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.

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.

Numerical study of a model for nonequilibrium wetting

We revisit the scaling properties of a model for nonequilibrium wetting [Phys. Rev. Lett. 79, 2710 (1997)], correcting previous estimates of the critical exponents and providing a complete scaling scheme. Moreover, we investigate a special point in the phase diagram, where the model exhibits a roughening transition related to directed percolation. We argue that in the vicinity of this point evaporation from the middle of plateaus can be interpreted as an external field in the language of directed percolation. This analogy allows us to compute the crossover exponent and to predict the form of the phase transition line close to its terminal point.

Pre-processing for noise detection in gene expression classification data

Due to the imprecise nature of biological experiments, biological data is often characterized by the presence of redundant and noisy data. This may be due to errors that occurred during data collection, such as contaminations in laboratorial samples. It is the case of gene expression data, where the equipments and tools currently used frequently produce noisy biological data. Machine Learning algorithms have been successfully used in gene expression data analysis. Although many Machine Learning algorithms can deal with noise, detecting and removing noisy instances from the training data set can help the induction of the target hypothesis. This paper evaluates the use of distance-based pre-processing techniques for noise detection in gene expression data classification problems. This evaluation analyzes the effectiveness of the techniques investigated in removing noisy data, measured by the accuracy obtained by different Machine Learning classifiers over the pre-processed data.

Time-frequency and time-scale analysis of Barkhausen noise signals

Carrying out information about the microstructure and stress behaviour of ferromagnetic steels, magnetic Barkhausen noise (MBN) has been used as a basis for effective non-destructive testing methods, opening new areas in industrial applications. One of the factors that determines the quality and reliability of the MBN analysis is the way information is extracted from the signal. Commonly, simple scalar parameters are used to characterize the information content, such as amplitude maxima and signal root mean square. This paper presents a new approach based on the time-frequency analysis. The experimental test case relates the use of MBN signals to characterize hardness gradients in a AISI4140 steel. To that purpose different time-frequency (TFR) and time-scale (TSR) representations such as the spectrogram, the Wigner-Ville distribution, the Capongram, the ARgram obtained from an AutoRegressive model, the scalogram, and the Mellingram obtained from a Mellin transform are assessed. It is shown that, due to nonstationary characteristics of the MBN, TFRs can provide a rich and new panorama of these signals. Extraction techniques of some time-frequency parameters are used to allow a diagnostic process. Comparison with results obtained by the classical method highlights the improvement on the diagnosis provided by the method proposed.

Noise in resistively shunted Josephson junctions

We investigate the dynamics of a resistively shunted Josephson junction. We compute the Josephson frequency and the generalized impedances for a variety of the parameters, particularly with relevance to predicting the measurable effects of zero-temperature current noise in the resistor.

Extra phase noise from thermal fluctuations in nonlinear optical crystals

We show theoretically and experimentally that scattered light by thermal phonons inside a second-order nonlinear crystal is the source of additional phase noise observed in optical parametric oscillators. This additional phase noise reduces the quantum correlations and has hitherto hindered the direct production of multipartite entanglement in a single nonlinear optical system. We cooled the nonlinear crystal and observed a reduction in the extra noise. Our treatment of this noise can be successfully applied to different systems in the literature.

Role of noise in population dynamics cycles

Noise is an intrinsic feature of population dynamics and plays a crucial role in oscillations called phase-forgetting quasicycles by converting damped into sustained oscillations. This function of noise becomes evident when considering Langevin equations whose deterministic part yields only damped oscillations. We formulate here a consistent and systematic approach to population dynamics, leading to a Fokker-Planck equation and the associate Langevin equations in accordance with this conceptual framework, founded on stochastic lattice-gas models that describe spatially structured predator-prey systems. Langevin equations in the population densities and predator-prey pair density are derived in two stages. First, a birth-and-death stochastic process in the space of prey and predator numbers and predator-prey pair number is obtained by a contraction method that reduces the degrees of freedom. Second, a van Kampen expansion in the inverse of system size is then performed to get the Fokker-Planck equation. We also study the time correlation function, the asymptotic behavior of which is used to characterize the transition from the cyclic coexistence of species to the ordinary coexistence.

Sensitivity to noise and ergodicity of an assembly line of cellular automata that classifies density

We investigate the sensitivity of the composite cellular automaton of H. Fuks [Phys. Rev. E 55, R2081 (1997)] to noise and assess the density classification performance of the resulting probabilistic cellular automaton (PCA) numerically. We conclude that the composite PCA performs the density classification task reliably only up to very small levels of noise. In particular, it cannot outperform the noisy Gacs-Kurdyumov-Levin automaton, an imperfect classifier, for any level of noise. While the original composite CA is nonergodic, analyses of relaxation times indicate that its noisy version is an ergodic automaton, with the relaxation times decaying algebraically over an extended range of parameters with an exponent very close (possibly equal) to the mean-field value.

Gene Expression Noise in Spatial Patterning: hunchback Promoter Structure Affects Noise Amplitude and Distribution in Drosophila Segmentation

Positional information in developing embryos is specified by spatial gradients of transcriptional regulators. One of the classic systems for studying this is the activation of the hunchback (hb) gene in early fruit fly (Drosophila) segmentation by the maternally-derived gradient of the Bicoid (Bcd) protein. Gene regulation is subject to intrinsic noise which can produce variable expression. This variability must be constrained in the highly reproducible and coordinated events of development. We identify means by which noise is controlled during gene expression by characterizing the dependence of hb mRNA and protein output noise on hb promoter structure and transcriptional dynamics. We use a stochastic model of the hb promoter in which the number and strength of Bcd and Hb (self-regulatory) binding sites can be varied. Model parameters are fit to data from WT embryos, the self-regulation mutant hb(14F), and lacZ reporter constructs using different portions of the hb promoter. We have corroborated model noise predictions experimentally. The results indicate that WT (self-regulatory) Hb output noise is predominantly dependent on the transcription and translation dynamics of its own expression, rather than on Bcd fluctuations. The constructs and mutant, which lack self-regulation, indicate that the multiple Bcd binding sites in the hb promoter (and their strengths) also play a role in buffering noise. The model is robust to the variation in Bcd binding site number across a number of fly species. This study identifies particular ways in which promoter structure and regulatory dynamics reduce hb output noise. Insofar as many of these are common features of genes (e. g. multiple regulatory sites, cooperativity, self-feedback), the current results contribute to the general understanding of the reproducibility and determinacy of spatial patterning in early development.

Protecting a quantum state from environmental noise by an incompatible finite-time measurement

We show that measurements of finite duration performed on an open two-state system can protect the initial state from a phase-noisy environment, provided the measured observable does not commute with the perturbing interaction. When the measured observable commutes with the environmental interaction, the finite-duration measurement accelerates the rate of decoherence induced by the phase noise. For the description of the measurement of an observable that is incompatible with the interaction between system and environment, we have found an approximate analytical expression, valid at zero temperature and weak coupling with the measuring device. We have tested the validity of the analytical predictions against an exact numerical approach, based on the superoperator-splitting method, that confirms the protection of the initial state of the system. When the coupling between the system and the measuring apparatus increases beyond the range of validity of the analytical approximation, the initial state is still protected by the finite-time measurement, according with the exact numerical calculations.

Spin-polarized current and shot noise in the presence of spin flip in a quantum dot via nonequilibrium Green's functions

Using nonequilibrium Green's functions we calculate the spin-polarized current and shot noise in a ferromagnet-quantum-dot-ferromagnet system. Both parallel (P) and antiparallel (AP) magnetic configurations are considered. Coulomb interaction and coherent spin flip (similar to a transverse magnetic field) are taken into account within the dot. We find that the interplay between Coulomb interaction and spin accumulation in the dot can result in a bias-dependent current polarization p. In particular, p can be suppressed in the P alignment and enhanced in the AP case depending on the bias voltage. The coherent spin flip can also result in a switch of the current polarization from the emitter to the collector lead. Interestingly, for a particular set of parameters it is possible to have a polarized current in the collector and an unpolarized current in the emitter lead. We also found a suppression of the Fano factor to values well below 0.5.

Noise reduction in biomedical speech signal processing based on time and frequency Kalman filtering combined with spectral subtraction

The goal of this paper is to study and propose a new technique for noise reduction used during the reconstruction of speech signals, particularly for biomedical applications. The proposed method is based on Kalman filtering in the time domain combined with spectral subtraction. Comparison with discrete Kalman filter in the frequency domain shows better performance of the proposed technique. The performance is evaluated by using the segmental signal-to-noise ratio and the Itakura-Saito`s distance. Results have shown that Kalman`s filter in time combined with spectral subtraction is more robust and efficient, improving the Itakura-Saito`s distance by up to four times. (C) 2007 Elsevier Ltd. All rights reserved.

Active sound quality control of engine induced cavity noise

Active control solutions appear to be a feasible approach to cope with the steadily increasing requirements for noise reduction in the transportation industry. Active controllers tend to be designed with a target on the sound pressure level reduction. However, the perceived control efficiency for the occupants can be more accurately assessed if psychoacoustic metrics can be taken into account. Therefore, this paper aims to evaluate, numerically and experimentally, the effect of a feedback controller on the sound quality of a vehicle mockup excited with engine noise. The proposed simulation scheme is described and experimentally validated. The engine excitation is provided by a sound quality equivalent engine simulator, running on a real-time platform that delivers harmonic excitation in function of the driving condition. The controller performance is evaluated in terms of specific loudness and roughness. It is shown that the use of a quite simple control strategy, such as a velocity feedback, can result in satisfactory loudness reduction with slightly spread roughness, improving the overall perception of the engine sound. (C) 2008 Elsevier Ltd. All rights reserved.