Optimal Allocation Between Subprime Structured Mortgage Products and Treasuries

This conference paper discusses a risk allocation problem for subprime investing banks involving investment in subprime structured mortgage products (SMPs) and Treasuries. In order to solve this problem, we develop a L'evy process-based model of jump diffusion-type for investment choice in subprime SMPs and Treasuries. This model incorporates subprime SMP losses for which credit default insurance in the form of credit default swaps (CDSs) can be purchased. In essence, we solve a mean swap-at-risk (SaR) optimization problem for investment which determines optimal allocation between SMPs and Treasuries subject to credit risk protection via CDSs. In this regard, SaR is indicative of how much protection investors must purchase from swap protection sellers in order to cover possible losses from SMP default. Here, SaR is defined in terms of value-at-risk (VaR). Finally, we provide an analysis of the aforementioned optimization problem and its connections with the subprime mortgage crisis (SMC).

An Improved Learning Algorithm based on the Conjugate Gradient Method for Back Propagation Neural Networks

The conjugate gradient optimization algorithm usually used for nonlinear least squares is presented and is combined with the modified back propagation algorithm yielding a new fast training multilayer perceptron (MLP) algorithm (CGFR/AG). The approaches presented in the paper consist of three steps: (1) Modification on standard back propagation algorithm by introducing gain variation term of the activation function, (2) Calculating the gradient descent on error with respect to the weights and gains values and (3) the determination of the new search direction by exploiting the information calculated by gradient descent in step (2) as well as the previous search direction. The proposed method improved the training efficiency of back propagation algorithm by adaptively modifying the initial search direction. Performance of the proposed method is demonstrated by comparing to the conjugate gradient algorithm from neural network toolbox for the chosen benchmark. The results show that the number of iterations required by the proposed method to converge is less than 20% of what is required by the standard conjugate gradient and neural network toolbox algorithm.

A Systems Approach to Gene Ranking from DNA Microarray Data of Cervical Cancer

In this paper we present a method for gene ranking from DNA microarray data. More precisely, we calculate the correlation networks, which are unweighted and undirected graphs, from microarray data of cervical cancer whereas each network represents a tissue of a certain tumor stage and each node in the network represents a gene. From these networks we extract one tree for each gene by a local decomposition of the correlation network. The interpretation of a tree is that it represents the n-nearest neighbor genes on the n-th level of a tree, measured by the Dijkstra distance, and, hence, gives the local embedding of a gene within the correlation network. For the obtained trees we measure the pairwise similarity between trees rooted by the same gene from normal to cancerous tissues. This evaluates the modification of the tree topology due to progression of the tumor. Finally, we rank the obtained similarity values from all tissue comparisons and select the top ranked genes. For these genes the local neighborhood in the correlation networks changes most between normal and cancerous tissues. As a result we find that the top ranked genes are candidates suspected to be involved in tumor growth and, hence, indicates that our method captures essential information from the underlying DNA microarray data of cervical cancer.

The New Approach to Sustainability in the Design of Urban and Architectural Interiors – Elements of Composition Revised

Today we tend to go back to the past to our root relation to nature. Therefore in search of friendly spaces there are elements of natural environment introduced as elements of spatial composition. Though reinvented through the use of the new substance such as greenery, water etc. made possible by state of the art technologies, still, in principal, they remain the same. As a result, sustainable design, based upon the recognized means of composition in addition to the relation of architecture and urbanism vs. nature introduces a new aesthetical values into architectural and urban space.

Novel Hybrid Approaches For Real Coded Genetic Algorithm to Compute the Optimal Control of a Single Stage Hybrid Manufacturing Systems

This paper presents a novel two-phase hybrid optimization algorithm with hybrid genetic operators to solve the optimal control problem of a single stage hybrid manufacturing system. The proposed hybrid real coded genetic algorithm (HRCGA) is developed in such a way that a simple real coded GA acts as a base level search, which makes a quick decision to direct the search towards the optimal region, and a local search method is next employed to do fine tuning. The hybrid genetic operators involved in the proposed algorithm improve both the quality of the solution and convergence speed. The phase–1 uses conventional real coded genetic algorithm (RCGA), while optimisation by direct search and systematic reduction of the size of search region is employed in the phase – 2. A typical numerical example of an optimal control problem with the number of jobs varying from 10 to 50 is included to illustrate the efficacy of the proposed algorithm. Several statistical analyses are done to compare the validity of the proposed algorithm with the conventional RCGA and PSO techniques. Hypothesis t – test and analysis of variance (ANOVA) test are also carried out to validate the effectiveness of the proposed algorithm. The results clearly demonstrate that the proposed algorithm not only improves the quality but also is more efficient in converging to the optimal value faster. They can outperform the conventional real coded GA (RCGA) and the efficient particle swarm optimisation (PSO) algorithm in quality of the optimal solution and also in terms of convergence to the actual optimum value.

Stiffness Modeling of 3-PRS Mechanism

This paper proposed a stiffness analysis method for a 3-PRS mechanism for welding thick aluminum plate using FSW technology. In the molding process, elastic deformation of lead-screws and links are taken into account. This method is based on the virtual work principle. Through a survey of the commonly used stiffness performance indices, the minimum and maximum eigenvalues of the stiffness matrix are used to evaluate the stiffness of the 3-PRS mechanism. Furthermore, A FEA model has been constructed to verify the method. Finally, we redefined the workspace using the stiffness analysis method.

On Uniqueness and Continuous Dependence in the Theory of Micropolar Thermoelastic Mixtures

This paper studies questions of continuous data dependence and uniqueness for solutions of initial boundary value problems in linear micropolar thermoelastic mixtures. Logarithmic convexity arguments are used to establish results with no definiteness assumptions upon the internal energy.

Treatment of Oily Wastewater by Fibrous Coalescer Process: Stage Coalescer and Model Prediction

The coalescer process is one of the methods for oily water treatment by increasing the oil droplet size in order to enhance the separating velocity and thus effective separation. However, the presence of surfactants in an oily emulsion can limit the obtained mechanisms due to the small oil size related with stabilized emulsion. In this regard, the purpose of this research is to improve the efficiency of the coalescer process for treating the stabilized emulsion. The effects of bed types, bed height, liquid flow rate and stage coalescer (step-bed) on the treatment efficiencies in term of COD values were studied. Note that the treatment efficiency obtained experimentally was estimated by using the COD values and oil droplet size distribution. The study has shown that the plastic media has more effective to attach with oil particles than the stainless one due to their hydrophobic properties. Furthermore, the suitable bed height (3.5 cm) and step bed (3.5 cm with 2 steps) were necessary in order to well obtain the coalescer performance. The application of step bed coalescer process in reactor has provided the higher treatment efficiencies in term of COD removal than those obtained with classical process. The proposed model for predicting the area under curve and thus treatment efficiency, based on the single collector efficiency (ηT) and the attachment efficiency (α), provides relatively a good coincidence between the experimental and predicted values of treatment efficiencies in this study.

Anisotropic Constitutive Model and its Application in Simulation of Thermal Shock Wave Propagation for Cylinder Shell Composite

In this paper, a plane-strain orthotropic elasto-plastic dynamic constitutive model is established, and with this constitutive model, the thermal shock wave induced by intense pulsed X-ray radiation in cylinder shell composite is simulated by the finite element code, then the properties of thermal shock wave propagation are discussed. The results show that the thermal shock wave exhibit different shapes under the radiation of soft and hard X-ray, and while the composite is radiated along different principal axes, great differences exist in some aspects, such as attenuation of the peak stress value, spallation and so on.

On the Flow of a Third Grade Viscoelastic Fluid in an Orthogonal Rheometer

The flow of a third grade fluid in an orthogonal rheometer is studied. We employ the admissible velocity field proposed in [5]. We solve the problem and obtain the velocity field as well as the components for the Cauchy tensor. We compare the results with those from [9]. Some diagrams concerning the velocity and Cauchy stress components profiles are presented for different values of material constants and compared with the corresponding values for a linear viscous fluid.

Development of Workplace Environmental Monitoring Systems Using Ubiquitous Sensor Network

In this study, workplace environmental monitoring systems were established using USN(Ubiquitous Sensor Networks) and LabVIEW. Although existing direct sampling methods enable finding accurate values as of the time points of measurement, those methods are disadvantageous in that continuous management and supervision are difficult and costs for are high when those methods are used. Therefore, the efficiency and reliability of workplace management by supervisors are relatively low when those methods are used. In this study, systems were established so that information on workplace environmental factors such as temperatures, humidity and noises is measured and transmitted to the PC in real time to enable supervisors to monitor workplaces through LabVIEW on the PC. When any accidents have occurred in workplaces, supervisors can immediately respond through the monitoring system and this system enables integrated workplace management and the prevention of safety accidents. By introducing these monitoring systems, safety accidents due to harmful environmental factors in workplaces can be prevented and these monitoring systems will be also helpful in finding out the correlation between safety accidents and occupational diseases by comparing and linking databases established by this monitoring system with existing statistical data.

Buckling Optimization of Radially-Graded, Thin-Walled, Long Cylinders under External Pressure

This paper presents a generalized formulation for the problem of buckling optimization of anisotropic, radially graded, thin-walled, long cylinders subject to external hydrostatic pressure. The main structure to be analyzed is built of multi-angle fibrous laminated composite lay-ups having different volume fractions of the constituent materials within the individual plies. This yield to a piecewise grading of the material in the radial direction; that is the physical and mechanical properties of the composite material are allowed to vary radially. The objective function is measured by maximizing the critical buckling pressure while preserving the total structural mass at a constant value equals to that of a baseline reference design. In the selection of the significant optimization variables, the fiber volume fractions adjoin the standard design variables including fiber orientation angles and ply thicknesses. The mathematical formulation employs the classical lamination theory, where an analytical solution that accounts for the effective axial and flexural stiffness separately as well as the inclusion of the coupling stiffness terms is presented. The proposed model deals with dimensionless quantities in order to be valid for thin shells having arbitrary thickness-to-radius ratios. The critical buckling pressure level curves augmented with the mass equality constraint are given for several types of cylinders showing the functional dependence of the constrained objective function on the selected design variables. It was shown that material grading can have significant contribution to the whole optimization process in achieving the required structural designs with enhanced stability limits.

Conventional and Fuzzy Logic Controllers at Generator Location for Low Frequency Oscillation Damping

This paper investigates and compares performance of various conventional and fuzzy logic based controllers at generator locations for oscillation damping. Performance of combination of conventional and fuzzy logic based controllers also studied by comparing overshoot on the active power deviation response for a small disturbance and damping ratio of the critical mode. Fuzzy logic based controllers can not be modeled in the state space form to get the eigenvalues and corresponding damping ratios of various modes of generators and controllers. Hence, a new method based on tracing envelop of time domain waveform is also presented and used in the paper for comparing performance of controllers. The paper also shows that if the fuzzy based controllers designed separately combining them could not lead to a better performance.

Robust H State-Feedback Control for Uncertain Fuzzy Markovian Jump Systems: LMI-Based Design

This paper investigates the problem of designing a robust state-feedback controller for a class of uncertain Markovian jump nonlinear systems that guarantees the L2-gain from an exogenous input to a regulated output is less than or equal to a prescribed value. First, we approximate this class of uncertain Markovian jump nonlinear systems by a class of uncertain Takagi-Sugeno fuzzy models with Markovian jumps. Then, based on an LMI approach, LMI-based sufficient conditions for the uncertain Markovian jump nonlinear systems to have an H performance are derived. An illustrative example is used to illustrate the effectiveness of the proposed design techniques.

Categorization and Estimation of Relative Connectivity of Genes from Meta-OFTEN Network

The most common result of analysis of highthroughput data in molecular biology represents a global list of genes, ranked accordingly to a certain score. The score can be a measure of differential expression. Recent work proposed a new method for selecting a number of genes in a ranked gene list from microarray gene expression data such that this set forms the Optimally Functionally Enriched Network (OFTEN), formed by known physical interactions between genes or their products. Here we present calculation results of relative connectivity of genes from META-OFTEN network and tentative biological interpretation of the most reproducible signal. The relative connectivity and inbetweenness values of genes from META-OFTEN network were estimated.

Possible Utilization of Cigarette Butts in Light- Weight Fired Clay Bricks

Over a million tonnes of cigarette butts (CBs) are produced worldwide annually. These CBs accumulate in the environment due to the poor biodegradability of the cellulose acetate filters and pose a serious environmental risk. This paper presents some of the results from a continuing study on recycling CBs into fired clay bricks. Properties including compressive strength, flexural strength, density, water absorption and thermal conductivity of fired clay bricks are reported and discussed. Furthermore, leaching of heavy metals from the manufactured clay bricks was tested. The results show that the density of fired bricks was reduced by about 8 – 30 %, depending on the percentage of CBs incorporated into the raw materials. The compressive strength of bricks tested was 12.57, 5.22 and 3.00 MPa for 2.5, 5.0 and 10 % CB content respectively. Water absorption and initial rate of absorption values increased as density, and hence porosity, of bricks decreased with increasing CB volume. The leaching test results revealed trace amounts of heavy metals.

Analysis of the Coupled Stretching Bending Problem of Stiffened Plates by a BEM Formulation Based on Reissner's Hypothesis

In this work, the plate bending formulation of the boundary element method - BEM, based on the Reissner?s hypothesis, is extended to the analysis of plates reinforced by beams taking into account the membrane effects. The formulation is derived by assuming a zoned body where each sub-region defines a beam or a slab and all of them are represented by a chosen reference surface. Equilibrium and compatibility conditions are automatically imposed by the integral equations, which treat this composed structure as a single body. In order to reduce the number of degrees of freedom, the problem values defined on the interfaces are written in terms of their values on the beam axis. Initially are derived separated equations for the bending and stretching problems, but in the final system of equations the two problems are coupled and can not be treated separately. Finally are presented some numerical examples whose analytical results are known to show the accuracy of the proposed model.

Applications of Entropy Measures in Field of Queuing Theory

In the present communication, we have studied different variations in the entropy measures in the different states of queueing processes. In case of steady state queuing process, it has been shown that as the arrival rate increases, the uncertainty increases whereas in the case of non-steady birth-death process, it is shown that the uncertainty varies differently. In this pattern, it first increases and attains its maximum value and then with the passage of time, it decreases and attains its minimum value.

Statistical Properties and Performance of Ecological Indices Based On Relative Abundances

The Improved Generalized Diversity Index (IGDI) has been proposed as a tool that can be used to identify areas that have high conservation value and measure the ecological condition of an area. IGDI is based on the species relative abundances. This paper is concerned with particular attention is given to comparisons involving the MacArthur model of species abundances. The properties and performance of various species indices were assessed. Both IGDI and species richness increased with sampling area according to a power function. IGDI were also found to be acceptable ecological indicators of conditions and consistently outperformed coefficient of conservatism indices.

The Role of Periodic Vortex Shedding in Heat Transfer Enhancement for Transient Pulsatile Flow Inside Wavy Channels

Periodic vortex shedding in pulsating flow inside wavy channel and the effect it has on heat transfer are studied using the finite volume method. A sinusoidally-varying component is superimposed on a uniform flow inside a sinusoidal wavy channel and the effects on the Nusselt number is analyzed. It was found that a unique optimum value of the pulsation frequency, represented by the Strouhal number, exists for Reynolds numbers ranging from 125 to 1000. Results suggest that the gain in heat transfer is related to the process of vortex formation, movement about the troughs of the wavy channel, and subsequent ejection/destruction through the converging section. Heat transfer is the highest when the frequencies of the pulsation and vortex formation approach being in-phase. Analysis of Strouhal number effect on Nu over a period of pulsation substantiates the proposed physical mechanism for enhancement. The effect of changing the amplitude of pulsation is also presented over a period of pulsation, showing a monotonic increase in heat transfer with increasing amplitude. The 60% increase in Nusselt number suggests that sinusoidal fluid pulsation can an effective method for enhancing heat transfer in laminar, wavy-channel flows.