Path integrals for continuous-time Markov chains

This note presents a method of evaluating the distribution of a path integral for Markov chains on a countable state space.

Two-link approximation schemes for loss networks with linear structure and trunk reservation

Loss networks have long been used to model various types of telecommunication network, including circuit-switched networks. Such networks often use admission controls, such as trunk reservation, to optimize revenue or stabilize the behaviour of the network. Unfortunately, an exact analysis of such networks is not usually possible, and reduced-load approximations such as the Erlang Fixed Point (EFP) approximation have been widely used. The performance of these approximations is typically very good for networks without controls, under several regimes. There is evidence, however, that in networks with controls, these approximations will in general perform less well. We propose an extension to the EFP approximation that gives marked improvement for a simple ring-shaped network with trunk reservation. It is based on the idea of considering pairs of links together, thus making greater allowance for dependencies between neighbouring links than does the EFP approximation, which only considers links in isolation.

A simulated annealing algorithm for finding consensus sequences

Motivation: A consensus sequence for a family of related sequences is, as the name suggests, a sequence that captures the features common to most members of the family. Consensus sequences are important in various DNA sequencing applications and are a convenient way to characterize a family of molecules. Results: This paper describes a new algorithm for finding a consensus sequence, using the popular optimization method known as simulated annealing. Unlike the conventional approach of finding a consensus sequence by first forming a multiple sequence alignment, this algorithm searches for a sequence that minimises the sum of pairwise distances to each of the input sequences. The resulting consensus sequence can then be used to induce a multiple sequence alignment. The time required by the algorithm scales linearly with the number of input sequences and quadratically with the length of the consensus sequence. We present results demonstrating the high quality of the consensus sequences and alignments produced by the new algorithm. For comparison, we also present similar results obtained using ClustalW. The new algorithm outperforms ClustalW in many cases.

Efficient simulation of a Tandem Jackson Network

The two-node tandem Jackson network serves as a convenient reference model for the analysis and testing of different methodologies and techniques in rare event simulation. In this paper we consider a new approach to efficiently estimate the probability that the content of the second buffer exceeds some high level L before it becomes empty, starting from a given state. The approach is based on a Markov additive process representation of the buffer processes, leading to an exponential change of measure to be used in an importance sampling procedure. Unlike changes of measures proposed and studied in recent literature, the one derived here is a function of the content of the first buffer. We prove that when the first buffer is finite, this method yields asymptotically efficient simulation for any set of arrival and service rates. In fact, the relative error is bounded independent of the level L; a new result which is not established for any other known method. When the first buffer is infinite, we propose a natural extension of the exponential change of measure for the finite buffer case. In this case, the relative error is shown to be bounded (independent of L) only when the second server is the bottleneck; a result which is known to hold for some other methods derived through large deviations analysis. When the first server is the bottleneck, experimental results using our method seem to suggest that the relative error is bounded linearly in L.

The modelling of froth zone recovery in batch and continuously operated laboratory flotation cells

This paper proposes an integrated methodology for modelling froth zone performance in batch and continuously operated laboratory flotation cells. The methodology is based on a semi-empirical approach which relates the overall flotation rate constant to the froth depth (FD) in the flotation cell; from this relationship, a froth zone recovery (R,) can be extracted. Froth zone recovery, in turn, may be related to the froth retention time (FRT), defined as the ratio of froth volume to the volumetric flow rate of concentrate from the cell. An expansion of this relationship to account for particles recovered both by true flotation and entrainment provides a simple model that may be used to predict the froth performance in continuous tests from the results of laboratory batch experiments. Crown Copyright (C) 2002 Published by Elsevier Science B.V. All rights reserved.

Integrals for continuous-time Markov chains

This paper presents a method of evaluating the expected value of a path integral for a general Markov chain on a countable state space. We illustrate the method with reference to several models, including birth-death processes and the birth, death and catastrophe process. (C) 2002 Elsevier Science Inc. All rights reserved.

On the importance function in splitting simulation

The splitting method is a simulation technique for the estimation of very small probabilities. In this technique, the sample paths are split into multiple copies, at various stages in the simulation. Of vital importance to the efficiency of the method is the Importance Function (IF). This function governs the placement of the thresholds or surfaces at which the paths are split. We derive a characterisation of the optimal IF and show that for multi-dimensional models the natural choice for the IF is usually not optimal. We also show how nearly optimal splitting surfaces can be derived or simulated using reverse time analysis. Our numerical experiments illustrate that by using the optimal IF, one can obtain a significant improvement in simulation efficiency.

Adaptive multiscale principal components analysis for online monitoring of wastewater treatment

Fault detection and isolation (FDI) are important steps in the monitoring and supervision of industrial processes. Biological wastewater treatment (WWT) plants are difficult to model, and hence to monitor, because of the complexity of the biological reactions and because plant influent and disturbances are highly variable and/or unmeasured. Multivariate statistical models have been developed for a wide variety of situations over the past few decades, proving successful in many applications. In this paper we develop a new monitoring algorithm based on Principal Components Analysis (PCA). It can be seen equivalently as making Multiscale PCA (MSPCA) adaptive, or as a multiscale decomposition of adaptive PCA. Adaptive Multiscale PCA (AdMSPCA) exploits the changing multivariate relationships between variables at different time-scales. Adaptation of scale PCA models over time permits them to follow the evolution of the process, inputs or disturbances. Performance of AdMSPCA and adaptive PCA on a real WWT data set is compared and contrasted. The most significant difference observed was the ability of AdMSPCA to adapt to a much wider range of changes. This was mainly due to the flexibility afforded by allowing each scale model to adapt whenever it did not signal an abnormal event at that scale. Relative detection speeds were examined only summarily, but seemed to depend on the characteristics of the faults/disturbances. The results of the algorithms were similar for sudden changes, but AdMSPCA appeared more sensitive to slower changes.

Combined hydraulic and biological modelling and full-scale validation of SBR process

The biological reactions during the settling and decant periods of Sequencing Batch Reactors (SBRs) are generally ignored as they are not easily measured or described by modelling approaches. However, important processes are taking place, and in particular when the influent is fed into the bottom of the reactor at the same time (one of the main features of the UniFed process), the inclusion of these stages is crucial for accurate process predictions. Due to the vertical stratification of both liquid and solid components, a one-dimensional hydraulic model is combined with a modified ASM2d biological model to allow the prediction of settling velocity, sludge concentration, soluble components and biological processes during the non-mixed periods of the SBR. The model is calibrated on a full-scale UniFed SBR system with tracer breakthrough tests, depth profiles of particulate and soluble compounds and measurements of the key components during the mixed aerobic period. This model is then validated against results from an independent experimental period with considerably different operating parameters. In both cases, the model is able to accurately predict the stratification and most of the biological reactions occurring in the sludge blanket and the supernatant during the non-mixed periods. Together with a correct description of the mixed aerobic period, a good prediction of the overall SBR performance can be achieved.

Model specification tests in nonparametric stochastic regression models

In this paper, we consider testing for additivity in a class of nonparametric stochastic regression models. Two test statistics are constructed and their asymptotic distributions are established. We also conduct a small sample study for one of the test statistics through a simulated example. (C) 2002 Elsevier Science (USA).

Modelling of Lamb waves in composite laminated plates excited by interdigital transducers

The technique of permanently attaching interdigital transducers (IDT) to either flat or curved structural surfaces to excite single Lamb wave mode has demonstrated great potential for quantitative non-destructive evaluation and smart materials design, In this paper, the acoustic wave field in a composite laminated plate excited by an IDT is investigated. On the basis of discrete layer theory and a multiple integral transform method, an analytical-numerical approach is developed to evaluate the surface velocity response of the plate due to the IDTs excitation. In this approach, the frequency spectrum and wave number spectrum of the output of IDT are obtained directly. The corresponding time domain results are calculated by applying a standard inverse fast Fourier transformation technique. Numerical examples are presented to validate the developed method and show the ability of mode selection and isolation. A new effective way of transfer function estimation and interpretation is presented by considering the input wave number spectrum in addition to the commonly used input frequency spectrum. The new approach enables the simple physical evaluation of the influences of IDT geometrical features such as electrode finger widths and overall dimension and excitation signal properties on the input-output characteristics of IDT. Finally, considering the convenience of Mindlin plate wave theory in numerical computations as well as theoretical analysis, the validity is examined of using this approximate theory to design IDT for the excitation of the first and second anti-symmetric Lamb modes. (C) 2002 Elsevier Science Ltd. All rights reserved.

Shear stress and sediment transport calculations for swash zone modelling

It is shown that the observed difference in sediment transporting efficiency by the swash uprush, compared with the downrush, could be mainly due to greater bed shear stress for a given velocity in the more abruptly accelerated uprush. The bed shear stress generated by an arbitrary free stream velocity time series is modelled in terms of usual wave boundary layer models plus a phase lead (phi(tau) of the bed shear stress compared with the free stream velocity at the peak frequency. With this approach, the total transport amounts in uprush and downrush can be modelled satisfactorily with the same sediment transport formula, without the need for different uprush and downrush coefficients. While the adaptation of sediment transport formulae from steady flow can thus lead to the right total amounts of sediment moved by this method, the timing of the instantaneous sediment transport rates are probably not accurately modelled due to the highly unsteady nature of the swash and the presence of pre-suspended sediment in the uprush. Nevertheless, the proposed method is a useful intermediate step before we have a complete understanding of sediment transport under very rapid accelerations and of the relative contribution of pre-suspended sediment to the onshore sediment transport in swash zones. (C) 2002 Published by Elsevier Science B.V.

Ab initio modelling of basal plane oxidation of graphenes and implications for modelling char combustion

Ab initio calculations have been performed to determine the energetics of oxygen atoms adsorbed onto graphene planes and the possible reaction path extracting carbon atorns in the form of carbon monoxide. Front the energetics it is confirmed that this reaction path will not significantly contribute to the gasification of well ordered carbonaceous chars. Modelling results which explore this limit Lire presented. (C) 2002 Elsevier Science Ltd, All rights reserved.

Population balance modelling of granulation with a physically based coalescence kernel

It was previously published by the authors that granules can either coalesce through Type I (when granules coalesce by viscous dissipation in the surface liquid layer before their surfaces touch) or Type II (when granules are slowed to a halt during rebound, after their surfaces have made contact) (AIChE J. 46 (3) (2000) 529). Based on this coalescence mechanism, a new coalescence kernel for population balance modelling of granule growth is presented. The kernel is constant such that only collisions satisfying the conditions for one of the two coalescence types are successful. One constant rate is assigned to each type of coalescence and zero is for the case of rebound. As the conditions for Types I and II coalescence are dependent on granule and binder properties, the coalescence kernel is thus physically based. Simulation results of a variety of binder and granule materials show good agreement with experimental data. (C) 2002 Elsevier Science Ltd. All rights reserved.