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.

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.

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.

Using a New Criterion to Identify Sites for Mean Soil Water Storage Evaluation

Establishing a few sites in which measurements of soil water storage (SWS) are time stable significantly reduces the efforts involved in determining average values of SWS. This study aimed to apply a new criterion the mean absolute bias error (MABE)-to identify temporally stable sites for mean SWS evaluation. The performance of MABE was compared with that of the commonly used criterion, the standard deviation of relative difference (SDRD). From October 2004 to October 2008, SWS of four soil layers (0-1.0, 1.0-2.0,2.0-3.0, and 3.0-4.0 m) was measured, using a neutron probe, at 28 sites on a hillslope of the Loess Plateau, China. A total of 37 SWS data sets taken over time were divided into two subsets, the first consisting of 22 dates collected during the calibration period from October 2004 to September 2006, and the second with 15 dates collected during the validation period from October 2006 to October 2008. The results showed that if a critical value of 5% for MABE was defined, more than half the sites were temporally stable for both periods, and the number of temporally stable sires generally increased with soil depth. Compared with SDRD, MABE was more suitable for the identification of time-stable sites for mean SS prediction. Since the absolute prediction error of drier sites is more sensitive to changes in relative difference in terms of mean SWS prediction, the sites of wet sectors should be preferable for mean SWS prediction for the same changes in relative difference.

Using indicators of deforestation and land-use dynamics to support conservation strategies: A case study of central Rondonia, Brazil

In Rondonia State, Brazil, settlement processes have cleared 68,000 km 2 of tropical forests since the 1970s. The intensity of deforestation has differed by region depending on driving factors like roads and economic activities. Different histories of land-use activities and rates of change have resulted in mosaics of forest patches embedded in an agricultural matrix. Yet, most assessments of deforestation and its effects on vegetation, soil and water typically focus on landscape patterns of current conditions, yet historical deforestation dynamics can influence current conditions strongly. Here, we develop and describe the use of four land-use dynamic indicators to capture historical land-use changes of catchments and to measure the rate of deforestation (annual deforestation rate), forest regeneration level (secondary forest mean proportion), time since disturbance (mean time since deforestation) and deforestation profile (deforestation profile curvature). We used the proposed indices to analyze a watershed located in central Rondonia. Landsat TM and ETM+ images were used to produce historical land-use maps of the last 18 years, each even year from 1984 to 2002 for 20 catchments. We found that the land-use dynamics indicators are able to distinguish catchments with different land-use change profiles. Four categories of historical land-use were identified: old and dominant pasture cover on small properties, recent deforestation and dominance of secondary growth, old extensive pastures and large forest remnants and, recent deforestation, pasture and large forest remnants. Knowing historical deforestation processes is important to develop appropriate conservation strategies and define priorities and actions for conserving forests currently under deforestation. (C) 2009 Elsevier B.V. All rights reserved.

Metabolite mean transit times in the liver as predicted by various models of hepatic elimination

Predicted area under curve (AUC), mean transit time (MTT) and normalized variance (CV2) data have been compared for parent compound and generated metabolite following an impulse input into the liver, Models studied were the well-stirred (tank) model, tube model, a distributed tube model, dispersion model (Danckwerts and mixed boundary conditions) and tanks-in-series model. It is well known that discrimination between models for a parent solute is greatest when the parent solute is highly extracted by the liver. With the metabolite, greatest model differences for MTT and CV2 occur when parent solute is poorly extracted. In all cases the predictions of the distributed tube, dispersion, and tasks-in-series models are between the predictions of the rank and tube models. The dispersion model with mixed boundary conditions yields identical predictions to those for the distributed tube model (assuming an inverse gaussian distribution of tube transit times). The dispersion model with Danckwerts boundary conditions and the tanks-in series models give similar predictions to the dispersion (mixed boundary conditions) and the distributed tube. The normalized variance for parent compound is dependent upon hepatocyte permeability only within a distinct range of permeability values. This range is similar for each model but the order of magnitude predicted for normalized variance is model dependent. Only for a one-compartment system is the MIT for generated metabolite equal to the sum of MTTs for the parent compound and preformed metabolite administered as parent.

Transport properties of strongly correlated metals: A dynamical mean-field approach

The temperature dependence of the transport properties of the metallic phase of a frustrated Hubbard model on the hypercubic lattice at half-filling is calculated. Dynamical mean-held theory, which maps the Hubbard model onto a single impurity,Anderson model that is solved self-consistently, and becomes exact in the limit of large dimensionality, is used. As the temperature increases there is a smooth crossover from coherent Fermi liquid excitations at low temperatures to incoherent excitations at high temperatures. This crossover leads to a nonmonotonic temperature dependence for the resistance, thermopower, and Hall coefficient, unlike in conventional metals. The resistance smoothly increases from a quadratic temperature dependence at low temperatures to large values which can exceed the Mott-Ioffe-Regel value ha/e(2) (where a is a lattice constant) associated with mean free paths less than a lattice constant. Further signatures of the thermal destruction of quasiparticle excitations are a peak in the thermopower and the absence of a Drude peak in the optical conductivity. The results presented here are relevant to a wide range of strongly correlated metals, including transition metal oxides, strontium ruthenates, and organic metals.

Dynamics of trapped Bose-Einstein condensates: Beyond the mean-field

Since dilute Bose gas condensates were first experimentally produced, the Gross-Pitaevskii equation has been successfully used as a descriptive tool. As a mean-field equation, it cannot by definition predict anything about the many-body quantum statistics of condensate. We show here that there are a class of dynamical systems where it cannot even make successful predictions about the mean-field behavior, starting with the process of evaporative cooling by which condensates are formed. Among others are parametric processes, such as photoassociation and dissociation of atomic and molecular condensates.

Distribution of an asymmetrical copepod, Hatschekia plectropomi, on the gills of Plectropomus leopardus

Hatschekia plectropomi, an ectoparasitic copepod found on the gills, infected Plectropomus leopardus from Heron Island Reef with 100% prevalence (n = 32) and a mean +/- S.E. infection intensity of 131.9 +/- 22.1. The distribution of 4222 adult female parasites across 32 individual host fish was investigated at several organizational levels ranging from the level of holobranch pairs to that of individual filaments. Parasites demonstrated a site preference for the two central holobranchs (2 and 3). Along the lengths of hemibranchs, filaments near the dorsal and ventral ends and those in the proximity of the bend region were rarely occupied. The probability of coming into contact with a suitable attachment site and the ability to withstand ventilation forces at that site were proposed as the major factors affecting distribution. Two H. plectropomi morphotypes were identified based on the direction of body curvature. Regardless of morphotype, 99.9% of individuals were attached such that the convex side of the body was oriented towards the oncoming ventilating water currents. Further, 93.3% of individuals attached to the posterior faces of filaments, leading to a predictable pattern of attachment for this species. It is suggested that the direction of body curvature develops in response to the direction of the ventilating water currents. (c) 2006 The Fisheries Society of the British Isles.

Effectiveness of the CAGE questionnaire, gamma-glutamyltransferase and mean corpuscular volume of red blood cells as markers for alcohol-related problems in the workplace

Objective: To evaluate the usefulness of gamma-glutamyltransferase (GGT) and mean corpuscular volume (MCV), as well as that of the CAGE questionnaire, in workplace screening for alcohol abuse/dependence. Methods: A total of 183 male employees were submitted to structured interviews (Structured Clinical Interview for DSM-IV 2.0 and CAGE questionnaire). Blood samples were collected. Diagnostic accuracy and odds ratio were determined for the CAGE, GGT and MCV. Results: The CAGE questionnaire presented the best sensitivity for alcohol dependence (91%; specificity, 87.8%) and for alcohol abuse (87.5%, specificity, 80.9%), which increased when the questionnaire was used in combination with GGT (sensitivity, 100% and 87.5%, respectively; specificity, 68% and 61.5, respectively). CAGE positive results and/or alterations in GGT were less likely to occur among employees not presenting alcohol abuse/ dependence than among those presenting such abuse (OR for CAGE = 13, p < 0.05; OR for CAGE-GGT = 11, p < 0.05) or dependence (OR for CAGE = 76, p < 0.0 1; OR for GGT = 5, p < 0.0 1). Employees not presenting alcohol abuse/dependence were also several times more likely to present negative CAGE or GGT results. Conclusions: The use short, simple questionnaires, combined with that of low-cost biochemical markers, such as GGT, can serve as an initial screening for alcohol-related problems, especially for employees in hazardous occupations. The data provided can serve to corroborate clinical findings. (C) 2008 Elsevier Ltd. All rights reserved.

Absence of lymph nodes in the resected specimen after radical surgery for distal rectal cancer and neoadjuvant chemoradiation therapy: What does it mean?

Purpose: The number of retrieved lymph nodes during radical surgery has been considered of great importance to ensure adequate staging and radical resection. However, this finding may not be applicable after neoadjuvant therapy in which, not only is there a decrease in lymph nodes recovered, but also a subgroup of patients with absence of lymph nodes in the resected specimen. Methods: Patients with absence of lymph nodes were compared with patients with ypN0 disease and patients with ypN+ disease. Results: Thirty-two patients (11 percent) had absence of lymph nodes, 171 patients (61 percent) had ypN0 disease, and 78 patients (28 percent) had ypN+ disease. Patients with absence of lymph nodes had significantly lower ypT status (ypT0-1, 40 vs. 13 percent; P < 0.001) and decreased risk of perineural invasion (6 vs. 21 percent; P = 0.04) compared with ypN0 patients. Five-year disease-free survival (74 percent) was similar to patients with ypN0 (59 percent; P = 0.2), and both were significantly better than patients with ypN+ disease (30 percent; P < 0.001). Conclusions: Absence of lymph nodes retrieved from the resected specimen is associated with favorable pathologic features (ypT and perineural invasion status) and good disease-free survival rates. In this setting, absence of retrieved lymph nodes may reflect improved response to neoadjuvant chemoradiation therapy rather than inappropriate or suboptimal oncologic radicality.

Pulmonary involvement in pleural tuberculosis: How often does it mean disease activity?

Objective: To evaluate in chest X-rays and high-resolution computed tomographies of patients with pleural tuberculosis, the incidence of parenchymal and mediastinal lung lesions suggestive of active disease. Methods: Prospective study (2008-2009) evaluating the radiographic and tomographic abnormalities of 88 HIV-negative patients with pleural tuberculosis (unilateral effusion). The images were reviewed by 3 independent specialists, and the observed changes were classified according to previously established criteria: presence or absence of signs suggestive of disease activity, and nonspecific findings. Results: Abnormal changes were observed in chest X-rays of 22 (25%) patients and in the computed tomography of 55 (63%). Images compatible with active pulmonary tuberculosis were detected by radiography in 9 (10%) patients and by tomography in 38 (43%). Only 4 (4.5%) patients had tomography images suggestive of residual disease. Conclusion: The present study demonstrates that pulmonary involvement is quite common in pleural tuberculosis. This finding is mainly observed in high-resolution computed tomography and has important epidemiological implications, since patients with pleural tuberculosis are significant sources of infection and disease dissemination. (C) 2011 Elsevier Ltd. All rights reserved.

SPINAL POSTURAL ALIGNMENT VARIANCE ACCORDING TO SEX AND AGE IN 7-AND 8-YEAR-OLD CHILDREN

Purpose: Children`s postural alignment undergoes many adjustments due to the changes in body proportions during the stages of growth. The objective of this study was to quantitatively characterize and analyze spinal postural standards in 7- and 8-year-old children to verify which of the differences found were correlated to age and sex. Methods: Two hundred thirty public school students (Amparo, Sao Paulo, Brazil) aged 7 to 8 years were divided into groups according to postural alignment, which were further subdivided by sex and age, for comparison. Digital photos of upright Subjects were analyzed to evaluate posture. Lumbar and thoracic curvature, pelvic inclination, head posture, and lateral spine deviation were measured using CorelDraw (Ottawa, Canada) software guidelines and bone landmarks. Descriptive statistics and analysis of variance data analysis were utilized to verify differences among the groups. This was a cross-sectional, descriptive study. Results: Mean values for the variables analyzed were calculated. For lumbar lordosis, 7-year-old boys showed 38.49 degrees +/- 15.32 degrees in comparison to all other groups (42.29 degrees +/- 7.13 degrees). For thoracic kyphosis, the 7-year-old children presented 28.07 degrees +/- 7.73 degrees. and the 8-year-olds 30.32 degrees +/- 7.73 degrees. Pelvic inclination presented a mean value of 15.82 degrees +/- 5.46 degrees and single lateral spine deviation mean value of 3.48 degrees +/- 2.12 degrees. Conclusion: For the sample studied, differences based on sex and age were found for some of the body segments analyzed. The values found in this study may contribute to improved physiotherapeutic treatment when associated with other aspects of the clinical assessment and symptomatology. (J Manipulative Physiol Ther 2009;32: 154-159)