Generalized Coupled Algebraic Riccati Equations for Discrete-time Markov Jump with Multiplicative Noise Systems

In this paper we consider the existence of the maximal and mean square stabilizing solutions for a set of generalized coupled algebraic Riccati equations (GCARE for short) associated to the infinite-horizon stochastic optimal control problem of discrete-time Markov jump with multiplicative noise linear systems. The weighting matrices of the state and control for the quadratic part are allowed to be indefinite. We present a sufficient condition, based only on some positive semi-definite and kernel restrictions on some matrices, under which there exists the maximal solution and a necessary and sufficient condition under which there exists the mean square stabilizing solution fir the GCARE. We also present a solution for the discounted and long run average cost problems when the performance criterion is assumed be composed by a linear combination of an indefinite quadratic part and a linear part in the state and control variables. The paper is concluded with a numerical example for pension fund with regime switching.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Thermodynamic modelling of an Al(2)O(3)-MnO system using the ionic model

The thermodynamic assessment of an Al(2)O(3)-MnO pseudo-binary system has been carried out with the use of an ionic model. The use of the electro-neutrality principles in addition to the constitutive relations, between site fractions of the species on each sub-lattice, the thermodynamics descriptions of each solid phase has been determined to make possible the solubility description. Based on the thermodynamics descriptions of each phase in addition to thermo-chemical data obtained from the literature, the Gibbs energy functions were optimized for each phase of the Al(2)O(3)-MnO system with the support of PARROT(R) module from ThemoCalc(R) package. A thermodynamic database was obtained, in agreement with the thermo-chemical data extracted from the literature, to describe the Al(2)O(3)-MnO system including the solubility description of solid phases. (C) 2009 Elsevier Ltd. All rights reserved.

Animated solid model of the lung constructed from unsynchronized MR sequential images

This work discusses a 4D lung reconstruction method from unsynchronized MR sequential images. The lung, differently from the heart, does not have its own muscles, turning impossible to see its real movements. The visualization of the lung in motion is an actual topic of research in medicine. CT (Computerized Tomography) can obtain spatio-temporal images of the heart by synchronizing with electrocardiographic waves. The FOV of the heart is small when compared to the lung`s FOV. The lung`s movement is not periodic and is susceptible to variations in the degree of respiration. Compared to CT, MR (Magnetic Resonance) imaging involves longer acquisition times and it is not possible to obtain instantaneous 3D images of the lung. For each slice, only one temporal sequence of 2D images can be obtained. However, methods using MR are preferable because they do not involve radiation. In this paper, based on unsynchronized MR images of the lung an animated B-Repsolid model of the lung is created. The 3D animation represents the lung`s motion associated to one selected sequence of MR images. The proposed method can be divided in two parts. First, the lung`s silhouettes moving in time are extracted by detecting the presence of a respiratory pattern on 2D spatio-temporal MR images. This approach enables us to determine the lung`s silhouette for every frame, even on frames with obscure edges. The sequence of extracted lung`s silhouettes are unsynchronized sagittal and coronal silhouettes. Using our algorithm it is possible to reconstruct a 3D lung starting from a silhouette of any type (coronal or sagittal) selected from any instant in time. A wire-frame model of the lung is created by composing coronal and sagittal planar silhouettes representing cross-sections. The silhouette composition is severely underconstrained. Many wire-frame models can be created from the observed sequences of silhouettes in time. Finally, a B-Rep solid model is created using a meshing algorithm. Using the B-Rep solid model the volume in time for the right and left lungs were calculated. It was possible to recognize several characteristics of the 3D real right and left lungs in the shaded model. (C) 2007 Elsevier Ltd. All rights reserved.

A modified epidemiological model for computer viruses

Since the computer viruses pose a serious problem to individual and corporative computer systems, a lot of effort has been dedicated to study how to avoid their deleterious actions, trying to create anti-virus programs acting as vaccines in personal computers or in strategic network nodes. Another way to combat viruses propagation is to establish preventive policies based on the whole operation of a system that can be modeled with population models, similar to those that are used in epidemiological studies. Here, a modified version of the SIR (Susceptible-Infected-Removed) model is presented and how its parameters are related to network characteristics is explained. Then, disease-free and endemic equilibrium points are calculated, stability and bifurcation conditions are derived and some numerical simulations are shown. The relations among the model parameters in the several bifurcation conditions allow a network design minimizing viruses risks. (C) 2009 Elsevier Inc. All rights reserved.

Closed-loop model re-identification of processes under MPC with zone control

This work deals with a procedure for model re-identification of a process in closed loop with ail already existing commercial MPC. The controller considered here has a two-layer structure where the upper layer performs a target calculation based on a simplified steady-state optimization of the process. Here, it is proposed a methodology where a test signal is introduced in a tuning parameter of the target calculation layer. When the outputs are controlled by zones instead of at fixed set points, the approach allows the continuous operation of the process without an excessive disruption of the operating objectives as process constraints and product specifications remain satisfied during the identification test. The application of the method is illustrated through the simulation of two processes of the oil refining industry. (c) 2008 Elsevier Ltd. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Residuals for log-Burr XII regression models in survival analysis

In this paper, we compare three residuals to assess departures from the error assumptions as well as to detect outlying observations in log-Burr XII regression models with censored observations. These residuals can also be used for the log-logistic regression model, which is a special case of the log-Burr XII regression model. For different parameter settings, sample sizes and censoring percentages, various simulation studies are performed and the empirical distribution of each residual is displayed and compared with the standard normal distribution. These studies suggest that the residual analysis usually performed in normal linear regression models can be straightforwardly extended to the modified martingale-type residual in log-Burr XII regression models with censored data.

The beta modified Weibull distribution

A five-parameter distribution so-called the beta modified Weibull distribution is defined and studied. The new distribution contains, as special submodels, several important distributions discussed in the literature, such as the generalized modified Weibull, beta Weibull, exponentiated Weibull, beta exponential, modified Weibull and Weibull distributions, among others. The new distribution can be used effectively in the analysis of survival data since it accommodates monotone, unimodal and bathtub-shaped hazard functions. We derive the moments and examine the order statistics and their moments. We propose the method of maximum likelihood for estimating the model parameters and obtain the observed information matrix. A real data set is used to illustrate the importance and flexibility of the new distribution.

A log-extended Weibull regression model

A bathtub-shaped failure rate function is very useful in survival analysis and reliability studies. The well-known lifetime distributions do not have this property. For the first time, we propose a location-scale regression model based on the logarithm of an extended Weibull distribution which has the ability to deal with bathtub-shaped failure rate functions. We use the method of maximum likelihood to estimate the model parameters and some inferential procedures are presented. We reanalyze a real data set under the new model and the log-modified Weibull regression model. We perform a model check based on martingale-type residuals and generated envelopes and the statistics AIC and BIC to select appropriate models. (C) 2009 Elsevier B.V. All rights reserved.

Influence diagnostics for polyhazard models in the presence of covariates

In this paper, we present various diagnostic methods for polyhazard models. Polyhazard models are a flexible family for fitting lifetime data. Their main advantage over the single hazard models, such as the Weibull and the log-logistic models, is to include a large amount of nonmonotone hazard shapes, as bathtub and multimodal curves. Some influence methods, such as the local influence and total local influence of an individual are derived, analyzed and discussed. A discussion of the computation of the likelihood displacement as well as the normal curvature in the local influence method are presented. Finally, an example with real data is given for illustration.

General results for the beta-modified Weibull distribution

We study in detail the so-called beta-modified Weibull distribution, motivated by the wide use of the Weibull distribution in practice, and also for the fact that the generalization provides a continuous crossover towards cases with different shapes. The new distribution is important since it contains as special sub-models some widely-known distributions, such as the generalized modified Weibull, beta Weibull, exponentiated Weibull, beta exponential, modified Weibull and Weibull distributions, among several others. It also provides more flexibility to analyse complex real data. Various mathematical properties of this distribution are derived, including its moments and moment generating function. We examine the asymptotic distributions of the extreme values. Explicit expressions are also derived for the chf, mean deviations, Bonferroni and Lorenz curves, reliability and entropies. The estimation of parameters is approached by two methods: moments and maximum likelihood. We compare by simulation the performances of the estimates from these methods. We obtain the expected information matrix. Two applications are presented to illustrate the proposed distribution.

WATER RESOURCES SITUATION AT PIRACICABA, CAPIVARI AND JUNDIAI WATERSHEDS USING A DYNAMIC SYSTEMS MODEL

Using a dynamic systems model specifically developed for Piracicaba, Capivari and Jundia River Water Basins (BH-PCJ) as a tool to help to analyze water resources management alternatives for policy makers and decision takers, five simulations for 50 years timeframe were performed. The model estimates water supply and demand, as well as wastewater generation from the consumers at BH-PCJ. A run was performed using mean precipitation value constant, and keeping the actual water supply and demand rates, the business as usual scenario. Under these considerations, it is expected an increment of about similar to 76% on water demand, that similar to 39% of available water volume will come from wastewater reuse, and that waste load increases to similar to 91%. Falkenmark Index will change from 1,403 m(3) person(-1) year(-1) in 2004, to 734 m(3) P(-1) year(-1) by 2054, and the Sustainability Index from 0.44 to 0.20. Another four simulations were performed by affecting the annual precipitation by 90 and 110%; considering an ecological flow equal to 30% of the mean daily flow; and keeping the same rates for all other factors except for ecological flow and household water consumption. All of them showed a tendency to a water crisis in the near future at BH-PCJ.

Validation of a root water uptake model to estimate transpiration constraints

Experimental results obtained from a greenhouse trial with common bean (Phaseolus vulgaris L) plants performed to test model hypotheses regarding the onset of limiting hydraulic conditions and the shape of the transpiration reduction curve in the falling rate phase are presented. According to these hypotheses based on simulations with an upscaled single-root model, the matric flux potential at the onset of limiting hydraulic conditions is as a function of root length density and potential transpiration rate, while the relative transpiration in the falling rate phase equals the relative matric flux potential. Transpiration of bean plants in water stressed pots with four different soils was determined daily by weighing and compared to values obtained from non-stressed pots. This procedure allowed determining the onset of the falling rate phase and corresponding soil hydraulic conditions. At the onset of the falling rate phase, the value of matric flux potential M(I) showed to differ in order of magnitude from the model predicted value for three out of four soils. This difference between model and experiment can be explained by the heterogeneity of the root distribution which is not considered by the model. An empirical factor to deal with this heterogeneity should be included in the model to improve predictions. Comparing the predictions of relative transpiration in the falling rate phase using a linear shape with water content, pressure head or matric flux potential, the matric flux potential based reduction function, in agreement with the hypothesis, showed the best performance, while the pressure head based equation resulted in the highest deviations between observed and predicted values of relative transpiration rates. (C) 2010 Elsevier B.V. All rights reserved.

Modeling soil organic carbon dynamics in Oxisols of Ibiruba (Brazil) with the Century Model

introduction of conservation practices in degraded agricultural land will generally recuperate soil quality, especially by increasing soil organic matter. This aspect of soil organic C (SOC) dynamics under distinct cropping and management systems can be conveniently analyzed with ecosystem models such as the Century Model. In this study, Century was used to simulate SOC stocks in farm fields of the Ibiruba region of north central Rio Grande do Sul state in Southern Brazil. The region, where soils are predominantly Oxisols, was originally covered with subtropical woodlands and grasslands. SOC dynamics was simulated with a general scenario developed with historical data on soil management and cropping systems beginning with the onset of agriculture in 1900. From 1993 to 2050, two contrasting scenarios based on no-tillage soil management were established: the status quo scenario, with crops and agricultural inputs as currently practiced in the region and the high biomass scenario with increased frequency of corn in the cropping system, resulting in about 80% higher biomass addition to soils. Century simulations were in close agreement with SOC stocks measured in 2005 in the Oxisols with finer texture surface horizon originally under woodlands. However, simulations in the Oxisols with loamy surface horizon under woodlands and in the grassland soils were not as accurate. SOC stock decreased from 44% to 50% in fields originally under woodland and from 20% to 27% in fields under grasslands with the introduction of intensive annual grain crops with intensive tillage and harrowing operations. The adoption of conservation practices in the 1980s led to a stabilization of SOC stocks followed by a partial recovery of native stocks. Simulations to 2050 indicate that maintaining status quo would allow SOC stocks to recover from 81% to 86% of the native stocks under woodland and from 80% to 91 % of the native stocks under grasslands. Adoption of a high biomass scenario would result in stocks from 75% to 95% of the original stocks under woodlands and from 89% to 102% in the grasslands by 2050. These simulations outcomes underline the importance of cropping system yielding higher biomass to further increase SOC content in these Oxisols. This application of the Century Model could reproduce general trends of SOC loss and recovery in the Oxisols of the Ibiruba region. Additional calibration and validation should be conducted before extensive usage of Century as a support tool for soil carbon sequestration projects in this and other regions can be recommended. (C) 2009 Elsevier B.V. All rights reserved.