs before and after large-scale perturbations. We found that the mean catch and the total variability of catches decreased following perturbation but that not all sampling locations responded in a consistent manner. There was also evidence of some spatial homogenization concurrent with a restructuring of the relative productivity of individual sites. Specifically, offshore sites generally became more productive following the estimated break point in the gill-net time series. These results provide support for the idea that variance structure is responsive to large-scale perturbations; therefore, variance components have potential utility as statistical indicators of response to a changing environment more broadly. The modeling approach described herein is flexible and would be transferable to other systems and metrics. For example, variance partitioning could be used to examine responses to alternative management regimes, to compare variability across physiographic regions, and to describe differences among climate zones. Understanding how individual variance components respond to perturbation may yield finer-scale insights into ecological shifts than focusing on patterns in the mean responses or total variability alone.

Minimum income protection in the Netherlands

NARCIS (Netherlands)

van Peijpe, T.

2009-01-01

This article offers an overview of the Dutch legal system of minimum income protection through collective bargaining, social security, and statutory minimum wages. In addition to collective agreements, the Dutch statutory minimum wage offers income protection to a small number of workers. Its

Asymptotic variance of grey-scale surface area estimators

DEFF Research Database (Denmark)

Svane, Anne Marie

Grey-scale local algorithms have been suggested as a fast way of estimating surface area from grey-scale digital images. Their asymptotic mean has already been described. In this paper, the asymptotic behaviour of the variance is studied in isotropic and sufficiently smooth settings, resulting...... in a general asymptotic bound. For compact convex sets with nowhere vanishing Gaussian curvature, the asymptotics can be described more explicitly. As in the case of volume estimators, the variance is decomposed into a lattice sum and an oscillating term of at most the same magnitude....

Robust Growth Determinants

OpenAIRE

Doppelhofer, Gernot; Weeks, Melvyn

2011-01-01

This paper investigates the robustness of determinants of economic growth in the presence of model uncertainty, parameter heterogeneity and outliers. The robust model averaging approach introduced in the paper uses a flexible and parsi- monious mixture modeling that allows for fat-tailed errors compared to the normal benchmark case. Applying robust model averaging to growth determinants, the paper finds that eight out of eighteen variables found to be significantly related to economic growth ...

Estimation of noise-free variance to measure heterogeneity.

Directory of Open Access Journals (Sweden)

Tilo Winkler

Full Text Available Variance is a statistical parameter used to characterize heterogeneity or variability in data sets. However, measurements commonly include noise, as random errors superimposed to the actual value, which may substantially increase the variance compared to a noise-free data set. Our aim was to develop and validate a method to estimate noise-free spatial heterogeneity of pulmonary perfusion using dynamic positron emission tomography (PET scans. On theoretical grounds, we demonstrate a linear relationship between the total variance of a data set derived from averages of n multiple measurements, and the reciprocal of n. Using multiple measurements with varying n yields estimates of the linear relationship including the noise-free variance as the constant parameter. In PET images, n is proportional to the number of registered decay events, and the variance of the image is typically normalized by the square of its mean value yielding a coefficient of variation squared (CV(2. The method was evaluated with a Jaszczak phantom as reference spatial heterogeneity (CV(r(2 for comparison with our estimate of noise-free or 'true' heterogeneity (CV(t(2. We found that CV(t(2 was only 5.4% higher than CV(r2. Additional evaluations were conducted on 38 PET scans of pulmonary perfusion using (13NN-saline injection. The mean CV(t(2 was 0.10 (range: 0.03-0.30, while the mean CV(2 including noise was 0.24 (range: 0.10-0.59. CV(t(2 was in average 41.5% of the CV(2 measured including noise (range: 17.8-71.2%. The reproducibility of CV(t(2 was evaluated using three repeated PET scans from five subjects. Individual CV(t(2 were within 16% of each subject's mean and paired t-tests revealed no difference among the results from the three consecutive PET scans. In conclusion, our method provides reliable noise-free estimates of CV(t(2 in PET scans, and may be useful for similar statistical problems in experimental data.

Neural Extensions to Robust Parameter Design

Science.gov (United States)

2010-09-01

data was centered and scaled around zero with unit variance, which is known as whitening . Johnson (2008) proposed a Maximum Distance Secant Line...MDSL) to ascertain the amount of variance that should be retained in the dimensionality reduction following the whitening stage. 119 The second...mean and variance models became complicated and involved prior probabilities. Here, an alternative method of modeling noise was considered in which

A characterization of optimal portfolios under the tail mean-variance criterion

OpenAIRE

Owadally, I.; Landsman, Z.

2013-01-01

The tail mean–variance model was recently introduced for use in risk management and portfolio choice; it involves a criterion that focuses on the risk of rare but large losses, which is particularly important when losses have heavy-tailed distributions. If returns or losses follow a multivariate elliptical distribution, the use of risk measures that satisfy certain well-known properties is equivalent to risk management in the classical mean–variance framework. The tail mean–variance criterion...

Gender variance in childhood and sexual orientation in adulthood: a prospective study.

Science.gov (United States)

Steensma, Thomas D; van der Ende, Jan; Verhulst, Frank C; Cohen-Kettenis, Peggy T

2013-11-01

Several retrospective and prospective studies have reported on the association between childhood gender variance and sexual orientation and gender discomfort in adulthood. In most of the retrospective studies, samples were drawn from the general population. The samples in the prospective studies consisted of clinically referred children. In understanding the extent to which the association applies for the general population, prospective studies using random samples are needed. This prospective study examined the association between childhood gender variance, and sexual orientation and gender discomfort in adulthood in the general population. In 1983, we measured childhood gender variance, in 406 boys and 473 girls. In 2007, sexual orientation and gender discomfort were assessed. Childhood gender variance was measured with two items from the Child Behavior Checklist/4-18. Sexual orientation was measured for four parameters of sexual orientation (attraction, fantasy, behavior, and identity). Gender discomfort was assessed by four questions (unhappiness and/or uncertainty about one's gender, wish or desire to be of the other gender, and consideration of living in the role of the other gender). For both men and women, the presence of childhood gender variance was associated with homosexuality for all four parameters of sexual orientation, but not with bisexuality. The report of adulthood homosexuality was 8 to 15 times higher for participants with a history of gender variance (10.2% to 12.2%), compared to participants without a history of gender variance (1.2% to 1.7%). The presence of childhood gender variance was not significantly associated with gender discomfort in adulthood. This study clearly showed a significant association between childhood gender variance and a homosexual sexual orientation in adulthood in the general population. In contrast to the findings in clinically referred gender-variant children, the presence of a homosexual sexual orientation in

29 CFR 1926.2 - Variances from safety and health standards.

Science.gov (United States)

2010-07-01

... from safety and health standards. (a) Variances from standards which are, or may be, published in this... 29 Labor 8 2010-07-01 2010-07-01 false Variances from safety and health standards. 1926.2 Section 1926.2 Labor Regulations Relating to Labor (Continued) OCCUPATIONAL SAFETY AND HEALTH ADMINISTRATION...

Allowing variance may enlarge the safe operating space for exploited ecosystems.

Science.gov (United States)

Carpenter, Stephen R; Brock, William A; Folke, Carl; van Nes, Egbert H; Scheffer, Marten

2015-11-17

Variable flows of food, water, or other ecosystem services complicate planning. Management strategies that decrease variability and increase predictability may therefore be preferred. However, actions to decrease variance over short timescales (2-4 y), when applied continuously, may lead to long-term ecosystem changes with adverse consequences. We investigated the effects of managing short-term variance in three well-understood models of ecosystem services: lake eutrophication, harvest of a wild population, and yield of domestic herbivores on a rangeland. In all cases, actions to decrease variance can increase the risk of crossing critical ecosystem thresholds, resulting in less desirable ecosystem states. Managing to decrease short-term variance creates ecosystem fragility by changing the boundaries of safe operating spaces, suppressing information needed for adaptive management, cancelling signals of declining resilience, and removing pressures that may build tolerance of stress. Thus, the management of variance interacts strongly and inseparably with the management of resilience. By allowing for variation, learning, and flexibility while observing change, managers can detect opportunities and problems as they develop while sustaining the capacity to deal with them.

Temperature variance study in Monte-Carlo photon transport theory

International Nuclear Information System (INIS)

Giorla, J.

1985-10-01

We study different Monte-Carlo methods for solving radiative transfer problems, and particularly Fleck's Monte-Carlo method. We first give the different time-discretization schemes and the corresponding stability criteria. Then we write the temperature variance as a function of the variances of temperature and absorbed energy at the previous time step. Finally we obtain some stability criteria for the Monte-Carlo method in the stationary case [fr

Study of the variance of a Monte Carlo calculation. Application to weighting; Etude de la variance d'un calcul de Monte Carlo. Application a la ponderation

Energy Technology Data Exchange (ETDEWEB)

Lanore, Jeanne-Marie [Commissariat a l' Energie Atomique - CEA, Centre d' Etudes Nucleaires de Fontenay-aux-Roses, Direction des Piles Atomiques, Departement des Etudes de Piles, Service d' Etudes de Protections de Piles (France)

1969-04-15

One of the main difficulties in Monte Carlo computations is the estimation of the results variance. Generally, only an apparent variance can be observed over a few calculations, often very different from the actual variance. By studying a large number of short calculations, the authors have tried to evaluate the real variance, and then to apply the obtained results to the optimization of the computations. The program used is the Poker one-dimensional Monte Carlo program. Calculations are performed in two types of fictitious environments: a body with constant cross section, without absorption, where all shocks are elastic and isotropic; a body with variable cross section (presenting a very pronounced peak and hole), with an anisotropy for high energy elastic shocks, and with the possibility of inelastic shocks (this body presents all the features that can appear in a real case)

Robustness of power systems under a democratic-fiber-bundle-like model.

Science.gov (United States)

Yağan, Osman

2015-06-01

We consider a power system with N transmission lines whose initial loads (i.e., power flows) L(1),...,L(N) are independent and identically distributed with P(L)(x)=P[L≤x]. The capacity C(i) defines the maximum flow allowed on line i and is assumed to be given by C(i)=(1+α)L(i), with α>0. We study the robustness of this power system against random attacks (or failures) that target a p fraction of the lines, under a democratic fiber-bundle-like model. Namely, when a line fails, the load it was carrying is redistributed equally among the remaining lines. Our contributions are as follows. (i) We show analytically that the final breakdown of the system always takes place through a first-order transition at the critical attack size p(☆)=1-(E[L]/max(x)(P[L>x](αx+E[L|L>x])), where E[·] is the expectation operator; (ii) we derive conditions on the distribution P(L)(x) for which the first-order breakdown of the system occurs abruptly without any preceding diverging rate of failure; (iii) we provide a detailed analysis of the robustness of the system under three specific load distributions-uniform, Pareto, and Weibull-showing that with the minimum load L(min) and mean load E[L] fixed, Pareto distribution is the worst (in terms of robustness) among the three, whereas Weibull distribution is the best with shape parameter selected relatively large; (iv) we provide numerical results that confirm our mean-field analysis; and (v) we show that p(☆) is maximized when the load distribution is a Dirac delta function centered at E[L], i.e., when all lines carry the same load. This last finding is particularly surprising given that heterogeneity is known to lead to high robustness against random failures in many other systems.

Adjustment of heterogenous variances and a calving year effect in ...

African Journals Online (AJOL)

Data at the beginning and at the end of lactation period, have higher variances than tests in the middle of the lactation. Furthermore, first lactations have lower mean and variances compared to second and third lactations. This is a deviation from the basic assumptions required for the application of repeatability models.

Estimating Predictive Variance for Statistical Gas Distribution Modelling

International Nuclear Information System (INIS)

Lilienthal, Achim J.; Asadi, Sahar; Reggente, Matteo

2009-01-01

Recent publications in statistical gas distribution modelling have proposed algorithms that model mean and variance of a distribution. This paper argues that estimating the predictive concentration variance entails not only a gradual improvement but is rather a significant step to advance the field. This is, first, since the models much better fit the particular structure of gas distributions, which exhibit strong fluctuations with considerable spatial variations as a result of the intermittent character of gas dispersal. Second, because estimating the predictive variance allows to evaluate the model quality in terms of the data likelihood. This offers a solution to the problem of ground truth evaluation, which has always been a critical issue for gas distribution modelling. It also enables solid comparisons of different modelling approaches, and provides the means to learn meta parameters of the model, to determine when the model should be updated or re-initialised, or to suggest new measurement locations based on the current model. We also point out directions of related ongoing or potential future research work.

Individual and collective bodies: using measures of variance and association in contextual epidemiology.

Science.gov (United States)

Merlo, J; Ohlsson, H; Lynch, K F; Chaix, B; Subramanian, S V

2009-12-01

Social epidemiology investigates both individuals and their collectives. Although the limits that define the individual bodies are very apparent, the collective body's geographical or cultural limits (eg "neighbourhood") are more difficult to discern. Also, epidemiologists normally investigate causation as changes in group means. However, many variables of interest in epidemiology may cause a change in the variance of the distribution of the dependent variable. In spite of that, variance is normally considered a measure of uncertainty or a nuisance rather than a source of substantive information. This reasoning is also true in many multilevel investigations, whereas understanding the distribution of variance across levels should be fundamental. This means-centric reductionism is mostly concerned with risk factors and creates a paradoxical situation, as social medicine is not only interested in increasing the (mean) health of the population, but also in understanding and decreasing inappropriate health and health care inequalities (variance). Critical essay and literature review. The present study promotes (a) the application of measures of variance and clustering to evaluate the boundaries one uses in defining collective levels of analysis (eg neighbourhoods), (b) the combined use of measures of variance and means-centric measures of association, and (c) the investigation of causes of health variation (variance-altering causation). Both measures of variance and means-centric measures of association need to be included when performing contextual analyses. The variance approach, a new aspect of contextual analysis that cannot be interpreted in means-centric terms, allows perspectives to be expanded.

Robust optimization based upon statistical theory.

Science.gov (United States)

Sobotta, B; Söhn, M; Alber, M

2010-08-01

Organ movement is still the biggest challenge in cancer treatment despite advances in online imaging. Due to the resulting geometric uncertainties, the delivered dose cannot be predicted precisely at treatment planning time. Consequently, all associated dose metrics (e.g., EUD and maxDose) are random variables with a patient-specific probability distribution. The method that the authors propose makes these distributions the basis of the optimization and evaluation process. The authors start from a model of motion derived from patient-specific imaging. On a multitude of geometry instances sampled from this model, a dose metric is evaluated. The resulting pdf of this dose metric is termed outcome distribution. The approach optimizes the shape of the outcome distribution based on its mean and variance. This is in contrast to the conventional optimization of a nominal value (e.g., PTV EUD) computed on a single geometry instance. The mean and variance allow for an estimate of the expected treatment outcome along with the residual uncertainty. Besides being applicable to the target, the proposed method also seamlessly includes the organs at risk (OARs). The likelihood that a given value of a metric is reached in the treatment is predicted quantitatively. This information reveals potential hazards that may occur during the course of the treatment, thus helping the expert to find the right balance between the risk of insufficient normal tissue sparing and the risk of insufficient tumor control. By feeding this information to the optimizer, outcome distributions can be obtained where the probability of exceeding a given OAR maximum and that of falling short of a given target goal can be minimized simultaneously. The method is applicable to any source of residual motion uncertainty in treatment delivery. Any model that quantifies organ movement and deformation in terms of probability distributions can be used as basis for the algorithm. Thus, it can generate dose

Genetic heterogeneity of within-family variance of body weight in Atlantic salmon (Salmo salar).

Science.gov (United States)

Sonesson, Anna K; Odegård, Jørgen; Rönnegård, Lars

2013-10-17

Canalization is defined as the stability of a genotype against minor variations in both environment and genetics. Genetic variation in degree of canalization causes heterogeneity of within-family variance. The aims of this study are twofold: (1) quantify genetic heterogeneity of (within-family) residual variance in Atlantic salmon and (2) test whether the observed heterogeneity of (within-family) residual variance can be explained by simple scaling effects. Analysis of body weight in Atlantic salmon using a double hierarchical generalized linear model (DHGLM) revealed substantial heterogeneity of within-family variance. The 95% prediction interval for within-family variance ranged from ~0.4 to 1.2 kg2, implying that the within-family variance of the most extreme high families is expected to be approximately three times larger than the extreme low families. For cross-sectional data, DHGLM with an animal mean sub-model resulted in severe bias, while a corresponding sire-dam model was appropriate. Heterogeneity of variance was not sensitive to Box-Cox transformations of phenotypes, which implies that heterogeneity of variance exists beyond what would be expected from simple scaling effects. Substantial heterogeneity of within-family variance was found for body weight in Atlantic salmon. A tendency towards higher variance with higher means (scaling effects) was observed, but heterogeneity of within-family variance existed beyond what could be explained by simple scaling effects. For cross-sectional data, using the animal mean sub-model in the DHGLM resulted in biased estimates of variance components, which differed substantially both from a standard linear mean animal model and a sire-dam DHGLM model. Although genetic differences in canalization were observed, selection for increased canalization is difficult, because there is limited individual information for the variance sub-model, especially when based on cross-sectional data. Furthermore, potential macro

The derivative based variance sensitivity analysis for the distribution parameters and its computation

International Nuclear Information System (INIS)

Wang, Pan; Lu, Zhenzhou; Ren, Bo; Cheng, Lei

2013-01-01

The output variance is an important measure for the performance of a structural system, and it is always influenced by the distribution parameters of inputs. In order to identify the influential distribution parameters and make it clear that how those distribution parameters influence the output variance, this work presents the derivative based variance sensitivity decomposition according to Sobol′s variance decomposition, and proposes the derivative based main and total sensitivity indices. By transforming the derivatives of various orders variance contributions into the form of expectation via kernel function, the proposed main and total sensitivity indices can be seen as the “by-product” of Sobol′s variance based sensitivity analysis without any additional output evaluation. Since Sobol′s variance based sensitivity indices have been computed efficiently by the sparse grid integration method, this work also employs the sparse grid integration method to compute the derivative based main and total sensitivity indices. Several examples are used to demonstrate the rationality of the proposed sensitivity indices and the accuracy of the applied method

A Mean-Variance Criterion for Economic Model Predictive Control of Stochastic Linear Systems

DEFF Research Database (Denmark)

Sokoler, Leo Emil; Dammann, Bernd; Madsen, Henrik

2014-01-01

, the tractability of the resulting optimal control problem is addressed. We use a power management case study to compare different variations of the mean-variance strategy with EMPC based on the certainty equivalence principle. The certainty equivalence strategy is much more computationally efficient than the mean......-variance strategies, but it does not account for the variance of the uncertain parameters. Openloop simulations suggest that a single-stage mean-variance approach yields a significantly lower operating cost than the certainty equivalence strategy. In closed-loop, the single-stage formulation is overly conservative...... be modified to perform almost as well as the two-stage mean-variance formulation. Nevertheless, we argue that the mean-variance approach can be used both as a strategy for evaluating less computational demanding methods such as the certainty equivalence method, and as an individual control strategy when...

Automatic Bayes Factors for Testing Equality- and Inequality-Constrained Hypotheses on Variances.

Science.gov (United States)

Böing-Messing, Florian; Mulder, Joris

2018-05-03

In comparing characteristics of independent populations, researchers frequently expect a certain structure of the population variances. These expectations can be formulated as hypotheses with equality and/or inequality constraints on the variances. In this article, we consider the Bayes factor for testing such (in)equality-constrained hypotheses on variances. Application of Bayes factors requires specification of a prior under every hypothesis to be tested. However, specifying subjective priors for variances based on prior information is a difficult task. We therefore consider so-called automatic or default Bayes factors. These methods avoid the need for the user to specify priors by using information from the sample data. We present three automatic Bayes factors for testing variances. The first is a Bayes factor with equal priors on all variances, where the priors are specified automatically using a small share of the information in the sample data. The second is the fractional Bayes factor, where a fraction of the likelihood is used for automatic prior specification. The third is an adjustment of the fractional Bayes factor such that the parsimony of inequality-constrained hypotheses is properly taken into account. The Bayes factors are evaluated by investigating different properties such as information consistency and large sample consistency. Based on this evaluation, it is concluded that the adjusted fractional Bayes factor is generally recommendable for testing equality- and inequality-constrained hypotheses on variances.

On the robust optimization to the uncertain vaccination strategy problem

International Nuclear Information System (INIS)

Chaerani, D.; Anggriani, N.; Firdaniza

2014-01-01

In order to prevent an epidemic of infectious diseases, the vaccination coverage needs to be minimized and also the basic reproduction number needs to be maintained below 1. This means that as we get the vaccination coverage as minimum as possible, thus we need to prevent the epidemic to a small number of people who already get infected. In this paper, we discuss the case of vaccination strategy in term of minimizing vaccination coverage, when the basic reproduction number is assumed as an uncertain parameter that lies between 0 and 1. We refer to the linear optimization model for vaccination strategy that propose by Becker and Starrzak (see [2]). Assuming that there is parameter uncertainty involved, we can see Tanner et al (see [9]) who propose the optimal solution of the problem using stochastic programming. In this paper we discuss an alternative way of optimizing the uncertain vaccination strategy using Robust Optimization (see [3]). In this approach we assume that the parameter uncertainty lies within an ellipsoidal uncertainty set such that we can claim that the obtained result will be achieved in a polynomial time algorithm (as it is guaranteed by the RO methodology). The robust counterpart model is presented

On the robust optimization to the uncertain vaccination strategy problem

Energy Technology Data Exchange (ETDEWEB)

Chaerani, D., E-mail: d.chaerani@unpad.ac.id; Anggriani, N., E-mail: d.chaerani@unpad.ac.id; Firdaniza, E-mail: d.chaerani@unpad.ac.id [Department of Mathematics, Faculty of Mathematics and Natural Sciences, University of Padjadjaran Indonesia, Jalan Raya Bandung Sumedang KM 21 Jatinangor Sumedang 45363 (Indonesia)

2014-02-21

In order to prevent an epidemic of infectious diseases, the vaccination coverage needs to be minimized and also the basic reproduction number needs to be maintained below 1. This means that as we get the vaccination coverage as minimum as possible, thus we need to prevent the epidemic to a small number of people who already get infected. In this paper, we discuss the case of vaccination strategy in term of minimizing vaccination coverage, when the basic reproduction number is assumed as an uncertain parameter that lies between 0 and 1. We refer to the linear optimization model for vaccination strategy that propose by Becker and Starrzak (see [2]). Assuming that there is parameter uncertainty involved, we can see Tanner et al (see [9]) who propose the optimal solution of the problem using stochastic programming. In this paper we discuss an alternative way of optimizing the uncertain vaccination strategy using Robust Optimization (see [3]). In this approach we assume that the parameter uncertainty lies within an ellipsoidal uncertainty set such that we can claim that the obtained result will be achieved in a polynomial time algorithm (as it is guaranteed by the RO methodology). The robust counterpart model is presented.

Robustness of structures

DEFF Research Database (Denmark)

Vrouwenvelder, T.; Sørensen, John Dalsgaard

2009-01-01

After the collapse of the World Trade Centre towers in 2001 and a number of collapses of structural systems in the beginning of the century, robustness of structural systems has gained renewed interest. Despite many significant theoretical, methodical and technological advances, structural...... of robustness for structural design such requirements are not substantiated in more detail, nor have the engineering profession been able to agree on an interpretation of robustness which facilitates for its uantification. A European COST action TU 601 on ‘Robustness of structures' has started in 2007...... by a group of members of the CSS. This paper describes the ongoing work in this action, with emphasis on the development of a theoretical and risk based quantification and optimization procedure on the one side and a practical pre-normative guideline on the other....

UV spectral fingerprinting and analysis of variance-principal component analysis: a useful tool for characterizing sources of variance in plant materials.

Science.gov (United States)

Luthria, Devanand L; Mukhopadhyay, Sudarsan; Robbins, Rebecca J; Finley, John W; Banuelos, Gary S; Harnly, James M

2008-07-23

UV spectral fingerprints, in combination with analysis of variance-principal components analysis (ANOVA-PCA), can differentiate between cultivars and growing conditions (or treatments) and can be used to identify sources of variance. Broccoli samples, composed of two cultivars, were grown under seven different conditions or treatments (four levels of Se-enriched irrigation waters, organic farming, and conventional farming with 100 and 80% irrigation based on crop evaporation and transpiration rate). Freeze-dried powdered samples were extracted with methanol-water (60:40, v/v) and analyzed with no prior separation. Spectral fingerprints were acquired for the UV region (220-380 nm) using a 50-fold dilution of the extract. ANOVA-PCA was used to construct subset matrices that permitted easy verification of the hypothesis that cultivar and treatment contributed to a difference in the chemical expression of the broccoli. The sums of the squares of the same matrices were used to show that cultivar, treatment, and analytical repeatability contributed 30.5, 68.3, and 1.2% of the variance, respectively.

Evaluation of Structural Robustness against Column Loss: Methodology and Application to RC Frame Buildings.

Science.gov (United States)

Bao, Yihai; Main, Joseph A; Noh, Sam-Young

2017-08-01

A computational methodology is presented for evaluating structural robustness against column loss. The methodology is illustrated through application to reinforced concrete (RC) frame buildings, using a reduced-order modeling approach for three-dimensional RC framing systems that includes the floor slabs. Comparisons with high-fidelity finite-element model results are presented to verify the approach. Pushdown analyses of prototype buildings under column loss scenarios are performed using the reduced-order modeling approach, and an energy-based procedure is employed to account for the dynamic effects associated with sudden column loss. Results obtained using the energy-based approach are found to be in good agreement with results from direct dynamic analysis of sudden column loss. A metric for structural robustness is proposed, calculated by normalizing the ultimate capacities of the structural system under sudden column loss by the applicable service-level gravity loading and by evaluating the minimum value of this normalized ultimate capacity over all column removal scenarios. The procedure is applied to two prototype 10-story RC buildings, one employing intermediate moment frames (IMFs) and the other employing special moment frames (SMFs). The SMF building, with its more stringent seismic design and detailing, is found to have greater robustness.

Adaptive color halftoning for minimum perceived error using the blue noise mask

Science.gov (United States)

Yu, Qing; Parker, Kevin J.

1997-04-01

Color halftoning using a conventional screen requires careful selection of screen angles to avoid Moire patterns. An obvious advantage of halftoning using a blue noise mask (BNM) is that there are no conventional screen angle or Moire patterns produced. However, a simple strategy of employing the same BNM on all color planes is unacceptable in case where a small registration error can cause objectionable color shifts. In a previous paper by Yao and Parker, strategies were presented for shifting or inverting the BNM as well as using mutually exclusive BNMs for different color planes. In this paper, the above schemes will be studied in CIE-LAB color space in terms of root mean square error and variance for luminance channel and chrominance channel respectively. We will demonstrate that the dot-on-dot scheme results in minimum chrominance error, but maximum luminance error and the 4-mask scheme results in minimum luminance error but maximum chrominance error, while the shift scheme falls in between. Based on this study, we proposed a new adaptive color halftoning algorithm that takes colorimetric color reproduction into account by applying 2-mutually exclusive BNMs on two different color planes and applying an adaptive scheme on other planes to reduce color error. We will show that by having one adaptive color channel, we obtain increased flexibility to manipulate the output so as to reduce colorimetric error while permitting customization to specific printing hardware.

Levine's guide to SPSS for analysis of variance

CERN Document Server

Braver, Sanford L; Page, Melanie

2003-01-01

A greatly expanded and heavily revised second edition, this popular guide provides instructions and clear examples for running analyses of variance (ANOVA) and several other related statistical tests of significance with SPSS. No other guide offers the program statements required for the more advanced tests in analysis of variance. All of the programs in the book can be run using any version of SPSS, including versions 11 and 11.5. A table at the end of the preface indicates where each type of analysis (e.g., simple comparisons) can be found for each type of design (e.g., mixed two-factor desi

A load factor based mean-variance analysis for fuel diversification

Energy Technology Data Exchange (ETDEWEB)

Gotham, Douglas; Preckel, Paul; Ruangpattana, Suriya [State Utility Forecasting Group, Purdue University, West Lafayette, IN (United States); Muthuraman, Kumar [McCombs School of Business, University of Texas, Austin, TX (United States); Rardin, Ronald [Department of Industrial Engineering, University of Arkansas, Fayetteville, AR (United States)

2009-03-15

Fuel diversification implies the selection of a mix of generation technologies for long-term electricity generation. The goal is to strike a good balance between reduced costs and reduced risk. The method of analysis that has been advocated and adopted for such studies is the mean-variance portfolio analysis pioneered by Markowitz (Markowitz, H., 1952. Portfolio selection. Journal of Finance 7(1) 77-91). However the standard mean-variance methodology, does not account for the ability of various fuels/technologies to adapt to varying loads. Such analysis often provides results that are easily dismissed by regulators and practitioners as unacceptable, since load cycles play critical roles in fuel selection. To account for such issues and still retain the convenience and elegance of the mean-variance approach, we propose a variant of the mean-variance analysis using the decomposition of the load into various types and utilizing the load factors of each load type. We also illustrate the approach using data for the state of Indiana and demonstrate the ability of the model in providing useful insights. (author)

Understanding the Minimum Wage: Issues and Answers.

Science.gov (United States)

Employment Policies Inst. Foundation, Washington, DC.

This booklet, which is designed to clarify facts regarding the minimum wage's impact on marketplace economics, contains a total of 31 questions and answers pertaining to the following topics: relationship between minimum wages and poverty; impacts of changes in the minimum wage on welfare reform; and possible effects of changes in the minimum wage…

Youth minimum wages and youth employment

NARCIS (Netherlands)

Marimpi, Maria; Koning, Pierre

2018-01-01

This paper performs a cross-country level analysis on the impact of the level of specific youth minimum wages on the labor market performance of young individuals. We use information on the use and level of youth minimum wages, as compared to the level of adult minimum wages as well as to the median

Analysis of Gene Expression Variance in Schizophrenia Using Structural Equation Modeling

Directory of Open Access Journals (Sweden)

Anna A. Igolkina

2018-06-01

Full Text Available Schizophrenia (SCZ is a psychiatric disorder of unknown etiology. There is evidence suggesting that aberrations in neurodevelopment are a significant attribute of schizophrenia pathogenesis and progression. To identify biologically relevant molecular abnormalities affecting neurodevelopment in SCZ we used cultured neural progenitor cells derived from olfactory neuroepithelium (CNON cells. Here, we tested the hypothesis that variance in gene expression differs between individuals from SCZ and control groups. In CNON cells, variance in gene expression was significantly higher in SCZ samples in comparison with control samples. Variance in gene expression was enriched in five molecular pathways: serine biosynthesis, PI3K-Akt, MAPK, neurotrophin and focal adhesion. More than 14% of variance in disease status was explained within the logistic regression model (C-value = 0.70 by predictors accounting for gene expression in 69 genes from these five pathways. Structural equation modeling (SEM was applied to explore how the structure of these five pathways was altered between SCZ patients and controls. Four out of five pathways showed differences in the estimated relationships among genes: between KRAS and NF1, and KRAS and SOS1 in the MAPK pathway; between PSPH and SHMT2 in serine biosynthesis; between AKT3 and TSC2 in the PI3K-Akt signaling pathway; and between CRK and RAPGEF1 in the focal adhesion pathway. Our analysis provides evidence that variance in gene expression is an important characteristic of SCZ, and SEM is a promising method for uncovering altered relationships between specific genes thus suggesting affected gene regulation associated with the disease. We identified altered gene-gene interactions in pathways enriched for genes with increased variance in expression in SCZ. These pathways and loci were previously implicated in SCZ, providing further support for the hypothesis that gene expression variance plays important role in the etiology

Discretization of space and time: determining the values of minimum length and minimum time

OpenAIRE

Roatta , Luca

2017-01-01

Assuming that space and time can only have discrete values, we obtain the expression of the minimum length and the minimum time interval. These values are found to be exactly coincident with the Planck's length and the Planck's time but for the presence of h instead of ħ .

Minimum wage development in the Russian Federation

OpenAIRE

Bolsheva, Anna

2012-01-01

The aim of this paper is to analyze the effectiveness of the minimum wage policy at the national level in Russia and its impact on living standards in the country. The analysis showed that the national minimum wage in Russia does not serve its original purpose of protecting the lowest wage earners and has no substantial effect on poverty reduction. The national subsistence minimum is too low and cannot be considered an adequate criterion for the setting of the minimum wage. The minimum wage d...

Mixed emotions: Sensitivity to facial variance in a crowd of faces.

Science.gov (United States)

Haberman, Jason; Lee, Pegan; Whitney, David

2015-01-01

The visual system automatically represents summary information from crowds of faces, such as the average expression. This is a useful heuristic insofar as it provides critical information about the state of the world, not simply information about the state of one individual. However, the average alone is not sufficient for making decisions about how to respond to a crowd. The variance or heterogeneity of the crowd--the mixture of emotions--conveys information about the reliability of the average, essential for determining whether the average can be trusted. Despite its importance, the representation of variance within a crowd of faces has yet to be examined. This is addressed here in three experiments. In the first experiment, observers viewed a sample set of faces that varied in emotion, and then adjusted a subsequent set to match the variance of the sample set. To isolate variance as the summary statistic of interest, the average emotion of both sets was random. Results suggested that observers had information regarding crowd variance. The second experiment verified that this was indeed a uniquely high-level phenomenon, as observers were unable to derive the variance of an inverted set of faces as precisely as an upright set of faces. The third experiment replicated and extended the first two experiments using method-of-constant-stimuli. Together, these results show that the visual system is sensitive to emergent information about the emotional heterogeneity, or ambivalence, in crowds of faces.

On Stabilizing the Variance of Dynamic Functional Brain Connectivity Time Series.

Science.gov (United States)

Thompson, William Hedley; Fransson, Peter

2016-12-01

Assessment of dynamic functional brain connectivity based on functional magnetic resonance imaging (fMRI) data is an increasingly popular strategy to investigate temporal dynamics of the brain's large-scale network architecture. Current practice when deriving connectivity estimates over time is to use the Fisher transformation, which aims to stabilize the variance of correlation values that fluctuate around varying true correlation values. It is, however, unclear how well the stabilization of signal variance performed by the Fisher transformation works for each connectivity time series, when the true correlation is assumed to be fluctuating. This is of importance because many subsequent analyses either assume or perform better when the time series have stable variance or adheres to an approximate Gaussian distribution. In this article, using simulations and analysis of resting-state fMRI data, we analyze the effect of applying different variance stabilization strategies on connectivity time series. We focus our investigation on the Fisher transformation, the Box-Cox (BC) transformation and an approach that combines both transformations. Our results show that, if the intention of stabilizing the variance is to use metrics on the time series, where stable variance or a Gaussian distribution is desired (e.g., clustering), the Fisher transformation is not optimal and may even skew connectivity time series away from being Gaussian. Furthermore, we show that the suboptimal performance of the Fisher transformation can be substantially improved by including an additional BC transformation after the dynamic functional connectivity time series has been Fisher transformed.

Origin and consequences of the relationship between protein mean and variance.

Science.gov (United States)

Vallania, Francesco Luigi Massimo; Sherman, Marc; Goodwin, Zane; Mogno, Ilaria; Cohen, Barak Alon; Mitra, Robi David

2014-01-01

Cell-to-cell variance in protein levels (noise) is a ubiquitous phenomenon that can increase fitness by generating phenotypic differences within clonal populations of cells. An important challenge is to identify the specific molecular events that control noise. This task is complicated by the strong dependence of a protein's cell-to-cell variance on its mean expression level through a power-law like relationship (σ2∝μ1.69). Here, we dissect the nature of this relationship using a stochastic model parameterized with experimentally measured values. This framework naturally recapitulates the power-law like relationship (σ2∝μ1.6) and accurately predicts protein variance across the yeast proteome (r2 = 0.935). Using this model we identified two distinct mechanisms by which protein variance can be increased. Variables that affect promoter activation, such as nucleosome positioning, increase protein variance by changing the exponent of the power-law relationship. In contrast, variables that affect processes downstream of promoter activation, such as mRNA and protein synthesis, increase protein variance in a mean-dependent manner following the power-law. We verified our findings experimentally using an inducible gene expression system in yeast. We conclude that the power-law-like relationship between noise and protein mean is due to the kinetics of promoter activation. Our results provide a framework for understanding how molecular processes shape stochastic variation across the genome.

Robustness of Structures

DEFF Research Database (Denmark)

Sørensen, John Dalsgaard

2008-01-01

This paper describes the background of the robustness requirements implemented in the Danish Code of Practice for Safety of Structures and in the Danish National Annex to the Eurocode 0, see (DS-INF 146, 2003), (DS 409, 2006), (EN 1990 DK NA, 2007) and (Sørensen and Christensen, 2006). More...... frequent use of advanced types of structures with limited redundancy and serious consequences in case of failure combined with increased requirements to efficiency in design and execution followed by increased risk of human errors has made the need of requirements to robustness of new structures essential....... According to Danish design rules robustness shall be documented for all structures in high consequence class. The design procedure to document sufficient robustness consists of: 1) Review of loads and possible failure modes / scenarios and determination of acceptable collapse extent; 2) Review...

Variance Swap Replication: Discrete or Continuous?

Directory of Open Access Journals (Sweden)

Fabien Le Floc’h

2018-02-01

Full Text Available The popular replication formula to price variance swaps assumes continuity of traded option strikes. In practice, however, there is only a discrete set of option strikes traded on the market. We present here different discrete replication strategies and explain why the continuous replication price is more relevant.

Impact of Damping Uncertainty on SEA Model Response Variance

Science.gov (United States)

Schiller, Noah; Cabell, Randolph; Grosveld, Ferdinand

2010-01-01

Statistical Energy Analysis (SEA) is commonly used to predict high-frequency vibroacoustic levels. This statistical approach provides the mean response over an ensemble of random subsystems that share the same gross system properties such as density, size, and damping. Recently, techniques have been developed to predict the ensemble variance as well as the mean response. However these techniques do not account for uncertainties in the system properties. In the present paper uncertainty in the damping loss factor is propagated through SEA to obtain more realistic prediction bounds that account for both ensemble and damping variance. The analysis is performed on a floor-equipped cylindrical test article that resembles an aircraft fuselage. Realistic bounds on the damping loss factor are determined from measurements acquired on the sidewall of the test article. The analysis demonstrates that uncertainties in damping have the potential to significantly impact the mean and variance of the predicted response.

The Impact of Jump Distributions on the Implied Volatility of Variance

DEFF Research Database (Denmark)

Nicolato, Elisa; Pisani, Camilla; Pedersen, David Sloth

2017-01-01

We consider a tractable affine stochastic volatility model that generalizes the seminal Heston (1993) model by augmenting it with jumps in the instantaneous variance process. In this framework, we consider both realized variance options and VIX options, and we examine the impact of the distribution...... of jumps on the associated implied volatility smile. We provide sufficient conditions for the asymptotic behavior of the implied volatility of variance for small and large strikes. In particular, by selecting alternative jump distributions, we show that one can obtain fundamentally different shapes...

Dynamics robustness of cascading systems.

Directory of Open Access Journals (Sweden)

Jonathan T Young

2017-03-01

Full Text Available A most important property of biochemical systems is robustness. Static robustness, e.g., homeostasis, is the insensitivity of a state against perturbations, whereas dynamics robustness, e.g., homeorhesis, is the insensitivity of a dynamic process. In contrast to the extensively studied static robustness, dynamics robustness, i.e., how a system creates an invariant temporal profile against perturbations, is little explored despite transient dynamics being crucial for cellular fates and are reported to be robust experimentally. For example, the duration of a stimulus elicits different phenotypic responses, and signaling networks process and encode temporal information. Hence, robustness in time courses will be necessary for functional biochemical networks. Based on dynamical systems theory, we uncovered a general mechanism to achieve dynamics robustness. Using a three-stage linear signaling cascade as an example, we found that the temporal profiles and response duration post-stimulus is robust to perturbations against certain parameters. Then analyzing the linearized model, we elucidated the criteria of when signaling cascades will display dynamics robustness. We found that changes in the upstream modules are masked in the cascade, and that the response duration is mainly controlled by the rate-limiting module and organization of the cascade's kinetics. Specifically, we found two necessary conditions for dynamics robustness in signaling cascades: 1 Constraint on the rate-limiting process: The phosphatase activity in the perturbed module is not the slowest. 2 Constraints on the initial conditions: The kinase activity needs to be fast enough such that each module is saturated even with fast phosphatase activity and upstream changes are attenuated. We discussed the relevance of such robustness to several biological examples and the validity of the above conditions therein. Given the applicability of dynamics robustness to a variety of systems, it

Replication Variance Estimation under Two-phase Sampling in the Presence of Non-response

Directory of Open Access Journals (Sweden)

Muqaddas Javed

2014-09-01

Full Text Available Kim and Yu (2011 discussed replication variance estimator for two-phase stratified sampling. In this paper estimators for mean have been proposed in two-phase stratified sampling for different situation of existence of non-response at first phase and second phase. The expressions of variances of these estimators have been derived. Furthermore, replication-based jackknife variance estimators of these variances have also been derived. Simulation study has been conducted to investigate the performance of the suggested estimators.

Minimum emittance of three-bend achromats

International Nuclear Information System (INIS)

Li Xiaoyu; Xu Gang

2012-01-01

The calculation of the minimum emittance of three-bend achromats (TBAs) made by Mathematical software can ignore the actual magnets lattice in the matching condition of dispersion function in phase space. The minimum scaling factors of two kinds of widely used TBA lattices are obtained. Then the relationship between the lengths and the radii of the three dipoles in TBA is obtained and so is the minimum scaling factor, when the TBA lattice achieves its minimum emittance. The procedure of analysis and the results can be widely used in achromats lattices, because the calculation is not restricted by the actual lattice. (authors)

Robust and distributed hypothesis testing

CERN Document Server

Gül, Gökhan

2017-01-01

This book generalizes and extends the available theory in robust and decentralized hypothesis testing. In particular, it presents a robust test for modeling errors which is independent from the assumptions that a sufficiently large number of samples is available, and that the distance is the KL-divergence. Here, the distance can be chosen from a much general model, which includes the KL-divergence as a very special case. This is then extended by various means. A minimax robust test that is robust against both outliers as well as modeling errors is presented. Minimax robustness properties of the given tests are also explicitly proven for fixed sample size and sequential probability ratio tests. The theory of robust detection is extended to robust estimation and the theory of robust distributed detection is extended to classes of distributions, which are not necessarily stochastically bounded. It is shown that the quantization functions for the decision rules can also be chosen as non-monotone. Finally, the boo...

Development of ε-insensitive smooth support vector regression for predicting minimum miscibility pressure in CO2 flooding

Directory of Open Access Journals (Sweden)

Shahram Mollaiy-Berneti

2018-02-01

Full Text Available Successful design of a carbon dioxide (CO2 flooding in enhanced oil recovery projects mostly depends on accurate determination of CO2-crude oil minimum miscibility pressure (MMP. Due to the high expensive and time-consuming of experimental determination of MMP, developing a fast and robust method to predict MMP is necessary. In this study, a new method based on ε-insensitive smooth support vector regression (ε-SSVR is introduced to predict MMP for both pure and impure CO2 gas injection cases. The proposed ε-SSVR is developed using dataset of reservoir temperature, crude oil composition and composition of injected CO2. To serve better understanding of the proposed, feed-forward neural network and radial basis function network applied to denoted dataset. The results show that the suggested ε-SSVR has acceptable reliability and robustness in comparison with two other models. Thus, the proposed method can be considered as an alternative way to monitor the MMP in miscible flooding process.

Robustness Property of Robust-BD Wald-Type Test for Varying-Dimensional General Linear Models

Directory of Open Access Journals (Sweden)

Xiao Guo

2018-03-01

Full Text Available An important issue for robust inference is to examine the stability of the asymptotic level and power of the test statistic in the presence of contaminated data. Most existing results are derived in finite-dimensional settings with some particular choices of loss functions. This paper re-examines this issue by allowing for a diverging number of parameters combined with a broader array of robust error measures, called “robust- BD ”, for the class of “general linear models”. Under regularity conditions, we derive the influence function of the robust- BD parameter estimator and demonstrate that the robust- BD Wald-type test enjoys the robustness of validity and efficiency asymptotically. Specifically, the asymptotic level of the test is stable under a small amount of contamination of the null hypothesis, whereas the asymptotic power is large enough under a contaminated distribution in a neighborhood of the contiguous alternatives, thus lending supports to the utility of the proposed robust- BD Wald-type test.

Interval Analysis Approach to Prototype the Robust Control of the Laboratory Overhead Crane

Science.gov (United States)

Smoczek, J.; Szpytko, J.; Hyla, P.

2014-07-01

The paper describes the software-hardware equipment and control-measurement solutions elaborated to prototype the laboratory scaled overhead crane control system. The novelty approach to crane dynamic system modelling and fuzzy robust control scheme design is presented. The iterative procedure for designing a fuzzy scheduling control scheme is developed based on the interval analysis of discrete-time closed-loop system characteristic polynomial coefficients in the presence of rope length and mass of a payload variation to select the minimum set of operating points corresponding to the midpoints of membership functions at which the linear controllers are determined through desired poles assignment. The experimental results obtained on the laboratory stand are presented.

Interval Analysis Approach to Prototype the Robust Control of the Laboratory Overhead Crane

International Nuclear Information System (INIS)

Smoczek, J; Szpytko, J; Hyla, P

2014-01-01

The paper describes the software-hardware equipment and control-measurement solutions elaborated to prototype the laboratory scaled overhead crane control system. The novelty approach to crane dynamic system modelling and fuzzy robust control scheme design is presented. The iterative procedure for designing a fuzzy scheduling control scheme is developed based on the interval analysis of discrete-time closed-loop system characteristic polynomial coefficients in the presence of rope length and mass of a payload variation to select the minimum set of operating points corresponding to the midpoints of membership functions at which the linear controllers are determined through desired poles assignment. The experimental results obtained on the laboratory stand are presented

How the Weak Variance of Momentum Can Turn Out to be Negative

Science.gov (United States)

Feyereisen, M. R.

2015-05-01

Weak values are average quantities, therefore investigating their associated variance is crucial in understanding their place in quantum mechanics. We develop the concept of a position-postselected weak variance of momentum as cohesively as possible, building primarily on material from Moyal (Mathematical Proceedings of the Cambridge Philosophical Society, Cambridge University Press, Cambridge, 1949) and Sonego (Found Phys 21(10):1135, 1991) . The weak variance is defined in terms of the Wigner function, using a standard construction from probability theory. We show this corresponds to a measurable quantity, which is not itself a weak value. It also leads naturally to a connection between the imaginary part of the weak value of momentum and the quantum potential. We study how the negativity of the Wigner function causes negative weak variances, and the implications this has on a class of `subquantum' theories. We also discuss the role of weak variances in studying determinism, deriving the classical limit from a variational principle.

Variance gradients and uncertainty budgets for nonlinear measurement functions with independent inputs

International Nuclear Information System (INIS)

Campanelli, Mark; Kacker, Raghu; Kessel, Rüdiger

2013-01-01

A novel variance-based measure for global sensitivity analysis, termed a variance gradient (VG), is presented for constructing uncertainty budgets under the Guide to the Expression of Uncertainty in Measurement (GUM) framework for nonlinear measurement functions with independent inputs. The motivation behind VGs is the desire of metrologists to understand which inputs' variance reductions would most effectively reduce the variance of the measurand. VGs are particularly useful when the application of the first supplement to the GUM is indicated because of the inadequacy of measurement function linearization. However, VGs reduce to a commonly understood variance decomposition in the case of a linear(ized) measurement function with independent inputs for which the original GUM readily applies. The usefulness of VGs is illustrated by application to an example from the first supplement to the GUM, as well as to the benchmark Ishigami function. A comparison of VGs to other available sensitivity measures is made. (paper)