A Generalized Log-Normal Model for Grouped Survival Data

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The flavor problem and discrete symmetries

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

The aim of solving the Optimal Power Flow problem is to determine the optimal state of an electric power transmission system, that is, the voltage magnitude and phase angles and the tap ratios of the transformers that optimize the performance of a given system, while satisfying its physical and operating constraints. The Optimal Power Flow problem is modeled as a large-scale mixed-discrete nonlinear programming problem. This paper proposes a method for handling the discrete variables of the Optimal Power Flow problem. A penalty function is presented. Due to the inclusion of the penalty function into the objective function, a sequence of nonlinear programming problems with only continuous variables is obtained and the solutions of these problems converge to a solution of the mixed problem. The obtained nonlinear programming problems are solved by a Primal-Dual Logarithmic-Barrier Method. Numerical tests using the IEEE 14, 30, 118 and 300-Bus test systems indicate that the method is efficient. (C) 2012 Elsevier B.V. All rights reserved.

Truck lane needs methodology: a heuristic approach to solve a five option discrete network design problem. Interim report.

Texas State Department of Highways and Public Transportation, Transportation Planning Division, Austin

Anisotropy-based robust performance analysis of finite horizon linear discrete time varying systems

We consider a problem of robust performance analysis of linear discrete time varying systems on a bounded time interval. The system is represented in the state-space form. It is driven by a random input disturbance with imprecisely known probability distribution; this distributional uncertainty is described in terms of entropy. The worst-case performance of the system is quantified by its a-anisotropic norm. Computing the anisotropic norm is reduced to solving a set of difference Riccati and Lyapunov equations and a special form equation.

A diszkrét kiválasztási modell becslése Cox-regresszióval (Parameter estimation for multinomial discrete choice model using Cox-regression)

Considering the so-called "multinomial discrete choice" model the focus of this paper is on the estimation problem of the parameters. Especially, the basic question arises how to carry out the point and interval estimation of the parameters when the model is mixed i.e. includes both individual and choice-specific explanatory variables while a standard MDC computer program is not available for use. The basic idea behind the solution is the use of the Cox-proportional hazards method of survival analysis which is available in any standard statistical package and provided a data structure satisfying certain special requirements it yields the MDC solutions desired. The paper describes the features of the data set to be analysed.

A discrete formalism for reasoning about action and change

This paper presents a discrete formalism for temporal reasoning about actions and change, which enjoys an explicit representation of time and action/event occurrences. The formalism allows the expression of truth values for given fluents over various times including nondecomposable points/moments and decomposable intervals. Two major problems which beset most existing interval-based theories of action and change, i.e., the so-called dividing instant problem and the intermingling problem, are absent from this new formalism. The dividing instant problem is overcome by excluding the concepts of ending points of intervals, and the intermingling problem is bypassed by means of characterising the fundamental time structure as a well-ordered discrete set of non-decomposable times (points and moments), from which decomposable intervals are constructed. A comprehensive characterisation about the relationship between the negation of fluents and the negation of involved sentences is formally provided. The formalism provides a flexible expression of temporal relationships between effects and their causal events, including delayed effects of events which remains a problematic question in most existing theories about action and change.

Work disability remains a major problem in rheumatoid arthritis in the 2000s: data from 32 countries in the QUEST-RA Study

Introduction: Work disability is a major consequence of rheumatoid arthritis (RA), associated not only with traditional disease activity variables, but also more significantly with demographic, functional, occupational, and societal variables. Recent reports suggest that the use of biologic agents offers potential for reduced work disability rates, but the conclusions are based on surrogate disease activity measures derived from studies primarily from Western countries. Methods: The Quantitative Standard Monitoring of Patients with RA (QUEST-RA) multinational database of 8,039 patients in 86 sites in 32 countries, 16 with high gross domestic product (GDP) (>24K US dollars (USD) per capita) and 16 low-GDP countries (<11K USD), was analyzed for work and disability status at onset and over the course of RA and clinical status of patients who continued working or had stopped working in high-GDP versus low-GDP countries according to all RA Core Data Set measures. Associations of work disability status with RA Core Data Set variables and indices were analyzed using descriptive statistics and regression analyses. Results: At the time of first symptoms, 86% of men (range 57%-100% among countries) and 64% (19%-87%) of women <65 years were working. More than one third (37%) of these patients reported subsequent work disability because of RA. Among 1,756 patients whose symptoms had begun during the 2000s, the probabilities of continuing to work were 80% (95% confidence interval (CI) 78%-82%) at 2 years and 68% (95% CI 65%-71%) at 5 years, with similar patterns in high-GDP and low-GDP countries. Patients who continued working versus stopped working had significantly better clinical status for all clinical status measures and patient self-report scores, with similar patterns in high-GDP and low-GDP countries. However, patients who had stopped working in high-GDP countries had better clinical status than patients who continued working in low-GDP countries. The most significant identifier of work disability in all subgroups was Health Assessment Questionnaire (HAQ) functional disability score. Conclusions: Work disability rates remain high among people with RA during this millennium. In low-GDP countries, people remain working with high levels of disability and disease activity. Cultural and economic differences between societies affect work disability as an outcome measure for RA.

H(infinity) filtering for rectangular discrete-time descriptor systems

This paper deals with the H(infinity) recursive estimation problem for general rectangular time-variant descriptor systems in discrete time. Riccati-equation based recursions for filtered and predicted estimates are developed based on a data fitting approach and game theory. In this approach, the nature determines a state sequence seeking to maximize the estimation cost, whereas the estimator tries to find an estimate that brings the estimation cost to a minimum. A solution exists for a specified gamma-level if the resulting cost is positive. In order to present some computational alternatives to the H(infinity) filters developed, they are rewritten in information form along with the respective array algorithms. (C) 2009 Elsevier Ltd. All rights reserved.

Recursive linear estimation for general discrete-time descriptor systems

This paper considers the optimal linear estimates recursion problem for discrete-time linear systems in its more general formulation. The system is allowed to be in descriptor form, rectangular, time-variant, and with the dynamical and measurement noises correlated. We propose a new expression for the filter recursive equations which presents an interesting simple and symmetric structure. Convergence of the associated Riccati recursion and stability properties of the steady-state filter are provided. (C) 2010 Elsevier Ltd. All rights reserved.

Discrete approximation to the global spectrum of the tangent operator for flow past a circular cylinder

This paper deals with the calculation of the discrete approximation to the full spectrum for the tangent operator for the stability problem of the symmetric flow past a circular cylinder. It is also concerned with the localization of the Hopf bifurcation in laminar flow past a cylinder, when the stationary solution loses stability and often becomes periodic in time. The main problem is to determine the critical Reynolds number for which a pair of eigenvalues crosses the imaginary axis. We thus present a divergence-free method, based on a decoupling of the vector of velocities in the saddle-point system from the vector of pressures, allowing the computation of eigenvalues, from which we can deduce the fundamental frequency of the time-periodic solution. The calculation showed that stability is lost through a symmetry-breaking Hopf bifurcation and that the critical Reynolds number is in agreement with the value presented in reported computations. (c) 2007 IMACS. Published by Elsevier B.V. All rights reserved.

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.

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.