On the Filtering Problem for Continuous-Time Markov Jump Linear Systems with no Observation of the Markov Chain

We consider in this paper the optimal stationary dynamic linear filtering problem for continuous-time linear systems subject to Markovian jumps in the parameters (LSMJP) and additive noise (Wiener process). It is assumed that only an output of the system is available and therefore the values of the jump parameter are not accessible. It is a well known fact that in this setting the optimal nonlinear filter is infinite dimensional, which makes the linear filtering a natural numerically, treatable choice. The goal is to design a dynamic linear filter such that the closed loop system is mean square stable and minimizes the stationary expected value of the mean square estimation error. It is shown that an explicit analytical solution to this optimal filtering problem is obtained from the stationary solution associated to a certain Riccati equation. It is also shown that the problem can be formulated using a linear matrix inequalities (LMI) approach, which can be extended to consider convex polytopic uncertainties on the parameters of the possible modes of operation of the system and on the transition rate matrix of the Markov process. As far as the authors are aware of this is the first time that this stationary filtering problem (exact and robust versions) for LSMJP with no knowledge of the Markov jump parameters is considered in the literature. Finally, we illustrate the results with an example.

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.

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.

MULTIVARIATE STATISTICAL METHOD IN OPTIMIZATION OF PROTEIN EXTRACTION FROM SOYBEAN FLOUR WITH DAIRY WHEY

The aim objective of this project was to evaluate the protein extraction of soybean flour in dairy whey, by the multivariate statistical method with 2(3) experiments. Influence of three variables were considered: temperature, pH and percentage of sodium chloride against the process specific variable ( percentage of protein extraction). It was observed that, during the protein extraction against time and temperature, the treatments at 80 degrees C for 2h presented great values of total protein (5.99%). The increasing for the percentage of protein extraction was major according to the heating time. Therefore, the maximum point from the function that represents the protein extraction was analysed by factorial experiment 2(3). By the results, it was noted that all the variables were important to extraction. After the statistical analyses, was observed that the parameters as pH, temperature, and percentage of sodium chloride, did not sufficient for the extraction process, since did not possible to obtain the inflection point from mathematical function, however, by the other hand, the mathematical model was significant, as well as, predictive.

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.

General results for the beta-modified Weibull distribution

We study in detail the so-called beta-modified Weibull distribution, motivated by the wide use of the Weibull distribution in practice, and also for the fact that the generalization provides a continuous crossover towards cases with different shapes. The new distribution is important since it contains as special sub-models some widely-known distributions, such as the generalized modified Weibull, beta Weibull, exponentiated Weibull, beta exponential, modified Weibull and Weibull distributions, among several others. It also provides more flexibility to analyse complex real data. Various mathematical properties of this distribution are derived, including its moments and moment generating function. We examine the asymptotic distributions of the extreme values. Explicit expressions are also derived for the chf, mean deviations, Bonferroni and Lorenz curves, reliability and entropies. The estimation of parameters is approached by two methods: moments and maximum likelihood. We compare by simulation the performances of the estimates from these methods. We obtain the expected information matrix. Two applications are presented to illustrate the proposed distribution.

Parametric and nonparametric statistical modelling of crop yield: implications for pricing crop insurance contracts

This article considers alternative methods to calculate the fair premium rate of crop insurance contracts based on county yields. The premium rate was calculated using parametric and nonparametric approaches to estimate the conditional agricultural yield density. These methods were applied to a data set of county yield provided by the Statistical and Geography Brazilian Institute (IBGE), for the period of 1990 through 2002, for soybean, corn and wheat, in the State of Paran. In this article, we propose methodological alternatives to pricing crop insurance contracts resulting in more accurate premium rates in a situation of limited data.

Isolation and characterization of microsatellite loci in Colletotrichum acutatum, the causal agent of postbloom fruit drop on citrus

From a genomic enriched library, we developed 27 primer pairs from microsatellite flanking sequences for Colletotrichum acutatum, associated to postbloom fruit drop disease on citrus. Loci were characterized using 40 monosporic C. acutatum isolates. Nine primer pairs successfully amplified polymorphic microsatellite regions, with 3-6 alleles per locus, and mean heterozygosities ranging 0.093-0.590 across loci. The suitability of these primers was investigated in four Colletotrichum species as well. These microsatellite markers will be useful for genetic analyses and epidemiological studies of C. acutatum.

Contribution of soil organic carbon to the ion exchange capacity of tropical soils

Highly weathered soils represent about 3 billion ha of the tropical region. Oxisols represent about 60% of the Brazilian territory (more than 5 million km 2), in areas of great agricultural importance. Soil organic carbon (SOC) can be responsible for more than 80% of the cation exchange capacity (CEC) of highly weathered soils, such as Oxisols and Ultisols. The objective of this study was to estimate the contribution of the SOC to the CEC of Brazilian soils from different orders. Surface samples (0.0 to 0.2 m) of 30 uncultivated soils (13 Oxisols, 6 Ultisols, 5 Alfisols, 3 Entisols, I Histosol, 1 Inceptisol. and I Molisol), under native forests and from reforestation sites from Sao Paulo State, Brazil, were collected in order to obtain a large variation of (electro)chemical, physical, and mineralogical soil attributes. Total content of SOC was quantified by titulometric and colorimetric methods. Effective cation exchange capacity (ECEC) was obtained by two methods: the indirect method-summation-estimated the ECECi from the sum of basic cations (Ca+ Mg+ K+ Na) and exchangeable Al; and the direct ECECd obtained by the compulsive exchange method, using unbuffered BaCl2 solution. The contribution of SOC to the soil CEC was estimated by the Bennema statistical method. The amount of SOC var ied from 6.6 g kg(-1) to 213.4 g kg(-1). while clay contents varied from 40 g kg(-1) to 716 g kg(-1). Soil organic carbon contents were strongly associated to the clay contents, suggesting that clay content was the primary variable in controling the variability of SOC contents in the samples. Cation exchange capacity varied from 7.0 mmol(c) kg(-1) to 137.8 mmol(c) kg(-1) and had a positive Correlation with SOC. The mean contribution (per grain) of the SOC (1.64 mmol(c)) for the soil CEC was more than 44 times higher than the contribution of the clay fraction (0.04 mmol(c),). A regression model that considered the SOC content as the only significant variable explained 60% of the variation in the soil total CEC. The importance of SOC was related to soil pedogenetic process, since its contribution to the soil CEC was more evident in Oxisols with predominance of Fe and Al (oxihydr)oxides in the mineral fraction or in Ultisols, that presented illuviated clay. The influence of SOC in the sign and in the magnitude of the net charge of soils reinforce the importance of agricultural management systems that preserve high levels of SOC, in order to improve their sustainability.

X ray densitometry applied to technological evaluation of MDF panels of eucalyptus

MDF panels from eucalyptus wood fibers were manufactured in laboratory and industrial production and had their apparent density profile determined by X-ray densitometry. The MDF panels apparent density parameters (maximum density of the superior and inferior faces; medium and minimum density) were determined and compared. The results indicated that the density values of the MDF panels made in the laboratory and in industrial line did not show significant statistical differences, indicating the similarities in the pressing phase of the fibers of both kinds. However, for MDF panels of laboratory and production line, the values of maximum, mean and minimum densities showed statistically significant correlations. The determination of the density profile for MDF panels by X-ray densitometry is important for the evaluation of pressing phase and other variables of the industrial process of production, as well for the determination of the technological properties.

In Vitro Sun Protection Factor Evaluation of Sunscreens Containing Rutin and its Derivative

This research aimed at determining spectrophotometrically (290 to 320nm) the in vitro Sun Protection Factor (SPF) of sunscreens developed with rutin (R) or succinate rutin (SR), in association or not with UVB filter. Formulations were developed based on phosphate-base O/W emulsions, with (B) or not (A) the presence of polyacrylamide/C13-14 isoparaffin/laureth-7 (PIL), in accordance with the following associations: (a) control; (b) 1.0 % SR; (c) 0.1 % R; (d) 7.5 % ethylhexyl methoxycinnamate (EHMC); (e) 7.5 % EHMC + 0.1 % RS; (0 7.5 % EHMC + 0.1 % R. It was verified a statistical significative elevation of the SPF from 13.93 +/- 0.02 (Af) to 16.63 +/- 0.27 (Bf) and also in relation to 15.53 +/- 0.14 (Bd). According to the results, the EHMC had distinct behavior depending on the presence of bioactive substance and viscosity agent, thus, rutin obtained better profile as a SPF booster in these experimental conditions with the presence of PIL.

Evaluation of flow regimes in a semi-cylindrical spouted bed through statistical, mutual information, spectral and Hurst`s analysis

Hydrodynamic studies were conducted in a semi-cylindrical spouted bed column of diameter 150 mm, height 1000 mm, conical base included angle of 60 degrees and inlet orifice diameter 25 mm. Pressure transducers at several axial positions were used to obtain pressure fluctuation time series with 1.2 and 2.4 mm glass beads at U/U-ms from 0.3 to 1.6, and static bed depths from 150 to 600 mm. The conditions covered several flow regimes (fixed bed, incipient spouting, stable spouting, pulsating spouting, slugging, bubble spouting and fluidization). Images of the system dynamics were also acquired through the transparent walls with a digital camera. The data were analyzed via statistical, mutual information theory, spectral and Hurst`s Rescaled Range methods to assess the potential of these methods to characterize the spouting quality. The results indicate that these methods have potential for monitoring spouted bed operation.

Comparison of surveys used to measure physical activity

Objective: To compare the level of agreement in results obtained from four physical activity (PA) measurement instruments that are in use in Australia and around the world. Methods: 1,280 randomly selected participants answered two sets of PA questions by telephone. 428 answered the Active Australia (AA) and National Health Surveys, 427 answered the AA and CDC Behavioural Risk Factor Surveillance System surveys (BRFSS), and 425 answered the AA survey and the short International Physical Activity Questionnaire (IPAQ). Results: Among the three pairs of survey items, the difference in mean total PA time was lowest when the AA and NHS items were asked (difference=24) (SE:17) minutes, compared with 144 (SE:21) mins for AA/BRFSS and 406 (SE:27) mins for AA/IPAQ). Correspondingly, prevalence estimates for 'sufficiently active' were similar for AA and NHS (56% and 55% respectively), but about 10% higher when BRFSS data were used, and about 26% higher when the IPAQ items were used, compared with estimates from the AA survey. Conclusions: The findings clearly demonstrate that there are large differences in reported PA times and hence in prevalence estimates of 'sufficient activity' from these four measures. Implications: It is important to consistently use the same survey for population monitoring purposes. As the AA survey has now been used three times in national surveys, its continued use for population surveys is recommended so that trend data ever a longer period of time can be established.

Parameter setting and statistical learning

Three main models of parameter setting have been proposed: the Variational model proposed by Yang (2002; 2004), the Structured Acquisition model endorsed by Baker (2001; 2005), and the Very Early Parameter Setting (VEPS) model advanced by Wexler (1998). The VEPS model contends that parameters are set early. The Variational model supposes that children employ statistical learning mechanisms to decide among competing parameter values, so this model anticipates delays in parameter setting when critical input is sparse, and gradual setting of parameters. On the Structured Acquisition model, delays occur because parameters form a hierarchy, with higher-level parameters set before lower-level parameters. Assuming that children freely choose the initial value, children sometimes will miss-set parameters. However when that happens, the input is expected to trigger a precipitous rise in one parameter value and a corresponding decline in the other value. We will point to the kind of child language data that is needed in order to adjudicate among these competing models.

Distribution of transferrin saturation in an Australian population: Relevance to the early diagnosis of hemochromatosis

Background & Aims: An elevated transferrin saturation is the earliest phenotypic abnormality in hereditary hemochromatosis. Determination of transferrin saturation remains the most useful noninvasive screening test for affected individuals, but there is debate as to the appropriate screening level. The aims of this study were to estimate the mean transferrin saturation in hemochromatosis heterozygotes and normal individuals and to evaluate potential transferrin saturation screening levels. Methods: Statistical mixture modeling was applied to data from a survey of asymptomatic Australians to estimate the mean transferrin saturation in hemochromatosis heterozygotes and normal individuals. To evaluate potential transferrin saturation screening levels, modeling results were compared with data from identified hemochromatosis heterozygotes and homozygotes. Results: After removal of hemochromatosis homozygotes, two populations of transferrin saturation were identified in asymptomatic Australians (P < 0.01). In men, 88.2% of the truncated sample had a lower mean transferrin saturation of 24.1%, whereas 11.8% had an increased mean transferrin saturation of 37.3%. Similar results were found in women, A transferrin saturation threshold of 45% identified 98% of homozygotes without misidentifying any normal individuals. Conclusions: The results confirm that hemochromatosis heterozygotes form a distinct transferrin saturation subpopulation and support the use of transferrin saturation as an inexpensive screening test for hemochromatosis. In practice, a fasting transferrin saturation of greater than or equal to 45% identifies virtually all affected homozygous subjects without necessitating further investigation of unaffected normal individuals.