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.

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.

Non-linear modal analysis for beams subjected to axial loads: Analytical and finite-element solutions

A rigorous derivation of non-linear equations governing the dynamics of an axially loaded beam is given with a clear focus to develop robust low-dimensional models. Two important loading scenarios were considered, where a structure is subjected to a uniformly distributed axial and a thrust force. These loads are to mimic the main forces acting on an offshore riser, for which an analytical methodology has been developed and applied. In particular, non-linear normal modes (NNMs) and non-linear multi-modes (NMMs) have been constructed by using the method of multiple scales. This is to effectively analyse the transversal vibration responses by monitoring the modal responses and mode interactions. The developed analytical models have been crosschecked against the results from FEM simulation. The FEM model having 26 elements and 77 degrees-of-freedom gave similar results as the low-dimensional (one degree-of-freedom) non-linear oscillator, which was developed by constructing a so-called invariant manifold. The comparisons of the dynamical responses were made in terms of time histories, phase portraits and mode shapes. (C) 2008 Elsevier Ltd. All rights reserved.

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.

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.

On the use of correlated beta random variables with animal population modelling

We give reasons why demographic parameters such as survival and reproduction rates are often modelled well in stochastic population simulation using beta distributions. In practice, it is frequently expected that these parameters will be correlated, for example with survival rates for all age classes tending to be high or low in the same year. We therefore discuss a method for producing correlated beta random variables by transforming correlated normal random variables, and show how it can be applied in practice by means of a simple example. We also note how the same approach can be used to produce correlated uniform triangular, and exponential random variables. (C) 2008 Elsevier B.V. All rights reserved.

Double generalized linear model for tissue culture proportion data: a Bayesian perspective

Joint generalized linear models and double generalized linear models (DGLMs) were designed to model outcomes for which the variability can be explained using factors and/or covariates. When such factors operate, the usual normal regression models, which inherently exhibit constant variance, will under-represent variation in the data and hence may lead to erroneous inferences. For count and proportion data, such noise factors can generate a so-called overdispersion effect, and the use of binomial and Poisson models underestimates the variability and, consequently, incorrectly indicate significant effects. In this manuscript, we propose a DGLM from a Bayesian perspective, focusing on the case of proportion data, where the overdispersion can be modeled using a random effect that depends on some noise factors. The posterior joint density function was sampled using Monte Carlo Markov Chain algorithms, allowing inferences over the model parameters. An application to a data set on apple tissue culture is presented, for which it is shown that the Bayesian approach is quite feasible, even when limited prior information is available, thereby generating valuable insight for the researcher about its experimental results.

Modelling the potential distribution of the invasive tomato red spider mite, Tetranychus evansi (Acari: Tetranychidae)

Predicting the potential geographical distribution of a species is particularly important for pests with strong invasive abilities. Tetranychus evansi Baker & Pritchard, possibly native to South America, is a spider mite pest of solanaceous crops. This mite is considered an invasive species in Africa and Europe. A CLIMEX model was developed to predict its global distribution. The model results fitted the known records of T. evansi except for some records in dry locations. Dryness as well as excess moisture stresses play important roles in limiting the spread of the mite in the tropics. In North America and Eurasia its potential distribution appears to be essentially limited by cold stress. Detailed potential distribution maps are provided for T. evansi in the Mediterranean Basin and in Japan. These two regions correspond to climatic borders for the species. Mite establishment in these areas can be explained by their relatively mild winters. The Mediterranean region is also the main area where tomato is grown in open fields in Europe and where the pest represents a threat. According to the model, the whole Mediterranean region has the potential to be extensively colonized by the mite. Wide expansion of the mite to new areas in Africa is also predicted. Agricultural issues highlighted by the modelled distribution of the pest are discussed.

ECONOMICAL OCCUPATION OF AGRICULTURAL AREA OF PIRACICABA (SAO PAULO STATE, BRAZIL), INCLUDING RISK THROUGH LINEAR PROGRAMMING

The economic occupation of an area of 500 ha for Piracicaba was studied with the irrigated cultures of maize, tomato, sugarcane and beans, having used models of deterministic linear programming and linear programming including risk for the Target-Motad model, where two situations had been analyzed. In the deterministic model the area was the restrictive factor and the water was not restrictive for none of the tested situations. For the first situation the gotten maximum income was of R$ 1,883,372.87 and for the second situation it was of R$ 1,821,772.40. In the model including risk a producer that accepts risk can in the first situation get the maximum income of R$ 1,883,372. 87 with a minimum risk of R$ 350 year(-1), and in the second situation R$ 1,821,772.40 with a minimum risk of R$ 40 year(-1). Already a producer averse to the risk can get in the first situation a maximum income of R$ 1,775,974.81 with null risk and for the second situation R$ 1.707.706, 26 with null risk, both without water restriction. These results stand out the importance of the inclusion of the risk in supplying alternative occupations to the producer, allowing to a producer taking of decision considered the risk aversion and the pretension of income.

Parametric and nonparametric statistical modelling of crop yield: implications for pricing crop insurance contracts

This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

Modelling the progress of Asiatic citrus canker on Tahiti lime in relation to temperature and leaf wetness

The combined effect of temperature (15A degrees C, 20A degrees C, 25A degrees C, 30A degrees C, 35A degrees C, 40A degrees C and 42A degrees C) and leaf wetness duration (0, 4, 8 12, 16, 20 and 24 h) on infection and development of Asiatic citrus canker (Xanthomonas citri subsp. citri) on Tahiti lime plant was examined in growth chambers. No disease developed at 42A degrees C and zero hours of leaf wetness. Periods of leaf wetness as short as 4 h were sufficient for citrus canker infection. However, a longer leaf duration wetness (24 h) did not result in much increase in the incidence of citrus canker, but led to twice the number of lesions and four times the disease severity. Temperature was the greatest factor influencing disease development. At optimum temperatures (25-35A degrees C), there was 100% disease incidence. Maximum disease development was observed at 30-35A degrees C, with up to a 12-fold increase in lesion density, a 10-fold increase in lesion size and a 60-fold increase in disease severity.

Cloning, expression, molecular modelling and docking analysis of glutathione transferase from Saccharum officinarum

Sugarcane yield and quality are affected by a number of biotic and abiotic stresses. In response to such stresses, plants may increase the activities of some enzymes such as glutathione transferase (GST), which are involved in the detoxification of xenobiotics. Thus, a sugarcane GST was modelled and molecular docked using the program LIGIN to investigate the contributions of the active site residues towards the binding of reduced glutathione (GSH) and 1-chloro-2,4-dinitrobenzene (CDNB). As a result, W13 and I119 were identified as key residues for the specificity of sugarcane GSTF1 (SoGSTF1) towards CDNB. To obtain a better understanding of the catalytic specificity of sugarcane GST (SoGSTF1), two mutants were designed, W13L and I119F. Tertiary structure models and the same docking procedure were performed to explain the interactions between sugarcane GSTs with GSH and CDNB. An electron-sharing network for GSH interaction was also proposed. The SoGSTF1 and the mutated gene constructions were cloned and expressed in Escherichia coli and the expressed protein purified. Kinetic analyses revealed different Km values not only for CDNB, but also for GSH. The Km values were 0.2, 1.3 and 0.3 mM for GSH, and 0.9, 1.2 and 0.5 mM for CDNB, for the wild type, W13L mutant and I119F mutant, respectively. The V(max) values were 297.6, 224.5 and 171.8 mu mol min(-1) mg(-1) protein for GSH, and 372.3, 170.6 and 160.4 mu mol min(-1) mg(-1) protein for CDNB.

A Log-Linear Regression Model for the Beta-Weibull Distribution

We introduce the log-beta Weibull regression model based on the beta Weibull distribution (Famoye et al., 2005; Lee et al., 2007). We derive expansions for the moment generating function which do not depend on complicated functions. The new regression model represents a parametric family of models that includes as sub-models several widely known regression models that can be applied to censored survival data. We employ a frequentist analysis, a jackknife estimator, and a parametric bootstrap for the parameters of the proposed model. We derive the appropriate matrices for assessing local influences on the parameter estimates under different perturbation schemes and present some ways to assess global influences. Further, for different parameter settings, sample sizes, and censoring percentages, several simulations are performed. In addition, the empirical distribution of some modified residuals are displayed and compared with the standard normal distribution. These studies suggest that the residual analysis usually performed in normal linear regression models can be extended to a modified deviance residual in the proposed regression model applied to censored data. We define martingale and deviance residuals to evaluate the model assumptions. The extended regression model is very useful for the analysis of real data and could give more realistic fits than other special regression models.

Self-Organizing Maps as a New Tool for Classification of Plants at Lower Hierarchical Levels

A chemotaxonomic analysis is described of a database containing various types of compounds from the Heliantheae tribe (Asteraceae) using Self-Organizing Maps (SOM). The numbers of occurrences of 9 chemical classes in different taxa of the tribe were used as variables. The study shows that SOM applied to chemical data can contribute to differentiate genera, subtribes, and groups of subtribes (subtribe branches), as well as to tribal and subtribal classifications of Heliantheae, exhibiting a high hit percentage comparable to that of an expert performance, and in agreement with the previous tribe classification proposed by Stuessy.

Influence of Plasma Protein Binding on Pharmacodynamics: Estimation of In Vivo Receptor Affinities of beta Blockers Using a New Mechanism-Based PK-PD Modelling Approach

The objective of this investigation was to examine in a systematic manner the influence of plasma protein binding on in vivo pharmacodynamics. Comparative pharmacokinetic-pharmacodynamic studies with four beta blockers were performed in conscious rats, using heart rate under isoprenaline-induced tachycardia as a pharmacodynamic endpoint. A recently proposed mechanism-based agonist-antagonist interaction model was used to obtain in vivo estimates of receptor affinities (K(B),(vivo)). These values were compared with in vitro affinities (K(B),(vitro)) on the basis of both total and free drug concentrations. For the total drug concentrations, the K(B),(vivo) estimates were 26, 13, 6.5 and 0.89 nM for S(-)-atenolol, S(-)-propranolol, S(-)-metoprolol and timolol. The K(B),(vivo) estimates on the basis of the free concentrations were 25, 2.0, 5.2 and 0.56 nM, respectively. The K(B),(vivo)-K(B),(vitro) correlation for total drug concentrations clearly deviated from the line of identity, especially for the most highly bound drug S(-)-propranolol (ratio K(B),(vivo)/K(B),(vitro) similar to 6.8). For the free drug, the correlation approximated the line of identity. Using this model, for beta-blockers the free plasma concentration appears to be the best predictor of in vivo pharmacodynamics. (C) 2008 Wiley-Liss, Inc. and the American Pharmacists Association J Pharm Sci 98:3816-3828, 2009