The use of stochastic dynamic programming in optimal landscape reconstruction for metapopulations

A decision theory framework can be a powerful technique to derive optimal management decisions for endangered species. We built a spatially realistic stochastic metapopulation model for the Mount Lofty Ranges Southern Emu-wren (Stipiturus malachurus intermedius), a critically endangered Australian bird. Using diserete-time Markov,chains to describe the dynamics of a metapopulation and stochastic dynamic programming (SDP) to find optimal solutions, we evaluated the following different management decisions: enlarging existing patches, linking patches via corridors, and creating a new patch. This is the first application of SDP to optimal landscape reconstruction and one of the few times that landscape reconstruction dynamics have been integrated with population dynamics. SDP is a powerful tool that has advantages over standard Monte Carlo simulation methods because it can give the exact optimal strategy for every landscape configuration (combination of patch areas and presence of corridors) and pattern of metapopulation occupancy, as well as a trajectory of strategies. It is useful when a sequence of management actions can be performed over a given time horizon, as is the case for many endangered species recovery programs, where only fixed amounts of resources are available in each time step. However, it is generally limited by computational constraints to rather small networks of patches. The model shows that optimal metapopulation, management decisions depend greatly on the current state of the metapopulation,. and there is no strategy that is universally the best. The extinction probability over 30 yr for the optimal state-dependent management actions is 50-80% better than no management, whereas the best fixed state-independent sets of strategies are only 30% better than no management. This highlights the advantages of using a decision theory tool to investigate conservation strategies for metapopulations. It is clear from these results that the sequence of management actions is critical, and this can only be effectively derived from stochastic dynamic programming. The model illustrates the underlying difficulty in determining simple rules of thumb for the sequence of management actions for a metapopulation. This use of a decision theory framework extends the capacity of population viability analysis (PVA) to manage threatened species.

A gestão do risco associado à negociação de energia eléctrica através de contratos bilaterais e mercado spot

Num mercado de electricidade competitivo onde existe um ambiente de incerteza, as empresas de geração adoptam estratégias que visam a maximização do lucro, e a minimização do risco. Neste contexto, é de extrema importância para desenvolver uma estratégia adequada de gestão de risco ter em conta as diferentes opções de negociação de energia num mercado liberalizado, de forma a suportar a tomada de decisões na gestão de risco. O presente trabalho apresenta um modelo que avalia a melhor estratégia de um produtor de energia eléctrica que comercializa num mercado competitivo, onde existem dois mercados possíveis para a transacção de energia: o mercado organizado (bolsa) e o mercado de contratos bilaterais. O produtor tenta maximizar seus lucros e minimizar os riscos correspondentes, seleccionando o melhor equilíbrio entre os dois mercados possíveis (bolsa e bilateral). O mercado de contratos bilaterais visa gerir adequadamente os riscos inerentes à operação de mercados no curto prazo (mercado organizado) e dar o vendedor / comprador uma capacidade real de escolher o fornecedor com que quer negociar. O modelo apresentado neste trabalho faz uma caracterização explícita do risco no que diz respeito ao agente de mercado na questão da sua atitude face ao risco, medido pelo Value at Risk (VaR), descrito neste trabalho por Lucro-em-Risco (PAR). O preço e os factores de risco de volume são caracterizados por um valor médio e um desvio padrão, e são modelizados por distribuições normais. Os resultados numéricos são obtidos utilizando a simulação de Monte Carlo implementado em Matlab, e que é aplicado a um produtor que mantém uma carteira diversificada de tecnologias de geração, para um horizonte temporal de um ano. Esta dissertação está organizada da seguinte forma: o capítulo 1, 2 e 3 descrevem o estado-da-arte relacionado com a gestão de risco na comercialização de energia eléctrica. O capítulo 4 descreve o modelo desenvolvido e implementado, onde é também apresentado um estudo de caso com uma aplicação do modelo para avaliar o risco de negociação de um produtor. No capítulo 5 são apresentadas as principais conclusões.

Communication: The criticality of self-assembled rigid rods on triangular lattices

The criticality of self-assembled rigid rods on triangular lattices is investigated using Monte Carlo simulation. We find a continuous transition between an ordered phase, where the rods are oriented along one of the three (equivalent) lattice directions, and a disordered one. We conclude that equilibrium polydispersity of the rod lengths does not affect the critical behavior, as we found that the criticality is the same as that of monodisperse rodson the same lattice, in contrast with the results of recently published work on similar models. (C) 2011 American Institute of Physics. [doi:10.1063/1.3556665]

Nonmonotonic Magnetic Susceptibility of Dipolar Hard-Spheres at Low Temperature and Density

We investigate, via numerical simulations, mean field, and density functional theories, the magnetic response of a dipolar hard sphere fluid at low temperatures and densities, in the region of strong association. The proposed parameter-free theory is able to capture both the density and temperature dependence of the ring-chain equilibrium and the contribution to the susceptibility of a chain of generic length. The theory predicts a nonmonotonic temperature dependence of the initial (zero field) magnetic susceptibility, arising from the competition between magnetically inert particle rings and magnetically active chains. Monte Carlo simulation results closely agree with the theoretical findings. DOI: 10.1103/PhysRevLett.110.148306

Dosimetria e análise de incertezas em braquiterapia ginecológica

Mestrado em Radiações Aplicadas às tecnologias da Saúde

Tissue composition and density impact on the clinical parameters for 125I prostate implants dosimetry

The MCNPX code was used to calculate the TG-43U1 recommended parameters in water and prostate tissue in order to quantify the dosimetric impact in 30 patients treated with (125)I prostate implants when replacing the TG-43U1 formalism parameters calculated in water by a prostate-like medium in the planning system (PS) and to evaluate the uncertainties associated with Monte Carlo (MC) calculations. The prostate density was obtained from the CT of 100 patients with prostate cancer. The deviations between our results for water and the TG-43U1 consensus dataset values were -2.6% for prostate V100, -13.0% for V150, and -5.8% for D90; -2.0% for rectum V100, and -5.1% for D0.1; -5.0% for urethra D10, and -5.1% for D30. The same differences between our water and prostate results were all under 0.3%. Uncertainties estimations were up to 2.9% for the gL(r) function, 13.4% for the F(r,θ) function and 7.0% for Λ, mainly due to seed geometry uncertainties. Uncertainties in extracting the TG-43U1 parameters in the MC simulations as well as in the literature comparison are of the same order of magnitude as the differences between dose distributions computed for water and prostate-like medium. The selection of the parameters for the PS should be done carefully, as it may considerably affect the dose distributions. The seeds internal geometry uncertainties are a major limiting factor in the MC parameters deduction.

A reliability-based measure of robustness for concrete structures subjected to corrosion

This work is a contribution to the definition and assessment of structural robustness. Special emphasis is given to reliability of reinforced concrete structures under corrosion of longitudinal reinforcement. On this communication several authors’ proposals in order to define and measure structural robustness are analyzed and discussed. The probabilistic based robustness index is defined, considering the reliability index decreasing for all possible damage levels. Damage is considered as the corrosion level of the longitudinal reinforcement in terms of rebar weight loss. Damage produces changes in both cross sectional area of rebar and bond strength. The proposed methodology is illustrated by means of an application example. In order to consider the impact of reinforcement corrosion on failure probability growth, an advanced methodology based on the strong discontinuities approach and an isotropic continuum damage model for concrete is adopted. The methodology consist on a two-step analysis: on the first step an analysis of the cross section is performed in order to capture phenomena such as expansion of the reinforcement due to the corrosion products accumulation and damage and cracking in the reinforcement surrounding concrete; on the second step a 2D deteriorated structural model is built with the results obtained on the first step of the analysis. The referred methodology combined with a Monte Carlo simulation is then used to compute the failure probability and the reliability index of the structure for different corrosion levels. Finally, structural robustness is assessed using the proposed probabilistic index.

In situ measured cross section geometry of old timber structures and its influence on structural safety

Old timber structures may show significant variation in the cross section geometry along the same element, as a result of both construction methods and deterioration. As consequence, the definition of the geometric parameters in situ may be both time consuming and costly. This work presents the results of inspections carried out in different timber structures. Based on the obtained results, different simplified geometric models are proposed in order to efficiently model the geometry variations found. Probabilistic modelling techniques are also used to define safety parameters of existing timber structures, when subjected to dead and live loads, namely self-weight and wind actions. The parameters of the models have been defined as probabilistic variables, and safety of a selected case study was assessed using the Monte Carlo simulation technique. Assuming a target reliability index, a model was defined for both the residual cross section and the time dependent deterioration evolution. As a consequence, it was possible to compute probabilities of failure and reliability indices, as well as, time evolution deterioration curves for this structure. The results obtained provide a proposal for definition of the cross section geometric parameters of existing timber structures with different levels of decay, using a simplified probabilistic geometry model and considering a remaining capacity factor for the decayed areas. This model can be used for assessing the safety of the structure at present and for predicting future performance.

Reliability analysis of a timber truss system subjected to decay

Assessing the safety of existing timber structures is of paramount importance for taking reliable decisions on repair actions and their extent. The results obtained through semi-probabilistic methods are unrealistic, as the partial safety factors present in codes are calibrated considering the uncertainty present in new structures. In order to overcome these limitations, and also to include the effects of decay in the safety analysis, probabilistic methods, based on Monte-Carlo simulation are applied here to assess the safety of existing timber structures. In particular, the impact of decay on structural safety is analyzed and discussed, using a simple structural model, similar to that used for current semi-probabilistic analysis.

Hedging in a discontinuous market: the barrier option

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Pharmacokinetic/pharmacodynamic target attainment of intravenous β-lactam regimens against Gram-negative bacteria isolated in a Brazilian teaching hospital

ABSTRACTINTRODUCTION: Monte Carlo simulations have been used for selecting optimal antibiotic regimens for treatment of bacterial infections. The aim of this study was to assess the pharmacokinetic and pharmacodynamic target attainment of intravenous β-lactam regimens commonly used to treat bloodstream infections (BSIs) caused by Gram-negative rod-shaped organisms in a Brazilian teaching hospital.METHODS: In total, 5,000 patients were included in the Monte Carlo simulations of distinct antimicrobial regimens to estimate the likelihood of achieving free drug concentrations above the minimum inhibitory concentration (MIC; fT > MIC) for the requisite periods to clear distinct target organisms. Microbiological data were obtained from blood culture isolates harvested in our hospital from 2008 to 2010.RESULTS: In total, 614 bacterial isolates, including Escherichia coli, Enterobacterspp., Klebsiella pneumoniae, Acinetobacter baumannii, and Pseudomonas aeruginosa, were analyzed Piperacillin/tazobactam failed to achieve a cumulative fraction of response (CFR) > 90% for any of the isolates. While standard dosing (short infusion) of β-lactams achieved target attainment for BSIs caused by E. coliand Enterobacterspp., pharmacodynamic target attainment against K. pneumoniaeisolates was only achieved with ceftazidime and meropenem (prolonged infusion). Lastly, only prolonged infusion of high-dose meropenem approached an ideal CFR against P. aeruginosa; however, no antimicrobial regimen achieved an ideal CFR against A. baumannii.CONCLUSIONS:These data reinforce the use of prolonged infusions of high-dose β-lactam antimicrobials as a reasonable strategy for the treatment of BSIs caused by multidrug resistant Gram-negative bacteria in Brazil.

Development of a methodology to incorporate risk and uncertainty in electricity power planning

Dissertação de mestrado em Engenharia Industrial

Stochastic effects and uncertainties in assessing electromagnetic interactions with control systems

Electromagnetic compatibility, lightning, crosstalk surge voltages, Monte Carlo simulation, accident initiator

User-friendly parallel computations with econometric examples

This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of parallelization is done in a way such that an investigator may use the programs without any knowledge of parallel programming. A bootable CD that allows rapid creation of a cluster for parallel computing is introduced. Examples show that parallelization can lead to important reductions in computational time. Detailed discussion of how the Monte Carlo problem was parallelized is included as an example for learning to write parallel programs for Octave.

A Nonlinear Panel Unit Root Test under Cross Section Dependence

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes. The proposed test is simple to implement and accommodates cross sectional dependence. We show that the distribution of the test statistic is free of nuisance parameters as (N, T) −! 1. Monte Carlo simulation shows that our test holds correct size and under the hypothesis that data are generated by globally stationary ESTAR processes has a better power than the recent test proposed in Pesaran [2007]. Various applications are provided.