Processing second-order stochastic dominance models using cutting-plane representations

This is the post-print version of the Article. The official published version can be accessed from the links below. Copyright @ 2011 Springer-VerlagSecond-order stochastic dominance (SSD) is widely recognised as an important decision criterion in portfolio selection. Unfortunately, stochastic dominance models are known to be very demanding from a computational point of view. In this paper we consider two classes of models which use SSD as a choice criterion. The first, proposed by Dentcheva and Ruszczyński (J Bank Finance 30:433–451, 2006), uses a SSD constraint, which can be expressed as integrated chance constraints (ICCs). The second, proposed by Roman et al. (Math Program, Ser B 108:541–569, 2006) uses SSD through a multi-objective formulation with CVaR objectives. Cutting plane representations and algorithms were proposed by Klein Haneveld and Van der Vlerk (Comput Manage Sci 3:245–269, 2006) for ICCs, and by Künzi-Bay and Mayer (Comput Manage Sci 3:3–27, 2006) for CVaR minimization. These concepts are taken into consideration to propose representations and solution methods for the above class of SSD based models. We describe a cutting plane based solution algorithm and outline implementation details. A computational study is presented, which demonstrates the effectiveness and the scale-up properties of the solution algorithm, as applied to the SSD model of Roman et al. (Math Program, Ser B 108:541–569, 2006).This study was funded by OTKA, Hungarian National Fund for Scientific Research, project 47340; by Mobile Innovation Centre, Budapest University of Technology, project 2.2; Optirisk Systems, Uxbridge, UK and by BRIEF (Brunel University Research Innovation and Enterprise Fund)

A comprehensive strategy to tackle arsenic contamination of drinking water in Uttar Pradesh in India

Exposure to naturally occurring arsenic through consumption of contaminated groundwater, food and soil is now widely recognized as a new threat to public health in several countries in South and South-East Asia, including parts of India. The realization that arsenic not only occurs in groundwater used for drinking in the Ganges-Brahmaputra delta of West Bengal in India, but also further upstream in Bihar and Uttar Pradesh in the middle and upper Gangetic plains, has necessitated the need to develop arsenic testing and mitigation strategies in these states. This paper outlines the strategy evolved by the state government of Uttar Pradesh, with the support of UNICEF, to tackle the problem of arsenic in groundwater used for drinking. The comprehensive approach includes testing, communication, mitigation and health aspects, and novel strategies used to overcome technological issues are detailed. A similar approach has been used in the neighbouring state of Bihar

Status of a hybrid three-neutrino interpretation of neutrino data

We reanalyze the non-standard interaction (NSI) solutions to the solar neutrino problem in the light of the latest solar, atmospheric and reactor neutrino data. We show that such solutions, although preferred by the solar data and consistent with the oscillation description of the atmospheric neutrino data, are ruled out by the first results of the KamLAND reactor experiment, at more than 3_sigma.Comment: 19 pages, LaTeX file using Elsart, 2 tables and 4 figures included. This version updates the one published in Nucl.Phys.B629:479-490,2002 by including the new KamLAND dat

Cooler Experiment Preparation

This research was sponsored by the National Science Foundation Grant NSF PHY-931478

The AMANDA Neutrino Telescope

With an effective telescope area of order $10^4$ m$^2$ for TeV neutrinos, a threshold near $\sim$50 GeV and a pointing accuracy of 2.5 degrees per muon track, the AMANDA detector represents the first of a new generation of high energy neutrino telescopes, reaching a scale envisaged over 25 years ago. We describe early results on the calibration of natural deep ice as a particle detector as well as on AMANDA's performance as a neutrino telescope.Comment: 12 pages, Latex2.09, uses espcrc2.sty and epsf.sty, 13 postscript files included. Talk presented at the 18th International Conference on Neutrino Physics and Astrophysics (Neutrino 98), Takayama, Japan, June 199

Theory and simulation of quantum photovoltaic devices based on the non-equilibrium Green's function formalism

This article reviews the application of the non-equilibrium Green's function formalism to the simulation of novel photovoltaic devices utilizing quantum confinement effects in low dimensional absorber structures. It covers well-known aspects of the fundamental NEGF theory for a system of interacting electrons, photons and phonons with relevance for the simulation of optoelectronic devices and introduces at the same time new approaches to the theoretical description of the elementary processes of photovoltaic device operation, such as photogeneration via coherent excitonic absorption, phonon-mediated indirect optical transitions or non-radiative recombination via defect states. While the description of the theoretical framework is kept as general as possible, two specific prototypical quantum photovoltaic devices, a single quantum well photodiode and a silicon-oxide based superlattice absorber, are used to illustrated the kind of unique insight that numerical simulations based on the theory are able to provide.Comment: 20 pages, 10 figures; invited review pape

Muon Track Reconstruction and Data Selection Techniques in AMANDA

The Antarctic Muon And Neutrino Detector Array (AMANDA) is a high-energy neutrino telescope operating at the geographic South Pole. It is a lattice of photo-multiplier tubes buried deep in the polar ice between 1500m and 2000m. The primary goal of this detector is to discover astrophysical sources of high energy neutrinos. A high-energy muon neutrino coming through the earth from the Northern Hemisphere can be identified by the secondary muon moving upward through the detector. The muon tracks are reconstructed with a maximum likelihood method. It models the arrival times and amplitudes of Cherenkov photons registered by the photo-multipliers. This paper describes the different methods of reconstruction, which have been successfully implemented within AMANDA. Strategies for optimizing the reconstruction performance and rejecting background are presented. For a typical analysis procedure the direction of tracks are reconstructed with about 2 degree accuracy.Comment: 40 pages, 16 Postscript figures, uses elsart.st

Neutrino masses: From fantasy to facts

Theory suggests the existence of neutrino masses, but little more. Facts are coming close to reveal our fantasy: solar and atmospheric neutrino data strongly indicate the need for neutrino conversions, while LSND provides an intriguing hint. The simplest ways to reconcile these data in terms of neutrino oscillations invoke a light sterile neutrino in addition to the three active ones. Out of the four neutrinos, two are maximally-mixed and lie at the LSND scale, while the others are at the solar mass scale. These schemes can be distinguished at neutral-current-sensitive solar & atmospheric neutrino experiments. I discuss the simplest theoretical scenarios, where the lightness of the sterile neutrino, the nearly maximal atmospheric neutrino mixing, and the generation of $\Delta {m^2}_\odot$ & $\Delta {m^2}_{atm}$ all follow naturally from the assumed lepton-number symmetry and its breaking. Although the most likely interpretation of the present data is in terms of neutrino-mass-induced oscillations, one still has room for alternative explanations, such as flavour changing neutrino interactions, with no need for neutrino mass or mixing. Such flavour violating transitions arise in theories with strictly massless neutrinos, and may lead to other sizeable flavour non-conservation effects, such as $\mu \to e + \gamma$, $\mu-e$ conversion in nuclei, unaccompanied by neutrino-less double beta decay.Comment: 33 pages, latex, 16 figures. Invited Talk at Ioannina Conference, Symmetries in Intermediate High Energy Physics and its Applications, Oct. 1998, to be published by Springer Tracts in Modern Physics. Festschrift in Honour of John Vergados' 60th Birthda

Production and Decay of D_1(2420)^0 and D_2^*(2460)^0

We have investigated $D^{+}\pi^{-}$ and $D^{*+}\pi^{-}$ final states and observed the two established $L=1$ charmed mesons, the $D_1(2420)^0$ with mass $2421^{+1+2}_{-2-2}$ MeV/c$^{2}$ and width $20^{+6+3}_{-5-3}$ MeV/c$^{2}$ and the $D_2^*(2460)^0$ with mass $2465 \pm 3 \pm 3$ MeV/c$^{2}$ and width $28^{+8+6}_{-7-6}$ MeV/c$^{2}$. Properties of these final states, including their decay angular distributions and spin-parity assignments, have been studied. We identify these two mesons as the $j_{light}=3/2$ doublet predicted by HQET. We also obtain constraints on {\footnotesize $\Gamma_S/(\Gamma_S + \Gamma_D)$} as a function of the cosine of the relative phase of the two amplitudes in the $D_1(2420)^0$ decay.Comment: 15 pages in REVTEX format. hardcopies with figures can be obtained by sending mail to: [email protected]