Stochastic Skellam model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A stochastic shift model for economically designed charts constrained by the process stage configuration

An economic model including the labor resource and the process stage configuration is proposed to design g charts allowing for all the design parameters to be varied in an adaptive way. A random shift size is considered during the economic design selection. The results obtained for a benchmark of 64 process stage scenarios show that the activities configuration and some process operating parameters influence the selection of the best control chart strategy: to model the random shift size, its exact distribution can be approximately fitted by a discrete distribution obtained from a relatively small sample of historical data. However, an accurate estimation of the inspection costs associated to the SPC activities is far from being achieved. An illustrative example shows the implementation of the proposed economic model in a real industrial case. (C) 2011 Elsevier B.V. All rights reserved.

An introductory informatics theoretical framework, based on an integrable lattice model using quantized function algebras, for studying DNA-ionized gas interaction system

Usually we observe that Bio-physical systems or Bio-chemical systems are many a time based on nanoscale phenomenon in different host environments, which involve many particles can often not be solved explicitly. Instead a physicist, biologist or a chemist has to rely either on approximate or numerical methods. For a certain type of systems, called integrable in nature, there exist particular mathematical structures and symmetries which facilitate the exact and explicit description. Most integrable systems, we come across are low-dimensional, for instance, a one-dimensional chain of coupled atoms in DNA molecular system with a particular direction or exist as a vector in the environment. This theoretical research paper aims at bringing one of the pioneering ‘Reaction-Diffusion’ aspects of the DNA-plasma material system based on an integrable lattice model approach utilizing quantized functional algebras, to disseminate the new developments, initiate novel computational and design paradigms.

Optimal reactive power dispatch using stochastic chance-constrained programming

Deterministic Optimal Reactive Power Dispatch problem has been extensively studied, such that the demand power and the availability of shunt reactive power compensators are known and fixed. Give this background, a two-stage stochastic optimization model is first formulated under the presumption that the load demand can be modeled as specified random parameters. A second stochastic chance-constrained model is presented considering uncertainty on the demand and the equivalent availability of shunt reactive power compensators. Simulations on six-bus and 30-bus test systems are used to illustrate the validity and essential features of the proposed models. This simulations shows that the proposed models can prevent to the power system operator about of the deficit of reactive power in the power system and suggest that shunt reactive sourses must be dispatched against the unavailability of any reactive source. © 2012 IEEE.

Visualization of Protein Folding Funnels in Lattice Models

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Configuration-dependent diffusion can shift the kinetic transition state and barrier height of protein folding

We show that diffusion can play an important role in protein-folding kinetics. We explicitly calculate the diffusion coefficient of protein folding in a lattice model. We found that diffusion typically is configuration- or reaction coordinate-dependent. The diffusion coefficient is found to be decreasing with respect to the progression of folding toward the native state, which is caused by the collapse to a compact state constraining the configurational space for exploration. The configuration- or position-dependent diffusion coefficient has a significant contribution to the kinetics in addition to the thermodynamic free-energy barrier. It effectively changes (increases in this case) the kinetic barrier height as well as the position of the corresponding transition state and therefore modifies the folding kinetic rates as well as the kinetic routes. The resulting folding time, by considering both kinetic diffusion and the thermodynamic folding free-energy profile, thus is slower than the estimation from the thermodynamic free-energy barrier with constant diffusion but is consistent with the results from kinetic simulations. The configuration- or coordinate-dependent diffusion is especially important with respect to fast folding, when there is a small or no free-energy barrier and kinetics is controlled by diffusion. Including the configurational dependence will challenge the transition state theory of protein folding. The classical transition state theory will have to be modified to be consistent. The more detailed folding mechanistic studies involving phi value analysis based on the classical transition state theory also will have to be modified quantitatively.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Especulação sobre a taxa de infecção da difteria no Modelo Estocástico Simples de Epidemia

Com base em um programa em linguagem Fortran, utilizando a técnica de simulação em computador e através das pressuposições do Modelo Estocástico Simples de Epidemia, é estabelecida uma conjectura a respeito de valores para a taxa de infecção para a difteria, a partir de ocorrência de casos em um domicílio de cinco pessoas.

Frustration and hydrophobicity interplay in protein folding and protein evolution

A lattice model is used to study mutations and compacting effects on protein folding rates and folding temperature. In the context of protein evolution, we address the question regarding the best scenario for a polypeptide chain to fold: either a fast nonspecific collapse followed by a slow rearrangement to form the native structure or a specific collapse from the unfolded state with the simultaneous formation of the native state. This question is investigated for optimized sequences, whose native state has no frustrated contacts between monomers, and also for mutated sequences, whose native state has some degree of frustration. It is found that the best scenario for folding may depend on the amount of frustration of the native structure. The implication of this result on protein evolution is discussed. (c) 2006 American Institute of Physics.

Estudo do coeficiente de difusão no enovelamento de proteínas na rede

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Termodinâmica do enovelamento de cadeias heteropoliméricas através do algoritmo de Wang-Landau

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Método de Wang-Landau para sequenciamento de aminoácidos em estrutura nativa de proteínas em modelos de rede

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Aspectos de topologia e mutação no processo de enovelamento e evolução de proteínas

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Markovian versus non-Markovian stochastic quantization of a complex-action model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Improving the GNSS positioning stochastic model in the presence of ionospheric scintillation

Ionospheric scintillations are caused by time-varying electron density irregularities in the ionosphere, occurring more often at equatorial and high latitudes. This paper focuses exclusively on experiments undertaken in Europe, at geographic latitudes between similar to 50 degrees N and similar to 80 degrees N, where a network of GPS receivers capable of monitoring Total Electron Content and ionospheric scintillation parameters was deployed. The widely used ionospheric scintillation indices S4 and sigma(phi) represent a practical measure of the intensity of amplitude and phase scintillation affecting GNSS receivers. However, they do not provide sufficient information regarding the actual tracking errors that degrade GNSS receiver performance. Suitable receiver tracking models, sensitive to ionospheric scintillation, allow the computation of the variance of the output error of the receiver PLL (Phase Locked Loop) and DLL (Delay Locked Loop), which expresses the quality of the range measurements used by the receiver to calculate user position. The ability of such models of incorporating phase and amplitude scintillation effects into the variance of these tracking errors underpins our proposed method of applying relative weights to measurements from different satellites. That gives the least squares stochastic model used for position computation a more realistic representation, vis-a-vis the otherwise 'equal weights' model. For pseudorange processing, relative weights were computed, so that a 'scintillation-mitigated' solution could be performed and compared to the (non-mitigated) 'equal weights' solution. An improvement between 17 and 38% in height accuracy was achieved when an epoch by epoch differential solution was computed over baselines ranging from 1 to 750 km. The method was then compared with alternative approaches that can be used to improve the least squares stochastic model such as weighting according to satellite elevation angle and by the inverse of the square of the standard deviation of the code/carrier divergence (sigma CCDiv). The influence of multipath effects on the proposed mitigation approach is also discussed. With the use of high rate scintillation data in addition to the scintillation indices a carrier phase based mitigated solution was also implemented and compared with the conventional solution. During a period of occurrence of high phase scintillation it was observed that problems related to ambiguity resolution can be reduced by the use of the proposed mitigated solution.