The past decades have seen the state of the art in aerospace system design progress from a scope of simple optimization to one including robustness, with the objective of permitting a single system to perform well even in off-nominal future environments. Integrating flexibility, or the capability to easily modify a system after it has been fielded in response to changing environments, into system design represents a further step forward. One challenge in accomplishing this rests in that the decision-maker must consider not only the present system design decision, but also sequential future design and operation decisions. Despite extensive interest in the topic, the state of the art in designing flexibility into aerospace systems, and particularly space systems, tends to be limited to analyses that are qualitative, deterministic, single-objective, and/or limited to consider a single future time period. To address these gaps, this thesis develops a stochastic, multi-objective, and multi-period framework for integrating flexibility into space system design decisions. Central to the framework are five steps. First, system configuration options are identified and costs of switching from one configuration to another are compiled into a cost transition matrix. Second, probabilities that demand on the system will transition from one mission to another are compiled into a mission demand Markov chain. Third, one performance matrix for each design objective is populated to describe how well the identified system configurations perform in each of the identified mission demand environments. The fourth step employs multi-period decision analysis techniques, including Markov decision processes (MDPs) from the field of operations research, to find efficient paths and policies a decision-maker may follow. The final step examines the implications of these paths and policies for the primary goal of informing initial system selection. Overall, this thesis unifies state-centric concepts of flexibility from economics and engineering literature with sequential decision-making techniques from operations research. The end objective of this thesis' framework and its supporting analytic and computational tools is to enable selection of the next-generation space systems today, tailored to decision-maker budget and performance preferences, that will be best able to adapt and perform in a future of changing environments and requirements. Following extensive theoretical development, the framework and its steps are applied to space system planning problems of (1) DARPA-motivated multiple- or distributed-payload satellite selection and (2) NASA human space exploration architecture selection.

Το θέμα της παρούσας μεταπτυχιακής διπλωματικής εργασίας είναι η εφαρμογή της θεωρίας των Σχεδόν Πλήρως Αναλυόμενων Στοχαστικών Συστημάτων (Nearly Completely Decomposable) σε μία σειρά προβλημάτων στα οποία παραδοσιακές προσεγγίσεις αποδεικνύονται ερμηνευτικά στείρες και υπολογιστικά κοστοβόρες. Στο πρώτο μέρος της διπλωματικής αφού κάνουμε μία διαισθητικού τύπου παρουσίαση της ιδέας της decomposability και συνοψίσουμε τα απαραίτητα στοιχεία του θεωρητικού υποβάθρου που χρησιμοποιούμε στα πλαίσια της εργασίας, παραθέτουμε τονπυρήνα της θεωρίας της decomposability, όπως αυτή θεμελιώνεται μαθηματικά από τον Courtois στην κλασική του μονογραφία. Τέλος, παραθέτουμε και μία υλοποίηση του KMS αλγορίθμου Συσσωμάτωσης/Αποσυσσωμάτωσης, για τη λύση NCD συστημάτων. Το δεύτερο μέρος του συγγράμματος, είναι αφιερωμένο στην εφαρμογή της NCD σε δύο ενδιαφέροντα προβλήματα εκτίμησης απόδοσης υπολογιστικών συστημάτων. Συγκεκριμένα, μελετούμε μία ιδιότυπη ουρά που εξυπηρετεί πελάτες διαφορετικών κλάσεων, με τις ανά κλάση αφίξεις να χαρακτηρίζονται από εναλλαγές μεταξύ περιόδων ηρεμίας και κινητικότητας και την εξυπηρέτηση να γίνεται σε δέσμες πελατών της ίδιας κλάσης. Το κίνητρο για τη μελέτη αυτής της ουράς εντοπίζεται στη bursty φύση της μεταγωγής πακέτων στα σύγχρονα δίκτυα αλλά και στους reassembly buffers των multicluster πολυεπεξεργαστικών συστημάτων. Η ανάλυση της ουράς με παραδοσιακές τεχνικές οδηγεί αναπόφευκτα σε μαρκοβιανή αλυσίδα πολύ μεγάλου χώρου κατάστασης. Εμείς, ξεκινάμε από το πλήρες στοχαστικό μητρώο και αφού διαμερίσουμε κατάλληλα το χώρο καταστάσεων, αποδεικνύουμε ικανές συνθήκες υπό τις οποίες το αρχικό σύστημα είναι δυνατόν να αναλυθεί σε πολλαπλά επίπεδα υποσυστημάτων, η αυτόνομη ανάλυση των οποίων δίνει μία πολύ καλή προσέγγιση της στάσιμης κατανομής του αρχικού συστήματος. Επίσης, παραθέτουμε και αποδεικνύουμε μία ικανή συνθήκη για μηδενικό σφάλμα προσέγγισης και την ερμηνεύουμε σε όρους προδιαγραφών του προβλήματος. Τέλος, θεωρούμε μία ειδική συμμετρική εκδοχή για την οποία καταφέρνουμε να δώσουμε μία κλειστή έκφραση της κατανομής πληρότητας της ουράς συναρτήσει της λύσης των υποσυστημάτων. Για να δείξουμε την απλοποίηση της ανάλυσης που επιφέρει η χρήση του NCD μοντέλου θεωρούμε ένα σενάριο για το οποίο προχωρούμε την ανάλυση σε βάθος και καταφέρνουμε να εξάγουμε χρήσιμες μετρικές στις οποίες, σε αντίθετη περίπτωση, θα ήταν ιδιαίτερα επίπονο να καταλήξει κανείς. Συγκεκριμένα, υπολογίζουμε την πιθανότητα blocking και δείχνουμε πως αυτή μειώνεται σχεδόν εκθετικά με το μέγεθος της ουράς. Βλέπουμε τελικά πως η εκμετάλλευση της NCD ιδιότητας από τη μία διευκολύνει την ανάλυση και από την άλλη παρέχει ανεκτίμητη διαίσθηση σχετικά με τη μεταβατική συμπεριφορά του συστήματος προς την κατάσταση στατιστικής ισορροπίας. Το δεύτερο μέρος της διπλωματικής κλείνει με τη μελέτη κριτηρίων υπό τα οποία, πολυεπεξεργαστικά συστήματα που χωρίζονται σε ομάδες ισχυρά αλληλεπιδρώντων επεξεργαστών, μπορούν να αναλυθούν με χρήση της θεωρίας NCD. Είναι γνωστό πως στα δίκτυα ουρών αναμονής συγκρίσιμων ρυθμών εξυπηρέτησης, η NCD του μητρώου πιθανοτήτων δρομολόγησης συνεπάγεται την NCD του δικτύου. Εμείς, θεωρούμε μία ειδική περίπτωση τέτοιων συστημάτων για την οποία δείχνουμε ένα, εύκολο να ελεγχθεί, κριτήριο για NCD. Τέλος, εξετάζουμε βαθύτερα το σφάλμα της προσέγγισης, και χρησιμοποιώντας ένα πρόσφατο αποτέλεσμα της θεωρίας των σχεδόν ασύζευκτων μαρκοβιανών αλυσίδων δίνουμε έναν επιπλέον ποιοτικό περιορισμό που πρέπει να ικανοποιούν τα εν λόγω συστήματα για να πάρει κανείς ικανοποιητική προσέγγιση από την ανάλυσή τους σε ανεξάρτητα block. Στο τρίτο μέρος της παρούσας εργασίας, εξετάζουμε την εφαρμογή της NCD στο πρόβλημα της κατάταξης ιστοσελίδων. Η πρόσφατη έρευνα έχει σχολιάσει την ειδική δομή του στοχαστικού μητρώου που προκύπτει από το γράφο του διαδικτύου· συγκεκριμένα, οι τοπολογικές ιδιότητες της αυτοoργάνωσης του Ιστού φαίνεται να παράγουν ένα στοχαστικό μητρώο με NCD δομή. Εμείς, αφού παραθέσουμε μία σύνοψη των μαθηματικών πίσω από τον αλγόριθμο PageRank, σχολιάζουμε και δικαιολογούμε διαισθητικά την NCD δομή του Ιστού αλλά και τη φύση των υποσυστημάτων. Τέλος, προτείνουμε έναν νέο αλγόριθμο κατάταξης με το όνομα NCDawareRank, o οποίος εκμεταλλεύεται την NCD ιδιότητα για να πετύχει ποιοτικότερο και ταχύτερο ranking. Μάλιστα, δίνουμε δύο εκδοχές του αλγορίθμου, μία σειριακή και μία παράλληλη, η οποία εκμεταλλεύεται την NCD του Ιστού και υπολογιστικά. Τα οφέλη που υπόσχεται ο NCDawareRank τα επιβεβαιώνουμε και πειραματικά εκτελώντας μία σειρά από πειράματα τόσο σε τεχνητά όσο και σε πραγματικά δεδομένα, αντιπαραβάλλοντας τα αποτελέσματα μας με αυτά του αλγορίθμου PageRank. O NCDawareRank φαίνεται μάλιστα να δίνει λύση σε ένα γνωστό πρόβλημα του PageRank: αυτό της μεροληψίας εναντίον νεοεισερχομένων σελίδων. Άλλο ένα, τέλος, παράπλευρο όφελος του αλγορίθμου NCDawareRank είναι αυτό της Levelwise κατάταξης, η οποία εκτός της σημασίας που έχει αφεαυτής, μπορεί να υποδείξει εξυπνότερο crawling ή ακόμα και αποδοτικότερα σχήματα ευρετηριοποίησης του Ιστού. Στο τέταρτο και τελευταίο μέρος της διπλωματικής εφαρμόζουμε την NCD στην εύρεση των στοχαστικά ευσταθών καταστάσεων μίας κατηγορίας εξελικτικών παιγνίων στα οποία εμφανίζονται πολυεπίπεδες στρατηγικές δυναμικές. Αφού παραθέσουμε κάποιες πρόσφατες παρατηρήσεις από τη βιβλιογραφία της οικονομετρίας σχετικά με την αξιοποίηση της NCD στην προσεγγιστική ανάλυσή τους, αποδεικνύουμε συνθήκες υπό τις οποίες είναι δυνατόν να πετύχει κανείς ακριβή ανάλυση. / The purpose of this master’s thesis is the application of the theory of Nearly Completelely Decomposable stochastic systems to a number of interesting problems for which tra- ditional techniques turn out to be both intuitively unappealing and computationally in- tractable. In the first part of this work, after introducing, the concept of decomposability in an intuitive way and summarizing the essential elements of the theoretical background that is necessary to follow the rest of the text, we present the fundamental mathematical principles of NCD as established by Courtois in his classic monograph. Finally, we give an implementation of the KMS iterative aggregation/disaggregation algorithm which is commonly used for the solution of NCD systems. The second part of the dissertation is devoted to the application of NCD to two inter- esting problems of Computer Systems Performance Evaluation. Specifically, we study an uncommon discrete time queue that serves customers from different classes, with the ar- rivals of each class characterized by alternating busy and idle periods. The service is done in batches of customers of the same class. The motivation behind the study of this queue, lies in the bursty nature of packet switching, as well as in the modern reassembly buffers of multicluster multiprocessor systems. The traditional analysis techniques of this queue inevitably lead to Markov chains with very large state space. We begin with the complete stochastic matrix and after careful partitioning of the state space, we give sufficient condi- tions under which the original system can be analysed through multi level decomposition into subsystems, the autonomous analysis of which results in a very good approximation to the stationary distribution of the original system. Furthermore, we present and prove a sufficient condition for an error-free approximation and we give an interpretation of this condition in terms of the specifications of the problem. Finally, we consider a special sym- metric version of the problem, for which we manage to derive a closed-form expression for the queue’s occupancy distribution as a function of the steady state probabilities of the subsystems. To demonstrate the simplification of the analysis brought by the NCD model, we con- sider a scenario in which we proceed to an in depth analysis and we manage to extract useful metrics the derivation of which, would be considerably harder without exploiting 13 Abstract 14 NCD. Specifically, we calculate the blocking probability and we show that it decreases almost exponentially with the size of the queue. From our analysis, it is clear that the exploitation of the NCD model increases significantly our ability to understand the dy- namics of our system and to interpret aspects of its transient behaviour towards statistical equilibrium. The second part of this work ends with the study of criteria under which multipro- cessing systems, that can be divided into groups of strongly interacting processors, can be analysed using the theory of NCD. It is known that in queueing networks with servers of comparable service rates, the NCD of the routing probability matrix implies the NCD of the network. We consider a special case of such systems and we derive an easy to check criterion for NCD. Finally, we look deeper into the error analysis of this approach, and using a recent result from the theory of nearly uncoupled Markov chains, we give an addi- tional qualitative constrain to be met by these systems in order to get a good approximation of their analysis into independent blocks. In the third part of this paper, we examine the application of NCD to the problem of ranking websites. Recent research has commented on the special structure of the stochastic matrix which corresponds to the web-graph. In particular, the topological properties of the Web seems to produce a NCD stochastic matrix. Here, after presenting briefly the mathe- matical basis of PageRank, we give a linear algebraic as well as an intuitive justification of the NCD Web structure and we discuss the nature of the subsystems. Finally, we propose a new ranking algorithm named NCDawareRank, which exploits NCD in order to achieve a fairer and faster ranking. Indeed, we give two versions of the algorithm, one serial and one parallel, in which we take advantage of the computational benefits of NCD as well. The advantages of NCDawareRank are then confirmed experimentally through a series of tests on both, artificial and real data. NCDawareRank seems to solve a known problem of PageRank: the bias against new websites. Finally, another side benefit of our algorithm is that it makes it easy to extract a level-wise ranking, which besides its importance in itself, may indicate smarter crawling or even more sophisticated and efficient indexing schemes of the Web. Finally, in the fourth part of this work we apply NCD to the problem of finding the stochastically stable states of a class of evolutionary games which involve multilevel strategic dynamics. After presenting some interesting recent results coming from the lit- erature of econometrics, we give conditions under which it is possible to get the exact stochastically stable states through the use of NCD.

L'avenir de la communication est perçu comme étant quasiment exclusivement constitué de nœuds mobiles évoluant dans un réseau mobile. Dans ce contexte, différentes approches contribuent continuellement à l'amélioration directe ou indirecte des délais d'acheminement des informations échangées entre les utilisateurs, dont :- l'analyse des traces;- l'évaluation des performances ;- les services de localisation;- le routage. Nous décrivons chacun de ses thèmes et proposons des solutions faisant évoluer l'état de l'art. Celles-ci prennent appui sur des méthodes et outils tels que :- les Réseaux de Petri, pour l'analyse des traces ;- les modèles de mobilité, pour l'évaluation des performances;- l'introduction du social dans les services de localisation;- la mise en place d'une nouvelle métrique pour le routage. Nous montrons comment ces solutions concourent de façon complémentaire les unes avec les autres, à améliorer l'expérience de l'utilisateur. / Future of communication is perceived as being almost exclusively composed of mobile nodes operating in a mobile network. In this context, different approaches contribute to continually improve directly or indirectly, delivery times of information exchanged between users, including:- Trace analysis,- Performance evaluation,- Location services,- Routing.We describe each of these topics and propose solutions by changing the state of the art.These are supported by tools and methods such as:- Petri Nets for Trace analysis,- Mobility Models for Performance evaluation,- Social addings in Location services,- The establishment of metrics for Routing.We show how these solutions work together in a complementary manner with each other, to improve the user experience.

La thèse étudie plusieurs problématiques centrales et actuelles de la finance moderne : la rationalité limitée des agents et leurs biais comportementaux vis-à-vis des valeurs nominales,le problème de la juste évaluation du prix des actions, la refonte du paysage de l'industrie post-négociation en Europe suite à l'introduction du projet de l'Euro système Target-2 Securities, ainsi que les modèles de défaut et les méthodes d’estimation des cycles de défaut pour un secteur donné. Les techniques employées sont variées: enquêtes sur données individuelles, économétrie, théorie des jeux, théorie des graphes, simulations de Monte-Carlo,chaînes de Markov cachées. Concernant l’illusion monétaire, les résultats confirment la robustesse des résultats d’études précédentes tout en dévoilant de nouvelles perspectives de recherche, par exemple tenter d’expliquer la disparité des réponses selon les caractéristiques individuelles des répondants,en particulier leur formation universitaire. L’étude du modèle de la Fed montre que la relation de long terme entre taux nominal des obligations d’Etat et rendement des actions n’est ni robuste, ni utile à la prédiction sur des horizons temporels réduits. L’étude sur Target 2 Securities a été confirmée par les faits. Enfin, le modèle d’estimation des défauts à partir de chaînes de Markov cachées fait preuve de bonnes performances dans un contexte européen, malgré la relative rareté des données pour sa calibration. / The thesis studies various themes that are central to modern finance : economic agents rationality and behavioural biases with respect to nominal values, the problem of asset fundamental valuation, the changing landscape of the European post-trade industry catalysed by the Eurosystem project Target 2 Securities, and models of defaults and methods to estimate defaults cycles for a given sector. Techniques employed vary: studies on individual data,econometrics, game theory, graph theory, Monte-Carlo simulations and hidden Markov chains. Concerning monetary illusion, results confirm those of previous study while emphasizing new areas for investigation concerning the interplay of individual characteristics, such as university education, and money illusion. The study of the Fed model shows that the long term relationship assumed between nominal government bond yield and dividend yield is neither robust, nor useful for reduced time horizons. The default model based on hidden Markov chains estimation gives satisfactory results in a European context, and this besides the relative scarcity of data used for its calibration.

Made available in DSpace on 2015-03-03T15:32:44Z (GMT). No. of bitstreams: 1 AntonioMBN_DISSERT.pdf: 717546 bytes, checksum: 381030bb759313d7ef41203fde24db9f (MD5) Previous issue date: 2014-02-14 / The central objective of a study Non-Homogeneous Markov Chains is the concept of weak and strong ergodicity. A chain is weak ergodic if the dependence on the initial distribution vanishes with time, and it is strong ergodic if it is weak ergodic and converges in distribution. Most theoretical results on strong ergodicity assume some knowledge of the limit behavior of the stationary distributions. In this work, we collect some general results on weak and strong ergodicity for chains with space enumerable states, and also study the asymptotic behavior of the stationary distributions of a particular type of Markov Chains with finite state space, called Markov Chains with Rare Transitions / O objetivo central de estudo em Cadeias de Markov N?o-Homog?neas e o conceito de ergodicidade fraca e forte. Uma cadeia ? erg?dica fraca se a depend?ncia da distribui??o inicial desaparece com o tempo, e ? erg?dica forte se ? erg?dica fraca e converge em distribui??o. A maioria dos resultados te?ricos sobre a ergodicidade forte sup?e algum conhecimento do comportamento limite das distribui??es estacion?rias. Neste trabalho, reunimos alguns resultados gerais sobre ergodicidade fraca e forte para cadeias com espa?oo de estados enumer?vel, e tamb?m estudamos o comportamento assint?tico das distribui??es estacion?rias de um tipo particular de Cadeias de Markov com espa?o de estados nito, chamadas Cadeias de Markov com Transi??es Raras

Made available in DSpace on 2014-12-17T14:55:08Z (GMT). No. of bitstreams: 1 ClaudileneGC_TESE.pdf: 853804 bytes, checksum: 011bfb4befb8b54fce2cd4b1b724efdb (MD5) Previous issue date: 2012-08-20 / The idea of considering imprecision in probabilities is old, beginning with the Booles George work, who in 1854 wanted to reconcile the classical logic, which allows the modeling of complete ignorance, with probabilities. In 1921, John Maynard Keynes in his book made explicit use of intervals to represent the imprecision in probabilities. But only from the work ofWalley in 1991 that were established principles that should be respected by a probability theory that deals with inaccuracies. With the emergence of the theory of fuzzy sets by Lotfi Zadeh in 1965, there is another way of dealing with uncertainty and imprecision of concepts. Quickly, they began to propose several ways to consider the ideas of Zadeh in probabilities, to deal with inaccuracies, either in the events associated with the probabilities or in the values of probabilities. In particular, James Buckley, from 2003 begins to develop a probability theory in which the fuzzy values of the probabilities are fuzzy numbers. This fuzzy probability, follows analogous principles to Walley imprecise probabilities. On the other hand, the uses of real numbers between 0 and 1 as truth degrees, as originally proposed by Zadeh, has the drawback to use very precise values for dealing with uncertainties (as one can distinguish a fairly element satisfies a property with a 0.423 level of something that meets with grade 0.424?). This motivated the development of several extensions of fuzzy set theory which includes some kind of inaccuracy. This work consider the Krassimir Atanassov extension proposed in 1983, which add an extra degree of uncertainty to model the moment of hesitation to assign the membership degree, and therefore a value indicate the degree to which the object belongs to the set while the other, the degree to which it not belongs to the set. In the Zadeh fuzzy set theory, this non membership degree is, by default, the complement of the membership degree. Thus, in this approach the non-membership degree is somehow independent of the membership degree, and this difference between the non-membership degree and the complement of the membership degree reveals the hesitation at the moment to assign a membership degree. This new extension today is called of Atanassov s intuitionistic fuzzy sets theory. It is worth noting that the term intuitionistic here has no relation to the term intuitionistic as known in the context of intuitionistic logic. In this work, will be developed two proposals for interval probability: the restricted interval probability and the unrestricted interval probability, are also introduced two notions of fuzzy probability: the constrained fuzzy probability and the unconstrained fuzzy probability and will eventually be introduced two notions of intuitionistic fuzzy probability: the restricted intuitionistic fuzzy probability and the unrestricted intuitionistic fuzzy probability / A id?ia de considerar imprecis?o em probabilidades ? antiga, remontando aos trabalhos de George Booles, que em 1854 pretendia conciliar a l?gica cl?ssica, que permite modelar ignor?ncia completa, com probabilidades. Em 1921, John Maynard Keynes em seu livro fez uso expl?cito de intervalos para representar a imprecis?o nas probabilidades. Por?m, apenas a partir dos trabalhos de Walley em 1991 que foram estabelecidos princ?pios que deveriam ser respeitados por uma teoria de probabilidades que lide com imprecis?es. Com o surgimento da teoria dos conjuntos fuzzy em 1965 por Lotfi Zadeh, surge uma outra forma de lidar com incertezas e imprecis?es de conceitos. Rapidamente, come?aram a se propor diversas formas de considerar as id?ias de Zadeh em probabilidades, para lidar com imprecis?es, seja nos eventos associados ?s probabilidades como aos valores das probabilidades. Em particular, James Buckley, a partir de 2003 come?a a desenvolver uma teoria de probabilidade fuzzy em que os valores das probabilidades sejam n?meros fuzzy. Esta probabilidade fuzzy segue princ?pios an?logos ao das probabilidades imprecisas de Walley. Por outro lado, usar como graus de verdade n?meros reais entre 0 e 1, como proposto originalmente por Zadeh, tem o inconveniente de usar valores muito precisos para lidar com incertezas (como algu?m pode diferenciar de forma justa que um elemento satisfaz uma propriedade com um grau 0.423 de algo que satisfaz com grau 0.424?). Isto motivou o surgimento de diversas extens?es da teoria dos conjuntos fuzzy pelo fato de incorporar algum tipo de imprecis?o. Neste trabalho ? considerada a extens?o proposta por Krassimir Atanassov em 1983, que adicionou um grau extra de incerteza para modelar a hesita??o ao momento de se atribuir o grau de pertin?ncia, e portanto, um valor indicaria o grau com o qual o objeto pertence ao conjunto, enquanto o outro, o grau com o qual n?o pertence. Na teoria dos conjuntos fuzzy de Zadeh, esse grau de n?o-pertin?ncia por defeito ? o complemento do grau de pertin?ncia. Assim, nessa abordagem o grau de n?o-pertin?ncia ? de alguma forma independente do grau de pertin?ncia, e nessa diferencia entre essa n?o-pertin?ncia e o complemento do grau de pertin?ncia revela a hesita??o presente ao momento de se atribuir o grau de pertin?ncia. Esta nova extens?o hoje em dia ? chamada de teoria dos conjuntos fuzzy intuicionistas de Atanassov. Vale salientar, que o termo intuicionista aqui n?o tem rela??o com o termo intuicionista como conhecido no contexto de l?gica intuicionista. Neste trabalho ser? desenvolvida duas propostas de probabilidade intervalar: a probabilidade intervalar restrita e a probabilidade intervalar irrestrita; tamb?m ser?o introduzidas duas no??es de probabilidade fuzzy: a probabilidade fuzzy restrita e a probabilidade fuzzy irrestrita e por fim ser?o introduzidas duas no??es de probabilidade fuzzy intuicionista: a probabilidade fuzzy intuicionista restrita e a probabilidade fuzzy intuicionista irrestrita

Submitted by Cláudia Bueno (claudiamoura18@gmail.com) on 2015-10-16T18:00:48Z No. of bitstreams: 2 Dissertação - Wilder Francisco Soares Costa - 2014.pdf: 2068928 bytes, checksum: 053e3f6ebe769a97bc3032d2a3af31b9 (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Rejected by Luciana Ferreira (lucgeral@gmail.com), reason: Na citação 0 nome do mestrado é Mestrado Profissional em Matemática em Rede Nacional. No final da citação coloque ponto final. on 2015-10-19T13:51:53Z (GMT) / Submitted by Cláudia Bueno (claudiamoura18@gmail.com) on 2015-10-20T14:51:37Z No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Wilder Francisco Soares Costa - 2014.pdf: 2068928 bytes, checksum: 053e3f6ebe769a97bc3032d2a3af31b9 (MD5) / Approved for entry into archive by Cláudia Bueno (claudiamoura18@gmail.com) on 2015-10-20T15:15:33Z (GMT) No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Wilder Francisco Soares Costa - 2014.pdf: 2068928 bytes, checksum: 053e3f6ebe769a97bc3032d2a3af31b9 (MD5) / Made available in DSpace on 2015-10-20T15:15:33Z (GMT). No. of bitstreams: 2 license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Dissertação - Wilder Francisco Soares Costa - 2014.pdf: 2068928 bytes, checksum: 053e3f6ebe769a97bc3032d2a3af31b9 (MD5) Previous issue date: 2014-10-30 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / Inventory control plays an important role in business because they help the financial structure and understanding of it. Due to this fact is of great value that high school students seize their definitions and applications as they are or will be included in the labor market. The purpose of this work was to unite the inventory control with stochastic process, which in this case was the Markov process, through mathematical modeling. To this end, a brief explanation of inventory control and stock was addressed, as stochastic processes and examples, arriving on the Markov Chain that was addressed in a very simple way geared more for matrix multiplication and how to get these matrices. Then took these theories and applied, through modeling, at a small supermarket in inventory control of tomato sauce using Markov chains, allowing a prediction of future orders with the supplier. The work is the result of the Professional Masters and was written with the intention that teachers and high school students can understand the resolutions of the examples presented. / O controle de estoque exerce um papel importante nas empresas, pois auxiliam na estrutura financeira e compreensão da mesma. Devido esse fato é de grande valor que estudantes do ensino médio apreendam suas definições e aplicações pois estão ou serão inseridos no mercado de trabalho. O proposito deste trabalho foi unir o controle de estoque com o processo estocástico, que nesse caso foi o processo Markoviano, através da modelagem matemática. Para tanto, uma breve explanação de controle de estoque e estoque foi abordada, bem como processos estocásticos e exemplificações, chegando nas Cadeias de Markov que foi abordada de uma forma bem simples voltada mais para multiplicação de matrizes e como chegar nessas matrizes. Depois pegou essas teorias e foi aplicada, através da modelagem, em um supermercado de pequeno porte no controle de estoque de molho de tomate usando as cadeias de Markov, possibilitando a previsão de pedidos futuros junto ao fornecedor. O trabalho é fruto do Mestrado Profissional e foi escrito com intenção de que docentes e estudantes do ensino médio possam compreender as resoluções dos exemplos apresentados.

M.H.A. Davis a introduit les processus markoviens déterministes par morceaux (PDMP) comme une classe générale de modèles stochastiques non diffusifs, donnant lieu à des trajectoires déterministes ponctuées, à des instants aléatoires, par des sauts aléatoires. Dans cette thèse, nous présentons et analysons des estimateurs non paramétriques des lois conditionnelles des deux aléas intervenant dans la dynamique de tels processus. Plus précisément, dans le cadre d'une observation en temps long de la trajectoire d'un PDMP, nous présentons des estimateurs de la densité conditionnelle des temps inter-sauts et du noyau de Markov qui gouverne la loi des sauts. Nous établissons des résultats de convergence pour nos estimateurs. Des simulations numériques pour différentes applications illustrent nos résultats. Nous proposons également un estimateur du taux de saut pour des processus de renouvellement, ainsi qu'une méthode d'approximation numérique pour un modèle de régression semi-paramétrique. / Piecewise-deterministic Markov processes (PDMP’s) have been introduced by M.H.A. Davis as a general family of non-diffusion stochastic models, involving deterministic motion punctuated by random jumps at random times. In this thesis, we propose and analyze nonparametric estimation methods for both the features governing the randomness of such a process. More precisely, we present estimators of the conditional density of the inter-jumping times and of the transition kernel for a PDMP observed within a long time interval. We establish some convergence results for both the proposed estimators. In addition, numerical simulations illustrate our theoretical results. Furthermore, we propose an estimator for the jump rate of a nonhomogeneous renewal process and a numerical approximation method based on optimal quantization for a semiparametric regression model.

Dans le cadre de l'optimisation de la fiabilité, Thales Optronique intègre désormais dans ses équipements, des systèmes d'observation de leur état de fonctionnement. Cette fonction est réalisée par des HUMS (Health & Usage Monitoring System). L'objectif de cette thèse est de mettre en place dans le HUMS, un programme capable d'évaluer l'état du système, de détecter les dérives de fonctionnement, d'optimiser les opérations de maintenance et d'évaluer les risques d'échec d'une mission, en combinant les procédés de traitement des données opérationnelles (collectées sur chaque appareil grâce au HUMS) et prévisionnelles (issues des analyses de fiabilité et des coûts de maintenance, de réparation et d'immobilisation). Trois algorithmes ont été développés. Le premier, basé sur un modèle de chaînes de Markov cachées, permet à partir de données opérationnelles, d'estimer à chaque instant l'état du système, et ainsi, de détecter un mode de fonctionnement dégradé de l'équipement (diagnostic). Le deuxième algorithme permet de proposer une stratégie de maintenance optimale et dynamique. Il consiste à rechercher le meilleur instant pour réaliser une maintenance, en fonction de l'état estimé de l'équipement. Cet algorithme s'appuie sur une modélisation du système, par un processus Markovien déterministe par morceaux (noté PDMP) et sur l'utilisation du principe d'arrêt optimal. La date de maintenance est déterminée à partir des données opérationnelles, prévisionnelles et de l'état estimé du système (pronostic). Quant au troisième algorithme, il consiste à déterminer un risque d'échec de mission et permet de comparer les risques encourus suivant la politique de maintenance choisie.Ce travail de recherche, développé à partir d'outils sophistiqués de probabilités théoriques et numériques, a permis de définir un protocole de maintenance conditionnelle à l'état estimé du système, afin d'améliorer la stratégie de maintenance, la disponibilité des équipements au meilleur coût, la satisfaction des clients et de réduire les coûts d'exploitation. / As part of optimizing the reliability, Thales Optronics now includes systems that examine the state of its equipment. This function is performed by HUMS (Health & Usage Monitoring System). The aim of this thesis is to implement in the HUMS a program based on observations that can determine the state of the system, anticipate and alert about the excesses of operation, optimize maintenance operations and evaluate the failure risk of a mission, by combining treatment processes of operational data (collected on each equipment thanks to HUMS) and predictive data (resulting from reliability analysis and cost of maintenance, repair and standstill). Three algorithms have been developed. The first, based on hidden Markov model, allows to estimate at each time the state of the system from operational data, and thus, to detect a degraded mode of equipment (diagnostic). The second algorithm is used to propose an optimal and dynamic maintenance strategy. We want to estimate the best time to perform maintenance, according to the estimated state of equipment. This algorithm is based on a system modeling by a piecewise deterministic Markov process (noted PDMP) and the use of the principle of optimal stopping.The maintenance date is determined from operational and predictive data and the estimated state of the system (prognosis). The third algorithm determines the failure risk of a mission and compares risks following the chosen maintenance policy.This research, developed from sophisticated tools of theoretical and numerical probabilities, allows us to define a maintenance policy adapted to the state of the system, to improve maintenance strategy, the availability of equipment at the lowest cost, customer satisfaction, and reduce operating costs.

Cette thèse porte sur le développement et l'application en physique statistique d'un nouveau paradigme pour les méthodes sans rejet de Monte-Carlo par chaînes de Markov irréversibles, grâce à la mise en œuvre du filtre factorisé de Metropolis et du concept de lifting. Les deux premiers chapitres présentent la méthode de Monte-Carlo et ses différentes applications à des problèmes de physique statistique. Une des principales limites de ces méthodes se rencontre dans le voisinage des transitions de phase, où des phénomènes de ralentissement dynamique entravent fortement la thermalisation des systèmes. Le troisième chapitre présente la nouvelle classe des algorithmes de Metropolis factorisés et irréversibles. Se fondant sur le concept de lifting des chaînes de Markov, le filtre factorisé de Metropolis permet de décomposer un potentiel multidimensionnel en plusieurs autres unidimensionnels. De là, il est possible de définir un algorithme sans rejet de Monte-Carlo par chaînes de Markov irréversibles. Le quatrième chapitre examine les performances de ce nouvel algorithme dans une grande variété de systèmes. Des accélérations du temps de thermalisation sont observées dans des systèmes bidimensionnels de particules molles, des systèmes bidimensionnels de spins XY ferromagnétiques et des systèmes tridimensionnels de verres de spins XY. Finalement, une réduction importante du ralentissement critique est exposée pour un système tridimensionnel de spins Heisenberg ferromagnétiques. / This thesis deals with the development and application in statistical physics of a general framework for irreversible and rejection-free Markov-chain Monte Carlo methods, through the implementation of the factorized Metropolis filter and the lifting concept. The first two chapters present the Markov-chain Monte Carlo method and its different implementations in statistical physics. One of the main limitations of Markov-chain Monte Carlo methods arises around phase transitions, where phenomena of dynamical slowing down greatly impede the thermalization of the system. The third chapter introduces the new class of irreversible factorized Metropolis algorithms. Building on the concept of lifting of Markov chains, the factorized Metropolis filter allows to decompose a multidimensional potential into several unidimensional ones. From there, it is possible to define a rejection-free and completely irreversible Markov-chain Monte Carlo algorithm. The fourth chapter reviews the performance of the irreversible factorized algorithm in a wide variety of systems. Clear accelerations of the thermalization time are observed in bidimensional soft-particle systems, bidimensional ferromagnetic XY spin systems and three-dimensional XY spin glasses. Finally, an important reduction of the critical slowing down is exhibited in three-dimensional ferromagnetic Heisenberg spin systems.