Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor. (C) 2011 Elsevier Ltd. All rights reserved.

Neural coding tools, based on Information Theory, applied to discrete time series: from electrophysiology to neuroethology

This work is supported by Brazilian agencies Fapesp, CAPES and CNPq

Closed-loop stable model predictive control of integrating systems with dead time

Model predictive control (MPC) applications in the process industry usually deal with process systems that show time delays (dead times) between the system inputs and outputs. Also, in many industrial applications of MPC, integrating outputs resulting from liquid level control or recycle streams need to be considered as controlled outputs. Conventional MPC packages can be applied to time-delay systems but stability of the closed loop system will depend on the tuning parameters of the controller and cannot be guaranteed even in the nominal case. In this work, a state space model based on the analytical step response model is extended to the case of integrating time systems with time delays. This model is applied to the development of two versions of a nominally stable MPC, which is designed to the practical scenario in which one has targets for some of the inputs and/or outputs that may be unreachable and zone control (or interval tracking) for the remaining outputs. The controller is tested through simulation of a multivariable industrial reactor system. (C) 2012 Elsevier Ltd. All rights reserved.

Combinatorial-topological framework for the analysis of global dynamics

We discuss an algorithmic framework based on efficient graph algorithms and algebraic-topological computational tools. The framework is aimed at automatic computation of a database of global dynamics of a given m-parameter semidynamical system with discrete time on a bounded subset of the n-dimensional phase space. We introduce the mathematical background, which is based upon Conley's topological approach to dynamics, describe the algorithms for the analysis of the dynamics using rectangular grids both in phase space and parameter space, and show two sample applications. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4767672]

Modeling of active holonic control systems for intelligent buildings

Building facilities have become important infrastructures for modern productive plants dedicated to services. In this context, the control systems of intelligent buildings have evolved while their reliability has evidently improved. However, the occurrence of faults is inevitable in systems conceived, constructed and operated by humans. Thus, a practical alternative approach is found to be very useful to reduce the consequences of faults. Yet, only few publications address intelligent building modeling processes that take into consideration the occurrence of faults and how to manage their consequences. In the light of the foregoing, a procedure is proposed for the modeling of intelligent building control systems, considersing their functional specifications in normal operation and in the of the event of faults. The proposed procedure adopts the concepts of discrete event systems and holons, and explores Petri nets and their extensions so as to represent the structure and operation of control systems for intelligent buildings under normal and abnormal situations. (C) 2012 Elsevier B.V. All rights reserved.

Three time-based scale formulations for the two-stage lot sizing and scheduling in process industries

In this paper, we propose three novel mathematical models for the two-stage lot-sizing and scheduling problems present in many process industries. The problem shares a continuous or quasi-continuous production feature upstream and a discrete manufacturing feature downstream, which must be synchronized. Different time-based scale representations are discussed. The first formulation encompasses a discrete-time representation. The second one is a hybrid continuous-discrete model. The last formulation is based on a continuous-time model representation. Computational tests with state-of-the-art MIP solver show that the discrete-time representation provides better feasible solutions in short running time. On the other hand, the hybrid model achieves better solutions for longer computational times and was able to prove optimality more often. The continuous-type model is the most flexible of the three for incorporating additional operational requirements, at a cost of having the worst computational performance. Journal of the Operational Research Society (2012) 63, 1613-1630. doi:10.1057/jors.2011.159 published online 7 March 2012

Hero's journey in bifurcation diagram

The hero's journey is a narrative structure identified by several authors in comparative studies on folklore and mythology. This storytelling template presents the stages of inner metamorphosis undergone by the protagonist after being called to an adventure. In a simplified version, this journey is divided into three acts separated by two crucial moments. Here we propose a discrete-time dynamical system for representing the protagonist's evolution. The suffering along the journey is taken as the control parameter of this system. The bifurcation diagram exhibits stationary, periodic and chaotic behaviors. In this diagram, there are transition from fixed point to chaos and transition from limit cycle to fixed point. We found that the values of the control parameter corresponding to these two transitions are in quantitative agreement with the two critical moments of the three-act hero's journey identified in 10 movies appearing in the list of the 200 worldwide highest-grossing films. (C) 2011 Elsevier B.V. All rights reserved.

SINGULARLY PERTURBED DISCOUNTED MARKOV CONTROL PROCESSES IN A GENERAL STATE SPACE

This paper studies the asymptotic optimality of discrete-time Markov decision processes (MDPs) with general state space and action space and having weak and strong interactions. By using a similar approach as developed by Liu, Zhang, and Yin [Appl. Math. Optim., 44 (2001), pp. 105-129], the idea in this paper is to consider an MDP with general state and action spaces and to reduce the dimension of the state space by considering an averaged model. This formulation is often described by introducing a small parameter epsilon > 0 in the definition of the transition kernel, leading to a singularly perturbed Markov model with two time scales. Our objective is twofold. First it is shown that the value function of the control problem for the perturbed system converges to the value function of a limit averaged control problem as epsilon goes to zero. In the second part of the paper, it is proved that a feedback control policy for the original control problem defined by using an optimal feedback policy for the limit problem is asymptotically optimal. Our work extends existing results of the literature in the following two directions: the underlying MDP is defined on general state and action spaces and we do not impose strong conditions on the recurrence structure of the MDP such as Doeblin's condition.

Arbitrage-Free Conditions and Hedging Strategies for Markets with Penalty Costs on Short Positions

We consider a discrete-time financial model in a general sample space with penalty costs on short positions. We consider a friction market closely related to the standard one except that withdrawals from the portfolio value proportional to short positions are made. We provide necessary and sufficient conditions for the nonexistence of arbitrages in this situation and for a self-financing strategy to replicate a contingent claim. For the finite-sample space case, this result leads to an explicit and constructive procedure for obtaining perfect hedging strategies.

Integrodifference model for blowfly invasion

We propose a stage-structured integrodifference model for blowflies' growth and dispersion taking into account the density dependence of fertility and survival rates and the non-overlap of generations. We assume a discrete-time, stage-structured, model. The spatial dynamics is introduced by means of a redistribution kernel. We treat one and two dimensional cases, the latter on the semi-plane, with a reflexive boundary. We analytically show that the upper bound for the invasion front speed is the same as in the one-dimensional case. Using laboratory data for fertility and survival parameters and dispersal data of a single generation from a capture-recapture experiment in South Africa, we obtain an estimate for the velocity of invasion of blowflies of the species Chrysomya albiceps. This model predicts a speed of invasion which was compared to actual observational data for the invasion of the focal species in the Neotropics. Good agreement was found between model and observations.

Average control of Markov decision processes with Feller transition probabilities and general action spaces

This paper studies the average control problem of discrete-time Markov Decision Processes (MDPs for short) with general state space, Feller transition probabilities, and possibly non-compact control constraint sets A(x). Two hypotheses are considered: either the cost function c is strictly unbounded or the multifunctions A(r)(x) = {a is an element of A(x) : c(x, a) <= r} are upper-semicontinuous and compact-valued for each real r. For these two cases we provide new results for the existence of a solution to the average-cost optimality equality and inequality using the vanishing discount approach. We also study the convergence of the policy iteration approach under these conditions. It should be pointed out that we do not make any assumptions regarding the convergence and the continuity of the limit function generated by the sequence of relative difference of the alpha-discounted value functions and the Poisson equations as often encountered in the literature. (C) 2012 Elsevier Inc. All rights reserved.

An extension of the invariance principle for dwell-time switched nonlinear systems

In this paper, we propose an extension of the invariance principle for nonlinear switched systems under dwell-time switched solutions. This extension allows the derivative of an auxiliary function V, also called a Lyapunov-like function, along the solutions of the switched system to be positive on some sets. The results of this paper are useful to estimate attractors of nonlinear switched systems and corresponding basins of attraction. Uniform estimates of attractors and basin of attractions with respect to time-invariant uncertain parameters are also obtained. Results for a common Lyapunov-like function and multiple Lyapunov-like functions are given. Illustrative examples show the potential of the theoretical results in providing information on the asymptotic behavior of nonlinear dynamical switched systems. (C) 2012 Elsevier B.V. All rights reserved.

Linear matrix inequality-based robust model predictive control for time-delayed systems

This work addresses the solution to the problem of robust model predictive control (MPC) of systems with model uncertainty. The case of zone control of multi-variable stable systems with multiple time delays is considered. The usual approach of dealing with this kind of problem is through the inclusion of non-linear cost constraint in the control problem. The control action is then obtained at each sampling time as the solution to a non-linear programming (NLP) problem that for high-order systems can be computationally expensive. Here, the robust MPC problem is formulated as a linear matrix inequality problem that can be solved in real time with a fraction of the computer effort. The proposed approach is compared with the conventional robust MPC and tested through the simulation of a reactor system of the process industry.

Optimal Code Set Selection and Security Issues in Spectral Phase-Encoded Time Spreading (SPECTS) OCDMA Systems

In this paper, we perform a thorough analysis of a spectral phase-encoded time spreading optical code division multiple access (SPECTS-OCDMA) system based on Walsh-Hadamard (W-H) codes aiming not only at finding optimal code-set selections but also at assessing its loss of security due to crosstalk. We prove that an inadequate choice of codes can make the crosstalk between active users to become large enough so as to cause the data from the user of interest to be detected by other user. The proposed algorithm for code optimization targets code sets that produce minimum bit error rate (BER) among all codes for a specific number of simultaneous users. This methodology allows us to find optimal code sets for any OCDMA system, regardless the code family used and the number of active users. This procedure is crucial for circumventing the unexpected lack of security due to crosstalk. We also show that a SPECTS-OCDMA system based on W-H 32(64) fundamentally limits the number of simultaneous users to 4(8) with no security violation due to crosstalk. More importantly, we prove that only a small fraction of the available code sets is actually immune to crosstalk with acceptable BER (<10(-9)) i.e., approximately 0.5% for W-H 32 with four simultaneous users, and about 1 x 10(-4)% for W-H 64 with eight simultaneous users.

Topography of four different endodontic rotary systems, before and after being used for the 12th time

Root canal preparation may damage NiTi instruments resulting in wear and deformation. The aim of this study was to make a comparative evaluation of the surface topography of the cervical third of four different rotary systems, before and after being used twelve times, in 1.440 resin blocks with simulated root canals with standardized 45 degrees curvatures, and analyzed by atomic force microscopy AFM. The blocks were divided into four groups and prepared according to the manufacturers recommendations: Group 1 - K3 (R); Group 2 - Protaper Universal (R); Group 3 - Twisted Files (R) and Group 4 - Biorace (R). After each preparation, the instruments were washed and autoclaved. A total of 240 instruments were selected, being 30 new instruments and 30 after having been used for the 12th time, from each group. These instruments were analyzed by AFM and for quantitative evaluation, the mean RMS (Root mean square) values of the cervical third of the specimens from the four groups were used. The result showed that all the rotary files used for the 12th time suffered wear with change in the topography of the cervical region of the active portion of the file (ANOVA p < 0.01). Classifying the specimens in increasing order, from the least to the greatest wear suffered, Group 3 (2.8993 nm) presented the least wear, followed by Group 4 (12.2520 nm), Group 1 (36.0043 nm) and lastly, Group 2 (59.8750 nm) with the largest amount of cervical surface wear. Microsc. Res. Tech. 75:97-102, 2012. (c) 2011 Wiley Periodicals, Inc.