Cast aluminum alloys are common in automotive and aerospace applications due to their high strength-to-density ratio. Fracture data for cast aluminum alloys, such as fatigue life, tensile strength and elongation, are heavily affected by the structural defects, such as pores and bifilms. There have been numerous studies in which either fatigue performance or tensile deformation were characterized and linked to casting defects. However, a comprehensive study that correlates tensile and fatigue properties has not been reported. The present study is motivated to fill this gap. The main objective of the investigation is to analyze the link between tensile and fatigue performance of commonly used cast aluminum alloys, and determine whether fatigue performance of cast aluminum alloys can be predicted. To accomplish this task, four research questions were developed: (i) how well do equations developed to account for mean stress effects perform in cast aluminum alloys, especially in datasets with various levels of structural quality, (ii) is the strong correlation between fatigue life and structural quality index obtained from tensile data reported for A206 alloy castings applicable to other aerospace and automotive casting alloys, (iii) how do methods to estimate high cycle fatigue from tensile data perform with aluminum castings, and (iv) can the axial fatigue performance of an A356-T6 casting be predicted from rotating beam fatigue data. Among the three mean stress correction models analyzed by using seven datasets from the literature, the one developed by Walker with an adjustable exponent has provided the best fit. It has been hypothesized that the adjustable Walker parameter is related to the structural quality index, QT, estimated from tensile data. Results have shown that there is indeed a strong correlation between QT and the Walker parameter. Moreover the parameters of the xvi Weibull distribution estimated from corrected data have been found to be strongly influenced by the mean stress correction method used. Tensile and fatigue life data for 319, D357 and B201 aluminum alloy castings reported in the literature have been reanalyzed by using a maximum likelihood method to estimate Basquin parameters in datasets with run-outs, Weibull statistics for censored data and mean stress correction. After converting tensile data to QT, a distinct relationship has been observed between the expected fatigue life and mean quality index for all alloys. Moreover, probability of survival in fatigue life has been found to be directly linked to the proportions of the quality index distributions in two different regions, providing further evidence about the strong relationship between elongation, i.e., structural quality, and fatigue performance [1]. Specimen geometry has been found to make the largest difference whereas the two aerospace alloys, B201 and D357, with distinctly different microstructures, have followed the same relationship, reinforcing the findings in the literature that fatigue life in aluminum castings is mainly determined by the size distribution and number density of structural defects. Six methods to predict fatigue life from tensile data have been compared by using data from the literature as well as the experimental A356 data developed in this study. Results have shown that none of the six methods provide reliable results. The consistently poor performance of the methods developed for steels and wrought alloys can be attributed to the major structural defects, namely bifilms, in aluminum castings. A new method to estimate the S-N curve from tensile data have been developed by using data for seventy-one S-N curves have been collected and Basquin parameters have been determined. Analysis showed that there is a strong relationship between QT and the Basquin exponent. xvii The Basquin parameters estimated by using the empirical relationships developed in the present study have provided better fits to the same datasets tested for the six methods. Hence the model developed in this study is proposed as the most reliable method to estimate high cycle fatigue properties. Finally, three methods to convert rotating bending fatigue test results to uniaxial fatigue data have been investigated by using the data developed in this study. Results have indicated that the method developed by Esin, in which both the fatigue life and alternating stress are corrected, provide the best estimate. Analyses of fracture surfaces of broken specimens via scanning electron microscopy have shown that tensile, axial fatigue and rotating beam fatigue properties are all strongly influenced by the same structural defects, confirming the validity of the approach taken in this study.

This paper consolidates and compares the applicability and practicality of Black-Litterman model versus traditional Markowitz Mean-Variance model. Although well-known model such as Mean-Variance is academically sound and popular, it is rarely used among asset managers due to its deficiencies. To put the discussion into context we shed light on the improvement made by Fisher Black and Robert Litterman by putting the performance and practicality of both Black- Litterman and Markowitz Mean-Variance models into test. We will illustrate detailed mathematical derivations of how the models are constructed and bring clarity and profound understanding of the intuition behind the models. We generate two different portfolios, composing data from 10-Swedish equities over the course of 10-year period and respectively select 30-days Swedish Treasury Bill as a risk-free rate. The resulting portfolios orientate our discussion towards the better comparison of the performance and applicability of these two models and we will theoretically and geometrically illustrate the differences. Finally, based on extracted results of the performance of both models we demonstrate the superiority and practicality of Black-Litterman model, which in our particular case outperform traditional Mean- Variance model.

Approved for public release; distribution is unlimited / Computer simulation studies of a frequency domain adaptive beamforming algorithm are presented. These simulation studies were conducted to determine the multiple broadband target localization capability and the full angular coverage capability of the algorithm. The algorithm was evaluated at several signal-to-noise ratios with varying sampling rates. The number of iterations that the adaptive algorithm took to reach a minimum estimation error was determined. Results of the simulation studies indicate that the algorithm can localize multiple broadband targets and has full angular coverage capability. / http://archive.org/details/computersimulati00behr / Lieutenant, United States Navy

[pt] O agronegócio possui grande importância para a economia brasileira, representando uma parcela significativa do PIB e das exportações totais do país. Assim como em outros processos produtivos inseridos em ambiente de incerteza, a atividade agropecuária necessita de instrumentos que minimizem o risco, principalmente, o risco de preço e auxiliem no processo de tomada de decisão dos agentes participantes do agronegócio. Neste contexto, os mercados futuros constituem-se como alternativas financeiras no gerenciamento de riscos através das operações de hedge. Porém, a eficiência destas operações depende da aplicação de metodologias adequadas que conduzam ao conhecimento mais preciso sobre os preços futuros. Deste modo, o objetivo principal deste trabalho é avaliar a aplicação dos modelos de difusão de saltos, tão bem sucedidos para a estrutura a termo da taxa de juros, para o caso de commodities; focando na realização de previsões. A análise empírica será realizada a partir da série histórica de preços da commodity agrícola café arábica negociada na BM&F. A metodologia empregada é fundamentada no artigo de Sanjiv Das (1998). Nesta tese será estimada uma classe de modelos estocásticos descritos pela literatura, tais como o processo de reversão à média, o movimento geométrico browniano, bem como suas variantes com jumps. Efeitos ARCH e GARCH também serão considerados na modelagem. O processo de estimação será desenvolvido tanto por métodos tradicionais quanto por Algoritmos Genéticos. Diante do problema exposto e da escassez de estudos modernos direcionados a abordagem das commodities agrícolas no país, o tema proposto justifica- se como motivação para pesquisa científica e tecnológica. / [en] The agribusiness has great importance for the Brazilian economy, representing a significative share of GDP and total exports of the country. Like other production processes inserted in an environment of uncertainty, the agricultural activity needs instruments that minimize the risk, especially, the risk of price and assist in decision-making process of agents participating in agribusiness. In this context, the future markets constitute themselves as financial alternatives in risk management through the hedge operations. However, the efficiency of these operations depends on the application of appropriate methodologies that lead to more precise knowledge about future prices. Thus, the main objective of this work is to evaluate the application of jumps diffusion models, so successful for the structure of interest rate, in the case of commodities; focusing on the achievement of forecast. The empirical analysis will be carried out from the historical range of arabic coffee agricultural commodity´s prices traded on BM&F. The methodology used is based on the paper from Sanjiv Das (1998). In this thesis it will be estimated a class of stochastic models described in the literature, such as the mean-reversion process, the geometric Brownian motion and its variants with jumps. ARCH and GARCH effects will also be considered in the modeling. The process of estimation will be developed by traditional methods as well as by Genetic Algorithms. Facing the problem and the shortage of modern studies directed to the approach of the agricultural commodities in the country, the topic proposed is a motivation for scientific and technological research.

Om världen ska kunna ställa om till förnyelsebara energikällor krävs det nya och bättre tekniklösningar. En liten del av lösningen på balanseringsproblematiken på elnätet som icke-reglerbara energikällor som sol- och vindkraft står för kan vara att sköta en del av balanseringen lokalt i byggnader med hjälp av batterilager. För att kunna styra den balanseringen på ett optimalt sätt behöver styrningen ha prognoser för hur stor den elektriska lasten i byggnaden kommer vara framöver. Syftet med denna studie har varit att utföra en elektrisk lastprognostisering för en byggnad över ett dygn. Modellen som utförde elektrisk lastprognostisering för en byggnad har baserats på neurala nätverk. Istället för att ha ett neuralt nätverk som prognostiserar över hela dygnet har 24 olika neurala nätverk prognostiserat varsin timma. Varje neuralt nätverk har valts efter tester mellan ett flertal neurala nätverk med variationer i parametrar som har tagits fram med hjälp av en klusteralgoritm. Resultatet visade att modellen som tagits fram i studien prognostiserade den elektriska lasten i en byggnad över ett dygn med en felmarginal enligt mean average percentage error på 5.67%. Det gick även att se fördelar med att dela upp prognostiseringen i mindre delar och testa olika parametrar för varje timma som skulle prognostiseras. Med avseende på jämförelser med andra studier och att bostadshus är ett välkänt svårt prognostiseringsproblem bör resultatet anses som godkänt. Det mesta tyder på att prognostiseringsmodellen är tillräckligt bra för att kunna assistera en smart styrning av ett batteri i en byggnad med användbar information / If the world should be able to convert to renewable energy sources, new and better technical solutions is required. A small part of the solution to the balancing problem on the electricity grid, as non-controllable energy sources such as solar and wind power is highly responsible for, can be to handle part of the balancing locally in buildings using battery storage. In order to be able to control this balancing in the optimal way, the control system needs to have forecasts of how large the electric load in the building will be in the future. The aim of this study has been to carry out electrical load prediction for a building over one day. The model that carried out electrical load forecasting for a building has been based on neural networks. Instead of having one neural network that predicts the whole day, 24 different neural networks have been forecasting each hour. Each neural network has been selected after testing between several neural networks with variations in parameters that have been selected using a cluster algorithm. The result showed that the model developed in the study predicted the electric load in a building over one day with a mean average percentage error of 5.67%. It was also possible to see the advantages of dividing the prediction into smaller parts and testing different parameters for each hour that would be forecast. With regard to comparisons with other studies and that residential buildings are a well-known difficult forecasting problem, the result should be considered as acceptable. Most indications show that the forecasting model is good enough to be able to assist a smart control of a battery in a building with useful information.

Student Number : 8804388Y - MSc Dissertation - School of Computational and Applied Mathematics - Faculty of Science / This dissertation considers the pricing and hedging of contingent claims in a general semimartingale market. Initially the focus is on a complete market, where it is possible to price uniquely and hedge perfectly. In this context the two fundamental theorems of asset pricing are explored. The market is then extended to incorporate risk that cannot be hedged fully, thereby making it incomplete. Using quadratic cost criteria, optimal hedging approaches are investigated, leading to the derivations of the minimal martingale measure and the variance-optimal martingale measure. These quadratic approaches are then applied to the problem of minimizing the basis risk that arises when an option on a non-traded asset is hedged with a correlated asset. Closed-form solutions based on the Black-Scholes equation are derived and numerical results are compared with those resulting from a utility maximization approach, with encouraging results.

Cette thèse présente une étude des propriétés des courbes de Brody, dont la plupart est motivée par des questions issues des calculs de dimension moyenne. On se positionne donc en quelque sorte à l'opposée du cadre qui leur a engendré, l'hyperbolicité des variétés complexes, où ces courbes sont plutôt rares. Dans cette voie, on montre que l'espace de courbes de Brody à valeurs dans une surface de Hopf est de dimension moyenne nulle, tandis que celles à valeurs dans certains complémentaires d'hyperplans de $P^n$ constituent un espace de dimension moyenne positive. On sera aussi amené à comprendre la distribution des valeurs pour les courbes de Brody, en retrouvant des contraintes supplémentaires que leur structure particulière induit, dans la direction d'un second théorème. / This thesis focuses on properties of Brody curves which originated on questions about mean dimension. We present therefore a point of view opposite to the setting on which they were first applied, the hyperbolicity of complex varieties, where these curves are expected to be rare. In this setting, we show that the space of Brody curves on a Hopf surface has zero mean dimension, while that of curves avoiding a small number of hyperplanes in $P^n$ have a positive one. In a second time, we'll study the value distribution theory for Brody curves, determining further constraints on their behaviour implied by their particular structure.

Neste trabalho, estabelecemos uma equação que relaciona a curvatura de Ricci de uma variedade riemanniana M e as segundas formas fundamentais de duas folheações ortogonais de dimensões complementares, F e F, definidas em M. Usando essa equação, encontramos uma estimativa da curvatura média da folheação F e uma condição necessária e suficiente para que tal folheação seja totalmente geodésica. Mostramos também uma condição suficiente para que M seja localmente um produto riemanniano das folhas de F e F, se uma das folheações for totalmente umbílica. Por fim, provamos ainda uma fórmula integral válida para tais folheações. / In this work, we and an equation that relates the Ricci curvature of a riemannian manifold M and the second fundamental forms of two orthogonal foliations of complementary dimensions, F and F, defined on M. Using this equation, we and an estimate of the mean curvature of the foliation F and a necessary and suficient condition for the foliation F to be totally geodesic. We also show a suficient condition for the manifold M to be locally a riemannian product of the leaves of F and F, if one of the foliations is totally umbilical. Finally, we also prove an integral formula for such foliations.

O estresse térmico em touros é um fator muito importante, pois afeta negativamente o comportamento reprodutivo e diminui a eficiência reprodutiva. Uma das causas deste efeito adverso é a ineficiência da termorregulação testicular, que conduz ao aumento do metabolismo celular, causando estresse oxidativo e apoptose das células germinativas, o que caracteriza a degeneração testicular, que pode levar à infertilidade, ou mesmo à esterilidade do animal. A degeneração testicular pode ser diagnosticada pela palpação do órgão, aferição do perímetro escrotal e pelo espermograma. No entanto, outras ferramentas podem ser empregadas para auxiliar no diagnóstico desta alteração, entre elas estão a termografia e a ultrassonografia. Desta forma, neste trabalho avaliou-se a eficiência do termógrafo e do ultrassom como instrumentos auxiliares para o diagnóstico da degeneração testicular em bovinos. Para o presente estudo utilizaram-se 16 touros da raça Nelore separados em dois grupos experimentais: Controle: animais sem indução à degeneração testicular (CON, n = 08); e Degeneração: animais induzidos à degeneração testicular (INS, n = 08) por meio de bolsas insuladoras mantidas por 96 horas. Os animais foram submetidos semanalmente a avaliações das características clínicas e seminais, realizando-se as análises duas semanas antes da insulação testicular (S-2 e S-1), no dia da retirada da bolsa (D0) e durante quatro semanas após a retirada da mesma (S+1 a S+4). Foram avaliadas frequência cardíaca (FC), frequência respiratória (FR) e temperatura retal (TR); avaliações testiculares: perímetro escrotal (PE), consistência testicular (CT), temperatura média da superfície escrotal (TMSE), ecotextura (ETT), ecogenicidade (EGT) e vascularização do parênquima testicular (EVT), vascularização (EVP) e índice de resistência vascular (RIP) do plexo pampiniforme. O sêmen dos touros foi colhido e avaliado considerando motilidade (MT), vigor (VG), morfologia (defeitos maiores, menores e totais), integridade das membranas plasmática e acrossomal e potencial de membrana mitocondrial (PIAIA). Para a análise estatística foi utilizado o Statistical Analysis Software (SAS 9.3). Os dados das avaliações realizadas em S-2 e S-1 foram submetidos ao procedimento MIXED considerando dois grupos (CON e INS). Os dados das avaliações realizadas após a insulação foram submetidos ao procedimento MIXED e adicionando o fator tempo por meio do comando REPEATED. O nível de significância considerado foi de P≤0,05, sendo considerada tendência quando este ficou entre 0,051 e 0,1. Foram realizadas correlações de Pearson, utilizando-se o programa StatView (SAS, 1999). Os grupos de touros foram semelhantes nas semanas pré-insulação. Nas semanas pós-insulação, notou-se interação entre tempo e tratamento para FR (p=0,04), CT (p=0,0003) e RIP (p=0,03) e tendência para EVT (p=0,08). Foram observados maiores valores para TMSE, ETT e EVT para INS do que para CON, mas menores valores de PE, CT, EVP e RIP para INS do que para CON. Além disso, encontrou-se interação entre tempo e tratamento para MT (p=0,01), defeitos morfológicos (p<0,001) e alto potencial mitocondrial (AP, p=0,01) e tendência para PIAIA (p=0,07). O grupo INS apresentou queda na MT, PIAIA e AP, associado com aumento nos defeitos morfológicos. Foram verificadas correlações entre as características ambientais (temperatura ambiente e umidade relativa do ar) e os termogramas. Os termogramas apresentaram correlações com parâmetros vitais e achados testiculares. A hemodinâmica apresentou correlações mais fracas com outras características testiculares. Concluiu-se que o estresse térmico testicular provoca um quadro de degeneração testicular, caracterizado por redução na CT e na MT, PIAIA, PI e AP, além de aumento de defeitos morfológicos espermáticos. Este quadro é acompanhado pelo aumento da TMSE somente no dia da retirada das bolsas, provoca heterogeneidade do parênquima testicular, aumenta a vascularização testicular, reduz a vascularização do plexo pampiniforme e o RI dos vasos do plexo pampiniforme. Desta forma, a termografia e a ultrassonografia testiculares contribuem para o diagnóstico da degeneração testicular em touros. / Heat stress in bulls is a very important factor because it adversely affects the reproductive behavior and reduces the reproductive efficiency. One of the causes of this adverse effect is the inefficiency of testicular thermoregulation, which leads to increased cellular metabolism, causing oxidative stress and apoptosis of germ cells, which characterizes testicular degeneration, which can lead to infertility or even to animal sterility. Testicular degeneration can be diagnosed by palpation of the testicles, scrotal perimeter and sperm analyses. However, other tools can be used to aid in the diagnosis of this alteration, such as thermography and ultrasonography. Thus, this study evaluated the effectiveness of thermography and ultrasound as auxiliary tools in the diagnosis of testicular degeneration in cattle. For the present study, 16 Nelore bulls were divided in two experimental groups: Control: animals without induction to testicular degeneration (CON, n = 08); and Degeneration: animals induced to testicular degeneration (INS, n = 08) through insulation bags, maintained for 96 hours. Animals underwent weekly evaluations of clinical and seminal characteristics, performed assessments two weeks prior to testicular insulation (S-2 and S-1), on the day of the removal of the bag (D0) and during four week after removal of the bag (S+1 to S+4). The following were evaluated: heart rate (HR), respiratory rate (RR) and rectal temperature (RT); testicular evaluations: scrotal circumference (SC), testicular consistency (TC), mean temperature of the scrotal surface (MTSS), echotexture (ETT), echogenicity (EGT), vascularization of testicular parenchyma (VTP), vascularization of the pampiniform plexus (VPP) and resistance index (RI). The semen of the bulls was collected and evaluated considering motility (MT), vigor (VG), morphology (major, minor and total defects), plasma and acrosomal membrane integrity and mitochondrial membrane potential (PIAIA). Statistical analysis was performed using Statistical Analysis Software (SAS 9.3). Data from the S-2 and S-1 evaluations were submitted to the MIXED procedure considering two groups (CON and INS). Data from the evaluations performed after the insulation were submitted to the MIXED procedure adding the time factor through the REPEATED command. The significance level considered was P≤0,05, being considered a trend when it was between 0,051 and 0,1. Pearson correlations were performed using the StatView program (SAS, 1999). The groups were similar in the pre-insulation period. In the post-insulation weeks, it was noted the interaction between time and treatment for RR (p = 0.04), TC (p = 0.0003) and RI (p = 0.03) and a tendency to VTP (p = 0, 08). Greater values were observed for MTSS, ETT and VTP for INS than for CON, but lower values of SC, TC, VPP and RI for INS than for CON. In addition, there was interaction between time and treatment for MT (p = 0.01), morphological defects (p <0.001) and high mitochondrial potential (HMP, p = 0.01) and tendency for PIAIA (p = 0, 07). The INS group presented decrease in MT, PIAIA and HMP, associated with increase in morphological defects. Correlations were found between the environmental characteristics (temperature and relative humidity) and thermograms. The thermograms presented correlations with vital parameters and testicular findings. Hemodynamics showed weaker correlations with other testicular characteristics. In conclusion, testicular heat stress causes a testicular degeneration, characterized by reduction in TC and MT, PIAIA, PI and HMP, in addition to an increase in spermatic morphological defects. This situation, accompanied by the increase in MTSS only on the day of the removal of the bags, causes testicular parenchyma heterogeneity, increases testicular vascularization, reduces pampiniform plexus vascularization and RI of pampiniform plexus vessels. Thus, testicular thermography and ultrasonography contribute to the diagnosis of testicular degeneration in bulls.

Inicialmente neste trabalho são apresentados os conceitos básicos de média e variância e como estes se aplicam na caracterização de um ativo ou carteira de investimento. Posteriormente são apresentadas as estratégias ótimas de investimento para o modelo de Markowitz sem posições a descoberto em ativos de risco, e sem tal restrição. Ainda neste trabalho é apresentada uma breve revisão do modelo de tempo contínuo para o problema de média-variância sem posições a descoberto em ativos de risco, e como objetivo principal do mesmo é proposto um modelo em tempo discreto multiperíodo a partir do modelo de tempo contínuo, o qual é implementado computacionalmente para o mercado de capitais brasileiro. O resultado obtido é comparado com a estratégia de período único do modelo de Markowitz sem posições a descoberto em ativos de risco, sendo este modelo aplicado sequencialmente no horizonte de tempo considerado para o modelo multiperíodo. / Initially in this work are presented the basics concepts of mean and variance and how they are applied to quantify an asset or a portfolio. After this we present the optimal investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period and the Markowitz optimal investment strategy without such constrain. Following this, we present a short review of the continuous-time dynamic model for the mean-variance portfolio selection with no-shorting constraints in risky assets problem. As the main objective of this work we propose a discrete time multiperiod model based on the continuous-time portfolio selection with no-shorting constraints in risky assets, that is applied to the Brazilian financial market. This result is compared with the investment strategy of the Markowitz no-shorting constraints mean-variance portfolio selection in single period applied sequentially in the multiperiod case.