Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value of the expectation and variance of the output. In the first problem it is desired to minimise the final variance of the output subject to a restriction on its final expectation, in the second one it is desired to maximise the final expectation of the output subject to a restriction on its final variance, and in the third one it is considered a performance criterion composed by a linear combination of the final variance and expectation of the output of the system. We present explicit sufficient conditions for the existence of an optimal control strategy for these problems, generalising previous results in the literature. We conclude this article presenting a numerical example of an asset liabilities management model for pension funds with regime switching.

Chaotic Synchronization in Discrete-Time Systems Connected by Bandlimited Channels

Due to the broadband characteristic of chaotic signals, many of the methods that have been proposed for synchronizing chaotic systems do not usually present a satisfactory performance when applied to bandlimited communication channels. Here, the effects of bandwidth limitations imposed by the channel on the synchronous solution of a discrete-time chaotic master-slave network are investigated. The discrete-time system considered in this study is the Henon map. It is analytically shown that synchronism can be achieved in such a network by introducing a digital filter in the feedback loop responsible for generating the chaotic signal that will be sent to the slave node. Numerical simulations relating the filter parameters, such as its order and cut-off frequency, to the maximum Lyapunov exponent of the master node, which determines if the transmitted signal is chaotic or not, are also presented. These results can be useful for practical communication schemes based on chaos.

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.

Linear minimum mean square filter for discrete-time linear systems with Markov jumps and multiplicative noises

In this paper we obtain the linear minimum mean square estimator (LMMSE) for discrete-time linear systems subject to state and measurement multiplicative noises and Markov jumps on the parameters. It is assumed that the Markov chain is not available. By using geometric arguments we obtain a Kalman type filter conveniently implementable in a recurrence form. The stationary case is also studied and a proof for the convergence of the error covariance matrix of the LMMSE to a stationary value under the assumption of mean square stability of the system and ergodicity of the associated Markov chain is obtained. It is shown that there exists a unique positive semi-definite solution for the stationary Riccati-like filter equation and, moreover, this solution is the limit of the error covariance matrix of the LMMSE. The advantage of this scheme is that it is very easy to implement and all calculations can be performed offline. (c) 2011 Elsevier Ltd. All rights reserved.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

Regression models for grouped survival data: Estimation and sensitivity analysis

In this study, regression models are evaluated for grouped survival data when the effect of censoring time is considered in the model and the regression structure is modeled through four link functions. The methodology for grouped survival data is based on life tables, and the times are grouped in k intervals so that ties are eliminated. Thus, the data modeling is performed by considering the discrete models of lifetime regression. The model parameters are estimated by using the maximum likelihood and jackknife methods. To detect influential observations in the proposed models, diagnostic measures based on case deletion, which are denominated global influence, and influence measures based on small perturbations in the data or in the model, referred to as local influence, are used. In addition to those measures, the local influence and the total influential estimate are also employed. Various simulation studies are performed and compared to the performance of the four link functions of the regression models for grouped survival data for different parameter settings, sample sizes and numbers of intervals. Finally, a data set is analyzed by using the proposed regression models. (C) 2010 Elsevier B.V. All rights reserved.

Simulation of irrigated Thanzania grass growth based on photothermal units, nitrogen fertilization and water availability

Simulation of irrigated Thanzania grass growth based on photothermal units, nitrogen fertilization and water availability. The mathematical model to predict the forage yield using photothennal units was utilized with success in Elephant grass, Thanzania and Brachiaria niziziensis in the absence of water stress and nitrogen stress. The aim of this study was to propose models to estimate the forage yield of Thanzania grass under different irrigation (25, 50,75, 100 e 125% of ETc) and nitrogen level in various regions of Brazil. As such, models were developed to estimate the dry matter production of Panicum maximum Jacq. frass cv Thanzania in different irrigation and nitrogen levels, using photothermal units. The models were adjusted to doses of 0, 30, 60, 110 and 270 kg of N ha(-1), doses were divided in applications after each evaluation, with a rest cycle of 35 days. The adjusted model presented good performance in predicting dry matter production of Thanzania grass, with r(2) = 0.9999. The results made it possible to verify that the proposed model can be used to predict forage production in different regions of Brazil. It can be estimated, with good precision. The production of Thanzania grass dry matter can be accurately estimated in specific places (in function of latitude and time of year), with the maximum and minimum temperature values.

Microbial activity and community composition in saline and non-saline soils exposed to multiple drying and rewetting events

The effects of drying and rewetting (DRW) have been studied extensively in non-saline soils, but little is known about the impact of DRW in saline soils. An incubation experiment was conducted to determine the impact of 1-3 drying and re-wetting events on soil microbial activity and community composition at different levels of electrical conductivity in the saturated soil extract (ECe) (ECe 0.7, 9.3, 17.6 dS m(-1)). A non-saline sandy loam was amended with NaCl to achieve the three EC levels 21 days prior to the first DRW; wheat straw was added 7 days prior to the first DRW. Each DRW event consisted of 1 week drying and 1 week moist (50% of water holding capacity, WHC). After the last DRW, the soils were maintained moist until the end of the incubation period (63 days after addition of the wheat straw). A control was kept moist (50% of WHC) throughout the incubation period. Respiration rates on the day after rewetting were similar after the first and the second DRW, but significantly lower after the third DRW. After the first and second DRW, respiration rates were lower at EC17.6 compared to the lower EC levels, whereas salinity had little effect on respiration rates after the third DRW or at the end of the experiment when respiration rates were low. Compared to the continuously moist treatment, respiration rates were about 50% higher on day 15 (d15) and d29. On d44, respiration rates were about 50% higher at EC9.7 than at the other two EC levels. Cumulative respiration was increased by DRW only in the treatment with one DRW and only at the two lower EC levels. Salinity affected microbial biomass and community composition in the moist soils but not in the DRW treatments. At all EC levels and all sampling dates, the community composition in the continuously moist treatment differed from that in the DRW treatments, but there were no differences among the DRW treatments. Microbes in moderately saline soils may be able to utilise substrates released after multiple DRW events better than microbes in non-saline soil. However, at high EC (EC17.6), the low osmotic potential reduced microbial activity to such an extent that the microbes were not able to utilise substrate released after rewetting of dry soil.

Distinct conformational properties determined by implicit and explicit representation of protein-solvent interactions. An analytical and computer simulation study

In the protein folding problem, solvent-mediated forces are commonly represented by intra-chain pairwise contact energy. Although this approximation has proven to be useful in several circumstances, it is limited in some other aspects of the problem. Here we show that it is possible to achieve two models to represent the chain-solvent system. one of them with implicit and other with explicit solvent, such that both reproduce the same thermodynamic results. Firstly, lattice models treated by analytical methods, were used to show that the implicit and explicitly representation of solvent effects can be energetically equivalent only if local solvent properties are time and spatially invariant. Following, applying the same reasoning Used for the lattice models, two inter-consistent Monte Carlo off-lattice models for implicit and explicit solvent are constructed, being that now in the latter the solvent properties are allowed to fluctuate. Then, it is shown that the chain configurational evolution as well as the globule equilibrium conformation are significantly distinct for implicit and explicit solvent systems. Actually, strongly contrasting with the implicit solvent version, the explicit solvent model predicts: (i) a malleable globule, in agreement with the estimated large protein-volume fluctuations; (ii) thermal conformational stability, resembling the conformational hear resistance of globular proteins, in which radii of gyration are practically insensitive to thermal effects over a relatively wide range of temperatures; and (iii) smaller radii of gyration at higher temperatures, indicating that the chain conformational entropy in the unfolded state is significantly smaller than that estimated from random coil configurations. Finally, we comment on the meaning of these results with respect to the understanding of the folding process. (C) 2009 Elsevier B.V. All rights reserved.

The pareto-stability concept is a natural solution concept for discrete matching markets with indifferences

In a decentralized setting the game-theoretical predictions are that only strong blockings are allowed to rupture the structure of a matching. This paper argues that, under indifferences, also weak blockings should be considered when these blockings come from the grand coalition. This solution concept requires stability plus Pareto optimality. A characterization of the set of Pareto-stable matchings for the roommate and the marriage models is provided in terms of individually rational matchings whose blocking pairs, if any, are formed with unmatched agents. These matchings always exist and give an economic intuition on how blocking can be done by non-trading agents, so that the transactions need not be undone as agents reach the set of stable matchings. Some properties of the Pareto-stable matchings shared by the Marriage and Roommate models are obtained.

Low Satellite DNA Variability in Natural Populations of Drosophila antonietae Involved in Different Evolutionary Events

Drosophila antonietae is a cactophilic species that is found in the mesophilic forest of the Parana`-Paraguay river basin and in the dunes of the South Atlantic coast of Brazil. Although the genetic structure of the Parana`-Paraguay river basin populations has already been established, the relationship between these populations and those on the Atlantic coast is controversial. In this study, we compared 33 repetitive units of pBuM-2 satellite DNA isolated from individuals from 8 populations of D. antonietae in these geographic regions, including some populations found within a contact zone with the closely related D. serido. The pBuM-2 sequences showed low interpopulational variability. This result was interpreted as a consequence of both gene flow among the populations and unequal crossing over promoting homogenization of the tandem arrays. The results presented here, together with those of previous studies, highlight the use of pBuM-2 for solving taxonomic conflicts within the D. buzzatii species cluster.

Phylogeography of the cactophilic species Drosophila gouveai: demographic events and divergence timing in dry vegetation enclaves in eastern Brazil

Aim The aim of this study was to assess the causal mechanisms underlying populational subdivision in Drosophila gouveai, a cactophilic species associated with xeric vegetation enclaves in eastern Brazil. A secondary aim was to investigate the genetic effects of Pleistocene climatic fluctuations on these environments. Location Dry vegetation enclaves within the limits of the Cerrado domain in eastern Brazil. Methods We determined the mitochondrial DNA haplotypes of 55 individuals (representing 12 populations) based on sequence data of a 483-bp fragment from the cytochrome c oxidase subunit II (COII) gene. Phylogenetic and coalescent analyses were used to test for the occurrence of demographic events and to infer the time of divergence amongst genetically independent groups. Results Our analyses revealed the existence of two divergent subclades (G1 and G2) plus an introgressed clade restricted to the southernmost range of D. gouveai. Subclades G1 and G2 displayed genetic footprints of range expansion and segregated geographical distributions in south-eastern and some central highland regions, east and west of the Parana River valley. Molecular dating indicated that the main demographic and diversification events occurred in the late to middle Pleistocene. Main conclusions The phylogeographical and genetic patterns observed for D. gouveai in this study are consistent with changes in the distribution of dry vegetation in eastern Brazil. All of the estimates obtained by molecular dating indicate that range expansion and isolation pre-dated the Last Glacial Maximum, occurring during the late to middle Pleistocene, and were probably triggered by climatic changes during the Pleistocene. The current patchy geographical distribution and population subdivision in D. gouveai is apparently closely linked to these past events.

Discrete dimorphism among castes of the bald-faced hornet Dolichovespula maculata (Hymenoptera: Vespidae) in different phases of the colony cycle

Morphological and physiological caste differences were compared from colonies of Dolichovespula maculata in middle and late phases of the colony cycle. The females showed three patterns of ovarian development and only females classified as queens were inseminated. In both phases, queens were larger than workers for most measures. Discriminant analyses showed high distinction of caste in both phases. We also found highly pronounced qualitative differences: workers had hairs covering the entire body whereas queens had no hair and also some colour differences in the gaster. These results indicate that D. maculata presents pre-imaginal differentiation as seen in other Vespinae, and that size variation occurs from colony to colony such that queens of one colony may be comparable to workers of a different colony although the castes are always distinguishable within colonies.

Myocardial scintigraphy and clinical stratification as predictors of events in renal transplant candidates

Background: We tested the hypothesis that the universal application of myocardial scanning with single-photon emission computed tomography (SPECT) would result in better risk stratification in renal transplant candidates (RTC) compared with SPECT being restricted to patients who, in addition to renal disease, had other clinical risk factors. Methods: RTCs (n=363) underwent SPECT and clinical risk stratification according to the American Society of Transplantation (AST) algorithm and were followed up until a major adverse cardiovascular event (MACE) or death. Results: Of the 363 patients, 79 patients (22%) had an abnormal SPECT scan and 270 (74%) were classified as high risk. Both methods correctly identified patients with increased probability of MACE. However, clinical stratification performed better (sensitivity and negative predictive value 99% and 99% vs. 25% and 87%, respectively). High-risk patients with an abnormal SPECT scan had a modest increased risk of events (log-rank = 0.03; hazard ratio [HR] = 1.37; 95% confidence interval [95% CI], 1.02-1.82). Eighty-six patients underwent coronary angiography, and coronary artery disease (CAD) was found in 60%. High-risk patients with CAD had an increased incidence of events (log-rank = 0.008; HR=3.85; 95% CI, 1.46-13.22), but in those with an abnormal SPECT scan, the incidence of events was not influenced by CAD (log-rank = 0.23). Forty-six patients died. Clinical stratification, but not SPECT, correlated with the probability of death (log-rank = 0.02; HR=3.25; 95% CI, 1.31-10.82). Conclusion: SPECT should be restricted to high-risk patients. Moreover, in contrast to SPECT, the AST algorithm was also useful for predicting death by any cause in RTCs and for selecting patients for invasive coronary testing.

Rosuvastatin and Cardiovascular Events in Patients Undergoing Hemodialysis

Background Statins reduce the incidence of cardiovascular events in patients at high cardiovascular risk. However, a benefit of statins in such patients who are undergoing hemodialysis has not been proved. Methods We conducted an international, multicenter, randomized, double-blind, prospective trial involving 2776 patients, 50 to 80 years of age, who were undergoing maintenance hemodialysis. We randomly assigned patients to receive rosuvastatin, 10 mg daily, or placebo. The combined primary end point was death from cardiovascular causes, nonfatal myocardial infarction, or nonfatal stroke. Secondary end points included death from all causes and individual cardiac and vascular events. Results After 3 months, the mean reduction in low-density lipoprotein (LDL) cholesterol levels was 43% in patients receiving rosuvastatin, from a mean baseline level of 100 mg per deciliter (2.6 mmol per liter). During a median follow-up period of 3.8 years, 396 patients in the rosuvastatin group and 408 patients in the placebo group reached the primary end point (9.2 and 9.5 events per 100 patient-years, respectively; hazard ratio for the combined end point in the rosuvastatin group vs. the placebo group, 0.96; 95% confidence interval [CI], 0.84 to 1.11; P = 0.59). Rosuvastatin had no effect on individual components of the primary end point. There was also no significant effect on all-cause mortality (13.5 vs. 14.0 events per 100 patient-years; hazard ratio, 0.96; 95% CI, 0.86 to 1.07; P = 0.51). Conclusions In patients undergoing hemodialysis, the initiation of treatment with rosuvastatin lowered the LDL cholesterol level but had no significant effect on the composite primary end point of death from cardiovascular causes, nonfatal myocardial infarction, or nonfatal stroke. (ClinicalTrials.gov number, NCT00240331.)