Kalman filtering of a space-time Markov random field

In this paper, finite-dimensional recursive filters for space-time Markov random fields are derived. These filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of the parameters of the model.     

LocalH-theorem for a kinetic variational theory

A localH-theorem is derived for a recently proposed extension of Enskog kinetic theory to a dense model fluid composed of particles with interactions extending beyond a hard core.On leave from: Katedra Fizyki, Uniwersytetu Szczecinskiego, 70-451 Szczecin, Poland.     

Approximation bounds for quadratic maximization and max-cut problems with semidefinite programming relaxation

In this paper,we consider a class of quadratic maximization problems.For a subclass of the problems,we show that the SDP relaxation approach yields an approximation solution with the ratio is dependent on the data of the problem with α being a uniform lower bound.In light of this new bound,we show that the actual worst-case performance ratio of the SDP relaxation approach (with the triangle inequalities added) is at least α δd if every weight is strictly positive,where δd ＞ 0 is a constant depending on the problem dimension and data.     

Mathematical analysis of investment systems

Investment systems are studied using a framework that emphasize their profiles (the cumulative probability distribution on all the possible percentage gains of trades) and their log return functions (the expected average return per trade in logarithmic scale as a function of the investment size in terms of the percentage of the available capital). The efficiency index for an investment system, defined as the maximum of the log return function, is proposed as a measure to compare investment systems for their intrinsic merit. This efficiency index can be viewed as a generalization of Shannon's information rate for a communication channel. Applications are illustrated.     

Convex programs with an additional reverse convex constraint

A method is presented for solving a class of global optimization problems of the form (P): minimizef(x), subject toxD,g(x)0, whereD is a closed convex subset ofR ⁿ andf,g are convex finite functionsR ⁿ . Under suitable stability hypotheses, it is shown that a feasible point is optimal if and only if 0=max{g(x):xD,f(x)f( )}. On the basis of this optimality criterion, the problem is reduced to a sequence of subproblemsQ _k ,k=1, 2, ..., each of which consists in maximizing the convex functiong(x) over some polyhedronS _k . The method is similar to the outer approximation method for maximizing a convex function over a compact convex set.     

On the calculation of expectation values and transition matrix elements by coupled cluster method

Summary Finite order expressions are derived for expectation values and transition matrix elements within the framework of the coupled cluster method.     

BSDE approach to utility maximization with square-root factor processes

We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This financial market framework includes the classical geometric Brownian motion, CEV model, and Heston’s model as special cases. Adopting the BSDE approach, we obtain closed-form solutions for the optimal portfolio strategies and value functions for the logarithmic, power, and exponential utility functions.     

Model-Based Optimization of a Fed-Batch Bioreactor for mAb Production Using a Hybridoma Cell Culture

Production of monoclonal antibodies (mAbs) is a well-known method used to synthesize a large number of identical antibodies, which are molecules of huge importance in medicine. Due to such reasons, intense efforts have been invested to maximize the mAbs production in bioreactors with hybridoma cell cultures. However, the optimal control of such sensitive bioreactors is an engineering problem difficult to solve due to the large number of state-variables with highly nonlinear dynamics, which often translates into a non-convex optimization problem that involves a significant number of decision (control) variables. Based on an adequate kinetic model adopted from the literature, this paper focuses on developing an in-silico (model-based, offline) numerical analysis of a fed-batch bioreactor (FBR) with an immobilized hybridoma culture to determine its optimal feeding policy by considering a small number of control variables, thus ensuring maximization of mAbs production. The obtained time stepwise optimal feeding policies of FBR were proven to obtain better performances than those of simple batch operation (BR) for all the verified alternatives in terms of raw material consumption and mAbs productivity. Several elements of novelty (i–iv) are pointed out in the “conclusions” section (e.g., considering the continuously added biomass as a control variable during FBR).     

Pseudo‐R 2’s in the ordinal probit model*

This paper presents an analysis of the combining mechanism for status information postulated by the mathematical formulation of the theory of status characteristics and expectation states. Six lemmas on the basic features of the combining mechanism are derived from the formulation and discussed. Further, four theorems that illustrate the implications of the particular combining mechanism for power and prestige orders are presented and proven.