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.

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

The aim of solving the Optimal Power Flow problem is to determine the optimal state of an electric power transmission system, that is, the voltage magnitude and phase angles and the tap ratios of the transformers that optimize the performance of a given system, while satisfying its physical and operating constraints. The Optimal Power Flow problem is modeled as a large-scale mixed-discrete nonlinear programming problem. This paper proposes a method for handling the discrete variables of the Optimal Power Flow problem. A penalty function is presented. Due to the inclusion of the penalty function into the objective function, a sequence of nonlinear programming problems with only continuous variables is obtained and the solutions of these problems converge to a solution of the mixed problem. The obtained nonlinear programming problems are solved by a Primal-Dual Logarithmic-Barrier Method. Numerical tests using the IEEE 14, 30, 118 and 300-Bus test systems indicate that the method is efficient. (C) 2012 Elsevier B.V. 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

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.

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.

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.

Biphasic positive airway pressure minimizes biological impact on lung tissue in mild acute lung injury independent of etiology

Abstract Introduction Biphasic positive airway pressure (BIVENT) is a partial support mode that employs pressure-controlled, time-cycled ventilation set at two levels of continuous positive airway pressure with unrestricted spontaneous breathing. BIVENT can modulate inspiratory effort by modifying the frequency of controlled breaths. Nevertheless, the optimal amount of inspiratory effort to improve respiratory function while minimizing ventilator-associated lung injury during partial ventilatory assistance has not been determined. Furthermore, it is unclear whether the effects of partial ventilatory support depend on acute lung injury (ALI) etiology. This study aimed to investigate the impact of spontaneous and time-cycled control breaths during BIVENT on the lung and diaphragm in experimental pulmonary (p) and extrapulmonary (exp) ALI. Methods This was a prospective, randomized, controlled experimental study of 60 adult male Wistar rats. Mild ALI was induced by Escherichia coli lipopolysaccharide either intratracheally (ALIp) or intraperitoneally (ALIexp). After 24 hours, animals were anesthetized and further randomized as follows: (1) pressure-controlled ventilation (PCV) with tidal volume (Vt) = 6 ml/kg, respiratory rate = 100 breaths/min, PEEP = 5 cmH2O, and inspiratory-to-expiratory ratio (I:E) = 1:2; or (2) BIVENT with three spontaneous and time-cycled control breath modes (100, 75, and 50 breaths/min). BIVENT was set with two levels of CPAP (Phigh = 10 cmH2O and Plow = 5 cmH2O). Inspiratory time was kept constant (Thigh = 0.3 s). Results BIVENT was associated with reduced markers of inflammation, apoptosis, fibrogenesis, and epithelial and endothelial cell damage in lung tissue in both ALI models when compared to PCV. The inspiratory effort during spontaneous breaths increased during BIVENT-50 in both ALI models. In ALIp, alveolar collapse was higher in BIVENT-100 than PCV, but decreased during BIVENT-50, and diaphragmatic injury was lower during BIVENT-50 compared to PCV and BIVENT-100. In ALIexp, alveolar collapse during BIVENT-100 and BIVENT-75 was comparable to PCV, while decreasing with BIVENT-50, and diaphragmatic injury increased during BIVENT-50. Conclusions In mild ALI, BIVENT had a lower biological impact on lung tissue compared to PCV. In contrast, the response of atelectasis and diaphragmatic injury to BIVENT differed according to the rate of spontaneous/controlled breaths and ALI etiology.

Architectures, stability and optimization for clock distribution networks

Synchronous telecommunication networks, distributed control systems and integrated circuits have its accuracy of operation dependent on the existence of a reliable time basis signal extracted from the line data stream and acquirable to each node. In this sense, the existence of a sub-network (inside the main network) dedicated to the distribution of the clock signals is crucially important. There are different solutions for the architecture of the time distribution sub-network and choosing one of them depends on cost, precision, reliability and operational security. In this work we expose: (i) the possible time distribution networks and their usual topologies and arrangements. (ii) How parameters of the network nodes can affect the reachability and stability of the synchronous state of a network. (iii) Optimizations methods for synchronous networks which can provide low cost architectures with operational precision, reliability and security. (C) 2011 Elsevier B. V. All rights reserved.

A general framework for multi-compartmental analysis of drug chemotherapy dynamics in human immunodeficiency virus type-1 infected individuals

An optimal control strategy for the highly active antiretroviral therapy associated to the acquired immunodeficiency syndrome should be designed regarding a comprehensive analysis of the drug chemotherapy behavior in the host tissues, from major viral replication sites to viral sanctuary compartments. Such approach is critical in order to efficiently explore synergistic, competitive and prohibitive relationships among drugs and, hence, therapy costs and side-effect minimization. In this paper, a novel mathematical model for HIV-1 drug chemotherapy dynamics in distinct host anatomic compartments is proposed and theoretically evaluated on fifteen conventional anti-retroviral drugs. Rather than interdependence between drug type and its concentration profile in a host tissue, simulated results suggest that such profile is importantly correlated with the host tissue under consideration. Furthermore, the drug accumulative dynamics are drastically affected by low patient compliance with pharmacotherapy, even when a single dose lacks. (C) 2012 Elsevier Inc. All rights reserved.

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.

A combined oral contraceptive containing drospirenone changes neither endothelial function nor hemodynamic parameters in healthy young women: a prospective clinical trial

Background: Combined oral contraceptives (COCs) may lead to a rise in cardiovascular disease risk, possibly associated with changes in blood pressure and endothelial function. Study Design: The objective was to evaluate the impact of COC containing 20 mcg of ethinylestradiol (EE) and 3 mg of drospirenone (DRSP) on the arterial endothelial function, systolic and diastolic blood pressure (SBP and DBP, respectively), heart rate (HR), cardiac output (CO) and total peripheral resistance (TPR) of healthy young women. Of the 71 women in the study, 43 were evaluated before the introduction of COC and after 6 months of its use (case group) and 28, COC nonusers, were assessed for the same parameters at the same time interval (control group). Results: No significant changes in endothelium-dependent and endothelium-independent functions or in measures of SBP, DBP, HR, CO and TPR caused by COC use were observed in the case group (p>.05 for all variables) or in the control group. Conclusion: These data suggest COC with 20 mcg EE and 3 mg DRSP does not alter arterial endothelial function or hemodynamic parameters in healthy young women. (C) 2012 Elsevier Inc. 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]

The rapid atmospheric monitoring system of the Pierre Auger Observatory

The Pierre Auger Observatory is a facility built to detect air showers produced by cosmic rays above 10(17) eV. During clear nights with a low illuminated moon fraction, the UV fluorescence light produced by air showers is recorded by optical telescopes at the Observatory. To correct the observations for variations in atmospheric conditions, atmospheric monitoring is performed at regular intervals ranging from several minutes (for cloud identification) to several hours (for aerosol conditions) to several days (for vertical profiles of temperature, pressure, and humidity). In 2009, the monitoring program was upgraded to allow for additional targeted measurements of atmospheric conditions shortly after the detection of air showers of special interest, e. g., showers produced by very high-energy cosmic rays or showers with atypical longitudinal profiles. The former events are of particular importance for the determination of the energy scale of the Observatory, and the latter are characteristic of unusual air shower physics or exotic primary particle types. The purpose of targeted (or "rapid") monitoring is to improve the resolution of the atmospheric measurements for such events. In this paper, we report on the implementation of the rapid monitoring program and its current status. The rapid monitoring data have been analyzed and applied to the reconstruction of air showers of high interest, and indicate that the air fluorescence measurements affected by clouds and aerosols are effectively corrected using measurements from the regular atmospheric monitoring program. We find that the rapid monitoring program has potential for supporting dedicated physics analyses beyond the standard event reconstruction.