Stability and ergodicity of piecewise deterministic Markov processes

The main goal of this paper is to establish some equivalence results on stability, recurrence, and ergodicity between a piecewise deterministic Markov process ( PDMP) {X( t)} and an embedded discrete-time Markov chain {Theta(n)} generated by a Markov kernel G that can be explicitly characterized in terms of the three local characteristics of the PDMP, leading to tractable criterion results. First we establish some important results characterizing {Theta(n)} as a sampling of the PDMP {X( t)} and deriving a connection between the probability of the first return time to a set for the discrete-time Markov chains generated by G and the resolvent kernel R of the PDMP. From these results we obtain equivalence results regarding irreducibility, existence of sigma-finite invariant measures, and ( positive) recurrence and ( positive) Harris recurrence between {X( t)} and {Theta(n)}, generalizing the results of [ F. Dufour and O. L. V. Costa, SIAM J. Control Optim., 37 ( 1999), pp. 1483-1502] in several directions. Sufficient conditions in terms of a modified Foster-Lyapunov criterion are also presented to ensure positive Harris recurrence and ergodicity of the PDMP. We illustrate the use of these conditions by showing the ergodicity of a capacity expansion model.

AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES

This paper deals with the long run average continuous control problem of piecewise deterministic Markov processes (PDMPs) taking values in a general Borel space and with compact action space depending on the state variable. The control variable acts on the jump rate and transition measure of the PDMP, and the running and boundary costs are assumed to be positive but not necessarily bounded. Our first main result is to obtain an optimality equation for the long run average cost in terms of a discrete-time optimality equation related to the embedded Markov chain given by the postjump location of the PDMP. Our second main result guarantees the existence of a feedback measurable selector for the discrete-time optimality equation by establishing a connection between this equation and an integro-differential equation. Our final main result is to obtain some sufficient conditions for the existence of a solution for a discrete-time optimality inequality and an ordinary optimal feedback control for the long run average cost using the so-called vanishing discount approach. Two examples are presented illustrating the possible applications of the results developed in the paper.

THE VANISHING DISCOUNT APPROACH FOR THE AVERAGE CONTINUOUS CONTROL OF PIECEWISE DETERMINISTIC MARKOV PROCESSES

This work is concerned with the existence of an optimal control strategy for the long-run average continuous control problem of piecewise-deterministic Markov processes (PDMPs). In Costa and Dufour (2008), sufficient conditions were derived to ensure the existence of an optimal control by using the vanishing discount approach. These conditions were mainly expressed in terms of the relative difference of the alpha-discount value functions. The main goal of this paper is to derive tractable conditions directly related to the primitive data of the PDMP to ensure the existence of an optimal control. The present work can be seen as a continuation of the results derived in Costa and Dufour (2008). Our main assumptions are written in terms of some integro-differential inequalities related to the so-called expected growth condition, and geometric convergence of the post-jump location kernel associated to the PDMP. An example based on the capacity expansion problem is presented, illustrating the possible applications of the results developed in the paper.

On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

LIMIT THEOREMS FOR A GENERAL STOCHASTIC RUMOUR MODEL

We study a general stochastic rumour model in which an ignorant individual has a certain probability of becoming a stifler immediately upon hearing the rumour. We refer to this special kind of stifler as an uninterested individual. Our model also includes distinct rates for meetings between two spreaders in which both become stiflers or only one does, so that particular cases are the classical Daley-Kendall and Maki-Thompson models. We prove a Law of Large Numbers and a Central Limit Theorem for the proportions of those who ultimately remain ignorant and those who have heard the rumour but become uninterested in it.

A Dynamic Model of Hand-and-Foot Syndrome in Patients Receiving Capecitabine

For the purpose of developing a longitudinal model to predict hand-and-foot syndrome (HFS) dynamics in patients receiving capecitabine, data from two large phase III studies were used. Of 595 patients in the capecitabine arms, 400 patients were randomly selected to build the model, and the other 195 were assigned for model validation. A score for risk of developing HFS was modeled using the proportional odds model, a sigmoidal maximum effect model driven by capecitabine accumulation as estimated through a kinetic-pharmacodynamic model and a Markov process. The lower the calculated creatinine clearance value at inclusion, the higher was the risk of HFS. Model validation was performed by visual and statistical predictive checks. The predictive dynamic model of HFS in patients receiving capecitabine allows the prediction of toxicity risk based on cumulative capecitabine dose and previous HFS grade. This dose-toxicity model will be useful in developing Bayesian individual treatment adaptations and may be of use in the clinic.

QUASISTATIONARY DISTRIBUTIONS AND FLEMING-VIOT PROCESSES IN FINITE SPACES

Consider a continuous-time Markov process with transition rates matrix Q in the state space Lambda boolean OR {0}. In In the associated Fleming-Viot process N particles evolve independently in A with transition rates matrix Q until one of them attempts to jump to state 0. At this moment the particle jumps to one of the positions of the other particles, chosen uniformly at random. When Lambda is finite, we show that the empirical distribution of the particles at a fixed time converges as N -> infinity to the distribution of a single particle at the same time conditioned on not touching {0}. Furthermore, the empirical profile of the unique invariant measure for the Fleming-Viot process with N particles converges as N -> infinity to the unique quasistationary distribution of the one-particle motion. A key element of the approach is to show that the two-particle correlations are of order 1/N.

Hybrid modeling of convective laminar flow in a permeable tube associated with the cross-flow process

The confined flows in tubes with permeable surfaces arc associated to tangential filtration processes (microfiltration or ultrafiltration). The complexity of the phenomena do not allow for the development of exact analytical solutions, however, approximate solutions are of great interest for the calculation of the transmembrane outflow and estimate of the concentration, polarization phenomenon. In the present work, the generalized integral transform technique (GITT) was employed in solving the laminar and permanent flow in permeable tubes of Newtonian and incompressible fluid. The mathematical formulation employed the parabolic differential equation of chemical species conservation (convective-diffusive equation). The velocity profiles for the entrance region flow, which are found in the connective terms of the equation, were assessed by solutions obtained from literature. The velocity at the permeable wall was considered uniform, with the concentration at the tube wall regarded as variable with an axial position. A computational methodology using global error control was applied to determine the concentration in the wall and concentration boundary layer thickness. The results obtained for the local transmembrane flux and the concentration boundary layer thickness were compared against others in literature. (C) 2007 Elsevier B.V. All rights reserved.

Modeling Vinyl Acetate and n-Butyl Acrylate Emulsion Copolymerization Process

This work presents a mathematical model for the vinyl acetate and n-butyl acrylate emulsion copolymerization process in batch reactors. The model is able to explain the effects of simultaneous changes in emulsifier concentration, initiator concentration, monomer-to-water ratio, and monomer feed composition on monomer conversion, copolymer composition and, to lesser extent, average particle size evolution histories. The main features of the system, such as the increase in the rate of polymerization as temperature, emulsifier, and initiator concentrations increase are correctly represented by the model. The model accounts for the basic features of the process and may be useful for practical applications, despite its simplicity and a reduced number of adjustable parameters.

MODELING ELECTRODIALYSIS AND A PHOTOCHEMICAL PROCESS FOR THEIR INTEGRATION IN SALINE WASTEWATER TREATMENT

Oxidation processes can be used to treat industrial wastewater containing non-biodegradable organic compounds. However, the presence of dissolved salts may inhibit or retard the treatment process. In this study, wastewater desalination by electrodialysis (ED) associated with an advanced oxidation process (photo-Fenton) was applied to an aqueous NaCl solution containing phenol. The influence of process variables on the demineralization factor was investigated for ED in pilot scale and a correlation was obtained between the phenol, salt and water fluxes with the driving force. The oxidation process was investigated in a laboratory batch reactor and a model based on artificial neural networks was developed by fitting the experimental data describing the reaction rate as a function of the input variables. With the experimental parameters of both processes, a dynamic model was developed for ED and a continuous model, using a plug flow reactor approach, for the oxidation process. Finally, the hybrid model simulation could validate different scenarios of the integrated system and can be used for process optimization.

Semiparametric Bayesian measurement error modeling

This work presents a Bayesian semiparametric approach for dealing with regression models where the covariate is measured with error. Given that (1) the error normality assumption is very restrictive, and (2) assuming a specific elliptical distribution for errors (Student-t for example), may be somewhat presumptuous; there is need for more flexible methods, in terms of assuming only symmetry of errors (admitting unknown kurtosis). In this sense, the main advantage of this extended Bayesian approach is the possibility of considering generalizations of the elliptical family of models by using Dirichlet process priors in dependent and independent situations. Conditional posterior distributions are implemented, allowing the use of Markov Chain Monte Carlo (MCMC), to generate the posterior distributions. An interesting result shown is that the Dirichlet process prior is not updated in the case of the dependent elliptical model. Furthermore, an analysis of a real data set is reported to illustrate the usefulness of our approach, in dealing with outliers. Finally, semiparametric proposed models and parametric normal model are compared, graphically with the posterior distribution density of the coefficients. (C) 2009 Elsevier Inc. All rights reserved.

Structural and chemical basis for anticancer activity of a series of 'beta'-tubulin ligands: molecular modeling and 3D QSAR studies

An important approach to cancer therapy is the design of small molecule modulators that interfere with microtubule dynamics through their specific binding to the ²-subunit of tubulin. In the present work, comparative molecular field analysis (CoMFA) studies were conducted on a series of discodermolide analogs with antimitotic properties. Significant correlation coefficients were obtained (CoMFA(i), q² =0.68, r²=0.94; CoMFA(ii), q² = 0.63, r²= 0.91), indicating the good internal and external consistency of the models generated using two independent structural alignment strategies. The models were externally validated employing a test set, and the predicted values were in good agreement with the experimental results. The final QSAR models and the 3D contour maps provided important insights into the chemical and structural basis involved in the molecular recognition process of this family of discodermolide analogs, and should be useful for the design of new specific ²-tubulin modulators with potent anticancer activity.

Cloud condensation nuclei in pristine tropical rainforest air of Amazonia: size-resolved measurements and modeling of atmospheric aerosol composition and CCN activity

Atmospheric aerosol particles serving as cloud condensation nuclei (CCN) are key elements of the hydrological cycle and climate. We have measured and characterized CCN at water vapor supersaturations in the range of S=0.10-0.82% in pristine tropical rainforest air during the AMAZE-08 campaign in central Amazonia. The effective hygroscopicity parameters describing the influence of chemical composition on the CCN activity of aerosol particles varied in the range of kappa approximate to 0.1-0.4 (0.16+/-0.06 arithmetic mean and standard deviation). The overall median value of kappa approximate to 0.15 was by a factor of two lower than the values typically observed for continental aerosols in other regions of the world. Aitken mode particles were less hygroscopic than accumulation mode particles (kappa approximate to 0.1 at D approximate to 50 nm; kappa approximate to 0.2 at D approximate to 200 nm), which is in agreement with earlier hygroscopicity tandem differential mobility analyzer (H-TDMA) studies. The CCN measurement results are consistent with aerosol mass spectrometry (AMS) data, showing that the organic mass fraction (f(org)) was on average as high as similar to 90% in the Aitken mode (D <= 100 nm) and decreased with increasing particle diameter in the accumulation mode (similar to 80% at D approximate to 200 nm). The kappa values exhibited a negative linear correlation with f(org) (R(2)=0.81), and extrapolation yielded the following effective hygroscopicity parameters for organic and inorganic particle components: kappa(org)approximate to 0.1 which can be regarded as the effective hygroscopicity of biogenic secondary organic aerosol (SOA) and kappa(inorg)approximate to 0.6 which is characteristic for ammonium sulfate and related salts. Both the size dependence and the temporal variability of effective particle hygroscopicity could be parameterized as a function of AMS-based organic and inorganic mass fractions (kappa(p)=kappa(org) x f(org)+kappa(inorg) x f(inorg)). The CCN number concentrations predicted with kappa(p) were in fair agreement with the measurement results (similar to 20% average deviation). The median CCN number concentrations at S=0.1-0.82% ranged from N(CCN,0.10)approximate to 35 cm(-3) to N(CCN,0.82)approximate to 160 cm(-3), the median concentration of aerosol particles larger than 30 nm was N(CN,30)approximate to 200 cm(-3), and the corresponding integral CCN efficiencies were in the range of N(CCN,0.10/NCN,30)approximate to 0.1 to N(CCN,0.82/NCN,30)approximate to 0.8. Although the number concentrations and hygroscopicity parameters were much lower in pristine rainforest air, the integral CCN efficiencies observed were similar to those in highly polluted megacity air. Moreover, model calculations of N(CCN,S) assuming an approximate global average value of kappa approximate to 0.3 for continental aerosols led to systematic overpredictions, but the average deviations exceeded similar to 50% only at low water vapor supersaturation (0.1%) and low particle number concentrations (<= 100 cm(-3)). Model calculations assuming aconstant aerosol size distribution led to higher average deviations at all investigated levels of supersaturation: similar to 60% for the campaign average distribution and similar to 1600% for a generic remote continental size distribution. These findings confirm earlier studies suggesting that aerosol particle number and size are the major predictors for the variability of the CCN concentration in continental boundary layer air, followed by particle composition and hygroscopicity as relatively minor modulators. Depending on the required and applicable level of detail, the information and parameterizations presented in this paper should enable efficient description of the CCN properties of pristine tropical rainforest aerosols of Amazonia in detailed process models as well as in large-scale atmospheric and climate models.

Modeling associations between genetic markers using Bayesian networks

Motivation: Understanding the patterns of association between polymorphisms at different loci in a population ( linkage disequilibrium, LD) is of fundamental importance in various genetic studies. Many coefficients were proposed for measuring the degree of LD, but they provide only a static view of the current LD structure. Generative models (GMs) were proposed to go beyond these measures, giving not only a description of the actual LD structure but also a tool to help understanding the process that generated such structure. GMs based in coalescent theory have been the most appealing because they link LD to evolutionary factors. Nevertheless, the inference and parameter estimation of such models is still computationally challenging. Results: We present a more practical method to build GM that describe LD. The method is based on learning weighted Bayesian network structures from haplotype data, extracting equivalence structure classes and using them to model LD. The results obtained in public data from the HapMap database showed that the method is a promising tool for modeling LD. The associations represented by the learned models are correlated with the traditional measure of LD D`. The method was able to represent LD blocks found by standard tools. The granularity of the association blocks and the readability of the models can be controlled in the method. The results suggest that the causality information gained by our method can be useful to tell about the conservability of the genetic markers and to guide the selection of subset of representative markers.

Dynamic behavior analysis of drill-threading process when machining AISI Al-Si-Cu(4) alloy

Conventional threading operations involve two distinct machining processes: drilling and threading. Therefore, it is time consuming for the tools must be changed and the workpiece has to be moved to another machine. This paper presents an analysis of the combined process (drilling followed by threading) using a single tool for both operations: the tap-milling tool. Before presenting the methodology used to evaluate this hybrid tool, the ODS (operating deflection shapes) basics is shortly described. ODS and finite element modeling (FEM) were used during this research to optimize the process aiming to achieve higher stable machining conditions and increasing the tool life. Both methods allowed the determination of the natural frequencies and displacements of the machining center and optimize the workpiece fixture system. The results showed that there is an excellent correlation between the dynamic stability of the machining center-tool holder and the tool life, avoiding a tool premature catastrophic failure. Nevertheless, evidence showed that the tool is very sensitive to work conditions. Undoubtedly, the use of ODS and FEM eliminate empiric decisions concerning the optimization of machining conditions and increase drastically the tool life. After the ODS and FEM studies, it was possible to optimize the process and work material fixture system and machine more than 30,000 threaded holes without reaching the tool life limit and catastrophic fail.