Search results for "parallel computation"

showing 2 items of 2 documents

Bayesian hierarchical models for analysing the spatial distribution of bioclimatic indices

2017

A methodological approach for modelling the spatial distribution of bioclimatic indices is proposed in this paper. The value of the bioclimatic index is modelled with a hierarchical Bayesian model that incorporates both structured and unstructured random effects. Selection of prior distributions is also discussed in order to better incorporate any possible prior knowledge about the parameters that could refer to the particular characteristics of bioclimatic indices. MCMC methods and distributed programming are used to obtain an approximation of the posterior distribution of the parameters and also the posterior predictive distribution of the indices. One main outcome of the proposal is the …

Bioclimatologia:62 Statistics::62M Inference from stochastic processes [Classificació AMS]BioclimatologyBioclimatology geostatistics parallel computation spatial prediction:62 Statistics::62P Applications [Classificació AMS]62F15 62M30 62P10 62P12 86A32Estadística bayesiana:Matemàtiques i estadística::Estadística matemàtica [Àrees temàtiques de la UPC]spatial prediction:62 Statistics::62F Parametric inference [Classificació AMS]geostatistics:86 Geophysics [Classificació AMS]parallel computation
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A model for designing callable bonds and its solution using tabu search

1997

Abstract We formulate the problem of designing callable bonds as a non-linear, global, optimization problem. The data of the model are obtained from simulations of holding-period returns of a given bond design, which are used to compute a certainty equivalent return, viz., some target assets. The design specifications of the callable bond are then adjusted so that the certainty equivalent return is maximized. The resulting problem is multi-modal, and a tabu search procedure, implemented on a distributed network of workstations, is used to optimize the bond design. The model is compared with the classical portfolio immunization model, and the tabu search solution technique is compared with s…

Economics and EconometricsMathematical optimizationControl and OptimizationOptimization problemApplied MathematicsImmunization (finance)Tabu searchCallable bondTabu searchCallable bondsProduct designParallel computationsSimulated annealingEconomicsPortfolioFinancial innovationHill climbingGlobal optimizationSimulation
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