Portfolio Optimization in a Semi-Markov Modulated Market

We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem.

A conditional random field-based downscaling method for assessment of climate change impact on multisite daily precipitation in the Mahanadi basin

Downscaling to station-scale hydrologic variables from large-scale atmospheric variables simulated by general circulation models (GCMs) is usually necessary to assess the hydrologic impact of climate change. This work presents CRF-downscaling, a new probabilistic downscaling method that represents the daily precipitation sequence as a conditional random field (CRF). The conditional distribution of the precipitation sequence at a site, given the daily atmospheric (large-scale) variable sequence, is modeled as a linear chain CRF. CRFs do not make assumptions on independence of observations, which gives them flexibility in using high-dimensional feature vectors. Maximum likelihood parameter estimation for the model is performed using limited memory Broyden-Fletcher-Goldfarb-Shanno (L-BFGS) optimization. Maximum a posteriori estimation is used to determine the most likely precipitation sequence for a given set of atmospheric input variables using the Viterbi algorithm. Direct classification of dry/wet days as well as precipitation amount is achieved within a single modeling framework. The model is used to project the future cumulative distribution function of precipitation. Uncertainty in precipitation prediction is addressed through a modified Viterbi algorithm that predicts the n most likely sequences. The model is applied for downscaling monsoon (June-September) daily precipitation at eight sites in the Mahanadi basin in Orissa, India, using the MIROC3.2 medium-resolution GCM. The predicted distributions at all sites show an increase in the number of wet days, and also an increase in wet day precipitation amounts. A comparison of current and future predicted probability density functions for daily precipitation shows a change in shape of the density function with decreasing probability of lower precipitation and increasing probability of higher precipitation.

Conditional Probability-Based Significance Tests for Sequential Patterns in Multineuronal Spike Trains

We consider the problem of detecting statistically significant sequential patterns in multineuronal spike trains. These patterns are characterized by ordered sequences of spikes from different neurons with specific delays between spikes. We have previously proposed a data-mining scheme to efficiently discover such patterns, which occur often enough in the data. Here we propose a method to determine the statistical significance of such repeating patterns. The novelty of our approach is that we use a compound null hypothesis that not only includes models of independent neurons but also models where neurons have weak dependencies. The strength of interaction among the neurons is represented in terms of certain pair-wise conditional probabilities. We specify our null hypothesis by putting an upper bound on all such conditional probabilities. We construct a probabilistic model that captures the counting process and use this to derive a test of significance for rejecting such a compound null hypothesis. The structure of our null hypothesis also allows us to rank-order different significant patterns. We illustrate the effectiveness of our approach using spike trains generated with a simulator.

Sequential split vector quantization of LSF parameters using conditional PDF

A better performing product code vector quantization (VQ) method is proposed for coding the line spectrum frequency (LSF) parameters; the method is referred to as sequential split vector quantization (SeSVQ). The split sub-vectors of the full LSF vector are quantized in sequence and thus uses conditional distribution derived from the previous quantized sub-vectors. Unlike the traditional split vector quantization (SVQ) method, SeSVQ exploits the inter sub-vector correlation and thus provides improved rate-distortion performance, but at the expense of higher memory. We investigate the quantization performance of SeSVQ over traditional SVQ and transform domain split VQ (TrSVQ) methods. Compared to SVQ, SeSVQ saves 1 bit and nearly 3 bits, for telephone-band and wide-band speech coding applications respectively.

Studies on the structure of the chromosomes - I. Allium cepa-Stain fixatives and their utility

The structure of the mitotic chromosomes of Allium cepa has been elucidated by controlling the temperature and time of exposure of fresh roots to stain fixatives. The details seen in material stained in N HCl-orcein for 8 min. at 60° C. and squashed after varying intervals of storage at room temperature were essentially similar to pictures obtained with 1% aceto-orcein and 1% aceto-orcein-N HCl (10:1) under identical conditions of handling. The chromosomes appear quadri-partite at metaphase and bi-partite at anaphase. A rare instance of the precocious assumption of a quadri-partite condition by two anaphase chromosomes is illustrated. Caduceus coiling of chromonemata was seen in chromosome bridges also. Chromosomes have material easily dissociable from the chromonemata and their removal does not affect the structural integrity of the chromosome.

Framework for enabling highly available distributed applications for utility computing

The move towards IT outsourcing is the first step towards an environment where compute infrastructure is treated as a service. In utility computing this IT service has to honor Service Level Agreements (SLA) in order to meet the desired Quality of Service (QoS) guarantees. Such an environment requires reliable services in order to maximize the utilization of the resources and to decrease the Total Cost of Ownership (TCO). Such reliability cannot come at the cost of resource duplication, since it increases the TCO of the data center and hence the cost per compute unit. We, in this paper, look into aspects of projecting impact of hardware failures on the SLAs and techniques required to take proactive recovery steps in case of a predicted failure. By maintaining health vectors of all hardware and system resources, we predict the failure probability of resources based on observed hardware errors/failure events, at runtime. This inturn influences an availability aware middleware to take proactive action (even before the application is affected in case the system and the application have low recoverability). The proposed framework has been prototyped on a system running HP-UX. Our offline analysis of the prediction system on hardware error logs indicate no more than 10% false positives. This work to the best of our knowledge is the first of its kind to perform an end-to-end analysis of the impact of a hardware fault on application SLAs, in a live system.

Reliability models for existing structures based on dynamic state estimation and data based asymptotic extreme value analysis

The problem of time variant reliability analysis of existing structures subjected to stationary random dynamic excitations is considered. The study assumes that samples of dynamic response of the structure, under the action of external excitations, have been measured at a set of sparse points on the structure. The utilization of these measurements m in updating reliability models, postulated prior to making any measurements, is considered. This is achieved by using dynamic state estimation methods which combine results from Markov process theory and Bayes' theorem. The uncertainties present in measurements as well as in the postulated model for the structural behaviour are accounted for. The samples of external excitations are taken to emanate from known stochastic models and allowance is made for ability (or lack of it) to measure the applied excitations. The future reliability of the structure is modeled using expected structural response conditioned on all the measurements made. This expected response is shown to have a time varying mean and a random component that can be treated as being weakly stationary. For linear systems, an approximate analytical solution for the problem of reliability model updating is obtained by combining theories of discrete Kalman filter and level crossing statistics. For the case of nonlinear systems, the problem is tackled by combining particle filtering strategies with data based extreme value analysis. In all these studies, the governing stochastic differential equations are discretized using the strong forms of Ito-Taylor's discretization schemes. The possibility of using conditional simulation strategies, when applied external actions are measured, is also considered. The proposed procedures are exemplifiedmby considering the reliability analysis of a few low-dimensional dynamical systems based on synthetically generated measurement data. The performance of the procedures developed is also assessed based on a limited amount of pertinent Monte Carlo simulations. (C) 2010 Elsevier Ltd. All rights reserved.

sRNAscanner: A Computational Tool for Intergenic Small RNA Detection in Bacterial Genomes

Background:Bacterial non-coding small RNAs (sRNAs) have attracted considerable attention due to their ubiquitous nature and contribution to numerous cellular processes including survival, adaptation and pathogenesis. Existing computational approaches for identifying bacterial sRNAs demonstrate varying levels of success and there remains considerable room for improvement. Methodology/Principal Findings: Here we have proposed a transcriptional signal-based computational method to identify intergenic sRNA transcriptional units (TUs) in completely sequenced bacterial genomes. Our sRNAscanner tool uses position weight matrices derived from experimentally defined E. coli K-12 MG1655 sRNA promoter and rho-independent terminator signals to identify intergenic sRNA TUs through sliding window based genome scans. Analysis of genomes representative of twelve species suggested that sRNAscanner demonstrated equivalent sensitivity to sRNAPredict2, the best performing bioinformatics tool available presently. However, each algorithm yielded substantial numbers of known and uncharacterized hits that were unique to one or the other tool only. sRNAscanner identified 118 novel putative intergenic sRNA genes in Salmonella enterica Typhimurium LT2, none of which were flagged by sRNAPredict2. Candidate sRNA locations were compared with available deep sequencing libraries derived from Hfq-co-immunoprecipitated RNA purified from a second Typhimurium strain (Sittka et al. (2008) PLoS Genetics 4: e1000163). Sixteen potential novel sRNAs computationally predicted and detected in deep sequencing libraries were selected for experimental validation by Northern analysis using total RNA isolated from bacteria grown under eleven different growth conditions. RNA bands of expected sizes were detected in Northern blots for six of the examined candidates. Furthermore, the 5'-ends of these six Northern-supported sRNA candidates were successfully mapped using 5'-RACE analysis. Conclusions/Significance: We have developed, computationally examined and experimentally validated the sRNAscanner algorithm. Data derived from this study has successfully identified six novel S. Typhimurium sRNA genes. In addition, the computational specificity analysis we have undertaken suggests that similar to 40% of sRNAscanner hits with high cumulative sum of scores represent genuine, undiscovered sRNA genes. Collectively, these data strongly support the utility of sRNAscanner and offer a glimpse of its potential to reveal large numbers of sRNA genes that have to date defied identification. sRNAscanner is available from: http://bicmku.in:8081/sRNAscanner or http://cluster.physics.iisc.ernet.in/sRNAscanner/.

Bayesian Analysis of a Superimposed Renewal Process

Stochastic behavior of an aero-engine failure/repair process has been analyzed from a Bayesian perspective. Number of failures/repairs in the component-sockets of this multi-component system are assumed to follow independent renewal processes with Weibull inter-arrival times. Based on the field failure/repair data of a large number of such engines and independent Gamma priors on the scale parameters and log-concave priors on the shape parameters, an exact method of sampling from the resulting posterior distributions of the parameters has been proposed. These generated parameter values are next utilised in obtaining the posteriors of the expected number of system repairs, system failure rate, and the conditional intensity function, which are computed using a recursive formula.

Optimization of two-dimensional NMR by matched accumulation

It is well known that in the time-domain acquisition of NMR data, signal-to-noise (S/N) improves as the square root of the number of transients accumulated. However, the amplitude of the measured signal varies during the time of detection, having a functional form dependent on the coherence detected. Matching the time spent signal averaging to the expected amplitude of the signal observed should also improve the detected signal-to-noise. Following this reasoning, Barna et al. (J Magn. Reson.75, 384, 1987) demonstrated the utility of exponential sampling in one- and two-dimensional NMR, using maximum-entropy methods to analyze the data. It is proposed here that for two-dimensional experiments the exponential sampling be replaced by exponential averaging. The data thus collected can be analyzed by standard fast-Fourier-transform routines. We demonstrate the utility of exponential averaging in 2D NOESY spectra of the protein ubiquitin, in which an enhanced SIN is observed. It is also shown that the method acquires delayed double-quantum-filtered COSY without phase distortion.

Sign Of The Order Parameter In Oriented Systems And Its Utility In The Study Of The Dynamic Properties Of Molecules

Novel one and two dimensional NMR techniques are proposed and utilized for the determination of the signs of the order parameters used for the study of the mobility of the fatty acid chains. The experiments designed to extract this information involve the use of the intensities of the side bands in the spectra of oriented systems spinning at the magic angle. Advantages of the two dimensional technique over the one dimensional method are discussed. The utility of the method in the study of the dynamic properties of membranes and model systems is pointed out.

Utility of microbes in organic-synthesis - selective transformations of acyclic isoprenoids by aspergillus-niger

Bioconversion of acyclic isoprenoids using a strain of Aspergillus niger results in hydroxylated metabolites with regio- and stereoselectivity. The organism carries out oxidation of the terminal allylic methyl group and the remote double bond in all the compounds tested (I-VII). However, these two activities seem to have preferential structural requirements. When an acyclic isoprenoid with a ketone functionality such as geranylacetone is used as the substrate, the organism also carries out the asymmetric reduction of the keto group. All the metabolites formed have been purified and characterized by conventional spectroscopic methods and quantification has been made by gas chromatographic analyses.

Conditional linearization in nonlinear random vibration

In this paper, an improved probabilistic linearization approach is developed to study the response of nonlinear single degree of freedom (SDOF) systems under narrow-band inputs. An integral equation for the probability density function (PDF) of the envelope is derived. This equation is solved using an iterative scheme. The technique is applied to study the hardening type Duffing's oscillator under narrow-band excitation. The results compare favorably with those obtained using numerical simulation. In particular, the bimodal nature of the PDF for the response envelope for certain parameter ranges is brought out.

Assessment of conditional moment closure models of turbulent autoignition using DNS data

A systematic assessment of the submodels of conditional moment closure (CMC) formalism for the autoignition problem is carried out using direct numerical simulation (DNS) data. An initially non-premixed, n-heptane/air system, subjected to a three-dimensional, homogeneous, isotropic, and decaying turbulence, is considered. Two kinetic schemes, (1) a one-step and (2) a reduced four-step reaction mechanism, are considered for chemistry An alternative formulation is developed for closure of the mean chemical source term , based on the condition that the instantaneous fluctuation of excess temperature is small. With this model, it is shown that the CMC equations describe the autoignition process all the way up to near the equilibrium limit. The effect of second-order terms (namely, conditional variance of temperature excess sigma(2) and conditional correlations of species q(ij)) in modeling is examined. Comparison with DNS data shows that sigma(2) has little effect on the predicted conditional mean temperature evolution, if the average conditional scalar dissipation rate is properly modeled. Using DNS data, a correction factor is introduced in the modeling of nonlinear terms to include the effect of species fluctuations. Computations including such a correction factor show that the species conditional correlations q(ij) have little effect on model predictions with a one-step reaction, but those q(ij) involving intermediate species are found to be crucial when four-step reduced kinetics is considered. The "most reactive mixture fraction" is found to vary with time when a four-step kinetics is considered. First-order CMC results are found to be qualitatively wrong if the conditional mean scalar dissipation rate is not modeled properly. The autoignition delay time predicted by the CMC model compares excellently with DNS results and shows a trend similar to experimental data over a range of initial temperatures.

Cross-polarization from the dipolar reservoir under the mismatched Hartmann-Hahn condition

Cross-polarization from the dipolar reservoir for a range of mismatched Hartmann-Hahn conditions has been considered. Experiment, in general, agrees with the dispersive Lorentzian behavior expected on the basis of quasi-equilibrium theory. It is observed that inclusion of additional mechanisms of polarization transfer lead to an improvment of the fit of the experimental results. The utility of extending the technique to the case of ordered long chain molecules, such as liquid crystals, for the measurement of the local dipolar field is also presented. (C) 2002 Elsevier Science (USA).