Efficient simulation of a Tandem Jackson Network

The two-node tandem Jackson network serves as a convenient reference model for the analysis and testing of different methodologies and techniques in rare event simulation. In this paper we consider a new approach to efficiently estimate the probability that the content of the second buffer exceeds some high level L before it becomes empty, starting from a given state. The approach is based on a Markov additive process representation of the buffer processes, leading to an exponential change of measure to be used in an importance sampling procedure. Unlike changes of measures proposed and studied in recent literature, the one derived here is a function of the content of the first buffer. We prove that when the first buffer is finite, this method yields asymptotically efficient simulation for any set of arrival and service rates. In fact, the relative error is bounded independent of the level L; a new result which is not established for any other known method. When the first buffer is infinite, we propose a natural extension of the exponential change of measure for the finite buffer case. In this case, the relative error is shown to be bounded (independent of L) only when the second server is the bottleneck; a result which is known to hold for some other methods derived through large deviations analysis. When the first server is the bottleneck, experimental results using our method seem to suggest that the relative error is bounded linearly in L.

Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes

This article provides importance sampling algorithms for computing the probabilities of various types ruin of spectrally negative Lévy risk processes, which are ruin over the infinite time horizon, ruin within a finite time horizon and ruin past a finite time horizon. For the special case of the compound Poisson process perturbed by diffusion, algorithms for computing probabilities of ruins by creeping (i.e. induced by the diffusion term) and by jumping (i.e. by a claim amount) are provided. It is shown that these algorithms have either bounded relative error or logarithmic efficiency, as t,x→∞t,x→∞, where t>0t>0 is the time horizon and x>0x>0 is the starting point of the risk process, with y=t/xy=t/x held constant and assumed either below or above a certain constant.

Saddlepoint approximations

The saddlepoint method provides accurate approximations for the distributions of many test statistics, estimators and for important probabilities arising in various stochastic models. The saddlepoint approximation is a large deviations technique which is substantially more accurate than limiting normal or Edgeworth approximations, especially in presence of very small sample sizes or very small probabilities. The outstanding accuracy of the saddlepoint approximation can be explained by the fact that it has bounded relative error.

Stochastic simulation of rare events

Stochastic simulation is an important and practical technique for computing probabilities of rare events, like the payoff probability of a financial option, the probability that a queue exceeds a certain level or the probability of ruin of the insurer's risk process. Rare events occur so infrequently, that they cannot be reasonably recorded during a standard simulation procedure: specifc simulation algorithms which thwart the rarity of the event to simulate are required. An important algorithm in this context is based on changing the sampling distribution and it is called importance sampling. Optimal Monte Carlo algorithms for computing rare event probabilities are either logarithmic eficient or possess bounded relative error.

Improved algorithms for rare event simulation with heavy tails

The estimation of P(S-n > u) by simulation, where S, is the sum of independent. identically distributed random varibles Y-1,..., Y-n, is of importance in many applications. We propose two simulation estimators based upon the identity P(S-n > u) = nP(S, > u, M-n = Y-n), where M-n = max(Y-1,..., Y-n). One estimator uses importance sampling (for Y-n only), and the other uses conditional Monte Carlo conditioning upon Y1,..., Yn-1. Properties of the relative error of the estimators are derived and a numerical study given in terms of the M/G/1 queue in which n is replaced by an independent geometric random variable N. The conclusion is that the new estimators compare extremely favorably with previous ones. In particular, the conditional Monte Carlo estimator is the first heavy-tailed example of an estimator with bounded relative error. Further improvements are obtained in the random-N case, by incorporating control variates and stratification techniques into the new estimation procedures.

Analise do processo de rastreamento automatico de jogadores em esportes coletivos

Universidade Estadual de Campinas . Faculdade de Educação Física

Proposição de um método de análise de movimentos de jogadores de tênis de campo a partir de vídeos televisivos = : Proposition of a method for tennis players motion analysis on broadcast videos

Universidade Estadual de Campinas . Faculdade de Educação Física

Rastreamento automatico de trajetorias de jogadores de futebol por videogrametria : validação do metodo e analise dos resultados

Universidade Estadual de Campinas . Faculdade de Educação Física

Measuring Hydraulic Conductivity to Wilting Point Using Polymer Tensiometers in an Evaporation Experiment

The polymer tensiometer is a novel instrument to measure soil water pressure heads from saturation to permanent wilting conditions. We used tensiometers of this type in an experiment to determine the hydraulic properties of evaporating soil samples in the laboratory. Relative errors in the hydraulic conductivity function in the wet part were high due to the relatively low accuracy of the pressure transducers, resulting in a large uncertainty in the hydraulic gradient and therefore in the calculated hydraulic conductivity. In the dry part, the error related to this accuracy was on the same order of magnitude as the error related to balance accuracy. Therefore, the method can be assumed adequate for measuring soil hydraulic properties except under very wet conditions. In our experiments, relative error and bias increased significantly at pressure heads less negative than -1 m.

Capillary electrophoresis method for plasmatic determination of imatinib mesylate in chronic myeloid leukemia patients

Imatinib (IMAT) is a tyrosine kinase inhibitor that has been used for the treatment of chronic myeloid leukemia (CML). Despite the efficacy of IMAT therapy, some cases of treatment resistance have been described in CML. Developing a plasma method is important since there are several studies that provided a higher correlation between IMAT plasma concentration and response to treatment. Therefore, in this investigation we validated a method by CE as an alternative, new, simple and fast electrophoretic method for IMAT determination in human plasma. The analysis was performed using a fused silica capillary (50 mm id x 46.5 cm total length, 38.0 cm effective length); 50 mmol/L sodium phosphate buffer, pH 2.5, as BGE; hydrodynamic injection time of 20 s (50 mbar); voltage of 30 kV; capillary temperature of 35 degrees C and detection at 200 nm. Plasma samples pre-treatment involved liquid-liquid extraction with methyl-tert-butyl ether as the extracting solvent. The method was linear from 0.125 to 5.00 mg/mL. The LOQ was 0.125 mg/mL. Mean absolute recovery of IMAT was 67%. The method showed to be precise and accurate with RSD and relative error values lower than 15%. Furthermore, the application of the method was performed in the analysis of plasma samples from CML patients undergoing treatment with IMAT.

Enantioselective determination of chloroquine and its n-dealkylated metabolites in plasma using liquid-phase microextraction and LC-MS

A selective method using three-phase liquid-phase microextraction (LPME) in conjunction with LC-MS-MS was devised for the enantioselective determination of chloroquine and its n-dealkylated metabolites in plasma samples. After alkalinization of the samples, the analytes were extracted into n-octanol immobilized in the pores of a polypropylene hollow fiber membrane and back extracted into the acidic acceptor phase (0.1 M TFA) filled into the lumen of the hollow fiber. Following LPME, the analytes were resolved on a Chirobiotic V column using methanol/ACN/glacial aceti acid/diethylamine (90:10:0.5:0.5 by volume) as the mobile phase. The MS detection was carried out using multiple reaction monitoring with ESI in the positive ion mode. The optimized LPME method yielded extraction recoveries ranging from 28 to 66%. The method was linear over 5 - 500 ng/mL and precision (RSD) and accuracy (relative error) values were below 15% for all analytes. The developed method was applied to the determination of the analytes in rat plasma samples after oral administration of the racemic drug.

Enantioselective analysis of mirtazapine and its two major metabolites in human plasma by liquid chromatography-mass spectrometry after three-phase liquid-phase microextraction

A three-phase liquid-phase microextraction (LPME) method using porous polypropylene hollow fibre membrane with a sealed end was developed for the extraction of mirtazapine (MRT) and its two major metabolites, 8-hydroxymirtazapine (8-OHM) and demethylmirtazapine (DMR), from human plasma. The analytes were extracted from 1.0 mL of plasma, previously diluted and alkalinized with 3.0 mL 0.5 mol L-1 pH 8 phosphate buffer solution and supplemented with 15% sodium chloride (NaCl), using n-hexyl ether as organic solvent and 0.01 moL L-1 acetic acid solution as the acceptor phase. Haloperidol was used as internal standard. The chromatographic analyses were carried out on a chiral column, using acetonitrile-methanol-ethanol (98:1:1, v/v/v) plus 0.2% diethylamine as mobile phase, at a flow rate of 1.0 mL min(-1). Multi-reaction monitoring (MRM) detection was performed by mass spectrometry (MS-MS) using a triple-stage quadrupole and electrospray ionization interface operating in the positive ion mode. The mean recoveries were in 18.3-45.5% range with linear responses over the 1.25-125 ng mL(-1) concentration range for all enantiomers evaluated. The quantification limit (LOQ) was 1.25 ng mL(-1). Within-day and between-day assay precision and accuracy (2.5, 50 and 100 ng mL(-1)) showed relative standard deviation and the relative error lower than 11.9% for all enantiomers evaluated. Finally, the method was successfully used for the determination of mirtazapine and its metabolite enantiomers in plasma samples obtained after single drug administration of mirtazapine to a healthy volunteer. (c) 2007 Elsevier B.V. All rights reserved.

High-resolution bulk density images, using calibrated X-ray radiography of impregnated soil slices

Bulk density of undisturbed soil samples can be measured using computed tomography (CT) techniques with a spatial resolution of about 1 mm. However, this technique may not be readily accessible. On the other hand, x-ray radiographs have only been considered as qualitative images to describe morphological features. A calibration procedure was set up to generate two-dimensional, high-resolution bulk density images from x-ray radiographs made with a conventional x-ray diffraction apparatus. Test bricks were made to assess the accuracy of the method. Slices of impregnated soil samples were made using hardsetting seedbeds that had been gamma scanned at 5-mm depth increments in a previous study. The calibration procedure involved three stages: (i) calibration of the image grey levels in terms of glass thickness using a staircase made from glass cover slips, (ii) measurement of ratio between the soil and resin mass attenuation coefficients and the glass mass attenuation coefficient, using compacted bricks of known thickness and bulk density, and (iii) image correction accounting for the heterogeneity of the irradiation field. The procedure was simple, rapid, and the equipment was easily accessible. The accuracy of the bulk density determination was good (mean relative error 0.015), The bulk density images showed a good spatial resolution, so that many structural details could be observed. The depth functions were consistent with both the global shrinkage and the gamma probe data previously obtained. The suggested method would be easily applied to the new fuzzy set approach of soil structure, which requires generation of bulk density images. Also, it would be an invaluable tool for studies requiring high-resolution bulk density measurement, such as studies on soil surface crusts.

Desenvolvimento e análise de uma rede neural artificial para estimativa da erosividade da chuva para o Estado de São Paulo

O conhecimento do valor da erosividade da chuva (R) de determinada localidade é fundamental para a estimativa das perdas de solo feitas a partir da Equação Universal de Perdas de Solo, sendo, portanto, de grande importância no planejamento conservacionista. A fim de obter estimativas do valor de R para localidades onde este é desconhecido, desenvolveu-se uma rede neural artificial (RNA) e analisou-se a acurácia desta com o método de interpolação "Inverso de uma Potência da Distância" (ID). Comparando a RNA desenvolvida com o método de interpolação ID, verificou-se que a primeira apresentou menor erro relativo médio na estimativa de R e melhor índice de confiança, classificado como "Ótimo", podendo, portanto, ser utilizada no planejamento de uso, manejo e conservação do solo no Estado de São Paulo.

Modelagem e simulação de um secador intermitente de fluxos contracorrentes para frutos do cafeeiro

Este trabalho foi realizado com o objetivo de desenvolver um modelo computacional para simular a secagem de frutos café em um secador intermitente de fluxos contracorrente, empregando a linguagem de simulação EXTEND™ e o Modelo de Thompson (THOMPSON; PEART; FOSTER, 1968). Para validação do modelo desenvolvido foram utilizados dados experimentais obtidos por Silva (1991), em que foram empregados três níveis de temperatura do ar de secagem de 60, 80 e 100 °C. O modelo desenvolvido foi validado, sendo constatados desvios absolutos de 1,8% b.u e 1,1 kg e erros relativos de 11% e 1,6% na previsão dos parâmetros teor de água final e consumo de lenha, respectivamente. O modelo validado foi empregado na condução de experimentos tipo comparação de cenários. O primeiro experimento refere a alterações do ciclo operacional em que foram alterados os tempos de movimentação e de parada do fluxo da massa de grãos. E o segundo refere à alteração da configuração do secador quanto às alturas das câmaras de secagem e descanso. O ciclo operacional com os tempos de movimentação de um minuto e de parada de dezesseis minutos, para a temperatura do ar de secagem de 100 °C, proporcionou o melhor desempenho, sendo constatado tempo secagem de 12,3 h, consumo de lenha de 109,5 kg, consumo específico de energia de 7660 kJ.kg-1 de água evaporada, e capacidade de secagem de 87,86 kg.h-1. Quanto à configuração do secador, o melhor desempenho ocorreu para altura da câmara de secagem de 2,3 m usando a temperatura do ar de secagem de 100 °C, em que foram simulados tempo de secagem de 12,0 h, consumo de lenha de 106,5 kg, consumo específico de energia, de 7433 kJ.kg-1 de água evaporada, e capacidade de secagem de 90 kg.h-1. Desse modo, na condução da secagem de frutos de café em um secador intermitente de fluxos contracorrentes é recomendado o ciclo operacional com tempos de movimentação de um minuto e o de parada de dezesseis minutos, e não empregar a câmara de descanso. Essa conclusão está fundamentada em índices de desempenho do secador. Ressalta-se que não foram simulados os impactos nos parâmetros de qualidade.