69 research outputs found
Constructing optimal sparse portfolios using regularization methods
No full textThe ideas of Markowitz indisputably constitute a milestone in portfolio theory, even though the resulting mean-variance portfolios typically exhibit an unsatisfying out-of-sample performance, especially when the number of securities is large and that of observations is not. The bad performance is caused by estimation errors in the covariance matrix and in the expected return vector that can deposit unhindered in the portfolio weights. Recent studies show that imposing a penalty in form of a l1-norm of the asset weights regularizes the problem, thereby improving the out-of-sample performance of the optimized portfolios. Simultaneously, l1-regularization selects a subset of assets to invest in from a pool of candidates that is often very large. However, l1-regularization might lead to the construction of biased solutions. We propose to tackle this issue by considering several alternative penalties proposed in non-financial contexts. Moreover we propose a simple new type of penalty that explicitly considers financial information. We show empirically that these alternative penalties can lead to the construction of portfolios with superior out-of-sample performance in comparison to the state-of-the-art l1-regularized portfolios and several standard benchmarks, especially in high dimensional problems. The empirical analysis is conducted with various U.S.-stock market datasets
Penalized Least Squares for Optimal Sparse Portfolio Selection
No full textMarkowitz portfolios often result in an unsatisfying out-of-sample performance, due to the presence of estimation errors in inputs parameters, and in extreme and unstable asset weights, especially when the number of securities is large. Recently, it has been shown that imposing a penalty on the 1-norm of the asset weights vector not only regularizes the problem, thereby improving the out-of-sample performance, but also allows to automatically select a subset of assets to invest in. Here, we propose a new, simple type of penalty that explicitly considers financial information and consider several alternative non-convex penalties, that allow to improve on the 1-norm penalization approach. Empirical results on U.S.-stock market data support the validity of the proposed penalized least squares methods in selecting portfolios with superior out-of-sample performance with respect to several state-of-art benchmarks
Cardinality versus q-Norm Constraints for Index Tracking
No full textIndex tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models can be set up to determine the optimal index replicating portfolio. In this paper, we propose an alternative based on imposing a constraint on the q-norm, 0index tracking, cardinality constraint, q-norm, regularization methods, heuristic algorithms
Structural Optimization Of A Vertical Axis Wind Turbine With Aeroelastic Analysis
No full textCurrently, the price per kW of offshore wind energy is 55% larger than onshore [38, 52]. Of this price, the rotor corresponds to 22%. To reduce the price of wind energy, it is necessary to investigate wind turbine concepts with scales above 10 MW. The commonly known Horizontal Axis Wind Turbine (HAWT) requires offshore a large support structure. If the turbine is designed to be floating, a deep floater is needed to limit the tilt angle. A possible concept to meet this challenges is the lift-driven Vertical Axis Wind Turbine (VAWT). This thesis aims to optimize the structural design of a VAWT rotor blade and to decrease the mass to area ratio by varying blade shape and structural layout. The choice of mass to rotor area ratio as an optimization function follows from the fact that this area is directly proportional to the energy output while mass drives production and installation costs. The VAWT is defined by an axis perpendicular to the unperturbed flow direction. The rotor geometry is described through a Troposkein shape. It is assumed that the blades carry their own weight leading to a reinforced root region. During operation the blades experience aerodynamic and inertia forces, which are deflecting the blades outwards, leading to an alternation of the aerodynamic loads.The interplay of load alternation and blade deflection could lead to a diverging flutter motion. After a fitting design is obtained, the blade motion has to be inspected for a safe use during operation. The rotor is designed with an adjusted optimizer, originally written by M. Schelbergen [62]. The optimizer uses the Matlab optimization toolbox in combination with Nastran. The modification allows a smooth transition of the thickness of skin, shear web and girder. The airfoil section is varied along the blade. The optimization is based on load cases such as a parked rotor and the maximum up- and downwind forces. These loads are simplified and assumed to vary neither by the motion nor the deflections of the blade. In addition, an aeroelastic model is required to observe the blades’ motion. Through out thisthesis two aeroelastic codes were used. The VAWT AeroElastic Multibody Panel Solver (VÆMPS) was created by coupling Sandia National Laboratories OWENS and the near wake panel solver UMPM. However, its computational performance was not satisfying and it was decided to use HAWC2 coupled with an actuator cylinder model to determine the induction.European Wind Energy Masters (EWEM
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Designing Video-Based Interactive Instructions
No full textWhen attempting to accomplish unfamiliar tasks, people often look for tutorials to follow instructions. While it is easy to access online instructions shared by domain experts, navigating step-by-step guidance using existing tools remains inefficient. In addition, producing high-quality instructions that are easy to follow requires authoring expertise and a significant time investment in editing. This dissertation introduces video-based recording, editing, and playback tools optimized for creating and consuming tutorials from author demonstrations. Our interactive systems capture videos and high-level events that are important to a learner. Using video and audio analysis techniques, we develop algorithms that automatically produce high-quality instructions, which dramatically reduce the effort required for amateur creators. By introducing novel tutorial formats combined with video content, these designs in turn improve viewers’ learning experience.We present a series of authoring tools that enable amateur authors to create effective tutorials: 1) MixT is a system that automatically generates step-by-step mixed media tutorials from software demonstrations. 2) DemoWiz is a tool that provides an increased awareness of upcoming events in a software demonstration video. 3) DemoCut is a semi-automatic video editing tool for physical tasks. 4) Kinectograph is a recording device that automatically follows an instructor for filming a physical demonstration. 5) DemoDraw is a multi-modal system to generate step-by-step motion illustrations from author’s body movements. Current authoring practices from professionals are encoded into automatic algorithms and interactive techniques. These systems are evaluated through a series of studies, which demonstrate that users can efficiently create and follow concise instructions using our tools
Major Accident Prevention - Lessons Learned and Reinforcement Initiatives Ongoing in Statoil
No full textAbstract
Statoil’s contribution to this session of the SPE HSSE Conference is to share how we have reinforced our safety culture in the way we lead and work to reduce the risk of facing high potential incidents or major accidents.
The main objective of this paper and lecture is twofold:Raise the awareness of barrier challenges that historically have caused major accidents in our industry, and still do.Present specified risk areas that Statoil have reinforced attention on based on our learning from high potential incidents and major accidents in the period of 2012-2017.
The paper is seen from an operational user perspective and founded in the author and presenter’s more than 35 years of operational experience from "sharp end" worker and management positions within offshore operations and greenfield projects.
Key risks to be covered: Plant vibrations Plant corrosion Overdue/backlog of safety critical maintenance Diffuse gas leakages Transport of risks between an onshore planning party and offshore executing party Last minute change of plans Compliance with safe work requirements Competence
A film is developed to support the lecture in plenary.</jats:p
Development of Optimized Test Planning Procedures for Stabilizing Ramp-up Processes by Means of Design Science Research
No full textAbstractUnplanned engineering changes represent a major field of disturbance during production ramp-up. They require time-consuming qualification and approval procedures for product- or process-related redesign. Numerous engineering changes during production ramp-up can be traced back to lack of product maturity, not sufficiently increased during the precedent stage of product development. By applying effective and efficient product testing processes, product maturity can be measured and enhanced at an early stage. As a consequence, unplanned engineering changes can be avoided. Nevertheless, contemporary test management procedures lack of methodological support, especially in the field of test planning. To date, the successful evaluation of testing demand and selection of necessary test specifications mainly depends on the expert knowledge of the test management team. The present paper focuses on the development of optimized test planning procedures in order to accelerate early product maturity enhancement for stabilizing production ramp-up processes. Following design science research methodology, the relevance of the problem statement in the application environment of production ramp-up will be assessed. Furthermore, approaches of the knowledge base related to test management will be analyzed in order to constitute rigor of the applied research approach. Based on the evaluation of business needs from the relevant environment as well as the investigation of application knowledge, a research framework for deriving optimized test planning procedures is presented
How much randomness is needed for statistics?
No full textIn algorithmic randomness, when one wants to define a randomness notion with respect to some non-computable measure λ, a choice needs to be made. One approach is to allow randomness tests to access the measure λ as an oracle
(which we call the \classical approach"). The other approach is the opposite one, where the randomness tests are completely effective and do not have access to the information contained in λ (we call this approach \Hippocratic"). While the Hippocratic approach is in general much more restrictive, there are cases
where the two coincide. The first author showed in 2010 that in the particular case where the notion of randomness considered is Martin-Löf randomness and the measure λ is a Bernoulli measure, classical randomness and Hippocratic randomness coincide. In this paper, we prove that this result no longer holds for
other notions of randomness, namely computable randomness and stochasticity
Integrating catchment properties in small scale species distribution models of stream macroinvertebrates
No full textSpecies distribution models are increasingly applied to freshwater ecosystems. Most applications use large scales, coarse resolutions and anthropocentric modelling extents, thus not being able to consider important environmental predictors and ecological processes detectable within a catchment and at finer scales. Moreover, high resolution predictions of species distribution in streams can help improve our understanding of how environmental variables within a catchment affect the distribution of stream macroinvertebrates. We built models at a resolution of 25 m x 25 m for a 488 km(2) catchment in northern Germany to determine whether the spatial approach in which environmental predictors are implemented in the model affects the overall performance. We used predictors from four different categories relevant to freshwater ecosystems: bioclimatic, topographic, hydrologic and land use. Two spatial approaches were tested: a local one, or grid based and a cumulative for the upstream area, or subcatchment specific. Models were evaluated in terms of model performance and accuracy in order to identify the approach best suited for each category, as well as the most important predictor in each. In the case of the land use category, the subcatchment approach made a significant difference, increasing performance. A final model, calibrated with the selected predictors, resulted in the highest model performance and accuracy. Our results indicate that species distribution models perform well and are accurate at high resolutions, within small catchments. We conclude that catchment wide models, especially when using predictors from multiple categories, have the potential to significantly improve modelling framework of species distribution in freshwater ecosystems. The information produced by accurate, small scale, species distribution models can guide managers and conservation practitioners, by predicting the effects of management decisions within a catchment. We suggest that highly resolved predictors be applied in models using the catchment approach. (C) 2014 Elsevier B.V. All rights reserved.Species distribution models are increasingly applied to freshwater ecosystems. Most applications use large scales, coarse resolutions and anthropocentric modelling extents, thus not being able to consider important environmental predictors and ecological processes detectable within a catchment and at finer scales. Moreover, high resolution predictions of species distribution in streams can help improve our understanding of how environmental variables within a catchment affect the distribution of stream macroinvertebrates. We built models at a resolution of 25 m x 25 m for a 488 km(2) catchment in northern Germany to determine whether the spatial approach in which environmental predictors are implemented in the model affects the overall performance. We used predictors from four different categories relevant to freshwater ecosystems: bioclimatic, topographic, hydrologic and land use. Two spatial approaches were tested: a local one, or grid based and a cumulative for the upstream area, or subcatchment specific. Models were evaluated in terms of model performance and accuracy in order to identify the approach best suited for each category, as well as the most important predictor in each. In the case of the land use category, the subcatchment approach made a significant difference, increasing performance. A final model, calibrated with the selected predictors, resulted in the highest model performance and accuracy. Our results indicate that species distribution models perform well and are accurate at high resolutions, within small catchments. We conclude that catchment wide models, especially when using predictors from multiple categories, have the potential to significantly improve modelling framework of species distribution in freshwater ecosystems. The information produced by accurate, small scale, species distribution models can guide managers and conservation practitioners, by predicting the effects of management decisions within a catchment. We suggest that highly resolved predictors be applied in models using the catchment approach. (C) 2014 Elsevier B.V. All rights reserved
Surface Sediments of the Pearl River Estuary (South China Sea) - Spatial Distribution of Sedimentological/Geochemical Properties and Environmental Interpretation
No full textThe Pearl River Delta (South China) is one of the densest populated regions of the world. This study aims at the investigation and interpretation of the spatial distribution of grain size parameters and geochemical parameters obtained from surface sediment samples. These samples have been taken during cruises in 2003, 2004 and 2005. Investigations of the spatial correlations of the parameters obtained reveal an approximately north-south directed trend for the majority of the parameters. The trend was removed before applying Ordinary Kriging for interpolation. The maps obtained show non-uniform distribution patterns of the sedimentological and geochemical parameters. Here e.g. the concentrations of the As, Co, Cu, Hg and Ni decrease to the more marine influenced southeastern parts and show a higher concentration in the central part and at the western shoals of the estuary.The Pearl River Delta (South China) is one of the densest populated regions of the world. This study aims at the investigation and interpretation of the spatial distribution of grain size parameters and geochemical parameters obtained from surface sediment samples. These samples have been taken during cruises in 2003, 2004 and 2005. Investigations of the spatial correlations of the parameters obtained reveal an approximately north-south directed trend for the majority of the parameters. The trend was removed before applying Ordinary Kriging for interpolation. The maps obtained show non-uniform distribution patterns of the sedimentological and geochemical parameters. Here e.g. the concentrations of the As, Co, Cu, Hg and Ni decrease to the more marine influenced southeastern parts and show a higher concentration in the central part and at the western shoals of the estuary
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