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.

Local search multiuser detection

In this work, a wide analysis of local search multiuser detection (LS-MUD) for direct sequence/code division multiple access (DS/CDMA) systems under multipath channels is carried out considering the performance-complexity trade-off. It is verified the robustness of the LS-MUD to variations in loading, E(b)/N(0), near-far effect, number of fingers of the Rake receiver and errors in the channel coefficients estimates. A compared analysis of the bit error rate (BER) and complexity trade-off is accomplished among LS, genetic algorithm (GA) and particle swarm optimization (PSO). Based on the deterministic behavior of the LS algorithm, it is also proposed simplifications over the cost function calculation, obtaining more efficient algorithms (simplified and combined LS-MUD versions) and creating new perspectives for the MUD implementation. The computational complexity is expressed in terms of the number of operations in order to converge. Our conclusion pointed out that the simplified LS (s-LS) method is always more efficient, independent of the system conditions, achieving a better performance with a lower complexity than the others heuristics detectors. Associated to this, the deterministic strategy and absence of input parameters made the s-LS algorithm the most appropriate for the MUD problem. (C) 2008 Elsevier GmbH. All rights reserved.

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.

A hybrid commodity price-forecasting model applied to the sugar-alcohol sector

Accurate price forecasting for agricultural commodities can have significant decision-making implications for suppliers, especially those of biofuels, where the agriculture and energy sectors intersect. Environmental pressures and high oil prices affect demand for biofuels and have reignited the discussion about effects on food prices. Suppliers in the sugar-alcohol sector need to decide the ideal proportion of ethanol and sugar to optimise their financial strategy. Prices can be affected by exogenous factors, such as exchange rates and interest rates, as well as non-observable variables like the convenience yield, which is related to supply shortages. The literature generally uses two approaches: artificial neural networks (ANNs), which are recognised as being in the forefront of exogenous-variable analysis, and stochastic models such as the Kalman filter, which is able to account for non-observable variables. This article proposes a hybrid model for forecasting the prices of agricultural commodities that is built upon both approaches and is applied to forecast the price of sugar. The Kalman filter considers the structure of the stochastic process that describes the evolution of prices. Neural networks allow variables that can impact asset prices in an indirect, nonlinear way, what cannot be incorporated easily into traditional econometric models.

Economic design of an X chart for short-run production

The aim of this paper is to present an economical design of an X chart for a short-run production. The process mean starts equal to mu(0) (in-control, State I) and in a random time it shifts to mu(1) > mu(0) (out-of-control, State II). The monitoring procedure consists of inspecting a single item at every m produced ones. If the measurement of the quality characteristic does not meet the control limits, the process is stopped, adjusted, and additional (r - 1) items are inspected retrospectively. The probabilistic model was developed considering only shifts in the process mean. A direct search technique is applied to find the optimum parameters which minimizes the expected cost function. Numerical examples illustrate the proposed procedure. (C) 2009 Elsevier B.V. All rights reserved.

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and Sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period meal-variance problem, based on a set of interconnected Riccati difference equations, and oil a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for Fisk control over bankruptcy Ill a dynamic portfolio selection problem with Markov jumps selection problem. (C) 2008 Elsevier Ltd. All rights reserved.

Obtaining and selection of hexokinases-less strains of Saccharomyces cerevisiae for production of ethanol and fructose from sucrose

Saccharomyces cerevisiae hexokinase-less strains were produced to study the production of ethanol and fructose from sucrose. These strains do not have the hexokinases A and B. Twenty-three double-mutant strains were produced, and then, three were selected for presenting a smaller growth in yeast extract-peptone-fructose. In fermentations with a medium containing sucrose (180.3 g L-1) and with cell recycles, simulating industrial conditions, the capacity of these mutant yeasts in inverting sucrose and fermenting only glucose was well characterized. Besides that, we could also see their great tolerance to the stresses of fermentative recycles, where fructose production (until 90 g L-1) and ethanol production (until 42.3 g L-1) occurred in cycles of 12 h, in which hexokinase-less yeasts performed high growth (51.2% of wet biomass) and viability rates (77% of viable cells) after nine consecutive cycles.

SELF-SIMILARITY AND LAMPERTI CONVERGENCE FOR FAMILIES OF STOCHASTIC PROCESSES

We define a new type of self-similarity for one-parameter families of stochastic processes, which applies to certain important families of processes that are not self-similar in the conventional sense. This includes Hougaard Levy processes such as the Poisson processes, Brownian motions with drift and the inverse Gaussian processes, and some new fractional Hougaard motions defined as moving averages of Hougaard Levy process. Such families have many properties in common with ordinary self-similar processes, including the form of their covariance functions, and the fact that they appear as limits in a Lamperti-type limit theorem for families of stochastic processes.

Biological characteristics and thermal requirements of a Brazilian strain of the parasitoid Trichogramma pretiosum reared on eggs of Pseudoplusia includens and Anticarsia gemmatalis

A new strain of the parasitoid Trichogramma pretiosum, was collected in Rio Verde County, State of Goias, Central Brazil, and designated as T. pretiosum RV. This strain was then found to be the most effective one among several different strains of T. pretiosum tested in a parasitoid selection assay. Therefore, its biological characteristics and thermal requirements were studied, aiming at allowing its multiplication under controlled environmental conditions in the laboratory. The parasitoid was reared on eggs of Pseudoplusia includens and Anticarsia gemmatalis at different constant temperatures within an 18-32 degrees C temperature range. The number of annual generations of the parasitoid was also estimated at those temperatures. Results have shown that T. pretiosum RV developmental time, from egg to adult, was influenced by all temperatures tested within the range, varying from 6.8 to 20.3 days and 6.0 to 17.0 days on eggs of P. includens and A. gemmatalis, respectively. The emergence of T. pretiosum RV from eggs of A. gemmatalis was higher than 94% at all temperatures tested. When this variable was evaluated on eggs of P. includens, however, the figures were higher than that within the 18-30 degrees C range (more than 98%), and were also statistically higher than the emergence observed at 32 degrees C (90.2%). The sex ratio of the parasitoids emerged from eggs of A. gemmatalis decreased from 0.55 to 0.29 at 18-32 degrees C, respectively. However, for those emerged from eggs of P. includens, the sex ratio was similar (0.73, 0.72 and 0.71) at 20, 28 and 32 degrees C, respectively. The lower temperature threshold (Tb) and thermal constant (K) were 10.65 degrees C and 151.25 degree-days when the parasitoid was reared on eggs of P. includens; and 11.64 degrees C and 127.60 degree-days when reared on eggs of A. gemmatalis. The number of generations per month increased from 1.45 to 4.23 and from 1.49 to 4.79 when the parasitoid was reared on eggs of P. includens and A. gemmatalis, respectively, following the increases in the temperature. (C) 2009 Elsevier Inc. All rights reserved.

Genetic potential of a maize population from Southern Brazil for the modified convergent-divergent selection scheme

Maize (Zea mays L.) is a very important cereal to world-wide economy which is also true for Brazil, particularly in the South region. Grain yield and plant height have been chosen as important criteria by breeders and farmers from Santa Catarina State (SC), Brazil. The objective of this work was to estimate genetic-statistic parameters associated with genetic gain for grain yield and plant height, in the first cycle of convergent-divergent half-sib selection in a maize population (MPA1) cultivated by farmers within the municipality of Anchieta (SC). Three experiments were carried out in different small farms at Anchieta using low external agronomic inputs; each experiment represented independent samples of half-sib families, which were evaluated in randomized complete blocks with three replications per location. Significant differences among half-sib families were observed for both variables in all experiments. The expected responses to truncated selection of the 25% better families in each experiment were 5.1, 5.8 and 5.2% for reducing plant height and 3.9, 5.7 and 5.0% for increasing grain yield, respectively. The magnitudes of genetic-statistic parameters estimated evidenced that the composite population MPA1 exhibits enough genetic variability to be used in cyclical process of recurrent selection. There were evidences that the genetic structure of the base population MPA1, as indicated by its genetic variability, may lead to expressive changes in the traits under selection, even under low selection pressure.

Canonical discriminant analysis applied to broiler chicken performance

The mechanisms involved in the control of growth in chickens are too complex to be explained only under univariate analysis because all related traits are biologically correlated. Therefore, we evaluated broiler chicken performance under a multivariate approach, using the canonical discriminant analysis. A total of 1920 chicks from eight treatments, defined as the combination of four broiler chicken strains (Arbor Acres, AgRoss 308, Cobb 500 and RX) from both sexes, were housed in 48 pens. Average feed intake, average live weight, feed conversion and carcass, breast and leg weights were obtained for days 1 to 42. Canonical discriminant analysis was implemented by SAS((R)) CANDISC procedure and differences between treatments were obtained by the F-test (P < 0.05) over the squared Mahalanobis` distances. Multivariate performance from all treatments could be easily visualised because one graph was obtained from two first canonical variables, which explained 96.49% of total variation, using a SAS((R)) CONELIP macro. A clear distinction between sexes was found, where males were better than females. Also between strains, Arbor Acres, AgRoss 308 and Cobb 500 (commercial) were better than RX (experimental), Evaluation of broiler chicken performance was facilitated by the fact that the six original traits were reduced to only two canonical variables. Average live weight and carcass weight (first canonical variable) were the most important traits to discriminate treatments. The contrast between average feed intake and average live weight plus feed conversion (second canonical variable) were used to classify them. We suggest analysing performance data sets using canonical discriminant analysis.

Test procedure for variable rate fertilizer on coffee

The objective was to develop and test a procedure for applying variable rates of fertilizers and evaluate yield response in coffee (Coffea arabica L.) with regard to the application of phosphorus and potassium. The work was conducted during the 2004 season in a 6.4 ha field located in central Sao Paulo state. Two treatments were applied with alternating strips of fixed and variable rates during the whole season: one following the fertilizing procedures recommended locally, and the other based on a grid soil sampling. A prototype pneumatic fertilizer applicator was used, carrying two conveyor belts, one for each row. Harvesting was done with a commercial harvester equipped with a customized volumetric yield monitor, separating the two treatments. Data were analyzed based on geostatistics, correlations and regressions. The procedure showed to be feasible and effective. The area that received fertilizer applications at a variable rate showed a 34% yield increase compared to the area that received a fixed rate. The variable rate fertilizer resulted in a savings of 23% in phosphate fertilizer and a 13% increase in potassium fertilizer, when compared to fixed rate fertilizer. Yield in 2005, the year after the variable rate treatments, still presented residual effect from treatments carried out during the previous cycle.

Stability of clavulanic acid under variable pH, ionic strength and temperature conditions. A new kinetic approach

Clavulanic acid (CA) is a beta-lactam antibiotic that alone exhibits only weak antibacterial activity, but is a potent inhibitor of beta-lactamases enzymes. For this reason it is used as a therapeutic in conjunction with penicillins and cephalosporins. However, it is a well-known fact that it is unstable not only during its production phase, but also during downstream processing. Therefore, the main objective of this study was the evaluation of CA long-term stability under different conditions of pH and temperature, in the presence of variable levels of different salts, so as to suggest the best conditions to perform its simultaneous production and recovery by two-phase polymer/salt liquid-liquid extractive fermentation. To this purpose, the CA stability was investigated at different values of pH (4.0-8.0) and temperature (20-45 degrees C), and the best conditions were met at a pH 6.0-7.2 and 20 degrees C. Its stability was also investigated at 30 degrees C in the presence of NaCl, Na(2)SO(4), CaCl(2) and MgSO(4) at concentrations of 0.1 and 0.5 M in Mcllvaine buffer (pH 6.5). All salts led to increased CA instability with respect to the buffer alone, and this effect decreased in following sequence: Na(2)SO(4) > MgSO(4) > CaCl(2) > NaCl. Kinetic and thermodynamic parameters of CA degradation were calculated adopting a new model that took into consideration the equilibrium between the active and a reversibly inactivated form of CA after long-time degradation. (C) 2009 Elsevier B.V. All rights reserved.

Vegetative and fruit characteristics of papaya trees obtained by mass selection

The present work had as purpose to evaluate some characteristics of papaya trees (Carica papaya L.), Golden cultivar, obtained trough plant mass selection, regarding plant and fruit quality in the first months of production. The samples were evaluated in a commercial crop at: 0, 20, 40, 70, 130, 180, 230, 260, 280, 310 and 340 days after the planting (DAP) and the first fruits were harvested at 230 DAP. The results showed the low height (199cm in 340 DAP) and low first flowering`s heigth (71cm), which is important to facilitate the harvest process. The plants presented good yield with high number of leafs (allowing a great area of fruit cover) and about 60 fruits per plant. The fruits kept similar features to cv. Golden. The fruit`s fresh weight ranged from 302.4 to 467.5g, which is in the range of the Brazilian market. The pulp thickness was 2.35cm, which is a feature of great economic interest. The pulp thickness showed close relation with climatic factors, and great variations of temperature and precipitation accelerated the pulp loss of thickness.

Design, synthesis, antimicrobial activity and molecular modeling studies of novel benzofuroxan derivatives against Staphylococcus aureus

Molecular modi. cation is a quite promising strategy in the design and development of drug analogs with better bioavailability, higher intrinsic activity and less toxicity. In the search of new leads with potential antimicrobial activity, a new series of 14 4-substituted [N`-(benzofuroxan-5-yl) methylene] benzohydrazides, nifuroxazide derivatives, were synthesized and tested against standard and multidrug-resistant Staphylococcus aureus strains. The selection of the substituent groups was based on physicochemical properties, such as hydrophobicity and electronic effect. These properties were also evaluated through the lipophilic and electrostatic potential maps, respectively, considering the compounds with better biological pro. le. Twelve compounds exhibited similar bacteriostatic activity against standard and multidrug-resistant strains. The most active compound was the 4-CF(3) substituted derivative, which presented a minimum inhibitory concentration (MIC) value of 14.6-13.1 mu g/mL, and a ClogP value of 1.87. The results highlight the benzofuroxan derivatives as potential leads for designing new future antimicrobial drug candidates. (C) 2009 Elsevier Ltd. All rights reserved.