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.

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.

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

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.

Plasmodium vivax: Reverse transcriptase real-time PCR for gametocyte detection and quantitation in clinical samples

The proportion of Plasmodium vivax-infected subjects that carry mature gametocytes, and thus are potentially infectious, remains poorly characterized in endemic settings. Here, we describe a quantitative reverse transcriptase (RI) real-time PCR (qRT-PCR) that targets transcripts of the mature gametocyte-specific pvs25 gene. We found mature gametocytes in 42 of 44 (95.4%) P. vivax infections diagnosed during an ongoing cohort study in northwestern Brazil. SYBR green qRT-PCR was more sensitive than a conventional RT-PCR that targets the same gene. Molecular detection of gametocytes failed, however, when dried bloodspots were used for RNA isolation and complementary DNA synthesis. Estimating the number of pvs25 gene transcripts allowed for examining the potential infectiousness of gametocyte carriers in a quantitative way. We found that most (61.9%) gametocyte carriers were either asymptomatic or had subpatent parasitemias and would have been missed by routine malaria control strategies. However, potentially undiagnosed gametocyte carriers usually had low-density infections and contributed a small fraction (up to 4%) to the overall gametocyte burden in the community. Further studies are required to determine the relative contribution to malaria transmission of long-lasting but low-density gametocytemias in asymptomatic carriers that are left undiagnosed and untreated. (C) 2012 Elsevier Inc. All rights reserved.

OPTIMIZATION AND CONTROL OF A CONTINUOUS POLYMERIZATION REACTOR

This work studies the optimization and control of a styrene polymerization reactor. The proposed strategy deals with the case where, because of market conditions and equipment deterioration, the optimal operating point of the continuous reactor is modified significantly along the operation time and the control system has to search for this optimum point, besides keeping the reactor system stable at any possible point. The approach considered here consists of three layers: the Real Time Optimization (RTO), the Model Predictive Control (MPC) and a Target Calculation (TC) that coordinates the communication between the two other layers and guarantees the stability of the whole structure. The proposed algorithm is simulated with the phenomenological model of a styrene polymerization reactor, which has been widely used as a benchmark for process control. The complete optimization structure for the styrene process including disturbances rejection is developed. The simulation results show the robustness of the proposed strategy and the capability to deal with disturbances while the economic objective is optimized.

Optimization and control of a continuous polymerization reactor

This work studies the optimization and control of a styrene polymerization reactor. The proposed strategy deals with the case where, because of market conditions and equipment deterioration, the optimal operating point of the continuous reactor is modified significantly along the operation time and the control system has to search for this optimum point, besides keeping the reactor system stable at any possible point. The approach considered here consists of three layers: the Real Time Optimization (RTO), the Model Predictive Control (MPC) and a Target Calculation (TC) that coordinates the communication between the two other layers and guarantees the stability of the whole structure. The proposed algorithm is simulated with the phenomenological model of a styrene polymerization reactor, which has been widely used as a benchmark for process control. The complete optimization structure for the styrene process including disturbances rejection is developed. The simulation results show the robustness of the proposed strategy and the capability to deal with disturbances while the economic objective is optimized.

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.

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]