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.

Extension of a Recent Method for Obtaining Exact Solutions of the Bruce and Klute Equation

A method based on a specific power-law relationship between the hydraulic head and the Boltzmann variable was recently presented. We generalized this relationship to a range of powers and extended the solution to include the saturated zone. As a result, the new solution satisfies the Bruce and Klute equation exactly.

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.

Estimating hourly net radiation for leaf wetness duration using the Penman-Monteith equation

Leaf wetness duration (LWD) is related to plant disease occurrence and is therefore a key parameter in agrometeorology. As LWD is seldom measured at standard weather stations, it must be estimated in order to ensure the effectiveness of warning systems and the scheduling of chemical disease control. Among the models used to estimate LWD, those that use physical principles of dew formation and dew and/or rain evaporation have shown good portability and sufficiently accurate results for operational use. However, the requirement of net radiation (Rn) is a disadvantage foroperational physical models, since this variable is usually not measured over crops or even at standard weather stations. With the objective of proposing a solution for this problem, this study has evaluated the ability of four models to estimate hourly Rn and their impact on LWD estimates using a Penman-Monteith approach. A field experiment was carried out in Elora, Ontario, Canada, with measurements of LWD, Rn and other meteorological variables over mowed turfgrass for a 58 day period during the growing season of 2003. Four models for estimating hourly Rn based on different combinations of incoming solar radiation (Rg), airtemperature (T), relative humidity (RH), cloud cover (CC) and cloud height (CH), were evaluated. Measured and estimated hourly Rn values were applied in a Penman-Monteith model to estimate LWD. Correlating measured and estimated Rn, we observed that all models performed well in terms of estimating hourly Rn. However, when cloud data were used the models overestimated positive Rn and underestimated negative Rn. When only Rg and T were used to estimate hourly Rn, the model underestimated positive Rn and no tendency was observed for negative Rn. The best performance was obtained with Model I, which presented, in general, the smallest mean absolute error (MAE) and the highest C-index. When measured LWD was compared to the Penman-Monteith LWD, calculated with measured and estimated Rn, few differences were observed. Both precision and accuracy were high, with the slopes of the relationships ranging from 0.96 to 1.02 and R-2 from 0.85 to 0.92, resulting in C-indices between 0.87 and 0.93. The LWD mean absolute errors associated with Rn estimates were between 1.0 and 1.5h, which is sufficient for use in plant disease management schemes.

Quantum noise in optical fibers. I. Stochastic equations

We analyze the quantum dynamics of radiation propagating in a single-mode optical fiber with dispersion, nonlinearity, and Raman coupling to thermal phonons. We start from a fundamental Hamiltonian that includes the principal known nonlinear effects and quantum-noise sources, including linear gain and loss. Both Markovian and frequency-dependent, non-Markovian reservoirs are treated. This treatment allows quantum Langevin equations, which have a classical form except for additional quantum-noise terms, to be calculated. In practical calculations, it is more useful to transform to Wigner or 1P quasi-probability operator representations. These transformations result in stochastic equations that can be analyzed by use of perturbation theory or exact numerical techniques. The results have applications to fiber-optics communications, networking, and sensor technology.

Time-reversal test for stochastic quantum dynamics

The calculation of quantum dynamics is currently a central issue in theoretical physics, with diverse applications ranging from ultracold atomic Bose-Einstein condensates to condensed matter, biology, and even astrophysics. Here we demonstrate a conceptually simple method of determining the regime of validity of stochastic simulations of unitary quantum dynamics by employing a time-reversal test. We apply this test to a simulation of the evolution of a quantum anharmonic oscillator with up to 6.022×1023 (Avogadro's number) of particles. This system is realizable as a Bose-Einstein condensate in an optical lattice, for which the time-reversal procedure could be implemented experimentally.

Canonical Bose gas simulations with stochastic gauges

A technique to simulate the grand canonical ensembles of interacting Bose gases is presented. Results are generated for many temperatures by averaging over energy-weighted stochastic paths, each corresponding to a solution of coupled Gross-Pitaevskii equations with phase noise. The stochastic gauge method used relies on an off-diagonal coherent-state expansion, thus taking into account all quantum correlations. As an example, the second-order spatial correlation function and momentum distribution for an interacting 1D Bose gas are calculated.

On a semilinear Schrodinger equation with critical Sobolev exponent

We consider the semilinear Schrodinger equation -Deltau+V(x)u= K(x) \u \ (2*-2 u) + g(x; u), u is an element of W-1,W-2 (R-N), where N greater than or equal to4, V, K, g are periodic in x(j) for 1 less than or equal toj less than or equal toN, K>0, g is of subcritical growth and 0 is in a gap of the spectrum of -Delta +V. We show that under suitable hypotheses this equation has a solution u not equal 0. In particular, such a solution exists if K equivalent to 1 and g equivalent to 0.

A finite integral transform technique for solving the diffusion-reaction equation with Michaelis-Menten kinetics

An approximate analytical technique employing a finite integral transform is developed to solve the reaction diffusion problem with Michaelis-Menten kinetics in a solid of general shape. A simple infinite series solution for the substrate concentration is obtained as a function of the Thiele modulus, modified Sherwood number, and Michaelis constant. An iteration scheme is developed to bring the approximate solution closer to the exact solution. Comparison with the known exact solutions for slab geometry (quadrature) and numerically exact solutions for spherical geometry (orthogonal collocation) shows excellent agreement for all values of the Thiele modulus and Michaelis constant.

A master equation model for bimolecular reaction via multi-well isomerization intermediates

A reversible linear master equation model is presented for pressure- and temperature-dependent bimolecular reactions proceeding via multiple long-lived intermediates. This kinetic treatment, which applies when the reactions are measured under pseudo-first-order conditions, facilitates accurate and efficient simulation of the time dependence of the populations of reactants, intermediate species and products. Detailed exploratory calculations have been carried out to demonstrate the capabilities of the approach, with applications to the bimolecular association reaction C3H6 + H reversible arrow C3H7 and the bimolecular chemical activation reaction C2H2 +(CH2)-C-1--> C3H3+H. The efficiency of the method can be dramatically enhanced through use of a diffusion approximation to the master equation, and a methodology for exploiting the sparse structure of the resulting rate matrix is established.

Decoherence in ion traps due to laser intensity and phase fluctuations

We consider one source of decoherence for a single trapped ion due to intensity and phase fluctuations in the exciting laser pulses. For simplicity we assume that the stochastic processes involved are white noise processes, which enables us to give a simple master equation description of this source of decoherence. This master equation is averaged over the noise, and is sufficient to describe the results of experiments that probe the oscillations in the electronic populations as energy is exchanged between the internal and electronic motion. Our results are in good qualitative agreement with recent experiments and predict that the decoherence rate will depend on vibrational quantum number in different ways depending on which vibrational excitation sideband is used.

Cost functions and duality for stochastic technologies

Cost functions dual to stochastic production technologies are derived and their properties are discussed. These cost functions are shown to be consistent with expected-utility maximization without placing serious structural restrictions on the underlying technology.

Refining the risk-benefit equation for thrombolysis: How to identity the low risk patient before administering thrombolytic therapy

In view of the relative risk of intracranial haemorrhage and major bleeding with thrombolytic therapy, it is important ro identify as early as possible the low risk patient who may not have a net clinical benefit from thrombolysis in the setting of acute myocardial infarction. An analysis of 5434 hospital-treated patients with myocardial infarction in the Perth MONICA study showed that age below 60 and absence of previous infarction or diabetes, shock, pulmonary oedema, cardiac arrest and Q-wave or left bundle branch block on the initial ECG identified a large group of patients with a 28 day mortality of only 1%, and one year mortality of only 2%. Identification of baseline risk in this way helps refine the risk-benefit equation for thrombolytic therapy, and may help avoid unnecessary use of thrombolysis in those unlikely to benefit.