Boundary value problems for stochastic differential equations

A theory of two-point boundary value problems analogous to the theory of initial value problems for stochastic ordinary differential equations whose solutions form Markov processes is developed. The theory of initial value problems consists of three main parts: the proof that the solution process is markovian and diffusive; the construction of the Kolmogorov or Fokker-Planck equation of the process; and the proof that the transistion probability density of the process is a unique solution of the Fokker-Planck equation.

It is assumed here that the stochastic differential equation under consideration has, as an initial value problem, a diffusive markovian solution process. When a given boundary value problem for this stochastic equation almost surely has unique solutions, we show that the solution process of the boundary value problem is also a diffusive Markov process. Since a boundary value problem, unlike an initial value problem, has no preferred direction for the parameter set, we find that there are two Fokker-Planck equations, one for each direction. It is shown that the density of the solution process of the boundary value problem is the unique simultaneous solution of this pair of Fokker-Planck equations.

This theory is then applied to the problem of a vibrating string with stochastic density.

Estudo e desenvolvimento de um modelo de análise de risco para Radiocirurgia intracraniana

Mundialmente, eventos relatados constituídos por incidentes e acidentes em radioterapia, tem aumentado ao longo dos últimos 25 anos e a maioria destes eventos são resultados de falha humana, além de terem ocorrido com maior frequência em centros sofisticados que utilizam alta tecnologia. Em radioterapia a Gestão da Qualidade necessita de uma abordagem prospectiva através de análise de risco. Esta abordagem é defendida por recentes publicações por ser atualmente uma urgência em virtude do expressivo número de acidentes ocorridos. Dada a complexidade do processo em radioterapia, a busca pela qualidade do tratamento de forma a garantir a segurança do paciente é um dos assuntos mais discutidos mundialmente. Embora apenas 14% dos centros de radioterapia no Brasil ofereçam tratamentos com a técnica de radiocirurgia intracranial (SRS), estudos relativos a qualidade do tratamento relacionada a segurança do paciente submetido à esta técnica, é de relevante importância, pois qualquer desvio da dose prescrita é considerado muito mais crítico que em outras modalidades de tratamento radioterápico, já que são utilizadas altas doses de radiação que em geral variam de 10 Gy a 40 Gy para lesões até 50 mm de diâmetro, que são aplicadas em uma única fração ou até cinco frações. Tendo em vista tais conhecimentos, o objetivo deste trabalho foi atender um novo paradigma de Gestão da Qualidade, através do desenvolvimento de um modelo de análise de risco e de um Índice de Qualidade para a SRS no Brasil, a partir da técnica de Mapa do Processo e FMEA utilizadas pelo TG 100/AAPM. O trabalho foi desenvolvido em três centros de radioterapia de referência em alta tecnologia, dois localizados no Rio de Janeiro e um em São Paulo. Um Mapa do Processo de SRS foi identificado em cada centro de radioterapia e em seguida foi aplicada a técnica FMEA para todos os subprocessos identificados no mapa. A partir dos valores de NPR obtidos pela FMEA foi realizado um ranqueamento dos modos de falha. Modos de falha com NPR ≥ 100 e S ≥ 7 foram escolhidos como prioridade para implementação de estratégias de segurança. A partir das pontuações do parâmetro S atribuídas na aplicação da FMEA foi criado o Índice de Severidade (IS) e um Índice de Qualidade (IQ) foi criado a partir de uma relação entre o NPR e o IS. O resultado deste estudo, indica que as estratégias de segurança sejam implementadas para os 10 primeiros modos de falha do ranking e uma reavaliação do processo deve ocorrer a cada 1 ano. É também indicado que o IQ obtenha uma melhora mínima de 9% após a reavaliação do processo. De forma geral, o estudo mostrou que a adoção da ferramenta FMEA juntamente com o IQ são de fato justificadas, por minimizar os riscos para o paciente, melhorando a qualidade do tratamento aprimorando a segurança, criando mecanismos que permitam a garantia de que a dose será entregue de forma precisa e exata, e consequentemente, aumentando as chances de cura ou do controle local com uma desejada qualidade de vida para estes pacientes.

Equity trading volume and volatility: Latent information arrivals and common long-run dependencies

This article examines the behavior of equity trading volume and volatility for the individual firms composing the Standard & Poor's 100 composite index. Using multivariate spectral methods, we find that fractionally integrated processes best describe the long-run temporal dependencies in both series. Consistent with a stylized mixture-of-distributions hypothesis model in which the aggregate "news"-arrival process possesses long-memory characteristics, the long-run hyperbolic decay rates appear to be common across each volume-volatility pair.

How to estimate scavenger fish abundance using baited camera data

Baited cameras are often used for abundance estimation wherever alternative techniques are precluded, e.g. in abyssal systems and areas such as reefs. This method has thus far used models of the arrival process that are deterministic and, therefore, permit no estimate of precision.
Furthermore, errors due to multiple counting of fish and missing those not seen by the camera have restricted the technique to using only the time of first arrival, leaving a lot of data redundant. Here, we reformulate the arrival process using a stochastic model, which allows the precision of abundance
estimates to be quantified. Assuming a non-gregarious, cross-current-scavenging fish, we show that prediction of abundance from first arrival time is extremely uncertain. Using example data, we show
that simple regression-based prediction from the initial (rising) slope of numbers at the bait gives good precision, accepting certain assumptions. The most precise abundance estimates were obtained
by including the declining phase of the time series, using a simple model of departures, and taking account of scavengers beyond the camera’s view, using a hidden Markov model.

Análise e optimização de processos numa empresa do sector automóvel

Trabalho de Projeto

Static Pricing for a Network Service Provider

This article studies the static pricing problem of a network service provider who has a fixed capacity and faces different types of customers (classes). Each type of customers can have its own capacity constraint but it is assumed that all classes have the same resource requirement. The provider must decide a static price for each class. The customer types are characterized by their arrival process, with a price-dependant arrival rate, and the random time they remain in the system. Many real-life situations could fit in this framework, for example an Internet provider or a call center, but originally this problem was thought for a company that sells phone-cards and needs to set the price-per-minute for each destination. Our goal is to characterize the optimal static prices in order to maximize the provider's revenue. We note that the model here presented, with some slight modifications and additional assumptions can be used in those cases when the objective is to maximize social welfare.

Some physical and chemical proceddes in fluids

The ability to reproduce reduced gravity conditions for long periods is one of the reasons why the orbiting laboratory is so attractive. In this paper several fluid dynamics problem areas are reviewed in which zero-gravity conditions are of great importance. Although emphasis is placed on space processing, there are some older problems also in which gravity masks the phenomcna, impeding a reasonably simple approach to the solution. Three problems are considered: Thermal convection under reduced gravity. The dumping effect ofsurface gravity waves at the outset of convection induced by surface tractions is discussed in particular. The existence of convection is of concern for some satellite thermal control techniques presently used, and for most of the proposed manufacturing processes. Whereas convection should be normally avoided, problems related to the containerless stirring ofa melt constitute an exception. Secondly, gravity and chemical reactions. Although chemical reactions are independent of gravity because of the small mass of the molecules and atoms involved, in many cases the reaction rate dcpends on the arrival of the species to the reaction zone. When the arrival process is buoyancy-controlled, the net specd of the reaction will be affected by the gravity. Thirdly, two-phase flows under reduced gravity provkle interesting problems from boiling heat transfer to degasslng of melts. This part of the paper deals only with the measurement of sound veiocity in a liquid containing bubbles. It is suggested that such measurements should be mude under reduced gravity to provide reliable residís.

Repercusión medioambiental del uso de la cerámica estructural en España. Energía embebida y huella de carbono

La producción y el transporte a obra de los productos cerámicos de carácter estructural suponen un importante consumo energético, que conlleva la emisión de gases de efecto invernadero a la atmósfera. El objetivo de la presente Tesis es demostrar la existencia de importantes diferencias en el valor del impacto ambiental asociado a los productos de cerámica estructural fabricados en España, y que estas diferencias podrían quedar cuantificadas y reflejadas mediante un análisis de Huella de Carbono y de la Energía Embebida. Se parte de la inexistencia en España, de base de datos contrastada y consensuada, que establezca las cargas medioambientales en función del tipo de producto cerámico a utilizar. Se realiza en la primera parte del estudio una revisión del estado actual de la Huella de Carbono y la Energía Embebida en el campo de los materiales de construcción, y más concretamente en el sector de la cerámica estructural, que sirve para acotar los límites del estudio y justificar el objeto de la Tesis. La investigación se acota a las etapas de producción y transporte a obra de los productos (estudio cuna a puerta con opciones), al considerar que son éstas, a priori, las que tienen una mayor incidencia en el comportamiento ambiental del producto. Siguiendo los pasos definidos en la normativa aplicable (definición del mapa de procesos – límites y alcance – inventario – cálculo y evaluación), se establece un método específico de identificación y cuantificación de las variables que determinan la Huella de Carbono y Energía Embebida de los productos cerámicos, en función de la tipología de producto. La información necesaria (inventario) se obtiene principalmente con recogida de datos “in situ” de fábricas de productos cerámicos, lo que garantiza que la información tratada en este estudio es de primer nivel. La información se complementa/contrasta con fuentes bibliográficas. Se determinan 6 variables con influencia global en el impacto ambiental, 44 variables principales y 39 secundarias, estableciendo las fórmulas de cálculo a partir de dichas variables. Los resultados de cálculo y evaluación determinan que, para unas mismas condiciones de fabricación, las diferencias entre productos cerámicos llegan hasta un 27% para la Huella de Carbono y un 35% para Energía Embebida. La relevancia que alcanza el impacto asociado al transporte del producto a obra puede llegar hasta un 40% del total. El método de cálculo y las fórmulas desarrolladas se integran en una hoja de cálculo, para el cálculo de Huella de Carbono y Energía Embebida de los productos cerámicos, que permite, a su vez, conocer la repercusión medioambiental que tiene la introducción de modificaciones o innovaciones en el proceso de producción o transporte a obra. Así mismo, el trabajo desarrollado ha servido para poner en relieve una serie de problemas y falta de información en el campo de la cerámica estructural y el medioambiente que pueden ser objeto de futuras líneas de investigación, tanto para el sector de la edificación como para la comunidad científica, pudiendo implementar la metodología desarrollada en otras investigaciones. Se considera que la investigación realizada y sus resultados suponen una aportación importante para conocer y reducir el impacto ambiental de los edificios, desde la perspectiva del ciclo de vida y considerando que el impacto ambiental de un edificio comienza desde el momento en que se extraen las materias primas para la fabricación de los materiales con los que se construyen los edificios. ABSTRACT The production and transport of structural ceramic products involves an important energy consumption, which leads to the emission of greenhouse gases into the atmosphere. The objective of the research is to demonstrate the existence of significant differences in the value of the environmental impact of structural ceramic products manufactured in Spain, and these differences could be quantified by the Carbon Footprint and Embodied Energy. It starts from the absence in Spain, of contrasted and agreed databases that establish the environmental loads depending on the type of ceramic product. In the first part of the study reviews the current state of the Carbon Footprint and Embedded Energy in the field of building materials, and more specifically in the field of structural ceramics, which serves to limit the scope of the study and justify the purpose of this Thesis. The Research is bounded to production and transportation stages of (cradle to gate with options), considering they are the stages that have a greater impact on the environmental performance of the product. Following the steps defined in applicable rules (definition of process map - boundaries and scope – inventory analysis- calculation and impact assessment), it sets a specific method for the identification and quantification of the variables that determine the Carbon Footprint and Embedded Energy of structural ceramic products, depending on the type of product. The information (inventory) is given mainly with a data collection in ceramic factories (and in a consultation with the manufactures of the products), ensuring that the information handled in this Thesis is a first rate data. It is established 6 variables with a global influence in the environmental impact, 44 primary and 39 secondary variables, establishing calculation formula from these variables. The results of calculation and assessment determined that, for same manufacturing conditions, the differences between ceramic products reach 27% for Carbon Footprint and 35% for Embodied Energy. The relevance that reaches the impact of transport can reach 40% of the total. The method of calculation and formulas developed are integrated into a simple calculation tool, excel base, to calculate the Carbon Footprint and Embodied Energy of structural ceramic products, which allows, know the environmental impact of changes or innovations in the production process or transport to work. The work also has served to find a problems and gaps in the field of structural ceramics and the environment that may well be the subject of future research, both for the building sector to the scientific community, implementing the methodology developed in other research. It is considered that the research and its results represent an important contribution to understand and reduce the environmental impact of buildings from the perspective of the life cycle, considering that the environmental impact of a building starts from the time that the raw materials are extracted for the manufacture of building materials.

Glue Technology: A Blueprint for Cultural Integration

Despite the gargantuan stakes that mergers and acquisitions represent, global companies' success rate at integrating organizations has been dismal, incurring billions of dollars in lost shareholder value. International human resources' handling of the cultural integration process is the principal differentiator between success and failure. This Capstone project proposes a process for developing cultural integration mechanisms, known as glue technology, and provides a step-by-step process map for execution through four phases. During planning, the need for glue technology is defined. Through analysis, rewards systems are assessed, and a strategy is chosen. In implementation planning, unanimous executive commitment must be secured. Last is measurement based on the integration plan's objectives. Enabling mechanisms such as removing negative influencers, speed, and communication are discussed.

Loss fluctuations and temporal correlations in network queues

We consider data losses in a single node of a packet- switched Internet-like network. We employ two distinct models, one with discrete and the other with continuous one-dimensional random walks, representing the state of a queue in a router. Both models have a built-in critical behavior with a sharp transition from exponentially small to finite losses. It turns out that the finite capacity of a buffer and the packet-dropping procedure give rise to specific boundary conditions which lead to strong loss rate fluctuations at the critical point even in the absence of such fluctuations in the data arrival process.

Conceptual Building Information Modelling Framework for Whole‐house Refurbishment based on LCC and LCA

The UK government aims at achieving 80% CO2 emission reduction by 2050 which requires collective efforts across all the UK industry sectors. In particular, the housing sector has a large potential to contribute to achieving the aim because the housing sector alone accounts for 27% of the total UK CO2 emission, and furthermore, 87% of the housing which is responsible for current 27% CO2 emission will still stand in 2050. Therefore, it is essential to improve energy efficiency of existing housing stock built with low energy efficiency standard. In order for this, a whole‐house needs to be refurbished in a sustainable way by considering the life time financial and environmental impacts of a refurbished house. However, the current refurbishment process seems to be challenging to generate a financially and environmentally affordable refurbishment solution due to the highly fragmented nature of refurbishment practice and a lack of knowledge and skills about whole‐house refurbishment in the construction industry. In order to generate an affordable refurbishment solution, diverse information regarding costs and environmental impacts of refurbishment measures and materials should be collected and integrated in right sequences throughout the refurbishment project life cycle among key project stakeholders. Consequently, various researchers increasingly study a way of utilizing Building Information Modelling (BIM) to tackle current problems in the construction industry because BIM can support construction professionals to manage construction projects in a collaborative manner by integrating diverse information, and to determine the best refurbishment solution among various alternatives by calculating the life cycle costs and lifetime CO2 performance of a refurbishment solution. Despite the capability of BIM, the BIM adoption rate is low with 25% in the housing sector and it has been rarely studied about a way of using BIM for housing refurbishment projects. Therefore, this research aims to develop a BIM framework to formulate a financially and environmentally affordable whole‐house refurbishment solution based on the Life Cycle Costing (LCC) and Life Cycle Assessment (LCA) methods simultaneously. In order to achieve the aim, a BIM feasibility study was conducted as a pilot study to examine whether BIM is suitable for housing refurbishment, and a BIM framework was developed based on the grounded theory because there was no precedent research. After the development of a BIM framework, this framework was examined by a hypothetical case study using BIM input data collected from questionnaire survey regarding homeowners’ preferences for housing refurbishment. Finally, validation of the BIM framework was conducted among academics and professionals by providing the BIM framework and a formulated refurbishment solution based on the LCC and LCA studies through the framework. As a result, BIM was identified as suitable for housing refurbishment as a management tool, and it is timely for developing the BIM framework. The BIM framework with seven project stages was developed to formulate an affordable refurbishment solution. Through the case study, the Building Regulation is identified as the most affordable energy efficiency standard which renders the best LCC and LCA results when it is applied for whole‐house refurbishment solution. In addition, the Fabric Energy Efficiency Standard (FEES) is recommended when customers are willing to adopt high energy standard, and the maximum 60% of CO2 emissions can be reduced through whole‐house fabric refurbishment with the FEES. Furthermore, limitations and challenges to fully utilize BIM framework for housing refurbishment were revealed such as a lack of BIM objects with proper cost and environmental information, limited interoperability between different BIM software and limited information of LCC and LCA datasets in BIM system. Finally, the BIM framework was validated as suitable for housing refurbishment projects, and reviewers commented that the framework can be more practical if a specific BIM library for housing refurbishment with proper LCC and LCA datasets is developed. This research is expected to provide a systematic way of formulating a refurbishment solution using BIM, and to become a basis for further research on BIM for the housing sector to resolve the current limitations and challenges. Future research should enhance the BIM framework by developing more detailed process map and develop BIM objects with proper LCC and LCA Information.

Single-Server Queueing System with Markov-Modulated Arrivals and Service Times

Key words: Markov-modulated queues, waiting time, heavy traffic.

Customer involvement in new service development

This case study aims at filling the research gap in the literature, by researching how customers experience customer involvement in new service development, in addition to giving insight on what are the organisational customers’ motivations to become involved in service development. These subjects are studied by conducting three interviews. The thesis gives a review of previous findings regarding customer-driven new service development, customer involvement, customer roles, modes of involvement, communication in the involvement process, what is the role of customer engagement and what are the motivational drivers for customers. The thesis also explains what new service development is and makes a distinction between new service development and new service design. The results revealed that organisational customers want to be involved throughout the development process, with active involvement in the beginning and end phases. Moreover, customers prefer face-to-face methods and active and bidirectional communication throughout the process. The findings propose seven motivational factors, a new framework for customer-driven new service development and communication process map. The managerial implications list five themes for service providers to take into consideration when involving customers to the service development process.

UNDERSTANDING CUSTOMER CHOICES IN SERVICE OUTSOURCING AND REVENUE MANAGEMENT

This dissertation investigates customer behavior modeling in service outsourcing and revenue management in the service sector (i.e., airline and hotel industries). In particular, it focuses on a common theme of improving firms’ strategic decisions through the understanding of customer preferences. Decisions concerning degrees of outsourcing, such as firms’ capacity choices, are important to performance outcomes. These choices are especially important in high-customer-contact services (e.g., airline industry) because of the characteristics of services: simultaneity of consumption and production, and intangibility and perishability of the offering. Essay 1 estimates how outsourcing affects customer choices and market share in the airline industry, and consequently the revenue implications from outsourcing. However, outsourcing decisions are typically endogenous. A firm may choose whether to outsource or not based on what a firm expects to be the best outcome. Essay 2 contributes to the literature by proposing a structural model which could capture a firm’s profit-maximizing decision-making behavior in a market. This makes possible the prediction of consequences (i.e., performance outcomes) of future strategic moves. Another emerging area in service operations management is revenue management. Choice-based revenue systems incorporate discrete choice models into traditional revenue management algorithms. To successfully implement a choice-based revenue system, it is necessary to estimate customer preferences as a valid input to optimization algorithms. The third essay investigates how to estimate customer preferences when part of the market is consistently unobserved. This issue is especially prominent in choice-based revenue management systems. Normally a firm only has its own observed purchases, while those customers who purchase from competitors or do not make purchases are unobserved. Most current estimation procedures depend on unrealistic assumptions about customer arriving. This study proposes a new estimation methodology, which does not require any prior knowledge about the customer arrival process and allows for arbitrary demand distributions. Compared with previous methods, this model performs superior when the true demand is highly variable.

Construction of a global map of human gene expression : the process, tools and analysis

This thesis studies human gene expression space using high throughput gene expression data from DNA microarrays. In molecular biology, high throughput techniques allow numerical measurements of expression of tens of thousands of genes simultaneously. In a single study, this data is traditionally obtained from a limited number of sample types with a small number of replicates. For organism-wide analysis, this data has been largely unavailable and the global structure of human transcriptome has remained unknown. This thesis introduces a human transcriptome map of different biological entities and analysis of its general structure. The map is constructed from gene expression data from the two largest public microarray data repositories, GEO and ArrayExpress. The creation of this map contributed to the development of ArrayExpress by identifying and retrofitting the previously unusable and missing data and by improving the access to its data. It also contributed to creation of several new tools for microarray data manipulation and establishment of data exchange between GEO and ArrayExpress. The data integration for the global map required creation of a new large ontology of human cell types, disease states, organism parts and cell lines. The ontology was used in a new text mining and decision tree based method for automatic conversion of human readable free text microarray data annotations into categorised format. The data comparability and minimisation of the systematic measurement errors that are characteristic to each lab- oratory in this large cross-laboratories integrated dataset, was ensured by computation of a range of microarray data quality metrics and exclusion of incomparable data. The structure of a global map of human gene expression was then explored by principal component analysis and hierarchical clustering using heuristics and help from another purpose built sample ontology. A preface and motivation to the construction and analysis of a global map of human gene expression is given by analysis of two microarray datasets of human malignant melanoma. The analysis of these sets incorporate indirect comparison of statistical methods for finding differentially expressed genes and point to the need to study gene expression on a global level.