89 resultados para multivariate stochastic volatility


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We present results from three-dimensional protein folding simulations in the HP-model on ten benchmark problems. The simulations are executed by a simulated annealing-based algorithm with a time-dependent cooling schedule. The neighbourhood relation is determined by the pull-move set. The results provide experimental evidence that the maximum depth D of local minima of the underlying energy landscape can be upper bounded by D < n(2/3). The local search procedure employs the stopping criterion (In/delta)(D/gamma) where m is an estimation of the average number of neighbouring conformations, gamma relates to the mean of non-zero differences of the objective function for neighbouring conformations, and 1-delta is the confidence that a minimum conformation has been found. The bound complies with the results obtained for the ten benchmark problems. (c) 2008 Elsevier Ltd. All rights reserved.

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Treasure et al. (2004) recently proposed a new sub space-monitoring technique, based on the N4SID algorithm, within the multivariate statistical process control framework. This dynamic-monitoring method requires considerably fewer variables to be analysed when compared with dynamic principal component analysis (PCA). The contribution charts and variable reconstruction, traditionally employed for static PCA, are analysed in a dynamic context. The contribution charts and variable reconstruction may be affected by the ratio of the number of retained components to the total number of analysed variables. Particular problems arise if this ratio is large and a new reconstruction chart is introduced to overcome these. The utility of such a dynamic contribution chart and variable reconstruction is shown in a simulation and by application to industrial data from a distillation unit.

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This paper analyses multivariate statistical techniques for identifying and isolating abnormal process behaviour. These techniques include contribution charts and variable reconstructions that relate to the application of principal component analysis (PCA). The analysis reveals firstly that contribution charts produce variable contributions which are linearly dependent and may lead to an incorrect diagnosis, if the number of principal components retained is close to the number of recorded process variables. The analysis secondly yields that variable reconstruction affects the geometry of the PCA decomposition. The paper further introduces an improved variable reconstruction method for identifying multiple sensor and process faults and for isolating their influence upon the recorded process variables. It is shown that this can accommodate the effect of reconstruction, i.e. changes in the covariance matrix of the sensor readings and correctly re-defining the PCA-based monitoring statistics and their confidence limits. (c) 2006 Elsevier Ltd. All rights reserved.

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This paper introduces the application of linear multivariate statistical techniques, including partial least squares (PLS), canonical correlation analysis (CCA) and reduced rank regression (RRR), into the area of Systems Biology. This new approach aims to extract the important proteins embedded in complex signal transduction pathway models.The analysis is performed on a model of intracellular signalling along the janus-associated kinases/signal transducers and transcription factors (JAK/STAT) and mitogen activated protein kinases (MAPK) signal transduction pathways in interleukin-6 (IL6) stimulated hepatocytes, which produce signal transducer and activator of transcription factor 3 (STAT3).A region of redundancy within the MAPK pathway that does not affect the STAT3 transcription was identified using CCA. This is the core finding of this analysis and cannot be obtained by inspecting the model by eye. In addition, RRR was found to isolate terms that do not significantly contribute to changes in protein concentrations, while the application of PLS does not provide such a detailed picture by virtue of its construction.This analysis has a similar objective to conventional model reduction techniques with the advantage of maintaining the meaning of the states prior to and after the reduction process. A significant model reduction is performed, with a marginal loss in accuracy, offering a more concise model while maintaining the main influencing factors on the STAT3 transcription.The findings offer a deeper understanding of the reaction terms involved, confirm the relevance of several proteins to the production of Acute Phase Proteins and complement existing findings regarding cross-talk between the two signalling pathways.

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A family of stochastic gradient algorithms and their behaviour in the data echo cancellation work platform are presented. The cost function adaptation algorithms use an error exponent update strategy based on an absolute error mapping, which is updated at every iteration. The quadratic and nonquadratic cost functions are special cases of the new family. Several possible realisations are introduced using these approaches. The noisy error problem is discussed and the digital recursive filter estimator is proposed. The simulation outcomes confirm the effectiveness of the proposed family of algorithms.