Compressed sensing (CS) is a relatively new branch of mathematics with very interesting applications in signal processing, statistics and computer science. This thesis presents some theory of compressed sensing, which allows us to recover (high-dimensional) sparse vectors from (low-dimensional) compressed measurements by solving the L1-minimization problem. A possible application of CS to the problem of error correction is also presented, where sparse vectors are that of arbitrary noise. Successful sparse recovery by L1-minimization relies on certain properties of rectangular matrices. But these matrix properties are extremely subtle and difficult to numerically verify. Therefore, to get an idea of how sparse (or dense) errors can be, numerical simulation of error correction was done. These simulations show the performance of error correction with respect to various levels of error sparsity and matrix dimensions. It turns out that error correction degrades slower for low matrix dimensions than for high matrix dimensions, while for sufficiently sparse errors, high matrix dimensions offer a higher likelihood of guaranteed error correction.

Neste trabalho foi realizado um grande levantamento de técnicas de esparsidade relacionadas a sistemas estáticos de energia elétrica. Tais técnicas visam, do ponto de vista computacional, ao aumento da eficiência na solução de rede elétrica objetivando, além da resolução em si, a redução dos requisitos de memória, armazenamento e tempo de processamento. Para tanto, uma extensa revisão bibliográfica foi compilada, apresentando um posicionamento histórico e uma ampla visão do desenvolvimento teórico. Os testes comparativos realizados para sistemas de 14, 30, 57 e 118 barras, sobre a implantação de três das técnicas mais empregadas, apontou a Bi-fatoração como tendo o melhor desempenho médio. Para sistemas pequenos, a Eliminação Esparsa e Sintética de Gauss apresentou melhores resultados. Este trabalho fornecerá subsídios conceituais e metodológicos a técnicos e pesquisadores da área. / In this work a great survey of sparsity techniques related to static systems of electric power was accomplished. Such techniques seek, for of the computational point of view, the increase of the efficiency in the solution of the electric net aiming, besides the resolution of itself, the reduction of memory requirements, the storage and time processing. For that, an extensive bibliographic review was compiled providing a historic positioning and a broad view of theoretic development. The comparative tests accomplished for systems of 14,30, 57 and 118 buses, on the implementation of three of the most employed techniques, it pointed out an bi-factorisation as best medium performance. For small systems, the sparse symmetric Gaussian elimination showed the best results. This work will supply conceptual and methodological subsidies to technicians and researchers of the area.

Neste trabalho foi realizado um grande levantamento de técnicas de esparsidade relacionadas a sistemas estáticos de energia elétrica. Tais técnicas visam, do ponto de vista computacional, ao aumento da eficiência na solução de rede elétrica objetivando, além da resolução em si, a redução dos requisitos de memória, armazenamento e tempo de processamento. Para tanto, uma extensa revisão bibliográfica foi compilada, apresentando um posicionamento histórico e uma ampla visão do desenvolvimento teórico. Os testes comparativos realizados para sistemas de 14, 30, 57 e 118 barras, sobre a implantação de três das técnicas mais empregadas, apontou a Bi-fatoração como tendo o melhor desempenho médio. Para sistemas pequenos, a Eliminação Esparsa e Sintética de Gauss apresentou melhores resultados. Este trabalho fornecerá subsídios conceituais e metodológicos a técnicos e pesquisadores da área. / In this work a great survey of sparsity techniques related to static systems of electric power was accomplished. Such techniques seek, for of the computational point of view, the increase of the efficiency in the solution of the electric net aiming, besides the resolution of itself, the reduction of memory requirements, the storage and time processing. For that, an extensive bibliographic review was compiled providing a historic positioning and a broad view of theoretic development. The comparative tests accomplished for systems of 14,30, 57 and 118 buses, on the implementation of three of the most employed techniques, it pointed out an bi-factorisation as best medium performance. For small systems, the sparse symmetric Gaussian elimination showed the best results. This work will supply conceptual and methodological subsidies to technicians and researchers of the area.

Le premier chapitre examine les caractéristiques statistiques à long terme des rendements financiers en France et aux USA. Les propriétés des différents actifs font apparaître qu’à long terme les actions procurent un risque sensiblement moins élevé. En outre, les propriétés de retour à la moyenne des actions justifient qu’elles soient utilisées dans une stratégie de cycle de vie comme « option par défaut » de plans d’épargne retraite. Le chapitre deux fournit une explication au débat sur l'hypothèse d’efficience des marchés. La cause du débat est souvent attribuée à la petite taille des échantillons et à la faible puissance des tests statistiques dédiés. Afin de contourner ce problème, nous utilisons l'approche développée par Campbell et Viceira (2005) qui utilisent une méthode VAR pour mettre en évidence l’existence de retour vers la moyenne dans le cours des actifs risqués.Le troisième chapitre évalue la vitesse de convergence des cours des actions. Un moyen classique pour caractériser la vitesse de retour vers la moyenne est la « demi-vie ». En comparant les indices boursiers de quatre pays développés (États-Unis, Royaume-Uni, France et Japon) sur la période 1950-2014, nous établissons une vitesse de convergence significative, avec une demi-vie entre 4,0 et 5,8 ans.Le dernier chapitre présente les résultats d'un modèle conçu pour étudier les interactions entre la démographie et les régimes de retraite. Afin d’étudier les risques inhérents à l’utilisation des revenus du capital pour financer les retraites, nous utilisons un « Trending OU process » au lieu d’un MBG classique pour modéliser les rendements. Pour un épargnant averse au risque le marché pourrait concurrencer les régimes par répartition. / Chapter one examines the long run statistical characteristics of financial returns in France and the USA for selected assets. This study clearly shows that the returns’ distributions diverge from the Gaussian strategy as regards longholding periods. Thereafter we analyze the consequences of the non-Gaussian nature of stock returns on default-option retirement plans.Chapter two provides a reasonable explanation to the strong debate on the Efficient Market Hypothesis. The cause of the debate is often attributed to small sample sizes in combination with statistical tests for mean reversion that lackpower. In order to bypass this problem, we use the approach developed by Campbell and Viceira (2005) who have settled a vectorial autoregressive methodology (VAR) to measure the mean reversion of asset returns.The third chapter evaluates the speed of convergence of stock prices. A convenient way to characterize the speed of mean reversion is the half-life. Comparing the stock indexes of four developed countries (US, UK, France and Japan) during the period 1950-2014, we establish significant mean reversion, with a half-life lying between 4,0 and 5,8 years.The final chapter provides some results from a model built in order to study the linked impacts of demography and economy on the French pension scheme. In order to reveal the risks that are contained in pension fund investment, we use a Trending Ornstein-Uhlenbeck process instead of the typical GBM for modeling stock returns. We find that funded scheme returns, net of management fees, are slightly lower thanthe PAYG internal rate of return.