A statistical approach to some mine valuation and allied problems on the Witwatersrand

Thesis (M.Sc.(Engineering))--University of the Witwatersrand, Faculty of Engineering, 1951

Universal Prediction Distribution for Surrogate Models

International audienceThe use of surrogate models instead of computationally expensive simulation codes is very convenient in engineering. Roughly speaking, there are two kinds of surrogate models: the deterministic and the probabilistic ones. These last are generally based on Gaussian assumptions. The main advantage of probabilistic approach is that it provides a measure of uncertainty associated with the surrogate model in the whole space. This uncertainty is an efficient tool to construct strategies for various problems such as prediction enhancement, optimization or inversion.In this paper, we propose a universal method to define a measure of uncertainty suitable for any surrogate model either deterministic or probabilistic. It relies on Cross-Validation (CV) sub-models predictions. This empirical distribution may be computed in much more general frames than the Gaussian one. So that it is called the Universal Prediction distribution (UP distribution).It allows the definition of many sampling criteria. We give and study adaptive sampling techniques for global refinement and an extension of the so-called Efficient Global Optimization (EGO) algorithm. We also discuss the use of the UP distribution for inversion problems. The performances of these new algorithms are studied both on toys models and on an engineering design problem

The Social context of motorcycle riding and the key determinants influencing rider behavior: A qualitative investigation

Objective: Given the increasing popularity of motorcycle riding and heightened risk of injury or death associated with being a rider, this study explored rider behaviour as a determinant of rider safety and, in particular, key beliefs and motivations which influence such behaviour. To enhance the effectiveness of future education and training interventions, it is important to understand riders’ own views about what influences how they ride. Specifically, this study sought to identify key determinants of riders’ behaviour in relation to the social context of riding including social and identity-related influences relating to the group (group norms and group identity) as well as the self (moral/personal norm and self-identity). ----- ----- Method: Qualitative research was undertaken via group discussions with motorcycle riders (n = 41). Results: The findings revealed that those in the group with which one rides represent an important source of social influence. Also, the motorcyclist (group) identity was associated with a range of beliefs, expectations, and behaviours considered to be normative. Exploration of the construct of personal norm revealed that riders were most cognizant of the “wrong things to do” when riding; among those issues raised was the importance of protective clothing (albeit for the protection of others and, in particular, pillion passengers). Finally, self-identity as a motorcyclist appeared to be important to a rider’s self-concept and was likely to influence their on-road behaviour. ----- ----- Conclusion: Overall, the insight provided by the current study may facilitate the development of interventions including rider training as well as public education and mass media messages. The findings suggest that these interventions should incorporate factors associated with the social nature of riding in order to best align it with some of the key beliefs and motivations underpinning riders’ on-road behaviours

The price-to-book effect on the JSE : valuation disparities and subsequent performance

CITATION: Du Toit, S. G. & Krige, J. D. 2014. The price-to-book effect on the JSE : valuation disparities and subsequent performance. South African Journal of Business Management, 45(4): a143, doi:10.4102/sajbm.v45i4.143.The original publication is available at https://sajbm.orgThe purpose of this study was to determine whether the relative out- or underperformance of a value portfolio versus a growth portfolio can be anticipated in advance by comparing a valuation difference multiple with the subsequent fiveyear relative performance of the value and growth portfolios. The valuation difference multiple was calculated as the median price-to-book value (P/B) ratio of the growth portfolio divided by the median P/B ratio of the value portfolio. Using monthly data for the period 1991 to 2011, this study found that in most instances the higher the valuation difference multiple, the higher the outperformance of the value portfolio over the subsequent five-year period, as compared to the growth portfolio.https://sajbm.org/index.php/sajbm/article/view/143Publisher's versio

The price-to-book effect on the JSE: Valuation disparities and subsequent performance

The purpose of this study was to determine whether the relative out- or underperformance of a value portfolio versus a growth portfolio can be anticipated in advance by comparing a valuation difference multiple with the subsequent fiveyear relative performance of the value and growth portfolios. The valuation difference multiple was calculated as the median price-to-book value (P/B) ratio of the growth portfolio divided by the median P/B ratio of the value portfolio. Using monthly data for the period 1991 to 2011, this study found that in most instances the higher the valuation difference multiple, the higher the outperformance of the value portfolio over the subsequent five-year period, as compared to the growth portfolio

Perfect foresight portfolios on the Johannesburg stock exchange

The main aim of this study was to determine the effect of unanticipated information, or noise, on the returns of cap-weighted portfolios in various segments of the JSE for the period 1995 to 2014.   According to Fuller, Han and Tung (2012), all investors in a segment would gain maximum alpha from a portfolio weighted by ex post market capitalisation – in other words, a ‘perfect foresight’ (PF) portfolio. The PF portfolio is a buy-and-hold portfolio of all shares in a particular segment with weights at the beginning of the return period set to be proportional to the market capitalisation of the shares at the end of the return period. The excess return of the PF portfolio over the benchmark portfolio therefore is an estimate of the effect of unanticipated information on the return of the benchmark portfolio. It provides an estimate of the maximum annual amount of available alpha to all investors involved in that segment in a given year. In this study, the returns of PF portfolios were compared with the All Share, Large Cap, Mid Cap and Small Cap segments of the JSE.   Intuitively, information to guide decisions on portfolio weighting would be more valuable and deliver more profit when the cross-sectional standard deviation of share returns is high. Therefore a secondary aim was to investigate the correlation between cross-sectional standard deviation and PF excess return. It was found that a strong positive correlation (more than 90%) existed between cross-sectional standard deviation and PF excess return in all segments.   In ascending order of annual PF excess return and average cross-sectional standard deviation the results for the segments were: Large Cap (8% and 29%), All Share (9% and 32%), Mid Cap (13% and 36%) and Small Cap (17% and 43%)

Constraint Handling in Efficient Global Optimization

This is the author accepted manuscript. The final version is available from ACM via the DOI in this record.Real-world optimization problems are often subject to several constraints which are expensive to evaluate in terms of cost or time. Although a lot of effort is devoted to make use of surrogate models for expensive optimization tasks, not many strong surrogate-assisted algorithms can address the challenging constrained problems. Efficient Global Optimization (EGO) is a Kriging-based surrogate-assisted algorithm. It was originally proposed to address unconstrained problems and later was modified to solve constrained problems. However, these type of algorithms still suffer from several issues, mainly: (1) early stagnation, (2) problems with multiple active constraints and (3) frequent crashes. In this work, we introduce a new EGO-based algorithm which tries to overcome these common issues with Kriging optimization algorithms. We apply the proposed algorithm on problems with dimension d ≤ 4 from the G-function suite [16] and on an airfoil shape example.This research was partly funded by Tekes, the Finnish Funding Agency for Innovation (the DeCoMo project), and by the Engineering and Physical Sciences Research Council [grant numbers EP/N017195/1, EP/N017846/1]

Measurement of adsorption of a single component from the liquid phase : modelling investigation and sensitivity analysis

In this work, we consider an alternative approach for the measurement of adsorption from the liquid phase. Consider a mixture consisting of a non-adsorbed component (B) and an adsorbed component (A) present at some low concentration. Initially, a feed of component B only flows through a column packed with an adsorbent. Then, the feed is switched to the mixture of A and B. As soon as the mixture enters the column, there will be a reduction in the outlet flow rate as component A leaves the liquid phase and passes into the adsorbed phase. There are three stages to this work. The first is to develop overall and component balances to show how the amount adsorbed of component A can be determined from the variation in the column outlet flow rate. The second is to determine the actual variation in the column outlet flow rate for both plug flow and axial-dispersed plug flow. The final stage is to consider the suitability of a gravity-fed system to deliver the feed to the column. An analysis of the results shows that the experimental arrangement should be able to accurately monitor adsorption from the liquid phase where the mass fraction of the solute is of the order of 1%: the limiting experimental factor is how constant the volumetric flow rate of the liquid feed can be maintained

Surgical resection for hepatocellular carcinoma in Cape Town - A clinical and histopathological study

Objective. Review of surgical resections performed for hepatocellular carcinoma (BCC) at our institution between 1990 and 1996, histology of resected specimens, and clinical outcome. Design, Retrospective and prospective study of 14 patients who underwent resection for HCC.Setting. The Hepatobiliary Unit and Liver Clinic, Groote Schuur Hospital, Cape Town.Patients. Fourteen patients who underwent liver resections for HCC.Interventions. Hepatic resections using prolonged vascular inflow occlusion.Outcome measures. Clinical outcome and disease-free survival following resection.Results. Fourteen patients (5.6% of the total number presenting with HCC) underwent liver resection for HCC at our institution between 1990 and 1996. There were 7 men, median age 40 years (range 18 - 74 years). Only 2 patients were black, and only 1 of these patients had evidence of hepatitis B virus (HBY) infection in the liver. Extensive liver resections were often required. The mean (SD) ischaemic time was 81 (26) minutes and mean estimated blood loss was 938 (649) ml. During hospital admission, 1 patient developed a minor bile leak that settled spontaneously, and 1 patient suffered a stroke and died. The mean hospital stay following operation was 12 days (range 7 - 21 days). Disease-free patient survival at 1, 2 and 3 years was 85%, 75%, and 62%, respectively. Histopathology of the resected specimens showed that 10 of 14 tumours had arisen in non-cirrhotic livers. Mean tumour size was 10.6 (4.6) cm. Only 1 specimen showed the fibrolamellar variant of HCC.Conclusions. Only a small proportion of patients with HCC seen at Groote Schuur Hospital were eligible for resection, and only a minority of these had HBV-associated 'African' HCC. The results of hepatic resection at our institution compare favourably with literature reports, despite the relatively large size of the tumours. It is of interest that most tumours arose in non-cirrhotic livers. There was no evidence of proliferation of 'oval-like' cells in non-neoplastic liver tissue