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.

Heavy tails, importance sampling and cross-entropy

We consider the problem of estimating P(Yi + (...) + Y-n > x) by importance sampling when the Yi are i.i.d. and heavy-tailed. The idea is to exploit the cross-entropy method as a toot for choosing good parameters in the importance sampling distribution; in doing so, we use the asymptotic description that given P(Y-1 + (...) + Y-n > x), n - 1 of the Yi have distribution F and one the conditional distribution of Y given Y > x. We show in some specific parametric examples (Pareto and Weibull) how this leads to precise answers which, as demonstrated numerically, are close to being variance minimal within the parametric class under consideration. Related problems for M/G/l and GI/G/l queues are also discussed.

Raman spectroscopy of gallium based hydrotalcites of formula Mg6Ga2(CO3)(OH)16•4H2O

Insight into the unique structure of hydrotalcites has been obtained using Raman spectroscopy. Gallium containing hydrotalcites of formula Mg4Ga2(CO3)(OH)12•4H2O (2:1 Ga-HT) to Mg8Ga2(CO3)(OH)20•4H2O (4:1 Ga-HT) have been successfully synthesised and characterized by X-ray diffraction and Raman spectroscopy. The d(003) spacing varied from 7.83 Å for the 2:1 hydrotalcite to 8.15 Å for the 3:1 gallium containing hydrotalcite. Raman spectroscopy complemented with selected infrared data has been used to characterise the synthesised gallium containing hydrotalcites of formula Mg6Ga2(CO3)(OH)16•4H2O. Raman bands observed at around 1046, 1048 and 1058 cm-1 were attributed to the symmetric stretching modes of the (CO32-) units. Multiple ν3 CO32- antisymmetric stretching modes are found at around 1346, 1378, 1446, 1464 and 1494 cm-1. The splitting of this mode indicates the carbonate anion is in a perturbed state. Raman bands observed at 710 and 717 cm-1 assigned to the ν4 (CO32-) modes support the concept of multiple carbonate species in the interlayer.

Synthesis and thermal analysis of Indium based hydrotalcites of formula Mg6In2(CO3)(OH)16•4H2O

Insight into the unique structure of layered double hydroxides has been obtained using a combination of X-ray diffraction and thermal analysis. Indium containing hydrotalcites of formula Mg4In2(CO3)(OH)12•4H2O (2:1 In-LDH) through to Mg8In2(CO3)(OH)18•4H2O (4:1 In-LDH) with variation in the Mg:In ratio have been successfully synthesised. The d(003) spacing varied from 7.83 Å for the 2:1 LDH to 8.15 Å for the 3:1 indium containing layered double hydroxide. Distinct mass loss steps attributed to dehydration, dehydroxylation and decarbonation are observed for the indium containing hydrotalcite. Dehydration occurs over the temperature range ambient to 205 °C. Dehydroxylation takes place in a series of steps over the 238 to 277 °C temperature range. Decarbonation occurs between 763 and 795 °C. The dehydroxylation and decarbonation steps depend upon the Mg:In ratio. The formation of indium containing hydrotalcites and their thermal activation provides a method for the synthesis of indium oxide based catalysts.

Infrared and infrared emission spectroscopy of nesquehonite Mg(OH)(HCO3)•2H2O : implications for the formula of nesquehonite

The mineral nesquehonite Mg(OH)(HCO3)•2H2O has been analysed by a combination of infrared (IR) and infrared emission spectroscopy (IES). Both techniques show OH vibrations, both stretching and deformation modes. IES proves the OH units are stable up to 450°C. The strong IR band at 934 cm-1 is evidence for MgOH deformation modes supporting the concept of HCO3- units in the molecular structure. Infrared bands at 1027, 1052 and 1098 cm-1 are attributed to the symmetric stretching modes of HCO3- and CO32- units. Infrared bands at 1419, 1439, 1511, and 1528 cm-1 are assigned to the antisymmetric stretching modes of CO32- and HCO3- units. IES supported by thermoanalytical results defines the thermal stability of nesquehonite IES defines the changes in the molecular structure of nesquehonite with temperature. The results of IR and IES supports the concept that the formula of nesquehonite is better defined as Mg(OH)(HCO3)•2H2O.

Synthesis and Raman spectroscopic characterisation of hydrotalcites based on the formula Ca6Al2(CO3)(OH)16· 4H2O

We have successfully synthesized hydrotalcites (HTs) contg. calcium, which are naturally occurring minerals. Insight into the unique structure of HTs has been obtained using a combination of X-ray diffraction (XRD) as well as IR and Raman spectroscopies. Calcium-contg. hydrotalcites (Ca-HTs) of the formula Ca4Al2(CO3)(OH)12·4H2O (2:1 Ca-HT) to Ca8Al2(CO3)(OH)20· 4H2O (4:1 Ca-HT) have been successfully synthesized and characterised by XRD and Raman spectroscopy. XRD has shown that 3:1 calcium HTs have the largest interlayer distance. Raman spectroscopy complemented with selected IR data has been used to characterize the synthesized Ca-HTs. The Raman bands obsd. at around 1086 and 1077 cm-1 were attributed to the ν1 sym. stretching modes of the (CO32-) units of calcite and carbonate intercalated into the HT interlayer. The corresponding ν3 CO32- antisym. stretching modes are found at around 1410 and 1475 cm-1.

High strong order methods for non-commutative stochastic ordinary differential equation systems and the Magnus formula

In recent years considerable attention has been paid to the numerical solution of stochastic ordinary differential equations (SODEs), as SODEs are often more appropriate than their deterministic counterparts in many modelling situations. However, unlike the deterministic case numerical methods for SODEs are considerably less sophisticated due to the difficulty in representing the (possibly large number of) random variable approximations to the stochastic integrals. Although Burrage and Burrage [High strong order explicit Runge-Kutta methods for stochastic ordinary differential equations, Applied Numerical Mathematics 22 (1996) 81-101] were able to construct strong local order 1.5 stochastic Runge-Kutta methods for certain cases, it is known that all extant stochastic Runge-Kutta methods suffer an order reduction down to strong order 0.5 if there is non-commutativity between the functions associated with the multiple Wiener processes. This order reduction down to that of the Euler-Maruyama method imposes severe difficulties in obtaining meaningful solutions in a reasonable time frame and this paper attempts to circumvent these difficulties by some new techniques. An additional difficulty in solving SODEs arises even in the Linear case since it is not possible to write the solution analytically in terms of matrix exponentials unless there is a commutativity property between the functions associated with the multiple Wiener processes. Thus in this present paper first the work of Magnus [On the exponential solution of differential equations for a linear operator, Communications on Pure and Applied Mathematics 7 (1954) 649-673] (applied to deterministic non-commutative Linear problems) will be applied to non-commutative linear SODEs and methods of strong order 1.5 for arbitrary, linear, non-commutative SODE systems will be constructed - hence giving an accurate approximation to the general linear problem. Secondly, for general nonlinear non-commutative systems with an arbitrary number (d) of Wiener processes it is shown that strong local order I Runge-Kutta methods with d + 1 stages can be constructed by evaluated a set of Lie brackets as well as the standard function evaluations. A method is then constructed which can be efficiently implemented in a parallel environment for this arbitrary number of Wiener processes. Finally some numerical results are presented which illustrate the efficacy of these approaches. (C) 1999 Elsevier Science B.V. All rights reserved.

Pharmacokinetic studies of a Chinese triple herbal drug formula

Yin Chen Hao Tang preparation (YCHTP) is a classic traditional Chinese medicine formula, which is commonly used for clinical treatment of hepatological diseases. In this study, a rapid and validated high-performance liquid chromatography (HPLC) method was developed to simultaneously identify 6,7-dimethylesculetin and geniposide in rat plasma. This assay was performed on a Dikma Diamonsil RP(18) column (200 mmx4.6 mm, 5 mum) with acetonitrile-methanol-water (0.1% formic acid) as the mobile phase, showing acceptable linearity, intra- and inter-day precision and accuracy (R.S.D.=5%), and absolute recovery for two analytes (74%); the limits of quantitation were 0.4 and 1.12 mug/ml, and the limits of detection were 0.06 and 0.09 mug/ml for two analytes. The developed method was successfully applied to study the effect of formula compatibility on the pharmacokinetics of 6,7-dimethylesculetin and geniposide in YCHTP when orally administrating an effective human daily dose of YCHTP to rats. We surmise that formula compatibility can significantly influence the pharmacokinetics of YCHTP, and we have elucidated and validated the compatible administration of YCHTP.

Pharmacokinetics-based elucidation on disparity in clinical effectiveness between varieties of Zhi Zhu Wan, a traditional Chinese medical formula

AIM: Zhi Zhu Wan (ZZW) is a classical Chinese medical formulation used for the treatment of functional dyspepsia that attributed to Spleen-deficiency Syndrome. ZZW contains Atractylodes Rhizome and Fructus Citrus Immaturus, the later originates from both Citrus aurantium L. (BZZW) and Citrus sinensis Osbeck (RZZW). The present study is designed to elucidate disparities in the clinical efficacy of two ZZW varieties based on the pharmacokinetics of naringenin and hesperetin. MEHTOD: After oral administration of ZZWs, blood sample was collected from healthy volunteers at designed time points. Naringenin and hesperetin were detected in plasma by RP-HPLC, pharmacokinetic parameters were processed using mode-independent methods with WINNONLIN. RESULTS: After oral administration of BZZW, both naringenin and hesperetin were detected in plasma, and demonstrated similar pharmacokinetic parameters. Ka was 0.384+/-0.165 and 0.401+/-0.159, T(1/2(ke))(h) was 5.491+/-3.926 and 5.824+/-3.067, the AUC (mg/Lh) was 34.886+/-22.199 and 39.407+/-19.535 for naringenin and hesperetin, respectively. However, in the case of RZZW, only hesperetin was found in plasma, but the pharmacokinetic properties for hesperetin in RZZW was different from that in BZZW. T(max) for hesperetin in RZZW is about 8.515h, and its C(max) is much larger than that of BZZW. Moreover, it was eliminated slowly as it possessed a much larger AUC value. CONCLUSION: The distinct therapeutic orientations of the Chinese medical formula ZZWs with different Fructus Citrus Immaturus could be elucidated based on the pharmacokinetic parameters of constituents after oral administration.

Improved ultra-performance liquid chromatography with electrospray ionization quadrupole-time-of-flight high-definition mass spectrometry method for the rapid analysis of the chemical constituents of a typical medical formula: Liuwei Dihuang Wan

Liuwei Dihuang Wan (LWD), a classic Chinese medicinal formulae, has been used to improve or restore declined functions related to aging and geriatric diseases, such as impaired mobility, vision, hearing, cognition and memory. It has attracted increasingly much attention as one of the most popular and valuable herbal medicines. However, the systematic analysis of the chemical constituents of LDW is difficult and thus has not been well established. In this paper, a rapid, sensitive and reliable ultra-performance liquid chromatography with electrospray ionization quadrupole time-of-flight high-definition mass spectrometry (UPLC-ESI-Q-TOF-MS) method with automated MetaboLynx analysis in positive and negative ion mode was established to characterize the chemical constituents of LDW. The analysis was performed on a Waters UPLCTM HSS T3 using a gradient elution system. MS/MS fragmentation behavior was proposed for aiding the structural identification of the components. Under the optimized conditions, a total of 50 peaks were tentatively characterized by comparing the retention time and MS data. It is concluded that a rapid and robust platform based on UPLC-ESI-Q-TOF-MS has been successfully developed for globally identifying multiple-constituents of traditional Chinese medicine prescriptions. This is the first report on systematic analysis of the chemical constituents of LDW. This article is protected by copyright. All rights reserved.

The sphynx's new riddle : how to relate the canonical formula of myth to quantum interaction

We introduce Claude Lévi Strauss' canonical formula (CF), an attempt to rigorously formalise the general narrative structure of myth. This formula utilises the Klein group as its basis, but a recent work draws attention to its natural quaternion form, which opens up the possibility that it may require a quantum inspired interpretation. We present the CF in a form that can be understood by a non-anthropological audience, using the formalisation of a key myth (that of Adonis) to draw attention to its mathematical structure. The future potential formalisation of mythological structure within a quantum inspired framework is proposed and discussed, with a probabilistic interpretation further generalising the formula

Comparison of stool microbiota compositions, stool alpha1-antitrypsin and calprotectin concentrations, and diarrhoeal morbidity of Indonesian infants fed breast milk or probiotic/prebiotic-supplemented formula

Aim The composition of faecal microbiota of babies is known to be influenced by diet. Faecal calprotectin and α1-antitrypsin concentrations may be associated with mucosal permeability and inflammation. We aimed to assess whether there was any difference after consumption of a probiotic/prebiotic formula on faecal microbiota composition, calprotectin and α1-antitrypsin levels, and diarrhoea in comparison with breast milk-fed Indonesian infants. Methods One hundred sixty infants, 2 to 6 weeks old, were recruited to the study. They were either breastfed or formula fed (80 per group). Faecal samples were collected at recruitment and 3 months later. Bacterial groups characteristic of the human faecal microbiota were quantified in faeces by quantitative polymerase chain reaction. Calprotectin and α1-antitrypsin concentrations were measured using commercial kits. Details of diarrhoeal morbidity were documented and rated for severity. Results The compositions of the faecal microbiota of formula-fed compared with breast milk-fed children were similar except that the probiotic strain Bifidobacterium animalis subsp. lactisâ€...DR10 was more abundant after 3 months consumption of the formula. Alpha1-antitrypsin levels were higher in breastfed compared with formula-fed infants. The occurrence of diarrhoea did not differ between the groups of babies. Conclusion Feeding Indonesian babies with a probiotic/prebiotic formula did not produce marked differences in the composition of the faecal microbiota in comparison with breast milk. Detrimental effects of formula feeding on biomarkers of mucosal health were not observed.