Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

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

Bayesian L-optimal exact design of experiments for biological kinetic models

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

The stability of the Johnson-Mehl-Avrami equation parameters

The stability of the parameters of the Johnson-Mehl-Avrami equation was studied using two parametrizations of the sigmoidal function and its fit to some kinetic data. The results indicate that one of the forms of the function has more stable parameters and only for this form it is reasonable to use, as an approximation, the linear regression theory to analyse the parameters. © 1995 Chapman & Hall.

The no-central chi-square chart with two-stage samplings

Throughout this article, it is assumed that the no-central chi-square chart with two stage samplings (TSS Chisquare chart) is employed to monitor a process where the observations from the quality characteristic of interest X are independent and identically normally distributed with mean μ and variance σ2. The process is considered to start with the mean and the variance on target (μ = μ0; σ2 = σ0 2), but at some random time in the future an assignable cause shifts the mean from μ0 to μ1 = μ0 ± δσ0, δ >0 and/or increases the variance from σ0 2 to σ1 2 = γ2σ0 2, γ > 1. Before the assignable cause occurrence, the process is considered to be in a state of statistical control (defined by the in-control state). Similar to the Shewhart charts, samples of size n 0+ 1 are taken from the process at regular time intervals. The samplings are performed in two stages. At the first stage, the first item of the i-th sample is inspected. If its X value, say Xil, is close to the target value (|Xil-μ0|< w0σ 0, w0>0), then the sampling is interrupted. Otherwise, at the second stage, the remaining n0 items are inspected and the following statistic is computed. Wt = Σj=2n 0+1(Xij - μ0 + ξiσ 0)2 i = 1,2 Let d be a positive constant then ξ, =d if Xil > 0 ; otherwise ξi =-d. A signal is given at sample i if |Xil-μ0| > w0σ 0 and W1 > knia:tl, where kChi is the factor used in determining the upper control limit for the non-central chi-square chart. If devices such as go and no-go gauges can be considered, then measurements are not required except when the sampling goes to the second stage. Let P be the probability of deciding that the process is in control and P 1, i=1,2, be the probability of deciding that the process is in control at stage / of the sampling procedure. Thus P = P1 + P 2 - P1P2, P1 = Pr[μ0 - w0σ0 ≤ X ≤ μ0+ w 0σ0] P2=Pr[W ≤ kChi σ0 2], (3) During the in-control period, W / σ0 2 is distributed as a non-central chi-square distribution with n0 degrees of freedom and a non-centrality parameter λ0 = n0d2, i.e. W / σ0 2 - xn0 22 (λ0) During the out-of-control period, W / σ1 2 is distributed as a non-central chi-square distribution with n0 degrees of freedom and a non-centrality parameter λ1 = n0(δ + ξ)2 / γ2 The effectiveness of a control chart in detecting a process change can be measured by the average run length (ARL), which is the speed with which a control chart detects process shifts. The ARL for the proposed chart is easily determined because in this case, the number of samples before a signal is a geometrically distributed random variable with parameter 1-P, that is, ARL = I /(1-P). It is shown that the performance of the proposed chart is better than the joint X̄ and R charts, Furthermore, if the TSS Chi-square chart is used for monitoring diameters, volumes, weights, etc., then appropriate devices, such as go-no-go gauges can be used to decide if the sampling should go to the second stage or not. When the process is stable, and the joint X̄ and R charts are in use, the monitoring becomes monotonous because rarely an X̄ or R value fall outside the control limits. The natural consequence is the user to pay less and less attention to the steps required to obtain the X̄ and R value. In some cases, this lack of attention can result in serious mistakes. The TSS Chi-square chart has the advantage that most of the samplings are interrupted, consequently, most of the time the user will be working with attributes. Our experience shows that the inspection of one item by attribute is much less monotonous than measuring four or five items at each sampling.

O limiar de esforço percebido (LEP) corresponde à potência crítica e a um indicador de máximo estado estável de consumo de oxigěnio

The perceived exertion has been a target of several investigations, many times with association with objective physiological indicators in exercise. Recently, the identification of the perceived exertion threshold (PET) was proposed in the water running, which presented no difference in relation to the critical velocity. Theoretically, both parameters would be indicators of the maximum steady state of variables such as V̇O2 and blood lactate. The objective of this work was to verify the coincidence between PET, critical power (PCrit) and an indicator of maximum V̇O2 steady state (PCrit') in cycle ergometer. Eight male participants were submitted to progressive effort test in order to determine V̇O2peak (46.7 ± 8.5 ml/kg/min) and to four rectangular tests until exhaustion for the estimation of the critical power model parameters, PET and PCrit'. The hyperbolic relation between mechanical power and time spent for the V̇O2peak to be reached in each test was used for the PCrit' estimation, considered as the asymptote in the power axis, and the portion of the anaerobic work capacity (CTAnaer) depleted up to the establishment of the V̇O2peak (CTAnaer'). In order to identify PET, the straight lines angular coefficients of the perceived exertion in time (ordinate) and the powers used (abscissa) were adjusted to a linear function that provided a point in the power axis in which the perceived exertion would be kept indefinitely stable. The parameters PCrit and CTAnaer were estimated by means of the power-time non-linear equation. In order to compare the estimations of PET, PCrit and PCrit', the analysis of variance ANOVA for repeated measurements was employed, and the associations were established through the Pearson correlation. CTAnaer and CTAnaer' were compared through the t test. PET (180 W ± 61 W), PCrit (174 W ± 43 W) and PCrit' (176 W ± 48 W) were not significantly different and the correlations were of 0.92-0.98. CTAnaer' (14,080 ± 5,219 J) was lower than CTAnaer (22,093 ± 9,042 J). One concludes that the PET predicts the intensity of PCrit and PCrit' with accuracy.

Real-time crowd density estimation using images

This paper presents a technique for real-time crowd density estimation based on textures of crowd images. In this technique, the current image from a sequence of input images is classified into a crowd density class. Then, the classification is corrected by a low-pass filter based on the crowd density classification of the last n images of the input sequence. The technique obtained 73.89% of correct classification in a real-time application on a sequence of 9892 crowd images. Distributed processing was used in order to obtain real-time performance. © Springer-Verlag Berlin Heidelberg 2005.

On numerical simulations of a nonlinear self-excited system with two non-ideal sources

In this work, the dynamic behavior of self-synchronization and synchronization through mechanical interactions between the nonlinear self-excited oscillating system and two non-ideal sources are examined by numerical simulations. The physical model of the system vibrating consists of a non-linear spring of Duffing type and a nonlinear damping described by Rayleigh's term. This system is additional forced by two unbalanced identical direct current motors with limited power (non-ideal excitations). The present work mathematically implements the parametric excitation described by two periodically changing stiffness of Mathieu type that are switched on/off. Copyright © 2005 by ASME.

A nonlinear and non-ideal wind generator supporting structure

We present a simple mathematical model of a wind turbine supporting tower. Here, the wind excitation is considered to be a non-ideal power source. In such a consideration, there is interaction between the energy supply and the motion of the supporting structure. If power is not enough, the rotation of the generator may get stuck at a resonance frequency of the structure. This is a manifestation of the so-called Sommerfeld Effect. In this model, at first, only two degrees of freedom are considered, the horizontal motion of the upper tip of the tower, in the transverse direction to the wind, and the generator rotation. Next, we add another degree of freedom, the motion of a free rolling mass inside a chamber. Its impact with the walls of the chamber provides control of both the amplitude of the tower vibration and the width of the band of frequencies in which the Sommerfeld effect occur. Some numerical simulations are performed using the equations of motion of the models obtained via a Lagrangian approach.

Some considerations about a new procedure to derive transmission line parameters concerning three-phase lines

The paper shows an alternative methodology to calculate transmission line parameters per unit length and to apply it in a three-phase line with a vertical symmetry plane. This procedure is derived from a general procedure where the modal transformation matrix of the line is required. In this paper, the unknown modal transformation matrix requested by general procedure is substituted by Clarke's matrix. With the substitution that is shown in the paper, the transmission line parameters can be obtained starting from impedances measured in one terminal of the line. First, the article shows the classical methodology to calculate frequency dependent transmission line parameters by using Carson and Pollaczeck's equations for representing the ground effect and Bessel's functions to represent the skin effect. After that, a new procedure is shown to calculate frequency dependent transmission line parameters directly from currents and voltages of an existing line. Then, this procedure is applied in a non-transposed three-phase transmission line whose parameters have been previously calculated by using the classical methodology. Finally, the results obtained by using the new procedure and by using the classical methodology are compared. The article shows simulation results for typical frequency spectra of switching transients (10 Hz to 10 kHz). Results have shown that procedure has © 2006 IEEE.

Detecção de bordas em imagens digitais através de um processo de difusão anisotrópica não linear

The edges detection model by a non-linear anisotropic diffusion, consists in a mathematical model of smoothing based in Partial Differential Equation (PDE), alternative to the conventional low-pass filters. The smoothing model consists in a selective process, where homogeneous areas of the image are smoothed intensely in agreement with the temporal evolution applied to the model. The level of smoothing is related with the amount of undesired information contained in the image, i.e., the model is directly related with the optimal level of smoothing, eliminating the undesired information and keeping selectively the interest features for Cartography area. The model is primordial for cartographic applications, its function is to realize the image preprocessing without losing edges and other important details on the image, mainly airports tracks and paved roads. Experiments carried out with digital images showed that the methodology allows to obtain the features, e.g. airports tracks, with efficiency.

Identification of structural parameters for active vibration control

The study of algorithms for active vibration control in flexible structures became an area of enormous interest for some researchers due to the innumerable requirements for better performance in mechanical systems, as for instance, aircrafts and aerospace structures. Intelligent systems, constituted for a base structure with sensors and actuators connected, are capable to guarantee the demanded conditions, through the application of diverse types of controllers. For the project of active controllers it is necessary, in general, to know a mathematical model that enable the representation in the space of states, preferential in modal coordinates to permit the truncation of the system and reduction in the order of the controllers. For practical applications of engineering, some mathematical models based in discrete-time systems cannot represent the physical problem, therefore, techniques of identification of system parameters must be used. The techniques of identification of parameters determine the unknown values through the manipulation of the input (disturbance) and output (response) signals of the system. Recently, some methods have been proposed to solve identification problems although, none of them can be considered as being universally appropriate to all the situations. This paper is addressed to an application of linear quadratic regulator controller in a structure where the damping, stiffness and mass matrices were identified through Chebyshev's polynomial functions.

Efeito do desbaste seletivo nas estimativas de parâmetros genéticos em progénies de Pinus caribaea Morelet var. hondurensis

The objective of this work was to study the effect of selective thinning on the estimates of genetic parameters in progenies of Pinus caribaea var. hondurensis. The progeny test was installed in June 1986, following a 10 × 10, triple square lattice design, containing ten trees in linear plots in 3.0 × 3.0m spacing. Twelve years after the planting, a selective thinning based on Multi-effect index (selection for DBH) was performed, leaving six trees per plot. The assessments were done in four situations: A (before thinning); B (among thinned trees); C (among remnant trees at 13 years of age) and D (two years after the thinning). The following traits were analyzed: total height (H), diameter at breast height (DBH), volume (VOL), stem form (FOR), foxtail (FT), wood density at 1.3 m (WD1) and wood density at the half height (WD2). The thinning led to increase in the estimates of variability among progenies for VOL and decrease for ALT and DBH. There was a high and positive genetic correlation among the growth traits, mainly between DBH and VOL. The latter remained unchanged after thinning. The narrow-sense heritabilities at the individual level, showed a slight increase while at the family mean level had a reduction with the thinning. The estimates of breeding values increased with the thinning. This may lead to an easier identification of the best progenies in further selection.

A resolução do problema de despacho ótimo de reativos pelo método da função Lagrangiana-barreira relaxada

This work presents the application of the relaxed barrier-Lagrangian function method to the optimal reactive dispatch problem, which is a nonlinear nonconvex and large problem. In this approach the inequality constraints are treated by the association of modified barrier and primal-dual logarithmic barrier method. Those constraints are transformed in equalities through positive auxiliary variables and are perturbed by the barrier parameter. A Lagrangian function is associated to the modified problem. The first-order necessary conditions are applied generating a non-linear system which is solved by Newton's method. The auxiliary variables perturbation result in an expansion of the feasible set of the original problem, allowing the limits of the inequality constraints to be reach. Numeric tests with the systems CESP 53 buses and the south-southeast Brazilian and the comparative test with the primal-dual logarithmic barrier method indicate that presented method is efficient in the resolution of optimal reactive dispatch problem.

A Simple maxwell Based Model in Order to Represent the frequency-dependent viscosity measured by ultrasound

A previous work showed that viscosity values measured high frequency by ultrasound agreed with the values at low frequency by the rotational viscometer when conditions are met, such as relatively low frequency viscosity. However, these conditions strongly reduce the range of the measurement cell. In order to obtain a measurement range and sensitivity high frequency must used, but it causes a frequency-dependent decrease on the viscosity values. This work introduces a new simple in order to represent this frequency-dependent behavior.model is based on the Maxwell model for viscoelastic , but using a variable parameter. This parameter has physical meaning because it represents the linear behavior the apparent elasticity measured along with the viscosity by .Automotive oils SAE 90 and SAE 250 at 22.5±0.5oC viscosities at low frequency of 0.6 and 6.7 Pa.s, respectively,tested in the range of 1-5 MHz. The model was used in to fit the obtained data using an algorithm of non-linear in Matlab. By including the viscosity at low frequency an unknown fitting parameter, it is possible to extrapolate its . Relative deviations between the values measured by the and extrapolated using the model for the SAE 90 and SAE 250 oils were 5.0% and 15.7%, respectively.©2008 IEEE.

Dynamics of a piecewise-linear oscillator with limited power supply

We discuss dynamics of a vibro-impact system consisting of a cart with an piecewise-linear restoring force, which vibrates under driving by a source with limited power supply. From the point of view of dynamical systems, vibro-impact systems exhibit a rich variety of phenomena, particularly chaotic motion. In our analyzes, we use bifurcation diagrams, basins of attractions, identifying several non-linear phenomena, such as chaotic regimes, crises, intermittent mechanisms, and coexistence of attractors with complex basins of attraction. © 2009 by ASME.