Monte carlo within simulated annealing for integral constrained optimizations

For years, Value-at-Risk and Expected Shortfall have been well established measures of market risk and the Basel Committee on Banking Supervision recommends their use when controlling risk. But their computations might be intractable if we do not rely on simplifying assumptions, in particular on distributions of returns. One of the difficulties is linked to the need for Integral Constrained Optimizations. In this article, two new stochastic optimization-based Simulated Annealing algorithms are proposed for addressing problems associated with the use of statistical methods that rely on extremizing a non-necessarily differentiable criterion function, therefore facing the problem of the computation of a non-analytically reducible integral constraint. We first provide an illustrative example when maximizing an integral constrained likelihood for the stress-strength reliability that confirms the effectiveness of the algorithms. Our results indicate no clear difference in convergence, but we favor the use of the problem approximation strategy styled algorithm as it is less expensive in terms of computing time. Second, we run a classical financial problem such as portfolio optimization, showing the potential of our proposed methods in financial applications

Contributions of low molecule number and chromosomal positioning to stochastic gene expression

The presence of low-copy-number regulators and switch-like signal propagation in regulatory networks are expected to increase noise in cellular processes. We developed a noise amplifier that detects fluctuations in the level of low-abundance mRNAs in yeast. The observed fluctuations are not due to the low number of molecules expressed from a gene per se but originate in the random, rare events of gene activation. The frequency of these events and the correlation between stochastic expressions of genes in a single cell depend on the positioning of the genes along the chromosomes. Transcriptional regulators produced by such random expression propagate noise to their target genes

Lifestyle, stress and cortisol response: Review I: Mental stress

The incidences of diseases related to mental stress are increasing in Japan. Mental stress, unacknowledged for long periods, has been shown to lead to the development of a number of diseases. Thus, an index for mental stress is important to induce awareness of its presence. We focused on the relationship between cortisol and mental stress in this review. We will discuss both the usefulness and problems of cortisol as a mental stress index by summarizing the relationship between cortisol and mental stress. The present findings suggested that cortisol appears to be an adequate index for mental stress. However, there are several problems; the present group clarifies these problems and builds the comprehensive mental stress assessment systems by using saliva samples

Using motor imagery to study the neural substrates of dynamic balance

Contains fulltext : 126885.pdf (publisher's version ) (Open Access)This study examines the cerebral structures involved in dynamic balance using a motor imagery (MI) protocol. We recorded cerebral activity with functional magnetic resonance imaging while subjects imagined swaying on a balance board along the sagittal plane to point a laser at target pairs of different sizes (small, large). We used a matched visual imagery (VI) control task and recorded imagery durations during scanning. MI and VI durations were differentially influenced by the sway accuracy requirement, indicating that MI of balance is sensitive to the increased motor control necessary to point at a smaller target. Compared to VI, MI of dynamic balance recruited additional cortical and subcortical portions of the motor system, including frontal cortex, basal ganglia, cerebellum and mesencephalic locomotor region, the latter showing increased effective connectivity with the supplementary motor area. The regions involved in MI of dynamic balance were spatially distinct but contiguous to those involved in MI of gait (Bakker et al., 2008; Snijders et al., 2011; Cremers et al., 2012), in a pattern consistent with existing somatotopic maps of the trunk (for balance) and legs (for gait). These findings validate a novel, quantitative approach for studying the neural control of balance in humans. This approach extends previous reports on MI of static stance (Jahn et al., 2004, 2008), and opens the way for studying gait and balance impairments in patients with neurodegenerative disorders.11 p