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.

Three-feature model to reproduce the topology of citation networks and the effects from authors' visibility on their h-index

Various factors are believed to govern the selection of references in citation networks, but a precise, quantitative determination of their importance has remained elusive. In this paper, we show that three factors can account for the referencing pattern of citation networks for two topics, namely "graphenes" and "complex networks", thus allowing one to reproduce the topological features of the networks built with papers being the nodes and the edges established by citations. The most relevant factor was content similarity, while the other two - in-degree (i.e. citation counts) and age of publication - had varying importance depending on the topic studied. This dependence indicates that additional factors could play a role. Indeed, by intuition one should expect the reputation (or visibility) of authors and/or institutions to affect the referencing pattern, and this is only indirectly considered via the in-degree that should correlate with such reputation. Because information on reputation is not readily available, we simulated its effect on artificial citation networks considering two communities with distinct fitness (visibility) parameters. One community was assumed to have twice the fitness value of the other, which amounts to a double probability for a paper being cited. While the h-index for authors in the community with larger fitness evolved with time with slightly higher values than for the control network (no fitness considered), a drastic effect was noted for the community with smaller fitness. (C) 2012 Elsevier Ltd. All rights reserved.

Multi-criteria analysis in the strategic environmental assessment of the sugar and alcohol sector

The Strategic Environmental Assessment (SEA) of the sugar and alcohol sector guides a territorial and sectoral planning that benefits most of the local society and supports this economic activity in all its stages. In this way, the present work aims to determine an index of aggregation of the indicators generated in the baseline of the SEA process, called Index of Sustainability of Expansion of the Sugar and Alcohol Sector (IScana). For this, it was used the normalization of the indicators of each city by the fuzzy logic and attribution of weights by the Analytic Hierarchy Process (AHP). Then, the IScana values had been spatialized in the region of 'Grande Dourados'-Mato Grosso do Sul State. The northern portion concentrated the highest values of IScana, 0.48 and 0.55, referring to the cities of Nova Alvorada do Sul and Rio Brilhante, while, in the central portion, the city of Dourados presented the lowest value, 0.10. The selection of the set of indicators forming the IScana, and their relative importance, was satisfactory for the application of fuzzy logic and AHP techniques. The IScana index supplies objective information regarding the diagnosis of the region for the application of SEA.