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.

CONTEXT TREE SELECTION AND LINGUISTIC RHYTHM RETRIEVAL FROM WRITTEN TEXTS

The starting point of this article is the question "How to retrieve fingerprints of rhythm in written texts?" We address this problem in the case of Brazilian and European Portuguese. These two dialects of Modern Portuguese share the same lexicon and most of the sentences they produce are superficially identical. Yet they are conjectured, on linguistic grounds, to implement different rhythms. We show that this linguistic question can be formulated as a problem of model selection in the class of variable length Markov chains. To carry on this approach, we compare texts from European and Brazilian Portuguese. These texts are previously encoded according to some basic rhythmic features of the sentences which can be automatically retrieved. This is an entirely new approach from the linguistic point of view. Our statistical contribution is the introduction of the smallest maximizer criterion which is a constant free procedure for model selection. As a by-product, this provides a solution for the problem of optimal choice of the penalty constant when using the BIC to select a variable length Markov chain. Besides proving the consistency of the smallest maximizer criterion when the sample size diverges, we also make a simulation study comparing our approach with both the standard BIC selection and the Peres-Shields order estimation. Applied to the linguistic sample constituted for our case study, the smallest maximizer criterion assigns different context-tree models to the two dialects of Portuguese. The features of the selected models are compatible with current conjectures discussed in the linguistic literature.

MODULARITY, NOISE, AND NATURAL SELECTION

Most biological systems are formed by component parts that are to some degree interrelated. Groups of parts that are more associated among themselves and are relatively autonomous from others are called modules. One of the consequences of modularity is that biological systems usually present an unequal distribution of the genetic variation among traits. Estimating the covariance matrix that describes these systems is a difficult problem due to a number of factors such as poor sample sizes and measurement errors. We show that this problem will be exacerbated whenever matrix inversion is required, as in directional selection reconstruction analysis. We explore the consequences of varying degrees of modularity and signal-to-noise ratio on selection reconstruction. We then present and test the efficiency of available methods for controlling noise in matrix estimates. In our simulations, controlling matrices for noise vastly improves the reconstruction of selection gradients. We also perform an analysis of selection gradients reconstruction over a New World Monkeys skull database to illustrate the impact of noise on such analyses. Noise-controlled estimates render far more plausible interpretations that are in full agreement with previous results.

Utility Harmonic Impedance Measurement Based on Data Selection

Determination of the utility harmonic impedance based on measurements is a significant task for utility power-quality improvement and management. Compared to those well-established, accurate invasive methods, the noninvasive methods are more desirable since they work with natural variations of the loads connected to the point of common coupling (PCC), so that no intentional disturbance is needed. However, the accuracy of these methods has to be improved. In this context, this paper first points out that the critical problem of the noninvasive methods is how to select the measurements that can be used with confidence for utility harmonic impedance calculation. Then, this paper presents a new measurement technique which is based on the complex data-based least-square regression, combined with two techniques of data selection. Simulation and field test results show that the proposed noninvasive method is practical and robust so that it can be used with confidence to determine the utility harmonic impedances.

New Insights on Nontechnical Losses Characterization Through Evolutionary-Based Feature Selection

Although nontechnical losses automatic identification has been massively studied, the problem of selecting the most representative features in order to boost the identification accuracy and to characterize possible illegal consumers has not attracted much attention in this context. In this paper, we focus on this problem by reviewing three evolutionary-based techniques for feature selection, and we also introduce one of them in this context. The results demonstrated that selecting the most representative features can improve a lot of the classification accuracy of possible frauds in datasets composed by industrial and commercial profiles.